-----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, SlUGvK/cEeSWrYY3gHXUTjyFtuJ5xr9YIUMNcpSx/0Xtk6xxsoKYkDlwS+ilj31N xydg4OknkHqozWVjDU333A== 0000809593-07-000032.txt : 20070703 0000809593-07-000032.hdr.sgml : 20070703 20070703170828 ACCESSION NUMBER: 0000809593-07-000032 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20070430 FILED AS OF DATE: 20070703 DATE AS OF CHANGE: 20070703 EFFECTIVENESS DATE: 20070703 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: 07961693 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 0000809593 S000000718 American Beacon Balanced Fund C000002089 Institutional Class AADBX C000002090 PlanAhead Class AABPX C000002091 AMR Class AABNX C000004802 Service Class ABLSX 0000809593 S000001091 American Beacon Large Cap Value Fund C000002969 Institutional Class AADEX C000002970 PlanAhead Class AAGPX C000002971 AMR Class AAGAX C000004803 Service Class AVASX 0000809593 S000001092 American Beacon Large Cap Growth Fund C000002972 Institutional Class ALCGX C000002973 AMR Class ALFIX 0000809593 S000001818 American Beacon Small Cap Value Fund C000004768 Institutional Class AVFIX C000004769 PlanAhead Class AVPAX C000004770 Service Class AASSX C000004771 AMR Class AASVX 0000809593 S000001819 American Beacon Mid-Cap Value Fund C000004772 AMR Class AMDIX C000011075 Institutional Class AACIX C000033163 PlanAhead Class AMPAX 0000809593 S000001821 American Beacon Enhanced Income Fund C000004774 PlanAhead Class AANPX 0000809593 S000001825 American Beacon International Equity Fund C000004784 Institutional Class AAIEX C000004785 PlanAhead Class AAIPX C000004786 Service Class AAISX C000004787 AMR Class AAIAX 0000809593 S000001826 American Beacon Emerging Markets Fund C000004788 Institutional Class AEMFX C000004789 PlanAhead Class AAEPX C000004790 AMR Class AAMRX 0000809593 S000001830 American Beacon High Yield Bond Fund C000004795 Institutional Class AYBFX C000004796 PlanAhead Class AHYPX 0000809593 S000001831 American Beacon Intermediate Bond Fund C000004798 Institutional Class AABDX 0000809593 S000001832 American Beacon Short-Term Bond Fund C000004800 Institutional Class AASBX C000004801 PlanAhead Class AALPX 0000809593 S000012473 American Beacon Small Cap Value Opportunity Fund C000033910 Institutional Class ASOIX C000033911 PlanAhead Class ASOPX N-CSRS 1 ncsr0407.txt AMBEACON NCSR APRIL 2007 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, 2007 Date of reporting period: April 30, 2007 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 (SM) LOGO) Semi-Annual Report April 30, 2007 INTERNATIONAL EQUITY FUND 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 ...................................... Back Cover
Any opinions herein, including forecasts, reflect our judgment 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. 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. American Beacon Funds April 30, 2007 FELLOW SHAREHOLDERS, [PHOTO OF DOUGLAS G. HERRING] I am pleased to present to you the American Beacon International Equity Fund Semi-Annual Report for the six months ended April 30, 2007. Developed foreign markets had a positive six months. Strong world economies, and a weaker U.S. Dollar when compared to the Euro, helped the developed foreign markets exceed the returns of U.S. equity markets during this fiscal period. The MSCI EAFE Index reported a return of 15.46% for the last six months, beating the S&P 500 and Dow Jones Industrial Average indices returns of 8.60% and 9.40%, respectively. The American Beacon International Equity Fund-Institutional Class reported a total return of 13.66% for this six-month period. Please review the enclosed market overview, 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 to access your account information, please visit our website at www.americanbeaconfunds.com. Thank you for your continued confidence in the American Beacon International Equity Fund. Sincerely, /s/ Douglas G. Herring ---------------------------- Douglas G. Herring President American Beacon Funds 1 INTERNATIONAL EQUITY MARKET OVERVIEW April 30, 2007 (Unaudited) Surplus savings in the large and rapidly growing emerging countries has added to the global surge in liquidity. The ongoing huge U.S. current account deficit plays a major role in supporting the growth in investable funds. Asian central banks have spent the past several years attempting to keep their domestic currencies highly competitive through accumulating enormous U.S. dollar reserves, often held in U.S. Treasuries. This intervention by non-U.S. central banks protracts the liquidity boom, increasing the money base of the intervening countries, reducing global borrowing costs, and suppressing domestic interest rates. In this six-month period, in response to a shift in economic growth, the U.S. dollar and Japanese yen depreciated versus the Euro, the Australian dollar, and the British pound. The world economy remains in a low-inflation expansion phase. This benign inflation environment appears more structural than cyclical, reflecting the massive supply-side benefits of globalization, and technological and financial innovation, as well as market deregulation. Crude oil prices remained high but volatile, declining to around $50 per barrel in January and recovering to end the period in the mid-to-high $60s. Base metals were up approximately 10% over the period, having significantly rebounded from a large sell-off in December and January. Other non-traded commodities also did well, with iron ore and thermal coal demonstrating significant price appreciation in 2007 annual contracts. U.S. real gross domestic product growth continued to decelerate while Europe, Asia, and emerging countries steamed ahead. The Global Purchasing Managers Index reached a seven-month high in April. Two important developments drove European economic re-acceleration. First was the emergence of improved domestic demand. Ongoing improvement in the Euro zone labor market boosted consumer spending. Second, and related, was the transformation of Germany -- which represents a third of Euro area economic activity -- from regional laggard to leader. German industrial production turned up markedly in the six-month period. In March 2007, the country's trade surplus widened by 30.5% from March 2006. Unemployment rates in the Euro area fell, led by jobless rate declines in France and Germany. In April, Germany's unemployment rate fell to 9.2%, the lowest since August 2001. In March, France's employment rate fell to 8.3%, its lowest rate since 1983. In Britain, money supply growth and inflation likely will lead to further rate increases. Inflation reached 2.8% in February, well above the Bank of England's target. Minutes from the Bank of England's most recent meeting revealed the Bank may adopt a more hawkish policy, potentially hiking rates to 6% by the end of 2007. In the United States, housing activity continued to wane, but consumers remained remarkably resilient. U.S. productivity continued to improve while wage compensation growth remained modest, promoting profit growth in a low inflation environment. Nonetheless, construction deceleration may push the U.S. unemployment rate higher. Japan revisited deflation in February (core consumer prices fell 0.1% year-over-year), a setback in the wake of the Bank of Japan's interest rate hike to 0.50%. Despite the Consumer Price Index slippage, the Japanese economy remained on track for continued above-trend growth. The current post-war economic expansion is the longest on record for Japan. The Japanese economy has maintained annual growth of between 1.9% and 2.4% for the past four fiscal years. Currently, the nation's gross domestic product (GDP) is growing at an annual rate of 2%. At period-end, emerging countries represented 15% of the international equity markets. That percentage is growing rapidly. According to ISI Group, total developing countries' GDP equals approximately 29% of World GDP, approximately the same as the U.S. (28%). Most developing economies are thriving due to 1) free trade, 2) the shifting of their economies towards capitalism, 3) plentiful cash available for investment, and 4) booming commodity prices. This boost to global GDP adds upward pressure on commodity prices and downward pressure on labor costs and finished goods and service prices. It is difficult to predict precisely when or what will ultimately curtail this extraordinary period of economic growth, but it will likely stem from higher short-term rates draining excess liquidity from the system. 2 PERFORMANCE OVERVIEW AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) April 30, 2007 (Unaudited) The Institutional Class of the International Equity Fund returned 13.66% for the six months ended April 30, 2007. The Fund underperformed the MSCI EAFE Index ("Index") return of 15.46% and the Lipper International Funds Index return of 15.14% for the period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 ------------------------ 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- -------- ------- -------- Institutional Class(1,4) ................. 13.66% 18.01% 16.52% 10.81% PlanAhead Class(1,4) ................. 13.54% 17.74% 16.34% 10.57% Service Class(1,2,4) ....... 13.37% 17.43% 16.07% 10.45% AMR Class(1) ............... 13.85% 18.32% 16.81% 11.10% Lipper Int'l. Funds Index(3) ................... 15.14% 18.06% 16.19% 9.29% MSCI EAFE Index (3) ........ 15.46% 19.81% 16.64% 8.72%
* 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 current performance may be lower or higher than the performance data quoted. 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 4/30/97 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 4/30/97. A portion of the fees changed to the Service Class of the Fund has been waived. Performance prior to waiving fees was lower than the actual returns shown. 3. The Lipper International Funds Index tracks the results of the 30 largest mutual funds in the Lipper International Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. 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. 4. The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, PlanAhead, Service and AMR Class shares was 0.72%, 0.97%, 1.20% and 0.46%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. The Fund underperformed the Index by 1.80% over the six-month period due to stock selection, somewhat offset by value added from country allocation. Country allocation benefited the Fund, primarily through an underweight position in Japan, the worst-performing market in the Index for the period, with a gain of approximately 5%. Relative to the Index, value was also added by overweighting Germany and the Netherlands (each returning over 25%), and France (up nearly 20%). Although stock selection had a significantly positive impact in the United Kingdom and Denmark, it was more than offset by negative stock selections in Japan, Singapore, and Norway. Financial stocks in Japan and Singapore detracted from performance, specifically Sumitomo Mitsui Financial Group (down 19.1%), Mitsubishi Tokyo Financial Group (down 16.3%), and Mitsui Trust Holdings (down 22.1%) in Japan, and Development Bank of Singapore Group Holdings (up 9.1%) in Singapore. Investment in the Telecommunications stock, Telenor ASA (up 18.5%), hurt performance in Norway. In the U.K., five stocks in the Consumer Discretionary and Consumer Staples sectors each returned over 30%, while Vestas Wind Systems (up 133.4%) added value in Denmark. Although economic and market conditions vary from period to period, the Fund's primary strategy of investing in undervalued companies with above-average earnings growth expectations remains consistent. 3 PERFORMANCE OVERVIEW AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) April 30, 2007 (Unaudited) TOP TEN HOLDINGS
% OF NET ASSETS ---------- Sanofi-Aventis 2.5% Deutsche Post AG 2.2% Siemens AG 2.0% GlaxoSmithKline plc 1.9% BP plc 1.8% Vodafone Group plc 1.8% BAE Systems plc 1.8% France Telecom S.A. 1.7% Novartis AG 1.7% BNP Paribas 1.6%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials 27.4% Consumer Discretionary 14.5% Industrials 12.0% Health Care 8.3% Energy 8.1% Telecommunications Services 8.1% Consumer Staples 6.3% Information Technology 5.8% Materials 5.3% Utilities 4.2%
REGIONAL ALLOCATION* [PIE CHART] 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, 2006 through April 30, 2007. 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. 4 FUND EXPENSES AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) April 30, 2007 (Unaudited) 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, 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.
EXPENSES BEGINNING ENDING PAID DURING ACCOUNT ACCOUNT PERIOD* VALUE VALUE 11/1/06- 11/1/06 4/30/07 4/30/07 --------- --------- ----------- INSTITUTIONAL CLASS Actual $1,000.00 $1,136.63 $3.57 Hypothetical $1,000.00 $1,021.45 $3.38 (5% return before expenses) PLANAHEAD CLASS Actual $1,000.00 $1,135.40 $4.90 Hypothetical $1,000.00 $1,020.21 $4.64 (5% return before expenses) SERVICE CLASS Actual $1,000.00 $1,133.71 $5.74 Hypothetical $1,000.00 $1,019.42 $5.43 (5% return before expenses) AMR CLASS Actual $1,000.00 $1,138.49 $2.20 Hypothetical $1,000.00 $1,022.74 $2.08 (5% return before expenses)
* Expenses are equal to the Fund's annualized expense ratios for the six-month period of 0.67%, 0.93%, 1.08%, 0.41%, 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 SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) AUSTRALIA - 1.36% COMMON STOCKS - 1.36% Alumina Ltd. + ........................... 732,248 $ 4,315 Commonwealth Bank of Australia ........... 208,440 9,096 Macquarie Airports Management Ltd. ....... 576,734 1,897 National Australia Bank Ltd. ............. 342,730 12,185 News Corp. ............................... 182,280 4,081 Suncorp-Metway Ltd. ...................... 744,730 13,198 --------- TOTAL AUSTRALIA ............................ 44,772 --------- AUSTRIA - 0.12% COMMON STOCKS - 0.12% Telekom Austria AG ## .................... 135,600 3,824 --------- BERMUDA - 0.01% COMMON STOCKS - 0.01% Ship Finance International Ltd. .......... 14,774 439 --------- CANADA - 1.09% COMMON STOCKS - 1.09% Alcan, Inc. ## .......................... 78,471 4,620 BCE, Inc. ................................ 40,544 1,366 Celestica, Inc. ## ....................... 556,300 3,724 Husky Energy, Inc. ....................... 69,080 5,269 Jean Coutu Group, Inc. ................... 371,200 5,017 Manulife Financial Corp. ................. 436,196 15,763 --------- TOTAL CANADA ............................... 35,759 --------- DENMARK - 0.28% COMMON STOCKS - 0.28% Vestas Wind Systems ## ................... 141,526 9,140 --------- FINLAND - 2.23% COMMON STOCKS - 2.23% Fortum Espoo Oyj ## + .................... 440,800 13,616 Nokia Oyj ## + ........................... 1,287,640 32,551 Stora Enso Oyj ## + ...................... 213,542 3,898 Stora Enso Oyj, A Shares ## .............. 68,102 1,247 Stora Enso Oyj, R Shares ................. 650,269 11,894 UPM-Kymmene Oyj .......................... 410,300 10,106 --------- TOTAL FINLAND .............................. 73,312 --------- FRANCE - 12.63% COMMON STOCKS - 12.63% Accor S.A. ............................... 202,552 19,031 AXA S.A. ................................. 924,118 42,240 BNP Paribas .............................. 446,825 51,713 Compagnie Generale des Etablissements Michelin .............................. 116,670 $ 14,808 Electricite de France .................... 117,492 10,183 France Telecom S.A. ...................... 1,912,744 55,759 Lafarge S.A. ............................. 55,862 9,034 L'Air Liquide S.A. ## .................... 25,030 6,204 Publicis Groupe S.A. ## .................. 313,589 14,918 Sanofi-Aventis ........................... 902,365 82,862 Suez S.A. + .............................. 177,280 10,057 Technip + ................................ 257,536 19,006 Thomson S.A. ## .......................... 283,700 5,479 Total S.A. ............................... 661,086 48,809 Vinci S.A. ............................... 157,311 25,236 --------- TOTAL FRANCE .................................. 415,339 --------- GERMANY - 10.99% COMMON STOCKS - 10.99% adidas AG ## ............................. 402,800 24,047 Allianz AG ## + .......................... 39,202 8,893 BASF AG + ................................ 39,970 4,743 Bayer AG + ............................... 216,425 14,831 Bayerische Motoren Werke AG + ............ 355,081 21,927 Celesio AG ## + .......................... 260,090 18,650 Commerzbank AG ## ........................ 138,175 6,914 Continental AG ## + ...................... 79,000 11,019 DaimlerChrysler AG ## .................... 322,800 26,293 Deutsche Post AG ......................... 2,136,626 73,752 Deutsche Telekom ## + .................... 616,040 11,227 E.ON AG + ................................ 313,340 47,165 Infineon Technologies AG ## .............. 527,250 8,222 Karstadt Quelle AG ## + .................. 230,102 8,891 Muenchener Rueckversicherung-Gesellschaft AG + ... 47,997 8,528 Siemens AG ............................... 547,932 66,170 --------- TOTAL GERMANY ................................. 361,272 --------- GREECE - 0.74% COMMON STOCKS - 0.74% National Bank of Greece S.A. ## .......... 232,600 12,974 Public Power Corp. S.A. .................. 439,810 11,502 --------- TOTAL GREECE .................................. 24,476 --------- HONG KONG/CHINA - 2.23% COMMON STOCKS - 2.23% Cheung Kong Holdings Ltd. ................ 835,500 10,848 CNOOC Ltd. ............................... 14,077,000 12,106 Hang Lung Group Ltd. ..................... 2,451,000 9,408 Henderson Land Development Co. Ltd. ...... 2,078,200 12,445 Hutchison Whampoa Ltd. ................... 199,000 1,916
See accompanying notes 6 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE --------- --------- (DOLLARS IN THOUSANDS) PetroChina Co. Ltd. ..................... 7,863,905 $ 8,828 Swire Pacific Ltd. ...................... 957,100 10,942 Yue Yuen Industrial (Holdings) Ltd. ..... 1,937,667 6,706 -------- TOTAL HONG KONG/CHINA ................... 73,199 -------- IRELAND - 2.29% COMMON STOCKS - 2.29% Allied Irish Banks ...................... 445,132 13,433 Bank of Ireland ......................... 844,910 18,215 CRH plc ................................. 669,148 29,268 Depfa Bank plc .......................... 607,152 11,295 Smurfit Kappa Group plc ## .............. 110,100 3,005 -------- TOTAL IRELAND ........................... 75,216 -------- ITALY - 2.96% COMMON STOCKS - 2.96% Banco Popolare di Verona e Novara Scrl .. 314,308 10,476 Eni S.p.A ............................... 677,591 22,484 Mediaset S.p.A. ## ...................... 1,543,214 17,436 Telecom Italia S.p.A. ................... 1,392,689 4,182 UniCredito Italiano S.p.A. .............. 4,171,263 42,756 -------- TOTAL ITALY ............................. 97,334 -------- JAPAN - 12.12% COMMON STOCKS - 12.12% Aeon Co. Ltd. ........................... 618,100 11,317 Astellas Pharma, Inc. ................... 334,900 14,615 Daito Trust Construction Co., Ltd. ...... 202,500 9,306 East Japan Railway Co. .................. 934 7,569 FUJIFILM Holdings Corp. ................. 114,400 4,691 Hitachi Ltd. ............................ 685,500 5,207 Honda Motor Co. Ltd. .................... 560,900 19,305 Hoya Corp. .............................. 231,700 7,112 JS Group Corp. .......................... 337,900 7,631 Kao Corp. ............................... 111,600 3,064 Keyence Corp. ........................... 49,500 11,017 Konica Minolta Holdings, Inc. ........... 499,500 6,848 LAWSON, Inc. ............................ 171,000 6,303 Mitsubishi Tokyo Financial Group, Inc. .. 1,833 19,163 Mitsui Trust Holdings, Inc. ............. 1,138,400 10,309 NEC Corp. ............................... 417,300 2,212 Nidec Corp. ............................. 148,800 9,414 Nintendo Co. Ltd. ....................... 20,500 6,378 Nippon Express Co. Ltd. ................. 1,933,700 11,982 Nippon Paper Group, Inc. ................ 3,240 10,969 Nissan Motor Co. Ltd. ................... 1,766,700 17,825 NOK Corp. ............................... 626,600 11,647 Nomura Holdings, Inc. ................... 537,400 10,350 Ricoh Co. Ltd. .......................... 355,500 7,796 ROHM Co. Ltd. ........................... 149,000 $ 13,412 Sankyo Co. Ltd. ......................... 184,300 8,077 Sega Sammy Holdings, Inc. + ............. 306,800 6,930 Sekisui House Ltd. ...................... 860,600 12,721 SFCG Co. Ltd. + ......................... 25,465 4,478 Sompo Japan Insurance, Inc. ............. 376,900 4,610 Sony Corp. .............................. 108,402 5,774 Sumitomo Mitsui Financial Group, Inc. ... 3,397 29,723 Sumitomo Trust and Banking Co. Ltd. ..... 1,280,700 12,505 Takeda Pharmaceutical Co. Ltd. .......... 409,400 26,538 THK Co. Ltd. ............................ 336,000 8,210 Tokyo Gas Co. Ltd. ...................... 2,315,200 11,595 Yamada Denki Co. Ltd. ................... 98,400 9,067 Yamaha Motor Co. Ltd. ................... 487,400 12,875 -------- TOTAL JAPAN ................................. 398,545 -------- MEXICO - 0.22% COMMON STOCKS - 0.22% Telefonos de Mexico, S.A. de C.V., ADR... 214,800 7,333 -------- NETHERLANDS - 4.78% COMMON STOCKS - 4.78% ABN AMRO Holding N.V. + ................. 244,897 11,942 ING Groep N.V. .......................... 816,512 37,065 Koninklijke (Royal) Philips Electronics N.V. ## ................................. 831,116 33,989 Reed Elsevier N.V. ...................... 274,156 5,144 SBM Offshore N.V. ## .................... 273,650 9,766 TNT N.V. ................................ 718,625 32,373 Unilever N.V. ## ........................ 702,250 21,369 Vedior N.V. ## .......................... 209,690 5,558 -------- TOTAL NETHERLANDS ........................... 157,206 -------- NEW ZEALAND - 0.28% COMMON STOCKS - 0.28% Telecom Corporation of New Zealand Ltd. + 2,577,400 9,165 -------- NORWAY - 1.18% COMMON STOCKS - 1.18% Aker Kvaener ASA ## + ................... 178,450 4,211 Frontline Ltd. + ........................ 98,877 3,723 Stolt-Nielsen S.A. ## ................... 277,484 8,429 Telenor ASA + ........................... 1,202,289 22,510 -------- TOTAL NORWAY ................................ 38,873 -------- PORTUGAL - 0.34% COMMON STOCKS - 0.34% Portugal Telecom, SGPS, S.A. ............ 792,250 11,297 --------
See accompanying notes 7 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE --------- ---------- (DOLLARS IN THOUSANDS) SINGAPORE - 1.72% COMMON STOCKS - 1.72% Development Bank of Singapore Group Holdings Ltd. ........................... 1,859,455 $ 25,774 Flextronics International Ltd. ## .......... 899,000 10,024 Singapore Telecommunications Ltd. .......... 9,510,000 20,585 --------- TOTAL SINGAPORE ................................ 56,383 --------- SOUTH KOREA - 2.37% COMMON STOCKS - 2.37% Kookmin Bank, ADR .......................... 213,510 19,178 Korea Electric Power Corp. ................. 86,860 3,516 LG Electronics, Inc. ....................... 76,760 5,127 LG Telecom Ltd. ## ......................... 868,507 9,076 Samsung Electronics Co. Ltd. ............... 38,723 23,712 Samsung Electronics Co. Ltd., GDR ++ ....... 21,600 6,631 Shinhan Financial Group Co. Ltd. ........... 186,970 10,523 --------- TOTAL SOUTH KOREA .............................. 77,763 --------- SPAIN - 2.78% COMMON STOCKS - 2.78% Banco Bilbao Vizcaya Argentaria, S.A. ## ... 691,815 16,478 Banco Popular Espanol S.A .................. 506,100 10,007 Banco Santander Central Hispano S.A ........ 34,750 620 Banco Santander Central Hispano S.A., GDR .. 560,544 9,983 Enagas S.A ................................. 293,628 7,091 Repsol YPF S.A ............................. 273,340 8,970 Telefonica S.A ............................. 1,721,528 38,401 --------- TOTAL SPAIN .................................... 91,550 --------- SWEDEN - 2.15% COMMON STOCKS - 2.15% Atlas Copco AB + ........................... 341,820 12,975 Nordea AB ## ............................... 617,020 10,593 Securitas AB ............................... 381,930 5,807 Securitas Direct AB ## + ................... 381,930 1,193 Securitas Systems AB ## .................... 381,930 1,407 Swedbank AB + .............................. 139,000 5,340 Telefonaktiebolaget LM Ericsson ## ......... 8,764,000 33,411 --------- TOTAL SWEDEN ................................... 70,726 --------- SWITZERLAND - 7.37% COMMON STOCKS - 7.37% Adecco S.A. ................................ 138,320 9,487 Ciba Specialty Chemicals Holding, Inc. ..... 218,330 14,355 Credit Suisse Group ........................ 517,289 40,650 Lonza Group AG + ........................... 53,670 5,222 Nestle S.A. + .............................. 89,704 35,539 Novartis AG ................................ 947,539 $ 55,160 Swiss Reinsurance + ........................ 301,328 28,409 Syngenta AG + .............................. 78,961 15,706 UBS AG + ................................... 144,340 9,355 Zurich Financial Services AG + ............. 98,462 28,509 --------- TOTAL SWITZERLAND .............................. 242,392 --------- UNITED KINGDOM - 22.57% COMMON STOCKS - 22.57% AMVESCAP plc ............................... 339,930 3,984 Aviva plc .................................. 1,004,212 15,755 BAE Systems plc ............................ 6,409,757 58,174 BP plc ..................................... 5,366,421 60,296 British American Tobacco Industries plc .... 1,301,664 40,169 British Sky Broadcasting Group plc ......... 914,390 10,472 Cadbury Schweppes plc ...................... 827,350 10,915 Centrica plc ............................... 1,556,990 11,996 Compass Group plc .......................... 3,307,635 23,932 Debenhams plc ## ........................... 5,038,636 14,445 Diageo plc ................................. 817,743 17,246 Friends Provident plc ## ................... 1,855,200 6,991 GlaxoSmithKline plc ........................ 2,147,447 62,134 HBOS plc ................................... 787,224 16,897 HSBC Holdings plc .......................... 2,454,741 45,170 Imperial Tobacco Group plc ................. 285,740 12,379 Kingfisher plc ............................. 3,605,755 19,487 Lloyds TSB Group plc ## .................... 1,085,400 12,516 Marks and Spencer Group plc ................ 571,079 8,428 National Grid plc .......................... 1,019,178 15,946 Northern Rock plc ## ....................... 518,600 11,096 Old Mutual ................................. 3,488,299 12,385 Pearson plc ## ............................. 512,020 8,754 Reckitt Benckiser plc ## ................... 275,700 15,108 Rio Tinto plc ## ........................... 264,493 16,124 Rolls-Royce Group plc ...................... 65,289,910 10,492 Royal Bank of Scotland Group plc ........... 1,225,942 46,914 Royal Dutch Shell plc, ADR + ............... 31,660 2,196 Royal Dutch Shell plc, A Shares + .......... 512,094 17,911 Royal Dutch Shell plc, B Shares ............ 655,174 23,216 Smiths Group plc ........................... 438,030 9,466 Standard Chartered plc ..................... 177,350 5,498 TI Automotive Ltd. ## # .................... 655,200 -- Unilever plc ............................... 934,080 29,235 Vodafone Group plc ## ...................... 20,565,970 58,543 Yell Group plc ............................. 811,330 7,856 --------- TOTAL UNITED KINGDOM ........................... 742,126 ---------
See accompanying notes 8 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) SHORT TERM INVESTMENTS - 4.24% American Beacon Money Market Select Fund ### ............................. 139,532,346 $ 139,532 ----------- SECURITIES LENDING COLLATERAL - 12.53% American Beacon Cash Plus Trust ### .. 117,900,000 117,900 American Beacon Money Market Select Fund ### .............................. 294,137,929 294,138 ----------- TOTAL SECURITIES LENDING COLLATERAL ......... 412,038 ----------- TOTAL INVESTMENTS 111.58% - (COST $2,784,018) 3,669,011 LIABILITIES, NET OF OTHER ASSETS - (11.58%) (380,668) ----------- TOTAL NET ASSETS - 100.00% .................. $ 3,288,343 ===========
Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ 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 $6,631 or 0.20% of net assets. The Fund has no right to demand registration of these securities. # Valued at fair value pursuant to procedures approved by the Board of Trustees. ### The Fund/Trust is affiliated by having the same investment advisor. See accompanying notes 9 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ CONTRACTS DATE VALUE (DEPRECIATION) --------- ---------- ---------- -------------- Australia SPI Index .......... 81 Jun 2007 $ 10,406 $ 303 Canada S&PCDA 60 Index ....... 91 Jun 2007 12,641 140 France CAC 40 Index .......... 224 Jun 2007 17,916 1,040 Germany DAX Index ............ 55 Jun 2007 13,983 965 Hang Seng Index .............. 23 May 2007 2,955 (47) Italy MIB 30 Index ........... 23 Jun 2007 6,766 419 Netherlands 200 AEX Index .... 44 May 2007 6,369 40 Spain IBEX 35 Index .......... 36 May 2007 7,019 (275) Sweden OMX Index ............. 250 May 2007 4,750 56 Tokyo FE TOPIX Index ......... 240 Jun 2007 34,141 65 UK FTSE 100 Index ............ 307 Jun 2007 39,707 1,316 ---------- ---------- $ 156,653 $ 4,022 ========== ==========
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (DOLLARS IN THOUSANDS)
SETTLEMENT MARKET UNREALIZED DATE VALUE GAIN/(LOSS) ---------- -------- ---------- CONTRACTS TO DELIVER 5,032 Australian Dollar ........... 6/15/2007 $ 4,174 $ (94) 5,873 Canadian Dollar ............. 6/15/2007 5,299 (212) 14,649 Euro Currency ............... 6/15/2007 20,027 (341) 1,836,800 Japanese Yen ................ 6/15/2007 15,467 255 8,306 Pound Sterling .............. 6/15/2007 16,605 (313) 12,833 Swedish Krona ............... 6/15/2007 1,920 (57) 6,279 Swiss Franc ................. 6/15/2007 5,220 1 TOTAL CONTRACTS TO DELIVER ---------- ---------- (RECEIVABLE AMOUNT $ 67,951) ............. $ 68,712 $ (761) ---------- ---------- CONTRACTS TO RECEIVE 13,206 Australian Dollar ........... 6/15/2007 $ 10,955 $ 493 16,370 Canadian Dollar ............. 6/15/2007 14,734 639 12,943 Euro Currency ............... 6/15/2007 55,346 1,589 5,433,987 Japanese Yen ................ 6/15/2007 45,756 (754) 23,944 Pound Sterling .............. 6/15/2007 47,868 1,276 33,346 Swedish Krona ............... 6/15/2007 4,990 216 18,561 Swiss Franc ................. 6/15/2007 15,429 179 TOTAL CONTRACTS TO RECEIVE ---------- ---------- (PAYABLE AMOUNT $191,440) ............... $ 195,078 $ 3,638 ---------- ---------- NET CURRENCY FLUCTUATION ................. $ 2,877 ==========
See accompanying notes 10 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) SECTOR DIVERSIFICATION
Percent of Net Assets ---------- Consumer Discretionary ................... 13.72% Consumer Staples ......................... 5.97% Energy ................................... 7.68% Financials ............................... 25.97% Health Care .............................. 7.91% Industrials .............................. 11.39% Information Technology ................... 5.50% Materials ................................ 5.04% Telecommunication Services ............... 7.70% Utilities ................................ 3.93% Short Term Investments ................... 16.77% Liabilities, Net of Other Assets ......... (11.58)% ------ 100.00% ======
See accompanying notes 11 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF ASSETS AND LIABILITIES April 30, 2007 (Unaudited) (in thousands, except share and per share amounts) ASSETS: Investments in unaffiliated securities, at value A C .............................................. $ 3,117,441 Investments in affiliated securities, at value B .................................................. 551,570 Foreign currency, at value D ...................................................................... 3,649 Deposit with brokers for futures contracts ........................................................ 17,647 Receivable for investments sold ................................................................... 14,131 Dividends and interest receivable ................................................................. 19,032 Receivable for fund shares sold ................................................................... 3,420 Receivable for tax reclaims ....................................................................... 1,478 Receivable for variation margin on open futures contracts ......................................... 189 Net unrealized appreciation on foreign currency contracts ......................................... 2,877 Prepaid expenses .................................................................................. 77 ------------- TOTAL ASSETS .................................................................................... 3,731,511 ------------- LIABILITIES: Payable for investments purchased ................................................................. 18,704 Payable upon return of securities loaned .......................................................... 412,038 Payable for fund shares redeemed .................................................................. 8,523 Payable under excess expense reimbursement plan ................................................... 2 Management and investment advisory fees payable (Note 2) .......................................... 2,793 Administrative service and service fees payable ................................................... 701 Other liabilities ................................................................................. 407 ------------- TOTAL LIABILITIES ............................................................................... 443,168 ------------- NET ASSETS ........................................................................................... $ 3,288,343 ============= ANALYSIS OF NET ASSETS: Paid-in-capital ................................................................................... 2,208,278 Undistributed net investment income ............................................................... 17,403 Accumulated net realized gain ..................................................................... 169,909 Unrealized appreciation of investments, futures contracts, and foreign currency ................... 892,753 ------------- NET ASSETS ........................................................................................... $ 3,288,343 ============= SHARES OUTSTANDING (NO PAR VALUE): Institutional Class ............................................................................... 65,057,424 ============= PlanAhead Class ................................................................................... 37,066,730 ============= Service Class ..................................................................................... 195,363 ============= AMR Class ......................................................................................... 26,587,540 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class ............................................................................... $ 25.55 ============= PlanAhead Class ................................................................................... $ 25.28 ============= Service Class ..................................................................................... $ 25.16 ============= AMR Class ......................................................................................... $ 25.73 ============= - ---------- A Cost of investments in unaffiliated securities ..................................................... $ 2,232,448 B Cost of investments in affiliated securities ....................................................... $ 551,570 C Market value of securities on loan ................................................................. $ 392,240 D Cost of foreign currency ........................................................................... $ 3,633
See accompanying notes 12 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF OPERATIONS Six Months Ended April 30, 2007 (Unaudited)(in thousands) INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes)* .............................. $ 37,254 Dividend income from affiliated securities ........................................................ 3,122 Interest income ................................................................................... 211 Income derived from securities lending, net ....................................................... 553 Other income ...................................................................................... 5 --------- TOTAL INVESTMENT INCOME ...................................................................... 41,145 --------- EXPENSES: Management and investment advisory fees (Note 2) .................................................. 5,268 Administrative service fees (Note 2): Institutional Class ............................................................................. 2,001 PlanAhead Class ................................................................................. 1,064 Service Class ................................................................................... 6 Transfer agent fees: Institutional Class ............................................................................. 82 PlanAhead Class ................................................................................. 52 AMR Class ....................................................................................... 6 Custody and fund accounting fees .................................................................. 768 Professional fees ................................................................................. 33 Registration fees and expenses .................................................................... 38 Service fees: PlanAhead Class (Note 2) ........................................................................ 1,063 Service Class (Note 2) .......................................................................... 6 Distribution fees - Service Class (Note 2) ........................................................ 6 Prospectus and shareholder reports ................................................................ 89 Other expenses .................................................................................... 146 --------- TOTAL EXPENSES ............................................................................... 10,628 --------- Net fees waived and expenses reimbursed by Manager (Note 2) ....................................... (2) --------- NET EXPENSES ................................................................................. 10,626 --------- NET INVESTMENT INCOME ................................................................................ 30,519 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments ..................................................................................... 151,312 Commission recapture (Note 1) ................................................................... 52 Foreign currency transactions ................................................................... 21,683 Futures contracts ............................................................................... 8,475 Change in net unrealized appreciation or depreciation of: Investments 103,585 Foreign currency translations ................................................................... 77,966 Futures contracts ............................................................................... 2,009 --------- NET GAIN ON INVESTMENTS ...................................................................... 365,082 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................................................. $ 395,601 ========= * Foreign taxes ................................................................................... $ 2,750
See accompanying notes 13 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF CHANGES OF NET ASSETS (IN THOUSANDS)
Six Months Year Ended Ended October 31, April 30, 2007 2006 --------------- --------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ................................................................ $ 30,519 $ 66,358 Net realized gain on investments, futures contracts, and foreign currency transactions .................................................................... 181,522 206,379 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations .................................... 183,560 358,875 --------------- ------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............................ 395,601 631,612 --------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ................................................................ (35,921) (25,841) PlanAhead Class .................................................................... (17,074) (10,419) Service Class ...................................................................... (77) (39) AMR Class .......................................................................... (14,335) (10,085) Net realized gain on investments: Institutional Class ................................................................ (109,593) (80,744) PlanAhead Class .................................................................... (56,999) (36,241) Service Class ...................................................................... (313) (195) AMR Class .......................................................................... (39,453) (28,011) --------------- ------------- NET DISTRIBUTIONS TO SHAREHOLDERS (273,765) (191,575) --------------- ------------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares ........................................................ 355,219 548,466 Reinvestment of dividends and distributions .......................................... 259,288 176,178 Cost of shares redeemed .............................................................. (337,001) (574,493) Redemption fees ...................................................................... 211 308 --------------- ------------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ...................... 277,717 150,459 --------------- ------------- NET INCREASE IN NET ASSETS .............................................................. 399,553 590,496 --------------- ------------- NET ASSETS: Beginning of period .................................................................. 2,888,790 2,298,294 --------------- ------------- END OF PERIOD * ...................................................................... $ 3,288,343 $ 2,888,790 =============== ============= *Includes undistributed net investment income of ........................................ $ 17,403 $ 49,187 =============== =============
See accompanying notes 14 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American Beacon Funds (the "Trust") 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, diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon International Equity Fund (the "Fund"), a series of the Trust. American Beacon Advisors, Inc. (the "Manager") 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. Reorganization Prior to March 1, 2006, the Fund invested all of its investable assets in the International Equity Portfolio (the "Portfolio") of the American Beacon Master Trust. At the close of business on February 28, 2006, the Portfolio redeemed (in thousands) $9,583 for cash and $94,585 for securities the investment of the American Independence International Multi-Manager Stock Fund. Upon completion of this transaction, the Fund was the sole shareholder in the Portfolio. Accordingly, on February 28, 2006 the Fund withdrew its interest in the Portfolio. The Fund received a distribution of cash and securities from the Portfolio with a market value equal to the Fund's investment in the Portfolio in the amount of $2,598,672,000 at the close of business. The Portfolio then ceased operations. 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 Administrative Service Fee - 0.25% $2 million PLANAHEAD CLASS General public and investors investing Administrative Service Fee - 0.25% through an intermediary Service Fee - 0.25% SERVICE CLASS Investors investing through an intermediary Administrative Service Fee - 0.25% Service Fee - 0.25% Distribution Fee - 0.25% AMR CLASS Investors in the tax-exempt retirement and benefit plans of AMR Corporation and its affiliates N/A
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 Investments are valued at the close of the New York Stock Exchange (the "Exchange"), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. When a price is unavailable from a pricing service or when the price 15 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) provided by the pricing service is deemed not to represent fair value, the prices of debt securities may be determined using quotes obtained from brokers. Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates market value. Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the 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 that they will, in the judgment of the pricing committee of the Fund, clearly and materially affect the value of securities, the foreign market 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. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund 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, net of foreign taxes, 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. 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. Forward Foreign Currency Contracts The 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. The Fund 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 Fund also bears the credit risk if the counterparty fails to perform under the contract. 16 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) 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 initial margin amount is reflected as a 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. 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. This amount is reported with the net realized gain in the Fund's Statement of Operations. 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 Fund imposes a 2% redemption fee on 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. Through April 30, 2006, the fee was retained by the class that imposed the fee. Effective May 1, 2006, the fee is allocated to all classes of the Fund pro-rata based on their respective net assets. 17 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) Recently Issued Accounting Pronouncements On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" ("FIN 48"). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, the Manager is evaluating the implications of FIN 48 and its potential impact on the financial statements has not yet been determined. In September 2006, the FASB issued Statement on Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The Manager is evaluating the impact of FAS 157; however, it is not expected to have a material impact on the Fund's net assets or results of operations. 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 0.10% 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 Fund. Management fees paid during the six months ended April 30, 2007 were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY FEE RATE FEE ADVISORS MANAGER - ------------- ------------ ------------------ ------------- 0.25%-0.60% $5,268 $3,732 $1,536
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. This fee is netted against securities lending income in the Statement of Operations. During the six months ended April 30, 2007 securities lending fees paid to the Manager were $148,333. 18 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) 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 0.25% 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 Fund, has adopted a "defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under the Act, 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. Investment in Affiliated Funds The Fund is permitted, pursuant to an exemptive order by the Securities and Exchange Commission ("SEC") and procedures approved by the Board, to invest up to 25% of its total assets in the American Beacon Money Market Select Fund (the "Select Fund"). Cash collateral received by the Fund in connection with securities lending may be invested in the Select Fund and the American Beacon Cash Plus Trust (the "Cash Trust") (collectively, the "Affiliated Funds"). The Fund and the Affiliated Funds have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the Affiliated Funds and receives from each Affiliated Fund an annualized fee equal to 0.10% of its average daily net assets. During the six months ended April 30, 2007, the Manager earned fees from the Affiliated Funds totaling $59,295 on the Fund's direct investment in the Affiliated Funds and $60,414 from securities lending collateral invested in the Affiliated Funds. 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 as a borrower. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the six months ended April 30, 2007, the Fund did not utilize the credit facility. 19 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) Expense Reimbursement Plan The Fund has 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 sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. During the six months ended April 30, 2007, there were no additional waived fees or reimbursed expenses for the Service Class. The activity related to repayment of prior year fee waivers and expense reimbursements during the six months ended April 30, 2007 was as follows:
Expiration Liability at Liability at Year 10/31/06 Accrued Expired Recouped 4/30/07 - ---------- ------------ ------- ------- -------- ------------ 2007 2,934 $-- $1,116 $1,818 $ -- 2008 9 -- -- 9 -- 2009 1,956 -- -- -- 1,956 ------ --- ------ ------ ------ $4,899 $-- $1,116 $1,827 $1,956 ====== === ====== ====== ======
Other At April, 2007, AMR Corporation and subsidiary companies and employee benefit trusts thereof owned 21% of the Fund. 3. FEDERAL INCOME AND EXCISETAXES 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 categorized 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 paid during the six months ended April 30, 2007 and the year ended October 31, 2006 were as follows (in thousands):
SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2007 2006 ----------------- ------------- (unaudited) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class ............................................ $ 59,994 $ 42,005 PlanAhead Class ................................................ 29,594 17,674 Service Class .................................................. 146 78 AMR Class ...................................................... 23,001 15,693 LONG-TERM CAPITAL GAIN Institutional Class ............................................ 85,520 64,579 PlanAhead Class ................................................ 44,479 28,986 Service Class .................................................. 244 156 AMR Class ...................................................... 30,787 22,404 -------- -------- TOTAL DISTRIBUTIONS PAID ............................................ $273,765 $191,575 ======== ========
* For tax purposes, short-term capital gains are considered ordinary income distributions. As of April 30, 2007, the components of distributable earnings on a tax basis were as follows (in thousands): 20 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) Cost basis of investments for federal income tax purposes ...................... $2,803,973 Unrealized appreciation ........................................................ 899,608 Unrealized depreciation ........................................................ (34,570) ---------- Net unrealized appreciation/(depreciation) ..................................... 865,038 Undistributed ordinary income .................................................. 49,317 Undistributed long-term gain/(loss) ............................................ 151,358 ---------- Distributable earnings ......................................................... $1,065,713 ==========
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 gain/(losses) on certain derivative instruments, the realization for tax purposes of unrealized gain/(losses) on investments in passive foreign investment companies, and Section 732 basis adjustments. 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 regulations, 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 derived from foreign currency gains/(losses) from sales of investments in passive foreign investment companies, and Section 732 basis adjustments that have been reclassified as of April 30, 2007 (in thousands): Paid-in-capital ................................................................ $(3,242) Undistributed net investment income ............................................ 5,104 Accumulated net realized loss .................................................. (1,861) Unrealized depreciation of investments, futures contracts and foreign currency ....................................................................... (1)
4. INVESTMENT TRANSACTIONS The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the six months ended April 30, 2007 were (in thousands) $622,300 and $633,383, respectively. A summary of the Fund's direct transactions in Affiliated Funds for the six months ended April 30, 2007 is set forth below (in thousands):
OCTOBER 31, 2006 APRIL 30, 2007 AFFILIATE SHARES/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE - --------- ------------------- --------- ----- ------------------- Select Fund $87,487 $532,684 $480,639 $139,532
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 the fair value of the securities loaned and initially in an amount at least equal to 102% of the fair value of domestic securities loaned or 105% of the fair value of international securities loaned. Collateral is marked to market and monitored daily. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent (the "Agent") in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. 21 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) The Fund, the Agent and the Manager retain 75%, 15% and 10%, respectively, of the income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs. 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, the Agent, and the Manager 75%, 15% and 10%, respectively. The Fund 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 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, 2007, securities with a market value of approximately $392,240,000 were loaned by the Fund. Cash collateral held by the custodian for the Fund in an investment in the Affiliated Funds totaled $412,038,000. 6. CAPITAL SHARE TRANSACTIONS The tables below summarize the activity in capital shares for each Class of the Fund (dollars and shares in thousands): Six Months ended April 30, 2007
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- --------------- ------------- --------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------ ------ ------ ------ ------ ------ ------ ------ Shares sold ........................ 5,084 $ 124,530 6,556 $ 159,493 11 $ 277 2,893 $ 70,919 Reinvestment of dividends........... 5,632 133,085 3,079 72,025 17 390 2,264 53,788 Shares redeemed..................... (8,442) (205,216)* (4,154) (100,421)* (28) (688)* (1,224) (30,465)* ------- --------- ------ --------- --- ----- ------ -------- Net increase (decrease) in shares outstanding...................... 2,274 $ 52,399 5,481 $ 131,097 0 $ (21) 3,933 $ 94,242 ====== ========= ====== ========= === ===== ====== ========
Year Ended October 31, 2006
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS -------------------- ---------------- ---------------- ----------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- ------ ------ ------ ------ ------ ------ ------ Shares sold........................ 12,683 $ 284,628 9,650 $ 216,325 69 $1,512 1,997 $ 46,001 Reinvestment of dividends ......... 4,440 92,342 2,207 45,506 11 234 1,823 38,096 Shares redeemed ................... (15,645) (356,972)* (7,248) (162,210)* (29) (657)* (2,379) (54,346)* ------- --------- ------ --------- --- ------ ------ -------- Net increase in shares outstanding...................... 1,478 $ 19,998 4,609 $ 99,621 51 $1,089 1,441 $ 29,751 ======= ========= ====== ========= === ====== ====== ========
- --------- * Net of Redemption Fees 22 AMERICAN BEACON INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period)
Institutional Class -------------------------------------------------------------------------- Six Months Year Ended October 31 Ended April ----------------------------------------------------------- 30, 2007 2006 2005 2004(A) 2003(B) 2002 ----------- ---------- ----------- ---------- -------- -------- (unaudited) Net asset value, beginning of period .............................. $ 24.68 $ 20.98 $ 18.47 $ 15.46 $ 12.10 $ 13.77 ----------- ---------- ----------- ---------- -------- -------- Income from investment operations: Net investment income(C,D) ....... 0.17 0.60 0.44 0.30 0.25 0.21 Net gains (losses) on securities (both realized and unrealized)(C) ................... 3.02 4.86 2.31 3.12 3.47 (1.62) ----------- ---------- ----------- ---------- -------- -------- Total income (loss) from investment operations ............................ 3.19 5.46 2.75 3.42 3.72 (1.41) ----------- ---------- ----------- ---------- -------- -------- Less distributions: Dividends from net investment income .......................... (0.50) (0.43) (0.24) (0.41) (0.36) (0.26) Distributions from net realized gains on securities ..... (1.82) (1.33) - - - - ----------- ---------- ----------- ---------- -------- -------- Total distributions ................... (2.32) (1.76) (0.24) (0.41) (0.36) (0.26) ----------- ---------- ----------- ---------- -------- -------- Redemption fees added to beneficial interest(E) ........................... 0 .00 0.00 0.00 0.00 0.00 - ----------- ---------- ----------- ---------- -------- -------- Net asset value, end of period ........ $ 25.55 $ 24.68 $ 20.98 $ 18.47 $ 15.46 $ 12.10 =========== ========== =========== ========== ======== ======== Total return .......................... 13 .66%(F) 27.49% 15.04% 22.49% 31.61% (10.51)% =========== ========== =========== ========== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) ....................... $ 1,662,478 $1,549,521 $ 1,286,441 $1,029,272 $722,333 $537,476 Ratios to average net assets (annualized): Expenses, net of waivers(C) .... 0.67% 0.71% 0.70% 0.76% 0.79% 0.75% Expenses, before waivers(C) .... 0.67% 0.71% 0.70% 0.76% 0.79% 0.75% Net investment income, net of waivers(C) .................. 1.98% 2.52% 2.17% 1.69% 1.97% 1.56% Net investment income (loss), before waivers(C) ..................... 1.98% 2.52% 2.17% 1.69% 1.97% 1.56% Portfolio turnover rate(G) ....... 21%(F) 40% 37% 36% 44% 43%
- ----------- (A) The Boston Company Asset Management, LLC was added as an investment advisor to the International Equity Fund on September 27, 2004. (B) Independence Investment LLC was removed as an investment advisor to the International Equity Fund on October 24, 2003. (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 Portfolio through February 28, 2006. (D) 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. (E) Amounts represent less than $0.01 per share. (F) Not annualized. (G) The International Equity Fund invested all of its investable assets in the Portfolio through February 28, 2006. Portfolio turnover rate through February 28, 2006 is that of the Portfolio. 23 AMERICAN BEACON INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period)
PlanAhead Class -------------------------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, ----------------------------------------------------------- 2007 2006 2005 2004(A) 2003(B) 2002 ----------- ---------- ----------- ---------- -------- -------- (unaudited) Net asset value, beginning of period ............................. $ 24.42 $ 20.79 $ 18.31 $ 15.34 $ 11 .95 $ 13.58 ----------- ---------- ----------- ---------- -------- -------- Income from investment operations: Net investment income(C,D) ........... 0.14 0.50 0.41 0.26 0 .22 0.15 Net gains (losses) on securities (both realized and unrealized)(C) ....................... 2.99 4.84 2.29 3.08 3 .46 (1.56) ----------- ---------- ----------- ---------- -------- -------- Total income (loss) from investment operations ................. 3.13 5.34 2.70 3.34 3 .68 (1.41) ----------- ---------- ----------- ---------- -------- -------- Less distributions: Dividends from net investment income ............................... (0.45) (0.38) (0.22) (0.37) (0.29) (0.22) Distributions from net realized gains on securities .................. (1.82) (1.33) - - - - ----------- ---------- ----------- ---------- -------- -------- Total distributions ................... (2.27) (1.71) (0.22) (0.37) (0 .29) (0.22) ----------- ---------- ----------- ---------- -------- -------- Redemption fees added to beneficial interest(E) ........................... 0.00 0.00 0.00 0.00 0.00 - ----------- ---------- ----------- ---------- -------- -------- Net asset value, end of period ........ $ 25.28 $ 24.42 $ 20.79 $ 18.31 $ 15.34 $ 11.95 =========== ========== =========== ========== ======== ======== Total return .......................... 13.54%(F) 27.20% 14.73% 22.16% 31.62% (10.57)% =========== ========== =========== ========== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) ....................... $ 936,946 $ 771,298 $ 560,770 $ 310,540 $177,425 $ 99,636 Ratios to average net assets (annualized): Expenses, net of waivers(C) ......... 0.93% 0.96% 0.95% 1.02% 1.10% 1.04% Expenses, before waivers(C) ......... 0.93% 0.96% 0.95% 1.02% 1.10% 1.04% Net investment income, net of waivers(C) ....................... 1.77% 2.25% 1.96% 1.46% 1.68% 1.35% Net investment income (loss), before waivers(C) .......................... 1.77% 2.25% 1.96% 1.46% 1.68% 1.35% Portfolio turnover rate(G) ........... 21%(F) 40% 37% 36% 44% 43%
- ------------ (A) The Boston Company Asset Management, LLC was added as an investment advisor to the International Equity Fund on September 27, 2004. (B) Independence Investment LLC was removed as an investment advisor to the International Equity Fund on October 24, 2003. (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 Portfolio through February 28, 2006. (D) 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. (E) Amounts represent less than $0.01 per share. (F) Not annualized. (G) The International Equity Fund invested all of its investable assets in the Portfolio through February 28, 2006. Portfolio turnover rate through February 28, 2006 is that of the Portfolio. 24 AMERICAN BEACON INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period)
Service Class --------------------------------------------------------- Six Months Ended Year Ended October 31 May 1 to April 30, -------------------------- October 31, 2007 2006 2005 2004(B) 2003(A) ----------- ------ ------- ------- ----------- (unaudited) Net asset value, beginning of period ............................................ $ 24.24 $20.61 $ 18.24 $ 15.31 $ 12.18 ----------- ------ ------- ------- ----------- Income from investment operations: Net investment income(C,D) ..................... 0.15 0.46 0.37 0.30 0.09 Net gains (losses) on securities (both realized and unrealized)(C) .................... 2.94 4.76 2.26 2.99 3.04 ----------- ------ ------- ------- ----------- Total income (loss) from investment operations ........................................ 3.09 5.22 2.63 3.29 3.13 ----------- ------ ------- ------- ----------- Less distributions: Dividends from net investment income ........................................ (0.35) (0.26) (0.26) (0.36) - Distributions from net realized gains on securities ..................................... (1.82) (1.33) - - - ----------- ------ ------- ------- ----------- Total distributions ............................... (2.17) (1.59) (0.26) (0.36) - ----------- ------ ------- ------- ----------- Redemption fees added to beneficial interest(E) ....................................... 0.00 0.00 0.00 0.00 0.00 ----------- ------ ------- ------- ----------- Net asset value, end of period .................... $ 25.16 $24.24 $ 20.61 $ 18.24 $ 15.31 =========== ====== ======= ======= =========== Total return ...................................... 13.37%(F) 26.89% 14.45% 21.88% 25.70% =========== ====== ======= ======= =========== Ratios and supplemental data: Net assets, end of period (in thousands) ..................................... $ 4,915 $4,740 $ 2,987 $ 739 $ 1 Ratios to average net assets (annualized): Expenses, net of waivers(C) .................. 1.08% 1.16% 1.21% 1.27% 1.50% Expenses, before waiversC .................... 1.16% 1.19% 1.21% 6.26% 1,139.08% Net investment income, net of waivers(C) ..... 1.59% 2.09% 1.70% 0.81% 1.33% Net investment income (loss), before(C) ...... 1.51% 2.05% 1.70% (4.18)% (1,136.25)% Portfolio turnover rate(G) ..................... 21%(F) 40% 37% 36% 44%(H)
- -------------- (A) Independence Investment LLC was removed as an investment advisor to the International Equity Fund on October 24, 2003. (B) The Boston Company Asset Management, LLC was added as an investment advisor to the International Equity Fund on September 27, 2004. (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 Portfolio through February 28, 2006. (D) 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. (E) Amounts represent less than $0.01 per share. (F) Not annualized. (G) The International Equity Fund invested all of its investable assets in the Portfolio through February 28, 2006. Portfolio turnover rate through February 28, 2006 is that of the Portfolio. (H) Portfolio turnover rate is for the period from November 1, 2002 through October 31, 2003. 25 AMERICAN BEACON INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period)
AMR Class ----------------------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, --------------------------------------------------------- 2007 2006 2005 2004(A) 2003(B) 2002 --------- --------- --------- --------- --------- --------- (unaudited) Net asset value, beginning of period.................... $ 24.86 $ 21.12 $ 18.58 $ 15.54 $ 12.18 $ 13.86 --------- --------- --------- --------- --------- --------- Income from investment operations: Net investment income(C,D)........................... 0.21 0.63 0.50 0.34 0.29 0.24 Net gains (losses) on securities (both realized and unrealized)(C)....................................... 3.04 4.92 2.33 3.14 3.46 (1.62) --------- --------- --------- --------- --------- --------- Total income (loss) from investment operations.......... 3.25 5.55 2.83 3.48 3.75 (1.38) --------- --------- --------- --------- --------- --------- Less distributions: Dividends from net investment income................. (0.56) (0.48) (0.29) (44.00) (0.39) (0.30) Distributions from net realized gains on securities.. (1.82) (1.33) - - - - --------- --------- --------- --------- --------- --------- Total distributions..................................... (2.38) (1.81) (0.29) (0.44) (0.39) (0.30) --------- --------- --------- --------- --------- --------- Redemption fees added to beneficial interest(E)......... 0.00 0.00 0.00 0.00 0.00 - --------- --------- --------- --------- --------- --------- Net asset value, end of period.......................... $ 25.73 $ 24.86 $ 21.12 $ 18.58 $ 15.54 $ 12.18 ========= ========= ========= ========= ========= ========= Total return............................................ 13.85%(F) 27.88% 15.32% 22.84% 31.77% (10.26)% ========= ========= ========= ========= ========= ========= Ratios and supplemental data: Net assets, end of period (in thousands)............. $ 684,004 $ 563,231 $ 448,096 $ 460,114 $ 322,801 $ 264,579 Ratios to average net assets (annualized): Expenses, net of waivers(C)........................ 0.41% 0.45% 0.44% 0.49% 0.52% 0.49% Expenses, before waivers(C)........................ 0.41% 0.45% 0.44% 0.49% 0.52% 0.49% Net investment income, net of waivers(C)........... 2.30% 2.76% 2.49% 1.97% 2.22% 1.81% Net investment income (loss), before waivers(C).... 2.30% 2.76% 2.49% 1.97% 2.22% 1.81% Portfolio turnover rate(G)........................... 21%(F) 40% 37% 36% 44% 43%
- ---------- (A) The Boston Company Asset Management, LLC was added as an investment advisor to the International Equity Fund on September 27, 2004. (B) Independence Investment LLC was removed as an investment advisor to the International Equity Fund on October 24, 2003. (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 Portfolio through February 28, 2006. (D) 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. (E) Amounts represent less than $0.01 per share. (F) Not annualized. (G) The International Equity Fund invested all of its investable assets in the Portfolio through February 28, 2006. Portfolio turnover rate through February 28, 2006 is that of the Portfolio. 26 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND (UNAUDITED) In prior years, the Board of Trustees ("Board" or "Trustees") typically has considered the annual renewal of the existing Management Agreement between American Beacon Advisors, Inc. (the "Manager") and the American Beacon Funds (the "Trust"), on behalf of the International Equity Fund (the "Fund"), and each Investment Advisory Agreement between the Manager and a sub-advisor at the Board meeting held in the first quarter of each year. At the November 15, 2006 meeting, the Board decided to conduct these annual renewals at their second quarter meeting each year to enable the Trustees to consider more year-end data in their deliberations. At the March 8, 2007 Board meeting, the Board considered renewal of the Management and Investment Advisory Agreements on an interim basis until the Board meeting scheduled for the second quarter, at which meeting the Board would perform a comprehensive review of factors relevant to an annual renewal. In connection with the interim renewal, the Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager. Further, the Board took into consideration information furnished for the Board's review and consideration throughout the year at regular Board and Investment Committee meetings. The Trustees considered, among other materials, responses by the Manager to inquiries requesting: - an explanation, if applicable, of any deterioration in longer-term performance by the Fund or sub-advisor since the last contract renewal and any remedial measures the Manager has taken or intends to take; - the Manager's and each sub-advisor's fee rate schedule for the Fund and whether the Manager intends to continue any current fee waivers or reimbursements; - an explanation of any significant change in the Fund's expense ratio since the last contract renewal and any actions the Manager has taken or intends to take; - a description of any significant changes (actual or anticipated) to personnel and the reasons for such changes; - a discussion of any material developments at the Fund's sub-advisors relevant to the Fund; - a discussion of any material compliance problems encountered by the Manager or the sub-advisors and remedial actions; - 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; - information regarding material changes to the Manager's and sub-advisors' codes of ethics and insider trading policies; and - any material changes to the Manager's or sub-advisors' information provided in connection with the last annual contract renewal. The Trustees also received a memorandum from their legal counsel detailing the Board's 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. Provided below is an overview of the primary factors the Board considered at its March 2007 meeting. The Board did not identify any particular information that was most relevant to its consideration to renew the Management and Investment Advisory Agreements, and each Trustee may have afforded different weight to the various factors. The Board determined that certain factors typically considered in connection with an annual renewal were not material with respect to an interim renewal. As such, the following factors were not considered by the Board and were deferred to the next regular Board meeting to be considered in connection with the annual renewal: - the profits realized by the Manager and the sub-advisors and their affiliates from their relationship with the Fund; - the extent to which economies of scale may be realized as the Fund grows; - whether the level of fees reflects those economies of scale for the benefit of the Fund's investors; 27 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND (UNAUDITED) - comparisons of services and fees with contracts entered into by the Manager and a sub-advisor or their affiliates with other clients (such as pension funds and other institutional investors); and - ancillary benefits to be realized by the Manager and the sub-advisors as a result of the relationship with the Fund. In determining whether to renew the Management and Investment Advisory Agreements on an interim basis, the Trustees considered the best interests of the Fund. The following considerations and conclusions are applicable to the Fund. Cost of Services. The Board considered that the fee rate schedules for the Manager and each sub-advisor had not changed since the last contract renewal. The Board considered that, in many cases, the Manager has negotiated the lowest sub-advisory fee a sub-advisor charges for any comparable client accounts. In determining whether to renew the Investment Advisory Agreements, the Board considered that 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 where applicable. Thus, the Fund is able to receive additional break point benefits resulting from the sub-advisor's management of a larger pool of assets. Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Trustees considered that the Manager continues to provide high-quality services to the Fund at a low cost to investors and provides a comprehensive compliance program for the Fund. Additionally, the Manager allocates the assets of the Fund among the Fund's sub-advisors, and monitors and evaluates the performance of the sub-advisors. Based on this information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each sub-advisor were appropriate for the Fund and, thus, supported a decision to renew the Management and each Investment Advisory Agreement on an interim basis. Investment Performance. The Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also considered information provided by the Manager regarding significant deterioration in the Fund's or sub-advisor's longer-term performance as a result of significant underperformance for the 2006 calendar year. In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreements with Lazard Asset Management, LLC ("Lazard") and The Boston Company Asset Management, LLC ("TBCAM"), the Trustees considered that Lazard and TBCAM underperformed each sub-advisor's respective benchmark index for the 2006 calendar year, but that the Fund's overall performance exceeded that of its Lipper Index. The other sub-advisors to the Fund outperformed their respective benchmark indexes for the 2006 calendar year. Based on these considerations and those noted above, the Trustees determined that the Fund and its shareholders would benefit from the Manager's and the sub-advisors' continued management of the Fund until the next regular Board meeting and approved the renewal of the Agreements on an interim basis until the next regular Board meeting. 28 (This page intentionally left blank) (AMERICAN BEACON FUNDS (SM) 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: (E-MAIL LOGO) BY E-MAIL: american_beacon.funds@ambeacon.com (E-MAIL LOGO) ON THE INTERNET: Visit our website at www.americanbeaconfunds.com (E-MAIL LOGO) BY TELEPHONE: Institutional Class Call (800) 658-5811 AMR Class(SM) Call (800) 345-2345 PlanAhead Class(R) and Service Class Call (800) 388-3344 (E-MAIL LOGO) BY MAIL: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission ("SEC") on Form N-Q as of the first and third fiscal quarters. The Fund's Forms N-Q are available on the SEC's website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC's Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. A complete 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 month. AVAILABILITY OF PROXY VOTING POLICY AND RECORDS A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund's Statement of Additional Information, is available free of charge on the Fund's website (www.americanbeaconfunds.com) and by calling 1-800-967-9009 or by accessing the SEC's website at www.sec.gov. The Fund's proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund's Forms N-PX are available on the SEC's website at www.sec.gov. The Fund's proxy voting record may also be obtained by calling 1-800-967-9009. FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED DISTRIBUTOR STATE STREET BANK AND BOSTON FINANCIAL DATA PUBLIC ACCOUNTING FORESIDE FUND SERVICES TRUST SERVICES FIRM Portland, Maine Boston, Massachusetts Kansas City, Missouri ERNST & YOUNG LLP Dallas, Texas
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. 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 (SM) LOGO) Semi-Annual Report April 30, 2007 LARGE CAP VALUE FUND 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............................... 7 Additional Information................................ Back Cover
Any opinions herein, including forecasts, reflect our judgment 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, 2007 (PHOTO OF DOUGLAS G. HERRING) FELLOW SHAREHOLDERS, I am pleased to present to you the American Beacon Large Cap Value Fund Semi-Annual Report for the six months ended April 30, 2007. Despite rising oil prices, a slump in housing and a slowing economy, the U.S. equity markets still finished the last six months with positive returns. This was helped in large part by stronger than expected corporate profits. The S&P 500 and Dow Jones Industrial Average indices reported returns of 8.60% and 9.40%, respectively, for this period. The American Beacon Large Cap Value Fund-Institutional Class reported a total return of 10.09% for this six-month period. The Fund's performance continued to exceed that of the Lipper Large Cap Value Funds Index. Please review the enclosed market overview, 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 to access your account information, please visit our website at www.americanbeaconfunds.com. Thank you for your continued confidence in the American Beacon Large Cap Value Fund. Sincerely, /s/ Douglas G. Herring ------------------------------------- Douglas G. Herring President American Beacon Funds 1 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) Following strong earnings growth and solid equity returns last year, equity markets got off to a rocky start in 2007. Investors were suddenly forced to deal with slower earnings growth, the return of volatility and the sub-prime mortgage fallout. There was no shortage of concerns for the market in the first quarter, though it is often said that the market climbs a "wall of worry." - - ECONOMIC SLOWDOWN -- After enjoying 4-5% Gross Domestic Product ("GDP") growth for several years, investors had to come to grips with sub-3% economic growth forecasts for 2007. - - SLOWING EARNINGS GROWTH -- After 14 consecutive quarters of double-digit growth, S&P 500 operating earnings were expected to slow markedly. For 2007, earnings growth estimates of 6-7% are back-end loaded with nearly one-half the year's growth expected in the fourth quarter. - - SUB-PRIME MORTGAGE MELTDOWN -- The rapid deterioration in sub-prime delinquencies and a number of notable bankruptcies raised concerns that the woes within housing could spread to other areas of the economy. - - INFLATION CONCERNS OF THE FEDERAL RESERVE BANK ("FED") -- Hopes for near-term Fed rate cuts waned during 2007 as most inflation measures remained above the Fed's comfort level. - - RISING LABOR COSTS -- Hourly earnings grew at nearly their fastest pace in 20 years, while productivity grew at its slowest pace since early 1997. Very high profit margins were at risk. - - HIGHER COMMODITY PRICES - After some early moderation, oil, gasoline, copper and other commodities continued to rise in price. - - THE RETURN OF MARKET VOLATILITY -- Volatility, an indicator of uncertainty, returned to the markets after a long hiatus. While many of these issues weighed on market returns during the period, none loomed larger than the rapid deterioration in the sub-prime mortgage market and its spillover effects on the broader housing market and economy in general. Sub-prime mortgages became a dominant theme for the market because of how rapidly they have deteriorated. They have also become the central point of debate between bullish forecasters who argue that the woes of the sub-prime market are contained versus those who fear a contagion throughout the credit markets and the broader economy. The volume of sub-prime issuance reached alarming levels in the past few years. There were over $1.8 trillion in sub-prime mortgages originated from 2004 - - 2006, more than the previous 10 years combined and equal to approximately a quarter of all mortgage issuance. Mortgage delinquencies rose rapidly in all branches of mortgage lending. Adjustable rate loans, low-documentation (or "liar loans") and other non-traditional mortgages were also widespread in the prime segment of the market. Rate resets, reduced investor appetite for these exotic mortgages, and increased regulatory scrutiny are all combining to tighten the very loose lending environment of the past several years. A robust housing market has been the key driver of consumer spending and employment trends for many years. Consumers, which make up 70% of overall spending, have extracted large amounts of equity from their homes due to low mortgage rates. If the 'housing ATM via refinancing' for consumers is coming to an end, there could be a negative growth surprise coming for investors and the economy. Home equity withdrawal has indeed been reduced sharply, and it is likely that we may see reduced consumption. While the problems within the sub-prime market will negatively affect certain lenders and consumers, the losses incurred are not likely the greatest threat. The larger concern to equity markets could be a re-pricing of risk and tightening of credit conditions across the spectrum. Even though there is no direct connection between sub-prime mortgages and other markets, if sub-prime woes prompt investors to demand higher risk premiums (wider credit spreads), weakness in both the bond and stock markets could result. Looking at the credit markets more broadly, we have not seen substantial evidence of any contagion from sub-prime as credit spreads and lending restrictions remained so near historic lows. The enormous liquidity and leverage injected by 2 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) foreign buyers, hedge funds, and private equity funds has made the turning point of this credit cycle difficult to predict, even for the Fed. Also, the complexity of many new financial "innovations," including collateralized debt obligations and credit default swaps, has made it difficult to assess credit risk. The long-standing cycles of the economy and credit, however, are still intact, and a less benign credit environment appears likely to follow the loose and liquid conditions of the past several years. Broadly speaking, the equity market continued to be supported by a fair level of valuations and strong earnings growth (largely due to extraordinary profit margins) during the period. The beginnings of a negative credit cycle appear to have taken hold in the residential mortgage market as lending and regulatory standards have begun to tighten. How far the mortgage credit cycle extends to the rest of the economy and the pricing of risk more broadly remains to be seen. 3 PERFORMANCE OVERVIEW AMERICAN BEACON LARGE CAP VALUE FUND(SM) APRIL 30, 2007 (UNAUDITED) The Institutional Class of the Large Cap Value Fund returned 10.09% for the six months ended April 30, 2007, slightly ahead of the S&P 500/Citigroup Value Index ("Index") return of 10.08% and the Lipper Large Cap Value Funds Index return of 9.18%. ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS -------- ------ ------- --------- Institutional Class(1,4) 10.09% 16.56% 13.02% 10.29% PlanAhead Class(1,4) 9.94% 16.28% 12.72% 9.99% Service Class(1,2,4) 9.82% 16.02% 12.62% 9.93% AMR Class(1,4) 10.18% 16.88% 13.32% 10.57% Lipper Large-Cap Value Funds Index(3) 9.18% 16.14% 9.28% 8.41% S&P 500 Index(3) 8.60% 15.24% 8.54% 8.05% Linked S&P 500/Citigroup Value Index(3) 10.08% 17.22% 11.17% 9.31%
* 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 be lower or higher than the performance data quoted. 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 4/30/97 up to 6/1/05, 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. Therefore, total returns shown may be higher than they would have been had the Service Class been in existence since 4/30/97. 3. The S&P 500 Index is an unmanaged index of common stocks publicly traded in the United States. The Linked S&P 500/Citigroup Value Index represents returns of the S&P 500/Barra Value Index ("Barra Index") up to 10/31/05 and the S&P 500/Citigroup Value Style Index ("Citigroup Index") thereafter. The Barra 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 Citigroup Index is a market value weighted index of stocks in the S&P 500 that score highest based on an average of book-to-price ratio, cash flow-to-price ratio, sales-to-price ratio, and dividend yield, representing 50% of the total market value of the S&P 500. The Lipper Large-Cap Value Funds Index tracks the results of the 30 largest mutual funds in the Lipper Large-Cap Value Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. 4. The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, PlanAhead, Service and AMR Class shares was 0.62%, 0.87%, 1.11% and 0.36%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. The Fund outperformed the Index primarily through sector allocation and to a lesser extent, through stock selection. From a stock selection standpoint, the Fund had good stock selection in the Information Technology, Industrials, and Utilities sectors. Companies with the greatest positive contribution in the Information Technology sector were Apple Computer (up 23.1%) and Nokia (up 27.0%). In the Industrials sector, Honeywell International (up 30.0%) and Deere (up 29.6%) were the largest contributors. Entergy (up 33.4%) in the Utilities sector also added meaningful value versus the Index. This excess performance relative to the Index, however, was somewhat offset by poor stock selection in the Health Care and Consumer Discretionary sectors. In the Health Care sector, the largest detractors were Pfizer (up 1.3% for the period the Fund held the security) and Astrazeneca (down 5.5%), while Warner Music Group (down 32.8%) detracted from the Fund's Consumer Discretionary sector returns. The Fund's significant underweighting in the Financials sector, one of the poorer performing sectors of the Index, provided positive relative performance. 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 longer term. 4 PERFORMANCE OVERVIEW AMERICAN BEACON LARGE CAP VALUE FUND(SM) APRIL 30, 2007 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- ConocoPhillips 3.0% AT&T, Inc. 2.6% JP Morgan Chase & Co. 2.1% Bank of America Corp. 2.1% Citigroup, Inc. 2.0% Wells Fargo & Co. 1.8% International Business Machines Corp. 1.7% American International Group, Inc. 1.7% Baxter International, Inc. 1.5% The Boeing Co. 1.5%
SECTOR ALLOCATION
% OF EQUITIES --------- Financials 26.0% Industrials 12.0% Health Care 10.8% Consumer Discretionary 10.7% Consumer Staples 10.1% Information Technology 9.2% Energy 7.7% Utilities 5.4% Telecommunications Services 5.0% Materials 3.1%
5 FUND EXPENSES AMERICAN BEACON LARGE CAP VALUE FUND(SM) APRIL 30, 2007 (UNAUDITED) 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, 2006 through April 30, 2007. 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.
Beginning Ending Account Account Expenses Paid Value Value During Period* 11/1/06 4/30/07 11/1/06-4/30/07 ---------- ---------- --------------- INSTITUTIONAL CLASS Actual $ 1,000.00 $ 1,100.88 $ 2.97 Hypothetical $ 1,000.00 $ 1,021.97 $ 2.86 (5% return before expenses) PLANAHEAD CLASS Actual $ 1,000.00 $ 1,099.40 $ 4.27 Hypothetical $ 1,000.00 $ 1,020.73 $ 4.11 (5% return before expenses) SERVICE CLASS Actual $ 1,000.00 $ 1,098.19 $ 5.57 Hypothetical $ 1,000.00 $ 1,019.49 $ 5.36 (5% return before expenses) AMR CLASS Actual $ 1,000.00 $ 1,101.83 $ 1.67 Hypothetical $ 1,000.00 $ 1,023.21 $ 1.61 (5% return before expenses)
* Expenses are equal to the Fund's annualized expense ratios for the six-month period of 0.57%, 0.82%, 1.07% and 0.32% 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. 6 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE --------- ----------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 92.96% CONSUMER DISCRETIONARY - 9.98% AUTO COMPONENTS - 0.10% Magna International, Inc. ..................... 90,500 $ 7,163 --------- HOTELS, RESTAURANTS & LEISURE - 1.21% Carnival Corp. ................................ 1,019,300 49,833 McDonald's Corp. .............................. 84,400 4,075 Wyndham Worldwide Corp. ## .................... 857,160 29,658 Yum! Brands, Inc. ............................. 105,700 6,539 --------- 90,105 --------- HOUSEHOLD DURABLES - 1.99% Centex Corp.+ ................................. 592,300 26,517 Fortune Brands, Inc. .......................... 414,400 33,193 Koninklijke (Royal) Philips Electronics NV .... 187,966 7,714 Lennar Corp. + ................................ 338,000 14,436 Matsushita Electric Industrial Co. Ltd., ADR .. 1,980,000 38,471 Newell Rubbermaid, Inc. ....................... 370,000 11,348 Pulte Homes, Inc. + ........................... 605,000 16,275 --------- 147,954 --------- MEDIA - 2.93% CBS Corp. ..................................... 705,100 22,401 Idearc, Inc. + ................................ 193,600 6,728 The Interpublic Group of Companies, Inc. ##+ .......................... 835,500 10,594 R.H. Donnelley Corp. ##+ ...................... 186,400 14,556 Time Warner, Inc. ............................. 2,719,000 56,093 The Walt Disney Company Ltd. .................. 2,054,600 71,870 Warner Music Group Corp. + .................... 2,050,000 35,260 --------- 217,502 --------- MULTILINE RETAIL - 2.08% Federated Department Stores, Inc. ............. 942,412 41,391 J.C. Penney Company, Inc. + ................... 810,000 64,063 Target Corp. .................................. 527,500 31,317 Wal-Mart Stores, Inc. ......................... 360,700 17,285 --------- 154,056 --------- SPECIALTY RETAIL - 1.67% Gap, Inc. ..................................... 13,100 235 The Home Depot, Inc. .......................... 2,627,000 99,484 Liz Claiborne, Inc. ........................... 550,800 24,632 --------- 124,351 --------- TOTAL CONSUMER DISCRETIONARY ................... 741,131 --------- CONSUMER STAPLES - 9.36% BEVERAGES - 1.51% Constellation Brands, Inc. ## ................. 234,000 5,244 Diageo plc, ADR ................................ 1,264,600 106,732 --------- 111,976 --------- FOOD & DRUG RETAILING - 0.82% Safeway, Inc. ................................. 185,400 $ 6,730 Sysco Corp. ................................... 1,657,000 54,250 --------- 60,980 --------- FOOD PRODUCTS - 2.44% Archer-Daniels-Midland Co. .................... 1,529,000 59,172 General Mills, Inc. ........................... 354,000 21,205 Kellogg Co. ................................... 900,000 47,619 Kraft Foods, Inc. ............................. 1,379,985 46,188 Unilever plc, ADR + ........................... 225,800 7,070 --------- 181,254 --------- PERSONAL PRODUCTS - 0.73% L'Oreal SA, ADR ................................ 2,260,000 54,127 --------- TOBACCO - 3.86% Altria Group, Inc. ............................ 1,164,100 80,230 Gallaher Group plc, ADR ....................... 113,100 10,264 Imperial Tobacco Group plc, ADR ............... 1,140,800 99,717 UST, Inc. + ................................... 1,696,600 96,163 --------- 286,374 --------- TOTAL CONSUMER STAPLES ......................... 694,711 --------- ENERGY - 7.21% ENERGY EQUIPMENT & SERVICES - 0.75% Weatherford International Ltd. ## ............. 1,056,000 55,429 --------- OIL & GAS - 6.46% Chevron Corp. ................................. 783,562 60,953 ConocoPhillips ................................ 3,187,396 221,046 Devon Energy Corp. ............................ 900,300 65,605 Duke Energy Corp. ............................. 1,964,200 40,305 Occidental Petroleum Corp. .................... 1,268,200 64,298 Petro-Canada .................................. 124,700 5,528 Royal Dutch Shell plc, ADR + .................. 204,100 14,432 Sunoco, Inc. .................................. 96,100 7,259 --------- 479,426 --------- TOTAL ENERGY .................................... 534,855 --------- FINANCIALS - 24.15% BANKS - 6.54% Bank of New York, Inc. ........................ 202,400 8,193 Bank of America Corp. ......................... 3,093,978 157,483 Comerica, Inc. ................................ 110,100 6,816 First Horizon National Corp. + ................ 359,900 14,112 KeyCorp ....................................... 327,200 11,675 SunTrust Banks, Inc. + ........................ 175,000 14,774 U.S. Bancorp .................................. 1,055,560 36,259
See accompanying notes 7 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE --------- ----------- (DOLLARS IN THOUSANDS) UnionBanCal Corp. + ........................... 56,100 $ 3,449 Wachovia Corp. ................................ 729,500 40,516 Washington Mutual, Inc. + ..................... 1,331,400 55,892 Wells Fargo & Co. ............................. 3,789,800 136,016 --------- 485,185 --------- DIVERSIFIED FINANCIALS - 10.22% The Bear Stearns Cos., Inc. ................... 182,300 28,384 Capital One Financial Corp. ................... 410,600 30,491 The Charles Schwab Corp. ...................... 3,236,000 61,873 Citigroup, Inc. ............................... 2,763,638 148,186 Federal Home Loan Mortgage Corp. .............. 329,100 21,319 Federal National Mortgage Association ......... 352,800 20,787 The Goldman Sachs Group, Inc. ................. 112,700 24,638 JP Morgan Chase & Co. ......................... 3,051,598 158,988 Merrill Lynch & Co., Inc. ..................... 396,500 35,776 Mitsubishi UFJ Financial Group, Inc., ADR + ... 4,045,000 42,270 Morgan Stanley Dean Witter & Co. .............. 1,238,400 104,038 SLM Corp. ..................................... 1,523,500 82,010 --------- 758,760 --------- INSURANCE - 7.21% ACE Ltd. ...................................... 760,100 45,195 Aflac, Inc. ................................... 1,074,000 55,139 The Allstate Corp. ............................ 883,328 55,049 American International Group, Inc. ............ 1,755,100 122,699 AON Corp. + ................................... 266,600 10,331 Assurant, Inc. ................................ 59,500 3,423 Conseco, Inc. ##+ ............................. 332,600 5,884 Genworth Financial, Inc. ...................... 599,800 21,887 The Hartford Financial Services Group, Inc. ... 110,500 11,183 MetLife, Inc. ................................. 710,100 46,654 MGIC Investment Corp. + ....................... 417,400 25,716 Prudential Financial, Inc. .................... 44,600 4,237 The Travelers Companies, Inc. ................. 863,000 46,688 UnumProvident Corp. + ......................... 639,400 15,908 XL Capital Ltd. + ............................. 838,100 65,355 --------- 535,348 --------- REAL ESTATE - 0.18% The St. Joe Co. + ............................. 237,300 13,438 --------- TOTAL FINANCIALS ................................ 1,792,731 --------- HEALTH CARE - 10.04% HEALTH CARE EQUIPMENT & SUPPLIES - 1.99% Baxter International, Inc. ..................... 2,030,300 114,976 C.R. Bard, Inc. ............................... 389,000 32,338 --------- 147,314 --------- HEALTH CARE PROVIDERS & SERVICES - 2.51% Cigna Corp. ................................... 302,500 47,066 Community Health Systems, Inc. ## ............. 1,282,000 47,178 Omnicare, Inc. ................................ 45,200 $ 1,499 Tenet Healthcare Corp. ##+ .................... 959,200 7,117 UnitedHealth Group, Inc. ...................... 407,600 21,627 WellPoint, Inc. * ............................. 786,700 62,126 --------- 186,613 --------- PHARMACEUTICALS - 5.54% AstraZeneca plc, ADR .......................... 986,000 53,550 Bristol-Myers Squibb Co. ...................... 2,613,200 75,417 Eli Lilly & Co. ............................... 332,200 19,643 Hospira, Inc. ##+ ............................. 943,000 38,239 Johnson & Johnson ............................. 226,200 14,527 Merck & Co., Inc. ............................. 223,300 11,486 Pfizer, Inc. .................................. 3,794,600 100,405 Schering-Plough Corp. ......................... 545,300 17,302 Wyeth Corp. ................................... 1,454,800 80,741 --------- 411,310 --------- TOTAL HEALTH CARE .............................. 745,237 --------- INDUSTRIALS - 11.13% AEROSPACE & DEFENSE - 3.39% The Boeing Co. ................................ 1,195,500 111,181 Northrop Grumman Corp. ........................ 923,000 67,970 Raytheon Co. .................................. 770,200 41,237 United Technologies Corp. ..................... 466,600 31,323 --------- 251,711 --------- AIR FREIGHT & COURIERS - 0.26% FedEx Corp. ................................... 182,900 19,285 --------- INDUSTRIAL CONGLOMERATES - 3.57% 3M Co. ........................................ 430,400 35,624 General Electric Co. .......................... 1,815,600 66,923 Honeywell International, Inc. ................. 1,909,800 103,473 Textron, Inc. ................................. 271,000 27,552 Tyco International Ltd. ....................... 962,600 31,410 --------- 264,982 --------- MACHINERY - 3.12% Caterpillar, Inc. ............................. 596,900 43,347 Deere & Co. ................................... 594,000 64,984 Flowserve Corp. + ............................. 245,900 15,002 Illinois Tool Works, Inc. + ................... 1,260,100 64,656 ITT Industries, Inc. .......................... 684,400 43,671 --------- 231,660 --------- RENTAL AUTO/EQUIPMENT - 0.03% Avis Budget Group, Inc. ....................... 86,190 2,425 ---------
See accompanying notes 8 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ------------ (DOLLARS IN THOUSANDS) TRANSPORTATION INFRASTRUCTURE - 0.76% Burlington Northern Santa Fe Corp. ............................................ 640,600 $ 56,078 ------------ TOTAL INDUSTRIALS .............................................................. 826,141 ------------ INFORMATION TECHNOLOGY - 8.58% COMMERCIAL SERVICES & SUPPLIES - 0.19% First Data Corp. ............................................................. 435,800 14,120 ------------ COMMUNICATIONS EQUIPMENT - 0.60% Nokia Corp., ADR ## ........................................................... 1,762,100 44,493 ------------ COMPUTERS & PERIPHERALS - 3.89% Apple Computer, Inc. ## ....................................................... 780,000 77,844 Hewlett-Packard Co. ........................................................... 1,937,400 81,642 International Business Machines Corp. ......................................... 1,264,300 129,224 ------------ 288,710 ------------ ELECTRICAL EQUIPMENT - 0.64% Molex, Inc. ................................................................... 139,000 4,153 Molex, Inc., Class A Shares ................................................... 1,628,000 43,614 ------------ 47,767 ------------ IT CONSULTING & SERVICES - 0.52% Computer Sciences Corp. ##+ ................................................... 184,200 10,230 Electronic Data Systems Corp. ................................................. 973,700 28,471 ------------ 38,701 ------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.97% Intel Corp. ................................................................... 933,100 20,062 Texas Instruments, Inc. ....................................................... 1,505,000 51,727 ------------ 71,789 ------------ SOFTWARE - 1.77% BMC Software, Inc. ## ......................................................... 197,000 6,377 CA, Inc. + .................................................................... 1,321,103 36,013 Microsoft Corp. ............................................................... 977,000 29,252 Oracle Corp. * ................................................................ 3,160,000 59,408 ------------ 131,050 ------------ TOTAL INFORMATION TECHNOLOGY 636,630 ------------ MATERIALS - 2.86% CHEMICALS - 2.42% Air Products & Chemicals, Inc. ............................................... 986,800 75,490 Dow Chemical Co. ............................................................. 416,500 18,580 E. I. du Pont de Nemours & Co. ............................................... 392,600 19,304 Lyondell Chemical Co. + ...................................................... 1,507,000 46,898 PPG Industries, Inc. ......................................................... 266,100 19,580 ------------ 179,852 ------------ METALS & MINING - 0.29% Alcoa, Inc. ................................................................... 591,668 20,998 ------------ PAPER & FOREST PRODUCTS - 0.15% Sappi Ltd., ADR + ............................................................. 145,400 $ 2,566 Weyerhaeuser Co. .............................................................. 109,100 8,643 ------------ 11,209 ------------ TOTAL MATERIALS ................................................................ 212,059 ------------ TELECOMMUNICATION SERVICES - 4.66% DIVERSIFIED TELECOMMUNICATION - 4.66% AT&T, Inc. ................................................................... 5,059,552 195,906 Verizon Communications, Inc. ................................................. 2,871,346 109,628 Vodafone Group plc, ADR ...................................................... 1,402,949 40,307 ------------ TOTAL TELECOMMUNICATION SERVICES ............................................... 345,841 ------------ UTILITIES - 4.99% ELECTRIC UTILITIES - 4.66% CenterPoint Energy, Inc. + ................................................... 1,021,600 19,237 Dominion Resources, Inc. ..................................................... 1,125,900 102,682 DTE Energy Co. ............................................................... 300,000 15,177 Entergy Corp. ................................................................ 692,500 78,349 Exelon Corp. ................................................................. 1,380,900 104,134 FPL Group, Inc. + ............................................................ 220,300 14,181 Public Service Enterprise Group, Inc. ........................................ 138,800 11,999 ------------ 345,759 ------------ GAS UTILITIES - 0.33% Spectra Energy Corp. .......................................................... 956,300 24,959 ------------ TOTAL UTILITIES ................................................................ 370,718 ------------ TOTAL COMMON STOCKS ............................................................ 6,900,054 ------------ SHORT TERM INVESTMENTS - 6.42% American Beacon Money Market Select Fund ++ ..................................................................... 450,004,746 450,005
PAR AMOUNT ------------ United States Treasury Bill, 5.01%, Due 6/7/2007 # @ ................................................. $ 26,745 26,609 ------------ TOTAL SHORT TERM INVESTMENTS ................................................... 476,614 ------------
SHARES ------------ SECURITIES LENDING COLLATERAL - 3.88% American Beacon Cash Plus Trust ++ ............................................ 169,980,657 169,981 American Beacon Money Market Select Fund ++ ...................................................................... 118,213,091 118,213 ------------ TOTAL SECURITIES LENDING COLLATERAL ........................................... 288,194 ------------ TOTAL INVESTMENTS 103.26% - (COST $6,693,574) .................................. 7,664,862 LIABILITIES, NET OF OTHER ASSETS - (3.26%) ..................................... (241,762) ------------ TOTAL NET ASSETS - 100.00% ..................................................... $ 7,423,100 ============
See accompanying notes 9 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ The Fund/Trust is affiliated by having the same investment advisor. # Rates represent discount rate. @ At April 30, 2007, security pledged as collateral for open futures contracts. FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ CONTRACTS DATE VALUE (DEPRECIATION) ----------- ----------- ----------- ------------ Emini S&P 500 Index............................... 6,358 Jun 2007 $473,162 $ 13,995 ======== ============
See accompanying notes 10 \ AMERICAN BEACON LARGE CAP VALUE FUND STATEMENT OF ASSETS AND LIABILITIES April 30, 2007 (Unaudited) (in thousands, except share and per share amounts) ASSETS: Investments in unaffiliated securities, at value(A)(C) ......... $ 6,926,663 Investments in affiliated securities, at value(B) .............. 738,199 Receivable for investments sold ................................ 2,366 Dividends and interest receivable .............................. 8,622 Receivable for fund shares sold ................................ 60,385 Receivable for tax reclaims .................................... 80 Prepaid expenses ............................................... 145 ------------ TOTAL ASSETS ............................................ 7,736,460 ------------ LIABILITIES: Payable for investments purchased .............................. 4,201 Payable upon return of securities loaned ....................... 288,194 Payable for fund shares redeemed ............................... 9,733 Payable for variation margin on open futures contracts ......... 4,321 Management and investment advisory fees payable (Note 2) ....... 4,407 Administrative service and service fees payable ................ 2,145 Other liabilities .............................................. 359 ------------ TOTAL LIABILITIES ....................................... 313,360 ------------ NET ASSETS .......................................................... $ 7,423,100 ============ ANALYSIS OF NET ASSETS: Paid-in-capital ................................................ 6,337,135 Undistributed net investment income ............................ 27,647 Accumulated net realized gain .................................. 73,036 Unrealized appreciation of investments, futures contracts, and foreign currency .............................. 985,282 ------------ NET ASSETS .......................................................... $ 7,423,100 ============ SHARES OUTSTANDING (NO PAR VALUE): Institutional Class ............................................ 70,550,002 ============ PlanAhead Class ................................................ 188,258,777 ============ Service Class .................................................. 3,438,085 ============ AMR Class ...................................................... 41,471,029 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class ............................................ $ 25.19 ============ PlanAhead Class ................................................ $ 24.06 ============ Service Class .................................................. $ 23.97 ============ AMR Class ...................................................... $ 24.93 ============
- ---------- A Cost of investments in unaffiliated securities .................... $ 5,955,375 B Cost of investments in affiliated securities ...................... $ 738,199 C Market value of securities on loan ................................ $ 309,814
See accompanying notes 11 AMERICAN BEACON LARGE CAP VALUE FUND STATEMENT OF OPERATIONS Six Months Ended April 30, 2007 (Unaudited) (in thousands) INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes)* ..... $ 58,445 Dividend income from affiliated securities ............................... 9,934 Interest income .......................................................... 615 Income derived from securities lending, net .............................. 497 ------------ TOTAL INVESTMENT INCOME ............................................... 69,491 ------------ EXPENSES: Management and investment advisory fees (Note 2) ......................... 8,290 Administrative service fees (Note 2): Institutional Class ..................................................... 1,658 PlanAhead Class ......................................................... 4,372 Service Class ........................................................... 67 Transfer agent fees: Institutional Class ..................................................... 59 PlanAhead Class ......................................................... 87 Service Class ........................................................... 1 AMR Class ............................................................... 27 Custody and fund accounting fees ......................................... 342 Professional fees ........................................................ 29 Registration fees and expenses ........................................... 60 Service fees: PlanAhead Class (Note 2) ..................................................... 4,372 Service Class (Note 2) ....................................................... 67 Distribution fees - Service Class (Note 2) ..................................... 67 Prospectus and shareholder reports ............................................. 98 Other expenses ................................................................. 217 ------------ TOTAL EXPENSES ........................................................ 19,813 ------------ Net fees recouped by Manager (Note 2) .......................................... 2 ------------ NET EXPENSES .......................................................... 19,815 ------------ NET INVESTMENT INCOME .......................................................... 49,676 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments .................................................................. 87,554 Commission recapture (Note 1) ................................................ 328 Futures contracts ............................................................ 5,281 Change in net unrealized appreciation or depreciation of: Investments .................................................................. 426,699 Futures contracts ............................................................ 8,376 ------------ NET GAIN ON INVESTMENTS ............................................... 528,238 ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................... $ 577,914 ============ * Foreign taxes .............................................................. $ 162
See accompanying notes 12 AMERICAN BEACON LARGE CAP VALUE FUND STATEMENT OF CHANGES OF NET ASSETS (IN THOUSANDS)
Six Months Year Ended Ended October 31, April 30, 2007 2006 -------------- ----------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ................................................................. $ 49,676 $ 52,939 Net realized gain on investments, futures contracts, and foreign currency transactions ..................................................................... 93,163 121,664 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations ..................................... 435,075 339,128 ------------ ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............................. 577,914 513,731 ------------ ----------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ................................................................. (14,678) (2,811) PlanAhead Class ..................................................................... (35,816) (9,026) Service Class ....................................................................... (422) (183) AMR Class ........................................................................... (13,818) (12,219) Net realized gain on investments: Institutional Class ................................................................. (28,455) (8,282) PlanAhead Class ..................................................................... (78,015) (28,149) Service Class ....................................................................... (1,093) (544) AMR Class ........................................................................... (23,934) (32,018) ------------ ----------- NET DISTRIBUTIONS TO SHAREHOLDERS ................................................ (196,231) (93,232) ------------ ----------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares ......................................................... 2,758,566 3,041,055 Reinvestment of dividends and distributions ........................................... 185,535 88,860 Cost of shares redeemed ............................................................... (511,900) (528,489) ------------ ----------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ....................... 2,432,201 2,601,426 ------------ ----------- NET INCREASE IN NET ASSETS ............................................................... 2,813,884 3,021,925 ------------ ----------- NET ASSETS: Beginning of period ................................................................... 4,609,216 1,587,291 ------------ ----------- END OF PERIOD * ....................................................................... $ 7,423,100 $ 4,609,216 ============ =========== *Includes undistributed net investment income of ......................................... $ 27,647 $ 42,693 ============ ===========
See accompanying notes 13 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American Beacon Funds (the "Trust") 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, diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Large Cap Value Fund (the "Fund"), a series of the Trust. American Beacon Advisors, Inc. (the "Manager") 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 DISTRIBUTIONS FEES: - ------------------- --------------------------------------------------------------- ---------------------------------- INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service Fee - 0.25% PLANAHEAD CLASS General public and investors investing through an intermediary Administrative Service Fee - 0.25% Service Fee - 0.25% SERVICE CLASS Investors investing through an intermediary Administrative Service Fee - 0.25% Service Fee - 0.25% Distribution Fee - 0.25% AMR CLASS Investors in the tax-exempt retirement and benefit plans of AMR Corporation and its affiliates N/A
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 Investments are valued at the close of the New York Stock Exchange (the "Exchange"), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. When a price is unavailable from a pricing service or when the price provided by the pricing service is deemed not to represent fair value, the prices of debt securities may be determined using quotes obtained from brokers. Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates market value. Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the "Board"). 14 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) Security Transactions and Investment Income Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund 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, net of foreign taxes, 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 U.S. 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. This amount is reported with the net realized gain in the Fund's Statement of Operations. 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. 15 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (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. Recently Issued Accounting Pronouncements On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" ("FIN 48"). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, the Manager is evaluating the implications of FIN 48 and its potential impact on the financial statements has not yet been determined. In September 2006, the FASB issued Statement on Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The Manager is evaluating the impact of FAS 157; however, it is not expected to have a material impact on the Fund's net assets of results of operations. 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 0.10% 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, 2007 were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY FEE RATE FEE ADVISORS MANAGER - ------------ ---------- --------------- ----------- 0.225%-0.70% $ 8,290 $ 5,362 $ 2,928
16 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) 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. This fee is netted against securities lending income in the Statement of Operations. During the six months ended April 30, 2007, securities lending fees paid to the Manager were $77,504. 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 0.25% 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 Fund, has adopted a "defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under the Act, 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. Investment in Affiliated Funds The Fund is permitted, pursuant to an exemptive order by the Securities and Exchange Commission ("SEC") and procedures approved by the Board, to invest up to 25% of its total assets in the American Beacon Money Market Select Fund (the "Select Fund"). Cash collateral received by the Fund in connection with securities lending may be invested in the Select Fund and the American Beacon Cash Plus Trust (the "Cash Trust") (collectively, the "Affiliated Funds"). The Fund and the Affiliated Funds have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the Affiliated Funds and receives from each Affiliated Fund an annualized fee equal to 0.10% of its average daily net assets. During the six months ended April 30, 2007, the Manager earned fees from the Affiliated Funds totaling $190,786 on the Fund's direct investment in the Affiliated Funds and $129,870 from securities lending collateral invested in the Affiliated Funds. 17 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (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 as a borrower. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the six months ended April 30, 2007, the Fund did not utilize the credit facility. Expense Reimbursement Plan The Fund has 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 sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. During the six months ended April 30, 2007, the Manager recouped prior fee waivers totaling $1,617. There are no further fee waivers or reimbursed expenses subject to potential recovery. Other At April 30, 2007, AMR Corporation and subsidiary companies and employee benefit trusts thereof owned 13% of the Fund. 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 categorized 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 paid during the six months ended April 30, 2007 and the fiscal year ended October 31, 2006 were as follows (in thousands):
SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2007 2006 ---------------- ----------- (unaudited) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class .............................. 20,726 $ 3,517 PlanAhead Class .................................. 52,399 11,427 Service Class .................................... 18,906 229 AMR Class ........................................ 654 14,949 LONG-TERM CAPITAL GAIN Institutional Class ............................. 22,406 7,576 PlanAhead Class ................................. 61,432 25,749 Service Class .................................. 18,847 497 AMR Class ..................................... 861 29,288 ------------- -------- TOTAL DISTRIBUTIONS PAID ........................... $ 196,231 $ 93,232 ============= ========
* For tax purposes, short-term capital gains are considered ordinary income distributions. 18 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) As of April 30, 2007, the components of distributable earnings on a tax basis were as follows (in thousands): Cost basis of investments for federal income tax purposes .... $ 6,708,015 Unrealized appreciation ...................................... 989,914 Unrealized depreciation ...................................... (33,067) ------------ Net unrealized appreciation/(depreciation) ................... 956,847 Undistributed ordinary income ................................ 71,952 Undistributed long-term gain/(loss) .......................... 57,077 Distributable earnings ....................................... $ 1,085,876
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, and reclassifications of income from real estate investment securities. 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 regulations, 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 derived from reclassifications of income from real estate investment securities, foreign currency, and dividend reclasses that have been reclassified as of April 30, 2007 (in thousands): Paid-in-capital.............................................. $ 6 Undistributed net investment income.......................... 12 Accumulated net realized gain (loss)......................... (18) Unrealized appreciation (depreciation) of investments........ futures contracts and foreign currency....................... --
4. INVESTMENT TRANSACTIONS The aggregate cost of purchases and proceeds from sales of investments other than short-term obligations for the six months ended April 30, 2007 were (in thousands) $2,541,442 and $475,117, respectively. A summary of the Fund's direct and transactions in Affiliated Funds for the six months ended April 30, 2007 is set forth below (in thousands):
OCTOBER 31, 2006 APRIL 30, 2007 AFFILIATE SHARES/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE - ----------- ------------------- ------------- ------------ ------------------- Select Fund $ 293,666 $ 4,256,592 $ 4,100,253 $ 450,005
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 the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is marked to market and monitored daily. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent (the "Agent") in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. 19 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) The Fund, the Agent and the Manager retain 65%, 25% and 10%, respectively of the income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs. 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, the Agent and the Manager 65%, 25% and 10%, respectively. 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, 2007, 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 - ------------------ -------------------- ----------------- $309,814 $ 34,105 $ 288,194
Cash collateral is invested in a joint investment account, which is comprised of an investment in the Affiliated Funds. The allocated 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. 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 (dollars and shares in thousands): Six months Ended April 30, 2007
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS --------------------- ---------------------- ----------------- ------------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- ------- ------- --------- ------- ------ ------- --------- Shares sold ................... 32,424 $ 784,822 80,225 $ 1,844,387 2,092 $ 48,266 3,328 $ 81,091 Reinvestment of dividends ..... 1,548 36,661 4,843 109,645 65 1,477 1,612 37,752 Shares redeemed ............... (3,754) (90,765) (10,535) (243,845) (445) (10,307) (6,996) (166,983) ------ --------- ------ ----------- ----- -------- ------ --------- Net increase (decrease) in shares outstanding ......... 30,218 $ 730,718 74,533 $ 1,710,187 1,712 $ 39,436 (2,056) $ (48,140) ====== ========= ====== =========== ===== ======== ====== =========
Year Ended October 31, 2006
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ----------------------- --------------------- -------------------- ----------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------ --------- ------- ----------- ---------- ------- ------ -------- Shares sold .................. 34,068 $ 746,193 98,689 $ 2,075,973 1,451 $30,595 8,618 $188,294 Reinvestment of dividends .... 439 9,253 1,715 34,642 36 727 2,125 44,238 Shares redeemed .............. (3,753) (81,987) (12,788) (269,180) (338) (7,086) (8,030) (170,236) ------ --------- ------- ----------- ----- ------- ------ -------- Net increase in shares outstanding ............... 30,754 $ 673,459 87,616 $ 1,841,435 1,149 $24,236 2,713 $ 62,296 ====== ========= ======= =========== ===== ======= ===== ========
20 (This page intentionally left blank) 21 AMERICAN BEACON LARGE CAP VALUE FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGH THE PERIOD)
Institutional Class ------------------------------------------------------------------------- Six Months Year Ended October 31 Ended April --------------------------------------------------------- 30, 2007 2006 2005 2004 2003 2002 ----------- -------- ---------- -------- -------- ---------- (unaudited) Net asset value, beginning of period... $ 23 .77 $ 21 .00 $ 18.23 $ 15 .62 $ 12.55 $ 14.51 ---------- -------- --------- -------- -------- --------- Income from investment operations: Net investment income(A,B)........... 0 .19 0 .42 0 .28 0 .26 0 .25(C) 0 .27 Net gains (losses) on securities (both realized and unrealized)(A) ..................... 2 .15 3 .48 2 .74 2 .62 3 .11(C) (1 .76) ---------- -------- --------- -------- -------- --------- Total income (loss) from investment operations ............................ 2 .34 3 .79 3 .02 2 .88 3 .36 (1 .49) ---------- -------- --------- -------- -------- --------- Less distributions: Dividends from net investment income .................. (0 .31) (0 .26) (0 .25) (0 .27) (0 .29) (0 .30) Distributions from net realized gains on securities ................ (0 .61) (0 .76) -- -- -- (0 .17) ---------- -------- --------- -------- -------- --------- Total distributions ................... (0 .92) (1 .02) (0 .25) (0 .27) (0 .29) (0 .47) ---------- -------- --------- -------- -------- --------- Net asset value, end of period ........ $ 25 .19 $ 23 .77 $ 21 .00 $ 18.23 $ 15.62 $ 12.55 ========== ======== ========= ======== ======== ========= Total return .......................... 10 .09% 18 .69% 16 .64% 18 .59% 27 .30% (10 .83)% ========== ======== ========= ======== ======== ========= Ratios and supplemental data: Net assets, end of period (in thousands) ...................... $1,777,117 $958,830 $ 201,111 $ 48,451 $ 23,512 $ 21,589 Ratios to average net assets (annualized): Expenses, net of waivers(A) ... 0 .57% 0 .60% 0 .60% 0 .66% 0 .66% 0 .61% Expenses, before waivers(A) ... 0 .57% 0 .60% 0 .60% 0 .66% 0 .66% 0 .61% Net investment income, net of waiversA ................... 1 .80% 1 .86% 1 .58% 1 .49% 1 .88% 1 .82% Net investment income (loss) before waivers(A) ............. 1 .80% 1 .86% 1 .58% 1 .49% 1 .88% 1 .82% Portfolio turnover rateF ............ 9%(D) 26% 25% 29% 27% 34% PlanAhead Class ---------------------------- Six Months Year Ended Ended April October 31 30, 2007 2006 ------------ ---------- (unaudited) Net asset value, beginning of period .. $ 22.74 $ 20 .16 ----------- ---------- Income from investment operations: Net investment income(A,B)........... 0 .17 0 .28 Net gains (losses) on securities (both realized and unrealized)(A) ..................... 2 .04 3 .31 ----------- ---------- Total income (loss) from investment operations ............................ 2 .21 3 .59 ----------- ---------- Less distributions: Dividends from net investment income .................. (0 .28) (0 .25) Distributions from net realized gains on securities ................ (0 .61) (0 .76) ----------- ---------- Total distributions ................... (0 .89) (1 .01) ----------- ---------- Net asset value, end of period ........ $ 24.06 $ 22.74 =========== ========== Total return .......................... 9 .94% 18 .44% =========== ========== Ratios and supplemental data: Net assets, end of period (in thousands) ...................... $ 4,529,671 $2,586,410 Ratios to average net assets (annualized): Expenses, net of waivers(A) ... 0 .82% 0 .85% Expenses, before waivers(A) ... 0 .82% 0 .85% Net investment income, net of waivers(A) ................. 1 .56% 1 .61% Net investment income (loss) before waivers(A) ............. 1 .56% 1 .61% Portfolio turnover rate(F) .......... 9%(D) 26%
(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 Value Portfolio through February 28, 2002. (B) 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. (C) 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. (D) Not annualized. (E) Annualized (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) Portfolio turnover rate is for the period from November 1, 2004 through October 31, 2005. 23
Service Class -------------------------------------- Six Months Year May Ended ended 31 to - --------------------------------------------- April 30, October October 2005 2004 2003 2002 2007 31, 2006 31, 2005 - --------- -------- -------- --------- ----------- -------- --------- (unaudited) $ 17 .54 $ 15 .05 $ 12 .09 $ 14 .00 $ 22 .64 $ 20 .13 $ 19 .33 - --------- -------- -------- --------- -------- -------- --------- 0 .27 0 .23 0 .22(C) 0 .25 0 .14 0 .26 0 .01 2 .58 2 .49 2 .99(C) (1 .74) 2 .03 3 .27 0 .79 - --------- -------- -------- --------- -------- -------- --------- 2 .85 2 .72 3 .21 (1 .49) 2 .17 3 .53 0 .80 - --------- -------- -------- --------- -------- -------- --------- (0 .23) (0 .23) (0 .25) (0 .25) (0 .23) (0 .26) -- -- -- -- (0 .17) (0 .61) (0 .76) -- - --------- -------- -------- --------- -------- -------- --------- (0 .23) (0 .23) (0 .25) (0 .42) (0 .84) (1 .02) -- - --------- -------- -------- --------- -------- -------- --------- $ 20 .16 $ 17 .54 $ 15 .05 $ 12 .09 $ 23 .97 $ 22 .64 $ 20 .13 ========= ======== ======== ========= ======== ======== ========= 16 .33% 18 .26% 26 .99% (11 .13)% 9 .82% 18.18% 4 .14%(D) ========= ======== ======== ========= ======== ======== ========= $ 526,357 $ 51,489 $ 21,331 $ 15,941 $ 82,394 $ 39,077 $ 11,604 0 .86% 0 .94% 0 .95% 0 .93% 1 .07% 1 .09% 1 .14%(E) 0 .86% 0 .94% 0 .95% 0 .93% 1 .07% 1 .09% 1 .77%(E) 1 .30% 1 .21% 1 .57% 1 .53% 1 .27% 1 .39% 1 .72%(E) 1 .30% 1 .21% 1 .57% 1 .53% 1 .28% 1 .39% 1 .09%(E) 25% 29% 27% 34% 9%(D) 26% 25%(G) AMR Class - --------------------------------------------------------------------------- Six Months Year Ended October 31 Ended April ---------------------------------------------------------- 30, 2007 2006 2005 2004 2003 2002 - ----------- ---------- ---------- ---------- ---------- -------- (unaudited) $ 23 .55 $ 20 .78 $ 18 .02 $ 15 .44 $ 12 .40 $ 14 .34 ---------- ---------- -------- ---------- -------- -------- 0 .21 0 .35 0 .31 0 .30 0 .29 0 .31) 2 .13 3 .47 2 .73 2 .58 3 .06 (1 .75) ---------- ---------- -------- -------- -------- -------- 2 .34 3 .82 3 .04 2 .88 3 .35 (1 .44) ---------- ---------- -------- -------- -------- -------- (0 .35) (0 .29) (0 .28) (0 .30) (0 .31) (0 .33) (0 .610) (0 .76) -- -- -- (0 .17) ---------- ---------- -------- -------- -------- -------- (0 .96) (1 .05) (0 .28) (0 .30) (0 .31) (0 .50) ---------- ---------- -------- -------- -------- -------- $ 24 .93 $ 23 .55 $ 20 .78 $ 18 .02 $ 15 .44 $ 12 .40 ========== ========== ======== ======== ======== ======== 10.18% 19.08% 16.95% 18.89% 27.64% (10.62)% ========== ========== ======== ======== ======== ======== $1,033,918 $1,024,899 $848,219 $696,206 $598,869 $511,287 0 .32% 0 .34% 0 .35% 0 .39% 0 .36% 0 .36% 0 .32% 0 .34% 0 .35% 0 .39% 0 .36% 0 .36% 2 .12% 2 .18% 1 .87% 1 .79% 2 .13% 2 .06% 2 .12% 2 .18% 1 .87% 1 .79% 2 .13% 2 .06% 9%(D) 26% 25% 29% 27% 34%
23 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS (UNAUDITED) In prior years, the Board of Trustees ("Board" or "Trustees") typically has considered the annual renewal of the existing Management Agreement between American Beacon Advisors, Inc. (the "Manager") and the American Beacon Funds (the "Trust"), on behalf of the Large Cap Value Fund (the "Fund"), and each Investment Advisory Agreement between the Manager and a sub-advisor at the Board meeting held in the first quarter of each year. At the November 15, 2006 meeting, the Board decided to conduct these annual renewals at their second quarter meeting each year to enable the Trustees to consider more year-end data in their deliberations. At the March 8, 2007 Board meeting, the Board considered renewal of the Management and Investment Advisory Agreements on an interim basis until the Board meeting scheduled for the second quarter, at which meeting the Board would perform a comprehensive review of factors relevant to an annual renewal. In connection with the interim renewal, the Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager. Further, the Board took into consideration information furnished for the Board's review and consideration throughout the year at regular Board and Investment Committee meetings. The Trustees considered, among other materials, responses by the Manager to inquiries requesting: - - an explanation, if applicable, of any deterioration in longer-term performance by the Fund or sub-advisor since the last contract renewal and any remedial measures the Manager has taken or intends to take; - - the Manager's and each sub-advisor's fee rate schedule for the Fund and whether the Manager intends to continue any current fee waivers or reimbursements; - - an explanation of any significant change in the Fund's expense ratio since the last contract renewal and any actions the Manager has taken or intends to take; - - a description of any significant changes (actual or anticipated) to personnel and the reasons for such changes; - - a discussion of any material developments at the Fund's sub-advisors relevant to the Fund; - - a discussion of any material compliance problems encountered by the Manager or the sub-advisors and remedial actions; - - 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; - - information regarding material changes to the Manager's and sub-advisors' codes of ethics and insider trading policies; and - - any material changes to the Manager's or sub-advisors' information provided in connection with the last annual contract renewal. The Trustees also received a memorandum from their legal counsel detailing the Board's 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. Provided below is an overview of the primary factors the Board considered at its March 2007 meeting. The Board did not identify any particular information that was most relevant to its consideration to renew the Management and Investment Advisory Agreements, and each Trustee may have afforded different weight to the various factors. The Board determined that certain factors typically considered in connection with an annual renewal were not material with respect to an interim renewal. As such, the following factors were not considered by the Board and were deferred to the next regular Board meeting to be considered in connection with the annual renewal: 24 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS (UNAUDITED) - the profits realized by the Manager and the sub-advisors and their affiliates from their relationship with the Fund; - the extent to which economies of scale may be realized as the Fund grows; - whether the level of fees reflects those economies of scale for the benefit of the Fund's investors; - comparisons of services and fees with contracts entered into by the Manager and a sub-advisor or their affiliates with other clients (such as pension funds and other institutional investors); and - ancillary benefits to be realized by the Manager and the sub-advisors as a result of the relationship with the Fund. In determining whether to renew the Management and Investment Advisory Agreements on an interim basis, the Trustees considered the best interests of the Fund. The following considerations and conclusions are applicable to the Fund. Cost of Services. The Board considered that the fee rate schedules for the Manager and most sub-advisors had not changed since the last contract renewal. The Trustees also considered that Barrow, Hanley, Mewhinney & Strauss, Inc. ("Barrow") had eliminated the last break point on its fee rate schedule, but that Barrow's combined fee rate for the Fund under its management was still among the lowest fees charged by a sub-advisor. The Board considered that, in many cases, the Manager has negotiated the lowest sub-advisory fee a sub-advisor charges for any comparable client accounts. In determining whether to renew the Investment Advisory Agreements, the Board considered that 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 where applicable. Thus, the Fund is able to receive additional break point benefits resulting from the sub-advisor's management of a larger pool of assets. Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Trustees considered that the Manager continues to provide high-quality services to the Fund at a low cost to investors and provides a comprehensive compliance program for the Fund. Additionally, the Manager allocates the assets of the Fund among the Fund's sub-advisors, and monitors and evaluates the performance of the sub-advisors. Based on this information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each sub-advisor were appropriate for the Fund and, thus, supported a decision to renew the Management and each Investment Advisory Agreement on an interim basis. Investment Performance. The Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also considered information provided by the Manager regarding deterioration in the Fund's or sub-advisor's longer-term performance as a result of underperformance for the 2006 calendar year. In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreements with Hotchkis and Wiley Capital Management, LLC ("Hotchkis"), the Trustees considered that Hotchkis underperformed the sub-advisor's respective benchmark index for the 2006 calendar year, but that the Fund's performance exceeded that of the respective Lipper Index. The other sub-advisors to the Fund outperformed or only slightly underperformed their respective benchmark index for the 2006 calendar year. Based on these considerations and those noted above, the Board determined that the Fund and its shareholders would benefit from the Manager's and the sub-advisors' continued management of the Fund until the next regular Board meeting and approved the renewal of the Agreements on an interim basis until the next regular Board meeting. 25 (AMERICAN BEACON FUNDS (SM) 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: [KEYBORD] BY E-MAIL: american_beacon.funds@ambeacon.com [MOUSE] ON THE INTERNET: Visit our website at www.americanbeaconfunds.com [TELEPHONE] BY TELEPHONE: Institutional Class Call (800) 658-5811 AMR Class(SM) Call (800) 345-2345 PlanAhead Class(R) and Service Class Call (800) 388-3344 [LETTER BOX] BY MAIL: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission ("SEC") on Form N-Q as of the first and third fiscal quarters. The Fund's Forms N-Q are available on the SEC's website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC's Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. A complete 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 month. AVAILABILITY OF PROXY VOTING POLICY AND RECORDS A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund's Statement of Additional Information, is available free of charge on the Fund's website (www.americanbeaconfunds.com) and by calling 1-800-967-9009 or by accessing the SEC's website at www.sec.gov. The Fund's proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund's Forms N-PX are available on the SEC's website at www.sec.gov. The Fund's proxy voting record may also be obtained by calling 1-800-967-9009. FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED DISTRIBUTOR STATE STREET BANK AND BOSTON FINANCIAL DATA PUBLIC ACCOUNTING FORESIDE FUND SERVICES TRUST SERVICES FIRM Portland, Maine Boston, Massachusetts Kansas City, Missouri ERNST & YOUNG LLP Dallas, Texas
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 Large Cap Value Fund is a service mark of American Beacon Advisors, Inc. 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 (SM) LOGO) Semi-Annual Report April 30, 2007 SMALL CAP VALUE FUND 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 ............................. 7 Additional Information .............................. Back Cover
Any opinions herein, including forecasts, reflect our judgment 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. 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. American Beacon Funds April 30, 2007 (PHOTO OF DOUGLAS G. HERRING) FELLOW SHAREHOLDERS, I am pleased to present to you the American Beacon Small Cap Value Fund Semi-Annual Report for the six months ended April 30, 2007. Despite rising oil prices, a slump in housing and a slowing economy, the U.S. equity markets still finished the last six months with positive returns. This was helped in large part by strong corporate profits. The S&P 500 and Dow Jones Industrial Average indices reported returns of 8.60% and 9.40%, respectively, for this period. The American Beacon Small Cap Value Fund-Institutional Class reported a total return of 10.32% for this six-month period. The Fund's performance exceeded the Lipper Small-Cap Value Funds Index. True to its value style, the Fund will continue its focus on companies with above-average earnings growth potential, below-average price-to-earnings ratios and below-average price-to-book-value ratios, which we believe will benefit our shareholders over the long term. Please review the enclosed market overview, 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 to access your account information, please visit our website at www.americanbeaconfunds.com. Thank you for your continued confidence in the American Beacon Small Cap Value Fund. Sincerely, /s/ Douglas G. Herring ---------------------------------------- Douglas G. Herring President American Beacon Funds 1 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) Following strong earnings growth and solid equity returns last year, equity markets got off to a rocky start in 2007. Investors were suddenly forced to deal with slower earnings growth, the return of volatility and the sub-prime mortgage fallout. There was no shortage of concerns for the market in the first quarter, though it is often said that the market climbs a "wall of worry." - ECONOMIC SLOWDOWN - After enjoying 4-5% Gross Domestic Product ("GDP") growth for several years, investors had to come to grips with sub-3% economic growth forecasts for 2007. - SLOWING EARNINGS GROWTH - After 14 consecutive quarters of double-digit growth, S&P 500 operating earnings were expected to slow markedly. For 2007, earnings growth estimates of 6-7% are back-end loaded with nearly one-half the year's growth expected in the fourth quarter. - SUB-PRIME MORTGAGE MELTDOWN - The rapid deterioration in sub-prime delinquencies and a number of notable bankruptcies raised concerns that the woes within housing could spread to other areas of the economy. - INFLATION CONCERNS OF THE FEDERAL RESERVE BANK ("FED") - Hopes for near-term Fed rate cuts waned during 2007 as most inflation measures remained above the Fed's comfort level. - RISING LABOR COSTS - Hourly earnings grew at nearly their fastest pace in 20 years, while productivity grew at its slowest pace since early 1997. Very high profit margins were at risk. - HIGHER COMMODITY PRICES - After some early moderation, oil, gasoline, copper and other commodities continued to rise in price. - THE RETURN OF MARKET VOLATILITY - Volatility, an indicator of uncertainty, returned to the markets after a long hiatus. While many of these issues weighed on market returns during the period, none loomed larger than the rapid deterioration in the sub-prime mortgage market and its spillover effects on the broader housing market and economy in general. Sub-prime mortgages became a dominant theme for the market because of how rapidly they have deteriorated. They have also become the central point of debate between bullish forecasters who argue that the woes of the sub-prime market are contained versus those who fear a contagion throughout the credit markets and the broader economy. The volume of sub-prime issuance reached alarming levels in the past few years. There were over $1.8 trillion in sub-prime mortgages originated from 2004 - - 2006, more than the previous 10 years combined and equal to approximately a quarter of all mortgage issuance. Mortgage delinquencies rose rapidly in all branches of mortgage lending. Adjustable rate loans, low-documentation (or "liar loans") and other non-traditional mortgages were also widespread in the prime segment of the market. Rate resets, reduced investor appetite for these exotic mortgages, and increased regulatory scrutiny are all combining to tighten the very loose lending environment of the past several years. A robust housing market has been the key driver of consumer spending and employment trends for many years. Consumers, which make up 70% of overall spending, have extracted large amounts of equity from their homes due to low mortgage rates. If the 'housing ATM via refinancing' for consumers is coming to an end, there could be a negative growth surprise coming for investors and the economy. Home equity withdrawal has indeed been reduced sharply, and it is likely that we may see reduced consumption. While the problems within the sub-prime market will negatively affect certain lenders and consumers, the losses incurred are not likely the greatest threat. The larger concern to equity markets could be a re-pricing of risk and tightening of credit conditions across the spectrum. Even though there is no direct connection between sub-prime mortgages and other markets, if sub-prime woes prompt investors to demand higher risk premiums (wider credit spreads), weakness in both the bond and stock markets could result. Looking at the credit markets more broadly, we have not seen substantial evidence of any contagion from sub-prime as credit spreads and lending restrictions remained near historic lows. The enormous liquidity and leverage injected by foreign buyers, hedge funds, and private equity funds has made the turning point of this credit cycle difficult to predict, even for the Fed. Also, the complexity of many new financial "innovations," including collateralized debt obligations and credit default swaps, has made it difficult to assess credit risk. The long-standing cycles 2 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) of the economy and credit, however, are still intact, and a less benign credit environment appears likely to follow the loose and liquid conditions of the past several years. Broadly speaking, the equity market continued to be supported by a fair level of valuations and strong earnings growth (largely due to extraordinary profit margins) during the period. The beginnings of a negative credit cycle appear to have taken hold in the residential mortgage market as lending and regulatory standards have begun to tighten. How far the mortgage credit cycle extends to the rest of the economy and the pricing of risk more broadly remains to be seen. 3 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE FUND(SM) APRIL 30, 2007 (UNAUDITED) The Institutional Class of the Small Cap Value Fund returned 10.32% for the six months ended April 30, 2007, outperforming the Russell 2000 Value Index ("Index") return of 6.36% and the Lipper Small-Cap Value Funds Index return of 9.54% for the same period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 ------------------------------------------------- SINCE 6 MONTHS* 1 YEAR 5 YEARS INCEPTION --------- ------ ------- --------- Institutional Class (1,5) ................ 10.32% 10.27% 14.41% 15.27% PlanAhead Class (1,2,5) .................. 10.18% 10.03% 14.14% 14.98% Service Class (1,3,5) .................... 10.02% 9.72% 13.88% 14.82% AMR Class (1,2,5) ........................ 10.50% 10.60% 14.72% 15.58% Lipper Small-Cap Value Funds Index (4) ... 9.54% 10.32% 13.77% 13.61% Russell 2000 Value Index (4) ............. 6.36% 11.23% 13.06% 13.59%
* 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 current performance may be lower or higher than the performance data quoted. 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. A portion of the fees charged to the Service Class of the Fund was waived through 2004. Performance prior to waiving fees was lowr than the actual returns shown for periods through 2004. 3. Fund performance for the five-year period represents the total returns achieved by the PlanAhead Class from 5/1/02 up to 5/1/03 (the inception date of the Service Class), and the returns of the Service Class since 5/1/03. 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 returns of the PlanAhead Class from 3/1/99 up to 5/1/03 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. 4. Russell 2000(R) Value Index is a registered trademark of 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. The Lipper Small-Cap Value Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Value Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. 5. The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, PlanAhead, Service and AMR Class shares was 0.85%, 1.09%, 1.37% and 0.58%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. The Fund outperformed the Index in eight of ten sectors as both stock selection and sector allocation added value to the Fund's relative performance. Holdings in the Financials, Industrials, and Information Technology sectors were a significant source of excess performance. Top contributors in Financials included American Financial Group (up 11.2%), 21st Century Insurance (up 33.5%), and Highland Hospitality (up 41.9%). In the Industrials sector, positions in AGCO (up 56.0%) and Navistar International (up 63.6%) were the major contributors. Avnet (up 52.6%) and SABRE Group Holdings (up 29.4%) were responsible for a large portion of the excess performance in the Information Technology sector. The Fund's significant underweighting in the Financials sector, the worst performing sector of the Index, generated positive relative performance. An overweight in the Industrials sector also provided positive performance relative to the Index. The sub-advisors continue to focus on uncovering investment opportunities through stock selection that should benefit the Fund's performance over the longer term. 4 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE FUND(SM) APRIL 30, 2007 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- Valassis Communications, Inc. ........... 0.9% Con-way, Inc. ........................... 0.9% Ingram Micro, Inc. ...................... 0.9% The Men's Wearhouse, Inc. ............... 0.8% Lubrizol Corp. .......................... 0.7% Flowserve Corp. ......................... 0.7% Great Plains Energy, Inc. ............... 0.7% Plexus Corp. ............................ 0.7% Brunswick Corp. ......................... 0.6% Vishay Intertechnology, Inc. ............ 0.6%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials .............................. 24.3% Industrials ............................. 19.5% Consumer Discretionary .................. 19.4% Information Technology .................. 12.9% Materials ............................... 6.7% Utilities ............................... 5.2% Energy .................................. 5.2% Health Care ............................. 3.5% Consumer Staples ........................ 2.8% Telecommunication Services .............. 0.5%
5 FUND EXPENSES AMERICAN BEACON SMALL CAP VALUE FUND(SM) APRIL 30, 2007 (UNAUDITED) 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, 2006 through April 30, 2007. 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.
BEGINNING ENDING ACCOUNT ACCOUNT EXPENSES PAID VALUE VALUE DURING PERIOD* 11/1/06 4/30/07 11/1/06-4/30/07 ---------- ---------- --------------- INSTITUTIONAL CLASS Actual $ 1,000.00 $ 1,103.22 $ 4.22 Hypothetical $ 1,000.00 $ 1,020.78 $ 4.06 (5% return before expenses) PLANAHEAD CLASS Actual $ 1,000.00 $ 1,101.82 $ 5.47 Hypothetical $ 1,000.00 $ 1,019.59 $ 5.26 (5% return before expenses) SERVICE CLASS Actual $ 1,000.00 $ 1,100.20 $ 6.93 Hypothetical $ 1,000.00 $ 1,018.20 $ 6.66 (5% return before expenses) AMR CLASS Actual $ 1,000.00 $ 1,104.97 $ 2.82 Hypothetical $ 1,000.00 $ 1,022.12 $ 2.71 (5% return before expenses)
* Expenses are equal to the Fund's annualized expense ratios for the six-month period of 0.81%, 1.05%, 1.33% and 0.54% 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. 6 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE --------- --------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 93.89% COMMUNICATIONS - 0.16% MEDIA - 0.16% Entravision Communications Corp. ## + .............. 302,700 $ 2,970 McClatchy Co. + .................................... 97,800 2,826 --------- TOTAL COMMUNICATIONS .................................. 5,796 --------- CONSUMER DISCRETIONARY - 18.19% AUTO COMPONENTS - 2.61% Aftermarket Technology Corp. ## .................... 148,800 4,111 American Axle & Manufacturing Holdings, Inc. + ..... 712,200 19,906 ArvinMeritor, Inc. + ............................... 499,800 10,321 Bandag, Inc., A Shares ............................. 3,500 176 BorgWarner, Inc. ................................... 43,100 3,358 Gentex Corp. + ..................................... 392,500 6,987 Keystone Automotive Industries, Inc. ## + .......... 99,400 3,306 Lear Corp. ## ...................................... 563,300 20,684 Modine Manufacturing Co. ........................... 254,200 5,880 Tenneco, Inc. ## + ................................. 176,000 5,271 TRW Automotive Holdings Corp. ## ................... 358,900 13,301 --------- 93,301 --------- HOTELS, RESTAURANTS & LEISURE - 1.35% CBRL Group, Inc. + ................................. 193,497 8,626 CEC Entertainment, Inc. ## ......................... 63,800 2,659 JAKKS Pacific, Inc. ## + ........................... 196,500 4,722 Landry's Restaurants, Inc. + ....................... 281,700 8,367 Live Nation, Inc. ## + ............................. 159,900 3,244 Lodgian, Inc. ## ................................... 495,000 6,841 Morton's Restaurant Group, Inc. ## ................. 154,000 2,592 Red Lion Hotels Corp. ## ........................... 79,800 1,017 Ruby Tuesday, Inc. + ............................... 28,400 760 Speedway Motorsports, Inc. ......................... 121,500 4,714 Sunterra Corp. ## + ................................ 285,200 4,560 --------- 48,102 --------- HOUSEHOLD DURABLES - 2.93% Beazer Homes USA, Inc. + ........................... 178,400 5,955 Blyth, Inc. ........................................ 25,600 668 Champion Enterprises, Inc. ## + .................... 1,117,000 11,483 Furniture Brands International, Inc. + ............. 916,550 14,738 Helen of Troy Ltd. ## + ............................ 369,900 8,397 M.D.C. Holdings, Inc. + ............................ 321,173 16,463 Meritage Homes Corp. ## + .......................... 46,800 1,629 Russ Berrie and Company, Inc. ## ................... 76,000 1,142 The Ryland Group, Inc. + ........................... 131,000 5,803 Standard Pacific Corp. + ........................... 19,100 398 Tempur-Pedic International, Inc. + ................. 336,200 8,731 The Toro Co. + ..................................... 161,720 8,127 Tupperware Corp. + ................................. 427,700 $ 12,027 WCI Communities, Inc. ## ........................... 418,300 9,136 --------- 104,697 --------- INTERNET & CATALOG RETAIL - 0.17% School Specialty, Inc. ## + ........................ 183,100 6,039 --------- LEISURE EQUIPMENT & PRODUCTS - 0.86% Brunswick Corp. + .................................. 708,600 23,214 Polaris Industries, Inc. + ......................... 129,600 6,549 Thor Industries, Inc. .............................. 27,800 1,107 --------- 30,870 --------- MEDIA - 1.49% Belo Corp. + ....................................... 373,100 7,190 Cinemark Holdings, Inc. ## ......................... 540 10 Courier Corp. + .................................... 70,999 2,826 Cox Radio, Inc. ## + ............................... 270,900 3,825 Dow Jones & Co., Inc. + ............................ 92,660 3,366 Entercom Communications Corp. + .................... 234,870 6,515 Getty Images, Inc. ## .............................. 31,380 1,632 Hearst-Argyle Television, Inc. ..................... 75,790 2,018 Journal Communications, Inc. ....................... 336,500 4,539 Lin TV Corp. ## + .................................. 17,675 282 Media General, Inc. + .............................. 87,400 3,211 Meredith Corp. + ................................... 93,210 5,399 Scholastic Corp. ## ................................ 113,400 3,501 Westwood One, Inc. + ............................... 1,318,100 8,976 --------- 53,290 --------- MULTILINE RETAIL - 0.99% BJ's Wholesale Club, Inc. ## ....................... 668,450 23,081 Fred's, Inc. + ..................................... 564,050 8,145 Tuesday Morning Corp. + ............................ 292,700 4,086 --------- 35,312 --------- SPECIALTY RETAIL - 6.53% Aeropostale, Inc. ## ............................... 105,700 4,350 American Greetings Corp. + ......................... 393,800 10,022 Asbury Automotive Group, Inc. ...................... 163,800 4,713 Big 5 Sporting Goods Corp. + ....................... 383,100 9,807 The Buckle, Inc. + ................................. 111,600 3,975 The Cato Corp. ..................................... 216,300 4,674 Charlotte Russe Holding, Inc. ## ................... 41,600 1,137 Charming Shoppes, Inc. ## + ........................ 863,620 10,795 Circuit City Stores, Inc. + ........................ 71,300 1,244 Conn's, Inc. ## + .................................. 86,500 2,245 Dress Barn, Inc. ## + .............................. 506,300 10,080 Ethan Allen Interiors, Inc. + ...................... 338,050 11,933 The Finish Line, Inc., Class A Shares + ............ 392,000 5,171 Foot Locker, Inc. .................................. 118,700 2,824 Genesco, Inc. ## + ................................. 141,800 7,186
See accompanying notes 7 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE --------- --------- (DOLLARS IN THOUSANDS) Group 1 Automotive, Inc. + .................. 379,900 $ 15,576 HOT Topic, Inc. ## .......................... 211,300 2,386 Insight Enterprises, Inc. ## + .............. 555,300 11,006 Jos. A. Bank Clothiers, Inc. ## + ........... 176,170 6,807 Lithia Motors, Inc. + ....................... 67,400 1,816 MarineMax, Inc. ## + ........................ 378,800 7,512 The Men's Wearhouse, Inc. ................... 670,600 29,017 OfficeMax, Inc. ............................. 67,800 3,337 Pacific Sunwear of California ## ............ 261,100 5,465 Regis Corp. ................................. 243,480 9,308 Rent-A-Center, Inc. ## + .................... 604,450 16,828 Sonic Automotive, Inc., A Shares ............ 593,500 16,968 Stage Stores, Inc. .......................... 96,320 2,124 United Auto Group, Inc. + ................... 22,500 456 Williams-Sonoma, Inc. + ..................... 28,900 1,018 Zale Corp. ## + ............................. 494,750 13,809 --------- 233,589 --------- TEXTILES & APPAREL - 1.26% Columbia Sportswear Co. + ................... 13,056 817 Jones Apparel Group, Inc. + ................. 72,500 2,421 Kenneth Cole Productions, Inc. + ............ 181,100 4,584 K-Swiss, Inc. + ............................. 179,539 5,185 New York & Co., Inc. ## ..................... 392,400 5,482 Steven Madden Ltd. .......................... 36,900 1,098 The Timberland Co. ## + ..................... 450,350 11,623 The Warnaco Group, Inc. ## .................. 488,300 13,809 --------- 45,019 --------- TOTAL CONSUMER DISCRETIONARY .................. 650,219 --------- CONSUMER STAPLES - 2.68% FOOD & DRUG RETAILING - 1.05% Agrium, Inc. ................................ 199,400 7,723 Casey's General Stores, Inc. ................ 244,900 6,159 Longs Drug Stores Corp. ..................... 264,050 14,454 Pathmark Stores, Inc. ## + .................. 349,400 4,410 Ruddick Corp. + ............................. 63,400 1,904 Winn-Dixie Stores, Inc. ## .................. 168,200 2,918 --------- 37,568 --------- FOOD PRODUCTS - 1.57% Del Monte Foods Co. ......................... 1,416,900 16,436 J&J Snack Foods Corp. ....................... 20,100 783 The JM Smucker Co. + ........................ 39,410 2,200 Lance, Inc. + ............................... 134,510 2,977 Pilgrim's Pride Corp. + ..................... 64,660 2,361 Ralcorp Holdings, Inc. ## + ................. 218,510 14,380 Sanderson Farms, Inc. + ..................... 147,200 5,819 Sensient Technologies Corp. ................. 194,150 5,083 Smithfield Foods, Inc. ## + ................. 200,900 $ 6,141 --------- 56,180 --------- TOBACCO - 0.06% Universal Corp. ............................. 31,200 1,955 --------- TOTAL CONSUMER STAPLES ........................ 95,703 --------- ENERGY - 4.89% ENERGY EQUIPMENT & SERVICES - 2.08% CARBO Ceramics, Inc. + ...................... 189,610 8,238 Dril-Quip, Inc. ## + ........................ 73,840 3,729 FMC Technologies, Inc. ## + ................. 19,100 1,354 Gulfmark Offshore, Inc. ## + ................ 20,900 1,001 Helmerich & Payne, Inc. + ................... 313,500 10,123 Oil States International, Inc. ## + ......... 467,130 15,850 Superior Well Services, Inc. ## + ........... 100,570 2,544 Tetra Technologies, Inc. ## + ............... 124,700 3,303 Tidewater, Inc. + ........................... 223,900 14,153 Unit Corp. ## ............................... 134,770 7,702 Universal Compression Holdings, Inc. ## ..... 93,900 6,251 --------- 74,248 --------- OIL & GAS - 2.81% Alon USA Energy, Inc. + ..................... 70,766 2,647 Berry Petroleum Co. + ....................... 263,100 8,961 Bronco Drilling Co., Inc. ## + .............. 348,300 6,297 Cabot Oil & Gas Corp. ....................... 37,120 1,352 Cimarex Energy Co. + ........................ 375,300 14,787 Encore Acquisition Co. ## + ................. 404,949 10,816 EXCO Resources, Inc. ## + ................... 948,800 15,930 Frontier Oil Corp. .......................... 45,000 1,590 The Houston Exploration Co. ## .............. 5,200 288 Penn Virginia Corp. ......................... 58,000 4,643 Pioneer Drilling Co. ## + ................... 460,600 6,315 Pogo Producing Co. + ........................ 129,600 6,255 Stone Energy Corp. ## ....................... 217,000 6,430 Tsakos Energy Navigation Ltd. + ............. 166,900 9,538 W&T Offshore, Inc. + ........................ 151,800 4,607 --------- 100,456 --------- TOTAL ENERGY .................................. 174,704 --------- FINANCIALS - 22.79% BANKS - 6.81% Anchor BanCorp Wisconsin, Inc. .............. 49,838 1,342 Astoria Financial Corp. ..................... 368,200 9,779 BancorpSouth, Inc. .......................... 154,800 3,803 Bank of Hawaii Corp. ........................ 193,600 10,241 BankAtlantic Bancorp, Inc. + ................ 598,430 5,769 Cathay General Bancorp + .................... 51,800 1,699 Chemical Financial Corp. + .................. 161,431 4,315
See accompanying notes 8 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE -------- ---------- (DOLLARS IN THOUSANDS) Chittenden Corp. + .................................. 208,925 $ 6,071 Citizens Banking Corp. + ............................ 544,600 10,897 City National Corp. + ............................... 50,480 3,696 Columbia Banking System, Inc. ....................... 91,600 2,780 Community Bank System, Inc. + ....................... 211,400 4,334 Community Banks, Inc. + ............................. 84,546 1,998 Community Trust Bancorp, Inc. ## .................... 30,400 1,011 Corus Bankshares, Inc. + ............................ 224,774 3,779 Cullen/Frost Bankers, Inc. .......................... 158,824 8,127 CVB Financial Corp. + ............................... 542,747 6,442 Dime Community Bancshares, Inc. ..................... 45,800 610 Downey Financial Corp. + ............................ 136,100 9,112 F.N.B. Corp. + ...................................... 392,600 6,588 First Charter Corp. ................................. 52,600 1,154 First Indiana Corp. + ............................... 70,300 1,365 First Midwest Bancorp, Inc. ......................... 24,800 891 FirstFed Financial Corp. ## + ....................... 12,700 781 FirstMerit Corp. + .................................. 235,500 4,917 Flagstar Bancorp, Inc. + ............................ 355,700 4,197 Flushing Financial Corp. ............................ 114,900 1,787 Fulton Financial Corp. + ............................ 506,978 7,463 Greater Bay Bancorp ................................. 77,100 1,988 Harleysville National Corp. + ....................... 98,509 1,663 IBERIABANK Corp. .................................... 44,300 2,325 Independent Bank Corp. .............................. 83,500 1,378 International Bancshares Corp. ...................... 268,728 7,726 MAF Bancorp, Inc. ................................... 133,770 5,371 National Penn Bancshares, Inc. + .................... 150,896 2,798 NBT Bancorp, Inc. + ................................. 150,606 3,306 Old National Bancorp + .............................. 64,700 1,157 Pacific Capital Bancorp + ........................... 218,700 5,890 Park National Corp. + ............................... 72,900 6,471 PFF Bancorp, Inc. + ................................. 8,200 231 Provident Bankshares Corp. + ........................ 112,820 3,615 Provident Financial Services, Inc. + ................ 98,300 1,685 S&T Bancorp, Inc. + ................................. 9,164 298 Sky Financial Group, Inc. ........................... 220,889 6,019 The South Financial Group, Inc. + ................... 166,700 3,772 Sterling Bancshares, Inc. ........................... 250,050 2,858 Susquehanna Bancshares, Inc. + ...................... 325,600 7,254 TierOne Corp. ....................................... 71,900 1,747 TrustCo Bank Corp NY + .............................. 128,000 1,174 Trustmark Corp. ..................................... 332,560 8,849 United Bankshares, Inc. ............................. 75,671 2,535 Washington Federal, Inc. + .......................... 693,794 16,450 Webster Financial Corp. ............................. 296,600 13,184 Whitney Holding Corp. + ............................. 214,500 6,600 Wilmington Trust Corp. .............................. 50,380 2,038 -------- 243,330 -------- DIVERSIFIED FINANCIALS - 3.68% Affiliated Managers Group, Inc. ## + ................ 88,000 $ 10,351 AmeriCredit Corp. ## + .............................. 222,675 5,618 Apollo Investment Corp. + ........................... 450,900 9,906 Ares Capital Corp. .................................. 276,700 4,970 Asset Acceptance Capital Corp. ## + ................. 342,922 6,317 Assured Guaranty Ltd. ............................... 197,900 5,583 Asta Funding, Inc. + ................................ 183,800 8,038 CBRE Realty Finance, Inc. + ......................... 220,560 2,856 CompuCredit Corp. ## + .............................. 261,300 9,449 Cowen Group, Inc. ## + .............................. 128,200 2,152 Financial Federal Corp. + ........................... 238,750 6,274 IndyMac Bancorp, Inc. + ............................. 243,306 7,358 Investment Technology Group, Inc. ## + .............. 269,000 10,179 Knight Capital Group, Inc. ## + ..................... 804,230 13,028 MCG Capital Corp. + ................................. 590,200 10,399 Nelnet, Inc. + ...................................... 205,200 5,518 Piper Jaffray Co. ## ................................ 137,253 8,758 Raymond James Financial, Inc. ....................... 58,200 1,786 Texas Capital Bancshares, Inc. ## + ................. 144,400 2,933 -------- 131,473 -------- INSURANCE - 8.47% 21st Century Insurance Group + ...................... 84,650 1,762 Alfa Corp. + ........................................ 78,803 1,414 American Equity Investment Life Holding Co. + ....... 379,700 5,183 American Financial Group, Inc. ...................... 230,400 8,126 American National Insurance Co. + ................... 11,600 1,514 Argonaut Group, Inc. ## ............................. 270,457 9,090 Aspen Insurance Holdings Ltd. ....................... 242,340 6,424 The Commerce Group, Inc. ............................ 319,900 10,432 Conseco, Inc. ## + .................................. 924,999 16,363 Delphi Financial Group, Inc. ........................ 518,750 22,151 Employers Holdings, Inc. ## ......................... 299,500 5,939 FBL Financial Group, Inc. ........................... 200,748 7,777 Great American Financial Resources, Inc. ............ 78,800 1,930 The Hanover Insurance Group, Inc. ................... 476,800 21,914 Harleysville Group, Inc. ............................ 167,821 5,125 HCC Insurance Holdings, Inc. ........................ 248,800 7,628 Horace Mann Educators Corp. ......................... 449,000 9,447 Infinity Property and Casualty Corp. ................ 139,998 6,511 KMG America Corp. ## ................................ 329,100 1,576 LandAmerica Financial Group, Inc. + ................. 70,700 5,681 Mercury General Corp. ............................... 259,800 14,068 The Midland Co. ..................................... 90,265 3,962 National Western Life Insurance Co. ................. 2,400 642 The Navigators Group, Inc. ## ....................... 179,700 9,181 Odyssey Re Holdings Corp. + ......................... 384,500 16,111 Ohio Casualty Corp. ................................. 352,040 11,138
See accompanying notes 9 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE --------- -------- (DOLLARS IN THOUSANDS) The Phoenix Companies, Inc. ........................... 240,600 $ 3,585 PMA Capital Corp. ## + ................................ 201,500 1,888 Presidential Life Corp. ............................... 154,800 2,943 ProAssurance Corp. ## ................................. 58,000 3,123 Protective Life Corp. ................................. 289,980 13,600 Quanta Capital Holdings Ltd. ## ....................... 265,200 565 Reinsurance Group of America, Inc. + .................. 253,300 15,783 Safety Insurance Group, Inc. + ........................ 113,100 4,531 Security Capital Assurance Ltd. ....................... 112,560 3,613 StanCorp Financial Group, Inc. + ...................... 394,900 18,797 Stewart Information Services Corp. + .................. 68,676 2,762 Triad Guaranty, Inc. ## + ............................. 196,000 8,665 United America Indemnity Ltd. ## ...................... 265,597 6,635 United Fire & Casualty, Co. ........................... 35,700 1,312 Unitrin, Inc. ......................................... 82,300 3,880 -------- 302,771 -------- REAL ESTATE - 3.83% Alexandria Real Estate Equities, Inc. ................. 19,570 2,072 American Financial Realty Trust + ..................... 769,700 8,159 Annaly Capital Management, Inc. ....................... 130,200 2,071 Anthracite Capital, Inc. .............................. 288,500 3,347 Anworth Mortgage Asset Corp. + ........................ 133,900 1,285 Bluegreen Corp. ## + .................................. 359,900 3,977 Brookfield Homes Corp. + .............................. 76,870 2,611 California Coastal Communities, Inc. + ................ 77,700 1,436 Capital Lease Funding, Inc. + ......................... 555,900 6,209 Corrections Corp of America ## + ...................... 49,939 2,837 Crystal River Capital, Inc. + ......................... 112,700 2,961 DiamondRock Hospitality Co. ........................... 433,500 7,929 Eagle Hospitality Properties Trust, Inc. .............. 196,000 2,597 Education Realty Trust, Inc. + ........................ 267,300 3,806 Equity Inns, Inc. + ................................... 521,300 8,914 Fieldstone Investment Corp. + ......................... 293,400 1,094 First Potomac Realty Trust + .......................... 114,800 2,963 Health Care Real Estate Investment Trust, Inc. ........ 52,520 2,376 Highland Hospitality Corp. + .......................... 509,000 9,696 Innkeepers USA Trust .................................. 230,000 4,041 Jones Lang LaSalle, Inc. .............................. 21,100 2,268 LaSalle Hotel Properties + ............................ 288,100 13,377 Lexington Realty Trust ................................ 441,890 9,231 MI Developments, Inc. ................................. 425,100 16,494 Mission West Properties, Inc. ......................... 183,300 2,680 Redwood Trust, Inc. ................................... 142,190 7,139 Strategic Hotel Capital, Inc. + ....................... 202,680 4,388 Thomas Properties Group, Inc. ......................... 49,400 $ 848 -------- 136,806 -------- TOTAL FINANCIALS ........................................ 814,380 -------- HEALTH CARE - 3.28% BIOTECHNOLOGY - 0.20% Charles River Laboratories International, Inc. ## + ... 58,930 2,791 Invitrogen Corp. ## ................................... 65,110 4,263 -------- 7,054 -------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.09% Kinetic Concepts, Inc. ## ............................. 15,200 760 Medical Action Industries, Inc. ## .................... 112,800 2,570 -------- 3,330 -------- HEALTH CARE PROVIDERS & SERVICES - 2.40% Air Methods Corp. ## + ................................ 107,100 2,946 Apria Healthcare Group, Inc. ## + ..................... 185,700 5,894 Kindred Healthcare, Inc. ## + ......................... 196,800 6,872 LifePoint Hospitals, Inc. ## + ........................ 598,870 21,865 Magellan Health Services, Inc. ## ..................... 150,560 6,459 MAXIMUS, Inc. ......................................... 376,900 13,169 MDS, Inc. ............................................. 61,400 1,166 Option Care, Inc. + ................................... 460,763 6,294 Pediatrix Medical Group, Inc. ## + .................... 178,420 10,179 RehabCare Group, Inc. ## .............................. 234,400 3,839 Res-Care, Inc. ## ..................................... 230,900 4,133 Universal Health Services, Inc. ....................... 45,100 2,739 -------- 85,555 -------- PHARMACEUTICALS - 0.59% Aspreva Pharmaceuticals Corp. ## + .................... 350,300 7,920 Endo Pharmaceuticals Holdings, Inc. ## + .............. 30,800 953 KV Pharmaceutical Co. ## + ............................ 101,300 2,635 Sciele Pharma, Inc. ## + .............................. 389,000 9,616 -------- 21,124 -------- TOTAL HEALTH CARE ....................................... 117,063 -------- INDUSTRIALS - 18.27% AEROSPACE & DEFENSE - 1.25% Alliant Techsystems, Inc. ## + ........................ 31,710 2,953 Armor Holdings, Inc. ## + ............................. 180,000 12,870 BE Aerospace, Inc. ## ................................. 267,100 9,789 Curtiss-Wright Corp. .................................. 106,500 4,589 Esterline Technologies Corp. ## + ..................... 150,400 6,276 Ladish Co., Inc. ## + ................................. 91,000 3,700 Moog, Inc. ## + ....................................... 68,200 2,900 United Industrial Corp. + ............................. 32,500 1,590 -------- 44,667 --------
See accompanying notes 10 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE --------- --------- (DOLLARS IN THOUSANDS) AIR FREIGHT & COURIERS - 0.47% Ryder System, Inc. + ...................... 319,200 $ 16,803 --------- BUILDING PRODUCTS - 1.25% Builders FirstSource, Inc. ## + ........... 159,300 2,570 Crane Co. ................................. 82,700 3,516 Drew Industries, Inc. ## + ................ 88,500 2,546 Griffon Corp. ## + ........................ 201,100 4,824 Insituform Technologies, Inc. ## + ........ 547,600 11,171 Lennox International, Inc. ................ 283,300 9,578 NCI Building Systems, Inc. ## + ........... 30,300 1,514 Simpson Manufacturing Co., Inc. + ......... 171,100 5,504 Universal Forest Products, Inc. + ......... 75,392 3,503 --------- 44,726 --------- CHEMICALS - 0.13% Pioneer Companies, Inc. ## + .............. 160,400 4,668 --------- COMMERCIAL SERVICES & SUPPLIES - 6.59% American Ecology Corp. + .................. 128,100 2,863 Bowne & Co., Inc. ......................... 462,700 7,718 The Brink's Co. + ......................... 99,650 6,328 Career Education Corp. ## ................. 168,800 4,986 Casella Waste Systems, Inc. ## ............ 272,900 2,538 Central Parking Corp. + ................... 162,090 3,628 CheckFree Corp. ## + ...................... 25,190 848 Clean Harbors, Inc. ## + .................. 189,910 8,835 Con-way, Inc. ............................. 572,000 31,248 CSG Systems International, Inc. ## + ...... 291,370 7,803 Deluxe Corp. .............................. 364,100 13,781 Electro Rent Corp. ## + ................... 22,506 292 Ennis, Inc. + ............................. 89,300 2,183 Headwaters, Inc. ## + ..................... 274,900 5,957 Hudson Highland Group, Inc. ## ............ 30,500 497 John H. Harland Co. + ..................... 160,000 8,416 Kelly Services, Inc. + .................... 397,300 11,403 Kforce, Inc. ## + ......................... 427,700 5,872 Labor Ready, Inc. ## ...................... 325,700 7,068 LECG Corp. ## + ........................... 774,300 11,343 McGrath Rentcorp + ........................ 133,338 4,020 Navigant Consulting, Inc. ## + ............ 369,600 7,089 PeopleSupport, Inc. ## + .................. 92,800 1,167 PHH Corp. ## .............................. 216,700 6,609 Pre-Paid Legal Services, Inc. ## + ........ 100,400 5,728 The Providence Service Corp. ## + ......... 175,100 4,199 Spherion Corp. ## ......................... 649,300 5,552 Steelcase, Inc., A Shares + ............... 107,170 2,092 Tetra Tech, Inc. ## ....................... 55,300 1,151 United Stationers, Inc. ## + .............. 245,050 14,585 Valassis Communications, Inc. ## + ........ 1,707,100 $ 32,708 Waste Connections, Inc. ## + .............. 227,770 7,100 --------- 235,607 --------- CONSTRUCTION & ENGINEERING - 0.56% Comfort Systems USA, Inc. ................ 99,822 1,247 Granite Construction, Inc. ............... 19,910 1,200 Infrasource Services, Inc. ## ............ 96,800 3,231 KBR, Inc. ## ............................. 106,440 2,199 The Shaw Group, Inc. ## + ................ 372,350 12,075 --------- 19,952 --------- DIVERSIFIED MANUFACTURING - 0.88% Barnes Group, Inc. + ..................... 629,500 15,297 Kennametal, Inc. ......................... 231,250 16,317 --------- 31,614 --------- ELECTRICAL EQUIPMENT - 1.04% AO Smith Corp. ........................... 135,000 5,144 Brady Corp. + ............................ 203,200 6,677 II-VI, Inc. ## + ......................... 120,300 3,259 Regal-Beloit Corp. + ..................... 445,000 20,523 Thomas & Betts Corp. ## .................. 26,090 1,421 --------- 37,024 --------- INDUSTRIAL CONGLOMERATES - 0.09% Chemed Corp. ............................. 64,500 3,244 --------- MACHINERY - 3.13% Actuant Corp. + .......................... 27,400 1,452 AGCO Corp. ## + .......................... 309,110 12,899 Albany International Corp. ............... 23,500 900 Blount International, Inc. ## + .......... 169,900 2,316 Briggs & Stratton Corp. + ................ 78,100 2,317 Flanders Corp. ## + ...................... 235,200 1,607 Flowserve Corp. .......................... 393,100 23,983 Harsco Corp. + ........................... 299,800 15,290 Kaydon Corp. + ........................... 388,300 18,456 Lincoln Electric Holdings, Inc. ## ....... 10,700 682 Miller Industries, Inc. ## ............... 29,100 678 Mueller Industries, Inc. ................. 231,210 7,584 Reliance Steel & Aluminum Co. + .......... 40,000 2,376 The Timken Co. + ......................... 596,400 19,669 Wabash National Corp. + .................. 110,100 1,713 --------- 111,922 --------- MARINE - 0.76% Alexander & Baldwin, Inc. + .............. 202,800 10,840 Hornbeck Offshore Services, Inc. ## + .... 42,700 1,351 Kirby Corp. ## ........................... 293,400 11,090 Overseas Shipholding Group, Inc. + ....... 54,000 3,823 --------- 27,104 ---------
See accompanying notes 11 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ---------- ---------- (DOLLARS IN THOUSANDS) RENTAL AUTO/EQUIPMENT - 0.45% Avis Budget Group, Inc. ............................ 178,150 $ 5,011 United Rentals, Inc. ## + .......................... 324,800 10,881 ---------- 15,892 ---------- ROAD & RAIL - 1.41% Arkansas Best Corp. + .............................. 163,800 6,454 Covenant Transport, Inc. ## + ...................... 182,300 1,942 GATX Corp. ......................................... 17,000 833 Swift Transportation Co., Inc. ## .................. 486,153 15,207 Werner Enterprises, Inc. + ......................... 378,500 7,157 YRC Worldwide, Inc. ## + ........................... 474,100 18,864 ---------- 50,457 ---------- TRADING COMPANIES & DISTRIBUTORS - 0.07% MSC Industrial Direct Co., Inc. .................... 52,970 2,582 ---------- TRANSPORT-SERVICES - 0.19% Bristow Group, Inc. ## + ........................... 182,100 6,847 ---------- TOTAL INDUSTRIALS ..................................... 653,109 ---------- INFORMATION TECHNOLOGY - 12.10% COMMUNICATIONS EQUIPMENT - 1.69% Andrew Corp. ## .................................... 196,690 2,148 Avocent Corp. ## + ................................. 245,800 6,885 CommScope, Inc. ## + ............................... 240,000 11,196 Comtech Telecommunications Corp. ## + .............. 186,950 7,076 DSP Group, Inc. ## ................................. 73,400 1,355 Emulex Corp. ## + .................................. 398,470 8,360 Foundry Networks, Inc. ## + ........................ 510,920 7,725 Plantronics, Inc. + ................................ 166,700 4,186 Powerwave Technologies, Inc. ## + .................. 923,080 5,751 Symmetricom, Inc. ## + ............................. 11,900 97 Tekelec, Inc. ## + ................................. 387,850 5,562 ---------- 60,341 ---------- COMPUTERS & PERIPHERALS - 0.56% Avid Technology, Inc. ## + ......................... 139,230 4,629 Electronics for Imaging, Inc. ## + ................. 292,730 7,807 Mercury Computer Systems, Inc. ## + ................ 554,300 7,522 ---------- 19,958 ---------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 5.09% Anixter International, Inc. ## ..................... 63,959 4,579 Arrow Electronics, Inc. ## ......................... 256,900 10,153 Benchmark Electronics, Inc. ## + ................... 760,100 16,099 Cree, Inc. ## + .................................... 70,500 1,438 Diebold, Inc. ...................................... 310,000 14,778 Global Imaging Systems, Inc. ## .................... 226,300 6,538 IKON Office Solutions, Inc. ........................ 685,200 10,250 Ingram Micro, Inc. ## .............................. 1,566,450 30,734 Littelfuse, Inc. ## + .............................. 337,200 $ 13,525 Methode Electronics, Inc. + ........................ 746,000 11,250 Mettler-Toledo International, Inc. ## .............. 16,100 1,572 MTS Systems Corp. .................................. 92,400 3,928 Multi-Fineline Electronix, Inc. ## + ............... 75,600 1,212 Park Electrochemical Corp. ......................... 60,500 1,667 PerkinElmer, Inc. .................................. 89,740 2,172 Plexus Corp. ## + .................................. 1,110,300 23,272 TTM Technologies, Inc. ## + ........................ 598,000 5,489 Vishay Intertechnology, Inc. ## .................... 1,392,800 23,190 ---------- 181,846 ---------- INTERNET SOFTWARE & SERVICES - 0.50% EarthLink, Inc. ## + ............................... 378,600 2,900 Netgear, Inc. ## + ................................. 177,595 5,969 NIC, Inc. + ........................................ 435,700 2,475 United Online, Inc. ................................ 463,080 6,682 ---------- 18,026 ---------- IT CONSULTING & SERVICES - 0.68% BearingPoint, Inc. ## + ............................ 429,000 3,149 Lionbridge Technologies ## + ....................... 364,500 1,852 Perot Systems Corp. ## ............................. 360,700 6,456 Phase Forward, Inc. ## ............................. 234,500 3,724 SI International, Inc. ## + ........................ 88,800 2,350 SRA International, Inc. ## + ....................... 46,890 1,145 SYNNEX Corp. ## + .................................. 129,700 2,536 Unisys Corp. ## + .................................. 384,600 3,015 ---------- 24,227 ---------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.38% Actel Corp. ## ..................................... 222,300 3,254 Advanced Energy Industries, Inc. ## ................ 121,916 2,987 Brooks Automation, Inc. ## + ....................... 706,700 12,346 Cirrus Logic, Inc. ## .............................. 371,100 3,073 Cymer, Inc. ## ..................................... 52,000 2,106 Fairchild Semiconductor International, Inc. ## ..... 94,350 1,661 FEI Co. ## + ....................................... 163,900 6,097 Integrated Device Technology, Inc. ## .............. 117,850 1,765 Kulicke and Soffa Industries, Inc. ## .............. 373,700 3,729 Micrel, Inc. ## .................................... 227,100 2,850 Microsemi Corp. ## + ............................... 222,490 5,142 MKS Instruments, Inc. ## + ......................... 719,400 19,388 Omnivision Technologies, Inc. ## + ................. 230,485 3,116 Photronics, Inc. ## + .............................. 121,200 1,824 Rudolph Technologies, Inc. ## + .................... 176,900 3,055 Semtech Corp. ## ................................... 296,640 4,278 Teradyne, Inc. ## .................................. 482,960 8,428 ---------- 85,099 ---------- SOFTWARE - 1.20% Agile Software Corp. ## + .......................... 262,700 1,889
See accompanying notes 12 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ----------- ----------- (DOLLARS IN THOUSANDS) Computer Programs and Systems, Inc. + .............. 90,400 $ 2,879 Epicor Software Corp. ## + ......................... 257,900 3,740 EPIQ Systems, Inc. ## + ............................ 147,100 3,476 Fair Isaac Corp. ................................... 25,410 907 Mentor Graphics Corp. ## + ......................... 1,185,500 19,181 Novell, Inc. ## + .................................. 618,000 4,512 Sybase, Inc. ## + .................................. 263,620 6,377 ----------- 42,961 ----------- TOTAL INFORMATION TECHNOLOGY .......................... 432,458 ----------- MATERIALS - 6.29% CHEMICALS - 2.98% Cytec Industries, Inc. ............................. 120,300 6,605 FMC Corp. .......................................... 233,920 17,996 Georgia Gulf Corp. + ............................... 815,500 13,024 H.B. Fuller Co. .................................... 213,000 5,446 International Flavors & Fragrances, Inc. ........... 55,500 2,701 Lubrizol Corp. + ................................... 411,100 24,641 Olin Corp. ......................................... 570,400 9,777 PolyOne Corp. ## ................................... 1,879,500 12,330 RPM International, Inc. ............................ 30,200 642 Tronox, Inc. + ..................................... 397,900 5,562 UAP Holding Corp. .................................. 37,800 1,046 Westlake Chemical Corp. + .......................... 229,200 6,690 ----------- 106,460 ----------- CONSTRUCTION MATERIALS - 0.24% Ameron International Corp. + ....................... 62,900 4,349 Florida Rock Industries, Inc. ...................... 19,500 1,348 U.S. Concrete, Inc. ## + ........................... 348,500 2,966 ----------- 8,663 ----------- CONTAINERS & PACKAGING - 0.14% AptarGroup, Inc. + ................................. 36,400 2,666 Silgan Holdings, Inc. .............................. 37,958 2,178 ----------- 4,844 ----------- METALS & MINING - 2.51% AMCOL International Corp. + ........................ 97,700 2,348 Century Aluminum Co. ## + .......................... 420,200 19,880 Compass Minerals International, Inc. + ............. 103,200 3,544 Foundation Coal Holdings, Inc. + ................... 212,600 8,374 Gibraltar Industries, Inc. ......................... 530,000 11,819 GrafTech Int'l, Ltd. ## ............................ 716,200 7,148 Metal Management, Inc. ............................. 153,700 7,388 Quanex Corp. + ..................................... 90,150 3,879 RTI International Metals, Inc. ## .................. 52,200 4,921 USEC, Inc. ## + .................................... 329,000 6,636 Worthington Industries, Inc. + ..................... 627,800 13,968 ----------- 89,905 ----------- PAPER & FOREST PRODUCTS - 0.42% Glatfelter + ........................................ 198,700 $ 2,970 Louisiana-Pacific Corp. ............................. 286,500 5,647 Neenah Paper, Inc. + ................................ 99,500 3,801 Wausau Paper Corp. + ................................ 189,800 2,555 ----------- 14,973 ----------- TOTAL MATERIALS ....................................... 224,845 ----------- TELECOMMUNICATION SERVICES - 0.31% DIVERSIFIED TELECOMMUNICATION - 0.31% Cincinnati Bell, Inc. ## ............................ 1,663,740 8,435 Iowa Telecommunications Services, Inc. + ............ 84,600 1,718 Premiere Global Services, Inc. ## ................... 79,000 962 ----------- TOTAL TELECOMMUNICATION SERVICES ...................... 11,115 ----------- UTILITIES - 4.93% ELECTRIC UTILITIES - 2.77% Black Hills Corp. + ................................. 174,400 6,943 El Paso Electric Co. ## ............................. 164,400 4,340 Great Plains Energy, Inc. + ......................... 713,800 23,298 Hawaiian Electric Industries, Inc. + ................ 71,070 1,871 Idacorp, Inc. ## .................................... 43,600 1,502 NSTAR ............................................... 471,300 16,920 OGE Energy Corp. .................................... 389,200 14,961 PNM Resources, Inc. + ............................... 232,540 7,569 Puget Energy, Inc. .................................. 402,800 10,400 TECO Energy, Inc. ................................... 97,600 1,752 Westar Energy, Inc. + ............................... 350,000 9,527 ----------- 99,083 ----------- GAS UTILITIES - 2.16% AGL Resources, Inc. + ............................... 486,540 21,184 Atmos Energy Corp. .................................. 335,930 10,656 Energen Corp. ....................................... 70,900 3,974 Integrys Energy Group, Inc. + ....................... 194,200 10,895 The Laclede Group, Inc. ............................. 145,400 4,564 National Fuel Gas Co. + ............................. 158,000 7,428 New Jersey Resources Corp. .......................... 35,800 1,922 Southern Union Co. .................................. 160,348 4,884 UGI Corp. + ......................................... 46,330 1,314 Vectren Corp. + ..................................... 111,500 3,241 WGL Holdings, Inc. + ................................ 212,500 7,191 ----------- 77,253 ----------- TOTAL UTILITIES ....................................... 176,336 ----------- TOTAL COMMON STOCKS ................................... 3,355,728 ----------- SHORT TERM INVESTMENTS - 7.52% American Beacon Money Market Select Fund ++ ......... 254,691,069 254,691
See accompanying notes 13 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------- ------------- (DOLLARS IN THOUSANDS) United States Treasury Bill, 5.01%, Due 6/7/2007 # @ .................... $ 14,055 $ 13,984 ------------- TOTAL SHORT TERM INVESTMENTS .......................... 268,675 -------------
SHARES ------------- SECURITIES LENDING COLLATERAL - 24.71% American Beacon Cash Plus Trust ++ ................. 520,933,885 520,934 American Beacon Money Market Select Fund ++ ........ 362,283,601 362,283 ------------- TOTAL SECURITIES LENDING COLLATERAL ................... 883,217 ------------- TOTAL INVESTMENTS 126.12% - (COST $3,985,211) 4,507,620 LIABILITIES, NET OF OTHER ASSETS - (26.12%) ................ (933,499) ------------- TOTAL NET ASSETS - 100.00% ................................. $ 3,574,121 =============
Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ The Fund/Trust is affiliated by having the same investment advisor. # Rates represent discount rate. @ At April 30, 2007, security pledged as collateral for open futures contracts. FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ CONTRACTS DATE VALUE (DEPRECIATION) --------- --------- -------- -------------- Emini Mini Russell ...... 3,228 Jun 2007 $264,341 $7,300 ======== ======
See accompanying notes 14 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF ASSETS AND LIABILITIES April 30, 2007 (Unaudited) (in thousands, except share and per share amounts) ASSETS: Investments in unaffiliated securities, at value A C ............... $ 3,369,712 Investments in affiliated securities, at value B ................... 1,137,908 Receivable for investments sold .................................... 13,614 Dividends and interest receivable .................................. 2,847 Receivable for fund shares sold .................................... 3,100 Prepaid expenses ................................................... 79 ----------- TOTAL ASSETS ..................................................... 4,527,260 ----------- LIABILITIES: Payable for investments purchased .................................. 13,715 Payable upon return of securities loaned ........................... 883,217 Payable for fund shares redeemed ................................... 44,830 Payable for variation margin on open futures contracts ............. 5,133 Management and investment advisory fees payable (Note 2) ........... 4,805 Administrative service and service fees payable .................... 922 Other liabilities .................................................. 517 ----------- TOTAL LIABILITIES ................................................ 953,139 ----------- NET ASSETS ............................................................ $ 3,574,121 =========== ANALYSIS OF NET ASSETS: Paid-in-capital .................................................... 2,873,581 Undistributed net investment income ................................ 7,808 Accumulated net realized gain ...................................... 163,023 Unrealized appreciation of investments, futures contracts, and foreign currency ............................................. 529,709 ----------- NET ASSETS ............................................................ $ 3,574,121 =========== SHARES OUTSTANDING (NO PAR VALUE): Institutional Class ................................................ 65,912,259 =========== PlanAhead Class .................................................... 64,838,943 =========== Service Class ...................................................... 3,379,737 =========== AMR Class .......................................................... 22,899,513 =========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class ................................................ $ 22.98 =========== PlanAhead Class .................................................... $ 22.51 =========== Service Class ...................................................... $ 22.37 =========== AMR Class .......................................................... $ 22.90 =========== - --------- A Cost of investments in unaffiliated securities ...................... $ 2,847,303 B Cost of investments in affiliated securities ........................ $ 1,137,908 C Market value of securities on loan .................................. $ 865,499
See accompanying notes 15 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF OPERATIONS Six Months Ended April 30, 2007 (in thousands) (Unaudited) INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes)* ..... $ 23,233 Dividend income from affiliated securities ............................... 4,592 Interest income .......................................................... 592 Income derived from securities lending, net .............................. 966 --------- TOTAL INVESTMENT INCOME ............................................. 29,383 --------- EXPENSES: Management and investment advisory fees (Note 2) ......................... 8,437 Administrative service fees (Note 2): Institutional Class .................................................... 1,758 PlanAhead Class ........................................................ 1,728 Service Class .......................................................... 92 Transfer agent fees: Institutional Class .................................................... 112 PlanAhead Class ........................................................ 82 Service Class .......................................................... 11 AMR Class .............................................................. 4 Custody and fund accounting fees ......................................... 228 Professional fees ........................................................ 32 Registration fees and expenses ........................................... 32 Service fees: PlanAhead Class (Note 2) ............................................... 1,729 Service Class (Note 2) ................................................. 92 Distribution fees - Service Class (Note 2) ............................... 92 Prospectus and shareholder reports ....................................... 145 Other expenses ........................................................... 126 --------- TOTAL EXPENSES ...................................................... 14,700 --------- Net fees recouped by Manager (Note 2) .................................... 2 --------- NET EXPENSES ........................................................ 14,702 --------- NET INVESTMENT INCOME ....................................................... 14,681 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments ............................................................ 170,318 Commission recapture (Note 1) .......................................... 129 Futures contracts ...................................................... 5,476 Change in net unrealized appreciation or depreciation of: Investments ............................................................ 133,416 Futures contracts ...................................................... 3,033 --------- NET GAIN ON INVESTMENTS ............................................. 312,372 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................ $ 327,053 ========= * Foreign taxes .......................................................... $ 21
See accompanying notes 16 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF CHANGES OF NET ASSETS (in thousands)
Six Months Year Ended Ended October 31, April 30, 2007 2006 -------------- ----------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ............................................ $ 14,681 $ 23,105 Net realized gain on investments, futures contracts, and foreign currency transactions .......................................... 175,923 202,671 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations ................................................. 136,449 212,133 -------------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........ 327,053 437,909 -------------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ............................................ (10,903) (7,101) PlanAhead Class ................................................ (8,142) (6,167) Service Class .................................................. (295) (139) AMR Class ...................................................... (4,490) (3,772) Net realized gain on investments: Institutional Class ............................................ (90,742) (46,081) PlanAhead Class ................................................ (94,401) (59,088) Service Class .................................................. (5,063) (2,120) AMR Class ...................................................... (28,623) (17,954) -------------- ----------- NET DISTRIBUTIONS TO SHAREHOLDERS ........................... (242,659) (142,422) -------------- ----------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares .................................... 504,929 721,048 Reinvestment of dividends and distributions ...................... 237,930 138,617 Cost of shares redeemed .......................................... (389,429) (886,291) -------------- ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS .............................................. 353,430 (26,626) -------------- ----------- NET INCREASE IN NET ASSETS .......................................... 437,824 268,861 -------------- ----------- NET ASSETS: Beginning of period .............................................. 3,136,297 2,867,436 -------------- ----------- END OF PERIOD * .................................................. $ 3,574,121 $ 3,136,297 ============== =========== *Includes undistributed net investment income of .................... $ 7,808 $ 17,578 ============== ===========
See accompanying notes 17 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American Beacon Funds (the "Trust") 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, diversified, 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") 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 DISTRIBUTIONS FEES: - ------ ----------- ---------------------------------- INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service Fee - 0.25% PLANAHEAD CLASS General public and investors investing through an intermediary Administrative Service Fee - 0.25% Service Fee - 0.25% SERVICE CLASS Investors investing through an intermediary Administrative Service Fee - 0.25% Service Fee - 0.25% Distribution Fee - 0.25% AMR CLASS Investors in the tax-exempt retirement and benefit plans of AMR Corporation and its affiliates N/A
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 Investments are valued at the close of the New York Stock Exchange (the "Exchange"), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. When a price is unavailable from a pricing service or when the price provided by the pricing service is deemed not to represent fair value, the prices of debt securities may be determined using quotes obtained from brokers. Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates market value. Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the "Board"). 18 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) Security Transactions and Investment Income Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund 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, net of foreign taxes, 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 U.S. 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. This amount is reported with the net realized gain in the Fund's Statement of Operations. 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 April 30, 2007 (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. Recently Issued Accounting Pronouncements On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" ("FIN 48"). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, the Manager is evaluating the implications of FIN 48 and its potential impact on the financial statements has not yet been determined. In September 2006, the FASB issued Statement on Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The Manager is evaluating the impact of FAS 157; however, it is not expected to have a material impact on the Fund's net assets or results of operations. 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 0.10% 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, 2007 were as follows (dollars in thousands):
AMOUNTS PAID TO MANAGEMENT FEE RATE MANAGEMENT FEE INVESTMENT ADVISORS NET AMOUNTS RETAINED BY MANAGER - ------------------- -------------- ------------------- ------------------------------- 0.35%-0.60% $ 8,437 $ 6,773 $ 1,664
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 20 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) 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. This fee is netted against securities lending income in the Statement of Operations. During the six months ended April 30, 2007, securities lending fees paid to the Manager were $152,718. 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 0.25% 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 Fund, has adopted a "defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under the Act, 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. Investment in Affiliated Funds The Fund is permitted, pursuant to an exemptive order by the Securities and Exchange Commission ("SEC") and procedures approved by the Board, to invest up to 25% of its total assets in the American Beacon Money Market Select Fund (the "Select Fund"). Cash collateral received by the Fund in connection with securities lending may be invested in the Select Fund and the American Beacon Cash Plus Trust (the "Cash Trust") (collectively, the "Affiliated Funds"). The Fund and the Affiliated Funds have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the Affiliated Funds and receives from each Affiliated Fund an annualized fee equal to 0.10% of its average daily net assets. During the six months ended April 30, 2007, the Manager earned fees from the Affiliated Funds totaling $91,922 on the Fund's direct investment in the Affiliated Funds and $415,739 from securities lending collateral invested in the Affiliated Funds. 21 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (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 as a borrower. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the six months ended April 30, 2007, the Fund did not utilize the credit facility. Expense Reimbursement Plan The Fund has 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 sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. During the six months ended April 30, 2007 the Manager recouped prior fee waivers totaling $1,801. There are no further fee waivers or reimbursed expenses subject to potential recovery. Other At April 30, 2007, AMR Corporation and subsidiary companies and employee benefit trusts thereof owned 16% of the Fund. 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 categorized 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 paid during the six months ended April 30, 2007 and the fiscal year ended October 31, 2006 were as follows (in thousands):
SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2007 2006 ---------------- ----------- (unaudited) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class .......... $ 36,984 $ 20,806 PlanAhead Class .............. 35,274 23,742 Service Class ................ 1,750 770 AMR Class .................... 12,717 9,112 LONG-TERM CAPITAL GAIN Institutional Class .......... 64,662 32,376 PlanAhead Class .............. 67,268 41,513 Service Class ................ 3,608 1,489 AMR Class .................... 20,396 12,614 ---------------- ----------- TOTAL DISTRIBUTIONS PAID ............. $ 242,659 $ 142,422 ================ ===========
* For tax purposes, short-term capital gains are considered ordinary income distributions. 22 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) As of April 30, 2007, the components of distributable earnings on a tax basis were as follows (in thousands): Cost basis of investments for federal income tax purposes ...................... $3,994,150 Unrealized appreciation ........................................................ 600,119 Unrealized depreciation ........................................................ (86,649) ---------- Net unrealized appreciation/(depreciation) ..................................... 513,470 Undistributed ordinary income .................................................. 42,250 Undistributed long-term gain/(loss) ............................................ 144,820 ---------- Distributable earnings ......................................................... $ 700,540 ==========
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, and reclassifications of income from real estate investment securities. 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 regulations, 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 derived from reclassifications of income from real estate investment securities, foreign currency, and dividend reclasses that have been reclassified as of April 30, 2007 (in thousands): Paid-in-capital ................................................................ $ (131) Undistributed net investment income ............................................ (621) Accumulated net realized gain (loss) ........................................... 752 Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency ............................................... --
4. INVESTMENT TRANSACTIONS The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the six months ended April 30, 2007 were (in thousands) $836,020 and $779,595, respectively. A summary of the Fund's direct transactions in Affiliated Funds for the six months ended April 30, 2007 is set forth below (in thousands):
OCTOBER 31, 2006 APRIL 30, 2007 AFFILIATE SHARES/MARKET VALUE SALES SHARES/MARKET VALUE PURCHASES - --------- ------------------- --------- ------------------- --------- Select Fund $ 114,617 $ 724,636 $ 584,562 $ 254,691
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 the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is marked to market and monitored daily. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent (the "Agent") in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. The Fund, the Agent and the Manager retain 65%, 25% and 10%, respectively of the income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs. To the 23 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS April 30, 2007 (Unaudited) extent that a loan is secured by non-cash collateral, brokers pay the Fund negotiated lenders' fees, which are divided between the Fund, the Agent and the Manager 65%, 25% and 10%, respectively. 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, 2007, 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 - ------------------ ------------------- --------------- $ 865,499 $17,988 $ 883,217
Cash collateral is invested in a joint investment account, which is comprised of an investment in the Affiliated Funds. The allocated 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. 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 (dollars and shares in thousands): Six Months Ended April 30, 2007
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------ ---------------- ------------------ SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------ --------- ------ --------- ------ -------- ------ --------- Shares sold .......................... 9,350 $ 207,469 6,862 $ 150,942 652 $ 14,242 5,964 $ 132,276 Reinvestment of dividends ............ 4,613 98,950 4,782 100,509 256 5,358 1,551 33,113 Shares redeemed ...................... (6,584) (147,506) (7,221) (157,799) (747) (16,297) (2,979) (67,827) ------ --------- ------ --------- ---- -------- ------ --------- Net increase in shares outstanding ... 7,379 $ 158,913 4,423 $ 93,652 161 $ 3,303 4,536 $ 97,562 ====== ========= ====== ========= ==== ======== ====== =========
Year Ended October 31, 2006
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------- ----------------- ------------------ SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- --------- ------- ---------- ------ --------- ------ --------- Shares sold .......................... 18,285 $ 389,424 12,755 $ 269,509 1,941 $ 40,521 1,002 $ 21,594 Reinvestment of dividends ............ 2,467 50,759 3,162 63,873 112 2,259 1,061 21,726 Shares redeemed ...................... (14,930) (320,285) (21,412) (446,771) (1,078) (22,608) (4,550) (96,627) ------- --------- ------- ---------- ------ --------- ------ --------- Net increase (decrease) in shares outstanding ....................... 5,822 $ 119,898 (5,495) $ (113,389) 975 $ 20,172 (2,487) $ (53,307) ======= ========= ======= ========== ====== ========= ====== =========
24 (This Page intentionally left blank) 25 AMERICAN BEACON SMALL CAP VALUE FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class ------------------------------------------------------------------ Six Months Year Ended October 31 Ended April -------------------------------------------------- 30, 2007 2006 2005(B) 2004(C) 2003(A) 2002 ----------- ---------- ---------- -------- ------- ------- (unaudited) Net asset value, beginning of period ........................... $ 22.53 $ 20.43 $ 18.85 $ 16.21 $11.28 $ 11.69 ----------- ---------- ---------- -------- ------- ------- Income from investment operations: Net investment income (loss)(D) ........................ 0.11 0.18 0.11 0.07 (0.01) (0.01) Net gains (losses) on securities (both realized and unrealized)(D) ............... 2.09 2.95 2.31 3.09 5.24 0.47 ----------- ---------- ---------- -------- ------- ------- Total income (loss) from investment operations ............... 2.20 3.13 2.42 3.16 5.23 0.46 ----------- ---------- ---------- -------- ------- ------- Less distributions: Dividends from net Investment income ................ (0.19) (0.14) (0.07) (0.08) (0.02) (0.11) Distributions from net realized gains on securities ........................ (1.56) (0.89) (0.77) (0.44) (0.28) (0.76) ----------- ---------- ---------- -------- ------- ------- Total distributions ................... (1.75) (1.03) (0.84) (0.52) (0.30) (0.87) ----------- ---------- ---------- -------- ------- ------- Net asset value, end of period .............................. $ 22.98 $ 22.53 $ 20.43 $ 18.85 $ 16.21 $ 11.28 =========== ========== ========== ======== ======= ======= Total return .......................... 10 .32%(E) 15.80% 12.90% 19.86% 47.45% 3.29% =========== ========== ========== ======== ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ................. $ 1,514,877 $1,319,024 $1,076,909 $429,540 $89,579 $21,936 Ratios to average net assets (annualized): Expenses, net of waivers(D) .................... 0.81% 0.82% 0.87% 0.89% 0.89% 0.82% Expenses before waivers(D) .................... 0.81% 0.82% 0.87% 0.89% 0.89% 0.82% Net investment income, net of waivers(D) ............ 0.96% 0.83% 0.66% 0.57% 0.60% 0.81% Net investment income (loss), before waivers(D) ................... 0.96% 0.83% 0.66% 0.57% 0.60% 0.81% Portfolio turnover rate(G) ........ 25%(E) 48% 47% 35% 75% 81%
PlanAhead Class ------------------------------------------- Six Months Year Ended October 31 Ended April ---------------------------- 30, 2007 2006 2005(B) ----------- ---------- ------------- (unaudited) Net asset value, beginning of period ........................... $ 22 .08 $ 20.04 $ 18.54 ---------- ---------- ----------- Income from investment operations: Net investment income (loss)(D) ........................ 0.08 0.13 0.09 Net gains (losses) on securities (both realized and unrealized)(D) ............... 2.04 2.89 2.24 ---------- ---------- ----------- Total income (loss) from investment operations ............... 2.12 3.02 2.33 ---------- ---------- ----------- Less distributions: Dividends from net Investment income ................ (0.13) (0.09) (0.06) Distributions from net realized gains on securities ........................ (1.56) (0.89) (0.77) ---------- ---------- ----------- Total distributions ................... (1.69) (0.98) (0.83) ---------- ---------- ----------- Net asset value, end of period .............................. $ 22.51 $ 22.08 $ 20.04 ========== ========== =========== Total return .......................... 10.18%(E) 15.56% 12.63% ========== ========== =========== Ratios and supplemental data: Net assets, end of period (in thousands) ................. $1,459,342 $1,333,814 $ 1,320,853 Ratios to average net assets (annualized): Expenses, net of waivers(D) .................... 1.05% 1.06% 1.10% Expenses before ................ waivers(D) .................... 1.05% 1.06% 1.10% Net investment income, net of waivers(D) ............ 0.72% 0.59% 0.42% Net investment income (loss), before waivers(D) ................... 0.72% 0.59% 0.42% Portfolio turnover rate(G) ........ 25%(E) 48% 47%
(A) Barrow, Hanley, Mewhinney & Strauss, Inc. was added as an investment advisor to the Small Cap Value Fund on September 18, 2003. (B) Opus Capital Group, LLC was added as an investment advisor on February 1, 2005 and Metropolitan West Capital Management, LLC, SSgA Funds Management, Inc. and Dreman Value Management, LLC were added as investment advisors on August 12, 2005. (C) The Boston Company Asset Management, LLC was added as an investment advisor to the Small Cap Value Fund on September 27, 2004. (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 AMR Investment Services Small Cap Value Portfolio through February 28, 2002. (E) Not annualized. (F) Annualized (G) 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. (H) Portfolio turnover rate is for the period from November 1, 2002 through October 31, 2003. 26
Service Class ------------------------------------------------------------------ Six Months Ended Year Ended October 31 May 1 to April 30, ---------------------------------- October 31, 2004(C) 2003(A) 2002 2007 2006 2005(B) 2004(C) 2003(A) - --------- -------- -------- ----------- -------- -------- -------- ------------ (unaudited) $ 15.95 $ 11.22 $ 11.64 $ 21.94 $ 19.94 $ 18.49 $ 15.92 $ 11.88 - --------- -------- -------- -------- -------- -------- -------- -------- 0.08 0.05 0.06 0.05 0.07 0.04 0.01 -- 2.98 5.08 0.36 2.03 2.88 2.23 3.00 4.04 - --------- -------- -------- -------- -------- -------- -------- -------- 3.06 5.13 0.42 2.08 2.95 2.27 3.01 4.04 - --------- -------- -------- -------- -------- -------- -------- -------- (0.03) (0.12) (0.08) (0.09) (0.06) (0.05) -- -- (0.44) (0.28) (0.76) (1.56) (0.89) (0.77) (0.44) -- - --------- -------- -------- -------- -------- -------- -------- -------- (0.47) (0.40) (0.84) (1.65) (0.95) (0.82) (0.44) -- - --------- -------- -------- -------- -------- -------- -------- -------- $ 18.54 $ 15.95 $ 11.22 $ 22.37 $ 21.94 $ 19.94 $ 18.49 $ 15.92 ========= ======== ======== ======== ======== ======== ======== ======== 19.56% 47.12% 2.99% 10.02%(E) 15.23% 12.32% 19.24% 34.01%(E) ========= ======== ======== ======== ======== ======== ======== ======== $ 466,364 $ 66,906 $ 16,190 $ 75,606 $ 70,602 $ 44,709 $ 11,828 $ 1 1.15% 1.16% 1.11% 1.33% 1.34% 1.40% 1.38% 1.49%(F) 1.15% 1.16% 1.11% 1.32% 1.34% 1.40% 1.69% 1089.04% 0.33% 0.39% 0.52% 0.45% 0.31% 0.12% 0.17% (0.05)% 0.33% 0.39% 0.52% 0.45% 0.31% 0.12% (0.14)% (1087.60)% 35% 75% 81% 25%(E) 48% 47% 35% 75%(H)
AMR Class ------------------------------------------------------------------ Six Months Ended Year Ended October 31 April 30, ------------------------------------------------------------------ 2007 2006 2005(B) 2004(C) 2003(A) 2002 - ---------- --------- --------- --------- --------- --------- (unaudited) $ 22.48 $ 20.38 $ 18.78 $ 16.13 $ 11.30 $ 11.71 - --------- --------- --------- --------- --------- --------- 0.11 0.27 0.21 0.14 0.10 0.15 2.12 2.91 2.26 3.04 5.15 0.34 - --------- --------- --------- --------- --------- --------- 2.23 3.18 2.47 3.18 5.25 0.49 - --------- --------- --------- --------- --------- --------- (0.25) (0.19) (0.10) (0.09) (0.14) (0.14) (1.56) (0.89) (0.77) (0.44) (0.28) (0.76) - --------- --------- --------- --------- --------- --------- (1.81) (1.08) (0.87) (0.53) (0.42) (0.90) - --------- --------- --------- --------- --------- --------- $ 22.90 $ 22.48 $ 20.38 $ 18.78 $ 16.13 $ 11.30 ========= ========= ========= ========= ========= ========= 10.50%(E) 16.12% 13.23% 20.12% 47.93% 3.54% ========= ========= ========= ========= ========= ========= $ 524,296 $ 412,857 $ 424,965 $ 438,353 $ 327,542 $ 181,180 0.54% 0.55% 0.58% 0.60% 0.61% 0.56% 0.54% 0.55% 0.58% 0.60% 0.61% 0.56% 1.22% 1.10% 0.94% 0.84% 0.95% 1.09% 1.22% 1.10% 0.94% 0.84% 0.95% 1.09% 25%(E) 48% 47% 35% 75% 81%
27 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND (UNAUDITED) In prior years, the Board of Trustees ("Board" or "Trustees") typically has considered the annual renewal of the existing Management Agreement between American Beacon Advisors, Inc. (the "Manager") and the American Beacon Funds (the "Trust"), on behalf of the Small Cap Value Fund (the "Fund"), and each Investment Advisory Agreement between the Manager and a sub-advisor at the Board meeting held in the first quarter of each year. At the November 15, 2006 meeting, the Board decided to conduct these annual renewals at their second quarter meeting each year to enable the Trustees to consider more year-end data in their deliberations. At the March 8, 2007 Board meeting, the Board considered renewal of the Management and Investment Advisory Agreements on an interim basis until the Board meeting scheduled for the second quarter, at which meeting the Board would perform a comprehensive review of factors relevant to an annual renewal. In connection with the interim renewal, the Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager. Further, the Board took into consideration information furnished for the Board's review and consideration throughout the year at regular Board and Investment Committee meetings. The Trustees considered, among other materials, responses by the Manager to inquiries requesting: - an explanation, if applicable, of any deterioration in longer-term performance by the Fund or sub-advisor since the last contract renewal and any remedial measures the Manager has taken or intends to take; - the Manager's and each sub-advisor's fee rate schedule for the Fund and whether the Manager intends to continue any current fee waivers or reimbursements; - an explanation of any significant change in the Fund's expense ratio since the last contract renewal and any actions the Manager has taken or intends to take; - a description of any significant changes (actual or anticipated) to personnel and the reasons for such changes; - a discussion of any material developments at the Fund's sub-advisors relevant to the Fund; - a discussion of any material compliance problems encountered by the Manager or the sub-advisors and remedial actions; - 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; - information regarding material changes to the Manager's and sub-advisors' codes of ethics and insider trading policies; and - any material changes to the Manager's or sub-advisors' information provided in connection with the last annual contract renewal. The Trustees also received a memorandum from their legal counsel detailing the Board's 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. Provided below is an overview of the primary factors the Board considered at its March 2007 meeting. The Board did not identify any particular information that was most relevant to its consideration to renew the Management and Investment Advisory Agreements, and each Trustee may have afforded different weight to the various factors. The Board determined that certain factors typically considered in connection with an annual renewal were not material with respect to an interim renewal. As such, the following factors were not considered by the Board and were deferred to the next regular Board meeting to be considered in connection with the annual renewal: - the profits realized by the Manager and the sub-advisors and their affiliates from their relationship with the Fund; - the extent to which economies of scale may be realized as the Fund grows; - whether the level of fees reflects those economies of scale for the benefit of the Fund's investors; - comparisons of services and fees with contracts entered into by the Manager and a sub-advisor or their affiliates with other clients (such as pension funds and other institutional investors); and 28 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND (UNAUDITED) - ancillary benefits to be realized by the Manager and the sub-advisors as a result of the relationship with the Fund. In determining whether to renew the Management and Investment Advisory Agreements on an interim basis, the Trustees considered the best interests of the Fund. The following considerations and conclusions are applicable to the Fund. Cost of Services. The Board considered that the fee rate schedules for the Manager and most sub-advisors had not changed since the last contract renewal. The Board also considered that Barrow, Hanley, Mewhinney & Strauss, Inc. ("Barrow") had eliminated the last break point on its fee rate schedule, but that Barrow's combined fee rate for the Fund under its management was still among the lowest fees charged by a sub-advisor. The Board considered that, in many cases, the Manager has negotiated the lowest sub-advisory fee a sub-advisor charges for any comparable client accounts. In determining whether to renew the Investment Advisory Agreements, the Board considered that 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 where applicable. Thus, the Fund is able to receive additional break point benefits resulting from the sub-advisor's management of a larger pool of assets. Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Trustees considered that the Manager continues to provide high-quality services to the Fund at a low cost to investors and provides a comprehensive compliance program for the Fund. Additionally, the Manager allocates the assets of the Fund among the Fund's sub-advisors, and monitors and evaluates the performance of the sub-advisors. Based on this information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each sub-advisor were appropriate for the Fund and, thus, supported a decision to renew the Management and each Investment Advisory Agreement on an interim basis. Investment Performance. The Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also considered information provided by the Manager regarding significant deterioration in the Fund's or sub-advisor's longer-term performance as a result of significant underperformance for the 2006 calendar year. In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreements with Barrow, Brandywine Global Investment Management, LLC ("Brandywine"), Hotchkis and Wiley Capital Management, LLC ("Hotchkis"), Opus Capital Group, LLC ("Opus"), and The Boston Company Asset Management, LLC ("TBCAM"), the Trustees considered that Barrow, Brandywine, Hotchkis, Opus, and TBCAM underperformed their benchmark index for the 2006 calendar year, and the Fund's overall performance trailed that of its Lipper Index. However, the Fund's performance exceeded that of its Lipper Index for the five-year and since inception periods. Based on these considerations and those noted above, the Trustees determined that the Fund and its shareholders would benefit from the Manager's and the sub-advisors' continued management of the Fund until the next regular Board meeting and approved the renewal of the Agreements on an interim basis until the next regular Board meeting. 29 (AMERICAN BEACON FUNDS(SM) 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: (E-MAIL) BY E-MAIL: american_beacon.funds@ambeacon.com (INTERNET) ON THE INTERNET: Visit our website at www.americanbeaconfunds.com (TELEPHONE) BY TELEPHONE: Institutional Class Call (800) 658-5811 AMR ClassSM Call (800) 345-2345 PlanAhead Class(R) and Service Class Call (800) 388-3344 (MAIL) BY MAIL: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission ("SEC") on Form N-Q as of the first and third fiscal quarters. The Fund's Forms N-Q are available on the SEC's website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC's Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. A complete 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 month. AVAILABILITY OF PROXY VOTING POLICY AND RECORDS A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund's Statement of Additional Information, is available free of charge on the Fund's website (www.americanbeaconfunds.com) and by calling 1-800-967-9009 or by accessing the SEC's website at www.sec.gov. The Fund's proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund's Forms N-PX are available on the SEC's website at www.sec.gov. The Fund's proxy voting record may also be obtained by calling 1-800-967-9009. FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED DISTRIBUTOR STATE STREET BANK AND BOSTON FINANCIAL DATA PUBLIC ACCOUNTING FORESIDE FUND SERVICES TRUST SERVICES FIRM Portland, Maine Boston, Massachusetts Kansas City, Missouri ERNST & YOUNG LLP Dallas, Texas
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. GUIDANCE | VISION | EXPERIENCE (AMERICAN BEACON FUNDS(SM) LOGO) Semi-Annual Report APRIL 30, 2007 EQUITY FUNDS BALANCED FUND LARGE CAP GROWTH FUND MID-CAP VALUE FUND SMALL CAP VALUE OPPORTUNITY FUND EMERGING MARKETS FUND BOND FUNDS HIGH YIELD BOND FUND ENHANCED INCOME FUND INTERMEDIATE BOND FUND SHORT-TERM BOND FUND 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 .................................. 3-23 American Beacon Schedules of Investments Balanced Fund .................................................. 28 Large Cap Growth Fund .......................................... 36 Mid-Cap Value Fund ............................................. 41 Small Cap Value Opportunity Fund ............................... 44 Emerging Markets Fund .......................................... 48 High Yield Bond Fund ........................................... 54 Enhanced Income Fund ........................................... 63 Intermediate Bond Fund ......................................... 69 Short-Term Bond Fund ........................................... 76 Additional Information ............................................ Back Cover
Any opinions herein, including forecasts, reflect our judgment 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. (PHOTO OF DOUGLAS G. HERRING) FELLOW SHAREHOLDERS, I am pleased to present to you the American Beacon Semi-Annual Report for the six months ended April 30, 2007. Most markets finished the last six months with positive returns. This was helped in large part by strong world economies and, here in the U.S., better than expected corporate profitability. The S&P 500 and Dow Jones Industrial Average indices reported returns of 8.60% and 9.40%, respectively, with the MSCI Emerging Markets Index reporting a return of 20.12% for the six-month period. Our domestic equity funds, the Balanced, Large Cap Growth, the Mid-Cap Value and Small Cap Value Opportunity Funds, all Institutional Class, reported returns of 7.75%, 6.00%, 10.39% and 7.64%, respectively. Our foreign equity market fund, the Emerging Markets Fund-Institutional Class, reported a total return of 18.76%. (These returns are for the six-month period ended April 30, 2007.) During this fiscal period, the Federal Reserve Bank held interest rates steady at 5.25%. Against that backdrop, the Lehman Brothers Aggregate Index posted a 2.64% return and the JP Morgan Global High-Yield Index reported a return of 7.41%. The American Beacon Enhanced Income Fund - PlanAhead Class and Intermediate Bond and Short-Term Bond Funds - Institutional Class all reported returns above 3% for the period. The American Beacon High Yield Bond Fund - Institutional Class gained 6.32%. 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 to access your account information, please visit our website at www.americanbeaconfunds.com. Thank you for your continued confidence in the American Beacon Funds. Sincerely, /s/ Douglas G. Herring ---------------------------------------- Douglas G. Herring President American Beacon Funds 1 (This page intentionally left blank) 2 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) Following strong earnings growth and solid equity returns last year, equity markets got off to a rocky start in 2007. Investors were suddenly forced to deal with slower earnings growth, the return of volatility and the sub-prime mortgage fallout. There was no shortage of concerns for the market in the first quarter, though it is often said that the market climbs a "wall of worry." - - ECONOMIC SLOWDOWN - After enjoying 4-5% Gross Domestic Product ("GDP") growth for several years, investors had to come to grips with sub-3% economic growth forecasts for 2007. - - SLOWING EARNINGS GROWTH - After 14 consecutive quarters of double-digit growth, S&P 500 operating earnings were expected to slow markedly. For 2007, earnings growth estimates of 6-7% are back-end loaded with nearly one-half the year's growth expected in the fourth quarter. - - SUB-PRIME MORTGAGE MELTDOWN - The rapid deterioration in sub-prime delinquencies and a number of notable bankruptcies raised concerns that the woes within housing could spread to other areas of the economy. - - INFLATION CONCERNS OF THE FEDERAL RESERVE BANK ("FED") - Hopes for near-term Fed rate cuts waned during 2007 as most inflation measures remained above the Fed's comfort level. - - RISING LABOR COSTS - Hourly earnings grew at nearly their fastest pace in 20 years, while productivity grew at its slowest pace since early 1997. Very high profit margins were at risk. - - HIGHER COMMODITY PRICES - After some early moderation, oil, gasoline, copper and other commodities continued to rise in price. - - THE RETURN OF MARKET VOLATILITY - Volatility, an indicator of uncertainty, returned to the markets after a long hiatus. While many of these issues weighed on market returns during the period, none loomed larger than the rapid deterioration in the sub-prime mortgage market and its spillover effects on the broader housing market and economy in general. Sub-prime mortgages became a dominant theme for the market because of how rapidly they have deteriorated. They have also become the central point of debate between bullish forecasters who argue that the woes of the sub-prime market are contained versus those who fear a contagion throughout the credit markets and the broader economy. The volume of sub-prime issuance reached alarming levels in the past few years. There were over $1.8 trillion in sub-prime mortgages originated from 2004 - - 2006, more than the previous 10 years combined and equal to approximately a quarter of all mortgage issuance. Mortgage delinquencies rose rapidly in all branches of mortgage lending. Adjustable rate loans, low-documentation (or "liar loans") and other non-traditional mortgages were also widespread in the prime segment of the market. Rate resets, reduced investor appetite for these exotic mortgages, and increased regulatory scrutiny are all combining to tighten the very loose lending environment of the past several years. A robust housing market has been the key driver of consumer spending and employment trends for many years. Consumers, which make up 70% of overall spending, have extracted large amounts of equity from their homes due to low mortgage rates. If the 'housing ATM via refinancing' for consumers is coming to an end, there could be a negative growth surprise coming for investors and the economy. Home equity withdrawal has indeed been reduced sharply, and it is likely that we may see reduced consumption. While the problems within the sub-prime market will negatively affect certain lenders and consumers, the losses incurred are not likely the greatest threat. The larger concern to equity markets could be a re-pricing of risk and tightening of credit conditions across the spectrum. Even though there is no direct connection between sub-prime mortgages and other markets, if sub-prime woes prompt investors to demand higher risk premiums (wider credit spreads), weakness in both the bond and stock markets could result. Looking at the credit markets more broadly, we have not seen substantial evidence of any contagion from sub-prime as credit spreads and lending restrictions remain so near historic lows. The enormous liquidity and leverage injected by foreign buyers, hedge funds, and private equity funds has made the turning point of this credit cycle difficult to predict, even for the Fed. Also, 3 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) the complexity of many new financial "innovations," including collateralized debt obligations and credit default swaps, has made it difficult to assess credit risk. The long-standing cycles of the economy and credit, however, are still intact, and a less benign credit environment appears likely to follow the loose and liquid conditions of the past several years. Broadly speaking, the equity market continued to be supported by a fair level of valuations and strong earnings growth (largely due to extraordinary profit margins) during the period. The beginnings of a negative credit cycle appear to have taken hold in the residential mortgage market as lending and regulatory standards have begun to tighten. How far the mortgage credit cycle extends to the rest of the economy and the pricing of risk more broadly remains to be seen. 4 PERFORMANCE OVERVIEW AMERICAN BEACON BALANCED FUND(SM) APRIL 30, 2007 (UNAUDITED) The Balanced Fund's Institutional Class returned 7.75% for the six months ended April 30, 2007, outperforming the 60% S&P 500 Citigroup Value/40% Lehman Brothers Aggregate Index benchmark return of 7.09%, but lagging the Lipper Mixed Asset Target Allocation Growth Funds Index return of 8.18%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1,5) ............... 7.75% 14.17% 10.10% 8.93% PlanAhead Class(1,5) ................... 7.61% 13.80% 9.81% 8.64% Service Class(1,2,5) ................... 7.45% 13.57% 9.66% 8.56% AMR Class(1,5) ......................... 7.83% 14.42% 10.41% 9.22% Lipper Mixed-Asset Target Allocation Growth Funds Index (3) .............. 8.18% 13.78% 8.70% 8.12% S&P 500 Index(3) ....................... 8.60% 15.24% 8.54% 8.05% Linked S&P 500/ Citigroup Value Index (3) ........... 10.08% 17.22% 15.84% 11.17% Lehman Bros. Aggregate Index(3) ........ 2.64% 7.36% 5.06% 6.35% Balanced Composite Index(4) ............ 7.09% 13.24% 8.96% 8.47%
* 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 current performance may be lower or higher than the performance data quoted. 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 4/30/97 up to 5/31/05, 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. Therefore, total returns shown may be higher than they would have been had the Service Class been in existence since 4/30/97. A portion of the fees charged to the Service Class of the Fund was waived through 2005. Performance prior to waiving fees was lower than actual returns shown for periods through 2005. (3.) The S&P 500 Index is an unmanaged index of common stocks publicly traded in the United States. The Linked S&P 500/Citigroup Value Index represents returns of the S&P 500/Barra Value Index ("Barra Value") up to October 31, 2005 and the S&P 500/Citigroup Value Style Index ("Citigroup Index") thereafter. The Barra 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 Citigroup Index is a market value weighted index of stocks in the S&P 500 that score highest based on an average book-to-price ratio, cash flow-to-price ratio, sales to price ratio, and dividend yield, representing 50% of the total market value of the S&P 500. 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 Lipper Mixed-Asset Target Allocation Growth Funds index tracks the results of the 30 largest mutual funds in the Lipper Mixed-Asset Target Allocation Growth Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. (4.) To reflect the Fund's allocation of its assets between investment grade fixed-income securities and equity securities, the returns of the Linked S&P 500/Citigroup Value Index and the Lehman Brothers Aggregate Index have been combined in a 60%/40% proportion. (5.) The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, PlanAhead, Service and AMR Class shares was 0.62%, 0.88%, 1.25% and 0.36%, respectively. After expense reimbursements, the net expense ratio disclosed in the most recent prospectus for the Service Class was 1.10%. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. During the six-month period, the Fund's assets on average were invested 65% in equities (including equitized cash) and 35% in fixed-income securities, ending the period with the same investment allocation. The equity portion of the Fund (excluding equitized cash) returned 11.5%, outperforming the S&P 500/Citigroup Value Index ("S&P Value Index") return of 10.1%. The Fund's excess performance versus the S&P Value Index was entirely due to stock selection, as sector allocation detracted modest relative value. Good stock selection in the Information Technology, Industrials, and Consumer Staples sectors added most to the Fund's performance. In the Information Technology sector, Nokia (up 27.0%) and Mastercard (up 37.3%) generated positive Fund performance. Honeywell International (up 30.0%) and Caterpillar (up 20.7%) provided excess performance in the Industrials sector, while Imperial Tobacco Group (up 25.0%) added value in Consumer Staples. Equity sector allocation had a negative impact on the Fund's relative returns during the six-month period, as the Fund was underweight in the Energy sector (one of the better performing sectors of the Index), and overweight in the Consumer Discretionary sector (one of the poorer performing sectors of the Index). This negative performance was somewhat offset by positive performance generated by an underweighting in Financials. The fixed-income portion of the Fund returned 2.5% for the six-month period, slightly underperforming the Lehman Brothers Aggregate Index ("Lehman Index") return of 2.6%. The Fund's fixed-income underperformance was due mostly to 5 PERFORMANCE OVERVIEW AMERICAN BEACON BALANCED FUND(SM) APRIL 30, 2007 (UNAUDITED) an overweight in longer dated U.S. Treasuries and Agencies, which underperformed as long rates increased during the period while short rates declined. 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 ------------- Bank of America Corporation 1.9% Exelon Corporation 1.5% ConocoPhillips 1.5% Citigroup, Incorporated 1.5% JP Morgan Chase & Co. 1.4% AT&T, Inc. 1.3% Verizon Communications, Inc. 1.0% Honeywell International, Inc. 1.0% Pfizer, Incorporated 1.0% CA, Incorporated 0.9%
EQUITY SECTOR ALLOCATION
% OF EQUITIES ------------- Financials 29.3% Industrials 12.8% Consumer Discretionary 12.0% Information Technology 9.1% Health Care 8.6% Energy 7.7% Consumer Staples 6.4% Utilities 6.4% Telecommunication Services 3.9% Materials 3.8%
FIXED-INCOME SECTOR ALLOCATION
% OF FIXED INCOME ------------ U.S. Treasury 35.8% Mortgage-Backed 24.9% Corporate Bonds 20.6% Agency 17.1% Asset-Backed 1.6%
Investing in debt securities entails interest rate risk which is the risk that debt securities will decrease in value with increases in market interest rates. 6 PERFORMANCE OVERVIEW AMERICAN BEACON LARGE CAP GROWTH FUND(SM) APRIL 30, 2007 (UNAUDITED) The Institutional Class of the Large Cap Growth Fund returned 6.00% for the six months ended April 30, 2007, compared to the Russell 1000 Growth Index ("Index") return of 8.42% and the Lipper Large-Cap Growth Funds Index return of 8.09%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 ------------------------------------------- SINCE INCEP. 6 MONTHS* 1 YEAR 5 YEARS (7/31/00) --------- ------ ------- ------------ Institutional Class(1,3) ......... 6.00% 9.67% 5.90% -4.26% AMR Class(1,3) ................... 6.12% 10.08% 6.08% -4.09% Lipper Large-Cap Growth Funds Index(2) ..................... 8.09% 7.75% 5.01% -4.69% Russell 1000 Growth Index(2)...... 8.42% 12.25% 6.22% -4.21%
* 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. A portion of the fees charged to the Fund has been waived since 2004. Performance prior to waiving the fees was lower than the actual returns shown for periods since 2004. (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. The Lipper Large Cap Growth Funds index tracks the results of the 30 largest mutual funds in the Lipper Large Cap Growth Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. (3.) The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional and AMR Class shares was 1.00% and 0.59%, respectively. After expense reimbursements, the net expense ratio disclosed in the most recent prospectus for the Institutional Class was 0.90%. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. The Fund underperformed the Index entirely due to stock selection, as sector allocation added modest value to the Fund's performance. From a stock selection standpoint, the Fund had poor stock selection in the Consumer Discretionary, Information Technology, Health Care, and Utilities sectors. Positions in Circuit City Stores (down 24.2%) and Ann Taylor Stores (down 25.4%) detracted most from the Consumer Discretionary sector's relative performance. In the Information Technology sector, the largest detractors were Motorola (down 24.5%) and Symantec (down 15.6%), while Amgen (down 15.5%) hurt the Fund's Health Care sector returns. TXU (up 5.4%) detracted value from relative performance in the Fund's Utilities sector. This was slightly offset by good stock selection in the Industrials sector where AGCO (up 56.0%) was the largest contributor. The Fund's overweighting in the Materials sector, the best performing sector of the Index, provided positive relative performance. 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 --------------- Cisco Systems, Incorporated 2.8% Microsoft Corporation 2.6% Hewlett-Packard Co. 2.3% The Coca-Cola Co. 2.0% Merck & Company, Incorporated 2.0% Manpower, Inc. 1.9% The Boeing Company 1.8% Gilead Sciences, Inc. 1.7% Pfizer, Inc. 1.7% Johnson & Johnson 1.6%
SECTOR ALLOCATION
% OF EQUITIES ------------- Information Technology 22.8% Health Care 18.2% Industrials 17.9% Consumer Discretionary 15.7% Financials 9.3% Consumer Staples 7.7% Materials 3.5% Energy 3.3% Telecommunication Services 1.3% Utilities 0.3%
7 PERFORMANCE OVERVIEW AMERICAN BEACON MID-CAP VALUE FUND(SM) APRIL 30, 2007 (UNAUDITED) The Institutional Class of the Mid-Cap Value Fund returned 10.39% for the six months ended April 30, 2007. The Fund trailed the Russell Midcap Value Index ("Index") return of 12.78% and the Lipper Mid-Cap Value Funds Index return of 13.07%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 --------------------------------- SINCE INCEP. 6 MONTHS* 1 YEAR (6/30/04) --------- ------ ------------ Institutional Class(1,3,5)........ 10.39% 18.15% 16.62% PlanAhead Class (1,2,5)........... 10.22% 17.74% 16.48% AMR Class (1,5)................... 10.41% 18.24% 16.70% Lipper Mid-Cap Value Funds Index(4)....................... 13.07% 16.33% 15.76% Russell Midcap(R) Value Index(4).. 12.78% 19.66% 20.36%
* 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. A portion of the fees charged to the PlanAhead and AMR Classes of the Fund has been waived. Performance of each class prior to waiving fees was lower than the actual returns shown. (2.) Fund performance represents the total returns achieved by the AMR class from 6/30/04 up to 3/1/06, 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 AMR Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 6/30/04. (3.) Fund performance represents the total returns achieved by the AMR Class from 6/30/04 up to 11/30/05, the inception date of the Institutional Class, and the returns of the Institutional Class since its inception. Expenses of the Institutional Class are higher than those of the AMR Class. As a result, total returns shown may be higher than they would have been had the Institutional Class been in existence since 6/30/04. (4.) Russell Midcap Value Index and Russell 1000 Index are registered trademarks 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 Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000(R) Index. The Lipper Mid-Cap Value Funds Index tracks the results of the 30 largest mutual funds in the Lipper Mid-Cap Value Funds category. Lipper is an independent mutual fund research and ranking service. One cannot invest in an index. (5.) The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, PlanAhead and AMR Class shares was 1.22%, 1.64% and 0.95%, respectively. After expense reimbursements, the net expense ratio disclosed in the most recent prospectus for the Institutional and PlanAhead Classes was 0.90% and 1.23%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. The Fund underperformed the Index through both stock selection and sector allocation. The Fund's investments in the Health Care sector hurt performance most. In the Health Care sector, the largest detractors were Omnicare (down 12.3%) and HealthSouth (down 13.4%). Stock selection in the Utilities, Financials, and Industrials sectors also hurt the Fund's performance. In the Utilities sector, holdings in Pinnacle West Capital (up 3.2%) and Wisconsin Energy (up 7.3%) were responsible for most of the underperformance. American Home Mortgage (down 21.9%) and First Marblehead (down 19.0%) detracted from the Fund's performance in the Financials sector as did Ryder Systems (up 0.7%) in the Industrials sector. The Fund's holdings in the Consumer Discretionary sector added value relative to the Index, but not enough to offset the shortfall of the aforementioned sectors. Whirlpool (up 23.2%) and Stanley Works (up 23.7%) were the top contributors in the Consumer Discretionary sector. Sector weightings also detracted from the Fund's performance relative to the Index. Underweightings in Utilities and Materials, two of the better performing sectors in the Index, and a significant overweight in Consumer Discretionary, one of the poorer performing sectors in the Index, detracted relative value. Partially offsetting these was an overweight in the Industrials sector, which was a positive contributor to relative performance. 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. 8 PERFORMANCE OVERVIEW AMERICAN BEACON MID-CAP VALUE FUND(SM) APRIL 30, 2007 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- Whirlpool Corporation 2.6% Black & Decker Corp. 2.0% Affiliated Computer Services, Inc. 1.8% XL Capital Limited 1.8% Torchmark Corp. 1.6% Loews Corp. - Carolina Group 1.6% Goodrich Corp. 1.6% L-3 Communications Holdings, Inc. 1.5% Wisconsin Energy Corp. 1.5% Coventry Health Care, Inc. 1.5%
SECTOR ALLOCATION
% OF EQUITIES ---------- Financials 26.7% Consumer Discretionary 24.9% Industrials 11.7% Health Care 13.3% Utilities 8.1% Information Technology 7.9% Consumer Staples 5.4% Energy 2.0%
Investing in the securities of mid-capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. 9 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND(SM) APRIL 30, 2007 (UNAUDITED) The Institutional Class of the Small Cap Value Opportunity Fund returned 7.64% for the six months ended April 30, 2007. The Fund was ahead of the Russell 2000 Value Index ("Index") return of 6.36% but lagged the Lipper Small-Cap Value Funds Index return of 9.54%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 --------------------------------- SINCE INCEP. 6 MONTHS* 1 YEAR (3/31/06) --------- ------ ------------ Institutional Class(1,3) ... 7.64% 8.27% 9.61% PlanAhead Class(1,3) ....... 7.44% 8.17% 9.42% Lipper Small-Cap Value Funds Index (2) ... 9.54% 9.91% 9.98% Russell 2000 Value Index (2) ............... 6.36% 11.23% 10.59%
* 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 current performance may be lower or higher than the performance data quoted. 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. A portion of the fees charged to the Institutional and PlanAhead Classes of the Fund has been waived. Performance prior to waiving fees was lower than the actual returns shown. (2.) Russell 2000(R) Value Index is a registered trademark of 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. The Lipper Small-Cap Value Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Value Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. (3.) The total annual Fund operating expense ratio, gross of fee waivers, set forth in the most recent Fund prospectus for the Institutional and PlanAhead Class shares was 6.14% and 20.07%, respectively. After expense reimbursement, the net expense ratio set forth in the most recent Fund prospectus was 1.05% and 1.30%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. The Fund exceeded the Index due to good stock selection, as sector allocation detracted modest value relative to the Index. Most of the excess performance came from the Fund's holdings in the Financials sector, where Highland Hospitality (up 41.9%), Felcor Lodging (up 25.6%), and FPIC Insurance Group (up 28.9%) were the largest contributors. Holdings in the Information Technology and Telecommunication Services sectors also were a source of excess performance. Among the Fund's Information Technology sector holdings, ON Semiconductor (up 72.2%), CommScope (up 46.2%), and Paxar (up 49.9%) added the most value. In the Telecommunication Services sector, Golden Telecom (up 59.2%) and Premiere Global Services (up 46.3%) were responsible for a large portion of the excess return. Poor stock selection in the Materials, Health Care, and Industrials sectors detracted value relative to the Index, but not enough to offset the excess performance of the sectors mentioned above. In the Materials sector, Amcol International (down 7.8%) and H.B. Fuller (up 3.7%) detracted the most relative to the Index. Res-Care (down 7.4%) and Centene (down 11.8%) in the Health Care sector hurt performance, as did NCI Building Systems (down 16.5%) and The Greenbrier Companies (down 23.6%) in the Industrials sector. An underweight in the Materials sector, the best performing sector of the Index, detracted from the Fund's performance relative to the Index. The sub-advisor's disciplined approach of investing in a diversified portfolio of small cap value companies should allow the Fund to generate competitive performance over longer periods of time. 10 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND(SM) APRIL 30, 2007 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- CommScope, Inc. 1.2% Highland Hospitality Corp. 1.2% Parker Drilling Co. 1.1% ON Semiconductor Corp. 1.1% Greif, Inc. 1.1% Kennametal, Inc. 1.1% FelCor Lodging Trust, Inc. 1.1% FirstFed Financial Corp. 1.0% Delphi Financial Group, Inc. 1.0% Golden Telecom, Inc. 1.0%
SECTOR ALLOCATION
% OF EQUITIES ---------- Financials 31.9% Consumer Discretionary 16.0% Information Technology 13.4% Industrials 12.9% Materials 6.8% Health Care 5.4% Utilities 5.0% Energy 3.7% Consumer Staples 2.8% Telecommunication Services 2.1%
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. 11 EMERGING MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) Emerging markets weathered a material correction at the beginning of the period after experiencing a remarkable three-year rally, largely due to concerns in the United States about the slowdown in the housing market, currency weaknesses and rising consumer prices. This correction was not an indication of a secular bear market in the making, but instead a healthy contraction in some overpriced countries and sectors. The Chinese market held up relatively well versus the broader MSCI Emerging Markets Index, while India, Taiwan and South Korea fared much worse. Concerns surrounding the U.S. economy seemed to have abated, greatly benefiting investment flows to emerging markets. The markets rebounded at the end of 2006, turning in the highest quarterly return of 2006 in the fourth quarter. Abundant liquidity continued to hunt for high beta (measure of market risk compared to a benchmark) assets while the global economic picture remained decidedly upbeat. Many emerging market stock exchanges reached record highs in 2006 including Mexico IPC and India BSE. After eight years of lackluster performance, China surged ahead in the fourth quarter of 2006 to finish the year up 70%. Tighter monetary policy did not diminish economic expansion. China's local A share equity made headlines on February 27th as the market recorded its largest single day drop in history, falling nearly 9%. This event, in conjunction with the deteriorating news with regard to sub-prime mortgage lending in the U.S., sparked a short-lived and relatively shallow sell off in global equity markets. China's A share market is restricted to local investors, the government and a selection of qualified foreign institutional investors (QFII) subject to a quota. It's essentially a meaningless stock market for global investors outside of China, but illustrates the power that China's prospects could have on the rest of the world. China's economy doesn't appear to be slowing in any significant manner, and local policymakers are projecting another 10%+ growth a year. China and India were the main drivers of performance in Asia the past year. Although multiples expanded, value remained most compelling in South Korea, Taiwan, and Thailand. Thailand struggled with political turmoil, high oil prices, and weak consumer demand. However, repeal of the previously announced restriction on foreign equity investment, coupled with a cut in interest rates, led to a rebound in the Thai market. A weak U.S. dollar hit South Korean exporters while unnecessary interest rate hikes sidelined a more robust domestic recovery. The signing of a free trade agreement with the United States was received well by the market. Taiwan also faced political issues while dealing with a credit glut and sluggish performance in the tech sector. Technology stocks posted higher profits that were not reflected in the stock price at the end of the six-month period. Turkey could remain volatile in the midst of political uncertainty. However, exports remained robust, and the country could move to popular elections for the office of president. Such an event could be a strong catalyst for the market. South African consumption remained resilient, shored up by low inflation and a strong Rand which alleviated pressure on interest rates. That said, the currency is vulnerable to the high current account deficit and the mining sector could face headwinds if commodity prices drop. Nationalization of oil assets increased Russia's corporate governance risk. Highly dependent on oil prices, the earnings growth profile was less robust than more diversified emerging markets. President Putin seems to realize this, and has recently called on business leaders to take the country's economic development into a new phase, stating that Russia's priority is to maximize profit from commodities and other raw materials and use the proceeds to modernize and diversify the economy. 12 EMERGING MARKETS OVERVIEW APRIL 30, 2007 (UNAUDITED) The Institutional Class of the Emerging Markets Fund returned 18.76% for the six months ended April 30, 2007. The Fund underperformed the MSCI Emerging Markets Index ("Index") return of 20.12% and the Lipper Emerging Market Funds Index return of 19.44% for the period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 ---------------------------------------- SINCE INCEP. 6 MONTHS* 1 YEAR 5 YEARS (7/31/00) --------- ------ ------- --------- Institutional Class(1,4) ...... 18.76% 17.48% 24.38% 15.85% PlanAhead Class(1,2,4) ........ 18.52% 17.10% 24.07% 15.63% AMR Class(1,4) ................ 18.86% 17.78% 24.68% 16.14% Lipper Emg Mkt Funds Index(3) ................... 19.44% 17.66% 25.51% 15.96% MSCI Emg Mkts Index(3) ................... 20.12% 17.85% 25.43% 15.79%
* 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 be lower or higher than the performance data quoted.. 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 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. A portion of the fees charged to the PlanAhead Class of the Fund has been waived and recouped. Performance prior to fee waivers and fee recoupment is different than the actual returns shown. (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 Lipper Emerging Market Funds Index tracks the results of the 30 largest mutual funds in the Lipper Emerging Market Funds category. Lipper is an independent research and ranking service. One cannot directly invest in an index. (4.) The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, PlanAhead and AMR Class shares was 1.57%, 1.92% and 1.31%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report Although both country allocation and stock selection added value, the Fund underperformed the Index over the six-month period primarily due to Fund expenses and lower returns than the Index on the Fund's cash balances. Although the average cash balance was a fairly modest 5.5%, it created a drag on Fund performance, given the strength of the emerging markets asset class during the period. Country allocation was slightly positive for the six month period. Underweighting Russia and Taiwan (each up over 8%), and overweighting Brazil (up nearly 30%) benefited the Fund, while underweighting Chile and China detracted from performance (each up approximately 30%). Stock selection was positive during the six-month period, as strong selections in Russia, China, and Poland more than offset poor selections in India and Taiwan. In Russia, Sberbank and Unified Energy System each gained over 70%. In China, the Fund benefited from investments in China Coal Energy (up 53%) and GOME Electrical Appliances Holdings (up 80.5%). Bank Millennium (up 72.1%), a Polish financial institution, also added value. Positions that lagged their home markets included Hindalco Industries (down 14.5%) and Hindustan Petroleum (down 7.1%) in India, and SinoPac Financial Holdings (down 14.1%), High Tech Computer (down 39.5%), and Benq Corp. (down 22.9%) in Taiwan. The Fund's basic philosophy remains focused on investing in attractively valued companies with above-average earnings growth expectations. 13 PERFORMANCE OVERVIEW AMERICAN BEACON EMERGING MARKETS FUND(SM) APRIL 30, 2007 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- Petroleo Brasileiro S.A. 2.3% Samsung Electronics Company Ltd. 2.0% America Movil, S.A.B. de C.V. 1.8% RAO Gazprom 1.8% Companhia Vale do Rio Doce 1.5% LUKOIL Oil Company 1.4% Kookmin Bank 1.4% United Microelectronics Corporation 1.3% Unibanco - Uniao de Bancos Brasileiros S.A. 1.1% MTN Group Ltd. 1.1%
SECTOR ALLOCATION
% OF EQUITIES ---------- Financials 22.7% Telecommunication Services 14.9% Industrials 11.4% Consumer Discretionary 11.3% Information Technology 10.2% Energy 9.8% Materials 8.2% Utilities 5.0% Consumer Staples 4.5% Health Care 2.0%
COUNTRY ALLOCATION (PIE CHART)
% OF EQUITIES ---------- South Korea 15.9% Brazil 12.6% China 11.9% Other Europe, Middle East, Africa 11.1% Taiwan 10.4% Russia 8.4% South Africa 7.8% Other Asia 7.1% Mexico 7.0% India 6.9% Other Latin America 0.9%
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. 14 DOMESTIC BOND MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) For the six-month period ended April 30, 2007, the investment grade fixed income market, as defined by the Lehman Brothers Aggregate Index (the "Index"), produced a 2.64% total return. Interest rates were essentially unchanged by period end, as were credit spreads, which left income as the primary attribute of total return during the period.
TOTAL RETURNS PERIODS ENDED 4/30/07 --------------------- 6 MONTH 12 MONTH ------- -------- Lehman Aggregate 2.64% 7.36% Lehman Gov/Credit 2.47% 7.34% SECTOR U.S. Treasury 2.19% 6.86% U.S. Agency 2.50% 4.93% Mortgage-Backed 2.95% 7.46% Commercial MBS 2.40% 7.25% Asset-Backed 2.44% 6.08% U.S. Credit 2.79% 8.25% CREDIT RATING Aaa 2.59% 7.10% Aa 2.52% 7.78% A 2.55% 8.22% Baa 5.46% 5.60% U.S.TREASURY YIELD
6 MONTH 12 MONTH ------- -------- 2 Year 2.32% 4.97% 3 Year 2.38% 5.49% 5 Year 2.38% 6.20% 10 Year 1.84% 7.70% 30 Year 0.47% 10.43%
The interest rate markets reflected a period of mixed economic data that was briefly interrupted by a mini equity market correction originating in China. The labor market was in fairly healthy shape during the period, which left the Federal Reserve Bank (the "Fed") to ponder the odds of inflation accelerating from its elevated state. While the overall inflation rate moderated during the period as oil prices leveled off, the core inflation rate, which excludes food and energy prices, remained persistently high. The Fed vowed to remain diligent against further inflation pressures but appeared satisfied that the moderating rate of economic growth would reduce this pressure. As such, the Federal Funds rate remained 5.25% during the period, and the yield curve remained inverted. (PERFORMANCE GRAPH) The primary dilemma during the period was whether the housing sector correction would spread throughout the economy indicating a decline in the overall health of the consumer. Unfortunately, making such a determination during this period was complicated by the fact that the winter's heavily seasonally-adjusted and weatheraffected data is inherently difficult to interpret - especially given the unusually warm weather throughout the country in late 2006. Not until Spring 2007 will investors get a clear picture of the health of the underlying economic situation. As such, interest rates remained in a fairly narrow range during the period as they reacted to the mixed economic data as it was reported. Further complicating matters, the markets were suddenly interrupted in early 2007 by a brief correction in the Chinese stock market that rippled throughout the world. Several theories exist as to why their market dropped nearly 9% in one day, but no confirming explanation has surfaced. In subsequent days, the Chinese market bottomed at a 10% decline, and the US and Europe suffered a 5% decline. Fortunately, it was only a mini correction, but it was a swift reminder of the interconnectedness of world markets and potential for unexpected volatility in emerging economies. In a classic flight to quality, US interest rates declined, equity markets dropped and credit spreads widened. Much of the volatility, however, moderated by period end as investors regained composure and as markets returned to their pre-correction levels. Investment grade credit spreads ended the period essentially unchanged. 15 DOMESTIC BOND MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) (PERFORMANCE GRAPH) Among the major asset classes in the fixed income markets, Mortgages produced the highest total returns during the six-month period ended April 30, 2007, followed by US Credit and US Agencies. Mortgages benefited from a combination of their incremental yield to maturity and their position along the yield curve. The Mortgage sector had very little exposure to the 30-year part of the yield curve and was not significantly affected by the slight rise in longer-term interest rates, unlike Credit, Treasuries, and Agencies. Spreads in the Credit and Mortgage sectors were essentially unchanged by period end, thus these sectors primarily benefited from their incremental yield to maturity. In general, the credit market continues to enjoy significant investor demand for yield and has maintained strong credit fundamentals, but the persistence of shareholder friendly initiatives, including leveraged buyouts, share buybacks and increased dividends, has unnerved investment grade investors. Notable investment grade companies taken private recently include TXU, Equity Office Properties, First Data, and Sallie Mae, which resulted in significant credit downgrades for these issuers. Industries, such as finance and utilities, which were not historically attractive to private equity investors, are becoming viable sectors from which they seek opportunity. Therefore, while the broader credit market maintains high quality and low credit spreads, issuer-specific event risk has increased dramatically. The remaining sectors performed in line with market events. Agencies outperformed Treasuries as spreads improved during the period, and the Commercial Mortgage-Backed and Asset-Backed sectors benefited from their position in the short end of the yield curve. Overall, interest rates have been in a fairly narrow range as participants search for signs of the economy's fate and investor demand for risk. The inverted yield curve has not created any of its own problems, so the Fed can remain comfortably on hold until the evidence is overwhelmingly indicative of a need to adjust interest rates - either up or down. 16 HIGH YIELD BOND MARKET OVERVIEW APRIL, 31 2007 (UNAUDITED) Beginning the semi-annual period (November 2006), it was clear that the high yield market had performed better than just about anyone had anticipated throughout the year. The Lehman Brothers U.S. Corporate High-Yield Index ("Lehman High Yield Index") and the 2% issuer-capped version of that index (the "Lehman 2% Issuer-Capped Index") were on track to return over 11 1/2% and 10 1/2%, respectively, versus Wall Street's consensus estimate of around 3-5%. How did the market do it? First, it shrugged off almost all of the "negatives", including a worsening geopolitical situation, higher energy prices and a weakening dollar. Second, interest rates cooperated as it became apparent that the Federal Reserve Bank (the "Fed") would stop raising the Fed Funds rate and might even ease. At the beginning of December, the 10-year Treasury yield was at 4.43%. It started 2006 at virtually the same level (4.39%) but peaked at 5.25% at mid-year. Likewise, the 5-year Treasury began at 4.35%, topped out at 5.23% and then moved back to 4.39% by December, essentially unchanged. The high yield market finished out 2006 strong. The Lehman High Yield Index returned +11.85%. The Lehman 2% Issuer-Capped Index was +10.76%. These results easily beat the returns of the 10-year Treasury (+1.44%), investment grade corporates (Lehman Aggregate Index, +4.33%) and emerging market dollar - denominated bonds (J.P. Morgan Emerging Market Bond Index +9.96%). Even more impressive was the depth and resiliency of the market. It digested a near-record $148 billion of new issues, including $29 billion in November alone. In January, NRG Energy's $3.6 billion new issue was one of the largest ever. By the end of the year, three others had come to market that were larger: Freescale Semiconductor ($6 billion), HCA ($5.7 billion) and NXP (Philips) ($3.8 billion). While Treasury yields were a neutral factor, strong equity markets created a bullish environment, defaults dropped to a mere 17 companies (out of 1,033) and a rock-bottom .84% default rate. Also, with a boost from a new rating methodology at Moody's, upgrades led downgrades by 1.17 to 1, the best ratio since 1997 and a far cry from 2002, when it was a mere .32 to 1. If one were looking for trends in 2006, they could probably be summed up by two acronyms: Leveraged Buy-Out (LBO) and Credit Default Swap (CDS). (A CDS is an agreement whereby two parties exchange credit risk without explicitly buying or selling a debt instrument.) A tremendous amount of money poured into private equity funds, which formed syndicates to acquire ever larger companies. HCA, at $33 billion, set the record. LBOs created 24% of new issuance in 2006, up from 13% in 2005. The LBO situation turned credit analysis upside down. While defaults normally account for the greatest risk to principal, in 2006 a greater risk was the re-levering of companies whose bonds had "investment grade" covenants (no pledge by the bond issuer to buy back the bond at face value in the event of a takeover). The name of the game in the investment grade world was "who will be next?" and companies with better balance sheets and depressed stock prices became the best targets for LBOs. In high yield, about 25% of all bonds, mostly former investment grade, had no re-levering protection. The second major trend was the further development of the CDS market. This enabled participants to insure or issue insurance on the probability of default without having to deal with individual bonds and their covenants and interest rate-related movements. In the high-grade world, CDS accounted for 70% of all trading. In high yield, it was about 25% last year and could exceed 50% in 2007. February was rolling right along as previous months until near month-end when the Chinese market began clamping down on illegal equity investing. That sparked a one-day decline of 8.8% in the Chinese equity market, reverberations in other equity markets and a flight to quality. A "modest breather" began to unfold in March. The Lehman High Yield Index rose .11%, breaking a seven-month string of 1%+ gains. The high yield market returned to its winning ways in April, logging a +1.30% return (Lehman High Yield Index). The more widely followed Lehman 2% Issuer-Capped Index was also +1.30%. Investors who took more risk were again rewarded as the Caa subsegment returned 1.89%. It outperformed 17 HIGH YIELD BOND MARKET OVERVIEW APRIL 30, 2007 (UNAUDITED) the overall Index by over 2 percentage points for the 6-month period ending April 30, 2007. All of the four key variables that determine market performance were neutral to positive. Equities hit record highs, seemingly day-after-day. Treasury yields in the 5-10 year range inched lower as signs of economic slowing continued to emerge and market sentiment on the Fed's next move rose to 75% for easing. Defaults continued to be virtually non-existent with only two out of over 800 companies in the Lehman High Yield Index having that dubious distinction so far this year. The trailing 12 months default rate was a mere 0.64% through April (source JP Morgan). Finally, new issue supply stayed very tame at $11.8 billion for April, making March's outsized $20.8 billion look like an aberration ($6 billion of that was Freeport-McMoran Copper & Gold). The long-anticipated "credit correction" seems to be getting pushed further into the future. However, the seeds of a return to a more normal 3-4% default rate seem to have been planted. First, an astounding 60% of April's issuance was rated Caa by Moody's, the highest percentage since 1999. This has helped bring the CCC segment of the Lehman High Yield Index to 17.6%, its highest level ever. Since the rating agencies have been fairly predictive in the past, at some point the higher CCC mix can be expected to cause some problems. 18 PERFORMANCE OVERVIEW AMERICAN BEACON HIGH YIELD BOND FUND(SM) APRIL 30, 2007 (UNAUDITED) The Institutional Class of the High Yield Bond Fund returned 6.32% for the six months ended April 30, 2007. The Fund underperformed the JP Morgan Global High-Yield Index ("Index") return of 7.41% and the Lipper High Current Yield Funds Index, which gained 6.99% for the period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 -------------------------------------- SINCE 1 5 INCEP. 6 MONTHS* YEAR YEARS (12/29/00) --------- ----- ----- ---------- Institutional Class(1,4) ............ 6.32% 10.11% 9.04% 9.39% PlanAhead Class(1,2,4) .............. 6.20% 9.87% 8.73% 9.03% Lipper High Current Yield Funds Index (3) ............ 6.99% 11.21% 9.64% 7.61% JP MorganGlobal High Yield Index (3) ............. 7.41% 12.43% 10.92% 10.19%
* 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 current performance may be lower or higher than the performance data quoted. 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. A portion of the fees charged to the Institutional Class of the Fund was waived through 2004. Performance prior to waiving fees was lower than the actual returns shown for periods through 2004. (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.) The JPMorgan Global High-Yield Index ("JPMorgan Index") is an unmanaged index of fixed income securities with a maximum credit rating of BB+ or Ba1. Issues must be publicly registered or issued under Rule 144A under the Securities Act of 1933, with a minimum issue size of $75 million (par amount). A maximum of two issues per issuer are included in the JPMorgan Index. Convertible bonds, preferred stock, and floating-rate bonds are excluded from the JPMorgan Index. The Lipper High Current Yield Funds Index tracks the results of the 30 largest mutual funds in the Lipper High Current Yield Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. (4.) The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional and PlanAhead Class shares was 0.86% and 1.09%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. The Fund underperformed the Index over the six-month period predominately due to issue selection and fund expenses, as sector allocation was positive. Issue selection in the Manufacturing, Service, and Other Corporate sectors detracted from performance for the six-month period, despite positive contribution from issue selections in the Consumer sector. From a sector allocation perspective, the Fund benefited from underweighting the two worst performing sectors in the Index - Utility and Finance, which gained 5.2% and 3.6%, respectively. Overweighting the Cable/Media sector (up 8.6%) also benefited performance for the period. Underweighting the Other Corporate sector and not owning Transportation sector positions hurt the Fund's relative performance, as they were the two top performing sectors for the period with returns of over 9%. It is important to note that any sector over- or underweighting is a residual of the investment process and not an active part of the Fund's strategy. The sub-advisors' "bottom-up", research intensive investment process, which focuses on companies with strong cash flow and fundamental credit strength, remains in place. Investing in debt securities entails interest rate risk which is the risk that debt securities will decrease in value with increases in market interest rates. 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. 19 PERFORMANCE OVERVIEW AMERICAN BEACON HIGH YIELD BOND FUND(SM) APRIL 30, 2007 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- General Motors Acceptance Corp., 6.875%, Due 9/15/2011 1.1% Charter Communications Holdings, 10.250%, Due 9/15/2010 1.1% Turning Stone Resort & Casino, 9.125%, Due 12/15/2010 1.1% UmbrellaAcquisition, Inc., 9.750%, Due 3/15/2015 1.0% Chesapeake Energy Corp., 7.625%, Due 7/15/2013 1.0% HCA, Inc., 9.250%, Due 11/15/2016 1.0% PetroQuest Energy, Inc., 10.375%, Due 5/15/2012 0.9% Insight Communications, Inc., 12.250%, Due 2/15/2011 0.8% E*Trade Financial Corp., 8.000%, Due 6/15/2011 0.8% Idearc, Inc., 8.000%, Due 11/15/2016 0.8%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate 100.0%
20 PERFORMANCE OVERVIEW AMERICAN BEACON ENHANCED INCOME FUND(SM) APRIL 30, 2007 (UNAUDITED) The PlanAhead Class of the Enhanced Income Fund returned 3.28% for the six months ended April 30, 2007. Its benchmark, a blend of 75% Lehman Brothers Aggregate and 25% Merrill Lynch All U.S. Convertibles Index, returned 3.82%. The Fund's peer group, the Lipper Intermediate Investment Grade Index, returned 2.69% for the same period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 --------------------------------------- SINCE INCEP. 6 MONTHS* 1 YEAR 3 YEARS (7/1/03) --------- ------ ------- -------- PlanAhead Class(1,4) ................. 3.28% 6.67% 4.45% 4.15% Lipper Intermediate Investment Grade Index (2) ........ 2.69% 7.28% 4.34% 3.53% Linked Lehman Bros. Aggregrate Index (2) .............. 2.59% 6.59% 3.58% 2.82% Merrill Lynch All U.S. Convertibles Index (2) ............ 7.40% 11.46% 8.82% 10.40% Enhanced Income Composite Index(3) ................ 3.82% 7.85% 4.92% 4.72%
* 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 current performance may be lower or higher than the performance data quoted. 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 Linked Lehman Brothers Aggregate Index represents returns of the Lehman Bros. Gov./Credit Intermediate Index ("Intermediate Index") up to October 31, 2006 and the Lehman Bros. Aggregate Index ("Aggregate Index") thereafter. The Intermediate Index is an unmanaged index of investment grade corporate and government debt issues with maturities between one and ten years. The Aggregate Index is a market value weighted index of government, corporate, mortgage-backed and asset-backed fixed-rate debt securities of all maturities. The Merrill Lynch All U.S. Convertibles Index is an unmanaged index of domestic securities of all quality grades that are convertible into U.S. dollar-denominated common stock, ADRs or cash equivalents. The Lipper Intermediate Investment Grade Index tracks the results of the 30 largest mutual funds in the Lipper Intermediate Investment Grade Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. (3.) To reflect the Fund's allocation of its assets between investment grade fixed-income securities and convertible securities, the returns of the Linked Lehman Brothers Aggregate Index and the Merrill Lynch All U.S. Convertibles Index have been combined in a 75%/25% proportion. (4.) The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the PlanAhead Class shares was 0.96%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report. 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. During the six-month period, the investment grade bond portion of the Fund returned 2.6% before expenses which equaled the 2.6% return for the Lehman Brothers Aggregate Index. This portion of the Fund benefited from an overweight position in Corporate securities. This positive performance was offset by an underweighting in Mortgages, which detracted from relative performance. The remaining portion of the Fund, managed by the Fund's sub-advisor, returned 7.3% before expenses. These results slightly trailed the 7.4% return of the Merrill Lynch All U.S. Convertibles Index ("ML Index"). This portion of the Fund was helped by having greater equity sensitivity relative to the ML Index. Convertible issues with higher equity sensitivity performed well, reflecting the positive returns within the equity markets for the period. However, this portion of the Fund also held non-convertible common stocks and corporate bonds, in an effort to manage the risk/reward potential of the Fund. The non-convertible holdings lagged the ML Index return and detracted from relative returns. The Manager and the Fund's sub-advisor remain focused on the Fund's investment objectives of generating income and capital appreciation. 21 PERFORMANCE OVERVIEW AMERICAN BEACON ENHANCED INCOME FUND(SM) APRIL 30, 2007 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- U.S. Treasury Note, 4.875%, Due 8/15/2016 2.7% Federal National Mortgage Association, Pool #745418, 5.500%, Due 4/1/2036 2.6% Federal National Mortgage Association, Pool #745275, 5.000%, Due 2/1/2036 2.6% Federal National Mortgage Association, Pool #256022, 5.500%, Due 12/1/2035 2.6% Federal Home Loan Mortgage Corp., Pool G08079, 5.000%, Due 9/1/2035 2.6% U.S. Treasury Bond, 7.875%, Due 2/15/2021 2.3% U.S. Treasury Note, 4.000%, Due 2/15/2014 1.9% Federal National Mortgage Association, Pool #897820, 6.000%, Due 9/1/2036 1.8% U.S. Treasury Note, 4.750%, Due 5/15/2014 1.5% Citigroup, Inc., 5.125%, Due 2/14/2011 1.5%
FIXED-INCOME SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate Bonds 35.1% Mortgage-Backed 28.3% Total Convertible Bonds 16.5% Treasury 15.3% Asset-Backed 4.8%
EQUITY SECTOR ALLOCATION
% OF EQUITIES -------- Information Technology 32.3% Financials 29.4% Industrials 11.7% Consumer Discretionary 9.9% Healthcare 9.0% Consumer Staples 7.7%
Investing in debt securities entails interest rate risk which is the risk that debt securities will decrease in value with increases in market interest rates. 22 PERFORMANCE OVERVIEW AMERICAN BEACON INTERMEDIATE BOND FUND(SM) APRIL 30, 2007 (UNAUDITED) The Institutional Class of the Intermediate Bond Fund returned 3.05% for the six months ended April 30, 2007, outperforming the Lehman Brothers Aggregate Index ("Index") return of 2.64% and the Lipper Intermediate Investment Grade Index return of 2.69%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 -------------------------------------- SINCE 5 INCEP. 6 MONTHS* 1 YEAR YEARS (9/15/97) --------- ------ ----- --------- Institutional Class(1,3) ... 3.05% 7.75% 4.84% 5.77% Lipper Intermediate Inv. Grade Index (2) ......... 2.69% 7.28% 4.98% 5.76% Lehman Bros. Agg. Index (2) ............... 2.64% 7.36% 5.06% 6.15%
* 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 current performance may be lower or higher than the performance data quoted. 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.) Since inception return for the Lehman Brothers Aggregate Index 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 Lipper Intermediate Investment Grade Index tracks the results of the 30 largest mutual funds in the Lipper Intermediate Investment Grade funds category. Lipper is an independent research and ranking service. One cannot directly invest in an index. (3.) The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional Class shares was 0.38%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report. The Fund's excess performance relative to the Index was primarily due to good security selection in the Corporate sector. The Fund's duration overall was similar to that of the Index over the course of the six months; however, an overweight in intermediate maturities (2 to 4 years) added value as the yield curve steepened during the period. Finally, the Fund was overweight versus the Index in BBB and A quality bonds, which performed better than higher quality bonds. 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 ------ U.S. Treasury Note, 4.750%, Due 5/15/2014 5.8% U.S. Treasury Note, 4.625%, Due 2/15/2017 3.0% U.S. Treasury Note, 4.375%, Due 8/15/2012 2.1% U.S. Treasury Bond, 4.500%, Due 2/15/2036 1.8% U.S. Treasury Note, 4.875%, Due 4/30/2011 1.7% U.S. Treasury Note, 4.625%, Due 2/29/2012 1.5% Federal National Mortgage Association, Pool #735224, 5.500%, Due 2/1/2035 1.3% Federal Home Loan Mortgage Corp., 5.250%, Due 2/24/2011 1.2% Chase Mortgage Finance Corp., 6.060%, Due 9/25/2036 1.2% U.S. Treasury Note, 3.875%, Due 5/15/2010 1.2%
SECTOR ALLOCATION
% OF FIXED INCOME ------ Mortgage-Backed 38.2% Corporates 29.5% U.S. Treasury 26.0% U.S. Agency 3.8% Asset-Backed 2.5%
Investing in debt securities entails interest rate risk which is the risk that debt securities will decrease in value with increases in market interest rates. 23 PERFORMANCE OVERVIEW AMERICAN BEACON SHORT-TERM BOND FUND(SM) APRIL 30, 2007 (UNAUDITED) The Institutional Class of the Short-Term Bond Fund returned 3.11% for the six months ended April 30, 2007, which outperformed the Merrill Lynch 1-3 Year Gov/Corp Index (the "Index") return of 2.42% and the Lipper Short Investment Grade Bond Funds Index ("Lipper") return of 2.51%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/07 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1,3) ....... 3.11% 6.05% 3.58% 4.91% PlanAhead Class(1,3) ........... 2.73% 5.50% 3.01% 4.39% Lipper Short Inv. Grade Index (2) ................... 2.51% 5.40% 3.13% 4.50% Merrill Lynch 1-3 Yr. Gov./Corp. Index(2) ......... 2.42% 5.32% 3.34% 4.98%
* 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 be lower or higher than the performance data quoted. 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. A portion of the fees charged to the PlanAhead Class of the Fund has been waived. Performance prior to waiving fees was lower than the actual returns shown. (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. The Lipper Short Investment Grade Bond Funds Index tracks the results of the 30 largest mutual funds in the Lipper Short Investment Grade Bond Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. (3.) The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional and PlanAhead Class shares was 0.36% and 0.91%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. A majority of the Fund's outperformance during the period was attributable to class action settlement proceeds that the Fund received in December 2006 that were related to investment activity in 2002. The Fund's remaining outperformance during the period was due to its overweight positions in the Corporate and Asset-Backed sectors - both of which outperformed Treasuries and Agencies during the period. The Fund's duration was neutral to the Index during the period and did not play a significant role in its relative total returns. The Fund benefited from an overweight position in the Corporate sector, which produced the highest returns of the major sectors. Despite a volatile interruption from Asia, credit spreads ended the period essentially unchanged allowing Corporates to outperform Treasuries and Agencies due to their incremental yield to maturity. The Fund did not have exposure to the sub-prime mortgage industry, which also helped relative total returns during the period. The Fund also maintained its overweight position in the Asset-Backed sector, including Credit Cards and Autos, which outperformed Treasuries and Agencies due to its incremental yield to maturity. The Fund's duration was gradually moved towards neutral after the Federal Reserve Bank (the "Fed") stopped raising interest rates in June 2006. Since then, short-term interest rates have been in a fairly narrow range, the economic data has been mixed and the Fund's duration has been neutral. As the economic situation develops, the Fund's duration will likely be adjusted to take advantage of potential moves by the Fed. 24 PERFORMANCE OVERVIEW AMERICAN BEACON SHORT-TERM BOND FUND(SM) APRIL 30, 2007 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- General Electric Capital Corp., 5.875%, Due 2/15/2012 3.4% Banc of America Securities Auto Trust, 4.080%, Due 4/18/2010 3.3% HSBC Automotive Trust, 4.350%, Due 6/18/2012 3.3% DaimlerChrysler Auto Trust, 3.28%, Due 12/8/2009 3.3% Merrill Lynch & co., Inc., 6.00%, Due 2/17/2009 2.8% Wachovia Corp., 6.400%, Due 4/1/2008 2.8% John Deere Capital Corp., 4.125%, Due 1/15/2010 2.7% Comerica Bank, 6.000%, Due 10/1/2008 2.5% MBNA Corp., 7.500%, Due 3/15/2012 2.4% Washington Mutual, Inc., 8.250%, Due 4/1/2010 2.4%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate Bonds 72.2% Asset-Backed 21.5% Mortgage-Backed 6.3%
Investing in debt securities entails interest rate risk which is the risk that debt securities will decrease in value with increases in market interest rates. 25 FUND EXPENSES - ACTUAL APRIL 30, 2007 (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, 2006 through April 30, 2007. ACTUAL EXPENSES The following tables provide information about actual account values and actual expenses. You may use the information on this page, 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 "Expenses Paid During Period" for the applicable Fund to 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.
SMALL CAP HIGH LARGE CAP MID-CAP VALUE EMERGING YIELD SHORT-TERM BALANCED GROWTH VALUE OPPORTUNITY MARKETS BOND INTERMEDIATE BOND INSTITUTIONAL CLASS FUND FUND FUND FUND FUND FUND BOND FUND FUND - ------------------- --------- --------- --------- ----------- --------- --------- ------------ ---------- Beginning Account Value 11/1/06 ...... $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 04/30/07 ........ $1,077.51 $1,060.05 $1,103.94 $1,076.41 $1,187.62 $1,063.18 $1,030.50 $1,031.12 Expenses Paid During Period 11/1/06 - 04/30/07* ............... $ 2.88 $ 4.75 $ 4.90 $ 5.41 $ 8.14 $ 4.40 $ 1.71 $ 1.76 Annualized Expense Ratio ............. 0.56% 0.90% 0.94% 1.05% 1.50% 0.84% 0.34% 0.35%
SMALL CAP MID-CAP VALUE EMERGING HIGH ENHANCED BALANCED VALUE OPPORTUNITY MARKETS YIELD INCOME SHORT-TERM PLANAHEAD CLASS FUND FUND FUND ** FUND BOND FUND FUND BOND FUND - --------------- --------- --------- ----------- --------- --------- --------- ---------- Beginning Account Value 11/1/06 ...... $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 04/30/07 ........ $1,076.14 $1,102.19 $1,074.37 $1,185.23 $1,062.03 $1,032.84 $1,027.29 Expenses Paid During Period 11/1/06 - 04/30/07 * .............. $ 4.27 $ 6.31 $ 6.63 $ 10.02 $ 5 .52 $ 4.74 $ 4.37 Annualized Expense Ratio ............. 0.83% 1.21% 1.29% 1.85% 1 .08% 0.94% 0.87%
BALANCED SERVICE CLASS FUND - ------------- --------- Beginning Account Value 11/1/06 .. $1,000.00 Ending Account Value 04/30/07 .... $1,074.50 Expenses Paid During Period 11/1/06 - 04/30/07 * .......... $ 5.61 Annualized Expense Ratio ......... 1.09%
BALANCED LARGE CAP MID-CAP EMERGING AMR CLASS FUND GROWTH FUND VALUE FUND MARKETS FUND - --------- --------- ----------- ---------- ------------ Beginning Account Value 11/1/06 .. $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 4/30/2007 ... $1,078.26 $1,061.21 $1,104.11 $1,188.55 Expenses Paid During Period 11/1/06 - 04/30/07 * .......... $ 1.60 $ 3.07 $ 4.07 $ 6.67 Annualized Expense Ratio ......... 0.31% 0.60% 0.78% 1.23%
- ---------- * 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. See accompanying notes 26 FUND EXPENSES - HYPOTHETICAL April 30, 2007 (Unaudited) HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The following tables provide 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, such as redemption fees as applicable. 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 following tables 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.
SMALL CAP HIGH SHORT- LARGE CAP MID-CAP VALUE EMERGING YIELD TERM BALANCED GROWTH VALUE OPPORTUNITY MARKETS BOND INTERMEDIATE BOND INSTITUTIONAL CLASS FUND FUND FUND FUND FUND FUND BOND FUND FUND - ------------------- --------- --------- --------- ----------- --------- --------- ------------ --------- Beginning Account Value 11/1/06 .................. $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 04/30/07 ................. $1,022.02 $1,020.18 $1,020.13 $1,019.59 $1,017.36 $1,020.53 $1,023.11 $1,023.06 Expenses Paid During Period 11/1/06-04/30/07 * ....... $ 2.81 $ 4.66 $ 4.71 $ 5.26 $ 7.50 $ 4.31 $ 1.71 $ 1.76 Annualized Expense Ratio .... 0.56% 0.90% 0.94% 1.05% 1.50% 0.84% 0.34% 0.35%
SMALL CAP MID-CAP VALUE EMERGING ENHANCED BALANCED VALUE OPPORTUNITY MARKETS HIGH YIELD INCOME SHORT-TERM PLANAHEAD CLASS FUND FUND FUND ** FUND BOND FUND FUND BOND FUND - --------------- --------- --------- ----------- --------- ---------- --------- ---------- Beginning Account Value 11/1/06 .................. $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 04/30/07 ................. $1,020.68 $1,018.79 $1,018.40 $1,015.62 $1,019.44 $1,020.13 $1,020.48 Expenses Paid During Period 11/1/06-04/30/07 * ....... $ 4.16 $ 6.06 $ 6.46 $ 9.25 $ 5.41 $ 4.71 $ 4.36 Annualized Expense Ratio .... 0.83% 1.21% 1.29% 1.85% 1.08% 0.94% 0.87%
BALANCED SERVICE CLASS FUND - ------------- --------- Beginning Account Value 11/1/06 .................. $1,000.00 Ending Account Value 04/30/07 ................. $1,019.39 Expenses Paid During Period 11/1/06-04/30/07 * ....... $ 5.46 Annualized Expense Ratio .... 0.83%
LARGE CAP EMERGING BALANCED GROWTH MID-CAP MARKETS AMR CLASS FUND FUND VALUE FUND FUND - --------- --------- --------- ---------- --------- Beginning Account Value 11/1/06 .................. $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 04/30/07 ................. $1,023.26 $1,021.82 $1,020.93 $1,018.70 Expenses Paid During Period 11/1/06-04/30/07 * ....... $ 1.56 $ 3.01 $ 3.91 $ 6.16 Annualized Expense Ratio .... 0.31% 0.60% 0.78% 1.23%
- ---------- * 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. See accompanying notes 27 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 59.11% CONSUMER DISCRETIONARY - 7.07% AUTO COMPONENTS - 0.18% Magna International, Inc. ...................... 25,900 $ 2,050 ----------- HOTELS, RESTAURANTS & LEISURE - 1.14% Carnival Corp. ................................. 105,600 5,163 McDonald's Corp. ............................... 24,600 1,188 Wyndham Worldwide Corp. ## ..................... 126,660 4,382 Yum! Brands, Inc. .............................. 30,200 1,868 ----------- 12,601 ----------- HOUSEHOLD DURABLES - 2.11% Centex Corp. + ................................. 169,200 7,575 Fortune Brands, Inc. ........................... 50,800 4,069 Koninklijke (Royal) Philips Electronics NV ..... 30,531 1,253 Lennar Corp. + ................................. 96,600 4,126 Newell Rubbermaid, Inc. ........................ 56,500 1,733 Pulte Homes, Inc. .............................. 172,900 4,651 ----------- 23,407 ----------- MEDIA - 1.33% CBS Corp. ...................................... 80,400 2,554 Idearc, Inc. + ................................. 59,646 2,073 The Interpublic Group of Companies, Inc. ## + .. 238,700 3,027 R.H. Donnelley Corp. ## + ...................... 53,200 4,154 The Walt Disney Company Ltd. ................... 83,700 2,928 ----------- 14,736 ----------- MULTILINE RETAIL - 1.22% Federated Department Stores, Inc. + ............ 113,454 4,983 Target Corp. ................................... 61,300 3,639 Wal-Mart Stores, Inc. .......................... 103,000 4,936 ----------- 13,558 ----------- SPECIALTY RETAIL - 1.09% Gap, Inc. ...................................... 3,800 68 The Home Depot, Inc. ........................... 261,500 9,903 Liz Claiborne, Inc. ............................ 48,200 2,156 ----------- 12,127 ----------- TOTAL CONSUMER DISCRETIONARY ...................... 78,479 ----------- CONSUMER STAPLES - 3.80% BEVERAGES - 0.52% Constellation Brands, Inc. ## + ................ 22,700 509 Diageo plc, ADR ................................ 62,700 5,292 ----------- 5,801 ----------- FOOD & DRUG RETAILING - 0.17% Safeway, Inc. .................................. 53,000 1,924 -----------
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) FOOD PRODUCTS - 0.84% General Mills, Inc. ............................ 36,900 $ 2,210 Kraft Foods, Inc. .............................. 150,493 5,037 Unilever plc, ADR + ............................ 64,480 2,019 ----------- 9,266 ----------- TOBACCO - 2.27% Altria Group, Inc. ............................. 131,200 9,042 Gallaher Group plc, ADR ........................ 20,900 1,897 Imperial Tobacco Group plc, ADR ................ 112,200 9,807 UST, Inc. + .................................... 78,300 4,438 ----------- 25,184 ----------- TOTAL CONSUMER STAPLES ............................ 42,175 ----------- ENERGY - 4.57% OIL & GAS - 4.57% Chevron Corp. .................................. 86,228 6,708 ConocoPhillips ................................. 243,676 16,899 Devon Energy Corp. ............................. 104,000 7,578 Duke Energy Corp. .............................. 206,700 4,241 Occidental Petroleum Corp. ..................... 145,600 7,382 Petro-Canada ................................... 39,400 1,747 Royal Dutch Shell plc, ADR + ................... 58,300 4,122 Sunoco, Inc. ................................... 27,400 2,070 ----------- TOTAL ENERGY ...................................... 50,747 ----------- FINANCIALS - 17.33% BANKS - 4.75% Bank of New York, Inc. ......................... 41,000 1,660 Bank of America Corp. .......................... 410,596 20,899 Comerica, Inc. ................................. 31,400 1,944 First Horizon National Corp. + ................. 28,300 1,110 KeyCorp ........................................ 64,700 2,308 SunTrust Banks, Inc. ........................... 11,100 937 U.S. Bancorp ................................... 118,360 4,066 UnionBanCal Corp. .............................. 16,000 984 Wachovia Corp. . ............................... 80,400 4,465 Washington Mutual, Inc. + ...................... 191,400 8,035 Wells Fargo & Co. .............................. 178,200 6,395 ----------- 52,803 ----------- DIVERSIFIED FINANCIALS - 6.21% The Bear Stearns Cos., Inc. .................... 22,900 3,565 Capital One Financial Corp. + .................. 41,700 3,097 Citigroup, Inc. ................................ 304,842 16,346 Federal Home Loan Mortgage Corp. ............... 94,000 6,089 Federal National Mortgage Association .......... 49,900 2,940 The Goldman Sachs Group, Inc. .................. 19,700 4,307 JP Morgan Chase & Co. .......................... 293,534 15,293 Merrill Lynch & Co., Inc. ...................... 46,300 4,178
See accompanying notes 28 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Morgan Stanley Dean Witter & Co. ............... 58,600 $ 4,923 SLM Corp. ...................................... 152,000 8,182 ----------- 68,920 ----------- INSURANCE - 6.03% ACE Ltd. ....................................... 81,800 4,864 The Allstate Corp. ............................. 93,700 5,839 American International Group, Inc. ............. 109,800 7,676 AON Corp. ...................................... 32,100 1,244 Assurant, Inc. ................................. 17,000 978 Conseco, Inc. ## + ............................. 95,000 1,681 Genworth Financial, Inc. ....................... 171,400 6,254 The Hartford Financial Services Group, Inc. .... 21,200 2,145 MetLife, Inc. .................................. 143,880 9,453 MGIC Investment Corp. + ........................ 53,100 3,272 Prudential Financial, Inc. ..................... 12,800 1,216 The Travelers Companies, Inc. .................. 180,700 9,776 UnumProvident Corp. + .......................... 182,700 4,546 XL Capital Ltd. ................................ 102,900 8,024 ----------- 66,968 ----------- REAL ESTATE - 0.34% The St. Joe Co. + .............................. 67,800 3,839 ----------- TOTAL FINANCIALS .................................. 192,530 ----------- HEALTH CARE - 5.06% HEALTH CARE EQUIPMENT & SUPPLIES - 0.56% Baxter International, Inc. ..................... 109,800 6,218 ----------- HEALTH CARE PROVIDERS & SERVICES - 1.47% Cigna Corp. .................................... 32,500 5,057 Omnicare, Inc. ................................. 6,400 212 Tenet Healthcare Corp. ## + .................... 274,000 2,033 UnitedHealth Group, Inc. ....................... 53,000 2,812 WellPoint, Inc. ## ............................. 79,600 6,286 ----------- 16,400 ----------- PHARMACEUTICALS - 3.03% Bristol-Myers Squibb Co. ....................... 268,300 7,743 Eli Lilly & Co. ................................ 61,900 3,660 Johnson & Johnson .............................. 26,000 1,670 Merck & Co., Inc. .............................. 27,000 1,389 Pfizer, Inc. ................................... 408,500 10,809 Schering-Plough Corp. .......................... 155,800 4,944 Wyeth Corp. .................................... 61,700 3,424 ----------- 33,639 ----------- TOTAL HEALTH CARE ................................. 56,257 -----------
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) INDUSTRIALS - 7.56% AEROSPACE & DEFENSE - 1.67% The Boeing Co. ................................. 56,800 $ 5,282 Northrop Grumman Corp. ......................... 78,800 5,803 Raytheon Co. ................................... 73,900 3,957 United Technologies Corp. ...................... 52,500 3,524 ----------- 18,566 ----------- AIR FREIGHT & COURIERS - 0.21% FedEx Corp. .................................... 22,000 2,320 INDUSTRIAL CONGLOMERATES - 3.24% 3M Co. ......................................... 51,400 4,254 General Electric Co. ........................... 221,200 8,154 Honeywell International, Inc. .................. 205,600 11,139 Textron, Inc. .................................. 33,800 3,437 Tyco International Ltd. ........................ 274,900 8,970 ----------- 35,954 ----------- MACHINERY - 1.87% Caterpillar, Inc. .............................. 71,100 5,163 Flowserve Corp. ................................ 70,300 4,289 Illinois Tool Works, Inc. + .................... 132,400 6,793 ITT Industries, Inc. ........................... 70,800 4,518 ----------- 20,763 ----------- RENTAL AUTO/EQUIPMENT - 0.06% Avis Budget Group, Inc. ........................ 24,630 693 ----------- TRANSPORTATION INFRASTRUCTURE - 0.51% Burlington Northern Santa Fe Corp. ............. 64,600 5,655 ----------- TOTAL INDUSTRIALS ................................. 83,951 ----------- INFORMATION TECHNOLOGY - 5.35% COMMERCIAL SERVICES & SUPPLIES - 0.36% First Data Corp. ............................... 124,600 4,037 ----------- COMMUNICATIONS EQUIPMENT - 0.48% Nokia Corp., ADR ## ............................ 211,100 5,330 ----------- COMPUTERS & PERIPHERALS - 1.55% Hewlett-Packard Co. ............................ 214,700 9,047 International Business Machines Corp. .......... 79,600 8,136 ----------- 17,183 ----------- IT CONSULTING & SERVICES - 0.89% Computer Sciences Corp. ## + ................... 32,000 1,777 Electronic Data Systems Corp. .................. 278,200 8,135 ----------- 9,912 -----------
See accompanying notes 29 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.22% Intel Corp. .................................... 115,000 $ 2,473 ----------- SOFTWARE - 1.85% BMC Software, Inc. ## .......................... 56,300 1,822 CA, Inc. ....................................... 377,574 10,293 Microsoft Corp. ................................ 279,200 8,359 ----------- 20,474 ----------- TOTAL INFORMATION TECHNOLOGY ...................... 59,409 ----------- MATERIALS - 2.26% CHEMICALS - 1.48% Air Products & Chemicals, Inc. ................. 29,200 2,234 Dow Chemical Co. ............................... 46,900 2,092 E. I. du Pont de Nemours & Co. ................. 50,200 2,468 Eastman Chemical Co. + ......................... 37,400 2,532 Lyondell Chemical Co. + ........................ 156,900 4,883 PPG Industries, Inc. ........................... 30,600 2,252 ----------- 16,461 ----------- METALS & MINING - 0.54% Alcoa, Inc. .................................... 168,996 5,998 ----------- PAPER & FOREST PRODUCTS - 0.24% Weyerhaeuser Co. ............................... 32,800 2,598 ----------- TOTAL MATERIALS ................................... 25,057 ----------- TELECOMMUNICATION SERVICES - 2.31% DIVERSIFIED TELECOMMUNICATION - 2.31% AT&T, Inc. ..................................... 371,477 14,384 Verizon Communications, Inc. ................... 294,428 11,241 ----------- TOTAL TELECOMMUNICATION SERVICES .................. 25,625 ----------- UTILITIES - 3.80% ELECTRIC UTILITIES - 3.57% CenterPoint Energy, Inc. + ..................... 131,600 2,478 Dominion Resources, Inc. ....................... 52,200 4,760 DTE Energy Co. ................................. 40,000 2,023 Entergy Corp. .................................. 68,700 7,773 Exelon Corp. ................................... 226,200 17,058 FPL Group, Inc. ................................ 62,900 4,049 Public Service Enterprise Group, Inc. .......... 17,200 1,487 ----------- 39,628 ----------- GAS UTILITIES - 0.23% Spectra Energy Corp. ........................... 98,300 2,566 ----------- TOTAL UTILITIES ................................... 42,194 ----------- TOTAL COMMON STOCKS ............................... 656,424 -----------
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) CORPORATE OBLIGATIONS - 7.03% BANKS - 1.22% Banco Popular North America, Inc., 4.25%, Due 4/1/2008 ......................... $ 500 $ 493 Bank of America Corp., 5.375%, Due 8/15/2011 ....................... 1,015 1,027 7.80%, Due 9/15/2016 ........................ 1,000 1,169 Bank One Corp., 5.90%, Due 11/15/2011 ....................... 835 858 4.90%, Due 4/30/2015 ........................ 450 434 Citigroup, Inc., 5.125%, Due 2/14/2011 ....................... 2,500 2,504 Credit Suisse First Boston, 6.50%, Due 5/1/2008 + ++ .................... 750 757 ING Bank, NV, 5.125%, Due 5/1/2015 ++ ..................... 450 444 JPMorgan Chase & Co., 6.75%, Due 2/1/2011 ......................... 1,200 1,262 National City Bank, 4.50%, Due 3/15/2010 ........................ 1,500 1,472 Synovus Financial Corp., 4.875%, Due 2/15/2013 ....................... 450 443 Wachovia Corp., 5.70%, Due 8/1/2013 ......................... 585 600 Washington Mutual Finance Corp., 6.875%, Due 5/15/2011 ....................... 660 702 Washington Mutual, Inc., 8.25%, Due 4/1/2010 ......................... 500 540 4.625%, Due 4/1/2014 ........................ 950 888 ----------- 13,593 ----------- BASIC MATERIALS - 0.10% Alcoa, Inc., 5.90%, Due 2/1/2027 ......................... 360 358 BHP Billiton Finance USA Ltd., 4.80%, Due 4/15/2013 ........................ 450 439 Weyerhaeuser Co., 5.95%, Due 11/1/2008 ........................ 340 343 ----------- 1,140 ----------- COMMUNICATIONS - 0.33% Comcast Cable Communications Holdings, Inc., 8.375%, Due 3/15/2013 ....................... 950 1,090 Comcast Corp., 5.30%, Due 1/15/2014 ........................ 710 704 5.875%, Due 2/15/2018 ....................... 345 348 Time Warner Cable, Inc., 5.85%, Due 5/1/2017 ++ ...................... 1,180 1,187
See accompanying notes 30 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Time Warner, Inc., 6.50%, Due 11/15/2036 ....................... $ 370 $ 370 ----------- 3,699 ----------- CONSUMER DISCRETIONARY - 0.17% Costco Wholesale Corp., 5.50%, Due 3/15/2017 ........................ 680 686 Wal-Mart Stores, Inc., 4.55%, Due 5/1/2013 ......................... 635 616 7.55%, Due 2/15/2030 ........................ 450 545 ----------- 1,847 ----------- ENERGY - 0.22% Apache Corp., 5.25%, Due 4/15/2013 ........................ 545 546 Canadian Natural Resources Ltd., 5.70%, Due 5/15/2017 ........................ 400 401 6.25%, Due 3/15/2038 ........................ 500 497 EOG Resources, Inc., 4.75%, Due 3/15/2014 ++ ..................... 425 411 Pemex Project Funding Master Trust, 8.50%, Due 2/15/2008 + ...................... 610 624 ----------- 2,479 ----------- FINANCE - 0.97% American General Finance Corp., 5.375%, Due 9/1/2009 ........................ 1,090 1,095 4.875%, Due 5/15/2010 ....................... 500 499 Ameriprise Financial, Inc., 5.35%, Due 11/15/2010 ....................... 975 983 The Bear Stearns Cos., Inc., 2.875%, Due 7/2/2008 ........................ 800 778 Capital One Financial Corp., 5.70%, Due 9/15/2011 ........................ 750 757 General Electric Capital Corp., 4.375%, Due 3/3/2012 ........................ 995 967 The Goldman Sachs Group, Inc., 4.75%, Due 7/15/2013 ........................ 400 387 Hartford Financial Services Group, Inc., 5.375%, Due 3/15/2017 ....................... 540 537 HSBC Finance Corp., 5.25%, Due 1/14/2011 + ...................... 2,000 2,001 International Lease Finance Corp., 6.375%, Due 3/15/2009 ....................... 1,025 1,048 Lehman Brothers Holdings, Inc., 4.25%, Due 1/27/2010 + ...................... 450 441 Merrill Lynch & Co., Inc., 5.45%, Due 7/15/2014 ........................ 400 402 6.11%, Due 1/29/2037 ........................ 500 497 SLM Corp., 5.45%, Due 4/25/2011 ........................ 335 323 ----------- 10,715 -----------
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) INDUSTRIALS - 1.13% Caterpillar Financial Services Corp., 4.15%, Due 1/15/2010 ........................ $ 500 $ 489 Con-way, Inc., 8.875%, Due 5/1/2010 ........................ 1,850 2,013 CRH America, Inc., 6.00%, Due 9/30/2016 ........................ 435 445 CSX Corp., 6.75%, Due 3/15/2011 ........................ 500 525 DaimlerChrysler NA Holding Corp., 7.75%, Due 1/18/2011 ........................ 1,000 1,081 5.875%, Due 3/15/2011 ....................... 450 458 5.75%, Due 9/8/2011 ......................... 550 558 John Deere Capital Corp., 4.125%, Due 1/15/2010 ....................... 1,250 1,221 5.40%, Due 10/17/2011 ....................... 655 663 Martin Marietta Materials, Inc., 6.90%, Due 8/15/2007 ........................ 200 201 Masco Corp., 6.125%, Due 10/3/2016 ....................... 430 434 Nissan Motor Acceptance Corp., 5.625%, Due 3/14/2011 ++ .................... 500 504 Norfolk Southern Corp., 8.625%, Due 5/15/2010 ....................... 500 547 Unilever Capital Corp., 7.125%, Due 11/1/2010 ....................... 2,000 2,123 Union Pacific Corp., 3.875%, Due 2/15/2009 ....................... 775 758 6.50%, Due 4/15/2012 ........................ 450 472 ----------- 12,492 ----------- INSURANCE - 0.83% Aegon Funding Corp., 5.75%, Due 12/15/2020 ....................... 450 459 American International Group, Inc., 6.25%, Due 5/1/2036 ......................... 450 477 ASIF Global Financing, 3.90%, Due 10/22/2008 ++ .................... 700 687 The Hartford Financial Services Group, Inc., 5.25%, Due 10/15/2011 ....................... 1,150 1,155 John Hancock Global Funding II, 7.90%, Due 7/2/2010 ++ ...................... 1,375 1,486 Liberty Mutual Insurance Co., 7.875%, Due 10/15/2026 + ++ ................. 1,500 1,702 Lincoln National Corp., 4.75%, Due 2/15/2014 ........................ 200 193 MetLife, Inc., 5.375%, Due 12/15/2012 ...................... 660 668 5.00%, Due 6/15/2015 ........................ 485 473
See accompanying notes 31 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Metropolitan Life Global Funding I, 4.625%, Due 8/19/2010 ++ .................... $ 700 $ 694 Prudential Financial, Inc., 4.50%, Due 7/15/2013 ........................ 400 386 5.10%, Due 9/20/2014 ........................ 535 526 Willis North America, Inc., 6.20%, Due 3/28/2017 ........................ 360 361 ----------- 9,267 ----------- PHARMACEUTICALS - 0.25% Abbott Laboratories, 5.60%, Due 5/15/2011 ........................ 510 520 Amgen, Inc., 4.00%, Due 11/18/2009 ....................... 540 526 Hospira, Inc., 6.05%, Due 3/30/2017 ........................ 360 364 Schering-Plough Corp., 6.75%, Due 12/1/2033 ........................ 525 586 Wyeth Corp., 5.50%, Due 2/1/2014 ......................... 780 789 ----------- 2,785 ----------- REAL ESTATE - 0.35% Equity Residential, 5.125%, Due 3/15/2016 ....................... 385 376 iStar Financial, Inc., 5.85%, Due 3/15/2017 ........................ 750 748 ProLogis Trust, 7.10%, Due 4/15/2008 ........................ 470 475 ProLogis, 5.50%, Due 4/1/2012 ......................... 450 455 5.625%, Due 11/15/2016 + .................... 450 454 Simon Property Group LP, 6.375%, Due 11/15/2007 ...................... 400 402 5.375%, Due 6/1/2011 ........................ 450 453 5.75%, Due 12/1/2015 ........................ 560 570 ----------- 3,933 ----------- TECHNOLOGY - 0.15% Cisco Systems, Inc., 5.25%, Due 2/22/2011 ........................ 950 957 5.50%, Due 2/22/2016 ........................ 725 729 ----------- 1,686 ----------- TELEPHONE - 0.63% America Movil, S.A. de C.V., 6.375%, Due 3/1/2035 ........................ 675 683 AT&T, Inc., 5.10%, Due 9/15/2014 ........................ 625 614 5.625%, Due 6/15/2016 ....................... 995 1,002 6.80%, Due 5/15/2036 + ...................... 225 244
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Cingular Wireless Services, Inc., 8.75%, Due 3/1/2031 ........................ $ 445 $ 582 Deutsche Telekom AG, 8.00%, Due 6/15/2010 ........................ 380 411 Nextel Communications, Inc., 6.875%, Due 10/31/2013 ...................... 615 632 Sprint Capital Corp., 8.375%, Due 3/15/2012 ....................... 450 501 Telecom Italia S.p.A., 4.00%, Due 11/15/2008 ....................... 580 570 Telefonica Emisiones SAU, 5.984%, Due 6/20/2011 ....................... 380 390 Verizon Communications, Inc., 5.50%, Due 4/1/2017 ......................... 500 498 Vodafone Group plc, 6.15%, Due 2/27/2037 ........................ 840 828 ----------- 6,955 ----------- UTILITIES - 0.68% Columbus Southern Power Co., 5.50%, Due 3/1/2013 ......................... 830 836 Dominion Resources, Inc., Series A, 5.60%, Due 11/15/2016 ............. 345 346 Duke Energy Indiana, Inc., 6.05%, Due 6/15/2016 + ...................... 520 538 FPL Group Capital, Inc., 5.625%, Due 9/1/2011 ........................ 1,025 1,043 MidAmerican Energy Holdings Co., 5.875%, Due 10/1/2012 ....................... 1,070 1,105 6.125%, Due 4/1/2036 ........................ 450 457 Public Service Enterprise Group, Inc., 6.95%, Due 6/1/2012 ......................... 925 989 Puget Sound Energy, Inc., 6.274%, Due 3/15/2037 ....................... 370 380 Southern Power Co., 6.25%, Due 7/15/2012 ........................ 690 719 Xcel Energy, Inc., 5.613%, Due 4/1/2017 ++ ..................... 1,089 1,087 ----------- 7,500 ----------- TOTAL CORPORATE OBLIGATIONS ....................... 78,091 ----------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.23% COMMERCIAL MORTGAGE-BACKED SECURITY - 0.75% Banc of America Commercial Mortgage, Inc., 2005-6, 5.001%, Due 9/10/2047 ............... 829 825 Bear Stearns Commercial Mortgage Securities, Inc., 2006-T22 A2, 5.633%, Due 4/12/2038 .......... 590 597 2006-PW13 A4, 5.54%, Due 9/11/2041 .......... 1,260 1,274
See accompanying notes 32 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) 2004-PWR5 A4, 4.831%, Due 7/11/2042 ......... $ 1,015 $ 993 2005-T20 A2, 5.127%, Due 10/12/2042 ......... 690 689 Citigroup Commercial Mortgage Trust, 2004-C2 A3, 4.38%, Due 10/15/2041 ........... 805 781 General Electric Capital Commercial Mortgage Corp., 2003-C2 A2, 4.17%, Due 7/10/2037 ............ 430 422 JP Morgan Chase Commercial Mortgage Securities Corp., 2004-CBX A4, 4.529%, Due 1/12/2037 .......... 555 541 2005-LDP1 A2, 4.625%, Due 3/15/2046 ......... 845 833 JPMorgan Chase Commercial Mortgage Securities Corp., 2005-LDP3 A1, 4.655%, Due 8/15/2042 ......... 328 325 2005-LDP4 A1, 4.613%, Due 10/15/2042 ........ 260 258 LB-UBS Commercial Mortgage Trust, 2004-C1 A4, 5.424%, Due 2/15/2040 ........... 750 752 ----------- 8,290 ----------- WHOLE LOAN COLLATERALIZED MORTGAGE OBLIGATIONS - 0.48% Banc of America Mortgage Securities, Inc., 2004-8 3A1, 5.25%, Due 10/25/2019 ........... 1,161 1,155 Chase Mortgage Finance Corp., 2006A1 A1, 6.06%, Due 9/25/2036 # ........... 1,255 1,259 Chase Mortgage Financial Trust, 2004-S1 A3, 5.50%, Due 2/25/2019 ............ 142 142 Prime Mortgage Trust, 2005-2, 5.25%, Due 7/25/2020 ................ 1,863 1,862 Wells Fargo Mortgage Backed Securities Trust, 2006-11 A8, 6.00%, Due 9/25/2036 ............ 963 966 ----------- 5,384 ----------- TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS ...... 13,674 ----------- ASSET-BACKED SECURITIES - 0.54% American Express Credit Account Master Trust, 2006-2 A, 5.35%, Due 1/15/2014 .............. 2,000 2,032 Capital Auto Receivables Asset Trust, 2006-SN1A A4A, 5.32%, Due 3/20/2010 ++ ...... 1,500 1,503 Capital One Multi-Asset Execution Trust, 2006-A10 A10, 5.15%, Due 6/15/2014 .......... 1,450 1,463 Volkswagen Auto Loan Enhanced Trust, 2005-1 A4, 4.86%, Due 4/20/2012 ............. 1,000 996 ----------- TOTAL ASSET-BACKED SECURITIES ..................... 5,994 ----------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 7.29% FEDERAL HOME LOAN MORTGAGE CORPORATION - 3.22% Pool # E90777, 5.50%, Due 8/1/2017 ............. 74 74
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Pool # G11295, 5.50%, Due 9/1/2017 ............. $ 363 $ 365 Pool # E97381, 5.50%, Due 6/1/2018 ............. 161 161 Pool # E01492, 5.50%, Due 10/1/2018 ............ 1,344 1,349 Pool # E01602, 4.50%, Due 3/1/2019 ............. 999 970 Pool # G11879, 5.00%, Due 10/1/2020 ............ 1,414 1,395 Pool # G11994, 5.50%, Due 5/1/2021 ............. 853 854 Pool # G12486, 5.00%, Due 7/1/2021 ............. 2,002 1,975 Pool # G18139, 5.50%, Due 9/1/2021 ............. 441 442 Pool # G12603, 5.50%, Due 4/1/2022 ............. 570 570 Pool # C26472, 6.50%, Due 5/1/2029 ............. 70 72 Pool # C27089, 6.50%, Due 6/1/2029 ............. 12 13 Pool # C00835, 6.50%, Due 7/1/2029 ............. 224 232 Pool # G01457, 6.00%, Due 8/1/2029 ............. 117 119 Pool # C01598, 5.00%, Due 8/1/2033 ............. 1,808 1,752 Pool # C01786, 5.50%, Due 2/1/2034 ............. 3,023 2,995 Pool # C01796, 5.00%, Due 3/1/2034 ............. 1,418 1,373 Pool # C01848, 6.00%, Due 6/1/2034 ............. 1,096 1,108 Pool # G08006, 6.00%, Due 8/1/2034 ............. 1,004 1,015 Pool # A28109, 5.50%, Due 10/1/2034 ............ 990 981 Pool # A30948, 5.50%, Due 1/1/2035 ............. 846 839 Pool # A45500, 5.50%, Due 6/1/2035 ............. 3,670 3,634 Pool # G08072, 5.00%, Due 8/1/2035 ............. 1,258 1,217 Pool # G08079, 5.00%, Due 9/1/2035 ............. 1,795 1,736 Pool # A54039, 6.00%, Due 11/1/2036 ............ 2,167 2,185 Pool # 1G1389, 5.897%, Due 12/1/2036 # ......... 2,161 2,179 Pool # 1B3208, 5.861%, Due 1/1/2037 # .......... 2,720 2,747 Pool # A56051, 6.00%, Due 1/1/2037 ............. 942 950 Pool # 1B3314, 5.791%, Due 3/1/2037 # .......... 1,548 1,561 Pool # 1G1916, 5.267%, Due 4/1/2037 # .......... 890 888 ----------- 35,751 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.33% Pool # 488099, 5.50%, Due 2/1/2014 ............. 236 237 Pool # 323789, 6.00%, Due 6/1/2014 ............. 300 305 Pool # 535846, 6.00%, Due 4/1/2016 ............. 425 433 Pool # 254545, 5.00%, Due 12/1/2017 ............ 1,053 1,041 Pool # 555549, 5.00%, Due 6/1/2018 ............. 2,179 2,153 Pool # 254865, 4.50%, Due 9/1/2018 ............. 1,643 1,595 Pool # 747844, 5.50%, Due 12/1/2018 ............ 102 102 Pool # 837219, 4.00%, Due 8/1/2020 ............. 1,197 1,131 Pool # 745562, 5.50%, Due 4/1/2021 ............. 1,323 1,325 Pool # 252211, 6.00%, Due 1/1/2029 ............. 636 646 Pool # 555880, 5.50%, Due 11/1/2033 ............ 1,369 1,357 Pool # 725238, 5.00%, Due 3/1/2034 ............. 1,875 1,816 Pool # 725866, 4.50%, Due 9/1/2034 ............. 1,056 993 Pool # 815762, 6.50%, Due 3/1/2035 ............. 343 353 Pool # 828377, 5.50%, Due 6/1/2035 ............. 1,803 1,785 Pool # 838607, 5.50%, Due 9/1/2035 ............. 273 270 Pool # 844809, 5.00%, Due 11/1/2035 ............ 915 885 Pool # 850280, 5.50%, Due 12/1/2035 ............ 461 457 Pool # 849299, 5.50%, Due 1/1/2036 ............. 1,663 1,647
See accompanying notes 33 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Pool # 866593, 5.50%, Due 1/1/2036 ............. $ 2,662 $ 2,635 Pool # 256101, 5.50%, Due 2/1/2036 ............. 1,119 1,108 Pool # 879518, 5.50%, Due 3/1/2036 ............. 395 391 Pool # 745418, 5.50%, Due 4/1/2036 ............. 1,805 1,787 Pool # 868495, 6.50%, Due 4/1/2036 ............. 677 692 Pool # 872306, 6.50%, Due 5/1/2036 ............. 720 735 Pool # 872317, 6.50%, Due 5/1/2036 ............. 1,357 1,386 Pool # 884032, 6.50%, Due 5/1/2036 ............. 733 749 Pool # 886395, 6.00%, Due 8/1/2036 ............. 715 721 Pool # 745822, 6.00%, Due 9/1/2036 ............. 1,294 1,304 Pool # 893523, 6.00%, Due 9/1/2036 ............. 250 252 Pool # 893688, 6.00%, Due 10/1/2036 ............ 1,564 1,576 Pool # 831806, 6.50%, Due 10/1/2036 ............ 235 240 Pool # 905058, 6.00%, Due 11/1/2036 ............ 4,025 4,056 Pool # 908084, 6.50%, Due 12/1/2036 ............ 222 227 Federal National Mortgage Association, 5.00%, Due TBA .............................. 650 628 ----------- 37,018 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.74% Pool # 780400, 7.00%, Due 12/15/2025 ........... 373 392 2006-9 A, 4.201%, Due 8/16/2026 ................ 846 828 Pool # 780615, 6.50%, Due 8/15/2027 ............ 452 466 Pool # 780680, 6.50%, Due 11/15/2027 ........... 442 456 Pool # 780936, 7.50%, Due 12/15/2028 ........... 348 364 Pool # 781288, 6.50%, Due 5/15/2031 ............ 273 282 Pool # 781589, 5.50%, Due 4/15/2033 ............ 1,414 1,408 Pool # 781636, 5.50%, Due 7/15/2033 ............ 1,179 1,174 Pool # 781690, 6.00%, Due 12/15/2033 ........... 1,271 1,292 Pool # 003515, 5.50%, Due 2/20/2034 ............ 1,563 1,553 ----------- 8,215 ----------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS ..... 80,984 ----------- U.S. AGENCY OBLIGATIONS - 5.86% FEDERAL HOME LOAN BANK - 0.33% 5.00%, Due 10/16/2009 + ........................ 2,280 2,276 5.25%, Due 11/3/2009 ........................... 1,360 1,363 ----------- 3,639 ----------- FEDERAL HOME LOAN MORTGAGE CORPORATION - 3.38% Federal Home Loan Mortgage Corp., 5.191%, Due 5/14/2007 ## +++ ............ 650 649 5.25%, Due 2/24/2011 + ......................... 2,860 2,867 5.875%, Due 3/21/2011 .......................... 610 633 4.50%, Due 1/15/2015 + ......................... 34,290 33,376 ----------- 37,525 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.15% 4.375%, Due 9/7/2007 ........................... 9,260 9,232 5.125%, Due 1/2/2014 + ......................... 820 823
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) 6.25%, Due 5/15/2029 + ......................... $ 12,200 $ 13,816 ----------- 23,871 ----------- TOTAL U.S. AGENCY OBLIGATIONS ..................... 65,035 ----------- U.S. TREASURY OBLIGATIONS - 11.74% 9.125%, Due 5/15/2018 + ........................ 1,750 2,409 7.875%, Due 2/15/2021 + ........................ 950 1,238 6.25%, Due 8/15/2023 + ......................... 1,050 1,211 6.875%, Due 8/15/2025 + ........................ 1,580 1,957 5.25%, Due 11/15/2028 + ........................ 1,950 2,045 5.25%, Due 2/15/2029 + ......................... 30,585 32,076 6.25%, Due 5/15/2030 + ......................... 1,550 1,844 4.50%, Due 2/15/2036 + ......................... 5,625 5,334 4.625%, Due 3/31/2008 + ........................ 14,825 14,779 4.875%, Due 8/15/2009 + ........................ 8,975 9,033 3.50%, Due 11/15/2009 + ........................ 5,850 5,703 4.25%, Due 1/15/2011 + ......................... 4,500 4,461 4.875%, Due 4/30/2011 + ........................ 4,750 4,812 4.625%, Due 2/29/2012 + ........................ 6,805 6,836 4.50%, Due 3/31/2012 + ......................... 1,320 1,319 4.375%, Due 8/15/2012 + ........................ 6,100 6,068 4.75%, Due 5/15/2014 + ......................... 14,800 14,959 4.125%, Due 5/15/2015 + ........................ 3,000 2,905 4.875%, Due 8/15/2016 + ........................ 3,050 3,106 4.625%, Due 2/15/2017 + ........................ 8,240 8,236 ----------- TOTAL U.S. TREASURY OBLIGATIONS ................... 130,331 -----------
SHARES ------------ SHORT TERM INVESTMENTS - 6.94% American Beacon Money Market Select Fund @@ ... 71,626,313 71,626
PAR AMOUNT ------------ United States Treasury Bill, 5.01%, Due 6/7/2007 +++ @ ............... $ 5,490 5,462 ----------- TOTAL SHORT TERM INVESTMENTS ...................... 77,088 -----------
SHARES ------------ SECURITIES LENDING COLLATERAL - 18.52% American Beacon Cash Plus Trust @@ ............. 121,319,691 121,320 American Beacon Money Market Select Fund @@ .... 84,371,810 84,372 ----------- TOTAL SECURITIES LENDING COLLATERAL ............... 205,692 ----------- TOTAL INVESTMENTS 118.26% - (COST $1,135,490) ..... 1,313,313 LIABILITIES, NET OF OTHER ASSETS - (18.26%) ....... (202,739) ----------- TOTAL NET ASSETS - 100.00% ........................ $ 1,110,574 ===========
See accompanying notes 34 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ 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 $10,462 or 0.94% of net assets. The Fund has no right to demand registration of these securities. # The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due date on these types of securities reflects the final maturity date. +++ Rates represent discount rate. @@ The Fund/Trust is affiliated by having the same investment advisor. @ At April 30, 2007, security pledged as collateral for open futures contracts. FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ CONTRACTS DATE VALUE (DEPRECIATION) --------- ---------- ------- -------------- Emini S&P 500 Index .......... 968 Jun 2007 $72,039 $2,706
See accompanying notes 35 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 97.72% CONSUMER DISCRETIONARY - 15.36% AUTO COMPONENTS - 0.10% ArvinMeritor, Inc. + ........................... 5,200 $ 107 ----------- AUTOMOBILES - 0.91% Harley-Davidson, Inc. + ........................ 14,773 936 ----------- HOTELS, RESTAURANTS & LEISURE - 2.27% Carnival Corp. ................................. 600 29 Marriott International, Inc. ................... 24,400 1,103 McDonald's Corp. ............................... 23,344 1,127 Starwood Hotels & Resorts Worldwide, Inc. ...... 1,200 81 ----------- 2,340 ----------- HOUSEHOLD DURABLES - 0.02% Dolby Laboratories, Inc. ## .................... 700 25 ----------- INTERNET & CATALOG RETAIL - 0.11% Amazon.com, Inc. ## + .......................... 1,300 80 eBay, Inc. ## .................................. 900 30 ----------- 110 ----------- LEISURE EQUIPMENT & PRODUCTS - 0.09% Mattel, Inc. ................................... 3,200 91 ----------- MEDIA - 4.06% CBS Corp. ...................................... 26,545 843 The DIRECTV Group, Inc. ## + ................... 28,996 691 The McGraw-Hill Companies, Inc. ................ 100 7 Omnicom Group, Inc. ............................ 8,354 875 Time Warner, Inc. .............................. 53,200 1,097 The Walt Disney Company Ltd. ................... 19,200 672 ----------- 4,185 ----------- MULTILINE RETAIL - 3.39% IAC/InterActiveCorp ## + ....................... 11,300 431 J.C. Penney Company, Inc. ...................... 10,552 834 Kohl's Corp. ## ................................ 11,424 846 Nordstrom, Inc. ................................ 16,291 895 Wal-Mart Stores, Inc. .......................... 10,300 493 ----------- 3,499 ----------- SPECIALTY RETAIL - 3.25% American Eagle Outfitters, Inc. + .............. 32,450 956 American Greetings Corp. + ..................... 4,700 120 AutoNation, Inc. ## ............................ 6,501 133 AutoZone, Inc. ## .............................. 300 40 Best Buy Company, Inc. ......................... 18,065 843 Dick's Sporting Goods, Inc. ## + ............... 300 17 Lowe's Companies, Inc. + ....................... 28,181 861 OfficeMax, Inc. ................................ 600 29
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) RadioShack Corp. ............................... 5,800 $ 169 The TJX Companies, Inc. ........................ 6,600 184 ----------- 3,352 ----------- TEXTILES & APPAREL - 1.16% Coach, Inc. ## ................................. 6,400 312 Nike, Inc. ..................................... 16,460 887 ----------- 1,199 ----------- TOTAL CONSUMER DISCRETIONARY ...................... 15,844 ----------- CONSUMER STAPLES - 7.48% BEVERAGES - 2.92% The Coca-Cola Co. .............................. 39,851 2,080 Molson Coors Brewing Co. ....................... 500 47 PepsiCo, Inc. .................................. 13,492 892 ----------- 3,019 ----------- FOOD & DRUG RETAILING - 2.50% CVS Caremark Corp. + ........................... 29,441 1,067 The Kroger Co. ................................. 10,100 298 Safeway, Inc. .................................. 10,300 374 Walgreen Co. ................................... 19,118 839 ----------- 2,578 ----------- FOOD PRODUCTS - 0.12% Tyson Foods, Inc. .............................. 5,700 120 ----------- PERSONAL PRODUCTS - 0.94% Alberto-Culver Co. ............................. 800 19 Colgate-Palmolive Co. .......................... 12,880 873 The Estee Lauder Companies, Inc. + ............. 1,500 77 ----------- 969 ----------- TOBACCO - 1.00% Loews Corp. - Carolina Group ................... 600 46 UST, Inc. + .................................... 17,400 986 ----------- 1,032 ----------- TOTAL CONSUMER STAPLES ............................ 7,718 ----------- ENERGY - 3.20% ENERGY EQUIPMENT & SERVICES - 1.82% Cameron International Corp. ## ................. 14,040 907 Dresser-Rand Group, Inc. ## .................... 200 6 FMC Technologies, Inc. ## ...................... 100 7 GlobalSantaFe Corp. ............................ 500 32 Halliburton Co. ................................ 27,483 873 SEACOR Holdings, Inc. ## ....................... 600 57 ----------- 1,882 ----------- OIL & GAS - 1.38% Devon Energy Corp. ............................. 2,100 153 Exxon Mobil Corp. .............................. 11,600 921
See accompanying notes 36 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Holly Corp. .................................... 5,300 $ 337 Tesoro Corp. ................................... 100 12 ----------- 1,423 ----------- TOTAL ENERGY ...................................... 3,305 ----------- FINANCIALS - 9.12% BANKS - 0.13% East West Bancorp, Inc. ........................ 400 16 Hudson City Bancorp, Inc. + .................... 6,900 92 Wachovia Corp. ................................. 400 22 ----------- 130 ----------- DIVERSIFIED FINANCIALS - 4.96% AmeriCredit Corp. ## + ......................... 5,600 141 Blackrock, Inc. + .............................. 800 120 Citigroup, Inc. ................................ 1,400 75 Federated Investors, Inc. + .................... 1,600 61 Franklin Resources, Inc. ....................... 7,955 1,045 JP Morgan Chase & Co. .......................... 10,500 547 Merrill Lynch & Co., Inc. ...................... 3,400 307 Moody's Corp. .................................. 6,500 430 Morgan Stanley Dean Witter & Co. ............... 16,732 1,406 T Rowe Price Group, Inc. + ..................... 18,142 901 Total System Services, Inc. + .................. 1,400 43 The Western Union Co. .......................... 1,900 40 ----------- 5,116 ----------- INSURANCE - 3.06% American International Group, Inc. ............. 12,685 887 Loews Corp. .................................... 15,800 747 MBIA, Inc. + ................................... 8,095 563 The PMI Group, Inc. ............................ 600 29 The Progressive Corp. + ........................ 40,530 935 ----------- 3,161 ----------- REAL ESTATE - 0.97% Douglas Emmett, Inc. ........................... 800 21 Jones Lang LaSalle, Inc. ....................... 5,800 623 ProLogis ....................................... 400 26 Public Storage, Inc. ........................... 200 19 SL Green Realty Corp. .......................... 2,200 310 ----------- 999 ----------- TOTAL FINANCIALS .................................. 9,406 ----------- HEALTH CARE - 17.81% BIOTECHNOLOGY - 3.02% Amgen, Inc. ## ................................. 13,100 840 Biogen Idec, Inc. ## ........................... 900 43 Celgene Corp. ## + ............................. 4,700 287 Genzyme Corp. ## ............................... 1,100 72
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Gilead Sciences, Inc. ## ....................... 21,878 $ 1,788 Millennium Pharmaceuticals, Inc. ## + .......... 7,600 84 ----------- 3,114 ----------- HEALTH CARE EQUIPMENT & SUPPLIES - 2.09% Applera Corp - Applied Biosystems Group ........ 9,200 287 Becton, Dickinson and Co. ...................... 11,441 900 C.R. Bard, Inc. ................................ 800 67 Medtronic, Inc. ................................ 2,500 132 Stryker Corp. .................................. 300 20 Zimmer Holdings, Inc. ## ....................... 8,300 751 ----------- 2,157 ----------- HEALTH CARE PROVIDERS & SERVICES - 3.39% AmerisourceBergen Corp. ........................ 19,700 985 Health Management Associates, Inc. + ........... 4,400 47 Humana, Inc. ## ................................ 10,300 651 McKesson Corp. ................................. 14,720 866 UnitedHealth Group, Inc. ....................... 16,303 865 WellCare Health Plans, Inc. ## + ............... 1,000 81 ----------- 3,495 ----------- PHARMACEUTICALS - 9.31% Abbott Laboratories ............................ 1,600 91 Cephalon, Inc. ## .............................. 900 72 Eli Lilly & Co. ................................ 15,680 927 Forest Laboratories, Inc. ## ................... 16,100 857 Johnson & Johnson .............................. 25,011 1,606 Medco Health Solutions, Inc. ## ................ 3,100 242 Merck & Co., Inc. .............................. 39,760 2,045 Mylan Laboratories, Inc. + ..................... 42,062 922 Pfizer Inc. .................................... 66,984 1,772 Schering-Plough Corp. .......................... 3,500 111 Wyeth Corp. .................................... 17,306 961 ----------- 9,606 ----------- TOTAL HEALTH CARE ................................. 18,372 ----------- INDUSTRIALS - 17.52% AEROSPACE & DEFENSE - 4.49% The Boeing Co. ................................. 19,958 1,856 Lockheed Martin Corp. .......................... 11,838 1,138 Northrop Grumman Corp. ......................... 5,500 405 Raytheon Co. ................................... 6,100 326 United Technologies Corp. ...................... 13,535 909 ----------- 4,634 ----------- AIR FREIGHT & COURIERS - 0.85% FedEx Corp. .................................... 8,260 871 ----------- BUILDING PRODUCTS - 0.68% American Standard Companies, Inc. .............. 12,500 688
See accompanying notes 37 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Crane Co. ...................................... 400 $ 17 ----------- 705 ----------- COMMERCIAL SERVICES & SUPPLIES - 2.12% Convergys Corp. ## ............................. 7,000 177 ITT Educational Services, Inc. ## .............. 800 78 Manpower, Inc. ................................. 24,011 1,927 ----------- 2,182 ----------- CONTAINERS & PACKAGING - 0.00% Crown Holdings, Inc. ## ........................ 100 2 ----------- ELECTRICAL EQUIPMENT - 0.93% Emerson Electric Co. ........................... 20,506 964 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.58% Energizer Holdings, Inc. ## .................... 5,400 525 Varian, Inc. ## ................................ 1,300 75 ----------- 600 ----------- INDUSTRIAL CONGLOMERATES - 3.69% 3M Co. ......................................... 16,583 1,372 General Electric Co. ........................... 36,050 1,329 Honeywell International, Inc. .................. 19,064 1,033 Textron, Inc. .................................. 100 10 Tyco International Ltd. ........................ 1,900 62 ----------- 3,806 ----------- MACHINERY - 3.02% AGCO Corp. ## + ................................ 19,500 814 Cummins, Inc. .................................. 1,800 166 Illinois Tool Works, Inc. + .................... 16,920 868 PACCAR, Inc. ................................... 11,000 924 SPX Corp. + .................................... 4,800 340 ----------- 3,112 ----------- MARINE - 0.47% Overseas Shipholding Group, Inc. + ............. 6,900 489 ----------- ROAD & RAIL - 0.65% CSX Corp. ...................................... 14,600 630 Kansas City Southern ## + ...................... 1,100 41 ----------- 671 ----------- TRADING COMPANIES & DISTRIBUTORS - 0.02% W.W. Grainger, Inc. ............................ 300 25 ----------- TRANSPORT-TRUCK - 0.02% Landstar System, Inc. ## ....................... 400 19 ----------- TOTAL INDUSTRIALS ................................. 18,080 -----------
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) INFORMATION TECHNOLOGY - 22.27% COMMERCIAL SERVICES & SUPPLIES - 0.04% First Data Corp. ............................... 1,400 $ 45 ----------- COMMUNICATIONS EQUIPMENT - 2.94% Cisco Systems, Inc. ## ......................... 109,685 2,933 Motorola, Inc. ................................. 200 4 Polycom, Inc. ## ............................... 2,800 93 ----------- 3,030 ----------- COMPUTERS & PERIPHERALS - 6.61% Apple Computer, Inc. ## ........................ 6,500 649 EMC Corp. ## ................................... 3,800 58 Hewlett-Packard Co. ............................ 56,129 2,365 International Business Machines Corp. + ........ 9,199 940 Lexmark International, Inc. ## + ............... 13,200 719 NVIDIA Corp. ## ................................ 30,466 1,002 Sun Microsystems, Inc. ## ...................... 32,800 171 Western Digital Corp. ## ....................... 52,137 922 ----------- 6,826 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.39% Arrow Electronics, Inc. ## ..................... 1,000 40 Avnet, Inc. ## ................................. 1,900 78 Waters Corp. ## ................................ 4,800 285 ----------- 403 ----------- INTERNET SOFTWARE & SERVICES - 0.34% Google, Inc. ## ................................ 750 354 ----------- IT CONSULTING & SERVICES - 0.91% Accenture Ltd. ................................. 22,200 868 Automatic Data Processing, Inc. ................ 1,500 67 ----------- 935 ----------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 5.54% Analog Devices, Inc. ........................... 400 15 Applied Materials, Inc. + ...................... 47,704 917 Atmel Corp. ## ................................. 42,500 226 Intel Corp. .................................... 19,700 424 Lam Research Corp. ## .......................... 18,300 984 MEMC Electronic Materials, Inc. ## ............. 20,950 1,150 Novellus Systems, Inc. ## + .................... 28,800 932 Teradyne, Inc. ## .............................. 1,001 18 Texas Instruments, Inc. ........................ 30,500 1,048 ----------- 5,714 ----------- SOFTWARE - 5.50% BMC Software, Inc. ## .......................... 1,400 45 Intuit, Inc. ## ................................ 7,200 205 Mentor Graphics Corp. ## ....................... 2,300 37 Microsoft Corp. ................................ 90,174 2,700
See accompanying notes 38 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Oracle Corp. ## ................................ 51,186 $ 962 Symantec Corp. ## .............................. 55,200 972 Synopsys, Inc. ## .............................. 27,200 752 ----------- 5,673 ----------- TOTAL INFORMATION TECHNOLOGY ...................... 22,980 ----------- MATERIALS - 3.41% CHEMICALS - 1.04% International Flavors & Fragrances, Inc. ....... 400 20 Monsanto Co. ................................... 2,600 153 Praxair, Inc. .................................. 13,914 898 ----------- 1,071 ----------- CONSTRUCTION MATERIALS - 0.36% Vulcan Materials Co. ## ........................ 3,000 371 ----------- METALS & MINING - 1.93% Freeport-McMoRan Copper & Gold, Inc. + ......... 14,437 970 Newmont Mining Corp. ........................... 1,500 63 Nucor Corp. .................................... 15,088 957 ----------- 1,990 ----------- PAPER & FOREST PRODUCTS - 0.08% Weyerhaeuser Co. ............................... 1,100 87 ----------- TOTAL MATERIALS .................................... 3,519 ----------- TELECOMMUNICATION SERVICES - 1.29% DIVERSIFIED TELECOMMUNICATION - 1.12% AT&T, Inc. ..................................... 22,895 887 Citizens Communications Co. .................... 13,000 202 Sprint Nextel Corp. ............................ 3,500 70 ----------- 1,159 ----------- WIRELESS TELECOMMUNICATION SERVICES - 0.17% Telephone and Data Systems, Inc. + ............. 2,100 119 US Cellular Corp. ## ........................... 700 51 ----------- 170 ----------- TOTAL TELECOMMUNICATION SERVICES 1,329 ----------- UTILITIES - 0.26% ELECTRIC UTILITIES - 0.26% NRG Energy, Inc. ## ............................ 200 16 PG&E Corp. + ................................... 100 5 TXU Corp. ...................................... 3,800 249 ----------- TOTAL UTILITIES ................................... 270 ----------- TOTAL COMMON STOCKS ............................... 100,823 ----------- SHORT TERM INVESTMENTS - 6.06% American Beacon Money Market Select Fund ++ .... 5,801,783 5,802
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) United States Treasury Bill, 5.01%, Due 6/7/2007 # @ ............... $ 450 $ 447 ----------- TOTAL SHORT TERM INVESTMENTS ...................... 6,249 -----------
SHARES ------------ SECURITIES LENDING COLLATERAL - 12.98% American Beacon Cash Plus Trust ++ ............. 7,899,217 7,899 American Beacon Money Market Select Fund ++ .... 5,493,513 5,494 ----------- TOTAL SECURITIES LENDING COLLATERAL ............... 13,393 ----------- TOTAL INVESTMENTS 116.76% - (COST $110,332) ....... 120,465 LIABILITIES, NET OF OTHER ASSETS - (16.76%)........ (17,288) ----------- TOTAL NET ASSETS - 100.00% ........................ $ 103,177 ===========
See accompanying notes 39 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ The Fund/Trust is affiliated by having the same investment advisor. # Rates represent discount rate. @ At April 30, 2007, security pledged as collateral for open futures contracts. FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ CONTRACTS DATE VALUE (DEPRECIATION) --------- ---------- ------ -------------- Emini S&P 500 Index .......... 83 Jun 2007 $6,177 $211 ====== ====
See accompanying notes 40 AMERICAN BEACON MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 90.09% CONSUMER DISCRETIONARY - 22.42% AUTO COMPONENTS - 4.28% Advance Auto Parts, Inc. ....................... 53,300 $ 2,196 Lear Corp. ## .................................. 59,200 2,174 Magna International, Inc. ...................... 26,250 2,078 ----------- 6,448 ----------- AUTOMOBILES - 0.42% Winnebago Industries, Inc. + ................... 19,900 638 ----------- HOTELS, RESTAURANTS & LEISURE - 1.21% Royal Caribbean Cruises Ltd. + ................. 43,800 1,821 ----------- HOUSEHOLD DURABLES - 6.05% Black & Decker Corp. ........................... 33,550 3,044 The Stanley Works + ............................ 37,000 2,156 Whirlpool Corp. + .............................. 37,050 3,928 ----------- 9,128 ----------- LEISURE EQUIPMENT & PRODUCTS - 1.12% Hasbro, Inc. + ................................. 53,500 1,691 ----------- MEDIA - 1.08% Idearc, Inc. + ................................. 46,900 1,630 ----------- MULTILINE RETAIL - 1.38% Family Dollar Stores, Inc. ..................... 65,200 2,076 ----------- SPECIALTY RETAIL - 5.90% AutoZone, Inc. ## .............................. 11,975 1,593 Hanesbrands, Inc. ## + ......................... 47,700 1,268 Regis Corp. .................................... 33,675 1,288 Rent-A-Center, Inc. ## + ....................... 81,100 2,258 The Sherwin-Williams Co. ....................... 20,100 1,282 The TJX Companies, Inc. + ...................... 43,425 1,211 ----------- 8,900 ----------- TEXTILES & APPAREL - 0.98% Sealy Corp. + .................................. 86,825 1,480 ----------- TOTAL CONSUMER DISCRETIONARY ...................... 33,812 ----------- CONSUMER STAPLES - 4.90% FOOD PRODUCTS - 1.35% Del Monte Foods Co. + .......................... 176,100 2,043 ----------- TOBACCO - 3.55% Loews Corp. - Carolina Group ................... 31,700 2,426 Reynolds American, Inc. + ...................... 32,900 2,114
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) UST, Inc. + .................................... 14,300 $ 810 ----------- 5,350 ----------- TOTAL CONSUMER STAPLES ............................ 7,393 ----------- ENERGY - 1.82% OIL & GAS - 1.82% El Paso Corp. + ................................ 46,200 693 Murphy Oil Corp. ............................... 36,900 2,046 ----------- TOTAL ENERGY ...................................... 2,739 ----------- FINANCIALS - 24.06% BANKS - 5.21% Comerica, Inc. + ............................... 29,225 1,809 New York Community Bancorp, Inc. + ............. 52,500 917 People's United Financial, Inc. + .............. 101,954 2,030 Popular, Inc. + ................................ 41,750 702 The South Financial Group, Inc. + .............. 44,500 1,007 UnionBanCal Corp. .............................. 22,725 1,397 ----------- 7,862 ----------- DIVERSIFIED FINANCIALS - 0.57% The First Marblehead Corp. + ................... 23,900 867 ----------- INSURANCE - 14.90% AON Corp. + .................................... 40,225 1,559 Axis Capital Holdings Ltd. ..................... 44,100 1,636 Delphi Financial Group, Inc. + ................. 18,800 803 The First American Corp. + ..................... 38,325 1,974 IPC Holdings Ltd. + ............................ 41,950 1,258 Old Republic International Corp. ............... 80,387 1,710 Protective Life Corp. + ........................ 45,975 2,156 Radian Group, Inc. + ........................... 33,200 1,929 RenaissanceRe Holdings Ltd. + .................. 39,675 2,148 Torchmark Corp. + .............................. 35,875 2,450 Willis Group Holdings Ltd. ..................... 53,500 2,195 XL Capital Ltd. ................................ 33,950 2,647 ----------- 22,465 ----------- REAL ESTATE - 3.38% American Financial Realty Trust + .............. 118,100 1,252 American Home Mortgage Investment Corp. + ...... 38,100 944 Annaly Capital Management, Inc. + .............. 102,200 1,626 First Industrial Realty Trust, Inc. + .......... 29,100 1,274 ----------- 5,096 ----------- TOTAL FINANCIALS .................................. 36,290 -----------
See accompanying notes 41 AMERICAN BEACON MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) HEALTH CARE - 11.93% BIOTECHNOLOGY - 1.03% Charles River Laboratories International, Inc. ## + ................................... 32,775 $ 1,552 ----------- HEALTH CARE EQUIPMENT & SUPPLIES - 2.68% Hillenbrand Industries, Inc. ................... 36,475 2,230 IMS Health, Inc. + ............................. 61,800 1,813 ----------- 4,043 ----------- HEALTH CARE PROVIDERS & SERVICES - 7.53% AmerisourceBergen Corp. + ...................... 24,600 1,230 Coventry Health Care, Inc. ## + ................ 39,900 2,308 HealthSouth Corp. ## + ......................... 55,579 1,167 McKesson Corp. ................................. 23,425 1,378 Omnicare, Inc. + ............................... 51,400 1,705 Quest Diagnostics, Inc. + ...................... 27,600 1,349 Triad Hospitals, Inc. ## + ..................... 41,700 2,216 ----------- 11,353 ----------- PHARMACEUTICALS - 0.69% Valeant Pharmaceuticals International + ........ 58,100 1,047 ----------- TOTAL HEALTH CARE ................................. 17,995 ----------- INDUSTRIALS - 10.54% AEROSPACE & DEFENSE - 3.13% Goodrich Corp. ................................. 42,300 2,404 L-3 Communications Holdings, Inc. + ............ 25,800 2,320 ----------- 4,724 ----------- AIR FREIGHT & COURIERS - 1.13% Ryder System, Inc. + ........................... 32,400 1,706 ----------- COMMERCIAL SERVICES & SUPPLIES - 2.72% Kelly Services, Inc. + ......................... 43,575 1,251 Mastercard, Inc. + ............................. 11,000 1,228 United Stationers, Inc. ## + ................... 27,250 1,622 ----------- 4,101 ----------- DIVERSIFIED MANUFACTURING - 1.09% Kennametal, Inc. ............................... 23,175 1,635 ----------- MACHINERY - 1.78% Briggs & Stratton Corp. + ...................... 35,600 1,056 ITT Industries, Inc. ........................... 25,500 1,627 ----------- 2,683 ----------- TRADING COMPANIES & DISTRIBUTORS - 0.69% Genuine Parts Co. .............................. 21,000 1,038 ----------- TOTAL INDUSTRIALS ................................. 15,887 -----------
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) INFORMATION TECHNOLOGY - 7.12% COMMUNICATIONS EQUIPMENT - 1.32% Alcatel-Lucent, ADR + .......................... 149,898 $ 1,986 ----------- IT CONSULTING & SERVICES - 4.56% Affiliated Computer Services, Inc. ## .......... 44,500 2,666 Computer Sciences Corp. ## + ................... 28,350 1,575 Fidelity National Information Services, Inc. +.. 28,500 1,440 Tech Data Corp. ## + ........................... 33,735 1,199 ----------- 6,880 ----------- SOFTWARE - 1.24% CA, Inc. + ..................................... 68,500 1,867 ----------- TOTAL INFORMATION TECHNOLOGY ...................... 10,733 ----------- UTILITIES - 7.30% ELECTRIC UTILITIES - 4.83% CenterPoint Energy, Inc. + ..................... 43,300 815 Pinnacle West Capital Corp. + .................. 41,500 2,004 Wisconsin Energy Corp. + ....................... 47,325 2,309 Xcel Energy, Inc. + ............................ 89,100 2,147 ----------- 7,275 ----------- GAS UTILITIES - 2.47% MDU Resources Group, Inc. . .................... 67,850 2,056 Sempra Energy .................................. 26,375 1,674 ----------- 3,730 ----------- TOTAL UTILITIES ................................... 11,005 ----------- TOTAL COMMON STOCKS ............................... 135,854 ----------- SHORT TERM INVESTMENTS - 12.52% American Beacon Money Market Select Fund ++ .... 17,657,253 17,657
PAR AMOUNT ------------ United States Treasury Bill, 5.01%, Due 6/7/2007 # @ ............... $ 1,235 1,229 ----------- TOTAL SHORT TERM INVESTMENTS ...................... 18,886 -----------
SHARES ------------ SECURITIES LENDING COLLATERAL - 17.96% American Beacon Cash Plus Trust ++ ............. 15,972,352 15,972 American Beacon Money Market Select Fund ++ .... 11,107,976 11,108 ----------- TOTAL SECURITIES LENDING COLLATERAL ............... 27,080 ----------- TOTAL INVESTMENTS 120.57% - (COST $168,768) ....... 181,820 LIABILITIES, NET OF OTHER ASSETS - (20.57%) ....... (31,020) ----------- TOTAL NET ASSETS - 100.00% ........................ $ 150,800 ===========
See accompanying notes 42 AMERICAN BEACON MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ The Fund/Trust is affiliated by having the same investment advisor. # Rates represent discount rate. @ At April 30, 2007, security pledged as collateral for open futures contracts. FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ CONTRACTS DATE VALUE (DEPRECIATION) --------- ---------- ------- -------------- Emini S&P 400 Index ........ 212 Jun 2007 $18,618 $422 ======= ====
See accompanying notes 43 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 96.10% CONSUMER DISCRETIONARY - 15.37% HOTELS, RESTAURANTS & LEISURE - 2.33% Domino's Pizza, Inc. + ......................... 1,980 $ 64 Jack in the Box, Inc. ## ....................... 1,295 86 Landry's Restaurants, Inc. + ................... 960 29 Ruby Tuesday, Inc. + ........................... 1,250 33 ----------- 212 ----------- HOUSEHOLD DURABLES - 0.83% Tupperware Corp. + ............................. 2,700 76 ----------- SPECIALTY RETAIL - 7.56% Asbury Automotive Group, Inc. .................. 1,345 39 Charming Shoppes, Inc. ## + .................... 4,875 61 Ethan Allen Interiors, Inc. + .................. 995 35 Genesco, Inc. ## + ............................. 1,525 77 Group 1 Automotive, Inc. + ..................... 1,040 43 Insight Enterprises, Inc. ## ................... 3,030 60 The Men's Wearhouse, Inc. + .................... 1,060 46 Payless Shoesource, Inc. ## .................... 2,650 84 Regis Corp. + .................................. 1,655 63 Rent-A-Center, Inc. ## + ....................... 2,720 76 Tween Brands, Inc. ## + ........................ 1,090 43 United Auto Group, Inc. + ...................... 3,110 63 ----------- 690 ----------- TEXTILES & APPAREL - 4.65% Brown Shoe Company, Inc. ....................... 2,115 57 Hartmarx Corp. ## + ............................ 4,905 32 Movado Group, Inc. + ........................... 1,595 53 Perry Ellis International, Inc. ## ............. 2,624 87 Phillips-Van Heusen Corp. ...................... 920 52 Unifirst Corp. ................................. 1,435 60 The Warnaco Group, Inc. ## ..................... 2,950 83 ----------- 424 ----------- TOTAL CONSUMER DISCRETIONARY ...................... 1,402 ----------- CONSUMER STAPLES - 2.64% FOOD & DRUG RETAILING - 2.64% The Andersons, Inc. + .......................... 1,509 70 Casey's General Stores, Inc. + ................. 1,790 45 Ruddick Corp. + ................................ 1,325 40 Spartan Stores, Inc. ........................... 3,315 85 ----------- TOTAL CONSUMER STAPLES ............................ 240 ----------- ENERGY - 3.52% ENERGY EQUIPMENT & SERVICES - 2.57% Oil States International, Inc. ## + ............ 1,685 57
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Parker Drilling Co. ## ......................... 9,415 $ 102 Trico Marine Services, Inc. ## + ............... 1,950 76 ----------- 235 ----------- OIL & GAS - 0.95% Comstock Resources, Inc. ## .................... 1,340 38 Swift Energy Co. ## ............................ 1,190 48 ----------- 86 ----------- TOTAL ENERGY ...................................... 321 ----------- FINANCIALS - 30.68% BANKS - 8.36% BankUnited Financial Corp. + ................... 2,100 45 Boston Private Financial Holdings, Inc. + ...... 2,365 66 Central Pacific Financial Corp. ................ 1,885 65 Corus Bankshares, Inc. + ....................... 2,660 45 First Community Bancorp, Inc. + ................ 1,440 79 FirstFed Financial Corp. ## + .................. 1,460 90 Franklin Bank Corp. ## + ....................... 2,720 42 Hanmi Financial Corp. + ........................ 2,340 38 Irwin Financial Corp. + ........................ 3,610 58 Pacific Capital Bancorp + ...................... 1,595 43 Provident Bankshares Corp. + ................... 580 19 Sterling Bancshares, Inc. + .................... 2,217 25 Sterling Financial Corp. ....................... 2,175 64 TierOne Corp. + ................................ 1,620 39 Umpqua Holdings Corp. + ........................ 1,755 44 ----------- 762 ----------- DIVERSIFIED FINANCIALS - 4.41% Advanta Corp., Class A Shares .................. 380 16 Advanta Corp., Class B Shares .................. 1,205 55 Cash America International, Inc. ............... 1,295 56 CompuCredit Corp. ## + ......................... 1,695 61 Investment Technology Group, Inc. ## + ......... 1,090 41 MCG Capital Corp. + ............................ 2,955 52 Ocwen Financial Corp. ## + ..................... 1,240 18 SWS Group, Inc. ................................ 2,450 64 World Acceptance Corp. ## + .................... 920 40 ----------- 403 ----------- INSURANCE - 6.87% Argonaut Group, Inc. ## ........................ 2,550 86 Delphi Financial Group, Inc. + ................. 2,100 90 FPIC Insurance Group, Inc. ## .................. 1,735 80 Harleysville Group, Inc. ....................... 2,025 62 LandAmerica Financial Group, Inc. + ............ 635 51 The Navigators Group, Inc. ## .................. 1,460 74 Ohio Casualty Corp. ............................ 1,560 49 The Phoenix Companies, Inc. .................... 1,869 28 SeaBright Insurance Holdings, Inc. ## .......... 1,620 30
See accompanying notes 44 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Stewart Information Services Corp. + ........... 1,190 $ 48 Triad Guaranty, Inc. ## + ...................... 650 29 ----------- 627 ----------- REAL ESTATE - 11.04% Arbor Realty Trust, Inc. + ..................... 1,295 40 Ashford Hospitality Trust, Inc. ................ 5,380 65 Capital Trust, Inc. ............................ 830 39 DiamondRock Hospitality Co. + .................. 4,015 73 Entertainment Properties Trust + ............... 485 29 Equity Inns, Inc. + ............................ 4,005 68 Equity Lifestyle Properties, Inc. + ............ 530 29 FelCor Lodging Trust, Inc. ..................... 3,775 96 Gramercy Capital Corp. + ....................... 1,230 40 Highland Hospitality Corp. ..................... 5,555 106 LaSalle Hotel Properties + ..................... 1,440 67 Nationwide Health Properties, Inc. ............. 1,240 40 NorthStar Realty Finance Corp. + ............... 3,705 55 PS Business Parks, Inc. ........................ 485 33 RAIT Financial Trust + ......................... 1,560 44 Redwood Trust, Inc. ............................ 1,235 62 Senior Housing Properties Trust ................ 1,620 37 Sunstone Hotel Investors, Inc. + ............... 2,025 58 Tanger Factory Outlet Centers, Inc. + .......... 635 26 ----------- 1,007 ----------- TOTAL FINANCIALS .................................. 2,799 ----------- HEALTH CARE - 5.22% HEALTH CARE EQUIPMENT & SUPPLIES - 0.44% STERIS Corp. ................................... 1,555 40 ----------- HEALTH CARE PROVIDERS & SERVICES - 2.93% Centene Corp. ## ............................... 1,965 41 Gentiva Health Services, Inc. ## ............... 3,730 70 Owens & Minor, Inc. + .......................... 1,525 54 PSS World Medical, Inc. ## ..................... 2,295 46 Res-Care, Inc. ## .............................. 3,165 56 ----------- 267 ----------- PHARMACEUTICALS - 1.85% NBTY, Inc. ## .................................. 1,720 85 Sciele Pharma, Inc. ## + ....................... 3,380 84 ----------- 169 ----------- TOTAL HEALTH CARE ................................. 476 ----------- INDUSTRIALS - 12.40% BUILDING PRODUCTS - 2.40% Griffon Corp. ## + ............................. 2,675 64 Lennox International, Inc. ..................... 1,695 57
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) NCI Building Systems, Inc. ## + ................ 1,090 $ 55 Universal Forest Products, Inc. ................ 920 43 ----------- 219 ----------- COMMERCIAL SERVICES & SUPPLIES - 3.03% Consolidated Graphics, Inc. ## + ............... 880 66 eFunds Corp. ## ................................ 840 23 Ennis, Inc. .................................... 3,280 80 Kelly Services, Inc. + ......................... 1,250 36 Korn/Ferry International ## + .................. 1,165 28 United Stationers, Inc. ## ..................... 725 43 ----------- 276 ----------- DIVERSIFIED MANUFACTURING - 2.76% Acuity Brands, Inc. + .......................... 425 25 Applied Industrial Technologies, Inc. + ........ 1,880 50 Barnes Group, Inc. + ........................... 1,875 46 Kennametal, Inc. ............................... 1,395 98 Myers Industries, Inc. ## ...................... 1,412 32 ----------- 251 ----------- ELECTRICAL EQUIPMENT - 1.26% AO Smith Corp. ................................. 1,170 45 Belden CDT, Inc. + ............................. 885 49 Regal-Beloit Corp. ............................. 460 21 ----------- 115 ----------- RENTAL AUTO/EQUIPMENT - 1.29% Dollar Thrifty Automotive Group, Inc. ## + ..... 1,180 55 United Rentals, Inc. ## ........................ 1,865 63 ----------- 118 ----------- ROAD & RAIL - 1.11% Celadon Group, Inc. ## + ....................... 1,825 30 Saia, Inc. ## .................................. 2,550 72 ----------- 102 ----------- TRANSPORT-SERVICES - 0.55% Bristow Group, Inc. ## + ....................... 1,340 50 ----------- TOTAL INDUSTRIALS ................................. 1,131 ----------- INFORMATION TECHNOLOGY - 12.86% COMMUNICATIONS EQUIPMENT - 1.58% Black Box Corp. + .............................. 1,010 37 CommScope, Inc. ## + ........................... 2,295 107 ----------- 144 ----------- COMPUTERS & PERIPHERALS - 0.29% Komag, Inc. ## + ............................... 960 26 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 3.82% Anixter International, Inc. ## + ............... 1,240 89 Benchmark Electronics, Inc. ## ................. 1,940 41 Checkpoint Systems, Inc. ## + .................. 2,195 48
See accompanying notes 45 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) CTS Corp. + .................................... 2,175 $ 29 MTS Systems Corp. + ............................ 1,060 45 Park Electrochemical Corp. + ................... 1,560 43 Technitrol, Inc. ............................... 2,015 54 ----------- 349 ----------- IT CONSULTING & SERVICES - 3.51% Agilysys, Inc. ................................. 2,425 51 CACI International, Inc. ## + .................. 860 39 MPS Group, Inc. ## + ........................... 4,815 66 Ness Technologies, Inc. ## + ................... 4,645 62 Perot Systems Corp. ## ......................... 3,520 63 SYKES Enterprises, Inc. ## ..................... 2,115 39 ----------- 320 ----------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.95% Advanced Energy Industries, Inc. ## ............ 1,795 44 ON Semiconductor Corp. ## + .................... 9,245 99 Photronics, Inc. ## + .......................... 4,700 71 Standard Microsystems Corp. ## ................. 1,730 55 ----------- 269 ----------- SOFTWARE - 0.71% JDA Software Group, Inc. ## .................... 3,645 65 ----------- TOTAL INFORMATION TECHNOLOGY ...................... 1,173 ----------- MATERIALS - 6.52% CHEMICALS - 0.66% H.B. Fuller Co. ................................ 2,340 60 ----------- CHEMICALS-PLASTICS - 0.40% Spartech Corp. ................................. 1,305 36 ----------- CONSTRUCTION MATERIALS - 0.62% Texas Industries, Inc. + ....................... 745 57 ----------- CONTAINERS & PACKAGING - 2.68% AptarGroup, Inc. ............................... 820 60 Greif, Inc. + .................................. 1,780 99 Jarden Corp. ## + .............................. 800 34 Silgan Holdings, Inc. + ........................ 910 52 ----------- 245 ----------- METALS & MINING - 1.70% AMCOL International Corp. + .................... 1,315 32 Carpenter Technology Corp. ..................... 195 24 Commercial Metals Co. + ........................ 1,715 57 NN, Inc. ....................................... 3,540 42 ----------- 155 -----------
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) PAPER & FOREST PRODUCTS - 0.46% Potlatch Corp. ................................. 960 $ 42 ----------- TOTAL MATERIALS ................................... 595 ----------- TELECOMMUNICATION SERVICES - 2.04% DIVERSIFIED TELECOMMUNICATION - 2.04% General Communication, Inc. ## ................. 1,875 27 Golden Telecom, Inc. ........................... 1,525 89 Premiere Global Services, Inc. ## + ............ 5,720 70 ----------- TOTAL TELECOMMUNICATION SERVICES .................. 186 ----------- UTILITIES - 4.85% ELECTRIC UTILITIES - 3.99% Black Hills Corp. + ............................ 930 37 Cleco Corp. + .................................. 1,525 43 CMS Energy Corp. + ............................. 1,175 22 El Paso Electric Co. ## ........................ 2,525 66 The Empire District Electric Co. ............... 2,590 64 PNM Resources, Inc. + .......................... 2,705 88 Portland General Electric Co. .................. 1,490 43 ----------- 363 ----------- GAS UTILITIES - 0.86% Atmos Energy Corp. ............................. 1,160 37 Southwest Gas Corp. ............................ 1,105 42 ----------- 79 ----------- TOTAL UTILITIES ................................... 442 ----------- TOTAL COMMON STOCKS ............................... 8,765 ----------- SHORT TERM INVESTMENTS - 4.07% American Beacon Money Market Select Fund ++ .... 43,109 43 iShares Russell 2000 Value Index Fund + ........ 4,013 328 ----------- TOTAL SHORT TERM INVESTMENTS ...................... 371 ----------- SECURITIES LENDING COLLATERAL - 24.83% American Beacon Cash Plus Trust ++ ............. 1,335,753 1,336 American Beacon Money Market Select Fund ++ .... 928,950 929 ----------- TOTAL SECURITIES LENDING COLLATERAL ............... 2,265 ----------- TOTAL INVESTMENTS 125.00% - (COST $10,857) ........ 11,401 LIABILITIES, NET OF OTHER ASSETS - (25.00%) ....... (2,280) ----------- TOTAL NET ASSETS - 100.00% ........................ $ 9,121 ===========
See accompanying notes 46 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ The Fund/Trust is affiliated by having the same investment advisor. See accompanying notes 47 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) ARGENTINA - 0.32% COMMON STOCKS - 0.32% Banco Macro S.A., ADR .......................... 10,800 $ 391 Petrobras Energia Participaciones S.A., ADR ## + .................................... 19,400 206 ----------- TOTAL ARGENTINA ................................... 597 ----------- AUSTRIA - 0.45% COMMON STOCKS - 0.45% Erste Bank der oesterreichischen Sparkassen AG ## ............................ 5,388 432 Raiffeisen International Bank-Holding AG ....... 2,986 411 ----------- TOTAL AUSTRIA ..................................... 843 ----------- BRAZIL - 12.08% COMMON STOCKS - 8.27% Banco Bradesco S.A., ADR + ..................... 8,864 188 Banco Itau Holding Financeira S.A., ADR ........ 29,816 1,150 Banco Nossa Caixa S.A. ......................... 13,500 209 Brasil Telecom Participacoes S.A., ADR + ....... 9,230 489 Braskem S.A., ADR + ............................ 3,300 55 Centrais Eletricas Brasileiras S.A. ## ......... 7,948,000 180 Companhia Brasileira de Distribuicao Group, ADR ## + .................................... 23,760 757 Companhia de Saneamento Basico do Estado de Sao Paulo, ADR + ............................ 8,100 280 Companhia Energetica de Minas Gerais, ADR + .... 12,309 639 Companhia Vale do Rio Doce, ADR ................ 80,344 2,747 CPFL Energia S.A. .............................. 14,800 230 Cyrela Brazil Realty S.A. ## ................... 28,088 295 Empresa Brasileira de Aeronautica S.A. (Embraer), ADR .............................. 10,310 484 Gafisa S.A., ADR ## + .......................... 7,500 210 Gerdau S.A., ADR + ............................. 16,725 335 Grendene S.A. .................................. 38,400 474 Petroleo Brasileiro S.A., ADR .................. 25,431 2,574 Petroleo Brasileiro S.A., A Shares, ADR ........ 18,550 1,655 Unibanco - Uniao de Bancos Brasileiros S.A. .... 15,378 149 Unibanco - Uniao de Bancos Brasileiros S.A., ADR ................................... 19,782 1,920 Usinas Siderurgicas de Minas Gerais S.A. ....... 3,494 194 Votorantim Celulose e Papel S.A., ADR + ........ 17,330 346 ----------- TOTAL COMMON STOCKS ............................... 15,560 ----------- PREFERRED STOCKS - 3.81% All America Latina Logistica S.A. .............. 33,500 391 Banco Itau Holding Financeira S.A. ............. 7,824 301 Braskem S.A. ................................... 64,400 550 Centrais Eletricas Brasileiras S.A. ## ......... 17,320,400 408
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Companhia de Tecidos Norte de Minas ............ 4,589,900 $ 752 Companhia Energetica de Minas Gerais ........... 8,915,119 315 Companhia Paranaense de Energia ................ 21,973,900 281 Companhia Vale do Rio Doce, A Shares ........... 3,752 130 Gerdau S.A. .................................... 11,150 228 Itausa - Investimentos Itau S.A. ............... 76,062 416 Klabin S.A. .................................... 70,400 217 Lojas Americanas S.A. .......................... 7,932,401 504 Net Servicos de Comunicacao S.A. ## ............ 22,338 342 Petroleo Brasileiro S.A. ....................... 7,160 159 Tele Norte Leste Participacoes S.A., ADR + ..... 85,990 1,408 Telemig Celular Participacoes S.A. ............. 197,143,389 436 Telesp - Telecommunicacoes de Sao Paulo S.A. ......................................... 8,492 225 Usinas Siderurgicas de Minas Gerais S.A. ....... 2,066 98 ----------- TOTAL PREFERRED STOCKS ............................ 7,161 ----------- TOTAL BRAZIL ...................................... 22,721 ----------- CHILE - 0.27% COMMON STOCKS - 0.27% United Breweries Co, Inc., ADR ................. 14,500 505 ----------- COLOMBIA - 0.05% COMMON STOCKS - 0.05% Bancolombia S.A., ADR .......................... 3,400 95 ----------- CZECH REPUBLIC - 1.29% COMMON STOCKS - 1.29% Central European Media Enterprises Ltd. ## ..... 11,184 1,008 CEZ, A.S. ## ................................... 19,600 958 Zentiva NV ## .................................. 6,426 463 ----------- TOTAL CZECH REPUBLIC .............................. 2,429 ----------- EGYPT - 0.45% COMMON STOCKS - 0.45% El Ezz Steel Rebars Co. ## ..................... 15,260 142 Orascom Telecom Holding S.A.E. ## .............. 10,588 709 ----------- TOTAL EGYPT ....................................... 851 ----------- HONG KONG/CHINA - 11.44% COMMON STOCKS - 11.44% Bank of China Ltd. ## + ........................ 844,000 417 Brilliance China Automotive Holdings Ltd. + .... 756,000 158 China Coal Energy Ltd. ## ...................... 979,000 957 China Communications Construction Co. Ltd. ## .. 629,000 814 China Construction Bank Corp. + ++ ............. 1,765,000 1,071 China Life Insurance Co. Ltd. .................. 50,000 154 China Mobile Ltd. .............................. 127,000 1,145
See accompanying notes 48 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) China Molybdenum Co. Ltd. ## ++ ................ 7,000 $ 11 China Netcom Group Corp. (Hong Kong) Ltd. ## ... 223,000 550 China Ping'an Insurance Co. Ltd. ............... 85,000 451 China Power International Development Ltd. + ... 1,433,000 743 China Resources Power Holdings Co. ............. 294,000 517 China Shipping Development Co. Ltd. ## + ....... 456,000 855 China Telecom Corp. Ltd. ....................... 2,011,100 949 CNOOC Ltd. + ................................... 1,880,400 1,617 COSCO Pacific Ltd. ## .......................... 150,000 362 Denway Motors Ltd. + ........................... 1,856,700 735 Dongfeng Motor Group Co. Ltd. ## ............... 750,000 397 Global Bio-chem Technology Group Co. Ltd. + .... 1,169,800 498 GOME Electrical Appliances Holdings Ltd. + ..... 668,000 1,023 Harbin Power Equipment Co. Ltd. + .............. 468,000 545 Huandian Power International Corp. ## + ........ 1,069,800 463 Huaneng Power International, Inc. + ............ 511,900 519 Maanshan Iron & Steel Co. Ltd. ................. 1,133,000 776 Moulin Global Eyecare Holdings Ltd. ## # ....... 96,000 -- PetroChina Co. Ltd. ............................ 853,000 958 PICC Property and Casualty Co. Ltd. ## + ....... 898,000 537 Shanghai Forte Land Co. ## + ................... 112,000 50 Shanghai Industrial Holdings Ltd. .............. 306,900 804 Shenzhen Investment Ltd. ....................... 701,000 416 Sinotrans Ltd. ................................. 1,298,000 509 Texwinca Holdings Ltd. + ....................... 554,000 393 TPV Technology Ltd. ............................ 968,000 648 Weiqiao Textile Co. Ltd. ....................... 481,600 859 Yanzhou Coal Mining Co. Ltd. ................... 599,800 619 ----------- TOTAL HONG KONG/CHINA ............................. 21,520 ----------- HUNGARY - 0.95% COMMON STOCKS - 0.95% Magyar Telekom Telecommunications plc .......... 99,450 577 OTP Bank ## .................................... 23,832 1,212 ----------- TOTAL HUNGARY ..................................... 1,789 ----------- INDIA - 6.62% COMMON STOCKS - 6.62% Aban Offshore Ltd. ## .......................... 5,000 315 ABB Ltd. ....................................... 5,100 503 Andhra Bank ## ................................. 54,110 106 Bharat Heavy Electricals Ltd. .................. 10,900 655 Bharat Petroleum Corp. Ltd. .................... 94,793 763 Bharti Airtel Ltd. ## .......................... 48,700 955 Cipla Ltd. ..................................... 37,375 191 Container Corp. of India Ltd. ## ............... 5,900 295 Deccan Chronicle Holdings Ltd. ## .............. 55,000 271
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) GAIL India Ltd. ## ............................. 33,200 $ 240 GAIL India Ltd., GDR ++ ........................ 5,710 243 Glenmark Pharmaceuticals Ltd. .................. 21,100 339 HCL Technologies Ltd. ## ....................... 45,600 363 HDFC Bank Ltd. ................................. 15,300 378 Hero Honda Motors Ltd. ......................... 4,778 79 Hindalco Industries Ltd. ....................... 61,440 217 Hindalco Industries Ltd., ADR ++ ............... 19,250 34 Hindalco Industries Ltd., GDR ++ ............... 162,100 575 Hindustan Petroleum Corporation Ltd. ## ........ 112,160 733 ICICI Bank Ltd., ADR + ......................... 14,300 585 Infosys Technologies Ltd. ## ................... 21,800 1,081 Infosys Technologies Ltd., ADR + ............... 5,300 277 ITC Ltd. ....................................... 39,000 150 Mahanagar Telephone Nigam Ltd. ................. 126,680 452 Mahindra & Mahindra Ltd. ....................... 1,700 32 Maruti Udyog Ltd. ## ........................... 15,000 292 Oil & Natural Gas Corp. Ltd. ................... 29,801 656 Reliance Energy Ltd. ## ........................ 20,325 249 State Bank of India Ltd., GDR ++ ............... 15,700 1,075 UTI Bank Ltd. .................................. 31,000 350 ----------- TOTAL INDIA ....................................... 12,454 ----------- INDONESIA - 1.93% COMMON STOCKS - 1.93% PT Astra International Tbk ..................... 237,900 374 PT Bank Central Asia Tbk ....................... 508,500 294 PT Bank Mandiri (Persero) Tbk .................. 472,500 158 PT Bank Rakyat Indonesia Tbk ................... 472,500 271 PT Gudang Garam Tbk ............................ 431,800 511 PT Indocement Tunggal Prakarsa Tbk ............. 1,500 1 PT Indofood Sukses Makmur Tbk .................. 767,000 137 PT Indosat Tbk ................................. 416,900 309 PT International Nickel Indonesia Tbk .......... 36,500 243 PT Telekomunikasi Indonesia Tbk ................ 923,000 1,063 PT United Tractors Tbk ......................... 309,000 266 ----------- TOTAL INDONESIA ................................... 3,627 ----------- ISRAEL - 1.51% COMMON STOCKS - 1.51% Bank Hapoalim B.M. ............................. 143,310 748 Check Point Software Technologies Ltd. ## ...... 15,020 354 Israel Discount Bank Ltd. ## ................... 114,146 240 Taro Pharmaceutical Industries Ltd. ## + ....... 11,100 64 Teva Pharmaceutical Industries Ltd., ADR ....... 37,250 1,427 ----------- TOTAL ISRAEL ...................................... 2,833 -----------
See accompanying notes 49 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) MALAYSIA - 2.27% COMMON STOCKS - 2.27% AMMB Holdings Bhd .............................. 291,600 $ 338 Gamuda Bhd ..................................... 148,000 337 Kuala Lumpur Kepong Bhd ........................ 54,000 205 Malayan Banking Bhd ............................ 371,900 1,293 PLUS Expressways Bhd ........................... 163,700 144 Proton Holdings Bhd ............................ 65,800 122 Resorts World Bhd ## ........................... 665,800 631 Sime Darby Bhd ................................. 405,100 1,083 YTL Corporation Bhd ............................ 57,000 121 ----------- TOTAL MALAYSIA .................................... 4,274 ----------- MEXICO - 6.69% COMMON STOCKS - 6.69% America Movil, S.A.B. de C.V., ADR ............. 64,565 3,392 Cemex, S.A.B. de C.V. ## + ..................... 191,868 623 Coca-Cola Femsa, S.A. de C.V., ADR + ........... 23,375 909 Controladora Commercial Mexicana, S.A. de C.V. ................................ 265,000 684 Corp GEO, S.A. de C.V. ## + .................... 77,099 423 Embotelladoras Arca, S.A. + .................... 40,830 145 Gruma, S.A. de C.V. ............................ 85,900 287 Grupo Continential, S.A. ....................... 266,350 588 Grupo Financiero Banorte, S.A. de C.V. ......... 150,900 656 Grupo Televisa, S.A., ADR ...................... 65,419 1,835 Kimberly-Clark de Mexico, S.A. de C.V. + ....... 73,600 329 Telefonos de Mexico, S.A. de C.V., ADR ......... 22,250 760 Urbi Desarrollos Urbanos, S.A. de C.V ## ....... 69,185 289 Wal-Mart de Mexico, S.A.B. de C.V. ............. 338,120 1,327 Wal-Mart de Mexico, S.A.B. de C.V., ADR ........ 8,448 332 ----------- TOTAL MEXICO ...................................... 12,579 ----------- MOROCCO - 0.46% COMMON STOCKS - 0.46% Banque Marocaine du Commerce Exterieur ......... 1,690 520 Douja Promotion Groupe Addoha S.A. ## .......... 1,000 349 ----------- TOTAL MOROCCO ..................................... 869 ----------- PERU - 0.19% COMMON STOCKS - 0.19% Credicorp Ltd. ................................. 6,646 347 ----------- PHILIPPINES - 0.74% COMMON STOCKS - 0.74% ABS-CBN Broadcasting Corp. ..................... 281,700 178 Ayala Corp. .................................... 16,980 213 Bank of the Philippine Islands ................. 287,523 389
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Manila Electric Co. ............................ 143,000 $ 215 Philippine Long Distance Telephone Co. ## ...... 3,800 201 SM Prime Holdings, Inc. ........................ 318,000 76 Union Bank of the Philippines ## ............... 93,200 125 ----------- TOTAL PHILIPPINES .................................. 1,397 ----------- POLAND - 3.03% COMMON STOCKS - 3.03% Bank Handlowy w Warszawie S.A. ................. 16,111 546 Bank Millennium S.A. ........................... 163,496 633 Bank Pekao S.A. ................................ 11,457 1,069 Bank Zachodni WBK S.A. ......................... 5,108 555 Budimex S.A. ## ................................ 3,887 174 Multimedia Polska S.A. ## ...................... 65,213 308 PBG S.A. ## .................................... 1,269 195 Polimex Mostostal S.A. ......................... 3,000 283 Polski Koncern Naftowy Orlen S.A. .............. 16,870 275 Telekomunikacja Polska S.A. .................... 90,670 725 TVN S.A. ## .................................... 96,494 936 ----------- TOTAL POLAND ...................................... 5,699 ----------- RUSSIA - 8.39% COMMON STOCKS - 8.39% Cherepovets MK Severstal, GDR ++ ............... 8,110 108 CTC Media, Inc. ## + ........................... 31,409 819 Evraz Group S.A., GDR .......................... 16,996 599 JSC Surgutneftegaz, ADR + ...................... 4,700 305 LUKOIL Oil Co., ADR ............................ 34,058 2,725 Mechel OAO, ADR ................................ 8,241 269 Mining and Metallurgical Company Norilsk Nickel, ADR ................................. 5,982 1,166 NovaTek OAO, GDR + ............................. 15,371 789 RAO Gazprom, ADR ............................... 48,498 1,933 RAO Gazprom, ADR + ............................. 36,049 1,413 Sberbank RF, GDR ## ............................ 4,173 2,201 TMK OAO, GDR ## + .............................. 5,665 207 Trubnaya Metallurgicheskaya Kompaniya OAO, GDR ## ++ .............................. 17,494 637 Unified Energy System, GDR + ................... 13,053 1,671 Wimm-Bill-Dann Foods, ADR + .................... 11,707 944 ----------- TOTAL RUSSIA ...................................... 15,786 ----------- SINGAPORE - 0.02% COMMON STOCKS - 0.02% Straits Asia Resources Ltd. ## ................. 54,000 36 ----------- SOUTH AFRICA - 7.50% COMMON STOCKS - 7.21% Alexander Forbes Ltd. .......................... 204,487 478
See accompanying notes 50 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Aspen Pharmacare Holdings Ltd. ................. 114,400 $ 624 Aveng Ltd. ..................................... 40,062 272 Barloworld Ltd. ................................ 15,869 441 Bidvest Group Ltd. ............................. 23,584 491 Ellerine Holdings Ltd. ......................... 26,050 353 Group Five Ltd. ................................ 50,511 373 Massmart Holdings Ltd. ......................... 52,700 730 Mittal Steel South Africa Ltd. ................. 26,300 474 Mr Price Group Ltd. ............................ 117,800 537 MTN Group Ltd. ................................. 140,100 2,044 Murray & Roberts Holdings Ltd. ................. 49,397 425 Nampak Ltd. .................................... 247,620 800 Naspers Ltd. ................................... 27,043 683 Nedbank Group Ltd. ............................. 78,110 1,667 Sanlam Ltd. .................................... 295,970 995 Sappi Ltd. ..................................... 40,190 714 Sasol Ltd. ..................................... 18,240 626 Steinhoff International Holdings Ltd. .......... 175,359 618 Woolworths Holdings Ltd. ....................... 60,500 204 ----------- TOTAL COMMON STOCKS 13,549 ----------- PREFERRED STOCKS - 0.29% Allied Electronics Corp. Ltd. ## ............... 86,508 552 ----------- TOTAL SOUTH AFRICA 14,101 ----------- SOUTH KOREA - 15.24% COMMON STOCKS - 15.04% Amorepacific Corp. ............................. 583 376 Cheil Communications, Inc. ..................... 1,088 284 Cheil Industries, Inc. ......................... 13,980 527 Daelim Industrial Co. Ltd. ..................... 394 46 Doosan Infracore Co. Ltd. ...................... 12,140 386 GS Engineering & Construction Corp. ............ 6,700 665 Hana Financial Group, Inc. ..................... 4,720 247 Hanwha Chemical Corp. .......................... 20,340 341 Honam Petrochemical Corp. ...................... 2,230 185 Hynix Semiconductor, Inc. ## ................... 8,930 306 Hyundai Department Store Co. Ltd. .............. 5,787 593 Hyundai Development Co. ........................ 2,772 159 Hyundai Engineering & Construction Co. Ltd. ## ................................. 5,120 305 Hyundai Heavy Industries ....................... 1,630 413 Hyundai Mipo Dockyard Co. Ltd. ................. 2,969 599 Hyundai Mobis .................................. 11,527 922 Hyundai Motor Co. Ltd. ......................... 16,116 1,021 Hyundai Steel Co. .............................. 10,260 424 Kookmin Bank ................................... 24,821 2,227 Kookmin Bank, ADR .............................. 5,050 454 Korea Electric Power Corp. ..................... 21,225 859
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Korea Electric Power Corp., ADR ................ 7,200 $ 149 KT Corp. ....................................... 4,850 218 KT Corp., ADR .................................. 42,260 958 Kumho Tire Co., Inc. ........................... 57,770 722 Kumho Tire Co., Inc., GDR ++ ................... 10,200 61 LG Chemical, Ltd. .............................. 6,130 357 LG Corp. ....................................... 6,480 237 LG Electronics, Inc. ........................... 16,361 1,093 LG Petrochemical Co. Ltd. ...................... 6,790 228 LG Philips LCD Co. Ltd. ## ..................... 10,480 426 Lotte Shopping Co. Ltd. ........................ 2,674 1,002 NHN Corp. ...................................... 4,090 639 Orion Corp. .................................... 1,706 464 POSCO .......................................... 2,199 924 Samsung Electronics Co. Ltd. ................... 5,688 3,483 Samsung Fire & Marine Insurance Co. Ltd. ....... 2,794 496 Samsung SDI Co. Ltd. ........................... 3,559 208 Samsung Securities Co. Ltd ..................... 14,406 842 Shinhan Financial Group Co. Ltd. ............... 26,790 1,508 Shinsegae Co. Ltd. ............................. 860 584 SK Telecom Co. Ltd. ............................ 2,011 423 SK Telecom Co. Ltd., ADR ....................... 32,020 795 S-Oil Corp. .................................... 3,714 287 SSCP Co. Ltd. ## ............................... 4,150 117 Woongjin Coway Co. Ltd. ........................ 21,840 732 ----------- TOTAL COMMON STOCKS 28,292 ----------- PREFERRED STOCKS - 0.20% Samsung Electronics Co. Ltd. ................... 798 375 ----------- TOTAL SOUTH KOREA 28,667 ----------- TAIWAN - 10.00% COMMON STOCKS - 10.00% AU Optronics Corp. ## .......................... 244,000 387 Benq Corp. ..................................... 1,045,550 398 Cathay Financial Holding Co. Ltd. .............. 179,910 364 China Motor Corp. .............................. 507,707 437 Chinatrust Financial Holding Co. Ltd. .......... 1,033,149 811 Chunghwa Telecom Co. Ltd., ADR ................. 57,340 1,141 Compal Electronics, Inc. ....................... 1,677,065 1,523 Delta Electronics, Inc. ........................ 196,966 615 Eternal Chemical Co. Ltd. ...................... 272,000 455 Evergreen Marine Corp. ......................... 343,000 209 Everlight Electronics Co. Ltd. ................. 104,140 358 Far Eastern Textile Co. Ltd. ................... 179,140 163 First Financial Holding Co. Ltd. ............... 1,391,506 957 Formosa Chemicals & Fibre Corp. ................ 116,000 215 Foxconn Technology Co. Ltd. .................... 42,000 394 Fubon Financial Holding Co. Ltd. ............... 429,000 372
See accompanying notes 51 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) High Tech Computer Corp. ....................... 17,200 $ 256 HON HAI Precision Industry Co. Ltd. ............ 17,006 112 InnoLux Display Corp. ## ....................... 69,000 196 MediaTek, Inc. ................................. 58,300 725 Mega Financial Holding Co. Ltd. ................ 274,000 174 Nan Ya Printed Circuit Board Corp. ............. 66,000 383 Nien Hsing Textile Co. Ltd. .................... 317,000 201 Nien Made Enterprise Co. Ltd. .................. 225,380 214 Optimax Technology Corp. ....................... 39,090 22 Powerchip Semiconductor Corp. .................. 289,000 175 Quanta Computer, Inc. .......................... 877,113 1,255 Radiant Opto-Electronics Corp. ................. 129,650 203 Siliconware Precision Industries Co. Ltd. ## ... 147,000 279 SinoPac Financial Holdings Co. Ltd. ............ 2,303,987 996 Taiwan Cement Corp. ............................ 244,827 217 Taiwan Semiconductor Manufacturing Co. Ltd. .... 95,000 194 Tatung Co Ltd. ## .............................. 767,000 323 Transcend Information, Inc. .................... 85,485 285 Tripod Technology Corp. ........................ 61,820 230 TXC Corp. ...................................... 77,000 139 United Microelectronics Corp. .................. 4,040,106 2,326 United Microelectronics Corp., ADR + ........... 23,024 76 Yaego Corp. ## ................................. 1,453,000 572 Yang Ming Marine Transport Corp. ............... 711,000 463 ----------- TOTAL TAIWAN ...................................... 18,815 ----------- THAILAND - 1.83% COMMON STOCKS - 1.83% Bangkok Bank PCL ............................... 203,700 657 Charoen Pokphand Foods PCL # ................... 2,802,600 366 CP Seven Eleven PCL # .......................... 863,400 184 Delta Electronics PCL .......................... 300,100 134 Italian-Thai Development PCL ................... 923,900 137 Kasikornbank PCL ............................... 350,000 710 Krung Thai Bank PCL ............................ 1,298,200 405 PTT PCL ........................................ 67,200 414 Siam Commercial Bank PCL ....................... 117,100 219 Siam Makro PCL ................................. 61,200 135 Thai Union Frozen Products PCL ................. 136,100 86 ----------- TOTAL THAILAND .................................... 3,447 ----------- TURKEY - 2.33% COMMON STOCKS - 2.33% Aksigorta A.S. ................................. 56,990 266 BIM Birlesik Magazalar A.S. ## ................. 8,580 541 Coca-Cola Icecek A.S. ## ....................... 51,900 374 Petrol Ofisi A.S. .............................. 40,630 178 Turkcell Iletisim Hizmetleri A.S. .............. 116,430 645
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Turkiye Garanti Bankasi A.S. ................... 164,542 $ 794 Turkiye Is Bankasi (Isbank) .................... 225,796 1,067 Yapi ve Kredi Bankasi A.S. ## .................. 241,914 524 ----------- TOTAL TURKEY ...................................... 4,389 ----------- UNITED KINGDOM - 0.09% COMMON STOCKS - 0.09% JKX Oil & Gas plc ## ........................... 24,980 158 ----------- SHORT TERM INVESTMENTS - 4.06% American Beacon Money Market Select Fund +++ ................................ 7,122,868 7,123
PAR AMOUNT ------------ United States Treasury Bill, 5.01%, Due 6/7/2007 @@ @ .................... $ 515 512 ----------- TOTAL SHORT TERM INVESTMENTS ...................... 7,635 -----------
SHARES ------------ SECURITIES LENDING COLLATERAL - 9.69% American Beacon Cash Plus Trust +++ ........ 10,750,736 10,751 American Beacon Money Market Select Fund +++ ................................ 7,476,602 7,476 ----------- TOTAL SECURITIES LENDING COLLATERAL ............... 18,227 ----------- TOTAL INVESTMENTS 109.89% - (COST $157,671) ....... 206,690 LIABILITIES, NET OF OTHER ASSETS - (9.89%) ........ (18,608) ----------- TOTAL NET ASSETS - 100.00% ........................ $ 188,082 ===========
See accompanying notes 52 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ 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 $3,815 or 2.03% of net assets. The Fund has no right to demand registration of these securities. # Valued at fair value pursuant to procedures approved by the Board of Trustees. +++ The Fund/Trust is affiliated by having the same investment advisor. @@ Rates represent discount rate. @ At April 30, 2007, security pledged as collateral for open futures contracts. FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ CONTRACTS DATE VALUE (DEPRECIATION) --------- ---------- ------- -------------- Emini S&P 500 Index .......... 130 Jun 2007 $11,014 $282 ======= ====
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (DOLLARS IN THOUSANDS)
SETTLEMENT MARKET UNREALIZED DATE VALUE GAIN/(LOSS) ---------- ------ ----------- CONTRACTS TO DELIVER 12,698 South African Rand .... 5/16/2007 $1,736 $(64) TOTAL CONTRACTS TO DELIVER ------ ---- (RECEIVABLE AMOUNT $1,672) ... $1,736 $(64) ------ ---- NET CURRENCY FLUCTUATION ........ $(64) ====
SECTOR DIVERSIFICATION
Percent of Net Assets ---------- Communications .................................................... 2.71% Consumer Discretionary ............................................ 10.82% Consumer Staples .................................................. 4.30% Energy ............................................................ 9.35% Financials ........................................................ 22.08% Health Care ....................................................... 1.92% Industrials ....................................................... 10.97% Information Technology ............................................ 9.75% Materials ......................................................... 7.85% Telecommunication Services ........................................ 11.61% Utilities ......................................................... 4.78% Short Term Investments ............................................ 13.75% Liabilities, Net of Other Assets .................................. (9.89)% ------ 100.00% ======
See accompanying notes 53 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) CORPORATE OBLIGATIONS - 94.49% AUTO COMPONENTS - 3.37% The Goodyear Tire & Rubber Co., 11.25%, Due 3/1/2011 ........................ $ 1,000 $ 1,093 Pep Boys, Inc., 7.50%, Due 12/15/2014 .......... 1,135 1,112 Stanadyne Corp., 10.00%, Due 8/15/2014 ......... 1,000 1,070 Tenneco, Inc., 10.25%, Due 7/15/2013 ....................... 1,400 1,535 8.625%, Due 11/15/2014 + .................... 750 797 TriMas Corp., 9.875%, Due 6/15/2012 ............ 1,250 1,297 TRW Automotive, Inc., 7.00%, Due 3/15/2014 ++ ..................... 2,000 1,980 7.25%, Due 3/15/2017 ++ ..................... 900 893 United Components, Inc., 9.375%, Due 6/15/2013 ................................... 2,250 2,340 ----------- 12,117 ----------- AUTO LOAN - 3.21% Ford Motor Credit Co. LLC, 5.625%, Due 10/1/2008 ....................... 400 394 7.375%, Due 10/28/2009 ...................... 1,000 1,001 9.75%, Due 9/15/2010 ........................ 1,700 1,799 9.875%, Due 8/10/2011 ....................... 1,900 2,023 8.105%, Due 1/13/2012 # ..................... 1,300 1,282 8.00%, Due 12/15/2016 ....................... 1,000 978 General Motors Acceptance Corp., 6.875%, Due 9/15/2011 ....................... 4,050 4,063 ----------- 11,540 ----------- AUTOMOBILES - 1.45% Ford Motor Co., 8.875%, Due 1/15/2022 ....................... 200 177 7.45%, Due 7/16/2031 + ...................... 725 574 General Motors Corp., 7.70%, Due 4/15/2016 + ...................... 1,200 1,110 8.25%, Due 7/15/2023 ........................ 700 633 7.40%, Due 9/1/2025 ......................... 500 419 United Auto Group, Inc., 7.75%, Due 12/15/2016 ++ ........................... 2,250 2,284 ----------- 5,197 ----------- BASIC MATERIALS - 2.16% Georgia-Pacific Corp., 7.00%, Due 1/15/2015 ++ ................................ 1,575 1,583 Huntsman International LLC, 7.875%, Due 11/13/2014 ++ ........................... 800 836 Johnson Diversey, Inc., 9.625%, Due 5/15/2012 .. 500 524 Lyondell Chemical Co., 8.00%, Due 9/15/2014 ........................ 1,200 1,257 8.25%, Due 9/15/2016 + ...................... 1,250 1,338 MacDermid, Inc., 9.50%, Due 4/15/2017 ++ ....... 300 311 PNA Group, Inc., 10.75%, Due 9/1/2016 ++ ....... 1,075 1,182
See accompanying notes 54 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Verso Paper Holdings LLC, 9.125%, Due 8/1/2014 ++ ............................. $ 700 $ 737 ----------- 7,768 ----------- CASINO/GAMING - 0.06% Pinnacle Entertainment, Inc., 8.25%, Due 3/15/2012 ........................ 100 103 8.75%, Due 10/1/2013 ........................ 100 105 ----------- 208 ----------- COMMERCIAL SERVICES - 1.56% Aramark Corp., 8.50%, Due 2/1/2015 ++ ..................... 900 942 8.86%, Due 2/1/2015 ++ # ................... 1,000 1,027 Iron Mountain, Inc., 6.625%, Due 1/1/2016 ........................ 750 727 8.75%, Due 7/15/2018 + ...................... 1,550 1,682 Valassis Communications, Inc., 8.25%, Due 3/1/2015 + ++ .................... 1,250 1,228 ----------- 5,606 ----------- COMMUNICATIONS - 11.13% Cadmus Communications Corp., 8.375%, Due 6/15/2014 ....................... 1,700 1,734 CanWest Media, Inc., 8.00%, Due 9/15/2012 ...... 800 830 Cch I LLC 1100% Due 10/1/2015 .................. 900 956 Charter Communications Holdings, 10.25%, Due 9/15/2010 ....................... 3,800 4,047 CSC Holdings, Inc., 8.125%, Due 7/15/2009 ....................... 1,000 1,040 7.625%, Due 4/1/2011 ........................ 200 206 7.625%, Due 7/15/2018 ....................... 800 816 Dex Media, Inc., 12.125%, Due 11/15/2012 ..................... 500 545 9.875%, Due 8/15/2013 ....................... 200 218 Zero Coupon, Due 11/15/2013 ## # ............ 2,750 2,592 Digicel Group Ltd., 8.875%, Due 1/15/2015 ++ ... 800 785 Echostar DBS Corp., 6.375%, Due 10/1/2011 ....................... 100 101 7.00%, Due 10/1/2013 ........................ 2,000 2,077 6.625%, Due 10/1/2014 ....................... 1,500 1,523 7.125%, Due 2/1/2016 ........................ 700 729 FTD, Inc., 775%, Due 2/15/2014 ................. 923 928 Insight Communications Co., Inc., 12.25%, Due 2/15/2011 ....................... 2,875 3,004 Intelsat Intermediate Holding Co. Ltd., Zero Coupon, Due 2/1/2015 ## # .............. 500 420 Intelsat Subsidiary Holding Co. Ltd., 8.25%, Due 1/15/2013 ........................ 1,200 1,248 iPCS, Inc., 7.48%, Due 5/1/2013 ++ # ........... 1,000 1,005 L-3 Communications Corp., 6.125%, Due 7/15/2013 ............................... 1,100 1,086 Lamar Media Corp., 7.25%, Due 1/1/2013 ......... 800 818 Liberty Media LLC, 5.70%, Due 5/15/2013 ........ 900 860 LIN Television Corp., 6.50%, Due 5/15/2013 ..... 800 788 MasTec, Inc., 7.625%, Due 2/1/2017 ++ .......... 1,000 1,010
See accompanying notes 55 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Network Communications, Inc., 10.75%, Due 12/1/2013 ............................... $ 1,000 $ 1,025 Quebecor Media, Inc., 7.75%, Due 3/15/2016 ..... 100 105 Qwest Communications International, Inc., 7.50%, Due 2/15/2014......................... 1,200 1,239 Radio One, Inc., 6.375%, Due 2/15/2013 ......... 800 779 The Readers Digest Association, Inc., 9.00%, Due 2/15/2017 ++ ..................... 1,750 1,715 Umbrella Acquisition, Inc., 9.75%, Due 3/15/2015 ++ ............................ 3,700 3,714 West Corp., 9.50%, Due 10/15/2014 ++ ........... 1,900 2,009 ----------- 39,952 ----------- CONSTRUCTION & ENGINEERING - 1.23% Beazer Homes USA, Inc., 8.375%, Due 4/15/2012 + ..................... 1,050 1,042 8.125%, Due 6/15/2016 ....................... 200 198 KB Home, 7.75%, Due 2/1/2010 ......................... 1,000 1,010 9.50%, Due 2/15/2011 + ...................... 1,200 1,235 6.25%, Due 6/15/2015 ........................ 600 558 7.25%, Due 6/15/2018 ........................ 400 380 ----------- 4,423 ----------- CONSUMER DISCRETIONARY - 1.48% Commercial Vehicle Group, Inc., 8.00%, Due 7/1/2013 ................................ 400 408 Fresenius Medical Care Capital Trust IV, 7.875%, Due 6/15/2011 ............................... 700 740 Levi Strauss & Co., 12.25% Due 12/15/2012 ...... 1,500 1,639 OSI Restaurant Partners LLC, 9.625%, Due 5/15/2015 ............................... 300 309 Simmons Co., 7.875%, Due 1/15/2014 ............. 2,000 2,055 Spectrum Brands, Inc., 7.375%, Due 2/1/2015 .... 200 158 ----------- 5,309 ----------- CONSUMER STAPLES - 3.88% Alion Science and Technology Corp., 10.25%, Due 2/1/2015 ++ ............................. 600 631 Blyth, Inc., 5.50%, Due 11/1/2013 .............. 1,500 1,313 Jarden Corp., 7.50, Due 5/1/2017 ............... 1,400 1,433 Payless Shoesource, lnc., 8.25%, Due 8/1/2013 .. 1,500 1,579 Pilgrims Pride Corp,., 9.625%, Due 9/15/2011 ....................... 2,348 2,448 8.375%, Due 5/1/2017 + ...................... 1,200 1,215 Prestige Brands, Inc., 9.25% Due 4/15/2012 ..... 2,000 2,070 Rafaella Apparel Group, Inc., 11.25%, Due 6/15/2011 ............................... 1,341 1,368 Rental Service Corp., 9.50%, Due 12/1/2014 ++ .. 800 850 Smithfield Foods, Inc., 7.75%, Due 5/15/2013 ... 1,000 1,040 ----------- 13,947 ----------- ELECTRIC/GAS - 0.92% Aquila, Inc., 9.95%, Due 2/1/2011 .............. 900 986 Hanover Compressor Co., 7.50%, Due 4/15/2013 ... 800 820 Midwest Generation LLC, 8.75%, Due 5/1/2034 .... 800 884 TXU Corp., 5.55%, Due 11/15/2014 ............... 700 6268 ----------- 3,318 -----------
See accompanying notes 56 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) ENERGY - 9.62% AmeriGas Partners, L.P., 7.25%, Due 5/20/2015 ........................ $ 1,225 $ 1,246 7.125%, Due 5/20/2016 ....................... 1,150 1,164 Aventine Renewable Energy Holdings, Inc., 10.00%, Due 4/1/2017 ++ ..................... 1,000 1,040 Chesapeake Energy Corp., 7.625%, Due 7/15/2013 ....................... 3,400 3,604 6.625% Due 1/15/2016 ........................ 900 914 Cie Generale de Geophysique-Veritas, 7.75%, Due 5/15/2017 ............................... 300 317 Complete Production Services, Inc., 8.00%, Due 12/15/2016 ++ ........................... 1,500 1,551 Copano Energy LLC, 8.125%, Due 3/1/2016 ........ 800 834 Dynegy Holdings, Inc., 8.375%, Due 5/1/2016 .... 900 948 Holly Energy Partners, 6.25% Due 3/1/2015 ...... 1,900 1,824 Inergy L.P./Inergy Finance Corp., 6.875%, Due 12/15/2014 .............................. 2,224 2,196 Mariner Energy, Inc., 7.50%, Due 4/15/2013 ..... 900 893 MarkWest Energy Partners LP, 6.875%, Due 11/1/2014 ............................... 800 786 Massey Energy Co., 6.875%, Due 12/15/2013....... 2,500 2,413 Mirant Americas Generation LLC, 8.30%, Due 5/1/2011 ................................ 1,700 1,798 Mirant North America LLC, 7.375%, Due 12/31/2013 .............................. 100 106 NRG Energy, Inc., 7.25%, Due 2/1/2014 ......................... 300 310 7.375%, Due 2/1/2016 ........................ 1,900 1,974 7.375%, Due 1/15/2017 ....................... 1,750 1,813 Peabody Energy Corp., 6.875%, Due 3/15/2013 ....................... 300 304 7.375%, Due 11/1/2016 ....................... 700 739 PetroHawk Energy Corp., 9.125% Due 7/15/2013 ... 1,125 1,205 PetroQuest Energy, Inc., 10.375%, Due 5/15/2012 ............................... 3,000 3,150 Swift Energy Co., 7.625%, Due 7/15/2011 ....................... 900 918 9.375%, Due 5/1/2012 ........................ 750 784 Tenaska, Inc., 6.528%, Due 12/30/2014 ++ ....... 1,260 1,246 Williams Cos., Inc., 8.75%, Due 3/15/2032 ...... 400 466 ----------- 34,543 ----------- FINANCE - 4.36% American Real Estate Partners, L.P., 7.125%, Due 2/15/2013 ++ ............................ 2,750 2,709 CPI International, Inc., 11.151%, Due 2/1/2015 # .............................. 1,750 1,807 E*Trade Financial Corp., 8.00%, Due 6/15/2011... 2,775 2,917 Hawker Beechcraft Acquisition Co. LLC, 8.50%, Due 4/1/2015 ++ ............................. 800 844 KAR Holdings, Inc., 9.355%, Due 5/1/2014 ++ #.. 1,000 1,022 National Health Investors, Inc., 7.30%, Due 7/16/2007 ............................... 1,000 1,001 Petroplus Finance Ltd., 6.75%, Due 5/1/2014 ++.. 300 302 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 9.25%, Due 4/1/2015 ++ ..................... 1,400 1,400 10.625%, Due 4/1/2017 + ++ .................. 850 852
See accompanying notes 57 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Rainbow National Services LLC, 10.375%, Due 9/1/2014 ++ ............................. $ 750 $ 845 Residential Capital Corp., 7.19%, Due 4/17/2009 ++ # .......................... 1,000 995 Thornburg Mortgage, Inc., 8.00%, Due 5/15/2013 ............................... 960 955 ----------- 15,649 ----------- FOOD & DRUG RETAILING - 0.57% Rite Aid Corp., 8.125%, Due 5/1/2010 ........... 2,000 2,065 ----------- FOOD/RESTAURANT - 0.49% Cott Beverages USA, Inc., 8.00%, Due 12/15/2011 .............................. 1,700 1,743 ----------- HEALTH CARE - 5.85% Centene Corp., 7.25%, Due 4/1/2014 ++ .......... 1,200 1,218 DaVita, Inc., 6.625%, Due 3/15/2013 ....................... 625 627 7.25%, Due 3/15/2015 ........................ 2,375 2,428 HCA, Inc., 9.125%, Due 11/15/2014 ++ ................... 500 540 6.50%, Due 2/15/2016 ........................ 1,000 871 9.25%, Due 11/15/2016 + ++ .................. 3,200 3,488 Interactive Health, 8.00%, Due 4/1/2011 + ++ ... 1,259 1,032 Omnicare, Inc., 6.75%, Due 12/15/2013 ....................... 500 498 6 875% Due 12/15/2015 ....................... 1,550 1,544 Skilled Healthcare Group, Inc., 11.00%, Due 1/15/2014 ++ ............................ 1,300 1,453 Tenet Healthcare Corp., 6.375%, Due 12/1/2011 ....................... 100 94 9.875%, Due 7/1/2014 ........................ 1,100 1,127 United Surgical Partners International, Inc., 9.25%, Due 5/1/2017 ++ ...................... 400 412 US Oncology Holdings, Inc., 9.797%, Due 3/15/2012 ++ # .......................... 2,100 2,126 US Oncology, Inc., 9.00%, Due 8/15/2012 ........................ 1,500 1,598 10.75% Due 8/15/2014 ........................ 1,000 1,118 Vanguard Health Holding Co. II LLC, 9.00%, Due 10/1/2014 ............................... 800 829 ----------- 21,003 ----------- HOTELS, RESTAURANTS & LEISURE - 5.21% AMF Bowling Worldwide, Inc., 10.00%, Due 3/1/2010 ................................ 1,950 2,028 Cinemark, Inc., Zero Coupon, Due 3/15/2014 ## # .......................... 1,350 1,242 Host Hotels & Resorts LP., 6.875%, Due 11/1/2014 ............................... 800 819 Host Marriott LP, 7.125%, Due 11/1/2013 ........ 400 412 Majestic Star Casino LLC, 9.50%, Due 10/15/2010 .............................. 1,500 1,579 MGM Mirage, 6.75%, Due 4/1/2013 ......................... 2,250 2,230 6.625%, Due 7/15/2015 ....................... 1,500 1,455 Royal Caribbean Cruises Ltd., 7.25%, Due 3/15/2018 ............................... 1,200 1,243 San Pasqual Casino Development Group, 8.00%, Due 9/15/2013 ++ ............................ 1,800 1,854
See accompanying notes 58 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Station Casinos, Inc., 6.875%, Due 3/1/2016 ........................ $ 800 $ 752 7.75%, Due 8/15/2016 ........................ 200 208 Travelport LLC, 9.985%. Due 9/1/2014 ++ # ...... 1,050 1,084 Turning Stone Casino Resort, 9.125%, Due 12/15/2010 ++ ........................... 3,710 3,784 ----------- 18,690 ----------- INDUSTRIALS - 15.45% Allied Waste North America, Inc., 6.875%, Due 6/1/2017 ........................ 800 811 Alpha Natural Resources, LLC, 10.00%, Due 6/1/2012 ................................ 2,000 2,160 Altra Industrial Motion, Inc., 9.00%, Due 12/1/2011 ........................ 1,100 1,140 9.00%, Due 12/1/2011 ++ ..................... 500 518 BE Aerospace, Inc., 8.875%, Due 5/1/2011 ....... 1,250 1,287 Berry Plastics Holding Corp., 8.875%, Due 9/15/2014 ....................... 1,300 1,339 Case New Holland, Inc., 9.25%, Due 8/1/2011 ......................... 2,725 2,865 7.125%, Due 3/1/2014 ........................ 600 630 Clarke American Corp., 1.00%, Due 5/15/2015 ++ # .......................... 1,500 1,500 Clean Harbors, Inc., 11.25%, Due 7/15/2012 ..... 650 722 Coleman Cable, Inc., 9.875% Due 10/1/2012 ++ ..................... 1,000 1,047 Communications & Power Industries, Inc., 8.00%, Due 2/1/2012 ......................... 1,500 1,537 Crown Americas LLC, 7.75%, Due 11/15/2015 ...... 800 846 DRS Technologies, Inc., 6.875%, Due 11/1/2013 ....................... 600 606 7.625%, Due 2/1/2018 ........................ 200 209 Dycom Industries, Inc., 8.125%, Due 10/15/2015 ...................... 1,500 1,583 Equistar Chemicals, LP, 10.625%, Due 5/1/2011 ....................... 1,250 1,319 GenCorp, Inc., 9.50%, Due 8/15/2013 ............ 1,500 1,609 GST Equipment Funding, Inc., 13.25%, Due 5/1/2007 ### @@ ..................... 2,500 -- Impress Holdings BV, 8.481%, Due 9/15/2013 ++ # .......................... 1,400 1,431 Intertape Polymer US, Inc., 8.50%, Due 8/1/2014 ................................ 1,300 1,168 Jefferson Smurfit Corp., 8.25%, Due 10/1/2012 + ............................. 1,300 1,315 Johnsondiversey Holdings, Inc., Zero Coupon, Due 5/15/2013 ## # .......................... 100 104 NBTY, Inc., 7.125%, Due 10/1/2015 .............. 1,800 1,822 Nell AF SARL, 8.375%, Due 8/15/2015 ++ ......... 1,500 1,560 Nortek, Inc., 8.50%, Due 9/1/2014 .............. 900 889 Nova Chemicals Corp., 8.502%, Due 11/15/2013 # ............................ 2,070 2,106 Novelis, Inc., 7.25%, Due 2/15/2015 ............ 800 843 Owens-Brockway Glass Containers, Inc., 8.75%, Due 11/15/2012 ....................... 1,500 1,581 8.25%, Due 5/15/2013 ........................ 1,750 1,846 6.75%, Due 12/1/2014 ........................ 1,000 1,006 Pipe Acquisition Finance plc, 11.604%, Due 12/15/2010 ++ # ......................... 1,100 1,132 Plastipak Holdings, Inc., 8.50%, Due 12/15/2015 ++ ........................... 1,475 1,578 Polypore, Inc., 8.75%, Due 5/15/2012 + ......... 725 748
See accompanying notes 59 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) RBS Global, Inc., 9.50%, Due 8/1/2014 .......... $ 900 $ 963 Sanmina-SCI Corp., 8.125% Due 3/1/2016 ........ 800 783 Smurfit Kappa Funding plc, 7.75%, Due 4/1/2015 .................................... 800 820 Solectron Corp., 8.00%, Due 3/15/2016 .......... 800 808 Stewart & Stevenson LLC, 10.00%, Due 7/15/2014 ++ ................................ 1,000 1,053 Superior Essex Communications, 9.00%, Due 4/15/2012 ................................... 2,400 2,496 Terex Corp., 7.375%, Due 1/15/2014 + ........... 1,760 1,839 Titan International, Inc., 8.00%, Due 1/15/2012 ++ ................................ 1,250 1,294 TransDigm, Inc., 7.75%, Due 7/15/2014 ++ ....... 800 830 United Rentals North America, Inc., 6.50%, Due 2/15/2012 ........................ 1,800 1,818 7.75%, Due 11/15/2013 ....................... 800 832 WCA Waste Corp., 9.25%, Due 6/15/2014 .......... 1,000 1,065 ----------- 55,458 ----------- MATERIALS - 3.69% Compass Minerals International, Inc., Zero Coupon, Due 6/1/2013 ## # .................. 1,825 1,788 Hercules, Inc., 6.75%, Due 10/15/2029 .......... 1,750 1,750 Hexion US Finance Corp., 9.75%, Due 11/15/2014 ++ ............................... 1,000 1,080 Ineos Group Holdings Plc, 8.50%, Due 2/15/2016 + ++ .............................. 1,725 1,669 Nalco Co., 8.875%, Due 11/15/2013 .............. 900 963 Neenah Paper, Inc., 7.375%, Due 11/15/2014 ..... 2,450 2,376 The Newark Group, Inc., 9.75% Due 3/15/2014 ................................... 2,200 2,280 Phibro Animal Health Corp., 10.00%, Due 8/1/2013 ++ ................................. 1,250 1,330 ----------- 13,236 ----------- MEDIA - 4.45% Advanstar Communications, Inc., 10.75%, Due 8/15/2010 ....................... 1,500 1,631 12 00%, Due 2/15/2011 ....................... 1,375 1,435 Allbritton Communications Co., 7.75%, Due 12/15/2012 .................................. 1,608 1,652 Idearc, Inc., 8.00%, Due 11/15/2016 ++ ......... 2,750 2,867 IESY Repository GmbH, 10.375%, Due 2/15/2015 ++ ................................ 1,500 1,586 Kabel Deutschland GmbH, 10.625%, Due 7/1/2014 .. 1,156 1,292 LBI Media, Inc., 10.125%, Due 7/15/2012 ........ 1,000 1,053 R.H. Donnelley Corp., 8.875%, Due 1/15/2016 .... 1,200 1,302 The Sheridan Group, Inc., 10.25%, Due 8/15/2011 ................................... 2,125 2,213 WMG Acquisition Corp., 7.375%, Due 4/15/2014 ... 1,000 960 ----------- 15,991 ----------- METALS & MINING - 0.89% Freeport-McMoRan Copper & Gold, Inc., 8.25%, Due 4/1/2015 ......................... 2,250 2,433 8.375%, Due 4/1/2017 ........................ 700 765 ----------- 3,198 ----------- OIL & GAS - 1.70% Pogo Producing Co., 7.875%, Due 5/1/2013 ........................ 300 304
See accompanying notes 60 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) 6.875% Due 10/1/2017 ........................ $ 500 $ 490 Regency Energy Partners LP, 8.375%, Due 12/15/2013 ++ ............................... 2,750 2,833 Stone Energy Corp., 8.106%, Due 7/15/2010 ++ # .............................. 1,912 1,912 Williams Cos., Inc., 7.625%, Due 7/15/2019 ....................... 200 218 7.875%, Due 9/1/2021 ........................ 300 332 ----------- 6,089 ----------- PHARMACEUTICALS - 1.75% Angiotech Pharmaceuticals, Inc., 9.11%, Due 12/1/2013 ++ # .............................. 1,750 1,793 Elan Finance PLC/Elan Finance Corp., 8.875%, Due 12/1/2013 ++ .................... 1,800 1,854 9.485%, Due 12/1/2013 ++ # .................. 1,075 1,094 PTS Acquisition Corp., 9.50%, Due 4/15/2015 ++ ................................ 1,500 1,534 ----------- 6,275 ----------- REAL ESTATE - 0.17% Forest City Enterprises, Inc., 7.625%, Due 6/1/2015 .................................... 600 615 ----------- RETAIL - 2.12% Jostens Holding, 10.25%, Due 12/1/2013 # ....... 1,900 1,767 Jostens IH Corp., 7.625%, Due 10/1/2012 ........ 900 921 Michaels Stores, Inc., 10.00%, Due 11/1/2014 ++ ................................ 800 873 Phillips-Van Heusen Corp., 8.125%, Due 5/1/2013 ........................ 735 775 7.75%, Due 11/15/2023 ....................... 1,800 1,908 Susser Holdings LLC, 10.625%, Due 12/15/2013 ... 1,236 1,357 ----------- 7,601 ----------- SERVICES - 0.70% Knowledge Learning Corp, Inc., 7.75%, Due 2/1/2015 ++ ................................. 2,500 2,500 ----------- TECHNOLOGY - 3.39% Amkor Technology, Inc., 7.75%, Due 5/15/2013 ... 2,000 1,980 Celestica, Inc., 7.875%, Due 7/1/2011 .......... 1,600 1,576 Freescale Semiconductor, Inc., 8.875%, Due 12/15/2014 ++ ................... 1,400 1,402 9.125%, Due 12/15/2014 ++ ................... 1,400 1,393 9.23%, Due 12/15/2014 ++ # .................. 1,250 1,250 NXP b.v., 7.875%, Due 10/15/2014 ++ ............ 1,000 1,040 Sungard Data Systems, Inc., 9.125%, Due 8/15/2013 ....................... 1,950 2,091 10.25%, Due 8/15/2015 ....................... 1,300 1,430 ----------- 12,162 ----------- TELECOMMUNICATION SERVICES - 3.26% Block Communications, Inc., 8.25%, Due 12/15/2015 ++ ............................... 2,000 2,050 Cablevision Systems Corp., 8.00%, Due 4/15/2012 ................................... 300 308
See accompanying notes 61 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Dobson Cellular Systems, Inc., 8.375%, Due 11/1/2011 ....................... $ 500 $ 533 9.875%, Due 11/1/2012 ....................... 2,100 2,294 Inmarsat Finance PLC, Zero Coupon, Due 11/15/2012 ## # ............................ 300 285 Intelsat Bermuda Ltd., 9.25%, Due 6/15/2016 ... 1,600 1,760 Millicom International Cellular SA, 10.00%, Due 12/1/2013 ............................... 800 878 Rural Cellular Corp., 8.25%, Due 3/15/2012 ..... 1,750 1,846 Stratos Global Corp., 9.875%, Due 2/15/2013 .... 750 812 Wind Acquisition Finance SA, 10.75%, Due 12/1/2015 ++ ................................ 800 924 ----------- 11,690 ----------- TOBACCO - 0.37% Reynolds American, Inc., 7.625%, Due 6/1/2016 .. 1,200 1,313 ----------- TOTAL CORPORATE OBLIGATIONS .................... 339,206 -----------
SHARES ------------ SHORT TERM INVESTMENTS - 5.52% American Beacon Money Market Select Fund @ ..... 19,794,486 19,795 ----------- SECURITIES LENDING COLLATERAL - 5.42% AIM Short-Term Investment Company Liquid Asset Fund ........................................ 553,147 553
PAR AMOUNT ------------ Citigroup Global Markets, Inc. Master Note ..... $ 10,000 10,000 Merrill Lynch Pierce Fenner & Smith, Inc. Tri Party Repo +++............................... 2,500 2,500 Mica Funding LLC ## ............................ 6,410 6,410 ----------- TOTAL SECURITIES LENDING COLLATERAL ............ 19,463 ----------- TOTAL INVESTMENTS - 105.43% (COST $371,183) ....... $ 378,464 LIABILITIES, NET OF OTHER ASSETS - (5.43%) ........ (19,485) ----------- TOTAL NET ASSETS - 100.00% ........................ 358,979 ===========
Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ 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 $97,446 or 27.15% of net assets. The Fund has no right to demand registration of these securities. # The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due date on these types of securities reflects the final maturity date. ### In Default @@ Valued at fair value pursuant to procedures approved by the Board of Trustees. @ The Fund/Trust is affiliated by having the same investment advisor. +++ Held at Chase NYC, Collateralized by Corporate Obligations valued at $2,551, 4.85% - 7.858%, 3/15/2011 - 3/1/2033 See accompanying notes 62 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 5.78% CONSUMER DISCRETIONARY - 0.84% SPECIALTY RETAIL - 0.46% The Home Depot, Inc. ........................... 11,500 $ 436 IAC/InterActive Corp., Warrant, Warrant ## ..... 4,000 28 ----------- 464 ----------- TEXTILES & APPAREL - 0.38% Coach, Inc. ## ................................. 8,030 392 ----------- TOTAL CONSUMER DISCRETIONARY ...................... 856 ----------- CONSUMER STAPLES - 0.64% BEVERAGES - 0.64% The Coca-Cola Co. + ............................ 7,060 369 Molson Coors Brewing Co. + ..................... 2,930 276 ----------- TOTAL CONSUMER STAPLES ............................ 645 ----------- FINANCIALS - 0.86% DIVERSIFIED FINANCIALS - 0.86% Franklin Resources, Inc. ....................... 2,450 322 The Goldman Sachs Group, Inc. + ................ 2,500 546 ----------- TOTAL FINANCIALS .................................. 868 ----------- HEALTH CARE - 0.30% PHARMACEUTICALS - 0.30% Pfizer, Inc. ................................... 11,500 305 ----------- INDUSTRIALS - 0.47% COMMERCIAL SERVICES & SUPPLIES - 0.47% ITT Educational Services, Inc. ## + ............ 4,920 478 ----------- INFORMATION TECHNOLOGY - 2.67% COMMUNICATIONS EQUIPMENT - 0.56% Cisco Systems, Inc. ## + ....................... 21,180 566 ----------- CONSUMER SERVICES - 0.01% Expedia, Inc., Warrant ## ...................... 4,000 12 ----------- IT CONSULTING & SERVICES - 1.27% Accenture Ltd. + ............................... 7,470 292 Cognizant Technology Solutions Corp. ## + ...... 4,000 357 Infosys Technologies Ltd., ADR + ............... 12,200 639 ----------- 1,288 ----------- SOFTWARE - 0.83% Microsoft Corp. ................................ 15,500 464
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Oracle Corp. ## + .............................. 20,000 $ 376 ----------- 840 ----------- TOTAL INFORMATION TECHNOLOGY ...................... 2,706 ----------- TOTAL COMMON STOCKS ............................... 5,858 ----------- CONVERTIBLE PREFERRED STOCKS - 2.52% FINANCIALS - 1.58% DIVERSIFIED FINANCIALS - 0.90% Lazard Ltd. + .................................. 10,250 474 Lehman Brothers Holdings, Inc. + ............... 15,300 431 ----------- 905 ----------- INSURANCE - 0.68% MetLife, Inc. .................................. 21,000 691 ----------- TOTAL FINANCIALS .................................. 1,596 ----------- HEALTH CARE - 0.44% PHARMACEUTICALS - 0.44% Schering-Plough Corp. + ........................ 6,200 447 ----------- INDUSTRIALS - 0.50% General Motors Corp. ........................... 22,000 506 ----------- TOTAL CONVERTIBLE PREFERRED STOCKS ................ 2,549 -----------
PAR AMOUNT ------------ CORPORATE OBLIGATIONS - 29.69% BANKS - 6.60% Banco Popular North America, Inc., 4.25%, Due 4/1/2008 ......................... $ 300 296 Bank of America Corp., 7.80%, Due 9/15/2016 ........................ 600 701 Bank One Corp., 4.90%, Due 4/30/2015 ........................ 350 338 Citigroup, Inc., 5.125%, Due 2/14/2011 ....................... 1,500 1,503 Credit Suisse First Boston, 6.50%, Due 5/1/2008 ++ ...................... 500 504 ING Bank, NV, 5.125%, Due 5/1/2015 ++ ..................... 300 296 JPMorgan Chase & Co., 6.75%, Due 2/1/2011 ......................... 800 841 National City Bank, 4.50%, Due 3/15/2010 ........................ 900 883 Synovus Financial Corp., 4.875%, Due 2/15/2013 ....................... 350 345 Washington Mutual, Inc., 8.25%, Due 4/1/2010 ......................... 300 324
See accompanying notes 63 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) 4.625%, Due 4/1/2014 ........................ $ 700 $ 654 ----------- 6,685 ----------- BASIC MATERIALS - 0.34% BHP Billiton Finance USA Ltd., 4.80%, Due 4/15/2013 ........................ 350 342 ----------- BEVERAGES - 0.30% Constellation Brands, Inc., 7.25%, Due 9/1/2016 ......................... 300 305 ----------- COMMUNICATIONS - 1.40% Comcast Cable Communications Holdings, Inc., 8.375%, Due 3/15/2013 ....................... 700 803 DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, Due 3/15/2013 ....................... 300 316 Time Warner Cable, Inc., 5.85%, Due 5/1/2017 ++ ...................... 300 302 ----------- 1,421 ----------- CONSUMER DISCRETIONARY - 0.91% Supervalu, Inc., 7.50%, Due 11/15/2014 ....................... 325 339 Wal-Mart Stores, Inc., 7.55%, Due 2/15/2030 + ...................... 350 424 Wesco Distribution, Inc., 7.50%, Due 10/15/2017 ....................... 150 154 ----------- 917 ----------- CONSUMER SERVICES - 0.31% Expedia, Inc., 7.456%, Due 8/15/2018 ....................... 300 315 ----------- CONSUMER STAPLES - 0.28% Dole Food Co., Inc., 8.875%, Due 3/15/2011 + ..................... 142 144 Hanesbrands, Inc., 8.735%, Due 12/15/2014 ++ # ................. 140 144 ----------- 288 ----------- ENERGY - 0.63% Canadian Natural Resources Ltd., 6.25%, Due 3/15/2038 ........................ 300 298 EOG Resources, Inc., 4.75%, Due 3/15/2014 ++ ..................... 350 338 ----------- 636 ----------- FINANCE - 4.72% American General Finance Corp., 4.875%, Due 5/15/2010 ....................... 300 299
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) The Bear Stearns Cos., Inc., 2.875%, Due 7/2/2008 ........................ $ 800 $ 779 Capital One Financial Corp., 5.70%, Due 9/15/2011 ........................ 450 454 E*Trade Financial Corp., 7.875%, Due 12/1/2015 ....................... 300 324 The Goldman Sachs Group, Inc., 4.75%, Due 7/15/2013 ........................ 350 339 HSBC Finance Corp., 5.25%, Due 1/14/2011 + ...................... 1,200 1,201 International Lease Finance Corp., 6.375%, Due 3/15/2009 ....................... 725 741 Lehman Brothers Holdings, Inc., 4.25%, Due 1/27/2010 + ...................... 350 343 Merrill Lynch & Co., Inc., 6.11%, Due 1/29/2037 ........................ 310 308 ----------- 4,788 ----------- HEALTH CARE - 0.70% AmeriPath, Inc., 10.50%, Due 4/1/2013 ........................ 400 435 Tenet Healthcare Corp., 9.25%, Due 2/1/2015 + ....................... 275 275 ----------- 710 ----------- INDUSTRIALS - 4.41% Caterpillar Financial Services Corp., 4.15%, Due 1/15/2010 + ...................... 300 294 CSX Corp., 6.75%, Due 3/15/2011 ........................ 310 325 DaimlerChrysler NA Holding Corp., 5.875%, Due 3/15/2011 ....................... 350 356 5.75%, Due 9/8/2011 ......................... 250 254 Equistar Chemicals, LP, 10.625%, Due 5/1/2011 ....................... 400 422 Ford Motor Credit Co. LLC, 8.625%, Due 11/1/2010 + ..................... 285 292 Gardner Denver, Inc., 8.00%, Due 5/1/2013 ......................... 300 318 The Goodyear Tire & Rubber Co., 7.857%, Due 8/15/2011 ....................... 300 314 John Deere Capital Corp., 4.125%, Due 1/15/2010 ....................... 750 733 NBTY, Inc., 7.125%, Due 10/1/2015 ....................... 150 152 Nissan Motor Acceptance Corp., 5.625%, Due 3/14/2011 ++ .................... 300 302 Norfolk Southern Corp., 8.625%, Due 5/15/2010 ....................... 310 339
See accompanying notes 64 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Union Pacific Corp., 6.50%, Due 4/15/2012 ........................ $ 350 $ 367 ----------- 4,468 ----------- INSURANCE - 3.84% Aegon Funding Corp., 5.75%, Due 12/15/2020 ....................... 350 357 American International Group, Inc., 6.25%, Due 5/1/2036 ......................... 350 371 ASIF Global Financing, 3.90%, Due 10/22/2008 ++ .................... 500 491 The Hartford Financial Services Group, Inc., 5.25%, Due 10/15/2011 ....................... 700 703 John Hancock Global Funding II, 7.90%, Due 7/2/2010 ++ ...................... 850 919 Lincoln National Corp., 4.75%, Due 2/15/2014 ........................ 200 192 Metropolitan Life Global Funding I, 4.625%, Due 8/19/2010 ++ .................... 500 496 Prudential Financial, Inc., 4.50%, Due 7/15/2013 ........................ 375 262 ----------- 3,891 ----------- MEDIA - 0.29% Idearc, Inc., 8.00%, Due 11/15/2016 ++ .................... 285 297 ----------- REAL ESTATE - 1.89% iStar Financial, Inc., 5.85%, Due 3/15/2017 ........................ 450 449 ProLogis, 5.50%, Due 4/1/2012 ......................... 350 354 5.625%, Due 11/15/2016 + .................... 350 353 Simon Property Group LP, 6.375%, Due 11/15/2007 ...................... 400 402 5.375%, Due 6/1/2011 ........................ 350 352 ----------- 1,910 ----------- TECHNOLOGY - 0.86% Cisco Systems, Inc., 5.25%, Due 2/22/2011 ........................ 350 352 Sungard Data Systems, Inc., 9.125%, Due 8/15/2013 ....................... 300 322 Syniverse Technologies, Inc., 7.75%, Due 8/15/2013 ........................ 200 196 ----------- 870 ----------- TELEPHONE - 1.86% America Movil, S.A. de C.V., 6.375%, Due 3/1/2035 ........................ 350 354 AT&T, Inc., 5.625%, Due 6/15/2016 + ..................... 350 352
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) 6.80%, Due 5/15/2036 + ...................... $ 175 $ 190 Sprint Capital Corp., 8.375%, Due 3/15/2012 ....................... 350 390 Verizon Communications, Inc., 5.50%, Due 4/1/2017 ......................... 300 299 Vodafone Group plc, 6.15%, Due 2/27/2037 ........................ 300 296 ----------- 1,881 ----------- UTILITIES - 0.35% MidAmerican Energy Holdings Co., 6.125%, Due 4/1/2036 ........................ 350 356 ----------- TOTAL CORPORATE OBLIGATIONS ....................... 30,080 ----------- CONVERTIBLE OBLIGATIONS - 13.91% BANKS - 0.55% Bank of America Corp., 0.25%, Due 2/15/2012 ........................ 270 284 Wachovia Corp., 0.25%, Due 12/15/2010 ....................... 280 279 ----------- 563 ----------- COMMUNICATIONS - 1.47% Juniper Networks, Inc., Zero Coupon, Due 6/15/2008 ## + ............. 292 345 Liberty Media LLC, 0.75%, Due 3/30/2023 ........................ 505 612 Omnicom Group, Inc., Zero Coupon, Due 7/1/2038 ## + .............. 495 535 ----------- 1,492 ----------- CONSUMER DISCRETIONARY - 0.64% Carnival Corp., 2.00%, Due 4/15/2021 ........................ 510 645 ----------- ELECTRIC UTILITIES - 0.30% CenterPoint Energy, Inc., 3.75%, Due 5/15/2023 ........................ 185 309 ----------- ENERGY - 1.27% Cameron International Corp., 2.50%, Due 6/15/2026 + ...................... 275 317 Nabors Industries, Inc., Zero Coupon, Due 6/15/2023 ## + .............. 280 298 Schlumberger Ltd., 2.125%, Due 6/1/2023 ........................ 210 392 SESI LLC, 1.50%, Due 12/15/2026 ++ .................... 270 279 ----------- 1,286 -----------
See accompanying notes 65 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) FINANCE - 0.77% American Financial Group, Inc., 1.486%, Due 6/2/2033 ........................ $ 625 $ 387 Elf Special Financing Ltd., 5.705%, Due 6/15/2009 ++ # .................. 100 124 Lehman Brothers Holdings, Inc., 0.25%, Due 2/16/2012 ........................ 270 270 ----------- 781 ----------- HEALTH CARE - 0.29% Medtronic, Inc., 1.50%, Due 4/15/2011 + ...................... 280 296 ----------- INDUSTRIALS - 2.70% Alliant Techsystems, Inc., 2.75%, Due 9/15/2011 ++ ..................... 320 359 Danaher Corp., Zero Coupon, Due 1/22/2021 ## ............... 320 334 Fisher Scientific International, Inc., 3.25%, Due 3/1/2024 + ....................... 560 810 Lockheed Martin Corp., 5.11%, Due 8/15/2033 + # .................... 515 703 The Walt Disney Co., 2.125%, Due 4/15/2023 + ..................... 435 532 ----------- 2,738 ----------- INFORMATION TECHNOLOGY - 0.44% Electronic Data Systems Corp., 3.875%, Due 7/15/2023 + ..................... 425 442 ----------- INSURANCE - 0.93% Fortis Insurance NV, 7.75%, Due 1/26/2008 ++ ..................... 275 399 Prudential Financial, Inc., 2.60%, Due 11/15/2035 # ..................... 510 541 ----------- 940 ----------- PHARMACEUTICALS - 1.24% Charles River Laboratories International, Inc., 2.25%, Due 6/15/2013 + ...................... 273 312 Gilead Sciences, Inc., 0.50%, Due 5/1/2011 ++ ...................... 550 645 Mylan Laboratories, Inc., 1.25%, Due 3/15/2012 ........................ 270 296 ----------- 1,253 ----------- REAL ESTATE - 0.24% GSC Holdings Corp., 8.00%, Due 10/1/2012 ........................ 225 240 -----------
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) SERVICES - 0.65% priceline.com, Inc., 0.50%, Due 9/30/2011 + ++ ................... $ 160 $ 231 2.25%, Due 1/15/2025 + ...................... 140 218 Quanta Services, Inc., 3.75%, Due 4/30/2026 ++ ..................... 150 208 ----------- 657 ----------- TECHNOLOGY - 1.88% Cadence Design Systems, Inc., 1.375%, Due 12/15/2011 ++ ................... 305 357 DRS Technologies, Inc., 2.00%, Due 2/1/2026 ++ ...................... 255 263 EMC Corp., 1.75%, Due 12/1/2011 + ...................... 380 425 Intel Corp., 2.95%, Due 12/15/2035 ....................... 301 274 Linear Technology Corp., 3.00%, Due 5/1/2027 ++ ...................... 138 142 McDATA Corp., 2.25%, Due 2/15/2010 + ...................... 265 265 ON Semiconductor Corp., 2.625%, Due 12/15/2026 ++ ................... 140 175 ----------- 1,901 ----------- TELEPHONE - 0.54% NII Holdings, Inc., 2.75%, Due 8/15/2025 ++ ..................... 335 553 ----------- TOTAL CONVERTIBLE OBLIGATIONS ..................... 14,096 ----------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.54% COMMERCIAL MORTGAGE-BACKED SECURITY - 1.54% Banc of America Commercial Mortgage, Inc., 2005-6, 5.001%, Due 9/10/2047 ............... 663 660 JPMorgan Chase Commercial Mortgage Securities Corp., 2005-LDP3 A1, 4.655%, Due 8/15/2042 ......... 255 253 2005-LDP4 A1, 4.613%, Due 10/15/2042 ........ 202 200 LB-UBS Commercial Mortgage Trust, 2004-C1 A4, 5.424%, Due 2/15/2040 ........... 450 451 ----------- TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS ...... 1,564 ----------- ASSET-BACKED SECURITIES - 4.07% American Express Credit Account Master Trust, 2006-2 A, 5.35%, Due 1/15/2014 .............. 1,200 1,219 Capital Auto Receivables Asset Trust, 2006-SN1A A4A, 5.32%, Due 3/20/2010 ++ ...... 900 902 Capital One Multi-Asset Execution Trust, 2006-A10 A10, 5.15%, Due 6/15/2014 .......... 1,000 1,009
See accompanying notes 66 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Volkswagen Auto Loan Enhanced Trust, 2005-1 A4, 4.86%, Due 4/20/2012 ............. $ 1,000 $ 996 ----------- TOTAL ASSET-BACKED SECURITIES ..................... 4,126 ----------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 22.41% FEDERAL HOME LOAN MORTGAGE CORPORATION - 7.78% Pool # G11911, 5.00%, Due 2/1/2021 .......... 1,484 1,464 Pool # G12200, 4.50%, Due 4/1/2021 .......... 1,351 1,309 Pool # G12410, 5.00%, Due 5/1/2021 .......... 1,393 1,374 Pool # G12454, 5.50%, Due 11/1/2021 ......... 1,126 1,127 Pool # G08079, 5.00%, Due 9/1/2035 .......... 2,692 2,605 ----------- 7,879 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 11.91% Pool # 545759, 6.50%, Due 7/1/2032 .......... 539 556 Pool # 555531, 5.50%, Due 6/1/2033 .......... 1,139 1,129 Pool # 255225, 5.50%, Due 6/1/2034 .......... 584 579 Pool # 256022, 5.50%, Due 12/1/2035 ......... 2,678 2,651 Pool # 745275, 5.00%, Due 2/1/2036 .......... 2,742 2,652 Pool # 745418, 5.50%, Due 4/1/2036 .......... 2,708 2,681 Pool # 897820, 6.00%, Due 9/1/2036 .......... 1,812 1,826 ----------- 12,074 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.72% 2006-9 A, 4.201%, Due 8/16/2026 ............. 658 644 Pool # 781564, 6.00%, Due 2/15/2033 ......... 1,142 1,160 Pool # 781603, 5.00%, Due 5/15/2033 ......... 980 954 ----------- 2,758 ----------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS ..... 22,711 ----------- U.S. TREASURY OBLIGATIONS - 12.91% 7.875%, Due 2/15/2021 + ..................... 1,750 2,281 6.25%, Due 8/15/2023 + ...................... 650 750 6.875%, Due 8/15/2025 + ..................... 1,000 1,238 5.25%, Due 11/15/2028 + ..................... 1,150 1,206 5.375%, Due 2/15/2031 + ..................... 800 857 4.375%, Due 8/15/2012 + ..................... 500 497 4.00%, Due 2/15/2014 + ...................... 2,000 1,934 4.75%, Due 5/15/2014 + ...................... 1,550 1,567 4.875%, Due 8/15/2016 + ..................... 2,700 2,750 ----------- TOTAL U.S. TREASURY OBLIGATIONS ................... 13,080 -----------
SHARES ------------ SHORT TERM INVESTMENTS - 6.42% American Beacon Money Market Select Fund +++ ................................. 6,502,850 6,503 ----------- SECURITIES LENDING COLLATERAL - 25.39% American Beacon Cash Plus Trust +++ ....... 15,176,375 15,176
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) American Beacon Money Market Select Fund +++ ................................ $ 10,554,41 $ 10,555 ----------- TOTAL SECURITIES LENDING COLLATERAL ............... 25,731 ----------- TOTAL INVESTMENTS 124.64% - (COST $123,043) ....... 126,298 LIABILITIES, NET OF OTHER ASSETS - (24.64%) ....... (24,968) ----------- TOTAL NET ASSETS - 100.00% ........................ $ 101,330 ===========
See accompanying notes 67 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited) Percentages are stated as a percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2007. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $8,726 or 8.61% of net assets. The Fund has no right to demand registration of these securities. # The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due date on these types of securities reflects the final maturity date. +++ The Fund/Trust is affiliated by having the same investment advisor. See accompanying notes 68 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) CORPORATE OBLIGATIONS - 28.38% BANKS - 5.58% Banco Popular North America, Inc., 4.25%, Due 4/1/2008 ................................ $ 200 $ 197 Bank of America Corp., 5.375%, Due 8/15/2011 ....................... 385 389 7.80%, Due 9/15/2016 ........................ 400 468 Bank One Corp., 5.90%, Due 11/15/2011 ....................... 440 452 4.90%, Due 4/30/2015 ........................ 200 193 Citigroup, Inc., 5.125%, Due 2/14/2011 + ....... 1,000 1,002 Credit Suisse First Boston, 6.50%, Due 5/1/2008 ++ ............................. 350 353 ING Bank, NV, 5.125%, Due 5/1/2015 ++ .......... 250 246 JPMorgan Chase & Co., 6.75%, Due 2/1/2011 ...... 500 526 National City Bank, 4.50%, Due 3/15/2010 ....... 600 589 Synovus Financial Corp., 4.875%, Due 2/15/2013 ............................... 200 197 Wachovia Corp., 5.70%, Due 8/1/2013 + .......... 245 251 Washington Mutual Finance Corp., 6.875%, Due 5/15/2011 ............................... 230 245 Washington Mutual, Inc., 8.25%, Due 4/1/2010 ......................... 200 216 4.625%, Due 4/1/2014 + ...................... 350 327 ----------- 5,651 ----------- BASIC MATERIALS - 0.53% Alcoa, Inc., 5.90%, Due 2/1/2027 ............... 130 129 BHP Billiton Finance USA Ltd., 4.80%, Due 4/15/2013 ............................... 200 195 Weyerhaeuser Co., 5.95%, Due 11/1/2008 ......... 210 212 ----------- 536 ----------- COMMUNICATIONS - 1.31% Comcast Cable Communications Holdings, Inc., 8.375%, Due 3/15/2013 ....................... 350 401 Comcast Corp., 5.30%, Due 1/15/2014 + ...................... 220 218 5.875%, Due 2/15/2018 ....................... 135 136 Time Warner Cable, Inc., 5.85%, Due 5/1/2017 ++ .................................. 435 438 Time Warner, Inc., 6.50%, Due 11/15/2036 ....... 130 130 ----------- 1,323 ----------- CONSUMER DISCRETIONARY - 0.75% Costco Wholesale Corp., 5.50%, Due 3/15/2017 ... 245 247 Wal-Mart Stores, Inc., 4.55%, Due 5/1/2013 ......................... 280 272 7.55%, Due 2/15/2030 + ...................... 200 242 ----------- 761 ----------- ENERGY - 1.02% Apache Corp., 5.25%, Due 4/15/2013 ............. 190 190 Canadian Natural Resources Ltd., 5.70%, Due 5/15/2017 ........................ 140 140
See accompanying notes 69 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) 6.25%, Due 3/15/2038 ........................ $ 200 $ 199 EOG Resources, Inc., 4.75%, Due 3/15/2014 ++ ... 225 218 Pemex Project Funding Master Trust, 8.50%, Due 2/15/2008 + ............................. 275 281 ----------- 1,028 ----------- FINANCE - 4.07% American General Finance Corp., 5.375%, Due 9/1/2009 + ...................... 385 387 4.875%, Due 5/15/2010 ....................... 200 199 Ameriprise Financial, Inc., 5.35%, Due 11/15/2010 .............................. 335 338 The Bear Stearns Cos., Inc., 2.875%, Due 7/2/2008 ................................ 400 389 Capital One Financial Corp., 5.70%, Due 9/15/2011 ............................... 300 303 General Electric Capital Corp., 4.375%, Due 3/3/2012 ................................ 350 340 The Goldman Sachs Group, Inc., 4.75%, Due 7/15/2013 ............................... 250 242 Hartford Financial Services Group, Inc., 5.375%, Due 3/15/2017 ............................... 195 194 HSBC Finance Corp., 5.25%, Due 1/14/2011 + ..... 800 800 International Lease Finance Corp., 6.375%, Due 3/15/2009 + ............................. 250 256 Lehman Brothers Holdings, Inc., 4.25%, Due 1/27/2010 + ............................. 200 196 Merrill Lynch & Co., Inc., 5.45%, Due 7/15/2014 + ...................... 160 161 6.11%, Due 1/29/2037 ........................ 190 189 SLM Corp., 5.45%, Due 4/25/2011 + .............. 125 120 ----------- 4,114 ----------- INDUSTRIALS - 3.01% Caterpillar Financial Services Corp., 4.15%, Due 1/15/2010 + ............................. 200 196 CRH America, Inc., 6.00%, Due 9/30/2016 ........ 135 138 CSX Corp., 6.75%, Due 3/15/2011 ................ 190 199 DaimlerChrysler NA Holding Corp., 5.875%, Due 3/15/2011 + ..................... 200 204 5.75%, Due 9/8/2011 ......................... 200 203 John Deere Capital Corp., 4.125%, Due 1/15/2010 ....................... 500 488 5.40%, Due 10/17/2011 ....................... 235 238 Martin Marietta Materials, Inc., 6.90%, Due 8/15/2007 ............................... 300 301 Masco Corp., 6.125%, Due 10/3/2016 ............. 135 136 Nissan Motor Acceptance Corp., 5.625%, Due 3/14/2011 ++ ............................ 200 201 Norfolk Southern Corp., 8.625%, Due 5/15/2010 .. 190 208 Union Pacific Corp., 3.875%, Due 2/15/2009 ....................... 335 328 6.50%, Due 4/15/2012 ........................ 200 210 ----------- 3,050 ----------- INSURANCE - 3.02% Aegon Funding Corp., 5.75%, Due 12/15/2020 ..... 200 204 American International Group, Inc., 6.25%, Due 5/1/2036 ................................ 200 212 ASIF Global Financing, 3.90%, Due 10/22/2008 ++ ........................... 300 294 The Hartford Financial Services Group, Inc., 5.25%, Due 10/15/2011 ....................... 450 452
See accompanying notes 70 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) John Hancock Global Funding II, 7.90%, Due 7/2/2010 ++ ............................. $ 500 $ 540 Lincoln National Corp., 4.75%, Due 2/15/2014 ... 100 96 MetLife, Inc., 5.375%, Due 12/15/2012 + .................... 240 243 5.00%, Due 6/15/2015 ........................ 170 166 Metropolitan Life Global Funding I, 4.625%, Due 8/19/2010 ++ ............................ 300 298 Prudential Financial, Inc., 4.50%, Due 7/15/2013 ........................ 225 217 5.10%, Due 9/20/2014 + ...................... 210 207 Willis North America, Inc., 6.20%, Due 3/28/2017 ............................... 130 130 ----------- 3,059 ----------- PHARMACEUTICALS - 1.04% Abbott Laboratories, 5.60%, Due 5/15/2011 ...... 170 173 Amgen, Inc., 4.00%, Due 11/18/2009 ............. 210 205 Hospira, Inc., 6.05%, Due 3/30/2017 ............ 130 131 Schering-Plough Corp., 6.75%, Due 12/1/2033 + ................................. 185 207 Wyeth Corp., 5.50%, Due 2/1/2014 ............... 335 339 ----------- 1,055 ----------- REAL ESTATE - 1.66% Equity Residential, 5.125%, Due 3/15/2016 ...... 185 181 iStar Financial, Inc., 5.85%, Due 3/15/2017 + .. 300 299 ProLogis, 5.50%, Due 4/1/2012 ......................... 200 202 5.625%, Due 11/15/2016 + .................... 200 202 ProLogis Trust, 7.10%, Due 4/15/2008 ........... 220 222 Simon Property Group LP, 6.375%, Due 11/15/2007 ...................... 200 201 5.375%, Due 6/1/2011 ........................ 200 202 5.75%, Due 12/1/2015 ........................ 170 173 ----------- 1,682 ----------- TECHNOLOGY - 0.69% Cisco Systems, Inc., 5.25%, Due 2/22/2011 ........................ 425 428 5.50%, Due 2/22/2016 ........................ 270 272 ----------- 700 ----------- TELEPHONE - 2.79% America Movil, S.A. de C.V., 6.375%, Due 3/1/2035 ................................ 295 298 AT&T, Inc., 5.10%, Due 9/15/2014 ........................ 220 216 5.625%, Due 6/15/2016 + ..................... 395 398 6.80%, Due 5/15/2036 + ...................... 100 109 Cingular Wireless Services, Inc., 8.75%, Due 3/1/2031 ................................ 170 222 Deutsche Telekom AG, 8.00%, Due 6/15/2010 ...... 150 162 Nextel Communications, Inc., 6.875%, Due 10/31/2013 .............................. 290 298 Sprint Capital Corp., 8.375%, Due 3/15/2012 .... 200 223
See accompanying notes 71 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Telecom Italia S.p.A., 4.00%, Due 11/15/2008 ... $ 220 $ 216 Telefonica Emisiones SAU, 5.984%, Due 6/20/2011 + ............................. 160 164 Verizon Communications, Inc., 5.50%, Due 4/1/2017 + .............................. 200 199 Vodafone Group plc, 6.15%, Due 2/27/2037 ....... 320 316 ----------- 2,821 ----------- UTILITIES - 2.91% Columbus Southern Power Co., 5.50%, Due 3/1/2013 ................................ 320 322 Dominion Resources, Inc., Series A, 5.60%, Due 11/15/2016 .............................. 135 135 Duke Energy Indiana, Inc., 6.05%, Due 6/15/2016 + ............................. 205 212 FPL Group Capital, Inc., 5.625%, Due 9/1/2011 + .................................. 390 397 MidAmerican Energy Holdings Co., 5.875%, Due 10/1/2012 + ..................... 405 418 6.125%, Due 4/1/2036 ........................ 200 203 Public Service Enterprise Group, Inc., 6.95%, Due 6/1/2012 ................................ 355 380 Puget Sound Energy, Inc., 6.274%, Due 3/15/2037 ............................... 160 164 Southern Power Co., 6.25%, Due 7/15/2012 ....... 270 282 Xcel Energy, Inc., 5.613%, Due 4/1/2017 ++ ..... 431 431 ----------- 2,944 ----------- TOTAL CORPORATE OBLIGATIONS .................... 28,724 ----------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 6.63% Banc of America Commercial Mortgage, Inc., 2005-6, 5.001%, Due 9/10/2047 ............... 331 330 Banc of America Mortgage Securities, Inc., 2004-8 3A1, 5.25%, Due 10/25/2019 ........... 667 664 Bear Stearns Commercial Mortgage Securities, Inc., 2006-T22 A2, 5.633%, Due 4/12/2038 .......... 265 268 2006-PW13 A4, 5.54%, Due 9/11/2041 .......... 95 96 2004-PWR5 A4, 4.831%, Due 7/11/2042 ......... 535 524 2005-T20 A2, 5.127%, Due 10/12/2042 ......... 430 429 Chase Mortgage Finance Corp., 2006A1 A1, 6.06%, Due 9/25/2036 # ............................. 1,199 1,203 Chase Mortgage Financial Trust, 2004-S1 A3, 5.50%, Due 2/25/2019 ........................ 266 265 Citigroup Commercial Mortgage Trust, 2004-C2 A3, 4.38%, Due 10/15/2041 ....................... 470 456 General Electric Capital Commercial Mortgage Corp., 2003-C2 A2, 4.17%, Due 7/10/2037 ..... 312 307 JP Morgan Chase Commercial Mortgage Securities Corp., 2004-CBX A4, 4.529%, Due 1/12/2037 .......... 255 249 2005-LDP1 A2, 4.625%, Due 3/15/2046 ......... 505 498 JPMorgan Chase Commercial Mortgage Securities Corp., 2005-LDP3 A1, 4.655%, Due 8/15/2042 ......... 146 144 2005-LDP4 A1, 4.613%, Due 10/15/2042 ........ 116 114 LB-UBS Commercial Mortgage Trust, 2004-C1 A4, 5.424%, Due 2/15/2040 ....................... 300 301 Prime Mortgage Trust, 2005-2, 5.25%, Due 7/25/2020 ............................... 452 451 Wells Fargo Mortgage Backed Securities Trust, 2006-11 A8, 6.00%, Due 9/25/2036 ............ 413 415 ----------- TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS ... 6,714 ----------- ASSET-BACKED SECURITIES - 2.44% American Express Credit Account Master Trust, 2006-2 A, 5.35%, Due 1/15/2014 .............. 800 813
See accompanying notes 72 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Capital Auto Receivables Asset Trust, 2006-SN1A A4A, 5.32%, Due 3/20/2010 ++ ................ $ 600 $ 601 Capital One Multi-Asset Execution Trust, 2006-A10 A10, 5.15%, Due 6/15/2014 .......... 550 555 Volkswagen Auto Loan Enhanced Trust, 2005-1 A4, 4.86%, Due 4/20/2012 ........................ 500 498 ----------- TOTAL ASSET-BACKED SECURITIES .................. 2,467 ----------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 30.02% FEDERAL HOME LOAN MORTGAGE CORPORATION - 10.43% Pool # G11295, 5.50%, Due 9/1/2017 .......... 242 243 Pool # E01602, 4.50%, Due 3/1/2019 .......... 666 646 Pool # G11879, 5.00%, Due 10/1/2020 ......... 665 656 Pool # G12486, 5.00%, Due 7/1/2021 .......... 578 570 Pool # G12454, 5.50%, Due 11/1/2021 ......... 469 470 Pool # G12603, 5.50%, Due 4/1/2022 .......... 50 50 Pool # C00647, 6.50%, Due 9/1/2028 .......... 97 100 Pool # G01457, 6.00%, Due 8/1/2029 .......... 335 340 Pool # C01598, 5.00%, Due 8/1/2033 .......... 822 796 Pool # G08006, 6.00%, Due 8/1/2034 .......... 590 597 Pool # A30948, 5.50%, Due 1/1/2035 .......... 915 907 Pool # G01824, 6.50%, Due 4/1/2035 .......... 51 53 Pool # A45500, 5.50%, Due 6/1/2035 .......... 928 919 Pool # G08072, 5.00%, Due 8/1/2035 .......... 539 522 Pool # G08079, 5.00%, Due 9/1/2035 .......... 449 434 Pool # A54039, 6.00%, Due 11/1/2036 ......... 929 937 Pool # 1G1389, 5.897%, Due 12/1/2036 # ...... 632 638 Pool # 1B3208, 5.861%, Due 1/1/2037 # ....... 793 801 Pool # 1B3314, 5.791%, Due 3/1/2037 # ....... 564 569 Pool # 1G1916, 5.267%, Due 4/1/2037 # ....... 310 309 ----------- 10,557 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 17.35% Pool # 488099, 5.50%, Due 2/1/2014 .......... 326 327 Pool # 545449, 6.50%, Due 2/1/2017 .......... 312 320 Pool # 545823, 5.50%, Due 8/1/2017 .......... 415 417 Pool # 254545, 5.00%, Due 12/1/2017 ......... 1,053 1,041 Pool # 254865, 4.50%, Due 9/1/2018 .......... 704 683 Pool # 747824, 5.50%, Due 11/1/2018 ......... 191 192 Pool # 747844, 5.50%, Due 12/1/2018 ......... 176 176 Pool # 811383, 5.00%, Due 3/1/2020 .......... 235 232 Pool # 837219, 4.00%, Due 8/1/2020 .......... 513 485 Pool # 745562, 5.50%, Due 4/1/2021 .......... 21 21 Pool # 555880, 5.50%, Due 11/1/2033 ......... 1,075 1,066 Pool # 725238, 5.00%, Due 3/1/2034 .......... 1,035 1,002 Pool # 725866, 4.50%, Due 9/1/2034 .......... 568 535 Pool # 735224, 5.50%, Due 2/1/2035 .......... 1,308 1,297 Pool # 844809, 5.00%, Due 11/1/2035 ......... 915 885
See accompanying notes 73 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) Pool # 850280, 5.50%, Due 12/1/2035 ......... $ 466 $ 461 Pool # 849299, 5.50%, Due 1/1/2036 .......... 853 845 Pool # 866593, 5.50%, Due 1/1/2036 .......... 851 842 Pool # 879518, 5.50%, Due 3/1/2036 .......... 711 704 Pool # 745418, 5.50%, Due 4/1/2036 .......... 903 894 Pool # 868495, 6.50%, Due 4/1/2036 .......... 316 322 Pool # 872306, 6.50%, Due 5/1/2036 .......... 321 328 Pool # 884032, 6.50%, Due 5/1/2036 .......... 1,025 1,047 Pool # 745822, 6.00%, Due 9/1/2036 .......... 555 559 Pool # 893688, 6.00%, Due 10/1/2036 ......... 9 9 Pool # 898307, 6.00%, Due 11/1/2036 ......... 873 880 Pool # 905058, 6.00%, Due 11/1/2036 ......... 867 874 Pool # 902784, 6.00%, Due 12/1/2036 ......... 866 873 5.00%, Due TBA .............................. 255 246 ----------- 17,563 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.24% 2006-9 A, 4.201%, Due 8/16/2026 ............. 376 368 Pool # 780747, 6.50%, Due 3/15/2028 ......... 557 576 Pool # 781273, 6.00%, Due 4/15/2031 ......... 646 657 Pool # 003515, 5.50%, Due 2/20/2034 ......... 670 666 ----------- 2,267 ----------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS .. 30,387 ----------- U.S. AGENCY OBLIGATIONS - 3.67% FEDERAL HOME LOAN BANK - 1.24% 5.00%, Due 10/16/2009 + ..................... 1,005 1,003 5.25%, Due 11/3/2009 ........................ 250 251 ----------- 1,254 ----------- FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.89% Federal Home Loan Mortgage Corp., 5.191%, Due 5/14/2007 + @ ..................... 255 254 5.25%, Due 2/24/2011 + ...................... 1,260 1,263 5.875%, Due 3/21/2011 ....................... 380 394 ----------- 1,911 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.54% 5.125%, Due 1/2/2014 ........................ 545 547 ----------- TOTAL U.S. AGENCY OBLIGATIONS .................. 3,712 ----------- U.S. TREASURY OBLIGATIONS - 24.98% 4.875%, Due 8/15/2009 + ..................... 725 730 3.50%, Due 11/15/2009 + ..................... 1,000 975 3.875%, Due 5/15/2010 + ..................... 1,200 1,178 4.875%, Due 4/30/2011 + ..................... 1,700 1,722 4.625%, Due 2/29/2012 + ..................... 1,535 1,542 4.50%, Due 3/31/2012 + ...................... 365 365 4.375%, Due 8/15/2012 + ..................... 2,100 2,089 4.75%, Due 5/15/2014 + ...................... 5,770 5,832
See accompanying notes 74 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) 4.125%, Due 5/15/2015 + ........................ $ 1,000 $ 968 4.875%, Due 8/15/2016 + ........................ 1,000 1,018 4.625%, Due 2/15/2017 + ........................ 3,015 3,014 9.125%, Due 5/15/2018 + ........................ 300 413 7.875%, Due 2/15/2021 + ........................ 750 978 6.25%, Due 8/15/2023 + ......................... 650 749 6.875%, Due 8/15/2025 + ........................ 370 458 5.25%, Due 11/15/2028 + ........................ 550 577 6.25%, Due 5/15/2030 + ......................... 750 893 4.50%, Due 2/15/2036 + ......................... 1,875 1,778 ----------- TOTAL U.S. TREASURY OBLIGATIONS ................... 25,279 -----------
SHARES ------------ SHORT TERM INVESTMENTS - 3.22% American Beacon Money Market Select Fund @@ .... 3,262,543 3,262 ----------- SECURITIES LENDING COLLATERAL - 25.50% American Beacon Cash Plus Trust @@ ............. 15,220,090 15,220 American Beacon Money Market Select Fund @@ .... 10,584,815 10,585 ----------- TOTAL SECURITIES LENDING COLLATERAL ............ 25,805 ----------- TOTAL INVESTMENTS - 124.84% (COST $126,582) ....... $ 126,350 LIABILITIES, NET OF OTHER ASSETS - (24.84%) ....... (25,143) ----------- TOTAL NET ASSETS - 100.00% ........................ $ 101,207 ===========
Percentages are stated as a percent of net assets. + All or a portion of this security is on loan at April 30, 2007. ++ 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 $3,620 or 3.58% of net assets. The Fund has no right to demand registration of these securities. # The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due date on these types of securities reflects the final maturity date. @ Rates represent discount rate. @@ The Fund/Trust is affiliated by having the same investment advisor. See accompanying notes 75 AMERICAN BEACON SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) CORPORATE OBLIGATIONS - 65.18% BANKS - 18.74% Bank One Corp., 6.00%, Due 8/1/2008 ............ $ 2,000 $ 2,015 Citigroup, Inc., 4.125%, Due 2/22/2010 ....................... 1,000 978 4.625%, Due 8/3/2010 + ...................... 1,000 989 Comerica Bank, 6.00%, Due 10/1/2008 ............ 2,200 2,221 HSBC Bank USA NA, 3.875%, Due 9/15/2009 ........ 2,000 1,946 National City Bank, 4.50%, Due 3/15/2010 ....... 2,000 1,962 National Westminster Bank plc, 7.375%, Due 10/1/2009 ................................... 2,000 2,098 Wachovia Corp., 6.40%, Due 4/1/2008 ............ 2,500 2,521 Washington Mutual, Inc., 8.25%, Due 4/1/2010 ... 2,000 2,159 ----------- 16,889 ----------- COMMUNICATIONS - 2.25% Comcast Cable Communications, Inc., 6.20%, Due 11/15/2008 .................................. 2,000 2,029 ----------- ELECTRIC/GAS - 2.18% MidAmerican Energy Holdings Co., 3.50%, Due 5/15/2008 ................................... 2,000 1,964 ----------- FINANCE - 19.78% The Bear Stearns Cos., Inc., 2.875%, Due 7/2/2008 .................................... 2,000 1,946 Capital One Financial Corp., 5.70%, Due 9/15/2011 ................................... 1,500 1,513 Countrywide Home Loans, Inc., 3.25%, Due 5/21/2008 ................................... 2,000 1,955 Credit Suisse USA, Inc., 4.70%, Due 6/1/2009 + .................................. 2,000 1,990 General Electric Capital Corp., 5.875%, Due 2/15/2012 ................................... 3,000 3,095 Goldman Sachs Group, Inc., 6.65%, Due 5/15/2009 .................................. 1,000 1,030 Lehman Brothers Holdings, Inc., 4.25%, Due 1/27/2010 + ................................. 1,600 1,570 MBNA Corp., 7.50%, Due 3/15/2012 ............... 2,000 2,200 Merrill Lynch & Co., Inc., 6.00%, Due 2/17/2009 ................................... 2,500 2,536 ----------- 17,835 ----------- INDUSTRIALS - 8.19% Bunge Limited Finance Corp., 4.375%, Due 12/15/2008 .................................. 1,000 985 Caterpillar Financial Services Corp., 4.15%, Due 1/15/2010 ................................... 2,000 1,957 DaimlerChrysler NA Holding Corp., 5.75%, Due 9/8/2011 .................................... 1,000 1,015 John Deere Capital Corp., 4.125%, Due 1/15/2010 ................................... 2,500 2,442 Nissan Motor Acceptance Corp., 4.625%, Due 3/8/2010 ++ ................................. 1,000 980 ----------- 7,379 ----------- INSURANCE - 7.33% ASIF Global Financing, 3.90%, Due 10/22/2008 ++ ............................... 2,000 1,963 The Hartford Financial Services Group, Inc., 5.25%, Due 10/15/2011 ....................... 700 703 ING Security Life Institutional Funding, 4.25%, Due 1/15/2010 ++ ............................ 1,500 1,469 Metropolitan Life Global Funding I, 4.625%, Due 8/19/2010 ++ ................................ 1,500 1,488 Monumental Global Funding II, 4.625%, Due 3/15/2010 ++ ................................ 1,000 988 ----------- 6,611 -----------
See accompanying notes 76 AMERICAN BEACON SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
PAR AMOUNT VALUE ------------ ----------- (DOLLARS IN THOUSANDS) REAL ESTATE - 3.34% iStar Financial, Inc., 5.375%, Due 4/15/2010 ... $ 1,000 $ 999 Simon Property Group LP, 6.375%, Due 11/15/2007 .................................. 2,000 2,009 ----------- 3,008 ----------- TELEPHONE - 3.37% AT&T Corp., 6.00%, Due 3/15/2009 ............... 2,000 2,028 Vodafone Group plc, 5.50%, Due 6/15/2011 + ..... 1,000 1,011 ----------- 3,039 ----------- TOTAL CORPORATE OBLIGATIONS .................... 58,754 ----------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.66% Banc of America Commercial Mortgage, Inc., 2005-6, 5.001%, Due 9/10/2047 ............... 663 661 Wachovia Bank Commercial Mortgage Trust, 2006-C23 A1, 5.203%, Due 1/15/2045 .......... 840 838 ----------- TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS ... 1,499 ----------- ASSET-BACKED SECURITIES - 19.45% Banc of America Securities Auto Trust, 2005-WF1 A4, 4.08%, Due 4/18/2010 .................... 3,000 2,962 Capital Auto Receivables Asset Trust, 2006-SN1A A4A, 5.32%, Due 3/20/2010 ++ ...... 2,000 2,004 2006-1 A4, 5.04%, Due 5/17/2010 ............. 250 250 CarMax Auto Owner Trust, 2005-3 A4, 4.91%, Due 1/18/2011 ................................... 1,200 1,196 Chase Manhattan Auto Owner Trust, 2006-A A4, 5.36%, Due 1/15/2013 ........................ 2,000 2,014 DaimlerChrysler Auto Trust, 2004-C A4, 3.28%, Due 12/8/2009 ............................... 3,000 2,958 HSBC Automotive Trust, 2005-1 A4, 4.35%, Due 6/18/2012 ................................... 3,000 2,961 Volkswagen Auto Loan Enhanced Trust, 2005-1 A4, 4.86%, Due 4/20/2012 ........................ 1,500 1,495 Wells Fargo Financial Auto Owner Trust, 2004-A A4, 2.67%, Due 8/16/2010 .................... 1,708 1,689 ----------- TOTAL ASSET-BACKED SECURITIES .................. 17,529 ----------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 4.01% FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.91% Pool # 313522, 7.00%, Due 5/1/2012 ............. 272 279 Pool # 323980, 6.00%, Due 4/1/2014 ............. 296 301 Pool # 545038, 6.00%, Due 9/1/2014 ............. 241 245 ----------- 825 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 3.10% 2006-18 A, 4.968%, Due 9/15/2008 ............... 958 952 2006-9 A, 4.201%, Due 8/16/2026 ................ 1,879 1,840 ----------- 2,792 ----------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS ..... 3,617 -----------
SHARES ------------ SHORT TERM INVESTMENTS - 8.63% American Beacon Money Market Select Fund # ..... 7,778,061 7,778 -----------
See accompanying notes 77 AMERICAN BEACON SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2007 (Unaudited)
SHARES VALUE ------------ ----------- (DOLLARS IN THOUSANDS) SECURITIES LENDING COLLATERAL - 3.90% American Beacon Cash Plus Trust # .............. $ 2,075,446 $ 2,076 American Beacon Money Market Select Fund # ..... 1,443,369 1,443 ----------- TOTAL SECURITIES LENDING COLLATERAL ............ 3,519 ----------- TOTAL INVESTMENTS - 102.83% (COST $92,787) ........ $ 92,696 LIABILITIES, NET OF OTHER ASSETS - (2.83%) ........ (2,550) ----------- TOTAL NET ASSETS - 100.00% ........................ $ 90,146 ===========
Percentages are stated as a percent of net assets. + All or a portion of this security is on loan at April 30, 2007. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $8,892 or 9.86% of net assets. The Fund has no right to demand registration of these securities. # The Fund/Trust is affiliated by having the same investment advisor. See accompanying notes 78 (This page intentionally left blank) AMERICAN BEACON FUNDS STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2007 (UNAUDITED) (IN THOUSANDS EXCEPT SHARE AND PER SHARE AMOUNTS)
BALANCED LARGE CAP MID-CAP FUND GROWTH FUND VALUE FUND ----------- ----------- ---------- ASSETS: Investments in unaffiliated securities, at value A D ......................................... $ 1,035,995 $ 101,270 $ 137,083 Investments in affiliated securities, at value B ........................................... 277,318 19,195 44,737 Foreign currency, at value C ................... -- -- -- Cash ........................................... -- 9 -- Receivable for investments sold ................ 541 -- 203 Dividends and interest receivable .............. 4,936 69 148 Receivable for fund shares sold ................ 971 354 576 Receivable for tax reclaims .................... -- -- -- Receivable for expense reimbursement ........... -- -- 3 Prepaid Expenses ............................... 37 1 18 ----------- ----------- ---------- TOTAL ASSETS ................................ 1,319,798 120,898 182,768 ----------- ----------- ---------- LIABILITIES: Payable for investments purchased .............. 1,683 -- -- Payable upon return of securities loaned ....... 205,691 13,393 27,080 Payable for fund shares redeemed ............... 284 4,101 4,260 Payable for variation margin on open futures contracts ................................... 658 56 274 Dividends payable .............................. -- -- -- Payable under excess expense reimbursement plan ........................................ 2 -- 15 Management and investment advisory fees payable (Note 2) .................................... 694 139 298 Administrative service and service fees payable ..................................... 80 -- 13 Net unrealized depreciation on foreign currency contracts ................................... -- -- -- Other liabilities .............................. 132 32 28 ----------- ----------- ---------- TOTAL LIABILITIES ........................... 209,224 17,721 31,968 ----------- ----------- ---------- NET ASSETS ........................................ $ 1,110,574 $ 103,177 $ 150,800 =========== =========== ========== ANALYSIS OF NET ASSETS: Paid-in-capital ................................... 905,612 94,066 133,979 Undistributed net investment income ............... 8,276 209 699 Accumulated net realized gain (loss) .............. 16,158 (1,442) 2,648 Unrealized appreciation (depreciation) of investments, futures contracts, and foreign currency .................................... 180,528 10,344 13,474 ----------- ----------- ---------- NET ASSETS ........................................ $ 1,110,574 $ 103,177 $ 150,800 =========== =========== ========== Shares outstanding (no par value): Institutional Class ............................ 3,379,510 15,860 468,583 =========== =========== ========== PlanAhead Class ................................ 11,497,747 N/A 2,890,938 =========== =========== ========== Service Class .................................. 302,620 N/A N/A =========== =========== ========== AMR Class ...................................... 57,812,282 14,097,190 9,629,984 =========== =========== ========== Net asset value, offering and redemption price per share: Institutional Class ............................ $ 15.86 $ 7.27 $ 11.58 =========== =========== ========== PlanAhead Class ................................ $ 14.89 N/A $ 11.54 =========== =========== ========== Service Class .................................. $ 14.76 N/A N/A =========== =========== ========== AMR Class ...................................... $ 15.24 $ 7.31 $ 11.63 =========== =========== ========== A Cost of investments in unaffiliated securities .. $ 858,172 $ 91,137 $ 124,031 B Cost of investments in affiliated securities .... $ 277,318 $ 19,195 $ 44,737 C Cost of foreign currency ........................ $ -- $ -- $ -- D Market value of securities on loan .............. $ 219,918 $ 12,977 $ 26,811
See accompanying notes 80
SMALL CAP VALUE EMERGING ENHANCED OPPORTUNITY MARKETS HIGH YIELD INCOME INTERMEDIATE SHORT-TERM FUND FUND BOND FUND FUND BOND FUND BOND FUND ----------- ---------- ----------- ---------- ------------ ---------- ASSETS: Investments in unaffiliated securities, at value A D ......................................... $ 9,093 $ 181,340 $ 358,669 $ 94,064 $ 97,283 $ 81,399 Investments in affiliated securities, at value B ........................................... 2,308 25,350 19,795 32,234 29,067 11,297 Foreign currency, at value C ................... -- 2,115 -- -- -- -- Cash ........................................... -- -- 7 -- -- -- Receivable for investments sold ................ -- 729 1,011 -- -- -- Dividends and interest receivable .............. 6 365 7,334 796 966 751 Receivable for fund shares sold ................ -- 289 741 193 92 227 Receivable for tax reclaims .................... -- 7 -- -- -- -- Receivable for expense reimbursement ........... 3 -- -- -- -- 1 Prepaid Expenses ............................... 5 65 19 12 10 15 -------- ---------- ----------- ---------- ----------- ---------- TOTAL ASSETS ................................ 11,415 210,260 387,576 127,299 127,418 93,690 -------- ---------- ----------- ---------- ----------- ---------- LIABILITIES: Payable for investments purchased .............. -- 1,292 2,975 -- 245 -- Payable upon return of securities loaned ....... 2,264 18,227 19,517 25,731 25,805 3,519 Payable for fund shares redeemed ............... 8 2,011 5,089 71 129 -- Payable for variation margin on open futures contracts ................................... -- 88 -- -- -- -- Dividends payable .............................. -- -- 371 -- -- -- Payable under excess expense reimbursement plan ........................................ -- 8 3 -- -- -- Management and investment advisory fees payable (Note 2) .................................... 13 453 503 94 21 19 Administrative service and service fees payable ..................................... 2 6 79 39 -- 4 Net unrealized depreciation on foreign currency contracts ................................... -- 65 -- -- -- -- Other liabilities .............................. 7 28 60 34 11 2 -------- ---------- ----------- ---------- ----------- ---------- TOTAL LIABILITIES ........................... 2,294 22,178 28,597 25,969 26,211 3,544 -------- ---------- ----------- ---------- ----------- ---------- NET ASSETS ........................................ $ 9,121 $ 188,082 $ 358,979 $ 101,330 $ 101,207 $ 90,146 ======== ========== =========== ========== =========== ========== ANALYSIS OF NET ASSETS: Paid-in-capital ................................... 8,529 122,718 353,540 96,605 109,583 99,141 Undistributed net investment income ............... 12 642 530 305 500 (170) Accumulated net realized gain (loss) .............. 36 15,479 (2,371) 1,164 (8,644) (8,734) Unrealized appreciation (depreciation) of investments, futures contracts, and foreign currency .................................... 544 49,243 7,280 3,256 (232) (91) -------- ---------- ----------- ---------- ----------- ---------- NET ASSETS ........................................ $ 9,121 $ 188,082 $ 358,979 $ 101,330 $ 101,207 $ 90,146 ======== ========== =========== ========== =========== ========== Shares outstanding (no par value): Institutional Class ............................ 791,870 965,311 26,753,839 N/A 10,038,495 9,591,203 ======== ========== =========== ========== =========== ========== PlanAhead Class ................................ 37,764 418,285 7,613,083 9,786,220 N/A 654,965 ======== ========== =========== ========== =========== ========== Service Class .................................. N/A N/A N/A N/A N/A N/A ======== ========== =========== ========== =========== ========== AMR Class ...................................... N/A 9,061,045 N/A N/A N/A N/A ======== ========== =========== ========== =========== ========== Net asset value, offering and redemption price per share: Institutional Class ............................ $ 11.00 $ 17.92 $ 10.44 N/A $ 10.08 $ 8.80 ======== ========== =========== ========== =========== ========== PlanAhead Class ................................ $ 10.94 $ 17.73 $ 10.45 $ 10.35 N/A $ 8.81 ======== ========== =========== ========== =========== ========== Service Class .................................. N/A N/A N/A N/A N/A N/A ======== ========== =========== ========== =========== ========== AMR Class ...................................... N/A $ 18.03 N/A N/A N/A N/A ======== ========== =========== ========== =========== ========== A Cost of investments in unaffiliated securities .. $ 8,549 $ 132,321 $ 351,388 $ 90,809 $ 97,515 $ 81,490 B Cost of investments in affiliated securities .... $ 2,308 $ 25,350 $ 19,795 $ 32,234 $ 29,067 $ 11,297 C Cost of foreign currency ........................ $ -- $ 2,112 $ 0 $ -- $ -- $ -- D Market value of securities on loan .............. $ 2,176 $ 17,514 $ 18,950 $ 25,197 $ 25,396 $ 3,456
See accompanying notes 81 AMERICAN BEACON FUNDS STATEMENTS OF OPERATIONS SIX MONTHS ENDED APRIL 30, 2007 (IN THOUSANDS) (UNAUDITED)
LARGE CAP MID-CAP BALANCED GROWTH VALUE FUND FUND FUND -------- --------- ------- INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes) A ....... $ 6,622 $ 570 $ 1,009 Dividend income from affiliated securities ... 1,907 160 389 Interest income .............................. 9,103 10 30 Income derived from securities lending, net .. 137 7 12 ------- ------ ------- TOTAL INVESTMENT INCOME ................ 17,769 747 1,440 ------- ------ ------- EXPENSES: Management and investment advisory fees (Note 2) .................................. 1,385 241 440 Administrative service fees (Note 2): Institutional Class ....................... 50 -- 5 PlanAhead Class ........................... 167 -- 38 Service Class ............................. 4 -- -- Transfer agent fees: Institutional Class ....................... 1 -- -- PlanAhead Class ........................... 14 -- 3 AMR Class ................................. 30 4 3 Custody and fund accounting fees ............. 58 5 7 Professional fees ............................ 18 13 14 Registration fees and expenses ............... 22 -- 18 Service fees: PlanAhead Class ........................... 167 -- 38 Service Class ............................. 4 -- -- Distribution fees- Service Class (Note 2) .... 4 -- -- Prospectus and shareholder reports ........... 26 7 5 Other expenses ............................... 56 8 10 ------- ------ ------- TOTAL EXPENSES ......................... 2,006 278 581 ------- ------ ------- Net (fees waived and expenses reimbursed)/recouped by Manager (Note 2) .. 1 -- (16) ------- ------ ------- NET EXPENSES ........................... 2,007 278 565 ------- ------ ------- NET INVESTMENT INCOME ........................... 15,762 469 875 ------- ------ ------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain from: B Investments ............................... 19,818 2,200 2,163 Commission recapture ...................... 10 13 22 Foreign currency transactions ............. -- -- -- Futures contracts ......................... 3,083 206 1,568 Change in net unrealized appreciation or depreciation of: C Investments ............................... 39,143 2,752 7,592 Foreign currency translations ............. -- -- -- Futures contracts ......................... 63 158 (90) ------- ------ ------- NET GAIN ON INVESTMENTS ................ 62,117 5,329 11,255 ------- ------ ------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................................... $77,879 $5,798 $12,130 ======= ====== ======= A Foreign taxes ................................. $ 7 $ -- $ 3 B Net of foreign withholding taxes on capital gains ........................................ $ -- $ -- $ -- C Net of unrealized appreciation of foreign withholding taxes on capital gains ........... $ -- $ -- $ --
See accompanying notes 82
SMALL CAP HIGH VALUE EMERGING YIELD ENHANCED OPPORTUNITY MARKETS BOND INCOME INTERMEDIATE SHORT-TERM FUND FUND FUND FUND BOND FUND BOND FUND ----------- -------- ------- -------- ------------ ---------- INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes) A ....... $ 58 $ 1,646 $ -- $ 121 $ -- $ -- Dividend income from affiliated securities ... 3 196 499 90 82 133 Interest income .............................. -- 15 13,682 2,240 2,407 1,825 Income derived from securities lending, net .. 1 32 32 11 16 1 ----- ------- ------- ------ ------ ------ TOTAL INVESTMENT INCOME ................ 62 1,889 14,213 2,462 2,505 1,959 ----- ------- ------- ------ ------ ------ EXPENSES: Management and investment advisory fees (Note 2) .................................. 20 731 870 192 122 105 Administrative service fees (Note 2): Institutional Class ....................... 9 22 318 -- -- -- PlanAhead Class ........................... -- 9 97 135 1 9 Service Class ............................. -- -- -- -- -- -- Transfer agent fees: Institutional Class ....................... -- 3 36 -- 3 2 PlanAhead Class ........................... -- 4 -- 4 1 3 AMR Class ................................. -- 5 -- -- -- -- Custody and fund accounting fees ............. -- 289 25 8 7 6 Professional fees ............................ 8 12 13 12 11 11 Registration fees and expenses ............... 17 12 22 8 15 13 Service fees: PlanAhead Class ........................... -- 8 97 135 1 9 Service Class ............................. -- -- -- -- -- -- Distribution fees- Service Class (Note 2) .... -- -- -- -- -- -- Prospectus and shareholder reports ........... 1 11 13 3 4 5 Other expenses ............................... 4 13 14 11 4 4 ----- ------- ------- ------ ------ ------ TOTAL EXPENSES ......................... 59 1,119 1,505 508 169 167 ----- ------- ------- ------ ------ ------ Net (fees waived and expenses reimbursed)/recouped by Manager (Note 2) .. (20) -- (23) -- (1) (2) ----- ------- ------- ------ ------ ------ NET EXPENSES ........................... 39 1,119 1,482 508 168 165 ----- ------- ------- ------ ------ ------ NET INVESTMENT INCOME ........................... 23 770 12,731 1,954 2,337 1,794 ----- ------- ------- ------ ------ ------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain from: B Investments ............................... 35 15,889 1,377 1,718 505 333 Commission recapture ...................... 1 -- -- -- -- -- Foreign currency transactions ............. -- 558 -- -- -- -- Futures contracts ......................... -- 453 -- -- -- -- Change in net unrealized appreciation or depreciation of: C Investments ............................... 394 11,016 6,482 (15) 120 394 Foreign currency translations ............. -- 1,784 -- -- -- -- Futures contracts ......................... -- (81) -- -- -- -- ----- ------- ------- ------ ------ ------ NET GAIN ON INVESTMENTS ................ 430 29,619 7,859 1,703 625 727 ----- ------- ------- ------ ------ ------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................................... $ 453 $30,389 $20,590 $3,657 $2,962 $2,521 ===== ======= ======= ====== ====== ====== A Foreign taxes ................................. $ -- $ 193 $ -- $ -- $ -- $ -- B Net of foreign withholding taxes on capital gains ........................................ $ -- $ 57 $ -- $ -- $ -- $ -- C Net of unrealized appreciation of foreign withholding taxes on capital gains ........... $ -- $ 77 $ -- $ -- $ -- $ --
See accompanying notes 83 AMERICAN BEACON FUNDS STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
Balanced Fund Large Cap Growth Fund Mid-Cap Value Fund --------------------- --------------------- --------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April October April 30, October April 30, October 30, 2007 31, 2006 2007 31, 2006 2007 31, 2006 ----------- -------- ----------- -------- ----------- -------- (unaudited) (unaudited) (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ............ $ 15,762 $ 26,125 $ 469 $ 628 $ 875 $ 647 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions .................. 22,911 44,566 2,419 3,826 3,753 2,249 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations .................. 39,206 42,383 2,910 3,999 7,502 6,534 ---------- -------- -------- -------- -------- -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............. 77,879 113,074 5,798 8,453 12,130 9,430 ---------- -------- -------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ........... (762) (359) (1) (1) (22) (9) PlanAhead Class ............... (3,106) (2,286) -- -- (206) -- Service Class ................. (43) -- -- -- -- -- AMR Class ..................... (23,927) (20,180) (737) (376) (563) (481) Net realized gain on investments: Institutional Class ........... (1,300) (674) -- -- (86) (136) PlanAhead Class ............... (5,825) (4,591) -- -- (706) -- Service Class ................. (77) -- -- -- -- -- AMR Class ..................... (38,430) (35,228) -- -- (1,766) (9,132) ---------- -------- -------- -------- -------- -------- NET DISTRIBUTIONS TO SHAREHOLDERS ............ (73,470) (63,318) (738) (377) (3,349) (9,758) ---------- -------- -------- -------- -------- -------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares .... 131,709 118,740 30,158 24,244 55,157 59,595 Reinvestment of dividends and distributions ................. 72,959 62,858 738 376 3,346 9,756 Cost of shares redeemed .......... (51,822) (91,106) (14,931) (13,832) (13,486) (16,516) Redemption fees .................. -- -- -- -- 76 77 ---------- -------- -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ...... 152,846 90,492 15,965 10,788 45,093 52,912 ---------- -------- -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS ....................... 157,255 140,248 21,025 18,864 53,874 52,584 ---------- -------- -------- -------- -------- -------- NET ASSETS: Beginning of period .............. 953,319 813,071 82,152 63,288 96,926 44,342 ---------- -------- -------- -------- -------- -------- END OF PERIOD * .................. $1,110,574 $953,319 $103,177 $ 82,152 $150,800 $ 96,926 ========== ======== ======== ======== ======== ======== *Includes undistributed net investment income (loss) of ...... $ 8,276 $ 19,982 $ 209 $ 479 $ 699 $ 479 ========== ======== ======== ======== ======== ========
See accompanying notes 84
Small Cap Value Opportunity Fund Emerging Markets Fund High Yield Bond Fund Enhanced Income Fund --------------------- --------------------- ---------------------- --------------------- From Six Months March Six Months Year Six Months Year Six Months Year Ended 31 to Ended Ended Ended Ended Ended Ended April 30, October April 30, October April 30, October April 30, October 2007 31, 2006 2007 31, 2006 2007 31, 2006 2007 31, 2006 ----------- -------- ----------- -------- ----------- --------- ----------- -------- (unaudited) (unaudited) (unaudited) (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ............ $ 23 $ 4 $ 770 $ 1,361 $ 12,731 $ 23,830 $ 1,954 $ 3,578 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions .................. 36 8 16,900 22,344 1,377 (3,640) 1,718 335 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations .................. 394 150 12,719 14,943 6,482 6,615 (15) 3,410 ------ ------ -------- -------- -------- --------- -------- -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ..... 453 162 30,389 38,648 20,590 26,805 3,657 7,323 ------ ------ -------- -------- -------- --------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class .............. (17) -- (101) (163) (9,792) (16,799) -- -- PlanAhead Class .................. -- -- (15) (36) (2,907) (7,065) (2,367) (3,905) Service Class .................... -- -- -- -- -- -- -- -- AMR Class ........................ -- -- (1,130) (1,551) -- -- -- -- Net realized gain on investments: Institutional Class .............. (9) -- (2,407) (1,683) -- (2,254) -- -- PlanAhead Class .................. -- -- (922) (425) -- (1,092) (74) (14) Service Class .................... -- -- -- -- -- -- -- -- AMR Class ........................ -- -- (19,268) (14,022) -- -- -- -- ------ ------ -------- -------- -------- --------- -------- -------- NET DISTRIBUTIONS TO SHAREHOLDERS .................. (26) -- (23,843) (17,880) (12,699) (27,211) (2,441) (3,919) ------ ------ -------- -------- -------- --------- -------- -------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares .... 4,598 4,644 18,672 34,209 83,364 161,075 8,287 30,206 Reinvestment of dividends and distributions ................. 26 -- 23,764 17,795 10,562 23,167 2,441 3,919 Cost of shares redeemed .......... (693) (43) (18,463) (22,127) (54,815) (208,965) (36,529) (23,955) Redemption fees .................. -- -- 24 90 -- -- -- -- ------ ------ -------- -------- -------- --------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS .................. 3,931 4,601 23,997 29,967 39,111 (24,723) (25,801) 10,170 ------ ------ -------- -------- -------- --------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS .................... 4,358 4,763 30,543 50,735 47,002 (25,128) (24,585) 13,574 ------ ------ -------- -------- -------- --------- -------- -------- NET ASSETS: Beginning of period .............. 4,763 -- 157,539 106,804 311,977 337,105 125,915 112,341 ------ ------ -------- -------- -------- --------- -------- -------- END OF PERIOD * ..................... $9,121 $4,763 $188,082 $157,539 $358,979 $ 311,977 $101,330 $125,915 ====== ====== ======== ======== ======== ========= ======== ======== * Includes undistributed net investment income (loss) of ...... $ 12 $ 7 $ 642 $ 1,129 $ 530 $ 499 $ 305 $ (1,012) ====== ====== ======== ======== ======== ========= ======== ========
See accompanying notes 85 AMERICAN BEACON FUNDS STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
Intermediate Bond Fund Short-Term Bond Fund ---------------------- ---------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, October April 30, October 2007 31, 2006 2007 31, 2006 ----------- -------- ----------- -------- (unaudited) (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income .................................... $ 2,337 $ 4,299 $ 1,794 $ 2,997 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions .......... 505 (987) 333 (294) Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations ................................. 120 1,283 394 952 -------- -------- ------- -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .. 2,962 4,595 2,521 3,655 -------- -------- ------- -------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ................................... (2,361) (4,367) (1,850) (3,409) PlanAhead Class ....................................... (13) (41) (150) (375) Net realized gain on investments: -------- -------- ------- -------- NET DISTRIBUTIONS TO SHAREHOLDERS .................. (2,374) (4,408) (2,000) (3,784) -------- -------- ------- -------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares ............................ 12,738 18,558 13,654 13,507 Reinvestment of dividends and distributions .............. 2,373 4,405 1,996 3,775 Cost of shares redeemed .................................. (12,737) (19,229) (6,631) (24,812) -------- -------- ------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ...................... 2,374 3,734 9,019 (7,530) -------- -------- ------- -------- NET INCREASE (DECREASE) IN NET ASSETS ....................... 2,962 3,921 9,540 (7,659) -------- -------- ------- -------- NET ASSETS: Beginning of period ...................................... 98,245 94,324 80,606 88,265 -------- -------- ------- -------- END OF PERIOD * .......................................... $101,207 $ 98,245 $90,146 $ 80,606 ======== ======== ======= ======== *Includes undistributed net investment income (loss) of ..... $ 500 $ 502 $ (170) $ (304) ======== ======== ======= ========
See accompanying notes 86 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American Beacon Funds (the "Trust") 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, diversified, 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 Growth Fund, the American Beacon Mid-Cap Value Fund, the American Beacon Small Cap Value Opportunity 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"), 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 Enhanced Income Fund, has multiple classes of shares designed to meet the needs of different groups of investors; however, not all Funds offer all classes. The following table sets forth the differences amongst the classes:
CLASS: OFFERED TO: SERVICE AND DISTRIBUTIONS FEES: - ------ ----------- ------------------------------- INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service Fee - 0.25% PLANAHEAD CLASS General public and investors investing through an Administrative Service Fee - 0.25% intermediary Service Fee - 0.25% SERVICE CLASS Investors investing through an intermediary Administrative Service Fee - 0.25% Service Fee - 0.25% Distribution Fee - 0.25% AMR CLASS Investors in the tax-exempt retirement and benefit N/A plans of 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. Effective February 28, 2007, the PlanAhead Class of the Intermediate Bond Fund was closed. Security Valuation Investments are valued at the close of the New York Stock Exchange (the "Exchange"), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. When a price is unavailable from a pricing service or when the price provided by the pricing service is deemed not to represent fair value, the prices of debt securities may be determined using quotes obtained from brokers. 87 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates market value. Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the 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 judgment 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. The Funds may purchase securities with delivery or payment to occur at a later date. At the time the Funds enter 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, net of foreign taxes, 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 Funds' Statement of Operations. 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. The Fund 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 Fund also bears the credit risk if the counterparty fails to perform under the contract. 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 88 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) 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 Growth, Mid-Cap Value, Small Cap Value Opportunity, 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 Funds reflect this amount on the Schedules of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as a 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. Dividends to Shareholders Dividends from net investment income of the Balanced, Large Cap Growth, Mid-Cap Value, Small Cap Value Opportunity 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 received through participation in the commission recapture program is directed exclusively to the Fund. These amounts are reported with the net realized gains in the Fund's Statement of Operations. 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. 89 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) Redemption Fees The Institutional, PlanAhead and AMR Classes of the Emerging Markets Fund impose a 2% redemption fee on certain shares held for less than 90 days, and the AMR Class of the Mid-Cap Value Fund imposes a 2% redemption fee on certain shares held for less than 180 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 Funds. The "first-in, first-out" method is used to determine the holding period. Through April 30, 2006, the fee was retained by the class that imposed the fee. Effective May 1, 2006, the fee is allocated to all classes of each Fund pro-rata based on their respective net assets. Recently Issued Accounting Pronouncements On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" ("FIN 48"). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing each Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, the Manager is evaluating the implications of FIN 48 and its potenetial impact on the financial statements has not yet been determined. In September 2006, the FASB issued Statement on Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The Manager is evaluating the impact of FAS 157; however, it is not expected to have material impact on the Funds' net assets or results of operations. 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 Growth, Mid-Cap Value, Small Cap Value Opportunity, Emerging Markets, High Yield Bond, Enhanced Income and Intermediate Bond Funds are managed by one or more 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 Growth Fund, Mid-Cap Value Fund, Small Cap Value Opportunity Fund, Emerging Markets Fund, High Yield Bond Fund and Enhanced Income Fund an annualized fee equal to 0.10% 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 0.25% of the 90 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) average daily net assets of the 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. 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 0.25% of the average daily net assets of the Short-Term Bond Fund. Management fees paid during the six months ended April 30, 2007 were as follows (dollars in thousands):
NET AMOUNTS AMOUNTS PAID RETAINED MANAGEMENT MANAGEMENT TO INVESTMENT BY FEE RATE FEE ADVISORS MANAGER ----------- ---------- ------------- -------- Balanced ..................... 0.225%-0.70% $1,385 $877 $508 Large Cap Growth ............. 0.35%-0.55% 241 194 47 Mid-Cap Value ................ 0.35%-1.10% 440 376 64 Small Cap Value Opportunity .. 0.45%-0.55% 20 17 3 Emerging Markets ............. 0.79%-1.20% 731 644 87 High Yield Bond .............. 0.52% 870 703 167 Enhanced Income .............. 0.25%-0.85% 192 138 54 Intermediate Bond ............ 0.25% 122 39 83
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. This fee is netted against securities lending income in the Statements of Operations. During the six months ended April 30, 2007, securities lending fees paid to the Manager were as follows (in thousands): Balanced ................................................................. $22 Large Cap Growth ......................................................... 1 Mid-Cap Value ............................................................ 2 Emerging Markets ......................................................... 5 High Yield Bond .......................................................... 4 Enhanced Income .......................................................... 2 Intermediate Bond ........................................................ 3
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 0.25% 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 Act, 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 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. 91 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) 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 and the Emerging Markets Fund received net commissions on purchases and sales of the Fund's portfolio securities totaling $634 and $326, respectively for the six months ended April 30, 2007. Investment in Affiliated Funds The Funds are permitted, pursuant to an exemptive order by the Securities and Exchange Commission ("SEC") and procedures approved by the Board, to invest up to 25% of its total assets in the American Beacon Money Market Select Fund (the "Select Fund"). Cash collateral received by certain Funds in connection with securities lending may be invested in the Select Fund and the American Beacon Cash Plus Trust (the "Cash Trust") (collectively, the "Affiliated Funds"). The Funds and the Affiliated Funds have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the Affiliated Funds and receives from each Affiliated Fund an annualized fee equal to 0.10% of its average daily net assets. During the six months ended April 30, 2007, fees earned by the Manager from the Affiliated Funds were as follows:
DIRECT INVESTMENT SECURITIES LENDING IN AFFILIATED COLLATERAL INVESTED FUNDS IN AFFILIATED FUNDS TOTAL ----------------- ------------------- -------- Balanced ..................... $36,226 $99,721 $135,947 Large Cap Growth ............. 948 5,404 6,352 Mid-Cap Value ................ 7,392 11,466 18,858 Small Cap Value Opportunity .. 66 920 986 Emerging Markets ............. 3,722 7,050 10,772 High Yield Bond .............. 9,475 -- 9,475 Enhanced Income .............. 1,708 13,296 15,004 Intermediate Bond ............ 1,558 12,202 13,760 Short-Term Bond .............. 2,524 1,484 4,008
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 as a borrower. This program provides an alternative credit facility allowing the Funds to borrow from other participating Funds. For the six months ended April 30, 2007, the following Funds had borrowings:
WEIGHTED DAYS INTEREST AVERAGE DEBT AVERAGE OUTSTANDING CHARGES UTILIZED INTEREST RATE ----------- -------- ------------ ------------- Enhanced Income .............. 11 $4,612 $2,844,306 5.38%
Reimbursement of Expenses The Manager agreed to reimburse the following Funds to the extent that total annual fund operating expenses exceed the Fund's expense cap. For the period ended April 30, 2007, the Manager waived or reimbursed expenses as follows: 92 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED)
Expense Cap ----------------- 11/1/06 3/1/07 WAIVED OR TO TO REIMBURSED FUND CLASS 2/28/07 4/30/07 EXPENSES - ---- ------------- ------- ------- ---------- Large Cap Growth ............. Institutional 0.90% 0.90% $ 74 Mid-Cap Value ................ Institutional 1.01% 0.90% 2,213 Mid-Cap Value ................ PlanAhead 1.23% 1.23% 13,844 Small Cap Value Opportunity .. Institutional 1.06% 1.05% 19,854 Small Cap Value Opportunity .. PlanAhead 1.31% 1.30% 571 Intermediate Bond ............ PlanAhead 0.95% N/A 783 Short-Term Bond .............. PlanAhead 0.87% 0.87% 2,081
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 sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. The activity related to repayment of prior year fee waivers and expense reimbursements during the six months ended April 30, 2007 was as follows: Balanced- Service Class
LIABILITY LIABILITY EXPIRATION AT AT YEAR 10/31/06 ACCRUED EXPIRED RECOUPED 4/30/07 - ---------- --------- ------- ------- -------- --------- 2007 $ -- $-- $-- $-- $ -- 2008 1,650 -- -- 77 1,573 2009 13 -- -- -- 13 ------ --- --- --- ------ $1,663 $-- $-- $77 $1,586 ====== === === === ======
Emerging Markets- PlanAhead Class
LIABILITY LIABILITY EXPIRATION AT AT YEAR 10/31/06 ACCRUED EXPIRED RECOUPED 4/30/07 - ---------- --------- ------- ------- -------- --------- 2007 $ 399 $-- $-- $399 $ -- 2008 5,148 -- -- 415 4,734 2009 2,926 -- -- -- 2,926 ------ --- --- ---- ------ $8,473 $-- $-- $814 $7,660 ====== === === ==== ======
Mid-Cap Value- AMR Class
LIABILITY LIABILITY EXPIRATION AT AT YEAR 10/31/06 ACCRUED EXPIRED RECOUPED 4/30/07 - ---------- --------- ------- ------- -------- --------- 2007 $11,997 $-- $-- $6,430 $ 5,567 2008 7,258 -- -- -- 7,258 2009 2,537 -- -- -- 2,537 ------- --- --- ------ ------- $21,792 $-- $-- $6,430 $15,362 ======= === === ====== =======
High Yield Bond-Institutional Class
LIABILITY LIABILITY EXPIRATION AT AT YEAR 10/31/06 ACCRUED EXPIRED RECOUPED 4/30/07 - ---------- --------- ------- ------- -------- --------- 2007 $34,513 $-- $22,697 $9,354 $2,461 2008 62 -- -- -- 62 2009 -- -- -- -- ------- --- ------- ------ ------ $34,575 $-- $22,697 $9,354 $2,524 ======= === ======= ====== ======
The remaining Funds have not recorded a liability for potential reimbursement, due to the current assessment that a reimbursement is unlikely. 93 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) Other At April 30, 2007, AMR Corporation and subsidiary companies and employee benefit trusts thereof owned the following percentage of each Fund:
% OWNERSHIP ----------- Balanced ........... 79% Large Cap Growth ... 100% Mid-Cap Value ...... 75% Emerging Markets ... 87% High Yield Bond .... 28% Intermediate Bond .. 98% Short-Term Bond .... 90%
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 categorized 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 paid during the six months ended April 30, 2007 and fiscal year ended October 31, 2006 were as follows (in thousands):
BALANCED LARGE CAP GROWTH MID-CAP VALUE ------------------------------ ------------------------------ ------------------------------ SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2007 2006 2007 2006 2007 2006 ---------------- ----------- ---------------- ----------- ---------------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class .......... $ 906 $ 405 $ 1 $ 1 $ 84 $ 114 PlanAhead Class .............. 3,751 2,594 -- -- 718 -- Service Class ................ 52 -- -- -- -- -- AMR Class .................... 28,153 22,546 737 376 1,844 7,556 LONG-TERM CAPITAL GAIN Institutional Class .......... 1,156 629 -- -- 24 31 PlanAhead Class .............. 5,180 4,282 -- -- 194 -- Service Class ................ 68 -- -- -- -- -- AMR Class .................... 34,174 32,862 -- -- 485 2,057 ------- ------- ---- ---- ------ ------ TOTAL DISTRIBUTIONS PAID .. $73,470 $63,318 $738 $377 $3,349 $9,758 ======= ======= ==== ==== ====== ======
* For tax purposes, short-term capital gains are considered ordinary income distributions. 94 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED)
SMALL CAP VALUE OPPORTUNITY EMERGING MARKETS HIGH YIELD BOND ------------------------------ ------------------------------ ------------------------------ SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2007 2006 2007 2006 2007 2006 ---------------- ----------- ---------------- ----------- ---------------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class .......... $25 $-- $ 419 $ 416 $ 9,792 $16,799 PlanAhead Class .............. 1 -- 137 100 2,907 7,065 Service Class ................ -- -- -- -- -- 1 AMR Class .................... -- -- 3,676 3,660 -- -- LONG-TERM CAPITAL GAIN Institutional Class .......... -- -- 2,089 1,430 -- 2,254 PlanAhead Class .............. -- -- 800 361 -- 1,092 Service Class ................ -- -- -- -- -- -- AMR Class .................... -- -- 16,722 11,913 -- -- --- --- ------- ------- ------- ------- TOTAL DISTRIBUTIONS PAID .. $26 $-- $23,843 $17,880 $12,699 $27,211 --- --- ------- ------- ------- -------
* For tax purposes, short-term capital gains are considered ordinary income distributions.
ENHANCED INCOME INTERMEDIATE BOND SHORT-TERM BOND ------------------------------ ------------------------------ ------------------------------ SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2007 2006 2007 2006 2007 2006 ---------------- ----------- ---------------- ----------- ---------------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class .......... $ -- $ -- $ -- $4,367 $ -- $3,409 PlanAhead Class .............. 2,367 3,905 13 41 150 375 AMR Class .................... -- -- -- -- -- -- LONG-TERM CAPITAL GAIN .......... -- 2,361 1,850 Institutional Class .......... -- -- -- -- -- -- PlanAhead Class .............. 74 14 -- -- -- -- AMR Class .................... -- -- -- -- -- -- ------ ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS PAID .. $2,441 $3,919 $2,374 $4,408 $2,000 $3,784 ------ ------ ------ ------ ------ ------
* For tax purposes, short-term capital gains are considered ordinary income distributions. As of April 30, 2007, the components of distributable earnings on a tax basis were as follows (in thousands):
SMALL CAP LARGE CAP MID-CAP VALUE EMERGING BALANCED GROWTH VALUE OPPORTUNITY MARKETS ---------- --------- -------- ----------- -------- Cost basis of investments for federal income tax purposes $1,139,877 $110,488 $169,194 $10,856 $158,967 Unrealized appreciation 178,884 10,798 15,087 855 49,807 Unrealized depreciation (5,448) (821) (2,461) (310) (2,084) ---------- -------- -------- ------- -------- Net unrealized appreciation/(depreciation) 173,436 9,977 12,626 545 47,723 Undistributed ordinary income 14,658 208 1,593 32 3,716 Undistributed long-term gain/(loss) 16,840 (1,075) 2,062 15 13,916 ---------- -------- -------- ------- -------- Distributable earnings $ 204,934 $ 9,110 $ 16,821 $ 592 $ 65,355 ========== ======== ======== ======= ========
95 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED)
HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM BOND INCOME BOND BOND ---------- -------- ------------ ---------- Cost basis of investments for federal income tax purposes $371,275 $123,320 $126,586 $93,493 Unrealized appreciation 8,356 3,454 453 192 Unrealized depreciation (1,167) (476) (689) (989) -------- -------- -------- ------- Net unrealized appreciation/(depreciation) 7,189 2,978 (236) (797) Undistributed ordinary income 902 1,172 500 536 Undistributed long-term gain/(loss) (2,280) 575 (8,640) (8,734) -------- -------- -------- ------- Distributable earnings $ 5,811 $ 4,725 $ (8,376) $(8,995) ======== ======== ======== =======
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, the realization for tax purposes of unrealized gains/(losses) on investments in passive foreign investment companies, reclassifications of income from real estate investment securities, and income adjustments associated with contingent payment debt instruments. 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 regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statements of Assets and Liabilities. Accordingly, the following amounts represent current year permanent differences derived from reclassifications of income from real estate investment securities, foreign currency, book amortization of premium, pay down reclasses, income adjustments associated with contingent payment debt instruments, and dividend reclasses that have been reclassified as of April 30, 2007 (in thousands):
LARGE MID- SMALL CAP HIGH SHORT- CAP CAP VALUE EMERGING YIELD ENHANCED INTERMEDIATE TERM BALANCED GROWTH VALUE OPPORTUNITY MARKETS BOND INCOME BOND BOND -------- ------ ----- ----------- -------- ----- -------- ------------ ------ Paid-in-capital .............. $ 1 $(3) $ (1) $-- $ -- $ 1 $(1,176) $ 3 $ 1 Undistributed net investment income .................... 370 (1) 136 (1) (11) (1) 1,730 35 340 Accumulated net realized gain (loss) .................... (371) 6 (135) 1 10 -- (555) (37) (341) Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency .................. -- (2) -- -- 1 -- 1 (1) --
At April 30, 2007 capital loss carry forward positions for federal income tax purposes were as follows (in thousands):
FUND 2007 2008 2009 2010 2011 2012 2013 2014 2015 TOTAL - ---- ------ ------ ---- ---- ---- ---- ------ ------ ---- ------ Large Cap Growth ...... $ -- $ -- $-- $401 $674 $ -- $ -- $ -- $-- $1,075 High Yield Bond ....... -- -- -- -- -- -- -- 2,280 -- 2,280 Intermediate Bond ..... -- 6,897 -- 328 -- -- 318 1,097 -- 8,640 Short-Term Bond ....... 1,991 1,218 -- 913 161 800 1,256 2,387 8 8,734
The Large Cap Growth Fund and the High Yield Bond Fund utilized 2,527 and 1,336 respectively, of net capital loss carryovers and the Short-Term Bond Fund had $470 of expired capital loss carryovers for the six months ended April 30, 2007. 4. INVESTMENT TRANSACTIONS The aggregate cost of purchases and proceeds from sales and maturities of long-term investments during the six months ended April 30, 2007 were as follows (in thousands): 96 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED)
SMALL LARGE CAP HIGH SHORT CAP MID-CAP VALUE EMERGING YIELD ENHANCED INTERMEDIATE TERM BALANCED GROWTH VALUE OPPORTUNITY MARKETS BOND INCOME BOND BOND -------- ------- ------- ----------- -------- -------- -------- ------------ ------- Purchases (excluding U.S. government securities) ...... $162,812 $59,296 $56,458 $5,676 $70,345 $177,151 $48,957 $23,423 $25,969 Sales and maturities (excluding U.S. government securities) ................. 117,602 40,249 1,007 177 65,833 139,217 55,013 23,837 21,143 Purchases of U.S. government securities .................. 97,048 -- -- -- -- -- 17,563 20,648 -- Sales and maturities of U.S. government securities ....... 60,798 -- -- -- -- -- 32,049 14,579 --
A summary of the Funds' direct transactions in Affiliated Funds for the six months ended April 30, 2007 is set forth below (in thousands):
OCTOBER 31, 2006 SHARES/MARKET APRIL 30, 2007 AFFILIATE VALUE PURCHASES SALES SHARES/MARKET VALUE ------------ ---------------- --------- -------- ------------------- Balanced ....................... Select Fund $64,379 $242,438 $235,191 $71,626 Large Cap Growth ............... Select Fund 4,783 53,008 51,989 5,802 Mid-Cap Value .................. Select Fund 15,621 94,070 92,034 17,657 Small Cap Value Opportunity .... Select Fund 49 3,880 3,886 43 Emerging Markets ............... Select Fund 8,172 47,064 48,113 7,123 High Yield Bond ................ Select Fund 13,082 118,625 111,912 19,795 Enhanced Income ................ Select Fund 11,924 36,332 41,753 6,503 Intermediate Bond .............. Select Fund 2,890 21,860 21,488 3,262 Short-Term Bond ................ Select Fund 2,054 18,097 12,373 7,778
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 the fair value of the securities loaned and initially in an amount at least equal to 102% of the fair value of domestic securities loaned or 105% of the fair value of international securities loaned. Collateral is marked to market and monitored daily. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent (the "Agent") in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. The Funds, the Agent and the Manager retain 65%, 25% and 10%, respectively, of the income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs. 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, the Agent and the Manager 65%, 25% and 10%, respectively. 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, 2007, the value of outstanding securities on loan and the value of collateral was as follows (in thousands): 97 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED)
MARKET VALUE OF NON-CASH FUND SECURITIES ON LOAN COLLATERAL CASH COLLATERAL - ---- ------------------ ---------- --------------- Balanced ...................... $219,918 $18,907 $205,692 Large Cap Growth .............. 12,977 -- 13,393 Mid-Cap Value ................. 26,811 707 27,080 Small Cap Value Opportunity ... 2,176 -- 2,266 Emerging Markets .............. 17,514 347 18,227 High Yield Bond ............... 18,950 -- 19,517 Enhanced Income ............... 25,197 -- 25,731 Intermediate Bond ............. 25,396 -- 25,805 Short-Term Bond ............... 3,456 -- 3,519
Cash collateral for each Fund, other than High Yield Bond, was invested in a joint investment account, which is comprised of an investment in the Affiliated Funds. The allocated amounts have been included as investments in each Fund's Schedule of Investments and Statement 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 Funds may not be sold or repledged; therefore, non-cash collateral is not included on the Funds' 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 (shares and dollars in thousands): SIX MONTHS ENDED APRIL 30, 2007
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ---------------- ----------------- ---------------- ----------------- BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------- ------ ------- ------ -------- ------ ------- ------ -------- Shares sold .......................... 2,071 $32,041 4,819 $ 70,048 241 $3,427 1,762 $ 26,193 Reinvestment of dividends ............ 133 2,010 596 8,472 8 120 4,292 62,357 Shares redeemed ...................... (252) (3,880) (1,416) (20,584) (52) (744) (1,780) (26,614) ----- ------- ------ -------- --- ------ ------ -------- Net increase in shares outstanding ... 1,952 $30,171 3,999 $ 57,936 197 $2,803 4,274 $ 61,936 ===== ======= ====== ======== === ====== ====== ========
INSTITUTIONAL CLASS AMR CLASS --------------- ----------------- LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT - --------------------- ------ ------ ------ -------- Shares sold .......................... -- $ 1 4,285 $ 30,157 Reinvestment of dividends ............ -- 1 106 737 Shares redeemed ...................... -- (2) (2,104) (14,929) --- --- ------ -------- Net increase in shares outstanding ... -- $-- 2,287 $ 15,965 === === ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ---------------- ---------------- ----------------- MID-CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------------ ------ ------- ------ ------- ------ -------- Shares sold .......................... 172 $ 1,918 480 $ 5,356 4,285 $ 47,883 Reinvestment of dividends ............ 10 106 85 911 215 2,329 Shares redeemed ...................... (27) (298)* (196) (2,158)* (969) (10,954)* --- ------- ---- ------- ----- -------- Net increase in shares outstanding ... 155 $ 1,726 369 $ 4,109 3,531 $ 39,258 === ======= ==== ======= ===== ========
* Net of Redemption Fees 98 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED)
INSTITUTIONAL CLASS PLANAHEAD CLASS SMALL CAP VALUE OPPORTUNITY ---------------- --------------- FUND SHARES AMOUNT SHARES AMOUNT - --------------------------- ------ ------- ------ ------ Shares sold .................. 384 $4,129 43 $ 469 Reinvestment of dividends .... 3 25 -- 1 Shares redeemed .............. (559) (559) (12) (134) ---- ------ --- ----- Net increase (decrease) in shares outstanding ........ (172) $3,595 31 $ 336 ==== ====== === =====
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ---------------- ---------------- ----------------- EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - --------------------- ------ ------- ------ ------- ------ -------- Shares sold .................. 100 $ 1,688 111 $ 1,937 871 $ 15,047 Reinvestment of dividends .... 149 2,456 56 910 1,235 20,398 Shares redeemed .............. (234) (3,930)* (88) (1,479)* (757) (13,030)* ---- ------- ---- ------- ----- -------- Net increase in shares outstanding ............... 15 $ 214 79 $ 1,368 1,349 $ 22,415 ==== ======= ==== ======= ===== ========
* Net of Redemption Fees
INSTITUTIONAL CLASS PLANAHEAD CLASS ----------------- ----------------- HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT - -------------------- ------ -------- ------ -------- Shares sold .................. 1,462 $ 68,222 6,602 $ 15,142 Reinvestment of dividends .... 277 7,698 744 2,864 Shares redeemed .............. (1,992) (34,226) (3,306) (20,589) ------ -------- ------ -------- Net increase (decrease) in shares outstanding ........ (253) $ 41,694 4,040 $ (2,583) ====== ======== ====== ========
PLANAHEAD CLASS ----------------- ENHANCED INCOME FUND SHARES AMOUNT - -------------------- ------ -------- Shares sold .................. 805 $ 8,287 Reinvestment of dividends .... 237 2,441 Shares redeemed .............. (3,537) (36,529) ------ -------- Net (decrease) in shares outstanding ............... (2,495) $(25,801) ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS ----------------- ----------------- INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT - ---------------------- ------ -------- ------ -------- Shares sold .................. 1,260 $ 12,670 7 $ 68 Reinvestment of dividends .... 235 2,361 1 12 Shares redeemed .............. (1,168) (11,722) (100) (1,015) ------ -------- ---- ------- Net increase (decrease) in shares outstanding ........ 327 $ 3,309 (92) $ (935) ====== ======== ==== =======
INSTITUTIONAL CLASS PLANAHEAD CLASS ----------------- ----------------- SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT - -------------------- ------ -------- ------ -------- Shares sold .................. 1,307 $11,478 248 $ 2,176 Reinvestment of dividends .... 210 1,849 17 147 Shares redeemed .............. (324) (2,839) (431) (3,792) ------ ------- ---- ------- Net increase (decrease) in shares outstanding ........ 1,193 $10,488 (166) $(1,469) ====== ======= ==== =======
99 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2007 (UNAUDITED) PERIOD ENDED OCTOBER 31, 2006
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ----------------- ----------------- --------------- ----------------- BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------- ------ -------- ------ -------- ------ ------ ------ -------- Shares sold .................. 557 $ 8,501 3,407 $ 48,140 110 $1,538 4,199 $ 60,561 Reinvestment of dividends .... 68 982 474 6,468 -- -- 3,986 55,408 Shares redeemed .............. (139) (2,075) (2,500) (34,990) (5) (72) (3,776) (53,969) ---- ------- ------ -------- ---- ------ ------ -------- Net increase in shares outstanding ............... 486 $ 7,408 1,381 $ 19,618 105 $1,466 4,409 $ 62,000 ==== ======= ====== ======== ==== ====== ====== ========
INSTITUTIONAL CLASS AMR CLASS ----------------- ----------------- LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT - --------------------- ------ -------- ------ -------- Shares sold .................. 3 $ 17 3,677 $ 24,227 Reinvestment of dividends .... -- 1 57 375 Shares redeemed .............. (4) (25) (2,103) (13,807) --- ---- ------ -------- Net increase (decrease) in shares outstanding ........ (1) $ (7) 1,631 $ 10,795 === ==== ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ----------------- ----------------- ----------------- MID-CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------------ ------ -------- ------ -------- ------ -------- Shares sold .................. 379 $3,963 2,542 $26,510 2,787 $ 29,122 Reinvestment of dividends .... 15 142 -- -- 1,008 9,614 Shares redeemed .............. (80) (910)* (20) (213)* (1,477) (15,316)* ---- ------ ----- ------- ------ -------- Net increase in shares outstanding ............... 314 $3,195 2,522 $26,297 2,318 $ 23,420 ==== ====== ===== ======= ====== ========
* Net of Redemption Fees
INSTITUTIONAL CLASS PLANAHEAD CLASS SMALL CAP VALUE OPPORTUNITY ----------------- ----------------- FUND SHARES AMOUNT SHARES AMOUNT - --------------------------- ------ -------- ------ -------- Shares sold .................. 460 $4,562 8 $ 82 Reinvestment of dividends .... -- -- -- -- Shares redeemed .............. (3) (28) (2) (15) --- ------ --- ---- Net increase in shares outstanding ............... 457 $4,534 6 $ 67 === ====== === ====
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ----------------- ----------------- ----------------- EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - --------------------- ------ -------- ------ -------- ------ -------- Shares sold .................. 385 $ 6,392 304 $ 4,929 1,407 $ 22,888 Reinvestment of dividends .... 123 1,788 30 434 1,066 15,573 Shares redeemed .............. (176) (2,856)* (168) (2,645)* (1,016) (16,536)* ---- ------- ---- ------- ------ -------- Net increase in shares outstanding ............... 332 $ 5,324 166 $ 2,718 1,457 $ 21,925 ==== ======= ==== ======= ====== ========
* Net of Redemption Fees
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS ------------------- ----------------- --------------- HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- ------- --------- ------ -------- ------ ------ Shares sold .................. 12,050 $ 121,776 3,864 $ 39,258 4 $ 41 Reinvestment of dividends .... 1,484 15,060 798 8,106 -- 1 Shares redeemed .............. (12,034) (121,828) (8,570) (87,093) (4) (44) ------- --------- ------ -------- --- ---- Net increase (decrease) in shares outstanding ........ 1,500 $ 15,008 (3,908) $(39,729) -- $ (2) ======= ========= ====== ======== === ====
100 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS - CONTINUED October 31, 2006
PLANAHEAD CLASS ------------------- ENHANCED INCOME FUND SHARES AMOUNT - -------------------- ------- --------- Shares sold .................. 3,012 $ 30,206 Reinvestment of dividends .... 389 3,919 Shares redeemed .............. (2,376) (23,955) ------ -------- Net increase in shares outstanding ............... 1,025 $ 10,170 ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS ------------------- --------------- INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT - ---------------------- ------- --------- ------ ------ Shares sold .................. 1,863 $ 18,474 8 $ 84 Reinvestment of dividends .... 440 4,367 4 38 Shares redeemed .............. (1,912) (18,979) (25) (250) ------ -------- --- ----- Net increase (decrease) in shares outstanding ........ 391 $ 3,862 (13) $(128) ====== ======== === =====
INSTITUTIONAL CLASS PLANAHEAD CLASS ------------------- ----------------- SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT - -------------------- ------- --------- ------ -------- Shares sold .................. 724 $ 6,305 825 $ 7,202 Reinvestment of dividends .... 391 3,407 42 368 Shares redeemed .............. (1,819) (15,869) (1,024) (8,943) ------ -------- ------ ------- Net (decrease) in shares outstanding ............... (704) $ (6,157) (157) $(1,373) ====== ======== ====== =======
101 AMERICAN BEACON BALANCED FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class ------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, ------------------------------------------ 2007 2006 2005 2004 2003 2002 ----------- ------- ------- ------ ------ ------ (unaudited) Net asset value, beginning of period .................... $ 15.83 $ 15.00 $ 14.31 $12.99 $10.97 $12.07 ------- ------- ------- ------ ------ ------ Income from investment operations: Net investment income(A), (B) ......... 0.26 0.39 0.36 0.29 0.31(C) 0.11 Net gains (losses) on securities (both realized and unrealized)(B) ......... 0.91 1.54 1.11 1.36 1.84(C) (0.69) ------- ------- ------- ------ ------ ------ Total income (loss) from investment operations ..... 1.17 1.93 1.47 1.65 2.15 (0.58) ------- ------- ------- ------ ------ ------ Less distributions: Dividends from net investment income ...... (0.42) (0.38) (0.31) (0.33) (0.13) (0.44) Distributions from net realized gains on securities ............. (0.72) (0.72) (0.47) -- -- (0.08) ------- ------- ------- ------ ------ ------ Total distributions .......... (1.14) (1.10) (0.78) (0.33) (0.13) (0.52) ------- ------- ------- ------ ------ ------ Net asset value, end of period ............. $ 15.86 $ 15.83 $ 15.00 $14.31 $12.99 $10.97 ======= ======= ======= ====== ====== ====== Total return ................. 7.75%(D) 13.60% 10.53% 10.53% 19.77% (5.14)% ======= ======= ======= ====== ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ............ $53,590 $22,587 $14,122 $8,378 $9,041 $8,994 Ratios to average net assets (annualized): Expenses, net of waivers(B) ............. 0.56% 0.59% 0.56% 0.63% 0.63% 0.62% Expenses, before waivers(B) ............. 0.56% 0.59% 0.56% 0.63% 0.63% 0.62% Net investment income, net of waivers(B) .......... 2.88% 2.81% 2.45% 2.15% 2.74% 3.12% Net investment income (loss), before waivers(B) ............. 2.88% 2.81% 2.45% 2.15% 2.74% 3.12% Portfolio turnover rate(F) ................ 19%(D) 59% 58% 62% 69% 84% PlanAhead Class ----------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, ---------------------------------------------- 2007 2006 2005 2004 2003 2002 ----------- -------- ------- ------- ------- ------- (unaudited) Net asset value, beginning of period .................... $ 14.91 $ 14.20 $ 13.62 $ 12.40 $ 10.81 $ 11.88 -------- -------- ------- ------- ------- ------- Income from investment operations: Net investment income(A), (B) ......... 0.22 0.35 0.34 0.27 0.28(C) 0.41 Net gains (losses) on securities (both realized and unrealized)(B) ......... 0.86 1.44 1.01 1.25 1.74(C) (0.99) -------- -------- ------- ------- ------- ------- Total income (loss) from investment operations ..... 1.08 1.79 1.35 1.52 2.02 (0.58) -------- -------- ------- ------- ------- ------- Less distributions: Dividends from net investment income ...... (0.38) (0.36) (0.30) (0.30) (0.43) (0.41) Distributions from net realized gains on securities ............. (0.72) (0.72) (0.47) -- -- (0.08) -------- -------- ------- ------- ------- ------- Total distributions .......... (1.10) (1.08) (0.77) (0.30) (0.43) (0.49) -------- -------- ------- ------- ------- ------- Net asset value, end of period ............. $ 14.89 $ 14.91 $ 14.20 $ 13.62 $ 12.40 $ 10.81 ======== ======== ======= ======= ======= ======= Total return ................. 7.61%(D) 13.31% 10.12% 12.44% 19.36% (5.18)% ======== ======== ======= ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ............ $171,226 $111,837 $86,875 $21,571 $13,332 $10,561 Ratios to average net assets (annualized): Expenses, net of waivers(B) ............. 0.83% 0.85% 0.86% 0.93% 0.94% 0.90% Expenses, before waivers(B) ............. 0.83% 0.85% 0.86% 0.93% 0.94% 0.90% Net investment income, net of waivers(B) .......... 2.64% 2.55% 2.14% 1.84% 2.40% 2.83% Net investment income (loss), before waivers(B) ............. 2.64% 2.55% 2.14% 1.84% 2.40% 2.83% Portfolio turnover rate(F) ................ 19%(D) 59% 58% 62% 69% 84%
(A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment per share. (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 Balanced Portfolio through February 28, 2002. (C) For the year ended October 31, 2003, the net investment income and net gains (losses) on securities (both realized and unrealized) has been restated 0.30 and 1.85, respectively for Institutional Class and 0.36 and 1.66, respectively for PlanAhead Class. (D) Not annualized. (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. (E) Annualized. (G) Portfolio turnover rate is for the period from November 1, 2004 through October 31, 2005. 102
Service Class AMR Class ------------------------------- ------------------------------------------------------------- Six Months Year May 31 Six Months Ended Ended to Ended Year Ended October 31 April 30, October October April 30, ------------------------------------------------ 2007 31, 2006 31, 2005 2007 2006 2005 2004 2003 2002 ----------- -------- -------- ----------- -------- -------- -------- -------- -------- (unaudited) (unaudited) Net asset value, beginning of period .................... $14.83 $14.16 $ 13.96 $ 15.27 $ 14.49 $ 13.87 $ 12.60 $ 10.98 $ 12.06 ------ ------ -------- -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income(A), (B) ......... 0.31 0.38 0.09 0.25 0.45 0.39 0.32 0.34 0.48 Net gains (losses) on securities (both realized and unrealized)(B) ......... 0.74 1.35 0.11 0.89 1.46 1.05 1.31 1.78 (1.01) ------ ------ -------- -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations ..... 1.05 1.73 0.20 1.14 1.91 1.44 1.63 2.12 (0.53) ------ ------ -------- -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income ...... (0.40) (0.34) -- 0.45 (0.41) (0.35) (0.36) (0.50) (0.47) Distributions from net realized gains on securities ............. (0.72) (0.72) -- (0.72) (0.72) (0.47) -- -- (0.08) ------ ------ -------- -------- -------- -------- -------- -------- -------- Total distributions .......... (1.12) (1.06) -- (1.17) (1.13) (0.82) (0.36) (0.50) (0.55) ------ ------ -------- -------- -------- -------- -------- -------- -------- Net asset value, end of period ............. $14.76 $14.83 $ 14.16 $ 15.24 $ 15.27 $ 14.49 $ 13.87 $ 12.60 $ 10.98 ====== ====== ======== ======== ======== ======== ======== ======== ======== Total return ................. 7.45%(D) 13.01% 1.43%(D) 7.83%(D) 13.98% 10.63% 13.13% 20.06% (4.71)% ====== ====== ======== ======== ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) ............ $4,468 $1,562 $ 1 $881,290 $817,333 $712,073 $636,420 $557,612 $487,526 Ratios to average net assets (annualized): Expenses, net of waivers(B) ............. 1.09% 1.22% 1.09%(E) 0.31% 0.33% 0.33% 0.37% 0.38% 0.35% Expenses, before waivers(B) ............. 1.06% 1.22% 360.24%(E) 0.31% 0.33% 0.33% 0.37% 0.38% 0.35% Net investment income, net of waivers(B) .......... 2.32% 2.18% 1.52%(E) 3.18% 3.08% 2.70% 2.40% 2.98% 3.39% Net investment income (loss), before waivers(B) ............. 2.36% 2.17% (357.63)%(E) 3.18% 3.08% 2.70% 2.40% 2.98% 3.39% Portfolio turnover rate(F) ................ 19%(D) 59% 58%(G) 19%(D) 59% 58% 62% 69% 84%
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 April 30, ----------------------------------------------- 2007 2006 2005 2004 2003 2002 ----------- ------ ------- -------- ------ -------- (unaudited) Net asset value, beginning of period ............. $ 6.89 $ 6.18 $ 5.82 $ 5.47 $ 4.53 $ 5.66 ------ ------ ------ ------- ------ -------- Income from investment operations: Net investment income(A) ...................... 0.02 0.04 0.04 0.02 0.02 0.03 Net gains (losses) on securities (both realized and unrealized)(A) ................ 0.39 0.70 0.37 0.35 0.94 (1.16) ------ ------ ------ ------- ------ -------- Total income (loss) from investment operations ... 0.41 0.74 0.41 0.37 0.96 (1.13) ------ ------ ------ ------- ------ -------- Less distributions: Dividends from net investment income .......... (0.03) (0.03) (0.05) (0.02) (0.02) -- Distributions from net realized gains on securities ................................. -- -- -- -- -- -- ------ ------ ------ ------- ------ -------- Total distributions .............................. (0.03) (0.03) (0.05) (0.02) (0.02) -- ------ ------ ------ ------- ------ -------- Net asset value, end of period ................... $ 7.27 $ 6.89 $ 6.18 $ 5.82 $ 5.47 $ 4.53 ====== ====== ====== ======= ====== ======== Total return ..................................... 6.00%(B) 12.04% 7.06% 6.71% 21.15% (19.96)% ====== ====== ====== ======= ====== ======== Ratios and supplemental data: Net assets, end of period (in thousands) ...... $ 116 $ 110 $ 105 $ 1 $ 1 $ 1 Ratios to average net assets (annualized):(A) Expenses, net of waivers ...................... 0.90% 0.90% 0.89% 0.84% 0.87% 0.87% Expenses, before waivers ...................... 1.03% 0.99% 4.64% 13.22% 0.87% 0.87% Net investment income (loss), net of waivers .. 0.74% 0.56% (0.18)% 0.18% 0.18% 0.06% Net investment income (loss), before waivers .. 0.61% 0.48% (3.93)% (12.20)% 0.18% 0.06% Portfolio turnover rate(C) .................... 46%(B) 181% 164% 131% 138% 135%
(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, 2002. (B) Not annualized. (C) The Large Cap Growth 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. 104
AMR Class ------------------------------------------------------------ Six Months Ended Year Ended October 31 April 30, ---------------------------------------------- 2007 2006 2005 2004 2003 2002 ----------- ------- ------- ------- ------ ------- (unaudited) Net asset value, beginning of period ............. $ 6.95 $ 6.21 $ 5.84 $ 5.48 $ 4.54 $ 5.67 -------- ------- ------- ------- ------ ------- Income from investment operations: Net investment income(A) ...................... 0.04 0.05 0.06 0.02 0.02 0.02 Net gains (losses) on securities (both realized and unrealized)(A) ................ 0.38 0.73 0.36 0.36 0.93 (1.14) -------- ------- ------- ------- ------ ------- Total income (loss) from investment operations ... 0.42 0.78 0.42 0.38 0.95 (1.12) -------- ------- ------- ------- ------ ------- Less distributions: Dividends from net investment income .......... (0.06) (0.04) (0.05) (0.02) (0.01) (0.01) Distributions from net realized gains on securities ................................. -- -- -- -- -- -- -------- ------- ------- ------- ------ ------- Total distributions .............................. (0.06) (0.04) (0.05) (0.02) (0.01) (0.01) -------- ------- ------- ------- ------ ------- Net asset value, end of period ................... $ 7.31 $ 6.95 $ 6.21 $ 5.84 $ 5.48 $ 4.54 ======== ======= ======= ======= ====== ======= Total return ..................................... 6.12%(B) 12.52% 7.22% 6.88% 21.09% (19.85)% ======== ======= ======= ======= ====== ======= Ratios and supplemental data: Net assets, end of period (in thousands) ...... $103,061 $82,042 $63,183 $55,121 $48,926 $28,017 Ratios to average net assets (annualized):(A) Expenses, net of waivers ...................... 0.60% 0.59% 0.64% 0.71% 0.68% 0.67% Expenses, before waivers ...................... 0.60% 0.59% 0.64% 0.71% 0.68% 0.67% Net investment income (loss), net of waivers .. 1.01% 0.88% 0.98% 0.34% 0.40% 0.30% Net investment income (loss), before waivers .. 1.01% 0.88% 0.98% 0.34% 0.40% 0.30% Portfolio turnover rate(C) .................... 46%(B) 181% 164% 131% 138% 135%
105 AMERICAN BEACON FUNDS MID-CAP VALUE FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class PlanAhead Class ----------------------------------- ----------------------------------- Six Months Ended November 30 to Six Months Ended February 28 to April 30, 2007 October 31, 2006 April 30, 2007 October 31, 2006 ---------------- ---------------- ---------------- ---------------- (unaudited) (unaudited) Net asset value, beginning of period ........ $10.81 $12.09 $ 10.80 $ 9.80 ------ ------ ------- ------- Income from investment operations: Net investment income .................... 0.07 0.21 0.06 0.01 Net gains on securities (both realized and unrealized) ........................... 1.03 1.25 1.02 0.99 ------ ------ ------- ------- Total income from investment operations ..... 1.10 1.46 1.08 1.00 ------ ------ ------- ------- Less distributions: Dividends from net investment income ..... (0.07) (0.16) (0.08) -- Distributions from net realized gains on securities ............................ (0.26) (2.58) (0.26) -- ------ ------ ------- ------- Total distributions ......................... (0.33) (2.74) (0.34) -- ------ ------ ------- ------- Redemption fees added to beneficial interests ................................ -- -- -- -- Net asset value, end of period .............. $11.58 $10.81 $ 11.54 $ 10.80 ====== ====== ======= ======= Total return ................................ 10.39%(C) 15.30% 10.22%(C) 10.20% ====== ====== ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ............................ $5,427 $3,396 $33,361 $27,240 Ratios to average net assets (annualized): Expenses, net of waivers ................. 0.94% 1.19% 1.21% 1.49% Expenses, before waivers ................. 1.04% 1.19% 1.30% 1.61% Net investment income, net of waivers .... 1.34% 1.11% 1.09% 0.57% Net investment income, before waivers .... 1.24% 1.11% 0.99% 0.44% Portfolio turnover rate .................. 9% 42%(E) 9% 42%(E)
(A) On November 30, 2005, the Mid-Cap Value Fund's Institutional Class of shares was renamed the AMR Class and the Fund began offering a new class of shares known as the Institutional Class. (B) Based on average shares outstanding. (C) Not annualized. (D) Annualized. (E) Portfolio turnover rate is for the period from November 1, 2005 through October 31, 2006. 106
AMR Class (formerly Institutional Class prior to December 1, 2005)(A) ---------------------------------------------------- Year Ended October 31 June 30 to Six Months Ended ------------------- October 31 April 30, 2007 2006 2005 31, 2004 ---------------- -------- -------- ----------- (unaudited) Net asset value, beginning of period ........ $ 10.87 $ 11.72 $ 10.27 $ 10.00 -------- ------- ------- ------- Income from investment operations: Net investment income .................... 0.07 0.12 0.13 0.02(B) Net gains on securities (both realized and unrealized) ........................... 1.03 1.75 1.37 0.25 -------- ------- ------- ------- Total income from investment operations ..... 1.10 1.87 1.50 0.27 -------- ------- ------- ------- Less distributions: Dividends from net investment income ..... (0.08) (0.14) (0.05) -- Distributions from net realized gains on securities ............................ (0.26) (2.58) -- -- -------- ------- ------- ------- Total distributions ......................... (0.34) (2.72) (0.05) -- -------- ------- ------- ------- Redemption fees added to beneficial interests ................................ -- -- -- -- Net asset value, end of period .............. $ 11.63 $ 10.87 $ 11.72 $ 10.27 ======== ======= ======= ======= Total return ................................ 10.41%(C) 19.16% 14.63% 2.70%(C) ======== ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ............................ $112,012 $66,290 $44,342 $25,546 Ratios to average net assets (annualized): Expenses, net of waivers ................. 0.78% 0.97% 1.01% 1.14%(D) Expenses, before waivers ................. 0.78% 0.92% 1.02% 1.34%(D) Net investment income, net of waivers .... 1.49% 1.38% 0.92% 0.73%(D) Net investment income, before waivers .... 1.49% 1.42% 0.91% 0.53%(D) Portfolio turnover rate .................. 9% 42% 298% 6%(C)
107 AMERICAN BEACON FUNDS SMALL CAP VALUE OPPORTUNITY FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class -------------------------------------- Six Months Ended March 31 to April 30, 2007 October 31, 2006(A) ---------------- ------------------- (unaudited) Net asset value, beginning of period ........ $10.26 $10.00 ------ ------ Income from investment operations: Net investment income .................... 0.03 0.01 Net gains on securities (both realized and unrealized) ........................... 0.75 0.25 ------ ------ Total income from investment operations ..... 0.78 0.26 ------ ------ Less distributions: Dividends from net investment income ..... (0.03) -- Distributions from net realized gains on securities ............................ (0.01) -- ------ ------ Total distributions ......................... (0.04) -- ------ ------ Net asset value, end of period .............. $11.00 $10.26 ====== ====== Total return ................................ 7.64%(B) 2.60% ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ........................ $8,708 $4,693 Ratios to average net assets (annualized): Expenses, net of waivers ................. 1.05% 1.03% Expenses, before waivers ................. 1.60% 6.12% Net investment income, net of waivers .... 0.61% 0.30% Net investment income (loss), before waivers ............................... 0.06% (4.80)% Portfolio turnover rate .................. 24%(B) 32%
(A) March 31, 2006 is the inception date of the Small Cap Value Opportunity Fund. (B) Not annualized. 108
PlanAhead Class -------------------------------------- Six Months Ended March 31 to April 30, 2007 October 31, 2006(A) ---------------- ------------------- (unaudited) Net asset value, beginning of period ........ $10.26 $ 10.00 Income from investment operations: Net investment income .................... 0.06 0.01 Net gains on securities (both realized and unrealized) ........................... 0.69 0.25 ------ ------- Total income from investment operations ..... 0.75 0.26 ------ ------- Less distributions: Dividends from net investment income ..... (0.06) -- Distributions from net realized gains on securities ............................ (0.01) -- ------ ------- Total distributions ......................... (0.07) -- ------ ------- Net asset value, end of period .............. $10.94 $ 10.26 ====== ======= Total return ................................ 7.44%(B) 2.60% ====== ======= Ratios and supplemental data: Net assets, end of period (in thousands) ........................ $ 413 $ 70 Ratios to average net assets (annualized): Expenses, net of waivers ................. 1.29% 1.28% Expenses, before waivers ................. 1.81% 20.05% Net investment income, net of waivers .... 0.30% 0.21% Net investment income (loss), before waivers ............................... (0.22)% (18.56)% Portfolio turnover rate .................. 24%(B) 32%
109 AMERICAN BEACON FUNDS EMERGING MARKETS FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class -------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, ------------------------------------------- 2007 2006 2005 2004 2003 2002 ----------- ------- ------ ------ ------ ------ (unaudited) Net asset value, beginning of period .......................... $ 17.42 $ 15.10 $12.64 $10.62 $ 7.20 $ 6.64 ------- ------- ------ ------ ------ ------ Income from investment operations: Net investment income(A) ........ 0.06 0.11 0.15 0.07 0.04 0.09 Net gains on securities (both realized and unrealized)(A) .. 3.03 4.63 3.45 2.01 3.43 0.56 ------- ------- ------ ------ ------ ------ Total income from investment operations ...................... 3.09 4.74 3.60 2.08 3.47 0.65 ------- ------- ------ ------ ------ ------ Less distributions: Dividends from net investment income ....................... (0.10) (0.21) (0.06) (0.06) (0.05) (0.09) Distributions from net realized gains on Securities .......... (2.49) (2.21) (1.08) -- -- -- ------- ------- ------ ------ ------ ------ Total distributions ................ (2.59) (2.42) (1.14) (0.06) (0.05) (0.09) ------- ------- ------ ------ ------ ------ Redemption fees added to beneficial Interests ....................... --(B) -- --(B) --(B) -- -- Net asset value, end of period ..... $ 17.92 $ 17.42 $15.10 $12.64 $10.62 $ 7.20 ======= ======= ====== ====== ====== ====== Total return ....................... 18.76%(C) 34.49% 30.11% 19.65% 48.45% 9.80% ======= ======= ====== ====== ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ................... $17,301 $16,552 $9,348 $7,282 $3,557 $1,769 Ratios to average net assets (annualized): Expenses, net of waivers(A) ..... 1.50% 1.56% 1.52% 1.85% 1.76% 1.51% Expenses, before waivers(A) ..... 1.50% 1.56% 1.52% 1.85% 1.76% 1.51% Net investment income (loss), net of waivers(A) ................ 0.64% 0.80% 1.22% 0.74% 0.62% 1.11% Net investment income (loss), before waivers(A) ............ 0.64% 0.80% 1.22% 0.74% 0.62% 1.11% Portfolio turnover rate(E) ...... 40%(C) 67% 63% 76% 80% 94%
(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) Amounts represent less than $0.01 per share. (C) Not annualized. (D) Annualized. (E) 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. (F) Portfolio turnover rate is for the period from November 1, 2001 through October 31, 2002. 110
PlanAhead Class ----------------------------------------------------------- Six Months October Ended Year Ended October 31 01 to April 30, ---------------------------------- October 2007 2006 2005 2004 2003 31, 2002 ----------- ------ ------ ------ ------ -------- (unaudited) Net asset value, beginning of period .......................... $ 17.22 $14.98 $12.53 $10.55 $ 7.19 $ 6.86 ------- ------ ------ ------ ------ ------ Income from investment operations: Net investment income(A) ........ 0.02 0.09 0.15 0.04 0.09 -- Net gains on securities (both realized and unrealized)(A) .. 3.02 4.55 3.41 1.99 3.34 0.33 ------- ------ ------ ------ ------ ------ Total income from investment operations ...................... 3.04 4.64 3.56 2.03 3.43 0.33 ------- ------ ------ ------ ------ ------ Less distributions: Dividends from net investment income ....................... (0.04) (0.19) (0.03) (0.05) (0.07) -- Distributions from net realized gains on Securities .......... (2.49) (2.21) (1.08) -- -- -- ------- ------ ------ ------ ------ ------ Total distributions ................ (2.53) (2.40) (1.11) (0.05) (0.07) -- ------- ------ ------ ------ ------ ------ Redemption fees added to beneficial Interests ....................... --(B) -- --(B) --(B) --(B) -- Net asset value, end of period ..... $ 17.73 $17.22 $14.98 $12.53 $10.55 $ 7.19 ======= ====== ====== ====== ====== ====== Total return ....................... 18.52%(C) 34.16% 29.95% 19.33% 48.07% 4.81%(C) ======= ====== ====== ====== ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ................... $ 7,417 $5,841 $2,592 $1,214 $ 492 $ 1 Ratios to average net assets (annualized): Expenses, net of waivers(A) ..... 1.85% 2.04% 1.75% 2.14% 2.08% 1.87%(D) Expenses, before waivers(A) ..... 1.85% 1.91% 2.01% 2.20% 2.08% 1.87%(D) Net investment income (loss), net of waivers(A) ................ 0.32% 0.49% 1.16% 0.37% 0.57% (0.25)%(D) Net investment income (loss), before waivers(A) ............ 0.32% 0.62% 0.90% 0.31% 0.57% (0.25)%(D) Portfolio turnover rate(E) ...... 40%(C) 67% 63% 76% 80% 94%(F) AMR Class --------------------------------------------------------- Six Months Ended Year Ended October 31 April -------------------------------------------- 30, 2007 2006 2005 2004 2003 2002 ----------- -------- ------- ------- ------- ------- (unaudited) Net asset value, beginning of period .......................... $ 17.52 $ 15.17 $ 12.68 $ 10.66 $ 7.22 $ 6.65 -------- -------- ------- ------- ------- ------- Income from investment operations: Net investment income(A) ........ 0.07 0.15 0.24 0.10 0.07 0.09 Net gains on securities (both realized and unrealized)(A) .. 3.08 4.65 3.42 2.00 3.44 0.59 -------- -------- ------- ------- ------- ------- Total income from investment operations ...................... 3.15 4.80 3.66 2.10 3.51 0.68 -------- -------- ------- ------- ------- ------- Less distributions: Dividends from net investment income ....................... (0.15) (0.24) (0.09) (0.08) (0.07) (0.11) Distributions from net realized gains on Securities .......... (2.49) (2.21) (1.08) -- -- -- -------- -------- ------- ------- ------- ------- Total distributions ................ (2.64) (2.45) (1.17) (0.08) (0.07) (0.11) -------- -------- ------- ------- ------- ------- Redemption fees added to beneficial Interests ....................... --(B) -- -- -- -- -- Net asset value, end of period ..... $ 18.03 $ 17.52 $ 15.17 $ 12.68 $ 10.66 $ 7.22 ======== ======== ======= ======= ======= ======= Total return ....................... 18.86%(C) 34.87% 30.43% 20.00% 48.84% 10.10% ======== ======== ======= ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ................... $163,364 $135,146 $94,864 $74,199 $51,498 $32,731 Ratios to average net assets (annualized): Expenses, net of waivers(A) ..... 1.23% 1.30% 1.25% 1.59% 1.50% 1.26% Expenses, before waivers(A) ..... 1.23% 1.30% 1.25% 1.59% 1.50% 1.26% Net investment income (loss), net of waivers(A) ................ 0.93% 1.01% 1.60% 1.01% 0.92% 1.35% Net investment income (loss), before waivers(A) ............ 0.93% 1.01% 1.60% 1.01% 0.92% 1.35% Portfolio turnover rate(E) ...... 40%(C) 67% 63% 76% 80% 94%
111 AMERICAN BEACON FUNDS HIGH YIELD BOND FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class ------------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, ------------------------------------------------ 2007 2006(A) 2005 2004 2003 2002 ---------- -------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period ............ $ 10.20 $ 10.22 $ 10.86 $ 10.73 $ 9.63 $ 9.82 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income ........................ 0.40 0.88 0.76 0.78 0.78 0.80 Net gains (losses) on securities (both realized and unrealized) ............ 0.24 0.09 (0.84) 0.27 1.10 (0.19) -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations .. 0.64 0.97 (0.08) 1.05 1.88 0.61 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income ......... (0.40) (0.88) (0.76) (0.78) (0.78) (0.80) Distributions from net realized gains on securities ............................. -- (0.11) 0.20 (0.14) -- -- -------- -------- -------- -------- -------- -------- Total distributions ............................. (0.40) (0.99) (0.56) (0.92) (0.78) (0.80) -------- -------- -------- -------- -------- -------- Net asset value, end of period .................. $ 10.44 $ 10.20 $ 10.22 $ 10.86 $ 10.73 $ 9.63 ======== ======== ======== ======== ======== ======== Total return .................................... 6.32%(B) 8.78% 3.03% 10.19% 20.11% 6.28% ======== ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) ..... $279,428 $231,693 $216,744 $241,777 $161,380 $104,813 Ratios to average net assets (annualized): Expenses, net of waivers ..................... 0.84% 0.85% 0.84% 0.88% 0.90% 0.90% Expenses, before waivers ..................... 0.85% 0.85% 0.84% 0.92% 1.00% 0.98% Net investment income, net of waivers ........ 7.71% 7.55% 7.24% 7.27% 7.51% 8.02% Net investment income, before waivers ........ 7.69% 7.55% 7.24% 7.23% 7.41% 7.94% Portfolio turnover rate ...................... 44%(B) 88% 128% 138% 114% 163%
(A) Franklin Advisers, Inc. was added as an investment advisor to the Heigh Yield Bond Fund on September 12, 2006. (B) Not annualized. (C) Annualized. (D) Portfolio turnover rate is for the period from November 1, 2001 through October 31, 2002. 112
PlanAhead Class -------------------------------------------------------------- Six Months March Ended Year Ended October 31 01 to April 30, ------------------------------------- October 2007 2006A 2005 2004 2003 31, 2002 ---------- ------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period ............ $ 10.21 $ 10.22 $ 10.87 $ 10.73 $ 9.63 $10.10 ------- ------- -------- -------- -------- ------ Income from investment operations: Net investment income ........................ 0.39 0.85 0.74 0.74 0.75 0.50 Net gains (losses) on securities (both realized and unrealized) ............ 0.24 0.10 (0.85) 0.28 1.10 (0.47) ------- ------- -------- -------- -------- ------ Total income (loss) from investment operations .. 0.63 0.95 (0.11) 1.02 1.85 0.03 ------- ------- -------- -------- -------- ------ Less distributions: Dividends from net investment income ......... (0.39) (0.85) (0.74) (0.74) (0.75) (0.50) Distributions from net realized gains on securities ............................. -- (0.11) 0.20 (0.14) -- -- ------- ------- -------- -------- -------- ------ Total distributions ............................. (0.39) (0.96) (0.54) (0.88) (0.75) (0.50) ------- ------- -------- -------- -------- ------ Net asset value, end of period .................. $ 10.45 $ 10.21 $ 10.22 $ 10.87 $ 10.73 $ 9.63 ======= ======= ======== ======== ======== ====== Total return .................................... 6.20%(B) 8.63% 2.69% 9.94% 19.57%(B) (0.26)%(B) ======= ======= ======== ======== ======== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ..... $79,551 $80,284 $120,360 $148,266 $125,654 $4,029 Ratios to average net assets (annualized): Expenses, net of waivers ..................... 1.08% 1.08% 1.08% 1.20% 1.24% 1.27%(C) Expenses, before waivers ..................... 1.08% 1.08% 1.08% 1.20% 1.24% 1.27%(C) Net investment income, net of waivers ........ 7.48% 7.33% 7.00% 6.95% 7.11% 7.20%(C) Net investment income, before waivers ........ 7.48% 7.33% 7.00% 6.95% 7.11% 7.20%(C) Portfolio turnover rate ...................... 44%(B) 88% 128% 138% 114% 163%(D)
113 AMERICAN BEACON FUNDS ENHANCED INCOME FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PlanAhead Class --------------------------------------------------- Six Months June Ended Year Ended October 31 30 to April 30, ---------------------------- October 2007 2006 2005 2004 31, 2003 ----------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period .................... $ 10.25 $ 9.98 $ 10.16 $ 9.96 $ 10.00 -------- -------- -------- -------- -------- Income from investment operations: Net investment income ................................ 0.17 0.33 0.29 0.26 0.07(A) Net gains (losses) on securities (both realized and unrealized) ....................................... 0.17 0.29 (0.16) 0.20 (0.04) -------- -------- -------- -------- -------- Total income from investment operations ................. 0.34 0.62 0.13 0.46 0.03 -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income ................. (0.23) (0.35) (0.31) (0.26) (0.07) Distributions from net realized gains on securities .. (0.01) -- -- -- -- -------- -------- -------- -------- -------- Total distributions ..................................... (0.24) (0.35) (0.31) (0.26) (0.07) -------- -------- -------- -------- -------- Net asset value, end of period .......................... $ 10.35 $ 10.25 $ 9.98 $ 10.16 $ 9.96 ======== ======== ======== ======== ======== Total return ............................................ 3.28%(B) 6.36% 1.32% 4.70% 0.32%(B) ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) ............. $101,330 $125,915 $112,341 $103,897 $101,072 Ratios to average net assets (annualized): Expenses ............................................. 0.94% 0.93% 0.92% 1.00% 0.93%(C) Net investment income ................................ 3.63% 3.21% 2.79% 2.54% 2.20%(C) Portfolio turnover rate .............................. 63%(B) 65% 41% 72% 57%(B)
(A) Based on average shares outstanding. (B) Not annualized. (C) Annualized. 114 AMERICAN BEACON INTERMEDIATE BOND FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class (formerly AMR Class prior to 3/1/05) --------------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, ------------------------------------------------- 2007 2006 2005(A) 2004 2003 2002 ----------- ------- ------- ------- -------- -------- (unaudited) Net asset value, beginning of period ........... $ 10.02 $ 10.01 $ 10.33 $ 10.24 $ 10.22 $ 10.30 -------- ------- ------- ------- -------- -------- Income from investment operations: Net investment income(B) .................... 0.24 0.46 0.42 0.40 0.45 0.53 Net gains (losses) on securities (both realized and unrealized)(B) ........ 0.06 0.02 (0.29) 0.14 0.02 (0.08) -------- ------- ------- ------- -------- -------- Total income from investment operations ........ 0.30 0.48 0.13 0.54 0.47 0.45 -------- ------- ------- ------- -------- -------- Less distributions: Dividends from net investment income ........ (0.24) (0.47) (0.45) (0.45) (0.45) (0.53) Distributions from net realized gains on securities ............................ -- -- -- -- -- -------- ------- ------- ------- -------- -------- Total distributions ............................ (0.24) (0.47) (0.45) (0.45) (0.45) (0.53) -------- ------- ------- ------- -------- -------- Net asset value, end of period ................. $ 10.08 $ 10.02 $ 10.01 $ 10.33 $ 10.24 $ 10.22 ======== ======= ======= ======= ======== ======== Total return ................................... 3.05%(C) 4.96% 1.26% 5.38% 4.62% 4.57% ======== ======= ======= ======= ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) .... $101,207 $97,319 $93,270 $96,242 $131,927 $144,098 Ratios to average net assets (annualized): Expenses, net of waivers(B) ................. 0.34% 0.35% 0.31% 0.34% 0.32% 0.30% Expenses, before waivers(B) ................. 0.34% 0.35% 0.31% 0.34% 0.32% 0.30% Net investment income, net of waivers(B) .... 4.79% 4.64% 4.12% 3.97% 4.32% 5.23% Net investment income, before waivers(B) .... 4.79% 4.64% 4.12% 3.97% 4.32% 5.23% Portfolio turnover rate(D) .................. 40%(C) 122% 119% 106% 187% 185%
(A) 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. (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 Intermediate Bond Portfolio through February 28, 2002 (C) Not annualized. (D) 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. 115 AMERICAN BEACON SHORT-TERM BOND FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class (formerly AMR Class prior to 3/1/05) --------------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, ------------------------------------------------- 2007 2006 2005(A) 2004 2003 2002 ----------- ------- ------- ------- ------- ------- (unaudited) Net asset value, beginning of period ........... $ 8.74 $ 8.75 $ 9.07 $ 9.31 $ 9.44 $ 9.60 ------- ------- ------- ------- ------- ------- Income from investment operations: Net investment income (loss)(B) ............. 0.19(E) 0.32(E) 0.29 0.27 0.42 0.44 Net gains (losses) on securities (both realized and unrealized)(B) ........ 0.08 0.07 (0.20) (0.05) (0.07) (0.11) ------- ------- ------- ------- ------- ------- Total income from investment operations ........ 0.27 0.39 0.09 0.22 0.35 0.33 ------- ------- ------- ------- ------- ------- Less distributions: Dividends from net investment income ........ (0.21) (0.40) (0.41) (0.46) (0.48) (0.49) Distributions from net realized gains on securities ............................ -- -- -- -- -- -- ------- ------- ------- ------- ------- ------- Total distributions ............................ (0.21) (0.40) (0.41) (0.46) (0.48) (0.49) ------- ------- ------- ------- ------- ------- Net asset value, end of period ................. $ 8.80 $ 8.74 $ 8.75 $ 9.07 $ 9.31 $ 9.44 ======= ======= ======= ======= ======= ======= Total return ................................... 3.11%(C) 4.56% 1.00% 2.39% 3.82% 3.60% ======= ======= ======= ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) .... $84,375 $73,417 $79,683 $80,504 $91,911 $89,932 Ratios to average net assets (annualized): Expenses, net of waivers(B) ................. 0.35% 0.35% 0.33% 0.33% 0.33% 0.30% Expenses, before waivers(B) ................. 0.35% 0.35% 0.33% 0.33% 0.33% 0.30% Net investment income, net of waivers(B) .... 4.33% 3.64% 3.15% 3.00% 4.54% 4.63% Net investment income, before waivers(B) .... 4.33% 3.64% 3.15% 3.00% 4.54% 4.63% Portfolio turnover rate(D) .................. 27%(C) 48% 38% 41% 81% 63%
(A) 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. (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) 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. (E) Based upon average shares outstanding. 116
PlanAhead Class -------------------------------------------------------- Six Months Ended Year Ended October 31 April 30, ------------------------------------------ 2007 2006 2005 2004 2003 2002 ----------- ------ ------ ------ ------ ------ (unaudited) Net asset value, beginning of period ........... $ 8.76 $ 8.77 $ 9.09 $ 9.33 $ 9.45 $ 9.62 ------ ------ ------ ------ ------ ------ Income from investment operations: Net investment income (loss)(B) ............. 0.17 0.27 0.28 0.25 0.39 0.43 Net gains (losses) on securities (both realized and unrealized)(B) ........ 0.07 0.07 (0.24) (0.07) (0.08) (0.14) ------ ------ ------ ------ ------ ------ Total income from investment operations ........ 0.24 0.34 0.04 0.18 0.31 0.29) ------ ------ ------ ------ ------ ------ Less distributions: Dividends from net investment income ........ (0.19) (0.35) (0.36) (0.42) (0.43) (0.46) Distributions from net realized gains on securities ............................ -- -- -- -- -- -- ------ ------ ------ ------ ------ ------ Total distributions ............................ (0.19) (0.35) (0.36) (0.42) (0.43) (0.46) ------ ------ ------ ------ ------ ------ Net asset value, end of period ................. $ 8.81 $ 8.76 $ 8.77 $ 9.09 $ 9.33 $ 9.45 ====== ====== ====== ====== ====== ====== Total return ................................... 2.73%(C) 4.01% 0.46% 1.84% 3.38% 3.16% ====== ====== ====== ====== ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) .... $5,771 $7,189 $8,582 $7,781 $5,783 $3,520 Ratios to average net assets (annualized): Expenses, net of waivers(B) ................. 0.87% 0.88% 0.87% 0.87% 0.86% 0.73% Expenses, before waivers(B) ................. 0.93% 0.90% 0.94% 0.87% 0.86% 0.77% Net investment income, net of waivers(B) .... 3.79% 3.10% 2.59% 2.44% 4.00% 4.16% Net investment income, before waivers(B) .... 3.73% 3.08% 2.52% 2.44% 4.00% 4.12% Portfolio turnover rate(D) .................. 27%(C) 48% 38% 41% 81% 63%
117 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) In prior years, the Board of Trustees ("Board" or "Trustees") typically has considered the annual renewal of the existing Management Agreement between American Beacon Advisors, Inc. (the "Manager") and the American Beacon Funds (the "Trust"), on behalf of the Balanced, Large Cap Growth, Mid-Cap Value, Small Cap Value Opportunity, Emerging Markets, High Yield Bond, Enhanced Income, Intermediate Bond and Short-Term Bond Funds (each, a "Fund" and collectively, the "Funds"), and each Investment Advisory Agreement between the Manager and a sub-advisor at the Board meeting held in the first quarter of each year. At the November 15, 2006 meeting, the Board decided to conduct these annual renewals at their second quarter meeting each year to enable the Trustees to consider more year-end data in their deliberations. At the March 8, 2007 Board meeting, the Board considered renewal of the Management and Investment Advisory Agreements on an interim basis until the Board meeting scheduled for the second quarter, at which meeting the Board would perform a comprehensive review of factors relevant to an annual renewal. In connection with the interim renewal, the Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager. Further, the Board took into consideration information furnished for the Board's review and consideration throughout the year at regular Board and Investment Committee meetings. The Trustees considered, among other materials, responses by the Manager to inquiries requesting: - an explanation, if applicable, of any deterioration in longer-term performance by a Fund or sub-advisor since the last contract renewal and any remedial measures the Manager has taken or intends to take; - the Manager's and each sub-advisor's fee rate schedule for a Fund and whether the Manager intends to continue any current fee waivers or reimbursements; - an explanation of any significant change in a Fund's expense ratio since the last contract renewal and any actions the Manager has taken or intends to take; - a description of any significant changes (actual or anticipated) to personnel and the reasons for such changes; - a discussion of any material developments at the Funds' sub-advisors relevant to the Funds; - a discussion of any material compliance problems encountered by the Manager or the sub-advisors and remedial actions; - 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; - information regarding material changes to the Manager's and sub-advisors' codes of ethics and insider trading policies; and - any material changes to the Manager's or sub-advisors' information provided in connection with the last annual contract renewal. The Trustees also received a memorandum from their legal counsel detailing the Board's 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. Provided below is an overview of the primary factors the Board considered at its March 2007 meeting. The Board did not identify any particular information that was most relevant to its consideration to renew the Management and Investment Advisory Agreements, and each Trustee may have afforded different weight to the various factors. The Board determined that certain factors typically considered in connection with an annual renewal were not material with respect to an interim renewal. As such, the following factors were not considered by the Board and were deferred to the next regular Board meeting to be considered in connection with the annual renewal: - the profits realized by the Manager and the sub-advisors and their affiliates from their relationship with a Fund; 118 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) - the extent to which economies of scale may be realized as a Fund grows; - whether the level of fees reflects those economies of scale for the benefit of a Fund's investors; - comparisons of services and fees with contracts entered into by the Manager and a sub-advisor or their affiliates with other clients (such as pension funds and other institutional investors); and - ancillary benefits to be realized by the Manager and the sub-advisors as a result of the relationship with the Funds. Considerations and Conclusions with Respect to All Funds In determining whether to renew the Management and Investment Advisory Agreements on an interim basis, the Trustees considered the best interests of each Fund separately. The following considerations and conclusions are applicable to all Funds. Cost of Services. With respect to the Management Agreement, the Board noted that the Manager proposed to continue most of the expense waivers and reimbursements that were in place for each applicable Fund's 2006 fiscal year as well as implement additional waivers and/or reimbursements. The Board considered that, in many cases, the Manager has negotiated the lowest sub-advisory fee a sub-advisor charges for any comparable client accounts. In determining whether to renew the Investment Advisory Agreements, the Board considered that 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 pension plans shall be considered where applicable. Thus, the Funds are able to receive additional break point benefits resulting from the sub-advisor's management of a larger pool of assets. For the Funds listed below under Additional Considerations and Conclusions with Respect to Certain Funds, the Board also considered information regarding changes in the Fund's fees and expenses since the last contract renewal. Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Trustees considered that the Manager continues to provide high-quality services to each Fund at a low cost to investors and provides a comprehensive compliance program for each Fund. Additionally, the Manager manages a portion of the assets of certain Funds and allocates the assets of certain Funds among itself and the Funds' sub-advisors, if applicable, and monitors and evaluates the performance of the sub-advisors. Based on this information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each sub-advisor were appropriate for each Fund and, thus, supported a decision to renew the Management and each Investment Advisory Agreement on an interim basis. Investment Performance. The Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. For the Funds listed below under Additional Considerations and Conclusions with Respect to Certain Funds, the Board also considered information provided by the Manager regarding significant deterioration in a Fund's or sub-advisor's longer-term performance as a result of significant underperformance for the 2006 calendar year. Additional Considerations and Conclusions with Respect to Certain Funds In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreement with Hotchkis and Wiley Capital Management, LLC ("Hotchkis") on behalf of the Balanced Fund, the Trustees considered that Hotchkis underperformed its benchmark index for the 2006 calendar year, but that the Fund's performance exceeded that of its Lipper Index. In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreement with Goldman Sachs Asset Management, L.P. ("GSAM") on behalf of the Large Cap Growth Fund, the Trustees considered that GSAM underperformed its benchmark index for the 2006 calendar year, but that the Fund's overall performance exceeded that of its Lipper Index. 119 DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED) In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreements with Barrow, Hanley, Mewhinney & Strauss, Inc. ("Barrow") and Pzena Investment Management, Inc. ("Pzena") on behalf of the Mid-Cap Value Fund, the Trustees considered that Barrow and Pzena underperformed their benchmark index for the 2006 calendar year, but that the Fund's overall performance exceeded that of its Lipper Index. In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreement with PanAgora Asset Management, Inc. ("PanAgora") on behalf of the Small Cap Value Opportunity Fund, the Trustees considered that PanAgora underperformed its benchmark index for the 2006 calendar year, but that the Fund's overall performance exceeded that of its Lipper Index. In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreement with The Boston Company Asset Management, LLC ("TBCAM") on behalf of the Emerging Markets Fund, the Trustees considered that TBCAM underperformed its benchmark index for the 2006 calendar year, but that the Fund's overall performance exceeded that of its Lipper Index. In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreements with Post Advisory Group, LLC ("Post") and Franklin Advisers, Inc. ("Franklin") on behalf of the High Yield Bond Fund, the Trustees considered that Post and Franklin underperformed their benchmark index for the 2006 calendar year, and the Fund's overall performance trailed that of its Lipper Index. The Fund's performance trailed for the three-year period and exceeded for the five-year period that of its Lipper Index. In considering the renewal of the Investment Advisory Agreement with Barrow, sub-advisor to the Balanced, Mid-Cap Value, and Intermediate Bond Funds, the Trustees considered that Barrow had eliminated the last break point on its fee rate schedule, but that Barrow's combined fee rate for each Fund under its management was still among the lowest fees charged by a sub-advisor. In considering the renewal of the Investment Advisory Agreement with Pzena, sub-advisor to the Mid-Cap Value Fund, the Trustees considered that Pzena's combined fee rate had increased as a result of expiration of a reduced fee rate schedule, but that increased assets in the Mid-Cap Value Fund had resulted in a lower overall expense ratio for the Mid-Cap Value Fund. In considering the renewal of the Management Agreement with the Manager for the remaining Funds and the Investment Advisory Agreements with the sub-advisors to those Funds, the Trustees considered that 1) the Funds and sub-advisors outperformed or only slightly underperformed the respective benchmark index for the 2006 calendar year, and 2) the fee rate schedules for the Manager and each sub-advisor had not changed since the last contract renewal. Based on these considerations and those noted above with respect to all Funds, the Trustees determined that the Funds and their shareholders would benefit from the Manager's and, where applicable, the sub-advisors' continued management of the Funds until the next regular Board meeting and approved the renewal of the Agreements with respect to each of the Funds on an interim basis until the next regular Board meeting. 120 (This page intentionally left blank) (AMERICAN BEACON FUNDS(SM) 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: (GRAPHIC) (GRAPHIC) BY E-MAIL: ON THE INTERNET: american_beacon.funds@ambeacon.com Visit our website at www.americanbeaconfunds.com (GRAPHIC) (GRAPHIC) BY TELEPHONE: BY MAIL: Institutional Class American Beacon Funds Call (800) 658-5811 P.O. Box 219643 AMR Class(SM) Kansas City, MO 64121-9643 Call (800) 345-2345 PlanAhead Class(R) and Service Class Call (800) 388-3344 AVAILABILITY OF QUARTERLY AVAILABILITY OF PROXY VOTING PORTFOLIO SCHEDULES POLICY AND RECORDS In addition to the Schedule of A description of the policies and Investments provided in each procedures the Fund uses to determine semi-annual and annual report, the how to vote proxies relating to Fund files a complete schedule of its portfolio securities is available in the portfolio holdings with the Fund's Statement of Additional Securities and Exchange Commission Information, is available free of charge ("SEC") on Form N-Q as of the first on the Fund's website and third fiscal quarters. The Fund's (www.americanbeaconfunds.com) and by Forms N-Q are available on the SEC's calling 1-800-967-9009 or by accessing website at www.sec.gov. The Forms N-Q the SEC's website at www.sec.gov. The may also be reviewed and copied at Fund's proxy voting record for the most the SEC's Public Reference Room, 450 recent year ended June 30 is filed Fifth Street, NW, Washington, DC annually with the SEC on Form N-PX. The 20549. Information regarding the Fund's Forms N-PX are available on the operation of the SEC's Public SEC's website at www.sec.gov. The Fund's Reference Room may be obtained by proxy voting record may also be obtained calling 1-800-SEC-0330. A complete 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 month.
FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED DISTRIBUTOR STATE STREET BOSTON FINANCIAL PUBLIC ACCOUNTING FIRM FORESIDE FUND BANK AND TRUST DATA SERVICES ERNST & YOUNG LLP SERVICES Boston, Kansas City, Dallas, Texas Portland, Maine Massachusetts Missouri 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 Growth Fund, American Beacon Mid-Cap Value Fund, American Beacon Small Cap Value Opportunity Fund, American Beacon Emerging Markets Fund, American Beacon High Yield Bond Fund, American Beacon Enhanced Income Fund, American Beacon Intermediate Bond and American Beacon Short-Term Bond Fund are service marks of American Beacon Advisors, Inc. SAR 04/07 539889 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/ Douglas G. Herring -------------------- Douglas G. Herring President Date: July 3, 2007 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/ Douglas G. Herring -------------------- Douglas G. Herring President Date: July 3, 2007 By /s/ Rebecca L. Harris --------------------- Rebecca L. Harris Treasurer Date: July 3, 2007 EX-99.CERT 2 ex99cert.txt CERTIFICATION For period ended 04/30/2007 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 3, 2007 /s/ Rebecca L. Harris ------------ --------------------- Rebecca L. Harris Treasurer American Beacon Funds I, Douglas G. Herring, 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 3, 2007 /s/ Douglas G. Herring ------------ -------------------- Douglas G. Herring President American Beacon Funds EX-99.906 CERT 3 ex906cert.txt SOX CERTIFICATION For period ended 04/30/2007 Registrant Name: American Beacon Funds File Number: 811-4984 EXHIBIT 99.906CERT Douglas G. Herring 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, 2007 (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/ Douglas G. Herring /s/ Rebecca L. Harris - -------------------- -------------------- Douglas G. Herring Rebecca L. Harris President Treasurer American Beacon Funds American Beacon Funds Date: July 3, 2007 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-----