-----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, DCaptEDEm+hT/6Xos0b6ncDukJqXu6Ay8tKfaUuT9zvS4ZqoQAw3cclEylY0tNRz 6Nub7d5AQk7mj95UweIanQ== 0000809593-08-000022.txt : 20080701 0000809593-08-000022.hdr.sgml : 20080701 20080701153539 ACCESSION NUMBER: 0000809593-08-000022 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20080430 FILED AS OF DATE: 20080701 DATE AS OF CHANGE: 20080701 EFFECTIVENESS DATE: 20080701 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: 08929471 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 C000050486 Service Class AMCSX 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 C000052225 AMR Class ABMRX 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 ncsr0408.txt BEACON NCSR APRIL 2008 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, 2008 Date of reporting period: April 30, 2008 ITEM 1. REPORTS TO STOCKHOLDERS. GUIDANCE | VISION | EXPERIENCE (AMERICAN BEACON FUNDS(SM) LOGO) (GRAPHIC) SEMI-ANNUAL REPORT April 30, 2008 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, 2008 (PHOTO OF WILLIAM F. QUINN) FELLOW SHAREHOLDERS, I am pleased to present to you the American Beacon International Equity Fund Semi-Annual Report for the six months ended April 30, 2008. The American Beacon International Equity Fund-Institutional Class reported a total return of -7.87% for this six-month period, with an expense ratio of 0.68% for its most recent fiscal year ended October 31, 2007. The sub-prime mortgage crisis, rising oil and food prices globally all contributed to a slowing economy that affected the developed international equity markets negatively in the past six months. This was evident when the MSCI EAFE Index reported a return of -9.21% for this period. During the period, the uncertainties surrounding banks, investment banks and the entire financial system have resulted in an extraordinary amount of volatility. We believe the Fund's fundamental value investment philosophy and lower than average expense ratio will continue to serve the Fund well over the longer 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 International Equity Fund. Sincerely, /s/ William F. Quinn William F. Quinn President American Beacon Funds 1 INTERNATIONAL EQUITY MARKET OVERVIEW APRIL 30, 2008 (UNAUDITED) For the six months ended April 30, 2008, the MSCI EAFE Index produced a negative return of -9.21% in U.S. dollar terms. This contrasts with an extended period of exceptional performance from international equity markets from the lows of March 31, 2003 through the peak of October 31, 2007. For that period, the MSCI EAFE Index generated 28% annualized returns, which was in part due to the tail wind of a depreciating U.S. dollar. Since last summer, however, investors have turned cautious, seeking shelter from slowing global economic growth, rising inflationary pressures, and persistent turmoil in the U.S.-originated, mortgage-related credit crunch. The first three months of 2008, in fact, delivered the worst quarterly performance for international equity markets in the past five years. Unprecedented monetary policy responses eventually brought financial stability and averted a more serious global credit crisis. This policy relief, led by the U.S. Federal Reserve (the "Fed") and Treasury stopped the hemorrhaging of global equity markets late in the month of March 2008, and equity markets rebounded strongly in April. Returns during the past six months were further enhanced by continued U.S. dollar weakness, which was due to further slowing in the U.S. economy and negative real interest rates. Every stock market in the MSCI EAFE benchmark delivered negative performance during the six-month period ending April 30, 2008. Only two sectors managed to escape the wrath of poor equity performance during this period: Energy and Materials. Crude oil continued its meteoric rise to nearly $120 per barrel before settling to $113.46 at April month end. Global inflationary expectations have increased as food, the most fundamental commodity, rose dramatically in price. Trade restrictions, drought, and alternative energy uses drove futures prices higher, especially for grains, oilseeds, and specialty crops. In contrast, the Financials, Consumer Discretionary, Consumer Staples, Information Technology, and Telecommunication Services sectors all produced double-digit declines over the trailing six months. By the end of March, investor sentiment once again turned dramatically--this time for the better--with an expectation that the U.S.-led financial crisis would be less severe than originally estimated. As a beneficiary of investor optimism, the Financial sector of the MSCI EAFE Index returned over 18% from the mid-March lows through the end of April. The International Monetary Fund ("IMF") reduced its estimate for U.S. economic growth for 2008 to 0.5%, lowering the 1.5% forecast given in January of this year. The IMF also reduced its global growth forecast to 3.7% for 2008 from 4.1%. At the regularly scheduled meeting on March 18th, the Fed cut the target Federal Funds rate by 0.75% to 2.25% stating that "the outlook for economic activity has weakened further." At its next meeting at the end of April, the Fed lowered the targeted Federal Funds and the discount rates by 0.25% and sent a message that both the cumulative effects of past policy decisions and inflation are being watched closely. U.S. consumer prices remained unchanged from January to February, but were 4.0% higher than a year earlier. Consumer prices in Britain rose by 2.5% for the 12 months ended in February, up from 2.2% in the year through January. In the Euro area, consumer prices rose by 3.3% for the 12 months ended in February. Eurozone statistics reflect decelerating growth, but elevated prices remain the European Central Bank's primary concern and likely will delay monetary easing. Unemployment in the European Union continued its downward trend, reaching 7.1% in January and February. The strong euro and yen are providing significant headwinds to non-hedged exporters based in Europe and Japan. Canadian unemployment reached a 33-year low of 5.8% in February while its annualized consumer price index dropped to 1.8%. With over 70% of global Gross Domestic Product accounted for by the developed countries, G-7 economic slowing should lessen the global demand for commodities, including metals, grains, and energy. 2 PERFORMANCE OVERVIEW AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the International Equity Fund returned -7.87% for the six months ended April 30, 2008. The Fund outperformed the MSCI EAFE Index ("Index") return of -9.21% and the Lipper International Funds Index return of -9.66% for the period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 ---------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1, 4) ....... -7.87% -1.48% 20.46% 8.23% PlanAhead Class(1, 4) ........... -7.99% -1.77% 20.17% 7.99% Service Class(1, 2, 4) .......... -8.05% -1.99% 19.84% 7.85% AMR Class(1, 4) ................. -7.72% -1.23% 20.79% 8.51% Lipper Int'l. Funds Index(3) .... -9.66% 1.36% 20.72% 7.33% MSCI EAFE Index (3) ............. -9.21% -1.78% 20.42% 6.66%
* 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 ten-year period represents the total returns achieved by the PlanAhead Class from 4/30/98 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 4/30/98. A portion of the fees charged 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 0.68%, 0.93%, 1.15% and 0.42%, 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 by 1.34% over the six-month period due to stock selection and country allocation. Country allocation benefited the Fund, primarily through underweighting Australia (down approximately 14%), and overweighting the Netherlands (down over 5%). These positions compensated for value lost from investing in South Korea (down nearly 18%) and underweighting Japan (down over 6%). Stock selection had a significantly positive impact overall, specifically in South Korea, the Netherlands, Germany, and Sweden, while stock selections in Norway detracted from performance. In South Korea, Samsung Electronics (up 16.1%) and LG Electronics (up 49.7%) benefited performance. Unilever (up 4.9%) in the Netherlands, Deutsche Post (up 3.1%) and E.ON (up 4.3%) in Germany, and Atlas Copco (down 0.7%) in Sweden also contributed to the relative outperformance. Investment in energy stock Aker Solutions (down 24.6%) hurt performance in Norway. 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, 2008 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- BP plc .......................... 2.4% Sanofi-Aventis S.A. ............. 2.3% Siemens AG ...................... 2.2% E.ON AG ......................... 1.9% Total S.A. ...................... 1.9% Vodafone Group plc .............. 1.9% Deutsche Post AG ................ 1.8% Royal Dutch Shell plc ........... 1.8% Novartis AG ..................... 1.7% UniCredit S.p.A. ................ 1.6%
SECTOR ALLOCATION
% OF EQUITIES ---------- Financials ...................... 24.3% Consumer Discretionary .......... 13.2% Industrials ..................... 12.5% Energy .......................... 10.8% Telecommunication Services ...... 8.8% Consumer Staples ................ 8.2% Health Care ..................... 7.7% Materials ....................... 6.0% Information Technology .......... 4.4% Utilities ....................... 4.1%
REGIONAL ALLOCATION* (PIE CHART) Central America 0.4% Europe 76.8% Pacific Rim 20.4% North America 2.4%
* Shown as a percentage of equities 4 FUND EXPENSES AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) APRIL 30, 2008 (UNAUDITED) 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, 2007 through April 30, 2008. 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.
Beginning Ending Account Account Expenses Paid Value Value During Period* 11/1/07 4/30/08 11/1/07-4/30/08 --------- --------- --------------- INSTITUTIONAL CLASS Actual ............... $1,000.00 $ 921.30 $3.15 Hypothetical ......... $1,000.00 $1,021.58 $3.32 (5% return before expenses) PLANAHEAD CLASS Actual ............... $1,000.00 $ 920.09 $4.39 Hypothetical ......... $1,000.00 $1,020.29 $4.62 (5% return before expenses) SERVICE CLASS Actual ............... $1,000.00 $ 919.50 $5.49 Hypothetical ......... $1,000.00 $1,019.14 $5.77 (5% return before expenses) AMR CLASS Actual ............... $1,000.00 $ 922.77 $1.91 Hypothetical ......... $1,000.00 $1,022.87 $2.01 (5% return before expenses)
* Expenses are equal to the Fund's annualized expense ratios for the six-month period of 0.66%, 0.92%, 1.15% and 0.40% 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 (182) by days in the year (366) to reflect the half-year period. 5 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ----------- ---------- (DOLLARS IN THOUSANDS) AUSTRALIA - 0.84% COMMON STOCKS - 0.84% Insurance Australia Group Ltd. ................... 1,634,781 $ 6,710 National Australia Bank Ltd. ..................... 342,730 9,769 Suncorp-Metway Ltd. .............................. 436,944 5,627 ---------- TOTAL AUSTRALIA ..................................... 22,106 ---------- AUSTRIA - 0.20% COMMON STOCKS - 0.20% Telekom Austria AG ............................... 214,770 5,315 ---------- BELGIUM - 0.97% COMMON STOCKS - 0.97% Delhaize Group ................................... 148,220 12,923 Fortis Bank N.V. ................................. 459,700 12,569 ---------- TOTAL BELGIUM ....................................... 25,492 ---------- CANADA - 2.27% COMMON STOCKS - 2.27% Husky Energy, Inc. + ............................. 138,160 6,239 Jean Coutu Group PJC, Inc. ....................... 371,200 3,483 Manulife Financial Corp. + ....................... 316,123 12,358 Precision Drilling Trust ......................... 565,284 14,145 TELUS Corp. ...................................... 516,074 23,245 ---------- TOTAL CANADA ........................................ 59,470 ---------- DENMARK - 0.37% COMMON STOCKS - 0.37% Vestas Wind Systems A/S ## ....................... 89,236 9,784 ---------- FINLAND - 1.67% COMMON STOCKS - 1.67% Nokia Oyj ........................................ 364,900 11,236 Stora Enso Oyj ................................... 213,542 2,648 Stora Enso Oyj, A Shares ......................... 68,102 845 Stora Enso Oyj, R Shares ......................... 232,400 2,888 UPM-Kymmene Oyj ..................................... 1,356,694 26,311 ---------- TOTAL FINLAND ....................................... 43,928 ---------- FRANCE - 13.48% COMMON STOCKS - 13.48% Accor S. A. ...................................... 153,690 12,791 AXA S.A. + ....................................... 913,738 34,107 BNP Paribas ...................................... 210,308 22,741 Compagnie Generate des Etablissements Michelin ... 95,590 8,772 Credit Agricole S.A. ............................. 384,400 12,995 Electricite de France ............................ 127,258 13,353 France Telecom S.A. .............................. 1,289,858 40,603
SHARES VALUE ----------- ---------- (DOLLARS IN THOUSANDS) Gaz de France S.A. ............................... 212,500 $ 14,049 Groupe Danone .................................... 93,600 8,307 Public's Groupe S.A. ............................. 267,015 10,819 Sanofi-Aventis S.A. .............................. 765,497 59,944 Societe Generale ................................. 39,300 4,612 Societe Generale ## .............................. 9,825 1,138 Suez S.A. ........................................ 116,110 8,249 Technip S.A. ..................................... 279,983 25,951 Thomson S.A. ..................................... 361,550 2,315 Total S.A. ....................................... 597,776 50,347 VINCI S.A. ....................................... 308,839 22,873 ---------- TOTAL FRANCE ........................................ 353,966 ---------- GERMANY -10.21% COMMON STOCKS - 9.71% adidas AG ........................................ 112,000 7,168 Allianz AG ....................................... 37,902 7,749 Bayer AG + ....................................... 174,807 14,958 Bayerische Motoren Werke AG ...................... 247,420 13,618 Celesio AG ## + .................................. 260,090 11,188 Continental AG + ................................. 41,792 4,929 Daimler AG ....................................... 113,100 8,818 Deutsche Post AG ................................. 1,481,529 46,336 E.ON AG + ........................................ 249,123 50,845 Infineon Technologies AG ......................... 684,640 6,425 Merck KGAA ....................................... 60,560 8,625 Muenchener Rueckversicherungs-Gesellschaft AG .... 47,997 9,313 SAP AG ........................................... 149,300 7,551 Siemens AG ....................................... 487,198 57,489 ---------- TOTAL COMMON STOCKS ................................. 255,012 ---------- PREFERRED STOCKS - 0.50% Henkel AG & Co. KGaA ............................. 309,010 13,196 ---------- TOTAL GERMANY ....................................... 268,208 ---------- GREECE - 0.84% COMMON STOCKS - 0.84% National Bank of Greece S.A ...................... 83,600 4,642 OPAP S.A. ........................................ 134,554 5,253 Public Power Corp. S.A ........................... 289,480 12,240 ---------- TOTAL GREECE ........................................ 22,135 ---------- HONG KONG/CHINA - 1.24% COMMON STOCKS - 1.24% Cheung Kong Holdings Ltd. ........................ 501,500 7,812 Hutchison Whampoa Ltd. ........................... 199,000 1,947 Swire Pacific Ltd. ............................... 957,100 11,188
See accompanying notes 6 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ---------- (DOLLARS IN THOUSANDS) Yue Yuen Industrial Holdings Ltd. ................ 3,777,667 $ 11,489 ---------- TOTAL HONG KONG/CHINA ............................... 32,436 ---------- IRELAND - 2.01% COMMON STOCKS - 2.01% Allied Irish Banks plc ........................... 660,698 13,927 C&C Group plc .................................... 665,777 4,553 CRH plc .......................................... 437,423 16,700 CRH plc, ADR ..................................... 231,325 8,871 Smurfit Kappa Group plc .......................... 688,413 8,600 ---------- TOTAL IRELAND ....................................... 52,651 ---------- ITALY - 3.65% COMMON STOCKS - 3.65% Eni S.p.A. + ..................................... 668,511 25,825 Mediaset S.p.A. + ................................ 1,740,180 15,936 Telecom Italia S.p.A. ............................ 5,381,829 11,361 UniCredit S.p.A. + ............................... 5,602,675 42,692 ---------- TOTAL ITALY ......................................... 95,814 ---------- JAPAN - 12.66% COMMON STOCKS - 12.66% Aeon Co. Ltd. .................................... 977,600 14,262 Canon, Inc. ...................................... 91,800 4,591 Chiyoda Corp. + .................................. 739,000 5,558 Chuo Mitsui Trust Holdings, Inc. ................. 1,093,400 7,771 Daito Trust Construction Co. Ltd. ................ 184,500 8,588 East Japan Railway Co. ........................... 783 6,242 FUJIFILM Holdings Corp. .......................... 114,400 4,390 Haseko Corp. ..................................... 6,142,518 8,861 Hitachi Ltd. ..................................... 685,500 4,621 Honda Motor Co. Ltd. ............................. 586,600 18,616 HOYA Corp. ....................................... 147,700 4,091 INPEX Holdings, Inc. ............................. 478 5,332 Japan Tobacco, Inc. .............................. 1,605 7,810 JS Group Corp. ................................... 491,200 8,507 JSR Corp. ........................................ 204,100 4,603 Konica Minolta Holdings, Inc. .................... 499,500 7,474 Mitsubishi Gas Chemical Co., Inc. ................ 387,000 2,654 Mitsubishi UFJ Financial Group, Inc. ............. 3,454,000 37,999 NGK Spark Plug Co. Ltd. + ........................ 899,000 12,078 Nidec Corp. ...................................... 90,100 6,784 Nintendo Co. Ltd. ................................ 20,500 11,257 Sankyo Co. Ltd. .................................. 243,400 14,630 Sekisui House Ltd. ............................... 864,600 8,223 Shin-Etsu Chemical Company Ltd. .................. 85,200 5,260 Sony Corp. ....................................... 108,402 4,983 Sony Financial Holdings, Inc. .................... 3,261 13,767 Sumitomo Corp. ................................... 810,300 10,886
SHARES VALUE ----------- ---------- (DOLLARS IN THOUSANDS) Sumitomo Mitsui Financial Group, Inc. ............ 864 $ 7,436 Sumitomo Trust and Banking Co. Ltd. .............. 1,190,400 10,704 Takeda Pharmaceutical Co. Ltd. ................... 497,400 26,261 THK Co. Ltd. ..................................... 589,500 13,067 Toyota Motor Corp. ............................... 274,800 13,927 Yamaha Motor Co. Ltd. ............................ 574,300 11,073 ---------- TOTAL JAPAN ......................................... 332,306 ---------- MEXICO - 0.25% COMMON STOCKS - 0.25% Telefonos de Mexico, S.A.B. de C.V., ADR ......... 182,990 6,599 ---------- NETHERLANDS - 6.52% COMMON STOCKS - 6.52% Akzo Nobel N.V. .................................. 228,212 19,417 Heineken N.V. .................................... 81,590 4,763 ING Groep N.V. ................................... 865,429 33,121 Koninklijke Philips Electronics N.V............... 704,260 26,557 Reed Elsevier N.V. ............................... 857,900 16,303 SBM Offshore N.V. ................................ 273,650 10,494 TNT N.V. ......................................... 694,251 27,047 Unilever N.V. .................................... 848,091 28,604 VediorN.V. ....................................... 178,090 4,950 ---------- TOTAL NETHERLANDS ................................... 171,256 ---------- NORWAY - 1.14% COMMON STOCKS - 1.14% Aker Kvaener ASA ................................. 446,850 11,437 Stolt-Nielsen S.A. + ............................. 213,884 4,791 Telenor ASA ...................................... 678,970 13,742 ---------- TOTAL NORWAY ..................................... 29,970 ---------- PORTUGAL - 0.36% COMMON STOCKS - 0.36% Portugal Telecom, SGPS, S.A. ..................... 792,250 9,433 ---------- SINGAPORE - 2.49% COMMON STOCKS - 2.49% DBS Group Holdings Ltd. .......................... 2,361,455 34,585 Flextronics International Ltd. ## ................ 899,000 9,341 Singapore Telecommunications Ltd. ................ 7,535,000 21,448 ---------- TOTAL SINGAPORE ..................................... 65,374 ---------- SOUTH KOREA - 2.21% COMMON STOCKS - 2.21% Kookmin Bank, ADR ................................ 189,010 13,183 Korea Electric Power Corp. ....................... 86,860 2,924 LG Electronics, Inc. ............................. 76,760 11,981 Samsung Electronics Co. Ltd. ..................... 23,701 16,807
See accompanying notes 7 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ---------- (DOLLARS IN THOUSANDS) Samsung Electronics Co. Ltd., GDR ++ ............. 12,000 $ 4,272 Shinhan Financial Group Co. Ltd. ................. 151,404 8,743 ---------- TOTAL SOUTH KOREA ................................... 57,910 ---------- SPAIN - 2.89% COMMON STOCKS - 2.89% Banco Popular Espanol S.A. ....................... 410,355 7,099 Banco Santander S.A. ............................. 440,420 9,525 Banco Santander S.A., GDR ........................ 560,544 12,137 Repsol YPF S.A. .................................. 273,340 11,114 Telefonica S.A. .................................. 1,240,431 35,968 ---------- TOTAL SPAIN ......................................... 75,843 ---------- SWEDEN - 2.82% COMMON STOCKS - 2.82% Atlas Copco AB + ................................. 1,569,240 25,294 Nordea Bank AB ................................... 617,020 10,154 Securitas AB + ................................... 205,050 2,646 Telefonaktiebolaget LM Ericsson .................. 14,089,500 35,960 ---------- TOTAL SWEDEN ........................................ 74,054 ---------- SWITZERLAND - 7.15% COMMON STOCKS - 7.15% AdeccoS.A. + ..................................... 138,320 8,297 Ciba Specialty Chemicals Holding, Inc. + ......... 270,120 9,015 Credit Suisse Group + ............................ 225,672 12,567 Lonza Group AG ................................... 67,200 9,184 Nestle S.A. ...................................... 72,604 34,825 Novartis AG ...................................... 902,091 45,882 Roche Holding Ltd. ............................... 57,600 9,606 Swiss Reinsurance + .............................. 323,558 26,980 Swisscom AG + .................................... 14,100 5,035 UBS AG ## ........................................ 294,530 9,949 UBS AG, Right ## ................................. 294,530 497 Zurich Financial Services AG ..................... 51,911 15,894 ---------- TOTAL SWITZERLAND ................................... 187,731 ---------- UNITED KINGDOM - 19.42% COMMON STOCKS - 19.42% Anglo American plc ............................... 39,950 2,597 Aviva plc ........................................ 1,797,707 22,501 BAE Systems plc .................................. 4,369,831 40,554 BP plc ........................................... 5,118,496 62,182 British American Tobacco plc ..................... 782,679 29,521 British Sky Broadcasting Group plc ............... 914,390 9,909 Cadbury Schweppes plc ............................ 827,350 9,590 Centrica plc ..................................... 1,725,480 10,086 Compass Group plc ................................ 779,290 5,284 Debenhams plc + .................................. 3,696,366 4,722
SHARES VALUE ----------- ---------- (DOLLARS IN THOUSANDS) Diageo plc ....................................... 334,043 $ 6,861 GlaxoSmithKline plc .............................. 1,456,006 32,453 HBOS plc ......................................... 925,416 8,657 HSBC Holdings plc ................................ 2,282,697 39,740 Imperial Tobacco Group plc ....................... 173,540 8,347 Kingfisher plc ................................... 1,331,160 3,515 Lloyds TSB Group plc ............................. 600,600 5,165 National Grid plc ................................ 318,881 4,441 Old Mutual plc ................................... 3,037,599 7,743 Pearson plc ...................................... 566,810 7,404 Prudential plc ................................... 531,800 7,296 Reckitt Benckiser Group plc ...................... 135,100 7,892 Rolls-Royce Group plc ............................ 98,260,230 9,660 Royal Bank of Scotland plc ....................... 2,696,104 18,494 Royal Dutch Shell plc, A Shares .................. 511,404 20,618 Royal Dutch Shell plc, B Shares .................. 636,085 25,484 Smiths Group plc ................................. 292,020 5,623 Standard Chartered plc ........................... 177,350 6,326 Unilever plc ..................................... 1,029,609 34,843 Vodafone Group plc ............................... 15,559,134 49,591 Yell Group plc ................................... 811,330 2,678 ---------- TOTAL UNITED KINGDOM ................................ 509,777 ---------- UNITED STATES - 0.29% COMMON STOCKS - 0.29% Invesco Ltd. ..................................... 169,965 4,371 News Corp. ....................................... 182,280 3,263 ---------- TOTAL UNITED STATES ................................. 7,634 ---------- SHORT TERM INVESTMENTS - 3.03% American Beacon Money Market Select Fund # ....... 79,540,346 79,540 ---------- SECURITIES LENDING COLLATERAL - 11.21% American Beacon Cash Plus Trust # ................ 115,000,000 115,000 American Beacon Money Market Select Fund # ....... 179,427,350 179,427 ---------- TOTAL SECURITIES LENDING COLLATERAL ................. 294,427 ---------- TOTAL INVESTMENTS 110.19% - (Cost $2,392,058) ....... 2,893,159 LIABILITIES, NET OF OTHER ASSETS - (10.19%) ......... (267,483) ---------- TOTAL NET ASSETS - 100.00% .......................... $2,625,676 ==========
See accompanying notes 8 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (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, 2008. ++ 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 $4,272 or 0.16% 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. FUTURES CONTRACTS (DOLLARS IN THOUSANDS)
UNREALIZED NUMBER OF EXPIRATION MARKET APPRECIATION/ CONTRACTS DATE VALUE (DEPRECIATION) --------- ---------- ------- -------------- Australia SPI Index ........ 47 Jun 2008 $ 6,202 $ 54 Canada S&PCDA 60 Index ..... 53 Jun 2008 8,705 108 France CAC 40 Index ........ 134 Jun 2008 10,228 306 Germany DAX Index .......... 31 Jun 2008 8,435 265 Hang Seng Index ............ 13 May 2008 2,146 18 Italy MIB 30 Index ......... 14 Jun 2008 3,608 123 Netherlands 200 AEX Index .. 18 May 2008 2,658 100 Spain IBEX 35 Index ........ 19 May 2008 4,052 71 Sweden OMX Index ........... 134 May 2008 2,189 33 Tokyo FE TOPIX Index ....... 149 Jun 2008 19,290 924 UK FTSE 100 Index .......... 168 Jun 2008 20,287 447 ------- ------ $87,800 $2,449 ======= ======
See accompanying notes 9 AMERICAN BEACON INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (dollars in thousands)
SETTLEMENT MARKET UNREALIZED DATE VALUE GAIN/(LOSS) ---------- -------- ----------- CONTRACTS TO DELIVER 4,181 Australian Dollar .......................... 6/13/2008 $ 3,923 $ (69) 4,286 Canadian Dollar ............................ 6/13/2008 4,254 (24) 10,476 Euro Currency .............................. 6/13/2008 16,326 139 1,171,187 Japanese Yen ............................... 6/13/2008 11,293 304 5,594 Pound Sterling ............................. 6/13/2008 11,089 (51) 9,443 Swedish Krona .............................. 6/13/2008 1,574 13 3,492 Swiss Franc ................................ 6/13/2008 3,342 101 -------- ----- TOTAL CONTRACTS TO DELIVER (RECEIVABLE AMOUNT $52,214) .......................... $ 51,801 $ 413 -------- ----- CONTRACTS TO RECEIVE 9,635 Australian Dollar .......................... 6/13/2008 $ 9,040 $ 171 11,443 Canadian Dollar ............................ 6/13/2008 11,357 (52) 26,586 Euro Currency .............................. 6/13/2008 41,432 155 2,903,273 Japanese Yen ............................... 6/13/2008 27,994 (547) 14,566 Pound Sterling ............................. 6/13/2008 28,874 (110) 20,679 Swedish Krona .............................. 6/13/2008 3,446 37 9,638 Swiss Franc ................................ 6/13/2008 9,308 (186) -------- ----- TOTAL CONTRACTS TO RECEIVE (PAYABLE AMOUNT $131,983) ............................ $131,451 $(532) -------- ----- NET CURRENCY FLUCTUATION ................................ $(119) =====
SECTOR DIVERSIFICATION
Percent of Net Assets ---------- Consumer Discretionary ............ 12.64% Consumer Staples .................. 7.91% Energy ............................ 10.35% Financials ........................ 23.32% Health care ....................... 7.39% Industrials ....................... 11.98% Information Technology ............ 4.25% Materials ......................... 5.75% Telecommunication Services ........ 8.47% Utilities ......................... 3.89% Short Term Investments ............ 14.24% Liabilities, Net of Other Assets .. (10.19)% ------ 100.00% ======
See accompanying notes 10 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2008 (UNAUDITED) (IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) ASSETS: Investments in unaffiliated securities, at value (A C)................. $ 2,519,191 Investments in affiliated securities, at value (B)..................... 373,968 Foreign currency, at value (D)......................................... 4,458 Deposit with brokers for futures contracts ............................ 6,108 Receivable for investments sold ....................................... 7,875 Dividends and interest receivable ..................................... 15,449 Receivable for fund shares sold ....................................... 1,707 Receivable for tax reclaims ........................................... 404 Receivable for variation margin on open futures contracts ............. 123 Prepaid expenses ...................................................... 61 ----------- TOTAL ASSETS ....................................................... 2,929,344 ----------- LIABILITIES: Payable for investments purchased ..................................... 3,535 Payable upon return of securities loaned .............................. 294,427 Payable for fund shares redeemed ...................................... 2,367 Management and investment advisory fees payable (Note 2) .............. 2,266 Administrative service and service fees payable ....................... 588 Net unrealized depreciation on foreign currency contracts ............. 119 Other liabilities ..................................................... 366 ----------- TOTAL LIABILITIES .................................................. 303,668 ----------- NET ASSETS ............................................................... $ 2,625,676 =========== ANALYSIS OF NET ASSETS: Paid-in-capital ....................................................... 1,974,311 Undistributed net investment income ................................... 40,992 Accumulated net realized gain ......................................... 107,105 Unrealized appreciation of investments, futures contracts, and foreign currency ........................................................... 503,268 ----------- NET ASSETS ............................................................... $ 2,625,676 =========== SHARES OUTSTANDING (NO PAR VALUE): Institutional Class ................................................... 53,383,323 =========== PlanAhead Class ....................................................... 40,007,732 =========== Service Class ......................................................... 158,177 =========== AMR Class ............................................................. 26,504,004 =========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class ................................................... $ 21.93 =========== PlanAhead Class ....................................................... $ 21.66 =========== Service Class ......................................................... $ 21.54 =========== AMR Class ............................................................. $ 22.09 =========== - ---------- (A) Cost of investments in unaffiliated securities ...................... $ 2,018,090 (B) Cost of investments in affiliated securities ........................ $ 373,968 (C) Market value of securities on loan .................................. $ 297,965 (D) Cost of foreign currency ............................................ $ 4,469
See accompanying notes 11 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF OPERATIONS SIX MONTHS ENDED APRIL 30, 2008 (UNAUDITED) (IN THOUSANDS) INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes)* .. $ 43,541 Dividend income from affiliated securities ............................ 1,281 Interest income ....................................................... 184 Income derived from securities lending, net ........................... 744 --------- TOTAL INVESTMENT INCOME ......................................... 45,750 --------- EXPENSES: Management and investment advisory fees (Note 2) ...................... 4,657 Administrative service fees (Note 2): Institutional Class ................................................ 1,657 PlanAhead Class .................................................... 1,033 Service Class ...................................................... 5 Transfer agent fees: Institutional Class ................................................ 56 PlanAhead Class .................................................... 76 AMR Class .......................................................... 9 Custody and fund accounting fees ...................................... 525 Professional fees ..................................................... 40 Registration fees and expenses ........................................ 41 Service fees: PlanAhead Class (Note 2) ........................................... 1,033 Service Class (Note 2) ............................................. 5 Distribution fees - Service Class (Note 2) ............................ 5 Prospectus and shareholder reports .................................... 104 Other expenses ........................................................ 97 --------- TOTAL EXPENSES .................................................. 9,343 ========= NET INVESTMENT INCOME .................................................... 36,407 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments ........................................................ 55,767 Commission recapture (Note 1) ...................................... 22 Foreign currency transactions ...................................... 75,516 Futures contracts .................................................. (4,953) Change in net unrealized appreciation or depreciation of: Investments ........................................................ (462,280) Foreign currency translations ...................................... 38,772 Futures contracts .................................................. (209) --------- NET LOSS ON INVESTMENTS ......................................... (297,365) --------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ..................... $(260,958) ========= * Foreign taxes ....................................................... $ 4,576
See accompanying notes 12 AMERICAN BEACON INTERNATIONAL EQUITY FUND STATEMENT OF CHANGES OF NET ASSETS (IN THOUSANDS)
Six Months Year Ended Ended October 31, April 30, 2008 2007 -------------- ----------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income .......................................... $ 36,407 $ 78,060 Net realized gain on investments, futures contracts, and foreign currency transactions ....................................... 126,352 314,273 Change in net unrealized appreciation or (depreciation) of investments, futures contracts, and foreign currency translations ................................................ (423,717) 217,790 ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ............................................ (260,958) 610,123 ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ......................................... (40,936) (31,129) PlanAhead Class ............................................. (20,913) (14,581) Service Class ............................................... (105) (64) AMR Class ................................................... (18,454) (12,610) Net realized gain on investments: Institutional Class ......................................... (155,609) (114,385) PlanAhead Class ............................................. (87,859) (59,491) Service Class ............................................... (483) (327) AMR Class ................................................... (63,681) (41,178) ---------- ---------- NET DISTRIBUTIONS TO SHAREHOLDERS ........................ (388,040) (273,765) ---------- ---------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares .................................. 282,429 572,603 Reinvestment of dividends and distributions .................... 366,395 259,288 Cost of shares redeemed ........................................ (648,272) (783,879) Redemption fees ................................................ 457 505 ---------- ---------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS .......................................... 1,009 48,517 ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS ............................. (647,989) 384,875 ---------- ---------- NET ASSETS: Beginning of period ............................................ $3,273,665 2,888,790 ---------- ---------- END OF PERIOD * ................................................ $2,625,676 $3,273,665 ========== ========== * Includes undistributed net investment income of ................. 40,992 $ 81,197 ========== ==========
See accompanying notes 13 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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 ("AMR"), 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. On April 16, 2008, AMR announced that it has reached a definitive agreement to sell American Beacon Advisors, Inc. to Lighthouse Holdings, Inc., which is owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, two leading private equity firms. AMR expects to close the sale later this year, subject to customary closing conditions as well as the approval of the shareholders of the American Beacon family of mutual funds and consents from other clients of the Manager. 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 Administrative Service Fee - 0.25% of $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 Administrative Service Fee - 0.25% intermediary Service Fee - 0.25% Distribution Fee - 0.25% AMR CLASS Investors in the tax-exempt retirement N/A and benefit plans of AMR Corporation and its affiliates
Investment income, net capital gains (losses) and all expenses incurred by the Fund are allocated based on the relative net assets of each class, except for service fees and certain other fees and expenses related solely to one class of shares. Security Valuation 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. 14 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) Securities for which 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. 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 15 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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 at least annually. Distributions, if any, of net realized capital gains are generally paid at least 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. The fee is allocated to all classes of the Fund pro-rata based on their respective net assets. Recently Issued Accounting Pronouncements 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. As of April 30, 2008, the Manager does not believe the 16 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) adoption of FAS 157 will materially impact the amounts reported in the financial statements; however, additional disclosures will be required about the inputs used to develop the measurements of fair value. 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 that 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, 2008 were as follows (dollars in thousands):
AMOUNTS PAID NET AMOUNTS MANAGEMENT FEE MANAGEMENT TO INVESTMENT RETAINED BY RATE FEE ADVISORS MANAGER - -------------- ---------- ------------- ----------- 0.25%-0.60% $4,657 $3,287 $1,370
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, 2008 securities lending fees paid to the Manager were $194,125. Administrative Services Agreement The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative 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 Fund, 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 and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares. 17 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) A separate Distribution Plan (the "Distribution Plan") has been adopted pursuant to Rule 12b-1 under the Act for the Service Class of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the Service Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance. Service Plans The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the PlanAhead and Service Classes. As compensation for performing the duties required under the Service Plans, the Manager receives 0.25% of the average daily net assets of the PlanAhead and Service Classes of the Fund. Brokerage Commissions Affiliated entities of an investment advisor to the Fund received net commissions on purchases and sales of the Fund's portfolio securities totaling $1,229 for the six months ended April 30, 2008. 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 up to 0.10% of its average daily net assets. During the six months ended April 30, 2008, the Manager earned fees from the Affiliated Funds totaling $30,851 on the Fund's direct investment in the Affiliated Funds and $68,866 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, 2008, 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, 2008, there were no additional waived fees or reimbursed expenses subject to potential recovery. Other At April 30, 2008, AMR Corporation and subsidiary companies and employee benefit trusts thereof owned 22% of the Fund's shares. 18 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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. The Fund adopted the provisions of FASB Interpretation No. 48, "Accounting for Uncertainties in Income Taxes" ("FIN48"), on January 1, 2007. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended October 31, 2007 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in "Other expenses" on the Statement of Operations. 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, 2008 and the year ended October 31, 2007 were as follows (in thousands):
SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2008 2007 ---------------- ----------- (unaudited) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class .............. $ 69,220 $ 55,466 PlanAhead Class .................. 36,887 27,239 Service Class .................... 193 133 AMR Class ........................ 30,031 21,371 LONG-TERM CAPITAL GAIN Institutional Class .............. 127,324 90,048 PlanAhead Class .................. 71,886 46,834 Service Class .................... 395 257 AMR Class ........................ 52,104 32,417 -------- -------- TOTAL DISTRIBUTIONS PAID ............... $388,040 $273,765 ======== ========
* For tax purposes, short-term capital gains are considered ordinary income distributions. As of April 30, 2008, the components of distributable earnings on a tax basis were as follows (in thousands): Cost basis of investments for federal income tax purposes ................. $2,410,287 Unrealized appreciation ................ 618,334 Unrealized depreciation ................ (135,462) ---------- Net unrealized appreciation ............ 482,872 Undistributed ordinary income .......... 40,859 Undistributed long-term gain ........... 118,379 ---------- Distributable earnings ................. $ 642,110 ==========
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 19 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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, 2008 (in thousands): Paid-in-capital ............................ $ 2,010 Undistributed net investment income ........ 3,796 Accumulated net realized loss .............. (5,806) Unrealized 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, 2008 were (in thousands) $408,084 and $777,486, respectively. A summary of the Fund's direct transactions in Affiliated Funds for the six months ended April 30, 2008 is set forth below (in thousands):
OCTOBER 31, 2007 APRIL 30, 2008 AFFILIATE SHARES/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE - --------- ------------------- --------- -------- ------------------- Select Fund $71,709 $743,754 $735,923 $79,540
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 money market mutual funds and other short-term investments, provided the investments meet certain quality and diversification requirements. 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, 2008, securities with a market value of approximately $279,965,000 were loaned by the Fund. Cash collateral held by the custodian for the Fund in an investment in the Affiliated Funds totaled $294,427,000. 20 AMERICAN BEACON INTERNATIONAL EQUITY FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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, 2008
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------ ---------------- ----------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- --------- ------ --------- ------ ------- ------ -------- Shares sold ........................ 3,488 $ 77,704 8,399 $ 177,271 29 $ 613 1,208 $ 26,841 Reinvestment of dividends .......... 7,822 177,012 4,768 106,664 26 585 3,606 82,134 Shares redeemed .................... (19,661) (435,106)* (6,852) (149,293)* (81) (1,709)* (2,735) (61,707)* ------ --------- ----- --------- --- ------- ----- -------- Net increase (decrease) in shares outstanding ..................... (8,351) $(180,390) 6,315 $ 134,642 (26) $ (511) 2,079 $ 47,268 ====== ========= ===== ========= === ======= ===== ========
Year Ended October 31, 2007
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------- ---------------- ------------------ SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- --------- ------- --------- ------ ------- ------ --------- Shares sold ........................ 9,309 $ 233,941 10,042 $ 248,361 (22) $ 548 3,615 $ 89,753 Reinvestment of dividends .......... 5,632 133,085 (3,079) 72,025 (17) 390 2,264 53,788 Shares redeemed .................... (15,989) (400,672)* (11,014) (276,108)* (51) (1,254)* (4,109) (105,340)* ------ --------- ------ --------- --- ------- ----- --------- Net increase (decrease) in shares outstanding ................... (1,048) $ (33,646) 2,107 $ 44,278 (12) $ (316) 1,770 $ 38,201 ====== ========= ====== ========= === ======= ===== =========
- ---------- * Net of Redemption Fees 21 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, 2008 2007 2006 2005 2004(A) 2003(B) ----------- ---------- ---------- ---------- ---------- -------- (unaudited) Net asset value, beginning of period ................. $ 27.32 $ 24.68 $ 20.98 $ 18.47 $ 15.46 $ 12.10 ---------- ---------- ---------- ---------- ---------- -------- Income from investment operations: Net investment income(C, D) ....................... 0.35 0.65 0.60 0.44 0.30 0.25 Net gains (losses) on securities (both realized and unrealized)(C) ................................. (2.38) 4.31 4.86 2.31 3.12 3.47 ---------- ---------- ---------- ---------- ---------- -------- Total income (loss) from investment operations ....... (2.03) 4.96 5.46 2.75 3.42 3.72 ---------- ---------- ---------- ---------- ---------- -------- Less distributions: Dividends from net investment income .............. (0.70) (0.50) (0.43) (0.24) (0.41) (0.36) (Distributions from net realized gains on securities) .................................... (2.66) (1.82) (1.33) -- -- -- ---------- ---------- ---------- ---------- ---------- -------- Total distributions .................................. (3.36) (2.32) (1.76) (0.24) (0.41) (0.36) ---------- ---------- ---------- ---------- ---------- -------- Redemption fees added to beneficial interest(E) ...... 0.00 0.00 0.00 0.00 0.00 0.00 ---------- ---------- ---------- ---------- ---------- -------- Net asset value, end of period ....................... $ 21.93 $ 27.32 $ 24.68 $ 20.98 $ 18.47 $ 15.46 ========== ========== ========== ========== ========== ======== Total return ......................................... (7.87)%(F) 21.54% 27.49% 15.04% 22.49% 31.61% ========== ========== ========== ========== ========== ======== Ratios and supplemental data: Net assets, end of period (in thousands) .......... $1,170,445 $1,686,668 $1,549,521 $1,286,441 $1,029,272 $722,333 Ratios to average net assets (annualized): Expenses, net of waivers(C) .................... 0.66% 0.67% 0.71% 0.70% 0.76% 0.79% Expenses, before waivers(C) .................... 0.66% 0.67% 0.71% 0.70% 0.76% 0.79% Net investment income, net of waivers(C) ....... 2.57% 2.46% 2.52% 2.17% 1.69% 1.97% Net investment income (loss), before waivers(C) .................................. 2.57% 2.46% 2.52% 2.17% 1.69% 1.97% Portfolio turnover rate(G) ........................ 15%(F) 38% 40% 37% 36% 44%
- ---------- (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 American Beacon International Equity 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 through October 31, 2005. (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 American Beacon International Equity Portfolio through February 28, 2006. Portfolio turnover rate through February 28, 2006 is that of the American Beacon International Equity Portfolio. 22 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, ---------------------------------------------------- 2008 2007 2006 2005 2004(A) 2003(B) ----------- -------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period ................. $ 26.99 $ 24.42 $ 20.79 $ 18.31 $ 15.34 $ 11.95 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income(C, D) ....................... 0.30 0.58 0.50 0.41 0.26 0.22 Net gains (losses) on securities (both realized and unrealized)(C) ................................. (2.34) 4.26 4.84 2.29 3.08 3.46 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations ....... (2.04) 4.84 5.34 2.70 3.34 3.68 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income .............. (0.63) (0.45) (0.38) (0.22) (0.37) (0.29) Distributions from net realized gains on securities .................................... (2.66) (1.82) (1.33) -- -- -- -------- -------- -------- -------- -------- -------- Total distributions .................................. (3.29) (2.27) (1.71) (0.22) (0.37) (0.29) -------- -------- -------- -------- -------- -------- Redemption fees added to beneficial interest(E) ...... 0.00 0.00 0.00 0.00 0.00 0.00 -------- -------- -------- -------- -------- -------- Net asset value, end of period ....................... $ 21.66 $ 26.99 $ 24.42 $ 20.79 $ 18.31 $ 15.34 ======== ======== ======== ======== ======== ======== Total return ......................................... (7.99)%(F) 21.23% 27.20% 14.73% 22.16% 31.62% ======== ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) .......... $866,385 $909,385 $771,298 $560,770 $310,540 $177,425 Ratios to average net assets (annualized): Expenses, net of waivers(C) .................... 0.92% 0.93% 0.96% 0.95% 1.02% 1.10% Expenses, before waivers(C) .................... 0.92% 0.93% 0.96% 0.95% 1.02% 1.10% Net investment income, net of waivers(C) ....... 2.56% 2.26% 2.25% 1.96% 1.46% 1.68% Net investment income (loss), before waivers(C) .................................. 2.56% 2.26% 2.25% 1.96% 1.46% 1.68% Portfolio turnover rate(G) ........................ 15%(F) 38% 40% 37% 36% 44%
- ---------- (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 American Beacon International Equity 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 through October 31, 2005. (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 American Beacon International Equity Portfolio through February 28, 2006. Portfolio turnover rate through February 28, 2006 is that of the American Beacon International Equity Portfolio. 23 AMERICAN BEACON INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Service Class -------------------------------------------------------------- Six Year Ended October 31 Months ------------------------------------------------ Ended May 01 to April 30, October 31, 2008 2007 2006 2005 2004(B) 2003(A) ----------- ------ ------ ------ ------- ----------- (unaudited) Net asset value, beginning of period ................. $26.83 $24.24 $20.61 $18.24 $15.31 $ 12.18 ------ ------ ------ ------ ------ --------- Income from investment operations: Net investment income(C,D) ........................ 0.25 0.56 0.46 0.37 0.30 0.09 Net gains (losses) on securities (both realized and unrealized)(C) ................................. (2.30) 4.20 4.76 2.26 2.99 3.04 ------ ------ ------ ------ ------ --------- Total income (loss) from investment operations ....... (2.05) 4.76 5.22 2.63 3.29 3.13 ------ ------ ------ ------ ------ --------- Less distributions: Dividends from net investment income .............. (0.58) (0.35) (0.26) (0.26) (0.36) -- Distributions from net realized gains on securities ..................................... (2.66) (1.82) (1.33) -- -- -- ------ ------ ------ ------ ------ --------- Total distributions .................................. (3.24) (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 0.00 ------ ------ ------ ------ ------ --------- Net asset value, end of period ....................... $21.54 $26.83 $24.24 $20.61 $18.24 $ 15.31 ====== ====== ====== ====== ====== ========= Total return ......................................... (8.05)%(F) 20.85% 26.89% 14.45% 21.88% 25.70% ====== ====== ====== ====== ====== ========= Ratios and supplemental data: Net assets, end of period (in thousands) .......... $3,407 $4,932 $4,740 $2,987 $ 739 $ 1 Ratios to average net assets (annualized): Expenses, net of waivers(C) .................... 1.15% 1.12% 1.16% 1.21% 1.27% 1.50% Expenses, before waivers(C) .................... 1.15% 1.15% 1.19% 1.21% 6.26% 1,139.08% Net investment income, net of waivers(C) ....... 2.02% 2.04% 2.09% 1.70% 0.81% 1.33% Net investment income (loss), before waivers(C) .................................. 2.02% 2.01% 2.05% 1.70% (4.18)% (1,136.25)% Portfolio turnover rate(G) ........................ 15%(F) 38% 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 American Beacon International Equity 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 through October 31, 2005. (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 American Beacon International Equity Portfolio through February 28, 2006. Portfolio turnover rate through February 28, 2006 is that of the American Beacon International Equity Portfolio. (H) Portfolio turnover rate is for the period from November 1, 2002 through October 31, 2003. 24 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, ---------------------------------------------------- 2008 2007 2006 2005 2004(A) 2003(B) ----------- -------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period ................. $ 27.54 $ 24.86 $ 21.12 $ 18.58 $ 15.54 $ 12.18 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income(C, D) ....................... 0.35 0.73 0.63 0.50 0.34 0.29 Net gains losses on securities both realized and unrealized(C) .................................. (2.37) 4.33 4.92 2.33 3.14 3.46 -------- -------- -------- -------- -------- -------- Total income loss from investment operations ......... (2.02) 5.06 5.55 2.83 3.48 3.75 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income .............. (0.77) (0.56) (0.48) (0.29) (0.44) (0.39) Distributions from net realized gains on securities ..................................... (2.66) (1.82) (1.33) -- -- -- -------- -------- -------- -------- -------- -------- Total distributions .................................. (3.43) (2.38) (1.81) (0.29) (0.44) (0.39) -------- -------- -------- -------- -------- -------- Redemption fees added to beneficial interest(E) ...... 0.00 0.00 0.00 0.00 0.00 0.00 -------- -------- -------- -------- -------- -------- Net asset value, end of period ....................... $ 22.09 $ 27.54 $ 24.86 $ 21.12 $ 18.58 $ 15.54 ======== ======== ======== ======== ======== ======== Total return ......................................... (7.72)%(F) 21.86% 27.88% 15.32% 22.84% 31.77% ======== ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) .......... $585,439 $672,680 $563,231 $448,096 $460,114 $322,801 Ratios to average net assets (annualized): Expenses, net of waivers(C) .................... 0.40% 0.42% 0.45% 0.44% 0.49% 0.52% Expenses, before waivers(C) .................... 0.40% 0.42% 0.45% 0.44% 0.49% 0.52% Net investment income, net of waivers(C) ....... 2.98% 2.77% 2.76% 2.49% 1.97% 2.22% Net investment income (loss), before waivers(C) .................................. 2.98% 2.77% 2.76% 2.49% 1.97% 2.22% Portfolio turnover rate(G) ........................ 15%(F) 38% 40% 37% 36% 44%
- ---------- (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 American Beacon International Equity 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 through October 31, 2005. (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 American Beacon International Equity Portfolio through February 28, 2006. Portfolio turnover rate through February 28, 2006 is that of the American Beacon International Equity Portfolio. 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: (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 PORTFOLIO SCHEDULES VOTING 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 portfolio holdings with the the Fund's Statement of Additional Securities and Exchange Commission Information, is available free of ("SEC") on Form N-Q as of the first charge 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 website at www.sec.gov. The Forms N-Q accessing the SEC's website at may also be reviewed and copied at www.sec.gov. The Fund's proxy voting the SEC's Public Reference Room, 450 record for the most recent year ended Fifth Street, NW, Washington, DC June 30 is filed annually with the 20549. Information regarding the SEC on Form N-PX. The Fund's Forms operation of the SEC's Public N-PX are available on the SEC's Reference Room may be obtained by website at www.sec.gov. The Fund's calling 1-800-SEC-0330. A complete proxy voting record may also be schedule of the Fund's portfolio obtained by calling 1-800-967-9009. 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 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. GUIDANCE | VISION | EXPERIENCE (AMERICAN BEACON FUNDS(SM) LOGO) (GRAPHIC) SEMI-ANNUAL REPORT APRIL 30, 2008 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............................................ 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. American Beacon Funds April 30, 2008 (PHOTO OF WILLIAM F. QUINN) 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, 2008. The American Beacon Large Cap Value Fund-Institutional Class reported a total return of -10.41% for this six-month period, with an expense ratio of 0.60% for the most recent fiscal year ended October 31, 2007. The sub-prime mortgage crisis, rising oil and food prices all contributed to a slowing economy that affected the U.S. equity markets negatively in the past six months. This was evident when the S&P 500 and Dow Jones Industrial Average indices reported returns of -9.64% and -6.79%, respectively, for this period. During the period, the uncertainties surrounding banks, investment banks and the entire financial system have resulted in an extraordinary amount of volatility. We believe the Fund's fundamental value investment philosophy and lower than average expense ratio will continue to serve the Fund well over the longer 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 Large Cap Value Fund. Sincerely, /s/ William F. Quinn William F. Quinn President American Beacon Funds 1 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2008 (UNAUDITED) Market volatility remained prevalent in the November-through-April time frame as concerns escalated regarding inflation, housing, credit and the long-term viability of some well-established financial institutions. Stock prices declined markedly as investors did not discriminate by market capitalization, investment style or geographic region. In sharp contrast to the equity markets, commodities continued to soar as the dollar weakened further. Responding to the liquidity crisis, the Federal Reserve ("Fed") provided monetary stimulus not only through five cuts in interest rates over the course of the six months (leaving the Federal Funds target rate at 2.00% on April 30, 2008, down from 4.50% on October 31, 2007), but also through significant expansion of lending facilities to accept a wide variety of collateral from both banks and brokerage firms. In their closely watched statement at the conclusion of their meeting on April 30, 2008, the Fed issued a negative outlook on the economy, suggesting that growth remained weak and could be further pressured by "subdued" business investment. In addition, the Fed reiterated that financial markets remained under "considerable" stress. However, the month of April 2008 may have marked a turning point for equity investors as stocks managed a strong rally as investors sought attractive valuations in an economic environment that turned out not to be as bad as initially feared. Several industry bellwethers reported solid profit news, offering further encouragement to those non-financial sectors that have yet to be affected by the credit crisis. Stocks were up across the board in April, with all the major domestic market indices showing gains. Yields for U.S. Treasuries increased (and prices for those securities dropped) as investors anticipated an end to the Fed's easing campaign as well as in an attempt to seek better value in the equity market. Growth stocks in the Russell indices held up slightly better than their value counterparts during the six-month period, although both styles declined. Stock prices declined across all capitalization ranges; however, midcap companies held up better than large caps, while smaller companies declined sharply. Weak equity performance was widespread over the semi-annual period. With the exception of Energy, every sector in the broad market S&P 500 Index declined. Despite interest rate cuts and relaxed Fed requirements, Financials was the worst-performing sector, with a total return of -20.0%. Stocks in the Information Technology, Telecommunication Services, Health Care and Consumer Discretionary sectors also suffered double-digit declines. Other than Energy, with a total return of 6.3%, there were no bright spots. Even Consumer Staples, often viewed as a defensive category, pulled back slightly as investors worried that consumer spending would not pick up anytime soon. Since the financial crisis began last August, monetary policy makers had been very aggressive, cutting interest rates seven different times. In addition, the Fed had been innovative in contending with the current financial crisis by developing (or resurrecting) policy initiatives and lending facilities in an attempt to target liquidity without further pressuring the dollar or adding to inflationary concerns. Yet despite these efforts, inflationary pressures continued to build and the dollar continued to weaken. As a result, by the end of April 2008, market interest rates had once again begun to move against the Fed, this time upward, as global investors anticipated a pause in, if not a completion of, the most recent Fed easing campaign. 2 PERFORMANCE OVERVIEW AMERICAN BEACON LARGE CAP VALUE FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the Large Cap Value Fund returned -10.41% for the six months ended April 30, 2008, lagging the Russell 1000(R) Value Index ("Index") return of -9.83% and the Lipper Large-Cap Value Funds Index return of - -10.20%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1, 4) ......... -10.41% -7.43% 15.11% 6.07% PlanAhead Class(1, 4) ............. -10.48% -7.62% 14.82% 5.78% Service Class(1, 2, 4) ............ -10.59% -7.87% 14.65% 5.71% AMR Class(1, 4) ................... -10.28% -7.15% 15.42% 6.34% Lipper Large-Cap Value Funds Index (3) ............. -10.20% -7.41% 11.18% 4.32% Russell 1000 Value Index (3) ................... -9.83% -8.97% 12.85% 5.97%
* 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 4/30/98 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 4/30/98. A portion of the fees charged to the Service Class of the fund was waived in 2005. Performance prior to waiving fees was lower than the actual returns shown for 2005. (3.) The Russell 1000 Value Index is an unmanaged index of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. Russell 1000 Value Index is a registered trademark of the Frank Russell Company. 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 0.60%, 0.84%, 1.08% and 0.33%, 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 entirely through sector allocation as stock selection added value relative to the Index. The Fund's significant underweighting in Energy, the best performing sector in the Index, detracted the most value relative to the Index. From a stock selection standpoint, the Fund's holdings in the Information Technology and Industrials sectors added the most value relative to the Index. Companies with the greatest positive contribution in the Information Technology sector were IBM (up 4.7%) and Apple Computer (down 8.4%). In the Industrials sector, Deere (up 9.2%) and Burlington Northern Santa Fe (up 18.5%) were the largest contributors. This excess performance relative to the Index, however, was somewhat offset by poor stock selection in the Financials sector where Bear Stearns (down 90.7%), Citigroup (down 38.2%), and SLM (down 60.7%) were the largest detractors. 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. 3 PERFORMANCE OVERVIEW AMERICAN BEACON LARGE CAP VALUE FUND(SM) APRIL 30, 2008 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- ConocoPhillips..................................................... 3.6% AT&T, Inc.......................................................... 2.9% International Business Machines Corp............................... 2.8% Bank of America Corp............................................... 2.1% JPMorgan Chase & Co................................................ 2.1% American International Group, Inc.................................. 1.7% Honeywell International, Inc....................................... 1.6% Imperial Tobacco Group plc......................................... 1.6% Occidental Petroleum Corp.......................................... 1.5% Boeing Co.......................................................... 1.5%
SECTOR ALLOCATION
% OF EQUITIES ---------- Financials......................................................... 23.0% Industrials........................................................ 13.2% Consumer Staples................................................... 11.4% Information Technology............................................. 11.1% Energy............................................................. 10.5% Health Care........................................................ 10.3% Consumer Discretionary............................................. 7.6% Telecommunication Services......................................... 5.4% Utilities.......................................................... 4.6% Materials.......................................................... 2.9%
4 FUND EXPENSE AMERICAN BEACON LARGE CAP VALUE FUND(SM) APRIL 30, 2008 (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, 2007 through April 30, 2008. 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 Expenses Paid Account Value Account During Period* 11/1/07 Value 4/30/08 11/1/07-4/30/08 ------------- ------------- --------------- INSTITUTIONAL CLASS Actual ............... $1,000.00 $ 895.88 $2.69 Hypothetical ......... $1,000.00 $1,022.03 $2.87 (5% return before expenses) PLANAHEAD CLASS Actual ............... $1,000.00 $ 895.17 $3.86 Hypothetical ......... $1,000.00 $1,020.79 $4.12 (5% return before expenses) SERVICE CLASS Actual ............... $1,000.00 $ 894.07 $5.09 Hypothetical ......... $1,000.00 $1,019.49 $5.42 (5% return before expenses) AMR CLASS Actual ............... $1,000.00 $ 897.23 $1.51 Hypothetical ......... $1,000.00 $1,023.27 $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%, 1.08% 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 (182) by days in the year (366) to reflect the half-year period. 5 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 92.92% CONSUMER DISCRETIONARY - 7.11% HOTELS, RESTAURANTS & LEISURE - 1.21% Carnival Corp. .................................. 1,864,200 $ 74,885 Wyndham Worldwide Corp. ......................... 1,569,280 33,708 ---------- 108,593 ---------- HOUSEHOLD DURABLES - 0.61% Centex Corp. + .................................. 453,900 9,450 Fortune Brands, Inc. ............................ 569,300 38,496 Newell Rubbermaid, Inc. ......................... 206,100 4,232 Pulte Homes, Inc. + ............................. 238,200 3,106 ---------- 55,284 ---------- MEDIA - 2.02% CBS Corp. + ..................................... 1,369,900 31,604 Idearc, Inc. + .................................. 334,000 1,102 Interpublic Group of Cos., Inc. ## + ............ 1,870,200 16,925 R.H. Donnelley Corp. ## + ....................... 312,400 1,497 Time Warner, Inc. ............................... 5,000,000 74,250 Walt Disney Co. Ltd. ............................ 1,121,400 36,367 Warner Music Group Corp. + ...................... 2,322,000 20,178 ---------- 181,923 ---------- MULTILINE RETAIL - 1.86% J.C. Penney Company, Inc. ....................... 1,598,500 67,936 Macy's, Inc. .................................... 1,349,212 34,122 Target Corp. .................................... 920,700 48,917 Wal-Mart Stores, Inc. ........................... 275,500 15,973 ---------- 166,948 ---------- SPECIALTY RETAIL - 1.41% Gap, Inc. ....................................... 643,400 11,980 Home Depot, Inc. ................................ 3,725,167 107,285 Limited Brands, Inc. ............................ 376,900 6,980 Liz Claiborne, Inc. + ........................... 41,800 739 ---------- 126,984 ---------- TOTAL CONSUMER DISCRETIONARY 639,732 ---------- CONSUMER STAPLES - 10.61% BEVERAGES - 1.50% Diageo plc, ADR ................................. 1,651,600 135,266 ---------- FOOD & DRUG RETAILING - 1.61% Safeway, Inc. ................................... 2,495,400 78,855 Sysco Corp. ..................................... 2,156,000 65,909 ---------- 144,764 ---------- FOOD PRODUCTS - 2.39% Archer-Daniels-Midland Co. ...................... 1,918,000 84,507
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Kellogg Co. ..................................... 1,200,000 $ 61,404 Kraft Foods, Inc. ............................... 2,199,713 69,577 ---------- 215,488 ---------- PERSONAL PRODUCTS - 0.74% L'Oreal SA + .................................... 2,800,000 66,192 ---------- TOBACCO - 4.37% Altria Group, Inc. .............................. 2,398,800 47,976 Imperial Tobacco Group plc, ADR ................. 1,482,300 142,286 Philip Morris International, Inc. ## ............ 1,736,200 88,598 UST, Inc. + ..................................... 2,197,200 114,408 ---------- 393,268 ---------- TOTAL CONSUMER STAPLES 954,978 ---------- ENERGY - 9.77% ENERGY EQUIPMENT & SERVICES - 1.13% Weatherford International Ltd. ## ............... 1,265,000 102,047 ---------- OIL & GAS - 8.64% Chevron Corp. ................................... 1,069,562 102,838 ConocoPhillips .................................. 3,805,896 327,878 Devon Energy Corp. .............................. 1,172,300 132,939 Duke Energy Corp. ............................... 2,552,200 46,731 Occidental Petroleum Corp. ...................... 1,647,900 137,122 Royal Dutch Shell plc, ADR ...................... 311,700 24,842 Sunoco, Inc. .................................... 110,400 5,124 ---------- 777,474 ---------- TOTAL ENERGY 879,521 ---------- FINANCIALS - 21.20% BANKS - 7.34% Bank of America Corp. ........................... 5,048,978 189,539 Comerica, Inc. + ................................ 145,600 5,057 East West Bancorp, Inc. + ....................... 2,068,000 29,448 KeyCorp ......................................... 137,100 3,308 National City Corp. ## .......................... 312,700 1,873 SunTrust Banks, Inc. ............................ 265,000 14,774 Synovus Financial Corp. + ....................... 4,516,000 53,469 U.S. Bancorp .................................... 1,357,160 45,994 Wachovia Corp. + ................................ 2,105,400 61,372 Washington Mutual, Inc. ## ...................... 1,765,000 21,145 Washington Mutual, Inc. + ....................... 6,525,900 80,203 Wells Fargo & Co. ............................... 3,558,750 105,873 Zions Bancorporation + .......................... 1,053,000 48,807 ---------- 660,862 ----------
See accompanying notes 6 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) DIVERSIFIED FINANCIALS - 8.11% American Express Co. ............................ 45,400 $ 2,180 Capital One Financial Corp. + ................... 516,600 27,380 Charles Schwab Corp. ............................ 3,314,000 71,582 Citigroup, Inc. + ............................... 4,872,638 123,131 Discover Financial Services ..................... 266,350 4,850 Federal Home Loan Mortgage Corp. ................ 777,000 19,355 Federal National Mortgage Association ........... 420,800 11,909 Goldman Sachs Group, Inc. ....................... 252,400 48,302 JP Morgan Chase & Co. ........................... 3,948,198 188,132 Merrill Lynch & Co., Inc. ....................... 1,095,500 54,589 Mitsubishi UFJ Financial Group, Inc., ADR + ..... 5,000,000 54,950 Morgan Stanley Dean Witter & Co. ................ 1,737,100 84,423 SLM Corp. ## .................................... 2,089,700 38,722 ---------- 729,505 ---------- INSURANCE - 5.75% ACE Ltd. ........................................ 1,100,100 66,325 Aflac, Inc. ..................................... 1,189,000 79,271 Allstate Corp. .................................. 273,028 13,750 American International Group, Inc. .............. 3,391,300 156,678 Conseco, Inc. ## ................................ 330,700 3,853 Genworth Financial, Inc. ........................ 669,400 15,436 Hartford Financial Services Group, Inc. ......... 693,050 49,394 MetLife, Inc. ................................... 746,100 45,400 Travelers Companies, Inc. ....................... 723,400 36,459 UnumProvident Corp. ............................. 357,200 8,291 XL Capital Ltd. ................................. 1,210,100 42,220 ---------- 517,077 ---------- TOTAL FINANCIALS 1,907,444 ---------- HEALTH CARE - 9.59% HEALTH CARE EQUIPMENT & SUPPLIES - 1.56% Baxter International, Inc. ...................... 2,132,800 132,916 Covidien Ltd. ................................... 147,400 6,882 ---------- 139,798 ---------- HEALTH CARE PROVIDERS & SERVICES - 1.90% Cigna Corp. ..................................... 1,106,500 47,259 Omnicare, Inc. + ................................ 60,400 1,229 UnitedHealth Group, Inc. ........................ 628,400 20,505 Universal Health Services, Inc. ................. 961,000 60,197 WellPoint, Inc. ## .............................. 838,800 41,730 ---------- 170,920 ---------- PHARMACEUTICALS - 6.13% Amgen, Inc. ## .................................. 336,000 14,068 AstraZeneca plc, ADR ............................ 360,600 15,138 Bristol-Myers Squibb Co. ........................ 4,183,200 91,905
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Eli Lilly & Co. ................................. 1,737,300 $ 83,634 Hospira, Inc. ## ................................ 1,175,000 48,351 Johnson & Johnson ............................... 530,800 35,611 Merck & Co., Inc. ............................... 307,100 11,682 Pfizer, Inc. .................................... 6,090,500 122,480 Schering-Plough Corp. ........................... 1,094,800 20,155 Wyeth Corp. ..................................... 2,449,100 108,912 ---------- 551,936 ---------- TOTAL HEALTH CARE 862,654 ---------- INDUSTRIALS - 12.26% AEROSPACE & DEFENSE - 3.64% Boeing Co. ...................................... 1,615,500 137,091 Northrop Grumman Corp. .......................... 1,046,400 76,984 Raytheon Co. .................................... 1,040,000 66,529 United Technologies Corp. ....................... 643,200 46,613 ---------- 327,217 ---------- AIR FREIGHT & COURIERS - 0.50% FedEx Corp. ..................................... 472,600 45,308 ---------- INDUSTRIAL CONGLOMERATES - 4.16% 3M Co. .......................................... 593,000 45,602 General Electric Co. ............................ 3,548,000 116,020 Honeywell International, Inc. ................... 2,473,425 146,921 Textron, Inc. ................................... 750,400 45,782 Tyco International Ltd. ......................... 436,300 20,414 ---------- 374,739 ---------- MACHINERY - 3.33% Caterpillar, Inc. ............................... 823,100 67,396 Deere & Co. ..................................... 989,000 83,145 Illinois Tool Works, Inc. ....................... 1,637,300 85,614 ITT Industries, Inc. ............................ 989,300 63,315 ---------- 299,470 ---------- TRANSPORTATION INFRASTRUCTURE - 0.63% Burlington Northern Santa Fe Corp. .............. 550,900 56,495 ---------- TOTAL INDUSTRIALS .................................. 1,103,229 ---------- INFORMATION TECHNOLOGY - 10.30% COMMUNICATIONS EQUIPMENT - 0.50% Alcatel-Lucent, ADR + ........................... 1,240,800 8,276 Nokia Corp., ADR ................................ 1,213,800 36,499 ---------- 44,775 ---------- COMPUTERS & PERIPHERALS - 5.36% Apple Computer, Inc. ## ......................... 640,000 111,328 Hewlett-Packard Co. ............................. 2,491,000 115,458
See accompanying notes 7 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) International Business Machines Corp. ........... 2,119,800 $ 255,860 ---------- 482,646 ---------- ELECTRICAL EQUIPMENT - 0.59% Molex, Inc. ..................................... 2,027,000 53,374 ---------- ELECTRONIC COMPONENTS - 0.53% Thomas & Betts Corp. ## ......................... 1,285,000 48,136 ---------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.58% Intel Corp. ..................................... 1,404,700 31,268 Tyco Electronics Ltd. ........................... 548,300 20,512 ---------- 51,780 ---------- IT CONSULTING & SERVICES - 0.38% Electronic Data Systems Corp. ................... 1,839,700 34,145 ---------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.64% Texas Instruments, Inc. ......................... 1,960,000 57,154 ---------- SOFTWARE - 1.72% CA, Inc. ........................................ 1,465,003 32,435 Microsoft Corp. ................................. 919,600 26,227 Oracle Corp. ## ................................. 4,628,600 96,506 ---------- 155,168 ---------- TOTAL INFORMATION TECHNOLOGY 927,178 ---------- MATERIALS - 2.69% CHEMICALS - 2.69% Air Products & Chemicals, Inc. .................. 1,255,100 123,539 Dow Chemical Co. ................................ 591,700 23,757 E. I. du Pont de Nemours & Co. + ................ 1,272,900 62,258 Eastman Chemical Co. ............................ 23,400 1,720 PPG Industries, Inc. ............................ 508,900 31,231 ---------- TOTAL MATERIALS .................................... 242,505 ---------- TELECOMMUNICATION SERVICES - 5.06% DIVERSIFIED TELECOMMUNICATION - 5.06% AT&T, Inc. ...................................... 6,760,552 261,701 Fairpoint Communications, Inc. + ................ 44,846 413 Verizon Communications, Inc. .................... 3,532,646 135,936 Vodafone Group plc, ADR ......................... 1,810,949 57,335 ---------- TOTAL TELECOMMUNICATION SERVICES 455,385 ---------- UTILITIES - 4.33% ELECTRIC UTILITIES - 3.56% CenterPoint Energy, Inc. + ...................... 1,627,300 24,768 Dominion Resources, Inc. + ...................... 3,059,800 132,765
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Entergy Corp. ................................... 592,200 $ 68,020 Exelon Corp. .................................... 861,400 73,632 FPL Group, Inc. ................................. 109,300 7,245 Public Service Enterprise Group, Inc. ........... 317,900 13,959 ---------- 320,389 ---------- GAS UTILITIES - 0.77% Spectra Energy Corp. ............................ 2,791,700 68,955 ---------- TOTAL UTILITIES .................................... 389,344 ---------- TOTAL COMMON STOCKS ................................ 8,361,970 ---------- CONVERTIBLE PREFERRED STOCKS - 0.26% FINANCIALS - 0.26% BANKS - 0.26% East West Bancorp, Inc. ## ...................... 8,763 9,621 National City Corp. ## .......................... 138 13,800 ---------- TOTAL CONVERTIBLE PREFERRED STOCKS ................. 23,421 ---------- SHORT TERM INVESTMENTS - 6.74% American Beacon Money Market Select Fund ++ ...................................... 569,687,688 569,688
PAR AMOUNT ------------ United States Treasury Bill, 1.27%, Due 6/12/2008 # ....................... $ 36,861 36,807 ---------- TOTAL SHORT TERM INVESTMENTS 606,495 ----------
SHARES ------------ SECURITIES LENDING COLLATERAL - 4.98% American Beacon Cash Plus Trust ++ .............. 361,052,001 361,052 American Beacon Money Market Select Fund ++ ...................................... 87,376,775 87,377 ---------- TOTAL SECURITIES LENDING COLLATERAL 448,429 ---------- TOTAL INVESTMENTS 104.90% - (COST $9,247,166) ...... 9,440,315 LIABILITIES, NET OF OTHER ASSETS - (4.90%) ......... (441,223) ---------- TOTAL NET ASSETS - 100.00% ......................... $8,999,092 ==========
See accompanying notes 8 AMERICAN BEACON LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2008 (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, 2008. ++ The Fund/Trust is affiliated by having the same investment advisor. # At April 30, 2008, 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 8,898 Jun 2008 $616,631 $22,331 ======== =======
See accompanying notes 9 AMERICAN BEACON LARGE CAP VALUE FUND STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2008 (UNAUDITED) (IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) ASSETS: Investments in unaffiliated securities, at value (A, C) ...... $ 8,422,198 Investments in affiliated securities, at value (B) ........... 1,018,117 Receivable for investments sold .............................. 452 Dividends and interest receivable ............................ 10,161 Receivable for fund shares sold .............................. 20,475 Receivable for tax reclaims .................................. 196 Prepaid expenses ............................................. 149 ------------ TOTAL ASSETS .............................................. 9,471,748 ------------ LIABILITIES: Payable for investments purchased ............................ 7,331 Payable upon return of securities loaned ..................... 448,429 Payable for fund shares redeemed ............................. 5,060 Payable for variation margin on open futures contracts ....... 2,310 Management and investment advisory fees payable (Note 2) ..... 5,939 Administrative service and service fees payable .............. 2,718 Other liabilities ............................................ 869 ------------ TOTAL LIABILITIES ......................................... 472,656 ------------ NET ASSETS ...................................................... $ 8,999,092 ============ ANALYSIS OF NET ASSETS: Paid-in-capital .............................................. 8,976,963 Undistributed net investment income .......................... 40,673 Accumulated net realized loss ................................ (234,024) Unrealized appreciation of investments, futures contracts, and foreign currency ........................... 215,480 ------------ NET ASSETS ...................................................... $ 8,999,092 ============ SHARES OUTSTANDING (NO PAR VALUE): Institutional Class .......................................... 129,488,931 ============ PlanAhead Class .............................................. 246,100,975 ============ Service Class ................................................ 4,951,714 ============ AMR Class .................................................... 35,858,880 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class .......................................... $ 22.26 ============ PlanAhead Class .............................................. $ 21.22 ============ Service Class ................................................ $ 21.10 ============ AMR Class .................................................... $ 22.04 ============ - ---------- (A) Cost of investments in unaffiliated securities .............. $ 8,229,049 (B) Cost of investments in affiliated securities ................ $ 1,018,117 (C) Market value of securities on loan .......................... $ 465,423
See accompanying notes 10 AMERICAN BEACON LARGE CAP VALUE FUND STATEMENT OF OPERATIONS SIX MONTHS ENDED APRIL 30, 2008 (IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes)* ........................................... $ 96,350 Dividend income from affiliated securities ................... 10,193 Interest income .............................................. 542 Income derived from securities lending, net .................. 1,115 ----------- TOTAL INVESTMENT INCOME ................................ 108,200 ----------- EXPENSES: Management and investment advisory fees (Note 2) ............. 12,050 Administrative service fees (Note 2): Institutional Class ....................................... 3,185 PlanAhead Class ........................................... 6,142 Service Class ............................................. 133 Transfer agent fees: Institutional Class ....................................... 95 PlanAhead Class ........................................... 154 Service Class ............................................. 3 AMR Class ................................................. 10 Custody and fund accounting fees ............................. 361 Professional fees ............................................ 61 Registration fees and expenses ............................... 68 Service fees: PlanAhead Class (Note 2) .................................. 6,142 Service Class (Note 2) .................................... 134 Distribution fees - Service Class (Note 2) ................... 134 Prospectus and shareholder reports ........................... 368 Other expenses ............................................... 291 ----------- TOTAL EXPENSES ......................................... 29,331 ----------- NET INVESTMENT INCOME ........................................... 78,869 ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments ............................................... (127,830) Commission recapture (Note 1) ............................. 72 Futures contracts ......................................... (86,029) Change in net unrealized appreciation or depreciation of: Investments ............................................... (811,545) Futures contracts ............................................ 17,952 ----------- NET LOSS ON INVESTMENTS ................................... (1,007,380) ----------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ $ (928,511) =========== * Foreign taxes .............................................. $ 204
See accompanying notes 11 AMERICAN BEACON LARGE CAP VALUE FUND STATEMENT OF CHANGES OF NET ASSETS (IN THOUSANDS)
Six Months Year Ended Ended October 31, April 30, 2008 2007 -------------- ----------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ........................................ $ 78,869 $ 120,501 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions .............. (213,787) 254,832 Change in net unrealized appreciation or (depreciation) of investments, futures contracts, and foreign currency translations .............................................. (793,593) 458,866 ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ............................................. (928,511) 834,199 ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ....................................... (41,356) (14,678) PlanAhead Class ........................................... (76,907) (35,816) Service Class ............................................. (1,578) (422) AMR Class ................................................. (16,885) (13,818) Net realized gain on investments: Institutional Class ....................................... (71,604) (28,455) PlanAhead Class ........................................... (153,834) (78,015) Service Class ............................................. (3,382) (1,093) AMR Class ................................................. (26,071) (23,934) ----------- ----------- NET DISTRIBUTIONS TO SHAREHOLDERS ...................... (391,617) (196,231) ----------- ----------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares ................................ 2,268,009 4,667,772 Reinvestment of dividends and distributions .................. 370,495 185,535 Cost of shares redeemed ...................................... (1,083,684) (1,336,091) ----------- ----------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ........................................ 1,554,820 3,517,216 ----------- ----------- NET INCREASE IN NET ASSETS ...................................... 234,692 4,155,184 ----------- ----------- NET ASSETS: Beginning of period .......................................... 8,764,400 4,609,216 ----------- ----------- END OF PERIOD * .............................................. $ 8,999,092 $ 8,764,400 =========== =========== *Includes undistributed net investment income of ................ $ 40,673 $ 98,502 =========== ===========
See accompanying notes 12 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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 ("AMR"), 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. On April 16, 2008, AMR announced that it has reached a definitive agreement to sell American Beacon Advisors, Inc. to Lighthouse Holdings, Inc., which is owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, two leading private equity firms. AMR expects to close the sale later this year, subject to customary closing conditions as well as the approval of the shareholders of the American Beacon family of mutual funds and consents from other clients of the Manager. 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 Administrative Service Fee - 0.25% of $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 Administrative Service Fee - 0.25% intermediary 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. 13 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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 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"). 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 at least annually. Distributions, if any, of net realized capital gains are generally paid at least 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. 14 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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. Recently Issued Accounting Pronouncements 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. As of April 30, 2008, the Manager does not believe the adoption of FAS 157 will materially impact the amounts reported in the financial statements; however, additional disclosures will be required about the inputs used to develop the measurements of fair value. 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 that 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, 2008 were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT FEE RATE MANAGEMENT FEE INVESTMENT ADVISORS RETAINED BY MANAGER ------------------- -------------- ------------------- ------------------- 0.225%-0.70% $12,050 $7,863 $4,187
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 15 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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, 2008, securities lending fees paid to the Manager were $181,106. Administrative Services Agreement The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative 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 Fund, 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 and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund 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 up to 0.10% of its average daily net assets. During the six months ended April 30, 2008, the Manager earned fees from the Affiliated Funds totaling $255,361 on the Fund's direct investment in the Affiliated Funds and $206,970 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, 2008, the Fund did not utilize the credit facility. 16 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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, 2008, there were no fees waived or reimbursed expenses subject to potential recovery. Other At April 30, 2008, AMR Corporation and subsidiary companies and employee benefit trusts thereof owned 9% of the Fund's shares. 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. The Fund adopted the provisions of FASB Interpretation No. 48, "Accounting for Uncertainties in Income Taxes" ("FIN 48"), on January 1, 2007. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended October 31, 2007 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in "Other expenses" on the Statement of Operations. 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, 2008 and the fiscal year ended October 31, 2007 were as follows (in thousands):
SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2008 2007 ---------------- ----------- (unaudited) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class ................................ $ 65,645 $ 20,725 PlanAhead Class .................................... 129,088 52,395 Service Class ...................................... 2,725 654 AMR Class .......................................... 25,729 18,904 LONG-TERM CAPITAL GAIN Institutional Class ................................ 47,315 22,407 PlanAhead Class .................................... 101,652 61,436 Service Class ...................................... 2,235 861 AMR Class .......................................... 17,228 18,849 -------- -------- TOTAL DISTRIBUTIONS PAID ................................. $391,617 $196,231 ======== ========
* For tax purposes, short-term capital gains are considered ordinary income distributions. As of April 30, 2008, the components of distributable earnings on a tax basis were as follows (in thousands): 17 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) Cost basis of investments for federal income tax purposes ............................................. $9,292,691 Unrealized appreciation .................................. 1,034,338 Unrealized depreciation .................................. (886,714) ---------- Net unrealized appreciation/(depreciation) ............... 147,624 Undistributed ordinary income ............................ 40,673 Undistributed long-term gain/(loss) ...................... (166,234) ---------- Distributable earnings ................................... $ 22,063 ==========
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, 2008 (in thousands): Paid-in-capital .......................................... $ 6 Undistributed net investment income ...................... 28 Accumulated net realized gain (loss) ..................... (34) Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency ................ --
At April 30, 2008, the capital loss carry forward position of the Fund for federal income tax purposes was $ 166,234. 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, 2008 were (in thousands) $1,547,331 and $552,437, respectively. A summary of the Fund's direct transactions in Affiliated Funds for the six months ended April 30, 2008 is set forth below (in thousands):
OCTOBER 31, 2007 APRIL 30, 2008 AFFILIATE SHARES/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE - --------- ------------------- ---------- ---------- ------------------- Select Fund $389,578 $2,495,306 $2,315,196 $569,688
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 money market mutual funds and other short-term investments, provided the investments meet certain quality and diversification requirements. 18 AMERICAN BEACON LARGE CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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, 2008, 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 - ------------------ ------------------- --------------- $465,423 $36,760 $448,429
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, 2008
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- -------------------- ----------------- ------------------ SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- --------- ------- ---------- ------ -------- ------ --------- Shares sold ................. 42,762 $ 970,722 56,845 $1,225,392 2,437 $ 53,190 843 $ 18,705 Reinvestment of dividends ... 4,204 99,590 9,867 222,989 220 4,960 1,833 42,956 Shares redeemed ............. (13,272) (299,906) (29,966) (645,816) (1,748) (36,333) (4,507) (101,629) ------- --------- ------- ---------- ------ -------- ------ --------- Net increase (decrease) in shares outstanding ..... 33,694 $ 770,406 36,746 $ 802,565 909 $ 21,817 (1,831) $ (39,968) ======= ========= ======= ========== ====== ======== ====== =========
Year Ended October 31, 2007
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- --------------------- ----------------- ------------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------ ---------- ------- ----------- ------ -------- ------- --------- Shares sold ................. 63,236 $1,576,896 121,583 $ 2,853,467 3,247 $ 76,601 6,477 $ 160,808 Reinvestment of dividends ... 1,548 36,661 4,843 109,645 65 1,477 1,612 37,752 Shares redeemed ............. (9,321) (233,002) (30,797) (739,817) (996) (23,714) (13,926) (339,558) ------ ---------- ------- ----------- ----- -------- ------- --------- Net increase (decrease) in shares outstanding ..... 55,463 $1,380,555 95,629 $ 2,223,295 2,316 $ 54,364 (5,837) $(140,998) ====== ========== ======= =========== ===== ======== ======= =========
19 AMERICAN BEACON LARGE CAP VALUE FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class --------------------------------------------------------------------- Six Months Year Ended October 31, Ended April ---------------------------------------------------- 30, 2008 2007 2006 2005 2004 2003 ----------- ---------- -------- -------- ------- ------- (unaudited) Net asset value, beginning of period .......... $ 26.03 $ 23.77 $ 21.00 $ 18.23 $ 15.62 $ 12.55 ---------- ---------- -------- -------- ------- ------- Income from investment operations: Net investment income(A) ................... 0.22 0.40 0.31 0.28 0.26 0.25(B) Net gains (losses) on securities (both realized and unrealized) .......... (2.87) 2.78 3.48 2.74 2.62 3.11(B) ---------- ---------- -------- -------- ------- ------- Total income (loss) from investment operations ................................. (2.65) 3.18 3.79 3.02 2.88 3.36 ---------- ---------- -------- -------- ------- ------- Less distributions: Dividends from net investment income ....... (0.41) (0.31) (0.26) (0.25) (0.27) (0.29) Distributions from net realized gains on securities ........................... (0.71) (0.61) (0.76) -- -- -- ---------- ---------- -------- -------- ------- ------- Total distributions ........................... (1.12) (0.92) (1.02) (0.25) (0.27) (0.29) ---------- ---------- -------- -------- ------- ------- Net asset value, end of period ................ $ 22.26 $ 26.03 $ 23.77 $ 21.00 $ 18.23 $ 15.62 ========== ========== ======== ======== ======= ======= Total return .................................. (10.41)%(C) 13.76% 18.69% 16.64% 18.59% 27.30% ========== ========== ======== ======== ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ... $2,882,987 $2,493,451 $958,830 $201,111 $48,451 $23,512 Ratios to average net assets (annualized): Expenses, net of waivers ................ 0.57% 0.59% 0.60% 0.60% 0.66% 0.66% Expenses, before waivers ................ 0.57% 0.59% 0.60% 0.60% 0.66% 0.66% Net investment income, net of waivers ... 2.00% 1.82% 1.86% 1.58% 1.49% 1.88% Net investment income (loss), before waivers .............................. 2.00% 1.82% 1.86% 1.58% 1.49% 1.88% Portfolio turnover rate .................... 7%(C) 20% 26% 25% 29% 27% PlanAhead Class ------------------------------------------------------------------------ Six Months Year Ended Ended October April 31 ------------------------------------------------------- 30, 2008 2007 2006 2005 2004 2003 ----------- ----------- ---------- -------- ------- ------- (unaudited) Net asset value, beginning of period .......... $ 24.83 $ 22.74 $ 20.16 $ 17.54 $ 15.05 $ 12.09 ---------- ---------- ---------- -------- ------- ------- Income from investment operations: Net investment income(A) ................... 0.19 0.37 0.28 0.27 0.23 0.22(B) Net gains (losses) on securities (both realized and unrealized) .......... (2.73) 2.61 3.31 2.58 2.49 2.99(B) ---------- ---------- ---------- -------- ------- ------- Total income (loss) from investment operations ................................. (2.54) 2.98 3.59 2.85 2.72 3.21 ---------- ---------- ---------- -------- ------- ------- Less distributions: Dividends from net investment income ....... (0.36) (0.28) (0.25) (0.23) (0.23) (0.25) Distributions from net realized gains on securities ........................... (0.71) (0.61) (0.76) -- -- -- ---------- ---------- ---------- -------- ------- ------- Total distributions ........................... (1.07) (0.89) (1.01) (0.23) (0.23) (0.25) ---------- ---------- ---------- -------- ------- ------- Net asset value, end of period ................ $ 21.22 $ 24.83 $ 22.74 $ 20.16 $ 17.54 $ 15.05 ========== ========== ========== ======== ======= ======= Total return .................................. (10.48)%(C) 13.46% 18.44% 16.33% 18.26% 26.99% ========== ========== ========== ======== ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ... $5,221,461 $5,198,835 $2,586,410 $526,357 $51,489 $21,331 Ratios to average net assets (annualized): Expenses, net of waivers ................ 0.82% 0.83% 0.85% 0.86% 0.94% 0.95% Expenses, before waivers ................ 0.82% 0.83% 0.85% 0.86% 0.94% 0.95% Net investment income, net of waivers ... 1.76% 1.59% 1.61% 1.30% 1.21% 1.57% Net investment income (loss), before waivers .............................. 1.76% 1.59% 1.61% 1.30% 1.21% 1.57% Portfolio turnover rate .................... 7%(C) 20% 26% 25% 29% 27%
(A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment income per share through October 31, 2005. (B) 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. (C) Not annualized. (D) Annualized. (E) Portfolio turnover rate is for the period from November 1, 2004 through October 31, 2005. 20
Service Class ------------------------------------------- Six Months Year Ended May Ended October 31, 31 to April 30, ----------------- October 2008 2007 2006 31, 2005 ----------- ------- ------- -------- (unaudited) Net asset value, beginning of period .......... $ 24.70 $ 22.64 $ 20.13 $ 19.33 -------- ------- ------- ------- Income from investment operations: Net investment income(A) ................... 0.15 0.31 0.26 0.01 Net gains (losses) on securities (both realized and unrealized) .......... (2.71) 2.59 3.27 0.79 -------- ------- ------- ------- Total income (loss) from investment operations ................................. (2.56) 2.90 3.53 0.80 -------- ------- ------- ------- Less distributions: Dividends from net investment income ....... (0.33) (0.23) (0.26) -- Distributions from net realized gains on securities ........................... (0.71) (0.61) (0.76) -- -------- ------- ------- ------- Total distributions ........................... (1.04) (0.84) (1.02) -- -------- ------- ------- ------- Net asset value, end of period ................ $ 21.10 $ 24.70 $ 22.64 $ 20.13 ======== ======= ======= ======= Total return .................................. (10.59)%(C) 13.16% 18.18% 4.14%(C) ======== ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ... $104,459 $99,854 $39,077 $11,604 Ratios to average net assets (annualized): Expenses, net of waivers ................ 1.08% 1.08% 1.09% 1.14%(D) Expenses, before waivers ................ 1.08% 1.08% 1.09% 1.77%(D) Net investment income, net of waivers ... 1.51% 1.32% 1.39% 1.72%(D) Net investment income (loss), before waivers .............................. 1.51% 1.32% 1.39% 1.09%(D) Portfolio turnover rate .................... 7%(C) 20% 26% 25%(E) AMR Class --------------------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, ------------------------------------------------------ 2008 2007 2006 2005 2004 2003 ----------- -------- ---------- -------- -------- -------- (unaudited) Net asset value, beginning of period .......... $ 25.80 $ 23.55 $ 20.78 $ 18.02 $ 15.44 $ 12.40 -------- -------- ---------- -------- -------- -------- Income from investment operations: Net investment income(A) ................... 0.29 0.80 0.35 0.31 0.30 0.29 Net gains (losses) on securities (both realized and unrealized) .......... (2.88) 2.41 3.47 2.73 2.58 3.06 -------- -------- ---------- -------- -------- -------- Total income (loss) from investment operations ................................. (2.59) 3.21 3.82 3.04 2.88 3.35 -------- -------- ---------- -------- -------- -------- Less distributions: Dividends from net investment income ....... (0.46) (0.35) (0.29) (0.28) (0.30) (0.31) Distributions from net realized gains on securities ........................... (0.71) (0.61) (0.76) -- -- -- -------- -------- ---------- -------- -------- -------- Total distributions ........................... (1.17) (0.96) (1.05) (0.28) (0.30) (0.31) -------- -------- ---------- -------- -------- -------- Net asset value, end of period ................ $ 22.04 $ 25.80 $ 23.55 $ 20.78 $ 18.02 $ 15.44 ======== ======== ========== ======== ======== ======== Total return .................................. (10.28)%(C) 14.03% 19.08% 16.95% 18.89% 27.64% ======== ======== ========== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) ... $790,185 $972,260 $1,024,899 $848,219 $696,206 $598,869 Ratios to average net assets (annualized): Expenses, net of waivers ................ 0.32% 0.32% 0.34% 0.35% 0.39% 0.36% Expenses, before waivers ................ 0.32% 0.32% 0.34% 0.35% 0.39% 0.36% Net investment income, net of waivers ... 2.28% 2.13% 2.18% 1.87% 1.79% 2.13% Net investment income (loss), before waivers .............................. 2.28% 2.13% 2.18% 1.87% 1.79% 2.13% Portfolio turnover rate .................... 7%(C) 20% 26% 25% 29% 27%
21 (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 PORTFOLIO AVAILABILITY OF PROXY VOTING POLICY AND SCHEDULES 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 BANK AND BOSTON FINANCIAL DATA PUBLIC ACCOUNTING FIRM FORESIDE FUND TRUST SERVICES ERNST & YOUNG LLP SERVICES Boston, Massachusetts Kansas City, Missouri Dallas, Texas Portland, Maine
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current prospectus. American Airlines, Inc. is not responsible for investments made in the American Beacon Funds. American Beacon Funds is a service mark of AMR Corporation. American Beacon Large Cap Value Fund is a service mark of American Beacon Advisors, Inc. GUIDANCE | VISION | EXPERIENCE (AMERICAN BEACON FUNDS(SM) LOGO) (GRAPHIC) SEMI-ANNUAL REPORT April 30, 2008 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............................................. 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 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, 2008 (PHOTO OF WILLIAM F. QUINN) 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, 2008. The American Beacon Small Cap Value Fund-Institutional Class reported a total return of -8.53% for this six-month period, with an expense ratio of 0.81% for the most recent fiscal year ended October 31, 2007. The sub-prime mortgage crisis, rising oil and food prices all contributed to a slowing economy that affected the U.S. equity markets negatively in the past six months. This was evident when the S&P 500 and Dow Jones Industrial Average indices reported returns of -9.64% and -6.79%, respectively, for this period. During the period, the uncertainties surrounding banks, investment banks and the entire financial system have resulted in an extraordinary amount of volatility. We feel the market's strong recovery in April 2008 might be foretelling a bottoming out over the short term, given market levels. We believe the Fund's fundamental value investment philosophy and lower than average expense ratio will continue to serve the Fund well over the longer 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/ William F. Quinn William F. Quinn President American Beacon Funds 1 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2008 (UNAUDITED) Market volatility remained prevalent in the November-through-April time frame as concerns escalated regarding inflation, housing, credit and the long-term viability of some well-established financial institutions. Stock prices declined markedly as investors did not discriminate by market capitalization, investment style or geographic region. In sharp contrast to the equity markets, commodities continued to soar as the dollar weakened further. Responding to the liquidity crisis, the Federal Reserve ("Fed") provided monetary stimulus not only through five cuts in interest rates over the course of the six months (leaving the Federal Funds target rate at 2.00% on April 30, 2008, down from 4.50% on October 31, 2007), but also through significant expansion of lending facilities to accept a wide variety of collateral from both banks and brokerage firms. In their closely watched statement at the conclusion of their meeting on April 30, 2008, the Fed issued a negative outlook on the economy, suggesting that growth remained weak and could be further pressured by "subdued" business investment. In addition, the Fed reiterated that financial markets remained under "considerable" stress. However, the month of April 2008 may have marked a turning point for equity investors as stocks managed a strong rally as investors sought attractive valuations in an economic environment that turned out not to be as bad as initially feared. Several industry bellwethers reported solid profit news, offering further encouragement to those non-financial sectors that have yet to be affected by the credit crisis. Stocks were up across the board in April, with all the major domestic market indices showing gains. Yields for U.S. Treasuries increased (and prices for those securities dropped) as investors anticipated an end to the Fed's easing campaign as well as in an attempt to seek better value in the equity market. Growth stocks in the Russell indices held up slightly better than their value counterparts during the six-month period, although both styles declined. Stock prices declined across all capitalization ranges; however, midcap companies held up better than large caps, while smaller companies declined sharply. Weak equity performance was widespread over the semi-annual period. With the exception of Energy, every sector in the broad market S&P 500 Index declined. Despite interest rate cuts and relaxed Fed requirements, Financials was the worst-performing sector, with a total return of -20.0%. Stocks in the Information Technology, Telecommunication Services, Health Care and Consumer Discretionary sectors also suffered double-digit declines. Other than Energy, with a total return of 6.3%, there were no bright spots. Even Consumer Staples, often viewed as a defensive category, pulled back slightly as investors worried that consumer spending would not pick up anytime soon. Since the financial crisis began last August, monetary policy makers had been very aggressive, cutting interest rates seven different times. In addition, the Fed had been innovative in contending with the current financial crisis by developing (or resurrecting) policy initiatives and lending facilities in an attempt to target liquidity without further pressuring the dollar or adding to inflationary concerns. Yet despite these efforts, inflationary pressures continued to build and the dollar continued to weaken. As a result, by the end of April 2008, market interest rates had once again begun to move against the Fed, this time upward, as global investors anticipated a pause in, if not a completion of, the most recent Fed easing campaign. 2 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the Small Cap Value Fund returned -8.53% for the six months ended April 30, 2008, outperforming the Russell 2000(R) Value Index ("Index") return of -11.55% and the Lipper Small-Cap Value Funds Index return of - -10.66% for the same period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 ---------------------------- SINCE 6 MONTHS* 1 YEAR 5 YEARS INCEPTION --------- ------ ------- --------- Institutional Class(1, 5) .............. -8.53% -12.03% 15.39% 11.97% PlanAhead Class(1, 2, 5) ............... -8.67% -12.28% 15.09% 11.69% Service Class(1, 3, 5) ................. -8.79% -12.50% 14.77% 11.52% AMR Class(1, 2, 5) ..................... -8.45% -11.84% 15.70% 12.27% Lipper Small-Cap Value Funds Index(4) .. -10.66% -12.60% 15.02% 10.46% Russell 2000 Value Index (4) ........... -11.55% -15.13% 14.08% 10.10%
* 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. (3.) 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. A portion of the fees charged to the Service Class of the Fund was waived through 2004. Performance prior to waiving fees was lower than the actual returns shown for periods through 2004. (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 lower price-to-book ratios and lower 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 0.81%, 1.06%, 1.32% and 0.55%, 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 entirely due to stock selection as sector allocation detracted value from the Fund's relative performance. Holdings in the Industrials, Consumer Discretionary, and Energy sectors were a significant source of excess performance. Top contributors in the Industrials sector included Flowserve (up 57.8%), Ryder System (up 44.3%), and Kirby (up 24.8%). In the Consumer Discretionary sector, positions in Valassis Communications (up 44.2%), MDC (up 8.9%), and Rent-A-Center (up 34.6%) were the major contributors. Cimarex Energy (up 54.1%) and Helmerich & Payne (up 70.4%) were responsible for a large portion of the excess performance in the Energy sector. The Fund's overweighting in Consumer Discretionary, the second worst performing sector in the Index, and an underweight in the Materials sector detracted value relative to the Index. This negative performance was somewhat offset by an overweighting in Energy, the best performing sector in the Index, and an underweighting in Telecommunication Services, the worst performing sector in 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. 3 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE FUND(SM) APRIL 30, 2008 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- Valassis Communications, Inc.... 1.0% Hanover Insurance Group, Inc.... 0.9% Atmos Energy Corp............... 0.8% Portland General Electric Co.... 0.8% Great Plains Energy, Inc........ 0.8% Korn/Ferry International........ 0.8% Timken Co....................... 0.8% Vishay Intertechnology, Inc..... 0.7% Regal-Beloit Corp............... 0.7% Oil States International, Inc... 0.7%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials...................... 25.0% Industrials..................... 19.1% Consumer Discretionary.......... 15.0% Information Technology.......... 10.8% Energy.......................... 9.4% Utilities....................... 6.3% Materials....................... 5.0% Health Care..................... 5.0% Consumer Staples................ 2.4% Telecommunication Services...... 2.0%
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. 4 FUND EXPENSES AMERICAN BEACON SMALL CAP VALUE FUND(SM) APRIL 30, 2008 (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, 2007 through April 30, 2008. 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* 11/1/07 4/30/08 11/1/07-4/30/08 --------- --------- --------------- INSTITUTIONAL CLASS Actual $1,000.00 $ 914.72 $3.86 Hypothetical $1,000.00 $1,020.84 $4.07 (5% return before expenses) PLANAHEAD CLASS Actual $1,000.00 $ 913.32 $5.04 Hypothetical $1,000.00 $1,019.59 $5.32 (5% return before expenses) SERVICE CLASS Actual $1,000.00 $ 912.07 $6.28 Hypothetical $1,000.00 $1,018.30 $6.62 (5% return before expenses) AMR CLASS Actual $1,000.00 $ 915.54 $2.62 Hypothetical $1,000.00 $1,022.13 $2.77 (5% return before expenses)
* Expenses are equal to the Fund's annualized expense ratios for the six-month period of 0.81%, 1.06%, 1.32% and 0.55% 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 (182) by days in the year (366) to reflect the half-year period. 5 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) COMMON STOCKS - 95.21% COMMUNICATIONS - 1.35% MEDIA- 1.35% AH Belo Corp. ## ............................... 113,700 $ 1,109 Belo Corp. ..................................... 730,230 7,375 Courier Corp. + ................................ 65,669 1,546 Cox Radio, Inc. ## + ........................... 314,960 3,663 Getty Images, Inc. ## .......................... 78,700 2,569 Hearst-Argyle Television, Inc. + ............... 93,800 1,943 Journal Communications, Inc. ................... 115,943 668 McClatchy Co. + ................................ 25,400 267 Meredith Corp. ................................. 191,990 6,222 New York Times Co. + ........................... 354,300 6,909 Westwood One, Inc. ............................. 1,742,300 2,910 ------------ TOTAL COMMUNICATIONS .............................. 35,181 ------------ CONSUMER DISCRETIONARY - 14.25% AUDIO/VIDEO PRODUCTS - 0.04% Harman International Industries, Inc. .......... 23,200 948 ------------ AUTO COMPONENTS - 1.91% Aftermarket Technology Corp. ## ................ 25,000 573 American Axle & Manufacturing Holdings, Inc.+ .. 644,200 12,974 Gentex Corp. + ................................. 105,800 1,976 Lear Corp. ## .................................. 580,700 16,591 Modine Manufacturing Co. + ..................... 120,540 2,118 Superior Industries International, Inc. + ...... 46,500 944 Tenneco, Inc. ## ............................... 246,410 6,303 TRW Automotive Holdings Corp. ## ............... 327,300 8,366 ------------ 49,845 ------------ AUTOMOBILES - 0.21% Winnebago Industries, Inc. + ................... 344,000 5,535 ------------ HOTELS, RESTAURANTS & LEISURE -1.13% CBRL Group, Inc. + ............................. 109,611 4,049 CEC Entertainment, Inc. ## ..................... 25,700 956 Domino's Pizza, Inc. + ......................... 173,600 2,305 Jack in the Box, Inc. ## ....................... 52,300 1,399 JAKKS Pacific, Inc. ## + ....................... 140,100 3,291 Landry's Restaurants, Inc. + ................... 14,900 238 Lodgian, Inc. ## ............................... 495,000 4,806 Panera Bread Co. ## + .......................... 136,680 7,143 Ruby Tuesday, Inc. + ........................... 246,250 2,096 Speedway Motorsports, Inc. + ................... 121,500 3,164 ------------ 29,447 ------------
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) HOUSEHOLD DURABLES -1.29% Beazer Homes USA, Inc. + ....................... 111,900 $ 1,239 Blyth, Inc. .................................... 147,100 2,477 Cavco Industries, Inc. ## + .................... 44,210 1,765 Champion Enterprises, Inc. ## + ................ 446,050 4,603 Ethan Allen Interiors, Inc. + .................. 240,240 6,599 Furniture Brands International, Inc. + ......... 199,200 2,699 Knoll, Inc. .................................... 150,000 1,953 Lancaster Colony Corp. + ....................... 26,880 1,027 Leggett & Platt, Inc. + ........................ 51,700 858 M.D.C. Holdings, Inc. + ........................ 143,970 6,274 NVR, Inc. ## + ................................. 3,000 1,841 Russ Berrie & Co., Inc. ## + ................... 94,500 1,325 Ryland Group, Inc. ............................. 30,900 988 ------------ 33,648 ------------ INTERNET & CATALOG RETAIL - 0.19% Insight Enterprises, Inc. ## ................... 391,499 4,722 School Specialty, Inc. ## + .................... 13,500 397 ------------ 5,119 ------------ LEISURE EQUIPMENT & PRODUCTS - 0.60% Brunswick Corp. + .............................. 691,400 11,532 Polaris Industries, Inc. + ..................... 47,800 2,225 Scholastic Corp. ## + .......................... 64,500 1,816 ------------ 15,573 ------------ MULTILINE RETAIL - 0.37% BJ's Wholesale Club, Inc. ## + ................. 217,510 8,291 Saks, Inc. ## .................................. 102,200 1,330 ------------ 9,621 ------------ SPECIALTY RETAIL - 6.27% Aaron Rents, Inc. + ............................ 221,100 5,505 American Greetings Corp. + ..................... 106,800 1,912 AnnTaylor Stores Corp. ## ...................... 246,320 6,232 Asbury Automotive Group, Inc. .................. 305,430 5,085 AutoNation, Inc. ##+ ........................... 168,700 2,701 Bebe Stores, Inc. + ............................ 120,380 1,203 Cache, Inc. ## ................................. 138,750 1,701 Cato Corp. ..................................... 125,100 2,158 Charlotte Russe Holding, Inc. ## ............... 136,841 2,173 Charming Shoppes, Inc. ## + .................... 105,100 542 Childrens Place Retail Stores, Inc. ## ......... 145,290 3,378 Collective Brands, Inc. ## + ................... 53,100 657 Conn's, Inc. ## + .............................. 31,300 552 Dress Barn, Inc. ## + .......................... 195,300 2,629 Family Dollar Stores, Inc. ..................... 598,000 12,797 Foot Locker, Inc. .............................. 347,620 4,397 Genesco, Inc. ## + ............................. 19,200 426
See accompanying notes 6 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) Group 1 Automotive, Inc. + ..................... 331,850 $ 8,854 Gymboree Corp. ## .............................. 154,250 6,667 Hibbett Sports, Inc. ## + ...................... 58,390 1,066 Interline Brands, Inc. ## ...................... 16,600 321 Jos. A. Bank Clothiers, Inc. ## + .............. 162,070 3,956 MarineMax, Inc. ## + ........................... 342,600 3,906 Men's Wearhouse, Inc. + ........................ 690,100 18,377 OfficeMax, Inc. ................................ 135,300 2,472 Pacific Sunwear of California ## ............... 478,100 6,411 Penske Auto Group, Inc. + ...................... 685,400 14,346 RadioShack Corp. + ............................. 52,400 728 Regis Corp. .................................... 200,620 5,858 Rent-A-Center, Inc. ## ......................... 519,450 11,184 Sonic Automotive, Inc., A Shares + ............. 541,300 10,983 Stage Stores, Inc. ............................. 96,320 1,516 Tractor Supply Co. ## + ........................ 32,600 1,159 Wet Seal, Inc. ## + ............................ 92,000 319 Williams-Sonoma, Inc. + ........................ 84,200 2,223 Zale Corp. ## + ................................ 449,710 9,318 ------------ 163,712 ------------ TEXTILES & APPAREL - 2.24% Brown Shoe Company, Inc. + ..................... 154,700 2,580 Columbia Sportswear Co. + ...................... 45,056 1,891 Jones Apparel Group, Inc. ...................... 454,400 7,193 Kenneth Cole Productions, Inc. + ............... 138,310 2,662 K-Swiss, Inc.+ ................................. 144,739 2,120 Phillips-Van Heusen Corp. ...................... 98,500 4,158 Quiksilver, Inc. ## ............................ 761,200 7,407 Skechers U.S.A., Inc. ## ....................... 90,200 2,133 Steven Madden Ltd. ## .......................... 142,815 2,701 Timberland Co. ## + ............................ 202,300 2,954 Warnaco Group, Inc. ## ......................... 236,800 10,926 Wolverine World Wide, Inc. ..................... 411,200 11,818 ------------ 58,543 ------------ TOTAL CONSUMER DISCRETIONARY ...................... 371,991 ------------ CONSUMER STAPLES - 2.31% FOOD & DRUG RETAILING - 1.01% Casey's General Stores, Inc. ................... 195,200 4,320 Great Atlantic & Pacific Tea Co. ## + .......... 45,292 1,246 Longs Drug Stores Corp. ........................ 271,270 10,867 Spartan Stores, Inc. ........................... 376,200 7,855 Winn-Dixie Stores, Inc. ## ..................... 112,900 2,002 ------------ 26,290 ------------ FOOD PRODUCTS - 1.05% Chiquita Brands International, Inc. ## + ....... 93,700 2,132
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) Del Monte Foods Co. ............................ 848,500 $ 7,653 JM Smucker Co. ................................. 39,410 1,966 Lance, Inc. + .................................. 153,900 3,226 Ralcorp Holdings, Inc. ## + .................... 131,580 8,032 Sanderson Farms, Inc. + ........................ 96,700 4,029 Smithfield Foods, Inc. ## + .................... 5,200 149 TreeHouse Foods, Inc. ## ....................... 16,000 363 ------------ 27,550 ------------ TOBACCO - 0.25% Universal Corp. + .............................. 101,300 6,502 ------------ TOTAL CONSUMER STAPLES ......................... 60,342 ------------ ENERGY - 8.93% ENERGY EQUIPMENT & SERVICES - 4.55% Basic Energy Services, Inc. ## + ............... 200,400 4,649 CARBO Ceramics, Inc. + ......................... 101,640 4,831 Complete Production Services, Inc. ## .......... 172,400 4,657 Dril-Quip, Inc. ## ............................. 77,090 4,407 Grey Wolf, Inc. ## + ........................... 870,700 5,459 Gulfmark Offshore, Inc. ## + ................... 110,200 6,590 Hercules Offshore, Inc. ## ..................... 153,100 4,036 Key Energy Services, Inc. ## ................... 255,900 3,506 Lufkin Industries, Inc. ........................ 36,700 2,769 Oil States International, Inc. ## + ............ 381,370 19,091 Parker Drilling Co. ## + ....................... 288,200 2,311 Patterson-UTI Energy, Inc. + ................... 493,000 13,774 SEACOR Holdings, Inc. ## ....................... 38,600 3,285 Superior Energy Services, Inc. ## .............. 23,800 1,056 Superior Well Services, Inc. ## + .............. 99,400 2,367 Tetra Technologies, Inc. ## + .................. 158,190 2,572 Tidewater, Inc. + .............................. 276,260 18,018 Trico Marine Services, Inc. ## + ............... 30,800 1,161 UnitCorp. ## ................................... 152,370 9,677 W-H Energy Services, Inc. ## ................... 60,910 4,708 ------------ 118,924 ------------ OIL & GAS - 4.38% Alon USA Energy, Inc.+ ......................... 38,666 539 Cimarex Energy Co. ............................. 236,590 14,739 Delek US Holdings, Inc. ........................ 63,400 699 Encore Acquisition Co. ## ...................... 200,300 9,140 EXCO Resources, Inc. ## + ...................... 768,400 17,151 Helix Energy Solutions Group, Inc. ## .......... 47,000 1,624 Holly Corp. .................................... 245,200 10,171 Parallel Petroleum Corp. ## .................... 232,800 4,933 Penn Virginia Corp. ............................ 179,900 9,445 Pioneer Drilling Co. ## + ...................... 373,580 6,100
See accompanying notes 7 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) Rosetta Resources, Inc. ## ..................... 23,482 $ 512 St. Mary Land & Exploration Co. ................ 374,700 16,382 Stone Energy Corp. ## .......................... 118,700 7,234 Swift Energy Co. ## + .......................... 93,900 4,896 W&T Offshore, Inc. + ........................... 261,000 10,675 ------------ 114,240 ------------ TOTAL ENERGY ...................................... 233,164 ------------ FINANCIALS - 23.80% BANKS - 8.46% 1st Source Corp. ............................... 20,300 402 Anchor BanCorp Wisconsin, Inc. + ............... 49,838 757 Associated Banc-Corp. + ........................ 318,500 9,004 Astoria Financial Corp. ........................ 80,600 1,910 BancorpSouth, Inc. ............................. 310,530 7,462 Bank of Hawaii Corp. ........................... 175,100 9,601 BankAtlantic Bancorp, Inc. + ................... 376,010 1,158 Cathay General Bancorp + ....................... 184,200 3,141 Chemical Financial Corp. ....................... 114,031 2,769 Citizens Republic Bancorp, Inc. + .............. 320,200 2,642 City National Corp. + .......................... 192,180 9,325 Colonial BancGroup, Inc. + ..................... 212,400 1,729 Columbia Banking System, Inc. .................. 75,900 2,055 Community Trust Bancorp, Inc. .................. 30,400 914 Corus Bankshares, Inc. + ....................... 32,328 237 Cullen/Frost Bankers, Inc. ..................... 148,224 8,274 CVB Financial Corp. + .......................... 352,747 4,050 F.N.B. Corp. + ................................. 255,900 3,956 First Commonwealth Financial Corp. + ........... 57,800 720 First Horizon National Corp. + ................. 634,900 6,857 First Midwest BancorD Inc. + .................. 157,700 4,026 First Niagara Financial Group, Inc. ............ 18,700 270 FirstMerit Corp. ............................... 277,290 5,690 Flushing Financial Corp. ....................... 110,330 2,154 Frontier Financial Corp. + ..................... 72,300 1,157 Fulton Financial Corp. + ....................... 723,778 9,025 Hancock Holding Co. + .......................... 38,200 1,577 Harleysville National Corp. + .................. 18,677 270 Home Federal Bancorp Inc. ...................... 201,700 2,408 IBERIABANK Corp. + ............................. 53,700 2,588 International Bancshares Corp. ................. 330,950 8,270 Intervest Bancshares Corp. ..................... 74,380 769 National Penn Bancshares, Inc. + ............... 207,725 3,467 NBT Bancorp, Inc. + ............................ 136,506 3,110 NewAlliance Bancshares, Inc. + ................. 186,000 2,504 Old National Bancorp + ......................... 186,120 3,185 Pacific Capital Bancorp NA + ................... 420,730 8,574
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) Park National Corp. + .......................... 59,800 $ 4,545 Prosperity Bancshares, Inc. + .................. 34,200 1,059 Provident Bankshares Corp. + ................... 26,220 336 S&T Bancorp, Inc. + ............................ 31,564 1,075 Southwest Bancorp, Inc. ........................ 105,880 1,863 Sterling Bancshares, Inc. ...................... 610,650 6,345 Susquehanna Bancshares, Inc. + ................. 311,700 6,200 SVB Financial Group ## ......................... 11,000 535 TCF Financial Corp. + .......................... 93,100 1,620 Trustmark Corp. + .............................. 280,760 6,115 Umpqua Holdings Corp. + ........................ 56,700 836 United Bankshares, Inc. + ...................... 207,471 6,035 Washington Federal, Inc. ....................... 535,654 12,754 Washington Trust Bancorp, Inc. + ............... 33,780 817 Webster Financial Corp. ........................ 446,000 11,618 WesBanco, Inc. + ............................... 113,300 2,437 Whitney Holding Corp. + ........................ 361,345 8,459 Wilmington Trust Corp. + ....................... 338,650 11,135 Wintrust Financial Corp. + ..................... 32,000 1,015 ------------ 220,806 ------------ DIVERSIFIED FINANCIALS - 2.81% Apollo Investment Corp. + ...................... 362,850 5,871 Ares Capital Corp. + ........................... 377,000 4,245 Asta Funding, Inc. + ........................... 147,850 2,110 CIT Group, Inc. ................................ 63,300 689 Credit Acceptance Corp. ## + ................... 73,400 1,413 Ezcorp, Inc. ## ................................ 430,500 5,226 Financial Federal Corp. + ...................... 287,090 6,704 First Cash Financial Services, Inc. ## + ....... 406,900 6,038 Investment Technology Group, Inc. ## ........... 216,600 10,453 Jefferies Group, Inc. ## ....................... 102,800 1,933 KKR Financial Holdings LLC ..................... 160,510 2,039 Knight Capital Group, Inc. ## .................. 216,700 4,054 MCG Capital Corp. + ............................ 391,450 2,999 Nelnet, Inc. + ................................. 105,700 1,352 Piper Jaffray Co. ## + ......................... 156,613 5,835 Raymond James Financial, Inc. + ................ 58,200 1,674 Texas Capital Bancshares, Inc. ## + ............ 77,570 1,431 World Acceptance Corp. ## + .................... 235,350 9,268 ------------ 73,334 ------------ INSURANCE - 9.28% American Equity Investment Life Holding Co. + .. 240,700 2,323 American Financial Group, Inc. ................. 202,100 5,542 American National Insurance Co. ................ 11,600 1,297 AmTrust Financial Services, Inc. + ............. 39,000 606 Argo Group International Holdings Ltd. ## ...... 129,157 4,626
See accompanying notes 8 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) Aspen Insurance Holdings Ltd. .................. 439,480 $ 11,422 Assured Guaranty Ltd. + ........................ 370,550 9,371 CNA Surety Corp. ## ............................ 186,100 2,462 Conseco, Inc. ## ............................... 692,199 8,064 Delphi Financial Group, Inc. ................... 372,050 10,127 Employers Holdings, Inc. ....................... 455,600 8,693 Endurance Specialty Holdings Ltd. .............. 16,600 616 FBL Financial Group, Inc. ...................... 126,948 3,515 Fidelity National Financial, Inc. .............. 65,600 1,049 First American Corp. ........................... 34,900 1,145 Hanover Insurance Group, Inc. .................. 545,550 24,484 Harleysville Group, Inc. ....................... 127,704 4,655 HCC Insurance Holdings, Inc. ................... 263,470 6,502 Horace Mann Educators Corp. .................... 309,400 5,235 Infinity Property and Casualty Corp. ........... 69,398 2,690 IPC Holdings Ltd. .............................. 24,400 710 LandAmerica Financial Group, Inc. + ............ 65,050 1,867 Max Capital Group Ltd. ......................... 23,800 557 Mercury General Corp. + ........................ 231,400 11,545 Montpelier Re Holdings Ltd. + .................. 38,800 640 National Western Life Insurance Co. ............ 2,400 609 Navigators Group, Inc. ## ...................... 130,550 6,397 Odyssey Re Holdings Corp. + .................... 295,300 10,566 OneBeacon Insurance Group Ltd. ................. 21,200 417 Philadelphia Consolidated Holding Co. ## ....... 215,940 7,964 Phoenix Cos., Inc. ............................. 365,400 4,750 Platinum Underwriters Holdings Ltd. ............ 18,400 660 PMA Capital Corp. ## + ......................... 224,300 2,082 Presidential Life Corp. ........................ 124,800 2,117 ProAssurance Corp. ## .......................... 12,000 635 Protective Life Corp. .......................... 295,880 12,610 Reinsurance Group of America, Inc. ............. 253,300 13,167 RLI Corp. + .................................... 46,400 2,227 Safety Insurance Group, Inc. ................... 68,500 2,459 Selective Insurance Group, Inc. ................ 199,200 4,247 StanCorp Financial Group, Inc. ................. 358,000 18,344 State Auto Financial Corp. ..................... 117,400 3,234 Stewart Information Services Corp. + ........... 274,300 6,718 United America Indemnity Ltd. ## ............... 299,797 4,635 United Fire & Casualty, Co. .................... 81,700 2,692 Unitrin, Inc. + ................................ 103,300 3,919 Universal American Corp. ## .................... 52,000 558 Zenith National Insurance Corp. ................ 38,500 1,430 ------------ 242,180 ------------ REAL ESTATE - 3.25% Alexandria Real Estate Equities, Inc. .......... 19,570 2,055 BioMed Realty Trust, Inc. ...................... 59,570 1,549
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) California Coastal Communities, Inc. ## + ...... 198,500 $ 1,310 CapLease, Inc. + ............................... 912,900 7,586 Care Investment Trust, Inc. .................... 159,140 1,762 Cohen & Steers, Inc. + ......................... 59,900 1,672 Corrections Corp. of America ## ................ 86,460 2,205 DiamondRock Hospitality Co. .................... 502,200 6,403 Education Realty Trust, Inc. ................... 220,250 2,938 Entertainment Properties Trust + ............... 73,200 3,906 Health Care Real Estate Investment Trust, Inc. ................................. 52,520 2,545 Jones Lang LaSalle, Inc. ....................... 12,500 970 LaSalle Hotel Properties + ..................... 221,240 7,095 Lexington Realty Trust + ....................... 580,370 8,357 MI Developments, Inc. .......................... 425,100 11,490 Mission West Properties, Inc. + ................ 139,990 1,665 Redwood Trust, Inc. + .......................... 217,800 7,251 Sunstone Hotel Investors, Inc. ................. 334,850 6,255 U-Store-lt Trust + ............................. 643,000 7,761 ------------ 84,775 ------------ TOTAL FINANCIALS .................................. 621,095 ------------ HEALTH CARE - 4.79% BIOTECHNOLOGY - 0.22% Charles River Laboratories International, Inc. ## ...................... 54,430 3,160 Invitrogen Corp. ## ............................ 28,210 2,639 ------------ 5,799 ------------ HEALTH CARE EQUIPMENT & SUPPLIES - 0.26% Allscripts Healthcare Solutions, Inc. ## + ..... 106,500 1,188 Hillenbrand, Inc. ## ........................... 37,910 722 Hill-Rom Holdings, Inc. ........................ 37,910 953 Kensey Nash Corp. ## ........................... 95,510 2,785 Medical Action Industries, Inc. ## + ........... 60,770 996 ------------ 6,644 ------------ HEALTH CARE PROVIDERS & SERVICES - 3.28% Air Methods Corp. ## + ......................... 91,530 3,670 Amedisys, Inc. ## + ............................ 111,320 5,766 AMERIGROUP Corp. ## ............................ 210,000 5,458 Apria Healthcare Group, Inc. ## ................ 215,700 3,801 HealthSouth Corp. ## + ......................... 215,030 4,230 Healthspring, Inc. ## .......................... 542,110 9,129 LifePoint Hospitals, Inc. ## ................... 428,900 12,918 Lincare Holdings, Inc. ## ...................... 60,700 1,477 Magellan Health Services, Inc. ## .............. 129,950 5,015 MAXIMUS, Inc. .................................. 496,875 18,842 MDS, Inc. ## ................................... 75,100 1,495 Odyssey Healthcare, Inc. ## .................... 243,450 2,228
See accompanying notes 9 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) Pediatrix Medical Group, Inc. ## ............... 101,760 $ 6,922 Res-Care, Inc. ## .............................. 279,870 4,559 ------------ 85,510 ------------ PHARMACEUTICALS -1.03% King Pharmaceuticals, Inc. ## .................. 148,900 1,398 KV Pharmaceutical Co. ## + ..................... 161,850 3,956 Medicines Co. ## ............................... 190,040 3,753 Medici's Pharmaceutical Corp. + ................ 71,560 1,474 NBTY, Inc. ## .................................. 367,950 10,358 Sciele Pharma, Inc. ## + ....................... 313,050 6,033 ------------ 26,972 ------------ TOTAL HEALTH CARE ................................. 124,925 ------------ INDUSTRIALS- 18.19% AEROSPACE & DEFENSE -1.19% Alliant Techsystems, Inc. ## + ................. 9,410 1,035 BE Aerospace, Inc. ## .......................... 113,240 4,570 Ceradyne, Inc. ## + ............................ 57,300 2,233 Curtiss-Wright Corp. ........................... 161,990 7,693 Esterline Technologies Corp. ## ................ 100,650 5,602 Moog, Inc. ## .................................. 95,380 4,112 Triumph Group, Inc. + .......................... 99,800 5,875 ------------ 31,120 ------------ BUILDING PRODUCTS - 1.46% Apogee Enterprises, Inc. + ..................... 288,750 6,442 Crane Co. ...................................... 234,700 9,609 Drew Industries, Inc. ## + ..................... 90,140 2,198 Insituform Technologies, Inc. ## + ............. 362,700 6,137 Lennox International, Inc. ..................... 270,700 8,971 NCI Building Systems, Inc. ## + ................ 16,500 398 Simpson Manufacturing Co., Inc. + .............. 48,000 1,267 Universal Forest Products, Inc. + .............. 87,292 3,030 ------------ 38,052 ------------ COMMERCIAL SERVICES & SUPPLIES - 6.45% American Ecology Corp. ......................... 92,460 2,458 Bowne & Co., Inc. .............................. 117,400 1,954 Bright Horizons Family Solutions, Inc. ## ...... 57,350 2,719 Brink's Co. .................................... 40,220 2,926 Casella Waste Systems, Inc. ## ................. 255,900 2,728 Clean Harbors, Inc. ## + ....................... 110,970 7,321 Consolidated Graphics, Inc. ## ................. 84,150 4,895 Con-way, Inc. .................................. 286,100 13,232 Corinthian Colleges, Inc. ## ................... 40,800 463 Ennis, Inc. .................................... 108,700 1,841 Headwaters, Inc. ## + .......................... 201,200 2,300 Heidrick & Struggles International, Inc. + ..... 52,800 1,580
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) Herman Miller, Inc. ............................ 183,000 $ 4,269 Hewitt Associates, Inc. ## ..................... 50,200 2,058 Hudson Highland Group, Inc. ## ................. 510,500 4,528 Kelly Services, Inc. ........................... 569,500 12,671 Kforce, Inc. ## ................................ 344,250 2,833 Korn/Ferry International ## .................... 1,078,700 20,129 LECG Corp. ## .................................. 207,800 2,159 McGrath Rentcorp + ............................. 131,928 3,408 Mobile Mini, Inc. ## + ......................... 330,600 7,025 PHH Corp. ## ................................... 318,600 6,254 Pre-Paid Legal Services, Inc. ## + ............. 54,670 2,391 Providence Service Corp. ## + .................. 133,720 3,763 Sotheby's + .................................... 321,000 8,892 Spherion Corp. ## .............................. 371,900 1,837 Steelcase, Inc., A Shares + .................... 136,270 1,510 TAL International Group, Inc. + ................ 33,900 821 TetraTech, Inc. ## + ........................... 141,970 3,000 TrueBlue, Inc. ## .............................. 186,100 2,369 United Stationers, Inc. ## ..................... 53,160 2,344 Valassis Communications, Inc. ## + ............. 1,781,400 25,296 Waste Connections, Inc. ## ..................... 196,680 6,307 ------------ 168,281 ------------ CONSTRUCTION & ENGINEERING - 0.77% Comfort Systems USA, Inc. ...................... 97,462 1,326 EMCOR Group, Inc. ## ........................... 227,500 5,701 Granite Construction, Inc. ..................... 167,500 5,745 Perini Corp. ## ................................ 199,550 7,220 ------------ 19,992 ------------ DIVERSIFIED MANUFACTURING - 0.73% Acuity Brands, Inc. + .......................... 41,594 1,990 Andersons, Inc. ................................ 9,200 418 Barnes Group, Inc. + ........................... 145,000 3,782 Kennametal, Inc. ............................... 367,200 12,767 ------------ 18,957 ------------ ELECTRICAL EQUIPMENT - 1.29% A.O. Smith Corp. + ............................. 102,800 3,180 Anixter International, Inc. ## + ............... 158,359 9,022 Regal-Beloit Corp. + ........................... 517,150 19,181 Superior Essex, Inc. ## ........................ 74,100 2,203 ------------ 33,586 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.56% Diebold, Inc. .................................. 322,200 12,630 PerkinElmer, Inc. .............................. 76,640 2,036 ------------ 14,666 ------------
See accompanying notes 10 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) ENGINEERING/R&D SERVICES - 0.09% URS Corp. ## ................................... 61,600 $ 2,485 ------------ FREIGHT TRANSPORTATION - 0.81% Pacer International, Inc. ...................... 166,200 3,084 Ryder System, Inc. ............................. 245,300 16,796 TBS International Ltd. ## + .................... 34,500 1,386 ------------ 21,266 ------------ INDUSTRIAL CONGLOMERATES - 0.20% Carlisle Cos. , Inc. + ......................... 180,250 5,206 ------------ MACHINERY - 2.94% Actuant Corp. + ................................ 54,800 1,856 Applied Industrial Technologies, Inc. .......... 107,200 2,590 Brady Corp. .................................... 172,750 5,865 Flowserve Corp. ................................ 30,200 3,748 Gardner Denver, Inc. ## ........................ 180,000 8,361 Harsco Corp. ................................... 104,700 6,212 Kaydon Corp. + ................................. 240,200 12,579 Lincoln Electric Holdings, Inc. ................ 10,700 816 Miller Industries, Inc. ## ..................... 231,100 2,607 Mueller Industries, Inc. ....................... 181,710 5,882 NACCO Industries, Inc. ......................... 5,700 512 Oshkosh Corp. .................................. 106,400 4,320 Reliance Steel & Aluminum Co. + ................ 29,200 1,775 Timken Co. ..................................... 542,100 19,597 ------------ 76,720 ------------ MARINE-0.52% Alexander & Baldwin, Inc. + .................... 25,000 1,256 Genco Shipping & Trading Ltd. + ................ 77,900 5,270 Hornbeck Offshore Services, Inc. ## + .......... 42,700 2,129 Overseas Shipholding Group, Inc. + ............. 67,000 5,042 ------------ 13,697 ------------ RENTAL AUTO/EQUIPMENT - 0.25% United Rentals, Inc. ## ........................ 346,200 6,522 ------------ ROAD & RAIL - 0.85% Arkansas Best Corp. + .......................... 106,800 4,217 Celadon Group, Inc. ## + ....................... 341,300 3,512 GATX Corp. + ................................... 110,600 4,866 Heartland Express, Inc. + ...................... 395,160 6,113 Landstar System, Inc. .......................... 29,600 1,538 Werner Enterprises, Inc. + ..................... 70,100 1,363 YRC Worldwide, Inc. ## + ....................... 30,000 488 ------------ 22,097 ------------
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) TRADING COMPANIES & DISTRIBUTORS - 0.08% MSC Industrial Direct Co., Inc. + .............. 42,570 $ 2,076 ------------ TOTAL INDUSTRIALS ................................. 474,723 ------------ INFORMATION TECHNOLOGY - 10.28% COMMUNICATIONS EQUIPMENT - 0.52% ADC Telecommunications, Inc. ## ................ 58,700 823 Avocent Corp. ## ............................... 197,650 3,856 CommScope, Inc. ## ............................. 24,600 1,170 Comtech Telecommunications Corp. ## ............ 93,040 3,603 Foundry Networks, Inc. ## ...................... 75,000 955 Plantronics, Inc. .............................. 33,300 829 Sonus Networks, Inc. ## + ...................... 134,400 539 Sycamore Networks, Inc. ## ..................... 582,600 1,876 ------------ 13,651 ------------ COMPUTERS & PERIPHERALS - 1.23% Avid Technology, Inc. ## + ..................... 98,540 2,057 Cray, Inc. ## + ................................ 327,800 2,042 Electronics for Imaging, Inc. ## ............... 406,040 5,855 Ingram Micro, Inc. ## .......................... 1,104,000 18,779 Mercury Computer Systems, Inc. ## + ............ 420,300 3,371 ------------ 32,104 ------------ ELECTRONIC COMPONENTS - 0.50% Plexus Corp. ## ................................ 505,200 12,170 Thomas & Betts Corp. ## ........................ 26,090 978 ------------ 13,148 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.62% Benchmark Electronics, Inc. ## ................. 740,950 13,174 Coherent, Inc. ## .............................. 10,700 319 IKON Office Solutions, Inc. .................... 713,000 7,807 Littelfuse, Inc. ## ............................ 305,100 11,216 Methode Electronics, Inc. ...................... 674,800 7,315 MTS Systems Corp. .............................. 84,760 2,914 TTM Technologies, Inc. ## ...................... 481,150 6,404 Vishay Intertechnology, Inc. ## ................ 2,030,400 19,187 ------------ 68,336 ------------ INTERNET SOFTWARE & SERVICES - 0.39% Acme Packet, Inc. ## ........................... 49,300 451 Interwoven, Inc. ## ............................ 175,440 1,976 Netgear, Inc. ## ............................... 196,545 3,186 NIC, Inc. + .................................... 224,760 1,456 United Online, Inc. + .......................... 286,380 3,059 ------------ 10,128 ------------ IT CONSULTING & SERVICES - 1.28% CACI International, Inc. ## + .................. 130,000 6,516 First Advantage Corp. ## + ..................... 52,700 1,081
See accompanying notes 11 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) ManTech International Corp. ## ................. 146,600 $ 7,003 MPS Group, Inc. ## ............................. 77,600 833 Patni Computer Systems Ltd., ADR + ............. 218,800 2,936 Phase Forward, Inc. ## ......................... 163,710 3,012 SRA International, Inc. ## ..................... 219,200 5,758 SYNNEX Corp. ## + .............................. 156,300 3,732 Tech Data Corp. ## ............................. 63,200 2,124 Unisys Corp. ## ................................ 83,100 346 ------------ 33,341 ------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.11% Advanced Energy Industries, Inc. ## ............ 167,216 2,341 Amkor Technology, Inc. ## + .................... 77,000 735 Brooks Automation, Inc. ## ..................... 1,134,100 11,749 Cirrus Logic, Inc. ## .......................... 271,270 1,939 Cymer, Inc. ##+ ................................ 117,760 3,061 FEI Co. ##+ .................................... 164,510 3,598 MKS Instruments, Inc. ## ....................... 408,780 9,341 Novellus Systems, Inc. ## + .................... 34,000 743 ON Semiconductor Corp. ## + .................... 1,395,800 10,427 Photronics, Inc. ## ............................ 121,200 1,285 RF Micro Devices, Inc. ## + .................... 257,500 868 Rudolph Technologies, Inc. ## .................. 135,090 1,372 Sigma Designs, Inc. ## + ....................... 39,800 712 Teradyne, Inc. ## .............................. 341,490 4,538 Ultra Clean Holdings ## ........................ 141,670 1,514 Zoran Corp. ## ................................. 64,500 849 ------------ 55,072 ------------ SOFTWARE- 1.63% Aspen Technology, Inc. ## ...................... 287,610 3,952 EPIQ Systems, Inc. ## + ........................ 187,256 2,891 Lawson Software, Inc. ## ....................... 465,300 3,718 Mentor Graphics Corp. ## ....................... 1,289,500 12,985 Novell, Inc. ## ................................ 618,000 3,881 Omnicell, Inc. ## .............................. 131,900 1,585 Parametric Technology Corp. ## ................. 189,470 3,303 RealNetworks, Inc. ## .......................... 219,100 1,350 Sybase, Inc. ## + .............................. 303,230 8,921 ------------ 42,586 ------------ TOTAL INFORMATION TECHNOLOGY ...................... 268,366 ------------ MATERIALS - 4.74% CHEMICALS - 2.29% Ashland, Inc. .................................. 31,300 1,659 Cytec Industries, Inc. ......................... 10,500 620 FMC Corp ....................................... 172,140 10,807 Georgia Gulf Corp. + ........................... 542,200 3,259
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) H.B. Fuller Co. + .............................. 192,700 $ 4,447 Hercules, Inc. ................................. 515,600 9,693 International Flavors & Fragrances, Inc. ....... 21,700 990 Olin Corp. ..................................... 314,600 6,345 OM Group, Inc. ## .............................. 5,200 285 PolyOne Corp. ## ............................... 1,898,100 14,008 RPM International, Inc. ........................ 291,300 6,496 Tronox, Inc. + ................................. 397,900 1,225 ------------ 59,834 ------------ CONSTRUCTION MATERIALS - 0.07% Ameron International Corp. + ................... 7,700 761 Eagle Materials, Inc.+ ......................... 25,300 918 ------------ 1,679 ------------ CONTAINERS & PACKAGING - 0.32% Packaging Corp. of America ..................... 127,200 2,796 Rock-Tenn Co. .................................. 38,900 1,320 Silgan Holdings, Inc. .......................... 37,958 2,022 Sonoco Products Co. ............................ 32,300 1,064 Temple-Inland, Inc. + .......................... 107,900 1,259 ------------ 8,461 ------------ METALS & MINING - 1.82% A.M. Castle & Co. ## ........................... 11,300 349 AMCOL International Corp. + .................... 102,680 3,050 Century Aluminum Co. ## + ...................... 178,800 12,389 Commercial Metals Co. .......................... 214,500 6,680 Foundation Coal Holdings, Inc. ................. 145,200 8,709 Gibraltar Industries, Inc. + ................... 277,450 2,899 GrafTech Int'l Ltd. ## ......................... 490,300 9,635 USEC, Inc. ## + ................................ 95,100 441 Worthington Industries, Inc. + ................. 190,800 3,436 ------------ 47,588 ------------ PAPER & FOREST PRODUCTS - 0.24% Glatfelter ..................................... 151,730 2,214 Louisiana-Pacific Corp. ........................ 91,100 1,048 Neenah Paper, Inc. + ........................... 75,970 1,746 Wausau Paper Corp. + ........................... 144,920 1,122 ------------ 6,130 ------------ TOTAL MATERIALS ................................... 123,692 ------------ TELECOMMUNICATION SERVICES - 0.58% DIVERSIFIED TELECOMMUNICATION - 0.58% Cincinnati Bell, Inc. ## ....................... 2,068,530 9,598 Harris Stratex Networks, Inc. ## + ............. 144,690 1,373 NeuStar, Inc. ## + ............................. 155,500 4,278 ------------ TOTAL TELECOMMUNICATION SERVICES .................. 15,249 ------------
See accompanying notes 12 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) UTILITIES - 5.99% Electric Utilities - 4.11% ALLETE, Inc. ................................... 84,400 $ 3,525 Avista Corp. ................................... 117,900 2,421 Black Hills Corp. + ............................ 261,590 10,205 CH Energy Group, Inc. + ........................ 10,800 382 El Paso Electric Co. ## ........................ 125,540 2,833 Great Plains Energy, Inc. + .................... 792,600 20,322 Hawaiian Electric Industries, Inc. + ........... 200,870 4,951 Idacorp, Inc. + ................................ 324,280 10,520 NSTAR .......................................... 84,900 2,735 OGE Energy Corp. ............................... 388,300 12,694 Pike Electric Corp. ## ......................... 94,590 1,517 PNM Resources, Inc. + .......................... 63,700 923 Portland General Electric Co. .................. 852,910 20,470 Puget Energy, Inc. ............................. 99,700 2,713 Sierra Pacific Resources Corp. ................. 80,000 1,090 Westar Energy, Inc. + .......................... 423,000 9,809 ------------ 107,110 ------------ GAS UTILITIES - 1.85% AGL Resources, Inc. ............................ 385,940 13,122 Atmos Energy Corp. ............................. 751,980 20,815 Nicor, Inc. + .................................. 177,500 6,234 Southwest Gas Corp. ............................ 56,100 1,619 UGI Corp. ...................................... 98,960 2,573 WGL Holdings, Inc. + ........................... 121,500 3,985 ------------ 48,348 ------------ WATER UTILITIES - 0.03% SJW Corp. + .................................... 25,270 760 ------------ TOTAL UTILITIES ................................... 156,218 ------------ TOTAL COMMON STOCKS ............................... 2,484,946 ------------ SHORT TERM INVESTMENTS - 5.09% American Beacon Money Market Select Fund++ ..... 123,316,094 123,316
PAR AMOUNT ----------- U.S. Treasury Bill, 1.34%, Due 6/12/2008 # ...................... $ 9,514 9,500 ------------ TOTAL SHORT TERM INVESTMENTS 132,816 ------------
SHARES ----------- SECURITIES LENDING COLLATERAL - 24.71% American Beacon Cash Plus Trust ++ 519,389,408 519,390
SHARES VALUE ------------ ------------ (DOLLARS IN THOUSANDS) American Beacon Money Market Select Fund ++ .... 125,695,388 $ 125,695 ------------ TOTAL SECURITIES LENDING COLLATERAL ............... 645,085 ------------ TOTAL INVESTMENTS 125.01% - (Cost $3,244,944) .... 3,262,847 LIABILITIES, NET OF OTHER ASSETS - (25.01%) ....... (652,798) ------------ TOTAL NET ASSETS - 100.00% ........................ $ 2,610,049 ============
See accompanying notes 13 AMERICAN BEACON SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS APRIL 30, 2008 (UNAUDITED) Percentages are stated as percent of net assets. ## Non-income producing security. + All or a portion of this security is on loan at April 30, 2008. ++ The Fund/Trust is affiliated by having the same investment advisor. # At April 30, 2008, 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 1,847 Jun 2008 $132,522 $5,265 ======== ======
See accompanying notes 14 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2008 (UNAUDITED) (IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) ASSETS: Investments in unaffiliated securities, at value (A, C) ....... $ 2,494,446 Investments in affiliated securities, at value (B) ............ 768,401 Receivable for investments sold ............................... 8,050 Dividends and interest receivable ............................. 1,454 Receivable for fund shares sold ............................... 1,416 Prepaid expenses .............................................. 63 ----------- TOTAL ASSETS ............................................... 3,273,830 ----------- LIABILITIES: Payable for investments purchased ............................. 11,434 Payable upon return of securities loaned ...................... 645,085 Payable for fund shares redeemed .............................. 2,112 Payable for variation margin on open futures contracts ........ 322 Management and investment advisory fees payable (Note 2) ...... 3,644 Administrative service and service fees payable ............... 698 Other liabilities ............................................. 486 ----------- TOTAL LIABILITIES .......................................... 663,781 ----------- NET ASSETS ....................................................... $ 2,610,049 =========== ANALYSIS OF NET ASSETS: Paid-in-capital ............................................... 2,708,370 Undistributed net investment income ........................... 9,576 Accumulated net realized loss ................................. (131,065) Unrealized appreciation of investments, futures contracts, and foreign currency ........................................... 23,168 ----------- NET ASSETS ....................................................... $ 2,610,049 =========== SHARES OUTSTANDING (NO PAR VALUE): Institutional Class ........................................... 67,924,629 =========== PlanAhead Class ............................................... 60,591,686 =========== Service Class ................................................. 3,311,245 =========== AMR Class ..................................................... 18,173,030 =========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class ........................................... $ 17.59 =========== PlanAhead Class ............................................... $ 17.18 =========== Service Class ................................................. $ 17.07 =========== AMR Class ..................................................... $ 17.50 =========== - ---------- (A) Cost of investments in unaffiliated securities ............... $ 2,476,543 (B) Cost of investments in affiliated securities ................. $ 768,401 (C) Market value of securities on loan ........................... $ 625,164
See accompanying notes 15 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF OPERATIONS SIX MONTHS ENDED APRIL 30, 2008 (IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes)* .................................................... $ 24,807 Dividend income from affiliated securities .................... 2,183 Interest income ............................................... 101 Income derived from securities lending, net ................... 2,803 --------- TOTAL INVESTMENT INCOME ................................. 29,894 --------- EXPENSES: Management and investment advisory fees (Note 2) .............. 6,813 Administrative service fees (Note 2): Institutional Class ........................................ 1,485 PlanAhead Class ............................................ 1,356 Service Class .............................................. 72 Transfer agent fees: Institutional Class ........................................ 60 PlanAhead Class ............................................ 59 Service Class .............................................. 7 AMR Class .................................................. 11 Custody and fund accounting fees .............................. 111 Professional fees ............................................. 36 Registration fees and expenses ................................ 33 Service fees: PlanAhead Class (Note 2) ................................... 1,356 Service Class (Note 2) ..................................... 72 Distribution fees - Service Class (Note 2) .................... 72 Prospectus and shareholder reports ............................ 186 Other expenses ................................................ 88 --------- TOTAL EXPENSES .......................................... 11,817 ========= NET INVESTMENT INCOME ............................................ 18,077 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments ................................................ (101,007) Commission recapture (Note 1) .............................. 156 Futures contracts .......................................... (15,198) Change in net unrealized appreciation or depreciation of: Investments ................................................ (190,790) Futures contracts .......................................... 3,571 --------- NET LOSS ON INVESTMENTS ................................. (303,268) --------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ............. $(285,191) ========= * Foreign taxes ............................................... $ 19
See accompanying notes 16 AMERICAN BEACON SMALL CAP VALUE FUND STATEMENT OF CHANGES OF NET ASSETS (IN THOUSANDS)
Six Months Ended Year Ended April 30, October 31, 2008 2007 ----------- ----------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ......................................... $ 18,077 $ 29,550 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions .............................. (116,049) 344,695 Change in net unrealized appreciation or (depreciation) of investments, futures contracts, and foreign currency translations ............................................... (187,219) (182,874) ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ........................................... (285,191) 191,371 ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ........................................ (13,291) (10,903) PlanAhead Class ............................................ (9,332) (8,142) Service Class .............................................. (298) (295) AMR Class .................................................. (4,903) (4,490) Net realized gain on investments: Institutional Class ........................................ (152,714) (90,742) PlanAhead Class ............................................ (145,952) (94,401) Service Class .............................................. (7,763) (5,063) AMR Class .................................................. (43,605) (28,623) ---------- ---------- NET DISTRIBUTIONS TO SHAREHOLDERS ....................... (377,858) (242,659) ---------- ---------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares ................................. 229,921 808,393 Reinvestment of dividends and distributions ................... 371,165 237,930 Cost of shares redeemed ....................................... (538,428) (920,892) ---------- ---------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ......................................... 62,658 125,431 ========== ========== NET INCREASE (DECREASE) IN NET ASSETS ............................ (600,391) 74,143 ---------- ---------- NET ASSETS: Beginning of period ........................................... 3,210,440 3,136,297 ---------- ---------- END OF PERIOD * ............................................... $2,610,049 $3,210,440 ========== ========== * Includes undistributed net investment income of ................ $ 9,576 $ 20,863 ========== ==========
See accompanying notes 17 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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 ("AMR"), 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. On April 16, 2008, AMR announced that it has reached a definitive agreement to sell American Beacon Advisors, Inc. to Lighthouse Holdings, Inc., which is owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, two leading private equity firms. AMR expects to close the sale later this year, subject to customary closing conditions as well as the approval of the shareholders of the American Beacon family of mutual funds and consents from other clients of the Manager. 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 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 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. 18 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) Securities for which 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"). 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 at least annually. Distributions, if any, of net realized capital gains are generally paid at least 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. 19 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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. Recently Issued Accounting Pronouncements 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. As of April 30, 2008, the Manager does not believe the adoption of FAS 157 will materially impact the amounts reported in the financial statements; however, additional disclosures will be required about the inputs used to develop the measurements of fair value. 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 that 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, 2008 were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT FEE RATE MANAGEMENT FEE INVESTMENT ADVISORS RETAINED BY MANAGER - ------------------- -------------- ------------------- ------------------- 0.35%-0.60% $6,813 $5,483 $1,330
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 20 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) lending income in the Statement of Operations. During the six months ended April 30, 2008, securities lending fees paid to the Manager were $446,212. Administrative Services Agreement The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative 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 Fund, 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 and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares. A separate Distribution Plan (the "Distribution Plan") has been adopted pursuant to Rule 12b-1 under the Act for the Service Class of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the Service Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance. Service Plans The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the PlanAhead and Service Classes. As compensation for performing the duties required under the Service Plans, the Manager receives 0.25% of the average daily net assets of the PlanAhead and Service Classes of the Fund. Brokerage Commissions Affiliated entities of an investment advisor to the Fund received net commissions on purchases and sales of the Fund's portfolio securities totaling $4,793 for the six months ended April 30, 2008. 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 up to 0.10% of its average daily net assets. During the six months ended April 30, 2008, the Manager earned fees from the Affiliated Funds totaling $54,281 on the Fund's direct investment in the Affiliated Funds and $318,156 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 21 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the six months ended April 30, 2008, 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. For the six months ended April 30, 2008, there were no fees waived or reimbursed expenses subject to potential recovery. Other At April 30, 2008, AMR Corporation and subsidiary companies and employee benefit trusts thereof owned 12% of the Fund's shares. 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. The Fund adopted the provisions of FASB Interpretation No. 48, "Accounting for Uncertainties in Income Taxes" ("FIN 48"), on January 1, 2007. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended October 31, 2007 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in "Other expenses" on the Statement of Operations. 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, 2008 and the fiscal year ended October 31, 2007 were as follows (in thousands):
SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2008 2007 ----------------- ----------- (unaudited) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class ........................ $ 37,811 $ 36,981 PlanAhead Class ............................ 32,766 35,272 Service Class .............................. 1,545 1,750 AMR Class .................................. 11,904 12,717 LONG-TERM CAPITAL GAIN Institutional Class ........................ 128,194 64,664 PlanAhead Class ............................ 122,518 67,270 Service Class .............................. 6,516 3,608 AMR Class .................................. 36,604 20,397 -------- -------- TOTAL DISTRIBUTIONS PAID ......................... $377,858 $242,659 ======== ========
* 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, 2008 (UNAUDITED) As of April 30, 2008, the components of distributable earnings on a tax basis were as follows (in thousands): Cost basis of investments for federal income tax purposes ...................................... $3,268,319 Unrealized appreciation .......................... 293,936 Unrealized depreciation .......................... (299,408) ---------- Net unrealized appreciation/(depreciation) ....... (5,472) Undistributed ordinary income .................... 7,569 Undistributed long-term gain/(loss) .............. (100,418) ---------- Distributable earnings ........................... $ (98,321) ==========
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, 2008 (in thousands): Paid-in-capital .................................. $ (1) Undistributed net investment income .............. (1,540) Accumulated net realized gain (loss) ............. 1,541 Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency ...................................... --
At April 30, 2008, the capital loss carry forward position of the Fund for federal income tax purposes was $100,418. 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, 2008 were (in thousands) $735,510 and $1,057,662, respectively. A summary of the Fund's direct transactions in Affiliated Funds for the six months ended April 30, 2008 is set forth below (in thousands):
OCTOBER 31, 2007 APRIL 30, 2008 AFFILIATE SHARES/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE - --------- ------------------- --------- -------- ------------------- Select Fund $87,216 $824,942 $788,842 $123,316
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 money market mutual funds, and other short-term investments, provided the investments meet certain quality and diversification requirements. 23 AMERICAN BEACON SMALL CAP VALUE FUND NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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, 2008, 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 - ------------------ ------------------- --------------- $625,164 $746 $645,085
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, 2008
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------- ----------------- ----------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- --------- ------- --------- ------ -------- ------ -------- Shares sold ........................ 6,919 $ 121,474 5,037 $ 86,192 474 $ 8,187 809 $ 14,068 Reinvestment of dividends .......... 8,983 161,791 8,677 152,805 460 8,061 2,709 48,508 Shares redeemed .................... (11,941) (213,039) (14,007) (240,282) (844) (14,524) (4,006) (70,583) ------- --------- ------- --------- ------ -------- ------ --------- Net increase (decrease) in shares outstanding .................... 3,961 $ 70,226 (293) $ (1,285) 90 $ 1,724 (488) $ (8,007) ======= ========= ======= ========= ====== ======== ====== ========
Year Ended October 31, 2007
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------- ----------------- ------------------ SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------- --------- ------- --------- ------ -------- ------ --------- Shares sold ........................ 16,091 $ 361,583 12,210 $ 271,462 1,200 $ 26,348 6,699 $ 149,000 Reinvestment of dividends .......... 4,613 98,950 4,782 100,509 256 5,358 1,551 33,113 Shares redeemed .................... (15,274) (343,946) (16,524) (363,461) (1,453) (31,825) (7,953) (181,660) ------- --------- ------- --------- ------ -------- ------ --------- Net increase (decrease) in shares outstanding ............. 5,430 $ 116,587 468 $ 8,510 3 $ (119) 297 $ 453 ======= ========= ======= ========= ====== ======== ====== =========
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 Ended Year Ended October 31, April 30, --------------------------------------------------------- 2008 2007 2006 2005(B) 2004(C) 2003(A) ---------- ---------- ---------- ---------- -------- ------- (unaudited) Net asset value, beginning of period .. $ 22.10 $ 22.53 $ 20.43 $ 18.85 $ 16.21 $ 11.28 ---------- ---------- ---------- ---------- -------- ------- Income from investment operations: Net investment income (loss) ....... 0.13 0.22 0.19 0.11 0.07 (0.01) Net gains (losses) on securities (both realized and unrealized) .. (1.95) 1.10 2.94 2.31 3.09 5.24 ---------- ---------- ---------- ---------- -------- ------- Total income (loss) from investment operations ......................... (1.82) 1.32 3.13 2.42 3.16 5.23 ---------- ---------- ---------- ---------- -------- ------- Less distributions: Dividends from net investment income .......................... (0.22) (0.19) (0.14) (0.07) (0.08) (0.02) Distributions from net realized gains on securities ............. (2.47) (1.56) (0.89) (0.77) (0.44) (0.28) ---------- ---------- ---------- ---------- -------- ------- Total distributions ................... (2.69) (1.75) (1.03) (0.84) (0.52) (0.30) ---------- ---------- ---------- ---------- -------- ------- Net asset value, end of period ........ $ 17.59 $ 22.10 $ 22.53 $ 20.43 $ 18.85 $ 16.21 ========== ========== ========== ========== ======== ======= Total return .......................... (8.53)%(D) 6.10% 15.80% 12.90% 19.86% 47.45% ========== ========== ========== ========== ======== ======= Ratios and supplemental data: Net assets, end of period (in thousands) .................. $1,194,668 $1,413,734 $1,319,024 $1,076,909 $429,540 $89,579 Ratios to average net assets (annualized): Expenses, net of waivers ........ 0.81% 0.80% 0.82% 0.87% 0.89% 0.89% Expenses before waivers ......... 0.81% 0.80% 0.82% 0.87% 0.89% 0.89% Net investment income (loss), net of waivers ................ 1.43% 0.94% 0.83% 0.66% 0.57% 0.60% Net investment income (loss), before waivers ................ 1.43% 0.94% 0.83% 0.66% 0.57% 0.60% Portfolio turnover rate ............ 28%(D) 52% 48% 47% 35% 75% PlanAhead Class -------------------------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, --------------------------------------------------------- 2008 2007 2006 2005(B) 2004(C) 2003(A) ---------- ---------- ---------- ---------- -------- ------- (unaudited) Net asset value, beginning of period .. $ 21.62 $ 22.08 $ 20.04 $ 18.54 $ 15.95 $ 11.22 ---------- ---------- ---------- ---------- -------- ------- Income from investment operations: Net investment income (loss) ....... 0.11 0.16 0.13 0.09 0.08 0.05 Net gains (losses) on securities (both realized and unrealized) .. (1.92) 1.07 2.89 2.24 2.98 5.08 ---------- ---------- ---------- ---------- -------- ------- Total income (loss) from investment operations ......................... (1.81) 1.23 3.02 2.33 3.06 5.13 ---------- ---------- ---------- ---------- -------- ------- Less distributions: Dividends from net investment income .......................... (0.16) (0.13) (0.09) (0.06) (0.03) (0.12) Distributions from net realized gains on securities ............. (2.47) (1.56) (0.89) (0.77) (0.44) (0.28) ---------- ---------- ---------- ---------- -------- ------- Total distributions ................... (2.63) (1.69) (0.98) (0.83) (0.47) (0.40) ---------- ---------- ---------- ---------- -------- ------- Net asset value, end of period ........ $ 17.18 $ 21.62 $ 22.08 $ 20.04 $ 18.54 $ 15.95 ========== ========== ========== ========== ======== ======= Total return .......................... (8.67)%(D) 5.83% 15.56% 12.63% 19.56% 47.12% ========== ========== ========== ========== ======== ======= Ratios and supplemental data: Net assets, end of period (in thousands) .................. $1,040,860 $1,316,188 $1,333,814 $1,320,853 $466,364 $66,906 Ratios to average net assets (annualized): Expenses, net of waivers ........ 1.06% 1.05% 1.06% 1.10% 1.15% 1.16% Expenses before waivers ......... 1.06% 1.05% 1.06% 1.10% 1.15% 1.16% Net investment income (loss), net of waivers ................ 1.20% 0.70% 0.59% 0.42% 0.33% 0.39% Net investment income (loss), before waivers ................ 1.20% 0.70% 0.59% 0.42% 0.33% 0.39% Portfolio turnover rate ............ 28%(D) 52% 48% 47% 35% 75%
(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 and Dreman Value Management, LLC were added as investment advisors on August 31, 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) Not annualized. (E) Annualized. (F) 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 01 to April 30, ------------------------------------- October 2008 2007 2006 2005(B) 2004(C) 31, 2003(A) ---------- ------- ------- ------- ------- ----------- (unaudited) Net asset value, beginning of period .. $ 21.46 $ 21.94 $ 19.94 $ 18.49 $ 15.92 $ 11.88 ------- ------- ------- ------- ------- --------- Income from investment operations: Net investment income (loss) ....... 0.08 0.10 0.07 0.04 0.01 -- Net gains (losses) on securities (both realized and unrealized) .. (1.91) 1.07 2.88 2.23 3.00 4.04 ------- ------- ------- ------- ------- --------- Total income (loss) from investment operation .......................... (1.83) 1.17 2.95 2.27 3.01 4.04 ------- ------- ------- ------- ------- --------- Less distributions: Dividends from net investment income .......................... (0.09) (0.09) (0.06) (0.05) -- -- Distributions from net realized gains on securities ............. (2.47) (1.56) (0.89) (0.77) (0.44) -- ------- ------- ------- ------- ------- --------- Total distributions ................... (2.56) (1.65) (0.95) (0.82) (0.44) -- ------- ------- ------- ------- ------- --------- Net asset value, end of period ........ $ 17.07 $ 21.46 $ 21.94 $ 19.94 $ 18.49 $ 15.92 ======= ======= ======= ======= ======= ========= Total return .......................... (8.79)%(D) 5.54% 15.23% 12.32% 19.24% 34.01%(D) ======= ======= ======= ======= ======= ========= Ratios and supplemental data: Net assets, end of period (in thousands) .................. $56,518 $69,112 $70,602 $44,709 $11,828 $ 1 Ratios to average net assets (annualized): Expenses, net of waivers ........ 1.32% 1.32% 1.34% 1.40% 1.38% 1.49%(E) Expenses before waivers ......... 1.32% 1.32% 1.34% 1.40% 1.69% 1089.04% Net investment income (loss), net of waivers ................ 0.93% 0.43% 0.31% 0.12% 0.17% (0.05)% Net investment income (loss), before waivers ................ 0.93% 0.43% 0.31% 0.12% (0.14)% (1087.60)% Portfolio turnover rate ............ 28%(D) 52% 48% 47% 35% 75%(F) AMR Class ----------------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, ---------------------------------------------------- 2008 2007 2006 2005(B) 2004(C) 2003(A) ---------- -------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period .. $ 22.05 $ 22.48 $ 20.38 $ 18.78 $ 16.13 $ 11.30 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income (loss) ....... 0.17 0.30 0.27 0.21 0.14 0.10 Net gains (losses) on securities (both realized and unrealized) .. (1.97) 1.08 2.91 2.26 3.04 5.15 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operation .......................... (1.80) 1.38 3.18 2.47 3.18 5.25 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income .......................... (0.28) (0.25) (0.19) (0.10) (0.09) (0.14) Distributions from net realized gains on securities ............. (2.47) (1.56) (0.89) (0.77) (0.44) (0.28) -------- -------- -------- -------- -------- -------- Total distributions ................... (2.75) (1.81) (1.08) (0.87) (0.53) (0.42) -------- -------- -------- -------- -------- -------- Net asset value, end of period ........ $ 17.50 $ 22.05 $ 22.48 $ 20.38 $ 18.78 $ 16.13 ======== ======== ======== ======== ======== ======== Total return .......................... (8.45)%(D) 6.40% 16.12% 13.23% 20.12% 47.93% ======== ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) .................. $318,003 $411,406 $412,857 $424,965 $438,353 $327,542 Ratios to average net assets (annualized): Expenses, net of waivers ........ 0.55% 0.54% 0.55% 0.58% 0.60% 0.61% Expenses before waivers ......... 0.55% 0.54% 0.55% 0.58% 0.60% 0.61% Net investment income (loss), net of waivers ................ 1.70% 1.21% 1.10% 0.94% 0.84% 0.95% Net investment income (loss), before waivers ................ 1.70% 1.21% 1.10% 0.94% 0.84% 0.95% Portfolio turnover rate ............ 28%(D) 52% 48% 47% 35% 75%
27 (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 PORTFOLIO AVAILABILITY OF PROXY VOTING POLICY SCHEDULES AND RECORDS In addition to the Schedule of A description of the policies and Investments provided in each semi-annual procedures the Fund uses to determine and annual report, the Fund files a how to vote proxies relating to complete schedule of its portfolio portfolio securities is available in holdings with the Securities and the Fund's Statement of Additional Exchange Commission ("SEC") on Form N-Q Information, is available free of as of the first and third fiscal charge on the Fund's website quarters. The Fund's Forms N-Q are (www.americanbeaconfunds.com) and by available on the SEC's website at calling 1-800-967-9009 or by www.sec.gov. The Forms N-Q may also be accessing the SEC's website at reviewed and copied at the SEC's Public www.sec.gov. The Fund's proxy voting Reference Room, 450 Fifth Street, NW, record for the most recent year ended Washington, DC 20549. Information June 30 is filed annually with the regarding the operation of the SEC's SEC on Form N-PX. The Fund's Forms Public Reference Room may be obtained by N-PX are available on the SEC's calling 1-800-SEC-0330. A complete website at www.sec.gov. The Fund's schedule of the Fund's portfolio proxy voting record may also be holdings is also available on the Funds' obtained by calling 1-800-967-9009. website (www.americanbeaconfunds.com) approximately thirty days after the end of each month. FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED DISTRIBUTOR STATE STREET BANK AND BOSTON FINANCIAL DATA PUBLIC ACCOUNTING FIRM FORESIDE FUND SERVICES TRUST SERVICES ERNST & YOUNG LLP Portland, Maine Boston, Massachusetts Kansas City, Missouri 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 (GRAPHIC) APRIL 30, 2008 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 Market and Performance Overviews .................................. 2-22 American Beacon Schedules of Investments Balanced Fund .................................................. 25 Large Cap Growth Fund .......................................... 34 Mid-Cap Value Fund ............................................. 39 Small Cap Value Opportunity Fund ............................... 42 Emerging Markets Fund .......................................... 46 High Yield Bond Fund ........................................... 52 Enhanced Income Fund ........................................... 59 Intermediate Bond Fund ......................................... 66 Short-Term Bond Fund ........................................... 75 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 WILLIAM F. QUINN) FELLOW SHAREHOLDERS, I am pleased to present to you the American Beacon Funds Semi-Annual Report for the six months ended April 30, 2008. Our domestic equity funds, the Mid-Cap Value and Small Cap Value Opportunity Funds, both Institutional Class, reported returns of -10.79% and - -13.99%, respectively, for the six-month period ended April 30, 2008, with respective expense ratios of 1.10% and 1.28% for their most recent fiscal year ended October 31, 2007. Our foreign equity market fund, the Emerging Markets Fund-Institutional Class, reported a total return of -11.47% for the same period with an expense ratio of 1.41% for its most recent fiscal year ended October 31, 2007. During this fiscal period, the Federal Reserve Bank lowered interest rates to 2.00%. Against that backdrop, the Lehman Brothers Aggregate Index ("Lehman") posted a positive return of 4.08%. The American Beacon Enhanced Income Fund - PlanAhead Class, and the Intermediate Bond and Short-Term Bond Funds - Institutional Class, all reported positive returns for the period with the Intermediate Bond Fund beating Lehman by 50 basis points (0.50%). The sub-prime mortgage crisis, rising oil and food prices all contributed to a slowing economy that affected the U.S. and international equity markets negatively in the past six months. This was evident when the S&P 500 and Dow Jones Industrial Average indices reported returns of -9.64% and -6.79%, respectively, and the MSCI EAFE Index reported returns of -9.21%, all for this period. During the period, the uncertainties surrounding banks, investment banks and the entire financial system have resulted in an extraordinary amount of volatility. We believe the Funds' fundamental value investment philosophies and lower than average expense ratios will continue to serve the Funds well over the longer 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, www.americanbeaconfunds.com. Thank you for your continued confidence in the American Beacon Funds. Sincerely, /s/ William F. Quinn William F. Quinn President American Beacon Funds 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. 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 the securities of small and mid-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, 2008 1 DOMESTIC EQUITY MARKET OVERVIEW APRIL 30, 2008 (UNAUDITED) Market volatility remained prevalent in the November-through-April time frame as concerns escalated regarding inflation, housing, credit and the long-term viability of some well-established financial institutions. Stock prices declined markedly as investors did not discriminate by market capitalization, investment style or geographic region. In sharp contrast to the equity markets, commodities continued to soar as the dollar weakened further. Responding to the liquidity crisis, the Federal Reserve ("Fed") provided monetary stimulus not only through five cuts in interest rates over the course of the six months (leaving the Federal Funds target rate at 2.00% on April 30, 2008, down from 4.50% on October 31, 2007), but also through significant expansion of lending facilities to accept a wide variety of collateral from both banks and brokerage firms. In their closely watched statement at the conclusion of their meeting on April 30, 2008, the Fed issued a negative outlook on the economy, suggesting that growth remained weak and could be further pressured by "subdued" business investment. In addition, the Fed reiterated that financial markets remained under "considerable" stress. However, the month of April 2008 may have marked a turning point for equity investors as stocks managed a strong rally as investors sought attractive valuations in an economic environment that turned out not to be as bad as initially feared. Several industry bellwethers reported solid profit news, offering further encouragement to those non-financial sectors that have yet to be affected by the credit crisis. Stocks were up across the board in April, with all the major domestic market indices showing gains. Yields for U.S. Treasuries increased (and prices for those securities dropped) as investors anticipated an end to the Fed's easing campaign as well as in an attempt to seek better value in the equity market. Growth stocks in the Russell indices held up slightly better than their value counterparts during the six-month period, although both styles declined. Stock prices declined across all capitalization ranges; however, midcap companies held up better than large caps, while smaller companies declined sharply. Weak equity performance was widespread over the semi-annual period. With the exception of Energy, every sector in the broad market S&P 500 Index declined. Despite interest rate cuts and relaxed Fed requirements, Financials was the worst-performing sector, with a total return of -20.0%. Stocks in the Information Technology, Telecommunication Services, Health Care and Consumer Discretionary sectors also suffered double-digit declines. Other than Energy, with a total return of 6.3%, there were no bright spots. Even Consumer Staples, often viewed as a defensive category, pulled back slightly as investors worried that consumer spending would not pick up anytime soon. Since the financial crisis began last August, monetary policy makers had been very aggressive, cutting interest rates seven different times. In addition, the Fed had been innovative in contending with the current financial crisis by developing (or resurrecting) policy initiatives and lending facilities in an attempt to target liquidity without further pressuring the dollar or adding to inflationary concerns. Yet despite these efforts, inflationary pressures continued to build and the dollar continued to weaken. As a result, by the end of April 2008, market interest rates had once again begun to move against the Fed, this time upward, as global investors anticipated a pause in, if not a completion of, the most recent Fed easing campaign. 2 PERFORMANCE OVERVIEW AMERICAN BEACON BALANCED FUND(SM) APRIL 30, 2008 (UNAUDITED) The Balanced Fund's Institutional Class returned -6.01% for the six months ended April 30, 2008, lagging the 60% Russell 1000(R) Value Index/40% Lehman Brothers Aggregate Index benchmark return of -4.36%, but exceeding the Lipper Mixed-Asset Target Allocation Growth Funds Index return of -6.15% for the same period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1,5) ............... -6.01% -4.65% 10.60% 5.90% PlanAhead Class(1,5) ................... -6.14% -4.88% 10.24% 5.62% Service Class(1,2,5) ................... -6.30% -5.16% 10.02% 5.52% AMR Class(1,5) ......................... -5.92% -4.37% 10.84% 6.18% Balanced Composite Index (3) ........... -4.36% -2.72% 9.51% 6.26% Russell 1000 Value Index(4) ............ -9.83% -8.97% 12.85% 5.97% Lehman Bros. Aggregate Index(4) ........ 4.08% 6.87% 4.37% 5.96% Lipper Mixed-Asset Target Allocations Growth Funds Index(4) ... -6.15% -1.47% 9.99% 5.48%
* 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 4/30/98 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 4/30/98. A portion of the fees charged to the Service Class of the Fund was waived in 2005. Performance prior to waiving fees was lower than actual returns shown for 2005. 3. To reflect the Fund's allocation of its assets between investment grade fixed-income securities and equity securities, the returns of the Russell 1000 Value Index and the Lehman Brothers Aggregate Index have been combined in a 60%/40% proportion. 4. The Russell 1000 Value Index is an unmanaged index of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. Russell 1000 Value Index is a registered trademark of Frank Russell Company. 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. 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 0.58%, 0.84%, 1.08% and 0.32%, 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. 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 -12.6%, underperforming the Russell 1000 Value Index ("Russell Value Index") return of - -9.8%. The Fund's poor performance versus the Russell Value Index was due to poor stock selection and sector allocation. The Fund's holdings in the Financials, Consumer Discretionary, and Health Care sectors detracted the most value relative to the Russell Value Index. In the Financials sector, Bear Stearns (down 90.7% for the period the Fund held the security), Washington Mutual (down 55.5%), and Citigroup (down 38.2%) hurt performance most. RH Donnelley (down 91.3%), Idearc (down 87.0%), and Wyndham Worldwide (down 34.4%), were the largest detractors in the Consumer Discretionary sector as were Bristol Myers Squibb (down 24.8%) and Wellpoint (down 37.2%) in the Health Care sector. Good stock selection in the Information Technology and Industrials sectors added value to performance but did not generate enough excess performance to offset the poor performance mentioned above. IBM (up 4.7%) and Tyco Electronics (up 5.7%) were the largest contributors in the Information Technology sector, while Burlington Northern Santa Fe (up 18.5%) and Tyco International (up 14.5%) added the most value in the Industrials sector. 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, the best-performing sector in the Russell Value Index, and overweight in the Information Technology sector, the worst-performing sector in the Russell Value Index. This negative performance was somewhat offset by positive performance generated by an underweighting in the Financials sector. 3 PERFORMANCE OVERVIEW AMERICAN BEACON BALANCED FUND(SM) APRIL 30, 2008 (UNAUDITED) The fixed-income portion of the Fund returned 4.9% for the six-month period, outperforming the Lehman Brothers Aggregate Index return of 4.1%. The Fund's fixed-income excess performance was due mostly to good security selection in the Corporate, Collateralized Mortgage Obligation, and Agency sectors. The sub-advisors continue to focus on the disciplined selection of attractive securities that should allow the Fund to benefit long-term. TOP TEN EQUITY HOLDINGS
% OF EQUITIES -------- ConocoPhillips........................... 1.9% Bank of America Corp..................... 1.8% AT&T, Inc................................ 1.5% International Business Machines Corp..... 1.5% Washington Mutual, Inc................... 1.4% Citigroup, Inc........................... 1.3% Honeywell International, Inc............. 1.3% Occidental Petroleum Corp................ 1.2% Devon Energy Corp........................ 1.2% Pfizer, Inc.............................. 1.2%
EQUITY SECTOR ALLOCATION
% OF EQUITIES -------- Financials............................... 24.9% Industrials.............................. 13.3% Energy................................... 11.3% Information Technology................... 11.1% Health Care.............................. 10.1% Consumer Discretionary................... 9.5% Consumer Staples......................... 7.1% Utilities................................ 5.4% Telecommunication Services............... 4.5% Materials................................ 2.8%
FIXED-INCOME SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate Bonds.......................... 33.3% Mortgage-Backed.......................... 26.4% Agency................................... 24.0% U.S. Treasury............................ 14.8% Asset-Backed............................. 1.5%
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. 4 PERFORMANCE OVERVIEW AMERICAN BEACON LARGE CAP GROWTH FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the Large Cap Growth Fund returned -10.71% for the six months ended April 30, 2008, compared to the Russell 1000(R) Growth Index ("Index") return of -9.28% and the Lipper Large-Cap Growth Funds Index return of -9.52%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 ---------------------------- SINCE INCEP. 6 MONTHS* 1 YEAR 5 YEARS (7/31/00) --------- ------ ------- ------------ Institutional Class(1,3)................. -10.71% -5.80% 8.40% -4.46% AMR Class(1,3)........................... -10.50% -5.48% 8.65% -4.27% Russell 1000 Growth Index(2)............ -9.28% -0.24% 9.52% -3.71% Lipper Large-Cap Growth Funds Index(2)... -9.52% 3.08% 9.53% -3.72%
* 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. A portion of the fees charged to the Institutional Class of 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. The Russell 1000 Growth Index is an unmanaged index of those stocks in the Russell 1000(R) Index with higher price-to-book ratios and higher forecasted growth values. Russell 1000 Growth Index and Russell 1000 Index are registered trademarks of Frank Russell Company. 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 1.06% and 0.61%, 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 primarily through stock selection, as sector allocation added modest value to the Fund's performance. From a stock selection standpoint, the Fund was hurt most by poor stock selection in the Information Technology, Consumer Discretionary, and Telecommunication Services sectors. Positions in Dell, Inc. (down 39.1%) and NVIDIA Corp. (down 41.9%) detracted most from the Information Technology sector's relative performance. In the Consumer Discretionary sector, the largest detractors were Apollo Group, Inc. (down 35.8%) and ITT Educational Services (down 39.7%), while Sprint Nextel Corp. (down 53.2%) hurt the Fund's Telecommunication Services sector returns. This was offset somewhat by good stock selection in the Health Care sector where Gilead Sciences, Inc. (up 12.1%) was the largest contributor. The Fund's overweighting in the best-performing sector and underweighting in the worst-performing sector in the Index, the Energy and Financial sectors respectively, 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 ---------- Microsoft Corp................................................. 3.1% Halliburton Co................................................. 1.9% McDonald's Corp................................................ 1.8% Hewlett-Packard Co............................................. 1.4% The Kroger Co.................................................. 1.3% Best Buy Company, Inc.......................................... 1.3% The Boeing Company............................................. 1.3% Accenture Ltd.................................................. 1.3% Texas Instruments, Inc......................................... 1.3% Express Scripts, Inc........................................... 1.3%
SECTOR ALLOCATION % OF EQUITIES -------- Information Technology......................................... 22.6% Industrials.................................................... 17.0% Health Care.................................................... 15.3% Consumer Discretionary......................................... 12.0% Energy......................................................... 11.4% Consumer Staples............................................... 8.9% Financials..................................................... 5.4% Materials...................................................... 5.2% Telecommunication Services..................................... 1.2% Utilities...................................................... 1.0%
5 PERFORMANCE OVERVIEW AMERICAN BEACON MID-CAP VALUE FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the Mid-Cap Value Fund returned -10.79% for the six months ended April 30, 2008. The Fund trailed the Russell Midcap(R) Value Index ("Index") return of -9.20% and the Lipper Mid-Cap Value Funds Index return of -9.23%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 SINCE ---------------------------- INCEP. 6 MONTHS* 1 YEAR 3 YEARS (6/30/04) --------- ------ ------- --------- Institutional Class(1,3,6)............ -10.79% -15.25% 6.16% 7.30% PlanAhead Class (1,2,6)............... -10.96% -15.44% 5.96% 7.14% Service Class (1,4,6)................. -11.06% -15.60% 5.89% 7.09% AMR Class (1,6)....................... -10.76% -14.98% 6.34% 7.44% Russell Midcap(R) Value Index(5)...... -9.20% -11.65% 9.66% 11.03% Lipper Mid-Cap Value Funds Index(5)... -9.23% -8.27% 9.49% 8.94%
* 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 AMR Class of the Fund was waived through 2006. Performance prior to waiving fees was lower than the actual returns shown. 2. Fund performance for the three-year and since inception periods 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. A portion of the fees charged to the PlanAhead Class of the Fund has been waived since 2006. Performance prior to waiving fees was lower than actual returns shown since 2006. 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. A portion of the fees charged to the Institutional Class of the Fund has been waived since 2007. Performance prior to waiving fees was lower than actual returns shown since 2007. 4. Performance shown prior to the 6/29/07 inception of the Service Class is that of the AMR Class from 6/30/04 to 11/30/05, the Institutional Class from 11/30/05 to 2/28/06 and the PlanAhead Class from 2/28/06 to 6/29/07. The returns have not been adjusted for any difference between the fees and expenses of the Service Class and the historical fees and expenses of the AMR, Institutional and PlanAhead Classes. Because the AMR, Institutional and PlanAhead Class had lower expenses, their performance was better than the Service Class would have realized during the same period. A portion of the fees charged to the Service Class of the Fund has been waived since 2007. Performance prior to waiving fees was lower than the actual returns shown since 2007. 5. The Russell Midcap Value Index is an unmanaged index of those stocks in the Russell Midcap Index with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000(R) Index. Russell Midcap Value Index and Russell 1000 Index are registered trademarks of Frank Russell Company. 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 directly invest in an index. 6. 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 1.10%, 1.27%, 1.81%, and 0.76%, 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 primarily through sector allocation and to a lesser extent, through stock selection. A significant overweighting in the Consumer Discretionary sector and an underweight in Energy, the best performing sector in the Index, detracted from the Fund's performance relative to the Index. An absence from Materials, the second best performing sector in the Index, also hurt the Fund's performance. Partially offsetting the aforementioned poor performance was a more than three times overweighting in the Health Care sector and an absence from Telecommunication Services, the second worst performing sector in the Index, which added value relative to the Index. The Fund's investments in the Health Care and Financials sectors hurt performance most. In the Health Care sector, the largest detractors were Omnicare (down 30.9%) and Coventry Health Care (down 25.8%). XL Capital (down 50.6%), CIT Group (down 68.5%), and South Financial Group (down 69.9%) were responsible for most of the underperformance in the Financials sector. The Fund's holdings in the Consumer Discretionary and Information Technology sectors added value relative to the Index, but not enough to offset the shortfall of the aforementioned sectors. Rent-A-Center (up 34.6%) and TJX (up 12.1%) were the largest contributors in the Consumer Discretionary sector, as was Affiliated Computer Services (up 4.6%) in the Information Technology sector. 6 PERFORMANCE OVERVIEW AMERICAN BEACON MID-CAP VALUE FUND(SM) APRIL 30, 2008 (UNAUDITED) The sub-advisors' philosophy of investing in undervalued companies that exhibit improving profitability and earnings growth potential should allow the Fund to benefit longer term. TOP TEN HOLDINGS
% OF NET ASSETS ---------- L-3 Communications Holdings, Inc.............................. 3.1% Alcatle-Lucent................................................ 2.6% Murphy Oil Corp............................................... 2.3% Rent-A-Center, Inc............................................ 2.2% Ryder System, Inc............................................. 2.0% Lear Corp..................................................... 1.8% Protective Life Corp.......................................... 1.8% MDU Resources Group, Inc...................................... 1.8% El Paso Corp.................................................. 1.7% Federal Home Loan Mortgage Corp............................... 1.7%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials.................................................... 30.2 % Industrials................................................... 14.3 % Consumer Discretionary........................................ 11.6 % Information Technology........................................ 11.5 % Materials..................................................... 7.9 % Energy........................................................ 6.3 % Health Care................................................... 6.1 % Utilities..................................................... 5.6 % Consumer Staples.............................................. 4.8 % Telecommunication Services.................................... 1.7 %
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. 7 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 - -13.99% for the six months ended April 30, 2008. The Fund lagged the Russell 2000(R) Value Index ("Index") return of -11.55% and the Lipper Small-Cap Value Funds Index return of -10.66%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 ------------------------ SINCE INCEP. 6 MONTHS* 1 YEAR (3/31/06) --------- ------ ------------ Institutional Class(1,3) ................ -13.99% -19.23% -5.34% PlanAhead Class(1,3) .................... -14.14% -19.32% -5.48% Russell 2000 Value Index (2) ............ -11.55% -15.13% -2.61% Lipper Small-Cap Value Funds Index (2) .. -10.66% -12.60% -1.51%
* 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. The Russell 2000 Value Index is an unmanaged index of those stocks in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values. Russell 2000 Value Index is a registered trademark of Frank Russell Company . 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 set forth in the most recent Fund prospectus for the Institutional and PlanAhead Class shares was 1.28% and 1.71%, 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 primarily due to poor stock selection, as sector allocation detracted modest value relative to the Index. Most of the poor performance came from the Fund's holdings in the Financials and Industrials sectors. Among the Fund's Financials sector holdings, Boston Private Financial (down 67.2%), FirstFed Financial (down 64.3%), and South Financial Group (down 69.9%) were the largest detractors. Deluxe (down 46.3%), Dollar Thrifty Automotive (down 61.8%), and Belden (down 42.0%) hurt performance most in the Industrials sector. Holdings in the Consumer Discretionary sector added value relative to the Index. Tupperware (up 10.5%), Unifirst (up 24.6%), and Warnaco Group (up 13.4%) were the largest contributors in the sector. An overweight in Telecommunication Services, the worst-performing sector in the Index, detracted from the Fund's performance through sector allocation. 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. 8 PERFORMANCE OVERVIEW AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND(SM) APRIL 30, 2008 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- Tupperware Corp....................................... 1.5% UMB Financial Corp.................................... 1.2% Compass Minerals International, Inc................... 1.2% Oil States International, Inc......................... 1.2% Premiere Global Services, Inc......................... 1.1% Ruddick Corp.......................................... 1.1% Parker Drilling Co.................................... 1.0% Harleysville Group, Inc............................... 1.0% Trico Marine Services, Inc............................ 1.0% AptarGroup, Inc....................................... 1.0%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials............................................ 30.2 % Industrials........................................... 14.3 % Consumer Discretionary................................ 11.6 % Information Technology................................ 11.5 % Materials............................................. 7.9 % Energy................................................ 6.3 % Health Care........................................... 6.1 % Utilities............................................. 5.6 % Consumer Staples...................................... 4.8 % Telecommunication Services............................ 1.7 %
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. 9 PERFORMANCE OVERVIEW AMERICAN BEACON EMERGING MARKETS FUND(SM) APRIL 30, 2008 (UNAUDITED) For the six months ended April 30, 2008, the MSCI EM Index produced a negative return of -10.28% in U.S. dollar terms. Emerging market economic expansion has held up against a more challenging macro environment, validating the decoupling theory championed by several strategists. Capital markets have not demonstrated as much resilience. The key concern is inflation and the impact on domestic consumption, the key to sustainable decoupling. Food and fuel prices have soared, causing panic in more poverty-stricken countries and friction in most markets. As food becomes a greater proportion of disposable income, discretionary purchasing might suffer, as would credit growth. A shortfall in domestic spending will be problematic for countries with falling exports. In addition, wages are beginning to creep up, which could dent record profit margins. Demographics should support sustainable growth through consumption; most countries now have a fiscal surplus, and governments are generally stable. ASIA - China is contending with soaring food inflation, rising wage costs, and a shift in economic structure. The country will increasingly rely on consumption, not exports, for economic expansion. This is counter to the prior deflationary policy of exporting cheap labor and capital, which is responsible for low global inflation and interest rates. Developed markets could experience a profit squeeze as the benefits of offshore production diminish. Nearer term China has slowed, but not markedly, and very much in line with government objectives. The market is down 35% from its 12-month high and is trading 7% below trend. A recovery will likely favor more locally focused companies. India has successfully curbed rising inflation with a range of in monetary policy changes. Consumer spending has declined, and core ex-fuel inflation is subdued. South Korea remains exposed to the U.S. through exports. However, demand for capital goods in emerging Asia, a nascent local economic recovery, and recent elections provide support. Additionally, the export segment has increased trade with China and Europe offsetting reliance on the US. Taiwan's market has been buoyed by the recent KMT party victories for the legislature and presidency. The party is strongly in favor of deeper ties with mainland China, which could herald the beginning of a more normalized relationship. The country remains one of the least expensive in Asia, with 20% earnings growth forecasted for 2008. Thailand looks to be entering a period of political stability after voters approved a new constitution in the country's first-ever referendum. Public sector investment could offset the impact of oil prices on consumers. LATIN AMERICA - Rising inflation and weak U.S. demand could create headwinds for Latin America. Rising costs are likely to constrain monetary policy leading to lower Gross Domestic Product ("GDP") growth versus 2007. Mexico is clearly the most vulnerable to a U.S. slowdown, and we have already observed a fall in remittances in export activity. However, public spending and tax reform could help offset these factors. Brazil is more optimally positioned due to rising wages and the lag effect of monetary easing. Once heavily dependent on the commodity cycle, Brazil's local economy is set to take a larger role in the country's growth. This thesis may be tested later in 2008 as Brazil's central bank considers raising interest rates in upcoming policy meetings to offset moderately rising inflation expectations. EUROPE, MIDDLE EAST AND AFRICA (EMEA) - Inflation is the main risk facing Central Europe, with policy reaction varying by country. In Poland, local demand is robust and inflation rising. Fiscal stimulus is expected to keep growth in line with 2007, causing inflation to remain high. Hungary is dealing with lackluster growth and a current account deficit. The country is growing at 2.5%, below its 4% potential. Domestic demand in Turkey has fallen as higher interest rates have curbed spending. Although an extended period of lower inflation appears more realistic, falling wage costs will likely suppress consumption in the near term. The political uncertainty surrounding the Turkish military's recommendation to the High Court to ban the AK Party, including PM Erdogen and President Gul, a party which recently won 47% of the popular vote, could weigh on the market for some time. Russian consumer confidence and oil prices should support further expansion in 2008. President Putin handed over the reigns to new President Medvedev and assumed the Prime Minister position, securing his control over Russian policy. Liquidity is likely to stay high, as the government appears intent to keep expansion on track despite higher prices. South Africa has enjoyed a relatively long period of domestic consumption strength. Inflation is stubbornly high at 7%, leading to higher rates and a period of weak domestic demand. 10 PERFORMANCE OVERVIEW AMERICAN BEACON EMERGING MARKETS FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the Emerging Markets Fund returned -11.47% for the six months ended April 30, 2008. The Fund underperformed the MSCI Emerging Markets Index ("Index") return of -10.28% and the Lipper Emerging Markets Funds Index return of -9.84% for the period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 SINCE ---------------------------- INCEP. 6 MONTHS* 1 YEAR 5 YEARS (7/31/00) --------- ------ ------- --------- Institutional Class (1,4)...... -11.47% 19.90% 33.03% 16.36% PlanAhead Class (1,2,4) ....... -11.63% 19.42% 32.66% 16.12% AMR Class (1,4)................ -11.36% 20.21% 33.38% 16.66% MSCI Emg Mkts Index(3)......... -10.28% 25.37% 35.34% 16.98% Lipper Emg Mkts Funds Index (3)................... -9.84% 21.02% 34.20% 16.60%
* 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 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 was waived in 2004 and 2005 and recouped in 2006. 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 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 and AMR Class shares was 1.41%, 1.77% and 1.18%, 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 due to country allocation, Fund expenses, and sub-Index returns on the Fund's equitized cash balances. Stock selection added value for the period. Relative contribution from country allocation was negative for the six-month period, as a result of underweighting Brazil and Israel (up over 7% and 5%, respectively), and Taiwan (which fell nearly 4%). Overweighting Turkey (down over 31%) also contributed to the comparative underperformance. Stock selection was positive during the six-month period, as strong selections in China, South Korea, and Taiwan more than offset poor selections in Brazil. In China, the Fund benefited from investments in China Mobile (down 15.1%), Global Bio-chem Technology Group (up 26.3%), and GOME Electrical Appliances Holdings (up 2.3%). South Korean investments in Samsung Electronics (up 16.1%), and Hyundai Motor (up 7.0%) added value, as did Taiwanese financial stocks Chinatrust Financial Holding and First Financial Holding (each up over 40%), and Chunghwa Telecom Co. (up 32.9%). In Brazil, significant detractors from performance included Unibanco (down 6.1%) and Companhia de Tecidos Norte de Minas (down 43.0%). The Fund's basic philosophy remains focused on investing in attractively valued companies with above-average earnings growth expectations. 11 PERFORMANCE OVERVIEW AMERICAN BEACON EMERGING MARKETS FUND(SM) APRIL 30, 2008 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- Petroleo Brasileiro S.A. .................................... 3.9% Gazprom OAO.................................................. 3.7% Samsung Electronics Company Ltd. ............................ 2.8% LUKOIL Oil Co. .............................................. 2.8% China Mobile Ltd. ........................................... 2.2% America Movil, S.A.B. de C.V. ............................... 1.1% Unibanco - Uniao de Bancos Brasileiros S.A. ................. 1.1% Companhia Vale do Rio Doce................................... 1.1% Taiwan Semiconductor Manufacturing Co. Ltd................... 1.1% PetroChina Co. Ltd. ......................................... 1.0%
SECTOR ALLOCATION
% OF EQUITIES ---------- Financials................................................... 22.2% Energy....................................................... 17.1% Materials.................................................... 12.8% Telecommunication Services................................... 12.6% Information Technology ...................................... 10.6% Consumer Discretionary....................................... 9.3% Industrials.................................................. 6.6% Consumer Staples............................................. 3.6% Utilities.................................................... 3.5% Health Care.................................................. 1.7%
COUNTRY ALLOCATION (PIE CHART)
% OF EQUITIES ---------- China........................................................ 16.1% South Korea.................................................. 15.0% Brazil....................................................... 12.9% Taiwan....................................................... 10.3% Russia....................................................... 9.8% India........................................................ 8.0% Other Asia................................................... 7.8% South Africa................................................. 7.2% Other Europe, Middle East, Africa............................ 6.9% Mexico....................................................... 5.4% Other Latin America.......................................... 0.6%
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. 12 DOMESTIC BOND MARKET OVERVIEW APRIL 30, 2008 (UNAUDITED) For the six-month period ended April 30, 2008, the investment grade fixed-income market, as defined by the Lehman Brothers Aggregate Index (the "Index"), produced a 4.08% total return. The government sectors benefited from the flight-to-quality that continued into 2008 from the sub-prime mortgage meltdown, while the remaining sectors felt the brunt of the market disruption. This period marked one of the most extreme dislocations in the financial markets in recent history, and it is likely to have a prolonged effect on the economy. However, by period end, the markets were just beginning to find a glimmer of hope that the worst of the liquidity freeze was behind them. The consumer and the economy still have challenges ahead, but the fear and panic in the financial markets may have begun to subside.
TOTAL RETURNS PERIODS ENDED 4/30/08 --------------------- 6 MONTH 12 MONTH --------- --------- Lehman Aggregate........... 4.08% 6.87% Lehman Gov/Credit.......... 4.14% 7.09% SECTOR U.S. Treasury.............. 5.87% 9.72% U.S. Agency................ 5.10% 8.49% Mortgage-Backed............ 4.62% 7.39% Commercial MBS............. 1.16% 2.62% Asset-Backed............... -4.03% -2.46% U.S. Credit................ 2.02% 3.84% Industrial.............. 1.93% 4.20% Utility................. 1.68% 3.35% Finance................. 1.04% 1.74% Non-Corporate........... 4.90% 8.28% CREDIT RATING Aaa........................ 4.73% 7.82% Aa......................... 3.03% 4.80% A.......................... 1.52% 3.07% Baa........................ 0.65% 2.21%
U.S.TREASURY YIELD
6 MONTH 12 MONTH ------- -------- 2 Year..................... 4.42% 7.93% 3 Year..................... 5.24% 9.25% 5 Year..................... 7.16% 11.21% 10 Year.................... 7.35% 11.04% 30 Year.................... 6.29% 9.91%
The yield curve steepened significantly during the period as the Federal Reserve Board (the "Fed") slashed interest rates in what became the most aggressive series of interest rate cuts since the early '80's - when rates were north of 15%. The Fed Funds rate began this six-month period at 4.50% and ended at 2.00%. While the rate cuts will take time to settle into the economy, the markets had calmed sufficiently by period end to allow the Fed an opportunity to pause and assess the impact of its rate cuts thus far. Despite the U.S. slowdown, persistent commodity price increases kept the Fed's eye on inflation and held the longer end of the U.S. Treasury curve relatively stable. (PERFORMANCE GRAPH) All credit sectors were adversely affected by the sub-prime disruption. Within the U.S. Credit sector, Financials continued to see the brunt of the underperformance. The abrupt sale of 85-year-old Bear Stearns in mid-March due to a lack of liquidity epitomized the severity of the crisis. Issuers that were most reliant on short-term funding faced significant challenges as liquidity dried up. Industrials and Utilities also underperformed government equivalents, but this was due to the general market contagion rather than from direct sub-prime exposure. The nature of a credit freeze is that entire sectors are pulled down at once - regardless of affiliation The Asset-Backed sector posted a negative return for the period due to the home-equity loan segment, which returned -23.4%, due to its proximity to sub-prime mortgages. The Commercial Mortgage sector also experienced severe spread widening as did all mortgages other than agency-backed securities. The non-agency sectors were also particularly affected by the collapse of the Collateralized Debt Obligations ("CDO") market and other structured investment products. These entities represented significant sources of demand for asset-backed and commercial mortgage-backed securities, and when these buyers vanished, prices dropped. Furthermore, as losses mounted, many of these structures were then forced to liquidate assets into a market that was already down and out. 13 DOMESTIC BOND MARKET OVERVIEW APRIL 30, 2008 (UNAUDITED) (PERFORMANCE GRAPH) The markets continued to struggle through their challenges, but investors found comfort in the fact that capital, though expensive, was ultimately available to those who needed it. Yes, there were casualties, as there are in every crisis, but in the end, the markets gradually regained their footing. By period end, most of the initial pain was likely over. Going forward, however, companies will have to contend with a slowing economy and an exhausted consumer. To the extent that these issues can be managed over time and in an orderly fashion, the worst of the sub-prime saga may finally be behind us. 14 HIGH YIELD BOND MARKET OVERVIEW APRIL, 30 2008 (UNAUDITED) Concerns about market liquidity and a possible recession in the U.S. led to heightened financial market volatility over the six-month period ended April 30, 2008. U.S. economic sluggishness was confirmed by anemic Gross Domestic Product ("GDP") annualized growth in both the fourth quarter of 2007 (0.6%) and the first quarter of 2008 (0.9%). Flat-line market expectations for GDP growth in the first half of 2008 connote the market's reduced expectations for corporate earnings, but excluding the financials sector of the S&P 500, corporate earnings were still positive during the first quarter of 2008. Nonetheless, weak economic growth and prevailing aversion toward risk taking significantly pressured equities and the S&P 500 Index's total return was -9.6% over the six months under review. Given the potential for the U.S. to slip into recession, the Federal Reserve Board not only reduced its target rate for short-term loans from 4.50% to 2.00%, but also broadened liquidity to certain banks and brokerage firms--and facilitated the sale of Bear Stearns to JPMorgan Chase. With the slowing economy and weakening labor market, core consumer inflation began to tick lower and even headline inflation, which had been pushed up with the surge in energy prices, moved down from its 2007 highs. Overall, in this environment, 10-year Treasury bond yields declined from 4.47% to 3.73% by period-end. As a result of the drop in the equity market, broad financial market risk aversion, economic concerns, and still-pending potential supply from past leveraged buyout transactions, high-yield spreads widened from 4.4% at the end of October 2007 to 6.8% as of April 30, 2008. At that level, high-yield valuations were cheap relative to their 10-year average spread of approximately 5.9%. In terms of fundamentals, default rates have edged higher thus far in 2008 but remain low relative to historical averages. Valuation levels still price in a meaningful increase in default rates going forward, driven by a combination of weaker corporate earnings growth and considering the lower quality of new high-yield issuance that has come to market over the past two-to-three years. Widening spreads put downward pressure on prices, and caused the overall high-yield market to generate a total return of -0.8% (as measured by the JPMorgan Global High-Yield Index), compared to the more interest-rate sensitive Lehman U.S. Aggregate Bond Index (a broad index of investment-grade fixed income securities), which rose 4.1%. Generally, within the Lehman Aggregate Index, more credit-sensitive sectors underperformed Treasury returns during the period. 15 PERFORMANCE OVERVIEW AMERICAN BEACON HIGH YIELD BOND FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the High Yield Bond Fund returned -1.18% for the six months ended April 30, 2008. The Fund underperformed the JPMorgan Global High-Yield Index ("Index") return of -0.82% but outperformed the Lipper High Current Yield Funds Index, which returned -1.92% for the period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 SINCE ---------------------------- INCEP. 6 MONTHS* 1 YEAR 5 YEARS (12/29/00) --------- ------ ------- ---------- Institutional Class (1, 5) ...... -1.18% -0.68% 6.78% 7.96% PlanAhead Class (1, 2, 5) ....... -1.18% -0.88% 6.51% 7.72% AMR Class (1, 3, 5) ............. -1.04% -0.49% 6.82% 7.98% JPMorgan GlobaL High-Yield Index (4) .................... -0.82% -0.63% 8.67% 8.56% Lipper High Current Yield Funds Index (4) .............. -1.92% -1.81% 7.75% 6.27%
* 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. Fund performance for the one-year, five-year and since inception periods represents the total returns achieved by the Institutional Class from 12/29/00 up to 9/4/07, the inception date of the AMR Class, and the returns of the AMR Class since its inception. Expenses of the AMR Class are lower than those of the Institutional Class. As a result, total rturns shown may be lower than they would have been had the AMR Class been in existence since 12/29/00. 4. 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. 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 0.87%, 1.09%, and 0.62%, 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 due to issue selection, fund expenses, and sector allocation. Issue selection in the Manufacturing and Consumer sectors contributed to the relative underperformance, despite added value from selections in the Cable/Media, Service and Finance sectors. From a sector allocation perspective, the Fund benefited from overweighting the Other Corporate sector (up 3.3%) and underweighting the Finance sector (down 3.1%). The Fund underperformed the Index primarily due to overweighting the Cable/Media sector (down 7.6%), which was the worst-performing sector in the Index for the period. Underweighting the Utility and Energy sectors (up 1.0% and 4.1%, respectively) also contributed to the underperformance. The Energy sector was the best-performing sector over the six months. The sub-advisors' "bottom-up", research intensive investment process, which focuses on companies with strong cash flow and fundamental credit strength, remains in place. 16 PERFORMANCE OVERVIEW AMERICAN BEACON HIGH YIELD BOND FUND(SM) APRIL 30, 2008 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- General Motors Acceptance Corp., 6.875%, Due 9/15/2011....... 1.2% Ford Motor Credit Co. LLC, 9.875%, Due 8/10/2011............. 1.1% Edison Mission Energy, 7.000%, Due 5/15/2017................. 1.1% Penske Auto Group, Inc., 7.750%, Due 12/15/2016.............. 1.0% Prestige Brands, Inc., 9.250%, Due 4/15/2012................. 1.0% Block Communications, Inc., 8.250%, Due 12/15/2015........... 1.0% NRG Energy, Inc., 7.375%, due 2/1/2016....................... 0.9% Newark Group, Inc., 9.750%, Due 3/15/2014.................... 0.9% Jarden Corp., 7.500%, Due 5/1/2017 .......................... 0.9% Hercules, Inc., 6.750%, Due 10/15/2029....................... 0.9%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate.................................................... 100.0%
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. 17 PERFORMANCE OVERVIEW AMERICAN BEACON ENHANCED INCOME FUND(SM) APRIL 30, 2008 (UNAUDITED) The PlanAhead Class of the Enhanced Income Fund returned 1.19% for the six months ended April 30, 2008. Its benchmark, a blend of 75% Lehman Brothers Aggregate and 25% Merrill Lynch All U.S. Convertibles Index, returned 1.62%. The Fund's peer group, the Lipper Intermediate Investment Grade Index, returned 2.06% for the same period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 SINCE ---------------------------- INCEP. 6 MONTHS* 1 YEAR 3 YEARS (7/1/03) --------- ------ ------- -------- PlanAhead Class(1,4).......... 1.19% 4.60% 5.22% 4.25% Enhanced Income Composite Index(3).......... 1.62% 4.94% 5.81% 4.77% Linked Lehman Bros. Aggregrate Index (2)........ 4.08% 6.87% 4.94% 6.22% Merrill Lynch All U.S. Convertibles Index (2)...... -5.43% -1.08% 8.67% 7.93% Lipper Intermediate Investment Grade Index (2).. 2.06% 4.02% 4.01% 3.64%
* 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 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 0.95%. 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 4.4% before expenses outperforming the 4.1% return for the Lehman Brothers Aggregate Index. This portion of the Fund benefited from holdings in Corporate and Asset-Backed securities, which added to relative performance. The remaining portion of the Fund, managed by the Fund's sub-advisor, returned -6.2% before expenses. These results slightly trailed the -5.8% return of the Merrill Lynch All U.S. Convertibles Index. This portion of the Fund's greater equity sensitivity relative to its benchmark helped performance in the period as convertible issues with higher equity sensitivity held up better, reflecting an increase in market volatility, as well as their underlying stocks performing better than the broad equity market. The sub-advisor also utilizes common stocks and corporate bonds in order to better manage the risk/reward profile of this portion of the Fund. The common stock holdings detracted from performance in the period, as the equity market suffered, yet the straight corporate bond holdings added to results as they outperformed the benchmark return. The Manager and the Fund's sub-advisor remain focused on the Fund's investment objectives of generating income and capital appreciation. 18 PERFORMANCE OVERVIEW AMERICAN BEACON ENHANCED INCOME FUND(SM) APRIL 30, 2008 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- U.S. Treasury Note, 4.750%, Due 5/15/2014..................... 3.4% Federal Home Loan Mortgage Corp., Pool #G08079, 5.000%, Due 9/1/2035................................................... 2.5% Federal National Mortgage Association, 7.250%, Due 1/15/2010.................................................. 2.2% Federal Home Loan Mortgage Corp., 5.125%, Due 4/18/2011....... 2.1% U.S. Treasury Bond, 7.875%, Due 2/15/2021..................... 1.9% Federal Home Loan Bank, 4.500%, Due 9/16/2013................. 1.7% U.S. Treasury Note, 4.125%, Due 5/15/2015..................... 1.7% Federal National Mortgage Association, Pool #745275, 5.000%, Due 2/1/2036............................................... 1.7% Federal National Mortgage Association, Pool #745418, 5.500%, Due 4/1/2036............................................... 1.7% Federal National Mortgage Association, 5.375%, Due 6/12/2017.. 1.5%
FIXED-INCOME SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate Bonds............................................... 32.3% Mortgage-Backed............................................... 29.3% Total Convertible Bonds....................................... 14.2% Treasury...................................................... 10.6% Agency........................................................ 9.3% Asset-Backed.................................................. 4.3%
EQUITY SECTOR ALLOCATION
% OF EQUITIES -------- Information Technology........................................ 27.4% Industrials................................................... 23.9% Financials.................................................... 20.6% Healthcare.................................................... 14.7% Consumer Staples.............................................. 6.0% Consumer Discretionary........................................ 3.7% Materials..................................................... 3.7%
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. 19 PERFORMANCE OVERVIEW AMERICAN BEACON INTERMEDIATE BOND FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the Intermediate Bond Fund returned 4.58% for the six months ended April 30, 2008, outperforming the Lehman Brothers Aggregate Index ("Index") return of 4.08% and the Lipper Intermediate Investment Grade Index return of 2.06% for the same period.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1,3)........... 4.58% 7.39% 4.45% 5.67% Lehman Bros. Agg. Index (2)....................... 4.08% 6.87% 4.37% 5.96% Lipper Intermediate Inv. Grade Index (2)................. 2.06% 4.02% 3.89% 5.39%
* 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. Performance shown reflects the Fund's receipt in December 2006 and March 2008 of class action proceeds that were related to investment activity in 2002. The Fund's performance was higher than it would have been absent receipt of the settlement proceeds. 2. 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 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 Class shares was 0.35%. 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 and exposure to U.S. Treasuries. From a duration perspective, the Fund's holdings in longer termed maturities (10 to 20 years) added value relative to the benchmark. The Fund's duration overall was relatively neutral versus the Index over the course of the six months. Finally, somewhat offsetting the Fund's good performance was an overweight versus the Index in BBB and A quality bonds, which lagged performance of higher quality bonds. The Fund's investment managers remain focused on a conservative approach toward investing in the bond market and on issuer-specific opportunities. TOP TEN HOLDINGS
% OF NET ASSETS ---------- U.S. Treasury Note, 4.750%, Due 5/15/2014..................... 5.5% U.S. Treasury Note, 2.750%, Due 2/28/2013..................... 5.1% Federal Home Loan Bank, 4.500%, Due 9/16/2013................. 3.3% Federal National Mortgage Association, 7.250%, Due 1/15/2010.. 3.3% U.S. Treasury Note, 4.500%, Due 3/13/2012..................... 2.9% Federal Home Loan Mortgage Corp., 5.125%, Due 4/18/2011....... 2.8% U.S. Treasury Note, 3.500%, Due 2/15/2018..................... 2.4% U.S. Treasury Note, 4.125%, Due 5/15/2015..................... 1.9% Federal Home Loan Mortgage Corp., Pool #A73703, 5.000%, Due 3/1/2038...................................................... 1.4% Federal National Mortgage Association, 5.375%, Due 6/12/2017.. 1.3%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Mortgage-Backed............................................... 33.0% Corporates.................................................... 25.8% U.S. Treasury................................................. 24.0% U.S. Agency................................................... 15.6% 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. 20 PERFORMANCE OVERVIEW AMERICAN BEACON SHORT-TERM BOND FUND(SM) APRIL 30, 2008 (UNAUDITED) The Institutional Class of the Short-Term Bond Fund returned 2.79% for the six months ended April 30, 2008, which underperformed the Merrill Lynch 1-3 Year Gov/Corp Index ("Index") return of 3.83% but outperformed the Lipper Short Investment Grade Bond Funds Index return of 1.09%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/08 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1,3)........... 2.79% 5.28% 3.46% 4.72% PlanAhead Class(1,3) .............. 2.40% 4.74% 2.90% 4.19% Lipper Short Inv. Grade Index(2)... 1.09% 3.05% 2.78% 4.11% Merrill Lynch 1-3 Yr. Gov./Corp. Index(2).............. 3.83% 7.13% 3.52% 4.97%
* 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 PlanAhead Class of the Fund has been waived. Performance prior to waiving fees was lower than the actual returns shown. Performance shown reflects the Fund's receipt in December 2006 and March 2008 of class action proceeds that were related to investment activity in 2002. The Fund's performance was higher than it would have been absent receipt of the settlement proceeds. 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 0.38% and 0.99%, 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's relative return during the period reflects its holdings in the various credit sectors. As compared to the Index, the Fund underperformed because it was overweighted in Corporates and Asset-Backed securities. The Fund generally maintains an overweight position in investment-grade Corporates to generate incremental yield-to-maturity compared to the Index. However, during periods of significant market disruptions, these holdings can underperform government equivalents. To protect against these events, the Fund's holdings are limited to investment-grade issuers that we believe are likely to weather such unexpected volatility. Duration did not play a significant role during the period. The Fund began the period with a duration neutral to the Index and ended the period with a short duration, but this change did not significantly affect the Fund's relative returns. With interest rates at such low levels, the Fund's duration will likely remain short-to-neutral until the economy regains its footing. Overall, the period was challenging, but we remain confident in the long-term success of the Fund's investment strategy. Markets began to stabilize by period end and may have marked an end to this unusual period of disruption. We will continue to be conservative in our approach to credit risk, and we look to take advantage of opportunities in this market to generate attractive long-term results. 21 PERFORMANCE OVERVIEW AMERICAN BEACON SHORT-TERM BOND FUND(SM) APRIL 30, 2008 (UNAUDITED) TOP TEN HOLDINGS
% OF NET ASSETS ---------- U.S. Treasury Note, 3.125%, Due 11/30/2009.................... 11.8% Federal Home Loan Mortgage Corp., 4.750%, Due 11/3/2009....... 5.0% General Electric Capital Corp., 5.875%, Due 2/15/2012......... 3.0% USAA Auto Owner Trust, 5.550%, Due 2/15/2013.................. 3.0% HSBC Automotive Trust, 4.350%, Due 6/18/2012.................. 2.9% Banc of America Securities Auto Trust, 4.080%, Due 4/18/2010.. 2.9% John Deere Capital Corp., 4.125%, Due 1/15/2010............... 2.4% Merrill Lynch & Co., Inc., 6.00%, Due 2/17/2009............... 2.4% Comerica Bank, 6.000%, Due 10/1/2008.......................... 2.1% MBNA Corp., 7.500%, Due 3/15/2012............................. 2.1%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate Bonds............................................... 58.9% Asset-Backed.................................................. 19.1% Treasury...................................................... 12.2% Agency........................................................ 5.1% Mortgage-Backed............................................... 4.7%
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 FUND EXPENSES - ACTUAL APRIL 30, 2008 (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, 2007 through April 30, 2008. 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 BALANCED GROWTH VALUE OPPORTUNITY MARKETS BOND INTERMEDIATE SHORT-TERM INSTITUTIONAL CLASS FUND FUND FUND FUND FUND FUND BOND FUND BOND FUND - ------------------- --------- --------- --------- ----------- --------- --------- ------------ ---------- Beginning Account Value 11/1/07 .. $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 04/30/08 .... $ 939.85 $ 892.91 $ 892.13 $ 860.13 $ 885.32 $ 988.24 $1,045.76 $1,027.88 Expenses Paid During Period 11/1/07-04/30/08* ...... $ 2.75 $ 4.24 $ 3.86 $ 4.86 $ 6.38 $ 4.50 $ 1.58 $ 1.71 Annualized Expense Ratio ......... 0.57% 0.90% 0.82% 1.05% 1.36% 0.91% 0.31% 0.34%
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 11/1/07 .. $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 04/30/08 .... $ 938.63 $ 890.39 $ 858.56 $ 883.69 $ 988.20 $1,011.92 $1,023.96 Expenses Paid During Period 11/1/07-04/30/08 * ..... $ 3.95 $ 5.78 $ 5.55 $ 8.34 $ 5.49 $ 4.65 $ 4.43 Annualized Expense Ratio ......... 0.82% 1.23% 1.20% 1.78% 1.11% 0.93% 0.88%
BALANCED MID-CAP SERVICE CLASS FUND VALUE FUND - ------------- --------- ---------- Beginning Account Value 11/1/07 .. $1,000.00 $1,000.00 Ending Account Value 04/30/08 .... $ 936.96 $ 889.43 Expenses Paid During Period 11/1/07-04/30/08 * ..... $ 5.10 $ 7.09 Annualized Expense Ratio ......... 1.06% 1.51%
BALANCED LARGE CAP MID-CAP EMERGING HIGH YIELD AMR CLASS FUND GROWTH FUND VALUE FUND MARKETS FUND BOND FUND - --------- --------- ----------- ---------- ------------ ---------- Beginning Account Value 11/1/07 .. $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 04/30/08 .... $ 940.82 $ 894.97 $ 892.36 $ 886.43 $ 989.64 Expenses Paid During Period 11/1/07-04/30/08* ...... $ 1.50 $ 2.83 $ 3.72 $ 5.53 $ 3.12 Annualized Expense Ratio ......... 0.31% 0.60% 0.79% 1.18% 0.63%
- ---------- * Expenses are equal to the Fund's annualized expense ratio 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 (182) by days in the year (366) to reflect the half-year period. 23 FUND EXPENSES - HYPOTHETICAL APRIL 30, 2008 (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 LARGE CAP MID-CAP VALUE EMERGING YIELD BALANCED GROWTH VALUE OPPORTUNITY MARKETS BOND INTERMEDIATE SHORT-TERM INSTITUTIONAL CLASS FUND FUND FUND FUND FUND FUND BOND FUND BOND FUND - ------------------- --------- --------- --------- ----------- --------- --------- ------------ ---------- Beginning Account Value 11/1/07 .. $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 04/30/08 .... $1,022.03 $1,020.39 $1,020.79 $1,019.64 $1,018.10 $1,020.34 $1,023.32 $1,023.17 Expenses Paid During Period 11/1/07-04/30/08 * ..... $ 2.87 $ 4.52 $ 4.12 $ 5.27 $ 6.82 $ 4.57 $ 1.56 $ 1.71 Annualized Expense Ratio ......... 0.57% 0.90% 0.82% 1.05% 1.36% 0.91% 0.31% 0.34%
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 11/1/07 .. $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 04/30/08 .... $1,020.79 $1,018.75 $1,018.90 $1,016.01 $1,019.34 $1,020.24 $1,020.49 Expenses Paid During Period 11/1/07-04/30/08 * ..... $ 4.12 $ 6.17 $ 6.02 $ 8.92 $ 5.57 $ 4.67 $ 4.42 Annualized Expense Ratio ......... 0.82% 1.23% 1.20% 1.78% 1.11% 0.93% 0.88%
BALANCED MID-CAP SERVICE CLASS FUND VALUE FUND - ------------- --------- ---------- Beginning Account Value 11/1/07 .. $1,000.00 $1,000.00 Ending Account Value 04/30/08 .... $1,019.59 $1,017.35 Expenses Paid During Period 11/1/07-04/30/08 * ..... $ 5.32 $ 7.57 Annualized Expense Ratio ......... 0.82% 1.23%
BALANCED LARGE CAP MID-CAP EMERGING HIGH YIELD AMR CLASS FUND GROWTH FUND VALUE FUND MARKETS FUND BOND FUND - --------- --------- ----------- ---------- ------------ ---------- Beginning Account Value 11/1/07 .. $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 Ending Account Value 04/30/08 .... $1,023.32 $1,021.88 $1,020.93 $1,019.00 $1,021.73 Expenses Paid During Period 11/1/07-04/30/08 * ..... $ 1.56 $ 3.02 $ 3.97 $ 5.92 $ 3.17 Annualized Expense Ratio ......... 0.31% 0.60% 0.79% 1.18% 0.63%
- ---------- * Expenses are equal to the Fund's annualized expense ratio 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 (182) by days in the year (366) to reflect the half-year period. 24 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ------- ------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 56.37% CONSUMER DISCRETIONARY - 5.43% HOTELS, RESTAURANTS & LEISURE - 0.86% Carnival Corp. + ........................................ 155,300 $ 6,239 Wyndham Worldwide Corp. + ............................... 127,200 2,732 ------- 8,971 ------- HOUSEHOLD DURABLES - 0.82% Centex Corp. + .......................................... 120,800 2,515 Fortune Brands, Inc. .................................... 58,900 3,983 Newell Rubbermaid, Inc. ................................. 60,400 1,240 Pulte Homes, Inc. ....................................... 63,400 827 ------- 8,565 ------- MEDIA - 0.99% CBS Corp. + ............................................. 101,700 2,346 Idearc, Inc. + .......................................... 88,800 293 Interpublic Group of Cos., Inc. ## + .................... 486,000 4,399 R.H. Donnelley Corp. ## + ............................... 82,100 393 Walt Disney Co. Ltd. .................................... 89,400 2,899 ------- 10,330 ------- MULTILINE RETAIL - 1.31% J.C. Penney Company, Inc. + ............................. 68,500 2,911 Macy's, Inc. ............................................ 121,154 3,064 Target Corp. ............................................ 65,500 3,480 Wal-Mart Stores, Inc. ................................... 73,300 4,250 ------- 13,705 ------- SPECIALTY RETAIL - 1.45% Gap, Inc. ............................................... 171,200 3,188 Home Depot, Inc. ........................................ 335,050 9,649 Limited Brands, Inc. + .................................. 100,300 1,858 Liz Claiborne, Inc. + ................................... 23,600 417 ------- 15,112 ------- TOTAL CONSUMER DISCRETIONARY ............................... 56,683 ------- CONSUMER STAPLES - 4.03% BEVERAGES - 0.54% Diageo plc, ADR ......................................... 68,200 5,586 ------- FOOD & DRUG RETAILING - 0.18% Safeway, Inc. ........................................... 60,100 1,899 ------- FOOD PRODUCTS - 0.58% General Mills, Inc. ..................................... 11,900 719 Kraft Foods, Inc. ....................................... 169,945 5,375 ------- 6,094 -------
SHARES VALUE ------- ------- (DOLLARS IN THOUSANDS) TOBACCO - 2.73% Altria Group, Inc. ...................................... 166,800 $ 3,336 Imperial Tobacco Group plc, ADR ......................... 121,900 11,701 Philip Morris International, Inc. ## .................... 178,100 9,089 UST, Inc. + ............................................. 85,100 4,431 ------- 28,557 ------- TOTAL CONSUMER STAPLES ..................................... 42,136 ------- ENERGY - 6.40% OIL & GAS - 6.40% Chevron Corp. ........................................... 92,028 8,849 ConocoPhillips .......................................... 235,176 20,261 Devon Energy Corp. ...................................... 111,100 12,599 Duke Energy Corp. ....................................... 224,700 4,114 Occidental Petroleum Corp. .............................. 155,200 12,914 Royal Dutch Shell plc, ADR .............................. 82,900 6,607 Sunoco, Inc. ............................................ 31,100 1,443 ------- TOTAL ENERGY ............................................... 66,787 ------- FINANCIALS - 13.76% BANKS - 5.27% Bank of America Corp. ................................... 500,696 18,796 Comerica, Inc. .......................................... 39,700 1,379 KeyCorp ................................................. 36,100 871 National City Corp. ## .................................. 87,400 524 SunTrust Banks, Inc. .................................... 18,500 1,031 U.S. Bancorp ............................................ 111,260 3,771 Wachovia Corp. + ........................................ 335,800 9,789 Washington Mutual, Inc. ## .............................. 468,800 5,616 Washington Mutual, Inc. + ............................... 744,600 9,151 Wells Fargo & Co. ....................................... 138,000 4,105 ------- 55,033 ------- DIVERSIFIED FINANCIALS - 4.69% American Express Co. .................................... 12,100 581 Capital One Financial Corp. + ........................... 40,100 2,125 Citigroup, Inc. + ....................................... 532,842 13,465 Federal Home Loan Mortgage Corp. ........................ 206,700 5,149 Federal National Mortgage Association ................... 46,700 1,322 Goldman Sachs Group, Inc. ............................... 21,100 4,038 JP Morgan Chase & Co. ................................... 249,534 11,890 Merrill Lynch & Co., Inc. ............................... 87,000 4,335 Morgan Stanley Dean Witter & Co. ........................ 62,600 3,043 SLM Corp. ## + .......................................... 165,200 3,061 ------- 49,009 ------- INSURANCE - 3.80% ACE Ltd. ................................................ 77,800 4,690
See accompanying notes 25 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ------- ------- (DOLLARS IN THOUSANDS) Allstate Corp. .......................................... 22,500 $ 1,133 American International Group, Inc. ...................... 163,800 7,567 Conseco, Inc. ## ........................................ 95,500 1,113 Genworth Financial, Inc. ................................ 177,400 4,091 Hartford Financial Services Group, Inc. ................. 36,800 2,623 MetLife, Inc. ........................................... 109,880 6,686 Travelers Cos., Inc. .................................... 91,600 4,617 UnumProvident Corp. ..................................... 95,000 2,205 XL Capital Ltd. + ....................................... 142,000 4,954 ------- 39,679 ------- TOTAL FINANCIALS ........................................... 143,721 ------- HEALTH CARE - 5.73% HEALTH CARE EQUIPMENT & SUPPLIES - 0.57% Baxter International, Inc. .............................. 66,100 4,119 Covidien Ltd. ........................................... 39,225 1,832 ------- 5,951 ------- HEALTH CARE PROVIDERS & SERVICES - 0.93% Cigna Corp. ............................................. 104,100 4,446 UnitedHealth Group, Inc. ................................ 56,600 1,847 WellPoint, Inc. ## ...................................... 68,300 3,398 ------- 9,691 ------- PHARMACEUTICALS - 4.23% Amgen, Inc. ## .......................................... 11,400 477 AstraZeneca plc, ADR + .................................. 96,000 4,030 Bristol-Myers Squibb Co. ................................ 437,300 9,608 Eli Lilly & Co. ......................................... 92,400 4,448 Johnson & Johnson ....................................... 55,000 3,690 Merck & Co., Inc. ....................................... 28,900 1,099 Pfizer, Inc. ............................................ 607,700 12,221 Schering-Plough Corp. + ................................. 291,300 5,363 Wyeth Corp. ............................................. 72,100 3,206 ------- 44,142 ------- TOTAL HEALTH CARE .......................................... 59,784 ------- INDUSTRIALS - 7.58% AEROSPACE & DEFENSE - 1.69% Boeing Co. .............................................. 60,700 5,151 Northrop Grumman Corp. .................................. 45,700 3,362 Raytheon Co. ............................................ 78,900 5,047 United Technologies Corp. ............................... 56,100 4,066 ------- 17,626 ------- AIR FREIGHT & COURIERS - 0.45% FedEx Corp. ............................................. 48,600 4,659 -------
SHARES VALUE ------- ------- (DOLLARS IN THOUSANDS) INDUSTRIAL CONGLOMERATES - 3.11% 3M Co. .................................................. 54,900 $ 4,222 General Electric Co. .................................... 161,900 5,294 Honeywell International, Inc. ........................... 221,500 13,157 Textron, Inc. ........................................... 72,200 4,405 Tyco International Ltd. ................................. 116,125 5,434 ------- 32,512 ------- MACHINERY - 1.79% Caterpillar, Inc. + ..................................... 75,900 6,215 Illinois Tool Works, Inc. ............................... 143,900 7,524 ITT Industries, Inc. .................................... 77,000 4,928 ------- 18,667 ------- TRANSPORTATION INFRASTRUCTURE - 0.54% Burlington Northern Santa Fe Corp. ...................... 55,400 5,681 ------- TOTAL INDUSTRIALS .......................................... 79,145 ------- INFORMATION TECHNOLOGY - 6.28% COMMUNICATIONS EQUIPMENT - 0.48% Alcatel-Lucent, ADR + ................................... 329,900 2,200 Nokia Corp., ADR ........................................ 93,500 2,812 ------- 5,012 ------- COMPUTERS & PERIPHERALS - 2.38% Hewlett-Packard Co. ..................................... 206,800 9,585 International Business Machines Corp. ................... 126,900 15,317 ------- 24,902 ------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.79% Intel Corp. ............................................. 124,300 2,767 Tyco Electronics Ltd. ................................... 145,825 5,455 ------- 8,222 ------- IT CONSULTING & SERVICES - 0.87% Electronic Data Systems Corp. ........................... 490,100 9,096 ------- SOFTWARE - 1.76% CA, Inc. ................................................ 388,174 8,594 Microsoft Corp. ......................................... 244,700 6,979 Oracle Corp. ## ......................................... 132,600 2,765 ------- 18,338 ------- TOTAL INFORMATION TECHNOLOGY ............................... 65,570 ------- MATERIALS - 1.56% CHEMICALS - 1.56% Air Products & Chemicals, Inc. .......................... 31,200 3,071 Dow Chemical Co. ........................................ 56,500 2,268 E. I. du Pont de Nemours & Co. + ........................ 108,300 5,297 Eastman Chemical Co. + .................................. 46,800 3,440
See accompanying notes 26 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ------- ------- (DOLLARS IN THOUSANDS) PPG Industries, Inc. .................................... 36,700 $ 2,252 ------- TOTAL MATERIALS ............................................ 16,328 ------- TELECOMMUNICATION SERVICES - 2.56% DIVERSIFIED TELECOMMUNICATION - 2.56% AT&T, Inc. .............................................. 400,277 15,495 Fairpoint Communications, Inc. + ........................ 3,428 32 Verizon Communications, Inc. ............................ 290,628 11,183 ------- TOTAL TELECOMMUNICATION SERVICES ........................... 26,710 ------- UTILITIES - 3.04% ELECTRIC UTILITIES - 2.48% CenterPoint Energy, Inc. + .............................. 143,000 2,176 Dominion Resources, Inc. + .............................. 113,600 4,929 Entergy Corp. + ......................................... 64,100 7,362 Exelon Corp. ............................................ 93,400 7,984 FPL Group, Inc. ......................................... 29,700 1,969 Public Service Enterprise Group, Inc. ................... 35,200 1,546 ------- 25,966 ------- GAS UTILITIES - 0.56% Spectra Energy Corp. + .................................. 236,100 5,832 ------- TOTAL UTILITIES ............................................ 31,798 ------- TOTAL COMMON STOCKS ........................................ 588,662 ------- CONVERTIBLE PREFERRED STOCKS - 0.34% FINANCIALS - 0.34% BANKS - 0.34% National City Corp. ## .................................. 36 3,600 -------
PAR AMOUNT ------- CORPORATE OBLIGATIONS - 13.23% AEROSPACE & DEFENSE - 0.05% Raytheon Co., 5.375%, Due 4/1/2013 ....................................... $ 550 562 ------- BANKS - 2.09% Bank of America Corp., 5.375%, Due 6/15/2014 ................................... 425 432 7.80%, Due 9/15/2016 .................................... 900 1,022 6.00%, Due 9/1/2017 ..................................... 600 625 5.75%, Due 12/1/2017 .................................... 535 545 Bank of New York Mellon Corp., 4.95%, Due 11/1/2012 .................................... 355 360 Bank One Corp., 5.90%, Due 11/15/2011 ................................... 1,225 1,277
PAR AMOUNT VALUE ------- ------- (DOLLARS IN THOUSANDS) 4.90%, Due 4/30/2015 ................................. $ 550 $ 533 Citigroup, Inc., 5.125%, Due 2/14/2011 ................................ 2,500 2,508 6.125%, Due 11/21/2017 ............................... 1,055 1,071 Credit Suisse First Boston, 6.50%, Due 5/1/2008 + ++ ............................. 750 750 Fifth Third Bancorp, 8.25%, Due 3/1/2038 .................................. 1,275 1,347 ING Bank, NV, 5.125%, Due 5/1/2015 ++ .............................. 450 439 JP Morgan Chase & Co., 6.75%, Due 2/1/2011 .................................. 1,350 1,408 6.00%, Due 1/15/2018 ................................. 1,210 1,254 National City Bank, 4.50%, Due 3/15/2010 ................................. 1,600 1,521 Synovus Financial Corp., 4.875%, Due 2/15/2013 ................................ 550 520 Wachovia Corp., 5.30%, Due 10/15/2011 ................................ 500 502 5.70%, Due 8/1/2013 .................................. 405 405 5.75%, Due 2/1/2018 .................................. 340 339 Washington Mutual Finance Corp., 6.875%, Due 5/15/2011 ................................ 660 689 Washington Mutual, Inc., 8.25%, Due 4/1/2010 + ................................ 500 475 4.625%, Due 4/1/2014 ................................. 1,050 829 Wells Fargo & Co., 5.25%, Due 10/23/2012 ................................ 1,140 1,164 4.375%, Due 1/31/2013 ................................ 480 475 5.625%, Due 12/11/2017 ............................... 1,245 1,283 ------- 21,773 ------- BASIC MATERIALS - 0.03% Weyerhaeuser Co., 5.95%, Due 11/1/2008 ................................. 340 344 ------- COMMUNICATIONS - 0.97% Comcast Cable Communications Holdings, Inc., 8.375%, Due 3/15/2013 ................................ 1,050 1,176 Comcast Corp., 5.30%, Due 1/15/2014 ................................. 710 699 5.875%, Due 2/15/2018 ................................ 500 499 6.45%, Due 3/15/2037 ................................. 2,630 2,616 Time Warner Cable, Inc., 5.85%, Due 5/1/2017 .................................. 1,180 1,171 Verizon Communications, Inc., 6.40%, Due 2/15/2038 ................................. 350 356 6.90%, Due 4/15/2038 ................................. 708 767
See accompanying notes 27 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Viacom, Inc., 6.875%, Due 4/30/2036 ........................ $ 2,880 $ 2,885 ------------ 10,169 ------------ CONSUMER DISCRETIONARY - 0.34% Wal-Mart Stores, Inc., 4.55%, Due 5/1/2013 .......................... 790 800 7.55%, Due 2/15/2030 ......................... 500 578 6.50%, Due 8/15/2037 ......................... 1,340 1,422 6.20%, Due 4/15/2038 ......................... 781 795 ------------ 3,595 ------------ CONSUMER STAPLES - 0.22% Archer-Daniels-Midland Co., 6.45%, Due 1/15/2038 ......................... 350 363 Diageo Capital plc, 5.75%, Due 10/23/2017 ........................ 440 449 Dr Pepper Snapple Group, Inc., 6.82%, Due 5/1/2018 ++ ....................... 250 259 Kellogg Co., 4.25%, Due 3/6/2013 .......................... 500 492 Kraft Foods, Inc., 6.50%, Due 8/11/2017 ......................... 655 685 ------------ 2,248 ------------ ELECTRONIC COMPONENTS - 0.18% Tyco Electronics Group SA, 6.55%, Due 10/1/2017 ++ ...................... 1,292 1,323 7.125%, Due 10/1/2037 ++ ..................... 500 512 ------------ 1,835 ------------ ENERGY - 0.85% Apache Corp., 5.25%, Due 4/15/2013 ......................... 1,055 1,083 Canadian Natural Resources Ltd., 6.70%, Due 7/15/2011 ......................... 410 431 5.90%, Due 2/1/2018 .......................... 265 269 6.25%, Due 3/15/2038 ......................... 500 488 Consolidated Natural Gas Co., 6.00%, Due 10/15/2010 ........................ 495 515 EOG Resources, Inc., 4.75%, Due 3/15/2014 ++ ...................... 550 570 Marathon Oil Corp., 6.00%, Due 10/1/2017 ......................... 545 555 6.60%, Due 10/1/2037 ......................... 240 243 Transocean, Inc., 6.00%, Due 3/15/2018 ......................... 775 802 6.80%, Due 3/15/2038 ......................... 3,170 3,372 Weatherford International, Inc., 5.95%, Due 6/15/2012 ......................... 510 530 ------------ 8,858 ------------
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) FINANCE - 2.29% American Express Co., 8.15%, Due 3/19/2038 ......................... $ 325 $ 378 American General Finance Corp., 4.875%, Due 5/15/2010 ........................ 500 496 4.00%, Due 3/15/2011 ......................... 1,245 1,180 American Honda Finance Corp., 4.625%, Due 4/2/2013 ++ ...................... 650 639 Ameriprise Financial, Inc., 5.35%, Due 11/15/2010 ........................ 975 986 Bear Stearns Cos., Inc., 7.25%, Due 2/1/2018 .......................... 340 372 Capital One Financial Corp., 5.70%, Due 9/15/2011 + ....................... 490 478 Countrywide Home Loans, Inc., 4.00%, Due 3/22/2011 ......................... 140 128 Federal National Mortgage Association, 6.00%, Due 4/18/2036 + ....................... 5,065 5,366 General Electric Capital Corp., 4.375%, Due 3/3/2012 ......................... 995 990 5.65%, Due 6/9/2014 + ........................ 1,050 1,092 5.625%, Due 5/1/2018 ......................... 500 505 5.875%, Due 1/14/2038 ........................ 350 334 Goldman Sachs Group, Inc., 4.75%, Due 7/15/2013 ......................... 450 442 6.25%, Due 9/1/2017 .......................... 550 562 5.95%, Due 1/18/2018 ......................... 280 279 6.75%, Due 10/1/2037 ......................... 1,402 1,374 HSBC Finance Corp., 5.25%, Due 1/14/2011 ......................... 2,150 2,161 International Lease Finance Corp., 6.375%, Due 3/15/2009 ........................ 1,025 1,031 5.75%, Due 6/15/2011 ......................... 475 474 Lehman Brothers Holdings, Inc., 4.25%, Due 1/27/2010 ......................... 550 541 5.625%, Due 1/24/2013 ........................ 340 335 6.20%, Due 9/26/2014 ......................... 150 151 6.875%, Due 7/17/2037 ........................ 2,695 2,498 Merrill Lynch & Co., Inc., 5.45%, Due 2/5/2013 .......................... 340 331 6.875%, Due 4/25/2018 ........................ 330 333 6.11%, Due 1/29/2037 ......................... 500 422 ------------ 23,878 ------------ HEALTH CARE - 0.05% Covidien International Finance SA, 5.45%, Due 10/15/2012 ++ ..................... 360 363
See accompanying notes 28 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) 6.00%, Due 10/15/2017 ++ ..................... $ 180 $ 184 ------------ 547 ------------ INDUSTRIAL - 0.03% Koninklijke Philips Electronics NV, 5.75%, Due 3/11/2018 ......................... 335 344 ------------ INDUSTRIALS - 1.72% Burlington Northern Santa Fe Corp., 5.75%, Due 3/15/2018 ......................... 650 659 Canadian National Railway Co., 5.55%, Due 5/15/2018 ......................... 500 507 Caterpillar Financial Services Corp., 4.15%, Due 1/15/2010 ......................... 500 503 4.85%, Due 12/7/2012 ......................... 505 511 4.25%, Due 2/8/2013 .......................... 500 493 Con-way, Inc., 8.875%, Due 5/1/2010 ......................... 1,850 1,978 Covidien International Finance SA, 6.55%, Due 10/15/2037 ++ ..................... 578 591 CRH America, Inc., 6.00%, Due 9/30/2016 ......................... 985 926 Daimler Finance NA LLC, 7.75%, Due 1/18/2011 ......................... 1,000 1,069 5.875%, Due 3/15/2011 ........................ 450 461 5.75%, Due 9/8/2011 .......................... 550 564 Honeywell International, Inc., 4.25%, Due 3/1/2013 .......................... 500 497 John Deere Capital Corp., 4.125%, Due 1/15/2010 ........................ 1,250 1,256 5.40%, Due 10/17/2011 ........................ 655 677 Kraft Foods, Inc., 7.00%, Due 8/11/2037 ......................... 1,990 2,095 Masco Corp., 6.125%, Due 10/3/2016 ........................ 430 401 Nissan Motor Acceptance Corp., 5.625%, Due 3/14/2011 ++ ..................... 500 501 Norfolk Southern Corp., 5.75%, Due 4/1/2018 ++ ....................... 650 659 Starbucks Corp., 6.25%, Due 8/15/2017 ......................... 400 397 Target Corp., 6.50%, Due 10/15/2037 ........................ 445 448 Unilever Capital Corp., 7.125%, Due 11/1/2010 ........................ 2,000 2,170 Union Pacific Corp., 6.50%, Due 4/15/2012 ......................... 550 583 ------------ 17,946 ------------
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) INSURANCE - 1.33% Aegon Funding Corp., 5.75%, Due 12/15/2020 ........................ $ 450 $ 421 American International Group, Inc., 5.85%, Due 1/16/2018 ......................... 550 550 6.25%, Due 5/1/2036 .......................... 500 488 ASIF Global Financing, 3.90%, Due 10/22/2008 ++ ..................... 700 697 Hartford Financial Services Group, Inc., 5.25%, Due 10/15/2011 ........................ 1,250 1,267 5.375%, Due 3/15/2017 ........................ 685 668 John Hancock Global Funding II, 7.90%, Due 7/2/2010 ++ ....................... 1,500 1,642 Liberty Mutual Insurance Co., 7.875%, Due 10/15/2026 ++ .................... 1,500 1,675 Lincoln National Corp., 4.75%, Due 2/15/2014 ......................... 275 266 MetLife, Inc., 5.375%, Due 12/15/2012 ....................... 660 676 5.00%, Due 6/15/2015 ......................... 485 481 6.375%, Due 6/15/2034 ........................ 525 520 Metropolitan Life Global Funding I, 4.625%, Due 8/19/2010 ++ ..................... 1,200 1,219 Prudential Financial, Inc., 4.50%, Due 7/15/2013 ......................... 550 537 5.10%, Due 9/20/2014 ......................... 690 681 UnitedHealth Group, Inc., 6.625%, Due 11/15/2037 ....................... 1,821 1,717 Willis North America, Inc., 6.20%, Due 3/28/2017 ......................... 360 351 ------------ 13,856 ------------ PHARMACEUTICALS - 0.71% Abbott Laboratories, 6.15%, Due 11/30/2037 ........................ 447 465 AstraZeneca plc, 5.40%, Due 9/15/2012 ......................... 980 1,015 6.45%, Due 9/15/2037 ......................... 1,880 2,031 Biogen Idec, Inc., 6.875%, Due 3/1/2018 ......................... 900 888 Bristol-Myers Squibb Co., 5.45%, Due 5/1/2018 .......................... 250 253 6.125%, Due 5/1/2038 ......................... 875 883 Hospira, Inc., 6.05%, Due 3/30/2017 ......................... 360 353 Schering-Plough Corp., 6.75%, Due 12/1/2033 ......................... 600 616
See accompanying notes 29 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Wyeth Corp., 5.50%, Due 2/1/2014 .......................... $ 935 $ 960 ------------ 7,464 ------------ REAL ESTATE - 0.35% Equity Residential, 5.125%, Due 3/15/2016 ........................ 895 821 iStar Financial, Inc., 5.85%, Due 3/15/2017 + ....................... 750 622 ProLogis Trust, 5.50%, Due 4/1/2012 .......................... 450 440 5.625%, Due 11/15/2016 ....................... 550 512 Simon Property Group LP, 5.375%, Due 6/1/2011 ......................... 550 550 5.75%, Due 12/1/2015 ......................... 710 694 ------------ 3,639 ------------ TECHNOLOGY - 0.39% Cisco Systems, Inc., 5.25%, Due 2/22/2011 ......................... 550 568 Computer Sciences Corp., 5.50%, Due 3/15/2013 + ++ .................... 140 141 6.50%, Due 3/15/2018 ++ ...................... 495 511 Hewlett-Packard Co., 4.50%, Due 3/1/2013 .......................... 1,085 1,094 Oracle Corp., 4.95%, Due 4/15/2013 ......................... 455 463 6.50%, Due 4/15/2038 ......................... 970 1,002 Xerox Corp., 5.65%, Due 5/15/2013 ......................... 250 251 ------------ 4,030 ------------ TELEPHONE - 0.68% America Movil, S.A.B. de C.V., 6.375%, Due 3/1/2035 ......................... 500 490 AT&T, Inc., 5.10%, Due 9/15/2014 ......................... 1,335 1,339 5.625%, Due 6/15/2016 ........................ 550 558 5.50%, Due 2/1/2018 .......................... 425 425 6.80%, Due 5/15/2036 ......................... 250 263 Cingular Wireless Services, Inc., 7.875%, Due 3/1/2011 ......................... 550 595 8.75%, Due 3/1/2031 .......................... 445 548 Deutsche Telekom AG, 8.00%, Due 6/15/2010 ......................... 380 407 Nextel Communications, Inc., 6.875%, Due 10/31/2013 ....................... 615 507 Telecom Italia S.p.A., 4.00%, Due 11/15/2008 ........................ 580 577
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Telefonica Emisiones SAU, 5.984%, Due 6/20/2011 ........................ $ 380 $ 388 Verizon Communications, Inc., 5.50%, Due 4/1/2017 .......................... 500 502 Vodafone Group plc, 6.15%, Due 2/27/2037 + ....................... 500 492 ------------ 7,091 ------------ UTILITIES - 0.95% American Water Capital Corp., 6.593%, Due 10/15/2037 ++ .................... 1,492 1,436 Columbus Southern Power Co., 5.50%, Due 3/1/2013 .......................... 830 839 Dominion Resources, Inc., Series A, 5.60%, Due 11/15/2016 ................. 500 500 Duke Energy Carolinas LLC, 5.10%, Due 4/15/2018 ......................... 500 497 Duke Energy Indiana, Inc., 6.05%, Due 6/15/2016 ......................... 520 528 FPL Group Capital, Inc., 5.625%, Due 9/1/2011 ......................... 1,175 1,221 MidAmerican Energy Holdings Co., 5.875%, Due 10/1/2012 ........................ 1,070 1,115 6.125%, Due 4/1/2036 ......................... 500 499 Public Service Enterprise Group, Inc., 6.95%, Due 6/1/2012 .......................... 925 984 Southern Power Co., 6.25%, Due 7/15/2012 ......................... 690 728 Virginia Electric and Power Co., 5.40%, Due 4/30/2018 ......................... 500 495 Xcel Energy, Inc., 5.613%, Due 4/1/2017 ......................... 1,089 1,078 ------------ 9,920 ------------ TOTAL CORPORATE OBLIGATIONS ..................... 138,099 ------------ NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 2.04% COMMERCIAL MORTGAGE-BACKED SECURITY - 1.12% Banc of America Commercial Mortgage, Inc., 2005-6 A1, 5.001%, Due 9/10/2047 ............. 681 683 2007-2 A2, 5.634%, Due 4/10/2049 ............. 1,100 1,096 Bear Stearns Commercial Mortgage Securities, Inc., 2006-T22 A2, 5.631%, Due 4/12/2038 ........... 905 910 2004-PWR5 A4, 4.831%, Due 7/11/2042 .......... 2,010 1,961 2005-T20 A2, 5.127%, Due 10/12/2042 .......... 875 878 Citigroup Commercial Mortgage Trust, 2004-C2 A3, 4.38%, Due 10/15/2041 ............ 995 974
See accompanying notes 30 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) General Electric Capital Commercial Mortgage Corp., 2003-C2 A2, 4.17%, Due 7/10/2037 ................ $ 224 $ 223 JP Morgan Chase Commercial Mortgage Securities Corp., 2004-CBX A4, 4.529%, Due 1/12/2037 .............. 555 546 2005-LDP3 A1, 4.655%, Due 8/15/2042 ............. 237 237 2005-LDP4 A1, 4.613%, Due 10/15/2042 ............ 64 64 2005-LDP1 A2, 4.625%, Due 3/15/2046 ............. 1,035 1,031 2007-CB19 A4, 5.937%, Due 2/12/2049 ............. 800 794 2007-CB20 A2, 5.629%, Due 2/12/2051 ............. 1,050 1,045 LB-UBS Commercial Mortgage Trust, 2004-C1 A4, 5.424%, Due 2/15/2040 ............... 750 728 Wachovia Bank Commercial Mortgage Trust, 2007-C32 A2, 5.923%, Due 6/15/2049 .............. 530 531 ------------ 11,701 ------------ WHOLE LOAN COLLATERALIZED MORTGAGE OBLIGATIONS - 0.92% Banc of America Mortgage Securities, Inc., 2004-8 3A1, 5.25%, Due 10/25/2019 ............ 1,023 1,025 Chase Mortgage Finance Corp., 2006-A1 A1, 6.037%, Due 9/25/2036 # .......... 1,515 1,541 Citicorp Mortgage Securities, Inc., 2006-3 2A1, 5.50%, Due 6/25/2021 ............. 1,370 1,382 Countrywide Home Loan Mortgage Pass Through Trust, 2007-18 A1, 6.00%, Due 9/25/2037 ...... 1,544 1,500 Prime Mortgage Trust, 2005-2, 5.25%, Due 7/25/2020 ................. 1,814 1,830 Wells Fargo Mortgage Backed Securities Trust, 2006-11 A8, 6.00%, Due 9/25/2036 ............. 913 878 2007-7 A1, 6.00%, Due 6/25/2037 .............. 1,528 1,454 ------------ 9,610 ------------ TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS ....... 21,311 ------------ ASSET-BACKED SECURITIES - 0.61% American Express Credit Account Master Trust, 2006-2 A, 5.35%, Due 1/15/2014 ............... 2,150 2,192 Capital Auto Receivables Asset Trust, 2006-SN1A A4A, 5.32%, Due 3/20/2010 ++ ....... 1,500 1,513 Capital One Multi-Asset Execution Trust, 2006-A10 A10, 5.15%, Due 6/15/2014 ........... 1,600 1,615 Volkswagen Auto Loan Enhanced Trust, 2005-1 A4, 4.86%, Due 4/20/2012 .............. 1,000 1,008 ------------ TOTAL ASSET-BACKED SECURITIES ...................... 6,328 ------------
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 8.44% FEDERAL HOME LOAN MORTGAGE CORPORATION - 4.41% 5.50%, Due 8/1/2017 ............................. $ 67 $ 68 5.50%, Due 9/1/2017 ............................. 290 297 5.50%, Due 6/1/2018 ............................. 137 140 5.50%, Due 10/1/2018 ............................ 1,164 1,191 4.50%, Due 3/1/2019 ............................. 860 854 5.00%, Due 10/1/2020 ............................ 1,195 1,204 5.50%, Due 5/1/2021 ............................. 703 717 5.00%, Due 7/1/2021 ............................. 1,666 1,680 5.50%, Due 9/1/2021 ............................. 330 336 5.00%, Due 11/1/2021 ............................ 612 616 5.50%, Due 4/1/2022 ............................. 370 377 5.00%, Due 5/1/2022 ............................. 578 582 6.50%, Due 5/1/2029 ............................. 61 64 6.50%, Due 6/1/2029 ............................. 11 11 6.50%, Due 7/1/2029 ............................. 186 194 6.00%, Due 8/1/2029 ............................. 103 106 5.00%, Due 8/1/2033 ............................. 1,642 1,619 5.50%, Due 2/1/2034 ............................. 1,610 1,624 5.00%, Due 3/1/2034 ............................. 1,288 1,270 6.00%, Due 6/1/2034 ............................. 962 990 6.00%, Due 8/1/2034 ............................. 869 892 5.00%, Due 8/1/2035 ............................. 1,158 1,140 5.00%, Due 9/1/2035 ............................. 1,496 1,473 5.00%, Due 9/1/2035 ............................. 1,648 1,623 5.50%, Due 11/1/2036 ............................ 1,593 1,605 5.897%, Due 12/1/2036 # ......................... 1,953 1,995 5.839%, Due 1/1/2037 # .......................... 2,379 2,435 5.796%, Due 3/1/2037 # .......................... 1,440 1,468 5.256%, Due 4/1/2037 # .......................... 1,690 1,721 5.50%, Due 4/1/2037 ............................. 1,783 1,797 5.50%, Due 5/1/2037 ............................. 3,912 3,942 6.00%, Due 7/1/2037 ............................. 3,937 4,031 6.50%, Due 8/1/2037 ............................. 536 556 6.00%, Due 9/1/2037 ............................. 591 605 6.00%, Due 12/1/2037 ............................ 2,401 2,458 5.00%, Due 3/1/2038 ............................. 4,399 4,327 ------------ 46,008 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.48% 5.50%, Due 2/1/2014 ............................. 415 426 6.00%, Due 4/1/2016 ............................. 330 340 5.00%, Due 12/1/2017 ............................ 863 873 5.00%, Due 6/1/2018 ............................. 1,835 1,854 4.50%, Due 9/1/2018 ............................. 1,400 1,392 5.50%, Due 12/1/2018 ............................ 86 88 4.00%, Due 8/1/2020 ............................. 1,046 1,007
See accompanying notes 31 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) 5.50%, Due 4/1/2021 ............................. $ 1,113 $ 1,137 6.00%, Due 1/1/2029 ............................. 543 560 5.50%, Due 11/1/2033 ............................ 2,166 2,186 5.00%, Due 3/1/2034 ............................. 1,694 1,669 4.50%, Due 9/1/2034 ............................. 753 719 6.50%, Due 3/1/2035 ............................. 288 298 5.50%, Due 12/1/2035 ............................ 1,348 1,358 5.50%, Due 12/1/2035 ............................ 417 420 5.50%, Due 1/1/2036 ............................. 1,424 1,434 5.50%, Due 2/1/2036 ............................. 978 985 5.00%, Due 2/1/2036 ............................. 836 822 5.00%, Due 3/1/2036 ............................. 1,522 1,497 5.50%, Due 3/1/2036 ............................. 349 352 5.50%, Due 4/1/2036 ............................. 2,410 2,428 6.00%, Due 8/1/2036 ............................. 604 618 6.00%, Due 9/1/2036 ............................. 1,104 1,130 6.00%, Due 9/1/2036 ............................. 205 210 6.00%, Due 10/1/2036 ............................ 1,296 1,327 5.50%, Due 12/1/2036 ............................ 1,837 1,850 6.50%, Due 12/1/2036 ............................ 2,012 2,085 5.50%, Due 2/1/2037 ............................. 1,767 1,779 6.50%, Due 8/1/2037 ............................. 860 891 6.00%, Due 9/1/2037 ............................. 2,266 2,318 6.50%, Due 9/1/2037 ............................. 542 561 6.00%, Due 11/1/2037 ............................ 722 739 6.50%, Due 11/1/2037 ............................ 952 987 ------------ 36,340 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.55% 7.00%, Due 12/15/2025 ........................... 323 347 4.201%, Due 8/16/2026 ........................... 817 814 6.50%, Due 8/15/2027 ............................ 377 394 6.50%, Due 11/15/2027 ........................... 378 395 7.50%, Due 12/15/2028 ........................... 283 305 5.50%, Due 7/15/2033 ............................ 1,005 1,020 6.00%, Due 12/15/2033 ........................... 1,061 1,094 5.50%, Due 2/20/2034 ............................ 1,350 1,369 ------------ 5,738 ------------ TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS ...... 88,086 ------------ U.S. AGENCY OBLIGATIONS - 9.51% FEDERAL HOME LOAN BANK - 0.86% 5.00%, Due 10/16/2009 + ......................... 2,280 2,302 5.25%, Due 11/3/2009 ............................ 1,360 1,378 4.50%, Due 9/16/2013 ............................ 5,100 5,294 ------------ 8,974 ------------ FEDERAL HOME LOAN MORTGAGE CORPORATION - 6.62% Zero Coupon, Due 12/15/2008 ..................... 20,325 20,060
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) 5.25%, Due 2/24/2011 + .......................... $ 2,860 $ 2,923 5.125%, Due 4/18/2011 + ......................... 3,700 3,911 4.50%, Due 1/15/2015 + .......................... 34,290 35,345 5.40%, Due 3/17/2021 ............................ 2,740 2,888 6.00%, Due 12/15/2031 ........................... 2,195 2,261 6.25%, Due 7/15/2032 + .......................... 1,500 1,778 ------------ 69,166 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.03% 7.25%, Due 1/15/2010 ............................ 3,000 3,218 5.125%, Due 1/2/2014 ............................ 820 838 5.375%, Due 6/12/2017 + ......................... 2,650 2,864 6.25%, Due 5/15/2029 + .......................... 12,200 14,223 ------------ 21,143 ------------ TOTAL U.S. AGENCY OBLIGATIONS ...................... 99,283 ------------ U.S. TREASURY OBLIGATIONS - 3.30% 4.50%, Due 3/31/2012 + .......................... 1,760 1,868 2.75%, Due 2/28/2013 + .......................... 3,700 3,652 4.75%, Due 5/15/2014 + .......................... 9,810 10,665 4.125%, Due 5/15/2015 + ......................... 2,125 2,222 3.50%, Due 2/15/2018 + .......................... 4,445 4,350 9.125%, Due 5/15/2018 + ......................... 1,250 1,791 7.875%, Due 2/15/2021 + ......................... 1,200 1,623 6.25%, Due 8/15/2023 + .......................... 1,400 1,685 6.875%, Due 8/15/2025 + ......................... 1,580 2,034 5.25%, Due 11/15/2028 + ......................... 1,250 1,371 5.00%, Due 5/15/2037 + .......................... 2,900 3,143 ------------ TOTAL U.S. TREASURY OBLIGATIONS .................... 34,404 ------------
SHARES ---------- SHORT TERM INVESTMENTS - 5.84% American Beacon Money Market Select Fund Section ................................. 34,245,287 34,245
PAR AMOUNT ---------- U.S. Treasury Bill, 3.26%, Due 5/15/2008 + @ ........................ $ 24,000 23,991 1.23%, Due 6/12/2008 @ .......................... 2,780 2,776 ------------ TOTAL SHORT TERM INVESTMENTS ....................... 61,012 ------------
SHARES ----------- SECURITIES LENDING COLLATERAL - 18.68% American Beacon Cash Plus Trust Section ........ 157,087,445 157,088
See accompanying notes 32 AMERICAN BEACON BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) American Beacon Money Market Select Fund Section $38,016,115 $ 38,016 ------------ TOTAL SECURITIES LENDING COLLATERAL 195,104 ------------ TOTAL INVESTMENTS 118.36% - (COST $1,171,336) 1,235,889 LIABILITIES, NET OF OTHER ASSETS - (18.36%) (191,691) ------------ TOTAL NET ASSETS - 100.00% $ 1,044,198 ============
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, 2008. ++ 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 $15,624 or 1.50% 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. Section The Fund/Trust is affiliated by having the same investment advisor. @ At April 30, 2008, 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 .. 518 Jun 2008 $35,897 $1,260 ======= ======
See accompanying notes 33 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) COMMON STOCKS - 96.38% CONSUMER DISCRETIONARY - 11.55% AUTO COMPONENTS - 0.90% Johnson Controls, Inc. + ........................ 21,609 $ 762 ------------ EDUCATION & TRAINING SERVICES - 0.03% DeVry, Inc. + ................................... 500 28 ------------ HOTELS, RESTAURANTS & LEISURE - 2.76% McDonald's Corp. ................................ 25,559 1,523 Yum! Brands, Inc. + ............................. 19,891 809 ------------ 2,332 ------------ INTERNET & CATALOG RETAIL - 0.49% Amazon.com, Inc. ## + ........................... 3,500 275 eBay, Inc. ## ................................... 4,400 138 ------------ 413 ------------ MEDIA - 2.89% CBS Corp. + ..................................... 30,445 702 Liberty Media Holding Corp. ## .................. 1,200 18 Omnicom Group, Inc. + ........................... 16,708 798 Time Warner, Inc. + ............................. 62,000 921 ------------ 2,439 ------------ MULTILINE RETAIL - 1.19% BJ's Wholesale Club, Inc. ## + .................. 8,800 335 Costco Wholesale Corp. .......................... 8,800 627 Wal-Mart Stores, Inc. + ......................... 700 41 ------------ 1,003 ------------ SPECIALTY RETAIL - 3.29% Aeropostale, Inc. ## + .......................... 3,800 121 AutoNation, Inc. ## + ........................... 801 13 Best Buy Company, Inc. + ........................ 25,653 1,103 GameStop Corp. ## + ............................. 7,800 429 Nike, Inc. + .................................... 12,540 838 TJX Cos., Inc. .................................. 8,400 271 ------------ 2,775 ------------ TOTAL CONSUMER DISCRETIONARY ....................... 9,752 ------------ CONSUMER STAPLES - 8.60% BEVERAGES - 1.47% Coca-Cola Co. ................................... 11,692 688 Hansen Natural Corp. ## + ....................... 500 18 PepsiCo, Inc. ................................... 7,800 535 ------------ 1,241 ------------ FOOD & DRUG RETAILING - 1.79% CVS Caremark Corp. .............................. 2,500 101
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) The Kroger Co. + ................................ 40,837 $ 1,113 Ruddick Corp. + ................................. 4,000 155 Safeway, Inc. + ................................. 3,700 117 SUPERVALU, Inc. ................................. 700 23 ------------ 1,509 ------------ FOOD PRODUCTS - 1.74% Bunge Ltd. ## + ................................. 1,100 126 H.J. Heinz Co. + ................................ 15,763 741 Herbalife Ltd. + ................................ 6,600 289 Hormel Foods Corp. .............................. 600 24 Kellogg Co. ..................................... 100 5 Tyson Foods, Inc. ............................... 15,800 281 ------------ 1,466 ------------ HOUSEHOLD PRODUCTS - 0.85% Church & Dwight Co., Inc. + ..................... 500 28 Colgate-Palmolive Co. ........................... 9,136 646 The Procter & Gamble Co. ........................ 700 47 ------------ 721 ------------ PERSONAL PRODUCTS - 0.93% Alberto-Culver Co. .............................. 1,700 43 Avon Products, Inc. ............................. 19,082 744 ------------ 787 ------------ TOBACCO - 1.82% Altria Group, Inc. .............................. 14,600 292 Loews Corp. ..................................... 1,100 72 Philip Morris International, Inc. ## ............ 11,700 597 Universal Corp. + ............................... 1,700 109 UST, Inc. + ..................................... 8,900 464 ------------ 1,534 ------------ TOTAL CONSUMER STAPLES ............................. 7,258 ------------ ENERGY - 11.03% ENERGY EQUIPMENT & SERVICES - 7.24% Cameron International Corp. ## + ................ 16,934 834 Diamond Offshore Drilling, Inc. ................. 100 12 Dresser-Rand Group, Inc. ## ..................... 5,000 183 FMC Technologies, Inc. ## + ..................... 2,500 168 Global Industries Ltd. ## ....................... 23,400 373 Halliburton Co. + ............................... 34,458 1,582 National Oilwell Varco, Inc. ## + ............... 14,098 965 Oceaneering International, Inc. ## .............. 900 60 Patterson-UTI Energy, Inc. + .................... 100 3 Schlumberger Ltd. ............................... 8,760 881 SEACOR Holdings, Inc. ## + ...................... 900 77 Smith International, Inc. + ..................... 12,750 975 ------------ 6,113 ------------
See accompanying notes 34 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) OIL & GAS - 3.79% Anadarko Petroleum Corp. + ...................... 9,400 $ 626 Cabot Oil & Gas Corp. ........................... 1,800 102 Denbury Resources, Inc. ## ...................... 1,900 58 Exterran Holdings, Inc. ## + .................... 1,600 107 Exxon Mobil Corp. ............................... 7,400 689 Murphy Oil Corp. + .............................. 10,099 912 Noble Energy, Inc. .............................. 100 9 Occidental Petroleum Corp. ...................... 500 42 Pioneer Natural Resources Co. + ................. 700 40 Ultra Petroleum Corp. ## ........................ 1,200 100 Valero Energy Corp. ............................. 8,500 415 W&T Offshore, Inc. + ............................ 2,500 102 ------------ 3,202 ------------ TOTAL ENERGY ....................................... 9,315 ------------ FINANCIALS - 5.19% BANKS - 0.39% Bank of America Corp. ........................... 6,100 229 Bank of New York Mellon Corp. ................... 1,800 79 Hudson City Bancorp, Inc. ....................... 900 17 ------------ 325 ------------ DIVERSIFIED FINANCIALS - 1.49% Alliance Data Systems Corp. ## .................. 200 12 Blackrock, Inc. + ............................... 800 161 Capital One Financial Corp. + ................... 800 42 Eaton Vance Corp. + ............................. 4,100 150 Federated Investors, Inc. ....................... 1,000 33 Mastercard, Inc. + .............................. 700 195 State Street Corp. + ............................ 8,825 637 The Western Union Co. ........................... 1,000 23 ------------ 1,253 ------------ INSURANCE - 1.71% American International Group, Inc. .............. 12,896 596 Arch Capital Group Ltd. ## ...................... 100 7 Axis Capital Holdings Ltd. ...................... 2,000 68 Berkshire Hathaway, Inc. ## ..................... 1 134 Prudential Financial, Inc. ...................... 8,485 642 ------------ 1,447 ------------ REAL ESTATE - 1.60% AvalonBay Communities, Inc. + ................... 300 30 Equity Residential .............................. 300 12 Federal Realty Investment Trust + ............... 900 74 Jones Lang LaSalle, Inc. ........................ 700 54 Macerich Co. .................................... 500 37 ProLogis ........................................ 16,600 1,039
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Ventas, Inc. .................................... 2,200 $ 107 ------------ 1,353 ------------ TOTAL FINANCIALS ................................... 4,378 ------------ HEALTH CARE - 14.73% BIOTECHNOLOGY - 2.56% Biogen Idec, Inc. ## + .......................... 15,000 910 Genentech, Inc. ## .............................. 200 14 Gilead Sciences, Inc. ## + ...................... 20,297 1,050 Idexx Laboratories, Inc. ## + ................... 200 11 Invitrogen Corp. ## + ........................... 1,900 178 ------------ 2,163 ------------ HEALTH CARE EQUIPMENT & SUPPLIES - 2.41% Baxter International, Inc. ...................... 11,000 685 Beckman Coulter, Inc. ........................... 1,200 82 Becton, Dickinson & Co. ......................... 8,017 717 Boston Scientific Corp. ## ...................... 4,700 63 Covidien Ltd. ................................... 1,700 79 Intuitive Surgical, Inc. ## + ................... 200 58 Kinetic Concepts, Inc. ## + ..................... 4,000 159 Medtronic, Inc. + ............................... 3,300 161 STERIS Corp. .................................... 200 5 Varian Medical Systems, Inc. ## + ............... 500 23 ------------ 2,032 ------------ HEALTH CARE PROVIDERS & SERVICES - 2.52% AmerisourceBergen Corp. ......................... 9,100 369 Express Scripts, Inc. ## ........................ 15,571 1,090 Laboratory Corp. of America Holdings ## + ....... 8,870 671 ------------ 2,130 ------------ PHARMACEUTICALS - 7.24% Abbott Laboratories ............................. 15,018 792 Amgen, Inc. ## .................................. 8,200 344 Eli Lilly & Co. + ............................... 21,137 1,018 Johnson & Johnson ............................... 10,584 710 Medco Health Solutions, Inc. ## + ............... 21,400 1,060 Merck & Co., Inc. ............................... 15,700 597 Pfizer, Inc. .................................... 41,800 841 Watson Pharmaceuticals, Inc. ## + ............... 1,100 34 Wyeth Corp. ..................................... 16,037 713 ------------ 6,109 ------------ TOTAL HEALTH CARE .................................. 12,434 ------------ INDUSTRIALS - 16.37% AEROSPACE & DEFENSE - 6.38% Boeing Co. ...................................... 12,955 1,099 General Dynamics Corp. .......................... 9,214 833
See accompanying notes 35 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Goodrich Corp. .................................. 11,208 $ 764 Lockheed Martin Corp. ........................... 9,823 1,042 Northrop Grumman Corp. .......................... 11,900 875 Raytheon Co. + .................................. 900 58 United Technologies Corp. ....................... 9,881 716 ------------ 5,387 ------------ COMMERCIAL SERVICES & SUPPLIES - 0.88% Apollo Group, Inc. ## ........................... 10,600 540 Global Payments, Inc. ## + ...................... 1,000 44 Herman Miller, Inc. + ........................... 600 14 Hewitt Associates, Inc. ## ...................... 1,200 49 Manpower, Inc. + ................................ 1,400 94 ------------ 741 ------------ CONSTRUCTION & ENGINEERING - 0.78% Fluor Corp. + ................................... 400 61 KBR, Inc. + ..................................... 5,300 153 McDermott International, Inc. ## ................ 8,400 450 ------------ 664 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.29% Emerson Electric Co. ............................ 14,426 754 Energizer Holdings, Inc. ## ..................... 1,400 111 PerkinElmer, Inc. ............................... 100 3 Rockwell Automation, Inc. + ..................... 4,100 222 ------------ 1,090 ------------ INDUSTRIAL CONGLOMERATES - 2.31% 3M Co. .......................................... 10,968 844 Honeywell International, Inc. ................... 16,696 992 Tyco International Ltd. ......................... 2,400 112 ------------ 1,948 ------------ MACHINERY - 3.88% AGCO Corp. ## + ................................. 10,600 637 Caterpillar, Inc. ............................... 2,500 205 Flowserve Corp. ................................. 600 74 Illinois Tool Works, Inc. + ..................... 14,480 757 Ingersoll-Rand Co. Ltd. + ....................... 10,100 448 Joy Global, Inc. ................................ 1,700 126 Reliance Steel & Aluminum Co. + ................. 300 18 SPX Corp. ....................................... 200 25 Terex Corp. ## + ................................ 14,186 989 ------------ 3,279 ------------ ROAD & RAIL - 0.83% JB Hunt Transport Services, Inc. + .............. 14,400 489 Landstar System, Inc. ........................... 2,000 104 Werner Enterprises, Inc. + ...................... 5,400 105 ------------ 698 ------------
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) TRADING COMPANIES & DISTRIBUTORS - 0.02% W.W. Grainger, Inc. + ........................... 200 $ 17 ------------ TOTAL INDUSTRIALS .................................. 13,824 ------------ INFORMATION TECHNOLOGY - 21.85% COMMUNICATIONS EQUIPMENT - 3.37% Adtran, Inc. .................................... 200 5 Cisco Systems, Inc. ## .......................... 41,457 1,063 Harris Corp. + .................................. 13,505 730 Juniper Networks, Inc. ## + ..................... 36,300 1,002 Qualcomm, Inc. ## ............................... 1,000 43 ------------ 2,843 ------------ COMPUTERS & PERIPHERALS - 7.01% Apple Computer, Inc. ## ......................... 5,000 870 Dell, Inc. ## ................................... 47,118 878 EMC Corp. ## .................................... 13,300 205 Hewlett-Packard Co. ............................. 25,079 1,162 International Business Machines Corp. ........... 7,354 888 NVIDIA Corp. ## + ............................... 35,462 729 Seagate Technology + ............................ 49,495 934 Teradata Corp. ## ............................... 2,700 57 Western Digital Corp. ## + ...................... 6,700 194 ------------ 5,917 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.29% Agilent Technologies, Inc. ## + ................. 3,800 115 Avnet, Inc. ## + ................................ 1,100 29 Intel Corp. ..................................... 1,100 24 Tyco Electronics Ltd. ........................... 2,000 75 ------------ 243 ------------ INTERNET SOFTWARE & SERVICES - 0.73% Google, Inc. ## ................................. 500 287 VeriSign, Inc. ## + ............................. 3,900 141 Yahoo! Inc. ## + ................................ 6,800 186 ------------ 614 ------------ IT CONSULTING & SERVICES - 1.39% Accenture Ltd. + ................................ 29,124 1,094 Electronic Data Systems Corp. + ................. 500 9 MPS Group, Inc. ## .............................. 1,100 12 Tech Data Corp. ## .............................. 1,900 64 ------------ 1,179 ------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS - 3.80% Analog Devices, Inc. ............................ 12,900 415 Lam Research Corp. ## + ......................... 17,687 722 MEMC Electronic Materials, Inc. ## .............. 13,400 844 National Semiconductor Corp. + .................. 2,300 47 QLogic Corp. ## ................................. 5,800 93
See accompanying notes 36 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Texas Instruments, Inc. + ....................... 37,400 $ 1,091 ------------ 3,212 ------------ SOFTWARE - 5.26% Activision, Inc. ## ............................. 6,200 168 Advent Software, Inc. ## + ...................... 4,000 159 Amdocs Ltd. ## .................................. 1,000 31 CA, Inc. + ...................................... 3,600 80 DST Systems, Inc. ## + .......................... 200 12 Microsoft Corp. ................................. 90,581 2,583 Oracle Corp. ## ................................. 34,126 712 Salesforce.com, Inc. ## + ....................... 900 60 Symantec Corp. ## ............................... 24,800 427 Synopsys, Inc. ## ............................... 9,100 210 ------------ 4,442 ------------ TOTAL INFORMATION TECHNOLOGY ....................... 18,450 ------------ MATERIALS - 4.99% CHEMICALS - 2.25% Celanese Corp. + ................................ 3,200 143 CF Industries Holdings, Inc. + .................. 2,000 267 FMC Corp. + ..................................... 500 31 Lubrizol Corp. .................................. 400 23 Minerals Technologies, Inc. + ................... 1,200 81 Monsanto Co. .................................... 1,100 126 The Mosaic Co. ## ............................... 2,600 319 Praxair, Inc. + ................................. 8,291 757 Scotts Miracle-Gro Co. + ........................ 200 7 Terra Industries, Inc. ## + ..................... 3,800 144 ------------ 1,898 ------------ CONTAINERS & PACKAGING - 0.13% Owens-Illinois, Inc. ## ......................... 2,000 111 ------------ METALS & MINING - 2.61% Freeport-McMoRan Copper & Gold, Inc. + .......... 7,702 876 Nucor Corp. ..................................... 12,928 976 Southern Copper Corp. + ......................... 2,700 310 Worthington Industries, Inc. + .................. 2,500 45 ------------ 2,207 ------------ TOTAL MATERIALS .................................... 4,216 ------------ TELECOMMUNICATION SERVICES - 1.13% DIVERSIFIED TELECOMMUNICATION - 1.13% AT&T, Inc. ...................................... 23,608 914 Embarq Corp. + .................................. 900 37 ------------ TOTAL TELECOMMUNICATION SERVICES ................... 951 ------------
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) UTILITIES - 0.94% ELECTRIC UTILITIES - 0.94% Reliant Energy, Inc. ## ......................... 30,925 $ 796 ------------ TOTAL COMMON STOCKS ................................ 81,374 ------------ SHORT TERM INVESTMENTS - 3.59% American Beacon Money Market Select Fund ++ ...................................... 2,795,999 2,796
PAR AMOUNT ---------- United States Treasury Bill, 1.32%, Due 6/12/2008 # ....................... $ 239 238 ------------ TOTAL SHORT TERM INVESTMENTS ....................... 3,034 ------------
SHARES ---------- SECURITIES LENDING COLLATERAL - 24.42% American Beacon Cash Plus Trust ++ .............. 16,597,157 16,597 American Beacon Money Market Select Fund ++ ..... 4,016,613 4,017 ------------ TOTAL SECURITIES LENDING COLLATERAL ................ 20,614 ------------ TOTAL INVESTMENTS 124.39% - (COST $100,817) ........ 105,022 LIABILITIES, NET OF OTHER ASSETS - (24.39%) ........ (20,595) ------------ TOTAL NET ASSETS - 100.00% ......................... $ 84,427 ============
See accompanying notes 37 AMERICAN BEACON LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS April 30, 2008 (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, 2008. ++ The Fund/Trust is affiliated by having the same investment advisor. # At April 30, 2008, 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 .. 41 Jun 2008 $2,841 $57 ====== ===
See accompanying notes 38 AMERICAN BEACON MID-CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) COMMON STOCKS - 91.71% CONSUMER DISCRETIONARY - 21.16% AUTO COMPONENTS - 3.97% Advance Auto Parts, Inc. + ..................... 26,800 $ 930 Lear Corp. ## + ................................ 59,200 1,691 Magna International, Inc. ...................... 14,550 1,086 ------------ 3,707 ------------ HOTELS, RESTAURANTS & LEISURE - 1.48% Royal Caribbean Cruises Ltd. + ................. 43,400 1,385 ------------ HOUSEHOLD DURABLES - 4.88% Black & Decker Corp. + ......................... 23,950 1,572 Stanley Works + ................................ 30,900 1,491 Whirlpool Corp. + .............................. 20,625 1,501 ------------ 4,564 ------------ MEDIA - 0.14% Idearc, Inc. + ................................. 40,100 132 ------------ MULTILINE RETAIL - 1.05% J.C. Penney Company, Inc. ...................... 11,800 501 Kohl's Corp. ## + .............................. 9,775 478 ------------ 979 ------------ SPECIALTY RETAIL - 9.11% Family Dollar Stores, Inc. + ................... 69,400 1,485 Hanesbrands, Inc. ## + ......................... 40,700 1,425 Office Depot, Inc. ## + ........................ 32,600 413 Regis Corp. + .................................. 53,000 1,548 Rent-A-Center, Inc. ## + ....................... 95,375 2,054 Sherwin-Williams Co. + ......................... 17,100 946 TJX Cos., Inc. + ............................... 19,875 640 ------------ 8,511 ------------ TEXTILES & APPAREL - 0.53% Sealy Corp. + .................................. 80,525 491 ------------ TOTAL CONSUMER DISCRETIONARY ...................... 19,769 ------------ CONSUMER STAPLES - 5.46% FOOD PRODUCTS - 1.70% Del Monte Foods Co. + .......................... 176,100 1,588 ------------ TOBACCO - 3.76% Loews Corp. + .................................. 21,000 1,379 Reynolds American, Inc. + ...................... 28,000 1,508
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) UST, Inc. + .................................... 12,100 $ 630 ------------ 3,517 ------------ TOTAL CONSUMER STAPLES ............................ 5,105 ------------ ENERGY - 4.06% OIL & GAS - 4.06% El Paso Corp. + ................................ 95,000 1,629 Murphy Oil Corp. + ............................. 24,000 2,168 ------------ TOTAL ENERGY ...................................... 3,797 ------------ FINANCIALS - 23.64% BANKS - 5.39% Comerica, Inc. + ............................... 34,425 1,196 New York Community Bancorp, Inc. + ............. 30,000 560 People's United Financial, Inc. + .............. 92,254 1,565 Popular, Inc. + ................................ 41,750 521 UnionBanCal Corp. + ............................ 22,725 1,193 ------------ 5,035 ------------ DIVERSIFIED FINANCIALS - 3.53% CIT Group, Inc. + .............................. 26,700 291 Countrywide Financial Corp. + .................. 63,600 367 Federal Home Loan Mortgage Corp. ............... 64,850 1,615 SLM Corp. ## + ................................. 55,300 1,025 ------------ 3,298 \ ------------ INSURANCE - 11.70% Axis Capital Holdings Ltd. + ................... 28,700 973 Conseco, Inc. ## + ............................. 57,300 667 Delphi Financial Group, Inc. + ................. 18,800 512 First American Corp. ........................... 16,975 557 IPC Holdings Ltd. + ............................ 34,000 990 Old Republic International Corp. + ............. 80,387 1,154 Protective Life Corp. + ........................ 39,450 1,681 RenaissanceRe Holdings Ltd. + .................. 23,325 1,200 Torchmark Corp. ................................ 22,375 1,449 Willis Group Holdings Ltd. ..................... 32,200 1,119 XL Capital Ltd. + .............................. 18,125 632 ------------ 10,934 ------------ REAL ESTATE - 3.02% Annaly Capital Management, Inc. ................ 90,000 1,509 First Industrial Realty Trust, Inc. + .......... 43,400 1,311 ------------ 2,820 ------------ TOTAL FINANCIALS .................................. 22,087 ------------
See accompanying notes 39 AMERICAN BEACON MID-CAP VALUE FUND . SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) HEALTH CARE - 8.19% HEALTH CARE EQUIPMENT & SUPPLIES - 2.39% Hill-Rom Holdings, Inc. + ...................... 27,375 $ 688 IMS Health, Inc. + ............................. 62,400 1,544 ------------ 2,232 ------------ HEALTH CARE PROVIDERS & SERVICES - 5.80% AmerisourceBergen Corp. ........................ 35,875 1,455 Cigna Corp. + .................................. 15,900 679 Coventry Health Care, Inc. ## + ................ 23,100 1,033 Omnicare, Inc. + ............................... 59,200 1,205 Quest Diagnostics, Inc. + ...................... 21,000 1,054 ------------ 5,426 ------------ TOTAL HEALTH CARE ................................. 7,658 ------------ INDUSTRIALS - 13.44% AEROSPACE & DEFENSE - 4.62% Goodrich Corp. + ............................... 21,500 1,465 L-3 Communications Holdings, Inc. .............. 25,625 2,856 ------------ 4,321 ------------ COMMERCIAL SERVICES & SUPPLIES - 4.52% Avery Dennison Corp. ........................... 31,700 1,528 Con-way, Inc. + ................................ 13,000 601 Kelly Services, Inc. + ......................... 46,200 1,028 Pitney Bowes, Inc. + ........................... 18,200 657 United Stationers, Inc. ## + ................... 9,275 409 ------------ 4,223 ------------ FREIGHT TRANSPORTATION - 1.98% Ryder System, Inc. ............................. 27,000 1,849 ------------ MACHINERY - 2.32% Brady Corp. + .................................. 18,850 640 Briggs & Stratton Corp. + ...................... 27,900 424 ITT Industries, Inc. ........................... 17,200 1,101 ------------ 2,165 ------------ TOTAL INDUSTRIALS ................................. 12,558 ------------ INFORMATION TECHNOLOGY - 7.79% COMMUNICATIONS EQUIPMENT - 2.65% Alcatel-Lucent, ADR + .......................... 370,748 2,473 ------------ IT CONSULTING & SERVICES - 3.77% Affiliated Computer Services, Inc. ## + ........ 29,600 1,568 Computer Sciences Corp. ## + ................... 29,800 1,299 Tech Data Corp. ## ............................. 19,575 658 ------------ 3,525 ------------
SHARES VALUE ----------- ------------ (DOLLARS IN THOUSANDS) SOFTWARE - 1.37% CA, Inc. + ..................................... 57,750 $ 1,278 TOTAL INFORMATION TECHNOLOGY ...................... 7,276 UTILITIES - 7.97% ELECTRIC UTILITIES - 5.23% CenterPoint Energy, Inc. + ..................... 66,600 1,013 Pinnacle West Capital Corp. + .................. 29,200 991 Wisconsin Energy Corp. + ....................... 31,325 1,487 Xcel Energy, Inc. + ............................ 67,100 1,396 ------------ 4,887 ------------ GAS UTILITIES - 2.74% MDU Resources Group, Inc. ...................... 57,850 1,670 Sempra Energy + ................................ 15,725 891 ------------ 2,561 ------------ TOTAL UTILITIES ................................... 7,448 ------------ TOTAL COMMON STOCKS ............................... 85,698 ------------ SHORT TERM INVESTMENTS - 8.46% American Beacon Money Market Select Fund ++ ........................................ 7,458,407 7,459 ------------
PAR AMOUNT ----------- U.S. Treasury Bill, 1.30%, Due 6/12/2008 # ...................... $ 447 446 ------------ TOTAL SHORT TERM INVESTMENTS ...................... 7,905 ------------
SHARES ----------- SECURITIES LENDING COLLATERAL - 14.49% American Beacon Cash Plus Trust ++ ............. 10,898,571 10,899 American Beacon Money Market Select Fund ++ ..................................... 2,637,520 2,637 ------------ TOTAL SECURITIES LENDING COLLATERAL ............... 13,536 ------------ TOTAL INVESTMENTS 114.66% - (COST $118,140) ....... 107,139 LIABILITIES, NET OF OTHER ASSETS - (14.66%) ....... (13,699) ------------ TOTAL NET ASSETS - 100.00% ........................ $ 93,440 ============
See accompanying notes 40 AMERICAN BEACON MID-CAP VALUE FUND . SCHEDULE OF INVESTMENTS April 30, 2008 (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, 2008. ++ The Fund/Trust is affiliated by having the same investment advisor. # At April 30, 2008, 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 94 Jun 2008 $7,897 $549 ====== ====
See accompanying notes 41 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) COMMON STOCKS - 96.83% CONSUMER DISCRETIONARY - 11.20% AUTO COMPONENTS - 0.41% Aftermarket Technology Corp. ## ................. 1,575 $ 36 ------------ HOTELS, RESTAURANTS & LEISURE - 1.38% Bob Evans Farms, Inc. + ......................... 1,945 54 Jack in the Box, Inc. ## ........................ 2,492 67 ------------ 121 ------------ HOUSEHOLD DURABLES - 2.10% CSS Industries, Inc. ............................ 715 23 Ethan Allen Interiors, Inc. + ................... 1,204 33 Tupperware Corp. ................................ 3,279 129 ------------ 185 ------------ INTERNET & CATALOG RETAIL - 0.50% Insight Enterprises, Inc. ## .................... 3,679 44 ------------ LEISURE EQUIPMENT & PRODUCTS - 1.46% Callaway Golf Co. + ............................. 2,825 39 Polaris Industries, Inc. + ...................... 1,110 51 Scholastic Corp. ## + ........................... 1,340 38 ------------ 128 ------------ SPECIALTY RETAIL - 1.79% Collective Brands, Inc. ## + .................... 3,220 40 Gymboree Corp. ## ............................... 900 39 Men's Wearhouse, Inc. + ......................... 775 20 Regis Corp. + ................................... 2,009 59 ------------ 158 ------------ TEXTILES & APPAREL - 3.56% Brown Shoe Company, Inc. ........................ 2,569 43 Movado Group, Inc. + ............................ 1,935 42 Perry Ellis International, Inc. ## .............. 3,184 73 Unifirst Corp. .................................. 1,746 82 Warnaco Group, Inc. ## + ........................ 1,606 74 ------------ 314 ------------ TOTAL CONSUMER DISCRETIONARY ....................... 986 ------------ CONSUMER STAPLES - 4.64% FOOD & DRUG RETAILING - 2.66% Casey's General Stores, Inc. + .................. 2,170 48 Longs Drug Stores Corp. ......................... 818 33 Ruddick Corp. + ................................. 2,550 99 Spartan Stores, Inc. + .......................... 2,638 55 ------------ 235 ------------
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) FOOD PRODUCTS - 0.92% Fresh Del Monte Produce, Inc. ## ................ 940 $ 30 Sensient Technologies Corp. + ................... 1,710 51 ------------ 81 ------------ PERSONAL PRODUCTS - 0.61% Elizabeth Arden, Inc. ## ........................ 2,914 54 ------------ TOBACCO - 0.45% Universal Corp. + ............................... 615 39 ------------ TOTAL CONSUMER STAPLES ............................. 409 ------------ ENERGY - 6.14% ENERGY EQUIPMENT & SERVICES - 4.45% Grey Wolf, Inc. ## + ............................ 8,123 51 Gulfmark Offshore, Inc. ## + .................... 964 58 Oil States International, Inc. ## + ............. 2,039 102 Parker Drilling Co. ## + ........................ 11,423 91 Trico Marine Services, Inc. ## + ................ 2,365 89 ------------ 391 ------------ OIL & GAS - 1.69% Comstock Resources, Inc. ## ..................... 1,625 74 Swift Energy Co. ## ............................. 1,439 75 ------------ 149 ------------ TOTAL ENERGY ....................................... 540 ------------ FINANCIALS - 29.19% BANKS - 10.27% Banco Latinoamericano de Exportaciones S.A ............................................. 2,068 39 Boston Private Financial Holdings, Inc. + ....... 2,870 27 Brookline Bancorp, Inc. + ....................... 4,670 51 Central Pacific Financial Corp. + ............... 2,289 42 Columbia Banking System, Inc. ................... 700 19 Community Bank System, Inc. + ................... 2,639 67 CVB Financial Corp. ............................. 3,800 44 Dime Community Bancshares, Inc. ................. 2,400 45 First Community Bancorp, Inc. + ................. 929 20 First Niagara Financial Group, Inc. + ........... 4,201 61 FirstMerit Corp. + .............................. 2,355 48 Lakeland Financial Corp. ........................ 1,100 26 National Penn Bancshares, Inc. + ................ 4,458 75 Preferred Bank + ................................ 1,204 14 Simmons First National Corp. .................... 900 29 South Financial Group, Inc. + ................... 2,219 13 Sterling Bancshares, Inc. + ..................... 2,686 28 Sterling Financial Corp. + ...................... 2,634 32
See accompanying notes 42 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Susquehanna Bancshares, Inc. + .................. 2,430 $ 48 SVB Financial Group ## + ........................ 1,394 68 UMB Financial Corp. + ........................... 2,200 109 ------------ 905 ------------ DIVERSIFIED FINANCIALS - 2.75% Advanta Corp., Class B Shares + ................. 2,650 23 Cash America International, Inc. ................ 1,570 64 GAMCO Investors, Inc. ........................... 527 24 SWS Group, Inc. + ............................... 2,974 39 Texas Capital Bancshares, Inc. ## + ............. 2,575 48 World Acceptance Corp. ## + ..................... 1,116 44 ------------ 242 ------------ INSURANCE - 8.17% Argo Group International Holdings Ltd. ## + ..... 2,006 72 Aspen Insurance Holdings Ltd. ................... 1,559 41 Delphi Financial Group, Inc. + .................. 2,545 69 FPIC Insurance Group, Inc. ## + ................. 639 30 Harleysville Group, Inc. ........................ 2,456 90 LandAmerica Financial Group, Inc. + ............. 775 22 Max Capital Group Ltd. + ........................ 890 21 Navigators Group, Inc. ## + ..................... 1,771 87 Phoenix Cos., Inc. + ............................ 2,003 26 Platinum Underwriters Holdings Ltd. ............. 1,240 44 ProAssurance Corp. ## + ......................... 1,364 72 SeaBright Insurance Holdings, Inc. ## ........... 4,339 67 Selective Insurance Group, Inc. + ............... 2,914 62 Stewart Information Services Corp. + ............ 699 17 ------------ 720 ------------ REAL ESTATE - 8.00% Ashford Hospitality Trust, Inc. + ............... 6,533 38 DiamondRock Hospitality Co. + ................... 4,873 62 EastGroup Properties, Inc. ...................... 770 37 Entertainment Properties Trust .................. 589 31 Equity Lifestyle Properties, Inc. ............... 640 32 Extra Space Storage, Inc. + ..................... 2,780 47 FelCor Lodging Trust, Inc. ...................... 2,510 31 LaSalle Hotel Properties + ...................... 2,344 75 Lexington Realty Trust + ........................ 3,414 49 Nationwide Health Properties, Inc. + ............ 1,506 54 PS Business Parks, Inc. ......................... 589 34 Senior Housing Properties Trust + ............... 3,124 75 Strategic Hotel Capital, Inc. + ................. 3,544 51 Sunstone Hotel Investors, Inc. + ................ 3,039 57
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Tanger Factory Outlet Centers, Inc. + .............. 775 $ 31 ------------ 704 ------------ TOTAL FINANCIALS ................................... 2,571 ------------ HEALTH CARE - 5.92% HEALTH CARE EQUIPMENT & SUPPLIES - 0.82% STERIS Corp. + .................................. 2,609 72 ------------ HEALTH CARE PROVIDERS & SERVICES - 4.20% Centene Corp. ## + .............................. 2,384 44 Gentiva Health Services, Inc. ## ................ 2,444 53 Molina Healthcare, Inc. ## + .................... 1,270 31 Owens & Minor, Inc. + ........................... 1,850 84 PSS World Medical, Inc. ## + .................... 2,785 46 Res-Care, Inc. ## ............................... 3,840 63 Stewart Enterprises, Inc. + ..................... 7,175 49 ------------ 370 ------------ PHARMACEUTICALS - 0.90% Sciele Pharma, Inc. ## + ........................ 4,099 79 ------------ TOTAL HEALTH CARE .................................. 521 ------------ INDUSTRIALS - 13.86% AEROSPACE & DEFENSE - 0.15% Cubic Corp. ..................................... 491 13 ------------ BUILDING PRODUCTS - 0.78% Lennox International, Inc. ...................... 2,060 68 ------------ COMMERCIAL SERVICES & SUPPLIES - 4.55% ABM Industries, Inc. + .......................... 1,714 36 Atlas Air Worldwide Holdings, Inc. ## + ......... 906 55 Bowne & Co., Inc. + ............................. 1,178 20 Consolidated Graphics, Inc. ## .................. 1,065 62 Deluxe Corp. .................................... 1,867 40 Ennis, Inc. + ................................... 3,979 67 Heidrick & Struggles International, Inc. + ...... 980 29 Korn/Ferry International ## ..................... 2,853 53 United Stationers, Inc. ## + .................... 881 39 ------------ 401 ------------ CONSTRUCTION & ENGINEERING - 0.56% EMCOR Group, Inc. ## + .......................... 1,982 50 ------------ DIVERSIFIED MANUFACTURING - 1.76% Acuity Brands, Inc. + ........................... 1,278 61 Barnes Group, Inc. + ............................ 1,514 40
See accompanying notes 43 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Kennametal, Inc. ................................... 1,555 $ 54 ------------ 155 ------------ ELECTRICAL EQUIPMENT - 1.14% A.O. Smith Corp. + .............................. 1,420 44 Belden, Inc. + .................................. 1,070 36 Regal-Beloit Corp. + ............................ 561 21 ------------ 101 ------------ MACHINERY - 2.96% Actuant Corp. + ................................. 1,205 41 Applied Industrial Technologies, Inc. + ......... 2,285 55 CIRCOR International, Inc. ## ................... 945 46 Columbus McKinnon Corp. ## + .................... 1,195 34 EnPro Industries, Inc. ## + ..................... 1,411 51 Kadant, Inc. ## ................................. 1,320 34 ------------ 261 ------------ MARINE - 0.50% Hornbeck Offshore Services, Inc. ## + ........... 880 44 ------------ ROAD & RAIL - 1.46% Bristow Group, Inc. ## + ........................ 1,625 85 Saia, Inc. ## ................................... 3,094 43 ------------ 128 ------------ TOTAL INDUSTRIALS .................................. 1,221 ------------ INFORMATION TECHNOLOGY - 11.17% COMMUNICATIONS EQUIPMENT - 0.40% Emulex Corp. ## + ............................... 2,665 35 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.68% Benchmark Electronics, Inc. ## + ................ 2,355 42 Checkpoint Systems, Inc. ## ..................... 2,664 69 CTS Corp. ....................................... 2,634 30 MTS Systems Corp. ............................... 1,284 44 Technitrol, Inc. + .............................. 2,444 51 ------------ 236 ------------ IT CONSULTING & SERVICES - 3.13% CACI International, Inc. ## + ................... 1,045 52 MPS Group, Inc. ## + ............................ 5,844 63 Ness Technologies, Inc. ## ...................... 5,640 51 Perot Systems Corp. ## + ........................ 4,275 67 Sykes Enterprises, Inc. ## + .................... 2,569 43 ------------ 276 ------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.60% Brooks Automation, Inc. ## + 2,467 26 Photronics, Inc. ## + 5,040 53
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Skyworks Solutions, Inc. ## + ................... 5,350 $ 47 Standard Microsystems Corp. ## + ................ 2,100 62 TriQuint Semiconductor, Inc. ## + ............... 6,275 41 ------------ 229 ------------ SOFTWARE - 2.36% JDA Software Group, Inc. ## + ................... 4,419 83 Sybase, Inc. ## ................................. 1,658 49 TIBCO Software, Inc. ## + ....................... 9,869 76 ------------ 208 ------------ TOTAL INFORMATION TECHNOLOGY ....................... 984 ------------ MATERIALS - 7.62% CHEMICALS - 2.56% H.B. Fuller Co. ................................. 2,845 66 Hercules, Inc. + ................................ 1,445 27 OM Group, Inc. ## + ............................. 950 52 Rockwood Holdings, Inc. ## ...................... 1,791 66 Spartech Corp. + ................................ 1,585 14 ------------ 225 ------------ CONTAINERS & PACKAGING - 2.54% AptarGroup, Inc. + .............................. 1,990 88 Greif, Inc. ..................................... 1,066 69 Rock-Tenn Co. ................................... 1,965 67 ------------ 224 ------------ METALS & MINING - 1.46% Compass Minerals International, Inc. ............ 1,665 105 Worthington Industries, Inc. + .................. 1,340 24 ------------ 129 ------------ PAPER & FOREST PRODUCTS - 1.06% Buckeye Technologies, Inc. ## ................... 3,414 29 Potlatch Corp. .................................. 1,422 64 ------------ 93 ------------ TOTAL MATERIALS .................................... 671 ------------ TELECOMMUNICATION SERVICES - 1.69% DIVERSIFIED TELECOMMUNICATION - 1.69% General Communication, Inc. ## + ................ 2,009 12 Premiere Global Services, Inc. ## ............... 6,944 101 Syniverse Holdings, Inc. ## ..................... 2,260 36 ------------ TOTAL TELECOMMUNICATION SERVICES ................... 149 ------------ UTILITIES - 5.40% ELECTRIC UTILITIES - 3.42% Black Hills Corp. + ............................. 2,219 87 El Paso Electric Co. ## ......................... 3,730 84
See accompanying notes 44 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Empire District Electric Co. .................... 3,139 $ 65 PNM Resources, Inc. + ........................... 1,474 21 Portland General Electric Co. ................... 1,810 44 ------------ 301 ------------ GAS UTILITIES - 1.98% Atmos Energy Corp. + ............................ 1,411 39 Southwest Gas Corp. ............................. 1,954 56 WGL Holdings, Inc. + ............................ 2,414 79 ------------ 174 ------------ TOTAL UTILITIES .................................... 475 ------------ TOTAL COMMON STOCKS ................................ 8,527 ------------ SHORT TERM INVESTMENTS - 3.55% American Beacon Money Market Select Fund ++ ...................................... 180,437 181 iShares Russell 2000 Value Index Fund + ......... 1,942 132 ------------ TOTAL SHORT TERM INVESTMENTS ....................... 313 ------------ SECURITIES LENDING COLLATERAL - 20.65% American Beacon Cash Plus Trust ++ .............. 1,464,145 1,464 American Beacon Money Market Select Fund ++ ...................................... 354,332 355 ------------ TOTAL SECURITIES LENDING COLLATERAL ................ 1,819 ------------ TOTAL INVESTMENTS 121.03% - (COST $11,865) ......... 10,659 LIABILITIES, NET OF OTHER ASSETS - (21.03%) ........ (1,852) ------------ TOTAL NET ASSETS - 100.00% ......................... $ 8,807 ============
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, 2008. ++ The Fund/Trust is affiliated by having the same investment advisor. See accompanying notes 45 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) AUSTRIA - 0.22% COMMON STOCKS - 0.22% Raiffeisen International Bank-Holding AG ........ 2,820 $ 458 ------------ BRAZIL - 12.12% COMMON STOCKS - 8.43% Amil Participacoes S.A. ......................... 13,900 84 Aracruz Celulose S.A., ADR + .................... 7,000 564 Banco do Brasil S.A. ............................ 42,024 731 Banco Itau Holding Financeira S.A., ADR ......... 17,810 500 Banco Nossa Caixa S.A. .......................... 29,000 443 Centrais Eletricas Brasileiras S.A. ............. 27,666 416 Cia de Saneamento de Minas Gerais-COPASA ........ 16,800 281 Companhia de Saneamento Basico do Estado de Sao Paulo .......................... 5,570 139 Companhia de Saneamento Basico do Estado de Sao Paulo, ADR + ................... 3,470 176 Companhia Energetica de Minas Gerais, ADR + ........................................ 12,324 253 Companhia Siderurgica Nacional S.A. ............. 9,972 437 Cyrela Brazil Realty S.A. ....................... 40,296 672 Empresa Brasileira de Aeronautica S.A. .......... (Embraer), ADR .................................. 4,740 198 Gafisa S.A. ..................................... 15,020 330 Gafisa S.A., ADR + .............................. 4,850 211 Grendene S.A. ................................... 53,700 575 Perdigao S.A. ................................... 21,187 583 Petroleo Brasileiro S.A., ADR ................... 1,940 235 Petroleo Brasileiro S.A., A Shares, ADR ......... 79,321 8,019 Unibanco - Uniao de Bancos Brasileiros S.A ...... 15,378 229 Unibanco - Uniao de Bancos Brasileiros S.A., GDR .......................................... 14,344 2,086 Usinas Siderurgicas de Minas Gerais S.A. ........ 12,042 616 ------------ TOTAL COMMON STOCKS ................................ 17,778 ------------ PREFERRED STOCKS - 3.69% Banco Itau Holding Financeira S.A ............... 17,048 486 Braskem S.A. .................................... 76,100 656 Centrais Eletricas Brasileiras S.A .............. 28,340 440 Companhia de Tecidos Norte de Minas ............. 80,562 368 Companhia Energetica de Minas Gerais ............ 23,800 494 Companhia Vale do Rio Doce, ADR ................. 64,628 2,058 Companhia Vale do Rio Doce, A Shares ............ 7,504 242 Itausa - Investimentos Itau S.A. ................ 58,005 382 Itausa - Investimentos Itau S.A., Right ## ...... 427 1 Net Servicos de Comunicacao S.A. ## ............. 34,751 478 Tele Norte Leste Participacoes S.A., ADR ........ 46,570 1,067 Telemig Celular Participacoes S.A ............... 10,954 378
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Usinas Siderurgicas de Minas Gerais S.A. ........ 14,823 $ 724 TOTAL PREFERRED STOCKS ............................. 7,774 ------------ TOTAL BRAZIL ....................................... 25,552 ------------ CHILE - 0.31% COMMON STOCKS - 0.31% Banco Santander-Chile, ADR ...................... 4,800 252 Compania Cervecerias Unidas S.A., ADR ........... 11,240 410 ------------ TOTAL CHILE ........................................ 662 ------------ COLOMBIA - 0.26% COMMON STOCKS - 0.26% Bancolombia S.A., ADR ........................... 13,670 546 ------------ CZECH REPUBLIC - 0.91% COMMON STOCKS - 0.91% Central European Media Enterprises Ltd. ## + .... 9,739 1,033 Komercni Banka, a.s. ............................ 3,650 894 ------------ TOTAL CZECH REPUBLIC ............................... 1,927 ------------ EGYPT - 0.20% COMMON STOCKS - 0.20% ElSwedy Cables Holding Co. ## ................... 15,795 415 ------------ HONG KONG/CHINA - 15.16% COMMON STOCKS - 15.16% Anhui Expressway Co. Ltd. + ..................... 556,000 434 Bank of China Ltd. + ............................ 2,172,000 1,112 Belle International Holdings Ltd. ............... 17,000 18 Bosideng International Holdings Ltd. ## + ....... 1,772,000 346 Brilliance China Automotive Holdings Ltd. ## +... 2,112,000 396 BYD Electronic International Co. Ltd. ........... 285,000 315 China CITIC Bank + .............................. 564,000 373 China Coal Energy Ltd. + ........................ 774,000 1,639 China Construction Bank Corp. + ................. 2,210,000 1,994 China COSCO Holdings Co. Ltd. + ................. 419,000 1,253 China Mobile Ltd. ............................... 262,500 4,514 China Mobile Ltd., ADR .......................... 240 21 China Netcom Group Corp. (Hong Kong) Ltd. ....... 163,000 492 China Overseas Land & Investment Ltd. + ......... 248,000 522 China Petroleum & Chemical Corp. ................ 946,000 1,004 China Power International Development Ltd. + .... 2,453,800 894 China Resources Power Holdings Co. .............. 212,000 539 China Telecom Corp. Ltd. + ...................... 1,017,100 683 COSCO Pacific Ltd. .............................. 370,000 700 Datang International Power Generation Co. Ltd. + ....................................... 510,000 352 Denway Motors Ltd. + ............................ 854,700 434
See accompanying notes 46 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Dongfeng Motor Group Co. Ltd. ................... 1,024,000 $ 557 Focus Media Holding Ltd., ADR ## + .............. 22,200 819 Genting International plc ## .................... 42,320 19 Global Bio-chem Technology Group Co. Ltd. + ..... 1,499,800 697 GOME Electrical Appliances Holdings Ltd. ........ 621,000 1,439 Hopson Development Holdings Ltd. + .............. 198,100 422 Huaneng Power International, Inc. + ............. 917,900 763 Industrial & Commercial Bank of China + ......... 2,293,000 1,815 Maanshan Iron & Steel Co. Ltd. + ................ 793,000 511 NWS Holdings Ltd. ............................... 71,784 197 PetroChina Co. Ltd. + ........................... 1,274,000 1,896 PetroChina Co. Ltd., ADR + ...................... 1,080 163 Ping'an Insurance Co. Ltd. + .................... 122,500 1,162 Shanghai Industrial Holdings Ltd. + ............. 155,000 642 Sinopec Shanghai Petrochemical Co. Ltd. + ....... 1,088,000 427 Sinotrans Ltd. .................................. 1,135,000 384 Texwinca Holdings Ltd. .......................... 756,000 569 TPV Technology Ltd. ............................. 898,000 625 Weiqiao Textile Co. Ltd. ........................ 682,600 819 ------------ TOTAL HONG KONG/CHINA ............................... 31,961 ------------ HUNGARY - 0.25% COMMON STOCKS - 0.25% Magyar Telekom Telecommunications plc ........... 96,750 516 ------------ INDIA - 7.48% COMMON STOCKS - 7.48% Aban Offshore Ltd. .............................. 2,200 184 ABB Ltd. ........................................ 16,000 452 Andhra Bank ..................................... 128,990 261 Axis Bank Ltd. .................................. 28,700 651 Bharat Heavy Electricals Ltd. ................... 8,500 399 Bharat Petroleum Corp. Ltd. ..................... 71,343 720 Bharti Airtel Ltd. ## ........................... 18,100 400 Deccan Chronicle Holdings Ltd. .................. 81,979 308 Glenmark Pharmaceuticals Ltd. ................... 39,000 649 GVK Power & Infrastructure Ltd. ## .............. 226,000 253 HDFC Bank Ltd. .................................. 8,800 327 HDFC Bank Ltd., ADR + ........................... 5,800 654 Hindalco Industries Ltd. ## ..................... 135,290 646 Hindustan Petroleum Corp. Ltd. .................. 108,050 685 Hindustan Unilever Ltd. ......................... 39,500 245 Housing Development Finance Corp. ............... 5,800 398 ICICI Bank Ltd., ADR ............................ 7,610 339 India Cements Ltd. .............................. 153,000 652 Infosys Technologies Ltd. ....................... 15,700 680 Infrastructure Development Finance Co. Ltd. ..... 56,500 247 Mahanagar Telephone Nigam Ltd. .................. 112,790 308 Mahanagar Telephone Nigam Ltd., ADR + ........... 12,080 67 Mahindra & Mahindra Ltd. ........................ 17,101 278
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Maruti Suzuki India Ltd. ........................ 14,900 $ 273 Oil & Natural Gas Corp. Ltd. .................... 33,111 843 Praj Industries Ltd. ............................ 45,500 222 Reliance Industries Ltd. ........................ 20,800 1,339 Satyam Computer Services Ltd. ................... 40,010 467 State Bank of India Ltd., GDR ................... 11,740 1,091 Steel Authority of India Ltd. ................... 64,600 293 Sterlite Industries (India) Ltd. ................ 12,480 266 Sterlite Industries (India) Ltd., ADR ## + ...... 4,560 95 Tata Consultancy Services Ltd. .................. 29,250 664 Tata Motors Ltd. ................................ 12,456 203 Television Eighteen India Ltd. .................. 21,000 181 Zee Entertainment Enterprises Ltd. .............. 4,500 24 ------------ TOTAL INDIA ........................................ 15,764 ------------ INDONESIA - 1.99% COMMON STOCKS - 1.99% PT Astra International Tbk ...................... 230,900 501 PT Bank Central Asia Tbk ........................ 903,000 294 PT Bank Mandiri (Persero) Tbk ................... 548,000 171 PT Bank Rakyat Indonesia Tbk .................... 419,000 270 PT Bumi Resources Tbk ........................... 1,432,000 1,033 PT Gudang Garam Tbk ............................. 530,300 437 PT International Nickel Indonesia Tbk ........... 84,000 60 PT Kalbe Farma Tbk .............................. 2,479,100 245 PT Perusahaan Gas Negara Persero Tbk ............ 82,000 107 PT Telekomunikasi Indonesia Tbk ................. 1,132,300 1,087 ------------ TOTAL INDONESIA .................................... 4,205 ------------ ISRAEL - 0.92% COMMON STOCKS - 0.92% Bank Leumi le-Israel B.M. ....................... 55,590 277 Israel Discount Bank Ltd. ## .................... 277,355 674 Teva Pharmaceutical Industries Ltd., ADR ........ 21,350 999 ------------ TOTAL ISRAEL ....................................... 1,950 ------------ LUXEMBOURG - 0.37% COMMON STOCKS - 0.37% Millicom International Cellular S.A. ............ 7,302 789 ------------ MALAYSIA - 2.18% COMMON STOCKS - 2.18% AMMB Holdings Bhd ............................... 404,750 482 Gamuda Bhd ...................................... 258,200 255 IOI Corp. Bhd ................................... 264,250 611 Malayan Banking Bhd ............................. 619,500 1,569 Proton Holdings Bhd ## .......................... 32,900 40 Resorts World Bhd ............................... 423,200 453 Sime Darby Bhd .................................. 179,500 545
See accompanying notes 47 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Tenaga Nasional Bhd ............................. 312,000 $ 647 ------------ TOTAL MALAYSIA ..................................... 4,602 ------------ MEXICO - 5.12% COMMON STOCKS - 5.12% America Movil, S.A.B. de C.V., ADR .............. 41,457 2,403 Cemex, S.A.B. de C.V. ## ........................ 106,875 297 Cemex, S.A.B. de C.V., ADR ## + ................. 14,530 402 Consorcio ARA, S.A.B. de C.V. + ................. 178,500 187 Controladora Commercial Mexicana, S.A.B. de C.V. ...................................... 211,100 594 Corp GEO, S.A.B. de C.V. ## ..................... 83,399 311 Desarrolladora Homex, S.A.B. de C.V., ADR ## + .. 7,188 428 Embotelladoras Arca, S.A.B. de C.V. ............. 114,830 438 Empresas ICA, S.A.B. de C.V. ## ................. 69,957 423 Gruma, S.A.B. de C.V. ........................... 151,800 420 Grupo Continential, S.A.B ....................... 332,950 817 Grupo Financiero Banorte, S.A.B. de C.V. + ...... 184,500 815 Grupo Mexico, S.A.B. de C.V. .................... 44,700 326 Grupo Modelo, S.A.B. de C.V. .................... 138,200 610 Kimberly-Clark de Mexico, S.A.B. de C.V. ........ 80,600 383 Telefonos de Mexico, S.A.B. de C.V., ADR ........ 16,140 582 Urbi Desarrollos Urbanos, S.A.B. de C.V. ## + ... 85,284 274 Wal-Mart de Mexico, S.A.B. de C.V. + ............ 212,380 854 Wal-Mart de Mexico, S.A.B. de C.V., ADR + ....... 5,848 235 ------------ TOTAL MEXICO ....................................... 10,799 ------------ PHILIPPINES - 0.48% COMMON STOCKS - 0.48% ABS-CBN Broadcasting Corp. ...................... 172,400 102 Bank of the Philippine Islands .................. 373,023 441 Manila Electric Co. ............................. 104,320 200 Metropolitan Bank & Trust Co. ................... 49,600 41 PNOC Energy Development Corp. ................... 295,000 37 Union Bank of the Philippines ................... 225,300 181 ------------ TOTAL PHILIPPINES .................................. 1,002 ------------ POLAND - 2.14% COMMON STOCKS - 2.14% Bank Pekao S.A. ................................. 10,595 925 Bank Zachodni WBK S.A. .......................... 5,034 370 Budimex S.A. ## ................................. 2,784 99 Getin Holding S.A. ## ........................... 78,485 432 KGHM Polska Miedz S.A. .......................... 4,100 190 PBG S.A. ## ..................................... 2,038 272 Polimex Mostostal S.A. .......................... 76,135 240 Polski Koncern Naftowy Orlen S.A. ## ............ 23,950 455 Powszechna Kasa Oszczednosci Bank Polski SA ..... 14,191 295
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Telekomunikacja Polska S.A. ..................... 87,830 $ 886 TVN S.A. ........................................ 33,658 346 ------------ TOTAL POLAND ....................................... 4,510 ------------ RUSSIA - 9.27% COMMON STOCKS - 9.27% CTC Media, Inc. ## + ............................ 6,028 156 Evraz Group S.A., GDR ........................... 5,810 603 Gazprom OAO, ADR ................................ 146,794 7,810 LUKOIL Oil Co., ADR ............................. 64,444 5,819 Mechel OAO, ADR ................................. 4,773 696 OJSC MMC Norilsk Nickel, ADR .................... 22,417 605 OJSC Rosneft Oil Co. ## ......................... 118,156 1,158 OJSC Surgutneftegaz, ADR + ...................... 21,500 210 Severstal OAO, GDR .............................. 13,900 342 Vimpel-Communications, ADR ...................... 39,787 1,200 VTB Bank OJSC, GDR ## ++ ........................ 40,360 302 Wimm-Bill-Dann Foods OJSC, ADR + ................ 4,019 489 X5 Retail Group NV ## ........................... 4,375 153 ------------ TOTAL RUSSIA ....................................... 19,543 ------------ SOUTH AFRICA - 6.78% COMMON STOCKS - 6.78% African Bank Investments Ltd. ................... 10,546 37 AngloGold Ashanti Ltd., ADR + ................... 33,380 1,139 ArcelorMittal South Africa Ltd. ................. 32,259 977 Aspen Pharmacare Holdings Ltd. .................. 172,150 707 Bidvest Group Ltd. .............................. 28,334 427 Exxaro Resources Ltd. ........................... 32,100 531 FirstRand Ltd. .................................. 156,950 325 Gold Fields Ltd., ADR ........................... 40,830 551 JD Group Ltd. ................................... 67,570 316 MTN Group Ltd. .................................. 89,759 1,715 Murray & Roberts Holdings Ltd. .................. 34,939 409 Nampak Ltd. ..................................... 273,020 596 Nedbank Group Ltd. .............................. 86,970 1,317 Raubex Group Ltd. ............................... 86,894 448 Sanlam Ltd. ..................................... 152,410 403 Sappi Ltd. ...................................... 64,530 871 Sasol Ltd. ...................................... 33,646 1,913 Standard Bank Group Ltd. ........................ 21,876 260 Steinhoff International Holdings Ltd. ........... 183,099 449 Telkom South Africa Ltd. ........................ 47,940 815 Tiger Brands Ltd. ............................... 4,690 90 ------------ TOTAL SOUTH AFRICA ................................. 14,296 ------------ SOUTH KOREA - 14.12% COMMON STOCKS - 13.83% Amorepacific Corp. .............................. 467 296
See accompanying notes 48 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Cheil Communications, Inc. ...................... 1,596 $ 429 Cheil Industries, Inc. .......................... 7,136 391 GS Engineering & Construction Corp. ............. 1,689 248 Hana Financial Group, Inc. ...................... 12,060 545 Hanwha Chemical Corp. ........................... 28,380 413 Hite Brewery Co. Ltd. ........................... 1,178 139 Hynix Semiconductor, Inc. ## .................... 10,651 285 Hyundai Heavy Industries Co. Ltd. ............... 1,548 553 Hyundai Mobis ................................... 13,656 1,252 Hyundai Motor Co. Ltd. .......................... 24,212 2,043 Kookmin Bank .................................... 28,194 1,966 Kookmin Bank, ADR ............................... 1,050 73 Korea Electric Power Corp. ...................... 32,265 1,086 Korea Zinc Company Ltd. ......................... 4,057 490 KT Corp. ........................................ 6,870 317 KT Corp., ADR ................................... 30,870 714 Kumho Tire Co., Inc. ............................ 48,450 553 LG Chemical Ltd. ................................ 6,597 658 LG Display Co. Ltd. ............................. 18,879 830 LG Electronics, Inc. ............................ 4,752 742 Lotte Shopping Co. Ltd. ......................... 2,740 1,000 NHN Corp. ## .................................... 3,348 778 Nong Shim Co. Ltd. .............................. 3,266 601 POSCO ........................................... 3,066 1,500 POSCO, ADR ...................................... 2,590 320 Samsung Electronics Co. Ltd. .................... 7,426 5,266 Samsung Fire & Marine Insurance Co. Ltd. ........ 2,049 447 Shinhan Financial Group Co. Ltd. ................ 28,760 1,661 SK Telecom Co. Ltd., ADR ........................ 74,950 1,692 S-Oil Corp. ..................................... 6,759 456 SSCP Co. Ltd. ## ................................ 10,764 186 STX Pan Ocean Co. Ltd. .......................... 43,650 114 STX Pan Ocean Co. Ltd. + ........................ 179,000 445 Woongjin Coway Co. Ltd. ......................... 2 0,916 661 ------------ TOTAL COMMON STOCKS ................................ 29,150 ------------ PREFERRED STOCKS - 0.29% Samsung Electronics Co. Ltd. .................... 1,182 608 ------------ TOTAL SOUTH KOREA 29,758 ------------ TAIWAN - 9.64% COMMON STOCKS - 9.64% Acer, Inc. ...................................... 8,000 17 Asustek Computer, Inc. .......................... 250,655 813 AU Optronics Corp. .............................. 609,946 1,192 Cathay Financial Holding Co. Ltd. ............... 245,000 688 China Motor Corp. ............................... 433,245 380 China Steel Corp. ............................... 466,000 765 Chinatrust Financial Holding Co. Ltd. ........... 1,425,149 1,486 Chunghwa Telecom Co. Ltd., ADR .................. 30,925 789
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Compal Electronics, Inc. ........................ 1,324,885 $ 1,482 First Financial Holding Co. Ltd. ................ 929,496 1,130 Formosa Plastics Corp. .......................... 262,000 749 High Tech Computer Corp. ........................ 24,000 619 Mega Financial Holding Co. Ltd. ................. 658,000 579 Nan Ya Printed Circuit Board Corp. .............. 88,480 466 Nien Hsing Textile Co. Ltd. ..................... 259,000 174 Powerchip Semiconductor Corp. ................... 1,199,444 492 Quanta Computer, Inc. ........................... 1,006,675 1,676 Radiant Opto-Electronics Corp. .................. 17,329 25 SinoPac Financial Holdings Co. Ltd. ............. 2,576,987 1,274 Taiwan Cement Corp. ............................. 381,000 619 Taiwan Semiconductor Manufacturing Co. Ltd. ..... 880,474 1,929 Taiwan Semiconductor Manufacturing Co. Ltd., ADR .................................... 27,035 304 United Microelectronics Corp. ................... 2,547,542 1,556 Wistron Corp. ................................... 2,000 4 Yaego Corp. ..................................... 1,441,000 497 Yang Ming Marine Transport Corp. ................ 298,823 232 Yuanta Financial Holding Co. Ltd. ............... 412,000 392 ------------ TOTAL TAIWAN 20,329 ------------ THAILAND - 2.72% COMMON STOCKS - 2.72% Advanced Info Service PCL ....................... 53,800 157 Bangkok Bank PCL ................................ 236,100 1,037 Charoen Pokphand Foods PCL ...................... 4,051,200 606 Delta Electronics PCL ........................... 80,900 54 Italian -Thai Development PCL ................... 486,100 115 Kasikornbank PCL ................................ 354,300 981 Krung Thai Bank PCL ............................. 1,770,600 558 Land and Houses PCL ............................. 305,400 86 PTT Exploration & Production PCL ................ 76,400 400 PTT PCL ......................................... 30,900 326 Siam Cement PCL ................................. 120,100 818 Siam Commercial Bank PCL ........................ 86,600 240 Siam Makro PCL .................................. 8,700 28 Thai Union Frozen Products PCL .................. 532,500 326 ------------ TOTAL THAILAND ..................................... 5,732 ------------ TURKEY - 1.45% COMMON STOCKS - 1.45% Akcansa Cimento A.S. ............................ 13,230 56 Aksigorta A.S. .................................. 45,266 227 Asya Katilim Bankasi A.S. ## .................... 36,000 250 Tekfen Holding A.S. ............................. 83,981 520 Turkcell Iletisim Hizmetleri A.S. ............... 48,013 384 Turkiye Garanti Bankasi A.S. .................... 37,974 204 Turkiye Is Bankasi (Isbank) ..................... 202,779 938
See accompanying notes 49 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Turkiye Sise ve Cam Fabrikalari A.S. (Sisecam) .................................... 308,397 $ 479 Yapi ve Kredi Bankasi A.S. ## ................... 1 -- ------------ TOTAL TURKEY ....................................... 3,058 ------------ SHORT TERM INVESTMENTS - 4.74% American Beacon Money Market Select Fund # ...... 9,078,361 9,078
PAR AMOUNT ---------- U.S. Treasury Bill, 1.32%, Due 6/12/2008 Section .................... $ 913 912 ------------ TOTAL SHORT TERM INVESTMENTS ....................... 9,990 ------------
SHARES ----------- SECURITIES LENDING COLLATERAL - 8.49% American Beacon Cash Plus Trust # ............... 14,415,599 14,415 American Beacon Money Market Select Fund # ...... 3,488,662 3,489 ------------ TOTAL SECURITIES LENDING COLLATERAL ................ 17,904 ------------ TOTAL INVESTMENTS 107.32% - (COST $196,471) ........ 226,268 LIABILITIES, NET OF OTHER ASSETS - (7.32%) ......... (15,440) ------------ TOTAL NET ASSETS - 100.00% ......................... $ 210,828 ============
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, 2008. ++ 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 $302 or 0.14% 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. Section At April 30, 2008, 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 ...... 176 Jun 2008 $12,197 $420 ======= ====
See accompanying notes 50 AMERICAN BEACON EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited) SECTOR DIVERSIFICATION
Percent of Net Assets ---------- Communications ..................... 1.05% Consumer Discretionary ............. 8.72% Consumer Staples ................... 3.34% Energy ............................. 16.11% Financials ......................... 20.92% Health Care ........................ 1.60% Industrials ........................ 6.25% Information Technology ............. 10.01% Materials .......................... 12.01% Telecommunication Services ......... 10.82% Utilities .......................... 3.26% Short Term Investments ............. 13.23% Liabilities, Net of Other Assets ... (7.32)% ------ 100.00% ======
See accompanying notes 51 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) CORPORATE OBLIGATIONS - 93.42% AUTO COMPONENTS - 2.25% Allison Transmission, 11.00%, Due 11/1/2015 + ++ ......................................... $ 500 $ 491 Stanadyne Corp., 10.00%, Due 8/15/2014 .......... 1,000 965 TriMas Corp., 9.875%, Due 6/15/2012 ............. 965 842 TRW Automotive, Inc., 7.25%, Due 3/15/2017 ++ ... 900 876 United Components, Inc., 9.375%, Due 6/15/2013 .. 1,250 1,235 ------------ 4,409 ------------ AUTO LOAN - 3.32% Ford Motor Credit Co. LLC, 5.80%, Due 1/12/2009 ......................... 300 293 9.75%, Due 9/15/2010 ......................... 1,700 1,652 9.875%, Due 8/10/2011 ........................ 2,300 2,226 General Motors Acceptance Corp., 6.875%, Due 9/15/2011 .................................... 2,800 2,333 ------------ 6,504 ------------ AUTOMOBILES - 0.62% Ford Motor Co., 8.875%, Due 1/15/2022 ........... 200 162 General Motors Corp., 7.70%, Due 4/15/2016 ......................... 900 702 7.40%, Due 9/1/2025 .......................... 500 352 ------------ 1,216 ------------ CASINO/GAMING - 0.31% Fontainebleau Las Vegas Holdings LLC, 10.25%, Due 6/15/2015 ++ ................................. 700 502 Pinnacle Entertainment, Inc., 8.75%, Due 10/1/2013 .................................... 100 102 ------------ 604 ------------ COMMERCIAL SERVICES - 1.87% Harland Clarke Holdings, 7.815%, Due 5/15/2015 .. 1,500 1,080 Iron Mountain, Inc., 6.625%, Due 1/1/2016 ......................... 750 725 8.75%, Due 7/15/2018 + ....................... 900 958 RSC Equipment Rental, Inc., 9.50%, Due 12/1/2014 .................................... 1,000 895 ------------ 3,658 ------------ COMMUNICATIONS - 13.62% American Tower Corp., 7.00%, Due 10/15/2017 ++ .. 900 909 Cadmus Communications Corp., 8.375%, Due 6/15/2014 .................................... 1,700 1,360 CanWest Media, Inc., 8.00%, Due 9/15/2012 ....... 1,000 957 Charter Communications Holdings LLC, 10.25%, Due 9/15/2010 ........................ 1,100 1,059 11.00%, Due 10/1/2015 ........................ 1,800 1,391 Clear Channel Communications, Inc., 7.65%, Due 9/15/2010 .................................... 1,000 1,040 CSC Holdings, Inc., 7.625%, Due 4/1/2011 ......................... 200 201 7.625%, Due 7/15/2018 ........................ 1,000 972 Dex Media, Inc., 8.00%, Due 11/15/2013 .......... 860 658 Digicel Group Ltd., 8.875%, Due 1/15/2015 ++ .... 1,000 858
See accompanying notes 52 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Echostar DBS Corp., 7.125%, Due 2/1/2016 ........ $ 600 $ 589 Fairpoint Communications, Inc., 13.125%, Due 4/1/2018 ++ .................................. 500 505 Idearc, Inc., 8.00%, Due 11/15/2016 ............. 1,000 650 Intelsat Intermediate Holding Co. Ltd., Zero Coupon, Due 2/1/2015 # ....................... 800 684 Intelsat Subsidiary Holding Co. Ltd., 8.25%, Due 1/15/2013 .................................... 600 605 L-3 Communications Corp., 6.125%, Due 7/15/2013 .................................... 500 496 Lamar Media Corp., 7.25%, Due 1/1/2013 .......... 1,100 1,089 Liberty Media LLC, 5.70%, Due 5/15/2013 ......... 1,100 985 LIN Television Corp., 6.50%, Due 5/15/2013 ...... 500 481 MasTec, Inc., 7.625%, Due 2/1/2017 .............. 700 613 MetroPCS Wireless, Inc., 9.25%, Due 11/1/2014 ... 1,000 983 Network Communications, Inc., 10.75%, Due 12/1/2013 .................................... 1,000 746 Nortel Networks Ltd., 6.963%, Due 7/15/2011 # ... 1,000 943 Quebecor Media, Inc., 7.75%, Due 3/15/2016 ...... 1,750 1,684 Qwest Capital Funding, Inc., 7.25%, Due 2/15/2011 .................................... 1,000 980 Qwest Communications International, Inc., 7.50%, Due 2/15/2014 ................................ 1,200 1,179 Radio One, Inc., 6.375%, Due 2/15/2013 .......... 800 606 Reader's Digest Association, Inc., 9.00%, Due 2/15/2017 ++ ................................. 2,000 1,430 Umbrella Acquisition, Inc., 9.75%, Due 3/15/2015 + ++ ............................... 1,000 720 Videotron Ltd., 9.125%, Due 4/15/2018 ++ ........ 800 852 West Corp., 9.50%, Due 10/15/2014 ............... 500 478 ------------ 26,703 ------------ CONSTRUCTION & ENGINEERING - 0.46% KB Home, 6.25%, Due 6/15/2015 ......................... 700 630 7.25%, Due 6/15/2018 ......................... 300 278 ------------ 908 ------------ CONSUMER DISCRETIONARY - 3.44% AMC Entertainment, Inc., 11.00%, Due 2/1/2016 ... 1,000 995 Commercial Vehicle Group, Inc., 8.00%, Due 7/1/2013 ..................................... 200 171 FTD, Inc., 7.75%, Due 2/15/2014 ................. 923 831 Michaels Stores, Inc., 10.00%, Due 11/1/2014 + .. 1,000 970 OSI Restaurant Partners, Inc., 10.00%, Due 6/15/2015 + ++ ............................... 600 453 Penske Auto Group, Inc., 7.75%, Due 12/15/2016 .. 2,250 2,048 Simmons Co., 7.875%, Due 1/15/2014 .............. 750 662 Travelport LLC, 7.701%, Due 9/1/2014 # .......... 700 605 ------------ 6,735 ------------ CONSUMER STAPLES - 5.11% Blyth, Inc., 5.50%, Due 11/1/2013 ............... 1,500 1,245 Collective Brands, Inc., 8.25%, Due 8/1/2013 .... 1,500 1,354 Dean Foods Co., 7.00%, Due 6/1/2016 ............. 600 561 Dole Food Co., Inc., 8.625%, Due 5/1/2009 ....... 100 97 Jarden Corp., 7.50%, Due 5/1/2017 + ............. 1,900 1,748 Prestige Brands, Inc., 9.25%, Due 4/15/2012 ..... 2,000 1,980 Rafaella Apparel Group, Inc., 11.25%, Due 6/15/2011 .................................... 1,077 754
See accompanying notes 53 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Reynolds American, Inc., 7.625%, Due 6/1/2016 ... $ 1,200 $ 1,271 Smithfield Foods, Inc., 7.75%, Due 5/15/2013 .... 1,000 1,002 ------------ 10,012 ------------ ENERGY - 11.80% AmeriGas Partners, L.P., 7.125%, Due 5/20/2016 .. 750 756 Aquila, Inc., 9.95%, Due 2/1/2011 ............... 900 933 Chesapeake Energy Corp., 6.625%, Due 1/15/2016 .. 1,400 1,400 Cie Generale de Geophysique-Veritas, 7.50%, Due 5/15/2015 ......................... 800 826 7.75%, Due 5/15/2017 ......................... 200 207 Copano Energy LLC, 8.125%, Due 3/1/2016 ......... 900 936 Dynegy Holdings, Inc., 8.375%, Due 5/1/2016 ..... 1,000 1,042 El Paso Corp., 6.875%, Due 6/15/2014 ............ 1,000 1,037 Intergen NV, 9.00%, Due 6/30/2017 ++ ............ 900 941 Mariner Energy, Inc., 7.50%, Due 4/15/2013 ...... 900 889 MarkWest Energy Partners LP, 6.875%, Due 11/1/2014 ........................ 800 772 8.75%, Due 4/15/2018 ++ ...................... 600 623 Massey Energy Co., 6.875%, Due 12/15/2013 ....... 525 525 Mirant Americas Generation LLC, 8.30%, Due 5/1/2011 ..................................... 700 726 Mirant North America LLC, 7.375%, Due 12/31/2013 ................................... 1,000 1,037 NRG Energy, Inc., 7.25%, Due 2/1/2014 .......................... 700 719 7.375%, Due 2/1/2016 ......................... 1,800 1,854 Peabody Energy Corp., 6.875%, Due 3/15/2013 ........................ 200 204 7.375%, Due 11/1/2016 ........................ 700 735 PetroQuest Energy, Inc., 10.375%, Due 5/15/2012 .................................... 1,115 1,160 Regency Energy Partners LP, 8.375%, Due 12/15/2013 ................................... 877 914 Swift Energy Co., 7.625%, Due 7/15/2011 ......... 900 911 Tenaska, Inc., 6.528%, Due 12/30/2014 ++ ........ 1,130 1,183 Tesoro Corp., 6.50%, Due 6/1/2017 ............... 1,100 1,009 VeraSun Energy Corp., 9.375%, Due 6/1/2017 ++ ... 500 330 Williams Cos., Inc., 7.625%, Due 7/15/2019 ........................ 500 540 7.875%, Due 9/1/2021 ......................... 400 437 8.75%, Due 3/15/2032 ......................... 400 473 ------------ 23,119 ------------ FINANCE - 5.19% CPI International, Inc., 8.936%, Due 2/1/2015 # ................................... 669 682 Deluxe Corp., 5.00%, Due 12/15/2012 ............. 500 433 FMC Finance III SA, 6.875%, Due 7/15/2017 ....... 300 302 Forest City Enterprises, Inc., 7.625%, Due 6/1/2015 ..................................... 600 558 Icahn Enterprises LP, 7.125%, Due 2/15/2013 ..... 1,697 1,583 JP Morgan Chase & Co., 7.90%, Due 12/31/2049 .... 800 815
See accompanying notes 54 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Lehman Brothers Holdings, Inc., 6.20%, Due 9/26/2014 ................................ $ 1,000 $ 1,006 Leucadia National Corp., 7.125%, Due 3/15/2017 .. 1,750 1,671 Merrill Lynch & Co., Inc., 6.875%, Due 4/25/2018 ................................ 1,000 1,008 Petroplus Finance Ltd., 6.75%, Due 5/1/2014 ++ .. 1,100 1,034 Rainbow National Services LLC, 10.375%, Due 9/1/2014 ++ .............................. 1,000 1,075 ------------ 10,167 ------------ HEALTH CARE - 6.65% Angiotech Pharmaceuticals, Inc., 6.826%, Due 12/1/2013 # .............................. 1,000 880 DaVita, Inc., 7.25%, Due 3/15/2015 .............. 1,100 1,103 Elan Finance PLC/Elan Finance Corp., 7.201%, Due 12/1/2013 # .............................. 1,075 984 Fresenius Medical Care Capital Trust IV, 7.875%, Due 6/15/2011 ................................ 800 838 HCA, Inc., 9.125%, Due 11/15/2014 ....................... 1,000 1,060 6.50%, Due 2/15/2016 ......................... 1,000 895 Interactive Health, 7.25%, Due 4/1/2011 ++ ...... 1,259 692 Omnicare, Inc., 6.75%, Due 12/15/2013 ........................ 500 465 6.875%, Due 12/15/2015 ....................... 500 456 Skilled Healthcare Group, Inc., 11.00%, Due 1/15/2014 ................................ 845 906 Tenet Healthcare Corp., 9.875%, Due 7/1/2014 + .. 1,000 1,023 United Surgical Partners International, Inc., 9.25%, Due 5/1/2017 .......................... 900 871 US Oncology, Inc., 7.949%, Due 3/15/2012 # ...................... 948 763 9.00%, Due 8/15/2012 ......................... 500 507 10.75%, Due 8/15/2014 ........................ 760 768 Vanguard Health Holding Co. II LLC, 9.00%, Due 10/1/2014 ................................ 800 814 ------------ 13,025 ------------ HOTELS, RESTAURANTS & LEISURE - 4.39% Cinemark, Inc., Zero Coupon, Due 3/15/2014 # .... 550 518 Host Hotels & Resorts LP, 6.875%, Due 11/1/2014 ................................ 800 788 Host Marriott LP, 7.125%, Due 11/1/2013 ......... 600 598 MGM Mirage, 6.75%, Due 4/1/2013 .......................... 750 690 6.625%, Due 7/15/2015 ........................ 1,500 1,309 Pinnacle Entertainment, Inc., 8.25%, Due 3/15/2012 ................................ 100 99 Royal Caribbean Cruises Ltd., 7.25%, Due 3/15/2018 ................................ 1,200 1,086 San Pasqual Casino Development Group, 8.00%, Due 9/15/2013 ++ ............................. 1,550 1,445 Station Casinos, Inc., 6.875%, Due 3/1/2016 + ... 1,000 643 Turning Stone Casino Resort, 9.125%, Due 12/15/2010 ++ ............................ 1,460 1,438 ------------ 8,614 ------------ INDUSTRIALS - 15.27% Allied Waste North America, Inc., 6.875%, Due 6/1/2017 ................................. 500 500 Altra Industrial Motion, Inc., 9.00%, Due 12/1/2011 ................................ 1,100 1,089 Berry Plastics Corp., 8.875%, Due 9/15/2014 ........................ 500 468
See accompanying notes 55 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) 7.568%, Due 2/15/2015 ++ # ................... $ 450 $ 434 Celestica, Inc., 7.625%, Due 7/1/2013 ........... 200 196 CEVA Group plc, 10.00%, Due 9/1/2014 ++ ......... 1,000 1,030 Clean Harbors, Inc., 11.25%, Due 7/15/2012 ...... 650 692 Coleman Cable, Inc., 9.875%, Due 10/1/2012 ...... 1,000 915 Communications & Power Industries, Inc., 8.00%, Due 2/1/2012 ................................. 750 739 Crown Americas LLC, 7.75%, Due 11/15/2015 ....... 1,000 1,055 DRS Technologies, Inc., 6.875%, Due 11/1/2013 ........................ 900 893 7.625%, Due 2/1/2018 ......................... 100 102 Dycom Industries, Inc., 8.125%, Due 10/15/2015 .. 1,000 960 Freescale Semiconductor, Inc., 8.875%, Due 12/15/2014 ....................... 900 792 9.125%, Due 12/15/2014 ....................... 430 354 GenCorp, Inc., 9.50%, Due 8/15/2013 ............. 1,500 1,507 Goodyear Tire & Rubber Co., 8.663%, Due 12/1/2009 # .............................. 500 501 Greenbrier Cos., Inc., 8.375%, Due 5/15/2015 .... 800 764 Impress Holdings BV, 5.838%, Due 9/15/2013 ++ # ........................... 1,400 1,171 Intertape Polymer US, Inc., 8.50%, Due 8/1/2014 ................................. 1,300 1,144 Noranda Aluminium Holding Corp., 10.488%, Due 11/15/2014 ++ # .......................... 1,000 800 Nortek, Inc., 8.50%, Due 9/1/2014 ............... 800 586 Nova Chemicals Corp., 7.863%, Due 11/15/2013 # .. 1,070 926 Novelis, Inc., 7.25%, Due 2/15/2015 ............. 1,000 915 Owens-Brockway Glass Containers, Inc., 6.75%, Due 12/1/2014 ................................ 900 913 Plastipak Holdings, Inc., 8.50%, Due 12/15/2015 ++ ............................ 1,050 984 RBS Global, Inc., 9.50%, Due 8/1/2014 ........... 1,000 1,000 Sanmina-SCI Corp., 6.75%, Due 3/1/2013 .......................... 500 453 5.55%, Due 6/15/2014 ++ # .................... 200 185 8.125%, Due 3/1/2016 ......................... 800 736 Smurfit Kappa Funding plc, 7.75%, Due 4/1/2015 .. 1,000 907 Stewart & Stevenson LLC, 10.00%, Due 7/15/2014 .. 1,000 970 Superior Essex Communications, 9.00%, Due 4/15/2012 ................................ 1,400 1,382 Terex Corp., 8.00%, Due 11/15/2017 .............. 1,000 1,023 TransDigm, Inc., 7.75%, Due 7/15/2014 ........... 900 920 United Rentals North America, Inc., 6.50%, Due 2/15/2012 ......................... 800 750 7.75%, Due 11/15/2013 ........................ 200 172 WCA Waste Corp., 9.25%, Due 6/15/2014 ........... 1,000 1,010 ------------ 29,938 ------------ MATERIALS - 5.70% Freeport-McMoRan Copper & Gold, Inc., 8.375%, Due 4/1/2017 ................................. 1,000 1,105 Hercules, Inc., 6.75%, Due 10/15/2029 ........... 1,750 1,689 Huntsman International LLC, 7.875%, Due 11/15/2014 ............................... 700 739 Ineos Group Holdings plc, 8.50%, Due 2/15/2016 + ++ ........................... 1,100 891
See accompanying notes 56 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) MacDermid, Inc., 9.50%, Due 4/15/2017 ++ ........ $ 900 $ 859 Nalco Co., 8.875%, Due 11/15/2013 ............... 1,100 1,158 Neenah Paper, Inc., 7.375%, Due 11/15/2014 ...... 750 675 Newark Group, Inc., 9.75%, Due 3/15/2014 ........ 2,200 1,749 NewPage Corp., 10.00%, Due 5/1/2012 ++ .......... 1,000 1,068 Phibro Animal Health Corp., 10.00%, Due 8/1/2013 ++ .............................. 1,250 1,237 ------------ 11,170 ------------ MEDIA - 2.82% IESY Repository GmbH, 10.375%, Due 2/15/2015 ++ ............................. 1,500 1,425 Kabel Deutschland GmbH, 10.625%, Due 7/1/2014 ... 1,156 1,202 R.H. Donnelley Corp., 6.875%, Due 1/15/2013 ........................ 100 64 8.875%, Due 1/15/2016 ........................ 1,400 910 8.875%, Due 10/15/2017 ++ .................... 100 65 Sheridan Group, Inc., 10.25%, Due 8/15/2011 ..... 1,125 1,038 WMG Acquisition Corp., 7.375%, Due 4/15/2014 .... 1,000 830 ------------ 5,534 ------------ RETAIL - 1.40% Dollar General Corp., 10.625%, Due 7/15/2015 + .. 1,000 995 Jostens IH Corp., 7.625%, Due 10/1/2012 ......... 1,000 995 Susser Holdings LLC, 10.625%, Due 12/15/2013 .... 736 754 ------------ 2,744 ------------ SERVICES - 1.94% ARAMARK Corp., 8.50%, Due 2/1/2015 .............. 1,000 1,043 Interpublic Group of Cos., Inc., 5.40%, Due 11/15/2009 + ............................. 1,000 980 Knowledge Learning Corp., 7.75%, Due 2/1/2015 ++ .............................. 700 672 Valassis Communications, Inc., 8.25%, Due 3/1/2015 + ............................... 1,250 1,112 ------------ 3,807 ------------ TECHNOLOGY - 1.75% Alion Science and Technology Corp., 10.25%, Due 2/1/2015 ................................. 600 382 Amkor Technology, Inc., 7.75%, Due 5/15/2013 .... 850 814 First Data Corp., 9.875%, Due 9/24/2015 + ++ .... 700 637 SunGard Data Systems, Inc., 9.125%, Due 8/15/2013 ........................ 200 209 10.25%, Due 8/15/2015 + ...................... 1,300 1,381 ------------ 3,423 ------------ TELECOMMUNICATION SERVICES - 3.05% Block Communications, Inc., 8.25%, Due 12/15/2015 ++ ............................ 2,000 1,915 Inmarsat Finance plc, Zero Coupon, Due 11/15/2012 # ............................. 1,000 986 Millicom International Cellular S.A., 10.00%, Due 12/1/2013 ................................ 500 534 Rural Cellular Corp., 8.25%, Due 3/15/2012 ...... 750 780 Stratos Global Corp., 9.875%, Due 2/15/2013 ..... 750 787 Wind Acquisition Finance S.A., 10.75%, Due 12/1/2015 ++ ............................. 900 970 ------------ 5,972 ------------
See accompanying notes 57 AMERICAN BEACON HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) UTILITIES - 2.46% AES Corp., 8.00%, Due 10/15/2017 ................ $ 1,100 $ 1,147 Edison Mission Energy, 7.00%, Due 5/15/2017 ..... 2,200 2,222 Texas Competitive Electric Holdings Co. LLC, 10.25%, Due 11/1/2015 ++ ..................... 1,400 1,459 4,828 ------------ TOTAL CORPORATE OBLIGATIONS ..................... 183,090 ------------
SHARES ---------- SHORT TERM INVESTMENTS - 4.01% American Beacon Money Market Select Fund Section ...................................... 7,859,483 7,860 ------------
PAR AMOUNT ---------- SECURITIES LENDING COLLATERAL - 5.80% AIM Short-Term Investment Company Liquid Asset Fund, 2.82% .................................. $ 3,371 3,371 Banc of America Securities LLC Repo, 2.508%, Due 5/1/2008 @ ............................... 8,000 8,000 ------------ TOTAL SECURITIES LENDING COLLATERAL ............. 11,371 ------------ TOTAL INVESTMENTS - 103.23% (COST $212,439) ........ $ 202,321 LIABILITIES, NET OF OTHER ASSETS - (3.23%) ......... (6,331) ------------ TOTAL NET ASSETS - 100.00% ......................... $ 195,990 ============
Percentages are stated as a percent of net assets. + All or a portion of this security is on loan at April 30, 2008. ++ 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 $32,159 or 16.41% 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. Section The Fund/Trust is affiliated by having the same investment advisor. @ Held at Bank of New York, Collateralized by Corporate Obligations valued at $8,160, 2.5075%, 11/15/2014. See accompanying notes 58 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) COMMON STOCKS - 4.86% CONSUMER DISCRETIONARY - 0.27% SPECIALTY RETAIL - 0.27% Nike, Inc. + .................................... 3,890 $ 260 ------------ CONSUMER STAPLES - 0.43% BEVERAGES - 0.43% Coca-Cola Co. ................................... 7,060 415 ------------ FINANCIALS - 0.49% DIVERSIFIED FINANCIALS - 0.23% T Rowe Price Group, Inc. ..................... 3,800 223 ------------ INSURANCE - 0.26% AON Corp. + .................................. 5,555 252 ------------ TOTAL FINANCIALS 475 ------------ HEALTH CARE - 0.71% BIOTECHNOLOGY - 0.24% Biogen Idec, Inc. ## + .......................... 3,825 232 ------------ OPTICAL SUPPLIES - 0.26% Alcon, Inc. ..................................... 1,630 258 ------------ PHARMACEUTICALS - 0.21% Merck & Co., Inc. ............................... 5,425 206 ------------ TOTAL HEALTH CARE 696 ------------ INDUSTRIALS - 1.01% AEROSPACE & DEFENSE - 0.24% United Technologies Corp. ....................... 3,250 236 ------------ COMMERCIAL SERVICES & SUPPLIES - 0.30% Apollo Group, Inc. ## + ......................... 2,485 127 ITT Educational Services, Inc. ## + ............. 2,145 164 ------------ 291 ------------ INDUSTRIAL CONGLOMERATES - 0.24% Honeywell International, Inc. ................... 3,890 231 ------------ MACHINERY - 0.23% Illinois Tool Works, Inc. + ..................... 4,310 225 ------------ TOTAL INDUSTRIALS 983 ------------
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) INFORMATION TECHNOLOGY - 1.95% COMMUNICATIONS EQUIPMENT - 0.44% Cisco Systems, Inc. @@ .......................... 16,780 $ 430 ------------ IT CONSULTING & SERVICES - 0.29% Accenture Ltd. + ................................ 7,470 281 ------------ SOFTWARE - 1.22% Adobe Systems, Inc. @@ .......................... 7,000 261 Electronic Arts, Inc. @@ + ...................... 4,440 228 Microsoft Corp. + ............................... 7,500 214 Oracle Corp. @@ + ............................... 23,200 484 ------------ 1,187 ------------ TOTAL INFORMATION TECHNOLOGY 1,898 ------------ TOTAL COMMON STOCKS 4,727 ------------ CONVERTIBLE PREFERRED STOCKS - 1.54% FINANCIALS - 0.48% DIVERSIFIED FINANCIALS - 0.48% Bank of America Corp. ........................... 425 467 ------------ HEALTH CARE - 0.33% PHARMACEUTICALS - 0.33% Schering-Plough Corp. ........................... 1,785 322 ------------ INDUSTRIALS - 0.47% AUTOMOBILES - 0.24% General Motors Corp. ............................ 12,630 235 ------------ HOUSEHOLD DURABLES - 0.23% Stanley Works ................................... 255 217 ------------ TOTAL INDUSTRIALS 452 ------------ MATERIALS - 0.26% METALS & MINING - 0.26% Freeport-McMoRan Copper & Gold, Inc. ............ 1,560 254 ------------ TOTAL CONVERTIBLE PREFERRED STOCKS 1,495 ------------ PREFERRED STOCKS - 0.72% FINANCIALS - 0.49% DIVERSIFIED FINANCIALS - 0.49% Citigroup, Inc. + ............................... 9,250 482 ------------
See accompanying notes 59 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) INDUSTRIALS - 0.23% CHEMICALS - 0.23% Avery Dennison Corp. ............................ 4,600 $ 220 ------------ TOTAL PREFERRED STOCKS 702 ------------
PAR AMOUNT ---------- CORPORATE OBLIGATIONS - 29.12% AEROSPACE & DEFENSE - 0.26% Raytheon Co., 5.375%, Due 4/1/2013 ......................... $ 250 255 ------------ BANKS - 7.37% Bank of America Corp., 7.80%, Due 9/15/2016 ......................... 600 681 6.00%, Due 9/1/2017 .......................... 200 208 Bank One Corp., 4.90%, Due 4/30/2015 + ....................... 250 242 Citigroup, Inc., 5.125%, Due 2/14/2011 + ...................... 1,300 1,304 6.125%, Due 11/21/2017 + ..................... 275 279 Credit Suisse First Boston, 6.50%, Due 5/1/2008 + ++ ..................... 500 500 ING Bank, NV, 5.125%, Due 5/1/2015 ++ ...................... 300 293 JP Morgan Chase & Co., 6.75%, Due 2/1/2011 .......................... 650 678 6.00%, Due 1/15/2018 ......................... 250 259 National City Bank, 4.50%, Due 3/15/2010 ......................... 800 760 Synovus Financial Corp., 4.875%, Due 2/15/2013 ........................ 250 236 Wachovia Corp., 5.30%, Due 10/15/2011 ........................ 300 301 Washington Mutual, Inc., 8.25%, Due 4/1/2010 + ........................ 300 285 4.625%, Due 4/1/2014 ......................... 500 395 Wells Fargo & Co., 5.25%, Due 10/23/2012 ........................ 460 470 5.625%, Due 12/11/2017 ....................... 275 284 ------------ 7,175 ------------ BEVERAGES - 0.31% Constellation Brands, Inc., 7.25%, Due 9/1/2016 300 302 ------------
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) COMMUNICATIONS - 1.48% Comcast Cable Communications Holdings, Inc., 8.375%, Due 3/15/2013 ........................ $ 500 $ 560 DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, Due 3/15/2013 ........................ 300 308 Time Warner Cable, Inc., 5.85%, Due 5/1/2017 .......................... 300 298 Verizon Communications, Inc., 6.90%, Due 4/15/2038 ......................... 250 271 ------------ 1,437 ------------ CONSUMER DISCRETIONARY - 0.68% Royal Caribbean Cruises Ltd., 7.50%, Due 10/15/2027 ........................ 275 238 Wal-Mart Stores, Inc., 7.55%, Due 2/15/2030 + ....................... 250 289 Wesco Distribution, Inc., 7.50%, Due 10/15/2017 ........................ 150 136 ------------ 663 ------------ CONSUMER STAPLES - 0.47% Dole Food Co., Inc., 8.875%, Due 3/15/2011 + ...................... 92 82 Hanesbrands, Inc., 8.204%, Due 12/15/2014 # ..................... 140 132 Kellogg Co., 4.25%, Due 3/6/2013 .......................... 250 246 ------------ 460 ------------ ENERGY - 0.52% Canadian Natural Resources Ltd., 6.25%, Due 3/15/2038 ......................... 250 244 EOG Resources, Inc., 4.75%, Due 3/15/2014 ++ ...................... 250 259 ------------ 503 ------------ FINANCE - 4.23% American General Finance Corp., 4.875%, Due 5/15/2010 ........................ 300 298 Capital One Financial Corp., 5.70%, Due 9/15/2011 ......................... 310 303 General Electric Capital Corp., 5.65%, Due 6/9/2014 .......................... 500 520 5.625%, Due 5/1/2018 ......................... 250 253 Goldman Sachs Group, Inc., 4.75%, Due 7/15/2013 ......................... 250 246 6.25%, Due 9/1/2017 .......................... 250 255 HSBC Finance Corp., 5.25%, Due 1/14/2011 ......................... 1,050 1,055
See accompanying notes 60 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) International Lease Finance Corp., 6.375%, Due 3/15/2009 ........................ $ 725 $ 729 Lehman Brothers Holdings, Inc., 4.25%, Due 1/27/2010 + ....................... 250 246 Merrill Lynch & Co., Inc., 6.11%, Due 1/29/2037 ......................... 250 211 ------------ 4,116 ------------ HEALTH CARE - 0.13% Psychiatric Solutions, Inc., 7.75%, Due 7/15/2015 ......................... 125 128 ------------ INDUSTRIALS - 4.43% Canadian National Railway Co., 5.55%, Due 5/15/2018 ......................... 250 254 Caterpillar Financial Services Corp., 4.15%, Due 1/15/2010 ......................... 300 302 4.25%, Due 2/8/2013 .......................... 250 246 Daimler Finance NA LLC, 5.875%, Due 3/15/2011 ........................ 250 256 5.75%, Due 9/8/2011 .......................... 250 256 Ford Motor Credit Co. LLC, 8.625%, Due 11/1/2010 ........................ 285 271 Gardner Denver, Inc., 8.00%, Due 5/1/2013 .......................... 300 302 Goodyear Tire & Rubber Co., 7.857%, Due 8/15/2011 ........................ 300 313 Honeywell International, Inc., 4.25%, Due 3/1/2013 .......................... 250 248 John Deere Capital Corp., 4.125%, Due 1/15/2010 + ...................... 750 754 NBTY, Inc., 7.125%, Due 10/1/2015 ........................ 150 144 Nissan Motor Acceptance Corp., 5.625%, Due 3/14/2011 ++ ..................... 300 301 Norfolk Southern Corp., 8.625%, Due 5/15/2010 ........................ 250 271 Terex Corp., 8.00%, Due 11/15/2017 ........................ 125 128 Union Pacific Corp., 6.50%, Due 4/15/2012 ......................... 250 265 ------------ 4,311 ------------ INSURANCE - 3.92% Aegon Funding Corp., 5.75%, Due 12/15/2020 ......................... 350 328 American International Group, Inc., 5.85%, Due 1/16/2018 ......................... 250 250 6.25%, Due 5/1/2036 + ........................ 250 244
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) ASIF Global Financing, 3.90%, Due 10/22/2008 ++ ..................... $ 500 $ 498 Hartford Financial Services Group, Inc., 5.25%, Due 10/15/2011 ........................ 600 608 John Hancock Global Funding II, 7.90%, Due 7/2/2010 ++ ....................... 675 739 Lincoln National Corp., 4.75%, Due 2/15/2014 ......................... 125 121 MetLife, Inc., 6.375%, Due 6/15/2034 ........................ 275 272 Metropolitan Life Global Funding I, 4.625%, Due 8/19/2010 ++ ..................... 500 508 Prudential Financial, Inc., 4.50%, Due 7/15/2013 ......................... 250 244 ------------ 3,812 ------------ INTERNET & CATALOG RETAIL - 0.32% Expedia, Inc., 7.456%, Due 8/15/2018 ........................ 300 307 ------------ PHARMACEUTICALS - 0.13% Bristol-Myers Squibb Co., 5.45%, Due 5/1/2018 .......................... 125 126 ------------ REAL ESTATE - 1.09% iStar Financial, Inc., 5.85%, Due 3/15/2017 ......................... 400 332 ProLogis Trust, 5.50%, Due 4/1/2012 + ........................ 250 244 5.625%, Due 11/15/2016 ....................... 250 233 Simon Property Group LP, 5.375%, Due 6/1/2011 ......................... 250 250 ------------ 1,059 ------------ TECHNOLOGY - 1.29% Cisco Systems, Inc., 5.25%, Due 2/22/2011 ......................... 250 258 Hewlett-Packard Co., 4.50%, Due 3/1/2013 .......................... 250 252 Sungard Data Systems, Inc., 9.125%, Due 8/15/2013 ........................ 300 314 Syniverse Technologies, Inc., 7.75%, Due 8/15/2013 ......................... 325 309 Xerox Corp., 5.65%, Due 5/15/2013 ......................... 125 125 ------------ 1,258 ------------ TELEPHONE - 1.72% America Movil, S.A.B. de C.V., 6.375%, Due 3/1/2035 ......................... 250 245
See accompanying notes 61 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) AT&T, Inc., 5.625%, Due 6/15/2016 ........................ $ 250 $ 254 5.50%, Due 2/1/2018 .......................... 275 275 6.80%, Due 5/15/2036 + ....................... 125 132 Cingular Wireless Services, Inc., 7.875%, Due 3/1/2011 ......................... 250 270 Verizon Communications, Inc., 5.50%, Due 4/1/2017 .......................... 250 251 Vodafone Group plc, 6.15%, Due 2/27/2037 + ....................... 250 246 ------------ 1,673 ------------ UTILITIES - 0.77% Duke Energy Carolinas LLC, 5.10%, Due 4/15/2018 + ....................... 250 248 MidAmerican Energy Holdings Co., 6.125%, Due 4/1/2036 ......................... 250 250 Virginia Electric and Power Co., 5.40%, Due 4/30/2018 ......................... 250 248 ------------ 746 ------------ TOTAL CORPORATE OBLIGATIONS 28,331 ------------ CONVERTIBLE OBLIGATIONS - 13.11% BANKS - 0.27% Bank of America Corp., 0.25%, Due 2/15/2012 ......................... 270 267 ------------ COMMUNICATIONS - 1.73% Anixter International, Inc., 1.00%, Due 2/15/2013 ......................... 200 217 Juniper Networks, Inc., Zero Coupon, Due 6/15/2008 ................... 292 400 Liberty Media LLC, 0.75%, Due 3/30/2023 + ....................... 320 324 Symantec Corp., 1.00%, Due 6/15/2013 ......................... 210 227 VeriSign, Inc., 3.25%, Due 8/15/2037 ++ ...................... 410 511 ------------ 1,679 ------------ CONSUMER DISCRETIONARY - 1.02% Archer-Daniels-Midland Co., 0.875%, Due 2/15/2014 ........................ 450 537 Carnival Corp., 2.00%, Due 4/15/2021 ......................... 416 454 ------------ 991 ------------
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) ENERGY - 2.15% Cameron International Corp., 2.50%, Due 6/15/2026 ......................... $ 275 $ 431 Pioneer Natural Resources Co., 2.875%, Due 1/15/2038 ........................ 235 288 Schlumberger Ltd., 2.125%, Due 6/1/2023 ......................... 145 367 SESI LLC, 1.50%, Due 12/15/2026 ++ ..................... 270 312 Transocean, Inc., 1.625%, Due 12/15/2037 ....................... 620 698 ------------ 2,096 ------------ FINANCE - 0.50% Lehman Brothers Holdings, Inc., 0.25%, Due 2/16/2012 ......................... 270 259 Nasdaq OMX Group, 2.50%, Due 8/15/2013 ++ ...................... 225 223 ------------ 482 ------------ FINANCIALS - 0.25% SVB Financial Group, 3.875%, Due 4/15/2011 ++ ..................... 225 246 ------------ HEALTH CARE - 0.82% Hologic, Inc., 1.00%, Due 12/15/2037 ........................ 345 340 Medtronic, Inc., 1.50%, Due 4/15/2011 ......................... 280 289 1.625%, Due 4/15/2013 + ...................... 160 165 ------------ 794 ------------ INDUSTRIALS - 1.43% Alliant Techsystems, Inc., 2.75%, Due 9/15/2011 ++ ...................... 320 412 Danaher Corp., Zero Coupon, Due 1/22/2021 ...................... 205 236 Fisher Scientific International, Inc., 3.25%, Due 3/1/2024 .......................... 400 624 Lockheed Martin Corp., 2.815%, Due 8/15/2033 # ...................... 83 121 ------------ 1,393 ------------ PHARMACEUTICALS - 1.78% Beckman Coulter, Inc., 2.50%, Due 12/15/2036 + ...................... 203 229 2.50%, Due 12/15/2036 ++ ..................... 210 237 Genzyme Corp., 1.25%, Due 12/1/2023 + ....................... 200 222
See accompanying notes 62 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Gilead Sciences, Inc., 0.50%, Due 5/1/2011 ++ .......................... $ 360 $ 512 Invitrogen Corp., 1.50%, Due 2/15/2024 ............................ 246 257 Sciele Pharma, Inc., 2.625%, Due 5/15/2027 ........................... 30 28 Teva Pharmaceutical Finance LLC, 0.25%, Due 2/1/2026 ............................. 240 250 ------------ 1,735 ------------ REAL ESTATE - 0.25% GameStop Corp., 8.00%, Due 10/1/2012 ......................... 225 240 ------------ SERVICES - 0.21% Quanta Services, Inc., 3.75%, Due 4/30/2026 ++ ...................... 150 204 ------------ SOFTWARE - 0.25% Red Hat, Inc., 0.50%, Due 1/15/2024 ......................... 240 239 ------------ TECHNOLOGY - 2.45% Avnet, Inc., 2.00%, Due 3/15/2034 ......................... 210 217 CA, Inc., 1.625%, Due 12/15/2009 ....................... 190 231 DRS Technologies, Inc., 2.00%, Due 2/1/2026 ++ ....................... 310 364 EMC Corp., 1.75%, Due 12/1/2011 + ....................... 490 583 Intel Corp., 2.95%, Due 12/15/2035 ........................ 486 482 Sybase, Inc., 1.75%, Due 2/22/2025 ......................... 405 510 ------------ 2,387 ------------ TOTAL CONVERTIBLE OBLIGATIONS 12,753 ------------ NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 3.16% COMMERCIAL MORTGAGE-BACKED SECURITY - 3.16% Banc of America Commercial Mortgage, Inc., 2005-6 A1, 5.001%, Due 9/10/2047 ............. 545 546 2007-2 A2, 5.634%, Due 4/10/2049 ............. 650 648 JP Morgan Chase Commercial Mortgage Securities Corp., 2005-LDP3 A1, 4.655%, Due 8/15/2042 .......... 184 184 2005-LDP4 A1, 4.613%, Due 10/15/2042 ......... 50 50
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) 2007-CB19 A4, 5.937%, Due 2/12/2049 .......... $ 400 $ 397 2007-CB20 A2, 5.629%, Due 2/12/2051 .......... 550 547 LB-UBS Commercial Mortgage Trust, 2004-C1 A4, 5.424%, Due 2/15/2040 ............ 450 437 Wachovia Bank Commercial Mortgage Trust, 2007-C32 A2, 5.923%, Due 6/15/2049 ........... 260 261 ------------ TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS 3,070 ------------ ASSET-BACKED SECURITIES - 3.90% American Express Credit Account Master Trust, 2006-2 A, 5.35%, Due 1/15/2014 ............... 1,050 1,071 Capital Auto Receivables Asset Trust, 2006-SN1A A4A, 5.32%, Due 3/20/2010 ++ ....... 900 907 Capital One Multi-Asset Execution Trust, 2006-A10 A10, 5.15%, Due 6/15/2014 ........... 800 808 Volkswagen Auto Loan Enhanced Trust, 2005-1 A4, 4.86%, Due 4/20/2012 .............. 1,000 1,008 ------------ TOTAL ASSET-BACKED SECURITIES 3,794 ------------ U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 23.40% FEDERAL HOME LOAN MORTGAGE CORPORATION - 8.08% 5.00%, Due 2/1/2021 ............................. 1,251 1,262 4.50%, Due 4/1/2021 ............................. 1,163 1,151 5.00%, Due 5/1/2021 ............................. 1,184 1,193 5.50%, Due 11/1/2021 ............................ 905 922 5.00%, Due 9/1/2035 ............................. 2,472 2,434 5.50%, Due 4/1/2037 ............................. 892 898 ------------ 7,860 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 11.49% 6.50%, Due 7/1/2032 ............................. 454 472 5.50%, Due 6/1/2033 ............................. 1,012 1,021 4.50%, Due 9/1/2034 ............................. 452 431 5.50%, Due 12/1/2035 ............................ 1,031 1,038 5.00%, Due 2/1/2036 ............................. 1,671 1,645 5.50%, Due 4/1/2036 ............................. 1,607 1,619 6.00%, Due 9/1/2036 ............................. 1,407 1,441 6.50%, Due 12/1/2036 ............................ 1,207 1,251 5.50%, Due 2/1/2037 ............................. 1,325 1,334 6.00%, Due 9/1/2037 ............................. 906 927 ------------ 11,179 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 3.83% 4.201%, Due 8/16/2026 ........................... 636 634 6.00%, Due 2/15/2033 ............................ 956 986 5.50%, Due 4/15/2033 ............................ 1,237 1,256
See accompanying notes 63 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) 5.00%, Due 5/15/2033 ............................ $ 859 $ 853 ------------ 3,729 ------------ TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS 22,768 ------------ U.S. AGENCY OBLIGATIONS - 8.45% FEDERAL HOME LOAN BANK - 1.71% 4.50%, Due 9/16/2013 ............................ 1,600 1,661 ------------ FEDERAL HOME LOAN MORTGAGE CORPORATION - 3.04% 5.125%, Due 4/18/2011 + ......................... 1,900 2,009 6.25%, Due 7/15/2032 + .......................... 800 948 ------------ 2,957 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.70% 7.25%, Due 1/15/2010 ............................ 2,000 2,145 5.375%, Due 6/12/2017 + ......................... 1,350 1,459 ------------ 3,604 ------------ TOTAL U.S. AGENCY OBLIGATIONS 8,222 ------------ U.S. TREASURY OBLIGATIONS - 9.59% 4.75%, Due 5/15/2014 + .......................... 3,000 3,261 4.125%, Due 5/15/2015 + ......................... 1,575 1,647 7.875%, Due 2/15/2021 + ......................... 1,400 1,893 6.25%, Due 8/15/2023 + .......................... 650 782 6.875%, Due 8/15/2025 + ......................... 800 1,030 5.25%, Due 11/15/2028 + ......................... 650 713 ------------ TOTAL U.S. TREASURY OBLIGATIONS 9,326 ------------
SHARES ---------- SHORT TERM INVESTMENTS - 1.57% American Beacon Money Market Select Fund Section ................................. 1,527,984 1,528 ------------ SECURITIES LENDING COLLATERAL - 21.71% American Beacon Cash Plus Trust Section ......... 17,006,200 17,006 American Beacon Money Market Select Fund Section ................................. 4,115,604 4,116 ------------ TOTAL SECURITIES LENDING COLLATERAL 21,122 ------------ TOTAL INVESTMENTS 121.13% - (COST $115,883) 117,838 LIABILITIES, NET OF OTHER ASSETS - (21.13%) (20,552) ------------ TOTAL NET ASSETS - 100.00% $ 97,286 ============
Percentages are stated as a percent of net assets. ## Non-income producing security. See accompanying notes 64 AMERICAN BEACON ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited) + All or a portion of this security is on loan at April 30, 2008. ++ 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 $7,026 or 7.22% 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. Section The Fund/Trust is affiliated by having the same investment advisor. See accompanying notes 65 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) CORPORATE OBLIGATIONS - 24.74% AEROSPACE & DEFENSE - 0.12% Raytheon Co., 5.375%, Due 4/1/2013 .............. $ 200 $ 204 ------------ BANKS - 5.12% Bank of America Corp., 5.375%, Due 6/15/2014 ........................ 145 147 7.80%, Due 9/15/2016 ......................... 500 568 6.00%, Due 9/1/2017 .......................... 200 208 5.75%, Due 12/1/2017 + ....................... 190 194 Bank of New York Mellon Corp., 4.95%, Due 11/1/2012 ................................ 140 142 Bank One Corp., 5.90%, Due 11/15/2011 ........................ 440 459 4.90%, Due 4/30/2015 ......................... 200 194 Citigroup, Inc., 5.125%, Due 2/14/2011 + ...................... 1,200 1,204 6.125%, Due 11/21/2017 ....................... 455 462 Credit Suisse First Boston, 6.50%, Due 5/1/2008 + ++ ............................ 350 350 ING Bank, NV, 5.125%, Due 5/1/2015 ++ ........... 250 244 JP Morgan Chase & Co., 6.75%, Due 2/1/2011 .......................... 500 521 6.00%, Due 1/15/2018 ......................... 610 632 National City Bank, 4.50%, Due 3/15/2010 ........ 600 570 Synovus Financial Corp., 4.875%, Due 2/15/2013 .. 200 189 Wachovia Corp., 5.30%, Due 10/15/2011 ........................ 200 201 5.70%, Due 8/1/2013 .......................... 135 135 5.75%, Due 2/1/2018 + ........................ 145 145 Washington Mutual Finance Corp., 6.875%, Due 5/15/2011 ................................ 230 240 Washington Mutual, Inc., 8.25%, Due 4/1/2010 + ........................ 200 190 4.625%, Due 4/1/2014 ......................... 450 356 Wells Fargo & Co., 5.25%, Due 10/23/2012 ........................ 400 408 4.375%, Due 1/31/2013 ........................ 200 198 5.625%, Due 12/11/2017 ....................... 465 479 ------------ 8,436 ------------ BASIC MATERIALS - 0.13% Weyerhaeuser Co., 5.95%, Due 11/1/2008 .......... 210 212 ------------ COMMUNICATIONS - 1.08% Comcast Cable Communications Holdings, Inc., 8.375%, Due 3/15/2013 .................. 450 504 Comcast Corp., 5.30%, Due 1/15/2014 ......................... 220 217 5.875%, Due 2/15/2018 ........................ 135 134
See accompanying notes 66 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) Time Warner Cable, Inc., 5.85%, Due 5/1/2017 .... $ 505 $ 501 Verizon Communications, Inc., 6.40%, Due 2/15/2038 ......................... 145 148 6.90%, Due 4/15/2038 ......................... 250 271 ------------ 1,775 ------------ CONSUMER DISCRETIONARY - 0.51% Wal-Mart Stores, Inc., 4.55%, Due 5/1/2013 .......................... 280 283 7.55%, Due 2/15/2030 ......................... 250 289 6.20%, Due 4/15/2038 ......................... 265 270 ------------ 842 ------------ CONSUMER STAPLES - 0.60% Archer-Daniels-Midland Co., 6.45%, Due 1/15/2038 ................................ 140 145 Diageo Capital plc, 5.75%, Due 10/23/2017 ....... 145 148 Dr Pepper Snapple Group, Inc., 6.82%, Due 5/1/2018 ++ .............................. 140 145 Kellogg Co., 4.25%, Due 3/6/2013 ................ 250 246 Kraft Foods, Inc., 6.50%, Due 8/11/2017 ......... 285 298 ------------ 982 ------------ ELECTRONIC COMPONENTS - 0.09% Tyco Electronics Group SA, 6.55%, Due 10/1/2017 ++ ............................. 150 154 ------------ ENERGY - 1.26% Apache Corp., 5.25%, Due 4/15/2013 .............. 360 370 Canadian Natural Resources Ltd., 6.70%, Due 7/15/2011 ......................... 135 142 5.90%, Due 2/1/2018 .......................... 150 152 6.25%, Due 3/15/2038 ......................... 250 244 Consolidated Natural Gas Co., 6.00%, Due 10/15/2010 ............................... 175 182 EOG Resources, Inc., 4.75%, Due 3/15/2014 ++ .... 200 207 Marathon Oil Corp., 6.00%, Due 10/1/2017 ......................... 200 204 6.60%, Due 10/1/2037 + ....................... 80 81 Transocean, Inc., 6.00%, Due 3/15/2018 .......... 290 300 Weatherford International, Inc., 5.95%, Due 6/15/2012 ................................ 180 187 ------------ 2,069 ------------ FINANCE - 3.85% American Express Co., 8.15%, Due 3/19/2038 ...... 165 192 American General Finance Corp., 4.875%, Due 5/15/2010 ........................ 200 199 4.00%, Due 3/15/2011 + ....................... 535 507 American Honda Finance Corp., 4.625%, Due 4/2/2013 ++ .............................. 350 344 Ameriprise Financial, Inc., 5.35%, Due 11/15/2010 ............................... 480 485 Bear Stearns Cos., Inc., 7.25%, Due 2/1/2018 .... 145 159 Capital One Financial Corp., 5.70%, Due 9/15/2011 + .............................. 200 195 Countrywide Home Loans, Inc., 4.00%, Due 3/22/2011 + .............................. 70 64
See accompanying notes 67 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) General Electric Capital Corp., 4.375%, Due 3/3/2012 ......................... $ 350 $ 348 5.65%, Due 6/9/2014 .......................... 450 468 5.625%, Due 5/1/2018 ......................... 250 253 5.875%, Due 1/14/2038 ........................ 140 133 Goldman Sachs Group, Inc., 4.75%, Due 7/15/2013 ......................... 300 295 6.25%, Due 9/1/2017 .......................... 200 204 5.95%, Due 1/18/2018 + ....................... 215 215 6.75%, Due 10/1/2037 ......................... 145 142 HSBC Finance Corp., 5.25%, Due 1/14/2011 ........ 800 804 International Lease Finance Corp., 6.375%, Due 3/15/2009 + ...................... 250 251 5.75%, Due 6/15/2011 ......................... 165 165 Lehman Brothers Holdings, Inc., 4.25%, Due 1/27/2010 + ....................... 200 197 5.625%, Due 1/24/2013 ........................ 140 138 6.20%, Due 9/26/2014 ......................... 50 50 Merrill Lynch & Co., Inc., 5.45%, Due 2/5/2013 + ........................ 145 141 6.875%, Due 4/25/2018 ........................ 180 181 6.11%, Due 1/29/2037 ......................... 250 211 ------------ 6,341 ------------ HEALTH CARE - 0.11% Covidien International Finance SA, 5.45%, Due 10/15/2012 ++ ..................... 120 121 6.00%, Due 10/15/2017 ++ ..................... 60 61 ------------ 182 ------------ INDUSTRIAL - 0.10% Koninklijke Philips Electronics NV, 5.75%, Due 3/11/2018 ................................ 165 169 ------------ INDUSTRIALS - 2.56% Burlington Northern Santa Fe Corp., 5.75%, Due 3/15/2018 + .............................. 350 355 Canadian National Railway Co., 5.55%, Due 5/15/2018 ................................ 250 254 Caterpillar Financial Services Corp., 4.15%, Due 1/15/2010 ......................... 200 201 4.85%, Due 12/7/2012 ......................... 185 187 4.25%, Due 2/8/2013 .......................... 250 247 CRH America, Inc., 6.00%, Due 9/30/2016 ......... 315 296 Daimler Finance NA LLC, 5.875%, Due 3/15/2011 ........................ 300 307 5.75%, Due 9/8/2011 .......................... 200 205 Honeywell International, Inc., 4.25%, Due 3/1/2013 ................................. 250 249 John Deere Capital Corp., 4.125%, Due 1/15/2010 + ...................... 500 502
See accompanying notes 68 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) 5.40%, Due 10/17/2011 ........................ $ 235 $ 243 Kraft Foods, Inc., 7.00%, Due 8/11/2037 ......... 135 142 Masco Corp., 6.125%, Due 10/3/2016 .............. 135 126 Nissan Motor Acceptance Corp., 5.625%, Due 3/14/2011 ++ ............................. 200 200 Norfolk Southern Corp., 5.75%, Due 4/1/2018 ++ .. 350 355 Starbucks Corp., 6.25%, Due 8/15/2017 ........... 135 134 Union Pacific Corp., 6.50%, Due 4/15/2012 + ..... 200 212 ------------ 4,215 ------------ INSURANCE - 2.54% Aegon Funding Corp., 5.75%, Due 12/15/2020 ...... 200 187 American International Group, Inc., 5.85%, Due 1/16/2018 ......................... 200 200 6.25%, Due 5/1/2036 .......................... 250 244 ASIF Global Financing, 3.90%, Due 10/22/2008 ++ ............................ 300 299 Hartford Financial Services Group, Inc., 5.25%, Due 10/15/2011 ........................ 450 456 5.375%, Due 3/15/2017 ........................ 345 337 John Hancock Global Funding II, 7.90%, Due 7/2/2010 ++ .............................. 550 602 Lincoln National Corp., 4.75%, Due 2/15/2014 .... 100 97 MetLife, Inc., 5.375%, Due 12/15/2012 + ..................... 240 246 5.00%, Due 6/15/2015 ......................... 320 318 6.375%, Due 6/15/2034 ........................ 200 198 Metropolitan Life Global Funding I, 4.625%, Due 8/19/2010 ++ ............................. 400 406 Prudential Financial, Inc., 4.50%, Due 7/15/2013 ......................... 200 195 5.10%, Due 9/20/2014 + ....................... 280 276 Willis North America, Inc., 6.20%, Due 3/28/2017 ................................ 130 127 ------------ 4,188 ------------ PHARMACEUTICALS - 0.68% AstraZeneca plc, 5.40%, Due 9/15/2012 ........... 320 332 Bristol-Myers Squibb Co., 5.45%, Due 5/1/2018 ... 125 126 Hospira, Inc., 6.05%, Due 3/30/2017 ............. 130 127 Schering-Plough Corp., 6.75%, Due 12/1/2033 ..... 185 190 Wyeth Corp., 5.50%, Due 2/1/2014 ................ 335 344 ------------ 1,119 ------------ REAL ESTATE - 0.89% Equity Residential, 5.125%, Due 3/15/2016 ....... 355 326 iStar Financial, Inc., 5.85%, Due 3/15/2017 + ... 350 291 ProLogis Trust, 5.50%, Due 4/1/2012 .......................... 300 293 5.625%, Due 11/15/2016 ....................... 200 186 Simon Property Group LP, 5.375%, Due 6/1/2011 ......................... 200 200
See accompanying notes 69 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) 5.75%, Due 12/1/2015 ......................... $ 170 $ 166 ------------ 1,462 ------------ TECHNOLOGY - 0.87% Cisco Systems, Inc., 5.25%, Due 2/22/2011 ....... 200 207 Computer Sciences Corp., 5.50%, Due 3/15/2013 ++ ...................... 70 70 6.50%, Due 3/15/2018 ++ ...................... 240 248 Hewlett-Packard Co., 4.50%, Due 3/1/2013 ........ 535 540 Oracle Corp., 4.95%, Due 4/15/2013 + ............ 245 249 Xerox Corp., 5.65%, Due 5/15/2013 ............... 125 125 ------------ 1,439 ------------ TELEPHONE - 1.97% America Movil, S.A.B. de C.V., 6.375%, Due 3/1/2035 ......................... 250 245 AT&T, Inc., 5.10%, Due 9/15/2014 ......................... 655 657 5.625%, Due 6/15/2016 ........................ 200 203 5.50%, Due 2/1/2018 .......................... 300 300 6.80%, Due 5/15/2036 ......................... 125 132 Cingular Wireless Services, Inc., 7.875%, Due 3/1/2011 ......................... 200 216 8.75%, Due 3/1/2031 .......................... 170 209 Deutsche Telekom AG, 8.00%, Due 6/15/2010 ....... 150 161 Nextel Communications, Inc., 6.875%, Due 10/31/2013 + ..................... 290 239 Telecom Italia S.p.A., 4.00%, Due 11/15/2008 .... 220 219 Telefonica Emisiones SAU, 5.984%, Due 6/20/2011 ........................ 160 163 Verizon Communications, Inc., 5.50%, Due 4/1/2017 .......................... 250 251 Vodafone Group plc, 6.15%, Due 2/27/2037 + ...... 250 246 ------------ 3,241 ------------ UTILITIES - 2.26% Columbus Southern Power Co., 5.50%, Due 3/1/2013 .......................... 320 324 Dominion Resources, Inc., Series A, 5.60%, Due 11/15/2016 ........................ 135 135 Duke Energy Carolinas LLC, 5.10%, Due 4/15/2018 ......................... 250 248 Duke Energy Indiana, Inc., 6.05%, Due 6/15/2016 + ....................... 205 208 FPL Group Capital, Inc., 5.625%, Due 9/1/2011 ... 540 561 MidAmerican Energy Holdings Co., 5.875%, Due 10/1/2012 ........................ 405 422 6.125%, Due 4/1/2036 ......................... 250 250 Public Service Enterprise Group, Inc., 6.95%, Due 6/1/2012 ......................... 430 457 Southern Power Co., 6.25%, Due 7/15/2012 ........ 270 285 Virginia Electric and Power Co., 5.40%, Due 4/30/2018 ......................... 250 248 Xcel Energy, Inc., 5.613%, Due 4/1/2017 ......... 581 575 ------------ 3,713 ------------ TOTAL CORPORATE OBLIGATIONS ........................ 40,743 ------------
See accompanying notes 70 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 6.63% Banc of America Commercial Mortgage, Inc., 2005-6 A1, 5.001%, Due 9/10/2047 ............ $ 272 $ 273 2007-2 A2, 5.634%, Due 4/10/2049 ............ 450 448 Banc of America Mortgage Securities, Inc., 2004-8 3A1, 5.25%, Due 10/25/2019 ........... 689 691 Bear Stearns Commercial Mortgage Securities, Inc., 2006-T22 A2, 5.631%, Due 4/12/2038 .......... 830 835 2004-PWR5 A4, 4.831%, Due 7/11/2042 ......... 835 815 2005-T20 A2, 5.127%, Due 10/12/2042 ......... 430 431 Chase Mortgage Finance Corp., 2006-A1 A1, 6.037%, Due 9/25/2036 # ......... 1,065 1,083 Citicorp Mortgage Securities, Inc., 2006-3 2A1, 5.50%, Due 6/25/2021 ............ 514 519 Citigroup Commercial Mortgage Trust, 2004-C2 A3, 4.38%, Due 10/15/2041 ........... 770 754 Countrywide Home Loan Mortgage Pass Through Trust, 2007-18 A1, 6.00%, Due 9/25/2037 ..... 836 813 General Electric Capital Commercial Mortgage Corp., 2003-C2 A2, 4.17%, Due 7/10/2037 ..... 244 242 JP Morgan Chase Commercial Mortgage Securities Corp., 2004-CBX A4, 4.529%, Due 1/12/2037 .......... 255 251 2005-LDP3 A1, 4.655%, Due 8/15/2042 ......... 105 105 2005-LDP4 A1, 4.613%, Due 10/15/2042 ........ 28 28 2005-LDP1 A2, 4.625%, Due 3/15/2046 ......... 785 782 2007-CB19 A4, 5.937%, Due 2/12/2049 ......... 300 298 2007-CB20 A2, 5.629%, Due 2/12/2051 ......... 400 398 LB-UBS Commercial Mortgage Trust, 2004-C1 A4, 5.424%, Due 2/15/2040 ........... 300 291 Prime Mortgage Trust, 2005-2, 5.25%, Due 7/25/2020 ................ 621 626 Wachovia Bank Commercial Mortgage Trust, 2007-C32 A2, 5.923%, Due 6/15/2049 .......... 210 210 Wells Fargo Mortgage Backed Securities Trust, 2006-11 A8, 6.00%, Due 9/25/2036 ............ 577 555 2007-7 A1, 6.00%, Due 6/25/2037 ............. 503 479 ------------ TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS ... 10,927 ------------ ASSET-BACKED SECURITIES - 1.54% American Express Credit Account Master Trust, 2006-2 A, 5.35%, Due 1/15/2014 .............. 800 816 Capital Auto Receivables Asset Trust, 2006-SN1A A4A, 5.32%, Due 3/20/2010 ++ ...... 600 605 Capital One Multi-Asset Execution Trust, 2006-A10 A10, 5.15%, Due 6/15/2014 .......... 600 605 Volkswagen Auto Loan Enhanced Trust, 2005-1 A4, 4.86%, Due 4/20/2012 ............. 500 504 ------------ TOTAL ASSET-BACKED SECURITIES .................. 2,530 ------------ U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 25.03% FEDERAL HOME LOAN MORTGAGE CORPORATION - 9.34% 5.50%, Due 9/1/2017 ......................... 193 198 4.50%, Due 3/1/2019 ......................... 573 569 5.00%, Due 10/1/2020 ........................ 562 567 5.00%, Due 7/1/2021 ......................... 481 485 5.50%, Due 11/1/2021 ........................ 377 384 5.00%, Due 11/1/2021 ........................ 84 85 5.50%, Due 4/1/2022 ......................... 40 41
See accompanying notes 71 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ------- ------- (DOLLARS IN THOUSANDS) 5.00%, Due 5/1/2022 ..................................... $ 169 $ 170 5.50%, Due 12/1/2022 .................................... 202 206 6.50%, Due 9/1/2028 ..................................... 82 86 6.00%, Due 8/1/2029 ..................................... 294 303 5.00%, Due 8/1/2033 ..................................... 746 736 5.50%, Due 2/1/2034 ..................................... 1,073 1,083 6.00%, Due 8/1/2034 ..................................... 511 525 6.50%, Due 4/1/2035 ..................................... 43 44 5.00%, Due 8/1/2035 ..................................... 496 489 5.00%, Due 9/1/2035 ..................................... 728 717 5.00%, Due 9/1/2035 ..................................... 412 406 5.50%, Due 11/1/2036 .................................... 794 800 5.897%, Due 12/1/2036 # ................................. 571 584 5.839%, Due 1/1/2037 # .................................. 672 688 5.796%, Due 3/1/2037 # .................................. 525 535 5.256%, Due 4/1/2037 # .................................. 559 569 5.50%, Due 4/1/2037 ..................................... 892 898 5.50%, Due 5/1/2037 ..................................... 1,051 1,059 6.00%, Due 7/1/2037 ..................................... 432 442 6.50%, Due 8/1/2037 ..................................... 37 38 6.00%, Due 12/1/2037 .................................... 402 411 5.00%, Due 3/1/2038 ..................................... 2,299 2,261 ------- 15,379 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 14.50% 6.50%, Due 2/1/2017 ..................................... 246 256 5.50%, Due 8/1/2017 ..................................... 332 340 5.00%, Due 12/1/2017 .................................... 863 873 4.50%, Due 9/1/2018 ..................................... 600 597 5.50%, Due 11/1/2018 .................................... 162 166 5.50%, Due 12/1/2018 .................................... 148 152 5.00%, Due 3/1/2020 ..................................... 199 201 4.00%, Due 8/1/2020 ..................................... 448 432 5.50%, Due 4/1/2021 ..................................... 18 18 5.50%, Due 11/1/2021 .................................... 43 44 5.00%, Due 3/1/2034 ..................................... 934 921 5.50%, Due 6/1/2034 ..................................... 514 519 4.50%, Due 9/1/2034 ..................................... 301 287 5.50%, Due 2/1/2035 ..................................... 1,153 1,163 5.00%, Due 11/1/2035 .................................... 1,669 1,642 5.50%, Due 12/1/2035 .................................... 421 424 5.50%, Due 1/1/2036 ..................................... 730 735 5.50%, Due 1/1/2036 ..................................... 758 763 5.50%, Due 2/1/2036 ..................................... 907 914 5.00%, Due 3/1/2036 ..................................... 775 763
See accompanying notes 72 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ------- ------- (DOLLARS IN THOUSANDS) 5.50%, Due 3/1/2036 ..................................... $ 628 $ 633 5.50%, Due 4/1/2036 ..................................... 803 809 6.00%, Due 9/1/2036 ..................................... 473 484 6.00%, Due 10/1/2036 .................................... 8 8 5.50%, Due 11/1/2036 .................................... 709 713 6.00%, Due 11/1/2036 .................................... 819 839 6.50%, Due 12/1/2036 .................................... 805 834 6.00%, Due 12/1/2036 .................................... 745 763 5.50%, Due 1/1/2037 ..................................... 1,877 1,889 5.50%, Due 2/1/2037 ..................................... 1,325 1,334 6.50%, Due 8/1/2037 ..................................... 1,136 1,177 6.00%, Due 9/1/2037 ..................................... 1,359 1,391 6.00%, Due 11/1/2037 .................................... 1,679 1,718 5.00%, Due 3/1/2038 ..................................... 70 69 ------- 23,871 ------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.19% 4.201%, Due 8/16/2026 ................................... 363 362 6.50%, Due 3/15/2028 .................................... 444 463 6.00%, Due 4/15/2031 .................................... 535 553 5.50%, Due 2/20/2034 .................................... 579 587 ------- 1,965 ------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS .............. 41,215 ------- U.S. AGENCY OBLIGATIONS - 15.02% FEDERAL HOME LOAN BANK - 4.11% 5.00%, Due 10/16/2009 + ................................. 1,005 1,015 5.25%, Due 11/3/2009 .................................... 250 253 4.50%, Due 9/16/2013 .................................... 5,300 5,502 ------- 6,770 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION - 6.00% 5.25%, Due 2/24/2011 .................................... 1,260 1,288 5.125%, Due 4/18/2011 ................................... 4,400 4,651 5.40%, Due 3/17/2021 .................................... 965 1,017 6.00%, Due 12/15/2031 ................................... 1,470 1,514 6.25%, Due 7/15/2032 + .................................. 1,200 1,423 ------- 9,893 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.91% 7.25%, Due 1/15/2010 .................................... 5,000 5,363 5.125%, Due 1/2/2014 .................................... 545 556 5.375%, Due 6/12/2017 + ................................. 2,000 2,162 ------- 8,081 ------- TOTAL U.S. AGENCY OBLIGATIONS .............................. 24,744 ------- U.S. TREASURY OBLIGATIONS - 23.03% 4.875%, Due 4/30/2011 + ................................. 1,800 1,925
See accompanying notes 73 AMERICAN BEACON INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) 4.50%, Due 3/31/2012 + ............................. $ 4,500 $ 4,777 2.75%, Due 2/28/2013 + ............................. 8,470 8,361 4.75%, Due 5/15/2014 + ............................. 8,380 9,111 4.125%, Due 5/15/2015 + ............................ 3,000 3,137 3.50%, Due 2/15/2018 + ............................. 4,000 3,915 9.125%, Due 5/15/2018 + ............................ 400 573 7.875%, Due 2/15/2021 + ............................ 1,050 1,420 6.25%, Due 8/15/2023 + ............................. 900 1,083 6.875%, Due 8/15/2025 + ............................ 770 991 5.25%, Due 11/15/2028 + ............................ 750 822 5.00%, Due 5/15/2037 + ............................. 1,670 1,810 -------- TOTAL U.S. TREASURY OBLIGATIONS ....................... 37,925 -------- SHARES ----------- SHORT TERM INVESTMENTS - 3.09% American Beacon Money Market Select Fund Section ... 5,082,233 5,082 -------- SECURITIES LENDING COLLATERAL - 25.51% American Beacon Cash Plus Trust Section ............ 33,828,456 33,828 American Beacon Money Market Select Fund Section ... 8,186,691 8,187 -------- TOTAL SECURITIES LENDING COLLATERAL ................ 42,015 -------- TOTAL INVESTMENTS - 124.59% (COST $204,223) ........... $205,181 LIABILITIES, NET OF OTHER ASSETS - (24.59%) ........... (40,494) -------- TOTAL NET ASSETS - 100.00% ............................ $164,687 ========
Percentages are stated as a percent of net assets. + All or a portion of this security is on loan at April 30, 2008. ++ 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 $4,411 or 2.68% 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. Section The Fund/Trust is affiliated by having the same investment advisor. See accompanying notes 74 AMERICAN BEACON SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) CORPORATE OBLIGATIONS - 56.88% BANKS - 15.60% Citigroup, Inc., 4.125%, Due 2/22/2010 ........................ $ 1,000 $ 982 4.625%, Due 8/3/2010 ......................... 1,000 990 Comerica Bank, 6.00%, Due 10/1/2008 ............. 2,200 2,219 HSBC Bank USA, 3.875%, Due 9/15/2009 ............ 2,000 1,991 JP Morgan Chase & Co., 6.75%, Due 2/1/2011 + .... 2,000 2,086 National City Bank, 4.50%, Due 3/15/2010 ........ 2,000 1,901 National Westminster Bank plc, 7.375%, Due 10/1/2009 .................................... 2,000 2,082 Wachovia Corp., 5.30%, Due 10/15/2011 ........... 2,000 2,006 Washington Mutual, Inc., 8.25%, Due 4/1/2010 + .. 2,000 1,900 ------------ 16,157 ------------ COMMUNICATIONS - 1.95% Comcast Cable Communications Holdings, Inc., 6.20%, Due 11/15/2008 ........................ 2,000 2,015 ------------ FINANCE - 14.89% Capital One Financial Corp., 5.70%, Due 9/15/2011 .................................... 1,000 976 Countrywide Home Loans, Inc., 3.25%, Due 5/21/2008 + .................................. 2,000 1,995 Credit Suisse USA, Inc., 4.70%, Due 6/1/2009 .... 2,000 2,016 General Electric Capital Corp., 5.875%, Due 2/15/2012 .................................... 3,000 3,141 Goldman Sachs Group, Inc., 6.65%, Due 5/15/2009 .................................... 1,000 1,022 Lehman Brothers Holdings, Inc., 4.25%, Due 1/27/2010 .................................... 1,600 1,574 MBNA Corp., 7.50%, Due 3/15/2012 ................ 2,000 2,194 Merrill Lynch & Co., Inc., 6.00%, Due 2/17/2009 .................................... 2,500 2,507 ------------ 15,425 ------------ INDUSTRIALS - 9.11% Bunge Limited Finance Corp., 4.375%, Due 12/15/2008 ................................... 1,000 1,002 Caterpillar Financial Services Corp., 4.15%, Due 1/15/2010 ................................ 2,000 2,014 Daimler Finance NA LLC, 5.75%, Due 9/8/2011 ..... 1,000 1,024 John Deere Capital Corp., 4.125%, Due 1/15/2010 + .................................. 2,500 2,512 Nissan Motor Acceptance Corp., 4.625%, Due 3/8/2010 ++ .................................. 1,000 1,003 Norfolk Southern Corp., 8.625%, Due 5/15/2010 ... 750 814 Northrop Grumman Corp., 7.125%, Due 2/15/2011 ... 1,000 1,066 ------------ 9,435 ------------ INSURANCE - 9.58% ASIF Global Financing, 3.90%, Due 10/22/2008 ++ ........................................... 2,000 1,993 Hartford Financial Services Group, Inc., 5.25%, Due 10/15/2011 ............................... 700 709 ING Security Life Institutional Funding, 4.25%, Due 1/15/2010 ++ ............................. 1,500 1,496 John Hancock Global Funding II, 7.90%, Due 7/2/2010 ++ .................................. 2,000 2,190 Metropolitan Life Global Funding I, 4.625%, Due 8/19/2010 ++ ................................. 1,500 1,524 Monumental Global Funding II, 4.625%, Due 3/15/2010 ++ ................................. 1,000 1,006 Pricoa Global Funding 1, 4.20%, Due 1/15/2010 ++ ................................. 1,000 1,001 ------------ 9,919 ------------
See accompanying notes 75 AMERICAN BEACON SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) REAL ESTATE - 0.87% iStar Financial, Inc., 5.375%, Due 4/15/2010 + .. $ 1,000 $ 900 ------------ TELEPHONE - 2.95% AT&T Corp., 6.00%, Due 3/15/2009 ................ 2,000 2,029 Vodafone Group plc, 5.50%, Due 6/15/2011 ........ 1,000 1,027 ------------ 3,056 ------------ UTILITIES - 1.93% MidAmerican Energy Holdings Co., 3.50%, Due 5/15/2008 .................................... 2,000 2,000 ------------ TOTAL CORPORATE OBLIGATIONS...................... 58,907 ------------ NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.94% Banc of America Commercial Mortgage, Inc., 2005-6 A1, 5.001%, Due 9/10/2047 ............. 545 546 2007-2 A2, 5.634%, Due 4/10/2049 ............. 800 797 Wachovia Bank Commercial Mortgage Trust, 2006-C23 A1, 5.203%, Due 1/15/2045 ........... 664 665 ------------ TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS .... 2,008 ------------ ASSET-BACKED SECURITIES - 18.46% Banc of America Securities Auto Trust, 2005-WF1 A4, 4.08%, Due 4/18/2010 ..................... 3,000 3,007 Capital Auto Receivables Asset Trust, 2006-SN1A A4A, 5.32%, Due 3/20/2010 ++ ....... 2,000 2,017 2006-1 A4, 5.04%, Due 5/17/2010 .............. 250 252 CarMax Auto Owner Trust, 2005-3 A4, 4.91%, Due 1/18/2011 .................................... 1,200 1,211 Chase Manhattan Auto Owner Trust, 2006-A A4, 5.36%, Due 1/15/2013 ......................... 2,000 2,030 DaimlerChrysler Auto Trust, 2004-C A4, 3.28%, Due 12/8/2009 ................................ 996 996 Harley-Davidson Motorcycle Trust, 2007-3 A4, 5.52%, Due 11/15/2013 ........................ 2,000 2,023 HSBC Automotive Trust, 2005-1 A4, 4.35%, Due 6/18/2012 .................................... 3,000 3,009 USAA Auto Owner Trust, 2007-1 A4, 5.55%, Due 2/15/2013 .................................... 3,000 3,055 Volkswagen Auto Loan Enhanced Trust, 2005-1 A4, 4.86%, Due 4/20/2012 ......................... 1,500 1,512 ------------ TOTAL ASSET-BACKED SECURITIES ................... 19,112 ------------ U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 2.64% GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.64% 4.968%, Due 9/15/2008 ........................ 913 919 4.201%, Due 8/16/2026 ........................ 1,816 1,810 ------------ TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS ... 2,729 ------------ U.S. AGENCY OBLIGATIONS - 4.96% FEDERAL HOME LOAN MORTGAGE CORPORATION - 4.96% 4.75%, Due 11/3/2009 + .......................... 5,000 5,134 U.S. TREASURY OBLIGATIONS - 11.76% 3.125%, Due 11/30/2009 + ........................ 12,000 12,176 ------------
See accompanying notes 76 AMERICAN BEACON SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS April 30, 2008 (Unaudited)
SHARES VALUE ---------- ------------ (DOLLARS IN THOUSANDS) SHORT TERM INVESTMENTS - 2.91% American Beacon Money Market Select Fund # ...... 3,016,556 $ 3,017 ------------ SECURITIES LENDING COLLATERAL - 20.20% American Beacon Cash Plus Trust # ............... 16,845,535 16,845 American Beacon Money Market Select Fund # ...... 4,076,722 4,077 ------------ TOTAL SECURITIES LENDING COLLATERAL ............. 20,922 ------------ TOTAL INVESTMENTS - 119.75% (COST $123,654)......... $ 124,005 LIABILITIES, NET OF OTHER ASSETS - (19.75%)......... (20,450) ------------ TOTAL NET ASSETS - 100.00% $ 103,555 ============
Percentages are stated as a percent of net assets. + All or a portion of this security is on loan at April 30, 2008. ++ 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 $12,230 or 11.81% 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 77 AMERICAN BEACON FUNDS STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2008 (UNAUDITED) (IN THOUSANDS EXCEPT SHARE AND PER SHARE AMOUNTS)
SMALL CAP VALUE EMERGING BALANCED LARGE CAP MID-CAP OPPORTUNITY MARKETS FUND GROWTH FUND VALUE FUND FUND FUND ----------- ----------- ---------- ----------- ----------- ASSETS: Investments in unaffiliated securities, at value(A, D).. $ 1,006,540 $ 81,612 $ 86,144 $ 8,660 $ 199,285 Investments in affiliated securities, at value(B) ...... 229,349 23,410 20,995 1,999 26,983 Foreign currency, at value(C)........................... -- -- -- -- 2,406 Cash ................................................... -- -- -- -- -- Receivable for investments sold ........................ 3,524 878 335 237 1,754 Dividends and interest receivable ...................... 4,698 53 68 8 545 Receivable for fund shares sold ........................ 89 67 97 -- 16 Receivable for tax reclaims ............................ 5 -- -- -- 20 Receivable for expense reimbursement ................... -- -- -- 10 -- Prepaid expenses ....................................... 27 1 32 -- 16 ----------- ----------- ---------- -------- ----------- TOTAL ASSETS ........................................ 1,244,232 106,021 107,671 10,914 231,025 ----------- ----------- ---------- -------- ----------- LIABILITIES: Payable for investments purchased ...................... 2,985 777 269 262 1,352 Payable upon return of securities loaned ............... 195,104 20,614 13,536 1,818 17,904 Payable for fund shares redeemed ....................... 877 30 181 1 272 Payable for variation margin on open futures contracts ........................................... 139 11 10 -- 46 Dividends payable ...................................... -- -- -- -- -- Payable under excess expense reimbursement plan ........ -- -- -- -- 4 Management and investment advisory fees payable (Note 2) 692 132 185 15 536 Administrative service and service fees payable ........ 80 -- 12 2 6 Other liabilities ...................................... 157 30 38 9 77 ----------- ----------- ---------- -------- ----------- TOTAL LIABILITIES ................................... 200,034 21,594 14,231 2,107 20,197 ----------- ----------- ---------- -------- ----------- NET ASSETS ................................................ $ 1,044,198 $ 84,427 $ 93,440 $ 8,807 $ 210,828 =========== =========== ========== ======== =========== ANALYSIS OF NET ASSETS: Paid-in-capital ........................................... 984,484 84,891 105,034 13,349 157,811 Undistributed net investment income ....................... 9,527 202 360 37 1,061 Accumulated net realized gain (loss) ..................... (15,626) (4,928) (1,502) (3,372) 21,749 Unrealized appreciation (depreciation) of investments, futures contracts, and foreign currency ................ 65,813 4,262 (10,452) (1,207) 30,207 ----------- ----------- ---------- -------- ----------- NET ASSETS ................................................ $ 1,044,198 $ 84,427 $ 93,440 $ 8,807 $ 210,828 =========== =========== ========== ======== =========== Shares outstanding (no par value): Institutional Class .................................... 3,586,310 17,736 574,591 992,486 638,212 =========== =========== ========== ======== =========== PlanAhead Class ........................................ 12,725,951 N/A 3,580,512 11,180 679,104 =========== =========== ========== ======== =========== Service Class .......................................... 777,373 N/A 92 N/A N/A =========== =========== ========== ======== =========== AMR Class .............................................. 61,445,761 12,670,060 6,248,897 N/A 10,383,205 =========== =========== ========== ======== =========== Net asset value, offering and redemption price per share: Institutional Class .................................... $ 13.92 $ 6.62 $ 8.97 $ 8.77 $ 17.94 =========== =========== ========== ======== =========== PlanAhead Class ........................................ $ 12.99 N/A $ 8.94 $ 8.74 $ 17.68 =========== =========== ========== ======== =========== Service Class .......................................... $ 12.83 N/A $ 8.89 N/A N/A =========== =========== ========== ======== =========== AMR Class .............................................. $ 13.33 $ 6.65 $ 9.01 N/A $ 18.05 =========== =========== ========== ======== =========== A Cost of investments in unaffiliated securities .......... $ 941,987 $ 77,407 $ 97,145 $ 9,866 $ 169,488 B Cost of investments in affiliated securities ............ $ 229,349 $ 23,410 $ 20,995 $ 1,999 $ 26,983 C Cost of foreign currency ................................ $ -- $ -- $ -- $ -- $ 2,412 D Market value of securities on loan ...................... $ 195,930 $ 21,087 $ 14,184 $ 1,766 $ 18,127
See accompanying notes 78
ENHANCED HIGH YIELD INCOME INTERMEDIATE SHORT-TERM BOND FUND FUND BOND FUND BOND FUND ----------- ---------- ------------ ----------- ASSETS: Investments in unaffiliated securities, at value(A, D).. $ 194,461 $ 95,188 $ 158,084 $ 100,066 Investments in affiliated securities, at value(B) ...... 7,860 22,650 47,097 23,939 Foreign currency, at value(C) .......................... -- -- -- -- Cash ................................................... 7 -- -- -- Receivable for investments sold ........................ 1,074 96 244 -- Dividends and interest receivable ...................... 4,346 828 1,522 1,043 Receivable for fund shares sold ........................ 620 172 555 74 Receivable for tax reclaims ............................ -- 1 1 -- Receivable for expense reimbursement ................... -- -- -- -- Prepaid expenses ....................................... 17 2 11 17 ----------- ---------- ----------- ----------- TOTAL ASSETS ........................................ 208,385 118,937 207,514 125,139 ----------- ---------- ----------- ----------- LIABILITIES: Payable for investments purchased ...................... 369 374 590 -- Payable upon return of securities loaned ............... 11,387 21,122 42,015 20,922 Payable for fund shares redeemed ....................... 155 -- 161 579 Payable for variation margin on open futures contracts ........................................... -- -- -- -- Dividends payable ...................................... 91 -- 1 34 Payable under excess expense reimbursement plan ........ -- -- -- -- Management and investment advisory fees payable (Note 2) 278 88 33 23 Administrative service and service fees payable ........ 25 37 -- 4 Other liabilities ...................................... 90 30 27 22 ----------- ---------- ----------- ----------- TOTAL LIABILITIES ................................... 12,395 21,651 42,827 21,584 ----------- ---------- ----------- ----------- NET ASSETS ................................................ $ 195,990 $ 97,286 $ 164,687 $ 103,555 =========== ========== =========== =========== ANALYSIS OF NET ASSETS: Paid-in-capital ........................................... 210,336 95,018 170,529 110,476 Undistributed net investment income ....................... 503 (450) 502 (19) Accumulated net realized gain (loss) ..................... (4,731) 763 (7,302) (7,253) Unrealized appreciation (depreciation) of investments, futures contracts, and foreign currency ................ (10,118) 1,955 958 351 ----------- ---------- ----------- ----------- NET ASSETS ................................................ $ 195,990 $ 97,286 $ 164,687 $ 103,555 =========== ========== =========== =========== Shares outstanding (no par value): Institutional Class .................................... 10,170,035 N/A 15,960,325 11,092,966 =========== ========== =========== =========== PlanAhead Class ........................................ 3,244,568 9,648,659 N/A 650,001 =========== ========== =========== =========== Service Class .......................................... N/A N/A N/A N/A =========== ========== =========== =========== AMR Class .............................................. 6,972,368 N/A N/A N/A =========== ========== =========== =========== Net asset value, offering and redemption price per share: Institutional Class .................................... $ 9.61 N/A $ 10.32 $ 8.82 =========== ========== =========== =========== PlanAhead Class ........................................ $ 9.62 $ 10.08 N/A $ 8.83 =========== ========== =========== =========== Service Class .......................................... N/A N/A N/A N/A =========== ========== =========== =========== AMR Class .............................................. $ 9.61 N/A N/A N/A =========== ========== =========== =========== - ---------- (A) Cost of investments in unaffiliated securities .......... $ 204,579 $ 93,233 $ 157,126 $ 99,715 (B) Cost of investments in affiliated securities ............ $ 7,860 $ 22,650 $ 47,097 $ 23,939 (C) Cost of foreign currency ................................ $ -- $ -- $ -- $ -- (D) Market value of securities on loan ...................... $ 11,141 $ 20,707 $ 41,361 $ 20,518
See accompanying notes 79 AMERICAN BEACON FUNDS STATEMENTS OF OPERATIONS SIX MONTHS ENDED APRIL 30, 2008 (IN THOUSANDS) (UNAUDITED)
LARGE CAP BALANCED GROWTH MID-CAP FUND FUND VALUE FUND -------- --------- ---------- INVESTMENT INCOME: Dividend income from unaffiliated securities (net of foreign taxes) (A) ..................... $ 8,042 $ 569 $ 1,036 Dividend income from affiliated securities ......... 871 86 108 Interest income .................................... 10,682 2 15 Income derived from securities lending, net ........ 717 52 50 -------- -------- -------- TOTAL INVESTMENT INCOME ......................... 20,312 709 1,209 -------- -------- -------- EXPENSES: Management and investment advisory fees (Note 2) ... 1,475 237 339 Administrative service fees (Note 2): Institutional Class ............................. 61 -- 7 PlanAhead Class ................................. 221 -- 38 Service Class ................................... 13 -- -- Transfer agent fees: Institutional Class ............................. 3 -- -- PlanAhead Class ................................. 13 -- 1 AMR Class ....................................... 17 -- 8 Custody and fund accounting fees ................... 42 4 4 Professional fees .................................. 22 13 12 Registration fees and expenses ..................... 30 -- 13 Service fees (Note 2): PlanAhead Class ................................. 221 -- 38 Service Class ................................... 13 -- -- Distribution fees- Service Class (Note 2) .......... 13 -- -- Prospectus and shareholder reports ................. 19 4 5 Other expenses ..................................... 43 3 5 -------- -------- -------- TOTAL EXPENSES .................................. 2,206 261 470 -------- -------- -------- Net (fees waived and expenses reimbursed)/ recouped by Manager (Note 2) .................... -- -- (12) -------- -------- -------- NET EXPENSES .................................... 2,206 261 458 -------- -------- -------- NET INVESTMENT INCOME ................................. 18,106 448 751 -------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: (B) Investments ..................................... (6,289) (3,519) 18 Commission recapture (Note 1) ................... 3 4 9 Foreign currency transactions ................... -- -- -- Futures contracts ............................... (3,763) (1,079) (1,123) Change in net unrealized appreciation or depreciation of: (C) Investments ..................................... (76,761) (7,280) (12,896) Foreign currency translations ................... -- -- -- Futures contracts ............................... (753) 23 450 -------- -------- -------- NET GAIN (LOSS) ON INVESTMENTS ............... (87,563) (11,851) (13,542) -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .................................... $(69,457) $(11,403) $(12,791) ======== ======== ======== - ---------- (A) Foreign taxes ..................................... $ -- $ -- $ 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 80
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) ..................... $ 108 $ 2,358 $ -- $ 83 $ -- $ -- Dividend income from affiliated securities ......... 1 270 164 63 172 206 Interest income .................................... -- 10 8,157 1,994 3,123 2,143 Income derived from securities lending, net ........ 11 96 34 68 131 36 ------- -------- -------- ------- ------- ------- TOTAL INVESTMENT INCOME ......................... 120 2,734 8,355 2,208 3,426 2,385 ------- -------- -------- ------- ------- ------- EXPENSES: Management and investment advisory fees (Note 2) ... 27 973 491 169 171 123 Administrative service fees (Note 2): Institutional Class ............................. 12 14 120 -- -- -- PlanAhead Class ................................. -- 14 30 120 -- 6 Service Class ................................... -- -- -- -- -- -- Transfer agent fees: Institutional Class ............................. 1 1 36 -- 3 -- PlanAhead Class ................................. -- 5 4 2 -- 2 AMR Class ....................................... -- 5 16 -- -- -- Custody and fund accounting fees ................... -- 383 11 6 8 6 Professional fees .................................. 12 14 16 13 15 12 Registration fees and expenses ..................... 16 14 14 9 11 14 Service fees (Note 2): PlanAhead Class ................................. -- 14 30 121 -- 6 Service Class ................................... -- -- -- -- -- -- Distribution fees- Service Class (Note 2) .......... -- -- -- -- -- -- Prospectus and shareholder reports ................. -- 3 17 5 2 2 Other expenses ..................................... 1 9 7 3 3 8 ------- -------- -------- ------- ------- ------- TOTAL EXPENSES .................................. 69 1,449 792 448 213 179 ------- -------- -------- ------- ------- ------- Net (fees waived and expenses reimbursed)/ recouped by Manager (Note 2) .................... (18) -- -- -- -- (1) ------- -------- -------- ------- ------- ------- NET EXPENSES .................................... 51 1,449 792 448 213 178 ------- -------- -------- ------- ------- ------- NET INVESTMENT INCOME ................................. 69 1,285 7,563 1,760 3,213 2,207 ------- -------- -------- ------- ------- ------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: (B) Investments ..................................... (3,037) 23,832 (2,816) 939 1,559 106 Commission recapture (Note 1) ................... 1 -- -- -- -- -- Foreign currency transactions ................... -- 2,618 -- -- -- -- Futures contracts ............................... -- (3,368) -- -- -- -- Change in net unrealized appreciation or depreciation of: (C) Investments ..................................... 521 (56,898) (7,368) (1,527) 749 212 Foreign currency translations ................... -- (4,986) -- -- -- -- Futures contracts ............................... -- 227 -- -- -- -- ------- -------- -------- ------- ------- ------- NET GAIN (LOSS) ON INVESTMENTS ............... (2,515) (38,575) (10,184) (588) 2,308 318 ------- -------- -------- ------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .................................... $(2,446) $(37,290) $ (2,621) $ 1,172 $ 5,521 $ 2,525 ======= ======== ======== ======= ======= ======= - ---------- (A) Foreign taxes ..................................... $ -- $ 236 $ -- $ -- $ -- $ -- (B) Net of foreign withholding taxes on capital gains ............................................. $ -- $ 68 $ -- $ -- $ -- $ -- (C) Net of unrealized appreciation of foreign withholding taxes on capital gains ................ $ -- $ (122) $ -- $ -- $ -- $ --
See accompanying notes 81 AMERICAN BEACON FUNDS STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
Balanced Fund Large Cap Growth Fund Mid-Cap Value Fund ------------------------ ------------------------ ------------------------ Six Six Six Months Year Months Year Months Year Ended Ended Ended Ended Ended Ended April 30, October 31, April 30, October 31, April 30, October 31, 2008 2007 2008 2007 2008 2007 ----------- ----------- ----------- ----------- ----------- ----------- (unaudited) (unaudited) (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ...... $ 18,106 $ 33,625 $ 448 $ 815 $ 751 $ 1,701 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions ... (10,049) 60,813 (4,594) 6,273 (1,096) 7,903 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations ... (77,514) 2,006 (7,257) 4,085 (12,446) (3,979) ---------- ---------- -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ... (69,457) 96,444 (11,403) 11,173 (12,791) 5,625 ---------- ---------- -------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ..... (1,424) (762) (1) (1) (84) (22) PlanAhead Class ......... (5,471) (3,106) -- -- (326) (206) Service Class ........... (318) (43) -- -- -- -- AMR Class ............... (27,782) (23,927) (791) (737) (1,140) (563) Net realized gain on investments: Institutional Class ..... (2,559) (1,300) (3) -- (405) (86) PlanAhead Class ......... (10,490) (5,825) -- -- (2,179) (706) Service Class ........... (602) (77) -- -- -- -- AMR Class ............... (45,704) (38,430) (2,748) -- (4,985) (1,766) ---------- ---------- -------- -------- -------- -------- NET DISTRIBUTIONS TO SHAREHOLDERS ...... (94,350) (73,470) (3,543) (738) (9,119) (3,349) ---------- ---------- -------- -------- -------- -------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares .................. 51,670 239,343 21,836 44,637 18,224 85,804 Reinvestment of dividends and distributions ....... 93,808 72,959 3,543 738 9,098 3,346 Cost of shares redeemed .... (99,710) (126,358) (27,823) (36,145) (39,996) (60,513) Redemption fees ............ -- -- -- -- 24 161 ---------- ---------- -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ...... 45,768 185,944 (2,444) 9,230 (12,650) 28,798 ---------- ---------- -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS ................. (118,039) 208,918 (17,390) 19,665 (34,560) 31,074 ---------- ---------- -------- -------- -------- -------- NET ASSETS: Beginning of period ........ 1,162,237 953,319 101,817 82,152 128,000 96,926 ---------- ---------- -------- -------- -------- -------- END OF PERIOD * ............ $1,044,198 $1,162,237 $ 84,427 $101,817 $ 93,440 $128,000 ========== ========== ======== ======== ======== ======== *Includes undistributed net investment income (loss) of .................. $ 9,527 $ 26,249 $ 202 $ 552 $ 360 $ 1,243 ========== ========== ======== ======== ======== ========
See accompanying notes 82
Small Cap Value Opportunity Fund Emerging Markets Fund High Yield Bond Fund Enhanced Income Fund ------------------------ ------------------------ ------------------------ ------------------------ Six Six Six Six Months Year Months Year Months Year Months Year Ended Ended Ended Ended Ended Ended Ended Ended April 30, October 31, April 30, October 31, April 30, October 31, April 30, October 31, 2008 2007 2008 2007 2008 2007 2008 2007 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- (unaudited) (unaudited) (unaudited) (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ...... $ 69 $ 148 $ 1,285 $ 2,414 $ 7,563 $ 22,739 $ 1,760 $ 3,774 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions ... (3,036) (371) 23,082 43,507 (2,816) 1,834 939 2,870 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations ... 521 (1,878) (61,657) 55,340 (7,368) (3,549) (1,527) 212 -------- ------- -------- -------- -------- --------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ... (2,446) (2,101) (37,290) 101,261 (2,621) 21,024 1,172 6,856 -------- ------- -------- -------- -------- --------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ..... (134) (17) (58) (101) (3,758) (16,871) -- -- PlanAhead Class ......... (1) -- (43) (15) (903) (4,915) (2,888) (4,171) Service Class ........... -- -- -- -- -- -- -- -- AMR Class ............... -- -- (2,023) (1,130) (2,902) (949) -- -- Net realized gain on investments: Institutional Class ..... -- (9) (2,019) (2,407) -- -- -- -- PlanAhead Class ......... -- -- (1,876) (922) -- -- (2,097) (74) Service Class ........... -- -- -- -- -- -- -- -- AMR Class ............... -- -- (39,911) (19,268) -- -- -- -- -------- ------- -------- -------- -------- --------- -------- -------- NET DISTRIBUTIONS TO SHAREHOLDERS ...... (135) (26) (45,930) (23,843) (7,563) (22,735) (4,985) (4,245) -------- ------- -------- -------- -------- --------- -------- -------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares .................. 915 29,224 21,807 87,824 47,032 209,900 8,664 15,667 Reinvestment of dividends and distributions ....... 135 26 45,849 23,764 6,672 19,203 4,997 4,245 Cost of shares redeemed .... (19,349) (2,199) (70,908) (49,405) (73,521) (313,378) (12,351) (48,649) Redemption fees ............ -- -- 107 53 -- -- -- -- -------- ------- -------- -------- -------- --------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ...... (18,299) 27,051 (3,145) 62,236 (19,817) (84,275) 1,310 (28,737) -------- ------- -------- -------- -------- --------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS ................. (20,880) 24,924 (86,365) 139,654 (30,001) (85,986) (2,503) (26,126) -------- ------- -------- -------- -------- --------- -------- -------- NET ASSETS: Beginning of period ........ 29,687 4,763 297,193 157,539 225,991 311,977 99,789 125,915 -------- ------- -------- -------- -------- --------- -------- -------- END OF PERIOD * ............ $ 8,807 $29,687 $210,828 $297,193 $195,990 $ 225,991 $ 97,286 $ 99,789 ======== ======= ======== ======== ======== ========= ======== ======== *Includes undistributed net investment income (loss) of .................. $ 37 $ 126 $ 1,061 $ 2,180 $ 503 $ 503 $ (450) $ 575 ======== ======= ======== ======== ======== ========= ======== ========
See accompanying notes 83 AMERICAN BEACON FUNDS STATEMENTS OF CHANGES IN NEW ASSETS (IN THOUSANDS)
Intermediate Bond Fund Short-Term Bond Fund ------------------------- ------------------------- Six Months Six Months Year Ended Year Ended Ended Ended April 30, October 31, April 30, October 31, 2008 2007 2008 2007 ----------- ----------- ----------- ----------- (unaudited) (unaudited) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income ................................. $ 3,213 $ 4,932 $ 2,207 $ 3,893 Net realized gain on investments, futures contracts, and foreign currency transactions .................. 1,559 280 106 237 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations .................. 749 560 212 624 --------- --------- --------- --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ......................................... 5,521 5,772 2,525 4,754 --------- --------- --------- --------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class ................................ (3,215) (4,946) (2,305) (4,046) PlanAhead Class .................................... -- (13) (97) (227) --------- --------- --------- --------- NET DISTRIBUTIONS TO SHAREHOLDERS .................. (3,215) (4,959) (2,402) (4,273) --------- --------- --------- --------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares ......................... 78,491 26,882 24,071 22,984 Reinvestment of dividends and distributions ........... 3,213 4,957 2,347 4,264 Cost of shares redeemed ............................... (28,997) (21,223) (15,389) (15,932) --------- --------- --------- --------- NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ....................................... 52,707 10,616 11,029 11,316 --------- --------- --------- --------- NET INCREASE IN NET ASSETS ............................... 55,013 11,429 11,152 11,797 --------- --------- --------- --------- NET ASSETS: Beginning of period ................................ 109,674 98,245 92,403 80,606 --------- --------- --------- --------- END OF PERIOD * .................................... $ 164,687 $ 109,674 $ 103,555 $ 92,403 ========= ========= ========= ========= *Includes undistributed net investment income (loss) of .. $ 502 $ 502 $ (19) $ 19 ========= ========= ========= =========
See accompanying notes 84 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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 ("AMR"), 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. On April 16, 2008, AMR announced that it has reached a definitive agreement to sell American Beacon Advisors, Inc. to Lighthouse Holdings, Inc., which is owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, two leading private equity firms. AMR expects to close the sale later this year, subject to customary closing conditions as well as the approval of the shareholders of the American Beacon family of mutual funds and consents from other clients of the Manager. 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 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 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 85 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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 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' Statements 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. 86 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) Repurchase Agreements Under the terms of a repurchase agreement, securities are acquired by a Fund from a securities dealer or a bank which are subject to resale at a later date. Repurchase agreements are fully collateralized. The collateral is monitored daily by each Fund so that the collateral's market value equals or exceeds the carrying value of the repurchase agreement, including accrued interest. Futures Contracts Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Balanced, Large Cap 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 Statements 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 at least 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 at least 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 Funds' Statements 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. 87 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (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. 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. The fee is allocated to all classes of each Fund pro-rata based on their respective net assets. Recently Issued Accounting Pronouncements 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. As of April 30, 2008, the Manager does not believe the adoption of FAS 157 will materially impact the amounts represented in the financial statements; however, additional disclosures will be required about the inputs used to develop the measurements of fair value. 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 average daily net assets of the Intermediate Bond Fund and pays a portion of its fee to an investment advisor hired by the Manager to direct investment activities of a portion of the Fund. The Manager is one of the investment advisors of the Balanced and Enhanced Income Funds and receives an annualized fee of 0.15% on the portion of assets managed by the Manager. The Manager serves as the sole investment advisor to the 88 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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, 2008 were as follows (dollars in thousands):
AMOUNTS PAID NET AMOUNTS MANAGEMENT MANAGEMENT TO INVESTMENT RETAINED BY FEE RATE FEE ADVISORS MANAGER ----------- ---------- ------------- ----------- Balanced...................... 0.225%-0.70% $1,475 $942 $533 Large Cap Growth.............. 0.35%-0.55% 237 193 44 Mid-Cap Value................. 0.35%-1.10% 339 290 49 Small Cap Value Opportunity... 0.45%-0.55% 27 22 5 Emerging Markets.............. 0.79%-1.20% 973 854 119 High Yield Bond............... 0.52% 491 395 96 Enhanced Income............... 0.25%-0.85% 169 121 48 Intermediate Bond............. 0.25% 171 55 116
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, 2008, securities lending fees paid to the Manager were as follows (in thousands): Balanced........................................................ $113 Large Cap Growth................................................ 8 Mid-Cap Value................................................... 8 Emerging Markets................................................ 15 High Yield Bond................................................. 4 Enhanced Income................................................. 11 Intermediate Bond............................................... 23
Administrative Services Agreement The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative 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 and administrative service 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. 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 89 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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 an investment advisor 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 $256 and $1,597, respectively for the six months ended April 30, 2008. 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 up to 0.10% of its average daily net assets. During the six months ended April 30, 2008, fees earned by the Manager from the Affiliated Funds were as follows:
SECURITIES LENDING DIRECT INVESTMENT IN COLLATERAL INVESTED AFFILIATED FUNDS IN AFFILIATED FUNDS TOTAL -------------------- ------------------- -------- Balanced.......................... $21,401 $106,437 $127,838 Large Cap Growth.................. 454 10,311 10,766 Mid-Cap Value..................... 2,858 7,625 10,483 Small Cap Value Opportunity....... 28 1,207 1,236 Emerging Markets.................. 6,446 11,536 17,983 High Yield Bond................... 4,129 -- 4,129 Enhanced Income................... 1,553 10,966 12,520 Intermediate Bond................. 4,480 16,512 20,992 Short-Term Bond................... 5,086 5,704 10,791
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, 2008, the Fund did not utilize the credit facility. 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, 2008, the Manager waived or reimbursed expenses as follows: Expense Cap
11/1/07 3/1/08 WAIVED OR TO TO REIMBURSED FUND CLASS 2/28/08 4/30/08 EXPENSES - ---- ------------- ------- ------- ---------- Large Cap Growth.................. Institutional 0.90% 0.90% $ 51 Mid-Cap Value..................... Institutional 0.90% 0.98% 5,528 Mid-Cap Value..................... PlanAhead 1.23% 1.23% 6,599 Mid-Cap Value..................... Service 1.50% 2 Small Cap Value Opportunity....... Institutional 1.05% 1.05% 18,302 Small Cap Value Opportunity....... PlanAhead 1.30% 1.30% 179 Short-Term Bond................... PlanAhead 0.87% N/A 1,064
90 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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, 2008 was as follows: Balanced- Service Class
EXPIRATION LIABILITY AT LIABILITY AT YEAR 10/31/07 ACCRUED EXPIRED RECOUPED 4/30/08 - ---------- ------------ ------- ------- -------- ------------ 2008 1,016 -- -- 697 319 2009 13 -- -- -- 13 ------ --- --- ---- ---- $1,029 $-- $-- $697 $332 ====== === === ==== ====
Emerging Markets- PlanAhead Class
EXPIRATION LIABILITY AT LIABILITY AT YEAR 10/31/07 ACCRUED EXPIRED RECOUPED 4/30/08 - ---------- ------------ ------- ------- -------- ------------ 2008 4,734 -- -- 3,534 1,200 2009 2,926 -- -- -- 2,926 ------ --- --- ------ ------ $7,660 $-- $-- $3,534 $4,126 ====== === === ====== ======
Mid-Cap Value- AMR Class
EXPIRATION LIABILITY AT LIABILITY AT YEAR 10/31/07 REVERSED EXPIRED RECOUPED 4/30/08 - ---------- ------------ ------- ------- -------- ------------ 2008 5,596 -- -- 5,596 -- 2009 2,537 2,537 -- -- -- ------ ------ --- ------ --- $8,133 $2,537 $-- $5,596 $-- ====== ====== === ====== ===
The remaining Funds have not recorded a liability for potential reimbursement, due to the current assessment that a reimbursement is unlikely. Other At April 30, 2008, AMR Corporation and subsidiary companies and employee benefit trusts thereof owned the following percentage of each Fund's shares:
% OWNERSHIP ----------- Balanced............. 78% Large Cap Growth..... 100% Mid-Cap Value........ 60% Emerging Markets..... 89% High Yield Bond...... 34% Intermediate Bond.... 96% Short-Term Bond...... 92%
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. The Funds adopted the provisions of FASB Interpretation No. 48, "Accounting for Uncertainties in Income Taxes" ("FIN 48"), on January 1, 2007. FIN 48 sets forth a minimum threshold for financial statement 91 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended October 31, 2007 remains subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in "Other expenses" on the Statements of Operations. 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, 2008 and fiscal year ended October 31, 2007 were as follows (in thousands):
BALANCED LARGE CAP GROWTH MID-CAP VALUE ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2008 2007 2008 2007 2008 2007 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class ..... $ 1,995 $ 906 $ 1 $ 1 $ 138 $ 84 PlanAhead Class ......... 7,809 3,751 -- -- 618 714 Service Class ........... 452 52 -- -- -- -- AMR Class ............... 37,969 28,183 791 737 1,809 1,835 LONG-TERM CAPITAL GAIN Institutional Class ..... 1,989 1,156 3 -- 351 24 PlanAhead Class ......... 8,151 5,180 -- -- 1,887 198 Service Class ........... 468 68 -- -- -- -- AMR Class ............... 35,517 34,174 2,748 -- 4,316 494 ------- ------- ------ ---- ------ ------ TOTAL DISTRIBUTIONS PAID ... $94,350 $73,470 $3,543 $738 $9,119 $3,349 ------- ------- ------ ---- ------ ------
SMALL CAP VALUE OPPORTUNITY EMERGING MARKETS HIGH YIELD BOND ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2008 2007 2008 2007 2008 2007 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class ..... $134 $25 $ 549 $ 412 $3,758 $16,871 PlanAhead Class ......... 1 1 499 135 903 4,915 Service Class ........... -- -- -- -- -- -- AMR Class ............... -- -- 11,725 3,613 2,902 949 LONG-TERM CAPITAL GAIN Institutional Class ..... -- -- 1,528 2,096 -- -- PlanAhead Class ......... -- -- 1,420 802 -- -- Service Class ........... -- -- -- -- -- -- AMR Class ............... -- -- 30,209 16,785 -- -- ---- --- ------- ------- ------ ------- TOTAL DISTRIBUTIONS PAID ... $135 $26 $45,930 $23,843 $7,563 $22,735 ---- --- ------- ------- ------ -------
92 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED)
ENHANCED INCOME INTERMEDIATE BOND SHORT-TERM BOND ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2008 2007 2008 2007 2008 2007 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME* Institutional Class ..... $ -- $ -- $3,215 $4,946 $2,305 $4,046 PlanAhead Class ......... 3,524 4,171 -- 13 97 227 AMR Class ............... -- -- -- -- -- -- LONG-TERM CAPITAL GAIN ..... -- -- -- Institutional Class ..... -- -- -- -- -- -- PlanAhead Class ......... 1,461 74 -- -- -- -- AMR Class ............... -- -- -- -- -- -- ------ ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS PAID ... $4,985 $4,245 $3,215 $4,959 $2,402 $4,273 ------ ------ ------ ------ ------ ------
* For tax purposes, short-term capital gains are considered ordinary income distributions. As of April 30, 2008, 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 purpose ............................... $1,179,363 $101,064 $118,498 $11,881 $199,325 Unrealized appreciation ...................... 131,799 8,323 4,072 467 35,679 Unrealized depreciation ...................... (76,183) (4,365) (15,431) (1,689) (8,736) ---------- -------- -------- ------- -------- Net unrealized appreciation (depreciation) ... 55,616 3,958 (11,359) (1,222) 26,943 Undistributed ordinary income ................ 10,436 200 347 33 1,124 Undistributed long-term gain (loss) .......... (6,359) (4,622) (580) (3,353) 24,966 ---------- -------- -------- ------- -------- Distributable earnings (losses) .............. $ 59,693 $ (464) $(11,592) $(4,542) $ 53,033 ========== ======== ======== ======= ========
HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM BOND INCOME BOND BOND ----------- --------- ------------ ----------- Cost basis of investments for federal income tax purpose ............................... $212,576 $116,248 $ 204,226 $124,209 Unrealized appreciation ...................... 1,823 2,891 1,973 702 Unrealized depreciation ...................... (12,078) (1,301) (1,018) (906) -------- -------- -------- -------- Net unrealized appreciation (depreciation) ... (10,255) 1,590 955 (204) Undistributed ordinary income ................ 382 388 501 530 Undistributed long-term gain (loss) .......... (4,594) 403 (7,300) (7,254) -------- -------- -------- -------- Distributable earnings (losses) .............. $(14,467) $ 2,381 $ (5,844) $ (6,928) ======== ======== ======== ========
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 93 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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, 2008 (in thousands):
LARGE CAP MID-CAP SMALL CAP VALUE EMERGING BALANCED GROWTH VALUE OPPORTUNITY MARKETS -------- --------- ------- --------------- -------- Paid-in-capital.......................... $ 1 $-- $ -- $ -- $ -- Undistributed net investment income...... 167 (6) (84) (23) (280) Accumulated net realized gain (loss)..... (168) 6 84 23 280 Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency...................... -- -- -- -- -- HIGH ENHANCED INTERMEDIATE SHORT-TERM YIELD BOND INCOME BOND BOND ---------- -------- ------------ ---------- Paid-in-capital.......................... $-- $(17) $-- $ 1 Undistributed net investment income...... -- 103 2 157 Accumulated net realized gain (loss)..... (1) (86) (2) (157) Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency...................... 1 -- -- (1)
At April 30, 2008 capital loss carry forward positions for federal income tax purposes were as follows (in thousands):
FUND 2008 2009 2010 2011 2012 2013 2014 2015 2016 TOTAL - ---- ------ ---- ----- ---- ---- ------ ------ ---- ------ ------ Balanced ..................... $ -- $-- $ -- $ -- $ -- $ -- $ -- $ -- $6,359 $6,359 Large Cap Growth ............. -- -- -- -- -- -- -- -- 4,622 4,622 Mid-Cap Value ................ -- -- -- -- -- -- -- -- 580 580 Small Cap Value Opportunity .. -- -- -- -- -- -- -- 313 3,040 3,353 High Yield Bond .............. -- -- -- -- -- -- 1,772 -- 2,822 4,594 Intermediate Bond ............ 5,557 -- 328 -- -- 318 1,097 -- -- 7,300 Short-Term Bond .............. 1,218 -- 913 161 800 1,256 2,387 467 52 7,254
The Intermediate Bond Fund utilized $1,551 of net capital loss carryovers for the six months ended April 30, 2008. 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, 2008 were as follows (in thousands):
LARGE CAP MID-CAP SMALL CAP VALUE EMERGING BALANCED GROWTH VALUE OPPORTUNITY MARKETS -------- --------- ------- --------------- -------- Purchases (excluding U.S. government securities) $211,797 $44,348 $87,740 $ 2,201 $186,405 Sales and maturities (excluding U.S. government securities) 148,095 48,824 41,348 20,749 155,508 Purchases of U.S. government securities 71,941 -- -- -- -- Sales and maturities of U.S. government securities 145,486 -- -- -- -- HIGH ENHANCED INTERMEDIATE SHORT-TERM YIELD BOND INCOME BOND BOND ---------- -------- ------------ ---------- Purchases (excluding U.S. government securities) $45,031 $19,173 $47,472 $20,345 Sales and maturities (excluding U.S. government securities) 67,733 14,953 8,991 2,824 Purchases of U.S. government securities -- 3,754 69,397 -- Sales and maturities of U.S. government securities -- 7,748 58,158 --
94 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) A summary of the Funds' direct transactions in Affiliated Funds for the six months ended April 30, 2008 is set forth below (in thousands):
OCTOBER 31, 2007 APRIL 30, 2008 AFFILIATE SHARES/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE ----------- ------------------- --------- -------- ------------------- Balanced...................... Select Fund $57,102 $222,836 $245,693 $34,245 Large Cap Growth.............. Select Fund 4,534 35,745 37,483 2,796 Mid-Cap Value................. Select Fund 2,299 58,817 53,656 7,458 Small Cap Value Opportunity... Select Fund 30 1,226 1,075 180 Emerging Markets.............. Select Fund 17,218 85,162 93,301 9,079 High Yield Bond............... Select Fund 7,084 56,404 55,629 7,860 Enhanced Income............... Select Fund 3,297 21,094 22,863 1,528 Intermediate Bond............. Select Fund 3,359 73,195 71,472 5,082 Short-Term Bond............... Select Fund 7,599 25,144 29,726 3,017
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 money market mutual funds, and other short-term investments, provided the investments meet certain quality and diversification requirements. For all Funds except the High Yield Bond Fund, 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. For the High Yield Bond Fund, the Fund, the Agent, and the Manager retain 80%, 10%, and 10%, respectively of the income generated from the lending. 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 using the same percentages as above. 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, 2008, the value of outstanding securities on loan and the value of collateral was as follows (in thousands):
MARKET VALUE OF SECURITIES NON-CASH CASH FUND ON LOAN COLLATERAL COLLATERAL - ---- ------------- ---------- ---------- Balanced $192,930 $1,763 $195,104 Large Cap Growth 21,087 1,020 20,614 Mid-Cap Value 14,184 1,079 13,536 Small Cap Value Opportunity 1,766 11 1,818 Emerging Markets 18,127 1,214 17,904 High Yield Bond 11,141 -- 11,387 Enhanced Income 20,707 -- 21,122 Intermediate Bond 41,361 -- 42,015 Short-Term Bond 20,518 -- 20,922
95 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) 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' Schedules of Investments or Statements 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, 2008
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------ ----------------- ------------------ BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------- ------- --------- ------ --------- ------ -------- ------ --------- Shares sold ......................... 736 $10,414 1,260 $ 17,176 232 $ 3,197 1,554 $ 20,883 Reinvestment of dividends ........... 272 3,895 1,160 15,508 70 920 5,368 73,485 Shares redeemed ..................... (617) (8,719) (3,131) (41,572) (161) (2,059) (3,501) (47,360) ---- ------- ------ -------- ---- ------- ------ -------- Net increase (decrease) in shares outstanding ...................... 391 $ 5,590 (711) $ (8,888) 141 $ 2,058 3,421 $ 47,008 ==== ======= ====== ======== ==== ======= ====== ========
INSTITUTIONAL CLASS AMR CLASS ------------------- ----------------- LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT - --------------------- -------- -------- ------ -------- Shares sold 3 $17 3,148 $ 21,819 Reinvestment of dividends -- 4 492 3,539 Shares redeemed (1) (7) (4,135) (27,816) --- --- ------ -------- Net increase (decrease) in shares outstanding 2 $14 (495) $ (2,458) === === ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------ ----------------- ------------------ MID-CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------------ ------- --------- ------ --------- ------ -------- ------ --------- Shares sold...................... 139 $ 1,284 1,115 $ 9,878 -- $-- 743 $ 7,062 Reinvestment of dividends........ 50 469 263 2,504 -- -- 641 6,125 Shares redeemed................. (163) (1,502) (1,737) (17,157) -- -- (2,252) (21,313)* ---- ------- ------ -------- --- --- ------ -------- Net increase (decrease) in shares outstanding................... 26 $ 251 (359) $ (4,775) -- $-- (868) $ (8,126) ==== ======= ====== ======== === === ====== ========
* Net of Redemption Fees 96 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED)
INSTITUTIONAL CLASS PLANAHEAD CLASS ------------------- --------------- SMALL CAP VALUE OPPORTUNITY FUND SHARES AMOUNT SHARES AMOUNT - -------------------------------- ------ -------- ------ ------ Shares sold ............................ 102 $ 896 2 $19 Reinvestment of dividends .............. 14 134 -- 1 Shares redeemed ........................ (1,989) (19,349) -- -- ------ -------- --- --- Net increase (decrease) in shares outstanding ......................... (1,873) $(18,319) 2 $20 ====== ======== === ===
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ---------------- ----------------- EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - --------------------- ------ ------- ------ ------- ------ -------- Shares sold ............................ 3 $ 68 475 $ 8,743 662 $ 12,996 Reinvestment of dividends .............. 109 2,039 101 1,876 2,222 41,934 Shares redeemed ........................ (43) (719)* (386) (7,029)* (3,649) (63,053)* --- ------ ---- ------- ------ -------- Net increase (decrease) in shares outstanding ......................... 69 $1,388 190 $ 3,590 (765) $ (8,123) === ====== ==== ======= ====== ========
* Net of Redemption Fees
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ----------------- ----------------- HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- ------ -------- ------ -------- ------ -------- Shares sold ............................ 1,738 $ 16,654 1,974 $ 18,890 1,184 $ 11,488 Reinvestment of dividends .............. 304 2,913 89 854 303 2,905 Shares redeemed ........................ (3,242) (31,600) (1,662) (16,244) (2,659) (25,677) ------ -------- ------ -------- ------ -------- Net increase (decrease) in shares outstanding ......................... (1,200) $(12,033) 401 $ 3,500 (1,172) $(11,284) ====== ======== ====== ======== ====== ========
PLANAHEAD CLASS ----------------- ENHANCED INCOME FUND SHARES AMOUNT - -------------------- ------ -------- Shares sold ............................ 854 $ 8,664 Reinvestment of dividends .............. 492 4,997 Shares redeemed ........................ (1,199) 12,351 ------ -------- Net increase in shares outstanding ..... 147 $ 1,310 ====== ========
INSTITUTIONAL CLASS ------------------- INTERMEDIATE BOND FUND SHARES AMOUNT - ---------------------- ------ -------- Shares sold ............................ 7,605 $ 78,491 Reinvestment of dividends .............. 311 3,213 Shares redeemed ........................ (2,818) (28,997) ------ -------- Net increase in shares outstanding ..... 5,098 $ 52,707 ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS ------------------- ---------------- SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT - -------------------- ------ -------- ------ ------- Shares sold ............................ 2,315 $ 20,528 400 $ 3,543 Reinvestment of dividends .............. 257 2,278 8 69 Shares redeemed ........................ (1,649) (14,538) (96) (851) ------ -------- --- ------- Net increase in shares outstanding ..... 923 $ 8,268 312 $ 2,761 ====== ======== === =======
97 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED) PERIOD ENDED OCTOBER 31, 2007
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ------------------ ---------------- ----------------- BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------- ------ -------- ------ --------- ------ ------- ------ -------- Shares sold ............................ 2,632 $ 40,892 9,160 $ 133,607 637 $ 9,354 3,668 $ 55,490 Reinvestment of dividends .............. 133 2,010 596 8,472 8 120 4,292 62,357 Shares redeemed ........................ (997) (15,809) (3,818) (56,412) (115) (1,681) (3,474) (52,456) ----- -------- ------ --------- ---- ------- ------ -------- Net increase in shares outstanding ..... 1,768 $ 27,093 5,938 $ 85,667 531 $ 7,793 4,486 $ 65,391 ===== ======== ====== ========= ==== ======= ====== ========
INSTITUTIONAL CLASS AMR CLASS ------------------- ----------------- LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT - --------------------- ------ ------ ------ -------- Shares sold ............................ 6 $ 42) 6,218 $ 44,595 Reinvestment of dividends .............. -- 1 106 737 Shares redeemed ........................ (6 (47) (4,970) (36,098) --- ---- ------ -------- Net increase (decrease) in shares outstanding ......................... -- $ (4) 1,355 $ 9,234 === ==== ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS ------------------- ---------------- --------------- ----------------- MID-CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - ------------------ ------ -------- ------ ------- ------ ------ ------ -------- Shares sold ............................ 306 $ 3,462 2,186 $24,108 -- $ 1 5,200 $ 58,233 Reinvestment of dividends .............. 10 106 85 911 -- -- 215 2,329 Shares redeemed ........................ (81) (899)* (854) (9,358)* -- -- (4,398) (50,095)* --- ------- ----- ------- --- --- ------ -------- Net increase in shares outstanding ..... 235 $ 2,669 1,417 $15,661 -- $ 1 1,017 $ 10,467 === ======= ===== ======= === === ====== ========
* Net of Redemption Fees
INSTITUTIONAL CLASS PLANAHEAD CLASS ------------------- --------------- SMALL CAP VALUE OPPORTUNITY FUND SHARES AMOUNT SHARES AMOUNT - -------------------------------- ------ ------- ------ ------ Shares sold ............................ 2,568 $28,729 46 $ 495 Reinvestment of dividends .............. 2 25 -- 1 Shares redeemed ........................ (163) (1,721) (44) (478) ----- ------- --- ----- Net increase in shares outstanding ..... 2,408 $27,033 2 $ 18 ===== ======= === =====
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ---------------- ----------------- EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - --------------------- ------ -------- ------ ------- ------ -------- Shares sold ............................ 158 $ 2,910 276 $ 5,295 3,940 $ 79,619 Reinvestment of dividends .............. 149 2,456 56 910 1,236 20,398 Shares redeemed ........................ (689) (13,376)* (182) (3,347)* (1,740) (32,629)* ---- -------- ---- ------- ------ -------- Net increase (decrease) in shares outstanding ......................... (381) $ (8,010) 150 $ 2,858 3,436 $ 67,388 ==== ======== ==== ======= ====== ========
* Net of Redemption Fees
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ----------------- ---------------- HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT - -------------------- ------- --------- ------ -------- ------ ------- Shares sold ............................ 8,987 $ 92,399 2,989 $ 30,489 8,737 $87,012 Reinvestment of dividends .............. 1,310 13,435 469 4,820 94 948 Shares redeemed ........................ (21,641) (219,761) (8,481) (86,687) (687) (6,930) ------- --------- ------ -------- ----- ------- Net increase (decrease) in shares outstanding ......................... (11,344) $(113,927) (5,022) $(51,378) 8,144 $81,030 ======= ========= ====== ======== ===== =======
98 AMERICAN BEACON FUNDS NOTES TO FINANCIAL STATEMENTS APRIL 30, 2008 (UNAUDITED)
PLANAHEAD CLASS ----------------- ENHANCED INCOME FUND SHARES AMOUNT - -------------------- ------ -------- Shares sold ............................ 1,524 $ 15,667 Reinvestment of dividends .............. 412 4,245 Shares redeemed ........................ (4,716) (48,649) ------ -------- Net (decrease) in shares outstanding ... (2,780) $(28,737) ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS ------------------- ---------------- INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT - ---------------------- ------ -------- ------ ------- Shares sold ............................ 2,676 $ 26,814 7 $ 68 Reinvestment of dividends .............. 493 4,945 1 12 Shares redeemed ........................ (2,019) (20,209) (100) (1,014) ------ -------- ---- ------- Net increase (decrease) in shares outstanding ......................... 1,150 $ 11,550 (92 $ (934) ====== ======== ==== =======
INSTITUTIONAL CLASS PLANAHEAD CLASS ------------------- ---------------- SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT - -------------------- ------ ------- ------ ------- Shares sold ............................ 2,310 $20,272 309 $ 2,712 Reinvestment of dividends .............. 461 4,044 25 220 Shares redeemed ........................ (998) (8,754) (817) (7,178) ----- ------- ---- ------- Net increase (decrease) in shares outstanding ......................... 1,772 $15,562 (483) $(4,246) ===== ======= ==== =======
99 AMERICAN BEACON BALANCED FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class ----------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, --------------------------------------------- 2008 2007 2006 2005 2004 2003 ----------- ------- ------- ------- ------ ------ (unaudited) Net asset value, beginning of period .................... $ 16.09 $ 15.83 $ 15.00 $ 14.31 $12.99 $10.97 ------- ------- ------- ------- ------ ------ Income from investment operations: Net investment income(A) ............................. 0.24 0.50 0.39 0.36 0.29 0.31(B) Net gains (losses) on securities (both realized and unrealized) ................................... (1.18) 0.90 1.54 1.11 1.36 1.84(B) ------- ------- ------- ------- ------ ------ Total income (loss) from investment operations .......... (0.94) 1.40 1.93 1.47 1.65 2.15 ------- ------- ------- ------- ------ ------ Less distributions: Dividends from net investment income ................. (0.44) (0.42) (0.38) (0.31) (0.33) (0.13) Distributions from net realized gains on securities .. (0.79) (0.72) (0.72) (0.47) -- -- ------- ------- ------- ------- ------ ------ Total distributions ..................................... (1.23) (1.14) (1.10) (0.78) (0.33) (0.13) ------- ------- ------- ------- ------ ------ Net asset value, end of period .......................... $ 13.92 $ 16.09 $ 15.83 $ 15.00 $14.31 $12.99 ======= ======= ======= ======= ====== ====== Total return ............................................ (6.01)%(C) 9.31% 13.60% 12.78% 10.53% 19.77% ======= ======= ======= ======= ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ............. $49,911 $51,399 $22,587 $14,122 $8,378 $9,041 Ratios to average net assets (annualized): Expenses, net of waivers ............................. 0.57% 0.57% 0.59% 0.56% 0.63% 0.63% Expenses, before waivers ............................. 0.57% 0.57% 0.59% 0.56% 0.63% 0.63% Net investment income, net of waivers ................ 3.24% 2.91% 2.81% 2.45% 2.15% 2.74% Net investment income (loss), before waivers ......... 3.24% 2.91% 2.81% 2.45% 2.15% 2.74% Portfolio turnover rate .............................. 27%(C) 50% 59% 58% 62% 69% PlanAhead Class --------------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, ------------------------------------------------- 2008 2007 2006 2005 2004 2003 ----------- -------- -------- ------- ------- ------- (unaudited) Net asset value, beginning of period .................... $ 15.09 $ 14.91 $ 14.20 $ 13.62 $ 12.40 $ 10.81 -------- -------- -------- ------- ------- ------- Income from investment operations: Net investment income(A) ............................. 0.20 0.41 0.35 0.34 0.27 0.28(B) Net gains (losses) on securities (both realized and unrealized) ................................... (1.10) 0.87 1.44 1.01 1.25 1.74(B) -------- -------- -------- ------- ------- ------- Total income (loss) from investment operations .......... (0.90) 1.28 1.79 1.35 1.52 2.02 -------- -------- -------- ------- ------- ------- Less distributions: Dividends from net investment income ................. (0.41) (0.38) (0.36) (0.30) (0.30) (0.43) Distributions from net realized gains on securities .. (0.79) (0.72) (0.72) (0.47) -- -- -------- -------- -------- ------- ------- ------- Total distributions ..................................... (1.20) (1.10) (1.08) (0.77) (0.30) (0.43) -------- -------- -------- ------- ------- ------- Net asset value, end of period .......................... $ 12.99 $ 15.09 $ 14.91 $ 14.20 $ 13.62 $ 12.40 ======== ======== ======== ======= ======= ======= Total return ............................................ (6.14)%(C) 9.06% 13.31% 10.12% 12.44% 19.36% ======== ======== ======== ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ............. $165,288 $202,750 $111,837 $86,875 $21,571 $13,321 Ratios to average net assets (annualized): Expenses, net of waivers ............................. 0.82% 0.83% 0.85% 0.86% 0.93% 0.94% Expenses, before waivers ............................. 0.82% 0.83% 0.85% 0.86% 0.93% 0.94% Net investment income, net of waivers ................ 2.99% 2.65% 2.55% 2.14% 1.84% 2.40% Net investment income (loss), before waivers ......... 2.99% 2.65% 2.55% 2.14% 1.84% 2.40% Portfolio turnover rate .............................. 27%(C) 50% 59% 58% 62% 69%
(A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment income per share through October 31, 2005. (B) For the year ended October 31, 2003, the net investment income and net gains (losses) on securities (both realized and unrealized) has been restated from 0.30 and 1.85, respectively for Institutional Class and 0.36 and 1.66, respectively for PlanAhead Class. (C) Not annualized. (D) Annualized. (E) Portfolio turnover rate is for the period from November 1, 2004 through October 31, 2005. 100
Service Class ------------------------------------------ Six Months Year Ended Ended October 31, May 31 to April 30, --------------- October 31, 2008 2007 2006 2005 ----------- ------ ------ ----------- (unaudited) Net asset value, beginning of period .................... $14.95 $14.83 $14.16 $ 13.96 ------ ------ ------ --------- Income from investment operations: Net investment income(A) ............................. 0.16 0.41 0.38 0.09 Net gains (losses) on securities (both realized and unrealized) ................................... (1.07) 0.83 1.35 0.11 ------ ------ ------ --------- Total income (loss) from investment operations .......... (0.91) 1.24 1.73 0.20 ------ ------ ------ --------- Less distributions: Dividends from net investment income ................. (0.42) (0.40) (0.34) -- Distributions from net realized gains on securities .. (0.79) (0.72) (0.72) -- ------ ------ ------ --------- Total distributions ..................................... (1.21) (1.12) (1.06) -- ------ ------ ------ --------- Net asset value, end of period .......................... $12.83 $14.95 $14.83 $ 14.16 ====== ====== ====== ========= Total return ............................................ (6.30)%(C) 8.76% 13.01% 1.43%(C) ====== ====== ====== ========= Ratios and supplemental data: Net assets, end of period (in thousands) ............. $9,977 $9,504 $1,562 $ 1 Ratios to average net assets (annualized): Expenses, net of waivers ............................. 1.06% 1.07% 1.22% 1.09%(D) Expenses, before waivers ............................. 1.06% 1.07% 1.22% 360.24%(D) Net investment income, net of waivers ................ 2.74% 2.34% 2.18% 1.52%(D) Net investment income (loss), before waivers ......... 2.74% 2.34% 2.17% (357.63)%(D) Portfolio turnover rate .............................. 27%(C) 50% 59% 58%(E) AMR Class ------------------------------------------------------------------ Six Months Ended Year Ended October 31, April 30, ---------------------------------------------------- 2008 2007 2006 2005 2004 2003 ----------- --------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period .................... $ 15.49 $ 15.27 $ 14.49 $ 13.87 $ 12.60 $ 10.98 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income(A) ............................. 0.25 0.50 0.45 0.39 0.32 0.34 Net gains (losses) on securities (both realized and unrealized) ................................... (1.14) 0.89 1.46 1.05 1.31 1.78 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations .......... (0.89) 1.39 1.91 1.44 1.63 2.12 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income ................. (0.48) (0.45) (0.41) (0.35) (0.36) (0.50) Distributions from net realized gains on securities .. (0.79) (0.72) (0.72) (0.47) -- -- -------- -------- -------- -------- -------- -------- Total distributions ..................................... (1.27) (1.17) (1.13) (0.82) (0.36) (0.50) -------- -------- -------- -------- -------- -------- Net asset value, end of period .......................... $ 13.33 $ 15.49 $ 15.27 $ 14.49 $ 13.87 $ 12.60 ======== ======== ======== ======== ======== ======== Total return ............................................ (5.92)%(C) 9.59% 13.98% 10.63% 13.13% 20.06% ======== ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) ............. $819,022 $898,584 $817,333 $712,073 $636,420 $557,612 Ratios to average net assets (annualized): Expenses, net of waivers ............................. 0.31% 0.31% 0.33% 0.33% 0.37% 0.38% Expenses, before waivers ............................. 0.31% 0.31% 0.33% 0.33% 0.37% 0.38% Net investment income, net of waivers ................ 3.50% 3.21% 3.08% 2.70% 2.40% 2.98% Net investment income (loss), before waivers ......... 3.50% 3.21% 3.08% 2.70% 2.40% 2.98% Portfolio turnover rate .............................. 27%(C) 50% 59% 58% 62% 69%
101 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, ------------------------------------------------ 2008 2007 2006(A) 2005 2004 2003 ----------- ------- ------- ------ ------- ------ (unaudited) Net asset value, beginning of period ............. $ 7.67 $ 6.89 $ 6.18 $ 5.82 $ 5.47 $ 4.53 ------- ------ ------ ------ ------- ------ Income from investment operations: Net investment income ......................... 0.02 0 .04 0.04 0.04 0.02 0.02 Net gains (losses) on securities (both realized and unrealized) ................... (0.81) 0.77 0.70 0.37 0.35 0.94 ------- ------ ------ ------ ------- ------ Total income (loss) from investment operations ... (0.79) 0.81 0.74 0.41 0.37 0.96 ------- ------ ------ ------ ------- ------ Less distributions: Dividends from net investment income .......... (0.04) (0.03) (0.03) (0.05) (0.02) (0.02) Distributions from net realized gains on securities ................................. (0.22) -- -- -- -- -- ------- ------ ------ ------ ------- ------ Total distributions .............................. (0.26) (0.03) (0.03) (0.05) (0.02) (0.02) ------- ------ ------ ------ ------- ------ Net asset value, end of period ................... $ 6.62 $ 7.67 $ 6.89 $ 6.18 $ 5.82 $ 5.47 ======= ====== ====== ====== ======= ====== Total return ..................................... (10.71)%(B) 11.84% 12.04% 7.06% 6.71% 21.15% ======= ====== ====== ====== ======= ====== Ratios and supplemental data: Net assets, end of period (in thousands) ...... $ 117 $ 119 $ 110 $ 105 $ 1 $ 1 Ratios to average net assets (annualized): Expenses, net of waivers ...................... 0.90% 0.90% 0.90% 0.89% 0.84% 0.87% Expenses, before waivers ...................... 0.99% 1.06% 0.99% 4.64% 13.22% 0.87% Net investment income (loss), net of waivers .. 0.70% 0.58% 0.56% (0.18)% 0.18% 0.18% Net investment income (loss), before waivers .. 0.60% 0.42% 0.48% (3.93)% (12.20)% 0.18% Portfolio turnover rate ....................... 52%(B) 128% 181% 164% 131% 138%
(A) On September 12, 2006, The Renaissance Group, LLC assumed management of the Large Cap Growth Fund's assets previously managed by J.P. Morgan Investment Management, Inc. (B) Not annualized. 102
AMR Class -------------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, ------------------------------------------------ 2008 2007 2006(A) 2005 2004 2003 ----------- -------- ------- ------- ------- ------- (unaudited) Net asset value, beginning of period ............. $ 7.72 $ 6.95 $ 6.21 $ 5.84 $ 5.48 $ (4.54) ------- -------- ------- ------- ------- ------- Income from investment operations: Net investment income ......................... 0.04 0.06 0.05 0.06 0.02 0.02 Net gains (losses) on securities (both realized and unrealized) ................... (0.83) 0.77 0.73 0.36 0.36 0.93 ------- -------- ------- ------- ------- ------- Total income (loss) from investment operations ... (0.79) 0.83 0.78 0.42 0.38 0.95 ------- -------- ------- ------- ------- ------- Less distributions: Dividends from net investment income .......... (0.06) (0.06) (0.04) (0.05) (0.02) (0.01) Distributions from net realized gains on securities ................................. (0.22) -- -- -- -- -- ------- -------- ------- ------- ------- ------- Total distributions .............................. (0.28) (0.06) (0.04) (0.05) (0.02) (0.01) ------- -------- ------- ------- ------- ------- Net asset value, end of period ................... $ 6.65 $ 7.72 $ 6.95 $ 6.21 $ 5.84 $ 5.48 ======= ======== ======= ======= ======= ======= Total return ..................................... (10.50)%(B) 12.07% 12.52% 7.22% 6.88% 21.09% ======= ======== ======= ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ...... $84,310 $101,698 $82,042 $63,183 $55,121 $48,926 Ratios to average net assets (annualized): Expenses, net of waivers ...................... 0.60% 0.60% 0.59% 0.64% 0.71% 0.68% Expenses, before waivers ...................... 0.60% 0.60% 0.59% 0.64% 0.71% 0.68% Net investment income (loss), net of waivers .. 1.02% 0.85% 0.88% 0.98% 0.34% 0.40% Net investment income (loss), before waivers .. 1.02% 0.85% 0.88% 0.98% 0.34% 0.40% Portfolio turnover rate ....................... 52%(B) 128% 181% 164% 131% 138%
103 AMERICAN BEACON MID-CAP VALUE FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class PlanAhead Class Service Class ------------------------------- ------------------------------ ---------------------- Six Months Year November Six Months Year February Six Months June 29 Ended Ended 30 to Ended Ended 28 to Ended to April 30, October October April 30, October October April 30, October 2008 31, 2007 31, 2006 2008 31, 2007 31, 2006 2008 31, 2007 ----------- -------- -------- ----------- -------- -------- ----------- -------- (unaudited) (unaudited) (unaudited) Net asset value, beginning of period ................. $ 11.01 $10.81 $12.09 $ 10.96 $ 10.80 $ 9.80 $ 10.94 $11.73 ------- ------ ------ ------- ------- ------- -------- ------ Income from investment operations: Net investment income ..... 0.08 0.12 0.21 0.08 0.10 0.01 0.06 0.01 Net gains (losses) on securities (both realized and unrealized) ............ (1.20) 0.41 1.25 (1.23) 0.40 0.99 (1.21) (0.80) ------- ------ ------ ------- ------- ------- -------- ------ Total income (loss) from investment operations ..... (1.12) 0.53 1.46 (1.15) 0.50 1.00 (1.15) (0.79) ------- ------ ------ ------- ------- ------- -------- ------ Less distributions: Dividends from net investment income ...... (0.16) (0.07) (0.16) (0.11) (0.08) -- (0.14) -- Distributions from net realized gains on securities ............. (0.76) (0.26) (2.58) (0.76) (0.26) -- (0.76) -- ------- ------ ------ ------- ------- ------- -------- ------ Total distributions .......... (0.92) (0.33) (2.74) (0.87) (0.34) -- (0.90) -- ------- ------ ------ ------- ------- ------- -------- ------ Redemption fees added to beneficial interests ...... -- -- -- -- -- -- -- -- Net asset value, end of period .................... $ 8.97 $11.01 $10.81 $ 8.94 $ 10.96 $ 10.80 $ 8.89 $10.94 ======= ====== ====== ======= ======= ======= ======== ====== Total return ................. (10.79)%(C) 4.87% 15.30%(C) (10.96)%(C) 4.68% 10.20%(C) (11.06)%(C) (6.65)%(C) ======= ====== ====== ======= ======= ======= ======== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ......... $ 5,153 $6,047 $3,396 $32,007 $43,158 $27,240 $ 1 $ 1 Ratios to average net assets (annualized): Expenses, net of waivers .. 0.81% 0.92% 1.19%(D) 1.23% 1.23% 1.49%(D) 1.50% 1.50%(D) Expenses, before waivers .. 1.03% 1.09% 1.19%(D) 1.27% 1.26% 1.61%(D) 2.05% 1.80%(D) Net investment income, net of waivers ............. 1.64% 1.22% 1.11%(D) 1.22% 0.93% 0.57%(D) 0.98% 0.32%(D) Net investment income, before waivers ......... 1.42% 1.05% 1.11%(D) 1.18% 0.90% 0.44%(D) 0.43% 0.02%(D) Portfolio turnover rate ... 11% 35% 42%(E) 11% 35% 42%(E) 11% 35%(F)
(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. (F) Portfolio turnover rate is for the period from November 1, 2006 through October 31, 2007. 104
AMR Class (formerly Institutional Class prior to December 1, 2005)(A) ------------------------------------------------ Six Months June 30 Ended Year Ended October 31, to April 30, ------------------------- October 2008 2007 2006 2005 31, 2004 ----------- ------- ------- ------- -------- (unaudited) Net asset value, beginning of period .................... $ 11.07 $ 10.87 $ 11.72 $ 10.27 $10.00 ------- ------- ------- ------- ------ Income from investment operations: Net investment income ........ 0.10 0.18 0.12 0.13 0.02(B) Net gains (losses) on securities (both realized and unrealized) .. (1.23) 0.36 1.75 1.37 0.25 ------- ------- ------- ------- ------ Total income (loss) from investment operations ........ (1.13) 0.54 1.87 1.50 0.27 ------- ------- ------- ------- ------ Less distributions: Dividends from net investment income ......... (0.17) (0.08) (0.14) (0.05) -- Distributions from net realized gains on securities ................ (0.76) (0.26) (2.58) -- -- ------- ------- ------- ------- ------ Total distributions ............. (0.93) (0.34) (2.72) (0.05) -- ------- ------- ------- ------- ------ Redemption fees added to beneficial interests ......... -- -- -- -- -- Net asset value, end of period ....................... $ 9.01 $ 11.07 $ 10.87 $ 11.72 $10.27 ======= ======= ======= ======= ====== Total return .................... (10.76)%(C) 5.19% 19.16% 14.63% 2.70%(C) ======= ======= ======= ======= ====== Ratios and supplemental data: Net assets, end of period (in thousands) ............ $56,279 $78,794 $66,290 $44,342 $25,546 Ratios to average net assets (annualized): Expenses, net of waivers ..... 0.79% 0.75% 0.97% 1.01% 1.14%(D) Expenses, before waivers ..... 0.79% 0.75% 0.92% 1.02% 1.34%(D) Net investment income, net of waivers ................ 1.66% 1.41% 1.38% 0.92% 0.73%(D) Net investment income, before waivers ............ 1.66% 1.40% 1.42% 0.91% 0.53%(D) Portfolio turnover rate ...... 11% 35% 42% 298% 6%(C)
105 AMERICAN BEACON SMALL CAP VALUE OPPORTUNITY FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class --------------------------------------- Six Months Year Ended March 31 to Ended April October October 30, 2008 31, 2007 31, 2006 ------------ ---------- ----------- (unaudited) Net asset value, beginning of period ... $ 10.33 $ 10.26 $10.00 Income from investment operations: Net investment income ............... 0.14 0.06(A) 0.01 Net gains (losses) on securities (both realized and unrealized) ... (1.58) 0.05(A) 0.25 ------- ------- ------ Total income (loss) from investment operations .......................... (1.44) 0.11 0.26 ------- ------- ------ Less distributions: Dividends from net investment income ........................... (0.12) (0.03) -- Distributions from net realized gains on securities .................... -- (0.01) -- ------- ------- ------ Total distributions .................... (0.12) (0.04) -- ------- ------- ------ Net asset value, end of period ......... $ 8.77 $ 10.33 $10.26 ======= ======= ====== Total return ........................... (13.99)%(B) 1.08% 2.60%(B) ======= ======= ====== Ratios and supplemental data: Net assets, end of period (in thousands) ....................... $ 8,709 $29,596 $4,693 Ratios to average net assets (annualized): Expenses, net of waivers ............ 1.05% 1.05% 1.03% Expenses, before waivers ............ 1.44% 1.27% 6.12% Net investment income, net of waivers .......................... 1.45% 0.96% 0.30% Net investment income (loss), before waivers .......................... 1.07% 0.73% (4.80)% Portfolio turnover rate ............. 18%(B) 58% 32%(B)
(A) Based upon average shares outstanding. (B) Not annualized. 106
PlanAhead Class --------------------------------------- Six Months Year Ended March 31 to Ended April October October 30, 2008 31, 2007 31, 2006 ------------ ---------- ----------- (unaudited) Net asset value, beginning of period ... $ 10.28 $10.26 $ 10.00 Income from investment operations: Net investment income ............... 0.03 0.23(A) 0.01 Net gains (losses) on securities (both realized and unrealized) ... (1.47) (0.14)(A) 0.25 ------- ------ ------- Total income (loss) from investment operations .......................... (1.44) 0.09 0.26 ------- ------ ------- Less distributions: Dividends from net investment income ........................... (0.10) (0.06) -- Distributions from net realized gains on securities .................... -- (0.01) -- ------- ------ ------- Total distributions .................... (0.10) (0.07) -- ------- ------ ------- Net asset value, end of period ......... $ 8.74 $10.28 $ 10.26 ======= ====== ======= Total return ........................... (14.14)%(B) 0.96% 2.60%(B) ======= ====== ======= Ratios and supplemental data: Net assets, end of period (in thousands) ....................... $ 98 $ 91 $ 70 Ratios to average net assets (annualized): Expenses, net of waivers ............ 1.20% 1.30% 1.28% Expenses, before waivers ............ 1.59% 1.70% 20.05% Net investment income, net of waivers .......................... 1.27% 0.97% 0.21% Net investment income (loss), before waivers .......................... 0.88% 0.57% (18.56)% Portfolio turnover rate ............. 18%(B) 58% 32%(B)
107 AMERICAN BEACON EMERGING MARKETS FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class --------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, -------------------------------------------- 2008 2007 2006 2005 2004 2003 ----------- ------- ------- ------ ------ ------ (unaudited) Net asset value, beginning of period $ 24.20 $ 17.42 $ 15.10 $12.64 $10.62 $ 7.20 ------- ------- ------- ------ ------ ------ Income from investment operations: Net investment income ............................................ 0.08 0.26 0.11 0.15 0.07 0.04 Net gains (losses) on securities (both realized and unrealized)... (2.69) 9.11 4.63 3.45 2.01 3.43 ------- ------- ------- ------ ------ ------ Total income (loss) from investment operations ...................... (2.61) 9.37 4.74 3.60 2.08 3.47 ------- ------- ------- ------ ------ ------ Less distributions: Dividends from net investment income ............................. (0.10) (0.10) (0.21) (0.06) (0.06) (0.05) Distributions from net realized gains on securities .............. (3.55) (2.49) (2.21) (1.08) -- -- ------- ------- ------- ------ ------ ------ Total distributions ................................................. (3.65) (2.59) (2.42) (1.14) (0.06) (0.05) ------- ------- ------- ------ ------ ------ Redemption fees added to beneficial interests ....................... --(A) -- -- --(A) --(A) -- Net asset value, end of period ...................................... $ 17.94 $ 24.20 $ 17.42 $15.10 $12.64 $10.62 ======= ======= ======= ====== ====== ====== Total return ........................................................ (11.47)%(B) 60.83% 34.49% 30.11% 19.65% 48.45% ======= ======= ======= ====== ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ......................... $11,452 $13,773 $16,552 $9,348 $7,282 $3,557 Ratios to average net assets (annualized): Expenses, net of waivers ......................................... 1.36% 1.60% 1.56% 1.52% 1.85% 1.76% Expenses, before waivers ......................................... 1.36% 1.60% 1.56% 1.52% 1.85% 1.76% Net investment income, net of waivers ............................ 0.98% 0.93% 0.80% 1.22% 0.74% 0.62% Net investment income, before waivers ............................ 0.98% 0.93% 0.80% 1.22% 0.74% 0.62% Portfolio turnover rate .......................................... 43%(B) 81% 67% 63% 76% 80%
(A) Amounts represent less than $0.01 per share. (B) Not annualized. 108
PlanAhead Class --------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, -------------------------------------------- 2008 2007 2006 2005 2004 2003 ----------- ------- ------- ------ ------ ------ (unaudited) Net asset value, beginning of period $ 23.91 $ 17.22 $ 14.98 $12.53 $10.55 $ 7.19 ------- ------- ------- ------ ------ ------ Income from investment operations: Net investment income ............................................ 0.04 0.11 0.09 0.15 0.04 0.09 Net gains (losses) on securities (both realized and unrealized)... (2.64) 9.11 4.55 3.41 1.99 3.34 ------- ------- ------- ------ ------ ------ Total income (loss) from investment operations ...................... (2.60) 9.22 4.64 3.56 2.03 3.43 ------- ------- ------- ------ ------ ------ Less distributions: Dividends from net investment income ............................. (0.08) (0.04) (0.19) (0.03) (0.05) (0.07) Distributions from net realized gains on securities .............. (3.55) (2.49) (2.21) (1.08) -- -- ------- ------- ------- ------ ------ ------ Total distributions ................................................. (3.63) (2.53) (2.40) (1.11) (0.05) (0.07) ------- ------- ------- ------ ------ ------ Redemption fees added to beneficial interests ....................... --(A) -- -- --(A) --(A) --(A) Net asset value, end of period ...................................... $ 17.68 $ 23.91 $ 17.22 $14.98 $12.53 $10.55 ======= ======= ======= ====== ====== ====== Total return ........................................................ (11.63)%(B) 60.17% 34.16% 29.95% 19.33% 48.07% ======= ======= ======= ====== ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) ......................... $12,006 $11,694 $ 5,841 $2,592 $1,214 $ 492 Ratios to average net assets (annualized): Expenses, net of waivers ......................................... 1.78% 1.96% 2.04% 1.75% 2.14% 2.08% Expenses, before waivers ......................................... 1.78% 1.96% 1.91% 2.01% 2.20% 2.08% Net investment income, net of waivers ............................ 0.59% 0.65% 0.49% 1.16% 0.37% 0.57% Net investment income, before waivers ............................ 0.59% 0.65% 0.62% 0.90% 0.31% 0.57% Portfolio turnover rate .......................................... 43%(B) 81% 67% 63% 76% 80%
AMR Class ----------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, --------------------------------------------- 2008 2007 2006 2005 2004 2003 ----------- -------- -------- ------- ------- ------- (unaudited) Net asset value, beginning of period $ 24.37 $ 17.52 $ 15.17 $ 12.68 $ 10.66 $ 7.22 -------- -------- -------- ------- ------- ------- Income from investment operations: Net investment income ............................................ 0.12 0.19 0.15 0.24 0.10 0.07 Net gains (losses) on securities (both realized and unrealized)... (2.71) 9.30 4.65 3.42 2.00 3.44 -------- -------- -------- ------- ------- ------- Total income (loss) from investment operations ...................... (2.59) 9.49 4.80 3.66 2.10 3.51 -------- -------- -------- ------- ------- ------- Less distributions: Dividends from net investment income ............................. (0.18) (0.15) (0.24) (0.09) (0.08) (0.07) Distributions from net realized gains on securities .............. (3.55) (2.49) (2.21) (1.08) -- -- -------- -------- -------- ------- ------- ------- Total distributions ................................................. (3.73) (2.64) (2.45) (1.17) (0.08) (0.07) -------- -------- -------- ------- ------- ------- Redemption fees added to beneficial interests ....................... --(A) -- -- -- -- -- Net asset value, end of period ...................................... $ 18.05 $ 24.37 $ 17.52 $ 15.17 $ 12.68 $ 10.66 ======== ======== ======== ======= ======= ======= Total return ........................................................ (11.36)%(B) 61.19% 34.87% 30.43% 20.00% 48.84% ======== ======== ======== ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) ......................... $187,370 $271,726 $135,146 $94,864 $74,199 $51,498 Ratios to average net assets (annualized): Expenses, net of waivers ......................................... 1.18% 1.37% 1.30% 1.25% 1.59% 1.50% Expenses, before waivers ......................................... 1.18% 1.37% 1.30% 1.25% 1.59% 1.50% Net investment income, net of waivers ............................ 1.11% 1.25% 1.01% 1.60% 1.01% 0.92% Net investment income, before waivers ............................ 1.11% 1.25% 1.01% 1.60% 1.01% 0.92% Portfolio turnover rate .......................................... 43%(B) 81% 67% 63% 76% 80%
109 AMERICAN BEACON HIGH YIELD BOND FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class ------------------------------------------------------------------ Six Months Ended Year Ended October 31, April 30, ---------------------------------------------------- 2008 2007 2006 (A) 2005 2004 2003 ----------- -------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period ........... $ 10.11 $ 10.20 $ 10.22 $ 10.86 $ 10.73 $ 9.63 ------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income ....................... 0.38 0.77 0.88 0.76 0.78 0.78 Net gains (losses) on securities (both realized and unrealized) ........... (0.50) (0.09) 0.09 (0.44) 0.27 1.10 ------- -------- -------- -------- -------- -------- Total income (loss) from investment operations .................................. (0.12) 0.68 0.97 0.32 1.05 1.88 ------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income ........ (0.38) (0.77) (0.88) (0.76) (0.78) (0.78) Distributions from net realized gains on securities ...................... -- -- (0.11) (0.20) (0.14) -- ------- ------ --------- -------- -------- -------- Total distributions ............................ (0.38) (0.77) (0.99) (0.96) (0.92) (0.78) ------- -------- -------- -------- -------- -------- Net asset value, end of period ................. $ 9.61 $ 10.11 $ 10.20 $ 10.22 $ 10.86 $ 10.73 ======= ======== ======== ======== ======== ======== Total return ................................... (1.18)%(B) 6.85% 8.78% 3.03% 10.19% 20.11% ======= ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) .... $97,756 $114,911 $231,693 $216,744 $241,777 $161,380 Ratios to average net assets (annualized): Expenses, net of waivers .................... 0.90% 0.85% 0.85% 0.84% 0.88% 0.90% Expenses, before waivers .................... 0.90% 0.86% 0.85% 0.84% 0.92% 1.00% Net investment income, net of waivers ....... 7.81% 7.55% 7.55% 7.24% 7.27% 7.51% Net investment income, before waivers ....... 7.81% 7.54% 7.55% 7.24% 7.23% 7.41% Portfolio turnover rate ..................... 24%(B) 92% 88% 128% 138% 114%
(A) Franklin Advisers, Inc. was added as an investment advisor to the High Yield Bond Fund on September 12, 2006. (B) Not annualized. (C) Annualized. (D) Portfolio turnover rate is for the period from November 1, 2006 through October 31, 2007. 110
PlanAhead Class ---------------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, -------------------------------------------------- 2008 2007 2006(A) 2005 2004 2003 ------------ ------- ------- -------- -------- -------- (unaudited) Net asset value, beginning of period ........... $ 10.11 $ 10.21 $ 10.22 $ 10.87 $ 10.73 $ 9.63 ------- ------- ------- -------- -------- -------- Income from investment operations: Net investment income ....................... 0.37 0.75 0.85 0.74 0.74 0.75 Net gains (losses) on securities (both realized and unrealized) ........... (0.49) (0.10) 0.10 (0.45) 0.28 1.10 ------- ------- ------- -------- -------- -------- Total income (loss) from investment operations .................................. (0.12) 0.65 0.95 0.29 1.02 1.85 ------- ------- ------- -------- -------- -------- Less distributions: Dividends from net investment income ........ (0.37) (0.75) (0.85) (0.74) (0.74) (0.75) Distributions from net realized gains on securities ...................... -- -- (0.11) (0.20) (0.14) -- ------- ------- ------- -------- -------- -------- Total distributions ............................ (0.37) (0.75) (0.96) (0.94) (0.88) (0.75) ------- ------- ------- -------- -------- -------- Net asset value, end of period ................. $ 9.62 $ 10.11 $ 10.21 $ 10.22 $ 10.87 $ 10.73 ======= ======= ======= ======== ======== ======== Total return ................................... (1.18)%(B) 6.52% 8.63% 2.69% 9.94% 19.57%(B) ======= ======= ======= ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) .... $31,204 $28,758 $80,284 $120,360 $148,266 $125,654 Ratios to average net assets (annualized): Expenses, net of waivers .................... 1.11% 1.08% 1.08% 1.08% 1.20% 1.24% Expenses, before waivers .................... 1.11% 1.08% 1.08% 1.08% 1.20% 1.24% Net investment income, net of waivers ....... 7.55% 7.32% 7.33% 7.00% 6.95% 7.11% Net investment income, before waivers ....... 7.55% 7.32% 7.33% 7.00% 6.95% 7.11% Portfolio turnover rate ..................... 24%B 92% 88% 128% 138% 114% AMR Class ----------------------- Six Months September Ended 4 to April 30, October 2008 31, 2007 ----------- --------- (unaudited) Net asset value, beginning of period ........... $ 10.11 $ 9.94 ------- ------- Income from investment operations: Net investment income ....................... 0.39 0.12 Net gains (losses) on securities (both realized and unrealized) ........... (0.50) 0.17 ------- ------- Total income (loss) from investment operations .................................. (0.11) 0.29 ------- ------- Less distributions: Dividends from net investment income ........ (0.39) (0.12) Distributions from net realized gains on securities ...................... -- -- ------- ------- Total distributions ............................ (0.39) (0.12) ------- ------- Net asset value, end of period ................. $ 9.61 $ 10.11 ======= ======= Total return ................................... (1.04)%(B) 2.94%(B) ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) .... $67,030 $82,322 Ratios to average net assets (annualized): Expenses, net of waivers .................... 0.62% 0.61%(C) Expenses, before waivers .................... 0.62% 0.61%(C) Net investment income, net of waivers ....... 8.09% 7.54%(C) Net investment income, before waivers ....... 8.09% 7.54%(C) Portfolio turnover rate ..................... 24%(B) 92%(D)
111 AMERICAN BEACON ENHANCED INCOME FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PlanAhead Class ----------------------------------------------------------------- Six Months June 30 Ended Year Ended October 31, to April 30, ---------------------------------------- October 2008 2007 2006 2005 2004 31, 2003 ----------- ------- -------- -------- -------- -------- (unaudited) Net asset value, beginning of period ..................... $ 10.50 $ 10.25 $ 9.98 $ 10.16 $ 9.96 $ 10.00 ------- ------- -------- -------- -------- -------- Income from investment operations: Net investment income ................................. 0.07 0.36 0.33 0.29 0.26 0.07(A) Net gains (losses) on securities (both realized and unrealized) ........................................ (0.07) 0.32 0.29 (0.16) 0.20 (0.04) ------- ------- -------- -------- -------- -------- Total income from investment operations .................. 0.00 0.68 0.62 0.13 0.46 0.03 ------- ------- -------- -------- -------- -------- Less distributions: Dividends from net investment income .................. (0.19) (0.42) (0.35) (0.31) (0.26) (0.07) Distributions from net realized gains on securities ... (0.23) (0.01) -- -- -- -- ------- ------- -------- -------- -------- -------- Total distributions ...................................... (0.42) (0.43) (0.35) (0.31) (0.26) (0.07) ------- ------- -------- -------- -------- -------- Net asset value, end of period ........................... $ 10.08 $ 10.50 $ 10.25 $ 9.98 $ 10.16 $ 9.96 ======= ======= ======== ======== ======== ======== Total return ............................................. 1.19%(B) 6.75% 6.36% 1.32% 4.70% 0.32%(B) ======= ======= ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands) .............. $97,286 $99,789 $125,915 $112,341 $103,897 $101,072 Ratios to average net assets (annualized): Expenses .............................................. 0.93% 0.94% 0.93% 0.92% 1.00% 0.93%(C) Net investment income .................................... 3.64% 3.69% 3.21% 2.79% 2.54% 2.20%(C) Portfolio turnover rate .................................. 24%(B) 103% 65% 41% 72% 57%(B)
(A) Based on average shares outstanding. (B) Not annualized. (C) Annualized. 112 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, ------------------------------------------------- 2008 2007 2006 2005(A) 2004 2003 ----------- -------- ------- ------- ------- -------- (unaudited) Net asset value, beginning of period ..................... $ 10.10 $ 10.02 $ 10.01 $ 10.33 $ 10.24 $ 10.22 -------- -------- ------- ------- ------- -------- Income from investment operations: Net investment income ................................. 0.27 0.50 0.46 0.42 0.40 0.45 Net gains (losses) on securities (both realized and unrealized) ........................................ 0.19 0.07 0.02 (0.29) 0.14 0.02 -------- -------- ------- ------- ------- -------- Total income from investment operations .................. 0.46 0.57 0.48 0.13 0.54 0.47 -------- -------- ------- ------- ------- -------- Less distributions: Dividends from net investment income .................. (0.24) (0.49) (0.47) (0.45) (0.45) (0.45) Distributions from net realized gains on securities ... -- -- -- -- -- -- -------- -------- ------- ------- ------- -------- Total distributions ...................................... (0.24) (0.49) (0.47) (0.45) (0.45) (0.45) -------- -------- ------- ------- ------- -------- Net asset value, end of period ........................... $ 10.32 $ 10.10 $ 10.02 $ 10.01 $ 10.33 $ 10.24 ======== ======== ======= ======= ======= ======== Total return ............................................. 4.58%(B) 5.83% 4.96% 1.26% 5.38% 4.62% ======== ======== ======= ======= ======= ======== Ratios and supplemental data: Net assets, end of period (in thousands) .............. $164,687 $109,674 $97,319 $93,270 $96,242 $131,927 Ratios to average net assets (annualized): Expenses, net of waivers .............................. 0.31% 0.34% 0.35% 0.31% 0.34% 0.32% Expenses, before waivers .............................. 0.31% 0.34% 0.35% 0.31% 0.34% 0.32% Net investment income, net of waivers. ................ 4.66% 4.86% 4.64% 4.12% 3.97% 4.32% Net investment income, before waivers ................. 4.66% 4.86% 4.64% 4.12% 3.97% 4.32% Portfolio turnover rate ............................... 51%(B) 85% 122% 119% 106% 187%
(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) Not annualized. 113 AMERICAN BEACON SHORT-TERM BOND FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class --------------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, ------------------------------------------------- 2008 2007 2006 2005(A) 2004 2003 ----------- ------- -------- -------- ------- ------- (unaudited) Net asset value, beginning of period ................. $ 8.79 $ 8.74 $ 8.75 $ 9.07 $ 9.31 $ 9.07 Income from investment operations: Net investment income ............................. 0.27 0.39(B) 0.32(B) 0.29 0.27 0.29 Net gains (losses) on securities (both realized and unrealized) .................................... (0.03) 0.09 0.07 (0.20) (0.05) (0.20) ------ ------- ------ -------- ------- ------- Total income from investment operations .............. 0.24 0.48 0.39 0.09 0.22 0.09 ------ ------- ------ -------- ------- ------- Less distributions: Dividends from net investment income .............. (0.21) (0.43) (0.40) (0.41) (0.46) (0.41) Distributions from net realized gains on securities .................................. -- -- -- -- -- -- ------- ------- -------- ------- ------- ------- Total distributions .................................. (0.21) (0.43) (0.40) (0.41) (0.46) (0.41) ------- ------- -------- ------- ------- ------- Net asset value, end of period ....................... $ 8.82 $ 8.79 $ 8.74 $ 8.75 $ 9.07 $ 8.75 ======= ======= ======== ======= ======= ======= Total return ......................................... 2.79%(C) 5.61% 4.56% 1.00% 2.39% 1.00% ======= ======= ======== ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands) .......... $97,816 $89,427 $73,417 $79,683 $80,504 $79,683 Ratios to average net assets (annualized): Expenses, net of waivers .......................... 0.33% 0.37% 0.35% 0.33% 0.33% 0.33% Expenses, before waivers .......................... 0.33% 0.37% 0.35% 0.33% 0.33% 0.33% Net investment income, net of waivers. ............ 4.49% 4.48% 3.64% 3.15% 3.00% 3.15% Net investment income, before waivers ............. 4.49% 4.48% 3.64% 3.15% 3.00% 3.15% Portfolio turnover rate ........................... 3%(C) 40% 48% 38% 41% 38%
(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) For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by average shares outstanding for the period. (C) Not annualized. 114
PlanAhead Class ---------------------------------------------------------- Six Months Ended Year Ended October 31, April 30, -------------------------------------------- 2008 2007 2006 2005(A) 2004 2003 ----------- ------ ------ ------- ------ ------ (unaudited) Net asset value, beginning of period ................. $ 8.81 $ 8.76 $ 8.77 $ 9.09 $ 9.33 $ 9.45 ------- ------ ------ ------ ------ ------ Income from investment operations: Net investment income ............................. 0.24 0.35(B) 0.27(B) 0.28 0.25 0.39 Net gains (losses) on securities (both realized and unrealized) .................................... (0.03) 0.09 0.07 (0.24) (0 07) (0.08) ------- ------ ------ ------ ------ ------ Total income from investment operations .............. 0.21 0.44 0.34 0.04 0.18 0.31 ------- ------ ------ ------ ------ ------ Less distributions: Dividends from net investment income .............. (0.19) (0.39) (0.35) (0.36) (0.42) (0.43) Distributions from net realized gains on securities .................................. -- -- -- -- -- -- ------- ------ ------ ------ ------ ------ Total distributions .................................. (0.19) (0.39) (0.35) (0.36) (0.42) (0.43) ------- ------ ------ ------ ------ ------ Net asset value, end of period ....................... $ 8.83 $ 8.81 $ 8.76 $ 8.77 $ 9.09 $ 9.33 ======= ====== ====== ====== ====== ====== Total return ......................................... 2.40%(C) 5.08% 4.01% 0.46% 1.84% 3.38% ======= ====== ====== ====== ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands) .......... $ 5,739 $2,976 $7,189 $8,582 $7,781 $5,783 Ratios to average net assets (annualized): Expenses, net of waivers .......................... 0.88% 0.87% 0.88% 0.87% 0.87% 0.86% Expenses, before waivers .......................... 0.92% 0.98% 0.90% 0.94% 0.87% 0.86% Net investment income, net of waivers ............. 3.92% 3.91% 3.10% 2.59% 2.44% 4.00% Net investment income, before waivers ............. 3.87% 3.81% 3.08% 2.52% 2.44% 4.00% Portfolio turnover rate ........................... 3%(C) 40% 48% 38% 41% 81%
115 (This page intentionally left blank) (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: BY E-MAIL: ON THE INTERNET: american_beacon.funds@ambeacon.com Visit our website at www.americanbeaconfunds.com 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 portfolio holdings with the the Fund's Statement of Additional Securities and Exchange Commission Information, is available free of ("SEC") on Form N-Q as of the first charge 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 website at www.sec.gov. The Forms N-Q accessing the SEC's website at may also be reviewed and copied at www.sec.gov. The Fund's proxy voting the SEC's Public Reference Room, 450 record for the most recent year ended Fifth Street, NW, Washington, DC June 30 is filed annually with the 20549. Information regarding the SEC on Form N-PX. The Fund's Forms operation of the SEC's Public N-PX are available on the SEC's Reference Room may be obtained by website at www.sec.gov. The Fund's calling 1-800-SEC-0330. A complete proxy voting record may also be schedule of the Fund's portfolio obtained by calling 1-800-967-9009. 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 BANK AND TRUST BOSTON FINANCIAL DATA PUBLIC ACCOUNTING FIRM FORESIDE FUND SERVICES Boston, Massachusetts SERVICES ERNST & YOUNG LLP Portland, Maine Kansas City, Missouri 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 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. ITEM 2. CODE OF ETHICS. The Trust did not amend the code of ethics that applies to its principal executive and financial officers (the "Code") nor did it grant any waivers to the provisions of the Code during the period covered by the shareholder reports presented in Item 1. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not Applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not Applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS. The schedules of investments for each series of the Trust are included in the shareholder reports presented in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust's Board of Trustees since the Trust last disclosed such procedures in Schedule 14A. ITEM 11. CONTROLS AND PROCEDURES. (a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective. (b) There were no changes in the Trust's internal control over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable. (a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT. (a)(3) Not applicable. (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant): American Beacon Funds By /s/ William F. Quinn -------------------- William F. Quinn President Date: July 1, 2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By /s/ William F. Quinn -------------------- William F. Quinn President Date: July 1, 2008 By /s/ Rebecca L. Harris --------------------- Rebecca L. Harris Treasurer Date: July 1, 2008 EX-99.CERT 2 ex99cert.txt 99 CERTIFICATION For period ended 04/30/2008 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, 2008 /s/ Rebecca L. Harris ------------ --------------------- Rebecca L. Harris Treasurer American Beacon Funds I, William F. Quinn, certify that: 1. I have reviewed this report on Form N-CSR of American Beacon Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: July 3, 2008 /s/ William F. Quinn ------------ -------------------- William F. Quinn President American Beacon Funds EX-99.906 CERT 3 ex906cert.txt 906 CERTIFICATION For period ended 04/30/2008 Registrant Name: American Beacon Funds File Number: 811-4984 EXHIBIT 99.906CERT William F. Quinn and Rebecca L. Harris, respectively, the President and Treasurer of the American Beacon Funds (the "Registrant"), each certify to the best of his or her knowledge and belief that: 1. the Registrant's report on Form N-CSR for the period ended April 30, 2008 (the "Form N-CSR") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. /s/ William F. Quinn /s/ Rebecca L. Harris - -------------------- -------------------- William F. Quinn Rebecca L. Harris President Treasurer American Beacon Funds American Beacon Funds Date: July 3, 2008 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-----