-----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, HJxFEYAacfMu1L3xLPAl/tGafUHBw84ifOOSmWhyQBFd73hv5WmVV0wLAIe/Hs/z lq5UFl0wt0HkHJlIVdbZiA== 0000809593-05-000014.txt : 20050707 0000809593-05-000014.hdr.sgml : 20050707 20050706190849 ACCESSION NUMBER: 0000809593-05-000014 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20050430 FILED AS OF DATE: 20050707 DATE AS OF CHANGE: 20050706 EFFECTIVENESS DATE: 20050707 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AMERICAN BEACON FUNDS CENTRAL INDEX KEY: 0000809593 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04984 FILM NUMBER: 05942013 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: AMERICAN AADVANTAGE FUNDS DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: AMERICAN EAGLE FUNDS DATE OF NAME CHANGE: 19890813 N-CSRS 1 ncsr0405.txt SEMI-ANNUAL N-CSR FOR AMERICAN BEACON FUNDS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSRS CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-4984 AMERICAN BEACON FUNDS (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, 2005 Date of reporting period: April 30, 2005 ITEM 1. REPORTS TO STOCKHOLDERS. G U I D A N C E | V I S I O N | E X P E R I E N C E [AMERICAN BEACON FUNDS LOGO] SEMI-ANNUAL REPORT [PHOTO] APRIL 30, 2005 INTERNATIONAL EQUITY FUND Formerly known as the American AAdvantage Funds About American Beacon Advisors - -------------------------------- Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management. Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
Contents ----------------------------------------------- President's Message........... 1 Market and Performance Overview................... 2 Schedule of Investments....... 18 Additional Information........Inside Back Cover
Any opinions herein, including forecasts, reflect our judgement as of the end of the reporting period and are subject to change. Each advisor's strategies and each Fund's portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and, therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein. American Beacon Funds April 30, 2005 (BILL QUINN PICTURE) FELLOW SHAREHOLDERS, I am pleased to present you with the Semi- Annual Report for the American Beacon International Equity Fund (formerly known as the American AAdvantage International Equity Fund) for the six months ended April 30, 2005. During this time, the Dow Jones Industrial Average posted gains of 2.78%, the S&P 500 Index increased by 3.28% and the MSCI EAFE Index returned 8.71%. The International Equity Fund posted strong performance as the Institutional Class outpaced the Lipper International Funds Index for the one-year, three-year, five-year and ten-year time periods as of April 30, 2005. The Fund produced returns of 7.86% for the six-month period and 16.50%, 11.59%, 4.71% and 9.49% for the one-year, three-year, five-year, and ten-year time periods, respectively. Please review the enclosed market overviews, portfolio listings and detailed financial data. As always, we welcome the opportunity to serve your financial needs. To obtain further details about the American Beacon Funds family or access your account information, please visit our web site at www.americanbeaconfunds.com. Thank you for your continued confidence in the American Beacon International Equity Fund. Sincerely, /s/ WILLIAM F. QUINN William F. Quinn President, American Beacon Funds Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. 1 INTERNATIONAL EQUITY MARKET OVERVIEW - -------------------------------------------------------------------------------- Global equities rallied sharply in November, following the U.S. presidential election, as uncertainty over the election's outcome, and whether that outcome would be immediately clear, was removed. Declining oil prices and better-than-expected economic reports, regarding both employment and retail sales in the United States, added to the bullish sentiment. Equities were relatively unaffected by the volatility in the currency markets, as the ongoing weakness in the U.S. dollar accelerated and many world currencies reached multi-year highs, versus the dollar. The rally was broad-based with all sectors participating, although the materials sector outperformed amid rebounding commodity prices, and health care continued to lag. On a regional basis, the rally was also broad-based with every country in the MSCI World Index rising, in local currency terms, and Europe outperformed. International stocks ended 2004 with their best quarterly performance of the year as oil prices crested, easing concerns that higher energy costs would restrain earnings and economic growth. The rally started right after the U.S. presidential election, as uncertainty over the election's outcome, as well as its definitiveness, was lifted. On a regional basis, markets in the 12-country euro region, helped by gains in their common currency, were among the MSCI EAFE Index's best performers for the quarter, led by Austria, France, and Germany. U.K. stocks trailed other euro regions due to declines in energy shares, as oil prices fell, and to losses experienced by drug makers after Merck & Co. recalled its Vioxx painkiller. Japanese stocks also lagged, as Japan's economy stalled and the yen reached a four-year high during the quarter. From a sector perspective, the rally was broad based, although health care and energy stocks lagged the broad market while technology and finance outperformed modestly. International stocks declined modestly in January, which is somewhat surprising as it is typically a strong period for equities. Oil prices, which many believed to be last year's problem, rose again. From a sector perspective, the decline was somewhat mixed as industrials was the best performing sector and information technology continued to lag. Telecom services also performed poorly, even with the recent acceleration of merger activity in the sector. From a regional perspective, the decline was fairly consistent in the major regions. International markets were strong during February, erasing much of the losses from January. Markets pulled back mid-month, as oil prices continued to rise and investors witnessed the outlook for inflation pick-up, before surging in the last few days of the month. However, business confidence in both Germany and Italy declined. Performing similarly, European, Australasia, and U.K. stock markets outperformed those in Japan. From a sector perspective, energy dramatically outperformed the market as the price of oil rose sharply in February. Materials was one of the best performing sectors. International markets were up modestly for the first quarter 2005, in local currency terms. However, returns in U.S. dollars were depressed for unhedged investors due to a rebound in the dollar. In March, the U.S. Federal Reserve cited increasing inflation pressures and evidence of pricing power, which led investors to believe that more aggressive monetary tightening might lie ahead. Economic news from Japan was disappointing, causing Japanese stocks to lag. Most other Asian markets lagged modestly while Europe outperformed. From a sector perspective, defensive stocks, such as consumer staples and utilities, held up while pharmaceutical stocks did not. Information technology and telecom services stocks also lagged, as they were the worst performing sectors during the quarter. Energy was the best performer as the price of oil rebounded, ending the quarter slightly off its 2004 peak. International equity markets continued to fall in April, making it the third down month of the year. Signs of slowing economic growth were reinforced when, late in the month, the U.S. Commerce Department announced that GDP, in the first quarter of 2005, was below expectations and the slowest pace in two years. More evidence of a global slowdown came from Japan, as consumer confidence was below expectations. Global large cap stocks outperformed both mid and small caps, reversing a trend that has been in place for an extended period. Merger activity remained robust, particularly in the U.S. energy sector, as ChevronTexaco and Valero Energy announced plans to acquire Unocal and Premcor, respectively. From a sector perspective, defensive sectors such as consumer staples, health care, and utilities all outperformed during the month as the broader market declined. Materials and industrials lagged due to concerns over a slowing economy. Consumer discretionary also lagged during the month. Regionally, most Asian countries posted positive returns except Japan, while most European countries lagged. 2 PERFORMANCE OVERVIEW AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the International Equity Fund returned 7.86% for the six months ended April 30, 2005. The Fund underperformed the MSCI EAFE Index ("Index") return of 8.71% and the Lipper International Funds Index return of 8.01%.
ANNUALIZED TOTAL RETURNS -------------------------------------- PERIODS ENDED 4/30/05 -------------------------------------- 6 MONTHS 1 YEAR 5 YEARS 10 YEARS -------- ------ ------- -------- Institutional Class(1)..... 7.86% 16.50% 4.71% 9.49% PlanAhead Class(1)......... 7.72% 16.23% 4.53% 9.22% Service Class(1,2)......... 7.62% 15.94% 4.41% 9.16% AMR Class(1)............... 8.06% 16.87% 4.98% 9.77% Lipper Int'l. Funds Index..................... 8.01% 13.43% -0.24% 6.80% MSCI EAFE Index............ 8.71% 14.95% -0.55% 4.77%
The MSCI EAFE Index is a market capitalization weighted index of international stock performance composed of equities from developed markets excluding the U.S. and Canada. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. Fund performance for the five-year and ten-year periods represents the total returns achieved by the PlanAhead Class from 4/30/95 up to 5/1/03, the inception date of the Service Class, and the returns of the Service Class since its inception. Expenses of the Service Class are higher than those of the PlanAhead Class. As a result, total returns shown may be higher than they would have been had the Service Class been in existence since 4/30/95. The Fund underperformed the Index over the past six months primarily due to timing differences in currency pricing between the Fund (4 p.m. Eastern time) and the Index (4 p.m. London time), Fund expenses and unfavorable country allocation. Country allocation detracted value as the Fund had a nearly 4% underweighting in Australia versus the Index and the Australian market gained 13.8% during the period. Additionally, the Fund had a nearly 2% overweighting to Ireland and the Irish market was the worst performing, and only, EAFE market with a negative return (-0.5%) for the period. Stock selection was positive in the United Kingdom and France, but was largely offset by negative selection in Japan and Singapore. In the U.K., significant positions in GlaxoSmithKline, British American Tobacco, BHP Billiton and Cadbury Schweppes added value as each gained over 20% for the period. In France, the Fund's largest holding during the period, Sanofi-Synthelabo, also gained over 20% for the six month time period. Konica Minolta, which dropped approximately 27%, was the biggest disappointment in Japan, while Creative Technology (down approximately 20%) contributed to the weak stock selections in Singapore during the period. Although economic and market conditions vary from period to period, the Fund's primary strategy remains consistent as it focuses on investing in undervalued companies with above-average earnings growth expectations. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability and differences in accounting standards. 3 PERFORMANCE OVERVIEW AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- TOP TEN HOLDINGS
% OF NET ASSETS ---------- Sanofi-Synthelabo 2.4% GlaxoSmithKline plc 2.2% Royal Bank of Scotland Group plc 1.9% Total S.A. 1.9% Koninklijke (Royal) Philips Electronics N.V. 1.7% Unilever plc 1.5% Diageo plc 1.5% Royal Dutch Petroleum Company 1.3% BAE Systems plc 1.3% Nestle SA 1.3%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials 24.6% Consumer Discretionary 13.3% Industrials 12.0% Health Care 9.3% Consumer Staples 8.9% Telecommunication Services 8.6% Energy 8.1% Materials 6.8% Information Technology 4.5% Utilities 3.9%
REGIONAL ALLOCATION* (PIE CHART)
EUROPE PACIFIC RIM NORTH AMERICA CENTRAL AMERICA - --------------------- ----------- ------------- --------------- 75.4% 22.7% 1.7% 0.2%
* Allocation based upon gross investments in American Beacon Master Trust International Equity Portfolio. FUND EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, such as redemption fees, and (2) ongoing costs, including management fees, administrative service fees, distribution (12b-1) fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the 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 invested at the beginning of the period in each Class and held for the entire period from November 1, 2004 through April 30, 2005. ACTUAL EXPENSES The "Actual" lines of the table provide information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your 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 line under the heading "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. Shareholders of the PlanAhead and Institutional Classes that invest in the Fund through an IRA may be subject to a custodial IRA fee of $12 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $12 higher. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The "Hypothetical" lines of the table provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund's actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the PlanAhead and Institutional Classes that invest in the Fund through an IRA 4 PERFORMANCE OVERVIEW AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- may be subject to a custodial IRA fee of $12 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $12 higher. You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund, such as redemption fees. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the "Hypothetical" lines of the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
BEGINNING ENDING EXPENSES PAID ACCOUNT ACCOUNT DURING PERIOD* VALUE VALUE 11/1/04- 11/1/04 4/30/05 4/30/05 --------- --------- --------------- INSTITUTIONAL CLASS Actual $1,000.00 $1,078.62 $3.66 Hypothetical $1,000.00 $1,021.27 $3.56 (5% return before expenses) PLANAHEAD CLASS Actual $1,000.00 $1,077.25 $4.96 Hypothetical $1,000.00 $1,020.02 $4.82 (5% return before expenses) SERVICE CLASS Actual $1,000.00 $1,076.17 $6.34 Hypothetical $1,000.00 $1,018.69 $6.16 (5% return before expenses) AMR CLASS Actual $1,000.00 $1,080.62 $2.30 Hypothetical $1,000.00 $1,022.58 $2.24 (5% return before expenses)
* Expense amounts are inclusive of the Fund's proportionate share of expenses of the American Beacon Master Trust International Equity Portfolio. Expenses are equal to the Fund's annualized expense ratios for the six-month period of 0.71%, 0.96%, 1.23%, 0.45%, for the Institutional, PlanAhead, Service, and AMR Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. 5 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF ASSETS AND LIABILITIES April 30, 2005 (Unaudited) (in thousands) - -------------------------------------------------------------------------------- ASSETS: Investments in Portfolio, at value...................... $ 2,148,472 Receivable for fund shares sold......................... 4,463 ----------- TOTAL ASSETS........................................ 2,152,935 ----------- LIABILITIES: Payable for fund shares redeemed........................ 4,225 Administrative service and service fees payable......... 324 Other liabilities....................................... 266 ----------- TOTAL LIABILITIES................................... 4,815 ----------- NET ASSETS.................................................. $ 2,148,120 =========== ANALYSIS OF NET ASSETS: Paid-in-capital......................................... 1,766,276 Undistributed net investment income..................... 16,829 Accumulated net realized gain (loss).................... 52,316 Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency................. 312,699 ----------- NET ASSETS.................................................. $ 2,148,120 =========== Shares outstanding (no par value): Institutional Class..................................... 57,792,728 =========== PlanAhead Class......................................... 23,980,691 =========== Service Class........................................... 124,374 =========== AMR Class............................................... 27,298,732 =========== Net asset value, offering and redemption price per share: Institutional Class..................................... $ 19.68 =========== PlanAhead Class......................................... $ 19.52 =========== Service Class........................................... $ 19.38 =========== AMR Class............................................... $ 19.79 ===========
See accompanying notes - -------------------------------------------------------------------------------- 6 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF OPERATIONS Six Months Ended April 30, 2005 (Unaudited) (in thousands) - -------------------------------------------------------------------------------- INVESTMENT INCOME: Investment income allocated from the Portfolio.......... $ 29,188 Expenses allocated from the Portfolio................... (4,246) -------- TOTAL INVESTMENT INCOME............................. 24,942 -------- EXPENSES: Administrative service fees (Note 2): Institutional Class................................... 1,402 PlanAhead Class....................................... 494 Service Class......................................... 2 Transfer agent fees: Institutional Class................................... 104 PlanAhead Class....................................... 42 AMR Class............................................. 8 Professional fees....................................... 26 Registration fees and expenses.......................... 79 Service fees -- PlanAhead Class (Note 2)................ 494 Service fees -- Service Class (Note 2).................. 2 Distribution fees -- Service Class (Note 2)............. 2 Prospectus and shareholder reports...................... 229 Other expenses.......................................... 7 -------- TOTAL EXPENSES...................................... 2,891 -------- NET INVESTMENT INCOME....................................... 22,051 -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net increase from payments by affiliates................ 369 Net realized gain allocated from the Portfolio.......... 111,040 Change in net unrealized gain allocated from the Portfolio.............................................. 5,291 -------- NET GAIN (LOSS) ON INVESTMENTS...................... 116,700 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $138,751 ======== * Foreign taxes......................................... $ 4,609
See accompanying notes - -------------------------------------------------------------------------------- 7 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF CHANGES IN NET ASSETS (IN THOUSANDS) - --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED OCTOBER 31, APRIL 30, 2005 2004 -------------- ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income................................... $ 22,051 $ 25,715 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions........... 111,409** 111,748 Change in unrealized gain allocated from the Portfolio.............................................. 5,291 153,263 ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.......................................... 138,751 290,726 ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class................................... (13,529) (19,224) PlanAhead Class....................................... (4,004) (4,201) Service Class......................................... (22) -- AMR Class............................................. (7,644) (9,135) ---------- ---------- NET DISTRIBUTIONS TO SHAREHOLDERS................... (25,199) (32,560) ---------- ---------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares........................... 447,101 670,346 Reinvestment of dividends and distributions............. 22,373 28,865 Cost of shares redeemed................................. (235,606) (379,293) Redemption fees......................................... 35 21 ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS.................................. 233,903 319,939 ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS....................... 347,455 578,105 ---------- ---------- NET ASSETS: Beginning of period..................................... 1,800,665 1,222,560 ---------- ---------- END OF PERIOD*.......................................... $2,148,120 $1,800,665 ========== ========== * Includes undistributed net investment income (loss) of..................................................... $ 16,829 $ 10,007 ========== ========== ** Includes $369 payment by affiliate.
See accompanying notes - -------------------------------------------------------------------------------- 8 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American Beacon Funds (the "Trust"), formerly known as the American AAdvantage Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (the "Act"), as amended, as a no load, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon International Equity Fund, a series of the Trust. American Beacon Advisors, Inc. (the "Manager"), formerly known as AMR Investment Services, Inc., is a wholly-owned subsidiary of AMR Corporation, the parent company of American Airlines, Inc. ("American"), and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors. The American Beacon International Equity Fund (the "Fund") invests all of its investable assets in the International Equity Portfolio (the "Portfolio") of the American Beacon Master Trust, which has the same investment objectives as the Fund. The Portfolio is an open-end management investment company registered under the Act. The value of the investment in the Portfolio reflects the Fund's proportionate interest in the net assets of the Portfolio. At April 30, 2005 the Fund's investment was 95.9% of the Portfolio. The financial statements of the Portfolio, including Notes to Financial Statements, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements. The Notes to Financial Statements of the Portfolio include a discussion of investment valuation, security transactions and investment income, the management agreement and securities lending. Class Disclosure The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
CLASS: OFFERED TO: SERVICE AND DISTRIBUTION FEES: - ------ ----------- ------------------------------ INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service 0.25% Fee -- PLANAHEAD CLASS General public and investors investing through an Administrative Service 0.25% intermediary Fee -- 0.25% Service Fee -- SERVICE CLASS Investors investing through an intermediary Administrative Service 0.25% Fee -- 0.25% Service Fee -- 0.25% Distribution Fee -- AMR CLASS Investors in the tax-exempt retirement and benefit plans of N/A AMR Corporation and its affiliates
Investment income, net capital gains (losses) and all expenses incurred by the Fund are allocated based on the relative net assets of each class, except for service fees and certain other fees and expenses related solely to one class of shares. Security Valuation The Fund records its investment in the Portfolio at fair value. Valuation of securities by the Portfolio is discussed in Note 1 of the Portfolio's Notes to Financial Statements which are included elsewhere in this report. - -------------------------------------------------------------------------------- 9 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Redemption Fees The Fund imposes a 2% redemption fee on certain Institutional, PlanAhead and Service Class shares held for less than 30 days. The fee is deducted from the redemption proceeds and is intended to offset the trading costs, market impact and other costs associated with short-term trading activity in the Fund. The "first-in, first-out" method is used to determine the holding period. Investment Income The Fund records its share of net investment income and realized and unrealized gain (loss) in the Portfolio each day. All net investment income and realized and unrealized gain (loss) of the Portfolio is allocated pro rata among the Fund and other investors in the Portfolio at the time of such determination. Dividends to Shareholders Dividends from net investment income of the Fund normally will be declared and paid annually. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex-dividend date. Allocation of Income, Expenses, Gains and Losses Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated. Other Under the Trust's organizational documents, its officers and directors are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust's maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement. 2. TRANSACTIONS WITH AFFILIATES Administrative Services Agreement The Manager and the Trust entered into an Administrative Services Agreement that obligates the Manager to provide or oversee administrative and management services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager - -------------------------------------------------------------------------------- 10 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- receives an annualized fee of .25% of the average daily net assets of the Institutional, PlanAhead and Service Classes of the Fund. Distribution Plans The Trust, except for the Service Class of the Funds, has adopted a "defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under the Investment Company Act of 1940, pursuant to which no fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Trust does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares. A separate Distribution Plan (the "Distribution Plan") has been adopted pursuant to Rule 12b-1 under the Act for the Service Class of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the Service Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance. Service Plans The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the PlanAhead and Service Classes. As compensation for performing the duties required under the Service Plans, the Manager receives 0.25% of the average daily net assets of the PlanAhead and Service Classes of the Fund. Other Certain officers or Trustees of the Trust are also current or former officers or employees of the Manager or American. The Trust makes no direct payments to its officers. Mr. Feld and the non-interested Trustees (other than Mr. O'Sullivan) and their spouses are provided free unlimited air transportation on American. Retired Trustees and their spouses are provided free air transportation on American, up to a maximum annual value of $40,000. The Trust compensates each Trustee with payments in an amount equal to the Trustee's income tax on the value of this free airline travel. Mr. O'Sullivan, as a retiree of American, already receives flight benefits. Mr. O'Sullivan receives an annual retainer of $40,000 plus $1,250 for each Board meeting attended. At April 30, 2005, AMR Corporation and subsidiary companies and Employee Benefit Trusts thereof owned 100% of AMR Class shares of the Fund. During the period ended April 30, 2005, a subadvisor voluntarily reimbursed the Portfolio for the loss associated with a rights offering that expired totaling $383,000. The shares that would have been acquired through a full exercise of the rights were subsequently purchased on the open market. The subadvisor reimbursed the Portfolio for the appreciation of the shares over the exercise price, transaction costs and foreign exchange costs incurred in making this purchase in the open market. This reimbursement is reflected in the gain/loss section of the Statement of Operations. - -------------------------------------------------------------------------------- 11 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Interfund Lending Program Pursuant to an exemptive order by the SEC, the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating Funds. At April 30, 2005, the Fund had not utilized the credit facility. 3. FEDERAL INCOME AND EXCISE TAXES It is the policy of the Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all net investment income as well as any net realized capital gains on the sale of investments. Therefore, no federal income or excise tax provision is required. Dividends are determined in accordance with income tax regulations which may treat certain transactions differently than U.S. generally accepted accounting principles. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. The tax character of distributions during the six months ended April 30, 2005 and the fiscal year ended October 31, 2004 were as follows (in thousands):
SIX MONTHS ENDED YEAR ENDED APRIL 30, 2005 OCTOBER 31, 2004 -------------- ---------------- (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME Institutional Class..................................... $13,529 $19,224 PlanAhead Class......................................... 4,004 4,201 Service Class........................................... 22 -- AMR Class............................................... 7,644 9,135 LONG-TERM CAPITAL GAIN Institutional Class..................................... -- -- PlanAhead Class......................................... -- -- Service Class........................................... -- -- AMR Class............................................... -- -- ------- ------- TOTAL DISTRIBUTIONS PAID............................ $25,199 $32,560 ------- -------
- -------------------------------------------------------------------------------- 12 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- As of April 30, 2005, the components of distributable earnings were as follows (in thousands): Cost basis of investments for federal income tax purposes... $2,377,001 Unrealized appreciation..................................... 340,042 Unrealized depreciation..................................... (35,365) ---------- Net unrealized appreciation/(depreciation).................. 304,677 Undistributed ordinary income............................... 18,742 Undistributed long-term gain/(loss)......................... 64,889 ---------- Distributable earnings...................................... $ 388,308 ==========
Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses from wash sales, the realization for tax purposes of unrealized gains/(losses) on certain derivative instruments, book amortization for premiums, and the realization for tax purposes of unrealized gains/(losses) on investments in passive foreign investment companies. Due to inherent differences in the recognition of income, expenses and realized gains/losses under U.S. generally accepted accounting principles and federal income tax purposes, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities. Accordingly, the following amounts represent current year permanent differences that have been reclassified as of October 31, 2004 (in thousands): Paid-in-capital............................................. $ 525 Undistributed net investment income......................... 9,180 Accumulated net realized gain (loss)........................ (9,705) Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency.................... --
The Fund intends to retain realized gains to the extent of available capital loss carryforwards for federal income tax purposes. During the six months ended April 30, 2005, the fund utilized $33,901,000 of capital loss carryforwards. - -------------------------------------------------------------------------------- 13 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- 4. CAPITAL SHARE TRANSACTIONS The tables below summarize the activity in capital shares for each Class of the Fund (in thousands): Six Months Ended April 30, 2005
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------ ---------------- ------------------ SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------ --------- ------ -------- ------ ------ ------- -------- Shares sold................ 7,407 $ 148,251 9,199 $183,763 107 $2,135 5,639 $112,952 Reinvestment of dividends.. 543 10,788 199 3,920 1 22 383 7,643 Shares redeemed*........... (5,895) (117,681) (2,373) (47,302) (24) (480) (3,487) (70,108) ------ --------- ------ -------- ------ ------ ------- -------- Net increase in shares outstanding.............. 2,055 $ 41,358 7,025 $140,381 84 $1,677 2,535 $ 50,487 ====== ========= ====== ======== ====== ====== ======= ========
* Net of Redemption Fees Year Ended October 31, 2004
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------- ---------------- ------------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------ --------- ------ --------- ------ ------ ------- --------- Shares sold............. 15,750 $ 270,812 12,974 $ 218,345 43 $ 744 10,345 $ 180,445 Reinvestment of dividends............. 975 15,613 258 4,117 -- -- 568 9,135 Shares redeemed*........ (7,712) (131,052) (7,839) (128,653) (3) (54) (6,917) (119,513) ------ --------- ------ --------- ------ ------ ------- --------- Net increase in shares outstanding........... 9,013 $ 155,373 5,393 $ 93,809 40 $ 690 3,996 $ 70,067 ====== ========= ====== ========= ====== ====== ======= =========
* Net of Redemption Fees - -------------------------------------------------------------------------------- 14 (This page intentionally left blank) 15 AMERICAN BEACON INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ---------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ---------------------------------------------------------- 2005 2004(B) 2003(F) 2002 2001(E) 2000 -------------- ---------- -------- -------- -------- -------- (UNAUDITED) Net asset value, beginning of period............... $ 18.47 $ 15.46 $ 12.10 $ 13.77 $ 17.95 $ 19.36 ---------- ---------- -------- -------- -------- -------- Income from investment operations: Net investment income(A D)......................... 0.21 0.30 0.25 0.21 0.24 0.36 Net gains (losses) on securities (both realized and unrealized)(D)............................. 1.24 3.12 3.47 (1.62) (2.96) 0.18 ---------- ---------- -------- -------- -------- -------- Total income (loss) from investment operations..... 1.45 3.42 3.72 (1.41) (2.72) 0.54 ---------- ---------- -------- -------- -------- -------- Less distributions: Dividends from net investment income............. (0.24) (0.41) (0.36) (0.26) (0.22) (0.31) Distributions from net realized gains on securities..................................... -- -- -- -- (1.24) (1.64) ---------- ---------- -------- -------- -------- -------- Total distributions................................ (0.24) (0.41) (0.36) (0.26) (1.46) (1.95) ---------- ---------- -------- -------- -------- -------- Redemption fees added to beneficial interest....... --(I) --(I) --(I) -- -- -- ---------- ---------- -------- -------- -------- -------- Net asset value, end of period..................... $ 19.68 $ 18.47 $ 15.46 $ 12.10 $ 13.77 $ 17.95 ========== ========== ======== ======== ======== ======== Total return....................................... 7.86%(G) 22.49% 31.61% (10.51)% (16.54)% 2.36% ========== ========== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands)......... $1,137,456 $1,029,272 $722,333 $537,476 $519,151 $587,869 Ratios to average net assets (annualized): Expenses(D).................................... 0.71% 0.76% 0.79% 0.75% 0.78% 0.72% Net investment income(D)....................... 2.08% 1.69% 1.97% 1.56% 1.54% 1.64% Decrease reflected in above expense ratio due to absorption of expenses by the Manager(D)... -- -- -- -- -- -- Portfolio turnover rate(C)....................... 18%(G) 36% 44% 43% 36% 45%
- --------------- (A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment income per share. (B) The Boston Company was added as an investment advisor to the International Equity Fund on September 27, 2004. (C) The International Equity Fund invests all of its investable assets in its corresponding Portfolio. Portfolio turnover rate is that of the Portfolio. (D) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the American Beacon Master Trust International Equity Portfolio. (E) Causeway Capital Management, LLC replaced Merrill Lynch Investment Managers, L.P. as investment advisor to the International Equity Fund on August 31, 2001. (F) Independence Investment LLC was removed as an investment advisor to the International Equity Fund on October 24, 2003. (G) Not annualized (H) Portfolio turnover rate is for the period November 1, 2002 through October 31, 2003. (I) Amounts represent less than $0.01 per share. - -------------------------------------------------------------------------------- 16 - --------------------------------------------------------------------------------
PLANAHEAD CLASS SERVICE CLASS AMR CLASS - -------------------------------------------------------------------- --------------------------------------- ----------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED MAY 1 TO ENDED APRIL 30, -------------------------------------------------- APRIL 31, OCTOBER 31, OCTOBER 31, APRIL 31, 2005 2004(B) 2003(F) 2002 2001(E) 2000 2005 2004(B) 2003(F) 2005 ----------- -------- -------- ------- -------- ------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 18.31 $ 15.34 $ 11.95 $ 13.58 $ 17.72 $ 19.13 $18.24 $ 15.31 $ 12.18 $ 18.58 -------- -------- -------- ------- -------- ------- ------ --------- ---------- -------- 0.19 0.26 0.22 0.15 0.19 0.31 0.20 0.30 0.09 0.24 1.24 3.08 3.46 (1.56) (2.92) 0.18 1.20 2.99 3.04 1.26 -------- -------- -------- ------- -------- ------- ------ --------- ---------- -------- 1.43 3.34 3.68 (1.41) (2.73) 0.49 1.40 3.29 3.13 1.50 -------- -------- -------- ------- -------- ------- ------ --------- ---------- -------- (0.22) (0.37) (0.29) (0.22) (0.17) (0.26) (0.26) (0.36) -- (0.29) -- -- -- -- (1.24) (1.64) -- -- -- -- -------- -------- -------- ------- -------- ------- ------ --------- ---------- -------- (0.22) (0.37) (0.29) (0.22) (1.41) (1.90) (0.26) (0.36) -- (0.29) -------- -------- -------- ------- -------- ------- ------ --------- ---------- -------- --(I) --(I) --(I) -- -- -- --(I) --(I) --(I) --(I) -------- -------- -------- ------- -------- ------- ------ --------- ---------- -------- $ 19.52 $ 18.31 $ 15.34 $ 11.95 $ 13.58 $ 17.72 $19.38 $ 18.24 $ 15.31 $ 19.79 ======== ======== ======== ======= ======== ======= ====== ========= ========== ======== 7.72%(G) 22.16% 31.62% (10.57)% (16.79)% 2.08% 7.62%(G) 21.88% 25.70%(G) 8.06%(G) ======== ======== ======== ======= ======== ======= ====== ========= ========== ======== $468,135 $310,540 $177,425 $99,636 $113,948 $85,680 $2,410 $ 739 $ 1 $540,119 0.96% 1.02% 1.10% 1.04% 1.10% 1.01% 1.23% 1.27% 1.50% 0.45% 1.96% 1.46% 1.68% 1.35% 1.22% 1.43% 1.74% 0.81% 1.33% 2.35% -- -- -- -- -- -- -- 4.99% 1,137.58% -- 18%(G) 36% 44% 43% 36% 45% 18%(G) 36% 44%(H) 18%(G) AMR CLASS - --- ---------------------------------------------------- YEAR ENDED OCTOBER 31, ---------------------------------------------------- 2004(B) 2003(F) 2002 2001(E) 2000 -------- -------- -------- -------- -------- $ 15.54 $ 12.18 $ 13.86 $ 18.07 $ 19.46 -------- -------- -------- -------- -------- 0.34 0.29 0.24 0.28 0.41 3.14 3.46 (1.62) (2.98) 0.20 -------- -------- -------- -------- -------- 3.48 3.75 (1.38) (2.70) 0.61 -------- -------- -------- -------- -------- (0.44) (0.39) (0.30) (0.27) (0.36) -- -- -- (1.24) (1.64) -------- -------- -------- -------- -------- (0.44) (0.39) (0.30) (1.51) (2.00) -------- -------- -------- -------- -------- --(I) --(I) -- -- -- -------- -------- -------- -------- -------- $ 18.58 $ 15.54 $ 12.18 $ 13.86 $ 18.07 ======== ======== ======== ======== ======== 22.84% 31.77% (10.26)% (16.35)% 2.69% ======== ======== ======== ======== ======== $460,114 $322,801 $264,579 $301,762 $428,329 0.49% 0.52% 0.49% 0.52% 0.46% 1.97% 2.22% 1.81% 1.78% 1.92% -- -- -- -- -- 36% 44% 43% 36% 45%
- -------------------------------------------------------------------------------- 17 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) STOCKS - 94.33% AUSTRALIA - 1.54% AUSTRALIA PREFERRED STOCK - 0.16% AMP Limited.................. 697,790 $ 3,691 ---------- TOTAL AUSTRALIA PREFERRED STOCK.................. 3,691 ---------- AUSTRALIA COMMON STOCK - 1.38% Alumina Limited.............. 983,760 4,420 Commonwealth Bank of Australia.................. 216,840 6,174 Macquarie Airports Management Limited+................... 2,137,138 5,622 Macquarie Infrastructure Group+..................... 1,293,774 3,688 National Australia Bank...... 356,430 8,140 The News Corporation Limited.................... 189,580 2,897 ---------- TOTAL AUSTRALIA COMMON STOCK.................. 30,941 ---------- TOTAL AUSTRALIA.......... 34,632 ---------- CANADA COMMON STOCK - 1.61% Alcan, Incorporated.......... 138,171 4,480 BCE, Incorporated............ 318,360 7,641 Celestica, Incorporated+..... 757,200 8,756 Husky Energy, Incorporated(+)............ 141,880 4,132 Manulife Financial Corporation................ 241,365 11,062 ---------- TOTAL CANADA COMMON STOCK.................. 36,071 ---------- DENMARK COMMON STOCK - 0.08% Vestas Wind Systems+(+)...... 147,226 1,862 ---------- TOTAL DENMARK COMMON STOCK.................. 1,862 ---------- FINLAND COMMON STOCK - 2.00% KCI Konecranes Oyj(+)........ 112,450 4,409 M-real Oyj................... 459,670 2,491 Nokia Oyj(+)................. 891,700 14,250 Stora Enso Oyj............... 619,200 8,214 UPM-Kymmene Oyj.............. 768,000 15,357 ---------- TOTAL FINLAND COMMON STOCK.................. 44,721 ---------- FRANCE COMMON STOCK - 10.49% Accor S.A.(+)................ 109,880 5,022 AXA(+)....................... 729,681 17,988 BNP Paribas S.A.(+).......... 279,678 18,429 Carrefour S.A.(+)............ 347,797 16,903 Compagnie Generale des Etablissements Michelin(+)................ 103,230 6,253
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Credit Agricole S.A.(+)...... 368,654 $ 9,545 France Telecom S.A.+......... 690,390 20,210 Lagardere S.C.A.(+).......... 84,200 6,089 Sanofi-Synthelabo(+)......... 616,127 54,558 Schneider Electric S.A.(+)... 186,300 13,413 Suez S.A.(+)................. 244,630 6,683 Total S.A.(+)................ 191,940 42,596 Vinci S.A.(+)................ 115,640 17,374 ---------- TOTAL FRANCE COMMON STOCK.................. 235,063 ---------- GERMANY - 7.44% GERMANY PREFERRED STOCK - 2.07% Commerzbank AG(+)............ 134,900 2,962 Depfa Bank plc............... 585,737 9,030 Deutsche Telekom+(+)......... 747,000 13,960 Heidelberger Druck+(+)....... 119,900 3,382 Karstadt Quelle AG+(+)....... 570,934 5,511 Schering AG(+)............... 175,800 11,604 ---------- TOTAL GERMANY PREFERRED STOCK.................. 46,449 ---------- GERMANY COMMON STOCK - 5.37% BASF AG+(+).................. 83,920 5,432 Bayer AG(+).................. 157,500 5,168 Celesio AG(+)................ 135,245 10,717 Deutsche Post AG............. 1,168,012 27,348 E.ON AG+(+).................. 269,380 22,706 Merck KGaA(+)................ 44,840 3,433 Muenchener Rueckversicherung- Gesellschaft AG+(+)........ 23,787 2,610 Porsche AG................... 8,068 5,222 Siemens AG................... 193,300 14,170 Volkswagen AG(+)............. 563,960 23,484 ---------- TOTAL GERMANY COMMON STOCK.................. 120,290 ---------- TOTAL GERMANY............ 166,739 ---------- HONG KONG COMMON STOCK - 1.96% Cheung Kong Holdings Limited.................... 761,000 7,198 China Netcom Group........... 3,622,000 4,889 Henderson Land Development Company Limited............ 2,045,000 9,534 Hutchison Whampoa Limited.... 207,000 1,857 PetroChina Company Limited... 20,252,000 12,025 Swire Pacific Limited+....... 995,500 8,365 ---------- TOTAL HONG KONG COMMON STOCK.................. 43,868 ----------
See accompanying notes - -------------------------------------------------------------------------------- 18 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) IRELAND COMMON STOCK - 1.83% Allied Irish Banks plc....... 513,213 $ 10,442 Bank of Ireland.............. 999,300 15,087 CRH plc...................... 616,495 15,342 ---------- TOTAL IRELAND COMMON STOCK.................. 40,871 ---------- ITALY COMMON STOCK - 2.49% Enel S.p.A. ................. 796,460 7,559 Eni S.p.A.(+)................ 864,747 21,718 Finmeccanica S.p.A.(+)....... 7,173,200 6,664 Riunione Adriatica di Sicurta S.p.A.(+).................. 224,303 4,887 Telecom Italia S.p.A.(+)..... 1,448,489 4,913 UniCredito Italiano S.p.A.(+).................. 1,789,100 10,039 ---------- TOTAL ITALY COMMON STOCK.................. 55,780 ---------- JAPAN COMMON STOCK - 15.16% Aiful Corporation............ 48,250 3,590 Aiful Corporation, warrants................... 24,125 1,760 Acom Company Limited......... 145,520 9,334 Alps Electric Company Limited(+)................. 390,700 6,108 Canon, Incorporated.......... 188,300 9,778 DENSO Corporation............ 105,500 2,485 East Japan Railway Company... 1,794 9,324 FANUC Limited................ 143,000 8,417 Fujitsu Limited.............. 1,693,000 9,241 Hitachi Limited+............. 713,000 4,163 Honda Motor Company Limited.................... 245,700 11,729 Hoya Corporation............. 67,800 7,058 Japan Tobacco, Incorporated.. 93 1,195 The Joyo Bank Limited........ 229,000 1,141 Kao Corporation.............. 264,000 6,053 KDDI Corporation+............ 1,682 7,759 Komatsu Limited.............. 581,000 4,086 Konica Corporation........... 1,230,840 11,839 Mabuchi Motor Company Limited.................... 60,700 3,640 Minebea Company Limited...... 1,549,000 6,136 Murata Manufacturing Company Limited.................... 295,800 14,563 NEC Corporation.............. 434,000 2,379 NEC Electronics Corporation.. 78,400 3,516 Nintendo Company Limited..... 53,200 6,024 Nippon Express Company....... 1,504,500 7,271 Nippon Telegraph & Telephone Corporation+............... 1,294 5,376 Nomura Holdings, Incorporated............... 1,141,400 14,306 NTT DoCoMo, Incorporated..... 3,725 5,736
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Promise Company Limited...... 197,050 $ 12,708 ROHM Company Limited......... 6,000 564 Sekisui House Limited........ 548,000 5,761 Seiko Epson Corporation...... 143,200 4,952 Shinsei Bank, Limited........ 984,000 5,324 Shin-Etsu Chemical Company Limited.................... 371,000 13,654 Sompo Japan Insurance, Incorporated............... 628,000 6,060 Sony Corporation(+).......... 343,000 12,417 Sumitomo Chemical Company Limited.................... 1,671,600 8,522 Sumitomo Trust and Banking Company Limited............ 863,000 5,379 Takeda Chemical Industries Limited.................... 448,800 21,799 Takefuji Corporation......... 345,100 21,669 Tokyo Gas Company Limited(+)................. 2,408,000 9,631 Toyoda Gosei Company Limited(+)................. 209,988 3,825 Toyota Motor Corporation..... 350,600 12,705 Yamanouchi Pharmaceutical Company Limited............ 296,100 10,744 ---------- TOTAL JAPAN COMMON STOCK.................. 339,721 ---------- MEXICO COMMON STOCK - 0.17% Telefonos de Mexico, S.A. de C.V., ADR.................. 111,700 3,787 ---------- TOTAL MEXICO COMMON STOCK.................. 3,787 ---------- NETHERLANDS COMMON STOCK - 6.98% ABN AMRO Holding N.V.(+)..... 368,276 9,014 CNH Global N.V. ............. 34,330 617 Fortis Bank N.V.+............ 218,600 6,066 Heineken N.V. ............... 272,415 8,656 IHC Caland N.V.(+)........... 78,300 5,090 ING Groep N.V. .............. 859,014 23,553 Koninklijke (Royal) Philips Electronics N.V. .......... 1,498,568 37,380 Reed Elsevier N.V. .......... 200,230 2,882 Royal Dutch Petroleum Company+................... 512,050 29,864 TPG N.V.+.................... 526,811 14,328 Unilever N.V. ............... 78,447 5,055 Vedior N.V.(+)............... 183,444 2,821 VNU N.V.(+).................. 173,280 4,877 Wolters Kluwer N.V. ......... 351,700 6,262 ---------- TOTAL NETHERLANDS COMMON STOCK.................. 156,465 ----------
See accompanying notes - -------------------------------------------------------------------------------- 19 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) NEW ZEALAND COMMON STOCK - 0.65% Carter Holt Harvey Limited... 2,279,757 $ 3,102 Telecom Corporation of New Zealand Limited............ 2,608,314 11,571 ---------- TOTAL NEW ZEALAND COMMON STOCK.................. 14,673 ---------- NORWAY COMMON STOCK - 1.18% Frontline Limited+........... 5,900 261 Norsk Hydro ASA(+)........... 50,830 4,004 Ship Finance International Limited.................... 2,065 38 Statoil ASA(+)............... 392,200 6,906 Telenor ASA(+)............... 1,828,790 15,275 ---------- TOTAL NORWAY COMMON STOCK.................. 26,484 ---------- PORTUGAL COMMON STOCK - 0.85% Portugal Telecom, SGPS, S.A. ...................... 1,738,233 19,082 ---------- TOTAL PORTUGAL COMMON STOCK.................. 19,082 ---------- SINGAPORE COMMON STOCK - 1.51% Creative Technology Limited.. 659,320 5,692 Development Bank of Singapore Group Holdings Limited..... 1,523,495 13,328 Oversea-Chinese Banking Corporation Limited........ 1,106,650 9,084 United Overseas Bank Limited.................... 659,000 5,768 ---------- TOTAL SINGAPORE COMMON STOCK.................. 33,872 ---------- SOUTH KOREA COMMON STOCK - 0.61% Kookmin Bank, ADR............ 140,510 6,007 Korea Electric Power Corporation................ 86,860 2,523 LG Electronics, Incorporated............... 76,760 5,157 ---------- TOTAL SOUTH KOREA COMMON STOCK.................. 13,687 ---------- SPAIN COMMON STOCK - 3.00% Altadis S.A. ................ 76,432 3,244 Banco Popular Espanol S.A.(+).................... 105,280 6,560 Banco Santander Central Hispano SA................. 619,194 7,230 Enagas S.A. ................. 422,285 6,677 Endesa S.A.+(+).............. 274,000 5,987 Iberdrola S.A.(+)............ 227,197 5,924 Repsol YPF S.A.+(+).......... 284,340 7,227 Telefonica S.A.+(+).......... 1,428,261 24,287 ---------- TOTAL SPAIN COMMON STOCK.................. 67,136 ---------- SWEDEN COMMON STOCK - 2.23% Atlas Copco AB(+)............ 163,810 7,447 Autoliv, Incorporated+(+).... 156,650 6,976
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Electrolux AB(+)............. 256,480 $ 5,184 ForeningsSparbanken AB(+).... 144,600 3,403 Nordea AB+................... 641,720 6,088 Securitas AB(+).............. 397,230 6,380 Stora Enso Oyj, Series A..... 70,802 946 Stora Enso Oyj, Series R(+)....................... 222,142 2,964 TDC A/S+(+).................. 116,000 4,955 Volvo AB(+).................. 140,410 5,696 ---------- TOTAL SWEDEN COMMON STOCK.................. 50,039 ---------- SWITZERLAND COMMON STOCK - 7.19% Adecco SA(+)................. 143,820 6,949 Ciba Specialty Chemicals Holding, Incorporated...... 139,900 8,759 Compagnie Financiere Richemont AG+.............. 191,300 5,699 Credit Suisse Group(+)....... 578,749 24,362 Geberit AG(+)................ 8,512 5,712 Lonza Group AG(+)............ 162,473 9,782 Nestle SA+(+)................ 106,550 27,980 Novartis AG.................. 494,730 24,075 Swiss Reinsurance(+)......... 344,520 22,844 Syngenta AG.................. 71,951 7,443 UBS AG(+).................... 68,050 5,456 Zurich Financial Services AG+........................ 70,800 11,959 ---------- TOTAL SWITZERLAND COMMON STOCK.................. 161,020 ---------- UNITED KINGDOM COMMON STOCK - 25.36% Alliance Unichem plc......... 409,450 6,243 AMVESCAP plc................. 353,530 2,055 Anglo American plc........... 214,690 4,784 Aviva plc.................... 902,640 10,188 BAA plc...................... 950,007 10,525 BAE Systems plc+............. 5,938,540 28,997 Barclays plc................. 1,461,500 15,053 Barratt Development plc...... 568,600 6,470 BHP Billiton plc............. 337,709 4,116 BOC Group.................... 533,162 9,880 BP plc....................... 1,851,020 18,855 Brambles Industries plc...... 700,641 3,909 British American Tobacco Industries plc............. 783,545 14,665 British Sky Broadcasting Group plc.................. 721,280 7,465 BT Group plc+................ 2,520,579 9,632 Cadbury Schweppes plc........ 1,838,870 18,490 Centrica plc................. 2,245,774 9,527 Cobham plc................... 92,280 2,281 Compass Group plc............ 2,900,610 12,977 Diageo plc................... 2,323,450 34,397 GKN plc...................... 1,586,700 6,995
See accompanying notes - -------------------------------------------------------------------------------- 20 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) GlaxoSmithKline plc+......... 1,997,898 $ 50,288 Hanson plc................... 922,955 8,524 HSBC Holdings plc............ 1,178,865 18,844 Imperial Tobacco Group plc... 344,340 9,852 Kesa Electricals plc......... 507,200 2,576 Kingfisher plc............... 2,072,268 9,767 Lloyds TSB Group plc......... 1,835,644 15,764 Marks and Spencer Group plc+....................... 1,358,500 8,769 National Grid Transco plc.... 562,700 5,537 Pearson plc.................. 423,250 5,145 Prudential plc............... 1,036,550 9,348 Reed Elsevier plc+........... 887,360 8,678 Rentokil Initial plc......... 3,589,170 10,770 Reuters Group plc+........... 1,300,658 9,578 Rolls-Royce plc.............. 1,128,050 5,120 Rolls-Royce plc, B shares+... 56,402,500 108 Royal Bank of Scotland Group plc........................ 1,422,328 42,913 J. Sainsbury plc............. 1,311,659 7,082 Shell Transport & Trading Company plc................ 2,743,210 24,567 Shire Pharmaceuticals Group plc........................ 378,040 3,928 Smiths Group plc............. 455,630 7,471
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Standard Chartered plc....... 184,450 $ 3,326 TI Automotive*............... 681,500 -- Unilever plc................. 3,615,347 34,411 Vodafone Group plc........... 8,414,741 21,964 Yell Group plc............... 843,830 6,475 ---------- TOTAL UNITED KINGDOM COMMON STOCK........... 568,309 ---------- TOTAL STOCKS............. 2,113,882 ---------- SHORT TERM INVESTMENTS - 30.49% American Beacon Enhanced Cash Trust (Notes A and B)...... 402,179,722 402,180 American Beacon Money Market Select Fund (Notes A and B)......................... 281,024,237 281,024 ---------- TOTAL SHORT TERM INVESTMENTS............ 683,204 ---------- TOTAL INVESTMENTS - 124.82% (COST $2,461,886).......... 2,797,086 ---------- LIABILITIES, NET OF OTHER ASSETS - (24.82%).......... (556,146) ---------- TOTAL NET ASSETS - 100%...... $2,240,940 ==========
- --------------- (A) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (B) All or a portion of this security is purchased with cash collateral for securities loaned. (+) - All or a portion of the security is on loan at April 30, 2005. See Note 4. + - Non-income producing security. * - Valued at fair value pursuant to procedures approved by the Board of Trustees. See accompanying notes - -------------------------------------------------------------------------------- 21 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- FUTURES CONTRACTS (dollars in thousands)
UNREALIZED NO. OF EXPIRATION MARKET APPRECIATION/ ISSUER CONTRACTS DATE VALUE (DEPRECIATION) - ------ --------- ---------- -------- -------------- France CAC 40 Index........................................ 258 June 2005 $ 12,785 $ (464) Germany DAX Index.......................................... 67 June 2005 9,099 (348) UK FTSE 100 Index.......................................... 373 June 2005 34,166 (1,185) Hang Seng Index............................................ 26 May 2005 2,290 3 Italy MIB 30 Index......................................... 28 June 2005 5,520 (154) Tokyo FE TOPIX Index....................................... 269 June 2005 28,793 (1,388) Spain IBEX 35 Index........................................ 46 May 2005 5,312 (195) Sweden OMX Index........................................... 318 May 2005 3,337 (96) Canada S&PCDA 60 Index..................................... 108 June 2005 8,986 (208) Australia SPI Index........................................ 91 June 2005 7,082 (383) Netherlands 200 AEX Index.................................. 73 May 2005 6,544 (301) -------- ------- $123,914 $(4,719) ======== =======
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (dollars in thousands)
SETTLEMENT MARKET UNREALIZED CONTRACTS TO DELIVER DATE VALUE GAIN/(LOSS) - -------------------- ---------- ------- ----------- 4,096 Australian Dollar................................. 6/17/2005 $ 3,187 $ (49) 5,343 Canadian Dollar................................... 6/17/2005 4,249 158 11,826 Euro Currency.................................... 6/17/2005 15,239 51 1,343,167 Japanese Yen.................................. 6/17/2005 12,865 (321) 7,667 Pound Sterling.................................... 6/17/2005 14,588 (254) 10,877 Swedish Krona.................................... 6/17/2005 1,525 13 4,659 Swiss Franc....................................... 6/17/2005 3,911 (20) ------- ----- TOTAL CONTRACTS TO DELIVER (RECEIVABLE AMOUNT $55,142)........................... $55,564 $(422) ======= =====
SETTLEMENT MARKET UNREALIZED CONTRACTS TO RECEIVE DATE VALUE GAIN/(LOSS) - -------------------- ---------- -------- ----------- 11,320 Australian Dollar............................... 6/17/2005 $ 8,809 $ (42) 13,869 Canadian Dollar................................. 6/17/2005 11,030 (461) 36,557 Euro Currency................................... 6/17/2005 47,108 (1,856) 3,762,860 Japanese Yen................................. 6/17/2005 36,041 (34) 22,831 Pound Sterling.................................. 6/17/2005 43,440 (57) 28,500 Swedish Krona................................... 6/17/2005 3,997 (203) 14,255 Swiss Franc..................................... 6/17/2005 11,965 (385) -------- ------- TOTAL CONTRACTS TO RECEIVE (PAYABLE AMOUNT $165,428)............................ $162,390 $(3,038) ======== =======
See accompanying notes - -------------------------------------------------------------------------------- 22 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO INDUSTRY DIVERSIFICATION April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PERCENT OF NET ASSETS ---------- Consumer Discretionary...................................... 12.52% Consumer Staples............................................ 8.39% Energy...................................................... 7.67% Financials.................................................. 23.22% Health Care................................................. 8.81% Industrials................................................. 11.33% Information Technology...................................... 4.22% Materials................................................... 6.40% Short-Term Investments...................................... 30.49% Telecommunications Services................................. 8.08% Utilities................................................... 3.69% Liabilities, Net of Other Assets............................ -24.82% ------- 100.00% =======
See accompanying notes - -------------------------------------------------------------------------------- 23 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES April 30, 2005 (unaudited) (in thousands) - -------------------------------------------------------------------------------- ASSETS: Investments in unaffiliated securities, at value(A C)... $2,113,882 Investments in affiliated securities, at value(B)....... 683,204 Cash denominated in foreign currency (cost $19,049)..... 19,051 Deposit with broker for futures contracts............... 5,627 Dividends and interest receivable....................... 9,572 Reclaims receivable..................................... 278 Receivable for investments sold......................... 6,767 Receivable for variation margin on open futures contracts.............................................. 105 ---------- TOTAL ASSETS........................................ 2,838,486 ---------- LIABILITIES: Payable for investments purchased....................... 5,834 Payable upon return of securities loaned................ 585,721 Management and investment advisory fees payable (Note 2)..................................................... 1,988 Unrealized depreciation on foreign currency contracts... 3,460 Other liabilities....................................... 543 ---------- TOTAL LIABILITIES................................... 597,546 ---------- NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $2,240,940 ========== - --------------- (A) Cost of unaffiliated securities......................... $1,778,682 (B) Cost of affiliated securities........................... $ 683,204 (C) Market value of securities on loan...................... $ 557,192
STATEMENT OF OPERATIONS Six months ended April 30, 2005 (unaudited) (in thousands) - -------------------------------------------------------------------------------- INVESTMENT INCOME: Interest income......................................... $ 122 Dividend income from unaffiliated securities (net of foreign taxes of $4,786)............................... 27,815 Dividend income from affiliated securities.............. 1,654 Income derived from commission recapture (Note 5)....... 217 Income derived from securities lending, net (Note 4).... 669 -------- TOTAL INVESTMENT INCOME............................. 30,477 -------- EXPENSES: Management and investment advisory fees (Note 2)........ 3,739 Custodian fees.......................................... 599 Professional fees....................................... 61 Other expenses.......................................... 38 -------- TOTAL EXPENSES...................................... 4,437 -------- NET INVESTMENT INCOME....................................... 26,040 -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on: Investments........................................... 57,537 Foreign currency transactions......................... 43,256 Futures contracts..................................... 15,287 Change in net unrealized appreciation or depreciation of: Investments........................................... 31,328 Foreign currency contracts and translations........... (20,519) Futures contracts..................................... (4,531) Net increase from payments by affiliates................ 383 -------- NET GAIN ON INVESTMENTS............................. 122,741 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $148,781 ========
See accompanying notes - -------------------------------------------------------------------------------- 24 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO STATEMENT OF CHANGES IN NET ASSETS (IN THOUSANDS) - --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED APRIL 30, OCTOBER 31, 2005 2004 ----------- ----------- (UNAUDITED) INCREASE IN NET ASSETS: OPERATIONS: Net investment income................................... $ 26,040 $ 31,238 Net realized gain (loss) on investments, futures contracts and foreign currency transactions............ 116,080 117,757 Net increase from payments by affiliates................ 383 -- Change in net unrealized appreciation or depreciation of investments, futures contracts and foreign currency translations........................................... 6,278 162,138 ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.......................................... 148,781 311,133 ---------- ---------- TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions........................................... 452,252 676,161 Withdrawals............................................. (243,094) (387,228) ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS..... 209,158 288,933 ---------- ---------- NET INCREASE IN NET ASSETS.................................. 357,939 600,066 ---------- ---------- NET ASSETS: Beginning of period..................................... 1,883,001 1,282,935 ---------- ---------- END OF PERIOD........................................... $2,240,940 $1,883,001 ========== ========== - --------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS: - ---------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ----------------------------------------- 2005 2004 2003 2002 2001 2000 ----------- ------ ------ ------- ----- ----- (UNAUDITED) TOTAL RETURN........................................... 8.07%(A) 22.85% 31.97% (10.25%) N/A N/A RATIOS TO AVERAGE NET ASSETS: Expenses........................................... 0.41% 0.46% 0.49% 0.47% 0.49% 0.44% Net investment income.............................. 2.42% 1.99% 2.26% 1.86% 1.82% 1.93% PORTFOLIO TURNOVER RATE................................ 18%(A) 36% 44% 43% 36% 45%
- --------------- (A) Not annualized. See accompanying notes - -------------------------------------------------------------------------------- 25 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American Beacon Master Trust (the "Trust"), formerly known as AMR Investment Services Trust, is registered under the Investment Company Act of 1940, as amended, as a no-load, open-end management investment company that was organized as a trust under the laws of the Commonwealth of Massachusetts pursuant to a Declaration of Trust dated as of November 1, 2004. Prior to November 1, 2004, the Trust was organized as a trust under the laws of the State of New York. The American Beacon Master Trust International Equity Portfolio (the "Portfolio") is one of the portfolios of the Trust. The Portfolio commenced active operations on November 1, 1995. The Declaration of Trust permits the Board of Trustees (the "Board") to issue beneficial interests in the Portfolio. American Beacon Advisors, Inc. (the "Manager"), formerly known as AMR Investment Services, Inc., is a wholly-owned subsidiary of AMR Corporation, the parent company of American Airlines, Inc. ("American"), and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services. The following is a summary of the significant accounting policies followed by the Portfolio. 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 a 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 above valuation procedures are inappropriate or are deemed not to reflect fair value are valued at fair value, as determined in good faith and pursuant to procedures approved by the Board. 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 Portfolio, 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. - -------------------------------------------------------------------------------- 26 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Security Transactions and Investment Income Security transactions are recorded on the trade date of the security purchase or sale. The Portfolio may purchase securities with delivery or payment to occur at a later date. At the time the Portfolio enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The value of the security may vary with market fluctuations. Dividend income is recorded on the ex-dividend date except certain dividends from foreign securities which are recorded as soon as the information is available to the Portfolio. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification. There is uncertainty regarding the collectibility of tax reclaims by the Portfolio due to its partnership status for federal income tax purposes. As such, the Portfolio did not accrue tax reclaims totaling $1,003,094 during the period. Upon determination of the Portfolio's entitlement to benefits under foreign tax treaties, if any, tax reclaim income will be accrued. 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. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and is reported with all other foreign currency gains and losses in the Portfolio's Statement of Operations. Forward Foreign Currency Contracts The Portfolio may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of portfolio securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. The Portfolio bears the market risk that arises from changes in foreign exchange rates, and accordingly, the unrealized gain (loss) on these contracts is reflected in the accompanying financial statements. The Portfolio also bears the credit risk if the counterparty fails to perform under the contract. Futures Contracts The Portfolio may enter into financial futures contracts which are contracts to buy a standard quantity of securities at a specified price on a future date. The Portfolio may purchase or sell futures contracts and options on futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock market. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations. - -------------------------------------------------------------------------------- 27 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Upon entering into a futures contract, the Portfolio is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents 5% of the face value of the futures contract. The initial margin amount is reflected as Deposit with broker for futures contracts on the Statement of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded. Federal Income and Excise Taxes The Portfolio will be treated as a partnership for federal income tax purposes. As such, each investor will be taxed on its share of the Portfolio's ordinary income and capital gains. It is intended that the Portfolio's assets will be managed in such a way that an investor in the Portfolio will be able to satisfy the requirements of subchapter M of the Internal Revenue Code. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated. Other Under the Trust's organizational documents, its officers and directors are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust's maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement. 2. TRANSACTIONS WITH AFFILIATES Management Agreement The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all administrative, investment advisory, portfolio management and securities lending services. Investment assets of the Portfolio are managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Portfolio an annualized fee equal to ..10% of the average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Portfolio. Management fees paid during the period were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY FEE RATE FEE ADVISORS MANAGER - ---------- ---------- --------------- ----------- ..25%-.60% $3,739 $2,660 $1,079
- -------------------------------------------------------------------------------- 28 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- As compensation for services provided by the Manager in connection with securities lending activities, the Portfolio pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 25% of the net monthly interest income (the gross interest income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers when a borrower posts collateral other than cash, a fee up to 25% of such loan fees. During the six months ended April 30, 2005, the Portfolio paid securities lending fees of $149,000 to the Manager. Investment in Affiliated Funds The Portfolio is permitted, pursuant to an exemptive order by the Securities and Exchange Commission ("SEC") and approved procedures by the Board, to invest up to 25% of its total assets in the American Beacon Money Market Select Fund (the "Select Fund"), an affiliated fund. The Portfolio and the Select Fund have the same investment advisor and therefore, are considered to be affiliated. Cash collateral received by the Portfolio in connection with securities lending may be invested in the Select Fund and the American Beacon Enhanced Cash Trust (collectively, the "Affiliated Funds"). The Manager serves as Trustee and investment advisor to the Affiliated Funds and receives an annualized fee equal to 0.10% of the average daily net assets of the Affiliated Funds. During the period, the Manager earned fees from the Affiliated Funds totaling $71,225 on the Portfolio's direct investment in the Affiliated Funds, and $218,265 from securities lending collateral invested in the Affiliated Funds. During the period, the Fund had purchases of $649,620,000 and sales of $682,868,000, for an ending balance of $97,483,000, excluding balances held in the securities lending collateral account. Interfund Lending Program Pursuant to an exemptive order by the SEC, the Portfolio, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Portfolio to borrow from, or lend money to, other participating series managed by the Manager. At April 30, 2005, the Portfolio had not utilized the credit facility. Other Certain officers or Trustees of the Trust are also current or former officers or employees of the Manager or American. The Trust makes no direct payments to its officers. Mr. Feld and the non-interested Trustees (other than Mr. O'Sullivan) and their spouses are provided free unlimited air transportation on American. Retired Trustees and their spouses are provided free air transportation on American, up to a maximum annual value of $40,000. The Trust compensates each Trustee with payments in an amount equal to the Trustee's income tax on the value of this free airline travel. Mr. O'Sullivan, as a retiree of American, already receives flight benefits. Mr. O'Sullivan receives an annual retainer of $40,000 plus $1,250 for each Board meeting attended. During the period ended April 30, 2005, a subadvisor voluntarily reimbursed the Portfolio for the loss associated with a rights offering that expired totaling $383,000. The shares that would have been acquired through a full exercise of the rights were subsequently purchased on the open markets. The subadvisor reimbursed the Portfolio for the appreciation of the shares over the exercise - -------------------------------------------------------------------------------- 29 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- price, transaction costs and foreign exchange costs incurred in making this purchase in the open market. This reimbursement is reflected in the gain/loss section of the Statement of Operations. 3. INVESTMENT TRANSACTIONS The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, (in thousands), for the six months ended April 30, 2005 were $646,378 and $364,771, respectively. 4. SECURITIES LENDING The Portfolio may lend its 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 102% (for loans of US securities) or 105% (for non-US securities) of the market value of the loaned securities at the inception of each loan. 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. Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Portfolio and the Agent and is recorded as income for the Portfolio. To the extent that a loan is secured by non-cash collateral, brokers pay the Portfolio negotiated lenders' fees, which are divided between the Portfolio and the Agent and are recorded as securities lending income for the Portfolio. The Portfolio also continues to receive income on the securities loaned, and any gain or loss in the market prices of securities loaned that may occur during the term of the loan. 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. At April 30, 2005, securities with a market value of approximately $557,192,000 were loaned by the Portfolio. Cash collateral held by the custodian for the Portfolio in an investment in the Affiliated Funds totaled $585,721,000. 5. COMMISSION RECAPTURE The Portfolio has established brokerage commission recapture arrangements with certain brokers or dealers. If a Portfolio investment advisor chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Portfolio. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Portfolio. - -------------------------------------------------------------------------------- 30 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND (Unaudited) - -------------------------------------------------------------------------------- Renewal of Management Agreement and Investment Advisory Agreements At their February 23, 2005 meeting, the Trustees considered the renewal of the existing Management Agreement between the Manager and the Fund and each Investment Advisory Agreement between the Fund and the sub-advisors. As part of the renewal process, legal counsel to the Trusts and the independent Trustees sent information request letters to the Manager and each sub-advisor seeking certain relevant information. The responses by the Manager and sub-advisors were provided to the Trustees for their review prior to their meeting, and the Trustees were provided with the opportunity to request any additional materials. The Trustees considered, among other materials, responses by the Manager and the sub-advisors to inquiries requesting: - a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Fund, or any other area, including how these changes might affect the Fund; - a copy of the firm's most recent audited or unaudited financial statements as well as Parts I and II of its Form ADV; - a summary of any material past, pending or anticipated litigation or regulatory proceedings involving the firm or its personnel, including the results of any recent regulatory examination or independent audit; - a comparison of the performance of that portion of Fund assets managed by each firm with performance of other similar accounts managed by the firm, including a discussion of relative performance versus a peer group average and any remedial measures if the firm's performance was materially below that of the peer group; - a cost/profitability analysis of the firm and any actual or anticipated economies of scale in relation to the services it provides to the Fund, if available; - an analysis of compensation, including a comparison with fees charged to other clients for which similar services are provided, any proposed changes to the fee schedule and the effect of any fee waivers; - an evaluation of any other benefits to the firm or Fund as a result of their relationship, if any; - a description of the scope of portfolio management services provided to the Fund, including whether such services differ from the services provided to other clients, including other registered investment companies; - a description of the personnel who are assigned primary responsibility for managing the Fund, including any changes during the past year; - a description of the basis upon which portfolio managers are compensated, including any "incentive" arrangements; - -------------------------------------------------------------------------------- 31 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED (Unaudited) - -------------------------------------------------------------------------------- - a discussion regarding the firm's participation in "soft dollar" arrangements, if any, or other brokerage allocation policies with respect to Fund transactions, including the firm's methodology for obtaining the most favorable execution and the use of any affiliated broker-dealers; - a description of any actual or potential conflicts of interest anticipated in managing Fund assets; - a discussion of the firm's compliance program with regard to federal, state, corporate and Fund requirements; - information regarding the firm's code of ethics, insider trading policy and disaster recovery plan, including a description of any material changes thereto; - a description of the firm's affiliation with any broker-dealer; - a discussion of any anticipated change in the firm's controlling persons; and - verification of the firm's insurance coverage with regards to the services provided to the Fund. In addition to the foregoing, the Manager provided the following information specific to the renewal of the Management Agreement: - a table comparing the performance of the Fund to appropriate indices, including comments on the relative performance of each sub-advisor and the Fund versus comparable indices; - a discussion of any underperformance by a sub-advisor relative to its peer group and whether (and if so, why) such sub-advisor should have its contract renewed; - a table detailing the Manager's profitability with respect to the Fund; - an analysis of any material complaints received from Fund shareholders; - a discussion of the Manager's compliance program; - a description of the Manager's securities lending practices and the fees received from such practices; - a description of the portfolio turnover rate and average execution costs for the Fund and each sub-advisor to the Fund; - a discussion of whether the Manager receives, with respect to trade execution for the Fund, other special compensation, including any payment for order flow; - a description of how expenses that are not readily identifiable to the Fund are allocated; and - any ideas for the future growth and efficient operation of the Fund. The Trustees were also provided with an analysis provided by Lipper, Inc., which compared: (i) investment performance of the Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses versus comparable mutual funds, and (iii) the Fund's investment advisory fees versus comparable mutual funds. Legal counsel provided the Trustees with a memorandum detailing their responsibilities pertaining to the renewal of the Management and Investment Advisory Agreements. This memoran- - -------------------------------------------------------------------------------- 32 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED (Unaudited) - -------------------------------------------------------------------------------- dum explained the regulatory requirements surrounding the Trustees' process for evaluating investment advisors and the terms of the contracts. Considerations and Conclusions with Respect to the Fund In determining whether to approve the continuance of the Management Agreement and each Investment Advisory Agreement, the Trustees considered the best interests of the Fund separately from other series of the Trust. In each instance, the Trustees considered, among other things, the following factors: (1) the nature and quality of the services provided; (2) the investment performance of the Fund and the investment advisor; (3) the Manager's or sub-advisor's cost for providing the services and the profitability of the advisory business to the Manager or sub-advisor; (4) the extent to which economies of scale have been taken into account in setting the fee schedule; and (5) whether fee levels reflect these economies of scale for the benefit of Fund investors. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the material submitted in support of the renewal. With respect to the renewal of the Management Agreement, the Trustees considered: the Manager's ability to retain key investment personnel and to provide consistent performance and an active client service program; the Manager's goal to continue to provide consistent above average long-term performance at low cost; the continuing efforts by the Manager to add new series so as to enhance the Trusts' product line; the Manager's record in building improved compliance, control and credit functions that reduce risks to the Trusts; the addition of personnel to manage the Trusts' series, promote sales and improve services; and the active role played by the Manager in monitoring and, as appropriate, recommending replacements for the investment sub-advisors and master portfolios. With respect to the renewal of the Investment Advisory Agreements, the Trustees noted that, in many cases, the Manager has negotiated the lowest sub-advisory fee a sub-advisor charges for any comparable client accounts. Where applicable, for purposes of determining the fee charged to the Fund, the fee schedule to each Investment Advisory Agreement specifies that all other assets managed by a sub-advisor on behalf of AMR Corporation and its pension plans shall be considered. Thus, the Fund is able to receive the lowest possible fee due to economies of scale resulting from the sub-advisor's management of a larger pool of assets. In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Fund outperformed its benchmark indices for the one-, five and ten-year periods ended December 31, 2004; (2) the expense ratio of the Institutional Class of Fund shares was lower than the industry average; and (3) the Trustees deemed the profit made by the Manager on the services it provided to the Fund to be reasonable in light of the fact that the Manager provides high-quality services at a low cost to investors, allocates the Fund's assets among sub-advisors, monitors and evaluates the performance of the Fund's three sub-advisors, and provides a comprehensive compliance program for the Fund. In considering the renewal of the Investment Advisory Agreements with Causeway Capital Management LLC ("Causeway"), Lazard Asset Management LLC ("Lazard"), Templeton Investment Counsel, LLC ("Templeton"), and The Boston Company Asset Management, LLC ("TBCAM"), the Trustees considered the following additional factors: (1) Causeway and Templeton each out- - -------------------------------------------------------------------------------- 33 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED (Unaudited) - -------------------------------------------------------------------------------- performed their benchmark indices on a short-term and long-term basis with respect to their allocated portion of the Fund's assets; (2) Lazard outperformed its benchmark index on a long-term basis, although it underperformed its benchmark index on a short-term basis with respect to its allocated portion of the Fund's assets because it has emphasized larger capitalization, higher return on equity securities, which have not performed as well recently as smaller capitalization, lower return on equity companies; (3) as of December 31, 2004, TBCAM had managed a portion of the Fund for three months, over which period it slightly underperformed its benchmark index, but the Trustees considered the performance record too short to be meaningful; (4) each sub-advisor represented that they did not charge a lower fee rate for any comparable client accounts; (5) for purposes of calculating the fee rates chargeable to the Fund, each sub-advisor agreed to take into account all other assets of AMR Corporation and its subsidiaries and affiliated entities under management by the sub-advisor; and (6) the Manager's recommendation to continue to retain each sub-advisor. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and the sub-advisors under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Fund and its shareholders would benefit from the Manager's and sub-advisors' continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Fund. - -------------------------------------------------------------------------------- 34 (This page intentionally left blank) (This page intentionally left blank) (AMERICAN BEACON FUNDS LOGO) - -------------------------------------------------------------------------------- DELIVERY OF DOCUMENTS To reduce expenses, your financial institution may mail only one copy of the Prospectus, Annual Report and Semi-Annual Report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please contact your financial institution. Delivery of individual copies will commence thirty days after receiving your request. If you invest in the Fund through a financial institution, you may be able to receive the Fund's regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution's name or contact your financial institution directly. TO OBTAIN MORE INFORMATION ABOUT THE FUND: (KEYBOARD GRAPHIC) (MOUSE GRAPHIC) BY E-MAIL: ON THE INTERNET: American-Beacon.Funds@ambeacon.com Visit our website at www.americanbeaconfunds.com
- -------------------------------------------------------------------------------- (TELEPHONE GRAPHIC) (MAILBOX GRAPHIC) BY TELEPHONE: BY MAIL: Institutional Class American Beacon Funds Call (800) 658-5811 4151 Amon Carter Blvd., MD 2450 AMR Class(SM) Fort Worth, TX 76155 Call (800) 345-2345 PlanAhead Class(R) and Service Class Call (800) 388-3344
- -------------------------------------------------------------------------------- AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES AVAILABILITY OF PROXY VOTING POLICY AND RECORDS In addition to the Schedule of Investments provided in each A description of the policies and procedures that the Funds semi-annual and annual report, each Fund files a complete use to determine how to vote proxies relating to portfolio schedule of its portfolio holdings with the Securities and securities is available in each Fund's Statement of Exchange Commission ("SEC") on Form N-Q as of the first and Additional Information, which may be obtained free of charge third fiscal quarters. The Funds' Forms N-Q are available on by calling 1-800-967-9009 or by accessing the SEC's website the SEC's website at www.sec.gov. The Forms N-Q may also be at www.sec.gov. Each Fund's proxy voting record for the most reviewed and copied at the SEC's Public Reference Room, 450 recent year ended June 30 is filed annually with the SEC on Fifth Street, NW, Washington, DC 20549. Information Form N-PX. The Funds' Forms N-PX are available on the SEC's regarding the operation of the SEC's Public Reference Room website at www.sec.gov. Each Fund's proxy voting record may may be obtained by calling 1-800-SEC-0330. A complete also be obtained by calling 1-800-967-9009. schedule of each Fund's portfolio holdings is also available on the Funds' website (www.americanbeaconfunds.com) approximately thirty days after the end of each fiscal quarter.
FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT DISTRIBUTOR STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES REGISTERED PUBLIC FORESIDE FUND SERVICES Boston, Massachusetts Kansas City, Missouri ACCOUNTING FIRM Portland, Maine ERNST & YOUNG LLP Chicago, Illinois
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current prospectus. - -------------------------------------------------------------------------------- American Airlines, Inc. is not responsible for investments made in the American Beacon Funds. American Beacon Funds is a service mark of AMR Corporation. American Beacon International Equity Fund is a service mark of American Beacon Advisors, Inc. [AMERICAN BEACON FUNDS LOGO] 4151 Amon Carter Blvd. MD 2450 Fort Worth, TX 76155 1.800.967.9009 817.931.4331 fax www.americanbeaconfunds.com SAR 04/05 534228 G U I D A N C E | V I S I O N | E X P E R I E N C E [AMERICAN BEACON FUNDS LOGO] SEMI-ANNUAL REPORT [PHOTO] APRIL 30, 2005 SMALL CAP VALUE FUND Formerly known as the American AAdvantage Funds About American Beacon - -------------------------------- Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management. Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
Contents ----------------------------------------------- President's Message........... 1 Market and Performance Overview................... 2 Schedule of Investments....... 6
Additional Information.........Inside Back Cover
Any opinions herein, including forecasts, reflect our judgement as of the end of the reporting period and are subject to change. Each advisor's strategies and the Fund's portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein. American Beacon Funds April 30, 2005 (BILL QUINN PICTURE) FELLOW SHAREHOLDERS, Iam pleased to present you with the Semi-Annual Report for the American Beacon Small Cap Value Fund (formerly known as the American AAdvantage Small Cap Value Fund) for the six months ended April 30, 2005. During this time, the Dow Jones Industrial Average posted gains of 2.78%, the S&P 500 Index increased by 3.28%, while the Russell 2000 Index decreased by 0.15%. The Small Cap Value Fund's robust performance for the Institutional Class surpassed the Lipper Small Cap Value Funds Index for the one-year, three-year and five-year time periods as of April 30, 2005. The Fund produced returns of 3.56% during the six months and 9.98%, 12.06%, 20.30% for the one-year, three-year, and five-year time periods, respectively. As the six-month period drew to a close, the Fund experienced significant inflows growing to $2.3 billion as of April 30, 2005. During the period, the Fund closed to new investors in an effort to protect the interests of existing shareholders. Our greatest priority is to deliver superior investment results to shareholders; we believe that closing the Fund to new investors allows us to preserve the integrity of our successful investment philosophy. Please note that we plan to introduce a second small cap fund for new investors later this year. Please review the enclosed market overviews, portfolio listings and detailed financial data. As always, we welcome the opportunity to serve your financial needs. To obtain further details about the American Beacon Funds family or access your account information, please visit our web site at www.americanbeaconfunds.com. Thank you for your continued confidence in the American Beacon Small Cap Value Fund. Sincerely, /s/ WILLIAM F. QUINN William F. Quinn President, American Beacon Funds Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. 1 DOMESTIC EQUITY MARKET OVERVIEW - -------------------------------------------------------------------------------- The U.S. equity markets surged in late 2004, essentially driving all of the gains experienced by the major indices for the full year. A heavy influence on this strong swing was the fall of oil prices from record $56 levels in late October. The decline in oil prices eased concerns about consumer spending slowing and the potentially dampening impact on consumer and business confidence. Equity markets were boosted by evidence that the U.S. economy was reaccelerating after relatively weak data in the third quarter. Investors were enthusiastic about better employment news, as it was reported that 337,000 jobs were added to payrolls in October (and an additional 113,000 jobs were added to figures from previous months), far greater than the expectation of 175,000 jobs. In addition, retail sales growth was stronger-than-expected in November, which helped to alleviate concerns about anecdotes of soft holiday sales. Regional manufacturing surveys also picked up in December, signaling that production was accelerating. Lastly, investors were encouraged by a smooth presidential election. A swift outcome in the election helped to eradicate fears of a long, contentious process. The establishment of Republican Party dominance reassured investors that taxes on capital gains and dividends would not be raised. Unfortunately, that end-of-year momentum quickly diminished during the first four months of 2005. Equities fell on concerns about higher interest rates all along the yield curve. The market became anxious about higher short-term rates during the first week of the year, when the Federal Open Market Committee (FOMC) released the minutes from its December 2004 meeting stating that, "Some participants believed that the prolonged period of policy accommodation had generated a significant degree of liquidity that might be contributing to signs of potentially excessive risk-taking in financial markets." As a result, investors became concerned that the Federal Reserve Bank (the "Fed") was willing to raise short-term interest rates aggressively not only to keep inflation under control, but also to discourage speculative risk-taking in asset markets. In February, Fed Chairman Greenspan tried to boost long-term rates by saying that a recent fall in 10-year Treasury yields (which had been supporting equity valuations) remained "a conundrum." Yields on 10-year bonds subsequently moved higher, and risk assets suffered more. Long bond yields were also driven upward by higher-than-expected consumer (CPI) and producer (PPI) inflation, as well as high energy prices. Headline CPI and PPI each rose 0.4% higher than expected in February, while WTI crude oil surged to nearly $57 per barrel near the end of March. Concerns that the Federal Reserve's tightening cycle would cause a slowdown in economic growth became fully apparent in April. Investors became worried about a drop-off in U.S. consumer spending after it was reported that core (non-auto) retail sales grew only 0.1% in the most recent month, far lower than the 0.5% gain expected. There was also apprehension about a slowdown in the manufacturing sector, as the Empire State manufacturing survey fell from a reading of 20.2 in March to only 3.1 in April (much lower than the expected value of 18.0). These fears were exacerbated by the far weaker-than-expected durable goods report. Ultimately, the term "stagflation" reared its ugly head as investors worried that inflation would continue to accelerate, even if economic growth slowed materially. Much of the recent pickup in inflation was attributable to gains in energy prices, as the four-week average of the price of consumer gasoline nationwide rose another 8% during April, to finish at $2.29 per gallon. Favorable news from Corporate America has helped the markets so far this year. Consensus estimates of profit growth for the fourth quarter of 2004 rose to 20.4% from 15.2% during January and February. Moreover, the consensus estimate of the first quarter 2005 profit growth rose to 13.6% from 8.2% during the month of April, with over 75% of S&P 500 companies reporting. There were also indications that corporations were supported by large and growing cash reserves on balance sheets, which would better enable them to weather potentially rocky times ahead. However, company "guidance" about earnings expectations for the balance of the year was not quite as encouraging. The consensus expectation for the second quarter growth fell to 7.2% from 8.8% in April. In specific markets terms, during the six-month period ending April 2005, the S&P 500 rose 3.3% overall, driven entirely by the gains in late 2004. Value continued its prolonged outperformance relative to growth as the pace of the economic recovery became a concern, with the Russell 1000 Value returning 6.7% and the Russell 1000 Growth rising a modest 1.1%. Small cap's reign in recent years faltered as the Russell 2000 Index fell 0.2%. Within the Russell 1000 Growth Index, more defensive sectors like utilities, energy and REITs were the best performers, while more cyclically sensitive areas such as finance and autos & transportation lagged. Retail underperformed as a whole and was dragged down by lower-end retailers feeling the brunt of higher gas prices on their customers. The insurance sector also declined as a whole as some of the industry's most prominent names were involved in scandal. 2 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the Small Cap Value Fund returned 3.56% for the six months ended April 30, 2005, outperforming the Russell 2000 Value Index ("Index") return of 1.52% and nearly matching the Lipper Small-Cap Value Funds Index return of 3.58% for the same period.
ANNUALIZED TOTAL RETURNS ------------------------------------ PERIODS ENDED 4/30/05 ------------------------------------ SINCE 6 MONTHS 1 YEAR 5 YEARS INCEP. -------- ------ ------- ------ Institutional Class(1)....... 3.56% 9.98% 20.30% 14.40% PlanAhead Class(1,2)......... 3.46% 9.74% 19.97% 14.11% Service Class(1,3)........... 3.31% 9.47% 19.83% 14.01% AMR Class(1,2)............... 3.73% 10.31% 20.64% 14.71% Lipper Small-Cap Value Funds Index....................... 3.58% 9.83% 14.19% 11.79% Russell 2000 Value Index..... 1.52% 9.80% 14.07% 11.45%
Russell 2000 (R) Value Index is a service mark of the Frank Russell Company. The Russell 2000 Value Index is an unmanaged index of those stocks in the Russell 2000 Index with below-average price-to-book ratios and below-average forecasted growth values. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. Fund performance for the since inception period represents the total returns achieved by the Institutional Class from 12/31/98 up to 3/1/99, the inception date of the PlanAhead and AMR Classes, and the returns of the PlanAhead and AMR Classes since inception of these Classes. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 12/31/98. Expenses of the AMR Class are lower than those of the Institutional Class. As a result, total returns shown may be lower than they would have been had the AMR Class been in existence since 12/31/98. 3. Fund performance for the five-year and since inception periods represents the total returns achieved by the Institutional Class from 12/31/98 up to 3/1/99, the returns of the PlanAhead Class from 3/1/99 up to 5/1/03 (the inception date of the Service Class), and the returns of the Service Class since its inception. Expenses of the Service Class are higher than those of the Institutional and PlanAhead Classes. As a result, total returns shown may be higher than they would have been had the Service Class been in existence since 12/31/98. The Fund generated positive returns in every sector except Financials and Telecommunication Services and outperformed the Index in seven out of ten sectors during the period. Most of the Fund's excess return is attributable to stock selection, although sector allocation also added to the Fund's relative performance. Stock selection in the Health Care and Information Technology sectors had the greatest impact. Positions in Triad Hospitals, Inc. (up 55.2%), Sola International, Inc. (up 45.9%), Health Net, Inc. (up 40.3%) and Universal Health Services, Inc. (up 37.0%) were the major contributors to the Health Care sector's positive impact on the Fund's performance. Holdings such as Western Digital Corp. (up 52.3%) and MEMC Electronic Materials, Inc. (up 24.8%) in the Information Technology sector contributed significantly. The Industrials sector detracted from performance, mostly due to a large position in Insituform Technologies, Inc. (down 24.8%). The Fund's large underweighting in the Financials sector, which was the second worst performing sector of the Index, also contributed to the Fund's excess performance relative to the Index. The sub-advisors continue to focus on stock selection, to uncover investment opportunities that should benefit the Fund's performance over the longer-term. Investing in the securities of small capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. 3 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- TOP TEN HOLDINGS
% OF NET ASSETS ---------- Del Monte Foods Company 0.9% The Men's Wearhouse, Incorporated 0.9% Valassis Communications, Incorporated 0.8% American Financial Group, Incorporated 0.8% Arrow Electronics, Incorporated 0.8% Advance Auto Parts, Incorporated 0.7% Encore Acquisition Company 0.7% NSTAR 0.7% Allmerica Financial Corporation 0.7% Protective Life Corporation 0.7%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials 22.4% Consumer Discretionary 21.8% Industrials 16.4% Utilities 9.8% Information Technology 9.4% Materials 6.6% Health Care 5.4% Consumer Staples 4.4% Energy 3.8%
FUND EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, distribution (12b-1) fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the 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 invested at the beginning of the period in each Class and held for the entire period from November 1, 2004 through April 30, 2005. ACTUAL EXPENSES The "Actual" lines of the table provide information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your 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 line under the heading "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. Shareholders of the PlanAhead and Institutional Classes that invest in the Fund through an IRA may be subject to a custodial IRA fee of $12 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $12 higher. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The "Hypothetical" lines of the table provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund's actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the PlanAhead and Institutional Classes that invest in the Fund through an IRA may be subject to a custodial IRA fee of $12 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $12 higher. You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the "Hypothetical" lines of the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher. 4 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
BEGINNING ENDING ACCOUNT ACCOUNT EXPENSES PAID VALUE VALUE DURING PERIOD* 11/1/04 4/30/05 11/1/04-4/30/05 --------- --------- --------------- INSTITUTIONAL CLASS Actual $1,000.00 $1,035.64 $4.24 Hypothetical $1,000.00 $1,020.63 $4.24 (5% return before expenses) PLANAHEAD CLASS Actual $1,000.00 $1,034.65 $5.48 Hypothetical $1,000.00 $1,019.41 $5.43 (5% return before expenses) SERVICE CLASS Actual $1,000.00 $1,033.10 $6.77 Hypothetical $1,000.00 $1,018.14 $6.72 (5% return before expenses) AMR CLASS Actual $1,000.00 $1,037.28 $2.90 Hypothetical $1,000.00 $1,021.95 $2.87 (5% return before expenses)
* Expenses are equal to the Fund's annualized expense ratios for the six-month period of 0.84%, 1.09%, 1.34%, 0.57%, for the Institutional, PlanAhead, Service, and AMR Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. 5 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) COMMON STOCK - 91.74% CONSUMER DISCRETIONARY - 19.97% AUTO COMPONENTS - 2.61% American Axle & Manufacturing Holdings, Incorporated(+)... 290,500 $ 5,799 Arvinmeritor, Incorporated.... 420,300 4,993 Bandag, Incorporated(+)....... 59,300 2,576 Bandag, Incorporated, A Shares...................... 3,600 139 Borg-Warner Automotive, Incorporated................ 186,100 8,509 Cooper Tire & Rubber Company(+).................. 338,900 5,914 Dana Corporation(+)........... 728,800 8,323 Group 1 Automotive, Incorporated+(+)............ 279,300 7,024 Hayes Lemmerz International, Incorporated+(+)............ 279,200 1,499 Lear Corporation.............. 152,700 5,175 Sonic Automotive, Incorporated................ 190,400 3,745 Superior Industries International, Incorporated(+)............. 179,500 3,649 TRW Automotive Holdings Corporation+................ 59,900 1,067 Westinghouse Air Brake Technologies Corporation.... 101,900 2,038 -------- TOTAL AUTO COMPONENTS..... 60,450 -------- AUTOMOBILES - 0.08% Winnebago Industries, Incorporated(+)............. 64,200 1,871 -------- TOTAL AUTOMOBILES......... 1,871 -------- HOTELS RESTAURANTS & LEISURE - 2.30% Aztar Corporation+............ 196,600 5,369 Blockbuster, Incorporated(+).. 327,300 3,240 Bob Evans Farms, Incorporated................ 159,686 3,258 CEC Entertainment, Incorporated+............... 162,500 5,883 Intrawest Corporation......... 233,500 4,703 Jack in the Box, Incorporated+(+)............ 121,400 4,438 Jameson Inns, Incorporated.... 787,100 1,196 Kerzner International Limited+(+)................. 177,000 9,751 La Quinta Corporation+........ 192,200 1,672 Landry's Restaurants, Incorporated................ 103,300 2,686 Lodgian, Incorporated+........ 357,700 3,058 Magna Entertainment Corporation+(+)............. 513,500 2,691 Papa John's International, Incorporated+(+)............ 41,600 1,426
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Ryans Restaurant Group, Incorporated+............... 35,150 $ 446 Steiner Leisure Limited+...... 115,700 3,467 Sunterra Corporation+......... 7,400 115 -------- TOTAL HOTELS RESTAURANTS & LEISURE................. 53,399 -------- HOUSEHOLD DURABLES - 4.91% American Greetings Corporation(+).............. 489,600 11,090 Beazer Homes USA, Incorporated(+)............. 240,600 10,971 Ethan Allen Interiors, Incorporated(+)............. 185,500 5,589 Furniture Brands International, Incorporated(+)............. 492,700 9,549 Helen of Troy Limited+........ 369,300 10,318 Hooker Furniture Corporation................. 129,000 2,154 La-Z-Boy, Incorporated(+)..... 491,500 5,819 Lifetime Hoan Corporation(+).. 85,200 1,436 William Lyon Homes+(+)........ 51,000 4,509 M.D.C. Holdings, Incorporated................ 136,773 8,942 Matthews International Corporation(+).............. 56,000 1,994 Maytag Corporation(+)......... 133,100 1,290 Modtech Holdings, Incorporated+(+)............ 210,400 1,685 Standard Pacific Corporation................. 147,100 10,534 Stanley Furniture Company, Incorporated................ 57,800 2,419 The Toro Company.............. 111,700 4,615 Tupperware Corporation(+)..... 269,500 5,687 WCI Communities, Incorporated+(+)............ 416,200 11,666 The Yankee Candle Company, Incorporated................ 132,200 3,674 -------- TOTAL HOUSEHOLD DURABLES................ 113,941 -------- INTERNET & CATALOG RETAIL - 0.27% School Specialty, Incorporated+(+)............ 166,918 6,194 -------- TOTAL INTERNET & CATALOG RETAIL.................. 6,194 -------- LEISURE EQUIPMENT & PRODUCTS - 0.44% Brunswick Corporation......... 147,800 6,208 Callaway Golf Company(+)...... 209,500 2,258 Hutchinson Technology, Incorporated+(+)............ 46,500 1,722 -------- TOTAL LEISURE EQUIPMENT & PRODUCTS................ 10,188 --------
See accompanying notes - -------------------------------------------------------------------------------- 6 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) MEDIA - 0.86% Courier Corporation(+)........ 46,600 $ 2,273 R.H. Donnelley Corporation+... 45,000 2,563 Gemstar TV-Guide International, Incorporated+............... 673,500 2,593 Gray Television, Incorporated................ 178,400 2,346 Journal Communications, Incorporated(+)............. 54,700 842 Journal Register Company+..... 249,550 3,948 The Reader's Digest Association, Incorporated... 202,200 3,438 Source Interlink Companies, Incorporated+(+)............ 176,900 1,852 -------- TOTAL MEDIA............... 19,855 -------- MULTILINE RETAIL - 0.55% BJ's Wholesale Club, Incorporated+............... 180,500 4,810 Burlington Coat Factory Warehouse Corporation....... 195,200 5,378 Dillard's, Incorporated....... 77,100 1,794 ShopKo Stores, Incorporated+(+)............ 32,800 786 -------- TOTAL MULTILINE RETAIL.... 12,768 -------- SPECIALTY RETAIL - 6.67% Advance Auto Parts, Incorporated+............... 320,900 17,120 AnnTaylor Stores Corporation+................ 119,000 2,914 Jos. A. Bank Clothiers, Incorporated+(+)............ 124,500 4,084 Barnes & Noble, Incorporated+............... 236,500 8,419 Big 5 Sporting Goods Corporation................. 158,000 3,775 Borders Group, Incorporated... 450,900 10,907 Brookstone, Incorporated+(+).. 222,450 4,398 Buckle, Incorporated(+)....... 16,200 557 Charming Shoppes, Incorporated+............... 777,085 5,782 Claire's Stores, Incorporated................ 571,700 12,475 Cost Plus, Incorporated+(+)... 130,500 3,026 CSK Auto Corporation+......... 158,000 2,451 GameStop Corporation+......... 140,319 3,275 Genesco, Incorporated+(+)..... 16,700 430 Global Imaging Systems, Incorporated+............... 67,100 2,328 Handleman Company(+).......... 26,900 467 Linens 'n Things, Incorporated+............... 273,100 6,371 The Men's Wearhouse, Incorporated+(+)............ 504,800 20,833 Pier 1 Imports, Incorporated(+)............. 145,600 2,114 Regis Corporation............. 202,500 7,235 Rent-A-Center, Incorporated+............... 18,850 453 Saks Incorporated+(+)......... 139,400 2,375
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Stage Stores, Incorporated+(+)............ 107,587 $ 4,069 Talbots, Incorporated......... 177,600 4,538 United Auto Group, Incorporated(+)............. 29,900 847 United Rentals, Incorporated+(+)............ 370,900 6,821 Wabash National Corporation(+).............. 251,900 6,423 Zale Corporation+............. 371,200 10,034 -------- TOTAL SPECIALTY RETAIL.... 154,521 -------- TEXTILES & APPAREL - 1.28% Brown Shoe Company, Incorporated................ 4,300 133 Tommy Hilfiger Corporation+... 224,700 2,458 Kellwood Company(+)........... 165,200 4,219 K-Swiss, Incorporated(+)...... 72,300 2,169 Steven Madden Limited+(+)..... 93,100 1,479 Russell Corporation........... 130,400 2,283 The Timberland Company+....... 86,900 6,000 The Warnaco Group, Incorporated+(+)............ 491,100 11,030 -------- TOTAL TEXTILES & APPAREL................. 29,771 -------- TOTAL CONSUMER DISCRETIONARY........... 462,958 -------- CONSUMER STAPLES - 4.01% FOOD & DRUG RETAILING - 0.75% The Great Atlantic & Pacific Tea Company, Incorporated+(+)............ 55,300 867 Longs Drug Stores Corporation................. 92,800 3,373 Pathmark Stores, Incorporated+............... 360,400 2,782 Performance Food Group Company+.................... 189,600 5,099 Ruddick Corporation........... 231,600 5,202 -------- TOTAL FOOD & DRUG RETAILING............... 17,323 -------- FOOD PRODUCTS - 2.47% American Italian Pasta Company(+).................. 268,100 6,343 Chiquita Brands International, Incorporated................ 227,600 5,702 Del Monte Foods Company+(+)... 2,024,000 21,110 Del Monte Fresh Produce Company(+).................. 104,900 3,032 Green Mountain Coffee Roasters, Incorporated+(+).. 75,400 1,948 J&J Snack Foods Corporation... 41,700 2,041 Lance, Incorporated........... 129,600 2,136 Ralcorp Holdings, Incorporated+............... 153,200 6,070 Sensient Technologies Corporation(+).............. 279,900 5,601
See accompanying notes - -------------------------------------------------------------------------------- 7 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Smithfield Foods, Incorporated+............... 111,000 $ 3,359 -------- TOTAL FOOD PRODUCTS....... 57,342 -------- HOUSEHOLD PRODUCTS - 0.19% Blyth, Incorporated(+)........ 159,500 4,372 -------- TOTAL HOUSEHOLD PRODUCTS................ 4,372 -------- PERSONAL PRODUCTS - 0.28% NBTY, Incorporated+........... 304,000 6,481 -------- TOTAL PERSONAL PRODUCTS... 6,481 -------- TOBACCO - 0.32% Schweitzer Mauduit International, Incorporated................ 13,000 380 Universal Corporation......... 153,000 6,984 -------- TOTAL TOBACCO............. 7,364 -------- TOTAL CONSUMER STAPLES.... 92,882 -------- ENERGY - 3.50% ENERGY EQUIPMENT & SERVICES - 1.64% Dril-Quip, Incorporated+...... 63,000 1,836 FMC Technologies, Incorporated+............... 204,600 6,206 MDU Resources Group, Incorporated(+)............. 215,500 5,825 Newpark Resources, Incorporated+............... 258,400 1,553 Offshore Logistics, Incorporated+............... 8,600 249 Oil States International, Incorporated+............... 155,000 3,148 TETRA Technologies, Incorporated+............... 146,900 3,971 Tidewater, Incorporated(+).... 305,700 10,537 Universal Compression Holdings, Incorporated+..... 82,400 2,892 Veritas DGC, Incorporated+(+)............ 67,100 1,718 -------- TOTAL ENERGY EQUIPMENT & SERVICES................ 37,935 -------- OIL & GAS - 1.86% Berry Petroleum Company....... 2,900 136 Cimarex Energy Company+(+).... 117,400 4,168 Encore Acquisition Company+(+)................. 439,500 16,138 Forest Oil Corporation+....... 65,400 2,520 Giant Industries, Incorporated+(+)............ 115,200 3,008 The Houston Exploration Company+.................... 56,400 2,873 Newfield Exploration Company+.................... 14,800 1,051
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Plains Exploration and Production Company LP+...... 6,900 $ 222 Pogo Producing Company........ 99,800 4,492 Southwest Gas Corporation..... 32,200 788 Stone Energy Corporation+(+).. 172,900 7,770 -------- TOTAL OIL & GAS........... 43,166 -------- TOTAL ENERGY.............. 81,101 -------- FINANCIALS - 20.49% BANKS - 7.27% Ace Cash Express, Incorporated+............... 155,700 3,425 Alabama National BanCorporation(+)........... 34,100 1,950 Americredit Corporation+...... 70,300 1,645 Anchor BanCorp Wisconsin, Incorporated................ 51,138 1,351 Bancorp South, Incorporated(+)............. 354,200 7,498 Bank Hawaii Corporation....... 187,600 8,883 Chemical Financial Corporation(+).............. 134,178 4,020 Chittenden Corporation........ 214,125 5,377 City National Corporation..... 30,700 2,164 Colonial BancGroup, Incorporated................ 454,700 10,031 Commercial Federal Corporation................. 233,000 6,084 Community Bank System, Incorporated(+)............. 110,000 2,434 Corus Bankshares, Incorporated................ 6,787 331 Cullen/Frost Bankers, Incorporated................ 166,000 7,191 Downey Financial Corporation.. 23,500 1,521 First Commonwealth Financial Corporation................. 156,600 2,061 First Republic Bank(+)........ 87,100 2,725 FirstFed Financial Corporation+................ 13,000 658 F.N.B. Corporation(+)......... 60,000 1,137 Frontier Financial Corporation(+).............. 36,869 1,330 Great American Financial Resources, Incorporated..... 80,800 1,284 Greater Bay Bancorp(+)........ 79,000 1,988 Hudson United Bancorp......... 256,500 8,788 International Bancshares Corporation................. 184,903 6,647 Irwin Financial Corporation(+).............. 184,600 3,705 ITLA Capital Corporation+..... 3,500 161 MAF Bancorp, Incorporated..... 12,200 493 NBT Bancorp, Incorporated..... 103,135 2,143 Pacific Capital Bancorp....... 99,100 2,857 PFF Bancorp, Incorporated(+).. 8,400 235 Provident Bancorp, Incorporated................ 159,200 1,686
See accompanying notes - -------------------------------------------------------------------------------- 8 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Provident Bankshares Corporation................. 113,720 $ 3,330 R&G Financial Corporation..... 99,300 1,411 Republic Bancorp, Incorporated(+)............. 333,817 4,233 S&T Bancorp, Incorporated(+).. 10,511 355 Santander BanCorp(+).......... 56,300 1,248 Sky Financial Group, Incorporated(+)............. 466,794 12,183 Southwest Bancorp, Incorporated................ 218,800 3,632 Sterling Bancshares, Incorporated................ 146,200 1,963 Sterling Financial Corporation+................ 53,000 1,733 Summit Bancshares, Incorporated(+)............. 81,500 1,340 Susquehanna Bancshares, Incorporated................ 215,000 4,521 TierOne Corporation........... 25,600 596 Timberland Bancorp, Incorporated(+)............. 14,800 342 Trustmark Corporation(+)...... 301,765 8,305 United Bankshares, Incorporated................ 77,571 2,375 Washington Federal, Incorporated................ 356,994 7,957 Webster Financial Corporation of Waterbury................ 242,000 10,999 Westcorp, Incorporated........ 7,000 313 -------- TOTAL BANKS............... 168,639 -------- DIVERSIFIED FINANCIALS - 2.03% Affiliated Managers Group, Incorporated+............... 62,200 3,889 American Capital Strategies Limited..................... 137,200 4,387 Asset Acceptance Capital Corporation+................ 123,900 2,534 Assured Guaranty Limited...... 166,900 3,181 Asta Funding, Incorporated.... 119,800 2,504 Cash America International, Incorporated................ 122,400 1,818 Financial Federal Corporation................. 88,500 3,124 First Cash Financial Services, Incorporated+............... 238,600 4,662
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) IndyMac Bancorp, Incorporated................ 68,300 $ 2,628 Knight Trading Group, Incorporated+(+)............ 788,100 6,644 Metris Companies, Incorporated+(+)............ 278,300 3,373 Raymond James Financial, Incorporated................ 308,600 8,323 -------- TOTAL DIVERSIFIED FINANCIALS.............. 47,067 -------- INSURANCE - 8.71% 21st Century Insurance Group....................... 220,000 2,900 Alfa Corporation.............. 78,403 1,080 Allmerica Financial Corporation+................ 459,700 15,432 American Financial Group, Incorporated(+)............. 591,400 18,387 American National Insurance Company..................... 24,717 2,536 AmerUs Group Company(+)....... 202,900 9,538 Arch Capital Group Limited+... 98,300 3,931 Aspen Insurance Holdings Limited..................... 161,700 4,414 Bristol West Holdings, Incorporated................ 236,600 3,568 Commerce Group, Incorporated.. 76,100 4,496 Conseco, Incorporated+(+)..... 238,300 4,585 Delphi Financial Group, Incorporated................ 167,500 6,955 Direct General Corporation(+).............. 228,513 4,058 FBL Financial Group, Incorporated................ 164,000 4,297 First American Corporation.... 178,000 6,372 Fremont General Corporation(+).............. 31,700 688 Arthur J. Gallagher & Company..................... 269,600 7,506 HCC Insurance Holdings, Incorporated................ 117,300 4,172 Hilb Rogal & Hobbs Company(+).................. 140,400 4,915 Horace Mann Educators Corporation................. 93,500 1,532 Infinity Property and Casualty Corporation................. 115,098 3,735 KMG America Corporation+...... 267,200 2,469 LandAmerica Financial Group, Incorporated................ 30,500 1,513 Max Re Capital Limited........ 203,800 4,473 Mercury General Corporation(+).............. 91,800 4,853 National Western Life Insurance Company+.......... 2,500 413 The Navigators Group, Incorporated+............... 136,200 4,358 Odyssey Re Holdings Corporation(+).............. 364,800 8,296 Ohio Casualty Corporation+(+)............. 226,232 5,305 PartnerRe Limited............. 62,000 3,613 Platinum Underwriters Holdings Limited..................... 120,900 3,579 Protective Life Corporation... 396,100 15,147 Reinsurance Group of America, Incorporated................ 325,900 14,574 Scottish Re Group Limited(+).. 137,400 3,226 StanCorp Financial Group, Incorporated................ 68,900 5,272 Stewart Information Services Corporation................. 12,900 465
See accompanying notes - -------------------------------------------------------------------------------- 9 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Triad Guaranty, Incorporated+(+)............ 64,600 $ 3,250 UICI.......................... 56,700 1,317 United America Indemnity Limited+.................... 263,497 4,748 -------- TOTAL INSURANCE........... 201,968 -------- REAL ESTATE - 2.48% Aames Investment Corporation.. 479,400 4,051 Alexandria Real Estate Equities, Incorporated...... 44,200 3,042 American Financial Realty Trust....................... 338,100 5,183 Bluegreen Corporation+........ 121,900 1,691 Boykin Lodging Company+(+).... 209,400 2,039 Capital Automotive REIT....... 101,900 3,463 Capital Lease Funding, Incorporated(+)............. 134,900 1,508 Capital Trust, Incorporated(+)............. 87,900 2,960 Fieldstone Investment Corporation................. 377,800 4,825 Government Properties Trust, Incorporated(+)............. 22,900 226 Innkeepers USA Trust.......... 230,000 3,052 Jones Lang LaSalle, Incorporated+............... 138,500 5,194 LaSalle Hotel Properties...... 83,000 2,522 MI Developments, Incorporated................ 386,100 11,382 MortgageIT Holdings, Incorporated(+)............. 87,400 1,486 Mission West Properties, Incorporated(+)............. 222,200 2,255 Redwood Trust, Incorporated... 31,200 1,564 Thomas Properties Group, Incorporated+............... 76,100 985 -------- TOTAL REAL ESTATE......... 57,428 -------- TOTAL FINANCIALS.......... 475,102 -------- HEALTH CARE - 4.98% BIOTECHNOLOGY - 0.02% Albany Molecular Research, Incorporated+............... 37,183 351 -------- TOTAL BIOTECHNOLOGY....... 351 -------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.41% CONMED Corporation+........... 34,728 1,032 Haemonetics Corporation+...... 107,900 4,615 PolyMedica Corporation........ 127,000 3,936 -------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES.... 9,583 -------- HEALTH CARE PROVIDERS & SERVICES - 3.47% Amedisys, Incorporated+(+).... 177,700 5,333 America Service Group, Incorporated+............... 101,600 2,308
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) AMN Healthcare Services, Incorporated+(+)............ 19,900 $ 294 Apria Healthcare Group, Incorporated+............... 347,800 10,469 Health Net, Incorporated+..... 413,400 14,068 Hooper Holmes, Incorporated... 461,130 1,688 Kindred Healthcare, Incorporated+............... 195,100 6,419 Magellan Health Services, Incorporated+(+)............ 81,000 2,759 MedQuist, Incorporated+(+).... 4,000 54 Owens & Minor, Incorporated... 61,200 1,775 Pediatrix Medical Group, Incorporated+............... 49,400 3,364 ResCare, Incorporated+........ 233,400 3,335 Sierra Health Services, Incorporated+............... 56,100 3,629 Triad Hospitals, Incorporated+............... 257,000 13,171 Universal Health Services, Incorporated................ 172,600 9,793 U.S. Physical Therapy, Incorporated+............... 140,600 2,029 -------- TOTAL HEALTH CARE PROVIDERS & SERVICES.... 80,488 -------- PHARMACEUTICALS - 1.08% Andrx Corporation+(+)......... 109,800 2,186 ISTA Pharmaceuticals, Incorporated+(+)............ 49,021 373 King Pharmaceuticals, Incorporated+............... 695,700 5,565 The Medicines Company+........ 111,000 2,370 Watson Pharmaceuticals, Incorporated+............... 487,200 14,616 -------- TOTAL PHARMACEUTICALS..... 25,110 -------- TOTAL HEALTH CARE......... 115,532 -------- INDUSTRIALS - 15.05% AEROSPACE & DEFENSE - 0.44% Cubic Corporation(+).......... 123,000 2,164 FTI Consulting, Incorporated+............... 11,300 250 Herley Industries, Incorporated+(+)............ 178,500 3,236 TIMCO Aviation Servcies, Incorporated+*.............. 410 -- United Defense Industrials, Incorporated(+)............. 62,900 4,653 -------- TOTAL AEROSPACE & DEFENSE................. 10,303 --------
See accompanying notes - -------------------------------------------------------------------------------- 10 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) AIR FREIGHT & COURIERS - 0.11% Covenant Transportation, Incorporated+............... 182,300 $ 2,446 -------- TOTAL AIR FREIGHT & COURIERS................ 2,446 -------- BUILDING PRODUCTS - 0.43% Universal Fastener Products, Incorporated(+)............. 42,500 1,618 York International Corporation................. 215,500 8,432 -------- TOTAL BUILDING PRODUCTS... 10,050 -------- COMMERCIAL SERVICES & SUPPLIES - 5.87% Bowne & Company, Incorporated(+)............. 721,800 9,398 The Brinks Company............ 209,600 6,762 Casella Waste Systems, Incorporated+(+)............ 136,900 1,614 Central Parking Corporation(+).............. 144,300 2,360 Concord Communications, Incorporated+(+)............ 177,800 2,925 Convergys Corporation+........ 637,200 8,258 Deluxe Corporation(+)......... 263,400 10,518 eFunds Corporation+........... 147,700 3,229 Gevity HR, Incorporated....... 261,200 4,192 John H. Harland Company(+).... 112,500 4,050 IDEX Corporation.............. 245,000 9,126 Kelly Services, Incorporated................ 311,500 8,180 Labor Ready, Incorporated+(+)............ 160,100 2,672 LECG Corporation+............. 55,300 1,146 Mac Gray Corporation+......... 39,100 335 McGrath Rentcorp.............. 128,700 2,857 NCO Group, Incorporated+(+)... 157,391 2,932 PHH Corporation+.............. 509,100 11,378 Pope & Talbot, Incorporated... 236,500 3,086 Sabre Holdings Corporation(+).............. 287,098 5,616 Spherion Corporation+......... 906,900 5,088 Steel Dynamics, Incorporated................ 119,800 3,256 Steel Technologies, Incorporated................ 194,600 3,734 Valassis Communications, Incorporated+............... 532,800 18,781 Waste Connections, Incorporated+............... 129,700 4,568 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES.............. 136,061 -------- CONSTRUCTION & ENGINEERING - 1.51% Chicago Bridge & Iron Company N.V.(+)..................... 175,500 3,928 Comfort Systems USA, Incorporated+............... 213,000 1,521 ElkCorp....................... 147,500 4,056
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Florida Rock Industries, Incorporated................ 34,300 $ 1,992 Granite Construction, Incorporated................ 141,800 3,202 Hovnanian Enterprises, Incorporated+............... 150,700 7,651 M/I Homes, Incorporated(+).... 42,600 1,947 Orleans Homebuilders, Incorporated................ 128,100 2,221 The Shaw Group, Incorporated+............... 147,600 2,667 Technical Olympic USA, Incorporated................ 278,300 5,858 -------- TOTAL CONSTRUCTION & ENGINEERING............. 35,043 -------- ELECTRICAL EQUIPMENT - 0.51% Brady Corporation............. 373,600 11,077 Rayovac Corporation+.......... 23,300 849 -------- TOTAL ELECTRICAL EQUIPMENT............... 11,926 -------- MACHINERY - 3.44% AGCO Corporation+(+).......... 422,180 7,262 Briggs and Stratton Corporation................. 233,000 7,542 Circor International, Incorporated................ 94,200 2,243 Esterline Technologies Corporation+................ 150,500 4,864 Flowserve Corporation+........ 358,100 9,941 GSI Lumonics, Incorporated+(+)............ 385,400 3,014 Harsco Corporation............ 163,300 8,761 Hughes Supply, Incorporated... 163,500 4,217 Kaydon Corporation............ 326,400 8,956 MSC Industrial Direct Company, Incorporated................ 74,000 1,988 Reliance Steel & Aluminum Company..................... 74,800 2,822 SPX Corporation(+)............ 235,300 9,104 Terex Corporation+............ 241,700 9,035 -------- TOTAL MACHINERY........... 79,749 -------- MARINE - 1.52% Alexander & Baldwin, Incorporated................ 175,000 7,128 Kirby Corporation+............ 250,800 10,217 OMI Corporation............... 481,400 8,757 Overseas Shipholding Group, Incorporated................ 79,300 4,475 Tsakos Energy Navigation Limited..................... 121,900 4,669 -------- TOTAL MARINE.............. 35,246 --------
See accompanying notes - -------------------------------------------------------------------------------- 11 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) TRANSPORTATION - 1.22% Arkansas Best Corporation..... 115,200 $ 3,632 Central Freight Lines, Incorporated+(+)............ 263,400 748 CP Ships Limited.............. 235,600 3,314 Laidlaw International, Incorporated+............... 317,300 7,104 Overnite Corporation(+)....... 189,900 5,693 SCS Transportation, Incorporated+............... 149,500 2,286 Yellow Roadway Corporation+... 111,600 5,468 -------- TOTAL TRANSPORTATION...... 28,245 -------- TOTAL INDUSTRIALS......... 349,069 -------- INFORMATION TECHNOLOGY - 8.63% COMMUNICATIONS EQUIPMENT - 0.90% C-COR, Incorporated+(+)....... 349,100 2,308 Comtech Telecommunications Corporation+(+)............. 90,950 3,193 Digi International, Incorporated+............... 194,600 2,072 McDATA Corporation+(+)........ 557,500 1,717 MEMC Electronic Materials, Incorporated+............... 977,100 11,461 -------- TOTAL COMMUNICATIONS EQUIPMENT............... 20,751 -------- COMPUTERS & PERIPHERALS - 0.73% Electronics for Imaging, Incorporated+............... 140,800 2,312 Komag, Incorporated+(+)....... 70,800 1,665 Western Digital Corporation+(+)............. 1,012,600 12,850 -------- TOTAL COMPUTERS & PERIPHERALS............. 16,827 -------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 3.67% Arrow Electronics, Incorporated+............... 724,900 17,644 Avnet, Incorporated+(+)....... 755,100 14,264 IKON Office Solutions, Incorporated................ 739,100 6,393 Ingram Micro, Incorporated+... 694,300 11,567 Littlefuse, Incorporated+..... 258,300 6,959 Newport Corporation+.......... 197,900 2,721 Photon Dynamics, Incorporated+............... 116,500 2,254 Plexus Corporation+........... 524,300 6,349 Tech Data Corporation+........ 264,300 9,655 Teleflex, Incorporated........ 5,400 289 Vishay Intertechnology, Incorporated+............... 661,600 7,073 -------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS........... 85,168 --------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) INTERNET SOFTWARE & SERVICES - 0.31% EarthLink, Incorporated+(+)... 298,000 $ 2,736 NIC, Inc+(+).................. 418,300 1,761 United Online, Incorporated+(+)............ 314,000 2,760 -------- TOTAL INTERNET SOFTWARE & SERVICES................ 7,257 -------- IT CONSULTING & SERVICES - 1.14% BearingPoint, Incorporated+(+)............ 1,567,800 9,705 Perot Systems Corporation+(+)............. 321,300 4,058 Phase Forward Incorporated+(+)............ 290,800 1,570 Reynolds and Reynolds Company..................... 418,800 11,044 -------- TOTAL IT CONSULTING & SERVICES................ 26,377 -------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.67% Axcelis Technologies, Incorporated+(+)............ 595,552 3,698 Cymer, Incorporated+.......... 111,100 2,754 Omnivision Technologies, Incorporated+(+)............ 569,785 7,977 Silicon Storage Technology, Incorporated+............... 400,479 1,049 -------- TOTAL SEMICONDUCTOR EQUIPMENT & PRODUCTS.... 15,478 -------- SOFTWARE - 1.21% Borland Software Corporation+(+)............. 340,300 1,977 Compuware Corporation+........ 271,800 1,617 EPIQ Systems, Incorporated+(+)............ 134,000 2,033 Informatica Corporation+...... 220,700 1,706 Lawson Software, Incorporated+............... 574,800 3,035 Mentor Graphics Corporation+(+)............. 785,800 7,025 Micromuse, Incorporated+...... 68,000 352 Progress Software Corporation+................ 152,200 4,061 SafeNet, Incorporated+(+)..... 94,900 2,653 Sybase, Incorporated+(+)...... 195,600 3,703 -------- TOTAL SOFTWARE............ 28,162 -------- TOTAL INFORMATION TECHNOLOGY.............. 200,020 -------- MATERIALS - 6.08% CHEMICALS - 2.91% Agrium, Incorporated.......... 615,800 10,961 Balchem Corporation........... 68,550 1,645 FMC Corporation+.............. 92,000 4,508 H.B. Fuller Company(+)........ 326,100 9,887
See accompanying notes - -------------------------------------------------------------------------------- 12 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Hercules, Incorporated+....... 702,800 $ 9,298 Lubrizol Corporation.......... 372,600 14,446 PolyOne Corporation+.......... 1,195,600 9,230 RPM International, Incorporated................ 432,200 7,456 -------- TOTAL CHEMICALS........... 67,431 -------- CONSTRUCTION MATERIALS - 0.44% Insituform Technologies, Incorporated+(+)............ 532,200 7,935 Lafarge North America, Incorporated................ 39,400 2,187 -------- TOTAL CONSTRUCTION MATERIALS............... 10,122 -------- CONTAINERS & PACKAGING - 0.47% Longview Fibre Company(+)..... 523,200 9,669 Silgan Holdings, Incorporated................ 19,479 1,191 -------- TOTAL CONTAINERS & PACKAGING............... 10,860 -------- METALS & MINING - 1.84% Arch Coal, Incorporated(+).... 146,300 6,487 Century Aluminum Company+(+)................. 346,500 8,073 Compass Minerals International, Incorporated................ 103,200 2,492 Foundation Coal Holdings, Incorporated+(+)............ 278,000 6,491 NN, Incorporated(+)........... 163,900 2,057 Quanex Corporation............ 85,000 4,289 RTI International Metals, Incorporated+............... 164,100 3,691 Worthington Industries, Incorporated................ 551,200 8,963 -------- TOTAL METALS & MINING..... 42,543 -------- PAPER & FOREST PRODUCTS - 0.42% Chesapeake Corporation........ 292,600 5,683 Potlatch Corporation.......... 86,200 4,071 -------- TOTAL PAPER & FOREST PRODUCTS................ 9,754 -------- TOTAL MATERIALS........... 140,710 -------- UTILITIES - 9.03% ELECTRIC UTILITIES - 4.93% Alliant Corporation........... 331,000 8,719 Cleco Corporation............. 203,600 4,158 DPL Inc. ..................... 471,200 11,987 Duquesne Light Holdings, Incorporated(+)............. 355,600 6,255 Great Plains Energy, Incorporated(+)............. 442,200 13,522 Hawaiian Electric Industries, Incorporated(+)............. 304,400 7,701 IDACORP, Incorporated......... 110,300 2,976
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Northeast Utilities........... 694,200 $ 12,711 NSTAR......................... 285,800 15,473 OGE Energy Corporation........ 437,800 12,083 PNM Resources, Incorporated... 255,350 7,060 Puget Energy, Incorporated.... 24,100 517 WPS Resources Corporation(+).. 209,900 11,068 -------- TOTAL ELECTRIC UTILITIES............... 114,230 -------- GAS UTILITIES - 4.10% AGL Resources, Incorporated... 353,300 12,224 Atmos Energy Corporation...... 344,200 9,052 Edge Petroleum Corporation+... 261,200 3,661 Energen Corporation........... 15,700 973 Energy Partners Limited+...... 244,800 5,596 National Fuel Gas Company(+).. 473,500 12,893 New Jersey Resources Corporation(+).............. 128,500 5,572 Nicor, Incorporated(+)........ 30,800 1,139 ONEOK, Incorporated(+)........ 279,800 8,075 Peoples Energy Corporation(+).............. 175,200 6,938 Remington Oil and Gas Corporation+................ 89,100 2,599 Southern Union Company+....... 285,665 6,839 South Jersey Industries, Incorporated(+)............. 39,600 2,152 UGI Corporation............... 122,900 6,173 Vectren Corporation(+)........ 155,300 4,195 WGL Holdings, Incorporated(+)............. 225,200 6,826 -------- TOTAL GAS UTILITIES....... 94,907 -------- TOTAL UTILITIES........... 209,137 -------- TOTAL COMMON STOCK........ 2,126,511 -------- PAR AMOUNT ------------ SHORT-TERM INVESTMENTS - 20.64% U.S. TREASURY BILLS - 0.55% 2.685%, Due 6/9/2005 (Note A).......................... $ 12,855 12,818 -------- TOTAL U.S. TREASURY BILLS................... 12,818 --------
SHARES ------------ OTHER SHORT-TERM INVESTMENTS - 20.090% (Note B) American Beacon Enhanced Cash Trust (Notes B and C)...... 225,108,141 225,108 American Beacon Money Market Select Fund (Notes B and C)......................... 240,732,293 240,732 ---------- TOTAL OTHER SHORT-TERM INVESTMENTS............ 465,840 ---------- TOTAL SHORT-TERM INVESTMENTS............ 478,658 ----------
See accompanying notes - -------------------------------------------------------------------------------- 13 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
VALUE ----------- (DOLLARS IN THOUSANDS) TOTAL INVESTMENTS - 112.38% (COST $2,549,523).......... $2,605,169 ---------- LIABILITIES, NET OF OTHER ASSETS - (12.38%).......... (286,909) ---------- TOTAL NET ASSETS - 100%...... $2,318,260 ==========
- --------------- (A) At April 30, 2005, security held as collateral for open futures contracts. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) All or a portion of this security is purchased with cash collateral for securities loaned. (+) - All or a portion of this security is on loan at April 30, 2005. See Note 5. + - Non-income producing security. * - Valued at fair value pursuant to procedures approved by the Board of Trustees. FUTURES CONTRACTS (dollars in thousands)
UNREALIZED NO. OF EXPIRATION MARKET APPRECIATION/ ISSUER CONTRACTS DATE VALUE (DEPRECIATION) - ------ --------- ---------- -------- -------------- Russell 2000................................................ 602 June 2005 $174,851 $(10,322) Emini Mini Russell.......................................... 636 June 2005 36,945 59 -------- -------- $211,796 $(10,263) ======== ========
See accompanying notes - -------------------------------------------------------------------------------- 14 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF ASSETS AND LIABILITIES April 30, 2005 (Unaudited) (in thousands) - -------------------------------------------------------------------------------- ASSETS: Investments in unaffiliated securities, at value(A C)... $ 2,139,329 Investments in affiliated securities, at value(B)....... 465,840 Receivable for investments sold......................... 13,236 Dividends and interest receivable....................... 1,702 Receivable for fund shares sold......................... 12,460 Receivable for variation margin on open futures contracts.............................................. 2,439 Other assets............................................ 88 ----------- TOTAL ASSETS........................................ 2,635,094 ----------- LIABILITIES: Payable for investments purchased....................... 40,413 Payable upon return of securities loaned................ 269,455 Payable for fund shares redeemed........................ 3,153 Management and investment advisory fees payable (Note 2)..................................................... 3,236 Administrative service and service fees payable......... 577 ----------- TOTAL LIABILITIES................................... 316,834 ----------- NET ASSETS.................................................. $ 2,318,260 =========== ANALYSIS OF NET ASSETS: Paid-in-capital......................................... 2,205,185 Undistributed net investment income..................... 3,750 Accumulated net realized gain (loss).................... 63,942 Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency................. 45,383 ----------- NET ASSETS.................................................. $ 2,318,260 =========== Shares outstanding (no par value): Institutional Class..................................... 42,808,742 =========== PlanAhead Class......................................... 59,350,462 =========== Service Class........................................... 1,903,307 =========== AMR Class............................................... 20,803,117 =========== Net asset value, offering and redemption price per share: Institutional Class..................................... $ 18.74 =========== PlanAhead Class......................................... $ 18.41 =========== Service Class........................................... $ 18.34 =========== AMR Class............................................... $ 18.67 =========== - --------------- (A) Cost of investments in unaffiliated securities.......... $ 2,083,683 (B) Cost of investments in affiliated securities............ 465,840 (C) Market value of securities on loan...................... 263,671
See accompanying notes - -------------------------------------------------------------------------------- 15 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF OPERATIONS Six Months Ended April 30, 2005 (Unaudited) (in thousands) - -------------------------------------------------------------------------------- INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes)*........................................ $ 12,490 Dividend income from affiliated securities.............. 2,134 Interest income......................................... 137 Income derived from commission recapture................ 154 Income derived from securities lending, net............. 271 -------- TOTAL INVESTMENT INCOME............................. 15,186 -------- EXPENSES: Management and investment advisory fees (Note 2)........ 5,131 Administrative service fees (Note 2): Institutional Class................................... 785 PlanAhead Class....................................... 1,082 Service Class......................................... 29 Transfer agent fees: Institutional Class................................... 73 PlanAhead Class....................................... 86 Service Class......................................... 4 AMR Class............................................. 5 Fund accounting fees.................................... 398 Professional fees....................................... 31 Registration fees and expenses.......................... 71 Service fees -- PlanAhead Class (Note 2)................ 1,082 Service fees -- Service Class (Note 2).................. 29 Distribution fees -- Service Class (Note 2)............. 29 Prospectus and shareholder reports...................... 82 Other expenses.......................................... 3 -------- TOTAL EXPENSES...................................... 8,920 -------- NET INVESTMENT INCOME....................................... 6,266 -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on: Investments........................................... 62,320 Futures contracts..................................... 2,711 Change in net unrealized appreciation or depreciation of: Investments........................................... (56,798) Futures contracts..................................... (10,303) -------- NET GAIN (LOSS) ON INVESTMENTS...................... (2,070) -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 4,196 ======== * Foreign taxes......................................... $ 29
See accompanying notes - -------------------------------------------------------------------------------- 16 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF CHANGES IN NET ASSETS (IN THOUSANDS) - --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2005 2004 ----------- ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income................................... $ 6,266 $ 5,180 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions........... 65,031 69,211 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations........................................... (67,101) 50,600 ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.......................................... 4,196 124,991 ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class................................... (1,734) (522) PlanAhead Class....................................... (1,962) (156) Service Class......................................... (37) -- AMR Class............................................. (2,456) (1,911) Net realized gain on investments: Institutional Class................................... (20,489) (3,082) PlanAhead Class....................................... (27,260) (2,162) Service Class......................................... (632) -- AMR Class............................................. (20,024) (9,583) ---------- ---------- NET DISTRIBUTIONS TO SHAREHOLDERS................... (74,594) (17,416) ---------- ---------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares........................... 1,375,596 969,153 Reinvestment of dividends and distributions............. 70,239 16,178 Cost of shares redeemed................................. (403,262) (230,849) ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS.................................. 1,042,573 754,482 ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS....................... 972,175 862,057 ---------- ---------- NET ASSETS: Beginning of period..................................... 1,346,085 484,028 ---------- ---------- END OF PERIOD*.......................................... $2,318,260 $1,346,085 ========== ========== * Includes undistributed net investment income (loss) of..................................................... $ 3,750 $ 4,276 ========== ==========
See accompanying notes - -------------------------------------------------------------------------------- 17 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American Beacon Funds (the "Trust"), formerly known as the American AAdvantage Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (the "Act"), as amended, as a no load, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Small Cap Value Fund (the "Fund"), a series of the Trust. American Beacon Advisors, Inc. (the "Manager"), formerly known as AMR Investment Services, Inc., is a wholly-owned subsidiary of AMR Corporation, the parent company of American Airlines, Inc. ("American"), and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors. Class Disclosure The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
CLASS: OFFERED TO: SERVICE AND DISTRIBUTION FEES: - ------ ----------- ------------------------------ INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service 0.25% Fee -- PLANAHEAD CLASS General public and investors investing through an Administrative Service 0.25% intermediary Fee -- 0.25% Service Fee -- SERVICE CLASS Investors investing through an intermediary Administrative Service 0.25% Fee -- 0.25% Service Fee -- 0.25% Distribution Fee -- AMR CLASS Investors in the tax-exempt retirement and benefit plans of N/A AMR Corporation and its affiliates
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 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 a 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 above valuation procedures are inappropriate, or are deemed not to reflect fair value, are valued at fair value, as determined in good faith and pursuant to procedures approved by the Trust's Board of Trustees (the "Board"). - -------------------------------------------------------------------------------- 18 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Security Transactions and Investment Income Security transactions are recorded on the trade date of the security purchase or sale. Dividend income is recorded on the ex-dividend date except certain dividends from foreign securities which are recorded as soon as the information is available to the Fund. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification. Futures Contracts Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Fund may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations. Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents 5% of the face value of the futures contract. The Fund reflects this amount on the Schedule of Investments as a US Treasury Bill held as collateral for futures contracts. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded. Dividends to Shareholders Dividends from net investment income of the Fund normally will be declared and paid annually. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex-dividend date. Commission Recapture The Fund has established brokerage commission recapture arrangements with certain brokers or dealers. If the Fund's investment advisor chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Fund. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Fund. Allocation of Income, Expenses, Gains and Losses Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. - -------------------------------------------------------------------------------- 19 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated. Other Under the Trust's organizational documents, its officers and directors are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust's maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement. 2. TRANSACTIONS WITH AFFILIATES Management Agreement The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all administrative, investment advisory, fund management and securities lending services. Investment assets of the Fund are managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to .10% of the average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Funds. Management fees paid during the six months ended April 30, 2005 were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY FEE RATE FEE ADVISORS MANAGER - ----------- ---------- --------------- ----------- .35%-.60% $5,131 $4,132 $999
As compensation for services provided by the Manager in connection with securities lending activities, the lending Fund pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 25% of the net monthly interest income (the gross interest income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers when a borrower posts collateral other than cash, a fee up to 25% of such loan fees. During the six months ended April 30, 2005, securities lending fees totaling $48,000 were paid to the Manager by the Fund. Administrative Services Agreement The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative and management services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of ..25% of the average daily net assets of the Institutional, PlanAhead and Service Classes of the Fund. - -------------------------------------------------------------------------------- 20 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Distribution Plans The Trust, except for the Service Class of the Funds, has adopted a "defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under the Investment Company Act of 1940, pursuant to which no fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Trust does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares. A separate Distribution Plan (the "Distribution Plan") has been adopted pursuant to Rule 12b-1 under the Act for the Service Class of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the Service Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance. Service Plans The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the PlanAhead and Service Classes. As compensation for performing the duties required under the Service Plans, the Manager receives 0.25% of the average daily net assets of the PlanAhead and Service Classes of the Fund. Brokerage Commissions Affiliated entities of the Fund received net commissions on purchases and sales of the Fund's portfolio securities for the six months ended April 30, 2005 of $22,000. Investment in Affiliated Funds The Fund is permitted, pursuant to an exemptive order by the Securities and Exchange Commission ("SEC") and approved procedures by the Board, to invest up to 25% of its total assets in the American Beacon Money Market Select Fund (the "Select Fund"), an affiliated fund. The Fund and the Select Fund have the same investment advisor and therefore, are considered to be affiliated. Cash collateral received by the Fund in connection with securities lending may be invested in the Select Fund and the American Beacon Enhanced Cash Trust (the "Cash Trust") (collectively, the "Affiliated Funds"). The Manager serves as Trustee and investment advisor to the Affiliated Funds and receives from the Affiliated Funds an annualized fee equal to 0.10% of the average daily net assets. During the six months ended April 30, 2005, fees earned by the Manager from the Affiliated Funds were as follows:
SECURITIES LENDING DIRECT INVESTMENT COLLATERAL INVESTED IN FUNDS IN FUNDS TOTAL - ----------------- ------------------- -------- $91,173 $139,459 $230,632
- -------------------------------------------------------------------------------- 21 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Other Certain officers or Trustees of the Trust are also current or former officers or employees of the Manager or American. The Trust makes no direct payments to its officers. Mr. Feld and the non-interested Trustees (other than Mr. O'Sullivan) and their spouses are provided free unlimited air transportation on American. Retired Trustees and their spouses are provided free air transportation on American, up to a maximum annual value of $40,000. The Trust compensates each Trustee with payments in an amount equal to the Trustee's income tax on the value of this free airline travel. Mr. O'Sullivan, as a retiree of American, already receives flight benefits. Mr. O'Sullivan receives an annual retainer of $40,000 plus $1,250 for each Board meeting attended. At April 30, 2005, AMR Corporation and subsidiary companies and Employee Benefit Trusts thereof owned 100% of AMR Class shares of the Fund. Interfund Lending Program Pursuant to an exemptive order by the SEC, the Fund along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating Funds. At April 30, 2005, the Fund had not utilized the credit facility. Reimbursement of Expenses The Manager reimbursed expenses of the Service Class totaling $121 for the Fund during the six months ended April 30, 2005. 3. FEDERAL INCOME AND EXCISE TAXES It is the policy of the Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all net investment income as well as any net realized capital gains on the sale of investments. Therefore, no federal income or excise tax provision is required. Dividends are determined in accordance with income tax regulations which may treat certain transactions differently than U.S. generally accepted accounting principles. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. - -------------------------------------------------------------------------------- 22 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The tax character of distributions during the six months ended April 30, 2005 and the fiscal year ended October 31, 2004 were as follows (in thousands):
SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2005 2004 ----------- ----------- (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME Institutional Class..................................... $12,463 $ 2,878 PlanAhead Class......................................... 16,237 1,809 Service Class........................................... 368 -- AMR Class............................................... 12,942 9,236 LONG-TERM CAPITAL GAIN Institutional Class..................................... 9,760 726 PlanAhead Class......................................... 12,985 509 Service Class........................................... 301 -- AMR Class............................................... 9,538 2,258 ------- ------- TOTAL DISTRIBUTIONS PAID............................ $74,594 $17,416 ------- -------
As of April 30, 2005, the components of distributable earnings were as follows (in thousands): Cost basis of investments for federal income tax purposes... $2,551,392 Unrealized appreciation..................................... 179,135 Unrealized depreciation..................................... (125,358) ---------- Net unrealized appreciation/(depreciation).................. 53,777 Undistributed ordinary income............................... 15,610 Undistributed long-term gain/(loss)......................... 43,664 ---------- Distributable earnings...................................... $ 113,051 ==========
Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses from wash sales, the realization for tax purposes of unrealized gains/(losses) on certain derivative instruments, book amortization for premiums, and the realization for tax purposes of unrealized gains/(losses) on investments in passive foreign investment companies. Due to inherent differences in the recognition of income, expenses and realized gains/losses under U.S. generally accepted accounting principles and federal income tax purposes, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities. Accordingly, the following amounts represent current year permanent differences that have been reclassified as of April 30, 2005 (in thousands): Paid-in-capital............................................. $ 427 Undistributed net investment income......................... (603) Accumulated net realized gain (loss)........................ 176 Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency.................... --
- -------------------------------------------------------------------------------- 23 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- 4. INVESTMENT TRANSACTIONS Investment transactions for the six months ended April 30, 2005 (excluding short-term investments) are as follows (in thousands): Purchases................................................... $1,347,168 Proceeds from sales......................................... $ 433,480
A summary of the Fund's direct transactions in Affiliated Funds for the six months ended April 30, 2005 is set forth below (in thousands):
OCTOBER 31, 2004 APRIL 30, 2005 AFFILIATE SHARE/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE - --------- ------------------ ---------- ---------- ------------------- Select Fund............................... $139,782 $1,830,047 $1,773,444 $196,385
5. SECURITIES LENDING The Fund may lend its 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 102% (for loans of US securities) or 105% (for non-US securities) of the market value of the loaned securities at the inception of each loan. 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. Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and the Agent and is recorded as income for the Fund. To the extent that a loan is secured by non-cash collateral, brokers pay the Fund negotiated lenders' fees, which are divided between the Fund and the Agent and are recorded as securities lending income for the Fund. The Fund also continues to receive income on the securities loaned, and any gain or loss in the market price of securities loaned that may occur during the term of the loan. Risks to the Fund 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. At April 30, 2005, the value of outstanding securities on loan and the value of collateral was as follows (in thousands):
MARKET VALUE OF SECURITIES ON LOAN NON-CASH COLLATERAL CASH COLLATERAL - ------------------ ------------------- --------------- $263,671 $134 $269,455
The Custodian for the Fund invested the cash collateral in the Cash Trust and the Select Fund. These amounts have been included as investments in the Schedule of Investments and Statement of Assets and Liabilities. Income earned on these investments is reported as Income derived from securities lending in the Statement of Operations. - -------------------------------------------------------------------------------- 24 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Non-Cash collateral received by the Fund may not be sold or repledged; therefore, non-cash collateral is not included on the Fund's Schedule of Investments or Statement of Assets and Liabilities. 6. CAPITAL SHARE TRANSACTIONS The tables below summarize the activity in capital shares for each Class of the Fund (in thousands): Six Months Ended April 30, 2005
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS -------------------- ------------------- ----------------- -------------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- --------- ------ --------- ------ ------- ------- --------- Shares sold............. 22,094 $435,215 38,795 $ 756,963 1,440 $27,932 7,760 $ 155,486 Reinvestment of dividends............. 923 18,570 1,443 28,520 34 669 1,123 22,480 Shares redeemed......... (2,993) (59,007) (6,041) (117,430) (210) (4,079) (11,416) (222,746) ------ -------- ------ --------- ------ ------- ------- --------- Net increase (decrease) in shares outstanding........... 20,024 $394,778 34,197 $ 668,053 1,264 $24,522 (2,533) $ (44,780) ====== ======== ====== ========= ====== ======= ======= =========
Year Ended October 31, 2004
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS -------------------- ------------------ ----------------- -------------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- --------- ------ -------- ------ ------- ------- --------- Shares sold............... 21,166 $380,848 23,536 $422,446 685 $12,179 8,593 $ 153,680 Reinvestment of dividends............... 143 2,425 136 2,259 -- -- 683 11,494 Shares redeemed........... (4,049) (72,693) (2,711) (47,684) (46) (819) (6,247) (109,653) ------ -------- ------ -------- ------ ------- ------- --------- Net increase in shares outstanding............. 17,260 $310,580 20,961 $377,021 639 $11,360 3,029 $ 55,521 ====== ======== ====== ======== ====== ======= ======= =========
- -------------------------------------------------------------------------------- 25 AMERICAN BEACON SMALL CAP VALUE FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS PLANAHEAD CLASS --------------------------------------------------------------- -------------------------------- SIX MONTHS SIX MONTHS YEAR ENDED ENDED YEAR ENDED OCTOBER 31, ENDED OCTOBER 31, APRIL 30, ------------------------------------------------- APRIL 30, ------------------ 2005(H) 2004(G) 2003(D) 2002 2001(C) 2000 2005(H) 2004(G) 2003(D) ----------- -------- -------- ------- ------- ------- ----------- -------- ------- (UNAUDITED) (UNAUDITED) Net asset value, beginning of period...................... $ 18.85 $ 16.21 $ 11.28 $ 11.69 $ 10.08 $ 9.07 $ 18.54 $ 15.95 $ 11.22 -------- -------- -------- ------- ------- ------- ---------- -------- ------- Income from investment operations: Net investment income (loss)(A)............... 0.06 0.07 (0.01) (0.01) 0.16 0.21 0.05 0.08 0.05 Net gains on securities (both realized and unrealized)(A).......... 0.67 3.09 5.24 0.47 1.81 1.01 0.65 2.98 5.08 -------- -------- -------- ------- ------- ------- ---------- -------- ------- Total income from investment operations.................. 0.73 3.16 5.23 0.46 1.97 1.22 0.70 3.06 5.13 -------- -------- -------- ------- ------- ------- ---------- -------- ------- Less distributions: Dividends from net investment income....... (0.07) (0.08) (0.02) (0.11) (0.19) (0.04) ((0.06) (0.03) (0.12) Distributions from net realized gains on securities.............. (0.77) (0.44) (0.28) (0.76) (0.17) (0.17) (0.77) (0.44) (0.28) -------- -------- -------- ------- ------- ------- ---------- -------- ------- Total distributions.......... (0.84) (0.52) (0.30) (0.87) (0.36) (0.21) (0.83) (0.47) (0.40) -------- -------- -------- ------- ------- ------- ---------- -------- ------- Net asset value, end of period...................... $ 18.74 $ 18.85 $ 16.21 $ 11.28 $ 11.69 $ 10.08 $ 18.41 $ 18.54 $ 15.95 ======== ======== ======== ======= ======= ======= ========== ======== ======= Total return................. 3.56%(E) 19.86% 47.45% 3.29% 20.16% 13.78% 3.46%(E) 19.56% 47.12% ======== ======== ======== ======= ======= ======= ========== ======== ======= Ratios and supplemental data: Net assets, end of period (in thousands).......... $802,413 $429,540 $ 89,579 $21,936 $ 2,364 $ 1,955 $1,092,517 $466,364 $66,906 Ratios to average net assets (annualized): Expenses(A)............. 0.84% 0.89% 0.89% 0.82% 0.89% 0.92% 1.09% 1.15% 1.16% Net investment income(loss)(A)....... 0.68% 0.57% 0.60% 0.81% 1.38% 1.62% 0.42% 0.33% 0.39% Decrease reflected in above expense ratio due to absorption of expenses by the Manager(A)............ -- -- -- -- -- 0.06% -- -- -- Portfolio turnover rate(B)................. 24%(E) 35% 75% 81% 93% 63% 24%(E) 35% 75%
- --------------- (A) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the AMR Investment Services Small Cap Value Portfolio through February 28, 2002. (B) The Small Cap Value Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (C) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed management of the Small Cap Value Fund's assets previously managed by Merrill Lynch Investment Managers, L.P. (D) Barrow, Hanley, Mewhinney & Strauss, Inc. was added as an investment advisor to the Small Cap Value Fund on September 18, 2003. (E) Not annualized. (F) Portfolio turnover rate is for the period November 1, 2002 through October 31, 2003. (G) The Boston Company was added as an investment advisor to the Small Cap Value Fund on September 27, 2004. (H) Opus Capital Management, Inc. was added as an investment advisor to the Small Cap Value Fund on February 1, 2005. - -------------------------------------------------------------------------------- 26 - --------------------------------------------------------------------------------
SERVICE CLASS AMR CLASS PLANAHEAD CLASS --------------------------------------- ----------- --------------------------- SIX MONTHS SIX MONTHS YEAR ENDED OCTOBER 31, ENDED YEAR ENDED MAY 1 TO ENDED --------------------------- APRIL 30, OCTOBER 31, OCTOBER 31, APRIL 30, 2002 2001(C) 2000 2005(H) 2004(G) 2003(D) 2005(H) ------- ------- ------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) $ 11.64 $ 10.08 $ 9.05 $ 18.49 $ 15.92 $ 11.88 $ 18.78 ------- ------- ------- ------- -------- --------- -------- 0.06 0.15 0.08 0.03 0.01 -- 0.10 0.36 1.76 1.14 0.64 3.00 4.04 0.66 ------- ------- ------- ------- -------- --------- -------- 0.42 1.91 1.22 0.67 3.01 4.04 0.76 ------- ------- ------- ------- -------- --------- -------- (0.08) (0.18) (0.02) (0.05) -- -- (0.10) (0.76) (0.17) (0.17) (0.77) (0.44) -- (0.77) ------- ------- ------- ------- -------- --------- -------- (0.84) (0.35) (0.19) (0.82) (0.44) -- (0.87) ------- ------- ------- ------- -------- --------- -------- $ 11.22 $ 11.64 $ 10.08 $ 18.34 $ 18.49 $ 15.92 $ 18.67 ======= ======= ======= ======= ======== ========= ======== 2.99% 19.58% 13.76% 3.31%(E) 19.24% 34.01% 3.73%(E) ======= ======= ======= ======= ======== ========= ======== $16,190 $ 1,197 $ 440 $34,912 $ 11,828 $ 1 $388,418 1.11% 1.17% 1.18% 1.34% 1.38% 1.49% 0.57% 0.52% 1.06% 1.71% 0.17% 0.17% (0.05)% 0.94% -- -- 0.06% -- 0.31% 1,087.55% -- 81% 93% 63% 24%(E) 35% 75%(F) 24%(E) AMR CLASS ---------------------------------------------------- YEAR ENDED OCTOBER 31, ---------------------------------------------------- 2004(G) 2003(D) 2002 2001(C) 2000 -------- -------- -------- -------- -------- $ 16.13 $ 11.30 $ 11.71 $ 10.10 $ 9.08 -------- -------- -------- -------- -------- 0.14 0.10 0.15 0.15 0.22 3.04 5.15 0.34 1.85 1.04 -------- -------- -------- -------- -------- 3.18 5.25 0.49 2.00 1.26 -------- -------- -------- -------- -------- (0.09) (0.14) (0.14) (0.22) (0.07) (0.44) (0.28) (0.76) (0.17) (0.17) -------- -------- -------- -------- -------- (0.53) (0.42) (0.90) (0.39) (0.24) -------- -------- -------- -------- -------- $ 18.78 $ 16.13 $ 11.30 $ 11.71 $ 10.10 ======== ======== ======== ======== ======== 20.12% 47.93% 3.54% 20.52% 14.19% ======== ======== ======== ======== ======== $438,353 $327,542 $181,180 $137,811 $ 53,715 0.60% 0.61% 0.56% 0.64% 0.68% 0.84% 0.95% 1.09% 1.55% 1.89% -- -- -- -- 0.06% 35% 75% 81% 93% 63%
- -------------------------------------------------------------------------------- 27 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND (Unaudited) - -------------------------------------------------------------------------------- Renewal of Management Agreement and Investment Advisory Agreements At their February 23, 2005 meeting, the Trustees considered the renewal of the existing Management Agreement between the Manager and the Fund and each Investment Advisory Agreement between the Fund and the sub-advisors. As part of the renewal process, legal counsel to the Trusts and the independent Trustees sent information request letters to the Manager and each sub-advisor seeking certain relevant information. The responses by the Manager and sub-advisors were provided to the Trustees for their review prior to their meeting, and the Trustees were provided with the opportunity to request any additional materials. The Trustees considered, among other materials, responses by the Manager and the sub-advisors to inquiries requesting: - a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Fund, or any other area, including how these changes might affect the Fund; - a copy of the firm's most recent audited or unaudited financial statements as well as Parts I and II of its Form ADV; - a summary of any material past, pending or anticipated litigation or regulatory proceedings involving the firm or its personnel, including the results of any recent regulatory examination or independent audit; - a comparison of the performance of that portion of Fund assets managed by each firm with performance of other similar accounts managed by the firm, including a discussion of relative performance versus a peer group average and any remedial measures if the firm's performance was materially below that of the peer group; - a cost/profitability analysis of the firm and any actual or anticipated economies of scale in relation to the services it provides to the Fund, if available; - an analysis of compensation, including a comparison with fees charged to other clients for which similar services are provided, any proposed changes to the fee schedule and the effect of any fee waivers; - an evaluation of any other benefits to the firm or Fund as a result of their relationship, if any; - a description of the scope of portfolio management services provided to the Fund, including whether such services differ from the services provided to other clients, including other registered investment companies; - a description of the personnel who are assigned primary responsibility for managing the Fund, including any changes during the past year; - a description of the basis upon which portfolio managers are compensated, including any "incentive" arrangements; - a discussion regarding the firm's participation in "soft dollar" arrangements, if any, or other brokerage allocation policies with respect to Fund transactions, including the firm's methodology for obtaining the most favorable execution and the use of any affiliated broker-dealers; 28 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED (Unaudited) - -------------------------------------------------------------------------------- - a description of any actual or potential conflicts of interest anticipated in managing Fund assets; - a discussion of the firm's compliance program with regard to federal, state, corporate and Fund requirements; - information regarding the firm's code of ethics, insider trading policy and disaster recovery plan, including a description of any material changes thereto; - a description of the firm's affiliation with any broker-dealer; - a discussion of any anticipated change in the firm's controlling persons; and - verification of the firm's insurance coverage with regards to the services provided to the Fund. In addition to the foregoing, the Manager provided the following information specific to the renewal of the Management Agreement: - a table comparing the performance of the Fund to appropriate indices, including comments on the relative performance of each sub-advisor and the Fund versus comparable indices; - a discussion of any underperformance by a sub-advisor relative to its peer group and whether (and if so, why) such sub-advisor should have its contract renewed; - a table detailing the Manager's profitability with respect to the Fund; - an analysis of any material complaints received from Fund shareholders; - a discussion of the Manager's compliance program; - a description of the Manager's securities lending practices and the fees received from such practices; - a description of the portfolio turnover rate and average execution costs for the Fund and each sub-advisor to the Fund; - a discussion of whether the Manager receives, with respect to trade execution for the Fund, other special compensation, including any payment for order flow; - a description of how expenses that are not readily identifiable to the Fund are allocated; and - any ideas for the future growth and efficient operation of the Fund. The Trustees were also provided with an analysis provided by Lipper, Inc., which compared: (i) investment performance of the Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses versus comparable mutual funds, and (iii) the Fund's investment advisory fees versus comparable mutual funds. Legal counsel provided the Trustees with a memorandum detailing their responsibilities pertaining to the renewal of the Management and Investment Advisory Agreements. This memorandum explained the regulatory requirements surrounding the Trustees' process for evaluating investment advisors and the terms of the contracts. 29 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED (Unaudited) - -------------------------------------------------------------------------------- Considerations and Conclusions with Respect to the Fund In determining whether to approve the continuance of the Management Agreement and each Investment Advisory Agreement, the Trustees considered the best interests of the Fund separately from other series of the Trust. In each instance, the Trustees considered, among other things, the following factors: (1) the nature and quality of the services provided; (2) the investment performance of the Fund and the investment advisor; (3) the Manager's or sub-advisor's cost for providing the services and the profitability of the advisory business to the Manager or sub-advisor; (4) the extent to which economies of scale have been taken into account in setting the fee schedule; and (5) whether fee levels reflect these economies of scale for the benefit of Fund investors. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the material submitted in support of the renewal. With respect to the renewal of the Management Agreement, the Trustees considered: the Manager's ability to retain key investment personnel and to provide consistent performance and an active client service program; the Manager's goal to continue to provide consistent above average long-term performance at low cost; the continuing efforts by the Manager to add new series so as to enhance the Trusts' product line; the Manager's record in building improved compliance, control and credit functions that reduce risks to the Trusts; the addition of personnel to manage the Trusts' series, promote sales and improve services; and the active role played by the Manager in monitoring and, as appropriate, recommending replacements for the investment sub-advisors and master portfolios. With respect to the renewal of the Investment Advisory Agreements, the Trustees noted that, in many cases, the Manager has negotiated the lowest sub-advisory fee a sub-advisor charges for any comparable client accounts. Where applicable, for purposes of determining the fee charged to the Fund, the fee schedule to each Investment Advisory Agreement specifies that all other small cap value assets managed by a sub-advisor on behalf of AMR Corporation and its pensions plans shall be considered. Thus, the Fund is able to receive the lowest possible fee due to economies of scale resulting from the sub-advisor's management of a larger pool of assets. In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Fund outperformed its benchmark indices for the one-year and five-year periods ended December 31, 2004; (2) the expense ratio of the Institutional Class of Fund shares was at the industry average; and (3) the Trustees deemed the profit made by the Manager on the services it provided to the Fund to be reasonable in light of the fact that the Manager provides high-quality services at a low cost to investors, allocates the Fund's assets among sub-advisors, monitors and evaluates the performance of the Fund's two sub-advisors, and provides a comprehensive compliance program for the Fund. In considering the renewal of the Investment Advisory Agreements with Barrow, Hanley, Mewhinney & Strauss, Inc. ("Barrow"), Brandywine Asset Management, LLC ("Brandywine"), Hotchkis and Wiley Capital Management, LLC ("Hotchkis"), and The Boston Company Asset Management, LLC ("TBCAM"), the Trustees considered the following additional factors: (1) Barrow and Hotchkis have each outperformed for all reported periods its benchmark index with respect to their allocated portion of the Fund's assets; (2) except for the most recent one-year period, Brandywine has outperformed its benchmark index for the longer-term periods with respect to its allocated portion of the Fund's assets; (3) as of December 31, 2004, TBCAM had managed a portion of the Fund for three months, over which period it slightly underperformed its benchmark index, 30 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED (Unaudited) - -------------------------------------------------------------------------------- but the Trustees considered the performance record too short to be meaningful; (4) each sub-advisor represented that it did not charge a lower fee rate for any comparable client accounts; (5) for purposes of calculating the fee rates chargeable to the Fund, each sub-advisor agreed to take into account all other assets of AMR Corporation and its subsidiaries and affiliated entities under management by the sub-advisor; and (6) the Manager's recommendation to continue to retain each sub-advisor. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and the sub-advisors under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Fund and its shareholders would benefit from the Manager's and sub-advisors' continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Fund. Approval of Investment Advisory Agreement with Opus Capital Management, Inc. At their January 27, 2005 meeting, the Trustees considered the approval of an Investment Advisory Agreement between the Trust and Opus Capital Management, Inc. ("Opus") to add Opus as a sub-adviser to the Fund. As part of the approval process, legal counsel to the Trusts and the independent Trustees sent an information request letter to Opus seeking certain relevant information. Opus's response was provided to the Trustees for their review prior to their meeting, and the Trustees were provided with the opportunity to request any additional materials. The Trustees considered, among other materials, responses by Opus to inquiries requesting: - a description of the advisory and related services proposed to be provided to the Fund; - identification of the professional personnel to perform services for the Fund and their education, experience and responsibilities; - a comparison of the performance of accounts similar to the Fund managed by Opus with the performance of applicable indices; - an analysis of the proposed advisory fee, a comparison to the fees charged to other comparable clients and an explanation of any differences between the fee schedules; - whether Opus charges a lower advisory fee to other clients for which it provides services comparable to the services proposed for the Fund and if so, an explanation of the rationale for charging the other client(s) a lower fee; - a description of the portfolio managers' compensation, including any incentive arrangements, and if compensation is tied to performance, a description of the oversight mechanisms to prevent a manager with lagging performance from taking undue risks; and - any other information Opus believed would be material to the Trustees' consideration of the agreement. In considering the approval of the Investment Advisory Agreement with Opus, the Trustees considered the following factors. First, the Trustees considered that the Manager had screened the universe of available small capitalization equity managers to identify those that would have added value to the Fund's performance over the most recent three- and five-year periods. In this regard, the Trustees considered that Opus's small cap value accounts outperformed the Russell 2000 Value 31 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED (Unaudited) - -------------------------------------------------------------------------------- Index for the most recent quarter, one-year, three-year, five-year, and since inception periods. Second, the Trustees considered that the proposed fee to be charged by Opus to the Fund was highly competitive with fees of comparable advisers and represented a discount from Opus's standard fee schedule for such services. Third, the Trustees considered the experience and knowledge of the investment team identified by Opus that would make investment decisions for the Fund. Fourth, the Trustees considered that Opus was prepared to reserve a material amount of investment capacity for the benefit of the Fund. Fifth, the Trustees considered the Manager's conclusion that the investment process to be employed by Opus would be highly consistent with the Fund's investment objectives and policies, as well as the Manager's strong recommendation on behalf of Opus. Based on these considerations, the Trustees (1) concluded that the fees proposed to be paid to Opus under the Investment Advisory Agreement are fair and reasonable, (2) determined that the Fund and its shareholders would benefit from Opus's addition as a sub-advisor to the Fund and (3) approved the Investment Advisory Agreement with Opus. 32 (AMERICAN AADVANTAGE FUNDS LOGO) - -------------------------------------------------------------------------------- DELIVERY OF DOCUMENTS To reduce expenses, your financial institution may mail only one copy of the Prospectus, Annual Report and Semi-Annual Report to those addresses shared by two or more accounts, if you wish to receive individual copies of these documents, please contact your financial institution. Delivery of individual copies will commence thirty days after receiving your request. If you invest in the Fund through a financial institution, you may be able to receive the Fund's regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution's name or contact your financial institution directly. TO OBTAIN MORE INFORMATION ABOUT THE FUND: (KEYBOARD GRAPHIC) (MOUSE GRAPHIC) BY E-MAIL: ON THE INTERNET: american-beacon.funds@ambeacon.com Visit our website at www.americanbeaconfunds.com
- -------------------------------------------------------------------------------- (TELEPHONE GRAPHIC) (MAILBOX GRAPHIC) BY TELEPHONE: BY MAIL: Institutional Class American Beacon Funds Call (800) 658-5811 4151 Amon Carter Blvd., MD 2450 AMR Class(SM) Fort Worth, TX 76155 Call (800) 345-2345 PlanAhead Class(R) and Service Class Call (800) 388-3344
- -------------------------------------------------------------------------------- AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES AVAILABILITY OF PROXY VOTING POLICY AND RECORDS In addition to the Schedule of Investments provided in each A description of the policies and procedures the Fund uses semi-annual and annual report, the Fund files a complete to determine how to vote proxies relating to portfolio schedule of its portfolio holdings with the Securities and securities is available in the Fund's Statement of Exchange Commission ("SEC") on Form N-Q as of the first and Additional Information, which may be obtained free of charge third fiscal quarters. The Fund's Forms N-Q are available on by calling 1-800-967-9009 or by accessing the SEC's website the SEC's website at www.sec.gov. The Forms N-Q may also be at www.sec.gov. The Fund's proxy voting record for the most reviewed and copied at the SEC's Public Reference Room, 450 recent year ended June 30 is filed annually with the SEC on Fifth Street, NW, Washington, DC 20549. Information Form N-PX. The Fund's Forms N-PX are available on the SEC's regarding the operation of the SEC's Public Reference Room website at www.sec.gov. The Fund's proxy voting record may may be obtained by calling 1-800-SEC-0330. A complete also be obtained by calling 1-800-967-9009. schedule of the Fund's portfolio holdings is also available on the Funds' website (www.americanbeaconfunds.com) approximately thirty days after the end of each fiscal quarter.
FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT AUDITORS DISTRIBUTOR STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES ERNST & YOUNG LLP FORESIDE FUND SERVICES Boston, Massachusetts Kansas City, Missouri Chicago, Illinois Portland, Maine
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current prospectus. - -------------------------------------------------------------------------------- American Airlines, Inc. is not responsible for investments made in the American Beacon Funds. American Beacon Funds is a service mark of AMR Corporation. American Beacon Small Cap Value Fund is a service mark of American Beacon Advisors, Inc. [AMERICAN BEACON FUNDS LOGO] 4151 Amon Carter Blvd. MD 2450 Fort Worth, TX 76155 1.800.967.9009 817.931.4331 fax www.americanbeaconfunds.com SAR 04/05 534227 G U I D A N C E | V I S I O N | E X P E R I E N C E [AMERICAN BEACON FUNDS LOGO] SEMI-ANNUAL REPORT [PHOTO] APRIL 30, 2005 EQUITY FUNDS BALANCED FUND LARGE CAP VALUE FUND LARGE CAP GROWTH FUND MID-CAP VALUE FUND EMERGING MARKETS FUND BOND FUNDS HIGH YIELD BOND FUND ENHANCED INCOME FUND INTERMEDIATE BOND FUND SHORT-TERM BOND FUND Formerly known as the American AAdvantage Funds About American Beacon - -------------------------------- Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management. Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company
Contents ----------------------------------------------- President's Message........... 1 American Beacon Funds' Performance................ 2 Market and Performance Overviews.................. 3-24 American Beacon Schedules of Investments Balanced Fund.............. 25 Large Cap Value Fund....... 34 Large Cap Growth Fund...... 38 Mid-Cap Value Fund......... 43 Emerging Markets Fund...... 46 High Yield Bond Fund....... 54 Enhanced Income Fund....... 62 Intermediate Bond Fund..... 68 Short-Term Bond Fund....... 74 Additional Information........Inside Back Cover
Any opinions herein, including forecasts, reflect our judgement as of the end of the reporting period and are subject to change. Each advisor's strategies and each Fund's portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein. American Beacon Funds April 30, 2005 (BILL QUINN PICTURE) FELLOW SHAREHOLDERS, Iam pleased to present you with the Semi-Annual Report for the American Beacon Funds (formerly known as the American AAdvantage Funds) for the six months ended April 30, 2005. During this time, most markets experienced modest gains. The Dow Jones Industrial Average posted gains of 2.8%, the S&P 500 Index increased by 3.3% and the MSCI EAFE Index returned 8.7%. As of April 30, 2005, the 10-Year Treasury interest rate was 4.2%, resulting in a 0.98% total return for the bond market, as defined by the Lehman Brothers Aggregate Index. Additionally, the Federal Reserve increased the Fed Funds Rate to 2.75%, up 100 basis points during the six-month period The American Beacon equity funds posted strong returns in both absolute and relative terms for the six-month period. The Balanced and Large Cap Value Funds posted gains of 6.2% and 8.8%, respectively, for the period and continued to surpass their respective Lipper benchmarks for all periods ended April 30, 2005. Our new Mid-Cap Value Fund-Institutional Class outperformed its respective Lipper peer group with returns of 6.6% for the six-months and 9.5% since its inception on June 30, 2004. The Institutional Class of the Emerging Markets Fund posted a positive return of 11.9% for the period. On the fixed-income front, the Enhanced Income, Intermediate Bond and Short-Term Bond Funds all posted modest positive returns for the six-month period. During this time, in an effort to reduce the overall costs of investing in these Funds, the Institutional Class of the Short-Term and Intermediate Bond Funds was terminated and Institutional Class shareholders received AMR Class shares. The AMR Class of shares has a lower expense ratio and, as a result, has produced a higher historical rate of return than the Institutional Class shares. Following this exchange, the former AMR Class of shares was re-named the Institutional Class. Please review the enclosed market overviews, portfolio listings and detailed financial data. As always, we welcome the opportunity to serve your financial needs. To obtain further details about the American Beacon Funds family or access your account information, please visit our web site at www.americanbeaconfunds.com. Thank you for your continued confidence in the American Beacon Funds. Sincerely, /s/ WILLIAM F. QUINN William F. Quinn President, American Beacon Funds Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. 1 AMERICAN BEACON FUNDS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
AVERAGE ANNUALIZED TOTAL RETURN AS OF APRIL 30, 2005 ------------------------------------------ INCEPTION TICKER 10 YEAR/ DATE SYMBOL 1 YEAR 3 YEAR 5 YEAR SINCE INCEP. --------- ------ ------ ------ ------ --------------- Balanced Fund -- Institutional 7/17/87 AADBX 11.39% 8.29% 8.64% 9.66% Balanced Fund -- PlanAhead 8/1/94 AABPX 10.98% 8.00% 8.38% 9.35% Balanced Fund -- AMR 8/1/94 AABNX 11.68% 8.62% 8.95% 9.95% Lipper Balanced Funds Index 6.06% 5.06% 2.22% 8.33% Large Cap Value Fund -- Institutional 7/17/87 AADEX 15.47% 9.58% 9.25% 10.98% Large Cap Value Fund -- PlanAhead 8/1/94 AAGPX 15.09% 9.28% 8.95% 10.64% Large Cap Value Fund -- AMR 8/1/94 AAGAX 15.71% 9.87% 9.54% 11.27% Lipper Multi-Cap Value Funds Index 9.64% 6.92% 6.16% 10.71% Large Cap Growth Fund -- Institutional 7/31/00 ALCGX 0.65% 1.66% N/A -10.58% Large Cap Growth Fund -- AMR 7/31/00 ALFIX 0.83% 1.72% N/A -10.48% Lipper Large-Cap Growth Funds Index 1.38% 0.21% N/A -11.16% Mid-Cap Value Fund -- Institutional 6/30/04 AMDIX N/A N/A N/A 9.49% Lipper Mid-Cap Value Funds Index N/A N/A N/A 5.78% Emerging Markets Fund -- Institutional 7/31/00 AEMFX 20.76% 16.95% N/A 8.14% Emerging Markets Fund -- PlanAhead 10/1/02 AAEPX 20.51% 16.68% N/A 7.98% Emerging Markets Fund -- AMR 7/31/00 AAMRX 21.03% 17.25% N/A 8.43% Lipper Emerging Markets Funds Index 23.83% 17.91% N/A 7.83% High Yield Bond Fund -- Institutional 12/29/00 AYBFX 4.75% 8.86% N/A 9.41% High Yield Bond Fund -- PlanAhead 3/1/02 AHYPX 4.48% 8.47% N/A 8.97% High Yield Bond Fund -- Service 5/1/03 AAHSX 4.07% 8.00% N/A 8.64% Lipper High Current Yield Funds Index 5.87% 9.32% N/A 6.47% Enhanced Income Fund -- PlanAhead 6/30/03 AANPX 2.57% N/A N/A 2.81% Lipper Interm. Investment Grade Index 5.01% N/A N/A 3.02% Intermediate Bond Fund -- Institutional 9/15/97 AABDX 5.03% 5.36% 7.15% 6.15% Intermediate Bond Fund -- PlanAhead 3/2/98 AAPAX 4.38% 4.82% 6.61% 5.72% Lipper Interm. Investment Grade Index 5.01% 5.64% 7.21% 6.22% Short-Term Bond Fund -- Institutional 12/3/87 AASBX 1.34% 3.10% 5.02% 5.34% Short-Term Bond Fund -- PlanAhead 8/1/94 AALPX 0.89% 2.55% 4.52% 4.84% Lipper Short Investment Grade Index 1.68% 2.65% 4.44% 5.03%
Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Performance shown for the PlanAhead and AMR Classes prior to their inception dates is that of the Institutional Class. Performance shown for the Service Class prior to its inception date is that of the Institutional and PlanAhead Classes since their inception dates. Fund performance does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 DOMESTIC EQUITY MARKET OVERVIEW April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The U.S. equity markets surged in late 2004, essentially driving all of the gains experienced by the major indices for the full year. A heavy influence on this strong swing was the fall of oil prices from record $56 levels in late October. The decline in oil prices eased concerns about consumer spending slowing and the potentially dampening impact on consumer and business confidence. Equity markets were boosted by evidence that the U.S. economy was reaccelerating after relatively weak data in the third quarter. Investors were enthusiastic about better employment news, as it was reported that 337,000 jobs were added to payrolls in October (and an additional 113,000 jobs were added to figures from previous months), far greater than the expectation of 175,000 jobs. In addition, retail sales growth was stronger-than-expected in November, which helped to alleviate concerns about anecdotes of soft holiday sales. Regional manufacturing surveys also picked up in December, signaling that production was accelerating. Lastly, investors were encouraged by a smooth presidential election. A swift outcome in the election helped to eradicate fears of a long, contentious process. The establishment of Republican Party dominance reassured investors that taxes on capital gains and dividends would not be raised. Unfortunately, that end-of-year momentum quickly diminished during the first four months of 2005. Equities fell on concerns about higher interest rates all along the yield curve. The market became anxious about higher short-term rates during the first week of the year, when the Federal Open Market Committee (FOMC) released the minutes from its December 2004 meeting stating that, "Some participants believed that the prolonged period of policy accommodation had generated a significant degree of liquidity that might be contributing to signs of potentially excessive risk-taking in financial markets." As a result, investors became concerned that the Federal Reserve Bank (the "Fed") was willing to raise short-term interest rates aggressively not only to keep inflation under control, but also to discourage speculative risk-taking in asset markets. In February, Fed Chairman Greenspan tried to boost long-term rates by saying that a recent fall in 10-year Treasury yields (which had been supporting equity valuations) remained "a conundrum." Yields on 10-year bonds subsequently moved higher, and risk assets suffered more. Long bond yields were also driven upward by higher-than-expected consumer (CPI) and producer (PPI) inflation, as well as high energy prices. Headline CPI and PPI each rose 0.4% higher than expected in February, while WTI crude oil surged to nearly $57 per barrel near the end of March. Concerns that the Federal Reserve's tightening cycle would cause a slowdown in economic growth became fully apparent in April. Investors became worried about a drop-off in U.S. consumer spending after it was reported that core (non-auto) retail sales grew only 0.1% in the most recent month, far lower than the 0.5% gain expected. There was also apprehension about a slowdown in the manufacturing sector, as the Empire State manufacturing survey fell from a reading of 20.2 in March to only 3.1 in April (much lower than the expected value of 18.0). These fears were exacerbated by the far weaker-than-expected durable goods report. Ultimately, the term "stagflation" reared its ugly head as investors worried that inflation would continue to accelerate, even if economic growth slowed materially. Much of the recent pickup in inflation was attributable to gains in energy prices, as the four-week average of the price of consumer gasoline nationwide rose another 8% during April, to finish at $2.29 per gallon. Favorable news from Corporate America has helped the markets so far this year. Consensus estimates of profit growth for the fourth quarter of 2004 rose to 20.4% from 15.2% during January and February. Moreover, the consensus estimate of the first quarter 2005 profit growth rose to 13.6% from 8.2% during the month of April, with over 75% of S&P 500 companies reporting. There were also indications that corporations were supported by large and growing cash reserves on balance sheets, which would better enable them to weather potentially rocky times ahead. However, company "guidance" about earnings expectations for the balance of the year was not quite as encouraging. The consensus expectation for the second quarter growth fell to 7.2% from 8.8% in April. 3 DOMESTIC EQUITY MARKET OVERVIEW -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- During the six-month period ending April 2005, the S&P 500 rose 3.3% overall, driven entirely by the gains in late 2004. Value continued its prolonged outperformance relative to growth as the pace of the economic recovery became a concern, with the Russell 1000 Value returning 6.7% and the Russell 1000 Growth rising a modest 1.1%. Small cap's reign in recent years faltered as the Russell 2000 Index fell 0.2%. Within the Russell 1000 Growth Index, more defensive sectors like utilities, energy and REITs were the best performers, while more cyclically sensitive areas such as finance and autos & transportation lagged. Retail underperformed as a whole and was dragged down by lower-end retailers feeling the brunt of higher gas prices on their customers. The insurance sector also declined as a whole as some of the industry's most prominent names were involved in scandal. 4 PERFORMANCE OVERVIEW AMERICAN BEACON BALANCED FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Balanced Fund's Institutional Class returned 6.18% for the six months ended April 30, 2005, outperforming the 60% S&P 500 Barra Value/40% Lehman Brothers Aggregate Index benchmark return of 2.57% and the Lipper Balanced Funds Index return of 2.67%.
ANNUALIZED TOTAL RETURNS --------------------------------------- PERIODS ENDED 4/30/05 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1).... 6.18% 11.39% 8.64% 9.66% PlanAhead Class(1)........ 5.93% 10.98% 8.38% 9.35% AMR Class(1).............. 6.20% 11.68% 8.95% 9.95% Lipper Balanced Funds Index.................... 2.67% 6.06% 2.22% 8.33% S&P 500 Index(2).......... 3.28% 6.34% -2.94% 10.26% S&P 500/Barra Value Index(2)................. 3.51% 9.72% 1.65% 10.36% Lehman Bros. Aggregate Index(2)................. 0.98% 5.26% 7.49% 7.14% Balanced Composite Index(3)................. 2.57% 8.02% 4.33% 9.41%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. The S&P 500 Index is an unmanaged index of common stocks publicly traded in the United States. The S&P 500/ Barra Value Index is a market value weighted index of stocks with book-to-price ratios in the top 50% of the S&P 500 Index. The Lehman Brothers Aggregate Index is a market value weighted index of government, corporate, mortgage-backed and asset-backed fixed-rate debt securities of all maturities. 3. 60% S&P 500/Barra Value, 40% LB Aggregate Index During the six-month period, the Fund's assets on average were invested 67% in equities (including equitized cash) and 33% in fixed-income securities, ending the period with 67% in equities/equitized cash and 33% in fixed-income securities. The equity portion of the Fund returned 10.8%, outperforming the S&P 500/Barra Value Index ("Barra Value Index") return of 3.5%. The Fund added value relative to the Barra Value Index mostly through stock selection, which was positive in seven out of ten sectors and also through sector allocation. Stock selection in the Consumer Discretionary and Consumer Staples sectors contributed most to the Fund's excess performance. In the Consumer Discretionary sector, the Fund's positions in Sears Holdings Corp. (up 44.2%) and MGM Mirage, Inc. (up 29.8%) had the largest impact, while Altria Group Inc. (up 37.2%) and Imperial Tobacco Group plc (up 26.6%) were the largest contributors to the positive performance of the Consumer Staples sector. Selection in the Financials, Industrials, and Health Care sectors were also a source of significant added value. Strong performers included Allstate Corp. (up 18.1%) and Prudential Financial Inc. (up 24.6%) in the Financials sector, Boeing Co. (up 20.3%) in the Industrials sector, and Aetna Inc. (up 54.5%) in the Health Care sector. Equity sector allocation also had an impact on the Fund's relative returns during the six-month period. The Fund was underweight in the Energy sector very early in the period but benefited from an overweight in this second-best performing sector of the Barra Value Index over the course of the six months. Overweighting the Health Care sector, which was the best performing sector of the Barra Value Index also added value, as well as underweights in the Financials and Telecommunications Services sector, that were two of the worst performing sectors of the Barra Value Index. The fixed-income portion of the Fund returned 0.2% for the six-month period, lagging the Lehman Brothers Aggregate Index ("Lehman Index") return of 1.0%. The Fund's fixed-income underperformance was due mostly to its significantly longer duration relative to the Lehman Index during February and the early part of March as interest rates were rising. 5 PERFORMANCE OVERVIEW AMERICAN BEACON BALANCED FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The sub-advisors continue to focus on the disciplined selection of attractive securities with a goal of long-term added value. TOP TEN EQUITY HOLDINGS
% OF EQUITIES -------- ConocoPhillips 2.9% Bank of America Corporation 2.9% Altria Group, Incorporated 2.5% Citigroup, Incorporated 2.5% MetLife, Incorporated 2.0% Occidental Petroleum Corporation 1.8% Washington Mutual, Incorporated 1.7% Allstate Corporation 1.7% Pfizer, Incorporated 1.6% Computer Associates International, Incorporated 1.6% ----- Total 21.2% Top Ten Equity Holdings as % of Total Net Assets 12.7%
EQUITY SECTOR ALLOCATION
% OF EQUITIES -------- Financials 29.5% Industrials 13.1% Energy 10.2% Consumer Staples 10.1% Consumer Discretionary 8.7% Health Care 8.0% Information Technology 7.4% Materials 6.1% Utilities 5.8% Telecommunication Services 1.1%
FIXED-INCOME SECTOR ALLOCATION
% OF FIXED INCOME ------------ U.S. Treasury 29.0% Mortgage-Backed 27.8% Corporates 26.6% Agency 14.8% Asset-Backed 1.8%
6 PERFORMANCE OVERVIEW AMERICAN BEACON LARGE CAP VALUE FUND(SM) April 30 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the Large Cap Value Fund returned 8.75% for the six months ended April 30, 2005, well ahead of the S&P 500/Barra Value Index ("Index") return of 3.51% and the Lipper Multi-Cap Value Funds Index return of 5.34%.
ANNUALIZED TOTAL RETURNS --------------------------------------- PERIODS ENDED 4/30/05 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1).............. 8.75% 15.47% 9.25% 10.98% PlanAhead Class(1)..... 8.60% 15.09% 8.95% 10.64% AMR Class(1)........... 8.90% 15.71% 9.54% 11.27% Lipper Multi-Cap Value Funds Index........... 5.34% 9.64% 6.16% 10.71% S&P 500 Index(2)....... 3.28% 6.34% -2.94% 10.26% S&P 500/Barra Value Index(2).............. 3.51% 9.72% 1.65% 10.36%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. The S&P 500 Index is an unmanaged index of common stocks publicly traded in the United States. The S&P 500/Barra Value Index is a market value weighted index of stocks with book-to-price ratios in the top 50% of the S&P 500 Index. The Fund produced positive returns and positive stock selection relative to the Index in every sector except Telecommunication Services. The Fund outperformed the Index primarily through strong stock selection, although sector allocation also added meaningfully to the excess performance. From a stock selection standpoint, the largest contributors were in the Consumer Discretionary, Consumer Staples, Industrials and Financials sectors. The companies with most impact in the Consumer Discretionary sector were Sears Holdings Corp. (up 44.2%) and J.C. Penney Company, Inc. (up 37.8%). In the Consumer Staples sector, Altria Group Inc. (up 37.2%) and Imperial Tobacco Group plc (up 26.6%) were the largest contributors. Boeing Co. (up 20.3%) in the Industrials sector and Allstate Corp. (up 18.1%) and Prudential Financial Inc. (up 24.6%) in the Financials sector also added meaningful value versus the Index. Sector weightings also added value during the period, as an underweight in the Energy sector early in the period became an overweight in this second-best performing sector of the Index. Also, an overweight in Health Care, which was the best performing sector of the Index, and an underweight in Financials (one of the poorer performing sectors of the Index) also contributed to added value through sector allocation. The sub-advisors continue to invest in a broadly diversified portfolio of companies that they believe have attractive valuations and above average earnings growth potential. This approach should allow the Fund to benefit over the long-term. TOP TEN HOLDINGS
% OF NET ASSETS ---------- ConocoPhillips 2.7% Bank of America Corporation 2.0% Altria Group, Incorporated 1.9% Citigroup, Incorporated 1.8% Tyco International Limited 1.6% Boeing Company 1.6% Washington Mutual, Incorporated 1.6% JP Morgan Chase & Company 1.6% MetLife, Incorporated 1.4% Allstate Corporation 1.3%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials 28.5% Industrials 12.4% Consumer Staples 10.2% Consumer Discretionary 9.5% Information Technology 9.3% Energy 9.0% Health Care 8.2% Utilities 5.5% Materials 5.4% Telecommunication Services 2.0%
7 PERFORMANCE OVERVIEW AMERICAN BEACON LARGE CAP GROWTH FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the Large Cap Growth Fund returned 0.30% for the six months ended April 30, 2005, compared to the Russell 1000 Growth Index ("Index") return of 1.14% and the Lipper Large-Cap Growth Funds Index return of 1.45%.
ANNUALIZED TOTAL RETURNS ------------------------------------------ PERIODS ENDED 4/30/05 ------------------------------------------ 6 MONTHS* 1 YEAR 3 YEAR SINCE INCEP. --------- ------ ------ ------------ Institutional Class(1).............. 0.30% 0.65% 1.66% -10.58% AMR Class(1)........... 0.31% 0.83% 1.72% -10.48% Lipper Large-Cap Growth Funds Index........... 1.45% 1.38% 0.21% -11.16% Russell 1000 Growth Index(2).............. 1.14% 0.40% 1.51% -10.89%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. Russell 1000 (R) Growth Index is a service mark of the Frank Russell Company. The Russell 1000 Growth Index is an unmanaged index of those stocks in the Russell 1000 Index with above-average price-to-book ratios and above-average forecasted growth values. This has been a mediocre period for U.S. growth stocks overall. During the six-month period, six out of ten sectors in the Russell 1000 Growth Index posted positive returns. The Fund lost relative value versus the Index primarily as a result of stock selection, although sector-weighting decisions were mildly detrimental as well. From a stock selection standpoint, the Fund added value in four of ten sectors. Two of the largest value added sectors for the Fund relative to the Index were Financials and Consumer Staples. An overweighting of Prudential Financial, Inc. (up 24.6%) and a position in Loews Corp. (up 18.8%) contributed most to the Financial sector's relative performance. In Consumer Staples, the Fund's overweighted position in Gillette Company (up 25.3%) in particular added value relative to the Index. Unfortunately, poor selection in the Health Care, Information Technology, Industrials and Consumer Discretionary sectors more than offset the positives elsewhere. The primary detractors were Biogen Idec, Inc. (down 37.7%) in the Health Care sector, Qualcomm, Inc. (down 16.2%), International Business Machines Corp. (down 14.6%) and Symantec Corp. (down 34.0%) in the Information Technology sector, Ryder Systems, Inc. (down 25.8%) in Industrials and Ebay, Inc. (down 35.0%) and Harman International Industries, Inc. (down 34.6%) in the Consumer Discretionary sector. Looking forward, the Fund's sub-advisors will continue to maintain a disciplined, long-term approach to equity investing in larger stocks with above average growth potential. TOP TEN HOLDINGS
% OF NET ASSETS ---------- Johnson & Johnson 5.8% Microsoft Corporation 4.9% Pfizer, Incorporated 4.3% Amgen, Incorporated 2.7% Procter & Gamble Company 2.4% Qualcomm, Incorporated 2.1% Intel Corporation 2.0% Coca-Cola Company 1.6% Cisco Systems, Incorporated 1.4% Time Warner, Incorporated 1.4%
SECTOR ALLOCATION
% OF EQUITIES -------- Health Care 25.6% Information Technology 24.3% Consumer Discretionary 16.6% Financials 11.3% Industrials 8.9% Consumer Staples 8.5% Energy 1.8% Utilities 1.1% Telecommunication Services 1.0% Materials 0.9%
8 PERFORMANCE OVERVIEW AMERICAN BEACON MID-CAP VALUE FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the Mid-Cap Value Fund returned 6.61% for the six-months ended April 30, 2005. The Fund trailed the Russell Midcap Value Index ("Index") return of 8.81% but outperformed the Lipper Mid-Cap Value Funds Index return of 5.18%.
TOTAL RETURNS ------------------------------------ PERIODS ENDED 4/30/05 ------------------------------------ 3 MONTHS* 6 MONTHS* SINCE INCEP. --------- --------- ------------ Institutional Class(1)........... -1.18% 6.61% 9.49% Lipper Mid-Cap Value Funds Index........ -2.10% 5.18% 5.78% Russell Midcap Value Index(2)........... 0.46% 8.81% 13.26%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. Russell Midcap(TM) Value Index is a trademark of the Frank Russell Company. The Russell Midcap Value Index is an unmanaged index of those stocks in the Russell Midcap Index with below-average price-to-book ratios and below-average forecasted growth values. The Fund underperformed the Index due to stock selection, as sector allocation added value. The Fund's investments in the Consumer Discretionary sector detracted most from performance, due to a large position in Lear Corp. (down 36.6%). Stock selection in the Financials, Information Technology and Utilities sectors also hurt the Fund's performance. In the Financials sector, large positions in TCF Financial Corp. (down 18.7%), South Financial Group, Inc. (down 11.1%) and Janus Capital Group Inc. (down 14.8%) had the largest impact. BearingPoint, Inc. (down 28.9%), was responsible for most of the underperformance in the Information Technology sector, while Pinnacle West Capital Corp. (up 0.6%) had the largest negative impact in the Utilities sector. The Fund's holdings in the Industrials and Health Care sectors added value relative to the Index, but not enough to offset the underperformance of the sectors mentioned above. Sector weightings added to the Fund's performance relative to the Index. A large overweight in Health Care, which was the best performing sector of the Index, and an underweight in Information Technology, the worst performing sector of the Index, were responsible for most of the excess performance attributable to sector allocation. The sub-advisors' philosophy of investing in undervalued companies that exhibit improving profitability and earnings growth potential should allow the Fund to benefit longer-term. TOP TEN HOLDINGS
% OF NET ASSETS ---------- Loews Corporation 2.7% Lear Corporation 2.0% Health Net, Incorporated 2.0% Marathon Oil Corporation 1.8% Wisconsin Energy Corporation 1.8% XL Capital Limited 1.8% Whirlpool Corporation 1.7% Torchmark, Incorporated 1.7% American Power Conversion Corporation 1.6% Wellchoice, Incorporated 1.6%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials 28.9% Consumer Discretionary 23.9% Industrials 17.1% Health Care 9.1% Utilities 7.9% Consumer Staples 6.7% Materials 3.1% Energy 2.0% Information Technology 1.3%
9 EMERGING MARKETS OVERVIEW April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- During the six months ending April 30, 2005, the emerging markets as measured by the MSCI Emerging Markets Index gained 13.4%. Emerging markets continued to outpace developed markets as robust global economic growth and rising commodity prices bolstered these markets. Investors were also enticed by the asset class' attractive relative valuations, strong corporate earnings and solid economic fundamentals consisting of positive current account balances, stronger currencies against the dollar and stabilized inflation. The period in review, however, did not end without some renewed volatility. After reaching new heights at the start of the year the emerging markets along with other global markets sold-off in March as global risk aversion spiked due to concerns of slowing global growth and rising inflation and interest rates in the U.S. While the parallels to the emerging markets April 2004 sell-off are striking, this year's correction differed from last year's. This year's sell-off was much more orderly compared to last year's experience with market weakness avoiding last year's magnitude. Markets were down on average 10% during this year's correction compared to 20% last year. Nevertheless, similarities were present. After reaching lows in each correction the asset class rebounded strongly as global markets stabilized. The resilience of emerging markets in each period can be attributed to the fact that economies have become more resilient to external shocks thanks to the adoption of better macroeconomic fundamentals, stronger fiscal performance and de-leveraging of corporate balance sheets. In terms of regional performance, Latin America (up 16.3%) was the best performing region, buoyed by strong commodity prices and a recovering U.S. economy. The region's economic growth expanded about 5.5% during the year, supported by a rebound in domestic consumption, strong oil and commodity exports, especially to China. Latin America's shining star, Brazil (up 21.5%), led the way with rising net capital inflows and strong exports. Furthering Brazil's attraction was the government's determination to push forth structural reforms. Mexico, despite recent political concerns, performed well gaining 11.1% as economic and earnings growth remained supportive. Emerging Asia, despite a strong April correction in early cyclical markets such as South Korea and Taiwan followed, returning 13.0%. South Korea, despite correcting in April, was among the best performing markets in the region, returning 20.6%. Investors -- foreign and local -- warmed to improving domestic economic data whilst locals returned to the market after a long absence. Indonesia was also strong, returning 17.8% on the back of improving economic growth and prospects of further economic reforms. The Emerging Europe Middle East and South Africa (EMEA) trailed all regions while returning a respectable 11.7%. Egypt was the best performing market returning 93.1% given attractive valuations, prospects for continued reform-led growth and improving political outlook. The Egyptian market has benefited from an attractive growth outlook given the pick up in structural reform momentum and the significant micro reform progress achieved to date. The reform process received a boost earlier this year from a significant cabinet reshuffle and the formation of a new government, led by Ahmed Nazif, the youngest Prime Minister in Egypt's modern history. Russia, despite rising oil prices, was the worst performing market falling 3.7%. Investor concern that the Yukos affair would lead to further oligarchs being prosecuted hampered market sentiment for much of the period in review. 10 PERFORMANCE OVERVIEW AMERICAN BEACON EMERGING MARKETS FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the Emerging Markets Fund returned 11.86% for the six months ended April 30, 2005. The Fund underperformed the MSCI Emerging Markets Index ("Index") return of 13.43% and the Lipper Emerging Market Funds Index return of 12.52%.
ANNUALIZED TOTAL RETURNS ------------------------------------- PERIODS ENDED 4/30/05 ------------------------------------- SINCE 6 MONTHS* 1 YEAR 3 YEARS INCEP. --------- ------ ------- ------ Institutional Class(1)... 11.86% 20.76% 16.95% 8.14% PlanAhead Class(1,2)..... 11.74% 20.51% 16.68% 7.98% AMR Class(1)............. 11.96% 21.03% 17.25% 8.43% Lipper Emg Mkt Funds Index................... 12.52% 23.83% 17.91% 7.83% MSCI Emg Mkts Index(3)... 13.43% 23.62% 17.52% 7.44%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. Fund performance for the three-year and since inception periods represents the total returns achieved by the Institutional Class from 7/31/00 up to 10/1/02, the inception date of the PlanAhead Class, and the returns of the PlanAhead Class since its inception. Expenses of the PlanAhead Class are higher than those of the Institutional Class. Therefore, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 7/31/00. 3. The MSCI Emerging Markets Index is a market capitalization weighted index composed of companies that are representative of the market structure of developing countries in Latin America, Asia, Eastern Europe, the Middle East and Africa. The Fund underperformed the Index over the six-month period due to Fund expenses, unfavorable country allocation and lower returns in the cash equitization account than the Index. Country allocation detracted value despite the Fund overweighting Egypt, which was the top-performing market for the six-month period with a return of over 90%. Unfortunately, the Fund also overweighted South Africa, which only gained 8.8%, and underweighted the Czech Republic (up 36.3%), South Korea (up 21.6%) and Israel (up 20.4%). Stock selection was positive in South Africa and South Korea, but was largely offset in Taiwan, Mexico and Egypt. In South Africa, MTN Group gained 31.0%, while Korea Electric Power returned 46.1% in South Korea. In Taiwan, United Microelectronics dropped 2.7% during the period, and in Mexico, Telefonos de Mexico gained less than 1%. In Egypt, despite owning five stocks that each gained over 30%, each of these stocks underperformed the country return of over 90%. The Fund's basic philosophy remains focused on investing in undervalued companies with above-average earnings growth expectations. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability and differences in accounting standards. The risks of investing in foreign equities are heightened when investing in emerging markets. TOP TEN HOLDINGS
% OF NET ASSETS ---------- Samsung Electronics Company Limited 2.5% LUKOIL Oil Company, ADR 2.4% Petroleo Brasileiro S.A., ADR 2.0% America Movil, S.A. de C.V., ADR 1.5% China Mobile (Hong Kong) Limited 1.4% United Microelectronics Corporation 1.4% Korea Electric Power Corporation 1.3% Wal-Mart de Mexico, S.A. de C.V. 1.3% Telefonos de Mexico, S.A. de C.V., ADR 1.2% Grupo Televisa, S.A., ADR 1.1%
11 PERFORMANCE OVERVIEW AMERICAN BEACON EMERGING MARKETS FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- SECTOR ALLOCATION
% OF EQUITIES -------- Financials 18.8% Telecommunications Services 14.4% Consumer Discretionary 12.7% Information Technology 12.5% Industrials 9.5% Materials 9.2% Energy 9.1% Consumer Staples 7.2% Utilities 5.0% Health Care 1.6%
COUNTRY ALLOCATION (PIE CHART)
OTHER EUROPE, MIDDLE SOUTH EAST, OTHER SOUTH KOREA AFRICA AFRICA TAIWAN BRAZIL MEXICO INDIA CHINA ASIA MALAYSIA ISRAEL - ----------- ------ ------- ------ ------ ------ ----- ----- ----- -------- ------ 16.5% 13.2% 12.8% 12.1% 10.9% 8.1% 7.7% 7.0% 6.7% 3.3% 0.9% OTHER LATIN SOUTH KOREA AMERICA - ----------- ------- 16.5% 0.8%
12 DOMESTIC BOND MARKET OVERVIEW April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- HIGH YIELD For the six months ended April 30, 2005, the high yield market was a study in dynamics, as the Lehman Brothers U.S. Corporate High Yield Index (the "Lehman Index") posted a 0.08% return. By the end of October, the Lehman Index spread over Treasuries had shrunk to 373, the tightest since July 1998. BB's had contracted to 219 and BB-B spread was 122, the tightest since the first half of 1998. The overall index spread would have been lower were it not for CCC's, which were averaging 306 over B's, still above the 242 spread reached in January 2004. In that environment, several BB's were trading as tight as 150 bps, which hardly met the traditional standard for high yield. At 12/31/2004, the Lehman Index reached 319 basis points over Treasuries. These spreads touched levels not reached since 1997 and 1986. Due to investors' thirst for yield, quality spreads compressed. The most striking was the difference between B's and BB's. In July 2002 it was 402. A year ago it was 147. At 2004 year-end, it was at an all-time low of 103 basis points. Part of the reason was a low occurrence of company distress, creating a better chance that today's B could be tomorrow's BB and today's BB could reach investment grade. These possibilities were mirrored in rating agency upgrades and downgrades, which reached their best ratio in seven years. For only the second time since 1990, the high yield market had a negative January total return, albeit a slim -0.13% for the Lehman Index. One possible cause of the market's performance was a $1.1 billion January outflow from mutual funds, the largest since May 2004. High yield spreads widened slightly in January, after last year's long, steady narrowing. One factor that has rattled the market was a potential downgrade of General Motors. It normally doesn't take equity or debt markets nearly as long to correct as it does for them to advance. Such was the case with the high yield market in March. Yield spreads widened out with stunning swiftness. On February 28, the J.P. Morgan High Yield Index was 309 basis points over Treasuries. The trough was 299 basis points on March 11. By month-end, barely 20 days later, spreads widened to 372 basis points. Price declines of 4-6 points on longer dated bonds were not uncommon. So what was the culprit? Sometimes the cause of a market correction is obvious, other times much more subtle. The biggest factors were: 1) the profit warning at General Motors and the attendant meltdown of its bonds (current spread is 490 bps over Treasuries; 2) new high on 5-year Treasury yields (not seen for three years); 3) a spike in oil prices back to $57; and 4) a $3.3 billion month of mutual fund outflow. A dormant market that paid little attention to varying risk levels awoke from its hibernation in April. The BB to B spread rose from 107 to 133 basis points and the CCC to B jumped from 244 to 315, both the widest levels since September. Market concern over a potential "ripple" effect from General Motors was evident in some institutional "rebalancing" away from high yield and another month of mutual fund outflows. Fortunately, the supply side of the picture was well under control as new issuance was the lowest since October 2002. As a result, the high yield market, which seemed destined to break $1 trillion at some time in 2004, has continued to hold steady in the $920 billion range. The coming months will prove to be very interesting for the high yield market. Will the credit spreads continue to tighten and allow questionable deals to be sold due to a seemingly insatiable appetite? Or will the market stabilize as continued economic growth provides a positive environment for companies to increase earnings and improve their balance sheets? The market consensus is that the highest probability for high yield's total return for the remainder of 2005 is between 5% and 6%, as returns are driven by individual company fundamental results rather than a big supply/demand imbalance or a rapid change in interest rates. 13 DOMESTIC BOND MARKET OVERVIEW -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- INVESTMENT GRADE For the six-month period ended April 30, 2005, the investment grade fixed-income market, as defined by the Lehman Brothers Aggregate Index (the "Index"), produced a 0.98% total return. For the first time since 2002, the U.S. Credit sector did not post the highest returns in the Index. Of the major asset classes, U.S. Credit returned 0.57%, Agencies returned 0.61%, Treasuries returned 0.96%, and Mortgages led the group at 1.44% during the period. The Treasury yield curve continued to flatten as the Federal Reserve Bank raised short-term interest rates while longer-term rates remained steady. The Federal Funds Rate was 2.75% at period end; however, it increased to 3.00% shortly thereafter. Additionally, further Fed rate hikes were priced into the market going forward. The U.S. Credit sector underperformed during this period as yield spreads widened in response to volatility in the auto sector. Due to the sheer size of the auto sector, the effects of its credit deterioration were felt across the entire credit market. Within the credit spectrum, triple-B rated securities posted the lowest returns at 0.01%, and triple-A rated securities returned 1.10%.
TOTAL RETURNS ---------------------- PERIODS ENDED 4/30/05 ---------------------- 6 MONTH 12 MONTH ------- -------- Lehman Aggregate 0.98% 5.26% Lehman Gov/Credit 0.75% 5.13% - ----------------------------------------------------- SECTOR U.S. Treasury 0.96% 5.19% U.S. Agency 0.61% 4.08% Mortgage-Backed 1.44% 5.62% Commercial MBS 0.44% 4.85% U.S. Credit 0.57% 5.51% Asset-Backed 0.43% 2.99% - ----------------------------------------------------- CREDIT RATING Aaa 1.07% 5.14% Aa 0.71% 5.02% A 1.10% 6.04% Baa 0.01% 5.49%
(source: Lehman Brothers) The Federal Reserve Bank maintained its measured pace of raising the Federal Funds Rate throughout the period. Their attention was focused on the increase in recent inflation indicators and on the stabilization in the job market, but neither of these factors was enough to encourage longer-term interest rates to rise. By historical standards, this recovery has been relatively slow, which has led many participants to doubt its sustainability. Additionally, the recent volatility in the credit markets sent many investors into the safe haven of Treasury securities. At period end, the Fed was nearing a point where further increases in short-term interest rates would threaten the positive slope of the Treasury yield curve. The Fed has several more months to monitor economic and market data, but longer-term interest rates may ultimately limit its remaining monetary policy considerations. (PERFORMANCE GRAPH)
2.89 1.89 ---- ---- 3.17 2.12 3.25 2.19 3.33 2.26 3.41 2.33 3.49 2.41 3.57 2.48 2 Yr. 3.65 2.55 3.67 2.61 3.69 2.67 3.71 2.73 3.73 2.79 3.75 2.85 3.77 2.92 3.79 2.98 3.81 3.04 3.83 3.10 3.85 3.16 3.87 3.22 5 Yr. 3.90 3.28 3.91 3.32 3.93 3.36 3.94 3.39 3.96 3.43 3.97 3.47 3.99 3.50 4.00 3.54 4.02 3.58 4.03 3.62 4.05 3.65 4.06 3.69 4.08 3.73 4.09 3.76 4.11 3.80 4.12 3.84 4.14 3.87 4.15 3.91 4.17 3.95 4.18 3.99 10 Yr. 4.20 4.02 4.20 4.03 4.21 4.04 4.21 4.05 4.21 4.06 4.22 4.07 4.22 4.08 4.23 4.09 4.23 4.10 4.23 4.11 4.24 4.12 4.24 4.13 4.25 4.14 4.25 4.15 4.25 4.16 4.26 4.17 4.26 4.18 4.26 4.19 4.27 4.20 4.27 4.20 4.28 4.21 4.28 4.22 4.28 4.23 4.29 4.24 4.29 4.25 4.30 4.26 4.30 4.27 4.30 4.28 4.31 4.29 4.31 4.30 4.32 4.31 4.32 4.32 4.32 4.33 4.33 4.34 4.33 4.35 4.34 4.36 4.34 4.37 4.34 4.38 4.35 4.39 4.35 4.40 4.36 4.41 4.36 4.42 4.36 4.43 4.37 4.43 4.37 4.44 4.38 4.45 4.38 4.46 4.38 4.47 4.39 4.48 4.39 4.49 4.39 4.50 4.40 4.51 4.40 4.52 4.41 4.53 4.41 4.54 4.41 4.55 4.42 4.56 4.42 4.57 4.43 4.58 4.43 4.59 4.43 4.60 4.44 4.61 4.44 4.62 4.45 4.63 4.45 4.64 4.45 4.65 4.46 4.65 4.46 4.66 4.47 4.67 4.47 4.68 4.47 4.69 4.48 4.70 4.48 4.71 4.49 4.72 4.49 4.73 4.49 4.74 4.50 4.75 4.50 4.76 4.51 4.77 4.51 4.78 30 Yr. 4.51 4.79
The steady improvement in credit spreads over the past two years was abruptly interrupted in April 2005 with announcements from the domestic auto manufacturers that their financial situation was growing more tenuous. Sharp earnings and cash flow reductions prompted the credit rating agencies to place the ratings of these auto manufacturers, and of the underlying suppliers, on watch for downgrade. The impacts of rising gasoline prices and strong foreign competition have steadily eroded the competitive advantage of the U.S. auto manufacturing sector. In total, auto sales are still very strong, at approximately 17 million units per year, but shrinking margins and the consumers' shift from large trucks to smaller vehicles has been costly for the domestic manufacturers. 14 DOMESTIC BOND MARKET OVERVIEW -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The size of the auto sector's outstanding debt, and its carryover effects on the high yield market, weighed heavily on the entire credit market. Spreads rose accordingly, and lower rated credits underperformed higher rated names. Also adding to volatility was an increase in pressure from equity investors who demanded greater returns. In recent months, aggressive shareholder actions led to increased leverage and other shareholder-friendly initiatives -- leaving bondholders with wider credit spreads. Though the economy has been improving gradually, the credit markets felt the pressure of the auto sector volatility and of a more aggressive equity investor. (PERFORMANCE GRAPH)
INDEX AAA CREDIT AA CREDIT A CREDIT BAA CREDIT ----- ---------- --------- -------- ---------- Jan-03 180.00 63.00 99.00 174.00 268.00 176.00 62.00 96.00 171.00 261.00 171.00 59.00 94.00 163.00 256.00 173.00 61.00 95.00 164.00 260.00 169.00 59.00 89.00 161.00 257.00 169.00 58.00 90.00 161.00 256.00 167.00 54.00 89.00 158.00 256.00 165.00 54.00 89.00 157.00 251.00 162.00 53.00 85.00 155.00 247.00 167.00 57.00 87.00 163.00 249.00 167.00 56.00 89.00 167.00 245.00 165.00 55.00 90.00 168.00 238.00 161.00 53.00 85.00 161.00 235.00 Apr-03 159.00 53.00 86.00 159.00 229.00 157.00 52.00 85.00 155.00 227.00 149.00 51.00 80.00 146.00 217.00 144.00 48.00 78.00 139.00 210.00 134.00 47.00 76.00 130.00 193.00 128.00 42.00 70.00 125.00 186.00 130.00 43.00 70.00 126.00 191.00 132.00 44.00 72.00 128.00 192.00 128.00 42.00 69.00 125.00 186.00 128.00 43.00 69.00 127.00 184.00 124.00 41.00 66.00 120.00 181.00 123.00 41.00 67.00 120.00 178.00 124.00 41.00 67.00 120.00 179.00 Jul-03 124.00 40.00 67.00 122.00 180.00 122.00 41.00 66.00 118.00 176.00 119.00 42.00 68.00 116.00 169.00 118.00 42.00 69.00 114.00 168.00 128.00 55.00 81.00 124.00 176.00 121.00 45.00 73.00 116.00 171.00 126.00 48.00 76.00 121.00 179.00 121.00 48.00 72.00 115.00 173.00 120.00 48.00 73.00 115.00 169.00 119.00 49.00 54.00 93.00 174.00 117.00 47.00 51.00 91.00 172.00 113.00 46.00 54.00 88.00 165.00 114.00 45.00 53.00 88.00 167.00 Oct-03 115.00 48.00 57.00 89.00 167.00 114.00 44.00 57.00 90.00 165.00 109.00 44.00 56.00 85.00 157.00 112.00 47.00 56.00 86.00 164.00 108.00 45.00 54.00 83.00 156.00 109.00 47.00 55.00 84.00 158.00 102.00 41.00 49.00 78.00 149.00 103.00 41.00 50.00 80.00 151.00 100.00 39.00 48.00 79.00 146.00 101.00 40.00 49.00 80.00 144.00 100.00 39.00 48.00 81.00 143.00 99.00 39.00 50.00 80.00 141.00 98.00 38.00 49.00 79.00 139.00 Jan-04 97.00 39.00 50.00 79.00 136.00 95.00 38.00 49.00 78.00 134.00 95.00 38.00 49.00 78.00 134.00 96.00 40.00 49.00 79.00 134.00 97.00 40.00 49.00 79.00 136.00 100.00 41.00 53.00 82.00 141.00 95.00 36.00 48.00 77.00 135.00 96.00 35.00 48.00 79.00 136.00 96.00 37.00 49.00 78.00 137.00 97.00 38.00 48.00 78.00 138.00 99.00 38.00 48.00 78.00 143.00 99.00 39.00 48.00 79.00 142.00 99.00 39.00 48.00 79.00 142.00 Apr-04 98.00 40.00 48.00 80.00 140.00 97.00 40.00 48.00 80.00 137.00 98.00 40.00 50.00 80.00 138.00 96.00 41.00 50.00 80.00 133.00 97.00 40.00 51.00 80.00 137.00 103.00 45.00 55.00 86.00 144.00 103.00 42.00 53.00 85.00 147.00 103.00 42.00 53.00 86.00 145.00 102.00 40.00 54.00 85.00 144.00 103.00 41.00 56.00 85.00 145.00 102.00 42.00 56.00 86.00 144.00 102.00 42.00 56.00 86.00 143.00 101.00 41.00 55.00 85.00 141.00 Jul-04 103.00 42.00 57.00 87.00 145.00 103.00 42.00 56.00 87.00 145.00 102.00 41.00 56.00 87.00 142.00 101.00 42.00 56.00 86.00 141.00 99.00 41.00 54.00 85.00 137.00 101.00 42.00 54.00 87.00 141.00 99.00 38.00 52.00 84.00 140.00 99.00 39.00 53.00 85.00 138.00 97.00 38.00 53.00 83.00 136.00 96.00 38.00 53.00 82.00 134.00 96.00 39.00 52.00 82.00 135.00 94.00 40.00 51.00 81.00 132.00 94.00 38.00 51.00 79.00 132.00 Oct-04 94.00 40.00 54.00 80.00 131.00 93.00 40.00 53.00 79.00 130.00 93.00 39.00 52.00 79.00 131.00 95.00 39.00 52.00 78.00 135.00 93.00 38.00 51.00 77.00 131.00 89.00 37.00 48.00 75.00 127.00 87.00 35.00 48.00 73.00 124.00 87.00 35.00 48.00 73.00 122.00 85.00 34.00 45.00 70.00 122.00 86.00 35.00 47.00 71.00 123.00 83.00 32.00 46.00 68.00 120.00 84.00 34.00 48.00 69.00 120.00 83.00 34.00 47.00 68.00 118.00 83.00 34.00 48.00 69.00 119.00 Jan-05 82.00 34.00 46.00 68.00 118.00 84.00 34.00 46.00 68.00 121.00 84.00 34.00 46.00 68.00 123.00 81.00 33.00 44.00 65.00 119.00 80.00 32.00 45.00 66.00 117.00 79.00 30.00 43.00 64.00 116.00 79.00 31.00 43.00 64.00 115.00 77.00 31.00 42.00 63.00 113.00 78.00 32.00 44.00 64.00 113.00 77.00 32.00 42.00 63.00 112.00 84.00 34.00 46.00 67.00 124.00 86.00 36.00 47.00 67.00 129.00 Apr-05 94.00 38.00 50.00 74.00 141.00 94.00 38.00 51.00 73.00 142.00 106.00 40.00 54.00 79.00 167.00 99.00 39.00 53.00 75.00 153.00 102.00 39.00 53.00 77.00 158.00
The Mortgage sector produced the most attractive returns during the period, at 1.44%, reflecting lower prepayment rates and stable longer-term interest rates. In general, Mortgages perform well when longer-term rates are range bound and when refinancing activity is low and stable. The high credit quality of this sector helped too. Although criticism of the government agencies' accounting and management practices continued during the period, their underlying mortgage-backed and unsecured bonds performed well. Overall, the broad fixed-income markets posted positive returns during this period despite rising interest rates. In the past, a recovering economy and a rising Federal Funds Rate did not bode well for the bond market. However, given the mild recovery, the comfortable level of inflation, and the strong demand for Treasuries, fixed-income markets performed relatively well. 15 PERFORMANCE OVERVIEW AMERICAN BEACON HIGH YIELD BOND FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the High Yield Bond Fund returned -0.29% for the six months ended April 30, 2005. The Lipper High Current Yield Funds Index returned 0.31% and the Lehman Brothers Corporate High Yield Index ("Lehman Index") posted a return of 0.08% for the six-month period. Although the Fund trailed its indices for the six-month period, it has outperformed for the calendar year-to-date period.
ANNUALIZED TOTAL RETURNS -------------------------------------- PERIODS ENDED 4/30/05 -------------------------------------- SINCE 6 MONTHS* 1 YEARS 3 YEARS INCEP. --------- ------- ------- ------ Institutional Class(1)... -0.29% 4.75% 8.86% 9.41% PlanAhead Class(1, 2).... -0.50% 4.48% 8.47% 8.97% Service Class(1,3)....... -0.66% 4.07% 8.00% 8.64% Lehman Bros. High Yield Index(4)............... 0.08% 6.53% 10.07% 8.95% Lipper High Current Yield Funds Index............ 0.31% 5.87% 9.32% 6.47%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. Fund performance for the since inception period represents the total returns achieved by the Institutional Class from 12/29/00 up to 3/1/02, the inception date of the PlanAhead Class, and the returns of the PlanAhead Class since its inception. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 12/29/00. 3. Fund performance for the since inception period represents the total returns achieved by the Institutional Class from 12/29/00 up to 3/1/02, the returns of the PlanAhead Class from 3/1/02 up to 5/1/03 (the inception date of the Service Class), and the returns of the Service Class since its inception. Expenses of the Service Class are higher than those of the Institutional and PlanAhead Classes. As a result, total returns shown may be higher than they would have been had the Service Class been in existence since 12/29/00. 4. The Lehman Brothers U.S. Corporate High Yield Index is an unmanaged index of fixed income securities with a maximum credit rating of Ba1, a minimum amount outstanding of $100 million, and at least one year to maturity. The Fund, relative to the Lehman Index, was underweighted in two (Transportation and Communication) of the top three best performing sectors. The Transportation and Communication sectors outperformed the Lehman Index with returns of 2.9% and 1.5%, respectively. The Fund was also impacted by an overweighting in the Consumer Cyclical sector, the worst sector for the period, as it dropped 2.1%. The Fund had an overweighting in Financials (the best sector for the period with a return of 6.0%) and Consumer Non-Cyclicals (up 0.6%) as both sectors outperformed the Lehman Index. Additionally, the Fund underweighted the Energy and Utility sectors, which both failed to outperform the Lehman Index with returns of -0.2% and 0.0%, respectively. The sub-advisor's "bottom up" investment process, with a focus on companies with strong cash flow and fundamental credit strength, began to come back into favor as the period came to a close. Higher-rated securities reversed course from 2004 and outperformed the lower-rated securities in the first four months of 2005. The sub-advisor believes that its comprehensive research approach, which has generated outperformance for the Fund in the past, will continue to deliver strong performance over the long term. Investing in high yield securities involves additional risks when compared to investing in investment grade securities. These include a greater risk of default or bankruptcy and an increased sensitivity to financial difficulties or changes in interest rates. 16 PERFORMANCE OVERVIEW AMERICAN BEACON HIGH YIELD BOND FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- TOP TEN HOLDINGS
% OF NET ASSETS ---------- Echostar DBS Corporation, 6.625%, Due 10/1/2014, 144A 1.6% Qwest Services Corporation, 14.00%, Due 12/15/2010, 144A 1.3% UNOVA, Incorporated, 7.00%, Due 3/15/2008 1.2% Kabel Deutschland GMBH, 10.625%, Due 7/1/2014, 144A 1.1% Turning Stone Casino Resort, 9.125%, Due 12/15/2010, 144A 1.1% HCA, Incorporated, 8.36%, Due 4/15/2024 1.0% Biovail Corporation, 7.875%, Due 4/1/2010 1.0% Transdigm, Incorporated, 8.375%, Due 7/15/2011 0.9% Unisys Corporation, 7.875%, 4/1/2008 0.9% Woolworth Corporation, 8.50%, Due 1/15/2022 0.9%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate 100.0%
17 PERFORMANCE OVERVIEW AMERICAN BEACON ENHANCED INCOME FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The PlanAhead Class of the Enhanced Income Fund returned 0.16% for the six months ended April 30, 2005. Its benchmark, a blend of 75% Lehman Brothers Gov/Credit Intermediate Index and 25% Merrill Lynch All U.S. Convertibles Index ("Benchmark"), returned -0.48%. The Fund's peer group, the Lipper Intermediate Investment Grade Index, returned 1.16% over the period.
ANNUALIZED TOTAL RETURNS -------------------------------- PERIODS ENDED 4/30/05 -------------------------------- SINCE 6 MONTHS* 1 YEAR INCEPTION --------- ------ --------- PlanAhead Class(1).......... 0.16% 2.57% 2.81% Lipper Interm. Investment Grade Index............... 1.16% 5.01% 3.02% Enhanced Income Composite Index(2).................. -0.48% 2.32% 3.08%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance shown in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. 75% Lehman Bros. Gov/Credit Intermediate Index, 25% Merrill Lynch All U.S. Convertibles Index. The Lehman Bros. Gov./Credit Intermediate Index is an unmanaged index of investment grade corporate and government debt issues with maturities between one and ten years. The Merrill Lynch All U.S. Convertibles Index is an unmanaged index of domestic securities convertible into U.S. dollar-denominated common stock, ADRs or cash equivalents with greater than $50 million aggregate market value at issuance. The Merrill Lynch Index includes securities of all quality grades. The Fund's assets have been allocated approximately 75% to American Beacon Advisors, Inc. (the "Manager") which invests primarily in income producing, short- and intermediate-term investment grade bonds and 25% to a sub-advisor which invests in securities including convertible bonds, convertible preferreds, high yield bonds and equities in order to try to enhance the return of the overall Fund. For the six-month period, the investment grade bond portion of the Fund returned 0.6% compared to a 0.0% return for Lehman Brothers Gov/Credit Intermediate Index ("Lehman Index"). The Corporate sector of the Lehman Index produced negative returns for the period primarily due to spread widening induced by deteriorating fundamentals within the auto industry. Although the Manager's portion of the Fund was overweight Corporates, value was added relative to the Lehman Index in this sector through good security selection. Likewise, security selection in the Treasuries sector was positive for relative returns. In addition, the Manager's holdings in Mortgages added value, since they produced higher returns than any other sector in the Manager's portion of the Fund. Overall, the duration of the Manager's portion of the Fund was neutral to the Lehman Index during the six-month period. The remaining portion of the Fund managed by the Fund's sub-advisor returned -1.2%. These results beat the -2.1% return of the Merrill Lynch All U.S. Convertibles Index ("ML Index") but were a drag on the Fund's absolute return. This portion of the Fund benefited most from owning corporate bonds and from owning fewer non-investment grade convertible securities relative to the ML Index. The Fund's investment advisors remain focused on the Fund's investment objectives of generating income and capital appreciation. TOP TEN HOLDINGS
% OF NET ASSETS ---------- U.S. Treasury Notes, 4.75%, Due 5/15/2014 4.9% U.S. Treasury Notes, 4.00%, Due 2/15/2014 4.4% U.S. Treasury Notes, 5.00%, Due 8/15/2011 3.9% U.S. Treasury Notes, 5.00%, Due 2/15/2011 3.2% Prudential Insurance Company of America, 6.375%, Due 7/23/2006 1.8% Household Finance Corporation, 5.75%, Due 1/30/2007 1.6% Wachovia Corporation, 6.40%, Due 4/1/2008 1.4% Credit Suisse First Boston USA, Incorporated, 5.875%, Due 8/1/2006 1.4% Heller Financial, Incorporated, 6.375%, Due 3/15/2006 1.4% St. George Bank Limited, 7.15%, Due 10/15/2005 1.4%
18 PERFORMANCE OVERVIEW AMERICAN BEACON ENHANCED INCOME FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- FIXED-INCOME SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporates 57.9% U.S. Treasury 19.2% Corporate Convertibles 11.5% Mortgage-Backed 9.3% U.S. Agency 1.1% Asset-Backed 1.0%
EQUITY SECTOR ALLOCATION
% OF EQUITIES -------- Consumer Discretionary 29.0% Financials 28.8% Energy 10.9% Information Technology 9.7% Telecommunication Services 9.3% Industrials 7.9% Health Care 4.4%
19 PERFORMANCE OVERVIEW AMERICAN BEACON INTERMEDIATE BOND FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the Intermediate Bond Fund returned 1.10% for the six months ended April 30, 2005, ahead of the Lehman Brothers Aggregate Index ("Index") return of 0.98% and slightly lagging the Lipper Intermediate Investment Grade Index return of 1.16%.
ANNUALIZED TOTAL RETURNS -------------------------------------- PERIODS ENDED 4/30/05 -------------------------------------- SINCE 6 MONTHS* 1 YEARS 5 YEARS INCEP. --------- ------- ------- ------ Institutional Class(1)............ 1.10% 5.03% 7.15% 6.15% PlanAhead Class(1,2).. 0.69% 4.38% 6.61% 5.72% Lipper Interm. Investment Grade Index............... 1.16% 5.01% 7.21% 6.22% Lehman Bros. Agg. Index(3)............ 0.98% 5.26% 7.49% 6.72%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. Fund performance for the since inception period represents the total returns achieved by the Institutional Class from 9/15/97 up to 3/2/98, the inception date of the PlanAhead Class, and the returns of the PlanAhead Class since its inception. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 9/15/97. 3. Since inception return is from 8/31/97. The Lehman Brothers Aggregate Index is a market value weighted index of government, corporate, mortgage-backed and asset-backed fixed-rate debt securities of all maturities. The Fund added value relative to the Index due to security selection primarily in the U.S. Treasuries and Corporate sectors. In the U.S. Treasury sector, outperformance was a result of the Fund holding longer duration Treasuries that outperformed during the period. The Fund's holdings in the Corporate sector outperformed the Index, which accounted for some excess performance. However, the Fund's overweight in the sector, which was an underperforming sector within the Index, offset the gains achieved through security selection. The Fund also added value by underweighting Agencies, but that added value was lost through poor selection in the sector. The Fund's duration was generally somewhat longer than the Index over the course of the six months, which proved to be beneficial. The Fund's investment managers remain focused on a conservative approach toward investing in the bond market, focusing on issuer-specific opportunities TOP TEN HOLDINGS
% OF NET ASSETS ---------- Federal National Mortgage Association, Pool #725238, 5.00%, Due 3/1/2034 3.1% Federal Home Loan Mortgage Corporation, 6.00%, Due 12/11/2033 2.2% Federal National Mortgage Association, Discount Note, Due 6/13/2005 2.2% U.S. Treasury Notes, 3.375%, Due 9/15/2009 2.2% Federal Home Loan Mortgage Corporation, 4.25%, Due 7/15/2009 1.9% Government National Mortgage Association, Pool #003515, 5.50%, Due 2/20/2034 1.8% U.S. Treasury Notes, 4.625%, Due 5/15/2006 1.6% Federal National Mortgage Association, Pool #254545, 5.00%, Due 12/1/2017 1.5% Federal National Mortgage Association, Pool #555880, 5.50%, Due 11/1/2033 1.5% U.S. Treasury Bonds, 5.375%, Due 2/15/2031 1.4%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Mortgage-Backed 38.7% Corporates 33.5% U.S. Treasury 15.5% U.S. Agency 9.7% Asset-Backed 2.6%
20 PERFORMANCE OVERVIEW AMERICAN BEACON SHORT-TERM BOND FUND(SM) April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- The Institutional Class of the Short-Term Bond Fund returned 0.10% for the six months ended April 30, 2005, ahead of the Merrill Lynch 1-3 Year Gov/Corp Index (the "Index") return of 0.05% but below the Lipper Short Investment Grade Bond Funds Index ("Lipper") return of 0.33%.
ANNUALIZED TOTAL RETURNS --------------------------------------- PERIODS ENDED 4/30/05 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1)............. 0.10% 1.34% 5.02% 5.34% PlanAhead Class(1)..... -0.18% 0.89% 4.52% 4.84% Lipper Short Inv. Grade Index................ 0.33% 1.68% 4.44% 5.03% Merrill Lynch 1-3 Yr. Gov./Corp. Index(2).. 0.05% 1.36% 5.08% 5.54%
* Not annualized. 1. Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2. The Merrill Lynch 1-3 Yr. Gov./Corp. Index is a market value weighted performance benchmark for government and corporate fixed-rate debt securities with maturities between one and three years. According to the Index, the Agency sector produced the highest total return, at 0.12%, followed by Corporates at 0.04%, and Treasuries at 0.01%. Outside of the Index, the 0-3 year Mortgage sector produced a 1.00% total return, the "AAA" rated Credit Card Asset Backed Sector and the Auto Asset Backed sectors returned approximately 0.25%. The Fund's largest position, 69.5% of assets, was in the Corporate sector where the Fund was overweight both the Index and Lipper. The Fund's Corporate holdings outperformed the Index due to their relatively short duration, in a rising interest rate environment, and due to security selection. The Corporate sector, in general, began to experience volatility towards period end as the auto sector downgrades and other credit events caused spreads to widen. The Fund was somewhat protected from the spread widening due to its short duration in this sector. The Fund's second largest position, 20.4% of assets, was invested in "AAA" rated Auto and Credit Card Asset Backed securities, and produced a total return of 0.28%. This overweight position contributed to the outperformance relative to the Index as this sector outperformed all of the Index sectors due primarily to its high credit quality. Finally, the Fund held a small position in the Mortgage sector, 4.5% of assets, which contributed to the Fund's outperformance relative to the Index as this sector outperformed all of the Index sectors. Mortgages benefited from their relatively short duration in a rising interest rate environment and from a decline in prepayment activity during the period. The Fund's position, however, was underweight relative to Lipper and accounted for some of the Fund's underperformance relative to Lipper. Overall, the Fund benefited from its slightly short duration and from security selection within the Corporate sector. Its holdings in the Mortgage and Asset Backed sectors also contributed to performance. Given the outlook for short-term interest rates and credit spreads, the Fund will likely maintain a similar posture going forward. 21 PERFORMANCE OVERVIEW AMERICAN BEACON SHORT-TERM BOND FUND(SM) -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- TOP TEN HOLDINGS
% OF NET ASSETS ---------- Prudential Insurance Company of America, 6.375%, Due 7/23/2006, 144A 3.3% Chemical Master Credit Card Trust 1996-2 A, 5.98%, Due 9/15/2008 3.2% Federal National Mortgage Association, 2.75%, Due 8/15/2006 3.2% Hertz Corporation, 4.70%, Due 10/2/2006 3.1% Citibank Credit Card Issuance Trust 2004-A4 A4, 3.20%, Due 8/24/2009 3.1% MetLife Global Funding I, 3.375%, Due 10/5/2007, 144A 3.1% DaimlerChrysler Auto Trust 2004-C A4, 3.28%, Due 12/8/2009 3.1% Wachovia Corporation, 6.40%, Due 4/1/2008 2.9% Heller Financial, Incorporated, 6.375%, Due 3/15/2006 2.7% Synovus Financial Corporation, 7.25%, Due 12/15/2005 2.7%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporates 69.5% Asset-Backed 20.4% Agency 5.6% Mortgage-Backed 4.5%
22 FUND EXPENSES April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- FUND EXPENSE EXAMPLE As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees if applicable, and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in a particular 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 invested at the beginning of the period in each Class and held for the entire period from November 1, 2004 through April 30, 2005. ACTUAL EXPENSES The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your 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 "Expenses Paid During Period" row estimate the expenses you paid on your account during this period. Shareholders of the PlanAhead and Institutional Classes that invest in a Fund through an IRA may be subject to a custodial IRA fee of $12 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $12 higher.
LARGE CAP LARGE CAP MID-CAP EMERGING HIGH YIELD INTERMEDIATE SHORT-TERM INSTITUTIONAL CLASS BALANCED VALUE GROWTH VALUE MARKETS BOND BOND BOND - ------------------- --------- --------- --------- --------- --------- ---------- ------------ ---------- Beginning Account Value 11/1/04................... $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 4/30/05................... $1,061.79 $1,087.52 $1,003.00 $1,066.14 $1,118.58 $ 997.11 $,1010.98 $1,000.97 Expenses Paid During Period* 11/1/04-4/30/05........... $ 2.73 $ 3.20 $ 3.74 $ 5.19 $ 8.13 $ 4.20 $ 1.59 $ 1.61 Annualized Expense Ratio.... 0.53% 0.62% 0.75% 1.01% 1.55% 0.85% 0.32% 0.32%
LARGE CAP EMERGING HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM PLANAHEAD CLASS BALANCED VALUE MARKETS BOND INCOME BOND BOND - --------------- --------- --------- --------- ---------- --------- ------------ ---------- Beginning Account Value 11/1/04........................ $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 4/30/05..... $1,059.31 $1,085.96 $1,117.44 $ 994.97 $1,001.63 $1,006.92 $ 998.17 Expenses Paid During Period* 11/1/04-4/30/05................ $ 4.48 $ 4.48 $ 10.30 $ 5.39 $ 4.92 $ 4.73 $ 4.45 Annualized Expense Ratio......... 0.88% 0.87% 1.96% 1.09% 0.99% 0.95% 0.90%
HIGH YIELD SERVICE CLASS BOND - ------------- ---------- Beginning Account Value 11/1/04...................... $1,000.00 Ending Account Value 4/30/05... $ 993.41 Expenses Paid During Period* 11/1/04-4/30/05.............. $ 7.24 Annualized Expense Ratio....... 1.46%
LARGE CAP LARGE CAP EMERGING AMR CLASS BALANCED VALUE GROWTH MARKETS - --------- --------- --------- --------- --------- Beginning Account Value 11/1/04...................... $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 4/30/05... $1,062.03 $1,089.05 $1,003.09 $1,119.59 Expenses Paid During Period* 11/1/04-4/30/05.............. $ 1.73 $ 1.87 $ 3.36 $ 6.71 Annualized Expense Ratio....... 0.34% 0.36% 0.68% 1.28%
- --------------- * Expenses are equal to the Fund's annualized expense ratios for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. 23 FUND EXPENSES April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The following table provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund's actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the PlanAhead and Institutional Classes that invest in a Fund through an IRA may be subject to a custodial IRA fee of $12 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $12 higher. You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by a Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the "Expenses Paid During Period" lines of the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
LARGE CAP LARGE CAP MID-CAP EMERGING HIGH YIELD INTERMEDIATE SHORT-TERM INSTITUTIONAL CLASS BALANCED VALUE GROWTH VALUE MARKETS BOND BOND BOND - ------------------- --------- --------- --------- --------- --------- ---------- ------------ ---------- Beginning Account Value 11/1/04.................... $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 4/30/05.................... $1,022.14 $1,021.73 $1,021.06 $1,019.77 $1,017.12 $1,020.59 $1,023.21 $1,023.18 Expenses Paid During Period* 11/1/04-4/30/05............ $ 2.68 $ 3.09 $ 3.78 $ 5.08 $ 7.74 $ 4.25 $ 1.60 $ 1.63 Annualized Expense Ratio..... 0.53% 0.62% 0.75% 1.01% 1.55% 0.85% 0.32% 0.32%
LARGE CAP EMERGING HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM PLANAHEAD CLASS BALANCED VALUE MARKETS BOND INCOME BOND BOND - --------------- --------- --------- --------- ---------- --------- ------------ ---------- Beginning Account Value 11/1/04........................ $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 4/30/05..... $1,020.44 $1,020.50 $1,015.07 $1,019.39 $1,019.88 $1,020.08 $1,020.34 Expenses Paid During Period* 11/1/04-4/30/05................ $ 4.40 $ 4.34 $ 9.80 $ 5.45 $ 4.96 $ 4.76 $ 4.50 Annualized Expense Ratio......... 0.88% 0.87% 1.96% 1.09% 0.99% 0.95% 0.90%
HIGH YIELD SERVICE CLASS BOND - ------------- ---------- Beginning Account Value 11/1/04...................... $1,000.00 Ending Account Value 4/30/05... $1,017.54 Expenses Paid During Period* 11/1/04-4/30/05.............. $ 7.32 Annualized Expense Ratio....... 1.46%
LARGE CAP LARGE CAP EMERGING AMR CLASS BALANCED VALUE GROWTH MARKETS - --------- --------- --------- --------- --------- Beginning Account Value 11/1/04...................... $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 4/30/05... $1,023.11 $1,023.00 $1,021.44 $1,018.46 Expenses Paid During Period* 11/1/04-4/30/05.............. $ 1.70 $ 1.82 $ 3.39 $ 6.39 Annualized Expense Ratio....... 0.34% 0.36% 0.68% 1.28%
- --------------- * Expenses are equal to the Fund's annualized expense ratios for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. 24 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) U.S. TREASURY OBLIGATIONS - 9.03% U.S. TREASURY BONDS - 1.50% 7.50%, Due 11/15/2016(+)..... $ 1,100 $ 1,413 9.125%, Due 5/15/2018(+)..... 1,750 2,563 7.875%, Due 2/15/2021(+)..... 500 687 6.875%, Due 8/15/2025(+)..... 1,580 2,048 6.25%, Due 5/15/2030(+)...... 1,510 1,880 5.375%, Due 2/15/2031(+)..... 2,200 2,485 --------- TOTAL U.S. TREASURY BONDS.................. 11,076 --------- U.S. TREASURY NOTES - 7.53% 1.50%, Due 3/31/2006(+)...... 34,420 33,845 4.625%, Due 5/15/2006(+)..... 3,745 3,791 3.375%, Due 11/15/2008(+).... 3,000 2,959 3.875%, Due 5/15/2009(+)..... 500 501 3.375%, Due 9/15/2009(+)..... 2,225 2,182 5.75%, Due 8/15/2010(+)...... 1,700 1,847 5.00%, Due 2/15/2011(+)...... 2,350 2,477 5.00%, Due 8/15/2011(+)...... 1,700 1,795 4.375%, Due 8/15/2012(+)..... 2,000 2,046 4.75%, Due 5/15/2014(+)...... 900 938 4.25%, Due 8/15/2014(+)...... 2,505 2,516 4.00%, Due 2/15/2015(+)...... 800 787 --------- TOTAL U.S. TREASURY NOTES.................. 55,684 --------- TOTAL U.S. TREASURY OBLIGATIONS............ 66,760 --------- U.S. AGENCY OBLIGATIONS - 4.92% FEDERAL HOME LOAN MORTGAGE CORPORATION - 4.19% 3.625%, Due 9/15/2006........ 15,000 14,971 5.875%, Due 3/21/2011(+)..... 495 528 4.875%, Due 11/15/2013(+).... 500 512 4.50%, Due 1/15/2015(+)...... 15,080 14,991 --------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION... 31,002 --------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.73% Discount Note, Due 6/13/2005.................. 2,025 2,018 5.125%, Due 1/2/2014......... 595 607 7.25%, Due 5/15/2030(+)...... 550 728 6.00%, Due 12/11/2033........ 1,980 2,032 --------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............ 5,385 --------- TOTAL U.S. AGENCY OBLIGATIONS............ 36,387 ---------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 8.72% FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.72% Pool #G10084, 6.50%, Due 3/1/2008............... $ 731 $ 748 Pool #E90777, 5.50%, Due 8/1/2017............... 106 109 Pool #G11295, 5.50%, Due 9/1/2017............... 572 586 Pool #E96536, 5.00%, Due 3/1/2018............... 1,236 1,247 Pool #E01386, 5.00%, Due 6/1/2018............... 671 677 Pool #E97381, 5.50%, Due 6/1/2018............... 229 235 Pool #E01492, 5.50%, Due 10/1/2018.............. 1,020 1,045 Pool #B12563, 5.00%, Due 2/1/2019............... 634 639 Pool #E01602, 4.50%, Due 3/1/2019............... 1,330 1,318 Pool #C26472, 6.50%, Due 5/1/2029............... 136 142 Pool #C27089, 6.50%, Due 6/1/2029............... 22 23 Pool #C00835, 6.50%, Due 7/1/2029............... 381 397 Pool #G01457, 6.00%, Due 8/1/2029............... 183 189 Pool #G01533, 6.00%, Due 3/1/2033............... 951 978 Pool #C01598, 5.00%, Due 8/1/2033............... 1,484 1,473 Pool #A12149, 6.00%, Due 8/1/2033............... 836 859 Pool #C01786, 5.50%, Due 2/1/2034............... 2,152 2,177 Pool #C01796, 5.00%, Due 3/1/2034............... 1,818 1,801 Pool #C01848, 6.00%, Due 6/1/2034............... 1,664 1,709 Pool #A28109, 5.50%, Due 10/1/2034.............. 1,431 1,447 Pool #A27483, 6.00%, Due 10/1/2034.............. 1,162 1,194 Pool #A30948, 5.50%, Due 1/1/2035............... 1,128 1,142 --------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION... 20,135 ---------
See accompanying notes - -------------------------------------------------------------------------------- 25 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.90% Pool #488099, 5.50%, Due 2/1/2014............... $ 390 $ 400 Pool #323789, 6.00%, Due 6/1/2014............... 305 317 Pool #535846, 6.00%, Due 4/1/2016............... 745 772 Pool #254545, 5.00%, Due 12/1/2017.............. 1,567 1,581 Pool #555549, 5.00%, Due 6/1/2018............... 1,889 1,905 Pool #254865, 4.50%, Due 9/1/2018............... 2,278 2,259 Pool #100292, 10.00%, Due 9/1/2018............... 190 214 Pool #747844, 5.50%, Due 12/1/2018.............. 135 138 Pool #761337, 5.00%, Due 4/1/2019............... 363 365 Pool #252211, 6.00%, Due 1/1/2029............... 899 926 Pool #725706, 6.00%, Due 8/1/2032............... 456 473 Pool #555531, 5.50%, Due 6/1/2033............... 752 760 Pool #713999, 5.50%, Due 7/1/2033............... 807 816 Pool #727223, 5.50%, Due 9/1/2033............... 1,315 1,329 Pool #749219, 5.50%, Due 10/1/2033.............. 799 808 Pool #555880, 5.50%, Due 11/1/2033.............. 1,976 1,997 Pool #758322, 5.50%, Due 12/1/2033.............. 1,735 1,754 Pool #725238, 5.00%, Due 3/1/2034............... 4,326 4,296 Pool #765304, 5.50%, Due 3/1/2034............... 666 673 Pool #255225, 5.50%, Due 6/1/2034............... 876 885 Pool #725866, 4.50%, Due 9/1/2034............... 1,255 1,212 Pool #801716, 5.50%, Due 10/1/2034.............. 881 890 Pool #796229, 6.00%, Due 11/1/2034.............. 1,080 1,110 Pool #781822, 6.00%, Due 12/1/2034.............. 1,804 1,853 Pool #812630, 5.50%, Due 2/1/2035............... 619 625 Pool #815762, 6.50%, Due 3/1/2035............... 475 494 --------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 28,852 ---------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.10% Pool #780085, 11.50%, Due 8/15/2018.............. $ 153 $ 171 Pool #780400, 7.00%, Due 12/15/2025............. 161 171 Pool #781200, 8.00%, Due 12/15/2025............. 181 197 Pool #780509, 6.50%, Due 2/15/2027.............. 250 263 Pool #780615, 6.50%, Due 8/15/2027.............. 298 313 Pool #780651, 7.00%, Due 10/15/2027............. 340 361 Pool #780680, 6.50%, Due 11/15/2027............. 758 797 Pool #780747, 6.50%, Due 3/15/2028.............. 289 304 Pool #780788, 6.50%, Due 4/15/2028.............. 308 323 Pool #780842, 8.50%, Due 8/20/2028.............. 151 164 Pool #780936, 7.50%, Due 12/15/2028............. 356 383 Pool #781035, 6.50%, Due 5/15/2029.............. 286 300 Pool #781273, 6.00%, Due 4/15/2031.............. 433 448 Pool #781288, 6.50%, Due 5/15/2031.............. 518 543 Pool #781564, 6.00%, Due 2/15/2033.............. 904 933 Pool #781589, 5.50%, Due 4/15/2033.............. 1,846 1,881 Pool #781603, 5.00%, Due 5/15/2033.............. 980 980 Pool #781636, 5.50%, Due 7/15/2033.............. 1,978 2,015 Pool #616094, 6.00%, Due 11/15/2033............. 338 349 Pool #781690, 6.00%, Due 12/15/2033............. 1,033 1,067 Pool #003515, 5.50%, Due 2/20/2034.............. 2,771 2,818 Pool #003517, 6.00%, Due 2/20/2034.............. 727 749 --------- TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION............ 15,530 --------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS............ 64,517 ---------
See accompanying notes - -------------------------------------------------------------------------------- 26 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) ASSET-BACKED SECURITIES - 0.60% Citigroup Commercial Mortgage Trust 2004-C2 A3, 4.38%, Due 10/15/2041...... $ 760 $ 748 Household Automotive Trust 2004-1 A3, 3.30%, Due 5/18/2009....... 1,300 1,289 Master Asset Securitization Trust 2002-6 2A1, 5.75%, Due 10/25/2017...... 698 697 J P Morgan Chase Commercial Mortgage Securities Corp 2004-CBX A4, 4.529%, Due 11/12/2039..... 555 551 J P Morgan Chase Commercial Mortgage Securities Corp 2005-LDP1 A2, 4.625%, Due 3/15/2046...... 775 780 TXU Electric Delivery Transition Bond Company, LLC 2004-1 A2, 4.81%, Due 11/15/2012...... 350 355 --------- TOTAL ASSET-BACKED SECURITIES............. 4,420 --------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.49% Banc of America Commercial Mortgage, Incorporated 2003-2 A3, 4.342%, Due 3/11/2041...... 445 443 Bear Stearns Commercial Mortgage Securities, Incorporated 2004-PWR5 A4, 4.831%, Due 7/11/2042...... 740 741 Countrywide Home Loan, Incorporated 2004-18 A1, 6.00%, Due 10/25/2034...... 696 711 General Electric Capital Commercial Mortgage Corporation 2003-C2 A2, 4.17%, Due 7/10/2037....... 430 427 General Electric Capital Commercial Mortgage Corporation 2004-C3 A3, 4.865%, Due 7/10/2039...... 715 723 Wachovia Bank Commercial Mortgage Trust 2003-C5 A2, 3.989%, Due 6/15/2035...... 570 542 --------- TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS............ 3,587 ---------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) CORPORATE BONDS - 8.83% BANKS - 0.83% Banco Popular North America, Incorporated, 4.25%, Due 4/1/2008........ $ 500 $ 500 Bank One Corporation, 5.90%, Due 11/15/2011...... 500 533 4.90%, Due 4/30/2015....... 300 295 Capital One, 6.875%, Due 2/1/2006....... 800 818 6.70%, Due 5/15/2008....... 450 479 4.80%, Due 2/21/2012....... 360 354 5.125%, Due 2/15/2014...... 450 446 Credit Suisse First Boston, 6.50%, Due 5/1/2008........ 750 793 Fleet Norstar Financial Group, Incorporated, 8.625%, Due 1/15/2007...... 600 644 ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)................... 450 457 Synovus Financial Corporation, 4.875%, Due 2/15/2013...... 300 301 Washington Mutual Financial Corporation, 6.875%, Due 5/15/2011...... 425 475 --------- TOTAL BANKS.............. 6,095 --------- ENERGY - 0.32% FPL Group, Incorporated, 4.086%, Due 2/16/2007(+)... 310 310 Marathon Oil Corporation, 5.375%, Due 6/1/2007....... 260 266 MidAmerican Energy Holdings Company, 3.50%, Due 5/15/2008....... 395 383 5.875%, Due 10/1/2012...... 305 321 Public Service Enterprise Group, Incorporated, 6.95%, Due 6/1/2012........ 380 424 Union Oil Company of California, 7.90%, Due 4/18/2008....... 100 109 Xcel Energy, Incorporated, 7.00%, Due 12/1/2010....... 500 556 --------- TOTAL ENERGY............. 2,369 --------- FINANCE - 2.75% AEGON, N.V., 8.00%, Due 8/15/2006....... 300 315 American General Finance Corporation, 5.375%, Due 9/1/2009(+).... 285 294 Assurant, Incorporated, 5.625%, Due 2/15/2014...... 315 326 Bear Stearns Companies, Incorporated, 3.00%, Due 3/30/2006....... 500 497 2.875%, Due 7/2/2008....... 300 287
See accompanying notes - -------------------------------------------------------------------------------- 27 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) BHP Finance (USA) Limited, 4.80%, Due 4/15/2013....... $ 300 $ 302 Boeing Capital Corporation, 5.40%, Due 11/30/2009...... 850 884 Bunge Limited Finance Corporation, 7.80%, Due 10/15/2012...... 400 472 Caterpillar Financial Services Corporation, 4.35%, Due 3/4/2009(+)..... 700 699 Cendant Corporation, 6.875%, Due 8/15/2006...... 990 1,024 Countrywide Home Loan, Incorporated, 3.50%, Due 12/19/2005...... 800 799 3.25%, Due 5/21/2008....... 510 492 Ford Motor Credit Company, 6.50%, Due 1/25/2007(+).... 375 375 General Electric Capital Corporation, 6.875%, Due 11/15/2010..... 535 594 General Motors Acceptance Corporation, 6.75%, Due 1/15/2006....... 650 655 6.125%, Due 8/28/2007(+)... 320 312 Goldman Sachs Group, Incorporated, 4.75%, Due 7/15/2013....... 400 393 Household Finance Corporation, 5.75%, Due 1/30/2007....... 1,500 1,541 HSBC Finance Corporation, 4.75%, Due 4/15/2010(+).... 420 422 International Lease Finance Corporation, 6.375%, Due 3/15/2009...... 1,025 1,090 Liberty Mutual Corporation, 7.875%, Due 10/15/2026, 144A (Note A)(+)........... 1,500 1,754 Lincoln National Corporation, 4.75%, Due 2/15/2014....... 200 196 Merrill Lynch & Company, Incorporated, 4.25%, Due 2/8/2010........ 825 814 Morgan Stanley & Company, Incorporated, 6.10%, Due 4/15/2006....... 450 459 PHH Corporation, 6.00%, Due 3/1/2008........ 500 518 PNC Funding Corporation, 4.20%, Due 3/10/2008....... 545 546 Prudential Financial, Incorporated, 3.75%, Due 5/1/2008(+)..... 185 182 4.50%, Due 7/15/2013(+).... 400 390 5.10%, Due 5/20/2014(+).... 290 293 SLM Corporation, 3.95%, Due 8/15/2008(+).... 460 454 4.00%, Due 1/15/2009....... 1,500 1,482
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) Verizon Global Funding Corporation, 4.375%, Due 6/1/2013(+).... $ 400 $ 389 Washington Mutual, Incorporated, 4.625%, Due 4/1/2014....... 350 337 WellPoint, Incorporated, 144A (Note A) 3.75%, Due 12/14/2007...... 380 375 5.00%, Due 12/15/2014...... 330 332 --------- TOTAL FINANCE............ 20,294 --------- FOREIGN - 0.33% Deutsche Telekom International, 8.50%, Due 6/15/2010(+).... 280 325 France Telecom SA, 8.50%, Due 3/1/2011........ 550 634 Province of Ontario, 3.35%, Due 7/16/2007(+).... 1,000 988 Telefonos de Mexico, S.A. de C.V., 5.50%, Due 1/27/2015, 144A (Note A)................... 500 484 --------- TOTAL FOREIGN............ 2,431 --------- INDUSTRIALS - 3.04% Anheuser Busch Companies, Incorporated, 6.50%, Due 1/1/2028........ 872 1,014 Atlantic Richfield Company, 9.125%, Due 3/1/2011....... 425 524 Baxter International, Incorporated, 5.25%, Due 5/1/2007(+)..... 455 462 Carnival Corporation, 3.75%, Due 11/15/2007...... 515 509 Comcast Cable Communications, 7.625%, Due 2/15/2008...... 200 216 Comcast Corporation, 5.50%, Due 3/15/2011....... 255 264 Conagra Foods, Incorporated, 7.125%, Due 10/1/2026...... 410 492 7.00%, Due 10/1/2028....... 600 719 Continental Cablevision, Incorporated, 8.30%, Due 5/15/2006....... 270 282 DaimlerChrysler North America, 4.75%, Due 1/15/2008....... 720 710 7.75%, Due 1/18/2011(+).... 1,000 1,087 John Deere Capital Corporation, 3.375%, Due 10/1/2007...... 650 637 4.125%, Due 1/15/2010...... 520 513 Dell Computer Corporation, 6.55%, Due 4/15/2008(+).... 400 427 EOG Resources, Incorporated, 4.75%, Due 3/15/2014, 144A (Note A)................... 425 418
See accompanying notes - -------------------------------------------------------------------------------- 28 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) EOP Operating Limited Partnership, 4.75%, Due 3/15/2014....... $ 350 $ 336 Hertz Corporation, 4.70%, Due 10/2/2006....... 650 640 Hewlett Packard Company, 5.75%, Due 12/15/2006...... 470 482 Kinder Morgan, Incorporated, 6.50%, Due 9/1/2012........ 460 503 Lockheed Martin Corporation, 7.20%, Due 5/1/2036........ 600 749 Martin Marietta Material, Incorporated, 6.90%, Due 8/15/2007....... 200 211 MetLife Global Funding I, 3.375%, Due 10/5/2007, 144A (Note A)................... 650 637 Nissan Motor Company Limited, 4.625%, Due 3/8/2010....... 410 406 Northrop Grumman Corporation, 4.079%, Due 11/16/2006..... 850 850 7.125%, Due 2/15/2011...... 505 568 Occidental Petroleum Corporation, 6.75%, Due 1/15/2012....... 400 449 Pepsi Bottling Group, Incorporated, 7.00%, Due 3/1/2029........ 650 796 Pulte Homes, Incorporated, 4.875%, Due 7/15/2009...... 300 298 5.25%, Due 1/15/2014....... 275 270 Reed Elsevier Capital, Incorporated, 6.125%, Due 8/1/2006....... 765 781 Simon Property Group LP, 6.375%, Due 11/15/2007..... 400 418 Sprint Capital Corporation, 6.00%, Due 1/15/2007....... 1,230 1,263 8.375%, Due 3/15/2012...... 175 207 Time Warner, Incorporated, 7.625%, Due 4/15/2031...... 250 305 Unilever Capital Corporation, 7.125%, Due 11/1/2010...... 2,000 2,259 Univision Communications, Incorporated, 3.875%, Due 10/15/2008..... 555 544 Wal-Mart Stores, Incorporated, 7.55%, Due 2/15/2030....... 650 854 Weyerhaeuser Company, 5.95%, Due 11/1/2008....... 340 357 --------- TOTAL INDUSTRIALS........ 22,457 ---------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) PHARMACEUTICAL - 0.13% Amgen, Incorporated, 4.00%, Due 11/18/2009, 144A (Note A)................... $ 310 $ 305 Schering Plough Corporation, 6.75%, Due 12/1/2033....... 300 348 Wyeth, 5.50%, Due 2/1/2014........ 325 337 --------- TOTAL PHARMACEUTICAL..... 990 --------- TELECOMMUNICATION - 0.97% Alltel Corporation, 4.656%, Due 5/17/2007...... 750 756 America Movil S.A. de C.V., 6.375%, Due 3/1/2035....... 1,135 1,055 AT&T Broadband Corporation, 8.375%, Due 3/15/2013...... 848 1,029 AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006........ 855 880 8.125%, Due 5/1/2012....... 900 1,064 8.75%, Due 3/1/2031........ 265 361 Motorola, Incorporated, 4.608%, Due 11/16/2007(+).............. 810 816 Verizon Communications, Incorporated, 6.36%, Due 4/15/2006....... 730 746 Verizon Wireless Capital, LLC, 5.375%, Due 12/15/2006..... 420 428 --------- TOTAL TELECOMMUNICATION.. 7,135 --------- TRANSPORTATION - 0.36% CNF Transportation, Incorporated, 8.875%, Due 5/1/2010....... 1,850 2,150 Union Pacific Corporation, 6.50%, Due 4/15/2012....... 450 494 --------- TOTAL TRANSPORTATION..... 2,644 --------- UTILITY - 0.10% Consolidated Natural Gas Company, 6.875%, Due 10/15/2026..... 360 416 Southern Company Capital Funding, Incorporated, 5.30%, Due 2/1/2007........ 325 334 --------- TOTAL UTILITY............ 750 --------- TOTAL CORPORATE BONDS.... 65,165 ---------
See accompanying notes - -------------------------------------------------------------------------------- 29 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) COMMON STOCK - 59.72% CONSUMER DISCRETIONARY - 5.17% HOTELS, RESTAURANTS & LEISURE - 0.99% Carnival Corporation......... 26,300 $ 1,286 McDonald's Corporation....... 44,500 1,304 MGM MIRAGE+.................. 45,900 3,204 Yum Brands, Incorporated..... 32,200 1,512 --------- TOTAL HOTELS, RESTAURANTS & LEISURE.............. 7,306 --------- HOUSEHOLD DURABLES - 1.84% Centex Corporation........... 93,600 5,403 Fortune Brands, Incorporated............... 19,700 1,666 Koninklijke (Royal) Philips Electronics NV............. 128,531 3,186 Newell Rubbermaid, Incorporated(+)............ 73,000 1,586 Pulte Homes, Incorporated.... 24,800 1,772 --------- TOTAL HOUSEHOLD DURABLES............... 13,613 --------- LEISURE EQUIPMENT & PRODUCTS - 0.66% Eastman Kodak Company........ 86,600 2,165 Mattel, Incorporated......... 151,200 2,729 --------- TOTAL LEISURE EQUIPMENT & PRODUCTS............... 4,894 --------- MEDIA - 0.20% Interpublic Group Companies, Incorporated+(+)........... 116,600 1,499 --------- TOTAL MEDIA.............. 1,499 --------- MULTILINE RETAIL - 1.29% Federated Department Stores, Incorporated............... 50,900 2,927 May Department Stores Company.................... 63,100 2,214 Sears Holdings Corporation+............... 21,200 2,867 Target Corporation........... 32,400 1,504 --------- TOTAL MULTILINE RETAIL... 9,512 --------- TEXTILES & APPAREL - 0.19% Liz Claiborne, Incorporated............... 39,800 1,410 --------- TOTAL TEXTILES & APPAREL................ 1,410 --------- TOTAL CONSUMER DISCRETIONARY.......... 38,234 --------- CONSUMER STAPLES - 6.01% FOOD & DRUG RETAILING - 0.43% Albertson's, Incorporated(+)............ 73,600 1,457 Safeway, Incorporated+....... 79,700 1,697 --------- TOTAL FOOD & DRUG RETAILING.............. 3,154 ---------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) FOOD PRODUCTS - 2.38% Anheuser Busch Companies, Incorporated............... 26,200 $ 1,228 Conagra, Incorporated........ 134,900 3,609 Dean Foods Company+.......... 86,300 2,965 General Mills, Incorporated............... 35,200 1,739 Kraft Foods, Incorporated(+)............ 78,900 2,557 Sara Lee Company............. 121,374 2,596 Unilever plc, ADR(+)......... 75,900 2,912 --------- TOTAL FOOD PRODUCTS...... 17,606 --------- TOBACCO - 3.20% Altria Group, Incorporated... 172,100 11,185 Gallaher Group plc, ADR(+)... 42,400 2,639 Imperial Tobacco Group plc, ADR........................ 94,800 5,499 UST, Incorporated............ 94,500 4,328 --------- TOTAL TOBACCO............ 23,651 --------- TOTAL CONSUMER STAPLES... 44,411 --------- ENERGY - 6.11% ENERGY EQUIPMENT & SERVICES - 0.67% Duke Energy Corporation...... 169,900 4,959 --------- TOTAL ENERGY EQUIPMENT & SERVICES............... 4,959 --------- OIL & GAS - 5.44% BP plc, ADR.................. 80,380 4,895 ChevronTexaco Corporation.... 93,028 4,837 ConocoPhillips............... 123,388 12,937 Devon Energy Corporation..... 80,800 3,650 Kerr-McGee Corporation(+).... 29,200 2,266 Occidental Petroleum Corporation................ 112,400 7,756 Petro-Canada................. 26,600 1,476 Valero Energy Corporation.... 35,300 2,419 --------- TOTAL OIL & GAS.......... 40,236 --------- TOTAL ENERGY............. 45,195 --------- FINANCIALS - 17.63% BANKS - 5.24% Bank of America Corporation................ 284,718 12,824 Comerica, Incorporated....... 23,300 1,334 Federal Home Loan Mortgage Corporation................ 59,700 3,673 KeyCorp Limited.............. 88,500 2,935 PNC Financial Services Group, Incorporated............... 8,800 468 U.S. Bancorp, Incorporated... 99,260 2,769 UnionBanCal Corporation...... 10,500 646 Wachovia Corporation......... 59,300 3,035 Washington Mutual, Incorporated............... 185,800 7,677 Wells Fargo & Company........ 56,600 3,393 --------- TOTAL BANKS.............. 38,754 ---------
See accompanying notes - -------------------------------------------------------------------------------- 30 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) DIVERSIFIED FINANCIALS - 5.41% Bear Stearns Companies, Incorporated............... 24,200 $ 2,291 CIT Group, Incorporated...... 36,700 1,478 Citigroup, Incorporated...... 235,042 11,038 Federal National Mortgage Association................ 38,900 2,099 Goldman Sachs Group, Incorporated............... 20,500 2,189 MBNA Corporation............. 162,100 3,201 Merrill Lynch & Company, Incorporated............... 39,900 2,152 J P Morgan Chase & Company... 160,734 5,704 Morgan Stanley & Company, Incorporated............... 53,500 2,815 Principal Financial Group, Incorporated............... 67,600 2,642 SLM Corporation.............. 92,500 4,407 --------- TOTAL DIVERSIFIED FINANCIALS............. 40,016 --------- INSURANCE - 6.40% Ace Limited.................. 67,600 2,904 Allstate Corporation......... 135,400 7,604 American International Group, Incorporated............... 30,700 1,561 AON Corporation.............. 58,300 1,216 Assurant, Incorporated....... 41,600 1,377 Conseco, Incorporated+(+).... 71,600 1,378 Hartford Financial Services Group, Incorporated........ 20,600 1,491 Loews Corporation............ 28,100 1,992 MetLife, Incorporated........ 222,080 8,639 MGIC Investments Corporation................ 42,600 2,513 Prudential Financial, Incorporated............... 79,500 4,543 The St. Paul Travelers Companies, Incorporated.... 153,900 5,510 WellPoint, Incorporated+..... 34,100 4,356 XL Capital Limited........... 31,800 2,235 --------- TOTAL INSURANCE.......... 47,319 --------- REAL ESTATE - 0.58% Equity Office Properties Trust...................... 137,000 4,311 --------- TOTAL REAL ESTATE........ 4,311 --------- TOTAL FINANCIALS......... 130,400 --------- HEALTH CARE - 4.79% HEALTH CARE EQUIPMENT & SUPPLIES - 0.44% Baxter International, Incorporated............... 88,200 3,272 --------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES... 3,272 ---------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) HEALTH CARE PROVIDERS & SERVICES - 1.50% Aetna, Incorporated+......... 20,000 $ 1,467 Cigna Corporation............ 27,900 2,566 HCA, Incorporated............ 62,600 3,496 Health Net, Incorporated+.... 50,100 1,705 Tenet Healthcare Corporation+............... 155,100 1,857 --------- TOTAL HEALTH CARE PROVIDERS & SERVICES... 11,091 --------- PHARMACEUTICALS - 2.85% Bristol-Myers Squibb Company.................... 195,700 5,088 Merck & Company, Incorporated............... 93,700 3,176 Pfizer, Incorporated......... 262,700 7,138 Schering Plough Corporation................ 164,000 3,423 Wyeth........................ 49,800 2,238 --------- TOTAL PHARMACEUTICALS.... 21,063 --------- TOTAL HEALTH CARE........ 35,426 --------- INDUSTRIALS - 7.80% AEROSPACE & DEFENSE - 2.81% Boeing Company............... 106,200 6,321 Honeywell International, Incorporated............... 72,400 2,589 Lockheed Martin Corporation.. 59,500 3,627 Raytheon Company............. 86,500 3,253 Textron, Incorporated........ 38,200 2,878 United Technologies Corporation................ 20,800 2,116 --------- TOTAL AEROSPACE & DEFENSE................ 20,784 --------- COMMERCIAL SERVICES & SUPPLIES - 1.26% Cendant Corporation.......... 327,900 6,528 PHH Corporation+(+).......... 7,235 162 Waste Management, Incorporated............... 92,907 2,647 --------- TOTAL COMMERCIAL SERVICES & SUPPLIES............. 9,337 --------- ELECTRICAL EQUIPMENT - 0.88% American Power Conversion Corporation................ 81,400 1,975 Emerson Electrical Company... 72,300 4,531 --------- TOTAL ELECTRICAL EQUIPMENT.............. 6,506 --------- INDUSTRIAL CONGLOMERATES - 1.21% General Electric Company..... 80,000 2,896 Tyco International Limited... 193,501 6,058 --------- TOTAL INDUSTRIAL CONGLOMERATES.......... 8,954 --------- MACHINERY - 0.67% Caterpillar, Incorporated.... 26,800 2,360 ITT Industries, Incorporated............... 28,400 2,569 --------- TOTAL MACHINERY.......... 4,929 ---------
See accompanying notes - -------------------------------------------------------------------------------- 31 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) TRANSPORTATION - 0.97% Burlington Northern Santa Fe Corporation................ 59,400 $ 2,866 CSX Corporation.............. 108,000 4,334 --------- TOTAL TRANSPORTATION..... 7,200 --------- TOTAL INDUSTRIALS........ 57,710 --------- INFORMATION TECHNOLOGY - 4.45% COMMUNICATIONS EQUIPMENT - 0.61% Nokia Corporation, ADR....... 280,100 4,476 --------- TOTAL COMMUNICATIONS EQUIPMENT.............. 4,476 --------- COMPUTERS & PERIPHERALS - 1.36% Hewlett Packard Company...... 276,500 5,660 International Business Machines Corporation....... 57,300 4,377 --------- TOTAL COMPUTERS & PERIPHERALS............ 10,037 --------- IT CONSULTING & SERVICES - 1.12% Computer Sciences Corporation+............... 45,900 1,996 Electronic Data Systems Corporation................ 325,200 6,293 --------- TOTAL IT CONSULTING & SERVICES............... 8,289 --------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.40% Freescale Semiconductor, Incorporated+(+)........... 157,600 2,950 --------- TOTAL SEMICONDUCTOR EQUIPMENT & PRODUCTS... 2,950 --------- SOFTWARE - 0.96% Computer Associates International, Incorporated............... 262,803 7,069 --------- TOTAL SOFTWARE........... 7,069 --------- TOTAL INFORMATION TECHNOLOGY............. 32,821 --------- MATERIALS - 3.67% CHEMICALS - 2.05% Air Products & Chemicals, Incorporated............... 30,100 1,768 E. I. du Pont de Nemours & Company.................... 30,600 1,442 Eastman Chemical Company..... 30,000 1,620 Hercules, Incorporated+...... 139,900 1,851 Imperial Chemical Industries plc, ADR(+)................ 91,300 1,768 Lyondell Chemical Company.... 132,500 3,324 The Mosaic Company+.......... 111,300 1,430 PPG Industries, Incorporated............... 28,500 1,925 --------- TOTAL CHEMICALS.......... 15,128 ---------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) METALS & MINING - 0.59% Alcoa, Incorporated.......... 148,996 $ 4,324 --------- TOTAL METALS & MINING.... 4,324 --------- PAPER & FOREST PRODUCTS - 1.03% International Paper Company.. 62,000 2,126 Sappi Limited, ADR........... 220,700 2,203 UPM Kymmene Corporation, ADR(+)..................... 56,500 1,134 Weyerhaeuser Company......... 31,500 2,161 --------- TOTAL PAPER & FOREST PRODUCTS............... 7,624 --------- TOTAL MATERIALS.......... 27,076 --------- TELECOMMUNICATION SERVICES - 0.65% DIVERSIFIED TELECOMMUNICATION - 0.65% Alltel Corporation........... 11,500 655 BellSouth Corporation........ 44,600 1,181 Verizon Communications, Incorporated............... 83,228 2,980 --------- TOTAL TELECOMMUNICATION SERVICES............... 4,816 --------- UTILITIES - 3.44% American Electric Power Company, Incorporated(+)... 140,600 4,952 CenterPoint Energy, Incorporated(+)............ 132,600 1,570 DTE Energy Company........... 24,100 1,107 Entergy Corporation.......... 63,900 4,684 Exelon Corporation........... 32,600 1,614 FirstEnergy Corporation...... 70,800 3,081 Florida Power and Light Group, Incorporated........ 120,000 4,899 Public Service Enterprise Group, Incorporated(+)..... 26,200 1,522 Reliant Resources, Incorporated+.............. 72,756 740 Teco Energy, Incorporated(+)............ 76,900 1,277 --------- TOTAL UTILITIES.......... 25,446 --------- TOTAL COMMON STOCK....... 441,535 ---------
PAR AMOUNT ------- SHORT-TERM INVESTMENTS - 22.97% UNITED STATES TREASURY BILLS - 0.58% Discount Note, Due 6/9/2005 (Note B)................................ $4,325 4,311 ------ TOTAL UNITED STATES TREASURY BILLS......................... 4,311 ------
See accompanying notes - -------------------------------------------------------------------------------- 32 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) OTHER SHORT-TERM INVESTMENTS - 22.39% American Beacon Enhanced Cash Trust (Notes C and D)........ 94,419,078 $ 94,419 American Beacon Money Market Select Fund (Notes C and D).. 71,080,462 71,081 --------- TOTAL OTHER SHORT-TERM INVESTMENTS.............. 165,500 --------- TOTAL SHORT-TERM INVESTMENTS.............. 169,811 --------- TOTAL INVESTMENTS - 115.28% (COST $747,222).............. 852,182 --------- LIABILITIES, NET OF OTHER ASSETS - (15.28%)............ (112,974) --------- TOTAL NET ASSETS - 100%........ $ 739,208 =========
FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NO. OF EXPIRATION MARKET APPRECIATION/ ISSUER CONTRACTS DATE VALUE (DEPRECIATION) - ------ --------- ---------- ------- -------------- S&P 500 Index............................................... 151 June 2005 $43,733 $(1,633) Emini S&P 500 Index......................................... 195 June 2005 11,295 (360) ------- ------- $55,028 $(1,993) ======= =======
- --------------- (A) 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 period end, the value of these securities amounted to $4,762 or 0.64% of net assets. (B) At April 30, 2005, security held as collateral for open futures contracts. (C) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (D) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of this security is on loan at April 30, 2005. See Note 5. +- Non-income producing security. See accompanying notes - -------------------------------------------------------------------------------- 33 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) COMMON STOCK - 92.34% CONSUMER DISCRETIONARY - 8.8% HOTELS, RESTAURANTS & LEISURE - 1.18% Carnival Corporation............ 47,100 $ 2,302 McDonald's Corporation.......... 80,200 2,351 MGM MIRAGE+(+).................. 83,600 5,836 Yum Brands, Incorporated........ 55,500 2,606 -------- TOTAL HOTELS, RESTAURANTS & LEISURE................... 13,095 -------- HOUSEHOLD DURABLES - 2.62% Centex Corporation.............. 176,300 10,176 Fortune Brands, Incorporated.... 33,800 2,859 Koninklijke (Royal) Philips Electronics NV................ 209,966 5,205 Matsushita Electric Industrial Company Limited, ADR.......... 329,000 4,820 Newell Rubbermaid, Incorporated(+)............... 126,700 2,753 Pulte Homes, Incorporated....... 44,200 3,158 -------- TOTAL HOUSEHOLD DURABLES.... 28,971 -------- LEISURE EQUIPMENT & PRODUCTS - 0.84% Eastman Kodak Company(+)........ 155,900 3,898 Mattel, Incorporated............ 300,900 5,431 -------- TOTAL LEISURE EQUIPMENT & PRODUCTS.................. 9,329 -------- MEDIA - 1.79% Clear Channel Communications, Incorporated.................. 172,000 5,494 The Walt Disney Company......... 208,000 5,491 Interpublic Group Companies, Incorporated+(+).............. 207,300 2,666 Liberty Media Corporation+...... 148,000 6,138 -------- TOTAL MEDIA................. 19,789 -------- MULTILINE RETAIL - 2.16% Federated Department Stores, Incorporated.................. 82,000 4,715 May Department Stores Company... 102,000 3,578 J.C. Penney Company, Incorporated.................. 162,000 7,680 Sears Holdings Corporation+..... 40,133 5,428 Target Corporation.............. 54,400 2,525 -------- TOTAL MULTILINE RETAIL...... 23,926 -------- TEXTILES & APPAREL - 0.21% Liz Claiborne, Incorporated..... 66,000 2,338 -------- TOTAL TEXTILES & APPAREL.... 2,338 -------- TOTAL CONSUMER DISCRETIONARY............. 97,448 --------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) CONSUMER STAPLES - 9.45% FOOD & DRUG RETAILING - 0.89% Albertson's, Incorporated(+).... 139,500 $ 2,761 Performance Food Group Company+(+)................... 145,000 3,899 Safeway, Incorporated+.......... 151,000 3,215 -------- TOTAL FOOD & DRUG RETAILING................. 9,875 -------- FOOD PRODUCTS - 4.56% Anheuser Busch Companies, Incorporated.................. 45,600 2,137 Archer-Daniels-Midland Company.. 338,000 6,081 Conagra, Incorporated........... 250,700 6,706 Dean Foods Company+............. 150,100 5,157 Diageo plc, ADR................. 109,000 6,513 General Mills, Incorporated..... 60,700 2,999 Kellogg Company................. 132,000 5,933 Kraft Foods, Incorporated(+).... 140,700 4,560 Sara Lee Company................ 236,228 5,053 Unilever plc, ADR(+)............ 141,200 5,416 -------- TOTAL FOOD PRODUCTS......... 50,555 -------- TOBACCO - 4.00% Altria Group, Incorporated...... 320,300 20,816 Gallaher Group plc, ADR......... 81,000 5,042 Imperial Tobacco Group plc, ADR(+)........................ 183,500 10,645 UST, Incorporated............... 170,400 7,804 -------- TOTAL TOBACCO............... 44,307 -------- TOTAL CONSUMER STAPLES...... 104,737 -------- ENERGY - 8.26% ENERGY EQUIPMENT & SERVICES - 0.86% American Power Conversion Company....................... 165,000 4,003 Weatherford International Limited+...................... 106,800 5,570 -------- TOTAL ENERGY EQUIPMENT & SERVICES.................. 9,573 -------- OIL & GAS - 7.40% BP plc, ADR..................... 132,036 8,041 ChevronTexaco Corporation....... 257,962 13,414 ConocoPhillips.................. 282,622 29,633 Devon Energy Corporation........ 140,900 6,364 Kerr-McGee Corporation(+)....... 57,700 4,478 Occidental Petroleum Corporation................... 184,900 12,758 Petro-Canada.................... 50,300 2,791 Valero Energy Corporation....... 65,700 4,502 -------- TOTAL OIL & GAS............. 81,981 -------- TOTAL ENERGY................ 91,554 -------- FINANCIALS - 26.33% BANKS - 7.88% Bank of America Corporation..... 497,442 22,405
See accompanying notes - -------------------------------------------------------------------------------- 34 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) Comerica, Incorporated.......... 41,700 $ 2,388 Fifth Third Bancorp............. 136,500 5,938 KeyCorp Limited................. 148,100 4,911 Mitsubishi Tokyo Financial Group, Incorporated, ADR(+)... 677,800 5,863 PNC Financial Services Group, Incorporated.................. 17,200 916 TCF Financial Corporation....... 124,500 3,149 U.S. Bancorp, Incorporated...... 167,460 4,672 UnionBanCal Corporation......... 18,800 1,157 Wachovia Corporation............ 98,200 5,026 Washington Mutual, Incorporated.................. 427,200 17,652 Wells Fargo & Company........... 221,200 13,259 -------- TOTAL BANKS................. 87,336 -------- DIVERSIFIED FINANCIALS - 8.99% Bear Stearns Companies, Incorporated.................. 41,900 3,966 Charles Schwab Corporation...... 595,000 6,158 CIT Group, Incorporated......... 69,500 2,799 Citigroup, Incorporated......... 434,438 20,401 Federal Home Loan Mortgage Corporation................... 122,400 7,530 Federal National Mortgage Association................... 67,500 3,642 Goldman Sachs Group, Incorporated.................. 33,800 3,610 ING Groep NV, ADR............... 219,900 6,027 MBNA Corporation................ 305,500 6,034 Merrill Lynch & Company, Incorporated.................. 78,500 4,234 JP Morgan Chase & Company....... 486,298 17,259 Morgan Stanley & Company, Incorporated.................. 92,300 4,857 Principal Financial Group, Incorporated.................. 127,800 4,994 SLM Corporation................. 168,500 8,027 -------- TOTAL DIVERSIFIED FINANCIALS................ 99,538 -------- INSURANCE - 8.81% Ace Limited..................... 116,700 5,013 Allstate Corporation............ 252,028 14,154 American International Group, Incorporated.................. 154,200 7,841 AON Corporation................. 100,700 2,100 Assurant, Incorporated.......... 81,600 2,700 Chubb Corporation............... 78,300 6,403 Conseco, Incorporated+.......... 128,300 2,468 Hartford Financial Services Group, Incorporated........... 35,800 2,591 Loews Corporation............... 48,500 3,438 MetLife, Incorporated........... 418,300 16,272 MGIC Investments Corporation.... 68,000 4,012 Prudential Financial, Incorporated.................. 146,900 8,395 The St. Paul Travelers Companies, Incorporated....... 285,100 10,207 Wellpoint, Incorporated+........ 62,600 7,997 XL Capital Limited.............. 56,900 4,000 -------- TOTAL INSURANCE............. 97,591 -------- REAL ESTATE - 0.65% Equity Office Properties Trust......................... 229,800 7,232 -------- TOTAL REAL ESTATE........... 7,232 -------- TOTAL FINANCIALS............ 291,697 -------- HEALTH CARE - 7.60% HEALTH CARE EQUIPMENT & SUPPLIES - 1.71% C. R. Bard, Incorporated........ 99,000 7,046 Baxter International, Incorporated.................. 322,100 11,950 -------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES................ 18,996 -------- HEALTH CARE PROVIDERS & SERVICES - 1.83% Aetna, Incorporated+............ 37,200 2,729 Cigna Corporation............... 50,400 4,636 HCA, Incorporated............... 111,700 6,237 Health Net, Incorporated+....... 93,800 3,192 Tenet Healthcare Corporation+(+)............... 288,000 3,447 -------- TOTAL HEALTH CARE PROVIDERS & SERVICES................ 20,241 -------- PHARMACEUTICALS - 4.06% Astrazeneca plc, ADR............ 155,100 6,817
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) Bristol-Myers Squibb Company.... 343,600 $ 8,934 Merck & Company, Incorporated... 187,500 6,356 Pfizer, Incorporated............ 469,600 12,759 Schering Plough Corporation..... 286,100 5,971 Wyeth........................... 92,200 4,143 -------- TOTAL PHARMACEUTICALS....... 44,980 -------- TOTAL HEALTH CARE........... 84,217 -------- INDUSTRIALS - 11.50% AEROSPACE & DEFENSE - 4.14% Boeing Company.................. 298,600 17,773 L3 Communications Holding Corporation................... 89,700 6,366 Lockheed Martin Corporation..... 120,700 7,357 Raytheon Company................ 152,500 5,736 Textron, Incorporated........... 65,700 4,950 United Technologies Corporation................... 36,100 3,672 -------- TOTAL AEROSPACE & DEFENSE... 45,854 -------- COMMERCIAL SERVICES & SUPPLIES - 1.57% Cendant Corporation............. 599,300 11,932 PHH Corporation+................ 12,560 281 Waste Management, Incorporated.. 180,665 5,147 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES.................. 17,360 --------
See accompanying notes - -------------------------------------------------------------------------------- 35 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) ELECTRICAL EQUIPMENT - 1.09% Emerson Electrical Company...... 127,400 $ 7,984 Molex, Incorporated............. 177,500 4,063 -------- TOTAL ELECTRICAL EQUIPMENT................. 12,047 -------- INDUSTRIAL CONGLOMERATES - 2.39% General Electric Company........ 134,600 4,873 Honeywell International, Incorporated.................. 105,400 3,769 Tyco International Limited...... 570,800 17,872 -------- TOTAL INDUSTRIAL CONGLOMERATES............. 26,514 -------- MACHINERY - 1.14% Caterpillar, Incorporated....... 46,000 4,050 Deere & Company................. 71,000 4,440 ITT Industries, Incorporated.... 45,200 4,089 -------- TOTAL MACHINERY............. 12,579 -------- TRANSPORTATION - 1.17% Burlington Northern Santa Fe Corporation................... 100,100 4,830 CSX Corporation................. 202,800 8,138 -------- TOTAL TRANSPORTATION........ 12,968 -------- TRADING COMPANIES & DISTRIBUTION - 0% TOTAL TRADING COMPANIES & DISTRIBUTION.............. -- -------- TOTAL INDUSTRIALS........... 127,322 -------- INFORMATION TECHNOLOGY - 8.54% COMMUNICATIONS EQUIPMENT - 1.10% Lucent Technologies, Incorporated+(+).............. 1,743,000 4,236 Nokia Corporation, ADR.......... 500,200 7,993 -------- TOTAL COMMUNICATIONS EQUIPMENT................. 12,229 -------- COMPUTERS & PERIPHERALS - 3.12% Apple Computer, Incorporated+... 203,000 7,320 Hewlett Packard Company......... 507,000 10,378 International Business Machines Corporation................... 163,400 12,480 NCR Corporation+................ 134,000 4,422 -------- TOTAL COMPUTERS & PERIPHERALS............... 34,600 -------- IT CONSULTING & SERVICES - 1.48% Computer Sciences Corporation+.. 77,100 3,352 Electronic Data Systems Corporation................... 672,500 13,013 -------- TOTAL IT CONSULTING & SERVICES.................. 16,365 -------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 1.03% Freescale Semiconductor, Incorporated+(+).............. 298,300 5,584 Texas Instruments, Incorporated.................. 235,400 5,876 -------- TOTAL SEMICONDUCTOR EQUIPMENT & PRODUCTS...... 11,460 -------- SOFTWARE - 1.81% Autodesk, Incorporated.......... 208,700 6,643 Computer Associates International, Incorporated... 497,560 13,384 -------- TOTAL SOFTWARE.............. 20,027 -------- TOTAL INFORMATION TECHNOLOGY................ 94,681 --------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) MATERIALS - 5.00% CHEMICALS - 2.58% Air Products & Chemicals, Incorporated.................. 145,100 $ 8,522 E. I. du Pont de Nemours & Company....................... 51,300 2,417 Hercules, Incorporated+......... 201,200 2,662 Imperial Chemical Industries plc, ADR...................... 153,400 2,971 Lyondell Chemical Company(+).... 241,200 6,052 The Mosaic Company+(+).......... 210,700 2,707 PPG Industries, Incorporated.... 48,900 3,303 -------- TOTAL CHEMICALS............. 28,634 -------- METALS & MINING - 0.71% Alcoa, Incorporated............. 270,568 7,852 -------- TOTAL METALS & MINING....... 7,852 -------- PAPER & FOREST PRODUCTS - 1.71% International Paper Company..... 108,100 3,707 Sappi Limited, ADR.............. 335,300 3,346 UPM Kymmene Corporation, ADR(+)........................ 92,600 1,859 Weyerhaeuser Company............ 146,600 10,058 -------- TOTAL PAPER & FOREST PRODUCTS.................. 18,970 -------- TOTAL MATERIALS............. 55,456 -------- TELECOMMUNICATION SERVICES - 1.83% DIVERSIFIED TELECOMMUNICATION - 1.27% Alltel Corporation.............. 20,400 1,162 AT&T Corporation................ 287,000 5,490 BellSouth Corporation........... 78,200 2,072 Verizon Communications, Incorporated.................. 148,446 5,314 -------- TOTAL DIVERSIFIED TELECOMMUNICATION......... 14,038 --------
See accompanying notes - -------------------------------------------------------------------------------- 36 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) WIRELESS TELECOMMUNICATION - 0.56% Vodafone Group plc, ADR......... 238,700 $ 6,240 -------- TOTAL WIRELESS TELECOMMUNICATION......... 6,240 -------- TOTAL TELECOMMUNICATION SERVICES.................. 20,278 -------- UTILITIES - 5.03% ELECTRIC UTILITIES - 4.27% American Electric Power Company, Incorporated(+)............... 259,400 9,136 Centerpoint Energy, Incorporated(+)............... 231,500 2,741 DTE Energy Company.............. 41,700 1,916 Entergy Corporation............. 143,300 10,504 Exelon Corporation.............. 60,300 2,985 FirstEnergy Corporation......... 122,000 5,309 Florida Power and Light Group, Incorporated.................. 208,800 8,523 Public Service Enterprise Group, Incorporated(+)............... 48,400 2,812 Reliant Resources, Incorporated+................. 112,847 1,148 Teco Energy, Incorporated(+).... 132,900 2,208 -------- TOTAL ELECTRIC UTILITIES.... 47,282 -------- MULTI-UTILITIES - 0.76% Duke Energy Corporation(+)...... 289,300 8,445 -------- TOTAL MULTI-UTILITIES....... 8,445 -------- TOTAL UTILITIES............. 55,727 -------- TOTAL COMMON STOCK.......... 1,023,117 --------
PAR AMOUNT VALUE ---------- -------- SHORT-TERM INVESTMENTS - 12.68% U.S. TREASURY BILLS - 0.65% 2.685%, Due 6/9/2005 (Note A)... $ 7,195 $ 7,174 -------- TOTAL U.S. TREASURY BILLS... 7,174 --------
SHARES ---------- OTHER SHORT-TERM INVESTMENTS - 12.03% American Beacon Enhanced Cash Trust (Notes B and C)....... 45,235,937 45,236 American Beacon Money Market Select Fund (Notes B and C).......................... 87,956,301 87,956 ---------- TOTAL OTHER SHORT-TERM INVESTMENTS............. 133,192 ---------- TOTAL SHORT-TERM INVESTMENTS............. 140,366 ---------- TOTAL INVESTMENTS - 105.02% (COST $980,198)............. 1,163,483 ---------- LIABILITIES, NET OF OTHER ASSETS - (5.02%)............ (55,659) ---------- TOTAL NET ASSETS - 100%....... $1,107,824 ==========
FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NO. OF EXPIRATION MARKET APPRECIATION/ ISSUER CONTRACTS DATE VALUE (DEPRECIATION) - ------ --------- ---------- ------- -------------- S&P 500 Index............................................... 226 June 2005 $65,455 $(2,337) Emini S&P 500 Index......................................... 269 June 2005 15,582 (575) ------- ------- $81,037 $(2,912) ======= =======
- --------------- (A) At April 30, 2005, security held as collateral for open futures contracts. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of this security is on loan at April 30, 2005. See Note 5. +- Non-income producing security. See accompanying notes - -------------------------------------------------------------------------------- 37 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) COMMON STOCK - 99.62% CONSUMER DISCRETIONARY - 16.49% AUTO COMPONENTS - 0.17% Johnson Controls, Incorporated... 1,400 $ 77 Lear Corporation................. 400 14 -------- TOTAL AUTO COMPONENTS........ 91 -------- AUTOMOBILES - 0.09% Harley Davidson, Incorporated.... 1,000 47 -------- TOTAL AUTOMOBILES............ 47 -------- HOTELS, RESTAURANTS & LEISURE - 2.26% Carnival Corporation............. 2,900 142 Hilton Hotels Corporation........ 1,600 35 International Game Technology, Incorporated................... 5,900 159 Marriott International, Incorporated................... 2,200 138 McDonald's Corporation........... 6,900 202 MGM MIRAGE+...................... 1,000 70 Polaris Industries, Incorporated(+)................ 3,700 213 Starbucks Corporation+........... 3,200 158 Yum Brands, Incorporated......... 2,300 108 -------- TOTAL HOTELS, RESTAURANTS & LEISURE.................... 1,225 -------- HOUSEHOLD DURABLES - 0.08% Centex Corporation............... 600 35 Lennar Corporation............... 200 10 -------- TOTAL HOUSEHOLD DURABLES..... 45 -------- INTERNET & CATALOG RETAIL - 0.43% Ebay, Incorporated+.............. 7,400 235 -------- TOTAL INTERNET & CATALOG RETAIL..................... 235 -------- LEISURE EQUIPMENT & PRODUCTS - 0.14% Mattel, Incorporated............. 4,300 78 -------- TOTAL LEISURE EQUIPMENT & PRODUCTS................... 78 -------- MEDIA - 5.70% The DIRECTV Group, Incorporated+.................. 2,700 38 The Walt Disney Company.......... 3,000 79 Echostar Communications Corporation+................... 2,000 58 Gannett Company, Incorporated.... 5,000 385 Harman International Industries, Incorporated................... 1,400 110 Liberty Media Corporation+....... 50,700 509 Liberty Media International, Incorporated+.................. 6,300 261 Pixar Animation Studios+......... 600 27 The E. W. Scripps Company........ 4,900 250 Time Warner, Incorporated+....... 43,500 731 Viacom, Incorporated............. 18,388 637 -------- TOTAL MEDIA.................. 3,085 --------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) MULTILINE RETAIL - 3.11% Costco Wholesale Corporation..... 2,500 $ 101 Dillard's, Incorporated.......... 20,500 477 Dollar General Corporation....... 2,900 59 Family Dollar Stores, Incorporated................... 300 8 Kohl's Corporation+.............. 5,100 243 Nordstrom, Incorporated.......... 600 30 Target Corporation............... 6,500 302 Wal-Mart Stores, Incorporated.... 9,800 462 -------- TOTAL MULTILINE RETAIL....... 1,682 -------- SPECIALTY RETAIL - 3.44% Abercrombie and Fitch Company.... 300 16 AutoNation, Incorporated+........ 13,600 248 Bed Bath & Beyond, Incorporated+.................. 2,200 82 Circuit City Stores, Incorporated................... 35,560 562 Foot Locker, Incorporated........ 2,300 61 Home Depot, Incorporated......... 14,200 502 Lowe's Companies, Incorporated... 7,000 365 Petco Animal Supplies, Incorporated+.................. 700 22 -------- TOTAL SPECIALTY RETAIL....... 1,858 -------- TEXTILES & APPAREL - 1.07% Coach, Incorporated+............. 2,200 59 Jones Apparel Group, Incorporated................... 2,900 88 Nike, Incorporated............... 5,600 430 -------- TOTAL TEXTILES & APPAREL..... 577 -------- TOTAL CONSUMER DISCRETIONARY.............. 8,923 -------- CONSUMER STAPLES - 8.44% BEVERAGES - 2.32% Coca-Cola Company................ 20,100 873 Pepsico, Incorporated............ 6,900 384 -------- TOTAL BEVERAGES.............. 1,257 -------- FOOD & DRUG RETAILING - 1.00% 7 Eleven, Incorporated+.......... 6,500 152 CVS Corporation.................. 3,000 155 Sysco Corporation................ 5,100 176 Walgreen Company................. 1,300 56 -------- TOTAL FOOD & DRUG RETAILING.................. 539 -------- FOOD PRODUCTS - 1.30% Archer Daniels Midland Company... 6,300 113 Hershey Foods Corporation........ 5,000 320 Tyson Foods, Incorporated........ 15,900 269 -------- TOTAL FOOD PRODUCTS.......... 702 -------- HOUSEHOLD PRODUCTS - 2.40% Procter & Gamble Company......... 24,000 1,300 -------- TOTAL HOUSEHOLD PRODUCTS..... 1,300 --------
See accompanying notes - -------------------------------------------------------------------------------- 38 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) PERSONAL PRODUCTS - 0.81% Gillette Company................. 8,500 $ 439 -------- TOTAL PERSONAL PRODUCTS...... 439 -------- TOBACCO - 0.61% Altria Group, Incorporated....... 3,500 227 UST, Incorporated................ 2,200 101 -------- TOTAL TOBACCO................ 328 -------- TOTAL CONSUMER STAPLES....... 4,565 -------- ENERGY - 1.82% ENERGY EQUIPMENT & SERVICES - 0.54% Baker Hughes, Incorporated....... 2,000 88 Cooper Cameron Corporation+...... 1,600 88 Pride International, Incorporated+.................. 3,900 87 Rowan Companies, Incorporated+... 1,100 29 -------- TOTAL ENERGY EQUIPMENT & SERVICES................... 292 -------- OIL & GAS - 1.28% Anadarko Petroleum Corporation... 100 8 Burlington Resources, Incorporated................... 11,300 549 Occidental Petroleum Corporation.................... 200 14 Unocal Corporation............... 2,200 120 -------- TOTAL OIL & GAS.............. 691 -------- TOTAL ENERGY................. 983 -------- FINANCIALS - 11.27% BANKS - 1.82% Bank of America Corporation...... 12,600 568 North Fork Bancorporation, Incorporated................... 4,100 115 U.S. Bancorp, Incorporated....... 10,600 296 Washington Mutual, Incorporated.. 100 4 -------- TOTAL BANKS.................. 983 -------- DIVERSIFIED FINANCIALS - 3.76% Charles Schwab Corporation....... 11,600 120 CIT Group, Incorporated.......... 800 32 Citigroup, Incorporated.......... 6,100 286 Countrywide Financial Corporation.................... 4,800 174 Doral Financial Corporation...... 2,300 32 Federal Home Loan Mortgage Corporation.................... 2,400 148 First Data Corporation........... 4,900 186 MBNA Corporation................. 8,000 158 Moody's Corporation.............. 6,900 567 Morgan Stanley & Company, Incorporated................... 3,400 179 Providian Financial Corporation+................... 3,900 65 State Street Corporation......... 1,900 88 -------- TOTAL DIVERSIFIED FINANCIALS................. 2,035 -------- INSURANCE - 5.49% AFLAC, Incorporated.............. 3,700 150
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) Alleghany Corporation+........... 306 $ 83 Ambac Financial Group, Incorporated................... 4,200 281 W. R. Berkley Corporation........ 11,100 361 Genworth Financial, Incorporated................... 200 6 Hartford Financial Services Group, Incorporated............ 2,100 152 Loews Corporation................ 7,900 560 MBIA, Incorporated............... 4,800 251 The Progressive Corporation...... 900 82 Prudential Financial, Incorporated................... 10,000 571 WellPoint, Incorporated+......... 3,700 473 -------- TOTAL INSURANCE.............. 2,970 -------- REAL ESTATE - 0.20% CarrAmerica Realty Corporation... 900 30 Kimco Realty Corporation......... 500 27 Mack-Cali Realty Corporation..... 300 13 Regency Centers Corporation...... 700 37 -------- TOTAL REAL ESTATE............ 107 -------- TOTAL FINANCIALS............. 6,095 -------- HEALTH CARE - 25.47% BIOTECHNOLOGY - 4.15% Amgen, Incorporated+............. 25,200 1,467 Biogen Idec, Incorporated+....... 2,700 98 Gen-Probe, Incorporated+......... 1,500 75 Gilead Sciences, Incorporated+... 12,500 464 ImClone Systems, Incorporated+... 4,400 140 -------- TOTAL BIOTECHNOLOGY.......... 2,244 -------- HEALTH CARE EQUIPMENT & SUPPLIES - 2.98% Bausch & Lomb, Incorporated...... 2,700 202 Baxter International, Incorporated................... 100 4 Biomet, Incorporated............. 1,200 46 Boston Scientific Corporation+... 12,600 373 Guidant Corporation.............. 4,000 296 Medtronic, Incorporated.......... 8,200 432 Zimmer Holdings, Incorporated+... 3,200 261 -------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES................... 1,614 -------- HEALTH CARE PROVIDERS & SERVICES - 3.67% Aetna, Incorporated+............. 9,300 682 Becton Dickinson and Company..... 10,500 614 Cardinal Health, Incorporated.... 1,000 56 HCA, Incorporated................ 700 39 McKesson Corporation............. 12,500 463 Pharmaceutical Product Development, Incorporated+..... 600 27 UnitedHealth Group, Incorporated+.................. 1,100 104 -------- TOTAL HEALTH CARE PROVIDERS & SERVICES................... 1,985 -------- PHARMACEUTICALS - 14.67% Abbott Laboratories.............. 9,500 467 Allergan, Incorporated........... 5,200 366
See accompanying notes - -------------------------------------------------------------------------------- 39 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) Eli Lilly & Company.............. 10,000 $ 585 Forest Laboratories, Incorporated+.................. 9,500 339 Johnson & Johnson................ 45,800 3,143 OSI Pharmaceuticals, Incorporated+.................. 4,200 199 Pfizer, Incorporated............. 85,960 2,336 Schering Plough Corporation...... 2,000 42 Sepracor, Incorporated+.......... 5,100 305 Watson Pharmaceuticals, Incorporated+.................. 200 6 Wyeth............................ 3,300 148 -------- TOTAL PHARMACEUTICALS........ 7,936 -------- TOTAL HEALTH CARE............ 13,779 -------- INDUSTRIALS - 8.82% AEROSPACE & DEFENSE - 1.30% Boeing Company................... 4,300 256 Lockheed Martin Corporation...... 2,300 140 Northrop Grumman Corporation..... 2,000 110 Raytheon Company................. 700 26 United Technologies Corporation.. 1,700 173 -------- TOTAL AEROSPACE & DEFENSE.... 705 -------- COMMERCIAL SERVICES & SUPPLIES - 1.91% Automatic Data Processing, Incorporated................... 800 35 Cendant Corporation.............. 26,600 529 Staples, Incorporated............ 12,000 229 United Parcel Service, Incorporated................... 3,000 214 West Corporation+................ 800 26 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES................... 1,033 -------- ELECTRICAL EQUIPMENT - 1.91% Emerson Electric Company......... 1,300 81 Energizer Holdings, Incorporated+.................. 9,600 547 Rockwell Automation, Incorporated................... 8,800 407 -------- TOTAL ELECTRICAL EQUIPMENT... 1,035 -------- INDUSTRIAL CONGLOMERATES - 2.28% 3M Company....................... 5,500 420 General Electric Company......... 9,300 337 Reynolds American, Incorporated.. 1,600 125 Tyco International Limited....... 11,200 351 -------- TOTAL INDUSTRIAL CONGLOMERATES.............. 1,233 -------- MACHINERY - 0.64% Caterpillar, Incorporated........ 1,000 88 Deere and Company................ 1,900 119 Eaton Corporation................ 2,400 141 -------- TOTAL MACHINERY.............. 348 -------- TRANSPORTATION - 0.78% Burlington Northern Santa Fe Corporation.................... 1,400 67 J.B. Hunt Transportation Services, Incorporated......... 9,000 352 -------- TOTAL TRANSPORTATION......... 419 -------- TOTAL INDUSTRIALS............ 4,773 --------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) INFORMATION TECHNOLOGY - 24.23% COMMUNICATIONS EQUIPMENT - 4.93% Cisco Systems, Incorporated+..... 43,100 $ 745 Corning, Incorporated+........... 21,800 300 Juniper Networks, Incorporated+.................. 11,000 248 Motorola, Incorporated........... 15,000 230 Qualcomm, Incorporated........... 32,700 1,141 -------- TOTAL COMMUNICATIONS EQUIPMENT.................. 2,664 -------- COMPUTERS & PERIPHERALS - 4.18% Apple Computer, Incorporated+.... 15,500 559 Dell, Incorporated+.............. 7,300 254 EMC Corporation+................. 33,500 440 International Business Machines Corporation.................... 6,000 458 Lexmark International, Incorporated+.................. 1,400 97 NCR Corporation+................. 9,400 310 Western Digital Corporation+..... 11,400 145 -------- TOTAL COMPUTERS & PERIPHERALS................ 2,263 -------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.32% Broadcom Corporation+............ 1,000 30 Ingram Micro, Incorporated+...... 7,900 132 Intersil Corporation............. 700 12 -------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS................ 174 -------- INTERNET SOFTWARE & SERVICES - 1.74% Electronic Arts, Incorporated+... 1,600 85 Mercury Interactive Corporation+................... 300 12 Symantec Corporation+............ 6,200 117 Yahoo, Incorporated+............. 21,000 725 -------- TOTAL INTERNET SOFTWARE & SERVICES................... 939 -------- IT CONSULTING & SERVICES - 1.13% Acxiom Corporation............... 5,500 105 Affiliated Computer Services, Incorporated+.................. 2,400 114 Cognizant Technology Solutions Corporation+................... 2,200 92 Computer Sciences Corporation+... 6,200 270 SunGard Data Systems, Incorporated+.................. 900 30 -------- TOTAL IT CONSULTING & SERVICES................... 611 --------
See accompanying notes - -------------------------------------------------------------------------------- 40 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) SEMICONDUCTOR EQUIPMENT & PRODUCTS - 5.00% Advanced Micro Devices, Incorporated+.................. 33,400 $ 475 Altera Corporation+.............. 9,100 189 Analog Devices, Incorporated..... 14,400 491 Freescale Semiconductor, Incorporated, B Shares+........ 4,681 88 Intel Corporation................ 45,400 1,068 Linear Technology Corporation.... 2,700 97 Maxim Integrated Products, Incorporated................... 1,600 60 Novellus Systems, Incorporated+.................. 4,000 94 Xilinx, Incorporated............. 5,400 145 -------- TOTAL SEMICONDUCTOR EQUIPMENT & PRODUCTS................. 2,707 -------- SOFTWARE - 6.93% Autodesk, Incorporated........... 18,300 582 Microsoft Corporation............ 105,400 2,667 Oracle Corporation+.............. 39,800 460 VERITAS Software Corporation+.... 1,800 37 -------- TOTAL SOFTWARE............... 3,746 -------- TOTAL INFORMATION TECHNOLOGY................. 13,104 -------- MATERIALS - 0.93% CHEMICALS - 0.30% Monsanto Company................. 1,700 100 Praxair, Incorporated............ 1,300 61 -------- TOTAL CHEMICALS................ 161 -------- METALS & MINING - 0.63% Alcoa, Incorporated.............. 3,000 87 Newmont Mining Corporation....... 700 27 Nucor Corporation................ 2,200 112 United States Steel Corporation.................... 2,700 115 -------- TOTAL METALS & MINING........ 341 -------- TOTAL MATERIALS.............. 502 -------- TELECOMMUNICATION SERVICES - 1.03% DIVERSIFIED TELECOMMUNICATION - 0.22% ALLTEL Corporation............... 600 34 CenturyTel, Incorporated......... 1,800 55 SpectraSite, Incorporated+....... 200 11 Verizon Communications, Incorporated................... 500 18 -------- TOTAL DIVERSIFIED TELECOMMUNICATION.......... 118 -------- WIRELESS TELECOMMUNICATION SERVICE - 0.81% American Tower Corporation+...... 1,600 28 Nextel Communications, Incorporated+.................. 6,600 185 Sprint Corporation............... 10,100 225 -------- TOTAL WIRELESS TELECOMMUNICATION SERVICE.................... 438 -------- TOTAL TELECOMMUNICATION SERVICES................... 556 --------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) UTILITIES - 1.12% ELECTRIC UTILITIES - 0.87% CMS Energy Corporation+.......... 2,600 $ 34 PG&E Corporation................. 12,100 420 Pinnacle West Capital Corporation.................... 400 17 TOTAL ELECTRIC UTILITIES..... 471 -------- WATER UTILITIES - 0.25% Nalco Holding Company+........... 7,400 133 -------- TOTAL WATER UTILITIES........ 133 -------- TOTAL UTILITIES.............. 604 -------- TOTAL COMMON STOCK........... 53,884 -------- PAR AMOUNT ---------- SHORT-TERM INVESTMENTS - 0.93% U.S. TREASURY NOTES - 0.08% 1.625%, Due 2/28/2006 (Note A)... $ 45 44 -------- TOTAL U.S. TREASURY BILLS.... 44 -------- SHARES ---------- OTHER SHORT-TERM INVESTMENTS - 0.85% American Beacon Enhanced Cash Trust (Notes B and C).......... 181,389 181 American Beacon Money Market Select Fund (Notes B and C).... 236,076 236 iShares Russell 1000 Growth Index Fund........................... 910 42 -------- TOTAL OTHER SHORT-TERM INVESTMENTS................ 459 -------- TOTAL SHORT-TERM INVESTMENTS................ 503 -------- TOTAL INVESTMENTS - 100.55% (COST $53,098)....................... 54,387 -------- LIABILITIES, NET OF OTHER ASSETS - (0.55%)............... (299) -------- TOTAL NET ASSETS - 100%.......... $ 54,088 ========
See accompanying notes - -------------------------------------------------------------------------------- 41 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NO. OF EXPIRATION MARKET APPRECIATION/ ISSUER CONTRACTS DATE VALUE (DEPRECIATION) - ------ --------- ---------- ------ -------------- Emini S&P 500 Index......................................... 5 June 2005 $290 $(3) ---- --- $290 $(3) ==== ===
- --------------- (A) At April 30, 2005, security held as collateral for open futures contracts. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of this security is on loan at April 30, 2005. See Note 5. +- Non-income producing security. See accompanying notes - -------------------------------------------------------------------------------- 42 AMERICAN BEACON MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) COMMON STOCK - 90.79% CONSUMER DISCRETIONARY - 21.74% AUTO COMPONENTS - 5.83% Advance Auto Parts, Incorporated+................. 6,400 $ 341 Genuine Parts Company........... 6,300 270 Goodrich Corporation............ 10,600 427 Lear Corporation................ 16,600 563 -------- TOTAL AUTO COMPONENTS....... 1,601 -------- AUTOMOBILES - 0.68% Winnebago Industries, Incorporated(+)............... 6,400 186 -------- TOTAL AUTOMOBILES........... 186 -------- HOTELS RESTAURANTS & LEISURE - 4.41% GTECH Holdings Corporation...... 2,900 71 Hasbro, Incorporated............ 20,550 389 Mattel, Incorporated............ 11,200 202 Royal Caribbean Cruises, Limited(+).................... 8,100 340 Wendy's International, Incorporated.................. 4,900 210 -------- TOTAL HOTELS RESTAURANTS & LEISURE................... 1,212 -------- HOUSEHOLD DURABLES - 3.13% Stanley Works................... 9,100 392 Whirlpool Corporation........... 7,550 469 -------- TOTAL HOUSEHOLD DURABLES.... 861 -------- LEISURE EQUIPMENT & PRODUCTS - 0.69% Brunswick Corporation........... 4,500 189 -------- TOTAL LEISURE EQUIPMENT & PRODUCTS.................. 189 -------- MEDIA - 1.10% Dex Media, Incorporated......... 13,850 303 -------- TOTAL MEDIA................. 303 -------- MULTILINE RETAIL - 2.42% Dollar General Corporation...... 19,500 397 Family Dollar Stores, Incorporated.................. 10,000 270 -------- TOTAL MULTILINE RETAIL...... 667 -------- SPECIALTY RETAIL - 3.48% AutoZone, Incorporated+......... 3,025 251 Rent-A-Center, Incorporated+.... 14,975 360 The TJX Companies, Incorporated.................. 15,225 345 -------- TOTAL SPECIALTY RETAIL...... 956 -------- TOTAL CONSUMER DISCRETIONARY............. 5,975 -------- CONSUMER STAPLES - 6.05% FOOD PRODUCTS - 2.79% Dean Foods Company+............. 11,400 392 Del Monte Foods Company+........ 35,925 375 -------- TOTAL FOOD PRODUCTS......... 767 -------- PERSONAL PRODUCTS - 0.91% NBTY, Incorporated+............. 11,700 249 -------- TOTAL PERSONAL PRODUCTS..... 249 -------- TOBACCO - 2.35% Universal Corporation........... 5,525 252 UST, Incorporated............... 8,600 394 -------- TOTAL TOBACCO............... 646 -------- TOTAL CONSUMER STAPLES...... 1,662 --------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) ENERGY - 1.83% Marathon Oil Corporation........ 10,800 $ 503 -------- TOTAL ENERGY................ 503 -------- FINANCIALS - 26.26% BANKS - 3.94% Peoples Bank (+)................ 10,100 419 South Financial Group, Incorporated.................. 14,100 372 TCF Financial Corporation....... 11,500 291 -------- TOTAL BANKS................. 1,082 -------- DIVERSIFIED FINANCIALS - 2.22% CIT Group, Incorporated......... 8,950 361 Janus Capital Group, Incorporated.................. 19,250 250 -------- TOTAL DIVERSIFIED FINANCIALS................ 611 -------- INSURANCE - 17.57% AON Corporation................. 12,625 263 Axis Capital Holdings Limited... 4,800 128 Delphi Financial Group, Incorporated.................. 5,875 244 First American Corporation...... 8,325 298 IPC Holdings Limited............ 6,000 226 Loews Corporation............... 23,700 747 Old Republic International Corporation................... 14,650 346 Protective Life Corporation..... 6,250 239 Radian Group, Incorporated...... 8,300 369 RenaissanceRe Holdings Limited.. 5,175 232 Torchmark, Incorporated......... 8,525 455 Wellchoice, Incorporated+....... 7,700 433 Willis Group Holdings Limited (+)........................... 11,000 368 XL Capital Limited.............. 6,875 483 -------- TOTAL INSURANCE............. 4,831 --------
See accompanying notes - -------------------------------------------------------------------------------- 43 AMERICAN BEACON MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) REAL ESTATE - 2.53% American Financial Realty Trust......................... 24,800 $ 380 Equity Office Properties Trust......................... 10,000 315 -------- TOTAL REAL ESTATE........... 695 -------- TOTAL FINANCIALS............ 7,219 -------- HEALTH CARE - 8.24% HEALTH CARE PROVIDERS & SERVICES - 5.76% Cigna Corporation............... 4,575 421 Health Net, Incorporated+....... 15,800 538 Triad Hospitals, Incorporated+................. 8,000 410 Universal Health Services, Incorporated.................. 3,800 216 -------- TOTAL HEALTH CARE PROVIDERS & SERVICES................ 1,585 -------- PHARMACEUTICALS - 2.48% McKesson Corporation............ 11,275 417 Valeant Pharmaceuticals International(+).............. 12,700 264 -------- TOTAL PHARMACEUTICALS....... 681 -------- TOTAL HEALTH CARE........... 2,266 -------- INDUSTRIALS - 15.55% AEROSPACE & DEFENSE - 0.77% Precision Castparts Corporation................... 2,875 212 -------- TOTAL AEROSPACE & DEFENSE... 212 -------- BUILDING PRODUCTS - 0.91% York International Corporation................... 6,375 249 -------- TOTAL BUILDING PRODUCTS..... 249 -------- COMMERCIAL SERVICES & SUPPLIES - 6.89% Hillenbrand Industries, Incorporated.................. 5,600 309 MoneyGram International, Incorporated.................. 17,375 337 Service Corporation International+................ 16,900 119 United Stationers, Incorporated+................. 7,800 329 Valassis Communications, Incorporated+................. 11,100 391 Weight Watchers International, Incorporated+(+).............. 9,800 409 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES.................. 1,894 -------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.62% American Power Conversion Corporation................... 18,400 446 -------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS............... 446 -------- INDUSTRIAL CONGLOMERATES - 1.47% Reynolds American, Incorporated(+)............... 5,200 405 -------- TOTAL INDUSTRIAL CONGLOMERATES............. 405 --------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) MACHINERY - 3.03% ITT Industries, Incorporated.... 2,700 $ 244 Kennametal, Incorporated........ 8,475 384 Trinity Industries, Incorporated(+)............... 8,825 206 -------- TOTAL MACHINERY............. 834 -------- TRANSPORTATION - 0.86% Ryder Systems, Incorporated..... 6,400 236 -------- TOTAL TRANSPORTATION........ 236 -------- TOTAL INDUSTRIALS........... 4,276 -------- INFORMATION TECHNOLOGY - 1.15% BearingPoint, Incorporated+(+).. 51,175 317 -------- TOTAL INFORMATION TECHNOLOGY................ 317 -------- MATERIALS - 2.77% CHEMICALS - 1.92% Ashland, Incorporated........... 4,500 303 FMC Corporation+................ 4,625 227 -------- TOTAL CHEMICALS............. 530 -------- CONSTRUCTION MATERIALS - 0.85% Lafarge North America, Incorporated.................. 4,200 233 -------- TOTAL CONSTRUCTION MATERIALS................. 233 -------- TOTAL MATERIALS............. 763 -------- UTILITIES - 7.20% CenterPoint Energy, Incorporated(+)............... 13,900 164 Entergy Corporation............. 4,800 352 FirstEnergy Corporation......... 6,900 300 Pinnacle West Capital Corporation................... 9,400 394 Wisconsin Energy Corporation.... 14,200 501 Xcel Energy, Incorporated....... 15,700 270 -------- TOTAL UTILITIES............. 1,981 -------- TOTAL COMMON STOCK.......... 24,962 --------
PAR AMOUNT ---------- SHORT-TERM INVESTMENTS - 21.74% U.S. TREASURY BILLS - 1.12% 2.685%, Due 6/9/2005 (Note A)... $ 310 309 -------- TOTAL U. S. TREASURY BILLS..................... 309 --------
SHARES ---------- OTHER SHORT-TERM INVESTMENTS - 20.62% American Beacon Enhanced Cash Trust (Notes B and C)......... 1,684,040 1,684
See accompanying notes - -------------------------------------------------------------------------------- 44 AMERICAN BEACON MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) American Beacon Money Market Select Fund (Notes B and C)... 3,986,213 $ 3,986 -------- TOTAL OTHER SHORT-TERM INVESTMENTS............... 5,670 -------- TOTAL SHORT-TERM INVESTMENTS............... 5,979 -------- TOTAL INVESTMENTS - 112.53% (COST $30,889)................ 30,941 -------- LIABILITIES, NET OF OTHER ASSETS - (12.53%)............. (3,446) -------- TOTAL NET ASSETS - 100%......... $ 27,495 ========
FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NO. OF EXPIRATION MARKET APPRECIATION/ ISSUER CONTRACTS DATE VALUE (DEPRECIATION) - ------ --------- ---------- ------ -------------- S&P MidCap 400 Index........................................ 2 June 2005 $ 634 $ (27) Emini S&P MidCap 400 Index.................................. 40 June 2005 2,537 (84) ------ ----- $3,171 $(111) ====== =====
- --------------- (A) At April 30, 2005, security held as collateral for open futures contracts. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of this security is on loan at April 30, 2005. See Note 5. +- Non-income producing security. See accompanying notes - -------------------------------------------------------------------------------- 45 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) STOCKS - 98.06% AUSTRIA COMMON STOCK - 0.09% Raiffeisen International Bank-Holding AG+............. 1,800 $ 93 -------- TOTAL AUSTRIA COMMON STOCK.................... 93 -------- BRAZIL - 10.70% BRAZIL PREFERRED STOCK - 7.19% All America Latina Logistica S.A. ........................ 4,100 118 Banco Bradesco S.A. ........... 12,252 377 Banco Bradesco S.A., ADR+(+)... 12,971 401 Banco Itau Holding Financeira S.A. ........................ 800 140
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Banco Itau Holding Financeira S.A., ADR+(+)................ 9,416 $ 806 Brasil Telecom Participacoes S.A., ADR(+)................. 10,000 327 Braskem S.A.+.................. 2,111,000 83 Braskem S.A., ADR+............. 2,200 86 Companhia de Tecidos Norte de Minas+....................... 2,990,500 253 Companhia Energetica de Minas Gerais+...................... 15,400,210 432 Companhia Paranaense de Energia+..................... 63,728,300 334 Companhia Vale do Rio Doce+.... 1,876 43 Companhia Vale do Rio Doce, ADR(+)....................... 43,264 1,004 Duratex S.A.+.................. 3,641,700 170 Embratel Participacoes S.A.+... 122,985,370 202 Empresa Brasileira de Aeronautica S.A. (Embraer), ADR+(+)...................... 14,540 419 Gerdau S.A.+................... 7,500 74 Petrol Brasileiro S.A.,+....... 865 32 Petroleo Brasileiro S.A., ADR.......................... 20,716 761 Telecomunicacoes Brasileiras S.A., ADR(+)................. 10,310 289 Telemar Norte Leste S.A. ...... 5,800 127 Telemig Celular Participacoes S.A.+........................ 140,316,900 225 Telemig Celular Participacoes S.A., rights................. 1,544,889 -- Telesp Celular Participacoes S.A.+........................ 133,746,308 285 Telesp - Telecommunicacoes de Sao Paulo S.A.+.............. 9,274,800 176 TIM Participacoes S.A., ADR+(+)...................... 4,866 73 Unibanco - Uniao de Bancos Brasileiros S.A.+............ 7,689 51 -------- TOTAL BRAZIL PREFERRED STOCK.................... 7,288 -------- BRAZIL COMMON STOCK - 3.51% CPFL Energia S.A.+............. 15,000 120 Companhia de Saneamento Basico do Estado de Sao Paulo+...... 5,558,100 289 Companhia de Saneamento Basico do Estado de Sao Paulo, ADR+(+)...................... 9,800 127 Companhia Energetica de Minas Gerais, ADR+................. 2,800 78 Companhia Paranaense de Energia+..................... 5,015,000 21 Companhia Siderurgica Nacional S.A. ........................ 1,000 22 Companhia Siderurgica Nacional S.A., ADR(+)................. 10,700 234 Companhia Vale do Rio Doce, ADR.......................... 6,200 167 Gerdau S.A., ADR............... 9,150 89 Grendene S.A.+................. 30,300 204 Natura Cosmeticos S.A. ........ 2,180 66 Petroleo Brasileiro S.A., ADR.......................... 47,602 1,996 Unibanco - Uniao de Bancos Brasileiros S.A., GDR+....... 4,415 147 -------- TOTAL BRAZIL COMMON STOCK.................... 3,560 -------- TOTAL BRAZIL............... 10,848 -------- CHILE COMMON STOCK - 0.74% Banco Santander-Chile S.A., ADR.......................... 5,900 185 Grupo Enersis SA, ADR.......... 65,140 566 -------- TOTAL CHILE COMMON STOCK... 751 -------- CHINA COMMON STOCK - 2.47% China Mobile (Hong Kong) Limited...................... 395,100 1,379 China Mobile (Hong Kong) Limited, ADR(+).............. 6,200 111 China Petroleum & Chemical Corporation.................. 932,000 368 China Petroleum & Chemical Corporation, ADR............. 1,400 55 China Resource Power Holdings Company Limited(+)........... 296,000 164 China Telecom Corporation Limited...................... 671,600 229
See accompanying notes - -------------------------------------------------------------------------------- 46 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Chunghwa Telecom Company Limited, ADR................. 700 $ 14 TPV Technology Limited......... 301,000 184 -------- TOTAL CHINA COMMON STOCK... 2,504 -------- EGYPT COMMON STOCK - 1.60% Commercial International Bank, GDR, 144A (Note A)........... 19,200 151 Eastern Tobacco Company........ 10,626 332 Egyptian Company for Mobile Services (MobiNil)+.......... 22,303 730 Orascom Construction Industries S.A.E........................ 18,126 413 -------- TOTAL EGYPT COMMON STOCK... 1,626 -------- HONG KONG COMMON STOCK - 4.35% Asia Aluminum Holdings Limited...................... 1,200,000 139 Beijing Enterprises Holdings... 62,000 81 Brilliance China Automotive Holdings Limited(+).......... 646,000 110 China Lee Insurance Company Limited+..................... 302,000 199 China Ping'an Insurance Company Limited+..................... 126,000 193 China Resources Enterprises Limited(+)................... 251,900 357 Denway Motors Limited(+)....... 967,600 338 Fountain Set (Holdings) Limited...................... 201,000 120 Foxconn International Holdings Limited+..................... 152,000 92 Global Bio-chem Technology Group Company Limited........ 252,000 165 Gome Electrical Appliances Holdings Limited............. 177,000 173 The Grande Holdings Limited.... 91,000 86 Hainan Meilan Airport Company Limited...................... 89,000 52 Hopewell Highway Infrastructure Limited...................... 199,000 139 Huaneng Power International, Incorporated(+).............. 175,000 133 Kingboard Chemical Holdings Limited...................... 76,000 226 Lianhua Supermarket Holdings Company Limited+............. 90,000 98 Moulin International Holdings Limited(+)................... 96,000 62 Norstar Founders(+)............ 206,000 48 Panva Gas Holdings Limited+.... 157,000 65 Shandong International Power Development Company Limited+..................... 1,695,800 525 Shanghai Industrial Holdings Limited...................... 160,500 329 Shougang Concord Century Holdings Limited............. 537,000 44
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Sinopec Yizheng Chemical Fibre Company Limited.............. 1,067,500 $ 187 Sinotrans Limited(+)........... 566,000 168 Victory City International Holdings Limited............. 169,000 54 Wumart Stores, Incorporated.... 37,000 59 Yanzhou Coal Mining Company Limited(+)................... 122,000 168 -------- TOTAL HONG KONG COMMON STOCK.................... 4,410 -------- HUNGARY COMMON STOCK - 0.84% Gedeon Richter Rt.............. 3,001 364 Magyar Tavkozlesi Rt........... 110,100 484 -------- TOTAL HUNGARY COMMON STOCK... 848 -------- INDIA COMMON STOCK - 7.55% ABB Limited.................... 6,000 166 Aventis Pharma Limited......... 4,000 110 Bharat Electronics Limited+.... 20,000 364 Bharat Petroleum Corporation Limited...................... 48,433 386 CIPLA.......................... 21,250 129 Container Corporation.......... 6,500 130 Doctor Reddy's Laboratories Limited...................... 5,700 84 Doctor Reddy's Laboratories Limited, ADR................. 23,700 359 GAIL (India) Limited........... 21,900 103 GAIL (India) Limited, GDR, 144A (Note A)..................... 9,000 255 GlaxoSmithKline Pharmaceutical Limited...................... 7,500 123 Gujarat Ambuja Cements Limited, GDR.......................... 13,500 129 HDFC Bank Limited.............. 10,500 130 Hero Honda Motors Limited...... 17,200 199 Hindalco Industries Limited.... 4,000 109 Hindalco Industries Limited, GDR, 144A (Note A)........... 17,100 470 Hindustan Lever Limited........ 134,698 426 Housing Development Finance Corporation Limited.......... 11,200 188 ICICI Bank Limited+............ 19,199 159 Industrial Development Bank of India Limited................ 34,000 63 Infosys Technologies Limited... 6,500 283 ITC Limited.................... 2,600 86 ITC Limited, GDR............... 1,500 48
See accompanying notes - -------------------------------------------------------------------------------- 47 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Mahanagar Telephone Nigam Limited...................... 260,370 $ 696 Mahindra & Mahindra Limited.... 14,000 143 Oil and Natural Gas Corporation Limited...................... 30,724 573 Reliance Industries Limited.... 80,600 978 Siemens India Limited.......... 1,800 76 State Bank of India, GDR, 144A (Note A)..................... 11,800 423 Steel Authority of India Limited+..................... 41,000 50 UTI Bank Limited............... 7,000 37 UTI Bank Limited, GDR, 144A (Note A)..................... 14,000 70 Wipro Limited.................. 7,000 102 -------- TOTAL INDIA COMMON STOCK... 7,647 -------- INDONESIA COMMON STOCK - 2.20% Bank Central Asia.............. 574,500 185 Bumi Resources Tbk+............ 1,372,000 109 Hindustan Petroleum Corporation Limited...................... 67,400 469 PT Bank Mandiri................ 989,500 166 PT Bank Rakyat Indonesia....... 697,500 196 PT Gudang Garam Tbk............ 283,500 448 PT Indocement Tunggal Prakarsa Tbk+......................... 220,500 61 PT Indofood Sukses Makmur Tbk.......................... 2,378,800 254 PT Telekomunikasi Indonesia Tbk.......................... 772,000 346 -------- TOTAL INDONESIA COMMON STOCK.................... 2,234 -------- ISRAEL COMMON STOCK - 0.85% Bank Hapoalim Limited.......... 40,480 139 Bank Leumi le-Israel B.M....... 45,000 127 Check Point Software Technologies+................ 19,490 408 Supersol Limited............... 68,500 185 -------- TOTAL ISRAEL COMMON STOCK.................... 859 -------- MALAYSIA COMMON STOCK - 3.28% Bandar Raya Developments Berhad....................... 148,000 74 Commerce Asset-Holding Berhad....................... 290,600 343 Gamuda Berhad.................. 298,500 365 Genting Berhad................. 103,100 500 Kuala Lumpur Kepong Berhad..... 96,400 165 Magnum Corporation Berhad...... 172,000 94 MK Land Holdings Berhad........ 295,300 105 Proton Holdings Berhad+........ 65,500 135 Resorts World Berhad........... 119,900 302
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Road Builder(M) Holdings Berhad....................... 144,000 $ 103 Sime Darby Berhad.............. 364,700 567 SP Setia Berhad................ 113,499 120 Tenaga Nasional Berhad......... 99,000 276 YTL Corporation Berhad......... 127,600 180 -------- TOTAL MALAYSIA COMMON STOCK.................... 3,329 -------- MEXICO COMMON STOCK - 7.96% America Movil, S.A. de C.V., ADR.......................... 30,155 1,497 Cemex, S.A. de C.V. ........... 35,047 253 Coca-Cola Femsa, S.A. de C.V., ADR(+)....................... 30,575 698 Consorcio Ara, S.A. de C.V. ... 5,100 16 Controladora Commercial Mexicana, S.A. de C.V.+...... 397,700 417 Desc, S.A. de C.V. ............ 525,500 133 Empresas ICA Sociedad Controladora, S.A. de C.V.+........................ 189,500 70 Empresas ICA Sociedad Controladora, S.A. de C.V., ADR+(+)...................... 10,800 24 Fomento Economico Mexicano, S.A. de C.V., ADR............ 3,600 184 Grupo Continential, S.A. ...... 141,750 263 Grupo Financiero Banorte, S.A. de C.V. ..................... 27,280 176 Grupo Televisa, S.A., ADR...... 18,900 1,062 Kimberly-Clark de Mexico, S.A. de C.V. ..................... 207,920 592 Telefonos de Mexico, S.A. de C.V., ADR.................... 37,190 1,261 Wal-Mart de Mexico, S.A. de C.V.+........................ 341,529 1,266 Wal-Mart de Mexico, S.A. de C.V., ADR.................... 4,126 153 -------- TOTAL MEXICO COMMON STOCK.................... 8,065 -------- MOROCCO COMMON STOCK - 0.17% Banque Maroc du Commerce Exterieur+................... 2,700 168 -------- TOTAL MOROCCO COMMON STOCK.................... 168 -------- PHILIPPINES COMMON STOCK - 0.41% ABS-CBN Broadcasting Corporation+................. 261,800 63 Bank of the Philippine Islands...................... 268,036 238 Manila Electric Company+....... 279,400 115 -------- TOTAL PHILIPPINES COMMON STOCK.................... 416 --------
See accompanying notes - -------------------------------------------------------------------------------- 48 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) POLAND COMMON STOCK - 2.05% Agora SA....................... 14,446 $ 261 Bank Przemyslowo-Handlowy SA... 1,047 149 KGHM Polska Miedz SA........... 27,894 251 Powszechna Kasa Oszczednosci Bank Polski.................. 63,751 483 Telekomunikacja Polska SA...... 94,775 525 Telekomunikacja Polska SA, GDR.......................... 73,300 404 -------- TOTAL POLAND COMMON STOCK.................... 2,073 -------- RUSSIA - 5.37% RUSSIA PREFERRED STOCK - 0.26% Vimpel Communications, ADR+.... 4,200 137 VolgaTelecom, ADR.............. 19,300 129 -------- TOTAL RUSSIA PREFERRED STOCK.................... 266 -------- RUSSIA COMMON STOCK - 5.11% Efes Breweries International N.V., GDR+................... 7,022 221 Highland Gold Mining Limited... 62,200 221 LUKOIL Oil Company, ADR+....... 18,077 2,462 Mobile Telesystems, ADR........ 22,700 763 Mobile Telesystems, GDR, 144A (Note A)+.................... 7,200 244 Peter Hambro Mining plc+....... 12,694 139 RAO Gazprom+(+)................ 10,400 351 RAO Gazprom, ADR(+)............ 14,300 483 Wimm-Bill-Dann Foods, ADR+..... 16,900 293 -------- TOTAL RUSSIA COMMON STOCK.................... 5,177 -------- TOTAL RUSSIA............... 5,443 -------- SINGAPORE COMMON STOCK - 0.14% Total Access Communications+... 53,000 145 -------- TOTAL SINGAPORE COMMON STOCK.................... 145 -------- SOUTH AFRICA COMMON STOCK - 12.93% African Bank Investments Limited...................... 156,400 418
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Alexander Forbes Limited....... 96,875 $ 177 Aveng Limited.................. 394,000 694 Avi Limited.................... 134,400 287 Barloworld Limited............. 19,300 292 Bidvest Group Limited.......... 37,004 416 Consol, Limited+............... 37,400 63 Edgars Consolidated Stores..... 8,700 359 Harmony Gold Mining Company Limited...................... 41,729 265 Harmony Gold Mining Company Limited, ADR(+).............. 18,487 116 Illovo Sugar Limited........... 158,500 193 Impala Platinum Holdings Limited...................... 9,947 826 Imperial Holdings Limited...... 3,585 55 Kumba Resources Limited........ 37,000 365 Lewis Group Limited+........... 53,900 314 Massmart Holdings Limited...... 59,900 433 Metropolitan Holdings Limited.. 99,800 176 MTN Group Limited.............. 119,740 849 Murray & Roberts............... 3,100 7 Nampak Limited................. 232,100 592 Nedcor Limited................. 81,486 1,005 Network Healthcare Holdings Limited...................... 172,300 157 Old Mutual..................... 207,175 499 Sanlam Limited+................ 400,100 756 Sappi Limited.................. 60,400 600 Sasol Limited.................. 29,800 698 Shoprite Holdings Limited...... 165,600 381 Standard Bank Group Limited.... 94,191 944 Steinhoff International Holdings Limited............. 306,179 650 Telkom South Africa Limited.... 23,300 405 The Tongaat-Hulett Group Limited...................... 12,516 112 -------- TOTAL SOUTH AFRICA COMMON STOCK.................... 13,104 -------- SOUTH KOREA - 16.20% SOUTH KOREA PREFERRED STOCK - 0.50% Daishin Securities Company Limited+..................... 7,760 68 Hyundai Motor Company.......... 3,200 111 Samsung Electronics Company Limited+..................... 1,070 323 -------- TOTAL SOUTH KOREA PREFERRED STOCK.................... 502 -------- SOUTH KOREA COMMON STOCK - 15.70% Cheil Industries, Incorporated................. 11,710 201 CJ Corporation................. 4,010 287 Daelim Industrial Company Limited...................... 4,660 231 Daewoo Heavy Industries & Machinery Limited............ 7,630 63 Daishin Securities Company Limited...................... 4,320 52 Doosan Heavy Industries and Construction Limited......... 15,130 189 Handsome Corporation........... 10,080 115 Hankook Tire Company Limited... 46,290 471 Hanmi Pharmaceutical Company Limited...................... 950 54 Hyundai Department Store Company Limited.............. 4,430 196
See accompanying notes - -------------------------------------------------------------------------------- 49 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Hyundai Development Company.... 11,570 $ 230 Hyundai Heavy Industries Company Limited+............. 2,500 128 Hyundai Mobis.................. 9,580 628 Hyundai Motor Company Limited...................... 11,880 648 Industrial Bank of Korea....... 33,640 293 INI Steel Company.............. 7,870 125 Kangwon Land Incorporated...... 34,691 488 Kia Motors Corporation......... 13,780 172 Kookmin Bank................... 13,471 571 Kookmin Bank, ADR(+)........... 6,800 291 Korea Electric Power Corporation.................. 43,860 1,274 Korea Electric Power Corporation, ADR(+).......... 4,800 71 KT Corporation, ADR............ 33,900 684 KT&G Corporation............... 9,380 338 Kumho Tire Company, Incorporated, GDR............ 8,910 62 Kumho Tire Company, Incorporated, GDR, 144A (Note A)........................... 11,600 80 LG Chemical.................... 11,160 425 LG Construction Company........ 10,690 321 LG Electronics, Incorporated... 4,330 291 LG Household and Health Care Limited...................... 3,990 132 LG Investment and Securities Company Limited+............. 5,730 46 POSCO.......................... 3,080 558 Pusan Bank..................... 19,460 151 Samsung Corporation............ 6,270 80 Samsung Electro Mechanics Company Limited.............. 21,760 503 Samsung Electronics Company Limited...................... 5,440 2,496 Samsung Fire & Marine Insurance Company Limited.............. 9,770 668 Samsung SDI Company Limited.... 9,870 971 Shinhan Financial Group Company Limited...................... 14,950 388 SK Corporation................. 2,300 129 SK Telecom Company Limited, ADR (+).......................... 9,000 175 SK Telecom Company Limited..... 1,850 304 Tong Yang Confectionery Corporation.................. 2,383 327 -------- TOTAL SOUTH KOREA COMMON STOCK.................... 15,907 -------- TOTAL SOUTH KOREA.......... 16,409 --------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) TAIWAN COMMON STOCK - 11.91% Accton Technology Corporation+................. 275,396 $ 136 Acer, Incorporated............. 96,518 159 Advanced Semiconductor Engineering, Incorporated.... 256,000 172 Asia Optical Company, Incorporated................. 59,071 368 Asustek Computer, Incorporated................. 153,737 414 AU Optronics Corp.............. 83,000 133 Benq Corporation............... 301,000 295 Catcher Technology Company Limited...................... 53,000 284 Cathay Financial Holding Company Limited.............. 173,000 315 Cheng Shin Industries.......... 76,216 86 China Motor Company............ 203,000 224 Chinatrust Financial Holding Company Limited.............. 230,827 265 Compal Electronics, Incorporated................. 970,026 906 CTCI Corporation............... 164,552 92 CyberLink Corporation.......... 18,837 59 Delta Electronics Group........ 316,650 509 Delta Electronics, Incorporated, GDR............ 11,800 94 Elan Microelectronics Corporation.................. 116,496 55 Far EasTone Telecommunication Company Limited.............. 112,000 137 First Financial Holding Company Limited...................... 592,000 459 Hon Hai Precision Industry Company Limited.............. 108,064 517 Hon Hai Precision Industry Company Limited, GDR......... 4,000 38 Infortrend Technology, Incorporated................. 58,414 113 Kaulin Manufacturing Company Limited...................... 48,950 48 Largan Precision Company Limited...................... 18,484 112 Media Tek, Incorporated........ 40,162 307 Mega Financial Holding Company...................... 435,000 274 Nien Hsing Textile Company Limited...................... 182,000 163 Phoenixtec Power Company Limited...................... 81,355 90 Polaris Securities Company Limited...................... 136,733 60 President Chain Store Corporation.................. 74,000 137 Quanta Computer, Incorporated.. 396,298 665
See accompanying notes - -------------------------------------------------------------------------------- 50 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Shin Kong Financial Holding Company Limited.............. 534,459 $ 503 SinoPac Holdings............... 930,987 506 Springsoft Systems Limited..... 61,800 126 Sunplus Technology Company Limited+..................... 35,000 47 Taishin Financial Holdings Company Limited.............. 210,445 189 Taiwan Cellular Corporation.... 533,635 535 Taiwan Semiconductor Manufacturing Company Limited...................... 166,000 277 Tsann Keun Enterprise Company Limited...................... 88,630 113 United Microelectronics Corporation+................. 2,308,251 1,371 United Microelectronics Corporation, ADR+(+)......... 42,477 138 Ya Hsin Industrial Company Limited...................... 136,288 126 Yaego Corporation+............. 1,470,000 451 -------- TOTAL TAIWAN COMMON STOCK.................... 12,068 -------- THAILAND COMMON STOCK - 3.77% Advanced Info Services PCL*.... 122,300 295 Asian Property Development Company Limited*............. 541,600 51 Bangkok Bank PCL............... 162,100 441 Banpu Company*................. 28,000 115 CH. Karnchang Public Company Limited*..................... 146,800 40 Charoen Pokphand Foods PCL*.... 1,360,700 150 CP Seven Eleven PCL+*.......... 236,800 179 Delta Electronics PCL+*........ 118,000 53 Italian-Thai Development PCL*.. 747,800 175 Kasikornbank PCL............... 411,000 581 Kasikornbank PCL, NVDR+........ 18,900 26 Krung Thai Bank PCL*........... 1,770,400 377 Lalin Property PCL+*........... 148,400 20 Land & Houses PCL.............. 518,500 97 MBK Public Company Limited+*... 29,000 35 PTT Public Company Limited*.... 61,600 312 Siam City Bank PCL............. 175,400 110 Siam Commercial Bank PCL*...... 330,200 396 Siam Makro PCL+................ 98,800 138 Sino Thai Engineering & Construction PCL+*........... 136,900 28 Sino Thai Engineering & Construction PCL, rights+*... 22,816 3 Thai Oil PCL+*................. 73,400 120 True Corporation Public Company Limited+*.................... 369,300 77 -------- TOTAL THAILAND COMMON STOCK.................... 3,819 -------- TURKEY COMMON STOCK - 2.48% Akbank T.A.S................... 40,830 196 Akcansa Cimento A.S............ 66,790 191 Dogan Yayin Holding+........... 101,800 245 Enka Insaat ve Sanayi A.S...... 13,072 195 Hurriyet Gazetecilik ve Matbaacilik A.S.............. 111,463 199 Tupras-Turkiye Petrol Rafinerileri A.S............. 28,563 359 Turkcell Iletisim Hizmetleri A.S.......................... 35,222 216 Turkiye Garanti Bankasi A.S.+........................ 79,224 282 Trakya Cam Sanayii A.S......... 61,512 179 Yapi ve Kredi Bankasi A.S.+.... 124,273 455 -------- TOTAL TURKEY COMMON STOCK.................... 2,517 -------- TOTAL STOCKS............... 99,376 -------- PAR AMOUNT ----------- SHORT TERM INVESTMENTS - 7.47% U.S. TREASURY BILLS - 0.30% 2.685%, Due 6/9/2005 (Note C)........................... $ 300 299 -------- TOTAL U.S. TREASURY BILLS.................... 299 -------- SHARES ----------- OTHER SHORT TERM INVESTMENTS -- 7.17% American Beacon Enhanced Cash Trust (Notes B and D)........ 3,852,212 3,852 American Beacon Money Market Select Fund (Notes B and D).. 3,416,783 3,417 -------- TOTAL OTHER SHORT TERM INVESTMENTS.............. 7,269 -------- TOTAL SHORT TERM INVESTMENTS.............. 7,568 -------- TOTAL INVESTMENTS - 105.53% (COST $90,458)............... 106,944 -------- LIABILITIES, NET OF OTHER ASSETS - (5.53%)............. (5,607) -------- TOTAL NET ASSETS - 100%........ $101,337 ========
See accompanying notes - -------------------------------------------------------------------------------- 51 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ ISSUER CONTRACTS DATE VALUE (DEPRECIATION) - ------ --------- ---------- ------ -------------- Emini S&P 500 Index........................................ 50 June 2005 $2,896 $(103) ------ ----- $2,896 $(103) ====== =====
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (DOLLARS IN THOUSANDS)
SETTLEMENT MARKET UNREALIZED CONTRACTS TO DELIVER DATE VALUE GAIN/(LOSS) - -------------------- ---------- ------ ----------- 4,141 S. African Rand........................................... 6/27/2005 $ 676 $ (65) 1,748 S. African Rand........................................... 6/27/2005 285 (5) 2,595 S. African Rand........................................... 7/22/2005 422 (26) 11,092 S. African Rand........................................... 11/14/2005 1,787 (49) ------ ----- Total contracts to deliver (Receivable amount $3,025).............. $3,170 $(145) ====== =====
SETTLEMENT MARKET UNREALIZED CONTRACTS TO RECEIVE DATE VALUE GAIN/(LOSS) - -------------------- ---------- ------ ----------- 1,350 Euro Currency............................................ 11/14/2005 $1,750 $12 ------ --- Total contracts to receive (Payable amount $1,738).................. $1,750 $12 ====== ===
- --------------- (A) 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 period end, the value of these securities amounted to $1,693 or 1.67% of net assets. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) At April 30, 2005, security held as collateral for open futures contracts. (D) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of this security is on loan at April 30, 2005. See Note 5. +- Non-income producing security. *- Valued at fair value pursuant to procedures approved by the Board of Trustees. See accompanying notes - -------------------------------------------------------------------------------- 52 AMERICAN BEACON EMERGING MARKETS FUND EMERGING MARKETS SECTOR DIVERSIFICATION April 30, 2005 - -------------------------------------------------------------------------------- INDUSTRY DIVERSIFICATION
PERCENT OF NET ASSETS ---------- Consumer Discretionary...................................... 12.48% Consumer Staples............................................ 7.05% Energy...................................................... 8.95% Financials.................................................. 18.43% Health Care................................................. 1.59% Industrials................................................. 9.32% Information Technology...................................... 12.21% Materials................................................... 9.05% Short-Term Investments...................................... 7.47% Telecommunication Services.................................. 14.11% Utilities................................................... 4.87% Liabilities, Net of Other Assets............................ (5.53%) ------- 100.00% =======
See accompanying notes - -------------------------------------------------------------------------------- 53 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) CORPORATE BONDS - 93.52% CONSUMER DISCRETIONARY - 26.75% AUTO COMPONENTS - 4.40% Advanced Accessory Systems, LLC, 10.75%, Due 6/15/2011(+)... $ 1,200 $ 852 Asbury Automotive Group, Incorporated, 9.00%, Due 6/15/2012...................................... 1,000 985 8.00%, Due 3/15/2014...................................... 800 732 Delphi Corporation, 6.55%, Due 6/15/2006(+)................. 1,500 1,402 GenCorp, Incorporated, 9.50%, Due 8/15/2013................. 1,174 1,274 Meritor Automotive, Incorporated, 6.80%, Due 2/15/2009...... 620 572 Navistar International Transportation Corporation, 7.50%, Due 6/15/2011(+)................................... 1,650 1,559 6.25%, Due 3/1/2012, 144A (Note A)........................ 1,000 880 Stanadyne Corporation, 10.00%, Due 8/15/2014................ 1,000 970 Tenneco Automotive, Incorporated, 8.625%, Due 11/15/2014, 144A (Note A)(+).......................................... 1,000 912 TriMas Corporation, 9.875%, Due 6/15/2012................... 3,000 2,955 United Components, Incorporated, 9.375%, Due 6/15/2013...... 2,250 2,070 Visteon Corporation, 7.00%, Due 3/10/2014(+)................ 1,000 698 -------- TOTAL AUTO COMPONENTS................................... 15,861 -------- HOTELS, RESTAURANTS & LEISURE - 6.27% AMC Entertainment, Incorporated, 9.875%, Due 2/1/2012(+).... 600 600 Ameristar Casinos, Incorporated, 10.75%, Due 2/15/2009...... 1,200 1,305 AMF Bowling Worldwide Incorporated, 10.00%, Due 3/1/2010.... 2,950 2,950 Aztar Corporation, 9.00%, Due 8/15/2011..................... 650 695 Booth Creek Ski Holdings, Incorporated, 12.50%, Due 3/15/2007................................................. 2,500 2,469 Choctaw Resort Development Enterprise, 7.25%, Due 11/15/2019, 144A (Note A)................................. 700 683 Chumash Casino & Resort Enterprises, 9.26%, Due 7/15/2010... 1,250 1,338 Cinemark, Incorporated, 0.00%, Due 3/15/2014+............... 1,500 1,031 Intrawest Corporation, 7.50%, Due 10/15/2013................ 750 746 Landry's Restaurants, Incorporated, 7.50%, Due 12/15/2014, 114A (Note A)............................................. 825 767 Station Casinos, Incorporated, 6.875%, Due 3/1/2016......... 1,500 1,515 Town Sports International, Incorporated, 9.625%, Due 4/15/2011................................................. 800 821 Turning Stone Casino Resort, 9.125%, Due 12/15/2010, 144A (Note A).................................................. 3,710 3,803 Vicorp Restaurants, Incorporated, 10.50%, Due 4/15/2011..... 1,000 1,015 Warner Music Group, 7.385%, Due 12/15/2011, 144A (Note A)..................... 1,500 1,545 0.00%, Due 12/15/2014+.................................... 2,000 1,330 -------- TOTAL HOTELS, RESTAURANTS & LEISURE..................... 22,613 -------- HOUSEHOLD DURABLES - 0.25% Ainsworth Lumber Company Limited, 6.75%, Due 3/15/2014...... 1,000 905 -------- TOTAL HOUSEHOLD DURABLES................................ 905 -------- MEDIA - 6.61% American Media Operations, Incorporated, 10.25%, Due 5/1/2009.................................................. 2,615 2,687 Charter Communications Holdings, 10.25%, Due 9/15/2010...... 1,500 1,498 Charter Communications Operations, 8.375%, Due 4/30/2014, 144A (Note A)............................................. 1,900 1,824
See accompanying notes - -------------------------------------------------------------------------------- 54 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Dex Media West, LLC, 12.125%, Due 11/15/2012................................... $ 1,415 $ 1,664 9.875%, Due 8/15/2013..................................... 500 555 0.00%, Due 11/15/2013+.................................... 1,000 750 Echostar DBS Corporation, 6.625%, Due 10/1/2014, 144A (Note A)........................................................ 5,850 5,675 The Interpublic Group of Companies, Incorporated, 6.25%, Due 11/15/2014................................................ 3,000 2,865 Kabel Deutschland GMBH, 10.625%, Due 7/1/2014, 144A (Note A)........................................................ 3,825 4,035 LBI Media, Incorporated, 10.125%, Due 7/15/2012............. 1,000 1,100 WDAC Subsidiary Corporation, 8.375%, Due 12/1/2014, 144A (Note A)(+)............................................... 1,300 1,180 -------- TOTAL MEDIA............................................. 23,833 -------- RETAIL - 6.84% CSK Auto Corporation, 7.00%, Due 1/15/2014.................. 1,545 1,398 Finlay Fine Jewelry Corporation, 8.375%, Due 6/1/2012....... 1,000 880 FTD, Incorporated, 7.75%, Due 2/15/2014..................... 923 918 GNC Corporation, 8.625%, Due 1/15/2011, 144A (Note A)....... 1,965 1,749 Group 1 Automotive, Incorporated, 8.25%, Due 8/15/2013...... 1,000 1,000 Michaels Stores, Incorporated, 9.25%, Due 7/1/2009.......... 750 789 Pep Boys, Incorporated, 6.88%, Due 3/6/2006....................................... 1,000 1,005 7.50%, Due 12/15/2014(+).................................. 2,300 2,208 Rite Aid Corporation, 12.50%, Due 9/15/2006..................................... 750 817 8.125%, Due 5/1/2010...................................... 2,000 1,950 9.50%, Due 2/15/2011...................................... 710 721 7.50%, Due 1/15/2015, 144A (Note A)....................... 750 688 Samsonite Corporation, 8.875%, Due 6/1/2011................. 2,500 2,575 Toys R Us, Incorporated, 7.625%, Due 8/1/2011...................................... 1,000 903 7.875%, Due 4/15/2013(+).................................. 800 696 United Rentals North America, Incorporated, 6.50%, Due 2/15/2012................................................. 3,325 3,167 Woolworth Corporation, 8.50%, Due 1/15/2022................. 2,900 3,176 -------- TOTAL RETAIL............................................ 24,640 -------- SERVICES - 0.79% Knowledge Learning Corporation, 7.75%, Due 2/1/2015, 144A (Note A).................................................. 3,000 2,850 -------- TOTAL SERVICES.......................................... 2,850 -------- TEXTILES & APPAREL - 1.59% Day International Group, Incorporated, 9.50%, Due 3/15/2008................................................. 1,555 1,571 Phillips-Van Heusen Corporation, 8.125%, Due 5/1/2013...................................... 1,250 1,288 7.75%, Due 11/15/2023..................................... 2,800 2,884 -------- TOTAL TEXTILES & APPAREL................................ 5,743 -------- TOTAL CONSUMER DISCRETIONARY............................ 96,445 --------
See accompanying notes - -------------------------------------------------------------------------------- 55 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) CONSUMER STAPLES - 1.41% FOOD/RESTAURANT - 1.16% Borden, Incorporated, 9.20%, Due 3/15/2021...................................... $ 2,500 $ 2,375 7.875%, Due 2/15/2023..................................... 655 557 Pilgrims Pride Corporation, 9.625%, Due 9/15/2011........... 1,148 1,254 -------- TOTAL FOOD/RESTAURANT................................... 4,186 -------- HOUSEHOLD DURABLES - 0.25% H.H. Gregg Appliances, Incorporated, 9.00%, Due 2/1/2013.... 1,000 900 -------- TOTAL HOUSEHOLD DURABLES................................ 900 -------- TOTAL CONSUMER STAPLES.................................. 5,086 -------- ENERGY - 7.75% AES Corporation, 4.50%, Due 8/15/2005....................... 2,250 2,253 Alpha Natural Resources, LLC, 10.00%, Due 6/1/2012, 144A (Note A).................................................. 2,000 2,220 AmeriGas Partners, L.P., 8.875%, Due 5/20/2011..................................... 1,500 1,627 7.25%, Due 5/20/2015, 144A (Note A)....................... 1,500 1,500 CITGO Petroleum Corporation, 6.00%, Due 10/15/2011, 144A (Note A)(+)............................................... 1,000 973 Delta Petroleum Corporation, 7.00%, Due 4/1/2015, 144A (Note A)........................................................ 960 907 Dynegy Holdings, Incorporated, 144A (Note A), 9.875%, Due 7/15/2010..................................... 500 505 10.125%, Due 7/15/2013.................................... 300 309 Energy Partners Limited, 8.75%, Due 8/1/2010................ 2,000 2,100 Ferrellgas Partners, L.P., 6.75%, Due 5/1/2014.............. 1,000 950 Holly Energy Partners, L.P., 6.25%, 3/1/2015, 144A (Note A)........................................................ 1,450 1,363 Inergy Finance Corporation, 6.875%, Due 12/15/2014, 144A (Note A).................................................. 1,000 950 Key Energy Service, Incorporated, 8.375%, Due 3/1/2008...... 1,000 1,035 Newfield Exploration Company, 8.375%, Due 8/15/2012......... 425 457 Paramount Resources Limited, 8.50%, Due 1/31/2013........... 2,374 2,303 Reliant Energy, Incorporated, 6.75%, Due 12/15/2014(+)...... 1,580 1,398 Swift Energy Company, 7.625%, Due 7/15/2011..................................... 900 913 9.375%, Due 5/1/2012...................................... 1,000 1,070 Tenaska, Incorporated, 6.528%, Due 12/30/2014, 144A (Note A)........................................................ 985 1,002 Terex Corporation, 9.25%, Due 7/15/2011...................................... 1,250 1,356 7.375%, Due 1/15/2014..................................... 1,975 1,985 Venoco, Incorporated, 8.75%, Due 12/15/2011, 114A (Note A)........................................................ 750 750 -------- TOTAL ENERGY............................................ 27,926 -------- FINANCIALS - 5.19% DIVERSIFIED FINANCIALS - 4.39% E*Trade Financial Corporation, 8.00%, Due 6/15/2011......... 2,375 2,434 K&F Acquisition, Incorporated, 7.75%, Due 11/14/2014, 144A (Note A).................................................. 2,000 1,960 General Motors Acceptance Corporation, 6.15%, Due 4/5/2007.................................................. 1,400 1,373 Glencore Funding, LLC, 6.00%, Due 4/15/2014, 144A (Note A)........................................................ 1,850 1,752
See accompanying notes - -------------------------------------------------------------------------------- 56 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Noble Group Limited, 6.625%, Due 3/17/2015, 144A (Note A)... $ 3,500 $ 3,120 Refco Financial Holdings, LLC, 9.00%, Due 8/1/2012, 144A (Note A).................................................. 2,150 2,322 Thornburg Mortgage, Incorporated, 8.00%, Due 5/15/2013...... 2,850 2,864 -------- TOTAL DIVERSIFIED FINANCIALS............................ 15,825 -------- REAL ESTATE - 0.80% American Real Estate Partners, L.P. 7.125%, Due 2/15/2013, 144A (Note A)............................................. 1,500 1,451 Host Marriott Corporation, 6.375%, Due 3/15/2015, 144A (Note A)........................................................ 1,500 1,427 -------- TOTAL REAL ESTATE....................................... 2,878 -------- TOTAL FINANCIALS........................................ 18,703 -------- HEALTH CARE - 9.24% EQUIPMENT & SUPPLIES - 0.29% Sybron Dental Specialties, Incorporated, 8.125%, Due 6/15/2012................................................. 1,000 1,060 -------- TOTAL EQUIPMENT & SUPPLIES.............................. 1,060 -------- HEALTHCARE PROVIDERS & SERVICES - 7.73% ACIH, Incorporated, 0.00%, Due 12/15/2012, 144A (Note A)+... 3,575 2,431 DaVita, Incorporated, 7.25%, Due 3/15/2015, 144A (Note A)... 2,750 2,674 HCA, Incorporated, 8.36%, Due 4/15/2024..................... 3,435 3,742 HealthSouth Corporation, 6.875%, Due 6/15/2005(+).................................. 450 450 7.375%, Due 10/1/2006..................................... 250 250 8.375%, Due 10/1/2011..................................... 2,950 2,921 Interactive Health, LLC, 8.00%, Due 4/1/2011, 144A (Note A)........................................................ 1,800 1,638 National Health Investors, 7.30%, Due 7/16/2007............. 1,000 1,041 NDCHealth Corporation, 10.50%, Due 12/1/2012................ 3,000 3,165 Pacificare Health Systems, Incorporated, 10.75%, Due 6/1/2009.................................................. 2,625 2,914 Quintiles Transnational Corporation, 10.00%, Due 10/1/2013................................................. 1,600 1,728 Select Medical Corporation, 7.625%, Due 2/1/2015, 144A (Note A)........................................................ 2,225 2,186 Vicar Operating, Incorporated, 9.875%, Due 12/1/2009........ 2,500 2,709 -------- TOTAL HEALTHCARE PROVIDERS & SERVICES................... 27,849 -------- PHARMACEUTICALS - 1.22% Athena Neurosciences Financial LLC, 7.25%, Due 2/21/2008(+).............................................. 1,550 1,352 Dade Behring Holdings, Incorporated, 11.91%, Due 10/3/2010................................................. 2,300 2,504 Leiner Health Products, Incorporated, 11.00%, Due 6/1/2012.................................................. 500 528 -------- TOTAL PHARMACEUTICALS................................... 4,384 -------- TOTAL HEALTH CARE....................................... 33,293 -------- INFORMATION TECHNOLOGY - 3.28% COMMUNICATIONS EQUIPMENT - 0.50% Corning, Incorporated, 7.00%, Due 3/15/2007................. 1,800 1,802 -------- TOTAL COMMUNICATIONS EQUIPMENT.......................... 1,802 --------
See accompanying notes - -------------------------------------------------------------------------------- 57 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.75% Amkor Technology, Incorporated, 9.25%, Due 2/15/2008.................................... $ 1,500 $ 1,331 7.125%, Due 3/15/2011................................... 500 393 7.75%, Due 5/15/2013.................................... 290 227 Flextronics International Limited, 6.50%, Due 5/15/2013(+).............................................. 2,550 2,435 Freescale Semiconductor, Incorporated, 7.125%, Due 7/15/2014................................................. 2,550 2,652 MagnaChip Semiconductor Limited, 144A (Note A) 6.875%, Due 12/15/2011(+)................................. 2,750 2,517 8.00%, Due 12/15/2014..................................... 400 346 -------- TOTAL SEMICONDUCTOR EQUIPMENT & PRODUCTS................ 9,901 -------- SOFTWARE - 0.03% Peregrine Systems, Incorporated, 6.50%, Due 8/15/2007....... 109 107 -------- TOTAL SOFTWARE.......................................... 107 -------- TOTAL INFORMATION TECHNOLOGY............................ 11,810 -------- INDUSTRIALS - 26.29% AEROSPACE & ENGINEERING - 0.92% Transdigm, Incorporated, 8.375%, Due 7/15/2011.............. 3,250 3,315 -------- TOTAL AEROSPACE & ENGINEERING........................... 3,315 -------- CONSTRUCTION & ENGINEERING - 5.55% AMH Holdings, Incorporated, 0.00%, Due 3/1/2014+............ 2,500 1,687 Beazer Homes USA, Incorporated, 8.375%, Due 4/15/2012....... 2,000 2,120 Interline Brands, Incorporated, 11.50%, Due 5/15/2011....... 2,275 2,571 KB Home, 7.75%, Due 2/1/2010................................ 1,000 1,047 K. Hovnanian Enterprises, Incorporated, 8.875%, Due 4/1/2012.................................................. 2,700 2,875 Meritage Homes Corporation, 6.25%, Due 3/15/2015, 144A (Note A)........................................................ 125 115 Propex Fabrics, Incorporated, 10.00%, Due 12/1/2012......... 825 784 Schuler Homes, Incorporated, 9.375%, Due 7/15/2009.......... 1,500 1,570 Standard Pacific Corporation, 9.50%, Due 9/15/2010...................................... 1,205 1,271 6.25%, Due 4/1/2014(+).................................... 1,000 955 Technical Olympic USA, Incorporated, 9.00%, Due 7/1/2010.... 1,250 1,287 Terex Corporation, 10.375%, Due 4/1/2011.................... 500 543 WCI Communities, Incorporated, 10.625%, Due 2/15/2011....... 1,075 1,140 Wolverine Tube, Incorporated, 7.375%, Due 8/1/2008, 144A (Note A).................................................. 2,250 2,048 -------- TOTAL CONSTRUCTION & ENGINEERING........................ 20,013 -------- COMMERCIAL SERVICES & SUPPLIES - 19.20% Allied Waste North American, Incorporated, 8.50%, Due 12/1/2008................................................. 3,050 3,107 Alpharma, Incorporated, 8.625%, Due 5/1/2011, 144A (Note A)(+)..................................................... 3,250 3,152 Asia Aluminum Holdings Limited, 8.00%, Due 12/23/2011, 144A (Note A).................................................. 3,000 2,843 Biovail Corporation, 7.875%, Due 4/1/2010(+)................ 3,700 3,682 Browning-Ferris Industries, Incorporated, 9.25%, Due 5/1/2021.................................................. 1,000 1,010 Cadmus Communications Corporation, 8.375%, Due 6/15/2014.... 1,200 1,254 Celestica, Incorporated, 7.875%, Due 7/1/2011............... 2,800 2,786 CHC Helicopter Corporation, 7.375%, Due 5/1/2014............ 1,860 1,814
See accompanying notes - -------------------------------------------------------------------------------- 58 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) CHC Helicopter Corporation, 7.375%, Due 5/1/2014, 144A (Note A)........................................................ $ 750 $ 731 Clean Harbors, Incorporated, 11.25%, Due 7/15/2012, 144A (Note A).................................................. 1,000 1,110 Columbus McKinnon Corporation, 10.00%, Due 8/1/2010......... 2,000 2,150 Communications and Power Industries, Incorporated, 8.00%, Due 2/1/2012.............................................. 1,000 965 Compass Minerals Group, Incorporated, 10.00%, Due 8/15/2011................................................. 1,000 1,090 Compass Minerals International, Incorporated, 0.00%, Due 6/1/2013+................................................. 1,825 1,524 Corrections Corporation of America, 7.50%, Due 5/1/2011....................................... 500 516 6.25%, Due 3/15/2013, 144A (Note A)....................... 1,000 965 Da-Lite Screen Company, Incorporated, 9.50%, Due 5/15/2011................................................. 750 819 Freeport-McMoRan Copper & Gold, Incorporated, 10.125%, Due 2/1/2010.................................................. 1,750 1,916 HMH Properties, Incorporated, 7.875%, Due 8/1/2008.......... 702 716 Ingram Micro, Incorporated, 9.875%, Due 8/15/2008........... 3,000 3,172 Invensys, plc, 9.875%, Due 3/15/2011, 144A (Note A)(+)...... 1,050 1,039 Iron Mountain, Incorporated, 6.625%, Due 1/1/2016........... 2,500 2,225 Medical Device Manufacturing, Incorporated, 10.00%, Due 7/15/2012................................................. 2,000 2,140 Mueller Group, Incorporated, 10.00%, Due 5/1/2012........... 1,370 1,473 NationsRent Companies, Incorporated, 9.50%, Due 5/1/2015, 144A (Note A)............................................. 2,000 2,000 Novelis, Incorporated, 7.25%, Due 2/15/2015, 144A (Note A)........................................................ 1,000 967 Pantry, Incorporated, 7.75%, Due 2/15/2014.................. 600 603 Phibro Animal Health Corporation, 13.00%, Due 12/1/2007..... 500 535 J.B. Poindexter Incorporated, 8.75%, Due 3/15/2014, 144A (Note A).................................................. 2,000 1,940 Polypore, Incorporated, 8.75%, Due 5/15/2012................ 1,450 1,225 Polypore International, Incorporated, 0.00%, Due 10/1/2012, 144A (Note A)+............................................ 1,500 840 Russell Corporation, 9.25%, Due 5/1/2010.................... 1,475 1,530 Sheridan Group, Incorporated, 10.25%, Due 8/15/2011......... 2,125 2,247 Solectron Corporation, 7.97%, Due 11/15/2006................ 1,500 1,553 Superior Essex Communications, 9.00%, Due 4/15/2012......... 2,400 2,424 UAP Holding Corporation, 0.00%, Due 7/15/2012+.............. 2,000 1,530 Unisys Corporation, 7.875%, Due 4/1/2008.................... 3,270 3,250 UNOVA, Incorporated, 7.00%, Due 3/15/2008................... 4,250 4,314 WH Holdings (Cayman Islands) Limited, 9.50%, Due 4/1/2011... 800 852 Xerox Corporation, 7.625%, Due 6/15/2013.................... 1,100 1,174 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES.................... 69,183 -------- MACHINERY - 0.62% Case Corporation, 7.25%, Due 1/15/2016...................... 2,400 2,220 -------- TOTAL MACHINERY......................................... 2,220 -------- TOTAL INDUSTRIALS....................................... 94,731 -------- MATERIALS - 9.70% CHEMICALS - 5.57% Acetex Corporation, 10.875%, Due 8/1/2009................... 850 897 Casella Waste System, Incorporated, 9.75%, Due 2/1/2013..... 2,020 2,207 Cpi Holding Company, Incorporated, 8.83%, Due 2/1/2015, 144A (Note A).................................................. 1,750 1,671 Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp, 0.00%, Due 10/1/2014, Series A, 144A (Note A)+....................... 1,463 980
See accompanying notes - -------------------------------------------------------------------------------- 59 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp, 0.00%, Due 10/1/2014, Series B, 144A (Note A)+....................... $ 3,990 $ 2,593 FMC Corporation, 10.25%, Due 11/1/2009...................... 2,000 2,210 Hercules, Incorporated, 6.75%, Due 10/15/2029............... 1,750 1,702 Innophos, Incorporated, 8.875%, Due 8/15/2014, 144A (Note A)........................................................ 500 518 Lyondell Chemical Company, 10.875%, Due 5/1/2009(+)......... 2,500 2,587 Nalco Company, 7.75%, Due 11/15/2011..................................... 500 510 8.875%, Due 11/15/2013(+)................................. 1,930 1,978 Resolution Performance Products, 8.00%, Due 12/15/2009...... 500 521 Westlake Chemical Corporation, 8.75%, Due 7/15/2011......... 1,560 1,697 -------- TOTAL CHEMICALS......................................... 20,071 -------- CONTAINERS & PACKAGING - 1.78% Crown Holdings, Incorporated, 9.50%, Due 3/1/2011........... 1,500 1,620 Intertape Polymer, Incorporated, 8.50%, Due 8/1/2014........ 1,300 1,298 Owens-Brockway Glass Containers, Incorporated, 8.875%, Due 2/15/2009..................................... 2,015 2,146 8.75%, Due 11/15/2012..................................... 1,250 1,362 -------- TOTAL CONTAINERS & PACKAGING............................ 6,426 -------- PAPER & FOREST PRODUCTS - 2.35% Abitibi-Consolidated, Incorporated, 8.375%, Due 4/1/2015(+)............................................... 1,000 913 Fraser Papers Incorporated, 8.75%, Due 3/15/2015, 144A (Note A)........................................................ 2,300 2,139 Mercer International Incorporated, 9.25%, Due 2/15/2013..... 1,000 920 Neenah Paper, Incorporated, 7.375%, Due 11/15/2014, 144A (Note A).................................................. 2,450 2,328 The Newark Group, Incorporated, 9.75%, Due 3/15/2014........ 2,200 2,167 -------- TOTAL PAPER & FOREST PRODUCTS........................... 8,467 -------- TOTAL MATERIALS......................................... 34,964 -------- TELECOMMUNICATION SERVICES - 3.65% Dobson Cellular Systems, Incorporated, 8.375%, Due 11/1/2011, 144A (Note A).................................. 225 227 GST Equipment Funding, Incorporated, 13.25%, Due 5/1/2007+*................................................ 2,500 -- Intelsat, Limited, 5.25%, Due 11/1/2008..................... 1,900 1,724 MCI, Incorporated, 7.688%, Due 5/1/2009..................... 1,525 1,575 PanAmSat Holding Corporation, 0.00%, Due 11/1/2014, 144A (Note A)+................................................. 1,850 1,184 Partner Communications Company Limited, 13.00%, Due 8/15/2010(+).............................................. 1,000 1,120 Qwest Services Corporation, 14.00%, Due 12/15/2010, 144A (Note A).................................................. 4,250 4,781 SBA Telecom, Incorporated, 0.00%, Due 12/15/2011+(+)........ 1,750 1,523 US Unwired, Incorporated, 7.26%, Due 6/15/2010.............. 1,000 1,025 -------- TOTAL TELECOMMUNICATION SERVICES........................ 13,159 -------- OTHER CORPORATE BONDS - 0.26% Jostens, Incorporated, 7.625%, Due 10/1/2012................ 950 950 -------- TOTAL OTHER CORPORATE BONDS............................. 950 -------- TOTAL CORPORATE BONDS................................... 337,067 --------
See accompanying notes - -------------------------------------------------------------------------------- 60 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 0.16% Peregrine Systems, Incorporated+............................ 28,000 $ 588 -------- TOTAL COMMON STOCKS..................................... 588 -------- SHORT TERM INVESTMENTS - 12.08% American Beacon Money Market Select Fund (Note B)........... 12,221,936 12,222 Short-Term Investment Company Liquid Asset Fund (Note E).... 2,990,979 2,991 PAR AMOUNT ----------- Chesham Finance LLC, Due 8/31/2005 (Note E)................. $ 10,000 $ 10,000 Harwood Street Funding II, Due 5/2/2005 (Note E)............ 3,801 3,801 Merrill Lynch Pierce Fenner & Smith, Inc. Tri Party Repo, 3.05%, Due 5/2/2005, (Notes C and E)........................................... 10,000 10,000 Morgan Stanley & Co., Inc. Tri Party Repo, 3.05%, Due 5/2/2005, (Notes D and E)................................. 4,500 4,500 -------- TOTAL SHORT TERM INVESTMENTS............................ 43,514 -------- TOTAL INVESTMENTS - 105.76% (COST $386,336)................. 381,169 -------- LIABILITIES, NET OF OTHER ASSETS - (5.76%).................. (20,756) -------- TOTAL NET ASSETS - 100%..................................... $360,413 ========
- --------------- (A) 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 $95,065 or 26.38% of net assets. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) Collateral held at J.P. Morgan Chase consists of the following: Ford Motor Credit Company, 7.60%, Due 8/1/2005, Market Value - $1,966, Ford Motor Credit Company, 6.50%, Due 1/25/2007, Market Value - $4,021, Ford Motor Credit Company, 7.00%, Due 10/1/2013, Market Value - $3,517, Ford Motor Credit Company, 3.75%, Due 11/16/2006, Market Value - $701 (D) Collateral held at the Bank of New York consists of the following: UST, Incorporated, 7.25%, Due 6/1/2009, Market Value - $1,598, UST, Incorporated, 6.63%, Due 7/15/2012, Market Value - $3,110 (E) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of this security is on loan April 30, 2005. See note 5. +- Non-income producing security. *- Valued at fair value pursuant to procedures approved by the Board of Trustees. See accompanying notes - -------------------------------------------------------------------------------- 61 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) U.S. TREASURY OBLIGATIONS - 17.38% U.S. TREASURY BONDS - 0.98% 8.75%, Due 8/15/2020........................................ $ 750 $ 1,099 -------- TOTAL U.S. TREASURY BONDS............................... 1,099 -------- U.S. TREASURY NOTES - 16.40% 5.00%, Due 2/15/2011(+)..................................... 3,350 3,530 5.00%, Due 8/15/2011(+)..................................... 4,100 4,329 4.00%, Due 2/15/2014(+)..................................... 5,000 4,942 4.75%, Due 5/15/2014(+)..................................... 5,300 5,525 -------- TOTAL U.S. TREASURY NOTES............................... 18,326 -------- TOTAL U.S. TREASURY OBLIGATIONS......................... 19,425 -------- U.S. AGENCY OBLIGATIONS - 0.96% FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.46% Federal Home Loan Mortgage Corporation, 5.125%, Due 10/15/2008................................................ 500 517 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 517 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.50% Federal National Mortgage Association, 6.625%, Due 11/15/2010(+)............................................. 500 556 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 556 -------- TOTAL U.S. AGENCY OBLIGATIONS........................... 1,073 -------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 8.43% FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.94% Pool E01492, 5.50%, Due 10/1/2018........................... 1,020 1,045 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 1,045 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.53% Pool 555549, 5.00%, Due 6/1/2018............................ 1,303 1,314 Pool 545759, 6.50%, Due 7/1/2032............................ 937 975 Pool C01598, 5.00%, Due 8/1/2033............................ 848 842 Pool C01786, 5.50%, Due 2/1/2034............................ 1,241 1,256 Pool 725238, 5.00%, Due 3/1/2034............................ 685 680 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 5,067 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.96% Pool 780921, 7.00%, Due 11/15/2013.......................... 356 376 Pool 780454, 7.00%, Due 10/15/2026.......................... 343 364 Pool 002379, 8.00%, Due 2/20/2027........................... 213 230 Pool 781564, 6.00%, Due 2/15/2033........................... 484 500 Pool 781690, 6.00%, Due 12/15/2033.......................... 707 730 Pool 003515, 5.50%, Due 2/20/2034........................... 1,091 1,110 -------- TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 3,310 -------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 9,422 -------- ASSET-BACKED SECURITIES - 0.89% Household Automotive Trust 2004-1 A3, 3.30%, Due 5/18/2009................................................. 1,000 991 -------- TOTAL ASSET-BACKED SECURITIES........................... 991 -------- CORPORATE BONDS - 52.34% BANKS - 5.14% Banco Popular North America, Incorporated, 6.125%, Due 10/15/2006.................................... 500 513 4.25%, Due 4/1/2008....................................... 300 300
See accompanying notes - -------------------------------------------------------------------------------- 62 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Bank America Corporation, 0.25%, Due 1/26/2010.............. $ 265 $ 249 Bank One Corporation, 4.90%, Due 4/30/2015.................. 500 492 Credit Suisse First Boston, 6.50%, Due 5/1/2008............. 500 529 FleetBoston Financial Corporation, 8.625%, Due 1/15/2007.... 200 214 ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)........... 300 305 St. George Bank Limited, 7.15%, Due 10/15/2005, 144A (Note A)........................................................ 1,510 1,531 Wachovia Corporation, 6.40%, Due 4/1/2008................... 1,500 1,609 -------- TOTAL BANKS............................................. 5,742 -------- FINANCE - 24.98% AEGON, N.V., 8.00%, Due 8/15/2006........................... 225 236 Allstate Life Global Funding, 3.85%, Due 1/25/2008.......... 1,000 989 American Honda Finance Corporation, 2.875%, Due 4/3/2006, 144A (Note A)............................................. 650 644 Bear Stearns Companies, Incorporated, 3.00%, Due 3/30/2006...................................... 500 497 2.875%, Due 7/2/2008...................................... 300 287 Capital One Bank, 4.25%, Due 12/1/2008...................................... 1,000 988 5.125%, Due 2/15/2014..................................... 330 328 Caterpillar Financial Services, 4.15%, Due 1/15/2010........ 1,000 987 Citigroup, Incorporated, 4.125%, Due 2/22/2010.............. 1,000 985 Countrywide Home Loan, Incorporated, 3.50%, Due 12/19/2005................................................ 750 749 Credit Suisse First Boston USA, Incorporated, 5.875%, Due 8/1/2006.................................................. 1,500 1,536 Fortis Insurance NV, 7.75%, Due 1/26/2008, 144A (Note A).... 275 279 Goldman Sachs Group, Incorporated, 4.75%, Due 7/15/2013..... 350 344 John Hancock Global Funding, 5.625%, Due 6/27/2006..................................... 1,400 1,426 3.75%, Due 9/30/2008...................................... 1,000 980 Heller Financial, Incorporated, 6.375%, Due 3/15/2006....... 1,500 1,533 Household Finance Corporation, 5.75%, Due 1/30/2007......... 1,750 1,798 Lehman Brothers Holdings, Incorporated, 3.50%, Due 8/7/2008.................................................. 1,000 980 Lincoln National Corporation, 4.75%, Due 2/15/2014(+)....... 200 196 MassMutual Global Funding II, 3.80%, Due 4/15/2009, 144A (Note A).................................................. 1,000 980 Morgan Stanley & Company, Incorporated, 6.10%, Due 4/15/2006................................................. 550 561 PHH Corporation, 6.00%, Due 3/1/2008........................ 300 311 Prudential Financial, Incorporated, 4.50%, Due 7/15/2013(+).............................................. 375 366 Prudential Insurance Company of America, 6.375%, Due 7/23/2006, 144A (Note A).................................. 2,000 2,062 Refco Group Limited, LLC, 9.00%, Due 8/1/2012, 144A (Note A)........................................................ 400 432 Salomon, Incorporated, 6.75%, Due 1/15/2006................. 1,000 1,021 Simon Property Group LP, 6.375%, Due 11/15/2007............. 400 418 SLM Corporation, 4.00%, Due 1/15/2009....................... 1,300 1,284 Synovus Financial Corporation, 7.25%, Due 12/15/2005..................................... 1,500 1,530 4.875%, Due 2/15/2013..................................... 500 501 Transamerica Corporation, 6.75%, Due 11/15/2006............. 1,000 1,034 Verizon Global Funding Corporation, 4.375%, Due 6/1/2013(+)............................................... 200 194 VW Credit Incorporated, 3.40%, Due 7/21/2005, 144A (Note A)........................................................ 1,000 1,000 Washington Mutual, Incorporated, 4.625%, Due 4/1/2014....... 480 462 -------- TOTAL FINANCE........................................... 27,918 --------
See accompanying notes - -------------------------------------------------------------------------------- 63 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) FOREIGN - 1.23% France Telecom SA, 8.50%, Due 3/1/2011...................... $ 680 $ 783 Province of Ontario, 3.35%, Due 7/16/2007(+)................ 300 296 Telefonos de Mexico, S.A. de C.V., 5.50%, Due 1/27/2015, 144A (Note A)............................................. 300 291 -------- TOTAL FOREIGN........................................... 1,370 -------- INDUSTRIALS - 20.56% AmeriPath, Incorporated, 10.50%, Due 4/1/2013............... 400 400 AT&T Broadband Corporation, 8.375%, Due 3/15/2013........... 700 850 AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006....................................... 900 926 8.125%, Due 5/1/2012...................................... 250 295 BHP Finance (USA) Limited, 4.80%, Due 4/15/2013............. 550 553 Boeing Capital Corporation, 5.40%, Due 11/30/2009........... 700 728 Bunge Limited Finance Corporation, 7.80%, Due 10/15/2012..................................... 200 236 5.35%, Due 4/15/2014...................................... 500 511 Cadence Design Systems, Incorporated, 0.00%, Due 8/15/2023+................................................ 260 261 Celestica, Incorporated, 7.875%, Due 7/1/2011............... 260 259 Cendant Corporation, 6.875%, Due 8/15/2006.................. 1,100 1,137 Continental Cablevision, Incorporated, 8.30%, Due 5/15/2006................................................. 250 261 DaimlerChrysler North America, 4.75%, Due 1/15/2008......... 700 691 John Deere Capital Corporation, 4.125%, Due 1/15/2010....... 1,000 986 Dell Computer Corporation, 6.55%, Due 4/15/2008............. 200 213 Deutsche Telekom International, 8.25%, Due 6/15/2005...................................... 175 176 3.875%, Due 7/22/2008..................................... 500 492 Dole Food Company, Incorporated, 8.875%, Due 3/15/2011...... 142 150 DST Systems, Incorporated, 3.625%, Due 8/15/2023............ 485 524 EOG Resources, Incorporated, 4.75%, Due 3/15/2014, 144A (Note A).................................................. 350 344 EOP Operating Limited Partnership, 4.75%, Due 3/15/2014..... 350 336 Equistar Chemicals, LP, 10.625%, Due 5/1/2011............... 400 446 First Data Corporation, 3.375%, Due 8/1/2008................ 1,000 973 Freeport-McMoRan Copper & Gold, Incorporated, 10.125%, Due 2/1/2010.................................................. 400 438 General Motors Acceptance Corporation, 6.75%, Due 1/15/2006................................................. 650 655 Hertz Corporation, 4.70%, Due 10/2/2006..................... 900 886 International Lease Finance Corporation, 6.375%, Due 3/15/2009................................................. 725 771 Jacuzzi Brands, Incorporated, 9.625%, Due 7/1/2010.......... 400 428 Kroger Company, 8.15%, 7/15/2006............................ 1,000 1,045 Legrand SA, 8.50%, Due 2/15/2025............................ 400 478 Leucadia National Corporation, 7.00%, Due 8/15/2013......... 400 400 Liberty Media Corporation, 0.75%, Due 3/30/2023............. 150 158 Masco Corporation, 0.00%, Due 7/20/203+..................... 575 267 Nissan Motor Acceptance Corporation, 4.625%, Due 3/8/2010... 400 396 Northrop Grumman Corporation, 4.079%, Due 11/16/2006.................................... 700 700 7.125%, Due 2/15/2011..................................... 510 574 Occidental Petroleum Corporation, 6.75%, Due 1/15/2012...... 450 505 Pope & Talbot, Incorporated, 8.375%, Due 6/1/2013........... 355 369 Pulte Homes, Incorporated, 4.875%, Due 7/15/2009..................................... 100 100 5.25%, Due 1/15/2014...................................... 125 123
See accompanying notes - -------------------------------------------------------------------------------- 64 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Sprint Capital Corporation, 6.00%, Due 1/15/2007...................................... $ 1,200 $ 1,232 8.375%, Due 3/15/2012..................................... 675 799 Tenent Healthcare Corporation, 9.25%, Due 2/1/2015, 144A (Note A).................................................. 275 275 Union Pacific Corporation, 6.50%, Due 4/15/2012............. 350 384 WH Holdings (Cayman Islands) Limited, 9.50%, Due 4/1/2011... 240 256 -------- TOTAL INDUSTRIALS....................................... 22,987 -------- PHARMACEUTICAL - 0.26% Genzyme Corporation, 1.25%, Due 12/1/2023................... 285 293 -------- TOTAL PHARMACEUTICAL.................................... 293 -------- TRANSPORTATION - 0.17% Telcordia Technologies, Incorporated, 10.00%, Due 3/15/2013, 144A (Note A)............................................. 200 193 -------- TOTAL TRANSPORTATION.................................... 193 -------- TOTAL CORPORATE BONDS................................... 58,503 -------- CONVERTIBLE BONDS - 10.40% AEROSPACE & DEFENSE - 0.24% Alliant Techsystems, Incorporated, 2.75%, Due 2/15/2024..... 250 263 -------- TOTAL AEROSPACE & DEFENSE............................... 263 -------- CONSUMER DISCRETIONARY - 1.58% Carnival Corporation, 0.00%, Due 10/24/2021+(+)............. 715 583 Eastman Kodak Company, 3.375%, Due 10/15/2033............... 425 438 Flextronics International Limited, 1.00%, Due 8/1/2010...... 250 235 Goodyear Tire and Rubber Company, 4.50%, Due 6/15/2034, 144A (Note A).................................................. 225 259 Reebok International Limited, 2.00%, Due 5/1/2024........... 250 254 -------- TOTAL CONSUMER DISCRETIONARY............................ 1,769 -------- ENERGY - 0.64% CenterPoint Energy, Incorporated, 3.75%, Due 5/15/2023, 144A (Note A).................................................. 390 436 Nabors Industries Limited, 0.00%, Due 6/15/2023+............ 280 275 -------- TOTAL ENERGY............................................ 711 -------- FINANCIALS - 1.73% American Financial Group, Incorporated, 1.486%, Due 6/2/2033.................................................. 625 252 Financial Federal Corporation, 2.00%, Due 4/15/2034, 144A (Note A).................................................. 285 270 LandAmerica Financial Group, Incorporated, 3.125%, Due 11/15/2033................................................ 265 246 Lehman Brothers Holdings, Incorporated, 0.25%, Due 12/6/2011................................................. 150 179 Morgan Stanley and Company, Incorporated, 0.25%, Due 4/1/2009....................................... 560 490 0.25%, Due 12/30/2011..................................... 150 162 Silicon Valley Bancshares, 0.00%, Due 6/15/2008+............ 240 339 -------- TOTAL FINANCIALS........................................ 1,938 -------- HEALTH CARE - 0.75% Invitrogen Corporation, 2.00%, Due 8/1/2023................. 250 303 Manor Care, Incorporated, 2.625%, Due 4/15/2023............. 215 262 Medtronic, Incorporated, 1.25%, Due 9/15/2021............... 275 276 -------- TOTAL HEALTH CARE....................................... 841 -------- INDUSTRIALS - 4.96% Andrew Corporation, 3.25%, Due 8/15/2013, 144A (Note A)..... 425 464 Anixter International, Incorporated, 0.00%, Due 7/7/2033+... 275 145 The Walt Disney Company, 2.125%, Due 4/15/2023.............. 475 499
See accompanying notes - -------------------------------------------------------------------------------- 65 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Electronic Data Systems Corporation, 3.875%, Due 7/15/2023................................................. $ 250 $ 236 Fisher Scientific International, Incorporated, 3.25%, Due 3/1/2024.................................................. 560 570 NCI Building Systems, Incorporated, 2.125%, Due 11/15/2024, 144A (Note A)............................................. 285 289 Halliburton Company, 3.125%, Due 7/15/2023, 144A (Note A)... 210 263 Hutchinson Technology Incorporated, 2.25%, Due 3/15/2010.... 200 268 Juniper Networks, Incorporated, 0.00%, Due 6/15/2008, 144A (Note A)+................................................. 215 266 Liberty Media Corporation, 0.75%, Due 3/30/2023, 144A (Note A)........................................................ 355 375 NII Holdings, Incorporated, 2.875%, Due 2/1/2034............ 440 492 Omnicom Group, Incorporated, 0.00%, Due 6/15/2033+.......... 520 508 Quanta Services, Incorporated, 4.50%, Due 10/1/2023......... 158 157 Regal-Beloit Corporation, 2.75%, Due 3/15/2024.............. 210 246 Schlumberger Limited, 2.125%, Due 6/1/2023(+)............... 280 296 Tyco International Group S.A., 2.75%, Due 1/15/2018...................................... 165 228 2.75%, Due 1/15/2018, 144A (Note A)....................... 175 242 -------- TOTAL INDUSTRIALS....................................... 5,544 -------- PHARMACEUTICAL - 0.50% Teva Pharmaceuticals, 0.25%, Due 2/1/2024....................................... 120 121 0.50%, Due 2/1/2024....................................... 170 170 Wyeth, 2.39%, Due 1/15/2024................................. 260 268 -------- TOTAL PHARMACEUTICAL.................................... 559 -------- TOTAL CONVERTIBLE BONDS................................. 11,625 -------- SHARES ----------- CONVERTIBLE PREFERRED STOCK - 3.30% CONSUMER DISCRETIONARY - 0.62% Ford Motor Company Capital Trust II......................... 17,900 697 -------- TOTAL CONSUMER DISCRETIONARY............................ 697 -------- ENERGY - 0.62% Amerada Hess Corporation.................................... 4,900 399 Devon Energy Corporation.................................... 6,406 289 -------- TOTAL ENERGY............................................ 688 -------- FINANCIALS - 1.41% Genworth Financial, Incorporated............................ 9,300 298 Hartford Financial Services Group, Incorporated............. 4,000 264 Lehman Brothers Holdings, Incorporated...................... 9,800 259 Morgan Stanley.............................................. 11,500 383 Washington Mutual, Incorporated............................. 7,200 370 -------- TOTAL FINANCIALS........................................ 1,574 -------- INDUSTRIALS - 0.13% Phelps Dodge Corporation.................................... 840 150 -------- TOTAL INDUSTRIALS....................................... 150 -------- TELECOMMUNICATION SERVICES - 0.52% Lucent Technologies Capital Trust........................... 200 187 Nokia Corporation, ADR...................................... 25,000 400 -------- TOTAL TELECOMMUNICATION SERVICES........................ 587 -------- TOTAL CONVERTIBLE PREFERRED STOCK....................... 3,696 --------
See accompanying notes - -------------------------------------------------------------------------------- 66 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) COMMON STOCK - 2.58% CONSUMER DISCRETIONARY - 1.02% The Walt Disney Company..................................... 11,000 $ 290 Ebay, Incorporated+......................................... 11,500 365 Home Depot, Incorporated.................................... 6,600 233 Starbucks Corporation+...................................... 5,000 248 -------- TOTAL CONSUMER DISCRETIONARY............................ 1,136 -------- FINANCIALS - 0.22% Prudential Financial, Incorporated.......................... 4,263 244 -------- TOTAL FINANCIALS........................................ 244 -------- HEALTH CARE - 0.25% HCA, Incorporated........................................... 5,000 279 -------- TOTAL HEALTH CARE....................................... 279 -------- INDUSTRIALS - 0.32% L-3 Communications Holdings, Incorporated................... 5,000 355 -------- TOTAL INDUSTRIALS....................................... 355 -------- INFORMATION TECHNOLOGY - 0.55% AutoDesk, Incorporated...................................... 7,900 251 Infosys Technologies Limited, ADR........................... 6,100 361 -------- TOTAL INFORMATION TECHNOLOGY............................ 612 -------- TRANSPORTATION - 0.22% Burlington Northern Santa Fe Corporation.................... 5,000 241 -------- TOTAL TRANSPORTATION.................................... 241 -------- TOTAL COMMON STOCK...................................... 2,867 -------- SHORT-TERM INVESTMENTS - 18.99% American Beacon Enhanced Cash Trust (Notes B and C)......... 14,415,972 14,416 American Beacon Money Market Select Fund (Notes B and C).... 6,809,361 6,809 -------- TOTAL SHORT-TERM INVESTMENTS............................ 21,225 -------- TOTAL INVESTMENTS - 115.27% (COST $129,086)................. 128,827 -------- LIABILITIES, NET OF OTHER ASSETS - (15.27%)................. (17,067) -------- TOTAL NET ASSETS - 100%..................................... $111,760 ========
- --------------- (A) 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 the securities amounted to $11,200 or 10.02% of net assets. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of the security is on loan at April 30, 2005. See Note 5. +- Non-income producing security. See accompanying notes - -------------------------------------------------------------------------------- 67 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) U.S. TREASURY OBLIGATIONS - 14.00% U.S. TREASURY BONDS - 5.36% 7.50%, Due 11/15/2016(+).................................... $ 530 $ 681 9.125%, Due 5/15/2018(+).................................... 700 1,025 7.875%, Due 2/15/2021(+).................................... 750 1,030 6.875%, Due 8/15/2025(+).................................... 370 479 6.25%, Due 5/15/2030(+)..................................... 790 984 5.375%, Due 2/15/2031(+).................................... 1,295 1,463 -------- TOTAL U.S. TREASURY BONDS............................... 5,662 -------- U.S. TREASURY NOTES - 8.64% 4.625%, Due 5/15/2006(+).................................... 1,640 1,660 3.375%, Due 9/15/2009(+).................................... 2,335 2,290 5.00%, Due 2/15/2011(+)..................................... 1,000 1,054 5.00%, Due 8/15/2011(+)..................................... 700 739 4.75%, Due 5/15/2014(+)..................................... 1,000 1,042 4.25%, Due 8/15/2014(+)..................................... 1,120 1,125 4.00%, Due 2/15/2015(+)..................................... 1,235 1,215 -------- TOTAL U.S. TREASURY NOTES............................... 9,125 -------- TOTAL U.S. TREASURY OBLIGATIONS......................... 14,787 -------- U.S. AGENCY OBLIGATIONS - 8.69% FEDERAL HOME LOAN MORTGAGE CORPORATION - 5.67% 4.25%, Due 7/15/2009(+)..................................... 2,000 2,011 5.625%, Due 3/15/2011(+).................................... 500 533 5.875%, Due 3/21/2011(+).................................... 380 405 4.875%, Due 11/15/2013(+)................................... 200 205 5.00%, Due 7/15/2014........................................ 500 517 6.00%, Due 12/11/2033....................................... 2,265 2,324 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 5,995 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.02% Discount Note, Due 6/13/2005................................ 2,315 2,307 5.125%, Due 1/2/2014(+)..................................... 545 556 7.25%, Due 5/15/2030(+)..................................... 250 331 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 3,194 -------- TOTAL U.S. AGENCY OBLIGATIONS........................... 9,189 -------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 31.92% FEDERAL HOME LOAN MORTGAGE CORPORATION - 7.51% Pool #G11295, 5.50%, Due 9/1/2017........................... 381 390 Pool #E96536, 5.00%, Due 3/1/2018........................... 772 779 Pool #B12563, 5.00%, Due 2/1/2019........................... 572 578 Pool #E01602, 4.50%, Due 3/1/2019........................... 887 879 Pool #G00738, 8.00%, Due 7/1/2027........................... 213 233 Pool #C00647, 6.50%, Due 9/1/2028........................... 163 170 Pool #G01457, 6.00%, Due 8/1/2029........................... 524 539 Pool #G01533, 6.00%, Due 3/1/2033........................... 563 578 Pool #C01598, 5.00%, Due 8/1/2033........................... 1,060 1,052 Pool #A12149, 6.00%, Due 8/1/2033........................... 727 747
See accompanying notes - -------------------------------------------------------------------------------- 68 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) Pool #C01786, 5.50%, Due 2/1/2034........................... $ 745 $ 754 Pool #A30948, 5.50%, Due 1/1/2035........................... 1,220 1,234 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 7,933 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 17.00% Pool #323309, 6.00%, Due 9/1/2013........................... 211 218 Pool #488099, 5.50%, Due 2/1/2014........................... 539 553 Pool #323789, 6.00%, Due 6/1/2014........................... 229 238 Pool #545449, 6.50%, Due 2/1/2017........................... 568 593 Pool #545823, 5.50%, Due 8/1/2017........................... 639 655 Pool #254545, 5.00%, Due 12/1/2017.......................... 1,567 1,581 Pool #254865, 4.50%, Due 9/1/2018........................... 976 968 Pool #747844, 5.50%, Due 12/1/2018.......................... 232 237 Pool #761337, 5.00%, Due 4/1/2019........................... 430 433 Pool #100293, 9.50%, Due 8/1/2029........................... 179 199 Pool #555531, 5.50%, Due 6/1/2033........................... 878 887 Pool #727223, 5.50%, Due 9/1/2033........................... 616 623 Pool #749219, 5.50%, Due 10/1/2033.......................... 128 130 Pool #555880, 5.50%, Due 11/1/2033.......................... 1,553 1,569 Pool #758322, 5.50%, Due 12/1/2033.......................... 790 799 Pool #725238, 5.00%, Due 3/1/2034........................... 3,303 3,280 Pool #765304, 5.50%, Due 3/1/2034........................... 268 270 Pool #725866, 4.50%, Due 9/1/2034........................... 676 653 Pool #801716, 5.50%, Due 10/1/2034.......................... 853 861 Pool #796229, 6.00%, Due 11/1/2034.......................... 1,121 1,152 Pool #781822, 6.00%, Due 12/1/2034.......................... 1,262 1,297 Pool #812630, 5.50%, Due 2/1/2035........................... 753 761 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 17,957 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 7.41% Pool #780400, 7.00%, Due 12/15/2025......................... 461 490 Pool #780615, 6.50%, Due 8/15/2027.......................... 479 504 Pool #780747, 6.50%, Due 3/15/2028.......................... 675 708 Pool #780936, 7.50%, Due 12/15/2028......................... 297 320 Pool #781273, 6.00%, Due 4/15/2031.......................... 637 659 Pool #781564, 6.00%, Due 2/15/2033.......................... 710 733 Pool #781589, 5.50%, Due 4/15/2033.......................... 462 470 Pool #781603, 5.00%, Due 5/15/2033.......................... 472 472 Pool #616094, 6.00%, Due 11/15/2033......................... 515 531 Pool #781690, 6.00%, Due 12/15/2033......................... 544 561 Pool #003515, 5.50%, Due 2/20/2034.......................... 1,890 1,923 Pool #003517, 6.00%, Due 2/20/2034.......................... 440 454 -------- TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 7,825 -------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 33,715 -------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 2.97% Banc of America Commercial Mortgage, Incorporated 2003-2 A3, 4.342%, Due 3/11/2041..................................... 265 264 Bear Stearns Commercial Mortgage Securities, Incorporated 2004-PWR5 A4, 4.831%, Due 7/11/2042..................................... 535 536 Countrywide Home Loan, Incorporated 2004-18 A1, 6.00%, Due 10/25/2034................................................ 566 578 General Electric Capital Commercial Mortgage Corporation 2003-C2 A2, 4.17%, Due 7/10/2037.......................... 312 310 General Electric Capital Commercial Mortgage Corporation 2004-C3 A3, 4.865%, Due 7/10/2039......................... 495 500
See accompanying notes - -------------------------------------------------------------------------------- 69 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) J P Morgan Chase Commercial Mortgage Securities Corp 2005-LDP1 A2, 4.625%, Due 3/15/2046....................... $ 505 $ 508 Wachovia Bank Commercial Mortgage Trust 2003-C5 A2, 3.989%, Due 6/15/2035............................................. 464 441 -------- TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS............ 3,137 -------- CORPORATE OBLIGATIONS - 30.24% FINANCIAL - 12.42% AEGON, N.V., 8.00%, Due 8/15/2006........................... 300 315 American General Finance Corporation, 5.375%, Due 9/1/2009(+)............................................... 180 186 Assurant, Incorporated, 5.625%, Due 2/15/2014............... 225 233 Banco Popular North America Inc, 4.25%, Due 4/1/2008........ 200 200 Bank One Corporation, 5.90%, Due 11/15/2011..................................... 440 469 4.90%, Due 4/30/2015...................................... 200 197 Bear Stearns Companies, Incorporated, 2.875%, Due 7/2/2008.................................................. 400 382 BHP Finance (USA) Limited, 4.80%, Due 4/15/2013............. 150 151 Boeing Capital Corporation, 5.40%, Due 11/30/2009........... 450 468 Capital One Bank, 6.70%, Due 5/15/2008...................................... 350 373 4.80%, Due 2/21/2012...................................... 235 231 5.125%, Due 2/15/2014..................................... 220 218 Caterpillar Financial Services Corporation, 4.35%, Due 3/4/2009.................................................. 460 460 Cendant Corporation, 6.875%, Due 8/15/2006.................. 450 465 Countrywide Home Loan, Incorporated, 3.50%, Due 12/19/2005..................................... 250 250 3.25%, Due 5/21/2008...................................... 290 280 Credit Suisse First Boston, 6.50%, Due 5/1/2008............. 350 370 John Deere Capital Corporation, 3.375%, Due 10/1/2007..................................... 350 343 4.125%, Due 1/15/2010..................................... 275 271 Deutsche Telekom International Finance Corporation, 8.50%, Due 6/15/2010(+).......................................... 150 174 Fleet Norstar Financial Group, Incorporated, 8.625%, Due 1/15/2007................................................. 200 215 Ford Motor Credit Company, 6.50%, Due 1/25/2007............. 185 185 General Electric Capital Corporation, 6.875%, Due 11/15/2010................................................ 380 422 General Motors Acceptance Corporation, 6.75%, Due 1/15/2006...................................... 350 353 6.125%, Due 8/28/2007..................................... 240 234 Goldman Sachs Group, Incorporated, 4.75%, Due 7/15/2013..... 250 246 HSBC Finance Corporation, 4.75%, Due 4/15/2010(+)........... 250 251 ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)........... 250 254 International Lease Finance Corporation, 6.375%, Due 3/15/2009................................................. 250 266 Lincoln National Corporation, 4.75%, Due 2/15/2014(+)....... 100 98 Merrill Lynch & Company, Incorporated, 4.25%, Due 2/8/2010.................................................. 475 469 MetLife Global Funding I, 3.375%, Due 10/5/2007, 144A (Note A)........................................................ 350 343 PHH Corporation, 6.00%, Due 3/1/2008........................ 200 207 PNC Funding Corporation, 4.20%, Due 3/10/2008............... 355 356 Prudential Financial, Incorporated, 3.75%, Due 5/1/2008(+).................................... 130 128 4.50%, Due 7/15/2013(+)................................... 225 219 5.10%, Due 9/20/2014...................................... 210 212 Simon Property Group LP, 6.375%, Due 11/15/2007............. 200 209
See accompanying notes - -------------------------------------------------------------------------------- 70 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) SLM Corporation, 3.95%, Due 8/15/2008(+)................................... $ 325 $ 320 4.00%, Due 1/15/2009...................................... 700 691 Synovus Financial Corporation, 4.875%, Due 2/15/2013........ 200 200 Verizon Global Funding Corporation, 4.375%, Due 6/1/2013.... 400 389 Washington Mutual Corporation, 4.625%, Due 4/1/2014......... 170 164 Washington Mutual Financial Corporation, 6.875%, Due 5/15/2011................................................. 190 212 WellPoint, Incorporated, 144A (Note A), 3.75%, Due 12/14/2007..................................... 235 232 5.00%, Due 12/15/2014..................................... 210 212 -------- TOTAL FINANCIAL......................................... 13,123 -------- FOREIGN - 0.65% Province of Ontario, 3.35%, Due 7/16/2007(+)................ 500 494 Telefonos de Mexico, S.A. de C.V., 5.50%, Due 1/27/2015, 144A (Note A)............................................. 200 194 -------- TOTAL FOREIGN........................................... 688 -------- INDUSTRIALS - 11.82% Amgen, Incorporated, 4.00%, Due 11/18/2009, 144A (Note A)... 210 207 Anheuser Busch Companies, Incorporated, 6.50%, Due 1/1/2028.................................................. 350 407 Atlantic Richfield Company, 8.50%, Due 4/1/2012............. 255 314 Baxter International, Incorporated, 5.25%, Due 5/1/2007..... 315 320 Bunge Limited Finance Corporation, 7.80%, Due 10/15/2012.... 150 177 Carnival Corporation, 3.75%, Due 11/15/2007................. 380 375 Comcast Cable Communications, 7.625%, Due 2/15/2008......... 230 248 Comcast Corporation, 5.50%, Due 3/15/2011................... 160 166 Conagra Foods, Incorporated, 7.125%, Due 10/1/2026..................................... 380 456 7.00%, Due 10/1/2028...................................... 400 479 Continental Cablevision, Incorporated, 8.30%, Due 5/15/2006................................................. 250 261 DaimlerChrysler North America, 4.75%, Due 1/15/2008......... 345 340 Dell Computer Corporation, 6.55%, Due 4/15/2008(+).......... 400 427 EOG Resources, Incorporated, 4.75%, Due 3/15/2014, 144A (Note A).................................................. 225 221 EOP Operating Limited Partnership, 4.75%, Due 3/15/2014..... 300 288 France Telecom SA, 8.50%, Due 3/1/2011...................... 270 311 Hertz Corporation, 4.70%, Due 10/2/2006..................... 450 443 Hewlett Packard Company, 5.75%, Due 12/15/2006.............. 325 334 Kinder Morgan, Incorporated, 6.50%, Due 9/1/2012............ 305 333 Lockheed Martin Corporation, 7.20%, Due 5/1/2036............ 470 587 Martin Marietta Material, Incorporated, 6.90%, Due 8/15/2007................................................. 300 317 Motorola, Incorporated, 4.608%, Due 11/16/2007.............. 570 574 Nissan Motor Company Limited, 4.625%, Due 3/8/2010.......... 190 188 Northrop Grumman Corporation, 4.079%, Due 11/16/2006.................................... 450 450 7.125%, Due 2/15/2011..................................... 250 281 Occidental Petroleum Corporation, 6.75%, Due 1/15/2012...... 150 168 Pepsi Bottling Group, Incorporated, 7.00%, Due 3/1/2029..... 350 429 Pulte Homes, Incorporated, 4.875%, Due 7/15/2009..................................... 100 99 5.25%, Due 1/15/2014...................................... 100 98 Reed Elsevier Capital, Incorporated, 6.125%, Due 8/1/2006... 500 510 Schering Plough Corporation, 6.75%, Due 12/1/2033........... 200 232
See accompanying notes - -------------------------------------------------------------------------------- 71 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) Sprint Capital Corporation, 6.00%, Due 1/15/2007...................................... $ 485 $ 498 8.375%, Due 3/15/2012..................................... 150 178 Time Warner, Incorporated, 7.625%, Due 4/15/2031............ 155 189 Union Oil Company of California, 7.90%, Due 4/18/2008....... 100 109 Union Pacific Corporation, 6.50%, Due 4/15/2012(+).......... 200 219 Univision Communications, Incorporated, 3.875%, Due 10/15/2008................................................ 390 382 Wal-Mart Stores, Incorporated, 7.55%, Due 2/15/2030......... 350 460 Weyerhaeuser Company, 5.95%, Due 11/1/2008.................. 210 221 Wyeth Corporation, 5.50%, Due 2/1/2014...................... 180 187 -------- TOTAL INDUSTRIALS....................................... 12,483 -------- TELECOMMUNICATIONS - 3.46% Alltel Corporation, 4.656%, Due 5/17/2007................... 495 499 America Movil S.A. de C.V., 6.375%, Due 3/1/2035............ 610 567 AT&T Broadband Corporation, 8.375%, Due 3/15/2013........... 448 544 AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006....................................... 500 514 8.125%, Due 5/1/2012...................................... 390 461 8.75%, Due 3/1/2031....................................... 170 232 Verizon Communications, Incorporated, 6.36%, Due 4/15/2006................................................. 500 511 Verizon Wireless Capital, LLC, 5.375%, Due 12/15/2006....... 310 316 -------- TOTAL TELECOMMUNICATIONS................................ 3,644 -------- UTILITIES - 1.89% Consolidated Natural Gas Company, 6.875%, Due 10/15/2026.... 290 335 FPL Group, Incorporated, 4.086%, Due 2/16/2007.............. 210 210 Marathon Oil Corporation, 5.375%, Due 6/1/2007.............. 255 261 MidAmerican Energy Holdings Company, 3.50%, Due 5/15/2008...................................... 270 262 5.875%, Due 10/1/2012..................................... 200 211 Public Service Enterprise Group, Incorporated, 6.95%, Due 6/1/2012(+)............................................... 240 267 Southern Company Capital Funding, Incorporated, 5.30%, Due 2/1/2007.................................................. 220 226 Xcel Energy, Incorporated, 7.00%, Due 12/1/2010............. 200 222 -------- TOTAL UTILITIES......................................... 1,994 -------- TOTAL CORPORATE OBLIGATIONS............................. 31,932 -------- ASSET-BACKED SECURITIES - 2.32% Citigroup Commercial Mortgage Trust 2004-C2 A3, 4.38%, Due 10/15/2041................................................ 470 463 Household Automotive Trust 2004-1 A3, 3.30%, Due 5/18/2009................................................. 700 694 Master Asset Securitization Trust 2002-6 2A1, 5.75%, Due 10/25/2017................................................ 687 687 JP Morgan Chase Commercial Mortgage Securities Corp 2004-CBX A4, 4.529%, Due 11/12/2039................................ 255 253 Residential Asset Mortgage Products, Incorporated 2004-RS12 AI2, 3.767%, Due 2/25/2027................................ 110 109 TXU Electric Delivery Transition 2004-1 A2, 4.81%, Due 11/15/2012................................................ 243 246 -------- TOTAL ASSET-BACKED SECURITIES........................... 2,452 --------
See accompanying notes - -------------------------------------------------------------------------------- 72 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ---------- -------- SHORT-TERM INVESTMENTS - 25.81% American Beacon Enhanced Cash Trust (Notes B and C)......... 16,597,372 $ 16,597 American Beacon Money Market Select Fund (Notes B and C).... 10,668,911 10,669 -------- TOTAL SHORT-TERM INVESTMENTS............................ 27,266 -------- TOTAL INVESTMENTS - 115.95% (COST $122,389)................. 122,478 -------- LIABILITIES, NET OF OTHER ASSETS - (15.95%)................. (16,846) -------- TOTAL NET ASSETS - 100%..................................... $105,632 ========
- --------------- (A) 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 $1,663 or 1.57% of net assets. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of this security is on loan at April 30, 2005. See Note 5. See accompanying notes - -------------------------------------------------------------------------------- 73 AMERICAN BEACON SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) U.S. AGENCY OBLIGATIONS - 5.25% FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.25% 2.75%, Due 8/15/2006........................................ $ 3,000 $ 2,963 3.625%, Due 9/15/2008....................................... 2,000 1,971 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 4,934 -------- TOTAL U.S. AGENCY OBLIGATIONS........................... 4,934 -------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 4.26% FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.27% Pool #E00228, 6.50%, Due 7/1/2008........................... 240 250 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 250 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.94% Pool #050952, 6.50%, Due 12/1/2008.......................... 293 304 Pool #252448, 5.50%, Due 4/1/2009........................... 273 282 Pool #313430, 6.50%, Due 3/1/2012........................... 301 314 Pool #313522, 7.00%, Due 5/1/2012........................... 555 585 Pool #323223, 6.50%, Due 7/1/2013........................... 243 254 Pool #323980, 6.00%, Due 4/1/2014........................... 525 545 Pool #545038, 6.00%, Due 9/1/2014........................... 459 477 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 2,761 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.05% Pool #780286, 7.00%, Due 6/15/2008.......................... 294 303 Pool #351992, 6.00%, Due 12/15/2008......................... 669 688 -------- TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 991 -------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 4,002 -------- CORPORATE OBLIGATIONS - 65.31% FINANCE - 43.40% American Honda Finance Corporation, 2.875%, Due 4/3/2006, 144A (Note A)............................................. 1,150 1,139 Bear Stearns Companies, Incorporated, 3.00%, Due 3/30/2006................................................. 2,000 1,987 Boeing Capital Corporation, 5.65%, Due 5/15/2006 (+)........ 626 637 Capital One Bank, 6.875%, Due 2/1/2006...................................... 200 205 6.70%, Due 5/15/2008...................................... 1,100 1,171 Caterpillar Financial Services, 2.35%, Due 9/15/2006 (+).................................. 1,500 1,469 4.15%, Due 1/15/2010...................................... 1,000 987 Countrywide Funding Corporation, 3.50%, Due 12/19/2005...... 1,200 1,199 Credit Suisse First Boston, Incorporated, 5.875%, Due 8/1/2006.................................................. 2,000 2,047 FleetBoston Financial Corporation, 3.85%, Due 2/15/2008..... 2,500 2,475 General Electric Capital Corporation, 2.75%, Due 9/25/2006 (+)....................................................... 1,000 984 General Motors Acceptance Corporation, 6.75%, Due 1/15/2006................................................. 2,350 2,368 John Hancock Global Funding, 5.625%, Due 6/27/2006.......... 1,000 1,019 Heller Financial, Incorporated, 6.375%, Due 3/15/2006....... 2,500 2,556 Household Finance Corporation, 5.75%, Due 1/30/2007......... 2,250 2,311 International Lease Finance Corporation, 2.95%, Due 5/23/2006................................................. 2,000 1,971 Merrill Lynch & Company, Incorporated, 7.00%, Due 3/15/2006................................................. 1,660 1,703 MetLife Global Funding I, 3.375%, Due 10/5/2007, 144A (Note A)........................................................ 3,000 2,941 Monumental Global Funding, 5.20%, Due 1/30/2007, 144A (Note A)........................................................ 1,200 1,225 Prudential Insurance Company of America, 6.375%, Due 7/23/2006, 144A (Note A).................................. 3,000 3,093 Simon Property Group LP, 6.375%, Due 11/15/2007............. 2,000 2,090
See accompanying notes - -------------------------------------------------------------------------------- 74 AMERICAN BEACON SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) Synovus Financial Corporation, 7.25%, Due 12/15/2005........ $ 2,500 $ 2,550 Wachovia Corporation, 6.40%, Due 4/1/2008................... 2,500 2,681 -------- TOTAL FINANCE........................................... 40,808 -------- INDUSTRIALS - 21.70% AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006... 1,400 1,440 Cendant Corporation, 6.875%, Due 8/15/2006.................. 2,140 2,213 Conagra Foods, Incorporated, 9.875%, Due 11/15/2005......... 1,000 1,029 Continental Cablevision, Incorporated, 8.30%, Due 5/15/2006................................................. 1,960 2,044 DaimlerChrysler North America, 4.75%, Due 1/15/2008......... 1,500 1,480 John Deere Capital Corporation, 3.375%, Due 10/1/2007....... 2,000 1,960 Deutsche Telekom International Finance Corporation, 8.25%, Due 6/15/2005............................................. 325 327 Hertz Corporation, 4.70%, Due 10/2/2006..................... 3,000 2,953 Northrop Grumman Corporation, 7.00%, Due 3/1/2006........... 2,000 2,049 Sprint Capital Corporation, 6.00%, Due 1/15/2007............ 1,800 1,848 Unilever Capital Corporation, 6.875%, Due 11/1/2005......... 1,000 1,016 Verizon Wireless Capital, 5.375%, Due 12/15/2006............ 2,000 2,040 -------- TOTAL INDUSTRIALS....................................... 20,399 -------- FOREIGN - 0.21% Province of Ontario, 3.35%, Due 7/16/2007 (+)............... 200 198 -------- TOTAL FOREIGN........................................... 198 -------- TOTAL CORPORATE OBLIGATIONS............................. 61,405 -------- ASSET-BACKED SECURITIES - 19.10% Chase Manhattan Auto Owner Trust 2004-A A4, 2.83%, Due 9/15/2010................................................. 2,000 1,947 Chemical Master Credit Card Trust 1996-2 A, 5.98%, Due 9/15/2008................................................. 3,000 3,047 Citibank Credit Card Issuance Trust 2004-A4 A4, 3.20%, Due 8/24/2009................................................. 3,000 2,944 DaimlerChrysler Auto Trust 2004-C A4, 3.28%, Due 12/8/2009................................................. 3,000 2,939 Household Automotive Trust 2004-1 A3, 3.30%, Due 5/18/2009................................................. 1,600 1,586 Nissan Auto Receivables Owner Trust 2004-A A3, 2.01%, Due 11/15/2007................................................ 1,000 985 USAA Auto Owner Trust 2004-1 A3, 2.06%, Due 4/15/2008....... 2,000 1,972 Wells Fargo Financial Auto Owner Trust 2004-A A4, 2.67%, Due 8/16/2010................................................. 2,600 2,541 -------- TOTAL ASSET-BACKED SECURITIES........................... 17,961 -------- SHARES ----------- SHORT-TERM INVESTMENTS - 6.00% American Beacon Enhanced Cash Trust (Notes B and C)......... 157,490 157 American Beacon Money Market Select Fund (Notes B and C).... 5,485,752 5,486 -------- TOTAL SHORT-TERM INVESTMENTS............................ 5,643 -------- TOTAL INVESTMENTS - 99.92% (COST $94,978)................... 93,945 -------- OTHER ASSETS, NET OF LIABILITIES - 0.08%.................... 79 -------- TOTAL NET ASSETS - 100%..................................... $ 94,024 ========
- --------------- (A) 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 $5,601 or 6.11% of net assets. (B) The Fund/Trust is affiliated by having the same investment advisor. See Note 2. (C) All or a portion of this security is purchased with cash collateral for securities loaned. (+)-All or a portion of this security is on loan at April 30, 2005. See Note 5. See accompanying notes - -------------------------------------------------------------------------------- 75 AMERICAN BEACON FUNDS STATEMENTS OF ASSETS AND LIABILITIES April 30, 2005 (unaudited) - --------------------------------------------------------------------------------
LARGE CAP LARGE CAP MID-CAP BALANCED VALUE GROWTH VALUE ----------- ----------- ---------- ---------- (IN THOUSANDS) ASSETS: Investments in unaffiliated securities, at value(A D)... $ 686,682 $ 1,030,291 $ 53,970 $ 25,271 Investments in affiliated securities, at value(B)....... 165,500 133,192 417 5,670 Foreign currency, at value(C)........................... -- -- -- -- Cash.................................................... 102 181 84 -- Receivable for investments sold......................... 168 5,931 88 185 Dividends and interest receivable....................... 2,835 1,659 21 21 Receivable for fund shares sold......................... 845 2,701 -- -- Receivable for tax reclaims............................. -- -- -- -- Receivable for variation margin on open futures contracts............................................. 731 1,095 5 33 ----------- ----------- ---------- ---------- TOTAL ASSETS........................................ 856,863 1,175,050 54,585 31,180 ----------- ----------- ---------- ---------- LIABILITIES: Payable for investments purchased....................... 3,531 7,932 84 724 Payable upon return of securities loaned................ 113,505 54,815 216 2,845 Payable for fund shares redeemed........................ 1 3,446 92 39 Dividends payable....................................... -- -- -- -- Management and investment advisory fees payable (Note 2).................................................... 514 798 94 60 Administrative service and service fees payable......... 24 92 -- 6 Unrealized depreciation on foreign currency contracts... -- -- -- -- Payable for custodian overdraft......................... -- -- -- -- Other liabilities....................................... 80 143 11 11 ----------- ----------- ---------- ---------- TOTAL LIABILITIES................................... 117,655 67,226 497 3,685 ----------- ----------- ---------- ---------- NET ASSETS.................................................. $ 739,208 $ 1,107,824 $ 54,088 $ 27,495 =========== =========== ========== ========== ANALYSIS OF NET ASSETS: Paid-in-capital......................................... 621,710 908,825 61,906 24,782 Undistributed net investment income..................... 4,534 3,124 52 78 Accumulated net realized gain (loss).................... 9,997 15,502 (9,156) 2,694 Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency................ 102,967 180,373 1,286 (59) ----------- ----------- ---------- ---------- NET ASSETS.................................................. $ 739,208 $ 1,107,824 $ 54,088 $ 27,495 =========== =========== ========== ========== Shares outstanding (no par value): Institutional Class..................................... 680,090 4,640,263 110 2,523,376 =========== =========== ========== ========== PlanAhead Class......................................... 3,614,907 10,529,975 N/A N/A =========== =========== ========== ========== Service Class........................................... N/A N/A N/A N/A =========== =========== ========== ========== AMR Class............................................... 48,892,139 42,308,436 9,316,351 N/A =========== =========== ========== ========== Net asset value, offering and redemption price per share: Institutional Class..................................... $ 14.41 $ 19.58 $ 5.79 $ 10.90 =========== =========== ========== ========== PlanAhead Class......................................... $ 13.66 $ 18.82 N/A N/A =========== =========== ========== ========== Service Class........................................... N/A N/A N/A N/A =========== =========== ========== ========== AMR Class............................................... $ 13.91 $ 19.35 $ 5.81 N/A =========== =========== ========== ========== - --------------- (A) Cost of investments in unaffiliated securities.......... $ 581,722 $ 847,006 $ 52,681 $ 25,219 (B) Cost of investments in affiliated securities............ $ 165,500 $ 133,192 $ 417 $ 5,670 (C) Cost of foreign currency................................ $ -- $ -- $ -- $ -- (D) Market value of securities on loan...................... $ 111,247 $ 53,931 $ 213 $ 2,788
See accompanying notes - -------------------------------------------------------------------------------- 76 - --------------------------------------------------------------------------------
EMERGING HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM MARKETS BOND INCOME BOND BOND ---------- ----------- ----------- ------------ ----------- (IN THOUSANDS) $ 99,675 $ 368,947 $ 107,602 $ 95,212 $ 88,302 7,269 12,222 21,225 27,266 5,643 1,551 -- -- -- -- -- 2 9 -- -- 560 6,228 370 101 -- 310 7,509 1,136 895 961 -- 110 153 5,353 166 5 -- -- -- -- 44 -- -- -- -- ---------- ----------- ----------- ----------- ----------- 109,414 395,018 130,495 128,827 95,072 ---------- ----------- ----------- ----------- ----------- 594 1,500 473 2,396 -- 6,268 31,306 18,038 20,641 1,024 761 348 25 123 2 -- 241 -- 1 -- 279 567 108 20 19 2 99 42 1 1 133 -- -- -- -- -- 484 -- -- -- 40 60 49 13 2 ---------- ----------- ----------- ----------- ----------- 8,077 34,605 18,735 23,195 1,048 ---------- ----------- ----------- ----------- ----------- $ 101,337 $ 360,413 $ 111,760 $ 105,632 $ 94,024 ========== =========== =========== =========== =========== 80,421 361,755 112,206 113,246 103,077 505 -- (523) (1) (2,194) 4,150 3,825 336 (7,702) (5,826) 16,261 (5,167) (259) 89 (1,033) ---------- ----------- ----------- ----------- ----------- $ 101,337 $ 360,413 $ 111,760 $ 105,632 $ 94,024 ========== =========== =========== =========== =========== 513,334 20,451,566 N/A 10,237,668 9,793,440 ========== =========== =========== =========== =========== 175,774 14,675,269 11,189,238 95,636 802,208 ========== =========== =========== =========== =========== N/A 505 N/A N/A N/A ========== =========== =========== =========== =========== 7,091,233 N/A N/A N/A N/A ========== =========== =========== =========== =========== $ 12.99 $ 10.26 N/A $ 10.22 $ 8.87 ========== =========== =========== =========== =========== $ 12.89 $ 10.26 $ 9.99 $ 10.29 $ 8.89 ========== =========== =========== =========== =========== N/A $ 10.45 N/A N/A N/A ========== =========== =========== =========== =========== $ 13.03 N/A N/A $ N/A $ N/A ========== =========== =========== =========== =========== $ 83,189 $ 374,114 $ 107,861 $ 95,123 $ 89,335 $ 7,269 $ 12,222 $ 21,225 $ 27,266 $ 5,643 $ 1,545 $ -- $ -- $ -- $ -- $ 6,146 $ 33,071 $ 17,694 $ 20,241 $ 1,003
- -------------------------------------------------------------------------------- 77 AMERICAN BEACON FUNDS STATEMENTS OF OPERATIONS Six Months Ended April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
LARGE CAP LARGE CAP MID-CAP BALANCED VALUE GROWTH VALUE -------- --------- --------- ------- (IN THOUSANDS) INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes)*....................................... $ 5,259 $10,359 $ 590 $ 256 Dividend income from affiliated securities.............. 21 973 8 47 Interest income......................................... 5,453 76 2 5 Income derived from commission recapture................ 13 93 3 23 Income derived from securities lending, net............. 75 28 1 1 Other income............................................ 2 -- -- -- ------- ------- ------- ------ TOTAL INVESTMENT INCOME............................. 10,823 11,529 604 332 ------- ------- ------- ------ EXPENSES: Management and investment advisory fees (Note 2)........ 1,009 1,521 173 101 Administrative service fees (Note 2): Institutional Class................................... 12 95 -- 38 PlanAhead Class....................................... 43 165 -- -- Transfer agent fees: Institutional Class................................... (2) 4 -- 3 PlanAhead Class....................................... 9 12 -- -- AMR Class............................................. 8 11 -- -- Fund accounting fees.................................... 84 138 10 4 Professional fees....................................... 22 24 3 3 Registration fees and expenses.......................... 22 48 1 4 Service fees -- PlanAhead Class (Note 2)................ 43 165 -- -- Prospectus and shareholder reports...................... 55 81 5 8 Other expenses.......................................... 7 9 1 -- ------- ------- ------- ------ TOTAL EXPENSES...................................... 1,312 2,273 193 161 ------- ------- ------- ------ Less fees waived (Note 2)............................... -- -- -- 7 ------- ------- ------- ------ NET EXPENSES........................................ 1,312 2,273 193 154 ------- ------- ------- ------ NET INVESTMENT INCOME....................................... 9,511 9,256 411 178 ------- ------- ------- ------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on: Investments........................................... 14,807 27,888 2,206 1,948 Foreign currency transactions......................... -- -- -- -- Futures contracts..................................... 3,702 2,521 38 768 Change in net unrealized appreciation or depreciation of: Investments........................................... 15,947 33,975 (2,351) (464) Foreign currency translations......................... -- -- -- -- Futures contracts..................................... (2,366) (3,250) (7) (157) ------- ------- ------- ------ NET GAIN (LOSS) ON INVESTMENTS...................... 32,090 61,134 (114) 2,095 ------- ------- ------- ------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $41,601 $70,390 $ 297 $2,273 ======= ======= ======= ====== * Foreign taxes......................................... $ 73 $ 228 $ -- $ --
See accompanying notes - -------------------------------------------------------------------------------- 78 - --------------------------------------------------------------------------------
EMERGING HIGH YIELD ENHANCED MARKETS BOND INCOME -------- ---------- -------- (IN THOUSANDS) $ 1,198 $ -- $ 126 79 125 40 12 15,471 1,839 -- -- -- 7 109 17 -- -- 9 -------- ------- ------ 1,296 15,705 2,031 -------- ------- ------ 435 1,017 196 10 293 -- 2 195 137 1 32 -- 4 15 29 1 -- -- 196 48 13 3 12 6 14 18 11 2 195 137 8 18 14 1 2 -- -------- ------- ------ 677 1,845 543 -------- ------- ------ 3 1 -- -------- ------- ------ 674 1,844 543 -------- ------- ------ 622 13,861 1,488 -------- ------- ------ 3,972 3,890 724 853 -- -- 608 -- -- 2,524 (18,812) (2,425) 1,746 -- -- (197) -- -- -------- ------- ------ 9,506 (14,922) (1,701) -------- ------- ------ $ 10,128 $(1,061) $ (213) ======== ======= ====== $ 141 $ -- $ --
- -------------------------------------------------------------------------------- 79 AMERICAN BEACON FUNDS STATEMENTS OF OPERATIONS -- CONTINUED Six Months Ended April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
INTERMEDIATE SHORT-TERM BOND BOND ------------ ---------- (IN THOUSANDS) INVESTMENT INCOME: Dividend income from affiliated securities.............. $ 40 $ 15 Interest income......................................... 2,023 1,413 Income derived from securities lending, net............. 11 1 ------ ------ TOTAL INVESTMENT INCOME............................. 2,074 1,429 ------ ------ EXPENSES: Management and investment advisory fees (Note 2)........ 118 108 Administrative service fees (Note 2): Institutional Class (terminated 3/1/05) (Note 1)...... 1 3 PlanAhead Class....................................... 1 9 Transfer agent fees: Institutional Class (terminated 3/1/05) (Note 1)...... (1) 1 PlanAhead Class....................................... 1 3 Institutional Class (known as AMR Class prior to 3/1/05) (Note 1)..................................... 2 1 Fund accounting fees.................................... 12 7 Professional fees....................................... 5 2 Registration fees and expenses.......................... 11 10 Service fees -- PlanAhead Class (Note 2)................ 1 9 Prospectus and shareholder reports...................... 2 10 Other expenses.......................................... 2 1 ------ ------ TOTAL EXPENSES...................................... 155 164 ------ ------ NET INVESTMENT INCOME....................................... 1,919 1,265 ------ ------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on: Investments........................................... 252 17 Change in net unrealized appreciation or depreciation of: Investments........................................... (1,235) (1,221) ------ ------ NET GAIN (LOSS) ON INVESTMENTS...................... (983) (1,204) ------ ------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 936 $ 61 ====== ====== * Foreign taxes......................................... -- --
See accompanying notes - -------------------------------------------------------------------------------- 80 (This page intentionally left blank) (LIGHTHOUSE LOGO) 81 AMERICAN BEACON FUNDS STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) - --------------------------------------------------------------------------------
BALANCED LARGE CAP VALUE LARGE CAP GROWTH ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2005 2004 2005 2004 2005 2004 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income................. $ 9,511 $ 15,049 $ 9,256 $ 12,568 $ 411 $ 184 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions....... 18,509 27,633 30,409 39,844 2,244 4,414 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations............... 13,581 33,329 30,725 69,573 (2,358) (1,298) -------- -------- ---------- --------- -------- -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... 41,601 76,011 70,390 121,985 297 3,300 -------- -------- ---------- --------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class................. (183) (211) (909) (414) -- -- PlanAhead Class..................... (584) (354) (1,111) (344) -- -- AMR Class........................... (16,172) (15,797) (11,555) (11,675) (474) (151) Net realized gain on investments: Institutional Class................. (277) -- -- -- -- -- PlanAhead Class..................... (930) -- -- -- -- -- AMR Class........................... (21,970) -- -- -- -- -- -------- -------- ---------- --------- -------- -------- NET DISTRIBUTIONS TO SHAREHOLDERS.................... (40,116) (16,362) (13,575) (12,433) (474) (151) -------- -------- ---------- --------- -------- -------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares......... 62,092 71,533 339,527 148,293 19,408 25,454 Reinvestment of dividends and distributions....................... 40,085 16,359 13,156 12,206 474 151 Cost of shares redeemed............... (30,823) (61,146) (97,820) (117,617) (20,739) (22,559) Redemption fees....................... -- -- -- -- -- -- -------- -------- ---------- --------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS.................... 71,354 26,746 254,863 42,882 (857) 3,046 -------- -------- ---------- --------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS..... 72,839 86,395 311,678 152,434 (1,034) 6,195 -------- -------- ---------- --------- -------- -------- NET ASSETS: Beginning of period................... 666,369 579,974 796,146 643,712 55,122 48,927 -------- -------- ---------- --------- -------- -------- END OF PERIOD*........................ $739,208 $666,369 $1,107,824 $ 796,146 $ 54,088 $ 55,122 ======== ======== ========== ========= ======== ======== * Includes undistributed net investment income (loss) of......... $ 4,534 $ 11,527 $ 3,124 $ 7,615 $ 52 $ 120 ======== ======== ========== ========= ======== ======== MID-CAP VALUE(1) ------------------------- SIX MONTHS ENDED JUNE 30 TO APRIL 30, OCTOBER 31, 2005 2004 ----------- ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income................. $ 178 $ 43 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions....... 2,716 (43) Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations............... (621) 562 -------- ------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... 2,273 562 -------- ------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class................. (115) -- PlanAhead Class..................... -- -- AMR Class........................... -- -- Net realized gain on investments: Institutional Class................. (3) -- PlanAhead Class..................... -- -- AMR Class........................... -- -- -------- ------- NET DISTRIBUTIONS TO SHAREHOLDERS.................... (118) -- -------- ------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares......... 30,245 26,544 Reinvestment of dividends and distributions....................... 118 -- Cost of shares redeemed............... (30,569) (1,560) Redemption fees....................... -- -- -------- ------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS.................... (206) 24,984 -------- ------- NET INCREASE (DECREASE) IN NET ASSETS..... 1,949 25,546 -------- ------- NET ASSETS: Beginning of period................... 25,546 -- -------- ------- END OF PERIOD*........................ $ 27,495 $25,546 ======== ======= * Includes undistributed net investment income (loss) of......... $ 78 $ 43 ======== =======
- --------------- (1) Commencement of Operations See accompanying notes - -------------------------------------------------------------------------------- 82 - --------------------------------------------------------------------------------
EMERGING MARKETS HIGH YIELD BOND ENHANCED INCOME ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2005 2004 2005 2004 2005 2004 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 622 $ 676 $ 13,861 $ 22,814 $ 1,488 $ 2,525 5,433 10,395 3,890 6,934 724 320 4,073 (243) (18,812) 2,292 (2,425) 1,851 -------- -------- --------- --------- -------- -------- 10,128 10,828 (1,061) 32,040 (213) 4,696 -------- -------- --------- --------- -------- -------- (39) (20) (8,437) (13,226) -- -- (3) (3) (5,424) (9,588) (1,778) (2,672) (577) (415) -- -- -- -- (673) -- (4,274) (2,082) -- -- (86) -- (2,693) (1,646) -- -- (6,885) -- -- -- -- -- -------- -------- --------- --------- -------- -------- (8,263) (438) (20,828) (26,542) (1,778) (2,672) -------- -------- --------- --------- -------- -------- 25,908 43,769 87,208 214,560 16,605 21,940 8,256 438 18,838 21,423 1,778 2,192 (17,389) (27,453) (113,791) (138,469) (8,529) (23,331) 2 4 -- -- -- -- -------- -------- --------- --------- -------- -------- 16,777 16,758 (7,745) 97,514 9,854 801 -------- -------- --------- --------- -------- -------- 18,642 27,148 (29,634) 103,012 7,863 2,825 -------- -------- --------- --------- -------- -------- 82,695 55,547 390,047 287,035 103,897 101,072 -------- -------- --------- --------- -------- -------- $101,337 $ 82,695 $ 360,413 $ 390,047 $111,760 $103,897 ======== ======== ========= ========= ======== ======== $ 505 $ 486 $ -- $ -- $ (523) $ (144) ======== ======== ========= ========= ======== ========
- -------------------------------------------------------------------------------- 83 AMERICAN BEACON FUNDS STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) -- CONTINUED - --------------------------------------------------------------------------------
INTERMEDIATE BOND SHORT-TERM BOND ------------------------- ------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income................................... $ 1,919 $ 4,681 $ 1,265 $ 2,816 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions.......... 252 1,148 17 432 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations.......................................... (1,235) (67) (1,221) (991) -------- -------- --------- --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................................ 936 5,762 61 2,257 -------- -------- --------- --------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class (terminated 3/1/05) (Note 1)...... (13) (36) (48) (162) Institutional Class................................... (19) (43) (147) (345) Institutional Class (known as AMR Class prior to 3/1/05) (Note 1).................................... (2,031) (5,071) (1,817) (4,192) -------- -------- --------- --------- NET DISTRIBUTIONS TO SHAREHOLDERS................... (2,063) (5,150) (2,012) (4,699) -------- -------- --------- --------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares........................... 32,254 31,565 19,100 19,631 Reinvestment of dividends and distributions............. 2,060 5,146 1,999 4,626 Cost of shares redeemed................................. (25,800) (73,424) (16,733) (31,645) -------- -------- --------- --------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS................................ 8,514 (36,713) 4,366 (7,388) -------- -------- --------- --------- NET INCREASE (DECREASE) IN NET ASSETS....................... 7,387 (36,101) 2,415 (9,830) -------- -------- --------- --------- NET ASSETS: Beginning of period..................................... 98,245 134,346 91,609 101,439 -------- -------- --------- --------- END OF PERIOD*.......................................... $105,632 $ 98,245 $ 94,024 $ 91,609 ======== ======== ========= ========= * Includes undistributed net investment income (loss) of.................................................... $ (1) -- $ (2,194) ($ 1,576) ======== ======== ========= =========
- -------------------------------------------------------------------------------- 84 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American Beacon Funds (the "Trust"), formerly known as the American AAdvantage Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (the "Act"), as amended, as a no load, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Balanced Fund, the American Beacon Large Cap Value Fund, the American Beacon Large Cap Growth Fund, the American Beacon Mid-Cap Value Fund, the American Beacon Emerging Markets Fund, the American Beacon High Yield Bond Fund, the American Beacon Enhanced Income Fund, the American Beacon Intermediate Bond Fund and the American Beacon Short-Term Bond Fund (each a "Fund" and collectively, the "Funds"), each a series of the Trust. American Beacon Advisors, Inc. (the "Manager"), formerly known as AMR Investment Services, Inc., is a wholly-owned subsidiary of AMR Corporation, the parent company of American Airlines, Inc. ("American"), and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors. Class Disclosure Each Fund, except the Mid-Cap Value and Enhanced Income Fund, has multiple classes of shares designed to meet the needs of different groups of investors. Please note that not all Funds offer all classes. The following table sets forth the differences amongst the classes:
CLASS: OFFERED TO: SERVICE AND DISTRIBUTION FEES: - ------ ----------- ------------------------------ INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service 0.25% Fee -- PLANAHEAD CLASS General public and investors investing through an Administrative Service 0.25% intermediary Fee -- 0.25% Service Fee -- SERVICE CLASS Investors investing through an intermediary Administrative Service 0.25% Fee -- 0.25% Service Fee -- 0.25% Distribution Fee -- AMR CLASS Investors in the tax-exempt retirement and benefit plans of N/A AMR Corporation and its affiliates
Investment income, net capital gains (losses) and all expenses incurred by the Funds are allocated based on the relative net assets of each class, except for service fees and certain other fees and expenses related solely to one class of shares. Reorganization Intermediate Bond and Short-Term Bond Funds Effective March 1, 2005, the existing Institutional Class of the Intermediate Bond and Short-Term Bond Funds was terminated, and Institutional Class shares were exchanged for AMR Class shares of each Fund. Following the exchange, the former AMR Class of shares for these Funds was renamed Institutional Class. 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 - -------------------------------------------------------------------------------- 85 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- 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 a 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 above valuation procedures are inappropriate, or are deemed not to reflect fair value, are valued at fair value, as determined in good faith and pursuant to procedures approved by the Trust's Board of Trustees (the "Board"). 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. Security Transactions and Investment Income Security transactions are recorded on the trade date of the security purchase or sale. Dividend income is recorded on the ex-dividend date except certain dividends from foreign securities which are recorded as soon as the information is available to the Funds. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification. 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. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and is reported with all other foreign currency gains and losses in the Fund's Statement of Operations. - -------------------------------------------------------------------------------- 86 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Forward Foreign Currency Contracts The Emerging Markets Fund may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of fund securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. Repurchase Agreements Under the terms of a repurchase agreement, securities are acquired by a Fund from a securities dealer or a bank which are subject to resale at a later date. Repurchase agreements are fully collateralized. The collateral is monitored daily by each Fund so that the collateral's market value equals or exceeds the carrying value of the repurchase agreement, including accrued interest. Futures Contracts Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Balanced, Large Cap Value, Large Cap Growth, Mid-Cap Value, Emerging Markets, High Yield Bond and Enhanced Income Funds may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations. Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents 5% of the face value of the futures contract. The initial margin amount is reflected as Deposit with broker for futures contracts on the Statement of Assets and Liabilities for the Large Cap Growth Fund. The other Funds reflect this amount on the Schedules of Investments as a US Treasury Bill held as collateral for futures contracts. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded. Dividends to Shareholders Dividends from net investment income of the Balanced, Large Cap Value, Large Cap Growth, Mid-Cap Value, and Emerging Markets Funds normally will be declared and paid annually. The High Yield Bond, Enhanced Income, Intermediate Bond and Short-Term Bond Funds generally declare dividends from net investment income daily, payable monthly. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex-dividend date. Commission Recapture The Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If a Fund's investment advisor chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Fund. Any collateral benefit - -------------------------------------------------------------------------------- 87 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- received through participation in the commission recapture program is directed exclusively to the Fund. Allocation of Income, Expenses, Gains and Losses Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated. Redemption Fees The Emerging Markets Fund imposes a 2% redemption fee on certain Institutional and PlanAhead Class shares held for less than 90 days. The fee is deducted from the redemption proceeds and is intended to offset the trading costs, market impact and other costs associated with short-term trading activity in the Fund. The "first-in, first-out" method is used to determine the holding period. Other Under the Trust's organizational documents, its officers and directors are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust's maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement. 2. TRANSACTIONS WITH AFFILIATES Management Agreement The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all administrative, investment advisory, fund management and securities lending services. Investment assets of the Balanced, Large Cap Value, Large Cap Growth, Mid-Cap Value, Emerging Markets, High Yield Bond, Enhanced Income and Intermediate Bond Funds are managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Balanced Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid-Cap Value Fund, Emerging Markets Fund, High Yield Bond Fund and Enhanced Income Fund an annualized fee equal to .10% of the average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Funds. The Manager receives an annualized fee of ..25% of the average daily net assets of the - -------------------------------------------------------------------------------- 88 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Intermediate Bond Fund and pays a portion of their fee to an investment advisor hired by the Manager to direct investment activities of a portion of the Fund. Management fees paid during the six months ended April 30, 2005 were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY FEE RATE FEE ADVISORS MANAGER ----------- ---------- --------------- ----------- Balanced Fund...................................... .225%-.70% $1,009 $ 653 $356 Large Cap Value Fund............................... .225%-.70% 1,521 1,014 507 Large Cap Growth Fund.............................. .35%-.55% 173 144 29 Mid-Cap Value Fund................................. .40%-.90% 101 87 14 Emerging Markets Fund.............................. .80%-1.20% 435 384 51 High Yield Bond Fund............................... 1.52% 1,017 822 195 Enhanced Income Fund............................... .25%-.85% 196 141 55 Intermediate Bond Fund............................. .25% 118 46 72
The Manager serves as the sole investment advisor to the Short-Term Bond Fund. Pursuant to the Management Agreement, the Manager receives from the Fund an annualized fee equal to .25% of the average daily net assets of the Short-Term Bond Fund. As compensation for services provided by the Manager in connection with securities lending activities, the lending Fund pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 25% of the net monthly interest income (the gross interest income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers when a borrower posts collateral other than cash, a fee up to 25% of such loan fees. During the six months ended April 30, 2005, securities lending fees paid to the Manager were as follows (in thousands): Balanced Fund............................................... $15 Large Cap Value Fund........................................ 13 Emerging Markets Fund....................................... 1 High Yield Bond Fund........................................ 16 Enhanced Income Fund........................................ 3 Intermediate Bond Fund...................................... 2
Administrative Services Agreement The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative and management services to the Funds. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of ..25% of the average daily net assets of the Institutional, PlanAhead and Service Classes of each of the Funds. Distribution Plans The Trust, except for the Service Class of the Funds, has adopted a "defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under the Investment Company Act of 1940, pursuant to which no fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Trust does not intend to - -------------------------------------------------------------------------------- 89 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares. A separate Distribution Plan (the "Distribution Plan") has been adopted pursuant to Rule 12b-1 under the Act for the Service Class of the Funds. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the Service Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance. Service Plans The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the PlanAhead and Service Classes. As compensation for performing the duties required under the Service Plans, the Manager receives 0.25% of the average daily net assets of the PlanAhead and Service Classes of each Fund. Brokerage Commissions Affiliated entities of a subadvisor to the Large Cap Growth Fund received net commissions on purchases and sales of the Fund's portfolio securities totaling $696 for the six months ended April 30, 2005. Investment in Affiliated Funds The Funds are permitted, pursuant to an exemptive order by the Securities and Exchange Commission ("SEC") and approved procedures by the Board, to invest up to 25% of its total assets in the American Beacon Money Market Select Fund (the "Select Fund"), an affiliated fund. The Funds and the Select Fund have the same investment advisor and therefore, are considered to be affiliated. Cash collateral received by certain Funds in connection with securities lending may be invested in the Select Fund and the American Beacon Enhanced Cash Trust (the "Business Trust") (collectively, the "Affiliated Funds"). The Manager serves as Trustee and investment advisor to the Affiliated Funds and receives from the Affiliated Funds an annualized fee equal to 0.10% of the average daily net assets. During the period, fees earned by the Manager from the Affiliated Funds were as follows:
SECURITIES LENDING DIRECT INVESTMENT COLLATERAL INVESTED IN FUNDS IN FUNDS TOTAL ----------------- ------------------- ------- Balanced.................................................... $21,867 $48,230 $70,097 Large Cap Value............................................. 41,290 27,496 68,786 Large Cap Growth............................................ 485 -- 485 Mid-Cap Value............................................... 944 756 1,700 Emerging Markets............................................ 4,114 1,070 5,184 High Yield Bond............................................. 8,412 -- 8,412 Enhanced Income............................................. 1,660 9,550 11,210 Intermediate Bond........................................... 1,699 7,866 9,565 Short-Term Bond............................................. 600 651 1,251
- -------------------------------------------------------------------------------- 90 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- Other Certain officers or Trustees of the Trust are also current or former officers or employees of the Manager or American. The Trust makes no direct payments to its officers. Mr. Feld and the non-interested Trustees (other than Mr. O'Sullivan) and their spouses are provided free unlimited air transportation on American. Retired Trustees and their spouses are provided free transportation on American, up to a maximum annual value of $40,000. The Trust compensates each Trustee with payments in an amount equal to the Trustee's income tax on the value of this free airline travel. Mr. O'Sullivan, as a retiree of American, already receives flight benefits. This Trustee receives an annual retainer of $40,000 plus $1,250 for each Board meeting attended. At April 30, 2005, AMR Corporation and subsidiary companies and Employee Benefit Trusts thereof owned 100% of AMR Class shares of the Funds, 100% of the Institutional Class of the Mid-Cap Value Fund, 98% of the Institutional Class of the Intermediate Bond Fund and 87% of the Institutional Class of the Short-Term Bond Fund. Interfund Lending Program Pursuant to an exemptive order by the SEC, the Funds along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Funds to borrow from, or lend money to, other participating Funds. At April 30, 2005, the Funds had not utilized the credit facility. Reimbursement of Expenses The Manager contractually agreed to reimburse the following Funds for other expenses through February 28, 2006 to the extent that total annual fund operating expenses exceed the following amounts:
FUND CLASS EXPENSE CAP - ---- ----- ----------- Large Cap Growth............................................ Institutional 0.90% Mid-Cap Value............................................... Institutional 1.14% Emerging Markets............................................ PlanAhead 2.00% High Yield Bond............................................. Service 1.50% Intermediate................................................ PlanAhead 0.95%
During the six months ended April 30, 2005, the Manager waived or reimbursed expenses as follows:
FUND CLASS AMOUNT - ---- ----- ------ Mid-Cap Value............................................... Institutional $7,258 Emerging Markets............................................ PlanAhead 2,831 High Yield Bond............................................. Institutional 506 High Yield Bond............................................. Service 127
Expense Reimbursement Plan The Funds have adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class' average net assets have grown or expenses have declined - -------------------------------------------------------------------------------- 91 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. The following waived fees or reimbursed expenses are subject to potential recovery expiring in:
YEAR MID-CAP VALUE EMERGING MARKETS - ---- ------------- ---------------- 2008........................................................ $7,258 $2,831
3. FEDERAL INCOME AND EXCISE TAXES It is the policy of each of the Funds to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all net investment income as well as any net realized capital gains on the sale of investments. Therefore, no federal income or excise tax provision is required. Dividends are determined in accordance with income tax regulations which may treat certain transactions differently than U.S. generally accepted accounting principles. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. The tax character of distributions during the periods ended April 30, 2005 and October 31, 2004 were as follows (in thousands):
BALANCED LARGE CAP VALUE LARGE-CAP GROWTH MID CAP VALUE ------------------------- ------------------------- ------------------------- ------------- SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, 2005 2004 2005 2004 2005 2004 2005 ----------- ----------- ----------- ----------- ----------- ----------- ------------- (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME Institutional Class....... $ 207 $ 211 $ 909 $ 414 $ -- $ -- $118 PlanAhead Class........... 665 354 1,111 344 -- -- -- AMR Class................. 18,088 15,797 11,555 11,675 474 151 -- LONG-TERM CAPITAL GAIN Institutional Class....... 253 -- -- -- -- -- -- PlanAhead Class........... 849 -- -- -- -- -- -- AMR Class................. 20,054 -- -- -- -- -- -- ------- ------- ------- ------- ---- ---- ---- TOTAL DISTRIBUTIONS PAID................ $40,116 $16,362 $13,575 $12,433 $474 $151 $118 ------- ------- ------- ------- ---- ---- ----
- -------------------------------------------------------------------------------- 92 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
EMERGING MARKETS HIGH-YIELD BOND ENHANCED INCOME ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2005 2004 2005 2004 2005 2004 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME Institutional Class................ $ 39 $ 20 $ 9,257 $14,823 $ -- $ -- PlanAhead Class.................... 3 3 5,941 10,851 1,778 2,672 Service Class...................... -- -- -- -- -- -- AMR Class.......................... 577 415 -- -- -- -- LONG-TERM CAPITAL GAIN Institutional Class................ 673 -- 3,454 485 -- -- PlanAhead Class.................... 86 -- 2,176 383 -- -- Service Class...................... -- -- -- -- -- -- AMR Class.......................... 6,885 -- -- -- -- -- ------ ---- ------- ------- ------ ------ TOTAL DISTRIBUTIONS PAID....... $8,263 $438 $20,828 $26,542 $1,778 $2,672 ------ ---- ------- ------- ------ ------
INTERMEDIATE BOND SHORT-TERM BOND ------------------------- ------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED APRIL 30, OCTOBER 31, APRIL 30 OCTOBER 31, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) Institutional Class (terminated 3/1/05)..................... $ 13 $ 36 $ 48 $ 162 PlanAhead Class............................................. 19 43 147 345 Institutional Class (formerly known as AMR Class prior to 3/1/05).................................................... 2,031 5,071 1,817 4,192 ------ ------ ------ ------ $2,063 $5,150 $2,012 $4,699 ------ ------ ------ ------
As of April 30, 2005, the components of distributable earnings were as follows (in thousands):
BALANCED LARGE CAP LARGE CAP MID-CAP FUND VALUE FUND GROWTH FUND VALUE FUND -------- ---------- ------------- ---------- Cost basis of investments for federal income tax purposes... $754,346 $991,139 $54,970 $30,987 Unrealized appreciation..................................... 110,410 199,206 3,281 1,315 Unrealized depreciation..................................... (12,574) (26,862) (3,864) (1,361) -------- -------- ------- ------- Net unrealized appreciation/(depreciation).................. 97,836 172,344 (583) (46) Undistributed ordinary income............................... 5,508 3,082 50 2,393 Undistributed long-term gain/(loss)......................... 15,380 23,349 (7,286) 366 -------- -------- ------- ------- Distributable earnings...................................... $118,724 $198,775 $(7,819) $ 2,713 ======== ======== ======= =======
ENHANCED EMERGING HIGH YIELD INCOME INTERMEDIATE SHORT-TERM MARKETS FUND BOND FUND FUND BOND FUND BOND FUND ------------ ---------- ------------- ------------- ---------- Cost basis of investments for federal income tax purposes........................................... $91,611 $386,559 $129,086 $122,401 $97,281 Unrealized appreciation............................. 18,191 4,631 1,565 809 32 Unrealized depreciation............................. (2,858) (10,021) (1,824) (732) (3,368) ------- -------- -------- -------- ------- Net unrealized appreciation/(depreciation).......... 15,333 (5,390) (259) 77 (3,336) Undistributed ordinary income....................... 1,274 1,966 20 502 533 Undistributed long-term gain/(loss)................. 4,431 2,860 335 (7,702) (5,826) ------- -------- -------- -------- ------- Distributable earnings.............................. $21,038 $ (564) $ 96 $ (7,123) $(8,629) ======= ======== ======== ======== =======
Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses from wash sales, the realization for tax purposes of - -------------------------------------------------------------------------------- 93 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- unrealized gains/(losses) on certain derivative instruments, book amortization for premiums, and the realization for tax purposes of unrealized gains/(losses) on investments in passive foreign investment companies. Due to inherent differences in the recognition of income, expenses and realized gains/losses under U.S. generally accepted accounting principles and federal income tax purposes, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities. Accordingly, the following amounts represent current year permanent differences that have been reclassified as of April 30, 2005 (in thousands):
LARGE CAP LARGE CAP MID-CAP EMERGING ENHANCED INTERMEDIATE SHORT-TERM BALANCED VALUE GROWTH VALUE MARKETS INCOME BOND BOND FUND FUND FUND FUND FUND FUND FUND FUND -------- --------- --------- ------- -------- -------- ------------ ---------- Paid-in-capital.................... $ 22 $ 31 $ 1 $ 4 $ -- $138 $ -- $(431) Undistributed net investment income............................ 435 (172) (5) (28) 16 (89) 143 320 Accumulated net realized gain (loss)............................ (457) 141 4 24 (16) (49) (143) 111 Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency.......................... -- -- -- -- -- -- -- --
At April 30, 2005, capital loss carryforward positions for federal income tax purposes were as follows (in thousands):
FUND 2006 2007 2008 2009 2010 2011 2012 2013 TOTAL - ---- ---- ----- ----- ---- ----- ---- ---- ---- ----- Large Cap Growth....................................... -- -- -- -- 6,612 674 -- -- 7,286 Intermediate Bond...................................... -- -- 7,367 -- 328 -- -- 7 7,702 Short-Term Bond........................................ 437 1,991 1,218 -- 913 161 800 306 5,826
Net capital loss carryovers utilized for the period ended April 30, 2005 are as follows: Large Cap Value Fund $4,106, Large Cap Growth Fund $2,551, and Enhanced Income Fund $340. The Short-Term Bond Fund had $432 of expired capital loss carryovers. 4. INVESTMENT TRANSACTIONS Investment transactions for the six months ended April 30, 2005 (excluding short-term investments) are as follows (in thousands):
LARGE CAP LARGE CAP MID-CAP EMERGING HIGH YIELD ENHANCED INTERMEDIATE BALANCED VALUE GROWTH VALUE MKT BOND INCOME BOND SHORT-TERM -------- --------- --------- ------- -------- ---------- -------- ------------ ---------- Purchases............ $294,740 $308,730 $45,864 $22,000 $42,619 $258,774 $26,544 $68,671 $9,864 Proceeds from sales.. $229,309 $101,965 $47,275 $18,682 $22,009 $261,757 $19,173 $68,527 $8,486
The Balanced Fund had purchases and sales of U.S. Government Securities of $91,174 and $149,404 respectively, and the Intermediate Bond Fund had purchases and sales of U.S. Government securities of $15,190 and $15,169, respectively. - -------------------------------------------------------------------------------- 94 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- A summary of the Funds' direct transactions in Affiliated Funds for the period ended April 30, 2005 is set forth below (in thousands):
OCTOBER 31, 2004 APRIL 30, 2005 FUND AFFILIATE SHARE/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE - ---- ----------- ------------------ ---------- ----------- ------------------- Balanced....................... Select Fund $45,118 $ 211,539 $ 204,663 $51,994 Large Cap Value................ Select Fund 37,721 537,198 496,542 78,377 Large Cap Growth............... Select Fund 4,309 14,683 18,790 202 Mid-Cap Value.................. Select Fund 5,810 51,148 54,133 2,825 Emerging Markets............... Select Fund 11,076 36,999 47,075 1,000 High Yield Bond................ Select Fund 23,672 126,525 137,975 12,222 Enhanced Income................ Select Fund 442 30,913 28,168 3,187 Intermediate Bond.............. Select Fund 2,767 43,100 39,242 6,625 Short Term Bond................ Select Fund 1,683 17,648 14,711 4,620
5. SECURITIES LENDING Each Fund may lend its 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 102% (for loans of US securities) or 105% (for non-US securities) of the market value of the loaned securities at the inception of each loan. 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. Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and the Agent and is recorded as income for the Fund. To the extent that a loan is secured by non-cash collateral, brokers pay the Fund negotiated lenders' fees, which are divided between the Fund and the Agent and are recorded as securities lending income for the Fund. The Fund also continues to receive income on the securities loaned, and any gain or loss in the market priced of securities loaned that may occur during the term of the loan. Risks to the Fund 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. - -------------------------------------------------------------------------------- 95 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - -------------------------------------------------------------------------------- At April 30, 2005, the value of outstanding securities on loan and the value of collateral was as follows (in thousands):
MARKET VALUE OF FUND SECURITIES ON LOAN CASH COLLATERAL - ---- ------------------ --------------- Balanced.................................................... $111,247 $113,505 Large Cap Value............................................. 53,931 54,815 Large Cap Growth............................................ 213 216 Mid-Cap Value............................................... 2,788 2,845 Emerging Markets............................................ 6,146 6,268 High Yield Bond............................................. 30,071 31,306 Enhanced Income............................................. 17,694 18,038 Intermediate Bond........................................... 20,241 20,641 Short Term Bond............................................. 1,003 1,024
The Custodian for each Fund, other than High Yield Bond, invested the cash collateral in the Business Trust and the Select Fund. These amounts have been included as investments in each Fund's Schedule of Investments and Statements of Assets and Liabilities. Income earned on these investments is reported as Income derived from securities lending in the Statements of Operations. Non-Cash collateral received by the Fund may not be sold or repledged; therefore, non-cash collateral is not included on the Fund's Schedule of Investments or Statement of Assets and Liabilities. 6. CAPITAL SHARE TRANSACTIONS The tables below summarize the activity in capital shares for each Class of the Funds (in thousands): Period Ended April 30, 2005
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS -------------------- ------------------- ----------------- BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------- -------- -------- ------ --------- ------- ------- Shares sold....................................... 77 $1,119 2,135 $ 29,513 2,228 $31,460 Reinvestment of dividends......................... 32 459 108 1,484 2,736 38,142 Shares redeemed................................... (14) (208) (212) (2,931) (1,972) (27,684) ------ ------ ------ --------- ------- ------- Net increase in shares outstanding................ 95 $1,370 2,031 $ 28,066 2,992 $41,918 ====== ====== ====== ========= ======= =======
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ------------------- ------------------ LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- ------- -------- ------ --------- ------- -------- Shares sold...................................... 2,652 $51,835 8,165 $ 154,136 6,900 $133,556 Reinvestment of dividends........................ 25 496 58 1,105 592 11,555 Shares redeemed.................................. (695) (13,554) (629) (11,874) (3,808) (72,392) ------ ------- ------ --------- ------- -------- Net increase in shares outstanding............... 1,982 $38,777 7,594 $ 143,367 3,684 $ 72,719 ====== ======= ====== ========= ======= ========
- -------------------------------------------------------------------------------- 96 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS AMR CLASS -------------------- ------------------ LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT - --------------------- -------- -------- ------ -------- Shares sold..................................... -- $ -- 3,216 $ 19,408 Reinvestment of dividends....................... -- -- 76 474 Shares redeemed................................. -- -- (3,418) (20,739) ------ ------ ------ -------- Net decrease in shares outstanding.............. -- $ -- (126) $ (857) ====== ====== ====== ========
INSTITUTIONAL CLASS -------------------- MID CAP VALUE FUND SHARES AMOUNT - ------------------ ------- --------- Shares sold..................................... 2,766 $ 30,245 Reinvestment of dividends....................... 11 118 Shares redeemed................................. (2,741) (30,569) ------ -------- Net increase (decrease) in shares outstanding... 36 $ (206) ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ---------------- ------------------ EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - --------------------- ------- -------- ------ ------ ------- -------- Shares sold....................................... 58 $ 787 122 $1,636 1,745 $ 23,485 Reinvestment of dividends......................... 54 706 7 88 575 7,462 Shares redeemed................................... (176) (2,290) (50) (668) (1,080) (14,429) ------ ------- ------ ------ ------- -------- Net increase (decrease) in shares outstanding..... (64) $ (797) 79 $1,056 1,240 $ 16,518 ====== ======= ====== ====== ======= ========
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS -------------------- ------------------ ---------------- HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- ------- --------- ------ -------- ------- ------ Shares sold....................................... 4,951 $ 53,329 3,162 $ 33,875 -- $ 4 Reinvestment of dividends......................... 1,005 10,733 760 8,105 -- -- Shares redeemed................................... (7,770) (83,309) (2,892) (30,479) -- (3) ------ -------- ------ -------- ------- ------ Net increase (decrease) in shares outstanding..... (1,814) $(19,247) 1,030 $ 11,501 -- $ 1 ====== ======== ====== ======== ======= ======
PLANAHEAD CLASS ----------------- ENHANCED INCOME FUND SHARES AMOUNT - -------------------- ------ ------- Shares sold...................................... 1,633 $16,605 Reinvestment of dividends........................ 176 1,778 Shares redeemed.................................. (848) (8,529) ------ ------- Net increase in shares outstanding............... 961 $ 9,854 ====== =======
INSTITUTIONAL INSTITUTIONAL CLASS CLASS (FORMERLY (TERMINATED AMR CLASS 3/1/05)* PLANAHEAD CLASS THROUGH 3/1/05) -------------------- ---------------- ------------------ INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ---------------------- -------- -------- ------ ------ ------- -------- Shares sold....................................... -- $ -- 6 $ 59 3,142 $ 32,195 Reinvestment of dividends......................... 1 11 2 19 199 2,030 Shares redeemed................................... (88) (912) (17) (172) (2,416) (24,716) ------ ------ ------ ------ ------- -------- Net increase (decrease) in shares outstanding..... (87) $ (901) (9) $ (94) 925 $ 9,509 ====== ====== ====== ====== ======= ========
- -------------------------------------------------------------------------------- 97 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
INSTITUTIONAL INSTITUTIONAL CLASS CLASS (FORMERLY (TERMINATED AMR CLASS 3/1/05)* PLANAHEAD CLASS THROUGH 3/1/05) ------------------- ----------------- ------------------ SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- ------- -------- ------ ------- ------- -------- Shares sold....................................... 110 $ 982 200 $ 1,791 1,836 $ 16,327 Reinvestment of dividends......................... 5 46 15 137 203 1,816 Shares redeemed................................... (481) (4,290) (269) (2,415) (1,119) (10,028) ------ ------- ------ ------- ------- -------- Net increase (decrease) in shares outstanding..... (366) $(3,262) (54) $ (487) 920 $ 8,115 ====== ======= ====== ======= ======= ========
* Activity is for the period November 1, 2004 through February 28, 2005 Period Ended October 31, 2004
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ------------------- ------------------ BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------- ------- -------- ------ --------- ------- -------- Shares sold....................................... 120 $ 1,646 943 $ 12,438 4,313 $ 57,449 Reinvestment of dividends......................... 16 211 28 351 1,225 15,797 Shares redeemed................................... (246) (3,383) (461) (6,099) (3,888) (51,664) ------ ------- ------ --------- ------- -------- Net increase (decrease) in shares outstanding..... (110) $(1,526) 510 $ 6,690 1,650 $ 21,582 ====== ======= ====== ========= ======= ========
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ------------------- ------------------ LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- ------- -------- ------ --------- ------- -------- Shares sold...................................... 1,678 $29,357 2,166 $ 36,511 4,775 $ 82,425 Reinvestment of dividends........................ 12 190 21 341 717 11,675 Shares redeemed.................................. (537) (9,282) (669) (11,207) (5,644) (97,128) ------ ------- ------ --------- ------- -------- Net increase (decrease) in shares outstanding.... 1,153 $20,265 1,518 $ 25,645 (152) $ (3,028) ====== ======= ====== ========= ======= ========
INSTITUTIONAL CLASS AMR CLASS -------------------- ------------------ LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT - --------------------- -------- -------- ------ -------- Shares sold..................................... -- $ -- 4,375 $ 25,454 Reinvestment of dividends....................... -- -- 27 151 Shares redeemed................................. -- -- (3,880) (22,559) ------ ------ ------ -------- Net increase in shares outstanding.............. -- $ -- 522 $ 3,046 ====== ====== ====== ========
INSTITUTIONAL CLASS ------------------- MID-CAP VALUE FUND SHARES AMOUNT - ------------------ ------- -------- Shares sold..................................... 2,646 $26,544 Reinvestment of dividends....................... -- -- Shares redeemed................................. (158) (1,560) ------ ------- Net increase in shares outstanding.............. 2,488 $24,984 ====== =======
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS -------------------- ----------------- ----------------- EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - --------------------- -------- -------- ------ ------- ------- ------- Shares sold....................................... 254 $3,097 158 $ 1,907 3,200 $38,765 Reinvestment of dividends......................... 2 20 -- 3 37 415 Shares redeemed*.................................. (15) (170) (108) (1,304) (2,219) (25,975) ------ ------ ------ ------- ------- ------- Net increase in shares outstanding................ 241 $2,947 50 $ 606 1,018 $13,205 ====== ====== ====== ======= ======= =======
* Net of Redemption Fees - -------------------------------------------------------------------------------- 98 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2005 (Unaudited) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS -------------------- ------------------ ---------------- HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- ------- --------- ------ -------- ------- ------ Shares sold....................................... 13,551 $144,793 6,516 $ 69,764 -- $ 3 Reinvestment of dividends......................... 1,211 12,997 786 8,426 -- -- Shares redeemed................................... (7,537) (80,955) (5,361) (57,514) -- -- ------ -------- ------ -------- ------- ------ Net increase in shares outstanding................ 7,225 $ 76,835 1,941 $ 20,676 -- $ 3 ====== ======== ====== ======== ======= ======
PLANAHEAD CLASS ------------------ ENHANCED INCOME FUND SHARES AMOUNT - -------------------- ------ -------- Shares sold...................................... 2,177 $ 21,940 Reinvestment of dividends........................ 217 2,192 Shares redeemed.................................. (2,316) (23,331) ------ -------- Net increase in shares outstanding............... 78 $ 801 ====== ========
INSTITUTIONAL CLASS (FORMERLY INSTITUTIONAL CLASS AMR CLASS (TERMINATED THROUGH 3/1/05)** PLANAHEAD CLASS 2/28/05) -------------------- ---------------- ------------------ INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ---------------------- -------- -------- ------ ------ ------- -------- Shares sold....................................... 1 $ 13 13 $ 134 3,058 $ 31,418 Reinvestment of dividends......................... 3 33 4 42 494 5,071 Shares redeemed................................... (16) (168) (48) (491) (7,119) (72,765) ------ ------ ------ ------ ------- -------- Net decrease in shares outstanding................ (12) $ (122) (31) $ (315) (3,567) $(36,276) ====== ====== ====== ====== ======= ========
INSTITUTIONAL CLASS (FORMERLY INSTITUTIONAL CLASS AMR CLASS (TERMINATED THROUGH 3/1/05)** PLANAHEAD CLASS 2/28/05) -------------------- ----------------- ------------------ SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- -------- -------- ------ ------- ------- -------- Shares sold....................................... 31 $ 282 1,029 $ 9,534 1,071 $ 9,815 Reinvestment of dividends......................... 15 140 32 293 456 4,193 Shares redeemed................................... (82) (755) (825) (7,622) (2,527) (23,268) ------ ------ ------ ------- ------- -------- Net increase (decrease) in shares outstanding..... (36) $ (333) 236 $ 2,205 (1,000) $ (9,260) ====== ====== ====== ======= ======= ========
** Activity is for the period November 1, 2004 through February 28, 2005 - -------------------------------------------------------------------------------- 99 AMERICAN BEACON BALANCED FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ----------------------------------------------------- 2005 2004 2003 2002 2001(D E G) 2000(B) ----------- ------- ------- ------ ----------- -------- (UNAUDITED) Net asset value, beginning of period............ $14.31 $ 12.99 $ 10.97 $12.07 $ 12.27 $ 13.01 ------ ------- ------- ------ -------- -------- Income from investment operations: Net investment income(A C).................. 0.18 0.29 0.31(H) 0.11 0.51 0.58 Net gains (losses) on securities (both realized and unrealized)(C)............... 0.70 1.36 1.84(H) (0.69) (0.03) (0.03) ------ ------- ------- ------ -------- -------- Total income (loss) from investment operations.................................... 0.88 1.65 2.15 (0.58) 0.48 0.55 ------ ------- ------- ------ -------- -------- Less distributions: Dividends from net investment income........ (0.31) (0.33) (0.13) (0.44) (0.68) (0.51) Distributions from net realized gains on securities................................ (0.47) -- -- (0.08) -- (0.78) ------ ------- ------- ------ -------- -------- Total distributions............................. (0.78) (0.33) (0.13) (0.52) (0.68) (1.29) ------ ------- ------- ------ -------- -------- Net asset value, end of period.................. $14.41 $ 14.31 $ 12.99 $10.97 $ 12.07 $ 12.27 ====== ======= ======= ====== ======== ======== Total return.................................... 6.18%(I) 12.87% 19.77% (5.14)% 4.07% 5.13% ====== ======= ======= ====== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands).... $9,798 $ 8,378 $ 9,041 $8,994 $157,775 $260,880 Ratios to average net assets (annualized): Expenses(C)............................... 0.53% 0.63% 0.63% 0.62% 0.62% 0.61% Net investment income(C).................. 2.50% 2.15% 2.74% 3.12% 3.56% 4.39% Portfolio turnover rate(F).................. 34%(I) 62% 69% 84% 122% 121%
- --------------- (A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment income per share. (B) GSB Investment Management, Inc. was removed as an investment advisor to the Balanced Fund on March 1, 2000. (C) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the AMR Investment Services Balanced Portfolio through February 28, 2002. (D) On September 7, 2001, American Beacon Advisors, Inc. assumed management of the fixed income portion of the Balanced Fund's assets previously managed by Merrill Lynch Investment Managers, L.P. (E) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed management of the equity portion of the Balanced Fund's assets previously managed by Merrill Lynch Investment Managers, L.P. (F) The Balanced Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (G) Independence Investment LLC was removed as an investment advisor to the Balanced Fund on November 30, 2000. (H) For the year ended October 31, 2003, the net investment income and net gains (losses) on securities (both realized and unrealized) has been restated from 0.30 and 1.85, respectively for Institutional Class and 0.36 and 1.66, respectively for PlanAhead Class. (I) Not annualized. - -------------------------------------------------------------------------------- 100 - --------------------------------------------------------------------------------
PLANAHEAD CLASS AMR CLASS ------------------------------------------------------------------------------ ------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31, APRIL 30, ------------------------------------------------------------- APRIL 30, ------------------------- 2005 2004 2003 2002 2001(D E G) 2000(B) 2005 2004 2003 ----------- ------- ------- ------- ----------- ------- ----------- -------- -------- (UNAUDITED) (UNAUDITED) $ 13.62 $ 12.40 $ 10.81 $ 11.88 $ 12.08 $ 12.79 $ 13.87 $ 12.60 $ 10.98 ------- ------- ------- ------- ------- ------- -------- -------- -------- 0.17 0.27 0.28(H) 0.41 0.51 0.53 0.19 0.32 0.34 0.64 1.25 1.74(H) (0.99) (0.06) -- 0.67 1.31 1.78 ------- ------- ------- ------- ------- ------- -------- -------- -------- 0.81 1.52 2.02 (0.58) 0.45 0.53 0.86 1.63 2.12 ------- ------- ------- ------- ------- ------- -------- -------- -------- (0.30) (0.30) (0.43) (0.41) (0.65) (0.46) (0.35) (0.36) (0.50) (0.47) -- -- (0.08) -- (0.78) (0.47) -- -- ------- ------- ------- ------- ------- ------- -------- -------- -------- (0.77) (0.30) (0.43) (0.49) (0.65) (1.24) (0.82) (0.36) (0.50) ------- ------- ------- ------- ------- ------- -------- -------- -------- $ 13.66 $ 13.62 $ 12.40 $ 10.81 $ 11.88 $ 12.08 $ 13.91 $ 13.87 $ 12.60 ======= ======= ======= ======= ======= ======= ======== ======== ======== 5.93%(I) 12.44% 19.36% (5.18)% 3.84% 4.88% 6.20%(I) 13.13% 20.06% ======= ======= ======= ======= ======= ======= ======== ======== ======== $44,397 $21,571 $13,321 $10,561 $12,176 $11,643 $680,013 $636,420 $557,612 0.88% 0.93% 0.94% 0.90% 0.84% 0.90% 0.34% 0.37% 0.38% 2.15% 1.84% 2.40% 2.83% 3.29% 4.01% 2.70% 2.40% 2.98% 34%(I) 62% 69% 84% 122% 121% 34%(I) 62% 69% AMR CLASS ---------------------------------- YEAR ENDED OCTOBER 31, ---------------------------------- 2002 2001(D E G) 2000(B) -------- ----------- -------- $ 12.06 $ 12.27 $ 13.02 -------- -------- -------- 0.48 0.56 0.61 (1.01) (0.05) (0.03) -------- -------- -------- (0.53) 0.51 0.58 -------- -------- -------- (0.47) (0.72) (0.55) (0.08) -- (0.78) -------- -------- -------- (0.55) (0.72) (1.33) -------- -------- -------- $ 10.98 $ 12.06 $ 12.27 ======== ======== ======== (4.71)% 4.38% 5.37% ======== ======== ======== $487,526 $526,405 $525,040 0.35% 0.36% 0.35% 3.39% 3.77% 4.54% 84% 122% 121%
- -------------------------------------------------------------------------------- 101 AMERICAN BEACON LARGE CAP VALUE FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS -------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ----------------------------------------------------- 2005 2004 2003 2002 2001(B D) 2000(E) ----------- ------- ------- ------- --------- ------- (UNAUDITED) Net asset value, beginning of period.............. $ 18.23 $ 15.62 $ 12.55 $ 14.51 $ 15.83 $ 18.69 ------- ------- ------- ------- ------- ------- Income from investment operations: Net investment income (loss)(A C).............. 0.15 0.26 0.25(G) 0.27 0.28 0.47 Net gains (losses) on securities (both realized and unrealized)(C)............................ 1.45 2.62 3.11(G) (1.76) (0.61) 0.06 ------- ------- ------- ------- ------- ------- Total income (loss) from investment operations.... 1.60 2.88 3.36 (1.49) (0.33) 0.53 ------- ------- ------- ------- ------- ------- Less distributions: Dividends from net investment income........... (0.25) (0.27) (0.29) (0.30) (0.50) (0.34) Distributions from net realized gains on securities.................................... -- -- -- (0.17) (0.49) (3.05) ------- ------- ------- ------- ------- ------- Total distributions............................... (0.25) (0.27) (0.29) (0.47) (0.99) (3.39) ------- ------- ------- ------- ------- ------- Net asset value, end of period.................... $ 19.58 $ 18.23 $ 15.62 $ 12.55 $ 14.51 $ 15.83 ======= ======= ======= ======= ======= ======= Total return...................................... 8.75%(H) 18.59% 27.30% (10.83)% (2.21)% 4.81% ======= ======= ======= ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands)....... $90,843 $48,451 $23,512 $21,589 $10,081 $ 7,594 Ratios to average net assets (annualized): Expenses(C)................................... 0.62% 0.66% 0.66% 0.61% 0.64% 0.53% Net investment income(C)...................... 1.63% 1.49% 1.88% 1.82% 1.76% 3.71% Portfolio turnover rate(F)..................... 11%(H) 29% 27% 34% 60% 58%
- --------------- (A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment income per share. (B) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed management of the Large Cap Value Fund's assets previously managed by Merrill Lynch Investment Managers, L.P. (C) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the AMR Investment Services Large Cap Value Portfolio through February 28, 2002. (D) Metropolitan West Capital Management, LLC replaced Independence Investment LLC as investment advisor to the Large Cap Value Fund on December 1, 2000. (E) GSB Investment Management, Inc. was removed as an investment advisor to the Large Cap Value Fund on March 1, 2000. (F) The Large Cap Value Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (G) For the year ended October 31, 2003, the net investment income and net gains (losses) on securities (both realized and unrealized) has been restated from 0.20 and 3.16, respectively for Institutional Class and 0.10 and 3.11, respectively for PlanAhead Class. (H) Not annualized. - -------------------------------------------------------------------------------- 102 - --------------------------------------------------------------------------------
PLANAHEAD CLASS - ------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ------------------------------------------------- 2005 2004 2003 2002 2001(B D) 2000(E) ----------- ------- ------- ------- --------- ------- (UNAUDITED) $ 17.54 $ 15.05 $ 12.09 $ 14.00 $ 15.40 $ 18.41 -------- ------- ------- ------- -------- ------- 0.15 0.23 0.22(G) 0.25 0.26 0.60 1.36 2.49 2.99(G) (1.74) (0.62) (0.13) -------- ------- ------- ------- -------- ------- 1.51 2.72 3.21 (1.49) (0.36) 0.47 -------- ------- ------- ------- -------- ------- (0.23) (0.23) (0.25) (0.25) (0.55) (0.43) -- -- -- (0.17) (0.49) (3.05) -------- ------- ------- ------- -------- ------- (0.23) (0.23) (0.25) (0.42) (1.04) (3.48) -------- ------- ------- ------- -------- ------- $ 18.82 $ 17.54 $ 15.05 $ 12.09 $ 14.00 $ 15.40 ======== ======= ======= ======= ======== ======= 8.60%(H) 18.26% 26.99% (11.13)% (2.47)% 4.56% ======== ======= ======= ======= ======== ======= $198,192 $51,489 $21,331 $15,941 $ 12,280 $11,507 0.87% 0.94% 0.95% 0.93% 0.89% 0.84% 1.35% 1.21% 1.57% 1.53% 1.54% 2.51% 11%(H) 29% 27% 34% 60% 58% AMR CLASS - --- ------------------------------------------------------------------- SIX MONTH ENDED YEAR ENDED OCTOBER 31, APRIL 30, ----------------------------------------------------- 2005 2004 2003 2002 2001(B D) 2000(E) ----------- -------- -------- -------- --------- -------- (UNAUDITED) $ 18.02 $ 15.44 $ 12.40 $ 14.34 $ 15.75 $ 18.77 -------- -------- -------- -------- -------- -------- 0.16 0.30 0.29 0.31 0.34 0.65 1.45 2.58 3.06 (1.75) (0.63) (0.09) -------- -------- -------- -------- -------- -------- 1.61 2.88 3.35 (1.44) (0.29) 0.56 -------- -------- -------- -------- -------- -------- (0.28) (0.30) (0.31) (0.33) (0.63) (0.53) -- -- -- (0.17) (0.49) (3.05) -------- -------- -------- -------- -------- -------- (0.28) (0.30) (0.31) (0.50) (1.12) (3.58) -------- -------- -------- -------- -------- -------- $ 19.35 $ 18.02 $ 15.44 $ 12.40 $ 14.34 $ 15.75 ======== ======== ======== ======== ======== ======== 8.90%(H) 18.89% 27.64% (10.62)% (1.98)% 5.08% ======== ======== ======== ======== ======== ======== $818,789 $696,206 $598,869 $511,287 $654,239 $737,111 0.36% 0.39% 0.36% 0.36% 0.36% 0.34% 1.91% 1.79% 2.13% 2.06% 2.09% 3.07% 11%(H) 29% 27% 34% 60% 58%
- -------------------------------------------------------------------------------- 103 AMERICAN BEACON LARGE CAP GROWTH FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ------------------------------------------------------------------ SIX MONTHS ENDED YEAR ENDED OCTOBER 31, JULY 31 TO APRIL 30, -------------------------------------- OCTOBER 31, 2005 2004 2003 2002 2001 2000 ----------- ------ ------- ------- ------- ----------- (UNAUDITED) Net asset value, beginning of period...... $ 5.82 $ 5.47 $ 4.53 $ 5.66 $ 9.54 $10.00 ------- ------ ------- ------- ------- ------ Income from investment operations: Net investment income (loss)(A)....... 0.04 0.02 0.02 0.03 (0.01) -- Net gains (losses) on securities (both realized and unrealized)(A)......... (0.02) 0.35 0.94 (1.16) (3.86) (0.46) ------- ------ ------- ------- ------- ------ Total income (loss) from investment operations.............................. 0.02 0.37 0.96 (1.13) (3.87) (0.46) ------- ------ ------- ------- ------- ------ Less distributions: Dividends from net investment income.. (0.05) (0.02) (0.02) -- (0.01) -- ------- ------ ------- ------- ------- ------ Total distributions....................... (0.05) (0.02) (0.02) -- (0.01) -- ------- ------ ------- ------- ------- ------ Net asset value, end of period............ $ 5.79 $ 5.82 $ 5.47 $ 4.53 $ 5.66 $ 9.54 ======= ====== ======= ======= ======= ====== Total return.............................. 0.30%(C) 6.71% 21.15% (19.96)% (40.62)% (4.60)%(C) ======= ====== ======= ======= ======= ====== Ratios and supplemental data: Net assets, end of period (in thousands).......................... $ 1 $ 1 $ 1 $ 1 $ 1 $ 1 Ratios to average net assets (annualized)(A): Expenses............................ 0.75% 0.84% 0.87% 0.87% 0.99% 0.99% Net investment income (loss)........ 1.25% 0.18% 0.18% 0.06% (0.26)% -- Decrease reflected in above expense ratio due to absorption of expenses by the Manager(A)........ 44.12% 12.38% -- -- 0.02% 0.29% Portfolio turnover rate(B)............ 82%(C) 131% 138% 135% 85% 9%(C)
- --------------- (A) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the AMR Investment Services Large Cap Growth Portfolio through February 28, 2001. (B) The Large Cap Growth Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2001. Portfolio turnover rate through February 28, 2001 was that of the Portfolio. (C) Not annualized. - -------------------------------------------------------------------------------- 104 - --------------------------------------------------------------------------------
AMR CLASS ----------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, JULY 31 TO APRIL 30, --------------------------------------------- OCTOBER 31, 2005 2004 2003 2002 2001 2000 ----------- ------- ------- ------- ------- ----------- (UNAUDITED) $ 5.84 $ 5.48 $ 4.54 $ 5.67 $ 9.55 $ 10.00 ------- ------- ------- ------- ------- ------- 0.05 0.02 0.02 0.02 0.01 0.01 (0.03) 0.36 0.93 (1.14) (3.87) (0.46) ------- ------- ------- ------- ------- ------- 0.02 0.38 0.95 (1.12) (3.86) (0.45) ------- ------- ------- ------- ------- ------- (0.05) (0.02) (0.01) (0.01) (0.02) -- ------- ------- ------- ------- ------- ------- (0.05) (0.02) (0.01) (0.01) (0.02) -- ------- ------- ------- ------- ------- ------- $ 5.81 $ 5.84 $ 5.48 $ 4.54 $ 5.67 $ 9.55 ======= ======= ======= ======= ======= ======= 0.31%(C) 6.88% 21.09% (19.85)% (40.51)% (4.50)%(C) ======= ======= ======= ======= ======= ======= $54,087 $55,121 $48,926 $28,017 $23,804 $19,505 0.68% 0.71% 0.68% 0.67% 0.70% 0.74% 1.44% 0.34% 0.40% 0.30% 0.08% 0.25% -- -- -- -- 0.02% 0.14% 82%(C) 131% 138% 135% 85% 9%(C)
- -------------------------------------------------------------------------------- 105 AMERICAN BEACON MID-CAP VALUE FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS --------------------------------- SIX MONTHS ENDED JUNE 30 TO APRIL 30, OCTOBER 31, 2005 2004 ----------- ------------------- (UNAUDITED) Net asset value, beginning of period........................ $ 10.27 $ 10.00 ------- ------- Income from investment operations: Net investment income................................... 0.07 0.02(B) Net gains on securities (both realized and unrealized)........................................... 0.61 0.25 ------- ------- Total income from investment operations..................... 0.68 0.27 ------- ------- Less distributions: Dividends from net investment income.................... (0.05) -- Distributions from net realized gains on securities..... -- -- ------- ------- Total distributions......................................... (0.05) -- ------- ------- Net asset value, end of period.............................. $ 10.90 $ 10.27 ======= ======= Total return................................................ 6.61%(A) 2.70%(A) ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands)................ $27,495 $25,546 Ratios to average net assets (annualized): Expenses.............................................. 1.01% 1.14% Net investment income................................. 1.18% 0.73% Decrease reflected in above expense ratio due to absorption of expenses by the Manager............... 0.05% 0.20% Portfolio turnover rate................................. 75%(A) 6%(A)
- --------------- (A) Not annualized. (B) Based on average shares outstanding. - -------------------------------------------------------------------------------- 106 (This page intentionally left blank) (LIGHTHOUSE LOGO) 107 AMERICAN BEACON EMERGING MARKETS FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ---------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, JULY 31 TO APRIL 30, ------------------------------------ OCTOBER 31, 2005 2004 2003 2002 2001 2000 ----------- ------- ------- ------ ------- ----------- (UNAUDITED) Net asset value, beginning of period................. $12.64 $ 10.62 $ 7.20 $ 6.64 $ 8.17 $ 10.00 ------ ------- ------- ------ ------- ------- Income from investment operations: Net investment income(A)......................... 0.07 0.07 0.04 0.09 0.11 -- Net gains (losses) on securities (both realized and unrealized)(A)............................. 1.42 2.01 3.43 0.56 (1.62) (1.83) ------ ------- ------- ------ ------- ------- Total income (loss) from investment operations....... 1.49 2.08 3.47 0.65 (1.51) (1.83) ------ ------- ------- ------ ------- ------- Less distributions: Dividends from net investment income............. (0.06) (0.06) (0.05) (0.09) (0.01) -- Distributions from net realized gains on securities..................................... (1.08) -- -- -- (0.01) -- ------ ------- ------- ------ ------- ------- Total distributions.................................. (1.14) (0.06) (0.05) (0.09) (0.02) -- ------ ------- ------- ------ ------- ------- Redemption fees added to beneficial interests --(E) --(E) -- -- -- -- ------ ------- ------- ------ ------- ------- Net asset value, end of period....................... $12.99 $ 12.64 $ 10.62 $ 7.20 $ 6.64 $ 8.17 ====== ======= ======= ====== ======= ======= Total return......................................... 11.86%(C) 19.65% 48.45% 9.80% (18.52)% (18.30)%(C) ====== ======= ======= ====== ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands)......... $6,667 $ 7,282 $ 3,557 $1,769 $ 1,495 $ 1 Ratios to average net assets (annualized): Expenses(A).................................... 1.55% 1.85% 1.76% 1.51% 1.43% 1.87% Net investment income (loss)(A)................ 0.90% 0.74% 0.62% 1.11% 2.07% (0.47)% Decrease reflected in above expense ratio due to absorption of expenses by the Manager..... -- -- -- -- -- -- Portfolio turnover rate(B)....................... 24%(C) 76% 80% 94% 95% 23%(C)
- --------------- (A) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the AMR Investment Services Emerging Markets Portfolio through February 28, 2002. (B) The Emerging Markets Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (C) Not annualized. (D) Portfolio turnover rate is for the period November 1, 2001 through October 31, 2002. (E) Amounts represent less than $0.01 per share. - -------------------------------------------------------------------------------- 108 - --------------------------------------------------------------------------------
PLANAHEAD CLASS AMR CLASS - --------------------------------------------------- ----------------------------------------------------------------- SIX MONTHS YEAR ENDED SIX MONTHS ENDED OCTOBER 31, OCTOBER 1 TO ENDED YEAR ENDED OCTOBER 31, JULY 31 TO APRIL 30, ----------------- OCTOBER 31, APRIL 30, ------------------------------------- OCTOBER 31, 2005 2004 2003 2002 2005 2004 2003 2002 2001 2000 ----------- ------- ------- ------------ ----------- ------- ------- ------- ------- ----------- (UNAUDITED) (UNAUDITED) $12.53 $ 10.55 $ 7.19 $ 6.86 $ 12.68 $ 10.66 $ 7.22 $ 6.65 $ 8.18 $ 10.00 ------ ------- ------- ------ ------- ------- ------- ------- ------- ------- 0.04 0.04 0.09 -- 0.07 0.10 0.07 0.09 0.13 -- 1.43 1.99 3.34 0.33 1.45 2.00 3.44 0.59 (1.63) (1.82) ------ ------- ------- ------ ------- ------- ------- ------- ------- ------- 1.47 2.03 3.43 0.33 1.52 2.10 3.51 0.68 (1.50) (1.82) ------ ------- ------- ------ ------- ------- ------- ------- ------- ------- (0.03) (0.05) (0.07) -- (0.09) (0.08) (0.07) (0.11) (0.02) -- (1.08) -- -- -- (1.08) -- -- -- (0.01) -- ------ ------- ------- ------ ------- ------- ------- ------- ------- ------- (1.11) (0.05) (0.07) -- (1.17) (0.08) (0.07) (0.11) (0.03) -- ------ ------- ------- ------ ------- ------- ------- ------- ------- ------- --(E) --(E) --(E) -- -- -- -- -- -- -- ------ ------- ------- ------ ------- ------- ------- ------- ------- ------- $12.89 $ 12.53 $ 10.55 $ 7.19 $ 13.03 $ 12.68 $ 10.66 $ 7.22 $ 6.65 $ 8.18 ====== ======= ======= ====== ======= ======= ======= ======= ======= ======= 11.74%(C) 19.33% 48.07% 4.81%(C) 11.96%(C) 20.00% 48.84% 10.10% (18.40)% (18.20)%(C) ====== ======= ======= ====== ======= ======= ======= ======= ======= ======= $2,266 $ 1,214 $ 492 $ 1 $92,404 $74,199 $51,498 $32,731 $20,660 $17,308 1.96% 2.14% 2.08% 1.87% 1.28% 1.59% 1.50% 1.26% 1.30% 1.60% 0.69% 0.37% 0.57% (0.25)% 1.24% 1.01% 0.92% 1.35% 1.76% (0.19)% 0.35% 0.06% -- -- -- -- -- -- -- -- 24%(C) 76% 80% 94%(D) 24%(C) 76% 80%(C) 94% 95% 23%(C)
- -------------------------------------------------------------------------------- 109 AMERICAN BEACON HIGH YIELD BOND FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ----------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, DECEMBER 29, 2000 APRIL 30, ------------------------------ TO OCTOBER 31, 2005 2004 2003 2002 2001 ----------- -------- -------- -------- ----------------- (UNAUDITED) Net asset value, beginning of period............... $ 10.86 $ 10.73 $ 9.63 $ 9.82 $ 10.00 -------- -------- -------- -------- ------- Income from investment operations: Net investment income.......................... 0.38 0.78 0.78 0.80 0.71 Net gains (losses) on securities (both realized and unrealized).............................. (0.80) 0.27 1.10 (0.19) (0.18) -------- -------- -------- -------- ------- Total income from investment operations............ (0.42) 1.05 1.88 0.61 0.53 -------- -------- -------- -------- ------- Less distributions: Dividends from net investment income........... (0.38) (0.78) (0.78) (0.80) (0.71) Distributions from net realized gains on securities................................... 0.20 (0.14) -- -- -- -------- -------- -------- -------- ------- Total distributions................................ (0.18) (0.92) (0.78) (0.80) (0.71) -------- -------- -------- -------- ------- Net asset value, end of period..................... $ 10.26 $ 10.86 $ 10.73 $ 9.63 $ 9.82 ======== ======== ======== ======== ======= Total return....................................... (0.29)%(A) 10.19% 20.11% 6.28% 5.33%(A) ======== ======== ======== ======== ======= Ratios and supplemental data: Net assets, end of period (in thousands)....... $209,786 $241,777 $161,380 $104,813 $53,275 Ratios to average net assets (annualized): Expenses..................................... 0.85% 0.88% 0.90% 0.90% 0.90% Net investment income........................ 7.19% 7.27% 7.51% 8.02% 8.48% Decrease reflected in above expense ratio due to absorption of expenses by the Manager... -- 0.04% 0.10% 0.08% 0.17% Portfolio turnover rate........................ 71%(A) 138% 114% 163% 145%(A)
- --------------- (A) Not annualized. (B) Portfolio turnover rate is for the period November 1, 2001 through October 31, 2002. (C) Portfolio turnover rate is for the period November 1, 2002 through October 31, 2003. - -------------------------------------------------------------------------------- 110 - --------------------------------------------------------------------------------
PLANAHEAD CLASS SERVICE CLASS - ----------------------------------------------------- --------------------------------------- SIX MONTHS YEAR ENDED SIX MONTHS ENDED OCTOBER 31, MARCH 1 TO ENDED YEAR ENDED MAY 1 TO APRIL 30, ------------------- OCTOBER 31, APRIL 30, OCTOBER 31, OCTOBER 31, 2005 2004 2003 2002 2005 2004 2003 ----------- -------- -------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) $ 10.87 $ 10.73 $ 9.63 $10.10 $ 10.87 $ 10.73 $ 10.47 -------- -------- -------- ------ ------- -------- -------- 0.37 0.74 0.75 0.50 0.35 0.71 0.29 (0.81) 0.28 1.10 (0.47) (0.42) 0.27 0.26 -------- -------- -------- ------ ------- -------- -------- (0.44) 1.02 1.85 0.03 (0.07) 0.98 0.55 -------- -------- -------- ------ ------- -------- -------- (0.37) (0.74) (0.75) (0.50) (0.35) (0.70) (0.29) 0.20 (0.14) -- -- -- (0.14) -- -------- -------- -------- ------ ------- -------- -------- (0.17) (0.88) (0.75) (0.50) (0.35) (0.84) (0.29) -------- -------- -------- ------ ------- -------- -------- $ 10.26 $ 10.87 $ 10.73 $ 9.63 $ 10.45 $ 10.87 $ 10.73 ======== ======== ======== ====== ======= ======== ======== (0.50)%(A) 9.94% 19.57% (0.26)%(A) (0.66)%(A) 9.41% 5.46%(A) ======== ======== ======== ====== ======= ======== ======== $150,622 $148,266 $125,654 $4,029 $ 5 $ 4 $ 1 1.09% 1.20% 1.24% 1.27% 1.46% 1.57% 1.71% 6.96% 6.95% 7.11% 7.20% 6.53% 6.57% 6.51% -- -- -- -- 3.24% 439.24% 805.12% 71%(A) 138% 114% 163%(B) 71%(A) 138% 114%(C)
- -------------------------------------------------------------------------------- 111 AMERICAN BEACON ENHANCED INCOME FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
PLANAHEAD CLASS --------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30 TO APRIL 30, OCTOBER 31, OCTOBER 31, 2005 2004 2003 ----------- ----------- ----------- (UNAUDITED) Net asset value, beginning of period........................ $ 10.16 $ 9.96 $ 10.00 -------- -------- -------- Income from investment operations: Net investment income................................... 0.19 0.26 0.07(B) Net gains (losses) on securities (both realized and unrealized)........................................... (0.17) 0.20 (0.04) -------- -------- -------- Total income from investment operations..................... 0.02 0.46 0.03 -------- -------- -------- Less distributions: Dividends from net investment income.................... (0.19) (0.26) (0.07) Distributions from net realized gains on securities..... -- -- -- -------- -------- -------- Total distributions......................................... (0.19) (0.26) (0.07) -------- -------- -------- Net asset value, end of period.............................. $ 9.99 $ 10.16 $ 9.96 ======== ======== ======== Total return................................................ 0.16%(A) 4.70% 0.32%(A) ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands)................ $111,760 $103,897 $101,072 Ratios to average net assets (annualized): Expenses.............................................. 0.99% 1.00% 0.93% Net investment income................................. 2.71% 2.54% 2.20% Portfolio turnover rate................................. 18%(A) 72% 57%(A)
- --------------- (A) Not annualized. (B) Based on average shares outstanding. - -------------------------------------------------------------------------------- 112 (This page intentionally left blank) (LIGHTHOUSE LOGO) 113 AMERICAN BEACON INTERMEDIATE BOND FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS (TERMINATED 3/1/05) ------------------------------------------------------------- FROM NOVEMBER 1, 2004 TO YEAR ENDED OCTOBER 31, FEBRUARY 28, ---------------------------------------------- 2005(D) 2004 2003 2002 2001 2000 ------------ ------- ------- ------- ------- ------ (UNAUDITED) Net asset value, beginning of period............... $ 10.54 $ 10.45 $ 10.42 $ 10.51 $ 9.72 $ 9.58 ------- ------- ------- ------- ------- ------ Income from investment operations: Net investment income(A)....................... 0.13 0.37 0.41 0.51 0.57 0.59 Net gains (losses) on securities (both realized and unrealized)(A)........................... (0.11) 0.14 0.03 (0.09) 0.79 0.14 ------- ------- ------- ------- ------- ------ Total income from investment operations............ 0.02 0.51 0.44 0.42 1.36 0.73 ------- ------- ------- ------- ------- ------ Less distributions: Dividends from net investment income........... (0.15) (0.42) (0.41) (0.51) (0.57) (0.59) Distributions from net realized gains on securities................................... -- -- -- -- -- -- ------- ------- ------- ------- ------- ------ Total distributions................................ (0.15) (0.42) (0.41) (0.51) (0.57) (0.59) ------- ------- ------- ------- ------- ------ Net asset value, end of period..................... $ 10.41 $ 10.54 $ 10.45 $ 10.42 $ 10.51 $ 9.72 ======= ======= ======= ======= ======= ====== Total return....................................... 0.17%(C) 4.90% 4.31% 4.21% 14.36% 7.89% ======= ======= ======= ======= ======= ====== Ratios and supplemental data: Net assets, end of period (in thousands)....... N/A $ 912 $ 1,024 $74,919 $60,842 $ 115 Ratios to average net assets (annualized): Expenses(A).................................. 0.37% 0.80% 0.58% 0.56% 0.54% 0.59% Net investment income(A)..................... 3.82% 3.51% 4.02% 4.99% 5.55% 6.31% Decrease reflected in above expense ratio due to absorption of expenses by the Manager(A)................................. -- -- -- -- -- -- Portfolio turnover rate(B)..................... 73%(CE) 106% 187% 185% 164% 102%
- --------------- (A) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the AMR Investment Services Intermediate Bond Portfolio through February 28, 2002. (B) The Intermediate Bond Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (C) Not annualized. (D) On March 1, 2005, the existing Institutional Class shares were terminated and exchanged for AMR Class shares at a conversion rate of 1.0202. Following this exchange, the former AMR Class Shares were re-named Institutional Class. (E) Portfolio turnover rate is for the period November 1, 2004 through April 30, 2005. - -------------------------------------------------------------------------------- 114 - --------------------------------------------------------------------------------
PLAN AHEAD CLASS INSTITUTIONAL CLASS (FORMERLY AMR CLASS PRIOR TO 3/1/05) ---------------------------------------------------------- ---------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31, APRIL 30, -------------------------------------------- APRIL 30, -------------------------------------------------- 2005 2004 2003 2002 2001 2000 2005(D) 2004 2003 2002 2001 2000 ----------- ------- ------ ------ ------- ------ ----------- -------- -------- -------- ------- ------- (UNAUDITED) (UNAUDITED) $10.41 $ 10.31 $10.27 $10.34 $ 9.57 $ 9.63 $ 10.33 $ 10.24 $ 10.22 $ 10.30 $ 9.53 $ 9.58 ------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- ------- 0.17 0.35 0.39 0.48 0.53 0.59 0.21 0.40 0.45 0.53 0.58 0.64 (0.10) 0.14 0.04 (0.07) 0.77 (0.06) (0.10) 0.14 0.02 (0.08) 0.77 (0.05) ------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- ------- 0.07 0.49 0.43 0.41 1.30 0.53 0.11 0.54 0.47 0.45 1.35 0.59 ------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- ------- (0.19) (0.39) (0.39) (0.48) (0.53) (0.59) (0.22) (0.45) (0.45) (0.53) (0.58) (0.64) -- -- -- -- -- -- -- -- -- -- -- -- ------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- ------- (0.19) (0.39) (0.39) (0.48) (0.53) (0.59) (0.22) (0.45) (0.45) (0.53) (0.58) (0.64) ------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- ------- $10.29 $ 10.41 $10.31 $10.27 $ 10.34 $ 9.57 $ 10.22 $ 10.33 $ 10.24 $ 10.22 $ 10.30 $ 9.53 ====== ======= ====== ====== ======= ====== ======== ======== ======== ======== ======= ======= 0.69%(C) 4.86% 4.25% 4.10% 13.91% 5.76% 1.10%(C) 5.38% 4.62% 4.57% 14.58% 6.39% ====== ======= ====== ====== ======= ====== ======== ======== ======== ======== ======= ======= $ 984 $ 1,091 $1,395 $1,691 $ 300 $ 102 $104,648 $ 96,242 $131,927 $144,098 $95,820 $40,555 0.95% 0.92% 0.86% 0.86% 0.83% 0.87% 0.32% 0.34% 0.32% 0.30% 0.30% 0.39% 3.43% 3.39% 3.70% 4.60% 5.04% 6.07% 4.06% 3.97% 4.32% 5.23% 5.84% 6.72% 0.13% 0.01% -- -- 0.01% 0.02% -- -- -- -- -- -- 73%(C) 106% 187% 185% 164% 102% 73%(C) 106% 187% 185% 164% 102%
- -------------------------------------------------------------------------------- 115 AMERICAN BEACON SHORT-TERM BOND FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) - --------------------------------------------------------------------------------
INSTITUTIONAL CLASS (TERMINATED 3/1/05) -------------------------------------------------------------------------------- FROM NOVEMBER 1 , 2004 YEAR ENDED OCTOBER 31, TO FEBRUARY 28, ----------------------------------------------------- 2005(D) 2004 2003 2002 2001 2000 ----------------- ------ ------ ------ ------- ------ (UNAUDITED) Net asset value, beginning of period............................ $ 9.09 $ 9.32 $ 9.45 $ 9.62 $ 9.21 $ 9.30 ------ ------ ------ ------ ------- ------ Income from investment operations: Net investment income(B)........ 0.11 0.24 0.37 0.42 0.57 0.62 Net gains (losses) on securities (both realized and unrealized)(B)................ (0.15) (0.03) (0.04) (0.11) 0.41 (0.10) ------ ------ ------ ------ ------- ------ Total income from investment operations........................ (0.04) 0.21 0.33 0.31 0.98 0.52 ------ ------ ------ ------ ------- ------ Less distributions: Dividends from net investment income........................ (0.13) (0.44) (0.46) (0.48) (0.57) (0.61) ------ ------ ------ ------ ------- ------ Total distributions................. (0.13) (0.44) (0.46) (0.48) (0.57) (0.61) ------ ------ ------ ------ ------- ------ Net asset value, end of period...... $ 8.92 $ 9.09 $ 9.32 $ 9.45 $ 9.62 $ 9.21 ====== ====== ====== ====== ======= ====== Total return........................ (0.44)%(C) 2.21% 3.58% 3.37% 10.98% 5.83% ====== ====== ====== ====== ======= ====== Ratios and supplemental data: Net assets, end of period (in thousands).................... N/A $3,324 $3,745 $8,396 $ 4,226 $3,687 Ratios to average net assets (annualized): Expenses(B)................... 0.61% 0.62% 0.54% 0.44% 0.51% 0.58% Net investment income(B)...... 1.82% 2.72% 4.30% 4.47% 6.06% 6.61% Decrease reflected in above expense ratio due to absorption of expenses by the Manager(B).............. -- -- -- -- -- -- Portfolio turnover rate(A)...... 10%(CE) 41% 81% 63% 104% 89%
- --------------- (A) The Short-Term Bond Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (B) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the AMR Investment Services Short-Term Bond Portfolio through February 28, 2002. (C) Not annualized. (D) On March 1, 2005, the existing Institutional Class shares were terminated and exchanged for AMR Class shares at a conversion rate of 1.0014. Following this exchange, the former AMR Class Shares were re-named Institutional Class. (E) Portfolio turnover rate is for the period November 1, 2004 through April 30, 2005. - -------------------------------------------------------------------------------- 116 - --------------------------------------------------------------------------------
PLANAHEAD CLASS -------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ------------------------------------------------------ 2005 2004 2003 2002 2001 2000(D) ----------- ------- ------ ------ ------- ------- (UNAUDITED) $ 9.09 $ 9.33 $ 9.45 $ 9.62 $ 9.21 $ 9.30 ------ ------- ------ ------ ------- ------ 0.09 0.25 0.39 0.43 0.55 0.59 (0.11) (0.07) (0.08) (0.14) 0.41 (0.09) ------ ------- ------ ------ ------- ------ (0.02) 0.18 0.31 0.29 0.96 0.50 ------ ------- ------ ------ ------- ------ (0.18) (0.42) (0.43) (0.46) (0.55) (0.59) ------ ------- ------ ------ ------- ------ (0.18) (0.42) (0.43) (0.46) (0.55) (0.59) ------ ------- ------ ------ ------- ------ $ 8.89 $ 9.09 $ 9.33 $ 9.45 $ 9.62 $ 9.21 ====== ======= ====== ====== ======= ====== (0.18)%(C) 1.84% 3.38% 3.16% 10.69% 5.56% ====== ======= ====== ====== ======= ====== $7,132 $ 7,781 $5,783 $3,520 $ 1,257 $ 489 0.90% 0.87% 0.86% 0.73% 0.75% 0.84% 2.39% 2.44% 4.00% 4.16% 5.76% 6.29% -- -- -- 0.04% -- 0.10% 10%(C) 41% 81% 63% 104% 89% INSTITUTIONAL (FORMERLY AMR CLASS PRIOR TO 3/1/05) --------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ------------------------------------------------------- 2005 2004 2003 2002 2001 2000 ----------- ------- ------- ------- ------- ------- (UNAUDITED) $ 9.07 $ 9.31 $ 9.44 $ 9.60 $ 9.20 $ 9.29 ------- ------- ------- ------- ------- ------- 0.17 0.27 0.42 0.44 0.59 0.63 (0.16) (0.05) (0.07) (0.11) 0.40 (0.09) ------- ------- ------- ------- ------- ------- 0.01 0.22 0.35 0.33 0.99 0.54 ------- ------- ------- ------- ------- ------- (0.21) (0.46) (0.48) (0.49) (0.59) (0.63) ------- ------- ------- ------- ------- ------- (0.21) (0.46) (0.48) (0.49) (0.59) (0.63) ------- ------- ------- ------- ------- ------- $ 8.87 $ 9.07 $ 9.31 $ 9.44 $ 9.60 $ 9.20 ======= ======= ======= ======= ======= ======= (0.10)%(C) 2.39% 3.82% 3.60% 11.07% 6.09% ======= ======= ======= ======= ======= ======= $86,891 $80,504 $91,911 $89,932 $81,370 $56,714 0.32% 0.33% 0.33% 0.30% 0.33% 0.33% 2.97% 3.00% 4.54% 4.63% 6.26% 6.88% -- -- -- -- -- -- 10%(C) 41% 81% 63% 104% 89%
- -------------------------------------------------------------------------------- 117 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- RENEWAL OF MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS At their February 23, 2005 meeting, the Trustees considered the renewal of the existing Management Agreement between the Manager and the Funds and each Investment Advisory Agreement between the Funds and the sub-advisors. As part of the renewal process, legal counsel to the Trusts and the independent Trustees sent information request letters to the Manager and each sub-advisor seeking certain relevant information. The responses by the Manager and sub-advisors were provided to the Trustees for their review prior to their meeting, and the Trustees were provided with the opportunity to request any additional materials. The Trustees considered, among other materials, responses by the Manager and the sub-advisors to inquiries requesting: - a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Funds, or any other area, including how these changes might affect the Funds; - a copy of the firm's most recent audited or unaudited financial statements as well as Parts I and II of its Form ADV; - a summary of any material past, pending or anticipated litigation or regulatory proceedings involving the firm or its personnel, including the results of any recent regulatory examination or independent audit; - a comparison of the performance of that portion of Fund assets managed by each firm with performance of other similar accounts managed by the firm, including a discussion of relative performance versus a peer group average and any remedial measures if the firm's performance was materially below that of the peer group; - a cost/profitability analysis of the firm and any actual or anticipated economies of scale in relation to the services it provides to the Funds, if available; - an analysis of compensation, including a comparison with fees charged to other clients for which similar services are provided, any proposed changes to the fee schedule and the effect of any fee waivers; - an evaluation of any other benefits to the firm or Funds as a result of their relationship, if any; - a description of the scope of portfolio management services provided to the Funds, including whether such services differ from the services provided to other clients, including other registered investment companies; - a description of the personnel who are assigned primary responsibility for managing the Fund, including any changes during the past year; - a description of the basis upon which portfolio managers are compensated, including any "incentive" arrangements; - a discussion regarding the firm's participation in "soft dollar" arrangements, if any, or other brokerage allocation policies with respect to Fund transactions, including the firm's methodology for obtaining the most favorable execution and the use of any affiliated broker-dealers; - a description of any actual or potential conflicts of interest anticipated in managing Fund assets; - a discussion of the firm's compliance program with regard to federal, state, corporate and Fund requirements; - information regarding the firm's code of ethics, insider trading policy and disaster recovery plan, including a description of any material changes thereto; 118 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- - a description of the firm's affiliation with any broker-dealer; - a discussion of any anticipated change in the firm's controlling persons; and - verification of the firm's insurance coverage with regards to the services provided to the Funds. In addition to the foregoing, the Manager provided the following information specific to the renewal of the Management Agreement: - a table comparing the performance of each Fund to appropriate indices, including comments on the relative performance of each sub-advisor and each Fund versus comparable indices; - a discussion of any underperformance by a sub-advisor relative to its peer group and whether (and if so, why) such sub-advisor should have its contract renewed; - a table detailing the Manager's profitability with respect to each Fund; - an analysis of any material complaints received from Fund shareholders; - a discussion of the Manager's compliance program; - a description of the Manager's securities lending practices and the fees received from such practices; - a description of the portfolio turnover rate and average execution costs for each Fund and each sub-advisor to a Fund; - a discussion of whether the Manager receives, with respect to trade execution for the Funds, other special compensation, including any payment for order flow; - a description of how expenses that are not readily identifiable to a particular Fund are allocated; and - any ideas for the future growth and efficient operation of the Funds. The Trustees were also provided with an analysis provided by Lipper, Inc., which compared: (i) investment performance of each Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds, and (iii) each Fund's investment advisory fees versus comparable mutual funds. Legal counsel provided the Trustees with a memorandum detailing their responsibilities pertaining to the renewal of the Management and Investment Advisory Agreements. This memorandum explained the regulatory requirements surrounding the Trustees' process for evaluating investment advisors and the terms of the contracts. CONSIDERATIONS WITH RESPECT TO ALL FUNDS In determining whether to approve the continuance of the Management Agreement and each Investment Advisory Agreement, the Trustees considered the best interests of each Fund separately. In each instance, the Trustees considered, among other things, the following factors: (1) the nature and quality of the services provided; (2) the investment performance of the Fund and the investment advisor; (3) the Manager's or sub-advisor's cost for providing the services and the profitability of the advisory business to the Manager or sub-advisor; (4) the extent to which economies of scale have been taken into account in setting the fee schedule; and (5) whether fee levels reflect these economies of scale for the benefit of Fund investors. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the material submitted in support of the renewal. 119 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- With respect to the renewal of the Management Agreement, the Trustees considered: the Manager's ability to retain key investment personnel and to provide consistent performance and an active client service program; the Manager's goal to continue to provide consistent above average long-term performance at low cost; the continuing efforts by the Manager to add new Funds so as to enhance the Trusts' product line; the Manager's record in building improved compliance, control and credit functions that reduce risks to the Funds; the addition of personnel to manage the Funds, promote sales and improve services; and the active role played by the Manager in monitoring and, as appropriate, recommending replacements for the investment sub-advisors and master portfolios. With respect to the renewal of the Investment Advisory Agreements, the Trustees noted that, in many cases, the Manager has negotiated the lowest sub-advisory fee a sub-advisor charges for any comparable client accounts. Where applicable, for purposes of determining the fee charged to the Funds, the fee schedule to each Investment Advisory Agreement specifies that all other assets managed by a sub-advisor on behalf of AMR Corporation and its pensions plans shall be considered. Thus, the Funds are able to receive the lowest possible fee due to economies of scale resulting from the sub-advisor's management of a larger pool of assets. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE BALANCED FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Balanced Fund outperformed its benchmark indices for the one, five- and ten-year periods ended December 31, 2004, even though the Manager slightly underperformed its benchmark index with respect to the portion of fixed income Fund assets allocated to it; (2) the expense ratio of the Institutional Class of Fund shares was lower than the industry average; and (3) the Trustees deemed the profit made by the Manager on the services it provided to the Fund to be reasonable in light of the fact that the Manager provides high-quality services at a low cost to investors, manages a portion of the Fund's assets, allocates the Fund's assets among sub-advisors, monitors and evaluates the performance of the Fund's three sub-advisors, and provides a comprehensive compliance program for the Fund. In considering the renewal of the Investment Advisory Agreements with Barrow, Hanley, Mewhinney & Strauss, Inc. ("Barrow"), Brandywine Asset Management, LLC ("Brandywine") and Hotchkis and Wiley Capital Management, LLC ("Hotchkis"), the Trustees considered the following additional factors: (1) Barrow, Brandywine and Hotchkis each either equaled or outperformed on a short-term and long-term basis their benchmark indices with respect to its allocated portion of the Fund's assets; (2) each sub-advisor represented that it did not charge a lower fee rate for any comparable client accounts; (3) for purposes of calculating the fee rates chargeable to the Fund, each sub-advisor agreed to take into account all other assets of AMR Corporation and its subsidiaries and affiliated entities under management by the sub-advisor (except for assets managed by Barrow under the HALO Bond Program); and (4) the Manager's recommendation to continue to retain each sub-advisor. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and the sub-advisors under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Balanced Fund and its shareholders would benefit from the Manager's and sub-advisors' continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Balanced Fund. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE EMERGING MARKETS FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Emerging Markets Fund only slightly underperformed its benchmark indices for the one-year period, and outperformed the benchmarks for the three-year periods ended December 31, 2004; 120 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- (2) the expense ratio of the Institutional Class of the Emerging Markets Fund was higher than the industry average, but the expense ratio of that Fund's AMR Class was significantly lower; (3) the Manager has contractually agreed to continue to waive fees and/or reimburse Fund expenses to the extent necessary to maintain a competitive total expense ratio for the PlanAhead Class of shares of the Fund; (4) the Manager incurred a loss on the services it provided to the Fund. In considering the renewal of the Investment Advisory Agreements with The Boston Company Asset Management, LLC ("TBCAM") and Morgan Stanley Investment Management Inc. ("MSIM Inc."), the Trustees considered the following additional factors: (1) TBCAM and MSIM Inc. each outperformed on a short-term and long-term basis certain indices with respect to its allocated portion of Fund assets; (2) for purposes of calculating the fee rates chargeable to the Fund, each sub-advisor agreed to take into account assets of AMR Corporation and its subsidiaries and affiliated entities under management by the sub-advisor; and (3) the Manager's recommendation to continue to retain each sub-advisor. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and the sub-advisors under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Emerging Markets Fund and its shareholders would benefit from the Manager's and sub-advisors' continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Emerging Markets Fund. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE ENHANCED INCOME FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Enhanced Income Fund outperformed its peer group for the one-year and since inception periods; (2) the Manager outperformed its benchmark index with respect to its allocated portion of the Fund's assets for the one-year and since inception periods; (3) the expense ratio of the Fund was higher than the industry average on an actual basis, although contractual fees are below its peers; and (4) the Trustees deemed the profit made by the Manager on the services it provided to the Fund to be reasonable in light of the fact that the Manager provides high-quality services at a low cost to investors, manages a portion of the Fund's assets, allocates the Fund's assets among sub-advisors, monitors and evaluates the performance of the Fund's sub-advisor, and provides a comprehensive compliance program for the Fund. In considering the renewal of the Investment Advisory Agreement with Calamos Advisors LLC ("Calamos"), the Trustees considered the following additional factors: (1) Calamos outperformed its benchmark index with respect to its allocated portion of the Fund's assets; (2) for purposes of calculating the fee rates chargeable to the Fund, Calamos agreed to take into account all other assets of AMR Corporation and its subsidiaries and affiliated entities under management by Calamos; and (3) the Manager's recommendation to continue to retain Calamos. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and Calamos under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Enhanced Income Fund and its shareholders would benefit from the Manager's and Calamos' continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Enhanced Income Fund. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE HIGH YIELD BOND FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the High Yield Bond Fund underperformed both its benchmark indices and its peer group for the one-year period ended December 31, 2004 primarily due to its investment in higher-quality 121 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- bonds that did not perform as well as much lower-quality bonds, but outperformed its peer group for the three-year period ended December 31, 2004; (2) the expense ratio of the Institutional Class was slightly higher than the industry average; (3) the Manager has contractually agreed to continue to waive fees and/or reimburse Fund expenses to the extent necessary to maintain a competitive total expense ratio for the Service Class of shares of the Fund; and (4) the Trustees deemed the profit made by the Manager on the services it provided to the Fund to be reasonable in light of the fact that the Manager provides high-quality services at a low cost to investors, allocates the Fund's assets among sub-advisors, monitors and evaluates the performance of the Fund's sub-advisor, and provides a comprehensive compliance program for the Fund. In considering the renewal of the Investment Advisory Agreement with Post Advisory Group, LLC ("Post"), the Trustees considered the following additional factors: (1) although Post's long-term performance is good, it underperformed its benchmark index and trailed its peer group because the market rewarded more risky portfolios and Post's investment process focused on higher-quality securities; (2) Post represented that it did not charge a lower fee rate for any comparable client accounts; (3) for purposes of calculating the fee rates chargeable to the Fund, Post agreed to take into account all other assets of AMR Corporation and its subsidiaries and affiliated entities under management by Post; and (4) the Manager's recommendation to continue to retain Post because it expects that Post's investment process should come back into favor and continue to perform well over the long term. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and Post under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the High Yield Bond Fund and its shareholders would benefit from the Manager's and Post's continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the High Yield Bond Fund. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE INTERMEDIATE BOND FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Intermediate Bond Fund underperformed its benchmark index and trailed its peer group for the short-term and long-term periods ended December 31, 2004, primarily due to its investment in higher-quality bonds that did not perform as well as lower-quality bonds included in the portfolios of its peers; (2) although the Manager underperformed its benchmark index with respect to its allocated portion of the Fund's assets for the short-term and long-term periods, its relative performance has improved and the Manager believes that its higher quality portfolio will add value to Fund shareholders going forward; (3) the expense ratio of the AMR Class of Fund shares was lower than the industry average and the Manager recommends collapsing the Institutional Class of shares into the AMR Class, effective as of March 1, 2005; (4) the Manager has contractually agreed to continue to waive fees and/or reimburse Fund expenses to the extent necessary to maintain a competitive total expense ratio for the PlanAhead Class of shares of the Fund; and (5) the Manager incurred a loss on the services it provided to the Fund, manages a portion of the Fund's assets, allocates the Fund's assets among itself and the sub-advisor, monitors and evaluates the performance of the Fund's sub-advisor, and provides a comprehensive compliance program for the Fund. In considering the renewal of the Investment Advisory Agreement with Barrow, the Trustees considered the following additional factors: (1) Barrow outperformed its benchmark index for every period with respect to its allocated portion of the Fund's assets; (2) Barrow represented that it did not charge a lower fee rate for any comparable client accounts; (3) for purposes of calculating the fee rates chargeable to the Fund, Barrow agreed to take into account other assets of AMR Corporation and its subsidiaries and affiliated entities under management by Barrow; and (4) the Manager's recommendation to continue to retain Barrow. 122 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and Barrow under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Intermediate Bond Fund and its shareholders would benefit from the Manager's and Barrow's continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Intermediate Bond Fund. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE LARGE CAP GROWTH FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Manager provides high-quality services at a low cost to investors, allocates the Fund's assets among sub-advisors, monitors and evaluates the performance of the Fund's two sub-advisors, and provides a comprehensive compliance program for the Fund; (2) the Large Cap Growth Fund outperformed its benchmark indices and peer groups for the one-, three-year and since inception periods ended December 31, 2004; (3) the expense ratios of each class of Fund shares were lower than the industry average; (4) the Manager has contractually agreed to continue to waive fees and/or reimburse Fund expenses to the extent necessary to maintain a competitive total expense ratio for the Institutional Class of shares of the Fund; and (5) the Manager incurred a loss on the services it provided to the Fund. In considering the renewal of the Investment Advisory Agreements with Goldman Sachs Asset Management, L.P. ("GSAM") and J.P. Morgan Investment Management Inc. ("JPMIM"), the Trustees considered the following additional factors: (1) GSAM outperformed its benchmark indices with respect to its allocated portion of the Fund's assets for all periods and JPMIM outperformed its benchmark indices for the one-year and since inception periods; (2) Each sub-advisor represented that it did not charge a lower fee rate for any comparable client accounts; (3) for purposes of calculating the fee rates chargeable to the Fund, each sub-advisor agreed to take into account all other assets of AMR Corporation and its subsidiaries and affiliated entities under management by the sub-advisor; and (4) the Manager's recommendation to continue to retain each sub-advisor. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and the sub-advisors under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Large Cap Growth Fund and its shareholders would benefit from the Manager's and sub-advisors' continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Large Cap Growth Fund. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE LARGE CAP VALUE FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Large Cap Value Fund outperformed its peer group and benchmark indices for the short and long-term periods ended December 31, 2004; (2) the expense ratio of the Institutional Class of Fund shares was lower than the industry average; and (3) the Trustees deemed the profit made by the Manager on the services it provided to the Fund to be reasonable in light of the fact that the Manager provides high-quality services at a low cost to investors, allocates the Fund's assets among sub-advisors, monitors and evaluates the performance of the Fund's four sub-advisors, and provides a comprehensive compliance program for the Fund. In considering the renewal of the Investment Advisory Agreements with Barrow, Brandywine, Hotchkis and Metropolitan West Capital Management, LLC, the Trustees considered the following additional factors: (1) each sub-advisor, except for Brandywine, outperformed its benchmark index for the year with respect to its allocated portion of the Fund's assets; (2) although Brandywine underperformed its benchmark index for the most recent one-year period, it has outperformed for the longer periods; (3) each sub-advisor represented that it did not charge a lower fee rate for any comparable client accounts; (4) for purposes of calculating the fee 123 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- rates chargeable to the Fund, each sub-advisor agreed to take into account all other assets of AMR Corporation and its subsidiaries and affiliated entities under management by the sub-advisor; and (5) the Manager's recommendation to continue to retain each sub-advisor. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and the sub-advisors under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Large Cap Value Fund and its shareholders would benefit from the Manager's and sub-advisors' continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Large Cap Value Fund. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE MID-CAP VALUE FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Manager provides high-quality services at a low cost to investors, allocates the Fund's assets among sub-advisors, monitors and evaluates the performance of the Fund's two sub-advisors, and provides a comprehensive compliance program for the Fund; (2) the Mid-Cap Value Fund outperformed its peer group for the six-month period ended December 31, 2004, but lagged behind its benchmark indices for the period; (3) the expense ratio of the Institutional Class of Fund shares was higher than the industry average due primarily to the higher fees charged by one of the sub-advisors; (4) the Manager has contractually agreed to continue to waive fees and/or reimburse Fund expenses to the extent necessary to maintain a competitive total expense ratio for the Institutional Class of shares of the Fund and (5) the Manager incurred a loss on the services it provided to the Fund. In considering the renewal of the Investment Advisory Agreements with Barrow and Pzena Investment Management, LLC, the Trustees considered the following additional factors: (1) although each sub-advisor underperformed its benchmark index for the six-month period with respect to its allocated portion of the Fund's assets, the performance records are too short to be meaningful; (2) each sub-advisor represented that it did not charge a lower fee rate for any comparable client accounts; (3) for purposes of calculating the fee rates chargeable to the Fund, each sub-advisor agreed to take into account all other assets of AMR Corporation and its subsidiaries and affiliated entities under management by the sub-advisor; and (4) the Manager's recommendation to continue to retain each sub-advisor. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager and the sub-advisors under the Management and Investment Advisory Agreements are fair and reasonable, (2) determined that the Mid-Cap Value Fund and its shareholders would benefit from the Manager's and sub-advisors' continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Mid-Cap Value Fund. ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE SHORT-TERM BOND FUND In considering the renewal of the Management Agreement, the Trustees considered the following additional factors: (1) the Short-Term Bond Fund underperformed its benchmark index and peer group for the one-year period ended December 31, 2004, but outperformed its peer group for the three-, five- and ten-year periods; (2) the expense ratio of the AMR Class of Fund shares was lower than the industry average and the Manager recommends collapsing the Institutional Class of shares into the AMR Class, effective as of March 1, 2005; and (3) the Manager incurred a loss on the services it provided to the Fund. Based on these considerations and those noted above with respect to all Funds, the Trustees (1) concluded that the fees paid to the Manager under the Management Agreement are fair and reasonable, (2) determined that the Short-Term Bond Fund and its shareholders would benefit from the Manager's continued management of the Fund and (3) approved the renewal of the Management Agreement with respect to the Short-Term Bond Fund. 124 (This page intentionally left blank) (LIGHTHOUSE LOGO) (AMERICAN BEACON FUNDS LOGO) - -------------------------------------------------------------------------------- DELIVERY OF DOCUMENTS To reduce expenses, your financial institution may mail only one copy of the Prospectus, Annual Report and Semi-Annual Report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please contact your financial institution. Delivery of individual copies will commence thirty days after receiving your request. If you invest in the Funds through a financial institution, you may be able to receive the Fund's regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution's name or contact your financial institution directly. TO OBTAIN MORE INFORMATION ABOUT THE FUNDS: (KEYBOARD GRAPHIC) (MOUSE GRAPHIC) BY E-MAIL: ON THE INTERNET: american-beacon.funds@ambeacon.com Visit our website at www.americanbeaconfunds.com
- -------------------------------------------------------------------------------- (TELEPHONE GRAPHIC) (MAILBOX GRAPHIC) BY TELEPHONE: BY MAIL: Institutional Class American Beacon Funds Call (800) 658-5811 4151 Amon Carter Blvd., MD 2450 AMR Class(SM) Fort Worth, TX 76155 Call (800) 345-2345 PlanAhead Class(R) and Service Class Call (800) 388-3344
- -------------------------------------------------------------------------------- AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES AVAILABILITY OF PROXY VOTING POLICY AND RECORDS In addition to the Schedule of Investments provided in each A description of the policies and procedures that the Funds semi-annual and annual report, each Fund files a complete use to determine how to vote proxies relating to portfolio schedule of its portfolio holdings with the Securities and securities is available in each Fund's Statement of Exchange Commission ("SEC") on Form N-Q as of the first and Additional Information, which may be obtained free of charge third fiscal quarters. The Funds' Forms N-Q are available on by calling 1-800-967-9009 or by accessing the SEC's website the SEC's website at www.sec.gov. The Forms N-Q may also be at www.sec.gov. Each Fund's proxy voting record for the most reviewed and copied at the SEC's Public Reference Room, 450 recent year ended June 30 is filed annually with the SEC on Fifth Street, NW, Washington, DC 20549. Information Form N-PX. The Funds' Forms N-PX are available on the SEC's regarding the operation of the SEC's Public Reference Room website at www.sec.gov. Each Fund's proxy voting record may may be obtained by calling 1-800-SEC-0330. A complete also be obtained by calling 1-800-967-9009. schedule of each Fund's portfolio holdings is also available on the Funds' website (www.americanbeaconfunds.com) approximately thirty days after the end of each fiscal quarter.
FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT DISTRIBUTOR STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES REGISTERED PUBLIC FORESIDE FUND SERVICES Boston, Massachusetts Kansas City, Missouri ACCOUNTING FIRM Portland, Maine ERNST & YOUNG LLP Chicago, Illinois
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current prospectus. - -------------------------------------------------------------------------------- American Airlines, Inc. is not responsible for investments made in the American Beacon Funds. American Beacon Funds is a service mark of AMR Corporation. American Beacon Balanced Fund, American Beacon Large Cap Value Fund, American Beacon Large Cap Growth Fund, American Beacon Mid-Cap Value Fund, American Beacon Emerging Markets Fund, American Beacon High Yield Bond Fund, American Beacon Enhanced Income Fund, American Beacon Intermediate Bond Fund and American Beacon Short-Term Bond Fund are service marks of American Beacon Advisors, Inc. [AMERICAN BEACON FUNDS LOGO] 4151 Amon Carter Blvd. MD 2450 Fort Worth, TX 76155 1.800.967.9009 817.931.4331 fax www.americanbeaconfunds.com SAR 04/05 534226 ITEM 2. CODE OF ETHICS. The Trust did not amend the code of ethics that applies to its principal executive and financial officers (the "Code") nor did it grant any waivers to the provisions of the Code during the period covered by the shareholder reports presented in Item 1. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not Applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not Applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS. The schedules of investments for each series of the Trust are included in the shareholder reports presented in Item 1. 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. The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust's Board of Trustees since the Trust last disclosed such procedures in Schedule 14A. ITEM 11. 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable. (a)(2) 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. (a)(3) Not applicable. (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT. 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. (Registrant): American Beacon Funds By /s/ William F. Quinn -------------------- William F. Quinn President Date: July 5, 2005 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: July 5, 2005 By /s/ Rebecca L. Harris --------------------- Rebecca L. Harris Treasurer Date: July 5, 2005 EX-99.CERT 2 ex99cert.txt CERTIFICATIONS For period ended 04/30/2005 Registrant Name: American Beacon Funds File Number: 811-4984 EXHIBIT 99.CERT I, Rebecca L. Harris, certify that: 1. I have reviewed this report on Form N-CSR of American Beacon Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 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: July 5, 2005 /s/ Rebecca L. Harris ------------ --------------------- Rebecca L. Harris Treasurer American Beacon Funds I, William F. Quinn, certify that: 1. I have reviewed this report on Form N-CSR of American Beacon Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 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: July 5, 2005 /s/ William F. Quinn ------------ -------------------- William F. Quinn President American Beacon Funds EX-99.906 CERT 3 ex906cert.txt SOX CERTIFICATION For period ended 04/30/2005 Registrant Name: American Beacon Funds File Number: 811-4984 EXHIBIT 99.906CERT William F. Quinn and Rebecca L. Harris, respectively, the President and Treasurer of the American Beacon Funds (the "Registrant"), each certify to the best of his or her knowledge and belief that: 1. the Registrant's report on Form N-CSR for the period ended April 30, 2005 (the "Form N-CSR") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. /s/ William F. Quinn /s/ Rebecca L. Harris - -------------------- --------------------- William F. Quinn Rebecca L. Harris President Treasurer American Beacon Funds American Beacon Funds Date: July 5, 2005 A signed original of this written statement required by Section 906 has been provided to American Beacon Funds and will be retained by American Beacon Funds and furnished to the Securities and Exchange Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----