UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4984
AMERICAN BEACON FUND
(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)
Gene L. Needles, Jr., 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: August 31, 2013
Date of reporting period: February 28, 2013
ITEM 1. | REPORT TO STOCKHOLDERS. |
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
1 | ||||
2 | ||||
5 | ||||
44 | ||||
Back Cover |
Important Information: Indexes are unmanaged and one cannot invest directly in an index. Because the Fund has a flexible approach to investing, the risks of the Fund are likewise varied. The primary risks fall into one of several broad categories including high-yield securities risk, credit risk, foreign investment risk, derivatives risk, interest rate risk and non-diversification risk. Investing in foreign denominated and/or domiciled securities may involve heightened risk due to currency fluctuations, and economic and political risks, which may be enhanced in emerging markets. Mortgage and asset-backed securities may be sensitive to changes in interest rates, subject to early repayment risk and their value may fluctuate in response to the market’s perception of issuer creditworthiness; while generally supported by some form of government or private guarantee, there is no assurance that private guarantors will meet their obligations. Income from municipal bonds may be subject to state and local taxes and at times the alternative minimum tax. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when more advantageous. Investing in derivatives could result in losing more than the amount invested. Diversification does not ensure against loss. 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. Bonds and bond funds with longer durations tend to be more sensitive and more volatile than securities with shorter durations; bond prices generally fall as interest rates rise. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.
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 | February 28, 2013 |
People often talk about the bond market as if it were a single, homogenous entity, when it’s really as varied and complex as the equity market. There are areas of the bond market that haven’t been very impressive lately: The benchmark U.S. 10-year Treasury bond, for example, has struggled to outpace inflation. And the Barclays Capital U.S. Aggregate Index, a broad-based measure of the entire bond market, returned 0.15% for the six months ended February 28, 2013. On the other hand, the high-yield space has fared much better over that period, with the Merrill Lynch/Bank of America U.S High-Yield Master II Index returning 6.58%.
The disparity you see in those returns is why we believe that the best way to invest in fixed-income products is to cast a wide net. Our American Beacon Flexible Bond Fund gives its three sub-advisors the leeway to seek out solid returns in the bond market wherever they may find it.
For the six-month period ended February 28, 2013, the American Beacon Flexible Bond Fund (Institutional Class) returned 3.74%.
Since its inception in 2011, this Fund has been a worthy addition to American Beacon’s suite of investment choices. We know fixed-income vehicles are a critical part of many investors’ portfolios, and we’re pleased to be able to offer a mutual fund with such a wide range of possibilities for its managers to take advantage of.
Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds or to access your account information, please visit our website at www.americanbeaconfunds.com.
Best Regards, |
Gene L. Needles, Jr. President American Beacon Funds |
1
American Beacon Flexible Bond Fund SM
February 28, 2013 (Unaudited)
The Investor Class of the Flexible Bond Fund (the “Fund”) returned 3.56% for the six months ended February 28, 2013. The Fund outperformed the Bank of America Merrill Lynch 3-Month LIBOR Index (the “Index”) return of 0.19%. The performance objective of the Fund is to generate positive total returns over a full market cycle and it successfully achieved positive absolute returns during the six-month period.
Total Returns for the Period ended 2/28/13: |
6 Months* | 1 Year | Since Inception* (7/05/2011) | ||||||||||
Institutional Class (1,2,4) | 3.74 | % | 7.52 | % | 6.57 | % | ||||||
Y Class (1,2,4) | 3.72 | % | 7.32 | % | 6.47 | % | ||||||
Investor Class(1,2,4) | 3.56 | % | 7.03 | % | 6.37 | % | ||||||
A Class with sales charge (1,2,4) | -1.40 | % | 1.88 | % | 3.01 | % | ||||||
A Class without sales charge (1,2,4) | 3.50 | % | 6.93 | % | 6.09 | % | ||||||
C Class with sales charge (1,2,4) | 2.13 | % | 5.13 | % | 5.73 | % | ||||||
C Class without sales charge (1,2,4) | 3.13 | % | 6.13 | % | 5.73 | % | ||||||
BofA Merrill Lynch 3 Month LIBOR | 0.19 | % | 0.45 | % | 0.38 | % | ||||||
Barclays Capital U.S. Aggregate Index (3) | 0.15 | % | 3.12 | % | 5.57 | % |
* | Not annualized |
1. | Performance shown is historical and is not 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 Class shares have a maximum sales charge of 4.75%. The maximum contingent deferred sales charge for the C Class is 1.00% for shares redeemed within one year of the date of purchase. |
2. | A portion of the fees charged to each Class of the Fund was waived since inception. Performance prior to waiving fees was lower than the actual returns shown since inception. |
3. | The BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Index represents the London interbank offered rate (LIBOR) with a constant 3-month average maturity. LIBOR is a composite of the rates of interest at which banks borrow from one another in the London market, and it is a widely used benchmark for short-term interest rates. |
4. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A and C Class shares was 1.44%, 1.51%, 1.78%, 1.95% and 2.76%, 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 high quality nature of the Fund’s holdings proved beneficial in achieving its return objective. Investment grade securities, those with a credit rating of BBB or higher, accounted for 86.6% of the assets during the period and had a favorable impact on performance. In addition, securities with a duration less than three years accounted for 58.8% of the assets and were also beneficial to returns.
The most significant contribution to the Fund’s return by sector was generated through the Sovereign allocation. During the period Sovereign securities represented 52.8% of the assets and gained 1.6%. Financial securities also had a positive benefit to the Fund. While not as large of a position as the Sovereign holdings, accounting for 16.4% of the assets, the Financial securities gained 3.8%.
The Fund has the flexibility to utilize derivative instruments and will do so to enhance return, hedge risk, gain efficient exposure to an asset class, or to manage liquidity. When considering the Fund’s use of derivatives, it is important to note that the Fund does not use derivatives for the purposes of creating financial leverage. During the period, the Fund experienced modest benefits from the use of derivatives in foreign currency transactions in addition to investments made in futures, options, and swaps.
Looking forward, the Fund’s investment managers will continue to allocate investments across a wide range of global investment opportunities, seeking to achieve the Fund’s goal of positive total returns regardless of market conditions over a full market cycle.
Top 10 Holdings (% Net Assets) | ||||
U.S. Treasury Bill, 0.01%, Due 11/14/13 | 5.3 | |||
U.S. Treasury Note, 2.375%, Due 1/15/25 | 2.0 | |||
U.S. Treasury Note, 2.375%, Due 1/15/27 | 1.8 | |||
U.S. Treasury Note, 2.00%, Due 11/30/13 | 1.8 | |||
Mexican Bonos, 8.50%, Due 5/31/29 | 1.7 | |||
U.S. Treasury Note, 0.50%, Due 10/15/13 | 1.5 | |||
Poland Government Bond, 5.25%, Due 10/25/20 | 1.4 | |||
Buoni Poliennali Del Tesoro, 5.00%, Due 8/1/39 | 1.4 | |||
Mexican Bonos, 8.50%, Due 11/18/38 | 1.2 | |||
U.S. Treasury Note, 1.00%, Due 8/31/19 | 1.2 |
Total Fund Holdings | 311 |
2
American Beacon Flexible Bond Fund SM
Performance Overview
February 28, 2013 (Unaudited)
Sector Weightings (% Investments) | ||||
Short-Term Investments | 26.0 | |||
Finance | 20.2 | |||
Sovereign | 19.1 | |||
U.S. Treasuries | 18.7 | |||
Commercial Mortgage Obligations | 5.4 | |||
Manufacturing | 3.4 | |||
Asset-Backed Securities | 1.5 | |||
Service | 1.5 | |||
Telecommunications | 1.1 | |||
Energy | 1.0 | |||
Utility | 0.8 | |||
Consumer | 0.6 | |||
Municipal Obligations | 0.4 | |||
Transportation | 0.2 | |||
Purchased Options | 0.1 | |||
Excludes futures, forwards, interest rate swaps or other derivatives. |
|
3
American Beacon Flexible Bond Fund SM
Fund Expenses
February 28, 2013 (Unaudited)
Fund Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on shares purchased 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 September 1, 2012 through February 28, 2013.
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 Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 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 Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 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 sales charges (loads). 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 Account Value 9/1/12 | Ending Account Value 2/28/13 | Expenses Paid During Period* 9/1/12-2/28/13 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.42 | $ | 4.55 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.33 | $ | 4.51 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.16 | $ | 5.00 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.59 | $ | 6.36 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.55 | $ | 6.31 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.96 | $ | 6.96 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,017.95 | $ | 6.90 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.31 | $ | 10.73 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,014.23 | $ | 10.64 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.90%, 0.99%, 1.26%, 1.38% and 2.13% for the Institutional, Y, Investor, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
4
American Beacon Flexible Bond FundSM
February 28, 2013 (Unaudited)
Par AmountI | Fair Value | |||||||
(000’s) | (000’s) | |||||||
DOMESTIC CONVERTIBLE OBLIGATIONS - 1.75% | ||||||||
Energy - 0.21% | ||||||||
Lukoil International Finance BV, 2.625%, Due 6/16/2015 | $ | 100 | $ | 111 | ||||
Seadrill Ltd., 3.375%, Due 10/27/2017 | 100 | 133 | ||||||
|
| |||||||
244 | ||||||||
|
| |||||||
Finance - 0.32% | ||||||||
Hong Kong Exchanges, 0.50%, Due 10/23/2017 | 200 | 221 | ||||||
Noble Group Ltd., 0.01%, Due 6/13/2014 | 100 | 146 | ||||||
|
| |||||||
367 | ||||||||
|
| |||||||
Manufacturing - 0.80% | ||||||||
DR Horton, Inc., 2.00%, Due 5/15/2014 | 150 | 263 | ||||||
EMC Corp., 1.75%, Due 12/1/2013 | 100 | 145 | ||||||
Glencore Finance Europe S.A., 5.00%, Due 12/31/2014 | 100 | 123 | ||||||
Intel Corp., 3.25%, Due 8/1/2039 | 100 | 118 | ||||||
Siemens AG, 1.05%, Due 8/16/2017 | 250 | 254 | ||||||
|
| |||||||
903 | ||||||||
|
| |||||||
Service - 0.32% | ||||||||
Microsoft Corp., 0.01%, Due 6/15/2013A | 100 | 100 | ||||||
Newford Capital Ltd., 0.01%, Due 5/12/2016 | 100 | 103 | ||||||
priceline.com, Inc., 1.00%, Due 3/15/2018A | 29 | 32 | ||||||
Shire PLC, 2.75%, Due 5/9/2014 | 100 | 111 | ||||||
WellPoint, Inc., 2.75%, Due 10/15/2042A | 20 | 21 | ||||||
|
| |||||||
367 | ||||||||
|
| |||||||
Telecommunications - 0.09% | ||||||||
Billion Express Investment Ltd, 0.75%, Due 10/18/2015 | 100 | 104 | ||||||
|
| |||||||
Transportation - 0.01% | ||||||||
Ship Finance International Ltd., 3.25%, Due 2/1/2018 | 8 | 8 | ||||||
|
| |||||||
Total Domestic Convertible Obligations (Cost $1,970) | 1,993 | |||||||
|
| |||||||
DOMESTIC OBLIGATIONS - 22.75% | ||||||||
Consumer - 0.61% | ||||||||
ARAMARK Corp., 3.799%, Due 2/1/2015B | 50 | 50 | ||||||
BRF - Brasil Foods S.A., 5.875%, Due 6/6/2022A | 200 | 221 | ||||||
Marfrig Holding Europe BV, 9.875%, Due 7/24/2017 | 200 | 209 | ||||||
Reynolds Group Issuer Inc., | ||||||||
7.125%, Due 4/15/2019 | 100 | 107 | ||||||
7.875%, Due 8/15/2019 | 100 | 111 | ||||||
|
| |||||||
698 | ||||||||
|
| |||||||
Energy - 0.64% | ||||||||
Chesapeake Energy Corp., | ||||||||
7.625%, Due 7/15/2013 | 150 | 154 | ||||||
6.775%, Due 3/15/2019 | 21 | 22 | ||||||
Millennium Offshore Services Superholdings LLC, 9.50%, Due 2/15/2018C | 200 | 199 | ||||||
Plains Exploration & Production Co., 6.50%, Due 11/15/2020 | 80 | 89 | ||||||
Reliance Holdings USA, Inc., 4.50%, Due 10/19/2020 | 250 | 265 | ||||||
|
| |||||||
729 | ||||||||
|
| |||||||
Finance - 16.63% | ||||||||
ABN Amro Bank N.V., 1.003%, Due 1/17/2017D | 300 | 299 | ||||||
African Export Import BA, 5.75%, Due 7/27/2016 | 347 | 376 | ||||||
Agile Property Holdings Ltd., 8.875%, Due 4/28/2017 | 200 | 217 | ||||||
Alexandria Real Estate Equities, Inc., 4.60%, Due 4/1/2022E | 50 | 54 | ||||||
American International Group, Inc., 8.25%, Due 8/15/2018 | 235 | 306 | ||||||
Asian Development Bank, 2.75%, Due 5/21/2014 | 500 | 515 | ||||||
Bank of America Corp., | ||||||||
6.50%, Due 8/1/2016 | 285 | 329 | ||||||
5.75%, Due 12/1/2017 | 60 | 69 | ||||||
Bank of America NA, 5.30%, Due 3/15/2017 | 250 | 280 | ||||||
Barclays Bank PLC, 5.20%, Due 7/10/2014 | 450 | 477 | ||||||
BNP Paribas S.A., 1.205%, Due 1/10/2014B | 250 | 251 | ||||||
Cie de Financement Foncier, 2.25%, Due 3/7/2014A | 200 | 203 |
See accompanying notes
5
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Par AmountI | Fair Value | |||||||
(000’s) | (000’s) | |||||||
Citigroup, Inc., | ||||||||
6.375%, Due 8/12/2014 | $ | 360 | $ | 387 | ||||
5.50%, Due 10/15/2014 | 50 | 53 | ||||||
6.125%, Due 5/15/2018 | 60 | 72 | ||||||
Country Garden Holdings Co., 10.50%, Due 8/11/2015 | 100 | 112 | ||||||
Danske Bank A/S, | ||||||||
1.355%, Due 4/14/2014A B | 200 | 201 | ||||||
3.875%, Due 4/14/2016A | 200 | 212 | ||||||
Dexia Credit Local S.A., 2.75%, Due 4/29/2014 | 250 | 254 | ||||||
DNB Bank ASA, 3.20%, Due 4/3/2017A | 200 | 213 | ||||||
European Investment Bank, | ||||||||
1.625%, Due 3/15/2013 | 180 | 180 | ||||||
2.875%, Due 3/15/2013 | 290 | 290 | ||||||
1.25%, Due 9/17/2013 | 395 | 397 | ||||||
Export-Import Bank of Korea, 5.00%, Due 4/11/2022 | 200 | 232 | ||||||
Fifth Third Bancorp, 0.729%, Due 12/20/2016B | 435 | 427 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
7.00%, Due 10/1/2013C | 230 | 238 | ||||||
2.75%, Due 5/15/2015C | 200 | 204 | ||||||
5.00%, Due 5/15/2018C | 200 | 221 | ||||||
Future Land Development Holdings Ltd., 10.25%, Due 1/31/2018 | 200 | 193 | ||||||
General Electric Capital Corp., 2.15%, Due 1/9/2015 | 390 | 401 | ||||||
Goldman Sachs Group, Inc., | ||||||||
0.702%, Due 7/22/2015B | 420 | 416 | ||||||
7.50%, Due 2/15/2019 | 132 | 167 | ||||||
Hospitality Properties Trust, 5.00%, Due 8/15/2022E | 40 | 43 | ||||||
Ineos Finance PLC, 9.00%, Due 5/15/2015A | 145 | 153 | ||||||
ING Bank N.V., | ||||||||
1.623%, Due 10/18/2013A D | 180 | 181 | ||||||
1.711%, Due 6/9/2014A D | 765 | 775 | ||||||
1.711%, Due 6/9/2014D | 200 | 202 | ||||||
1.375%, Due 3/07/2016 | 1,000 | 998 | ||||||
1.006%, Due 7/3/2017D | 385 | 357 | ||||||
ING US, Inc., 2.90%, Due 2/15/2018A | 300 | 302 | ||||||
International Lease Finance Corp., 6.375%, Due 3/25/2013 | 545 | 547 | ||||||
Jones Lang LaSalle, Inc., 4.40%, Due 11/15/2022 | 30 | 31 | ||||||
JPMorgan Chase & Co., | ||||||||
1.102%, Due 1/24/2014B | 120 | 121 | ||||||
4.40%, Due 7/22/2020 | 10 | 11 | ||||||
Kaisa Group Holdings Ltd., 13.50%, Due 4/28/2015 | 100 | 108 | ||||||
Kookmin Bank, 7.25%, Due 5/14/2014 | 500 | 536 | ||||||
Korea Development Bank, 3.00%, Due 9/14/2022 | 200 | 201 | ||||||
Landwirtschaftliche Rentenbank, 3.25%, Due 3/15/2013 | 215 | 215 | ||||||
Montell Finance Co., 8.10%, Due 3/15/2027A | 150 | 198 | ||||||
Morgan Stanley, | ||||||||
1.281%, Due 4/29/2013B | 201 | 201 | ||||||
2.792%, Due 5/14/2013B | 140 | 141 | ||||||
1.538%, Due 2/25/2016B | 250 | 251 | ||||||
1.75%, Due 2/25/2016 | 250 | 251 | ||||||
4.75%, Due 3/22/2017 | 130 | 144 | ||||||
7.60%, Due 8/8/2017 | 430 | 378 | ||||||
MPT Operating Partnership LP, 6.875%, Due 5/1/2021F | 200 | 215 | ||||||
National Australia Bank Ltd., 1.60%, Due 8/7/2015 | 250 | 255 | ||||||
Nationwide Building Society, 4.65%, Due 2/25/2015A | 100 | 106 | ||||||
Network Rail Infrastructure Finance PLC, 1.75%, Due 3/18/2013 | 205 | 205 | ||||||
Noble Group Ltd., 8.50%, Due 5/30/2013 | 100 | 101 | ||||||
Royal Bank of Scotland PLC, 9.50%, Due 3/16/2022D | 300 | 354 | ||||||
Russian Standard Bank, 9.25%, Due 7/11/2017 | 200 | 215 | ||||||
Santander US Debt S.A. Unipersonal, 3.724%, Due 1/20/2015A | 200 | 203 | ||||||
Scotland International Finance No 2 B.V., 4.25%, Due 5/23/2013A | 195 | 196 | ||||||
Shimao Property Holdings Ltd., 9.65%, Due 8/3/2017 | 200 | 218 | ||||||
Sinopec Group Overseas Development 2012 Ltd., 3.90%, Due 5/17/2022 | 200 | 212 | ||||||
Springleaf Finance Corp., 5.75%, Due 9/15/2016 | 100 | 99 |
See accompanying notes
6
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Par AmountI | Fair Value | |||||||
(000’s) | (000’s) | |||||||
Standard Bank PLC, 8.125%, Due 12/2/2019 | $ | 100 | $ | 117 | ||||
Standard Chartered PLC, | ||||||||
5.50%, Due 11/18/2014A | 300 | 323 | ||||||
3.85%, Due 4/27/2015A | 300 | 317 | ||||||
Swire Properties MTN Financing Ltd., 4.375%, Due 6/18/2022 | 200 | 213 | ||||||
Temasek Financial I Ltd., 3.375%, Due 7/23/2042 | 250 | 228 | ||||||
Tenedora Nemak SA de CV, 5.50%, Due 2/28/2023 | 200 | 203 | ||||||
UBS AG, 5.875%, Due 12/20/2017 | 175 | 210 | ||||||
Wachovia Corp., 0.642%, Due 10/28/2015B | 195 | 193 | ||||||
Yuexiu Property Co., 4.50%, Due 1/24/2023 | 200 | 195 | ||||||
|
| |||||||
18,969 | ||||||||
|
| |||||||
Manufacturing - 1.26% | ||||||||
American Axle & Manufacturing Holdings, Inc., 9.25%, Due 1/15/2017A | 44 | 48 | ||||||
ArcelorMittal, 4.25%, Due 8/5/2015 | 210 | 218 | ||||||
Bombardier, Inc., 6.125%, Due 1/15/2023A | 18 | 18 | ||||||
Case New Holland, Inc., 7.75%, Due 9/1/2013 | 60 | 62 | ||||||
China Resources Cement Holdings Ltd., 2.125%, Due 10/5/2017 | 200 | 199 | ||||||
Freeport-McMoRan Copper & Gold, Inc., 3.10%, Due 3/15/2020A | 85 | 85 | ||||||
Hewlett-Packard Co., 4.65%, Due 12/9/2021 | 140 | 144 | ||||||
Lear Corp., 4.75%, Due 1/15/2023A | 90 | 88 | ||||||
Metinvest BV, 10.25%, Due 5/20/2015A | 100 | 106 | ||||||
Mohawk Industries, Inc., 3.85%, Due 2/1/2023 | 92 | 93 | ||||||
Packaging Corp of America, 3.90%, Due 6/15/2022 | 25 | 26 | ||||||
PTT Global Chemical PCL, 4.25%, Due 9/19/2022 | 200 | 208 | ||||||
Rock-Tenn Co., | ||||||||
3.50%, Due 3/1/2020A | 20 | 20 | ||||||
4.00%, Due 3/1/2023A | 20 | 20 | ||||||
Vale S.A., 5.625%, Due 9/11/2042 | 100 | 104 | ||||||
|
| |||||||
1,439 | ||||||||
|
| |||||||
Service - 0.73% | ||||||||
Fidelity National Information Services, Inc., 5.00%, Due 3/15/2022 | 150 | 159 | ||||||
FTI Consulting, Inc., 6.00%, Due 11/15/2022A | 30 | 31 | ||||||
Hertz Global Holdings, Inc., 5.25%, Due 6/1/2014 | 40 | 98 | ||||||
IAC/InterActiveCorp, 4.75%, Due 12/15/2022A | 30 | 29 | ||||||
Marriott International, Inc., | ||||||||
3.00%, Due 3/1/2019 | 75 | 79 | ||||||
3.25%, Due 9/15/2022 | 30 | 30 | ||||||
Merge Healthcare, Inc., 11.75%, Due 5/1/2015 | 75 | 80 | ||||||
Netflix, Inc., 5.375%, Due 2/1/2021A | 100 | 100 | ||||||
Prospect Medical Holdings, Inc., 8.375%, Due 5/1/2019A | 50 | 53 | ||||||
Sirius XM Radio, Inc., 5.25%, Due 8/15/2022A | 50 | 51 | ||||||
Tenet Healthcare Corp., 4.50%, Due 4/1/2021A | 75 | 74 | ||||||
Wyndham Worldwide Corp., 4.25%, Due 3/1/2022 | 50 | 52 | ||||||
|
| |||||||
836 | ||||||||
|
| |||||||
Sovereign - 1.43% | ||||||||
Eksportfinans ASA, | ||||||||
3.00%, Due 11/17/2014 | 50 | 50 | ||||||
2.375%, Due 5/25/2016 | 100 | 95 | ||||||
Financing of Infrastructural Project, 9.00%, Due 12/7/2017 | 200 | 213 | ||||||
Hungary Government International Bond, 5.375%, Due 2/21/2023 | 100 | 99 | ||||||
Instituto de Credito Oficial, 2.375%, Due 3/4/2013 | 200 | 200 | ||||||
KommunalBanken AS, 1.375%, Due 6/8/2017 | 200 | 204 | ||||||
Korea Housing Finance Corp., 1.625%, Due 9/15/2018 | 350 | 347 | ||||||
Namibia International, 5.50%, Due 11/3/2021 | 200 | 219 | ||||||
Republic of Portugal, 3.50%, Due 3/25/2015A | 200 | 195 | ||||||
|
| |||||||
1,622 | ||||||||
|
| |||||||
Telecommunications - 0.75% | ||||||||
British Telecommunications PLC, 1.434%, Due 12/20/2013D | 200 | 201 | ||||||
Sprint Nextel Corp., 7.00%, Due 8/15/2020 | 61 | 66 | ||||||
Virgin Media Finance PLC, 4.875%, Due 2/15/2022 | 200 | 202 | ||||||
Windstream Corp., 8.125%, Due 8/1/2013 | 380 | 391 | ||||||
|
| |||||||
860 | ||||||||
|
|
See accompanying notes
7
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Par AmountI | Fair Value | |||||||
(000’s) | (000’s) | |||||||
Transportation - 0.09% | ||||||||
Continental Airlines 2012-2 Class A Pass Thru Certificates, 4.00%, Due 4/29/2026 | $ | 100 | $ | 104 | ||||
|
| |||||||
Utility - 0.61% | ||||||||
Dewa Sukuk 2013 Ltd., 3.00%, Due 03/05/2018 | 200 | 200 | ||||||
SP PowerAssets Ltd., 2.70%, Due 9/14/2022 | 200 | 194 | ||||||
Taqa Abu Dhabi National Energy Co. PJSC, 6.60%, Due 8/1/2013 | 300 | 306 | ||||||
|
| |||||||
700 | ||||||||
|
| |||||||
Total Domestic Obligations (Cost $25,413) | 25,957 | |||||||
|
| |||||||
FOREIGN CONVERTIBLE OBLIGATIONS - 1.45% | ||||||||
Energy - 0.12% | ||||||||
Eni S.p.A., 0.25%, Due 11/30/2015 | 100 | 133 | ||||||
|
| |||||||
Finance - 0.13% | ||||||||
Deutsche Bank AG, 0.01%, Due 03/19/2014 G | 12,000 | 147 | ||||||
|
| |||||||
Manufacturing - 0.81% | ||||||||
Aabar Investments PJSC, 4.00%, Due 5/27/2016 | 100 | 137 | ||||||
Camfin S.p.A., 5.625%, Due 10/26/2017 | 100 | 148 | ||||||
Cap Gemini Sogeti, 3.50%, Due 1/1/2014 | 190 | 98 | ||||||
Faurecia, 3.25%, Due 1/1/2018 | 400 | 107 | ||||||
Salzgitter Finance B.V., 2.00%, Due 11/8/2017 | 100 | 157 | ||||||
Volkswagen International Finance NV, 5.50%, Due 11/9/2015 | 200 | 281 | ||||||
|
| |||||||
928 | ||||||||
|
| |||||||
Service - 0.25% | ||||||||
China Water Affairs Group, 2.50%, Due 4/15/2015 | 100 | 14 | ||||||
ITV PLC, 4.00%, Due 11/9/2016 | 50 | 138 | ||||||
MNV ZRT, 4.40%, Due 9/25/2014 | 100 | 132 | ||||||
|
| |||||||
284 | ||||||||
|
| |||||||
Transportation - 0.14% | ||||||||
KFW, 1.50%, Due 7/30/2014 | 100 | 163 | ||||||
|
| |||||||
Total Foreign Convertible Obligations (Cost $1,686) | 1,655 | |||||||
|
| |||||||
FOREIGN OBLIGATIONS - 20.88% | ||||||||
Finance - 2.47% | ||||||||
AIB Mortgage Bank, 2.625%, Due 7/28/2017 | 100 | 131 | ||||||
Asian Development Bank, 2.00%, Due 8/29/2017 | 400 | 69 | ||||||
Co-Opertative Bank, 2.375%, Due 10/23/2015 | 100 | 131 | ||||||
Derwent Cap Jersey Ltd., 2.75%, Due 7/15/2016 | 100 | 174 | ||||||
European Investment Bank, 6.00%, Due 12/7/2028 | 150 | 301 | ||||||
Henderson UK Finance PLC, 7.25%, Due 3/24/2016 | 100 | 163 | ||||||
HSBC Bank USA, 10.00%, Due 1/5/2017 | 500 | 265 | ||||||
Hypo Aple Adria International AG, 2.375%, Due 12/13/2022 | 100 | 131 | ||||||
Irish Bank Resolution Government, 4.00%, Due 4/15/2015 | 80 | 104 | ||||||
JP Morgan Chase Bank, NA, 0.877%, Due 5/31/2017D | 400 | 514 | ||||||
JP Morgan Stuctured, 6.00%, Due 2/28/2014G | 300 | 402 | ||||||
Lloyds Banking Group PLC, 5.21%, Due 10/1/2014D | 100 | 104 | ||||||
Nordic Investment Bank, 2.125%, Due 8/9/2017 | 400 | 69 | ||||||
Societe Generale NA, Inc., 4.48%, Due 10/20/2014D | 250 | 256 | ||||||
|
| |||||||
2,814 | ||||||||
|
| |||||||
Manufacturing - 0.43% | ||||||||
Heathrow Finance PLC, 7.125%, Due 3/1/2017 | 70 | 115 | ||||||
Heathrow Funding Ltd., 2.50%, Due 6/25/2017A | 200 | 206 | ||||||
Jaguar Land Rover PLC, 8.125%, Due 5/15/2018 | 100 | 167 | ||||||
|
| |||||||
488 | ||||||||
|
| |||||||
Municipal Government - 0.35% | ||||||||
Comunidad De Madrid, | ||||||||
4.305%, Due 3/6/2014 | 100 | 133 | ||||||
4.20%, Due 9/24/2014 | 200 | 265 | ||||||
|
| |||||||
398 | ||||||||
|
|
See accompanying notes
8
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Par AmountI | Fair Value | |||||||
(000’s) | (000’s) | |||||||
Service - 0.12% | ||||||||
Nara Cable Funding II Ltd., 8.50%, Due 3/1/2020 | $ | 100 | $ | 136 | ||||
|
| |||||||
Sovereign - 17.14% | ||||||||
Buoni del Tesoro Poliennali, 2.35%, Due 9/15/2035 | 303 | 338 | ||||||
Buoni Poliennali Del Tesoro, 5.00%, Due 8/1/2039 | 1,230 | 1,545 | ||||||
Hungary Government Bond, | ||||||||
5.50%, Due 2/12/2016 | 255,000 | 1,135 | ||||||
7.50%, Due 11/12/2020 | 30,000 | 145 | ||||||
Korea Treasury Bond, | ||||||||
3.00%, Due 12/10/2013 | 352,000 | 326 | ||||||
5.75%, Due 9/10/2018 | 1,150,000 | 1,222 | ||||||
Malaysia Government Bond, | ||||||||
5.094%, Due 4/30/2014 | 575 | 190 | ||||||
3.741%, Due 2/27/2015 | 1,080 | 354 | ||||||
3.172%, Due 7/15/2016 | 2,630 | 853 | ||||||
Mexican Bonos, | ||||||||
7.00%, Due 6/19/2014 | 12,450 | 1,009 | ||||||
9.50%, Due 12/18/2014 | 6,020 | 514 | ||||||
8.00%, Due 12/7/2023 | 2,500 | 242 | ||||||
8.50%, Due 5/31/2029 | 18,980 | 1,930 | ||||||
8.50%, Due 11/18/2038 | 13,440 | 1,389 | ||||||
New Zealand Government Bond, 6.00%, Due 5/15/2021 | 825 | 798 | ||||||
Obrigacoes do Tesouro, | ||||||||
4.375%, Due 6/16/2014 | 100 | 133 | ||||||
3.85%, Due 4/15/2021 | 260 | 289 | ||||||
4.95%, Due 10/25/2023 | 500 | 584 | ||||||
Poland Government Bond, | ||||||||
5.00%, Due 10/24/2013 | 1,330 | 423 | ||||||
5.25%, Due 10/25/2020 | 4,535 | 1,558 | ||||||
5.75%, Due 9/23/2022 | 235 | 84 | ||||||
Republic of Ireland Treasury, | ||||||||
5.50%, Due 10/18/2017 | 110 | 161 | ||||||
4.50%, Due 4/18/2020 | 380 | 521 | ||||||
5.40%, Due 3/13/2025 | 100 | 142 | ||||||
South Africa Government Bond, | ||||||||
6.75%, Due 3/31/2021 | 3,145 | 356 | ||||||
6.50%, Due 2/28/2041 | 8,575 | 767 | ||||||
Turkey Government Bond, 9.00%, Due 3/5/2014 | 2,280 | 1,311 | ||||||
UK Treasury Bond, 2.25%, Due 3/7/2014 | 705 | 1,091 | ||||||
Uruguay Government International Bond, 4.375%, Due 12/15/2028 | 2,462 | 161 | ||||||
|
| |||||||
19,571 | ||||||||
|
| |||||||
Telecommunications - 0.25% | ||||||||
Altice Financing S.A., 8.00%, Due 12/15/2019 | 200 | 281 | ||||||
|
| |||||||
Utility - 0.12% | ||||||||
Tokyo Electric Power Co. Inc, 4.50%, Due 3/24/2014 | 100 | 133 | ||||||
|
| |||||||
Total Foreign Obligations (Cost $23,135) | 23,821 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES - 1.48% | ||||||||
Avenue CLO Fund Ltd., 0.640%, Due 2/15/2017, 2004 1A A1LAB | 70 | 70 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
0.302%, Due 5/25/2036, 2006 RFC1 A2B | 6 | 6 | ||||||
0.462%, Due 2/25/2037, 2007 FRE1 AC3B | 500 | 283 | ||||||
Fremont Home Loan Trust, 0.372%, Due 2/25/2036, 2006 2 2A3B | 400 | 292 | ||||||
KGS Alpha SBA, 0.861%, Due 8/25/2038, COOF 8/37 1 | 5,000 | 216 | ||||||
Morgan Stanley ABS Capital I Inc., | ||||||||
0.252%, Due 7/25/2036, 2006 A2FPB | 89 | 35 | ||||||
0.352%, Due 11/25/2036, 2007 HE1 A2CB | 600 | 314 | ||||||
Oakwood Mortgage Investors, Inc., 6.61%, Due 2/15/2021, 2001 C A3 | 338 | 189 | ||||||
RASC Trust, | ||||||||
0.782%, Due 7/25/2033, 2003 KS5 AIIBB | 10 | 8 |
See accompanying notes
9
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Par AmountI | Fair Value | |||||||
(000’s) | (000’s) | |||||||
2.797%, Due 12/25/2034, 2004 IP2 4A | $ | 116 | $ | 117 | ||||
0.642%, Due 1/25/2036, 2005 KS12 M1B | 175 | 157 | ||||||
Vanderbilt Mortgage Finance, 8.525%, Due 3/7/2025, 2000 B IA4 | 7 | 7 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $1,624) | 1,694 | |||||||
|
| |||||||
COMMERCIAL MORTGAGE OBLIGATIONS - 5.23% | ||||||||
Adjustable Rate Mortgage Trust, 3.104%, Due 9/25/2035, 2005 5 2A1 | 95 | 89 | ||||||
American Home Mortgage Investment Trust, | ||||||||
2.344%, Due 10/25/2034, 2004 3 5AB | 91 | 91 | ||||||
1.961%, Due 9/25/2045, 2005 2 4A1B | 11 | 10 | ||||||
Banc of America Alternative Loan Trust, 0.602%, Due 5/25/2035, 2005 4 CB6B | 95 | 70 | ||||||
Banc of America Large Loan Trust, 2.501%, Due 11/15/2015, 2010 HLTNAB | 273 | 273 | ||||||
Banc of America Mortgage Securities, Inc., 3.671%, Due 7/20/2032, 2002 G1A3B | 23 | 23 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
2.746%, Due 11/25/2030, 2000 2 A1 | 62 | 64 | ||||||
2.745%, Due 8/25/2033, 2003 5 2A1B | 138 | 138 | ||||||
3.028%, Due 8/25/2033, 2003 5 1A1B | 58 | 57 | ||||||
3.091%, Due 4/25/2034, 2004 1 22A1B | 55 | 54 | ||||||
3.477%, Due 11/25/2034, 2004 9 22A1B | 33 | 33 | ||||||
2.47%, Due 10/25/2035, 2005 9 A1B | 76 | 74 | ||||||
Bear Stearns Alt-A Trust, | ||||||||
2.979%, Due 9/25/2034, 2004 9 2A1B | 207 | 181 | ||||||
2.938%, Due 11/25/2036, 2006 6 32A1 | 136 | 90 | ||||||
Chase Mortgage Finance Corp., | ||||||||
5.50%, Due 11/25/2035, 2005 S3 A10 | 200 | 199 | ||||||
2.935%, Due 2/25/2037, 2007 A1 7A1 | 62 | 62 | ||||||
3.031%, Due 2/25/2037, 2007 A1 1A5 | 62 | 62 | ||||||
5.038%, Due 3/25/2037, 2007 A1 12M3B | 408 | 339 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
2.693%, Due 8/25/2035, 2005 3 2A2A | 66 | 66 | ||||||
1.99%, Due 9/25/2035, 2005 6 A3B | 68 | 68 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
0.652%, Due 8/25/2033, 2003 15T2 A2B | 14 | 13 | ||||||
5.50%, Due 10/25/2033, 2003 20CB 1A4 | 167 | 169 | ||||||
6.00%, Due 10/25/2033, 2003 J2 A1 | 33 | 34 | ||||||
0.482%, Due 2/25/2037, 2005 81 A1B | 21 | 14 | ||||||
0.411%, Due 7/20/2046, 2006 OA9 2A1AB | 17 | 9 | ||||||
0.392%, Due 9/25/2046, 2006 OA11 A1BB | 23 | 16 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, | ||||||||
2.982%, Due 6/25/2033, 2003 27 A1B | 65 | 66 | ||||||
0.962%, Due 9/25/2034, 2004 16 1A4AB | 59 | 54 | ||||||
0.492%, Due 4/25/2035, 2005 3 2A1B | 267 | 202 | ||||||
0.432%, Due 5/25/2035, 2005 9 1A3B | 175 | 143 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., 2.812%, Due 9/25/2034, | 57 | 58 | ||||||
First Horizon Asset Securities, Inc., 2.552%, Due 2/25/2034, 2004 AR1 2A1B | 84 | 85 | ||||||
GSR Mortgage Loan Trust, | ||||||||
6.00%, Due 3/25/2032, 2003 2F 3A1 | 4 | 4 | ||||||
2.560%, Due 6/25/2034, 2004 7 3A1 | 57 | 57 | ||||||
5.116%, Due 11/25/2035, 2005 AR7 6A1B | 63 | 63 | ||||||
JP Morgan Alternative Loan Trust, 5.608%, Due 5/26/2037, 2008 R3 3A1A | 328 | 280 | ||||||
LB-UBS Commercial Mortgage Trust, 0.309%, Due 9/15/2045, 2007 C7 XW | 1,550 | 17 | ||||||
Morgan Stanley Mortgage Loan Trust, 2.458%, Due 6/25/2036, 2006 8AR 5A4B | 35 | 33 | ||||||
New Century Alternative Mortgage Loan Trust, 5.909%, Due 7/25/2036, 2006 ALT1 AF2 | 13 | 10 | ||||||
Nomura Asset Acceptance Corp., 7.50%, Due 3/25/2034, 2004 R1 A2A | 138 | 150 | ||||||
Prime Mortgage Trust, 0.702%, Due 2/25/2035, 2006 CL1 A1B | 136 | 123 | ||||||
RALI Trust, 0.302%, Due 5/25/2037, 2007 QA3 A1B | 409 | 281 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
2.798%, Due 5/25/2034, 2004 5 3A2 | 85 | 85 |
See accompanying notes
10
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Par AmountI | Fair Value | |||||||
(000’s) | (000’s) | |||||||
2.646%, Due 7/25/2034, 2004 8 3AB | $ | 84 | $ | 83 | ||||
Structured Asset Mortgage Investments, Inc., 0.432%, Due 5/25/2045, | 122 | 92 | ||||||
Structured Asset Securities Corp., 5.50%, Due 5/25/2035, 2005 6 2A14 | 154 | 159 | ||||||
WaMu Mortgage Pass Through Certificates, | ||||||||
2.233%, Due 2/25/2033, 2003 AR1 2AB | 4 | 4 | ||||||
2.510%, Due 3/25/2035, 2005 AR3 A1 | 61 | 60 | ||||||
5.50%, Due 11/25/2035, 2005 9 2A2 | 408 | 364 | ||||||
0.362%, Due 2/25/2037, 2007 HY1 A2AB | 395 | 269 | ||||||
2.736%, Due 3/25/2037, 2007 HY3 4A1B | 248 | 228 | ||||||
1.872%, Due 12/19/2039, 2001 AR5 1A | 124 | 124 | ||||||
0.432%, Due 4/25/2045, 2005 AR6 2A1AB | 178 | 166 | ||||||
0.522%, Due 7/25/2045, 2005 AR9 A1AB | 109 | 104 | ||||||
0.472%, Due 12/25/2045, 2005 AR17 A1A1B | 178 | 166 | ||||||
Wells Fargo Mortgage Backed Securities Trust, 2.683%, Due 3/25/2035, | 136 | 138 | ||||||
|
| |||||||
Total Commercial Mortgage Obligations (Cost $5,395) | 5,966 | |||||||
|
| |||||||
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.02% (Cost $22) | ||||||||
Fannie Mae Grantor Trust, 6.00%, Due 2/25/2044, 2004 T3 CL 1A1 | 20 | 24 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS - 18.13% | ||||||||
U.S. Treasury Bond, | ||||||||
2.00%, Due 11/15/2021 | 700 | 720 | ||||||
1.75%, Due 5/15/2022 H | 100 | 100 | ||||||
1.625%, Due 8/15/2022 H | 400 | 394 | ||||||
3.875%, Due 4/15/2029 H | 712 | 1,160 | ||||||
4.375%, Due 5/15/2041 | 325 | 410 | ||||||
U.S. Treasury Note, | ||||||||
3.125%, Due 4/30/2013 | 1,000 | 1,005 | ||||||
1.375%, Due 5/15/2013 | 350 | 351 | ||||||
0.375%, Due 6/30/2013 | 100 | 100 | ||||||
0.75%, Due 8/15/2013 | 600 | 602 | ||||||
0.75%, Due 9/15/2013 | 1,100 | 1,104 | ||||||
0.125%, Due 9/30/2013 | 200 | 200 | ||||||
0.50%, Due 10/15/2013 | 1,700 | 1,704 | ||||||
0.25%, Due 10/31/2013 | 300 | 300 | ||||||
2.00%, Due 11/30/2013 | 2,000 | 2,027 | ||||||
1.50%, Due 12/31/2013 | 1,000 | 1,011 | ||||||
1.00%, Due 1/15/2014 | 500 | 504 | ||||||
1.875%, Due 4/30/2014 | 1,000 | 1,019 | ||||||
2.00%, Due 7/15/2014 H | 365 | 388 | ||||||
1.625%, Due 1/15/2015 H | 120 | 129 | ||||||
1.00%, Due 8/31/2019 HJ | 1,400 | 1,388 | ||||||
1.25%, Due 2/29/2020 | 200 | 200 | ||||||
2.375%, Due 1/15/2025 H | 1,742 | 2,336 | ||||||
2.00%, Due 1/15/2026 H | 116 | 150 | ||||||
2.375%, Due 1/15/2027 H | 1,549 | 2,104 | ||||||
1.75%, Due 1/15/2028 H | 658 | 836 | ||||||
2.50%, Due 1/15/2029 H | 321 | 449 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $20,654) | 20,691 | |||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 25.20% | ||||||||
Other Mutual Fund Companies - 9.11% | ||||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 10,397,635 | 10,398 | ||||||
|
|
See accompanying notes
11
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Par AmountI | Fair Value | |||||||
(000’s) | (000’s) | |||||||
Repurchase Agreements - 10.34% | ||||||||
Credit Suisse First Boston, 0.19%, acquired on 2/28/2013, Due 3/1/2013, at $1,200 (Held at JP Morgan Chase, Collateralized by a U.S. Treasury Obligation valued at $1,277, 3.625%, Due 8/15/2019) | $ | 1,200 | $ | 1,200 | ||||
JP Morgan Chase & Co., 0.20%, acquired on 2/28/2013, Due 3/1/2013, at $6,300 (Held at JP Morgan Chase, Collateralized by U.S. Government Obligations valued at $6,422, | 6,300 | 6,300 | ||||||
Deutsche Bank, 0. 19%, acquired on 2/28/2013, Due 3/1/2013, at $4,300 (Held at Bank of New York, Collateralized by a U.S. Treasury Obligation valued at $4,379, 0.625%, Due 4/15/2013) | 4,300 | 4,300 | ||||||
|
| |||||||
11,800 | ||||||||
|
| |||||||
Certificates Of Deposit - 0.44% | ||||||||
Banco do Brasil S.A., 0.01%, Due 3/26/2013 | 250 | 249 | ||||||
Itau Unibanco Holding S.A., 0.01%, Due 3/26/2013 | 250 | 250 | ||||||
|
| |||||||
499 | ||||||||
|
| |||||||
U.S. Treasury Bills - 5.31% | ||||||||
0.12%, Due 11/14/2013 | 6,030 | 6,024 | ||||||
0.01%, Due 4/25/2013 | 26 | 26 | ||||||
0.13%, Due 1/9/2014 | 5 | 5 | ||||||
|
| |||||||
6,055 | ||||||||
|
| |||||||
Total Short-Term Investments (Cost 28,753) | 28,752 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 96.89% (Cost $108,651) | 110,554 | |||||||
PURCHASED OPTIONS - 0.08% (Cost $168) | 89 | |||||||
WRITTEN OPTIONS - (0.14%) (Premiums $78) | (158 | ) | ||||||
OTHER ASSETS, NET OF LIABILITIES - 3.18% | 3,624 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 114,109 | ||||||
|
|
Percentages are stated as a percent of net assets.
A | Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $5,854 or 5.13% of net assets. The Fund has no right to demand registration of these securities. |
B | 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. |
C | Limited Liability Company. |
D | Variable rate. |
E | REIT - Real Estate Investment Trust. |
F | Limited Partnership. |
G | This security is valued in good faith at fair value as determined under the policies and procedures established by and under the supervision of the Fund’s Board of Trustees. At February 28, 2013 the aggregate value of securities priced at fair value was $147 which rounds to zero percent of total net assets. |
H | Inflation-Indexed Note. |
I | In U.S. Dollars unless otherwise noted. |
J | This security or a piece thereof is held as segregated collateral for interest rate and credit default swaps. |
Futures Contracts Open on February 28, 2013:
Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||
3-Month Canadian Bankers Acceptance December Futures | Short | 20 | December, 2013 | $ | 4,789,833 | $ | — | |||||||
3-Month Sterling Interest Rate December Futures | Long | 5 | December, 2013 | 944,110 | 1,157 | |||||||||
3-Month Sterling Interest Rate March Futures | Short | 5 | March, 2014 | 943,921 | (1,233 | ) | ||||||||
3-Month Sterling Interest Rate March Futures | Short | 11 | March, 2015 | 2,072,036 | (783 | ) | ||||||||
90 Day Eurodollar December Futures | Short | 18 | December, 2015 | 4,458,375 | 1,645 | |||||||||
90 Day Eurodollar June Futures | Short | 9 | June, 2016 | 2,222,550 | 4,178 | |||||||||
Euro OAT March Futures | Short | 3 | March, 2013 | 529,472 | (157 | ) |
See accompanying notes
12
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||
German Euro Bund March Futures | Short | 7 | March, 2013 | $ | 1,324,991 | $ | (587 | ) | ||||||
German Euro Bund June Futures | Short | 2 | June, 2013 | 373,765 | (770 | ) | ||||||||
OMX Riba March Futures | Long | 24 | March, 2014 | 9,174 | 122 | |||||||||
OMX Riba September Futures | Long | 25 | September, 2013 | 8,970 | 371 | |||||||||
OMX Riba December Futures | Long | 65 | December, 2013 | 23,321 | 2,031 | |||||||||
U.S. Treasury Ultra Long June Futures | Short | 2 | June, 2013 | 316,000 | 2,156 | |||||||||
U.S. Treasury 10-Year Note March Futures | Short | 3 | March, 2013 | 398,109 | (484 | ) | ||||||||
U.S. Treasury 10-Year Note June Futures | Short | 37 | June, 2013 | 4,867,234 | (4,523 | ) | ||||||||
U.S. Treasury 30-Year Bond June Futures | Short | 6 | June, 2013 | 862,688 | 3,234 | |||||||||
U.S. Treasury 5-Year Note June Futures | Short | 9 | June, 2013 | 1,115,859 | (602 | ) | ||||||||
|
|
|
| |||||||||||
$ | 25,260,408 | $ | 5,755 | |||||||||||
|
|
|
|
Centrally cleared swap agreements outstanding on February 28, 2013:
Interest Rate Swaps:
Pay/ Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Curr | Notional Amount(4) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Fair Value | ||||||||||||||||||||
Pay | 6-Month JPY-LIBOR | 0.500 | % | 1/15/2016 | JPY | $ | 730,000,000 | $ | (29,338 | ) | $ | (16,792 | ) | $ | (46,130 | ) | ||||||||||||
Pay | 3-Month USD-LIBOR | 1.000 | % | 6/19/2018 | USD | 3,200,000 | 16,375 | (9,010 | ) | 7,365 | ||||||||||||||||||
Receive | 6-Month AUD-BBSW | 1.000 | % | 3/15/2023 | AUD | 2,500,000 | (11,465 | ) | 20,140 | 8,675 | ||||||||||||||||||
Receive | 6-Month AUD-BBSW | 3.750 | % | 3/15/2023 | AUD | 200,000 | (577 | ) | (3,022 | ) | (3,599 | ) | ||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.000 | % | 3/21/2023 | USD | 5,500,000 | (53,703 | ) | 19,024 | (34,679 | ) | |||||||||||||||||
Receive | 6-Month GBP-LIBOR | 1.000 | % | 3/21/2023 | GBP | 4,400,000 | (17,044 | ) | (15,455 | ) | (32,499 | ) | ||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.000 | % | 6/19/2023 | USD | 7,200,000 | 111,302 | (61,066 | ) | 50,236 | ||||||||||||||||||
Receive | 6-Month AUD-BBSW | 1.000 | % | 12/11/2023 | AUD | 1,100,000 | 831 | 10,235 | 11,066 | |||||||||||||||||||
Pay | 6-Month JPY-LIBOR | 2.500 | % | 6/15/2032 | JPY | 80,000,000 | (11,815 | ) | 10,615 | (1,200 | ) | |||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.750 | % | 6/19/2033 | USD | 1,700,000 | 20,570 | — | 20,570 | |||||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.750 | % | 6/19/2043 | USD | 4,800,000 | 286,063 | (42,848 | ) | 243,215 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 311,199 | $ | (88,179 | ) | $ | 223,020 | ||||||||||||||||||||||
|
|
|
|
|
|
OTC Swap Agreements Outstanding on February 28, 2013:
Credit Default Swaps on Corporate Issues - Buy Protection (1):
Index/Obligation | Counterparty | Fixed Rate | Maturity Date | Implied Credit Spread at 2/28/2013(3) | Notional Amount (4) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Fair Value | ||||||||||||||||||||
Chesapeake Energy Corp. | BOA | 5.0000 | 6/20/2014 | 1.2794 | % | $ | 120,000 | $ | 1,119 | $ | (6,939 | ) | $ | (5,820 | ) | |||||||||||||
Credit Agricole S.A. | GST | 1.0000 | 12/20/2016 | 1.3459 | % | 50,000 | 3,831 | (3,002 | ) | 829 | ||||||||||||||||||
Credit Agricole S.A. | DUB | 1.0000 | 12/20/2016 | 1.3459 | % | 150,000 | 12,588 | (10,100 | ) | 2,488 | ||||||||||||||||||
Credit Agricole S.A. | CBK | 1.0000 | 6/20/2017 | 1.4844 | % | 100,000 | 14,365 | (11,776 | ) | 2,589 | ||||||||||||||||||
Whirlpool Corp. | UAG | 1.0000 | 6/20/2017 | 1.0000 | % | 25,000 | 1,102 | (1,156 | ) | (54 | ) | |||||||||||||||||
DDR Corporation | BOA | 1.0000 | 9/20/2017 | 1.3121 | % | 58,000 | 2,316 | (1,518 | ) | 798 | ||||||||||||||||||
KIMCO Realty Corp. | BOA | 1.0000 | 9/20/2017 | 0.8098 | % | 29,000 | 438 | (684 | ) | (246 | ) | |||||||||||||||||
Aktiebolaget Volvo | UAG | 1.0000 | 3/20/2018 | 1.0000 | % | 50,000 | 2,280 | (291 | ) | 1,989 | ||||||||||||||||||
State of Illinois | CBK | 1.0000 | 3/20/2023 | 1.8788 | % | 300,000 | 20,812 | (3,366 | ) | 17,446 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 58,851 | $ | (38,832 | ) | $ | 20,019 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection (2):
| ||||||||||||||||||||||||||||
Index/Obligation | Counterparty | Fixed Rate | Maturity Date | Implied Credit Spread at 2/28/2013(3) | Notional Amount (4) | Upfront Premiums (Received) | Unrealized Appreciation (Depreciation) | Fair Value | ||||||||||||||||||||
Citibank N.A. | FBF | 1.0000 | 9/20/2014 | 0.3476 | % | $ | 100,000 | $ | (916 | ) | $ | 1,939 | $ | 1,023 |
See accompanying notes
13
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Index/Obligations | Counter- party | Fixed Rate | Maturity Date | Implied Credit Spread at 2/28/2013(3) | Notional Amount (4) | Upfront Premiums (Received) | Unrealized Appreciation (Depreciation) | Fair Value | ||||||||||||||||||||
Staples, Inc. | UAG | 1.0000 | 6/20/2017 | 1.0000 | % | 25,000 | $ | (1,027 | ) | $ | (216 | ) | $ | (1,243 | ) | |||||||||||||
Republic of Italy | FBF | 1.0000 | 6/20/2017 | 2.5490 | % | 200,000 | (23,297 | ) | 10,903 | (12,394 | ) | |||||||||||||||||
NRG Energy, Inc. | CBK | 5.0000 | 6/20/2017 | 3.0344 | % | 40,000 | (2,104 | ) | 5,272 | 3,168 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (27,344 | ) | $ | 17,898 | $ | (9,446 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Credit Default Swaps on Credit Indices - Buy Protection (1): | ||||||||||||||||||||||||||||
Index/Obligations | Counter- party | Fixed Pay Rate | Maturity Date | Curr | Notional Amounts(4) | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Fair Value (5) | ||||||||||||||||||||
iTraxx Europe 16 Index | FBF | 5.000 | % | 6/20/2017 | GBP | $ | 800,000 | $ | 7,909 | $ | (53,988 | ) | $ | (46,079 | ) | |||||||||||||
iTraxx Europe 16 Index | BRC | 5.000 | % | 12/20/2017 | EUR | 800,000 | 9,580 | (32,076 | ) | (22,496 | ) | |||||||||||||||||
iTraxx Europe 16 Index | MSC | 5.000 | % | 12/20/2017 | EUR | 280,000 | 9,492 | (17,366 | ) | (7,874 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 26,981 | $ | (103,430 | ) | $ | (76,449 | ) | |||||||||||||||||||||
|
|
|
|
|
|
Interest Rate Swaps:
Pay/ Receive Floating Rate | Floating Rate Index | Counter- party | Fixed Rate | Maturity Date | Curr | Notional Amount(4) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Fair Value | |||||||||||||||||||
Pay | 1-Month AUD-MOIS | UAG | 2.4880 | % | 10/2/2013 | AUD | $ | 16,947,000 | $ | — | $ | 2,172 | $ | 2,172 | ||||||||||||||
Pay | 3-Month PLN-LIBOR | JPM | 4.7700 | % | 4/26/2014 | PLN | 1,944,000 | — | (7,621 | ) | (7,621 | ) | ||||||||||||||||
Receive | 6-Month PLN-LIBOR | JPM | 4.8800 | % | 4/26/2016 | PLN | 1,054,000 | — | 8,093 | 8,093 | ||||||||||||||||||
Receive | 1-Month USD-LIBOR | GLM | 0.7825 | % | 7/10/2016 | USD | 4,100,000 | 1,599 | 5,321 | 6,920 | ||||||||||||||||||
Receive | 1-Year BRL-CDI | MSC | 8.2200 | % | 1/2/2017 | BRL | 2,400,000 | (4,620 | ) | (14,828 | ) | (19,448 | ) | |||||||||||||||
Receive | 1-Year BRL-CDI | BRC | 8.5850 | % | 1/2/2017 | BRL | 1,900,000 | — | (7,267 | ) | (7,267 | ) | ||||||||||||||||
Receive | 1-Year BRL-CDI | BOA | 8.6000 | % | 1/2/2017 | BRL | 3,700,000 | (7,080 | ) | (6,336 | ) | (13,416 | ) | |||||||||||||||
Receive | 1-Year BRL-CDI | GLM | 8.7200 | % | 1/2/2017 | BRL | 2,000,000 | (1,565 | ) | (2,701 | ) | (4,266 | ) | |||||||||||||||
Receive | 3-Month SEK-LIBOR | FBF | 1.9100 | % | 1/24/2017 | SEK | 2,390,000 | — | (430 | ) | (430 | ) | ||||||||||||||||
Receive | 3-Month SEK-LIBOR | FBF | 1.9100 | % | 1/26/2017 | SEK | 2,380,000 | — | (429 | ) | (429 | ) | ||||||||||||||||
Receive | 3-Month SEK-LIBOR | FBF | 2.0400 | % | 1/31/2017 | SEK | 4,013,000 | — | 765 | 765 | ||||||||||||||||||
Receive | 3-Month SEK-LIBOR | FBF | 2.0950 | % | 2/1/2017 | SEK | 4,080,500 | — | 1,417 | 1,417 | ||||||||||||||||||
Receive | 3-Month SEK-LIBOR | FBF | 2.0975 | % | 2/11/2017 | SEK | 4,143,500 | — | 1,367 | 1,367 | ||||||||||||||||||
Receive | 3-Month USD-LIBOR | FBF | 1.2400 | % | 8/1/2018 | USD | 305,500 | — | 2,196 | 2,196 | ||||||||||||||||||
Receive | 3-Month USD-LIBOR | UAG | 1.2150 | % | 8/5/2018 | USD | 305,000 | — | 1,738 | 1,738 | ||||||||||||||||||
Receive | 6-Month CHF-LIBOR | UAG | 1.2900 | % | 2/13/2019 | CHF | 636,000 | — | 1,293 | 1,293 | ||||||||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 0.9060 | % | 1/16/2020 | JPY | 29,354,000 | — | 774 | 774 | ||||||||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 0.8300 | % | 1/29/2020 | JPY | 81,944,500 | — | 668 | 668 | ||||||||||||||||||
Pay | 3-Month USD-LIBOR | FBF | 1.7210 | % | 8/1/2020 | USD | 741,000 | — | (6,991 | ) | (6,991 | ) | ||||||||||||||||
Pay | 3-Month USD-LIBOR | UAG | 1.6925 | % | 8/5/2020 | USD | 740,000 | — | (5,381 | ) | (5,381 | ) | ||||||||||||||||
Pay | 3-Month CAD-LIBOR | FBF | 2.6700 | % | 12/18/2021 | CAD | 267,000 | — | (20 | ) | (20 | ) | ||||||||||||||||
Receive | 3-Month USD-LIBOR | UAG | 2.5475 | % | 12/20/2021 | USD | 222,000 | — | (1,571 | ) | (1,571 | ) | ||||||||||||||||
Pay | 6-Month JPY-LIBOR | FBF | 1.5150 | % | 1/29/2022 | JPY | 110,603,000 | — | (2,795 | ) | (2,795 | ) | ||||||||||||||||
Receive | 6-Month AUD-BBSW | CBK | 4.7500 | % | 6/15/2022 | AUD | $ | 1,500,000 | (8,702 | ) | 108,504 | 99,802 | ||||||||||||||||
Receive | 6-Month AUD-BBSW | DUB | 4.7500 | % | 6/15/2022 | AUD | 600,000 | (3,328 | ) | 43,249 | 39,921 | |||||||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 1.6160 | % | 1/16/2023 | JPY | 39,676,000 | — | 2,363 | 2,363 | ||||||||||||||||||
Receive | 6-Month GBP-LIBOR | UAG | 3.0275 | % | 1/23/2023 | GBP | 220,000 | — | (677 | ) | (677 | ) | ||||||||||||||||
Pay | 6-Month EUR-LIBOR | FBF | 2.5430 | % | 1/25/2023 | EUR | 264,500 | — | 724 | 724 | ||||||||||||||||||
Receive | 6-Month CHF-LIBOR | FBF | 1.8500 | % | 2/1/2023 | CHF | 315,000 | — | 787 | 787 | ||||||||||||||||||
Pay | 6-Month EUR-LIBOR | FBF | 2.6650 | % | �� | 2/1/2023 | EUR | 215,000 | — | (903 | ) | (903 | ) | |||||||||||||||
Receive | 6-Month AUD-BBSW | BRC | 3.7500 | % | 3/15/2023 | AUD | 1,000,000 | (9,733 | ) | (9,575 | ) | (19,308 | ) | |||||||||||||||
Receive | 6-Month AUD-BBSW | GLM | 3.7500 | % | 3/15/2023 | AUD | 1,300,000 | (11,454 | ) | (13,646 | ) | (25,100 | ) | |||||||||||||||
Receive | 3-Month USD-LIBOR | FBF | 2.2400 | % | 8/1/2023 | USD | 376,500 | — | 4,204 | 4,204 | ||||||||||||||||||
Receive | 3-Month USD-LIBOR | UAG | 2.2100 | % | 8/5/2023 | USD | 375,000 | — | 2,974 | 2,974 | ||||||||||||||||||
Pay | 6-Month EUR-LIBOR | FBF | 2.1050 | % | 1/29/2024 | EUR | 136,000 | — | (1,719 | ) | (1,719 | ) | ||||||||||||||||
Pay | 6-Month JPY-LIBOR | FBF | 2.2980 | % | 1/16/2025 | JPY | 41,990,000 | — | (2,317 | ) | (2,317 | ) | ||||||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 2.2740 | % | 1/16/2025 | JPY | 29,796,000 | — | 1,501 | 1,501 | ||||||||||||||||||
Pay | 6-Month JPY-LIBOR | FBF | 2.1820 | % | 1/18/2025 | JPY | 41,990,000 | — | (1,329 | ) | (1,329 | ) | ||||||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 2.1885 | % | 1/29/2025 | JPY | 86,408,500 | — | 2,720 | 2,720 |
See accompanying notes
14
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Pay/ Receive Floating Rate | Floating Rate Index | Counter- party | Fixed Rate | Maturity Date | Curr | Notional Amount(4) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Fair Value | |||||||||||||||||||
Pay | 6-Month CHF-LIBOR | UAG | 1.9225 | % | 2/13/2027 | CHF | $ | 136,000 | $ | — | $ | (898 | ) | $ | (898 | ) | ||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 2.9670 | % | 1/28/2032 | JPY | 25,442,500 | — | 1,788 | 1,788 | ||||||||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 3.0650 | % | 2/12/2032 | JPY | 28,000,000 | — | 3,162 | 3,162 | ||||||||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 2.9688 | % | 1/16/2033 | JPY | 16,380,000 | — | 2,951 | 2,951 | ||||||||||||||||||
Receive | 6-Month JPY-LIBOR | FBF | 2.8998 | % | 1/18/2033 | JPY | 16,380,000 | — | 2,128 | 2,128 | ||||||||||||||||||
Pay | 6-Month CHF-LIBOR | FBF | 1.8575 | % | 1/28/2033 | CHF | 278,500 | — | (1,905 | ) | (1,905 | ) | ||||||||||||||||
Pay | 6-Month JPY-LIBOR | FBF | 2.9100 | % | 2/12/2037 | JPY | 33,000,000 | — | (3,911 | ) | (3,911 | ) | ||||||||||||||||
Pay | 6-Month JPY-LIBOR | FBF | 2.9130 | % | 1/16/2038 | JPY | 9,509,500 | — | (1,361 | ) | (1,361 | ) | ||||||||||||||||
Pay | 6-Month JPY-LIBOR | FBF | 2.8620 | % | 1/18/2038 | JPY | 9,509,500 | — | (1,174 | ) | (1,174 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (44,883 | ) | $ | 107,074 | $ | 62,191 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
-(3) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swaps agreements on corporate issues and sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(5) | The quoted market prices and resulting values for credit default swaps on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/ sold as of the period end. Increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Purchased options outstanding on February 28, 2013: |
Interest Rate Swaptions: |
Description | Counter- party | Floating Rate Index | Pay / Receive Floating Rate | Exercise Rate | Expiration Date | Notional Amount | Fair Value | Premiums Paid | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
Put-OTC 30-Year IRS | MSC | 3M USD-LIBOR | Receive | 3.1000 | % | 3/18/2013 | $ | 500,000 | $ | 1,703 | $ | 6,300 | $ | (4,597 | ) | |||||||||||||||||
Call-OTC 30-Year IRS | MSC | 3M USD-LIBOR | Receive | 2.5000 | % | 3/18/2013 | 500,000 | 16 | 4,500 | (4,484 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 1,719 | $ | 10,800 | $ | (9,081 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Foreign Currency Option Contracts: |
Description | Counterparty | Exercise Price | Expiration Date | Notional Amount | Cost | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Call - OTC GBP versus NOK | GST | 8.923 | 3/12/2013 | $ | 260,000 | $ | 4,435 | $ | 410 | $ | (4,025 | ) | ||||||||||||
Put - OTC GBP versus NOK | GST | 8.927 | 3/12/2013 | 260,000 | 4,435 | 10,216 | 5,781 | |||||||||||||||||
Call - OTC AUD versus CAD | JPM | 1.055 | 3/22/2013 | 560,000 | 4,495 | 2,687 | (1,808 | ) | ||||||||||||||||
Put - OTC AUD versus CAD | JPM | 1.055 | 3/22/2013 | 560,000 | 4,219 | 4,224 | 5 | |||||||||||||||||
Call - OTC USD versus KRW | GST | 1,175 | 4/22/2013 | 360,000 | 351 | 323 | (28 | ) | ||||||||||||||||
Put - OTC USD versus CAD | JPM | 1.000 | 4/24/2013 | 360,000 | 3,843 | 450 | (3,393 | ) | ||||||||||||||||
Call - OTC AUD versus NZD | JPM | 1.230 | 5/10/2013 | 520,000 | 6,460 | 7,383 | 923 | |||||||||||||||||
Put - OTC CHF versus EUR | JPM | 1.140 | 5/27/2013 | 835,000 | 3,401 | 1 | (3,400 | ) | ||||||||||||||||
Call - OTC NOK versus SEK | JPM | 1.140 | 5/29/2013 | 2,574,500 | 3,947 | 2,561 | (1,386 | ) | ||||||||||||||||
Put - OTC GBP versus USD versus CAD | JPM | 1.51/1.65 | 12/5/2013 | 12,500 | 3,188 | 1,492 | (1,696 | ) | ||||||||||||||||
Put - OTC CHF versus EUR | JPM | 1.190 | 12/16/2013 | 835,000 | 18,706 | 5,949 | (12,757 | ) |
See accompanying notes
15
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Notional Amount | Cost | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Call - OTC AUD versus CAD | JPM | 1.017 | 1/7/2014 | $ | 460,000 | $ | 13,149 | $ | 16,727 | $ | 3,578 | |||||||||||||
Put - OTC AUD versus CAD | JPM | 1.017 | 1/7/2014 | 460,000 | 13,149 | 7,847 | (5,302 | ) | ||||||||||||||||
Call - OTC USD versus JPY | JPM | 93.00 | 1/21/2014 | 180,000 | 4,820 | 7,007 | 2,187 | |||||||||||||||||
Put - OTC BRL versus USD versus JPY | GST | 2.07/82.75 | 12/2/2014 | 20,000 | 2,080 | 5,650 | 3,570 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 90,678 | $ | 72,927 | $ | (17,751 | ) | ||||||||||||||||||
|
|
|
|
|
|
Options on Exchange-Traded Futures Contracts:
Description | Exercise Price | Expiration Date | # of Contracts | Cost | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
Put - U.S. Treasury Notes- 10-Year May Future | 129.000 | 5/1/2013 | 11 | $ | 9,969 | $ | 3,781 | $ | (6,188 | ) | ||||||||||
Put - Eurodollar September Future | 99.000 | 9/16/2013 | 40 | 12,250 | 750 | (11,500 | ) | |||||||||||||
Put - Eurodollar December Future | 99.125 | 12/16/2013 | 98 | 28,125 | 4,900 | (23,225 | ) | |||||||||||||
Put - Eurodollar December Future | 99.000 | 12/15/2014 | 15 | 16,313 | 4,688 | (11,625 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 66,657 | $ | 14,119 | $ | (52,538 | ) | ||||||||||||||
|
|
|
|
|
|
Written options outstanding on February 28, 2013:
Interest Rate Swaptions:
Description | Counter- party | Floating Rate Index | Pay Floating Rate | Exercise Rate | Expiration Date | Notional Amount | Fair Value | Premiums | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Call-OTC 5-Year IRS | FBF | 3M USD-LIBOR | Pay | 0.800 | % | 3/18/2013 | $ | 6,300,000 | $ | (510 | ) | $ | (5,040 | ) | $ | 4,530 | ||||||||||||
Put-OTC 5-Year IRS | FBF | 3M USD-LIBOR | Pay | 1.200 | % | 3/18/2013 | 6,300,000 | (372 | ) | (11,970 | ) | 11,598 | ||||||||||||||||
Put-OTC 2-Year IRS | BRC | 3M USD-LIBOR | Pay | 0.850 | % | 4/24/2013 | 100,000 | (11 | ) | (144 | ) | 133 | ||||||||||||||||
Put-OTC 5-Year IRS | BOA | 3M USD-LIBOR | Pay | 1.500 | % | 6/3/2013 | 100,000 | (99 | ) | (440 | ) | 341 | ||||||||||||||||
Put-OTC 2-Year IRS | FBF | 3M USD-LIBOR | Pay | 1.150 | % | 7/24/2013 | 100,000 | (36 | ) | (189 | ) | 153 | ||||||||||||||||
Put-OTC 5-Year IRS | DUB | 3M USD-LIBOR | Pay | 1.700 | % | 7/24/2013 | 100,000 | (126 | ) | (536 | ) | 410 | ||||||||||||||||
Put-OTC 5-Year IRS | BRC | 3M USD-LIBOR | Pay | 1.700 | % | 7/24/2013 | 100,000 | (126 | ) | (459 | ) | 333 | ||||||||||||||||
Put-OTC 2-Year IRS | BRC | 3M USD-LIBOR | Pay | 1.150 | % | 7/24/2013 | 100,000 | (36 | ) | (171 | ) | 135 | ||||||||||||||||
Put-OTC 2-Year IRS | BOA | 3M USD-LIBOR | Pay | 1.500 | % | 7/24/2013 | 100,000 | (36 | ) | (223 | ) | 187 | ||||||||||||||||
Call-OTC 10-Year IRS | BRC | 3M USD-LIBOR | Pay | 1.800 | % | 7/29/2013 | 100,000 | (511 | ) | (480 | ) | (31 | ) | |||||||||||||||
Call-OTC 10-Year IRS | MSC | 3M USD-LIBOR | Pay | 1.800 | % | 7/29/2013 | 600,000 | (3,063 | ) | (2,690 | ) | (373 | ) | |||||||||||||||
Call-OTC 10-Year IRS | GLM | 3M USD-LIBOR | Pay | 1.800 | % | 7/29/2013 | 200,000 | (1,021 | ) | (770 | ) | (251 | ) | |||||||||||||||
Call-OTC 10-Year IRS | BOA | 3M USD-LIBOR | Pay | 1.800 | % | 7/29/2013 | 400,000 | (2,042 | ) | (1,400 | ) | (642 | ) | |||||||||||||||
Put-OTC 10-Year IRS | MSC | 3M USD-LIBOR | Pay | 2.650 | % | 7/29/2013 | 600,000 | (2,655 | ) | (4,565 | ) | 1,910 | ||||||||||||||||
Put-OTC 10-Year IRS | BRC | 3M USD-LIBOR | Pay | 2.650 | % | 7/29/2013 | 100,000 | (443 | ) | (700 | ) | 257 | ||||||||||||||||
Put-OTC 10-Year IRS | GLM | 3M USD-LIBOR | Pay | 2.650 | % | 7/29/2013 | 200,000 | (885 | ) | (1,350 | ) | 465 | ||||||||||||||||
Put-OTC 10-Year IRS | BOA | 3M USD-LIBOR | Pay | 2.650 | % | 7/29/2013 | 400,000 | (1,770 | ) | (2,780 | ) | 1,010 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (13,742 | ) | $ | (33,907 | ) | $ | 20,165 | |||||||||||||||||||||
|
|
|
|
|
|
Foreign Currency Option Contracts:
Description | Counterparty | Exercise Price | Expiration Date | Notional Amount | Cost | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Call - OTC USD versus KRW | GST | 1,175 | 4/22/2013 | $ | 120,000 | $ | (465 | ) | $ | (108 | ) | $ | 357 | |||||||||||
Put - OTC USD versus CAD | JPM | 0.982 | 4/24/2013 | 720,000 | (2,754 | ) | (195 | ) | 2,559 | |||||||||||||||
Call - OTC USD versus JPY | BOA | 96.50 | 5/9/2013 | 395,000 | (3,575 | ) | (2,946 | ) | 629 | |||||||||||||||
Put - OTC USD versus JPY | BOA | 89.00 | 5/9/2013 | 395,000 | (3,575 | ) | (2,680 | ) | 895 | |||||||||||||||
Call - OTC AUD versus NZD | JPM | 1.260 | 5/10/2013 | 520,000 | (2,104 | ) | (2,390 | ) | (286 | ) | ||||||||||||||
Put - OTC AUD versus NZD | JPM | 1.210 | 5/10/2013 | 520,000 | (4,436 | ) | (2,594 | ) | 1,842 | |||||||||||||||
Put - OTC CHF versus EUR | JPM | 1.200 | 5/27/2013 | 835,000 | (9,313 | ) | (1,570 | ) | 7,743 | |||||||||||||||
Call - OTC NOK versus SEK | JPM | 1.170 | 5/29/2013 | 2,574,500 | (1,128 | ) | (692 | ) | 436 | |||||||||||||||
Put - OTC NOK versus SEK | JPM | 1.121 | 5/29/2013 | 2,574,500 | (2,819 | ) | (4,208 | ) | (1,389 | ) | ||||||||||||||
Put - OTC CHF versus EUR | JPM | 1.130 | 12/16/2013 | 835,000 | (10,419 | ) | (1,101 | ) | 9,318 | |||||||||||||||
Call - OTC USD versus JPY | JPM | 98.80 | 1/21/2014 | 360,000 | (4,819 | ) | (6,732 | ) | (1,913 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (45,407 | ) | $ | (25,216 | ) | $ | 20,191 | |||||||||||||||||
|
|
|
|
|
|
See accompanying notes
16
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Options on Exchange-Traded Futures Contracts:
Description | Exercise Price | Expiration Date | # of Contracts | Cost | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Put - U.S. Treasury Notes, 10-Year Future | $ | 128.000 | 3/1/2013 | 11 | $ | (3,781 | ) | $ | (172 | ) | $ | 3,609 | ||||||||||
Put - U.S. Treasury Notes, 10-Year Future | 127.000 | 5/1/2013 | 11 | (5,156 | ) | (1,547 | ) | 3,609 | ||||||||||||||
Put - CME 90-Day Eurodollar September Future | 98.750 | 9/1/2013 | 40 | (9,750 | ) | (500 | ) | 9,250 | ||||||||||||||
Put - CME 90-Day Eurodollar December Future | 99.000 | 12/16/2013 | 98 | (23,825 | ) | (4,288 | ) | 19,537 | ||||||||||||||
Put - 3 Month Sterling March Future | 99.250 | 3/19/2014 | 14 | (2,816 | ) | (807 | ) | 2,009 | ||||||||||||||
Put - CME 90-Day Eurodollar September Future | 99.250 | 9/15/2014 | 29 | (9,225 | ) | (8,338 | ) | 887 | ||||||||||||||
Call - CME 90-Day Eurodollar December Future | 98.625 | 12/15/2014 | 30 | (3,375 | ) | (9,000 | ) | (5,625 | ) | |||||||||||||
Put - CME 90-Day Eurodollar December Future | 98.625 | 12/15/2014 | 15 | (12,375 | ) | (3,188 | ) | 9,187 | ||||||||||||||
Put - CME 90-Day Eurodollar March Future | 99.250 | 3/1/2015 | 18 | (8,125 | ) | (10,463 | ) | (2,338 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | (78,428 | ) | $ | (38,303 | ) | $ | 40,125 | |||||||||||||||
|
|
|
|
|
|
Forward Currency Contracts Open at February 28, 2013:
Type | Currency | Principal Amount Covered by Contract | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Buy | AUD | 41,000 | 4/4/2013 | FBF | $ | 53 | $ | — | $ | 53 | ||||||||||||
Buy | AUD | 46,000 | 4/15/2013 | GST | — | (255 | ) | (255 | ) | |||||||||||||
Buy | AUD | 104,000 | 4/15/2013 | GST | — | (266 | ) | (266 | ) | |||||||||||||
Buy | AUD | 58,000 | 4/15/2013 | GST | — | (148 | ) | (148 | ) | |||||||||||||
Buy | AUD | 92,000 | 4/15/2013 | GST | — | (235 | ) | (235 | ) | |||||||||||||
Buy | AUD | 69,000 | 4/15/2013 | GST | — | (673 | ) | (673 | ) | |||||||||||||
Buy | AUD | 104,000 | 4/15/2013 | GST | — | (1,285 | ) | (1,285 | ) | |||||||||||||
Buy | AUD | 12,000 | 4/15/2013 | GST | — | (152 | ) | (152 | ) | |||||||||||||
Buy | AUD | 12,000 | 4/15/2013 | GST | — | (130 | ) | (130 | ) | |||||||||||||
Buy | AUD | 58,000 | 4/15/2013 | GST | — | (717 | ) | (717 | ) | |||||||||||||
Buy | AUD | 35,000 | 4/15/2013 | GST | — | (432 | ) | (432 | ) | |||||||||||||
Buy | AUD | 150,000 | 4/15/2013 | GST | — | (443 | ) | (443 | ) | |||||||||||||
Buy | AUD | 104,000 | 4/15/2013 | GST | — | (1,014 | ) | (1,014 | ) | |||||||||||||
Buy | AUD | 150,000 | 4/15/2013 | GST | — | (833 | ) | (833 | ) | |||||||||||||
Buy | AUD | 580,000 | 4/15/2013 | JPM | — | (5,657 | ) | (5,657 | ) | |||||||||||||
Buy | AUD | 187,000 | 4/15/2013 | JPM | — | (1,824 | ) | (1,824 | ) | |||||||||||||
Buy | AUD | 97,000 | 4/15/2013 | JPM | — | (539 | ) | (539 | ) | |||||||||||||
Buy | AUD | 26,000 | 3/7/2013 | JPM | — | (288 | ) | (288 | ) | |||||||||||||
Buy | AUD | 13,000 | 3/7/2013 | UAG | — | (86 | ) | (86 | ) | |||||||||||||
Sell | AUD | 228,000 | 4/4/2013 | BOA | 2,043 | — | 2,043 | |||||||||||||||
Sell | AUD | 58,000 | 4/15/2013 | GST | — | (123 | ) | (123 | ) | |||||||||||||
Sell | AUD | 46,000 | 4/15/2013 | GST | 125 | — | 125 | |||||||||||||||
Sell | AUD | 92,000 | 4/15/2013 | GST | — | (55 | ) | (55 | ) | |||||||||||||
Sell | AUD | 46,000 | 4/15/2013 | GST | 47 | — | 47 | |||||||||||||||
Sell | AUD | 150,000 | 4/15/2013 | GST | 1,091 | — | 1,091 | |||||||||||||||
Sell | AUD | 12,000 | 4/15/2013 | GST | 33 | — | 33 | |||||||||||||||
Sell | AUD | 46,000 | 4/15/2013 | GST | 413 | — | 413 | |||||||||||||||
Sell | AUD | 12,000 | 4/15/2013 | GST | 104 | — | 104 | |||||||||||||||
Sell | AUD | 23,000 | 4/15/2013 | GST | 301 | — | 301 | |||||||||||||||
Sell | AUD | 48,000 | 4/15/2013 | GST | 496 | — | 496 | |||||||||||||||
Sell | AUD | 12,000 | 4/15/2013 | GST | 93 | — | 93 | |||||||||||||||
Sell | AUD | 69,000 | 4/15/2013 | GST | 499 | — | 499 | |||||||||||||||
Sell | AUD | 12,000 | 4/15/2013 | GST | 120 | — | 120 | |||||||||||||||
Sell | AUD | 138,000 | 4/15/2013 | GST | 184 | — | 184 | |||||||||||||||
Sell | AUD | 81,000 | 4/15/2013 | GST | 474 | — | 474 | |||||||||||||||
Sell | AUD | 207,000 | 4/15/2013 | GST | — | (194 | ) | (194 | ) | |||||||||||||
Sell | AUD | 1,305,000 | 5/10/2013 | HUS | 11,627 | — | 11,627 | |||||||||||||||
Sell | AUD | 69,000 | 5/10/2013 | HUS | 557 | — | 557 | |||||||||||||||
Sell | AUD | 158,000 | 4/15/2013 | JPM | 513 | — | 513 | |||||||||||||||
Sell | AUD | 143,500 | 5/13/2013 | JPM | 2,999 | — | 2,999 | |||||||||||||||
Sell | AUD | 73,500 | 5/13/2013 | JPM | 1,814 | — | 1,814 | |||||||||||||||
Sell | AUD | 153,000 | 4/15/2013 | JPM | 1,312 | — | 1,312 | |||||||||||||||
Sell | AUD | 26,000 | 3/7/2013 | UAG | 169 | — | 169 | |||||||||||||||
Sell | AUD | 13,000 | 3/7/2013 | UAG | 114 | — | 114 | |||||||||||||||
Sell | AUD | 353,000 | 5/7/2013 | UAG | 7,132 | — | 7,132 | |||||||||||||||
Buy | BRL | 855,221 | 4/2/2013 | BCC | 15,972 | — | 15,972 |
See accompanying notes
17
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Type | Currency | Principal Amount Covered by Contract | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Buy | BRL | 196,000 | 4/2/2013 | BCC | $ | 668 | $ | — | $ | 668 | ||||||||||||
Buy | BRL | 3,851,000 | 9/6/2013 | HUS | — | (6,524 | ) | (6,524 | ) | |||||||||||||
Buy | BRL | 916,000 | 3/5/2013 | HUS | 14,569 | — | 14,569 | |||||||||||||||
Buy | BRL | 2,033,000 | 3/5/2013 | HUS | 73,835 | — | 73,835 | |||||||||||||||
Buy | BRL | 137,000 | 3/5/2013 | HUS | 4,939 | — | 4,939 | |||||||||||||||
Buy | BRL | 285,000 | 3/5/2013 | HUS | 5,717 | — | 5,717 | |||||||||||||||
Buy | BRL | 190,000 | 3/5/2013 | HUS | — | (348 | ) | (348 | ) | |||||||||||||
Buy | BRL | 290,000 | 3/5/2013 | HUS | 2,510 | — | 2,510 | |||||||||||||||
Buy | BRL | 60,476 | 12/4/2014 | JPM | 1,495 | — | 1,495 | |||||||||||||||
Sell | BRL | 1,034,520 | 4/2/2013 | FBF | — | (17,785 | ) | (17,785 | ) | |||||||||||||
Sell | BRL | 60,476 | 12/4/2014 | GST | — | (1,495 | ) | (1,495 | ) | |||||||||||||
Sell | BRL | 3,851,000 | 3/5/2013 | HUS | 5,562 | — | 5,562 | |||||||||||||||
Buy | CAD | 434,000 | 3/21/2013 | BRC | — | (19,726 | ) | (19,726 | ) | |||||||||||||
Buy | CAD | 60,586 | 4/15/2013 | GST | — | (241 | ) | (241 | ) | |||||||||||||
Buy | CAD | 48,214 | 4/15/2013 | GST | — | (256 | ) | (256 | ) | |||||||||||||
Buy | CAD | 96,114 | 4/15/2013 | GST | — | (510 | ) | (510 | ) | |||||||||||||
Buy | CAD | 48,134 | 4/15/2013 | GST | — | (255 | ) | (255 | ) | |||||||||||||
Buy | CAD | 157,828 | 4/15/2013 | GST | — | (927 | ) | (927 | ) | |||||||||||||
Buy | CAD | 12,543 | 4/15/2013 | GST | — | (101 | ) | (101 | ) | |||||||||||||
Buy | CAD | 48,374 | 4/15/2013 | GST | — | (388 | ) | (388 | ) | |||||||||||||
Buy | CAD | 12,468 | 4/15/2013 | GST | — | (244 | ) | (244 | ) | |||||||||||||
Buy | CAD | 24,001 | 4/15/2013 | GST | — | (469 | ) | (469 | ) | |||||||||||||
Buy | CAD | 49,658 | 4/15/2013 | GST | — | (1,264 | ) | (1,264 | ) | |||||||||||||
Buy | CAD | 12,432 | 4/15/2013 | GST | — | (267 | ) | (267 | ) | |||||||||||||
Buy | CAD | 72,439 | 4/15/2013 | GST | — | (581 | ) | (581 | ) | |||||||||||||
Buy | CAD | 12,632 | 4/15/2013 | GST | — | (101 | ) | (101 | ) | |||||||||||||
Buy | CAD | 144,727 | 4/15/2013 | GST | — | (494 | ) | (494 | ) | |||||||||||||
Buy | CAD | 85,109 | 4/15/2013 | GST | — | (500 | ) | (500 | ) | |||||||||||||
Buy | CAD | 216,479 | 4/15/2013 | GST | — | (861 | ) | (861 | ) | |||||||||||||
Buy | CAD | 165,915 | 4/15/2013 | JPM | — | (660 | ) | (660 | ) | |||||||||||||
Buy | CAD | 243,122 | 5/13/2013 | JPM | — | (7,148 | ) | (7,148 | ) | |||||||||||||
Buy | CAD | 161,189 | 4/15/2013 | JPM | — | (947 | ) | (947 | ) | |||||||||||||
Buy | CAD | 218,298 | 5/13/2013 | JPM | — | (6,153 | ) | (6,153 | ) | |||||||||||||
Buy | CAD | 78,286 | 5/13/2013 | JPM | — | (2,207 | ) | (2,207 | ) | |||||||||||||
Buy | CAD | 289,057 | 5/13/2013 | JPM | — | (8,148 | ) | (8,148 | ) | |||||||||||||
Sell | CAD | 436,000 | 3/21/2013 | CBK | 18,680 | — | 18,680 | |||||||||||||||
Sell | CAD | 48,029 | 4/15/2013 | GST | 566 | — | 566 | |||||||||||||||
Sell | CAD | 108,581 | 4/15/2013 | GST | 971 | — | 971 | |||||||||||||||
Sell | CAD | 60,751 | 4/15/2013 | GST | 352 | — | 352 | |||||||||||||||
Sell | CAD | 96,205 | 4/15/2013 | GST | 711 | — | 711 | |||||||||||||||
Sell | CAD | 72,611 | 4/15/2013 | GST | 588 | — | 588 | |||||||||||||||
Sell | CAD | 109,139 | 4/15/2013 | GST | 1,451 | — | 1,451 | |||||||||||||||
Sell | CAD | 12,396 | 4/15/2013 | GST | 361 | — | 361 | |||||||||||||||
Sell | CAD | 12,493 | 4/15/2013 | GST | 247 | — | 247 | |||||||||||||||
Sell | CAD | 61,045 | 4/15/2013 | GST | 635 | — | 635 | |||||||||||||||
Sell | CAD | 36,802 | 4/15/2013 | GST | 418 | — | 418 | |||||||||||||||
Sell | CAD | 157,215 | 4/15/2013 | GST | 872 | — | 872 | |||||||||||||||
Sell | CAD | 109,176 | 4/15/2013 | GST | 1,145 | — | 1,145 | |||||||||||||||
Sell | CAD | 156,729 | 4/15/2013 | GST | 1,733 | — | 1,733 | |||||||||||||||
Sell | CAD | 196,902 | 4/15/2013 | JPM | 1,481 | — | 1,481 | |||||||||||||||
Sell | CAD | 101,848 | 4/15/2013 | JPM | 640 | — | 640 | |||||||||||||||
Buy | CHF | 316,161 | 4/15/2013 | JPM | — | (9,105 | ) | (9,105 | ) | |||||||||||||
Buy | CHF | 298,735 | 4/15/2013 | JPM | — | (2,284 | ) | (2,284 | ) | |||||||||||||
Sell | CHF | 2,832,000 | 4/18/2013 | CBK | 19,539 | — | 19,539 | |||||||||||||||
Sell | CHF | 374,000 | 4/18/2013 | HUS | 3,101 | — | 3,101 | |||||||||||||||
Sell | CHF | 39,000 | 4/18/2013 | HUS | 421 | — | 421 | |||||||||||||||
Sell | CHF | 1,299,000 | 4/18/2013 | HUS | 12,472 | — | 12,472 | |||||||||||||||
Sell | CHF | 198,000 | 4/18/2013 | JPM | 5,810 | — | 5,810 | |||||||||||||||
Sell | CHF | 318,557 | 4/15/2013 | UAG | 6,958 | — | 6,958 | |||||||||||||||
Buy | CLP | 106,090,000 | 5/15/2013 | HUS | 8,015 | — | 8,015 | |||||||||||||||
Buy | CLP | 35,700,000 | 5/15/2013 | HUS | 1,547 | — | 1,547 | |||||||||||||||
Buy | CLP | 219,610,000 | 6/10/2013 | HUS | 46 | — | 46 | |||||||||||||||
Buy | CLP | 48,700,000 | 5/15/2013 | HUS | 35 | — | 35 | |||||||||||||||
Buy | CLP | 65,000,000 | 5/15/2013 | HUS | 189 | — | 189 |
See accompanying notes
18
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Type | Currency | Principal Amount Covered by Contract | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Buy | CLP | 44,600,000 | 5/15/2013 | HUS | $ | 565 | $ | — | $ | 565 | ||||||||||||
Buy | CNY | 782,938 | 11/25/2013 | BOA | — | (848 | ) | (848 | ) | |||||||||||||
Buy | CNY | 3,717,857 | 8/5/2013 | BCC | 91 | — | 91 | |||||||||||||||
Buy | CNY | 843,500 | 4/7/2016 | CBK | — | (10,198 | ) | (10,198 | ) | |||||||||||||
Buy | CNY | 737,802 | 8/5/2013 | FBF | 577 | — | 577 | |||||||||||||||
Sell | CNY | 4,455,659 | 8/5/2013 | BCC | — | (3,151 | ) | (3,151 | ) | |||||||||||||
Sell | CNY | 843,500 | 4/7/2016 | BCC | 1,318 | — | 1,318 | |||||||||||||||
Sell | CNY | 782,938 | 11/25/2013 | DUB | — | (152 | ) | (152 | ) | |||||||||||||
Buy | CZK | 5,902,030 | 4/15/2013 | GST | 164 | — | 164 | |||||||||||||||
Buy | CZK | 5,901,800 | 4/15/2013 | UAG | 164 | — | 164 | |||||||||||||||
Buy | EUR | 1,292,000 | 3/4/2013 | GLM | — | (29,781 | ) | (29,781 | ) | |||||||||||||
Buy | EUR | 230,000 | 4/15/2013 | GST | — | (322 | ) | (322 | ) | |||||||||||||
Buy | EUR | 260,000 | 4/15/2013 | JPM | — | (7,566 | ) | (7,566 | ) | |||||||||||||
Buy | EUR | 120,000 | 5/13/2013 | JPM | — | (3,350 | ) | (3,350 | ) | |||||||||||||
Buy | EUR | 225,500 | 5/13/2013 | JPM | — | (8,437 | ) | (8,437 | ) | |||||||||||||
Buy | EUR | 240,000 | 5/13/2013 | JPM | — | (8,980 | ) | (8,980 | ) | |||||||||||||
Buy | EUR | 67,500 | 5/13/2013 | JPM | — | (72 | ) | (72 | ) | |||||||||||||
Buy | EUR | 145,000 | 5/7/2013 | JPM | — | (2,216 | ) | (2,216 | ) | |||||||||||||
Buy | EUR | 67,500 | 5/13/2013 | JPM | — | (315 | ) | (315 | ) | |||||||||||||
Buy | EUR | 110,000 | 3/1/2013 | JPM | — | (3,656 | ) | (3,656 | ) | |||||||||||||
Buy | EUR | 161,000 | 5/21/2013 | JPM | — | (4,368 | ) | (4,368 | ) | |||||||||||||
Buy | EUR | 714,000 | 3/1/2013 | JPM | — | (10,288 | ) | (10,288 | ) | |||||||||||||
Buy | EUR | 129,500 | 4/16/2013 | JPM | — | (1,638 | ) | (1,638 | ) | |||||||||||||
Buy | EUR | 140,000 | 3/19/2013 | JPM | — | (1,495 | ) | (1,495 | ) | |||||||||||||
Buy | EUR | 260,000 | 4/15/2013 | UAG | — | (7,436 | ) | (7,436 | ) | |||||||||||||
Buy | EUR | 230,000 | 4/15/2013 | UAG | — | (322 | ) | (322 | ) | |||||||||||||
Buy | EUR | 201,500 | 5/8/2013 | UAG | — | (4,374 | ) | (4,374 | ) | |||||||||||||
Sell | EUR | 1,155,000 | 3/4/2013 | BRC | 57,954 | — | 57,954 | |||||||||||||||
Sell | EUR | 433,000 | 5/7/2013 | CBK | 4,549 | — | 4,549 | |||||||||||||||
Sell | EUR | 4,751,000 | 5/7/2013 | CBK | 234,936 | — | 234,936 | |||||||||||||||
Sell | EUR | 102,000 | 3/4/2013 | FBF | 4,172 | — | 4,172 | |||||||||||||||
Sell | EUR | 101,000 | 4/4/2013 | GFX | 529 | — | 529 | |||||||||||||||
Sell | EUR | 953,500 | 5/8/2013 | GFX | 48,172 | — | 48,172 | |||||||||||||||
Sell | EUR | 35,000 | 3/4/2013 | DUB | 1,275 | — | 1,275 | |||||||||||||||
Sell | EUR | 1,292,000 | 4/2/2013 | GLM | 29,786 | — | 29,786 | |||||||||||||||
Sell | EUR | 230,000 | 4/15/2013 | GST | — | (105 | ) | (105 | ) | |||||||||||||
Sell | EUR | 63,000 | 5/7/2013 | HUS | 3,016 | — | 3,016 | |||||||||||||||
Sell | EUR | 120,000 | 5/13/2013 | JPM | 4,885 | — | 4,885 | |||||||||||||||
Sell | EUR | 120,000 | 5/13/2013 | JPM | 4,054 | — | 4,054 | |||||||||||||||
Sell | EUR | 260,000 | 4/15/2013 | JPM | 7,026 | — | 7,026 | |||||||||||||||
Sell | EUR | 240,000 | 4/15/2013 | JPM | 7,724 | — | 7,724 | |||||||||||||||
Sell | EUR | 260,000 | 4/15/2013 | JPM | 10,827 | — | 10,827 | |||||||||||||||
Sell | EUR | 180,000 | 5/13/2013 | JPM | 7,406 | — | 7,406 | |||||||||||||||
Sell | EUR | 135,000 | 5/13/2013 | JPM | 1,605 | — | 1,605 | |||||||||||||||
Sell | EUR | 115,000 | 4/15/2013 | JPM | 1,040 | — | 1,040 | |||||||||||||||
Sell | EUR | 84,000 | 3/1/2013 | JPM | 2,826 | — | 2,826 | |||||||||||||||
Sell | EUR | 215,571 | 5/21/2013 | JPM | 7,490 | — | 7,490 | |||||||||||||||
Sell | EUR | 66,000 | 3/1/2013 | JPM | 2,074 | — | 2,074 | |||||||||||||||
Sell | EUR | 280,000 | 4/15/2013 | JPM | 3,761 | — | 3,761 | |||||||||||||||
Sell | EUR | 280,000 | 4/15/2013 | JPM | 4,844 | — | 4,844 | |||||||||||||||
Sell | EUR | 725,000 | 6/7/2013 | JPM | 10,380 | — | 10,380 | |||||||||||||||
Sell | EUR | 101,000 | 3/1/2013 | JPM | 398 | — | 398 | |||||||||||||||
Sell | EUR | 260,000 | 5/21/2013 | JPM | 9,034 | — | 9,034 | |||||||||||||||
Sell | EUR | 56,500 | 3/1/2013 | JPM | 1,664 | — | 1,664 | |||||||||||||||
Sell | EUR | 100,000 | 3/1/2013 | JPM | 2,716 | — | 2,716 | |||||||||||||||
Sell | EUR | 103,000 | 3/1/2013 | JPM | — | (572 | ) | (572 | ) | |||||||||||||
Sell | EUR | 214,000 | 3/1/2013 | JPM | — | (2,267 | ) | (2,267 | ) | |||||||||||||
Sell | EUR | 99,500 | 3/1/2013 | JPM | — | (478 | ) | (478 | ) | |||||||||||||
Sell | EUR | 140,000 | 3/19/2013 | JPM | — | (1,515 | ) | (1,515 | ) | |||||||||||||
Sell | EUR | 134,000 | 4/16/2013 | JPM | 6,105 | — | 6,105 | |||||||||||||||
Sell | EUR | 230,000 | 4/15/2013 | UAG | — | (117 | ) | (117 | ) | |||||||||||||
Sell | EUR | 101,000 | 4/16/2013 | UAG | 4,650 | — | 4,650 | |||||||||||||||
Sell | EUR | 100,000 | 5/7/2013 | UAG | 5,008 | — | 5,008 |
See accompanying notes
19
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Type | Currency | Principal Amount Covered by Contract | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Sell | EUR | 150,000 | 5/7/2013 | UAG | $ | 7,880 | $ | — | $ | 7,880 | ||||||||||||
Sell | EUR | 110,500 | 5/8/2013 | UAG | 2,399 | — | 2,399 | |||||||||||||||
Buy | GBP | 78,500 | 3/1/2013 | GFX | — | (6,378 | ) | (6,378 | ) | |||||||||||||
Buy | GBP | 426,000 | 3/12/2013 | DUB | — | (38,398 | ) | (38,398 | ) | |||||||||||||
Buy | GBP | 15,000 | 3/12/2013 | DUB | — | (117 | ) | (117 | ) | |||||||||||||
Buy | GBP | 34,000 | 3/12/2013 | DUB | 166 | — | 166 | |||||||||||||||
Buy | GBP | 518,000 | 3/12/2013 | HUS | — | (47,665 | ) | (47,665 | ) | |||||||||||||
Buy | GBP | 55,000 | 3/12/2013 | HUS | — | (5,464 | ) | (5,464 | ) | |||||||||||||
Buy | GBP | 93,000 | 3/12/2013 | JPM | — | (5,909 | ) | (5,909 | ) | |||||||||||||
Buy | GBP | 260,000 | 3/14/2013 | JPM | — | (15,960 | ) | (15,960 | ) | |||||||||||||
Buy | GBP | 117,771 | 5/13/2013 | JPM | 654 | — | 654 | |||||||||||||||
Buy | GBP | 1,500 | 3/1/2013 | JPM | — | (14 | ) | (14 | ) | |||||||||||||
Sell | GBP | 30,000 | 3/12/2013 | BRC | 963 | — | 963 | |||||||||||||||
Sell | GBP | 24,000 | 3/12/2013 | CBK | 1,665 | — | 1,665 | |||||||||||||||
Sell | GBP | 24,000 | 3/12/2013 | FBF | 1,930 | — | 1,930 | |||||||||||||||
Sell | GBP | 198,500 | 5/8/2013 | GFX | 10,759 | — | 10,759 | |||||||||||||||
Sell | GBP | 431,000 | 3/12/2013 | DUB | 39,409 | — | 39,409 | |||||||||||||||
Sell | GBP | 58,001 | 5/13/2013 | JPM | 284 | — | 284 | |||||||||||||||
Sell | GBP | 58,520 | 5/13/2013 | JPM | — | (261 | ) | (261 | ) | |||||||||||||
Sell | GBP | 5,000 | 3/19/2013 | JPM | 422 | — | 422 | |||||||||||||||
Sell | GBP | 108,000 | 3/19/2013 | JPM | 9,696 | — | 9,696 | |||||||||||||||
Sell | GBP | 80,000 | 3/1/2013 | JPM | 6,803 | — | 6,803 | |||||||||||||||
Sell | GBP | 106,500 | 4/16/2013 | JPM | 5,184 | — | 5,184 | |||||||||||||||
Sell | GBP | 202,500 | 4/16/2013 | UAG | 9,835 | — | 9,835 | |||||||||||||||
Buy | HKD | 3,877,473 | 3/28/2013 | UAG | 10 | — | 10 | |||||||||||||||
Buy | INR | 23,000,000 | 3/21/2013 | HUS | — | (4,494 | ) | (4,494 | ) | |||||||||||||
Buy | INR | 23,000,000 | 3/21/2013 | HUS | 5,357 | — | 5,357 | |||||||||||||||
Buy | INR | 23,000,000 | 3/21/2013 | HUS | 5,883 | — | 5,883 | |||||||||||||||
Buy | INR | 3,000,000 | 3/21/2013 | HUS | 884 | — | 884 | |||||||||||||||
Buy | INR | 4,000,000 | 3/21/2013 | HUS | — | (49 | ) | (49 | ) | |||||||||||||
Buy | INR | 6,000,000 | 3/21/2013 | HUS | 865 | — | 865 | |||||||||||||||
Buy | JPY | 25,110,000 | 4/17/2013 | BRC | 2,384 | — | 2,384 | |||||||||||||||
Buy | JPY | 68,200,000 | 3/8/2013 | CBK | — | (42,357 | ) | (42,357 | ) | |||||||||||||
Buy | JPY | 11,775,015 | 5/13/2013 | FBF | 1,097 | — | 1,097 | |||||||||||||||
Buy | JPY | 19,348,420 | 4/15/2013 | JPM | — | (7,989 | ) | (7,989 | ) | |||||||||||||
Buy | JPY | 32,604,000 | 4/15/2013 | JPM | 1,476 | — | 1,476 | |||||||||||||||
Buy | JPY | 11,773,629 | 5/13/2013 | JPM | 1,082 | — | 1,082 | |||||||||||||||
Sell | JPY | 36,512,000 | 4/17/2013 | BRC | 16,170 | — | 16,170 | |||||||||||||||
Sell | JPY | 36,000,000 | 3/8/2013 | CBK | — | (3,189 | ) | (3,189 | ) | |||||||||||||
Sell | JPY | 34,200,000 | 3/8/2013 | CBK | 6,587 | — | 6,587 | |||||||||||||||
Sell | JPY | 21,000,000 | 3/8/2013 | CBK | 28,442 | — | 28,442 | |||||||||||||||
Sell | JPY | 58,000,000 | 3/8/2013 | CBK | 11,045 | — | 11,045 | |||||||||||||||
Sell | JPY | 58,000,000 | 3/8/2013 | CBK | 41,577 | — | 41,577 | |||||||||||||||
Sell | JPY | 429,000,000 | 3/8/2013 | CBK | 722,014 | — | 722,014 | |||||||||||||||
Sell | JPY | 43,295,000 | 4/17/2013 | DUB | 18,896 | — | 18,896 | |||||||||||||||
Sell | JPY | 8,692,000 | 4/17/2013 | DUB | — | (726 | ) | (726 | ) | |||||||||||||
Sell | JPY | 33,910,000 | 4/17/2013 | DUB | 393 | — | 393 | |||||||||||||||
Sell | JPY | 32,270,290 | 4/15/2013 | JPM | — | (1,135 | ) | (1,135 | ) | |||||||||||||
Sell | JPY | 19,034,860 | 4/15/2013 | JPM | 12,672 | — | 12,672 | |||||||||||||||
Sell | JPY | 17,469,310 | 5/7/2013 | JPM | 3,059 | — | 3,059 | |||||||||||||||
Sell | JPY | 23,727,438 | 5/13/2013 | JPM | — | (4,109 | ) | (4,109 | ) | |||||||||||||
Buy | KRW | 19,211,400 | 4/24/2013 | GST | — | (311 | ) | (311 | ) | |||||||||||||
Buy | KRW | 69,873,300 | 4/25/2013 | JPM | 746 | — | 746 | |||||||||||||||
Sell | KRW | 84,427,200 | 4/22/2013 | GST | 256 | — | 256 | |||||||||||||||
Sell | KRW | 69,873,300 | 4/25/2013 | JPM | 831 | — | 831 | |||||||||||||||
Sell | KRW | 19,218,600 | 4/24/2013 | UAG | 305 | — | 305 | |||||||||||||||
Buy | MXN | 1,672,931 | 5/13/2013 | JPM | — | (1,434 | ) | (1,434 | ) | |||||||||||||
Buy | MXN | 1,725,619 | 5/13/2013 | JPM | — | (1,479 | ) | (1,479 | ) | |||||||||||||
Buy | MXN | 1,891,381 | 5/13/2013 | JPM | — | (1,621 | ) | (1,621 | ) | |||||||||||||
Buy | MXN | 1,301,121 | 5/13/2013 | JPM | 251 | — | 251 | |||||||||||||||
Buy | MXN | 1,410,772 | 5/13/2013 | JPM | — | (217 | ) | (217 | ) | |||||||||||||
Buy | MXN | 537,596 | 4/25/2013 | JPM | — | (96 | ) | (96 | ) | |||||||||||||
Sell | MXN | 42,688 | 4/3/2013 | DUB | — | (48 | ) | (48 | ) | |||||||||||||
Sell | MXN | 538,931 | 4/25/2013 | JPM | — | (8 | ) | (8 | ) |
See accompanying notes
20
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Type | Currency | Principal Amount Covered by Contract | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Sell | MXN | 3,132,500 | 4/16/2013 | UAG | $ | 1,491 | $ | — | $ | 1,491 | ||||||||||||
Buy | MYR | 3,299,604 | 4/15/2013 | BCC | — | (8,164 | ) | (8,164 | ) | |||||||||||||
Buy | MYR | 364,397 | 4/15/2013 | GLM | 574 | — | 574 | |||||||||||||||
Buy | MYR | 195,206 | 5/6/2013 | GST | 398 | — | 398 | |||||||||||||||
Buy | MYR | 390,413 | 5/6/2013 | GST | 796 | — | 796 | |||||||||||||||
Buy | MYR | 195,125 | 3/5/2013 | JPM | 633 | — | 633 | |||||||||||||||
Buy | MYR | 195,125 | 5/6/2013 | JPM | 221 | — | 221 | |||||||||||||||
Buy | MYR | 195,281 | 3/5/2013 | UAG | 683 | — | 683 | |||||||||||||||
Sell | MYR | 679,504 | 4/15/2013 | BCC | 4,755 | — | 4,755 | |||||||||||||||
Sell | MYR | 195,206 | 5/6/2013 | GST | — | (322 | ) | (322 | ) | |||||||||||||
Sell | MYR | 195,125 | 3/5/2013 | JPM | — | (274 | ) | (274 | ) | |||||||||||||
Sell | MYR | 195,281 | 3/5/2013 | UAG | — | (291 | ) | (291 | ) | |||||||||||||
Buy | NOK | 244,500 | 5/13/2013 | JPM | — | (1,571 | ) | (1,571 | ) | |||||||||||||
Buy | NOK | 890,533 | 5/13/2013 | JPM | — | (6,921 | ) | (6,921 | ) | |||||||||||||
Buy | NOK | 756,000 | 5/13/2013 | JPM | — | (4,704 | ) | (4,704 | ) | |||||||||||||
Buy | NOK | 378,000 | 5/13/2013 | JPM | — | (2,938 | ) | (2,938 | ) | |||||||||||||
Buy | NOK | 133,500 | 5/13/2013 | JPM | — | (1,038 | ) | (1,038 | ) | |||||||||||||
Buy | NOK | 756,000 | 5/13/2013 | JPM | — | (5,876 | ) | (5,876 | ) | |||||||||||||
Buy | NOK | 547,000 | 5/13/2013 | JPM | — | (3,470 | ) | (3,470 | ) | |||||||||||||
Buy | NOK | 521,000 | 5/13/2013 | JPM | — | (3,305 | ) | (3,305 | ) | |||||||||||||
Buy | NOK | 521,000 | 5/13/2013 | JPM | — | (1,695 | ) | (1,695 | ) | |||||||||||||
Buy | NOK | 185,000 | 5/13/2013 | JPM | — | (515 | ) | (515 | ) | |||||||||||||
Buy | NOK | 434,500 | 5/13/2013 | JPM | — | (697 | ) | (697 | ) | |||||||||||||
Sell | NOK | 2,273,086 | 3/14/2013 | JPM | 14,557 | — | 14,557 | |||||||||||||||
Sell | NOK | 400,000 | 4/16/2013 | JPM | 3,000 | — | 3,000 | |||||||||||||||
Sell | NOK | 400,000 | 4/16/2013 | UAG | 3,081 | — | 3,081 | |||||||||||||||
Buy | NZD | 260,000 | 4/15/2013 | JPM | — | (3,740 | ) | (3,740 | ) | |||||||||||||
Buy | NZD | 79,500 | 5/13/2013 | JPM | — | (107 | ) | (107 | ) | |||||||||||||
Sell | NZD | 2,140,000 | 3/13/2013 | CBK | 15,155 | — | 15,155 | |||||||||||||||
Sell | NZD | 115,000 | 3/13/2013 | CBK | 1,007 | — | 1,007 | |||||||||||||||
Sell | NZD | 287,000 | 3/13/2013 | CBK | 695 | — | 695 | |||||||||||||||
Sell | NZD | 582,000 | 3/13/2013 | JPM | 6,182 | — | 6,182 | |||||||||||||||
Sell | NZD | 711,480 | 4/15/2013 | JPM | 9,654 | — | 9,654 | |||||||||||||||
Sell | NZD | 260,000 | 4/15/2013 | JPM | 2,440 | — | 2,440 | |||||||||||||||
Sell | NZD | 219,500 | 5/13/2013 | JPM | 5,242 | — | 5,242 | |||||||||||||||
Sell | NZD | 156,000 | 5/13/2013 | JPM | 3,246 | — | 3,246 | |||||||||||||||
Sell | NZD | 161,500 | 5/13/2013 | JPM | 2,141 | — | 2,141 | |||||||||||||||
Buy | PLN | 480,070 | 4/15/2013 | JPM | — | (709 | ) | (709 | ) | |||||||||||||
Sell | PLN | 958,295 | 4/15/2013 | GST | 239 | - | 239 | |||||||||||||||
Sell | PLN | 958,295 | 4/15/2013 | UAG | 239 | — | 239 | |||||||||||||||
Buy | RUB | 15,800,000 | 5/16/2013 | JPM | 951 | — | 951 | |||||||||||||||
Buy | RUB | 1,600,000 | 5/16/2013 | JPM | — | (811 | ) | (811 | ) | |||||||||||||
Buy | RUB | 2,700,000 | 5/16/2013 | JPM | — | (493 | ) | (493 | ) | |||||||||||||
Buy | RUB | 4,044,868 | 3/21/2013 | JPM | — | (1,968 | ) | (1,968 | ) | |||||||||||||
Sell | RUB | 4,044,868 | 3/21/2013 | JPM | 830 | — | 830 | |||||||||||||||
Buy | SEK | 1,016,340 | 5/13/2013 | JPM | — | (3,893 | ) | (3,893 | ) | |||||||||||||
Buy | SEK | 528,916 | 3/1/2013 | JPM | — | (718 | ) | (718 | ) | |||||||||||||
Sell | SEK | 398,448 | 5/2/2013 | FBF | 971 | — | 971 | |||||||||||||||
Sell | SEK | 278,390 | 5/13/2013 | JPM | 1,068 | — | 1,068 | |||||||||||||||
Sell | SEK | 1,016,340 | 5/13/2013 | JPM | 3,189 | — | 3,189 | |||||||||||||||
Sell | SEK | 860,230 | 5/13/2013 | JPM | 3,236 | — | 3,236 | |||||||||||||||
Sell | SEK | 430,304 | 5/13/2013 | JPM | 2,175 | — | 2,175 | |||||||||||||||
Sell | SEK | 151,978 | 5/13/2013 | JPM | 767 | — | 767 | |||||||||||||||
Sell | SEK | 862,067 | 5/13/2013 | JPM | 4,124 | — | 4,124 | |||||||||||||||
Sell | SEK | 847,000 | 5/13/2013 | JPM | 4,998 | — | 4,998 | |||||||||||||||
Sell | SEK | 1,910,319 | 5/13/2013 | JPM | 8,066 | — | 8,066 | |||||||||||||||
Sell | SEK | 2,033,155 | 5/13/2013 | JPM | 8,585 | — | 8,585 | |||||||||||||||
Sell | SEK | 620,757 | 5/13/2013 | JPM | 2,664 | — | 2,664 | |||||||||||||||
Sell | SEK | 589,975 | 5/13/2013 | JPM | 2,734 | — | 2,734 | |||||||||||||||
Sell | SEK | 588,980 | 5/13/2013 | JPM | 1,277 | — | 1,277 | |||||||||||||||
Sell | SEK | 208,610 | 5/13/2013 | JPM | 448 | — | 448 | |||||||||||||||
Sell | SEK | 490,142 | 5/13/2013 | JPM | 511 | — | 511 | |||||||||||||||
Sell | SEK | 692,461 | 5/13/2013 | JPM | 3,093 | — | 3,093 |
See accompanying notes
21
American Beacon Flexible Bond FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Type | Currency | Principal Amount Covered by Contract | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Sell | SEK | 1,510,824 | 5/13/2013 | JPM | $ | 6,749 | $ | — | $ | 6,749 | ||||||||||||
Sell | SEK | 775,908 | 5/13/2013 | JPM | 210 | — | 210 | |||||||||||||||
Sell | SEK | 398,274 | 5/2/2013 | JPM | 998 | — | 998 | |||||||||||||||
Sell | SEK | 520,031 | 3/1/2013 | JPM | 2,092 | — | 2,092 | |||||||||||||||
Buy | SGD | 213,373 | 4/15/2013 | CBK | — | (2,489 | ) | (2,489 | ) | |||||||||||||
Sell | SGD | 212,379 | 4/15/2013 | CBK | — | (30 | ) | (30 | ) | |||||||||||||
Sell | THB | 2,263,679 | 4/22/2013 | JPM | — | (363 | ) | (363 | ) | |||||||||||||
Buy | TWD | 5,055,490 | 4/15/2013 | BCC | — | (4,803 | ) | (4,803 | ) | |||||||||||||
Buy | TWD | 2,302,560 | 4/22/2013 | FBF | — | (359 | ) | (359 | ) | |||||||||||||
Buy | TWD | 2,233,290 | 4/22/2013 | UAG | — | (195 | ) | (195 | ) | |||||||||||||
Sell | TWD | 4,984,975 | 4/15/2013 | DUB | 5,217 | — | 5,217 | |||||||||||||||
Buy | ZAR | 1,644,621 | 5/13/2013 | JPM | — | (5,138 | ) | (5,138 | ) | |||||||||||||
Buy | ZAR | 676,850 | 5/13/2013 | JPM | — | (2,115 | ) | (2,115 | ) | |||||||||||||
Sell | ZAR | 591,930 | 5/13/2013 | JPM | 480 | — | 480 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 1,861,542 | $ | (478,497 | ) | $ | 1,383,045 | ||||||||||||||||
|
|
|
|
|
|
Glossary:
Counterparty Abbreviations: | ||||||||||
BCC | Barclays Capital | FBF | Credit Suisse International | HUS | HSBC Bank USA | |||||
BRC | Barclays Bank PLC | GFX | Credit Suisse London Bank | JPM | JPMorgan Chase Bank, N.A. | |||||
BOA | Bank of America, N.A. | GLM | Goldman Sachs Bank USA | MSC | Morgan Stanley Capital Services, Inc. | |||||
CBK | Citibank, N.A. | GST | Goldman Sachs International | UAG | UBS AG | |||||
DUB | Deutsche Bank AG | UBS | UBS AG London | |||||||
Currency Abbreviations: | ||||||||||
AUD | Australian Dollar | IDR | Indonesia Rupiah | PLN | Polish Zolty | |||||
BRL | Brazilian Real | INR | Indian Rupee | RUB | New Russian Ruble | |||||
CAD | Canadian Dollar | JPY | Japanese Yen | RON | New Romanian Leu | |||||
CHF | Swiss Franc | KRW | South Korean Won | SEK | Swedish Krona | |||||
CLP | Chilean Peco | MXN | Mexican Peso | SGD | Singapore Dollar | |||||
CNY | Chinese Renminbi | MYR | Malaysian Ringgit | TRY | Turkish New Lira | |||||
EUR | Euro | NOK | Norwegian Krone | TWD | Taiwanese Dollar | |||||
GBP | British Pound | NZD | New Zealand Dollar | USD | United States Dollar | |||||
HKD | Hong Kong Dollar | PHP | Philippine Peso | ZAR | South African Rand |
Index Abbreviations: | ||||||||||
CDX.IG | Credit Derivatives Index - Investment Grade | iTraxx | Markit iTraxx Europe | |||||||
Exchange Abbreviations: | ||||||||||
CME | Chicago Mercantile Exchange | OTC | Over-the-Counter | |||||||
OMX | Stock Exchange in Nordic and Baltic Europe | |||||||||
Other Abbreviations: | ||||||||||
3M | 3-Month | EURIBOR | Euro Interbank Offered Rate | |||||||
BBSW | Bank-Bill Swap Reference Rate | IRS | Interest Rate Swap | |||||||
CDI | Brazil Interbank Deposit Rate | LIBOR | London Interbank Offer Rate | |||||||
PJSC | Private Joint Stock Company |
See accompanying notes
22
American Beacon Flexible Bond FundSM
Statement of Assets and Liabilities
February 28, 2013 (Unaudited) (in thousands, except share and per share amounts)
Assets: | ||||
Investments in unaffiliated securities, at fair value A | $ | 98,754 | ||
Repurchase agreements, at fair value B | 11,800 | |||
Purchased options and swaptions outstanding D | 89 | |||
Foreign currency, at fair value C | 874 | |||
Cash | 1 | |||
Deposit with brokers for futures contracts | 693 | |||
Swap premiums paid | 522 | |||
Receivable for investments sold | 9,218 | |||
Dividends and interest receivable | 694 | |||
Swap Income receivable | 22 | |||
Receivable for fund shares sold | 1,758 | |||
Receivable for tax reclaims | 21 | |||
Receivable for expense reimbursement (Note 2) | 11 | |||
Unrealized appreciation from swap agreements | 281 | |||
Receivable for variation margin from open futures contracts | 15 | |||
Unrealized appreciation from foreign currency contracts | 1,862 | |||
Prepaid expenses | 23 | |||
|
| |||
Total assets | 126,638 | |||
|
| |||
Liabilities: | ||||
Payable for investments purchased | 11,131 | |||
Swap premiums received | 198 | |||
Swap income payable | 41 | |||
Written options outstanding | 78 | |||
Payable for variation margin from open futures contracts | 9 | |||
Payable for fund shares redeemed | 33 | |||
Management and investment advisory fees payable | 94 | |||
Administrative service and service fees payable | 52 | |||
Professional fees payable | 27 | |||
Unrealized depreciation of swap agreements | 386 | |||
Unrealized depreciation from foreign currency contracts | 479 | |||
Other liabilities | 1 | |||
|
| |||
Total liabilities | 12,529 | |||
|
| |||
Net assets | $ | 114,109 | ||
|
| |||
Analysis of Net Assets: | ||||
Paid-in-capital | 110,720 | |||
Undistributed net investment income | (708 | ) | ||
Accumulated net realized loss | 931 | |||
Unrealized appreciation of investments, foreign currency contracts, futures contracts, swap agreements, option contracts, and swaption contracts | 3,166 | |||
|
| |||
Net assets | $ | 114,109 | ||
|
| |||
Shares outstanding at no par value (unlimited shares authorized): | ||||
Institutional Class | 1,266,685 | |||
|
| |||
Y Class | 1,868,463 | |||
|
| |||
Investor Class | 4,710,075 | |||
|
| |||
A Class | 2,066,818 | |||
|
| |||
C Class | 842,930 | |||
|
| |||
Net asset value, offering and redemption price per share: | ||||
Institutional Class (Net assets $13,469,067) | $ | 10.63 | ||
|
| |||
Y Class (Net assets $19,875,052) | $ | 10.64 | ||
|
| |||
Investor Class (Net assets $50,020,426) | $ | 10.62 | ||
|
| |||
A Class (Net assets $21,865,414) | $ | 10.58 | ||
|
| |||
A Class (offering price) | $ | 11.08 | ||
|
| |||
C Class (Net assets $8,879,042) | $ | 10.53 | ||
|
| |||
A Cost of investments in unaffiliated securities | $ | 108,651 | ||
B Cost of repurchase agreements | $ | 11,800 | ||
C Cost of foreign currency | $ | 883 | ||
D Cost of purchased options outstanding | $ | 168 |
See accompanying notes
23
American Beacon Flexible Bond FundSM
Statement of Operations
For the Six Months ended February 28, 2013 (Unaudited) (in thousands)
Investment Income: | ||||
Dividend income from unaffiliated securities (net of foreign taxes)A | $ | 1 | ||
Interest income | 891 | |||
|
| |||
Total investment income | 892 | |||
|
| |||
Expenses: | ||||
Management and investment advisory fees (Note 2) | 234 | |||
Administrative service fees (Note 2): | ||||
Institutional Class | 15 | |||
Y Class | 23 | |||
Investor Class | 47 | |||
A Class | 29 | |||
C Class | 14 | |||
Transfer agent fees: | ||||
Institutional Class | 1 | |||
Investor Class | 3 | |||
A Class | 1 | |||
C Class | 1 | |||
Custody and fund accounting fees | 7 | |||
Professional fees | 43 | |||
Registration fees and expenses | 35 | |||
Service fees (Note 2): | ||||
Y Class | 8 | |||
Investor Class | 56 | |||
A Class | 11 | |||
C Class | 5 | |||
Distribution fees (Note 2): | ||||
A Class | 18 | |||
C Class | 35 | |||
Prospectus and shareholder report expenses | 14 | |||
Trustee fees | 3 | |||
Other expenses | 8 | |||
|
| |||
Total expenses | 611 | |||
|
| |||
Net fees waived and expenses reimbursed (Note 2) | (119 | ) | ||
|
| |||
Net expenses | 492 | |||
|
| |||
Net investment income | 400 | |||
|
| |||
Realized and unrealized gain (loss) on investments: | ||||
Net realized gain (loss) from: | ||||
Investments | 694 | |||
Foreign currency transactions | (964 | ) | ||
Futures contracts, swap agreements, option contracts, and swaption contracts | 511 | |||
Change in net unrealized appreciation or (depreciation) of: | ||||
Investments | 290 | |||
Foreign currency transactions | 1,867 | |||
Futures contracts, swap agreements, option contracts, and swaption contracts | (302 | ) | ||
|
| |||
Net gain on investments | 2,096 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 2,496 | ||
|
| |||
A Foreign taxes | $ | 5 |
See accompanying notes
24
American Beacon Flexible Bond FundSM
Statement of Changes of Net Assets (in thousands)
Six Months Ended February 28, 2013 | Year Ended August 31, 2012 | |||||||
(unaudited) | ||||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 400 | $ | 447 | ||||
Net realized gain from investments, futures contracts, foreign currency transactions, swap agreements, option contracts, and swaption contracts | 241 | 1,809 | ||||||
Change in net unrealized appreciation from investments, futures contracts, foreign currency transactions, swap agreements, option contracts, and swaption contracts | 1,855 | 1,162 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 2,496 | 3,418 | ||||||
|
|
|
| |||||
Distributions to Shareholders: | ||||||||
Net investment income: | ||||||||
Institutional Class | (116 | ) | (447 | ) | ||||
Y Class | (145 | ) | (165 | ) | ||||
Investor Class | (273 | ) | (235 | ) | ||||
A Class | (137 | ) | (117 | ) | ||||
C Class | (77 | ) | (36 | ) | ||||
Net realized gain on investments: | ||||||||
Institutional Class | (91 | ) | — | |||||
Y Class | (196 | ) | — | |||||
Investor Class | (411 | ) | — | |||||
A Class | (210 | ) | — | |||||
C Class | (93 | ) | — | |||||
|
|
|
| |||||
Net distributions to shareholders | (1,749 | ) | (1,000 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from sales of shares | 70,690 | 58,762 | ||||||
Reinvestment of dividends and distributions | 1,493 | 890 | ||||||
Cost of shares redeemed | (22,321 | ) | (29,540 | ) | ||||
|
|
|
| |||||
Net increase in net assets from capital share transactions | 49,862 | 30,112 | ||||||
|
|
|
| |||||
Net increase in net assets | 50,609 | 32,530 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 63,500 | 30,970 | ||||||
|
|
|
| |||||
End of Period * | $ | 114,109 | $ | 63,500 | ||||
|
|
|
| |||||
*Includes undistributed net investment income of | $ | (708 | ) | $ | 579 | |||
|
|
|
|
See accompanying notes
25
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), which is comprised of twenty-four Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Flexible Bond Fund (the “Fund”), a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.
Class Disclosure
Each Fund 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: | |
Institutional Class | Investors making an initial investment of $250,000 | |
Y Class | Investors making an initial investment of $100,000 | |
Investor Class | General public and investors investing directly or through an intermediary | |
A Class | General public and investors investing through an intermediary with applicable sales charges | |
C Class | General public and investors investing through an intermediary with applicable sales charges |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.
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 investment advisory and portfolio management services. Investment assets of the Fund are managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund 0.05% 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 for the six months ended February 28, 2013 were as follows (dollars in thousands):
Management Fee Rate | Management Fee | Amounts paid to Investment Advisors | Net Amounts Retained by Manager | |||||||||
0.60% | $ | 234 | $ | 214 | $ | 20 |
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 0.30% of the average daily net assets of the Institutional, Y, and Investor Classes of the Fund and 0.40% of the average daily net assets of the A and C Classes of the Fund.
26
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Distribution Plans
The Fund, except for the A and C Classes of the Fund, have 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 advisor 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.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plans, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class of the Fund. 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 Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee of 0.10% of the average daily net assets of Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund.
Interfund Lending Program
Pursuant to an exemptive order issued by the Securities and Exchange Commission (“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. During the six months ended February 28, 2013, the Fund did not utilize the credit facility.
Expense Reimbursement Plan
The Manager contractually agreed to reimburse the classes of the Fund to the extent that total annual fund operating expenses exceeded the Fund’s expense cap. For the six months ended February 28, 2013, the Manager reimbursed expenses as follows:
Class | Expense Cap | Reimbursed Expenses | Expiration of Reimbursements | |||||||
Institutional | 0.90 | % | $ | 19,979 | 2016 | |||||
Y | 0.99 | % | 22,261 | 2016 | ||||||
Investor | 1.27 | % | 44,500 | 2016 | ||||||
A | 1.39 | % | 21,318 | 2016 | ||||||
C | 2.14 | % | 10,613 | 2016 |
Of these amounts, $11,072 is receivable from the Manager, as of February 28, 2013. The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class’s 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 carryover of excess expenses potentially reimbursable to the Manager is $146,216 and $274,377 expiring in 2014 and 2015 respectively. The Fund has not recorded a liability for potential reimbursements, due to the current assessment that a reimbursement is unlikely.
27
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Sales Commissions
The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. For the six months ended February 28, 2013, Foreside collected $9,851 from the sale of A Class Shares.
A contingent deferred sales charge (“CDSC”) of 0.50% will be deducted with respect to Class A Shares on certain purchases of $250,000 or more that are redeemed in whole or part within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the six months ended February 28, 2013 there were no CDSC fees collected for the Fund.
A contingent deferred sales charge (“CDSC”) of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the six months ended February 28, 2013, CDSC fees of $738 were collected for the Fund.
3. Security Valuation and Fair Value Measurements
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 including exchange-traded funds (“ETFs”) 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. The prices of debt securities may be determined using quotes obtained from brokers.
Investments in open-end mutual funds are valued at the closing net asset value (“NAV”) 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 fair value.
Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Trust’s Board of Trustees (the “Board”).
Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with its futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized, but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.
Other investments, including restricted securities, and those financial instruments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee, established by the Board.
For valuation purposes, the last quoted prices of non-U.S. equity securities may be adjusted under the circumstances described below. If the Manager determines that developments between the close of a foreign
28
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
market and the close of the Exchange will, in its judgment, materially affect the value of some or all of a fund’s portfolio securities, the Manager will adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the Exchange. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Manager reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. The Valuation Committee may also fair value securities in other situations, such as when a particular foreign market is closed but a Fund is open. The Fund uses outside pricing services to provide closing prices and information to evaluate and/or adjust those prices. As a means of evaluating its security valuation process, the Valuation Committee routinely compares closing prices, the next day’s opening prices in the same markets, and adjusted prices.
Valuation Inputs
Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 | - | Quoted prices in active markets for identical securities. | ||
Level 2 | - | Prices determined using other significant observable inputs. These may include quoted prices for | ||
similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities | ||||
are fixed-income securities that are valued using observable inputs as stated above. | ||||
Level 3 | - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the | ||
Fund’s own assumptions about the factors market participants would use in pricing an | ||||
investment, and would be based on the best information available. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value.
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporates deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, ETFs and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the Exchange. These securities are valued using
29
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
pricing service providers that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies will be valued based upon the net asset values (“NAVs”) of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in privately held investment funds which are redeemable within 90 days of the measurement date, will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.
Over-the-counter (“OTC”) financial derivative instruments, such as foreign currency contracts, options contracts, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
The Fund’s investments are summarized by level based on the inputs used to determine their values. U.S. GAAP also requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for transfers between levels of the Fund’s assets and liabilities. During the six months ended February 28, 2013, there were no transfers between levels for the Fund. As of February 28, 2013, the investments were classified as described below: (in thousands)
Flexible Bond Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Domestic Convertible Obligations | $ | — | $ | 1,993 | $ | — | $ | 1,993 | ||||||||
Domestic Obligations | — | 25,957 | — | 25,957 | ||||||||||||
Foreign Convertible Obligations | — | 1,655 | — | 1,655 | ||||||||||||
Foreign Obligations | — | 23,821 | — | 23,821 | ||||||||||||
Asset-Backed Securities | — | 1,694 | — | 1,694 | ||||||||||||
Commercial Mortgage Obligations | — | 5,966 | — | 5,966 | ||||||||||||
U.S. Agency Mortgage-Backed Obligations | — | 24 | — | 24 | ||||||||||||
U.S. Treasury Obligations | — | 20,691 | — | 20,691 | ||||||||||||
Short Term Investments – Money Markets | 10,398 | — | — | 10,398 | ||||||||||||
Short Term Investments – Repurchase Agreements | — | 11,800 | — | 11,800 | ||||||||||||
Short Term Investments – Certificates of Deposit | — | 499 | — | 499 | ||||||||||||
Short Term Investments – U.S. Treasury Bills | — | 6,055 | — | 6,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 10,398 | $ | 100,156 | $ | — | $ | 110,554 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial derivative instruments-assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased options outstanding | $ | — | $ | 89 | $ | — | $ | 89 | ||||||||
Futures contracts | 15 | — | — | 15 | ||||||||||||
Swap agreements | — | 564 | — | 564 | ||||||||||||
Forward currency contracts | — | 1,862 | — | 1,862 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 15 | $ | 2,515 | $ | — | $ | 2,530 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Financial derivative instruments-liabilities* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written options outstanding | $ | — | $ | (78 | ) | $ | — | $ | (78 | ) | ||||||
Futures contracts | (9 | ) | — | — | (9 | ) | ||||||||||
Swap agreements | — | (345 | ) | — | (345 | ) | ||||||||||
Forward currency contracts | — | (479 | ) | — | (479 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (9 | ) | $ | (902 | ) | $ | — | $ | (911 | ) | ||||||
|
|
|
|
|
|
|
|
* | Financial derivative instruments may include swaps agreements, open futures, purchased options and swaption contracts, written options and swaption contracts, and foreign currency contracts. |
30
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the NAV. 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, expense and purchases and sales of investments are translated into U.S. dollars at the rate of the 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.
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, if applicable. For the six months ended February 28, 2013, the Fund did not have commission recapture income.
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. GAAP 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.
31
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Other
Under the Trust’s organizational documents, its officers and trustees 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.
4. Securities and other Investments
Repurchase Agreements
Under the terms of a repurchase agreement, securities are acquired by the Fund from a securities dealer or a bank that are subject to resale at a later date. Repurchase agreements are fully collateralized by government securities. All collateral is valued at cost, which approximates market value and is held at the custodian bank. The collateral is monitored daily by the investment advisor from reports provided by the custody bank to make the determination that the collateral’s market value exceeds the carrying value of the repurchase agreement plus accrued interest.
Inflation-Indexed Bonds
The Fund may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statement of Operations, even though investors do not receive their principal until maturity.
Payment In-Kind Securities
The Fund may invest in payment in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a prorata adjustment from the unrealized appreciation or depreciation on investment to interest receivable in the Statement of Assets and Liabilities.
Restricted Securities
The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities outstanding at the six months ended February 28, 2013 are disclosed in the Notes to the Schedule of Investments.
High-Yield Securities
Non-investment-grade securities are rated below the four highest credit grades by at least one of the public rating agencies (or are unrated if not publicly rated). Participation in high-yielding securities transactions generally involves greater returns in the form of higher average yields. However, participation in
32
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
such transactions involves greater risks, including sensitivity to economic changes, solvency, and relative liquidity in the secondary trading market. Lower ratings may reflect a greater possibility that the financial condition of the issuer, or adverse changes in general economic conditions, or both, may impair the ability of the issuer to make payments of interest and principal. The prices and yields of lower-rated securities generally fluctuate more than higher-quality securities, and such prices may decline significantly in periods of general economic difficulty or rising interest rates.
5. Financial Derivative Instruments
Options Contracts
The Fund may write (1) call and put options on futures, swaps (“swaptions”), securities, commodities or currencies it owns or in which it may invest and (2) inflation-capped options. Writing put options tends to increase the Fund’s exposure to unfavorable movements of the underlying instrument in exchange for an upfront premium. Writing call options tends to decrease the Fund’s exposure to favorable movements of the underlying instrument in exchange for an upfront premium. When the Fund writes a call, put, or inflation-capped option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. The purpose of inflation-capped options is to protect the buyer from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products. These liabilities are reflected as written options outstanding on the Statement of Assets and Liabilities. Certain options may be written with premiums to be determined on a future date. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain or loss when the underlying transaction is sold. The Fund as a writer of an option has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.
The Fund may also purchase put and call options. Purchasing call options tends to increase the Fund’s exposure to favorable movements of the underlying instrument in exchange for paying an upfront premium. Purchasing put options tends to decrease the Fund’s exposure to unfavorable movements of the underlying instrument. The Fund pays a premium which is included on the Fund’s Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is sold.
Swap Agreements
The Fund may invest in swap agreements. Swap agreements are privately negotiated agreements between the Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. The Fund may enter into credit default, cross-currency, interest rate and other forms of swap agreements to manage its exposure to credit, currency, interest rate, and inflation risk. In connection with these agreements, securities or cash may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Swaps are marked to market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss
33
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
on the Statement of Assets and Liabilities. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Manager pursuant to procedures approved by the Board.
Payments received or made at the beginning of the measurement period are reflected as such on the Statement of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statement of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statement of Operations. Net periodic payments received or paid by the Fund are included as part of realized gains or losses on the Statement of Operations.
Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Fund’s exposure to the counterparty.
Credit Default Swap Agreements
Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, the Fund will generally receive from the buyer of protection a fixed rate of periodic premium throughout the term of the swap provided that there is no credit event. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure up to the notional amount of the swap.
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swap agreements on corporate issues, sovereign issues of an emerging country or U.S. municipal issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash
34
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). The Fund may use credit default swaps on corporate issues, sovereign issues of an emerging country or U.S. municipal issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate issues, sovereign issues of an emerging country or U.S. municipal issues, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. The Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation that the Fund owns or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default that the Fund does not own.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. The Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues of an emerging country or U.S. municipal issues as of period end are disclosed in the Notes to the Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and represent a market participant view of the likelihood or risk of default for the underlying referent security to credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of each individual credit default swap agreements
35
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
outstanding as of February 28, 2013 for which the Fund is the seller of protection is disclosed in the Notes to the Schedule of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.
Interest Rate Swap Agreements
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by the Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal.
Over-the Counter Swap Agreements
OTC financial derivative instruments such as forward currency contracts, options contracts, interest rate, and credit default swap agreements derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. These instruments are valued using evaluated prices furnished by a pricing service selected by the Board. In certain cases, when a valuation is not readily available from a pricing service, the Fund’s Manager may provide a valuation. Depending on the instrument and the terms of the transaction, the value of the derivative instrument can be determined by a pricing service or the Manager using a series of techniques, including simulation pricing models. The pricing models use inputs, such as issuer details, indices, spreads, interest rates, yield curves, dividends, and exchange rates, that are observed from actively quoted markets. Derivative instruments that use valuation techniques and inputs similar to those described above are normally categorized as Level 2 in the fair value hierarchy.
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 the Fund’s 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 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 a portion of the face value of the futures contract. The Fund usually reflects this amount on the Schedule of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as Cash deposited with broker 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.
36
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
The following is a summary of the fair valuations of the Fund’s derivative instruments categorized by risk exposure(1)(3):
Fair values of financial instruments on the Statement of Assets and Liabilities as of February 28, 2013 (in thousands):
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||
Credit contracts | Foreign exchange contracts | Interest rate contracts | Equity contracts | Total | ||||||||||||||||
Assets: | ||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | $ | — | $ | 15 | $ | — | $ | — | $ | 15 | ||||||||||
Unrealized appreciation from forward currency contracts | — | 1,862 | — | — | 1,862 | |||||||||||||||
Purchased options and swaptions outstanding | — | 72 | 2 | 15 | 89 | |||||||||||||||
Unrealized appreciation from swap agreements | 18 | — | 263 | — | 281 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 18 | $ | 1,949 | $ | 265 | $ | 15 | $ | 2,247 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||
Credit contracts | Foreign exchange contracts | Interest rate contracts | Equity contracts | Total | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable for variation margin from open futures contracts(2) | $ | — | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | ||||||||
Unrealized depreciation from forward currency translations | — | (479 | ) | — | — | (479 | ) | |||||||||||||
Written options and swaptions outstanding | — | (27 | ) | (14 | ) | (37 | ) | (78 | ) | |||||||||||
Unrealized depreciation from swap agreements | (141 | ) | — | (245 | ) | — | (386 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (141 | ) | $ | (515 | ) | $ | (259 | ) | $ | (37 | ) | $ | (952 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
The effect of financial derivative instruments on the Statement of Operations for the period ended February 28, 2013 (in thousands):
Derivatives not accounted for as hedging instruments | ||||||||||||||||
Credit contracts | Foreign exchange contracts | Interest rate contracts | Total | |||||||||||||
Realized gain (loss) of derivatives recognized as a result from operations: | ||||||||||||||||
Net realized gain (loss) from foreign currency transactions | $ | — | $ | (870 | ) | $ | — | $ | (870 | ) | ||||||
Net realized gain (loss) from futures contracts, swap agreements, option contracts, and swaption contracts | (67 | ) | (98 | ) | 676 | 511 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (67 | ) | $ | (968 | ) | $ | 676 | $ | (359 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation or (depreciation) of derivatives recognized as a result from operations: | ||||||||||||||||
Change in net unrealized appreciation or (depreciation) of futures contracts, swap agreements, option contracts, and swaption contracts | $ | (61 | ) | $ | 8 | $ | (249 | ) | $ | (302 | ) | |||||
Change in net unrealized appreciation or (depreciation) of foreign currency transactions | — | 1,867 | — | 1,867 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (61 | ) | $ | 1,875 | $ | (249 | ) | $ | 1,565 | |||||||
|
|
|
|
|
|
|
|
(1) | See Note 3 in the Notes to Financial Statements for additional information. |
(2) | Includes only current day’s variation margin as reported within the Statement of Assets and Liabilities. Cumulative appreciation or (depreciation) of futures contracts is reported in the Notes to the Schedule of Investments. |
(3) | The volume of derivative activity described above is reflective of the derivative activity through the current period of operations. |
6. Principal Risks
In the normal course of business the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk), or failure or inability of the other party of a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks.
37
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Market Risks
The Fund’s investments in financial derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency and equity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by the Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.
If the Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, the Fund’s investments in foreign currency denominated securities may reduce the returns of the Fund.
The fair values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.
Credit and Counterparty Risks
The Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. The Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. The Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose the Fund to counterparty risk, consist principally of cash due from counterparties and investments. Furthermore, to the extent that unpaid amounts owed to the Fund exceed a predetermined threshold agreed to with the counterparty, such counterparty shall advance collateral to the Fund in the form of cash or cash equivalents equal in value to the unpaid amount owed to the Fund. The Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to the Fund subsequently falls, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced to the Fund.
All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once the Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
38
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
The Fund is subject to various Master Agreements, which govern the terms of certain transactions with select counterparties. These Master Agreements reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of forward and OTC derivative transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement and result in the need for multiple agreements with a single counterparty. Therefore, exposure cannot be netted and collateralized across all types of transactions. Exposures can only be netted across transactions governed under the same Master Agreement with the same legal entity.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant master agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury bills and US dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper may be used. The Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement. Master Repurchase Agreements (“Master Repo Agreements”) govern transactions between the Fund and select counterparties. The Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for Repurchase Agreements.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain purchases and sales made on a delayed-delivery basis by and between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.
International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by the Fund and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to early terminate could be material to the financial statements. The fair value of OTC financial derivative transactions net of collateral received in or pledged by counterparty as of period end is disclosed in the Notes to the Schedule of Investments.
7. Federal Income and Excise Taxes
It is the policy of the Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Fund is treated as a single entity for the purpose of determining such qualification.
The Fund does not have any unrecognized tax benefits in the accompanying financial statements. The tax periods ended August 31, 2011 and 2012 remain 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 expense” on the Statement of Operations.
39
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation or depreciation, as applicable, as the income is earned or capital gains are recorded.
The tax character of distributions paid was as follows (in thousands):
Six months ended February 28, 2013 | Period ended August 31, 2012 | |||||||
(unaudited) | ||||||||
Distributions paid from: | ||||||||
Ordinary income* | ||||||||
Institutional Class | $ | 207 | $ | 447 | ||||
Y Class | 341 | 165 | ||||||
Investor Class | 684 | 235 | ||||||
A Class | 347 | 117 | ||||||
C Class | 170 | 36 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 1,749 | $ | 1,000 | ||||
|
|
|
|
* | For tax purposes, short-term capital gains are considered ordinary income distributions. |
As of February 28, 2013, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):
Cost basis of investments for federal income tax purposes** | $ | 109,183 | ||
Unrealized appreciation | 4,871 | |||
Unrealized depreciation | (3,191 | ) | ||
|
| |||
Net unrealized appreciation or (depreciation) | 1,680 | |||
Undistributed ordinary income | 1,398 | |||
Accumulated long-term gain(loss) | 129 | |||
Other temporary differences | 182 | |||
|
| |||
Distributable earnings or (deficit) | $ | 3,389 | ||
|
|
** | Includes fair value of swap agreements. |
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 or depreciation are attributable primarily to the tax deferral of losses from wash sales and the realization for tax purposes of unrealized gain (losses) on certain derivative instruments.
Due to inherent differences in the recognition of income and expenses and realized gains(losses) under U.S. GAAP and federal tax regulation, 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 and income from publicly traded partnerships that have been reclassified as of February 28, 2013 (in thousands):
Paid-in-capital | $ | — | ||
Undistributed net investment income | (939 | ) | ||
Accumulated net realized gain(loss) | 939 | |||
Unrealized appreciation(depreciation) of investments, futures contracts, option and swaption contracts and foreign currency translations | — |
40
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the RIC MOD, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Finally, the RIC MOD contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the RIC MOD is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.
As of February 28, 2013, the Fund did not have capital loss carryforwards.
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales of investments other than short-term obligations for the six months ended February 28, 2013 were (in thousands)
Purchases | Sales | |||||||
Securities | $ | 60,186 | $ | 27,691 | ||||
U.S. Treasury Obligations | 16,603 | 10,322 |
9. Option Contracts Written
The premium amount and number of option contracts written during the six months ended February 28, 2013 were as follows (dollars in thousands):
Number of Contracts | Notional Amount | Amount of Premiums | ||||||||||
Outstanding at August 31, 2012 | 3,400 | $ | (3,892 | ) | $ | (149 | ) | |||||
Options written | 35,019 | (37,593 | ) | (231 | ) | |||||||
Options expired | (920 | ) | 979 | 29 | ||||||||
Options exercised | — | — | — | |||||||||
Options closed | (10,000 | ) | 10,170 | 193 | ||||||||
|
|
|
|
|
| |||||||
Outstanding at February 28, 2013 | 27,499 | $ | (30,366 | ) | $ | (158 | ) | |||||
|
|
|
|
|
|
41
American Beacon Flexible Bond FundSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
10. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Fund (dollars and shares in thousands):
For the Six Months ended February 28, 2013
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Shares sold | 947 | $ | 10,064 | 1,115 | $ | 11,842 | 3,055 | $ | 32,398 | |||||||||||||||
Reinvestment of dividends | 20 | 206 | 30 | 313 | 57 | 598 | ||||||||||||||||||
Shares redeemed | (950 | ) | (10,080 | ) | (526 | ) | (5,576 | ) | (424 | ) | (4,497 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 17 | $ | 190 | 619 | $ | 6,579 | 2,688 | $ | 28,499 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
A Class | C Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 1,223 | $ | 12,926 | 328 | $ | 3,460 | ||||||||||
Reinvestment of dividends | 25 | 267 | 11 | 109 | ||||||||||||
Shares redeemed | (172 | ) | (1,814 | ) | (34 | ) | (354 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 1,076 | $ | 11,379 | 305 | $ | 3,215 | ||||||||||
|
|
|
|
|
|
|
|
For the year ended August 31, 2012
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Shares sold | 388 | $ | 3,968 | 1,534 | $ | 15,687 | 2,128 | $ | 21,828 | |||||||||||||||
Reinvestment of dividends | 44 | 447 | 12 | 124 | 20 | 206 | ||||||||||||||||||
Shares redeemed | (1,978 | ) | (20,515 | ) | (311 | ) | (3,213 | ) | (154 | ) | (1,592 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | (1,546 | ) | $ | (16,100 | ) | 1,235 | $ | 12,598 | 1,994 | $ | 20,442 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
A Class | C Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 1,173 | $ | 12,006 | 512 | $ | 5,273 | ||||||||||
Reinvestment of dividends | 8 | 87 | 2 | 26 | ||||||||||||
Shares redeemed | (396 | ) | (4,072 | ) | (14 | ) | (148 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 785 | $ | 8,021 | 500 | $ | 5,151 | ||||||||||
|
|
|
|
|
|
|
|
42
This page intentionally left blank.
43
American Beacon Flexible Bond FundSM
(For a share outstanding throughout the period) (Unaudited)
Institutional Class | Y Class | |||||||||||||||||||||||
Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | July 5 to Aug. 31, 2011 | Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | July 5 to Aug. 31, 2011 | |||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.48 | $ | 10.05 | $ | 10.00 | $ | 10.51 | $ | 10.05 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.09 | 0.02 | 0.02 | 0.10 | 0.10 | 0.02 | ||||||||||||||||||
Net gains from investments (both realized and unrealized) | 0.31 | 0.59 | 0.05 | 0.28 | 0.53 | 0.05 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income from investment operations | 0.40 | 0.61 | 0.07 | 0.38 | 0.63 | 0.07 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.11 | ) | (0.18 | ) | (0.02 | ) | (0.11 | ) | (0.17 | ) | (0.02 | ) | ||||||||||||
Distributions from net realized gains on securities | (0.14 | ) | — | — | (0.14 | ) | — | — | ||||||||||||||||
Return of capital | — | — | 0.00 | A | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.25 | ) | (0.18 | ) | (0.02 | ) | (0.25 | ) | (0.17 | ) | (0.02 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 10.63 | $ | 10.48 | $ | 10.05 | $ | 10.64 | $ | 10.51 | $ | 10.05 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return B,F | 3.74 | %C | 6.34 | % | 0.70 | % | 3.72 | %C | 6.20 | % | 0.69 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,469 | $ | 13,095 | $ | 28,105 | $ | 19,875 | $ | 13,132 | $ | 144 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses, before reimbursements | 1.32 | %D | 1.42 | % | 3.58 | %D | 1.28 | %D | 1.49 | % | 18.27 | %D | ||||||||||||
Expenses, net of reimbursements | 0.90 | %D | 0.90 | % | — | %D | 0.99 | %D | 0.99 | % | — | %D | ||||||||||||
Net investment income (loss), before reimbursements | 1.48 | %D | 0.44 | % | (2.37 | )%D | 0.91 | %D | 0.54 | % | (17.04 | )%D | ||||||||||||
Net investment income (loss), net of reimbursements | 1.90 | %D | 0.96 | % | 1.20 | %D | 1.20 | %D | 1.04 | % | 1.23 | %D | ||||||||||||
Portfolio turnover rate | 38 | %C | 88 | % | 44 | %E | 38 | %C | 88 | % | 44 | %E |
A | Amount represents less than $0.01 per share. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from July 5, 2011, the inception date, through August 31, 2011. |
F | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
44
American Beacon Flexible Bond FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | A Class | C Class | ||||||||||||||||||||||||||||||||
Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | July 5 to Aug. 31, 2011 | Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | July 5 to Aug. 31, 2011 | Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | July 5 to Aug. 31, 2011 | ||||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||||||||
$ | 10.51 | $ | 10.07 | $ | 10.00 | $ | 10.49 | $ | 10.06 | $ | 10.00 | $ | 10.49 | $ | 10.09 | $ | 10.00 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
0.13 | 0.09 | 0.02 | 0.13 | 0.07 | 0.02 | 0.08 | 0.04 | 0.02 | ||||||||||||||||||||||||||
| 0.23 |
| 0.52 | 0.07 | 0.23 | 0.51 | 0.06 | 0.24 | 0.48 | 0.09 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
0.36 | 0.61 | 0.09 | 0.36 | 0.58 | 0.08 | 0.32 | 0.52 | 0.11 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
(0.11 | ) | (0.17 | ) | (0.02 | ) | (0.13 | ) | (0.15 | ) | (0.02 | ) | (0.14 | ) | (0.12 | ) | (0.02 | ) | |||||||||||||||||
| (0.14 | ) | — | — | (0.14 | ) | — | — | (0.14 | ) | — | — | ||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
(0.25 | ) | (0.17 | ) | (0.02 | ) | (0.27 | ) | (0.15 | ) | (0.02 | ) | (0.28 | ) | (0.12 | ) | (0.02 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 10.62 | $ | 10.51 | $ | 10.07 | $ | 10.58 | $ | 10.49 | $ | 10.06 | $ | 10.53 | $ | 10.49 | $ | 10.09 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
3.56 | %C | 5.99 | % | 0.90 | % | 3.50 | %C | 5.70 | % | 0.80 | % | 3.13 | %C | 5.15 | % | 1.11 | % | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 50,021 | $ | 21,245 | $ | 277 | $ | 21,865 | $ | 10,387 | $ | 2,064 | $ | 8,879 | $ | 5,641 | $ | 380 | |||||||||||||||||
1.54 | %D | 1.76 | % | 8.22 | %D | 1.67 | %D | 1.93 | % | 4.49 | %D | 2.44 | %D | 2.74 | % | 9.66 | %D | |||||||||||||||||
1.26 | %D | 1.27 | % | — | %D | 1.38 | %D | 1.39 | % | — | %D | 2.13 | %D | 2.14 | % | — | %D | |||||||||||||||||
| 0.67 | %D | 0.30 | % | (6.93 | )%D | 0.57 | %D | 0.05 | % | (3.25 | )%D | (0.18 | )%D | (0.73 | )% | (8.48 | )%D | ||||||||||||||||
| 0.95 | %D | 0.79 | % | 1.29 | %D | 0.86 | %D | 0.59 | % | 1.24 | %D | 0.13 | %D | (0.13 | )% | 1.18 | %D | ||||||||||||||||
38 | %C | 88 | % | 44 | %E | 38 | %C | 88 | % | 44 | %E | 38 | %C | 88 | % | 44 | %E |
45
eDelivery is NOW AVAILABLE - Stop traditional mail delivery and receive your
shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Summary 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: | |
American Beacon Funds | ||
Call (800) 658-5811 | P.O. Box 219643 | |
Kansas City, MO 64121-9643 | ||
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, DC 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 202-551-8090. A complete schedule of the Fund’s portfolio holdings is also available at www.americanbeaconfunds.com approximately sixty days after the end of each quarter. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website www.americanbeaconfunds.com and by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN | TRANSFER AGENT | INDEPENDENT REGISTERED | DISTRIBUTOR | |||||||||
State Street Bank and | Boston Financial Data | PUBLIC ACCOUNTING | Foreside Fund Services, | |||||||||
Trust | Services | FIRM | LLC | |||||||||
Boston, Massachusetts | Kansas City, Missouri | Ernst & Young LLP | Portland, Maine | |||||||||
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 or Summary Prospectus.
American Beacon Funds and American Beacon Flexible Bond Fund are service marks of American Beacon Advisors, Inc.
SAR 2/13
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
1 | ||
2-9 | ||
12 | ||
14 | ||
18 | ||
24 | ||
54 | ||
Back Cover |
Zebra Global Equity and Zebra Small Cap Equity Funds
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. At times, certain securities may have limited marketability and may be difficult to sell. The Fund may invest in future contracts which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards.
The London Company Income Equity Fund
The Fund’s primary risks include focused holdings risk, interest rate risk, small and medium capitalization risk, foreign exposure risk, future contracts risk, dividend risk and credit risk. These risks may expose the Fund’s investments to greater price fluctuations than the market as a whole. Because the Fund is a focused portfolio of fewer companies, the increase or decrease of the value of a single stock may have a greater impact on the Fund’s NAV and total return when compared to other diversified funds. 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. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards. The Fund may invest in future contracts which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in dividend paying stocks might not experience the same level of earnings growth or capital appreciation as non-dividend paying stocks. Credit risk is the risk that the decline in an issuer’s credit rating may have an adverse impact on the value of that security.
SiM High Yield Opportunities Fund
The Fund typically invests in a diversified portfolio of domestic and foreign high-yield, high-risk fixed income securities that are generally rated below investment-grade (such as BB or lower by Standard & Poor’s Ratings Services or Fitch ratings and/or Ba or lower by Moody’s Investors Service, Inc.) or deemed to be below investment-grade by the investment sub-advisor. These types of securities are commonly referred to as “high yield” or “junk” bonds. Investing in such 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. The principal risks of the Fund include also those derived from the investment in: foreign securities, emerging market securities, derivative securities including options and futures contracts (including options and futures contracts on stock indexes and currencies), forward contracts (including currency forward contracts), swap agreements and structured notes, Rule 144A securities, bank loans and senior loans and to a lesser extent equity securities including those of small and mid-capitalization companies.
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 | February 28, 2013 |
In an era in which the yield on the benchmark 10-year Treasury bond struggles to keep pace with inflation, many investors have turned to assets with the potential for higher returns, including high-yield bonds and equities from such areas as the small-cap sector. One key for making best use of these types of investments is to have a steady, experienced hand at the tiller.
American Beacon is proud to have several funds that venture into this potentially higher risk territory but also have proven, disciplined managers at the helm. Gary Pokrzywinski, portfolio manager for the American Beacon SiM High Yield Opportunities Fund, has been working in the high-yield space for more than 20 years. Roger Ibbotson, the founder and chief investment officer for Zebra Capital and portfolio manager for the American Beacon Zebra Funds, founded his first investment firm 35 years ago. And although it’s a relatively new sub-advisor for American Beacon, the London Company of Virginia was founded by Stephen Goddard, who has more than a quarter century of experience in the investing business. That’s the kind of experience investors can expect from most American Beacon Funds, and we believe it pays off in the long-term results.
For the six-month period ended February 28, 2013:
• | The American Beacon The London Company Income Equity Fund (Institutional Class) returned 8.20%. |
• | The American Beacon Zebra Global Equity Fund (Institutional Class) returned 10.01%. |
• | The American Beacon Zebra Small Cap Equity Fund (Institutional Class) returned 14.22%. |
• | The American Beacon SiM High Yield Opportunities Fund (Institutional Class) returned 10.76%. |
Thank you for your continued investment in the American Beacon Funds. For additional information about our Funds or to access your account information, please visit our website at www.americanbeaconfunds.com.
Best Regards, |
![]() |
Gene L. Needles, Jr. |
President |
American Beacon Funds |
1
American Beacon The London Company Income Equity FundSM
Performance Overview
February 28, 2013 (Unaudited)
The Investor Class of The London Company Income Equity Fund (the “Fund”) returned 8.05% for the six months ended February 28, 2013. The Fund underperformed the Russell 1000 Value® Index (the “Index”) return of 13.15% and the Lipper Equity Income Funds Index return of 9.63% for the same period.
Total Returns for the Period ended 2/28/13:
6 Months* | Since Inception (5/29/2012) | |||||||
Institutional Class (1,2,4) | 8.20 | % | 13.94 | % | ||||
Y Class (1,2,4) | 8.20 | % | 13.94 | % | ||||
Investor Class (1,2,4) | 8.05 | % | 13.68 | % | ||||
A Class with sales charge (1,2,4) | 1.71 | % | 7.02 | % | ||||
A Class without sales charge (1,2,4) | 7.92 | % | 13.54 | % | ||||
C Class with sales charge (1,2,4) | 6.44 | % | �� | 11.83 | % | |||
C Class without sales charge (1,2,4) | 7.44 | % | 12.83 | % | ||||
Russell 1000 Value | 13.15 | % | 20.75 | % | ||||
Lipper Equity Income Funds Index (3) | 9.63 | % | 16.29 | % |
* | Not annualized. |
1. | Performance shown is historical and is not 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 Class shares have a maximum sales charge of 5.75%. The maximum contingent deferred sales charge for the C Class is 1.00% for shares redeemed within one year of the date of purchase. |
2. | A portion of the fees charged to each Class of the Fund was waived since inception. Performance prior to waiving fees was lower than the actual returns shown since inception. |
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 and Russell 1000 Index are registered trademarks of the Frank Russell Company. The Lipper Equity Income Funds Index tracks the results of the 30 largest mutual funds in the Lipper Equity Income 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, Y, Investor, A and C Class shares was 1.25%, 1.35%, 1.63%, 1.75%, and 2.50%, 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 underperformance relative to the Index was driven primarily by poor sector allocations as stock selection only slightly detracted from relative returns. During the six-month period, returns were positive across all but one sector for both the Fund and the Index. Over half of the sectors for both also generated double-digit returns.
An overweight allocation to Consumer Staple and Information Technology companies in conjunction with an underweight allocation to Financial companies detracted from the Fund’s return relative to the Index. Given the Fund’s portfolio construction approach and high conviction weightings across securities, the Fund’s over or underweight positioning relative to the economic sectors is expected to have less of an impact on relative returns over longer periods.
The Fund’s stock selection within many of the sectors also had a minor negative impact. Poor stock selection in the Financials sector proved to be the most significant as holdings in the Fund gained 12.6% while the Index positions were up 17.6%.
Within the Financials sector, the Fund was negatively impacted through a combination of what it did and did not hold. The Fund did not hold strong performers such as JPMorgan Chase (up 33.6%), Citigroup (up 41.3%), and Bank of America (up 41.0%), while Hatteras Financial, a Fund holding, declined 2.8%. BlackRock (up 37.0%), Federated Investors (up 19.9%), and Cincinnati Financial (up 18.8%) were the strongest contributors within the Financial holdings.
The sub-advisor’s investment process continues to focus on downside protection, current income, and capital appreciation.
2
American Beacon The London Company Income Equity FundSM
Performance Overview
February 28, 2013 (Unaudited)
Top 10 Holdings (% Net Assets) | ||||||||
Albemarle Corp. | 4.1 | |||||||
Dominion Resources, Inc. | 3.9 | |||||||
Wells Fargo & Co. | 3.7 | |||||||
NewMarket Corp. | 3.7 | |||||||
Pfizer, Inc. | 3.5 | |||||||
Verizon Communications, Inc. | 3.4 | |||||||
Bristol-Myers Squibb Co. | 3.4 | |||||||
Federated Investors, Inc. | 3.3 | |||||||
Cincinnati Financial Corp. | 3.3 | |||||||
BlackRock, Inc. | 3.2 | |||||||
Total Fund Holdings | 36 |
Sector Weightings (% Equities) | ||||
Financials | 22.3 | |||
Consumer Staples | 16.6 | |||
Information Technology | 12.1 | |||
Materials | 11.0 | |||
Utilities | 10.1 | |||
Health Care | 8.8 | |||
Energy | 6.3 | |||
Consumer Discretionary | 5.9 | |||
Telecommunication Services | 3.7 | |||
Industrials | 3.2 |
3
American Beacon Zebra Global Equity FundSM
Performance Overview
February 28, 2013 (Unaudited)
The Investor Class of the American Beacon Zebra Global Equity Fund (the “Fund”) returned 9.85% for the six months ended February 28, 2013 outperforming the Russell 1000/MSCI World Linked Index return of 8.11% (the “Index”). Effective December 31, 2012, the Fund’s mandate changed from domestic equity with the Russell 1000® Index as its benchmark to a global equity fund with the MSCI World® Index as its benchmark.
Total Returns for the Period ended 2/28/13:
6 Months* | 1 Year | Since Inception (6/1/2010) | ||||||||||
Institutional | 10.01 | % | 11.79 | % | 13.95 | % | ||||||
Y Class (1,3,5) | 9.94 | % | 11.61 | % | 13.88 | % | ||||||
Investor | 9.85 | % | 11.34 | % | 13.54 | % | ||||||
Retirement Class closed to new investors (1,3,5) | 9.00 | % | 10.93 | % | 13.17 | % | ||||||
A Class with sales | 3.49 | % | 4.89 | % | 11.01 | % | ||||||
A Class without sales | 9.78 | % | 11.28 | % | 13.43 | % | ||||||
C Class with sales charge (1,2,3,5) | 8.38 | % | 9.44 | % | 12.66 | % | ||||||
C Class without sales charge (1,2,3,5) | 9.38 | % | 10.44 | % | 12.66 | % | ||||||
MSCI World | 10.85 | % | 10.69 | % | 12.40 | % | ||||||
Lipper Global Multi- Cap Value Funds Index (4) | 13.20 | % | 9.97 | % | 12.35 | % | ||||||
Russell 1000/MSCI World Linked Index (4) | 8.11 | % | 11.95 | % | 14.69 | % | ||||||
Russell 1000 | 9.72 | % | 13.62 | % | 16.08 | % |
* | Not annualized. |
1. | Performance shown is historical and is not 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 call 1-800-967-9009 or visit www.americanbeaconfunds.com 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 Class shares have a maximum sales charge of 5.75%. |
2. | Fund performance for the since inception period represents the total returns achieved by the Investor Class from 6/1/10 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/1/10. The maximum contingent deferred sales charge is 1.00% for shares redeemed within one year of the date of purchase. |
3. | A portion of the fees charged to each Class of the Fund was waived since inception. Performance prior to waiving fees was lower than the actual returns shown since inception. |
4. | Prior to December 31, 2012, the Fund’s primary benchmark was the Russell 1000 Index, an index that measures the performance of the large-cap segment of the U.S. equity universe. The Fund changed its primary benchmark to the MSCI World Index, because the Fund changed its name and investment strategy. The Russell 1000/MSCI World Linked Index represents returns of the Russell 1000 Index up to December 31, 2012, and the MSCI World Index thereafter. The MSCI World Index is designed to measure the equity market performance of large- and mid-capitalization companies across 24 developed markets countries. The Lipper Global Multi-Cap Value Funds Index tracks the results of the 30 largest mutual funds in the Lipper Global Multi-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, Y, Investor, Retirement, A, and C Class shares was 1.87%, 1.94%, 2.28%, 9.31%, 2.43%, and 3.21%, 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. |
For the four months ended December 31, 2012, the Fund returned 3.87% before expenses outperforming the Russell 1000 Index return of 2.70%. The Fund outperformed the Russell 1000 Index as both sector allocation and stock selection added value relative to the benchmark. An underweight in Information Technology, the worst performing sector in the Russell 1000 Index, contributed over 75 basis points (0.75%) to performance relative to the Russell 1000 Index through sector allocation. An overweight in Financials, the best performing sector in the Russell 1000 Index, added approximately 55 basis points (0.55%) to relative performance.
From a stock selection standpoint, the Fund’s holdings in the Materials and Information Technology sectors added the most relative value. Companies in the Materials sector that had the greatest impact on performance were Southern Copper (up 25.8%) and PPG Industries (up 24.3%). Not owning DuPont De Nemours which was down 8.7% in the Russell 1000 Index also contributed to relative performance. In the Information Technology sector, not owning Apple, which was down 19.6% in the Russell 1000 Index, contributed to the Fund’s relative performance. The
4
American Beacon Zebra Global Equity FundSM
Performance Overview
February 28, 2013 (Unaudited)
aforementioned good performance was somewhat offset by poor stock selection in the Financials sector which detracted approximately 45 basis points (0.45%) from performance. In the Financials sector, not owning Bank of America, Citigroup and JP Morgan Chase which were up 45.6%, 33.2% and 19.3%, respectively, in the Russell 1000 Index detracted relative value.
For the two months ended February 28, 2013, the Fund returned 6.67% before expenses outperforming the MSCI World Index return of 5.11%. The Fund outperformed the MSCI World Index as security selection within the Information Technology and Financials sectors added value relative to the benchmark. From a country perspective, the Fund’s U.S., Italy and Japan based companies were the largest contributors to returns.
The sub-advisor continues to focus on uncovering opportunities by investing in a portfolio of securities that are generally less popular with investors but nevertheless have strong fundamental characteristics. At the same time the portfolio will be underweight stocks that are heavily followed but have weak fundamentals. This contrarian style has tended to result in a portfolio with good risk-adjusted returns over time. Even though the strategy does not explicitly seek out low-beta stocks, a by-product of the investment process is often a realized beta of less than 1. Beta is a measure of the Fund’s systematic risk compared to the Index. For example, a beta of 0.90 would indicate that the Fund is expected to provide a 10% lower return when the Index increases and a 10% better return when the Index decreases.
For the six month period, the beta of the Fund versus the indices was 0.94. In turn, the Fund exhibited good downside capture characteristics. As an illustration, in the six months ending February, 28, 2013, looking at both the Russell 1000 Index (September - December) and MSCI World Index (January - February), together they were down on 55 days. The Fund outperformed the indices on 34 of those days (62% of the time). Consequently much of the excess performance during the period was driven by this reduced downside capture. The sub-advisor’s strategy, and its resulting characteristics, should benefit the Fund’s performance over the longer term.
Top 10 Holdings (% Net Assets) | ||||||||
iShares MSCI ACWI Index Fund | 2.9 | |||||||
Pfizer, Inc. | 1.7 | |||||||
Nestle S.A. Reg | 1.7 | |||||||
HSBC Holdings PLC | 1.5 | |||||||
Royal Dutch Shell PLC | 1.5 | |||||||
BHP Billiton Ltd. | 1.5 | |||||||
Exxon Mobil Corp. | 1.4 | |||||||
Australia & New Zealand Banking Group Ltd. | 1.1 | |||||||
Wal-Mart Stores, Inc. | 1.0 | |||||||
Chevron Corp. | 1.0 | |||||||
Total Fund Holdings | 209 | |||||||
Sector Weightings (% Equities) | ||||||||
Financials | 16.7 | |||||||
Energy | 11.5 | |||||||
Consumer Staples | 11.1 | |||||||
Consumer Discretionary | 10.9 | |||||||
Industrials | 10.6 | |||||||
Information Technology | 10.6 | |||||||
Health Care | 10.3 | |||||||
Materials | 8.3 | |||||||
Utilities | 3.8 | |||||||
Commingled Fund | 3.1 | |||||||
Telecommunication Services | 3.1 | |||||||
Top 10 Country Weightings (% Equities) | ||||||||
United States | 54.4 | |||||||
United Kingdom | 9.5 | |||||||
Japan | 8.7 | |||||||
Switzerland | 4.5 | |||||||
Australia | 4.1 | |||||||
France | 3.7 | |||||||
Canada | 3.5 | |||||||
Germany | 2.7 | |||||||
Hong Kong | 1.5 | |||||||
Sweden | 1.5 |
5
American Beacon Zebra Small Cap Equity FundSM
Performance Overview
February 28, 2013 (Unaudited)
The Investor Class of the American Beacon Zebra Small Cap Equity Fund (the “Fund”) returned 13.95% for the six-month period ended February 28, 2013, outperforming the Russell 2000® Index (the “Index”) return of 13.02% and the Lipper Small-Cap Core Funds Index return of 13.72% for the same period.
Total Returns for the Period ended 2/28/13:
6 Months* | 1 Year | Since Inception (6/1/2010) | ||||||||||
Institutional | 14.22 | % | 12.95 | % | 15.22 | % | ||||||
Y Class (1,3,5) | 14.05 | % | 12.78 | % | 15.07 | % | ||||||
Investor | 13.95 | % | 12.50 | % | 14.74 | % | ||||||
Retirement Class (closed to new investors) (1,3,5) | 13.69 | % | 12.07 | % | 14.34 | % | ||||||
A Class with sales charge (1,3,5) | 7.32 | % | 5.96 | % | 12.21 | % | ||||||
A Class without sales | 13.87 | % | 12.42 | % | 14.66 | % | ||||||
C Class with sales charge (1,2,3,5) | 12.38 | % | 10.48 | % | 13.83 | % | ||||||
C Class without sales charge (1,2,3,5) | 13.38 | % | 11.48 | % | 13.83 | % | ||||||
Lipper Small-Cap Core Funds | 13.72 | % | 13.06 | % | 15.21 | % | ||||||
Russell 2000 | 13.02 | % | 14.02 | % | 15.21 | % |
* | Not annualized. |
1. | Performance shown is historical and is not 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 Class shares have a maximum sales charge of 5.75%. |
2. | Fund performance for the since inception period represents the total returns achieved by the Investor Class from 6/1/10 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/1/10. The maximum contingent deferred sales charge is 1.00% for shares redeemed within one year of the date of purchase. |
3. | A portion of the fees charged to each Class of the Fund was waived since inception. Performance prior to waiving fees was lower than the actual returns shown since inception. |
4. | The Russell 2000 Index is an unmanaged index comprised of approximately 2,000 smaller-capitalization stocks |
from various industrial sectors. Russell 2000 Index is a registered trademark of the Frank Russell Company. The Lipper Small-Cap Core Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Core 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, Y, Investor, Retirement, A, and C Class shares was 3.22%, 3.43%, 3.64%, 22.27%, 3.75%, and 4.52%, 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 as both stock selection and sector allocation added value relative to the Index. From a stock selection standpoint, holdings in the Consumer Discretionary and Energy sectors contributed most to excess performance. In the Consumer Discretionary sector, LIN TV (up 181.9%), Sauer Danfoss (up 44.1%) and Ameristar Casinos (up 56.3%) had the largest impact on relative performance. Delek US Holdings (up 44.1%), Alon USA Energy (up 43.4%) and Calumet Specialty Products (up 39.8%) were the largest contributors in the Energy sector. The aforementioned good performance was slightly offset by poor stock selection in the Health Care and Information Technology sectors. In the Health Care sector, PDL Biopharma (up 1.0%) and Gentiva Health Services (down 3.8%) negatively impacted performance. Net 1 UEPS Technologies (down 40.2%) and Multi Fineline Electronix (down 37.5%) detracted from relative returns in the Information Technology sector.
The Fund’s significant underweights in Health Care and Information Technology, two of the poorer performing sectors in the Index, contributed to performance through sector allocation. An overweight in the Industrials sector also added to the Fund’s relative returns.
The sub-advisor continues to focus on uncovering opportunities by investing in a portfolio of securities that are generally less popular with investors but nevertheless have strong fundamental characteristics. At the same time the portfolio will be underweight stocks that are heavily followed but have weak fundamentals. This contrarian style has tended to result in a portfolio with good risk-adjusted returns over time. Even though the strategy does not explicitly seek out low-beta
6
American Beacon Zebra Small Cap Equity FundSM
Performance Overview
February 28, 2013 (Unaudited)
stocks, a by-product of the investment process is often a realized beta of less than 1. Beta is a measure of the Fund’s systematic risk compared to the Index. For example, a beta of 0.90 would indicate that the Fund is expected to provide a 10% lower return when the Index increases and a 10% better return when the Index decreases.
For the six month period, the beta of the Fund versus the Index was 0.95. In turn, the Fund exhibited good downside capture characteristics. As an illustration, in the six months ending February 28, 2013, the Index was down on 56 days. The Fund outperformed the Index on 35 of those days (63% of the time). Consequently, much of the excess performance generated by the Fund during the period was driven by this reduced downside capture. The sub-advisor’s strategy, and its resulting characteristics, should benefit the Fund’s performance over the longer term.
Top 10 Holdings (% Net Assets) | ||||||||
Delek US Holdings, Inc. | 1.6 | |||||||
Och-Ziff Capital Management Group LLC | 1.5 | |||||||
KKR Financial Holdings LLC | 1.2 | |||||||
Gererac Holdings, Inc. | 1.0 | |||||||
PDL BioPharma, Inc. | 0.9 | |||||||
CTC Media, Inc. | 0.9 | |||||||
Textainer Group Holdings Ltd. | 0.8 | |||||||
Moog, Inc. | 0.8 | |||||||
Sauer-Danfoss, Inc. | 0.8 | |||||||
Nelnet, Inc. | 0.8 | |||||||
Total Fund Holdings | 465 |
Sector Weightings (% Equities) | ||||
Financials | 29.5 | |||
Industrials | 21.1 | |||
Consumer Discretionary | 14.1 | |||
Information Technology | 11.1 | |||
Energy | 7.2 | |||
Consumer Staples | 5.3 | |||
Health Care | 5.2 | |||
Materials | 4.6 | |||
Utilities | 1.0 | |||
Telecommunication Services | 0.9 |
7
American Beacon SiM High Yield Opportunities FundSM
Performance Overview
February 28, 2013 (Unaudited)
The Investor Class of the SiM High Yield Opportunities Fund (the “Fund”) returned 10.51% for the six months ended February 28, 2013. The Fund outperformed the BofA Merrill Lynch U.S. High Yield Master II Index (the “Index”) return of 6.58% and the Lipper High Current Yield Funds Index return of 6.75% for the same period.
Total Returns for the Period ended 2/28/13:
6 Months* | 1 Year | Since Inception (2/14/2011) | ||||||||||
Institutional Class | 10.76 | % | 16.30 | % | 10.97 | % | ||||||
Y Class (1,2,4) | 10.71 | % | 16.19 | % | 10.79 | % | ||||||
Investor | 10.51 | % | 15.95 | % | 10.38 | % | ||||||
A Class with sales | 5.28 | % | 10.23 | % | 7.76 | % | ||||||
A Class without sales | 10.48 | % | 15.72 | % | 10.37 | % | ||||||
C Class with sales | 9.06 | % | 13.96 | % | 9.66 | % | ||||||
C Class without sales | 10.06 | % | 14.96 | % | 9.66 | % | ||||||
BofA Merrill Lynch US High Yield Master II Index (3) | 6.58 | % | 11.85 | % | 9.03 | % | ||||||
Lipper High Current Yield Funds Index (3) | 6.75 | % | 11.33 | % | 8.10 | % |
* | Not annualized |
1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not 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 Class shares have a maximum sales charge of 4.75%. The maximum contingent deferred sales charge for the C Class is 1.00% for shares redeemed within one year of the date of purchase. |
2. | A portion of the fees charged to each Class of the Fund was waived since inception. Performance prior to waiving fees was lower than the actual returns shown since inception. |
3. | The BofA Merrill Lynch US High Yield Master II Index tracks the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. Qualifying securities must have a below investment grade rating and an investment grade rated country of risk. In addition, qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $100 million. Defaulted securities and securities eligible for the dividends-received deduction are excluded from the Index. The Lipper High Current Yield Funds Index tracks the results of the 30 largest mutual funds in the Lipper High Current Yield Funds Category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
4. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.06%, 1.09%, 1.23%, 1.53%, and 2.26%, 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 outperformance relative to the Index was driven by its strong issue selection within the various credit quality categories and economic sectors.
From a credit quality perspective, issue selection in the BB, B, and CCC-rated credit categories added relative value.
From a credit quality allocation perspective, overweighting the CCC-rated credit group (up 9.3%) and underweighting the higher quality BB-rated credit group (up 4.7%) assisted in the Fund’s relative outperformance. The lower rated credit quality categories outperformed the higher rated categories during the period.
From a sector standpoint, strong issue selection in the Service, Cable/Media, Utility, and Consumer sectors added value.
From a sector allocation perspective, the Fund benefited from an overweight in Telecommunications (up 9.9%) and an underweight in Energy (up 5.4%). The Fund’s allocation to Cash (2.9%) detracted from relative returns.
The Fund has the flexibility to utilize derivative instruments and will do so to enhance return, hedge risk, manage liquidity, or to gain efficient exposure to an asset class. When considering the Fund’s use of derivatives, it is important to note that the Fund does not use derivatives for the purposes of creating financial leverage. During the period, the Fund experienced modest declines from the use of derivatives such as futures, options, or swaps.
The sub-advisor’s investment process of identifying long-term secular themes and seeking out of favor sectors through bottom-up fundamental research remains in place.
8
American Beacon SiM High Yield Opportunities FundSM
Performance Overview
February 28, 2013 (Unaudited)
Top 10 Holdings (% Net Assets) | ||||||||
Continental Airlines Finance Trust II, 6.00%, Due 11/15/30 | 3.3 | |||||||
Nord Anglia Education UK Holdings PLC, 10.25%, Due 4/1/17, 144A | 2.8 | |||||||
DaVita, Inc., 5.750%, Due 8/15/2022 | 2.8 | |||||||
HCA, Inc., 7.50%, Due 2/15/22 | 2.8 | |||||||
Syncreon Global Ireland Ltd , 9.50%, | 2.7 | |||||||
Lynx II Corp., 6.375%, Due 4/15/2023, 144A | 2.6 | |||||||
Global Generations Merger Sub, Inc., 11.000%, Due 12/15/2020, 144A | 2.6 | |||||||
Calpine Corp., 7.875%, Due 1/15/2023, 144A | 2.5 | |||||||
Satmex Escrow SA de CV, 9.50%, Due 5/15/17 | 2.5 | |||||||
ADS Tactical, Inc., 11.00%, Due 4/1/18, 144A | 2.5 | |||||||
Total Fund Holdings | 61 |
Asset Allocation (% Net Assets) | ||||
Corporate Obligations | 70.7 | |||
Foreign Obligations | 16.3 | |||
Foreign Convertible Bond | 4.0 | |||
Preferred Stocks | 3.4 | |||
U.S. Agency Obligations | 2.4 | |||
Common Stocks | 1.6 | |||
Short-Term Investments | 1.3 | |||
U.S. Treasury Obligations | 0.3 |
9
American Beacon FundsSM
Fund Expenses
February 28, 2013 (Unaudited)
Fund Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs including sales charges (loads) on purchased shares 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 September 1, 2012 through February 28, 2013.
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 Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 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 Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 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.
10
American Beacon FundsSM
Fund Expenses
February 28, 2013 (Unaudited)
* | Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 0.79%, 0.88%, 1.16%, 1.28% and 2.03% for the Institutional, Y, Investor, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half year period. |
** | 5% return before expenses. |
| ||||||||||||
Beginning Account Value 9/1/12 | Ending Account Value 2/28/13 | Expenses Paid During Period* 9/1/12-2/28/13 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,100.07 | $ | 4.11 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.88 | $ | 3.96 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,099.36 | $ | 4.63 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.38 | $ | 4.46 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,098.47 | $ | 6.09 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.99 | $ | 5.86 | ||||||
Retirement Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,090.04 | $ | 7.98 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,017.16 | $ | 7.70 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,097.84 | $ | 6.71 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.40 | $ | 6.46 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.78 | $ | 10.59 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,014.68 | $ | 10.19 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 0.79%, 0.89%, 1.17%, 1.54%, 1.29% and 2.04% for the Institutional, Y, Investor, Retirement, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half year period. |
** | 5% return before expenses. |
| ||||||||||||
Beginning Account Value 9/1/12 | Ending Account Value 2/28/13 | Expenses Paid During Period* 9/1/12-2/28/13 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,142.22 | $ | 5.26 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,140.46 | $ | 5.78 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.39 | $ | 5.46 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,139.46 | $ | 7.27 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.00 | $ | 6.85 | ||||||
Retirement Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,136.94 | $ | 9.11 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,016.27 | $ | 8.60 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,138.66 | $ | 7.90 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,017.41 | $ | 7.45 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,133.82 | $ | 11.85 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,013.69 | $ | 11.18 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.99%, 1.09%, 1.37%, 1.72%, 1.49% and 2.24% for the Institutional, Y, Investor, Retirement, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half year period. |
** | 5% return before expenses. |
* | Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 0.84%, 0.94%, 1.13%, 1.34% and 2.09% for the Institutional, Y, Investor, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half year period. |
** | 5% return before expenses. |
11 |
American Beacon The London Company Income Equity FundSM
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
PREFERRED STOCK - 1.95% |
| |||||||
FINANCIALS - 1.95% | ||||||||
Diversified Financials - 1.58% | ||||||||
Aegon N.V., 8.00%, Due 2/15/2042 | 8,302 | $ | 233 | |||||
Morgan Stanley Capital Trust VIII, 6.45%, Due 4/15/2067 | 9,160 | 232 | ||||||
|
| |||||||
465 | ||||||||
|
| |||||||
Insurance - 0.37% | ||||||||
Montpelier Re Holdings Ltd.., 8.875%, Due 5/10/2016 | 3,850 | 109 | ||||||
|
| |||||||
Total Financials | 574 | |||||||
|
| |||||||
Total Preferred Stock (Cost $552) |
| 574 | ||||||
|
| |||||||
COMMON STOCK - 91.26% | ||||||||
CONSUMER DISCRETIONARY - 5.54% |
| |||||||
Leisure Equipment & Products - 2.75% |
| |||||||
Hasbro, Inc. | 20,207 | 809 | ||||||
|
| |||||||
Specialty Retail - 2.79% | ||||||||
Lowe’s Cos., Inc. | 21,553 | 822 | ||||||
|
| |||||||
Total Consumer Discretionary |
| 1,631 | ||||||
|
| |||||||
CONSUMER STAPLES - 15.45% |
| |||||||
Beverages - 3.11% | ||||||||
Coca-Cola Co. | 23,680 | 917 | ||||||
|
| |||||||
Food & Drug Retailing - 1.40% |
| |||||||
Wal-Mart Stores, Inc. | 5,822 | 412 | ||||||
|
| |||||||
Food Products - 1.44% | ||||||||
Hershey Co. | 5,075 | 423 | ||||||
|
| |||||||
Tobacco - 9.50% | ||||||||
Altria Group, Inc. | 24,240 | 813 | ||||||
Lorillard, Inc. | 19,911 | 767 | ||||||
Philip Morris International, Inc. | 7,159 | 657 | ||||||
Reynolds American, Inc. | 12,812 | 560 | ||||||
|
| |||||||
2,797 | ||||||||
|
| |||||||
Total Consumer Staples | 4,549 | |||||||
|
| |||||||
ENERGY - 5.87% | ||||||||
Chevron Corp. | 7,386 | 865 | ||||||
ConocoPhillips | 14,919 | 865 | ||||||
|
| |||||||
Total Energy | 1,730 | |||||||
|
| |||||||
FINANCIALS - 18.85% | ||||||||
Banks - 3.71% | ||||||||
Wells Fargo & Co. | 31,156 | 1,093 | ||||||
|
| |||||||
Diversified Financials - 6.53% | ||||||||
BlackRock, Inc., Class A | 3,972 | 952 | ||||||
Federated Investors, Inc., | 41,920 | 974 | ||||||
|
| |||||||
1,926 | ||||||||
|
| |||||||
Insurance - 6.45% | ||||||||
Berkshire Hathaway, Inc., | 9,109 | 931 | ||||||
Cincinnati Financial Corp. | 21,571 | 970 | ||||||
|
| |||||||
1,901 | ||||||||
|
|
Shares | Fair Value | |||||||
(000’s) | ||||||||
Real Estate - 2.16% | ||||||||
Hatteras Financial Corp.B | 23,784 | $ | 635 | |||||
|
| |||||||
Total Financials | 5,555 | |||||||
|
| |||||||
HEALTH CARE - 8.22% | ||||||||
Bristol-Myers Squibb Co. | 26,725 | 988 | ||||||
Johnson & Johnson | 5,183 | 394 | ||||||
Pfizer, Inc. | 37,953 | 1,039 | ||||||
|
| |||||||
Total Health Care | 2,421 | |||||||
|
| |||||||
INDUSTRIALS - 2.95% | ||||||||
General Dynamics Corp. | 12,775 | 868 | ||||||
|
| |||||||
INFORMATION TECHNOLOGY - 11.25% |
| |||||||
Communications Equipment - 2.96% |
| |||||||
Cisco Systems, Inc. | 41,860 | 872 | ||||||
|
| |||||||
Computers & Peripherals - 2.10% |
| |||||||
International Business Machines Corp. | 3,077 | 618 | ||||||
|
| |||||||
IT Consulting & Services - 2.22% |
| |||||||
Paychex, Inc. | 19,721 | 653 | ||||||
|
| |||||||
Semiconductor Equipment & Products - 2.04% |
| |||||||
Intel Corp. | 28,881 | 602 | ||||||
|
| �� | ||||||
Software - 1.93% | ||||||||
Microsoft Corp. | 20,418 | 568 | ||||||
|
| |||||||
Total Information Technology |
| 3,313 | ||||||
|
| |||||||
MATERIALS - 10.23% | ||||||||
Chemicals - 7.73% | ||||||||
Albemarle Corp. | 18,435 | 1,200 | ||||||
NewMarket Corp. | 4,281 | 1,077 | ||||||
|
| |||||||
2,277 | ||||||||
|
| |||||||
Paper & Forest Products - 2.50% |
| |||||||
MeadWestvaco Corp. | 20,575 | 735 | ||||||
|
| |||||||
Total Materials | 3,012 | |||||||
|
| |||||||
TELECOMMUNICATION SERVICES - 3.44% |
| |||||||
Verizon Communications, Inc. | 21,764 | 1,013 | ||||||
|
| |||||||
UTILITIES - 9.46% | ||||||||
Electric Utilities - 6.29% | ||||||||
Dominion Resources, Inc. | 20,268 | 1,135 | ||||||
Duke Energy Corp. | 10,351 | 717 | ||||||
|
| |||||||
1,852 | ||||||||
|
| |||||||
Gas Utilities - 3.17% | ||||||||
Kinder Morgan Management LLCA C | 11,264 | 933 | ||||||
|
| |||||||
Total Utilities | 2,785 | |||||||
|
| |||||||
Total Common Stock |
| 26,877 | ||||||
|
|
See accompanying notes
12
American Beacon The London Company Income Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
SHORT-TERM INVESTMENTS - 5.25% |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 1,546,551 | $ | 1,547 | |||||
|
| |||||||
TOTAL INVESTMENTS - 98.46% |
| 28,998 | ||||||
OTHER ASSETS, NET OF LIABILITIES - 1.54% | 453 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 29,451 | |||||
|
|
Percentages are stated as a percent of net assets.
A | Non-income producing security. |
B | REIT - Real Estate Investment Trust. |
C | Limited Liability Company. |
Futures Contracts Open on February 28, 2013 (000’s): |
Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||||
S&P 500 Mini E Index Future | Long | 19 | March, 2013 | $ | 1,438 | $ | 0 | |||||||||||
|
|
|
| |||||||||||||||
$ | 1,438 | $ | 0 | |||||||||||||||
|
|
|
|
See accompanying notes
13
American Beacon Zebra Global Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Australia - 3.89% | ||||||||
Common Stocks - (Cost $321) | ||||||||
Australia & New Zealand Banking Group Ltd., ADRA B | 3,050 | $ | 90 | |||||
BHP Billiton Ltd., ADRB | 3,304 | 125 | ||||||
Caltex Australia Ltd.A | 1,101 | 22 | ||||||
Coca Cola Amatil Ltd.A | 1,948 | 29 | ||||||
Harvey Norman Holdings Ltd.A | 8,642 | 22 | ||||||
Iluka Resources LimitedA | 1,864 | 20 | ||||||
Sonic Healthcare Ltd.A | 1,610 | 22 | ||||||
|
| |||||||
Total Australia | 330 | |||||||
|
| |||||||
Belgium - 0.60% | ||||||||
Common Stocks - (Cost $49) | ||||||||
Anheuser-Busch InBev N.V. | 386 | 36 | ||||||
Belgacom S.A.A | 525 | 15 | ||||||
|
| |||||||
Total Belgium | 51 | |||||||
|
| |||||||
Canada - 3.30% | ||||||||
Common Stocks - (Cost $284) | ||||||||
Agrium, Inc. | 425 | 45 | ||||||
Barrick Gold Corp. | 1,813 | 55 | ||||||
Brookfield Office Properties, Inc.C | 3,904 | 65 | ||||||
Imperial Oil Ltd. | 1,419 | 59 | ||||||
Suncor Energy, Inc. | 1,892 | 57 | ||||||
|
| |||||||
Total Canada | 281 | |||||||
|
| |||||||
Finland - 0.21% | ||||||||
Common Stocks - (Cost $18) | ||||||||
Orion Corp. Class BA | 609 | 18 | ||||||
|
| |||||||
France - 3.57% | ||||||||
Common Stocks - (Cost $301) | ||||||||
Air Liquide S.A. | 190 | 23 | ||||||
CNP AssurancesA | 1,100 | 16 | ||||||
EDF S.A. | 1,424 | 27 | ||||||
GDF Suez | 811 | 15 | ||||||
Imerys S.A.A | 259 | 17 | ||||||
LVMH Moet Hennessy Louis VuittonA | 174 | 30 | ||||||
NatixisA | 4,890 | 20 | ||||||
Rexel S.A. | 732 | 17 | ||||||
Sanofi | 528 | 50 | ||||||
Societe BIC S.A., ADRA B | 136 | 16 | ||||||
Total S.A. | 1,096 | 55 | ||||||
Zodiac AerospaceA | 143 | 16 | ||||||
|
| |||||||
Total France | 302 | |||||||
|
| |||||||
Germany - 2.58% | ||||||||
Common Stocks - (Cost $207) | ||||||||
BASF SEA | 401 | 38 | ||||||
Continental AG | 143 | 17 | ||||||
Daimler AG | 614 | 37 | ||||||
Henkel AG & Co. KGaAA | 271 | 20 | ||||||
Hugo Boss AGA | 137 | 16 | ||||||
SAP AG | 409 | 32 | ||||||
Suedzucker AGA | 352 | 15 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
United Internet AGA | 656 | $ | 15 | |||||
Volkswagen AG | 138 | 28 | ||||||
|
| |||||||
Total Germany | 218 | |||||||
|
| |||||||
Hong Kong - 1.47% | ||||||||
Common Stocks - (Cost $121) | ||||||||
ASM Pacific Technology Ltd. | 1,800 | 24 | ||||||
Hang Seng Bank Ltd. | 1,800 | 29 | ||||||
SJM Holdings Ltd. | 10,000 | 25 | ||||||
Sun Hung Kai Properties Ltd. | 3,000 | 47 | ||||||
|
| |||||||
Total Hong Kong | 125 | |||||||
|
| |||||||
Ireland - 0.33% | ||||||||
Common Stocks - (Cost $28) | ||||||||
Warner Chilcott PLC, Class A | 2,081 | 28 | ||||||
|
| |||||||
Italy - 1.00% | ||||||||
Common Stocks - (Cost $77) | ||||||||
Exor SpAA | 1,442 | 40 | ||||||
Luxottica Group SpA, ADRB | 947 | 44 | ||||||
|
| |||||||
Total Italy | 84 | |||||||
|
| |||||||
Japan - 8.26% | ||||||||
Common Stocks - (Cost $649) | ||||||||
Asahi Group Holdings Ltd. | 800 | 20 | ||||||
Central Japan Railway Co. | 700 | 69 | ||||||
Daihatsu Motor Co. Ltd. | 1,000 | 20 | ||||||
Gunma Bank Ltd. | 3,000 | 16 | ||||||
Hankyu Hanshin Holdings, Inc. | 3,000 | 16 | ||||||
Hino Motors Ltd. | 2,000 | 21 | ||||||
Hisamitsu Pharmaceutical Co.A | 300 | 17 | ||||||
Hitache Metals Ltd.A | 2,000 | 19 | ||||||
Hoya Corp. | 900 | 17 | ||||||
Idemitsu Kosan Co. Ltd. | 700 | 64 | ||||||
Inpex Corp. | 5 | 27 | ||||||
IYO Bank Ltd.A | 2,000 | 17 | ||||||
Mitsubishi Electric Corp.A | 3,000 | 24 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 310 | 14 | ||||||
Nitori Holdings Co. Ltd. | 150 | 11 | ||||||
Nomura Research Institute Ltd. | 700 | 16 | ||||||
NTT DOCOMO, Inc.A | 26 | 40 | ||||||
Osaka Gas Co. Ltd. | 5,000 | 19 | ||||||
Otsuka Holdings Co. Ltd. | 700 | 22 | ||||||
Seven & I Holdings Co. Ltd. | 800 | 23 | ||||||
Shimamura Co. Ltd.A | 200 | 20 | ||||||
Sumitomo Corp. | 1,300 | 16 | ||||||
Toho Gas Co. Ltd. | 3,000 | 17 | ||||||
Toto Ltd.A | 2,000 | 18 | ||||||
Toyota Industries Corp.A | 1,700 | 60 | ||||||
Toyota Tshusho Corp.A | 2,000 | 51 | ||||||
Yahoo Japan Corp. | 64 | 28 | ||||||
|
| |||||||
Total Japan | 702 | |||||||
|
| |||||||
Luxembourg - 0.24% | ||||||||
Common Stocks - (Cost $23) | ||||||||
Millicom International Cellular S.A. A | 249 | 20 | ||||||
|
|
See accompanying notes
14
American Beacon Zebra Global Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Netherlands - 0.48% | ||||||||
Common Stocks - (Cost $42) | ||||||||
Akzo Nobel | 315 | $ | 20 | |||||
Wolters Kluwer N.V. | 1,014 | 20 | ||||||
|
| |||||||
Total Netherlands | 40 | |||||||
|
| |||||||
Norway - 0.39% | ||||||||
Common Stocks - (Cost $33) | ||||||||
Statoil ASA | 1,322 | 33 | ||||||
|
| |||||||
Singapore - 1.09% | ||||||||
Common Stocks - (Cost $91) | ||||||||
DBS Group Holdings Ltd. | 2,000 | 24 | ||||||
Flextronics International Ltd.A | 3,979 | 26 | ||||||
Keppel Corp Ltd.A | 2,000 | 19 | ||||||
Oversea-Chinese Banking Corp Ltd. | 3,000 | 24 | ||||||
|
| |||||||
Total Singapore | 93 | |||||||
|
| |||||||
Spain - 1.39% | ||||||||
Common Stocks - (Cost $119) | ||||||||
InditexA | 146 | 20 | ||||||
Mapfre S.A.A | 13,688 | 45 | ||||||
Zardoya Otis S.A.A | 3,685 | 53 | ||||||
|
| |||||||
Total Spain | 118 | |||||||
|
| |||||||
Sweden - 1.46% | ||||||||
Common Stocks - (Cost $109) | ||||||||
Atlas Copco AB, Class BA | 830 | 21 | ||||||
Ericsson LM, Class B | 4,146 | 50 | ||||||
Nordea Bank ABA | 4,561 | 53 | ||||||
|
| |||||||
Total Sweden | 124 | |||||||
|
| |||||||
Switzerland - 4.24% | ||||||||
Common Stocks - (Cost $335) | ||||||||
ACE Ltd. | 400 | 34 | ||||||
Garmin Ltd. | 751 | 26 | ||||||
Kuehne + Nagel Intl AGA | 340 | 39 | ||||||
Nestle S.A. Reg | 2,079 | 145 | ||||||
Sika AG BRA | 17 | 42 | ||||||
Swatch Groug AGA | 466 | 47 | ||||||
TE Connectivity Ltd. | 686 | 28 | ||||||
|
| |||||||
Total Switzerland | 361 | |||||||
|
| |||||||
United Kingdom - 9.06% | ||||||||
Common Stocks - (Cost $777) | ||||||||
Aggreko plcA | 660 | 17 | ||||||
AstraZeneca PLC, ADRA B | 991 | 45 | ||||||
BAE Systems PLC | 4,592 | 25 | ||||||
British American Tobacco plc | 1,314 | 68 | ||||||
BT Group PLC | 8,433 | 34 | ||||||
Eurasian Natural Resources Corp PLC | 2,824 | 14 | ||||||
Fresnillo PLCA | 830 | 20 | ||||||
HSBC Holdings PLC | 11,874 | 133 | ||||||
Investec PLCA | 2,212 | 16 | ||||||
Kingfisher PLC | 3,683 | 15 | ||||||
London Stock Exchange GroupA | 914 | 18 | ||||||
National Grid PLC | 3,392 | 38 | ||||||
Pearson PLC | 1,160 | 20 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
Reckitt Benckiser Group PLC | 581 | $ | 39 | |||||
Royal Dutch Shell PLC, Class B | 3,748 | 125 | ||||||
Sage Group PLCA | 3,806 | 20 | ||||||
Standard Chartered PLC | 1,816 | 49 | ||||||
Unilever PLC | 1,826 | 73 | ||||||
|
| |||||||
Total United Kingdom | 769 | |||||||
|
| |||||||
United States - 51.81% | ||||||||
Common Stocks - 51.78% (Cost $3,875) |
| |||||||
3M Co. | 495 | 51 | ||||||
Abbott Laboratories | 1,162 | 39 | ||||||
AbbVie, Inc. | 1,162 | 43 | ||||||
Activision Blizzard, Inc. | 2,272 | 32 | ||||||
Airgas, Inc. | 285 | 29 | ||||||
Alleghany Corp. | 94 | 36 | ||||||
Alliant Energy Corp. | 572 | 27 | ||||||
American Express Co. | 700 | 44 | ||||||
Amgen, Inc. | 558 | 51 | ||||||
Apache Corp. | 376 | 28 | ||||||
Arch Capital Group Ltd.A | 740 | 36 | ||||||
AT&T, Inc. | 2,026 | 72 | ||||||
Axis Capital Holdings Ltd. | 741 | 30 | ||||||
Baxter International, Inc. | 474 | 32 | ||||||
Bed Bath & Beyond, Inc.A | 527 | 30 | ||||||
Berkshire Hathaway, Inc., Class BA | 600 | 62 | ||||||
Brown-Forman Corp., Class B | 507 | 33 | ||||||
CA, Inc. | 1,389 | 34 | ||||||
CH Robinson Worldwide, Inc. | 513 | 29 | ||||||
Chevron Corp. | 728 | 85 | ||||||
Chubb Corp. | 337 | 28 | ||||||
Cintas Corp. | 777 | 34 | ||||||
Cisco Systems, Inc. | 2,559 | 54 | ||||||
CME Group, Inc. | 573 | 34 | ||||||
Coca-Cola Co. | 1,640 | 64 | ||||||
Colgate-Palmolive Co. | 374 | 43 | ||||||
Comcast Corp., Class A | 1,056 | 42 | ||||||
ConocoPhillips | 760 | 44 | ||||||
Crimson Wine Group Ltd.A | 127 | 1 | ||||||
Crown Holdings, Inc.A | 757 | 29 | ||||||
Danaher Corp. | 629 | 39 | ||||||
Dell, Inc. | 2,584 | 36 | ||||||
DIRECTVA | 768 | 37 | ||||||
DISH Network Corp., Class A | 686 | 24 | ||||||
DTE Energy Co. | 405 | 27 | ||||||
EI du Pont de Nemours & Co. | 844 | 40 | ||||||
Eli Lilly & Co. | 799 | 44 | ||||||
Exxon Mobil Corp. | 1,374 | 123 | ||||||
Fastenal Co. | 616 | 32 | ||||||
FedEx Corp. | 323 | 34 | ||||||
FLIR Systems, Inc. | 1,235 | 33 | ||||||
FMC Corp. | 419 | 25 | ||||||
Franklin Resources, Inc. | 298 | 42 | ||||||
General Dynamics Corp. | 495 | 34 | ||||||
Genuine Parts Co.D | 485 | 34 | ||||||
HCA Holdings, Inc. | 1,864 | 69 | ||||||
Henry Schein, Inc.A | 366 | 33 | ||||||
Hormel Foods Corp. | 875 | 33 | ||||||
Illinois Tool Works, Inc. | 527 | 32 | ||||||
Intel Corp. | 2,624 | 55 | ||||||
International Business Machines Corp. | 416 | 83 | ||||||
Intuit, Inc. | 474 | 31 |
See accompanying notes
15
American Beacon Zebra Global Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Leucadia National Corp. | 1,268 | $ | 34 | |||||
Liberty Media Corp.A | 260 | 28 | ||||||
Loews Corp. | 1,096 | 48 | ||||||
Marathon Oil Corp. | 929 | 31 | ||||||
Marathon Petroleum Corp. | 466 | 39 | ||||||
Marsh & McLennan Cos., Inc. | 801 | 30 | ||||||
Mattel, Inc. | 921 | 38 | ||||||
Medtronic, Inc. | 999 | 45 | ||||||
Microsoft Corp. | 3,039 | 83 | ||||||
News Corp., Class B | 1,331 | 39 | ||||||
NextEra Energy, Inc. | 522 | 38 | ||||||
Northrop Grumman Corp. | 463 | 30 | ||||||
Occidental Petroleum Corp. | 568 | 47 | ||||||
Oracle Corp. | 1,952 | 67 | ||||||
Patterson Cos., Inc. | 768 | 28 | ||||||
PepsiCo, Inc. | 737 | 56 | ||||||
Pfizer, Inc. | 5,399 | 149 | ||||||
Philip Morris International, Inc. | 726 | 67 | ||||||
Phillips 66 | 644 | 41 | ||||||
Praxair, Inc. | 341 | 39 | ||||||
Public Service Enterprise Group, Inc. | 1,141 | 37 | ||||||
Quest Diagnostics, Inc. | 413 | 23 | ||||||
Raytheon Co. | 566 | 31 | ||||||
Renaissancere Holdings Ltd. | 278 | 24 | ||||||
Reynolds American, Inc. | 1,282 | 56 | ||||||
Ross Stores, Inc. | 577 | 34 | ||||||
SCANA Corp. | 637 | 31 | ||||||
Schlumberger Ltd. | 668 | 52 | ||||||
SEI Investments Co. | 981 | 28 | ||||||
Sigma-Aldrich Corp. | 453 | 35 | ||||||
SLM Corp. | 1,710 | 32 | ||||||
Stryker Corp. | 623 | 40 | ||||||
Symantec Corp.A | 1,530 | 36 | ||||||
Sysco Corp. | 892 | 29 | ||||||
Target Corp. | 521 | 33 | ||||||
TJX Cos., Inc. | 724 | 33 | ||||||
U.S. Bancorp | 1,131 | 38 | ||||||
UnitedHealth Group, Inc. | 756 | 40 | ||||||
Verisk Analytics, Inc., Class AA | 512 | 30 | ||||||
Verizon Communications, Inc. | 1,372 | 64 | ||||||
Viacom, Inc., Class B | 591 | 35 | ||||||
Wal-Mart Stores, Inc. | 1,220 | 86 | ||||||
Wells Fargo & Co. | 2,001 | 71 | ||||||
Western Digital Corp. | 970 | 46 | ||||||
WR Berkley Corp. | 733 | 30 | ||||||
Xcel Energy, Inc. | 1,076 | 31 | ||||||
Xylem, Inc. | 877 | 24 | ||||||
|
| |||||||
Total Common Stocks | 4,162 | |||||||
|
| |||||||
Foreign Exchange Traded Funds - 0.03% |
| |||||||
iShares MSCI ACWI Index Fund | 5,000 | 249 | ||||||
|
| |||||||
Total United States | 4,411 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 4.27% |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 363,421 | 363 | ||||||
|
|
Shares | Fair Value | |||||
(000’s) | ||||||
TOTAL INVESTMENTS - 99.64% | $ | 8,471 | ||||
OTHER ASSETS, NET OF | 31 | |||||
|
| |||||
TOTAL NET ASSETS - 100.00% | $ | 8,502 | ||||
|
|
Percentages are stated as a percent of net assets.
A | Non-income producing security. |
B | ADR - American Depositary Receipt. |
C | REIT - Real Estate Investment Trust. |
D | Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $34 or 0.41% of net assets. The Fund has no right to demand registration of these securities. |
See accompanying notes |
16 |
American Beacon Zebra Global Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Futures Contracts Open on February 28, 2013 (000’s): | ||||||||||||||||||
Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||||
S&P 500 Mini E Index Future | Long | 3 | March, 2013 | $ | 227 | $ | 1 | |||||||||||
MSCI EAFE Mini Index | Long | 3 | March, 2013 | 249 | (2 | ) | ||||||||||||
|
|
|
| |||||||||||||||
$ | 476 | $ | (1 | ) | ||||||||||||||
|
|
|
|
See accompanying notes
17
American Beacon Zebra Small Cap Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
COMMON STOCK - 95.06% |
| |||||||
CONSUMER DISCRETIONARY - 13.43% |
| |||||||
Auto Components - 1.77% | ||||||||
Argan, Inc. | 414 | $ | 7 | |||||
Dorman Products, Inc. | 912 | 32 | ||||||
Sauer-Danfoss, Inc. | 949 | 51 | ||||||
Superior Industries International, Inc. | 782 | 17 | ||||||
Tower International, Inc.A | 809 | 10 | ||||||
|
| |||||||
117 | ||||||||
|
| |||||||
Automobiles - 0.98% | ||||||||
Federal-Mogul Corp.A | 3,896 | 31 | ||||||
Hyster-Yale Materials Handling, Inc. | 655 | 34 | ||||||
|
| |||||||
65 | ||||||||
|
| |||||||
Distributors - 0.66% | ||||||||
Core-Mark Holding Co., Inc. | 279 | 13 | ||||||
DXP Enterprises, Inc.A | 323 | 21 | ||||||
VOXX International Corp.A | 1,038 | 10 | ||||||
|
| |||||||
44 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.45% |
| |||||||
AFC Enterprises, Inc. | 448 | 13 | ||||||
Ameristar Casinos, Inc. | 1,346 | 36 | ||||||
Bob Evans Farms, Inc. | 335 | 14 | ||||||
Churchill Downs, Inc. | 397 | 27 | ||||||
Denny’s Corp.A | 2,264 | 13 | ||||||
Einstein Noah Restaurant Group, Inc. | 396 | 5 | ||||||
Interval Leisure Group, Inc. | 1,106 | 23 | ||||||
Isle of Capri Casinos, Inc.A | 1,101 | 7 | ||||||
Monarch Casino & Resort, Inc.A | 229 | 2 | ||||||
Speedway Motorsports, Inc. | 1,259 | 20 | ||||||
Town Sports International Holdings, Inc. | 261 | 2 | ||||||
|
| |||||||
162 | ||||||||
|
| |||||||
Household Durables - 1.71% | ||||||||
CSS Industries, Inc.B | 306 | 7 | ||||||
Flexsteel Industries, Inc. | 246 | 6 | ||||||
Helen of Troy Ltd A | 1,275 | 47 | ||||||
Libbey Glass, Inc.A | 703 | 13 | ||||||
Lifetime Brands, Inc. | 556 | 6 | ||||||
Matthews International Corp., Class A | 713 | 24 | ||||||
Universal Electronics, Inc.A | 505 | 10 | ||||||
|
| |||||||
113 | ||||||||
|
| |||||||
Internet & Catalog Retail - 1.01% |
| |||||||
Global Sources Ltd A | 1,762 | 14 | ||||||
Insight Enterprises, Inc.A | 2,027 | 39 | ||||||
Systemax, Inc. | 1,400 | 14 | ||||||
|
| |||||||
67 | ||||||||
|
| |||||||
Internet Software & Services - 0.05% |
| |||||||
Orbitz Worldwide, Inc.A | 724 | 3 | ||||||
|
| |||||||
Leisure Equipment & Products - 0.26% |
| |||||||
Johnson Outdoors, Inc., Class AA | 573 | 13 | ||||||
Steinway Musical Instruments, Inc. | 185 | 4 | ||||||
|
| |||||||
17 | ||||||||
|
| |||||||
Media - 2.59% | ||||||||
Courier Corp. | 143 | 2 | ||||||
CTC Media, Inc. | 6,099 | 58 | ||||||
Entercom Communications Corp., Class AA | 1,226 | 9 | ||||||
Fisher Communications, Inc. | 74 | 3 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
Gray Television, Inc.A | 1,572 | $ | 7 | |||||
Harte-Hanks, Inc. | 1,848 | 13 | ||||||
Journal Communications, Inc., Class AA | 1,273 | 7 | ||||||
LIN TV Corp., Class AA | 2,703 | 30 | ||||||
McClatchy Co., Class AA | 3,457 | 9 | ||||||
Saga Communications, Inc., Class A | 174 | 8 | ||||||
Sinclair Broadcast Group, Inc., Class A | 1,828 | 26 | ||||||
|
| |||||||
172 | ||||||||
|
| |||||||
Multiline Retail - 0.17% | ||||||||
Gordmans Stores, Inc.A | 329 | 4 | ||||||
Stein Mart, Inc. | 801 | 7 | ||||||
|
| |||||||
11 | ||||||||
|
| |||||||
Specialty Retail - 1.33% | ||||||||
America’s Car-Mart, Inc.A | 249 | 12 | ||||||
Big 5 Sporting Goods Corp. | 474 | 7 | ||||||
Destination XL Group, Inc.A | 639 | 3 | ||||||
PC Connection, Inc. | 1,178 | 17 | ||||||
Rush Enterprises, Inc., | 952 | 23 | ||||||
Shoe Carnival, Inc. | 453 | 9 | ||||||
West Marine, Inc.A | 768 | 10 | ||||||
Winmark Corp. | 113 | 7 | ||||||
|
| |||||||
88 | ||||||||
|
| |||||||
Textiles & Apparel - 0.45% | ||||||||
Culp, Inc.B | 410 | 6 | ||||||
Delta Apparel, Inc.A | 143 | 2 | ||||||
RG Barry Corp. | 371 | 5 | ||||||
Unifi, Inc.A | 627 | 11 | ||||||
Weyco Group, Inc. | 280 | 6 | ||||||
|
| |||||||
30 | ||||||||
|
| |||||||
Total Consumer Discretionary |
| 889 | ||||||
|
| |||||||
CONSUMER STAPLES - 5.05% |
| |||||||
Beverages - 0.41% | ||||||||
Coca-Cola Bottling Co. Consolidated | 149 | 10 | ||||||
National Beverage Corp. | 1,319 | 17 | ||||||
|
| |||||||
27 | ||||||||
|
| |||||||
Food & Drug Retailing - 1.33% |
| |||||||
Andersons, Inc. | 317 | 16 | ||||||
Ingles Markets, Inc., Class A | 504 | 10 | ||||||
Nash Finch Co. | 551 | 11 | ||||||
Seneca Foods Corp., | 138 | 4 | ||||||
Spartan Stores, Inc. | 655 | 11 | ||||||
Village Super Market, Inc., Class A | 200 | 7 | ||||||
Weis Markets, Inc. | 728 | 29 | ||||||
|
| |||||||
88 | ||||||||
|
| |||||||
Food Products - 1.88% | ||||||||
Alico, Inc. | 194 | 8 | ||||||
Cal-Maine Foods, Inc. | 471 | 19 | ||||||
Dole Food Co., Inc.A | 1,425 | 16 | ||||||
Fresh Del Monte Produce, Inc. | 1,670 | 44 | ||||||
J&J Snack Foods Corp. | 376 | 26 | ||||||
John B Sanfilippo & Son, Inc. | 370 | 7 | ||||||
SunOpta, Inc.A | 691 | 5 | ||||||
|
| |||||||
125 | ||||||||
|
| |||||||
Household Products - 0.23% | ||||||||
WD-40 Co. | 270 | 15 | ||||||
|
|
See accompanying notes
18
American Beacon Zebra Small Cap Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Personal Products - 1.12% | ||||||||
Female Health Co. | 379 | $ | 3 | |||||
Nature’s Sunshine Products, Inc. | 658 | 10 | ||||||
Revlon, Inc., Class AA | 1,735 | 38 | ||||||
Steiner Leisure Ltd. A | 488 | 23 | ||||||
|
| |||||||
74 | ||||||||
|
| |||||||
Tobacco - 0.08% | ||||||||
Alliance One International, Inc.A | 1,411 | 5 | ||||||
|
| |||||||
Total Consumer Staples | 334 | |||||||
|
| |||||||
ENERGY - 6.84% | ||||||||
Energy Equipment & Services - 0.97% |
| |||||||
Blueknight Energy Partners LPC | 449 | 3 | ||||||
Global Geophysical Services, Inc.A | 621 | 1 | ||||||
Gulf Island Fabrication, Inc. | 170 | 4 | ||||||
Matrix Service Co.A | 690 | 11 | ||||||
PAA Natural Gas Storage LPC | 1,135 | 24 | ||||||
Tesco Corp.A | 1,153 | 15 | ||||||
TGC Industries, Inc. | 586 | 6 | ||||||
|
| |||||||
64 | ||||||||
|
| |||||||
Oil & Gas - 5.87% | ||||||||
Adams Resources & Energy, Inc. | 216 | 9 | ||||||
Alon USA Energy, Inc. | 1,727 | 34 | ||||||
Arabian American Development Co.A | 587 | 4 | ||||||
Callon Petroleum Co.A | 2,815 | 15 | ||||||
Calumet Specialty Products Partners LPC | 701 | 27 | ||||||
Clayton Williams Energy, Inc.A | 497 | 20 | ||||||
Delek US Holdings, Inc. | 2,906 | 108 | ||||||
Eagle Rock Energy Partners LPC | 2,853 | 27 | ||||||
Legacy Reserves LPC | 1,676 | 44 | ||||||
North European Oil Royalty TrustD | 322 | 8 | ||||||
NuStar GP Holdings LLCE | 359 | 11 | ||||||
Pioneer Southwest Energy Partners LPC | 1,723 | 41 | ||||||
Sabine Royalty TrustD | 434 | 20 | ||||||
Saratoga Resources, Inc.A | 1,711 | 5 | ||||||
Synergy Resources Corp.A | 1,965 | 13 | ||||||
Warren Resources, Inc.A | 1,235 | 3 | ||||||
|
| |||||||
389 | ||||||||
|
| |||||||
Total Energy | 453 | |||||||
|
| |||||||
FINANCIALS - 28.05% | ||||||||
Banks - 14.25% | ||||||||
1st Source Corp. | 481 | 11 | ||||||
Alliance Financial Corp. | 44 | 2 | ||||||
American National Bankshares, Inc. | 180 | 4 | ||||||
Ames National Corp. | 82 | 2 | ||||||
Arrow Financial Corp. | 246 | 6 | ||||||
Bancfirst Corp. | 307 | 12 | ||||||
Banco Latinoamericano de Comercio Exterior S.A. | 651 | 16 | ||||||
Bancorp, Inc.A | 420 | 5 | ||||||
Bank of Kentucky Financial Corp.B | 76 | 2 | ||||||
Bank of Marin Bancorp | 112 | 4 | ||||||
Bar Harbor Bankshares | 35 | 1 | ||||||
BBCN Bancorp, Inc. | 1,362 | 17 | ||||||
Beneficial Mutual Bancorp, Inc.A | 761 | 7 | ||||||
Berkshire Hills Bancorp, Inc. | 491 | 12 | ||||||
BofI Holding, Inc.A | 279 | 9 | ||||||
Bridge Bancorp, Inc. | 166 | 3 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
Bridge Capital HoldingsA | 87 | $ | 1 | |||||
Brookline Bancorp, Inc. | 521 | 5 | ||||||
Bryn Mawr Bank Corp. | 260 | 6 | ||||||
C&F Financial Statutory Trust IB | 82 | 3 | ||||||
Camden National Corp. | 190 | 6 | ||||||
Cardinal Financial Corp. | 629 | 10 | ||||||
Cathay General Bancorp | 1,246 | 24 | ||||||
Center Bancorp, Inc.B | 145 | 2 | ||||||
Central Pacific Financial Corp.A | 766 | 12 | ||||||
Chemical Financial Corp. | 503 | 12 | ||||||
Citizens & Northern Corp. | 291 | 6 | ||||||
Citizens Republic Bancorp, Inc.A | 344 | 7 | ||||||
City Holding Co. | 242 | 9 | ||||||
Clifton Savings Bancorp, Inc. | 182 | 2 | ||||||
CNB Financial Corp. | 261 | 4 | ||||||
CoBiz Financial, Inc. | 957 | 8 | ||||||
CTBI Preferred Capital Trust III | 324 | 11 | ||||||
Dime Community Bancshares, Inc. | 801 | 11 | ||||||
Eagle Bancorp, Inc.A | 393 | 9 | ||||||
Enterprise Financial Services Corp. | 475 | 7 | ||||||
ESB Financial Corp. | 321 | 4 | ||||||
Financial Institutions, Inc. | 331 | 7 | ||||||
First Bancorp, Inc. | 77 | 1 | ||||||
First Busey Corp. | 1,337 | 6 | ||||||
First Citizens BancShares, Inc., Class A | 165 | 30 | ||||||
First Community Bancshares, Inc.B | 433 | 7 | ||||||
First Defiance Financial Corp. | 225 | 5 | ||||||
First Financial Bancorp | 901 | 14 | ||||||
First Financial Bankshares, Inc. | 459 | 20 | ||||||
First Financial Corp. | 261 | 8 | ||||||
First Interstate Bancsystem, Inc. | 304 | 6 | ||||||
First Merchants Corp. | 410 | 6 | ||||||
First of Long Island Corp. | 195 | 6 | ||||||
Flushing Financial Corp. | 651 | 10 | ||||||
German American Bancorp, Inc. | 259 | 6 | ||||||
Glacier Bancorp, Inc. | 503 | 9 | ||||||
Great Southern Bancorp, Inc. | 202 | 5 | ||||||
Hanmi Financial Corp.A | 627 | 11 | ||||||
Heritage Financial Corp. | 90 | 1 | ||||||
Home Bancshares, Inc. | 443 | 15 | ||||||
Horizon Bancorp | 223 | 5 | ||||||
Hudson Valley Holding Corp. | 102 | 2 | ||||||
Independent Bank Corp. | 394 | 12 | ||||||
International Bancshares Corp. | 1,217 | 25 | ||||||
Investors Bancorp, Inc. | 704 | 12 | ||||||
Kearny Financial Corp.B | 468 | 5 | ||||||
Lakeland Bancorp, Inc. | 499 | 5 | ||||||
Lakeland Financial Corp. | 302 | 7 | ||||||
MainSource Financial Group, Inc. | 464 | 6 | ||||||
MB Financial, Inc. | 829 | 20 | ||||||
Mercantile Bank Corp. | 330 | 5 | ||||||
Merchants Bancshares, Inc. | 61 | 2 | ||||||
Meridian Interstate Bancorp, Inc.A | 254 | 5 | ||||||
MetroCorp Bancshares, Inc.A | 131 | 1 | ||||||
National Bankshares, Inc. | 145 | 5 | ||||||
National Penn Bancshares, Inc. | 2,114 | 21 | ||||||
NBT Bancorp, Inc. | 631 | 13 | ||||||
Northrim BanCorp, Inc.B | 59 | 1 | ||||||
OceanFirst Financial Corp. | 402 | 6 | ||||||
PacWest Bancorp | 554 | 15 |
See accompanying notes
19
American Beacon Zebra Small Cap Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Park National Corp. | 213 | $ | 14 | |||||
Penns Woods Bancorp, Inc. | 35 | 1 | ||||||
Peoples Bancorp, Inc. | 217 | 5 | ||||||
Preferred BankA | 412 | 7 | ||||||
Provident Financial Holdings, Inc. | 119 | 2 | ||||||
Provident Financial Services, Inc. | 487 | 7 | ||||||
Provident New York Bancorp | 580 | 5 | ||||||
Renasant Corp. | 370 | 8 | ||||||
S&T Bancorp, Inc. | 468 | 8 | ||||||
Sandy Spring Bancorp, Inc. | 469 | 9 | ||||||
SCBT Financial Corp. | 211 | 10 | ||||||
Simmons First National Corp., Class A | 252 | 6 | ||||||
Southside Bancshares, Inc. | 390 | 8 | ||||||
StellarOne Corp. | 307 | 5 | ||||||
Sterling Bancorp | 445 | 5 | ||||||
Sterling Financial Corp. | 1,953 | 42 | ||||||
SY Bancorp, Inc. | 277 | 6 | ||||||
Taylor Capital Group, Inc.A | 479 | 8 | ||||||
Territorial Bancorp, Inc. | 158 | 4 | ||||||
Tompkins Financial Corp. | 208 | 9 | ||||||
TowneBank | 490 | 7 | ||||||
Trico Bancshares | 117 | 2 | ||||||
Trustco Bank Corp NY | 1,620 | 8 | ||||||
Trustmark Corp. | 889 | 20 | ||||||
Union First Market Bankshares Corp. | 482 | 9 | ||||||
United Community Banks, Inc.A | 414 | 4 | ||||||
United Financial Bancorp, Inc. | 203 | 3 | ||||||
Univest Corp of Pennsylvania | 295 | 5 | ||||||
ViewPoint Financial Group, Inc. | 465 | 10 | ||||||
Virginia Commerce Bancorp, Inc.A | 644 | 9 | ||||||
Washington Banking Co. | 142 | 2 | ||||||
Washington Federal, Inc. | 1,788 | 32 | ||||||
Washington Trust Bancorp, Inc. | 331 | 9 | ||||||
WesBanco, Inc. | 565 | 13 | ||||||
West Bancorporation, Inc. | 141 | 2 | ||||||
West Coast Bancorp | 156 | 4 | ||||||
Wilshire Bancorp, Inc.A | 1,907 | 11 | ||||||
WSFS Financial Corp. | 148 | 7 | ||||||
|
| |||||||
944 | ||||||||
|
| |||||||
Diversified Financials - 7.03% | ||||||||
Asset Acceptance Capital Corp. | 1,135 | 6 | ||||||
Asta Funding, Inc. | 217 | 2 | ||||||
Calamos Asset Management, Inc., Class A | 153 | 2 | ||||||
Cass Information Systems, Inc. | 288 | 12 | ||||||
CBIZ, Inc.A | 1,506 | 10 | ||||||
Diamond Hill Investment Group, Inc. | 51 | 4 | ||||||
Encore Capital Group, Inc.A | 896 | 26 | ||||||
Epoch Holding Corp. | 291 | 8 | ||||||
Euronet Worldwide, Inc.A | 1,075 | 26 | ||||||
EZCORP, Inc., Class AA | 641 | 13 | ||||||
Federal Agricultural Mortgage Corp., Class C | 197 | 7 | ||||||
First BanCorpA | 1,275 | 7 | ||||||
GAMCO Investors, Inc., Class A | 97 | 5 | ||||||
Generac Holdings, Inc. | 1,950 | 67 | ||||||
GFI Group, Inc. | 1,712 | 6 | ||||||
Heartland Financial USA, Inc. | 359 | 8 | ||||||
Intl FCStone, Inc.A | 317 | 6 | ||||||
MidWestOne Financial Group, Inc. | 208 | 5 | ||||||
Nelnet, Inc., Class A | 1,542 | 51 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
NewStar Financial, Inc.A | 601 | $ | 8 | |||||
Nicholas Financial, Inc. | 415 | 6 | ||||||
Northfield Bancorp, Inc. | 530 | 6 | ||||||
Och-Ziff Capital Management Group LLC, Class AE | 10,896 | 100 | ||||||
Portfolio Recovery Associates, Inc. | 408 | 48 | ||||||
Rockville Financial, Inc. | 361 | 5 | ||||||
Safeguard Scientifics, Inc.A | 201 | 3 | ||||||
Texas Pacific Land TrustD | 110 | 6 | ||||||
TICC Capital Corp.B F | 713 | 7 | ||||||
Westwood Holdings Group, Inc. | 126 | 5 | ||||||
|
| |||||||
465 | ||||||||
|
| |||||||
Insurance - 5.53% | ||||||||
AMERISAFE, Inc. | 255 | 8 | ||||||
Amtrust Financial Services, Inc. | 824 | 27 | ||||||
Argo Group International Holdings Ltd. | 360 | 14 | ||||||
Baldwin & Lyons, Inc., Class B | 134 | 3 | ||||||
Crawford & Co., Class B | 773 | 6 | ||||||
Donegal Group, Inc., Class A | 255 | 4 | ||||||
EMC Insurance Group, Inc. | 243 | 6 | ||||||
Greenlight Capital Re Ltd , Class AA | 972 | 23 | ||||||
Homeowners Choice, Inc. | 1,692 | 35 | ||||||
Horace Mann Educators Corp. | 864 | 18 | ||||||
Infinity Property & Casualty Corp. | 131 | 7 | ||||||
Kansas City Life Insurance Co. | 267 | 10 | ||||||
Kemper Corp. | 377 | 12 | ||||||
Maiden Capital Financing TrustB | 2,058 | 21 | ||||||
National Interstate Corp. | 359 | 12 | ||||||
National Western Life Insurance Co., Class A | 104 | 17 | ||||||
Navigators Group, Inc.A | 219 | 12 | ||||||
Phoenix Co. Inc.A | 119 | 3 | ||||||
Primerica, Inc. | 1,119 | 36 | ||||||
Safety Insurance Group, Inc. | 261 | 12 | ||||||
Selective Insurance Group, Inc. | 596 | 13 | ||||||
State Auto Financial Corp. | 171 | 3 | ||||||
Symetra Financial Corp. | 3,285 | 44 | ||||||
Tower Group, Inc. | 341 | 6 | ||||||
United Fire Group, Inc. | 412 | 10 | ||||||
Universal Insurance Holdings, Inc. | 976 | 4 | ||||||
|
| |||||||
366 | ||||||||
|
| |||||||
Real Estate - 1.24% | ||||||||
HFF, Inc., Class A | 232 | 4 | ||||||
KKR Financial Holdings LLCE | 7,042 | 78 | ||||||
|
| |||||||
82 | ||||||||
|
| |||||||
Total Financials | 1,857 | |||||||
|
| |||||||
HEALTH CARE - 4.94% | ||||||||
Biotechnology - 1.18% | ||||||||
PDL BioPharma, Inc. | 8,705 | 63 | ||||||
Sciclone Pharmaceuticals, Inc.A | 2,385 | 11 | ||||||
SIGA Technologies, Inc.A | 979 | 4 | ||||||
|
| |||||||
78 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 0.98% |
| |||||||
Atrion Corp. | 49 | 10 | ||||||
CONMED Corp. | 598 | 18 | ||||||
Exactech, Inc.A | 281 | 5 | ||||||
Given Imaging Ltd. | 455 | 7 | ||||||
Nutraceutical International Corp. | 418 | 7 |
See accompanying notes
20
American Beacon Zebra Small Cap Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Orthofix International N.V.A | 476 | $ | 18 | |||||
|
| |||||||
65 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.76% |
| |||||||
Amsurg Corp.A | 753 | 23 | ||||||
Carriage Services, Inc. | 539 | 10 | ||||||
Corvel Corp.A | 233 | 11 | ||||||
Ensign Group, Inc. | 643 | 20 | ||||||
Gentiva Health Services, Inc. | 2,601 | 27 | ||||||
National Healthcare Corp. | 403 | 19 | ||||||
Select Medical Holdings Corp. | 4,523 | 41 | ||||||
Stewart Enterprises, Inc., Class A | 1,637 | 14 | ||||||
Triple-S Management Corp., Class BA | 649 | 12 | ||||||
US Physical Therapy, Inc. | 245 | 6 | ||||||
|
| |||||||
183 | ||||||||
|
| |||||||
Pharmaceuticals - 0.02% | ||||||||
Acura Pharmaceuticals, Inc.A | 604 | 1 | ||||||
|
| |||||||
Total Health Care | 327 | |||||||
|
| |||||||
INDUSTRIALS - 20.10% | ||||||||
Aerospace & Defense - 1.47% | ||||||||
Astronics Corp. | 210 | 6 | ||||||
Astronics Corp., Class B | 31 | 1 | ||||||
Cubic Corp. | 584 | 24 | ||||||
LMI Aerospace, Inc.A | 411 | 9 | ||||||
Moog, Inc., Class AA | 1,204 | 54 | ||||||
Sparton Corp. | 201 | 3 | ||||||
|
| |||||||
97 | ||||||||
|
| |||||||
Air Freight & Couriers - 0.80% | ||||||||
Air Transport Services Group, Inc.A | 3,690 | 20 | ||||||
UTi Worldwide, Inc. | 2,161 | 33 | ||||||
|
| |||||||
53 | ||||||||
|
| |||||||
Airlines - 0.74% | ||||||||
Hawaiian Holdings, Inc.A | 3,418 | 19 | ||||||
Republic Airways Holdings, Inc.A | 3,106 | 30 | ||||||
|
| |||||||
49 | ||||||||
|
| |||||||
Building Products - 0.23% | ||||||||
AAON, Inc. | 443 | 10 | ||||||
Patrick Industries, Inc.A B | 354 | 5 | ||||||
|
| |||||||
15 | ||||||||
|
| |||||||
Commercial Services & Supplies - 4.63% |
| |||||||
Aceto Corp. | 713 | 7 | ||||||
CDI Corp. | 377 | 6 | ||||||
CRA International, Inc.A | 140 | 3 | ||||||
CSG Systems International, Inc.A B | 1,005 | 20 | ||||||
Education Management Corp.A | 4,067 | 14 | ||||||
Electro Rent Corp. | 513 | 8 | ||||||
Ennis, Inc. | 739 | 12 | ||||||
G&K Services, Inc., Class A | 456 | 19 | ||||||
GP Strategies Corp.A | 412 | 9 | ||||||
Heritage-Crystal Clean, Inc.A | 128 | 2 | ||||||
Intersections, Inc. | 580 | 6 | ||||||
Kforce, Inc. | 466 | 7 | ||||||
Marlin Business Services Corp. | 171 | 3 | ||||||
McGrath Rentcorp | 680 | 20 | ||||||
Monotype Imaging Holdings, Inc. | 772 | 16 | ||||||
Multi-Color Corp. | 525 | 13 | ||||||
National Research Corp. | 125 | 7 | ||||||
PHI, Inc.A | 102 | 3 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
Providence Service Corp.A | 160 | $ | 3 | |||||
Schawk, Inc. | 626 | 7 | ||||||
Standard Parking Corp.A | 361 | 7 | ||||||
TeleTech Holdings, Inc.A | 1,666 | 31 | ||||||
Tetra Tech, Inc.A | 760 | 22 | ||||||
TRC Co. Inc.A | 1,037 | 7 | ||||||
United Stationers Supply Co. | 1,266 | 47 | ||||||
VSE Corp. | 356 | 8 | ||||||
|
| |||||||
307 | ||||||||
|
| |||||||
Construction & Engineering - 1.33% |
| |||||||
Aegion Corp.A | 528 | 13 | ||||||
Michael Baker Corp. | 266 | 6 | ||||||
Primoris Services Corp. | 1,690 | 32 | ||||||
Tutor Perini Corp. | 2,197 | 37 | ||||||
|
| |||||||
88 | ||||||||
|
| |||||||
Electrical Equipment - 1.39% | ||||||||
Chase Corp. | 271 | 5 | ||||||
Coleman Cable, Inc. | 923 | 9 | ||||||
Encore Wire Corp. | 510 | 17 | ||||||
Franklin Electric Co., Inc. | 435 | 27 | ||||||
Houston Wire & Cable Co. | 565 | 7 | ||||||
Powell Industries, Inc.A | 137 | 8 | ||||||
Preformed Line Products Co. | 235 | 17 | ||||||
Vicor Corp. | 346 | 2 | ||||||
|
| |||||||
92 | ||||||||
|
| |||||||
Industrial Conglomerates - 1.80% |
| |||||||
ICF International, Inc.A | 600 | 15 | ||||||
Park-Ohio Industries, Inc.A | 844 | 17 | ||||||
Raven Industries, Inc. | 641 | 18 | ||||||
Standex International Corp. | 330 | 18 | ||||||
Trimas Corp.A | 1,140 | 33 | ||||||
US Ecology, Inc. | 332 | 8 | ||||||
Viasystems Group, Inc.A | 725 | 10 | ||||||
|
| |||||||
119 | ||||||||
|
| |||||||
Machinery - 3.40% | ||||||||
Alamo Group, Inc. | 356 | 13 | ||||||
Altra Holdings, Inc. | 743 | 19 | ||||||
American Railcar Industries, Inc. | 561 | 24 | ||||||
Ampco-Pittsburgh Corp. | 154 | 3 | ||||||
Columbus McKinnon Corp.A | 712 | 14 | ||||||
Commercial Vehicle Group, Inc.A | 1,746 | 14 | ||||||
Dynamic Materials Corp. | 140 | 2 | ||||||
Gorman-Rupp Co. | 396 | 11 | ||||||
Hardinge, Inc. | 509 | 7 | ||||||
Hollysys Automation Technologies Ltd.A | 2,342 | 30 | ||||||
Hurco Cos., Inc.A | 235 | 7 | ||||||
Kadant, Inc. | 184 | 5 | ||||||
L.B. Foster Co., Class A | 335 | 15 | ||||||
Lydall, Inc.A | 413 | 6 | ||||||
NACCO Industries, Inc., Class A | 292 | 17 | ||||||
RBC Bearings, Inc.A | 428 | 21 | ||||||
Sun Hydraulics Corp. | 617 | 17 | ||||||
|
| |||||||
225 | ||||||||
|
| |||||||
Marine - 2.06% | ||||||||
CAI International, Inc.A | 1,059 | 29 | ||||||
Martin Midstream Partners LPC | 187 | 6 | ||||||
Navios Maritime Holdings, Inc. | 4,617 | 17 | ||||||
Safe Bulkers, Inc. | 5,729 | 23 | ||||||
Ship Finance International Ltd. | 2,722 | 47 |
See accompanying notes
21
American Beacon Zebra Small Cap Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
StealthGas, Inc.A | 1,340 | $ | 14 | |||||
|
| |||||||
136 | ||||||||
|
| |||||||
Road & Rail - 1.06% | ||||||||
Marten Transport Ltd. | 604 | 13 | ||||||
Patriot Transportation Holding, Inc.A | 86 | 2 | ||||||
Quality Distribution, Inc.A | 1,394 | 11 | ||||||
Roadrunner Transportation Systems, Inc.A | 306 | 7 | ||||||
Saia, Inc.A | 431 | 14 | ||||||
TravelCenters of America LLCA | 2,145 | 14 | ||||||
Universal Truckload Services, Inc. | 493 | 9 | ||||||
|
| |||||||
70 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.83% |
| |||||||
Textainer Group Holdings Ltd. | 1,366 | 55 | ||||||
|
| |||||||
Transportation Infrastructure - 0.36% |
| |||||||
Macquarie Infrastructure Co. LLCE | 462 | 24 | ||||||
|
| |||||||
Total Industrials | 1,330 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 10.58% |
| |||||||
Communications Equipment - 1.09% |
| |||||||
Aware, Inc. | 453 | 2 | ||||||
Black Box Corp. | 595 | 14 | ||||||
CalAmp Corp.A | 295 | 3 | ||||||
Globecomm Systems, Inc.A | 252 | 3 | ||||||
Mitel Networks Corp.A | 3,819 | 14 | ||||||
Symmetricom, Inc.A | 969 | 5 | ||||||
Verint Systems, Inc.A | 865 | 31 | ||||||
|
| |||||||
72 | ||||||||
|
| |||||||
Computers & Peripherals - 0.85% |
| |||||||
Cray, Inc.A | 1,031 | 20 | ||||||
Electronics for Imaging, Inc.A | 1,035 | 24 | ||||||
Super Micro Computer, Inc.A | 1,035 | 12 | ||||||
|
| |||||||
56 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 3.87% |
| |||||||
AVX Corp. | 3,258 | 37 | ||||||
Coherent, Inc. | 557 | 32 | ||||||
ePlus, Inc. | 292 | 13 | ||||||
Littelfuse, Inc. | 539 | 35 | ||||||
Measurement Specialties, Inc.A | 343 | 12 | ||||||
Methode Electronics, Inc. | 426 | 6 | ||||||
MTS Systems Corp. | 461 | 25 | ||||||
Multi-Fineline Electronix, Inc.A | 629 | 10 | ||||||
Orbotech Ltd. | 1,409 | 14 | ||||||
Sanmina Corp.A | 1,734 | 18 | ||||||
Scansource, Inc.A | 862 | 26 | ||||||
Sypris Solutions, Inc. | 883 | 4 | ||||||
Tessco Technologies, Inc. | 244 | 6 | ||||||
TTM Technologies, Inc.A | 1,391 | 11 | ||||||
Zygo Corp.A | 488 | 7 | ||||||
|
| |||||||
256 | ||||||||
|
| |||||||
Internet Software & Services - 0.42% |
| |||||||
Perficient, Inc.A | 733 | 8 | ||||||
United Online, Inc. | 3,385 | 20 | ||||||
|
| |||||||
28 | ||||||||
|
| |||||||
IT Consulting & Services - 1.30% | ||||||||
Computer Task Group, Inc. | 406 | 8 | ||||||
Exponent, Inc. | 240 | 12 | ||||||
iGATE Corp.A | 1,418 | 27 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
Lionbridge TechnologiesA | 1,616 | $ | 6 | |||||
Sykes Enterprises, Inc.A | 1,258 | 19 | ||||||
Virtusa Corp.A | 653 | 14 | ||||||
|
| |||||||
86 | ||||||||
|
| |||||||
Semiconductor Equipment & Products - 2.40% |
| |||||||
Alpha & Omega Semiconductor Ltd.A | 670 | 5 | ||||||
Amkor Technology, Inc.A | 3,976 | 16 | ||||||
Brooks Automation, Inc. | 764 | 8 | ||||||
GSI Group, Inc.A | 897 | 9 | ||||||
Integrated Silicon Solution, Inc.A | 1,531 | 13 | ||||||
IXYS Corp. | 1,098 | 11 | ||||||
Magnachip Semiconductor Corp.A | 1,332 | 21 | ||||||
Microsemi Corp. | 2,399 | 49 | ||||||
Nova Measuring Instruments Ltd.A | 793 | 7 | ||||||
PDF Solutions, Inc.A | 504 | 8 | ||||||
Rudolph Technologies, Inc.AB | 430 | 5 | ||||||
Tower Semiconductor Ltd. | 988 | 7 | ||||||
|
| |||||||
159 | ||||||||
|
| |||||||
Software - 0.65% | ||||||||
Actuate Corp.A | 589 | 4 | ||||||
American Software, Inc., Class A | 231 | 2 | ||||||
EPIQ Systems, Inc.B | 729 | 9 | ||||||
Magic Software Enterprises Ltd. | 1,338 | 6 | ||||||
Net 1 UEPS Technologies, Inc.A | 2,252 | 13 | ||||||
Telenav, Inc.A | 1,283 | 9 | ||||||
|
| |||||||
43 | ||||||||
|
| |||||||
Total Information Technology |
| 700 | ||||||
|
| |||||||
MATERIALS - 4.37% | ||||||||
Chemicals - 2.79% | ||||||||
A Schulman Europe GmbH | 895 | 28 | ||||||
FutureFuel Corp. | 1,434 | 19 | ||||||
Hawkins, Inc. | 206 | 8 | ||||||
Innospec, Inc. | 874 | 35 | ||||||
KMG Chemicals, Inc. | 307 | 6 | ||||||
Landec Corp.A | 596 | 7 | ||||||
NL Industries, Inc. | 2,587 | 33 | ||||||
OMNOVA Solutions, Inc.A | 1,373 | 11 | ||||||
Stepan Co. | 559 | 34 | ||||||
Zep, Inc. | 260 | 4 | ||||||
|
| |||||||
185 | ||||||||
|
| |||||||
Construction Materials - 0.14% |
| |||||||
United States Lime & Minerals, Inc.A | 165 | 9 | ||||||
|
| |||||||
Containers & Packaging - 0.14% |
| |||||||
AEP Industries, Inc.A | 134 | 9 | ||||||
|
| |||||||
Metals & Mining - 1.19% | ||||||||
Gibraltar Industries, Inc.A | 625 | 11 | ||||||
Metals USA Holdings Corp. | 1,523 | 31 | ||||||
MFC Industrial Ltd. | 1,227 | 12 | ||||||
NN, Inc.A | 826 | 7 | ||||||
Noranda Aluminum Holding Corp. | 2,021 | 10 | ||||||
Olympic Steel, Inc. | 393 | 8 | ||||||
|
| |||||||
79 | ||||||||
|
| |||||||
Paper & Forest Products - 0.11% |
| |||||||
Mercer International, Inc.A | 909 | 7 | ||||||
|
| |||||||
Total Materials | 289 | |||||||
|
|
See accompanying notes 22 |
American Beacon Zebra Small Cap Equity FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
TELECOMMUNICATION |
| |||||||
Diversified Telecommunication |
| |||||||
Atlantic Tele-Network, Inc. | 361 | $ | 17 | |||||
Shenandoah Telecommunications Co. | 395 | 6 | ||||||
|
| |||||||
23 | ||||||||
|
| |||||||
Wireless Telecommunication Services - 0.41% |
| |||||||
Iridium Communications, Inc.A | 2,442 | 15 | ||||||
USA Mobility, Inc. | 1,055 | 12 | ||||||
|
| |||||||
27 | ||||||||
|
| |||||||
Total Telecommunication Services |
| 50 | ||||||
|
| |||||||
UTILITIES - 0.94% | ||||||||
Electric Utilities - 0.67% | ||||||||
MGE Energy, Inc. | 473 | 25 | ||||||
Otter Tail Corp. | 336 | 10 | ||||||
Pike Electric Corp. | 650 | 9 | ||||||
|
| |||||||
44 | ||||||||
|
| |||||||
Water Utilities - 0.27% | ||||||||
Connecticut Water Co. | 143 | 4 | ||||||
Middlesex Water Co. | 263 | 5 | ||||||
SJW Corp. | 332 | 9 | ||||||
|
| |||||||
18 | ||||||||
|
| |||||||
Total Utilities | 62 | |||||||
|
| |||||||
Total Common Stock |
| 6,291 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 285,526 | 286 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.38% |
| 6,577 | ||||||
OTHER ASSETS, NET OF |
| 41 | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 6,618 | |||||
|
|
Percentages are stated as a percent of net assets.
A | Non-income producing security. |
B | Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $100 or 1.51% of net assets. The Fund has no right to demand registration of these securities. |
C | Limited Partnership. |
D | Royalty Trust. |
E | Limited Liability Company. |
F | Business Development Company. |
Futures Contracts Open on February 28, 2013 (000’s): | ||||||||||||||||
Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Russell 2000 Mini Index Future | Long | 3 | March, 2013 | $ | 273 | $ | 0 | |||||||||
|
|
|
| |||||||||||||
$ | 273 | $ | 0 | |||||||||||||
|
|
|
|
See accompanying notes
23
American Beacon SiM High Yield Opportunities FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
COMMON STOCKS - 1.57% (Cost $6,028) | ||||||||
FINANCIALS- 1.57% | ||||||||
Real Estate - 1.57% | ||||||||
Omega Healthcare Investors, Inc.A | 271,000 | $ | 7,585 | |||||
|
| |||||||
PREFERRED STOCKS - 3.32% (Cost $12,791) | ||||||||
TRANSPORTATION- 3.32% | ||||||||
Airlines - 3.32% | ||||||||
Continental Airlines Finance Trust II, 6.00%, 11/15/2030 | 374,250 | 16,046 | ||||||
|
| |||||||
Par AmountD | ||||||||
(000’s) | ||||||||
CORPORATE OBLIGATIONS - 68.13% | ||||||||
Consumer - 5.80% | ||||||||
Constellation Brands, Inc., 6.00%, Due 5/1/2022 | $ | 6,500 | 7,101 | |||||
North Atlantic Trading Co., | ||||||||
11.50%, Due 7/15/2016B | 4,060 | 4,273 | ||||||
19.00%, Due 1/15/2017B | 7,800 | 8,717 | ||||||
Simmons Foods, Inc., 10.50%, Due 11/1/2017B | 8,110 | 7,948 | ||||||
|
| |||||||
28,039 | ||||||||
|
| |||||||
Finance - 0.66% | ||||||||
Omega Healthcare Investors, Inc., 5.875%, Due 3/15/2024 | 3,000 | 3,188 | ||||||
|
| |||||||
Manufacturing - 4.97% | ||||||||
ADS Tactical, Inc., 11.00%, Due 4/1/2018B | 11,750 | 11,911 | ||||||
Desarrolladora Homex SAB de CV, 9.75%, Due 3/25/2020B | 4,000 | 3,760 | ||||||
Ducommun, Inc., 9.75%, Due 7/15/2018 | 7,640 | 8,366 | ||||||
|
| |||||||
24,037 | ||||||||
|
| |||||||
Service - 35.33% | ||||||||
Alliance HealthCare Services, Inc., 8.00%, Due 12/1/2016 | 10,700 | 9,991 | ||||||
Ceridian Corp., 11.25%, Due 11/15/2015 | 6,500 | 6,663 | ||||||
CityCenter Holdings LLC, 10.75%, Due 1/15/2017C | 4,365 | 4,823 | ||||||
DaVita, Inc., 5.75%, Due 8/15/2022 | 13,000 | 13,552 | ||||||
Global Generations Merger Sub, Inc., 11.00%, Due 12/15/2020B | 11,500 | 12,391 | ||||||
Griffey Intermediate Inc., 7.00%, Due 10/15/2020B | 11,305 | 11,475 | ||||||
HCA, Inc., 7.50%, Due 2/15/2022 | 11,700 | 13,454 | ||||||
Interface Security Systems Holdings, Inc., 9.25%, Due 1/15/2018B | 10,000 | 10,175 | ||||||
Kindred Healthcare, Inc., 8.25%, Due 6/1/2019 | 10,940 | 10,872 | ||||||
Live Nation Entertainment, Inc., 7.00%, Due 9/1/2020B | 6,750 | 7,239 | ||||||
MGM Resorts International, 7.75%, Due 3/15/2022 | 7,000 | 7,691 | ||||||
Nord Anglia Education UK Holdings plc, 10.25%, Due 4/1/2017B | 12,250 | 13,597 | ||||||
Nord Anglia Education, Inc., 8.50%, Due 2/15/2018B | 2,000 | 1,985 | ||||||
Sabre Holdings Corp., 8.35%, Due 3/15/2016 | 7,000 | 7,595 | ||||||
Southern Graphics, Inc., 8.375%, Due 10/15/2020B | 9,000 | 9,338 | ||||||
Tenet Healthcare Corp., 8.00%, Due 8/1/2020 | 7,730 | 8,445 | ||||||
Univision Communications, Inc., 6.75%, Due 9/15/2022B | 10,250 | 11,070 | ||||||
Wynn Las Vegas LLC, 5.375%, Due 3/15/2022C | 10,000 | 10,513 | ||||||
|
| |||||||
170,869 | ||||||||
|
| |||||||
Telecommunications - 8.34% | ||||||||
DigitalGlobe, Inc., 5.25%, Due 2/1/2021B | 11,250 | 11,166 | ||||||
Goodman Networks, Inc., 13.125%, Due 7/1/2018B | 4,300 | 4,773 | ||||||
Lynx II Corp., 6.375%, Due 4/15/2023B | 12,000 | 12,434 | ||||||
Satmex Escrow SA de CV, 9.50%, Due 5/15/2017 | 11,500 | 11,960 | ||||||
|
| |||||||
40,333 | ||||||||
|
| |||||||
Transportation - 5.61% | ||||||||
NESCO LLC, 11.75%, Due 4/15/2017B C | 9,500 | 10,426 | ||||||
Quality Distribution LLC, 9.875%, Due 11/1/2018C | 3,450 | 3,778 | ||||||
Syncreon Global Ireland Ltd., 9.50%, Due 5/1/2018B | 12,210 | 12,943 | ||||||
|
| |||||||
27,147 | ||||||||
|
|
See accompanying notes
24
American Beacon SiM High Yield Opportunities FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Par AmountD | Fair Value | |||||||||
(000’s) | (000’s) | |||||||||
Utility - 7.42% | ||||||||||
Calpine Corp., 7.875%, Due 1/15/2023B | $ | 10,850 | $ | 12,016 | ||||||
Energy Future Intermediate Holding Co. LLC, 10.00%, Due 12/1/2020C | 3,650 | 4,143 | ||||||||
GenOn Americas Generation LLC, 9.125%, Due 5/1/2031C | 3,000 | 3,338 | ||||||||
NRG Energy, Inc., | ||||||||||
8.25%, Due 9/1/2020 | 5,700 | 6,448 | ||||||||
7.875%, Due 5/15/2021 | 2,000 | 2,245 | ||||||||
6.625%, Due 3/15/2023B | 500 | 533 | ||||||||
Saratoga Resources, Inc., 12.50%, Due 7/1/2016 | 7,015 | 7,191 | ||||||||
|
| |||||||||
35,914 | ||||||||||
|
| |||||||||
Total Corporate Obligations (Cost $318,154) | 329,527 | |||||||||
|
| |||||||||
FOREIGN CONVERTIBLE OBLIGATIONS - 3.87% | ||||||||||
Consumer - 3.21% | ||||||||||
Marine Harvest ASA, 4.50%, Due 2/23/2015 | EUR | 1,500 | 2,472 | |||||||
Pescanova S.A., | ||||||||||
5.125%, Due 4/20/2017 | EUR | 4,950 | 6,617 | |||||||
8.75%, Due 2/17/2019 | EUR | 4,500 | 6,477 | |||||||
|
| |||||||||
15,566 | ||||||||||
|
| |||||||||
Service - 0.66% | ||||||||||
Rexlot Holdings Ltd., 6.00%, Due 9/28/2016 | HKD | 20,000 | 3,175 | |||||||
|
| |||||||||
Total Foreign Convertible Obligations (Cost $16,908) | 18,741 | |||||||||
|
| |||||||||
FOREIGN OBLIGATIONS - 15.66% | ||||||||||
Manufacturing - 5.33% | ||||||||||
Obrascon Huarte Lain S.A., 7.625%, Due 3/15/2020 | EUR | 4,500 | 6,154 | |||||||
VWR Funding, Inc., 10.75%, Due 6/30/2017B, E | EUR | 6,387 | 8,630 | |||||||
Western Areas NL, 6.40%, Due 7/2/2015 | AUS | 10,500 | 10,980 | |||||||
|
| |||||||||
25,764 | ||||||||||
|
| |||||||||
Service - 5.90% | ||||||||||
Cirsa Funding Luxembourg S.A., 8.75%, Due 5/15/2018 | EUR | 1,500 | 1,914 | |||||||
Cirsa Funding Luxembourg S.A., 8.75%, Due 5/15/2018B | EUR | 7,300 | 9,340 | |||||||
Europcar Groupe S.A., 11.50%, Due 5/15/2017B | EUR | 5,000 | 7,035 | |||||||
Ono Finance II plc, 11.125%, Due 7/15/2019B | EUR | 7,500 | 10,232 | |||||||
|
| |||||||||
28,521 | ||||||||||
|
| |||||||||
Sovereign - 2.43% | ||||||||||
Mexican Bonos Desarr, | ||||||||||
7.25%, Due 12/15/2016 | MXN | 66,000 | 5,640 | |||||||
5.00%, Due 6/15/2017 | MXN | 77,000 | 6,106 | |||||||
|
| |||||||||
11,746 | ||||||||||
|
| |||||||||
Telecommunications - 0.62% | ||||||||||
Eileme 2 AB, 11.75%, Due 1/31/2020 B | EUR | 2,000 | 2,996 | |||||||
|
| |||||||||
Transportation - 1.38% | ||||||||||
Moto Finance plc, 10.25%, Due 3/15/2017 B | GBP | 4,350 | 6,698 | |||||||
|
| |||||||||
Total Foreign Obligations (Cost $71,624) | 75,725 | |||||||||
|
| |||||||||
U.S. AGENCY OBLIGATIONS - 2.26% | ||||||||||
Federal National Mortgage Association, | ||||||||||
1.375%, Due 11/15/2016 | 1,000 | 1,030 | ||||||||
1.25%, Due 1/30/2017 | 7,750 | 7,918 | ||||||||
0.875%, Due 12/20/2017 | 2,000 | 2,002 | ||||||||
|
| |||||||||
Total U.S. Agency Obligations (Cost $10,853) | 10,950 | |||||||||
|
| |||||||||
U.S. TREASURY OBLIGATIONS - 0.26% (Cost $1,254) | ||||||||||
U.S. Treasury Note, 0.875%, Due 2/28/2017 | 1,250 | 1,266 | ||||||||
|
|
See accompanying notes
25
American Beacon SiM High Yield Opportunities FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
SHORT-TERM INVESTMENTS - 1.25% (Cost $6,050) | ||||||||
Other Short-Term Investments - 1.25% | ||||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 6,049,759 | $ | 6,050 | |||||
|
| |||||||
TOTAL INVESTMENTS - 96.32% (Cost $443,663) | 465,890 | |||||||
OTHER ASSETS, NET OF LIABILITIES - 3.68% | 17,806 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 483,696 | ||||||
|
|
Percentages are stated as a percent of net assets.
A | REIT - Real Estate Investment Trust. |
B | Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $216,067 or 44.67% of net assets. The Fund has no right to demand registration of these securities. |
C | Limited Liability Company. |
D | In U.S. Dollars unless otherwise noted. |
E | Valued at fair value pursuant to procedures approved by the Board of Trustees. |
See accompanying notes
26
American Beacon SiM High Yield Opportunities FundSM
Schedule of Investments
February 28, 2013 (Unaudited)
Futures Contracts Open at February 28, 2013 (000’s):
Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Australian Currency Globex March Futures | Short | 115 | 3/18/2013 | $ | 11,739 | $ | 271 | |||||||||||
Euro Currency Unit Globex March Futures | Short | 75 | 3/18/2013 | 7,112 | 233 | |||||||||||||
British Pound Globex March Futures | Short | 440 | 3/18/2013 | 71,858 | (258 | ) | ||||||||||||
|
|
|
| |||||||||||||||
$ | 90,709 | $ | 246 | |||||||||||||||
|
|
|
|
OTC swap agreements outstanding on February 28, 2013:
Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection (1) (000’s):
Index/Obligation | Counterparty | Fixed Rate | Maturity Date | Implied Credit Spread at 2/28/2013(2) | Notional Amount (3) | Upfront Premiums Received | Unrealized Appreciation (Depreciation) | Fair Value | ||||||||||||||||||||
Delta Airline | GLM | 5.000 | % | 12/20/2016 | 4.7562 | % | $ | 1,000 | $ | (164 | ) | $ | 172 | $ | 8 | |||||||||||||
Delta Airline | GLM | 5.000 | % | 3/20/2017 | 4.9225 | % | 1,000 | (95 | ) | 97 | 3 | |||||||||||||||||
Delta Airline | GLM | 5.000 | % | 3/20/2017 | 4.9225 | % | 1,000 | (113 | ) | 115 | 3 | |||||||||||||||||
Delta Airline | JPM | 5.000 | % | 6/20/2017 | 5.1097 | % | 2,000 | (202 | ) | 194 | (8 | ) | ||||||||||||||||
Delta Airline | FBF | 5.000 | % | 6/20/2017 | 5.1097 | % | 2,000 | (210 | ) | 202 | (8 | ) | ||||||||||||||||
Delta Airline | GLM | 5.000 | % | 6/20/2017 | 5.1097 | % | 1,000 | (117 | ) | 114 | (4 | ) | ||||||||||||||||
Delta Airline | JPM | 5.000 | % | 9/20/2017 | 5.2764 | % | 2,000 | (214 | ) | 194 | (21 | ) | ||||||||||||||||
Delta Airline | FBF | 5.000 | % | 12/20/2017 | 5.4242 | % | 2,000 | (146 | ) | 113 | (33 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (1,261 | ) | $ | 1,201 | $ | (60 | ) | |||||||||||||||||||||
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps agreements on corporate issues and sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Glossary:
Counterparty Abbreviations: | ||||||
FBF | Credit | |||||
GLM | Goldman | |||||
JPM | JPMorgan | |||||
Currency Abbreviations: | ||||||
AUS | Australian Dollar | HKD | Hong Kong Dollar | |||
EUR | Euro | MXN | Mexican Peso | |||
GPB | British Pound | |||||
Exchange Abbreviations: | ||||||
OTC | Over-the-Counter | Globex | Chicago Mercantile Exchange |
See accompanying notes
27
American Beacon FundsSM
Statements of Assets and Liabilities
February 28, 2013 (Unaudited) (in thousands, except share and per share amounts)
The London | ||||||||||||||||
Company | Zebra Small | SiM High Yield | ||||||||||||||
Income | Zebra Global | Cap Equity | Opportunities | |||||||||||||
Equity Fund | Equity Fund | Fund | Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated securities, at fair value A | $ | 28,998 | $ | 8,471 | $ | 6,577 | $ | 465,890 | ||||||||
Foreign currency, at fair value B | — | 100 | — | 5,385 | ||||||||||||
Deposit with brokers for futures contracts | 56 | 20 | 16 | 2,231 | ||||||||||||
Receivable for investments sold | — | — | — | 5,552 | ||||||||||||
Receivable for variation margin on open futures contracts | — | 1 | — | 504 | ||||||||||||
Dividends and interest receivable | 84 | 19 | 7 | 9,008 | ||||||||||||
Receivable for fund shares sold | 326 | — | 7 | 2,585 | ||||||||||||
Receivable for tax reclaims | — | — | — | 169 | ||||||||||||
Receivable for expense reimbursement (Note 2) | 14 | 17 | 10 | 10 | ||||||||||||
Unrealized appreciation of swap agreements | — | — | — | 1,201 | ||||||||||||
Prepaid expenses | 37 | 37 | 25 | 127 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 29,515 | 8,665 | 6,642 | 492,662 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | — | — | — | 5,859 | ||||||||||||
Swap premiums received | — | — | — | 1,261 | ||||||||||||
Payable for fund shares redeemed | 6 | 133 | — | 751 | ||||||||||||
Payable for variation margin on open futures contracts | 2 | 2 | — | 258 | ||||||||||||
Dividends payable | — | — | — | 404 | ||||||||||||
Management and investment advisory fees payable | 18 | 6 | 6 | 190 | ||||||||||||
Administrative service and service fees payable | 10 | 5 | 3 | 235 | ||||||||||||
Professional fees payable | 20 | 9 | 12 | 4 | ||||||||||||
Trustee fees payable | — | 1 | 1 | — | ||||||||||||
Payable for prospectus and shareholder reports | — | 3 | 2 | — | ||||||||||||
Transfer agent fees payable | 8 | — | — | — | ||||||||||||
Other liabilities | — | 4 | — | 4 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 64 | 163 | 24 | 8,966 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 29,451 | $ | 8,502 | $ | 6,618 | $ | 483,696 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Analysis of Net Assets: | ||||||||||||||||
Paid-in-capital | 27,702 | 7,482 | 5,784 | 455,566 | ||||||||||||
Undistributed net investment income | 50 | 2 | 21 | (4 | ) | |||||||||||
Accumulated net realized gain (loss) | 5 | 618 | (74 | ) | 4,573 | |||||||||||
Unrealized appreciation of investments, futures contracts, and swap agreements | 1,694 | 400 | 887 | 23,561 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 29,451 | $ | 8,502 | $ | 6,618 | $ | 483,696 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding at no par value (unlimited shares authorized): | ||||||||||||||||
Institutional Class | 1,313,007 | 57,426 | 99,944 | 6,132,203 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | 315,593 | 17,185 | 105,836 | 5,683,315 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | 499,835 | 97,780 | 144,536 | 22,528,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Retirement Class | N/A | 111 | 119 | N/A | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | 411,494 | 471,517 | 151,661 | 6,547,201 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | 103,570 | 24,675 | 45,181 | 5,051,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets (not in thousands): | ||||||||||||||||
Institutional Class | $ | 14,664,947 | $ | 721,469 | $ | 1,200,828 | $ | 64,695,748 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | $ | 3,511,163 | $ | 218,076 | $ | 1,284,256 | $ | 59,886,819 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | $ | 5,567,726 | $ | 1,243,460 | $ | 1,748,787 | $ | 236,770,311 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Retirement Class | $ | N/A | $ | 1,405 | $ | 1,445 | $ | N/A | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | $ | 4,562,765 | $ | 6,004,944 | $ | 1,839,549 | $ | 69,014,374 | ||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | $ | 1,144,877 | $ | 312,768 | $ | 542,769 | $ | 53,328,822 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes
28
American Beacon FundsSM
Statements of Assets and Liabilities
February 28, 2013 (Unaudited) (in thousands, except share and per share amounts)
The London Company Income Equity Fund | Zebra Global Equity Fund | Zebra Small Cap Equity Fund | SiM High Yield Opportunities Fund | |||||||||||||
Net asset value, offering and redemption price per share: | ||||||||||||||||
Institutional Class | $ | 11.17 | $ | 12.56 | $ | 12.02 | $ | 10.55 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | $ | 11.13 | $ | 12.69 | $ | 12.13 | $ | 10.54 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | $ | 11.14 | $ | 12.72 | $ | 12.10 | $ | 10.51 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Retirement Class | N/A | $ | 12.71 | $ | 12.09 | N/A | ||||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | $ | 11.09 | $ | 12.74 | $ | 12.13 | $ | 10.54 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class (offering price) | $ | 11.77 | $ | 13.52 | $ | 12.87 | $ | 11.07 | ||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | $ | 11.05 | $ | 12.68 | $ | 12.01 | $ | 10.56 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Cost of investments in unaffiliated securities | $ | 27,304 | $ | 8,069 | $ | 5,689 | $ | 443,663 | ||||||||
B Cost of foreign currency | $ | — | $ | 101 | $ | — | $ | 5,446 |
See accompanying notes
29
American Beacon FundsSM
Statement of Operations
For the Six Months ended February 28, 2013 (Unaudited) (in thousands)
The London Company Income Equity Fund | Zebra Global Equity Fund | Zebra Small Cap Equity Fund | SiM High Yield Opportunities Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend income from unaffiliated securities (net of foreign taxes) A | $ | 449 | $ | 189 | $ | 110 | $ | 713 | ||||||||
Interest income | — | — | — | 15,341 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 449 | 189 | 110 | 16,054 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management and investment advisory fees (Note 2) | 45 | 22 | 19 | 926 | ||||||||||||
Administrative service fees (Note 2): | ||||||||||||||||
Institutional Class | 18 | 2 | 2 | 91 | ||||||||||||
Y Class | 3 | — | 2 | 51 | ||||||||||||
Investor Class | 4 | 3 | 3 | 287 | ||||||||||||
A Class | 5 | 17 | 4 | 108 | ||||||||||||
C Class | 1 | 1 | 1 | 78 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
Institutional Class | 2 | — | — | 2 | ||||||||||||
Y Class | 2 | — | — | — | ||||||||||||
Investor Class | 2 | 1 | 1 | 10 | ||||||||||||
A Class | 2 | 2 | 1 | 4 | ||||||||||||
C Class | 3 | — | — | 1 | ||||||||||||
Custody and fund accounting fees | 4 | 5 | 4 | 16 | ||||||||||||
Professional fees | 20 | 33 | 17 | 34 | ||||||||||||
Registration fees and expenses | 48 | 31 | 31 | 63 | ||||||||||||
Service fees (Note 2): | ||||||||||||||||
Y Class | 1 | — | 1 | 17 | ||||||||||||
Investor Class | 6 | 3 | 3 | 240 | ||||||||||||
A Class | 2 | 6 | 1 | 40 | ||||||||||||
C Class | 1 | — | — | 29 | ||||||||||||
Distribution fees (Note 2): | ||||||||||||||||
A Class | 3 | 10 | 2 | 67 | ||||||||||||
C Class | 3 | 2 | 3 | 196 | ||||||||||||
Prospectus and shareholder report expenses | 7 | 8 | 4 | 21 | ||||||||||||
Trustee fees | — | 1 | — | 13 | ||||||||||||
Other expenses | 2 | 2 | 2 | 5 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 184 | 149 | 101 | 2,299 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net (fees waived and expenses reimbursed) (Note 2) | (88 | ) | (77 | ) | (57 | ) | (46 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 96 | 72 | 44 | 2,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 353 | 117 | 66 | 13,801 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments | (69 | ) | 1,190 | (5 | ) | 6,734 | ||||||||||
Commission recapture (Note 3) | 5 | — | — | — | ||||||||||||
Foreign currency transactions | — | (29 | ) | — | 511 | |||||||||||
Futures contracts and swap agreements | 57 | 32 | 40 | (2,440 | ) | |||||||||||
Change in net unrealized appreciation or (depreciation) of: | ||||||||||||||||
Investments | 1,509 | (204 | ) | 748 | 15,736 | |||||||||||
Foreign currency transactions | — | (112 | ) | — | 1,228 | |||||||||||
Futures contracts and swap agreements | — | (2 | ) | (6 | ) | 1,723 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain from investments | 1,502 | 875 | 777 | 23,492 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 1,855 | $ | 992 | $ | 843 | $ | 37,293 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Foreign taxes | $ | — | $ | 4 | $ | — | $ | — |
See accompanying notes
30
American Beacon FundsSM
Statement of Changes of Net Assets (in thousands)
The London Company Income Equity Fund | Zebra Global Equity Fund | |||||||||||||||
Six Months Ended February 28, 2013 | From May 29 to August 31, 2012 | Six Months Ended February 28, 2013 | Year Ended August 31, 2012 | |||||||||||||
(unaudited) | (unaudited) | |||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 353 | $ | 41 | $ | 117 | $ | 195 | ||||||||
Net realized gain (loss) from investments, futures contracts, and foreign currency transactions | (7 | ) | 22 | 1,193 | 96 | |||||||||||
Change in net unrealized appreciation or (depreciation) from investments, futures contracts, and foreign currency transactions | 1,509 | 186 | (318 | ) | 1,296 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 1,855 | 249 | 992 | 1,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Institutional Class | (185 | ) | (20 | ) | (22 | ) | (19 | ) | ||||||||
Y Class | (34 | ) | (1 | ) | (6 | ) | (9 | ) | ||||||||
Investor Class | (47 | ) | (1 | ) | (32 | ) | (33 | ) | ||||||||
A Class | (42 | ) | (1 | ) | (137 | ) | (56 | ) | ||||||||
C Class | (8 | ) | — | (3 | ) | (1 | ) | |||||||||
Net realized gain from investments: | ||||||||||||||||
Institutional Class | (10 | ) | — | (52 | ) | — | ||||||||||
Y Class | (2 | ) | — | (15 | ) | — | ||||||||||
Investor Class | (2 | ) | — | (107 | ) | — | ||||||||||
A Class | (2 | ) | — | (492 | ) | — | ||||||||||
C Class | — | — | (24 | ) | — | |||||||||||
|
|
|
|
|
|
|
| �� | ||||||||
Net distributions to shareholders | (332 | ) | (23 | ) | (890 | ) | (118 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from sales of shares | 15,242 | 8,630 | 427 | 4,132 | ||||||||||||
Reinvestment of dividends and distributions | 294 | 23 | 767 | 85 | ||||||||||||
Cost of shares redeemed | (1,484 | ) | (3 | ) | (6,530 | ) | (6,461 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital share transactions | 14,052 | 8,650 | (5,336 | ) | (2,244 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 15,575 | 8,876 | (5,234 | ) | (775 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 13,876 | 5,000 | 13,736 | 14,511 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period * | $ | 29,451 | $ | 13,876 | $ | 8,502 | $ | 13,736 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Includes undistributed net investment income (loss) of | $ | 50 | $ | 18 | $ | 2 | $ | 133 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes
31
American Beacon FundsSM
Statement of Changes of Net Assets (in thousands)
Zebra Small Cap Equity Fund | SiM High Yield Opportunities Fund | |||||||||||||||
Six Months Ended February 28, 2013 | Year Ended August 31, 2012 | Six Months Ended February 28, 2013 | Year Ended August 31, 2012 | |||||||||||||
(unaudited) | (unaudited) | |||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 66 | $ | 77 | $ | 13,802 | $ | 9,696 | ||||||||
Net realized gain from investments, futures contracts, and foreign currency transactions | 35 | 138 | 4,805 | 1,121 | ||||||||||||
Change in net unrealized appreciation or (depreciation) from investments, futures contracts, and foreign currency transactions | 742 | 522 | 18,687 | 5,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 843 | 737 | 37,294 | 16,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Institutional Class | (88 | ) | (10 | ) | (2,131 | ) | (2,703 | ) | ||||||||
Y Class | (107 | ) | (5 | ) | (1,289 | ) | (454 | ) | ||||||||
Investor Class | (144 | ) | (7 | ) | (7,149 | ) | (4,489 | ) | ||||||||
A Class | (163 | ) | (3 | ) | (1,961 | ) | (1,415 | ) | ||||||||
C Class | (39 | ) | — | (1,267 | ) | (639 | ) | |||||||||
Net realized gain from investments: | ||||||||||||||||
Institutional Class | (62 | ) | (22 | ) | (164 | ) | — | |||||||||
Y Class | (79 | ) | (11 | ) | (127 | ) | — | |||||||||
Investor Class | (107 | ) | (39 | ) | (667 | ) | — | |||||||||
A Class | (124 | ) | (44 | ) | (178 | ) | — | |||||||||
C Class | (33 | ) | (9 | ) | (131 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net distributions to shareholders | (946 | ) | (150 | ) | (15,064 | ) | (9,700 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from sales of shares | 924 | 2,738 | 238,908 | 283,954 | ||||||||||||
Reinvestment of dividends and distributions | 853 | 143 | 12,400 | 7,956 | ||||||||||||
Cost of shares redeemed | (1,563 | ) | (3,610 | ) | (91,780 | ) | (18,425 | ) | ||||||||
Redemption fees | — | — | 112 | 83 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital share transactions | 214 | (729 | ) | 159,640 | 273,568 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 111 | (142 | ) | 181,870 | 280,544 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 6,507 | 6,649 | 301,826 | 21,282 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period * | $ | 6,618 | $ | 6,507 | $ | 483,696 | $ | 301,826 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Includes undistributed net investment income (loss) of | $ | 21 | $ | 42 | $ | (4 | ) | $ | (64 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes
32
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), which is comprised of twenty-four Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon The London Income Equity Fund, the American Beacon Zebra Global Equity Fund, the American Beacon Zebra Small Cap Equity Fund, and the SiM High Yield Opportunities Fund, (each a “Fund” and collectively, the “Funds”), each a series of the Trust. Prior to December 30, 2012, the American Beacon Zebra Global Equity Fund was known as the American Beacon Large Cap Equity Fund.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.
Class Disclosure
Each Fund 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: | |
Institutional Class | Investors making an initial investment of $ 250,000 | |
Y Class | Investors making an initial investment of $ 100,000 | |
Investor Class | General public and investors investing directly or through an intermediary | |
Retirement Class | Investors investing through an intermediary (closed March 13, 2013) | |
A Class | General public and investors investing through an intermediary with applicable sales charges | |
C Class | General public and investors investing through an intermediary with applicable sales charges |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.
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 investment advisory, fund management, and securities lending services. Investment assets of each Fund are managed by 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 Funds an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manger to the unaffiliated investment advisors hired by the Manager to direct investment activities of the Funds. Management fees paid by the Funds during the six months ended February 28, 2013 were as follows (dollars in thousands):
Fund | Management Fee Rate | Management Fee | Amounts paid to Investment Advisors | Net Amounts Retained by Manager | ||||||||||||
The London Company Income Equity | 0.45 | % | $ | 45 | $ | 40 | $ | 5 | ||||||||
Zebra Global Equity | 0.39 | % | 22 | 19 | 3 | |||||||||||
Zebra Small Cap Equity | 0.58 | % | 19 | 17 | 2 | |||||||||||
SiM High Yield Opportunities | 0.49 | % | 926 | 833 | 93 |
33
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
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 0.30% of the average daily net assets of the Institutional, Y, Investor, and Retirement Classes of the Funds and 0.40% of the average daily net assets of the A and C Classes of the Funds. The expenses for the Retirement Classes of the Zebra Global Equity and Zebra Small Cap Equity Funds for the six months ended February 28, 2013 were less than $500.
Distribution Plans
The Funds, except for the Retirement, A, and C Classes of the Funds, have 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 advisor hired by the Manager to be used for distribution purposes. Under this Plan, the Funds do not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of the Funds’ shares.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule 12b-1 under the Act for the Retirement, A, and C Classes of the Funds. Under the Distribution Plans, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Classes and 0.50% of the average daily net assets of the Retirement Classes, and 1.00% of the average daily net assets of the C Classes of each Fund. 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. The expenses for the Retirement Classes of the Zebra Global Equity and Zebra Small Cap Equity Funds for the six months ended February 28, 2013 were less than $500.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the Y, Investor, Retirement, A, and C Classes. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee of 0.10% of the average daily net assets of Y Class, 0.15% of the average daily net assets of the A and C Class, 0.25% of the average daily net assets of the Retirement Class, and up to 0.36% of the average daily net assets of the Investor Class of the Funds. The expenses for the Retirement Classes of the Zebra Global Equity and Zebra Small Cap Equity Funds for the six months ended February 28, 2013 were less than $500.
Interfund Lending Program
Pursuant to an exemptive order issued by the Securities and Exchange Commission (“SEC”), the Funds, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Funds to borrow from other participating Funds. During the six months ended February 28, 2013, the Zebra Global Equity Fund borrowed from the American Beacon Short-Term Bond Fund on average $244,310 for 12 days at an average rate of 0.78% with interest charges of $64 and the SiM High Yield Opportunities Fund borrowed from the American Beacon Large Cap Value and American Beacon Short-Term Bond Funds on average $5,255,615 for 5 days at an average rate of 0.82% with interest charges of $587.
34
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Expense Reimbursement Plan
The Manager contractually agreed to reimburse the following Funds to the extent that total annual fund operating expenses exceeded the Funds’ expense cap. For the period ended February 28, 2013, the Manager waived or reimbursed expenses as follows:
Fund | Class | Expense Cap | Reimbursed or (Recouped) Expenses | Expiration of Reimbursed Expenses | ||||||||
The London Company Income Equity | Institutional | 0.79 | % | $ | 50,353 | 2016 | ||||||
The London Company Income Equity | Y | 0.89 | % | 8,616 | 2016 | |||||||
The London Company Income Equity | Investor | 1.17 | % | 13,274 | 2016 | |||||||
The London Company Income Equity | A | 1.29 | % | 10,544 | 2016 | |||||||
The London Company Income Equity | C | 2.04 | % | 5,438 | 2016 | |||||||
Zebra Global Equity | Institutional | 0.79 | % | 5,955 | 2016 | |||||||
Zebra Global Equity | Y | 0.89 | % | 1,623 | 2016 | |||||||
Zebra Global Equity | Investor | 1.17 | % | 12,907 | 2016 | |||||||
Zebra Global Equity | Retirement | 1.54 | % | 17 | 2016 | |||||||
Zebra Global Equity | A | 1.29 | % | 54,457 | 2016 | |||||||
Zebra Global Equity | C | 2.04 | % | 2,526 | 2016 | |||||||
Zebra Small Cap Equity | Institutional | 0.99 | % | 9,007 | 2016 | |||||||
Zebra Small Cap Equity | Y | 1.09 | % | 10,635 | 2016 | |||||||
Zebra Small Cap Equity | Investor | 1.37 | % | 14,884 | 2016 | |||||||
Zebra Small Cap Equity | Retirement | 1.74 | % | 44 | 2016 | |||||||
Zebra Small Cap Equity | A | 1.49 | % | 17,761 | 2016 | |||||||
Zebra Small Cap Equity | C | 2.24 | % | 4,594 | 2016 | |||||||
SiM High Yield Opportunities | Institutional | 0.84 | % | 20,780 | 2016 | |||||||
SiM High Yield Opportunities | Y | 0.94 | % | 5,637 | 2016 | |||||||
SiM High Yield Opportunities | Investor | 1.22 | % | (365 | ) | 2016 | ||||||
SiM High Yield Opportunities | A | 1.34 | % | 12,406 | 2016 | |||||||
SiM High Yield Opportunities | C | 2.09 | % | 7,664 | 2016 |
Of these amounts, $13,739, $17,218, $9,919, and $10,113 are receivable from the Manager of The London Company Income Equity, Zebra Global Equity, Zebra Small Cap Equity, and SiM High Yield Opportunities Funds, respectively, as of February 28, 2013. 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’s 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 reimbursed expenses listed above will expire in 2016. The carryover of excess expenses potentially reimbursable to the Manager are as follows:
Fund | Recovered Expenses | Excess Expense Carryover | Expiration of Reimbursed Expenses | |||||||
The London Company Income Equity | $ | — | $ | 117,605 | 2015 | |||||
Zebra Global Equity | — | 45,286 | 2013 | |||||||
Zebra Global Equity | — | 93,890 | 2014 | |||||||
Zebra Global Equity | — | 166,541 | 2015 | |||||||
Zebra Small Cap Equity | — | 45,137 | 2013 | |||||||
Zebra Small Cap Equity | — | 100,737 | 2014 | |||||||
Zebra Small Cap Equity | — | 155,632 | 2015 | |||||||
SiM High Yield Opportunities | 365 | 126,098 | 2014 | |||||||
SiM High Yield Opportunities | — | 154,726 | 2015 |
The Manager began seeking recoupment from the Investor Class of the SiM High Yield Opportunities Fund for the period ended February 28, 2013. The other Funds have not recorded a liability for potential reimbursements, due to the current assessment that a reimbursement is unlikely.
Sales Commissions
The Funds’ distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. For the six months ended February 28, 2013, Foreside collected $3,828, $693, $633, and $73,275 in sales commissions from the sale of A Class shares for The London Company Income Equity, Zebra Global Equity, Zebra Small Cap Equity, and SiM High Yield Opportunities Funds, respectively.
35
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
A contingent deferred sales charge (“CDSC”) of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the six months ended February 28, 2013 CDSC fees of $67 and $6,392 were collected for the Zebra Global Equity and SiM High Yield Opportunities Funds, respectively.
3. Security Valuation and Fair Value Measurements
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, including exchange-traded funds (“ETFs”), 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. The prices of debt securities may be determined using quotes obtained from brokers.
Investments in open-end mutual funds are valued at the closing net asset value (“NAV”) 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 to fair value.
Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Trust’s Board of Trustees (the “Board”).
Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with its futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
Other investments, including restricted securities, and those financial instruments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee, established by the Fund’s Board.
For valuation purposes, the last quoted prices of non-U.S. equity securities may be adjusted under the circumstances described below. If a Manager determines that developments between the close of a foreign market and the close of the Exchange will, in its judgment, materially affect the value of some or all of a fund’s portfolio securities, the Manager will adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the Exchange. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Manager reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. The Valuation Committee may also fair value securities in other situations, such as when a particular foreign market is closed but a Fund is open. The Funds use outside pricing services to provide closing prices and information to evaluate and/or adjust those prices. As a means of evaluating its security valuation process, the Valuation Committee routinely compares closing prices, the next day’s opening prices in the same markets, and adjusted prices.
36
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Valuation Inputs
Various inputs may be used to determine the value of the Funds’ investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 | - | Quoted prices in active markets for identical securities. | ||
Level 2 | - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | ||
Level 3 | - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value.
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporates deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, ETFs and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the Exchange. These securities are valued using pricing service providers that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies will be valued based upon the NAVs (“NAVs”) of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in privately held investment funds which are redeemable within 90 days of the measurement date, will be valued
37
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Over-the-counter (“OTC”) financial derivative instruments, such as foreign currency contracts, options contracts, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
The Funds’ investments are summarized by level based on the inputs used to determine their values. U.S. GAAP also requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of each Fund’s assets and liabilities. During the six months ended February 28, 2013, there were no transfers between levels. As of February 28, 2013, the investments were classified as described below (in thousands):
The London Company Income Equity(1) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Preferred Stock | $ | 574 | $ | — | $ | — | $ | 574 | ||||||||
Common Stock | 26,877 | — | — | 26,877 | ||||||||||||
Short-Term Investments – Money Markets | 1,547 | — | — | 1,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 28,998 | $ | — | $ | — | $ | 28,998 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts* | $ | — | $ | — | $ | — | $ | — | ||||||||
* Amount between ($500) and $0. | ||||||||||||||||
Zebra Global Equity(1) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Common Stock | $ | 3,697 | $ | — | $ | — | $ | 3,697 | ||||||||
Domestic Common Stock | 4,162 | — | — | 4,162 | ||||||||||||
Foreign Exchange-Traded Funds | 249 | — | — | 249 | ||||||||||||
Short-Term Investments – Money Markets | 363 | — | — | 363 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 8,471 | $ | — | $ | — | $ | 8,471 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (1 | ) | $ | — | $ | — | $ | (1 | ) | ||||||
Zebra Small Cap Equity(1) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 6,291 | $ | — | $ | — | $ | 6,291 | ||||||||
Short-Term Investments – Money Markets | 286 | — | — | 286 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 6,577 | $ | — | $ | — | $ | 6,577 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts* | $ | — | $ | — | $ | — | $ | — | ||||||||
* Amount between $0 and $500. | ||||||||||||||||
SiM High Yield Opportunities(1) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 7,585 | $ | — | $ | — | $ | 7,585 | ||||||||
Preferred Stock | — | 16,046 | — | 16,046 | ||||||||||||
Corporate Obligations | — | 329,527 | — | 329,527 | ||||||||||||
Foreign Convertible Obligations | — | 18,741 | — | 18,741 | ||||||||||||
Foreign Obligations | — | 75,725 | — | 75,725 | ||||||||||||
U.S. Agency Obligations | — | 10,950 | — | 10,950 | ||||||||||||
U.S. Treasury Obligations | — | 1,266 | — | 1,266 | ||||||||||||
Short-Term Investments – Money Markets | 6,050 | — | — | 6,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 13,635 | $ | 452,255 | $ | — | $ | 465,890 | ||||||||
|
|
|
|
|
|
|
|
38
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Financial derivative instruments-assets(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Swap Agreements | $ | — | $ | 1,201 | $ | — | $ | 1,201 | ||||||||
Futures Contracts | 504 | — | — | 504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 504 | $ | 1,201 | $ | — | $ | 1,705 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Financial derivative instruments-liabilities(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Swap Agreements | $ | — | $ | (1,261 | ) | $ | — | $ | (1,261 | ) | ||||||
Futures Contracts | (258 | ) | — | — | (258 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (258 | ) | $ | (1,261 | ) | $ | — | $ | (1,519 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | Refer to the Schedules of Investments for industry information. |
(2) | Financial derivative instruments may include open futures contracts and swap agreements. |
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, expense and purchases and sales of investments are translated into U.S. dollars at the rate of the exchange prevailing on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and is reported with all other foreign currency gains and losses in the Funds’ Statement of Operations.
Dividends to Shareholders
Dividends from net investment income of the Funds 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 Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If the Funds’ investment advisor chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Funds. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Funds. This amount is reported with the net realized gain in the Funds’ Statements of Operations, if applicable.
39
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (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.
Redemption Fees
The SiM High Yield Opportunities 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 prorata based on their respective net assets.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees 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.
4. Securities and other Investments
Payment In-Kind Securities
The SiM High Yield Opportunities Fund may invest in payment in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a prorata adjustment from the unrealized appreciation or depreciation on investment to interest receivable in the Statements of Assets and Liabilities.
Restricted Securities
The Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities outstanding at the six months ended February 28, 2013 are disclosed in the Notes to the Schedule of Investments.
40
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
High-Yield Securities
Non-investment-grade securities are rated below the four highest credit grades by at least one of the public rating agencies (or are unrated if not publicly rated). Participation in high-yielding securities transactions generally involves greater returns in the form of higher average yields. However, participation in such transactions involves greater risks, including sensitivity to economic changes, solvency, and relative liquidity in the secondary trading market. Lower ratings may reflect a greater possibility that the financial condition of the issuer, or adverse changes in general economic conditions, or both, may impair the ability of the issuer to make payments of interest and principal. The prices and yields of lower-rated securities generally fluctuate more than higher-quality securities, and such prices may decline significantly in periods of general economic difficulty or rising interest rates.
Real Estate Investment Trusts
The Funds may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. The Funds re-characterizes distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, the re-characterization will be estimated based on available information which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, a re-characterization will be made the following year. These re-characterizations are not recorded for financial statement purposes, but as an adjustment to the calculation of taxable income.
Other Investment Company Securities and Other Exchange Traded Products
The Funds may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, exchange-traded notes (“ETNs”), unit investment trusts, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or a sub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear a Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in its Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
5. Financial Derivative Instruments
Swap Agreements
The SiM High Yield Opportunities Fund may invest in swap agreements. Swap agreements are privately negotiated agreements between the Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. The Fund may enter into credit default, cross-currency, interest rate and other forms of swap agreements to manage its exposure to credit, currency, interest rate, and inflation risk. In connection with these agreements, securities or cash may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Swaps are marked to market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statements of Assets and Liabilities. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Manager pursuant to procedures approved by the Board.
41
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by the Fund are included as part of realized gains or losses on the Statements of Operations.
Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Fund’s exposure to the counterparty.
Credit Default Swap Agreements
Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, the Fund will generally receive from the buyer of protection a fixed rate of periodic premium throughout the term of the swap provided that there is no credit event. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure up to the notional amount of the swap.
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swap agreements on corporate issues, sovereign issues of an emerging country or U.S. municipal issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific
42
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). The Fund may use credit default swaps on corporate issues, sovereign issues of an emerging country or U.S. municipal issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues of an emerging country or U.S. municipal issues as of period end are disclosed in the Notes to the Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and represent a market participant view of the likelihood or risk of default for the underlying referent security to credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of each individual credit default swap agreements outstanding as of February 28, 2013 for which the Fund is the seller of protection is disclosed in the Notes to the Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.
Over-the-Counter Swap Agreements
OTC financial derivative instruments such as forward currency contracts, options contracts, interest rate, and credit default swap agreements derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These instruments are valued using evaluated prices furnished by a pricing service selected by the Board. In certain cases, when a valuation is not readily available from a pricing service, the Fund’s Manager may provide a valuation. Depending on the instrument and the terms of the transaction, the value of the derivative instrument can be determined by a pricing service or the Manager using a series of techniques, including simulation pricing models. The pricing models are inputs, such as issuer details, indices, spreads, interest rates, yield curves, dividends, and exchange rates, that are observed from actively quoted markets. Derivative instruments that use valuation techniques and inputs similar to those described above are normally categorized as Level 2 in the fair valuation hierarchy.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The 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 a portion of the face value of the futures contract. The Funds usually reflect this amount on the Schedule of Investments as a U.S. Treasury Bill held as
43
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
collateral for futures contracts or as cash deposited with broker 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 or 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.
The London Company Income Equity | Zebra Small Cap Equity | |||||||||||
Fair Values of derivative instruments not accounted for as hedging instruments as of February 28, 2013 (000’s): | ||||||||||||
Statement of Assets and Liabilities | Derivative | |||||||||||
Unrealized appreciation of investments, futures contracts, and swap agreements | Equity Contracts | (2) | $ | 0 | * | $ | 0 | ** | ||||
Effect of derivative instruments not accounted for as hedging instruments during the six months ended February 28, 2013 (000’s): | ||||||||||||
Statement of Operations | ||||||||||||
Net realized gain (loss) from foreign currency transactions, futures contracts and swap agreements | Equity Contracts | 57 | 40 | |||||||||
Change in net unrealized appreciation or (depreciation) of foreign currency translations, futures contracts, and swap agreements | Equity Contracts | 0 | * | (6 | ) |
* | Amount between ($500) and $0. |
** | Amount between $0 and $500. |
The following summarizes the fair valuations, categorized by risk exposure, of the derivative instruments held by: (1)(3):
Zebra Global Equity
Fair values of financial instruments on the Statements of Assets and Liabilities as of February 28, 2013 (in thousands):
Derivatives not accounted for as hedging instruments | ||||||||||||||||
Credit contracts | Foreign exchange contracts | Interest rate contracts | Total | |||||||||||||
Assets: | ||||||||||||||||
Receivable for variation margin on open futures contracts(2) | $ | — | $ | 1 | $ | — | $ | 1 | ||||||||
Liabilities: | ||||||||||||||||
Payable for variation margin on open futures contracts (2) | $ | — | $ | (2 | ) | $ | — | $ | (2 | ) |
The effect of financial derivative instruments on the Statements of Operations for the six months ended February 28, 2013 (in thousands): |
Derivatives not accounted for as hedging instruments | ||||||||||||||||
Credit contracts | Foreign exchange contracts | Interest rate contracts | Total | |||||||||||||
Realized gain (loss) on derivatives recognized as a result from operations: | ||||||||||||||||
Net realized gain (loss) from futures contracts and swap agreements | $ | — | $ | 32 | $ | — | $ | 32 | ||||||||
Net change in unrealized appreciation or (depreciation) of derivatives recognized as a result from operations: | ||||||||||||||||
Change in net unrealized appreciation or (depreciation) of futures contracts and swap agreements | $ | — | $ | (2 | ) | $ | — | $ | (2 | ) |
44
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
SiM High Yield Opportunities
Fair values of financial instruments on the Statements of Assets and Liabilities as of February 28, 2013 (in thousands):
Derivatives not accounted for as hedging instruments | ||||||||||||||||
Credit contracts | Foreign exchange contracts | Interest rate contracts | Total | |||||||||||||
Assets: | ||||||||||||||||
Receivable for variation margin on open futures contracts(2) | $ | — | $ | 504 | $ | — | $ | 504 | ||||||||
Unrealized appreciation of swap agreements | 1,201 | — | — | 1,201 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,201 | $ | 504 | $ | — | $ | 1,705 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for variation margin on open futures contracts (2) | $ | — | $ | (258 | ) | $ | — | $ | (258 | ) | ||||||
Unrealized depreciation of swap agreements | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | (258 | ) | $ | — | $ | (258 | ) | |||||||
|
|
|
|
|
|
|
|
The effect of financial derivative instruments on the Statements of Operations for the six months ended February 28, 2013 (in thousands):
Derivatives not accounted for as hedging instruments | ||||||||||||||||
Credit contracts | Foreign exchange contracts | Interest rate contracts | Total | |||||||||||||
Realized gain (loss) on derivatives recognized as a result from operations: | ||||||||||||||||
Net realized gain (loss) from futures contracts and swap agreements | $ | — | $ | (2,440 | ) | $ | — | $ | (2,440 | ) | ||||||
Net change in unrealized appreciation or (depreciation) of derivatives recognized as a result from operations: | ||||||||||||||||
Change in net unrealized appreciation or (depreciation) of futures contracts and swap agreements | $ | 1,094 | $ | 629 | $ | — | $ | 1,723 |
(1) | See Note 3 in the Notes to Financial Statements for additional information. |
(2) | Includes only current day’s variation margin as reported within the Statements of Assets and Liabilities. Cumulative appreciation or (depreciation) of futures contracts is reported in the Schedules of Investments footnotes. |
(3) | The volume of derivative activity described above is reflective of the derivative activity through the current period of operations. |
6. Principal Risks
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk), or failure or inability of the other party of a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks.
Market Risks
The Funds’ investments in financial derivatives and other financial instruments expose the Funds to various risks such as, but not limited to, interest rate, foreign currency and equity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by the Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.
If the Funds invest directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Funds, or, in the case of hedging positions, that the Funds’ base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of
45
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, the Funds’ investments in foreign currency denominated securities may reduce the returns of the Fund.
The fair values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.
Credit and Counterparty Risks
The SiM High Yield Opportunities Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. The Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. The Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, the SiM High Yield Opportunities Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose the Fund to counterparty risk, consist principally of cash due from counterparties and investments. Furthermore, to the extent that unpaid amounts owed to the Fund exceed a predetermined threshold agreed to with the counterparty, such counterparty shall advance collateral to the Fund in the form of cash or cash equivalents equal in value to the unpaid amount owed to the Fund. The Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to the Fund subsequently falls, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced to the Fund.
All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once the Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
The SiM High Yield Opportunities Fund is subject to various Master Agreements, which govern the terms of certain transactions with select counterparties. These Master Agreements reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of forward and OTC derivative transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement and result in the need for multiple agreements with a single counterparty. Therefore, exposure cannot be netted and collateralized across all types of transactions. Exposures can only be netted across transactions governed under the same Master Agreement with the same legal entity.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant master agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States
46
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Treasury bills and US dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper may be used. The Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement. Master Repurchase Agreements (“Master Repo Agreements”) govern transactions between the Fund and select counterparties. The Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for Repurchase Agreements.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain purchases and sales made on a delayed-delivery basis by and between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.
International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by the SiM High Yield Opportunities Fund and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to early terminate could be material to the financial statements. The fair value of OTC financial derivative transactions net of collateral received in or pledged by counterparty as of period end is disclosed in the Notes to the Schedule of Investments.
7. Federal Income and Excise Taxes
It is the policy of each Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecognized tax benefits in the accompanying financial statements. The tax years for the periods ended August 31, 2010, 2011, and 2012 remain subject to examination by the Internal Revenue Service. If applicable, the Funds recognized 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. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
The Funds may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation or depreciation, as applicable, as the income is earned or capital gains are recorded.
47
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
The tax character of distributions paid were as follows (in thousands):
The London Company Income Equity | Zebra Global Equity | |||||||||||||||
Six months ended February 28, 2013 | Period Ended August 31, 2012 | Six months ended February 28, 2013 | Year Ended August 31, 2012 | |||||||||||||
(unaudited) | (unaudited) | |||||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income* | ||||||||||||||||
Institutional Class | $ | 188 | $ | 20 | $ | 22 | $ | 17 | ||||||||
Y Class | 35 | 1 | 6 | 8 | ||||||||||||
Investor Class | 47 | 1 | 33 | 30 | ||||||||||||
Retirement Class | — | — | — | — | ||||||||||||
A Class | 43 | 1 | 143 | 51 | ||||||||||||
C Class | 8 | — | 3 | 1 | ||||||||||||
Capital gain | ||||||||||||||||
Institutional Class | 7 | — | 52 | 2 | ||||||||||||
Y Class | 1 | — | 15 | 1 | ||||||||||||
Investor Class | 2 | — | 106 | 3 | ||||||||||||
Retirement Class | — | — | — | — | ||||||||||||
A Class | 1 | — | 486 | 5 | ||||||||||||
C Class | — | — | 24 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions paid | $ | 332 | $ | 23 | $ | 890 | $ | 118 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Zebra Small Cap Equity | SiM High Yield Opportunities | |||||||||||||||
Six months ended February 28, 2013 | Year Ended August 31,2012 | Six months ended February 28, 2013 | Year Ended August 31,2012 | |||||||||||||
(unaudited) | (unaudited) | |||||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income* | ||||||||||||||||
Institutional Class | $ | 123 | $ | 10 | $ | 2,131 | $ | 2,697 | ||||||||
Y Class | 152 | 5 | 1,289 | 453 | ||||||||||||
Investor Class | 205 | 7 | 7,149 | 4,479 | ||||||||||||
Retirement Class | — | — | — | — | ||||||||||||
A Class | 235 | 3 | 1,961 | 1,412 | ||||||||||||
C Class | 58 | — | 1,267 | 638 | ||||||||||||
Capital gain | ||||||||||||||||
Institutional Class | 27 | 22 | 164 | 6 | ||||||||||||
Y Class | 34 | 11 | 127 | 1 | ||||||||||||
Investor Class | 46 | 39 | 667 | 10 | ||||||||||||
Retirement Class | — | — | — | — | ||||||||||||
A Class | 52 | 44 | 178 | 3 | ||||||||||||
C Class | 14 | 9 | 131 | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions paid | $ | 946 | $ | 150 | $ | 15,064 | $ | 9,700 | ||||||||
|
|
|
|
|
|
|
|
* | For tax purposes, short-term capital gains are considered ordinary income distributions. |
As of February 28, 2013, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):
The London Company Income Equity | Zebra Global Equity | Zebra Small Cap Equity | SiM High Yield Opportunities | |||||||||||||
Cost basis of investments for federal income tax purposes** | $ | 27,358 | $ | 8,080 | $ | 5,743 | $ | 442,273 | ||||||||
Unrealized appreciation | 1,851 | 518 | 1,063 | 24,827 | ||||||||||||
Unrealized depreciation | (211 | ) | (127 | ) | (229 | ) | (1,272 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net unrealized appreciation or (depreciation) | 1,640 | 391 | 834 | 23,555 | ||||||||||||
Undistributed ordinary income | 71 | — | — | 5,887 | ||||||||||||
Accumulated long-term gain or (loss) | 38 | 629 | — | — | ||||||||||||
Other temporary differences | — | — | — | (1,312 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributable earnings or (deficits) | $ | 1,749 | $ | 1,020 | $ | 834 | $ | 28,130 | ||||||||
|
|
|
|
|
|
|
|
** | Includes fair value of swap agreements. |
48
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
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 or depreciation are attributable primarily to the tax deferral of losses from wash sales, the realization for tax purposes of unrealized gain or (loss) on certain derivative instruments, reclassifications of income from real estate investment securities, and reclassification of income from publicly traded partnerships.
Due to inherent differences in the recognition of income and expenses and realized gains or (losses) under U.S. GAAP and federal 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 REITs, foreign currency and income from publicly traded partnerships that have been reclassified as of February 28, 2013 (in thousands):
The London Company Income Equity | Zebra Global Equity | Zebra Small Cap Equity | SiM High Yield Opportunities | |||||||||||||
Paid-in-capital | $ | — | $ | 24 | $ | (553 | ) | $ | — | |||||||
Undistributed net investment income | (5 | ) | (48 | ) | 431 | 55 | ||||||||||
Accumulated net realized gain or (loss) | 6 | 23 | 122 | (55 | ) | |||||||||||
Unrealized appreciation or (depreciation) of investments, futures contracts, and swap agreements | (1 | ) | 1 | — | — |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the RIC MOD, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Finally, the RIC MOD contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the RIC MOD is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.
As of February 28, 2013, the Funds did not have capital loss carryforwards.
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales of investments other than short-term obligations for the six months ended February 28, 2013 were (in thousands):
Purchases | Sales | |||||||
The London Company Income Equity Fund | $ | 14,457 | $ | 1,430 | ||||
Zebra Global Equity | 11,865 | 17,732 | ||||||
Zebra Small Cap Equity | 1,233 | 1,976 | ||||||
SiM High Yield Opportunities | 274,212 | 130,129 |
49
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
9. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Fund (dollars and shares in thousands):
For the Six Months ended February 28, 2013
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
The London Company Income Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 334 | $ | 3,520 | 274 | $ | 2,914 | 396 | $ | 4,199 | |||||||||||||||
Reinvestment of dividends | 16 | 166 | 3 | 35 | 4 | 43 | ||||||||||||||||||
Shares redeemed | (22 | ) | (223 | ) | (14 | ) | (146 | ) | (98 | ) | (1,025 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 328 | $ | 3,463 | 263 | $ | 2,803 | 302 | $ | 3,217 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
A Class | C Class | |||||||||||||||||||||||
The London Company Income Equity | Shares | Amount | Shares | Amount | ||||||||||||||||||||
Shares sold | 354 | $ | 3,790 | 76 | $ | 819 | ||||||||||||||||||
Reinvestment of dividends | 4 | 42 | 1 | 8 | ||||||||||||||||||||
Shares redeemed | (8 | ) | (90 | ) | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase in shares outstanding | 350 | $ | 3,742 | 77 | $ | 827 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Zebra Global Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 4 | $ | 50 | 1 | $ | 17 | 9 | $ | 113 | |||||||||||||||
Reinvestment of dividends | 6 | 73 | 2 | 21 | 11 | 137 | ||||||||||||||||||
Shares redeemed | (24 | ) | (307 | ) | (8 | ) | (106 | ) | (93 | ) | (1,179 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net (decrease) in shares outstanding | (14 | ) | $ | (184 | ) | (5 | ) | $ | (68 | ) | (73 | ) | $ | (929 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Retirement Class | A Class | C Class | ||||||||||||||||||||||
Zebra Global Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | — | $ | — | 19 | $ | 246 | — | $ | 1 | |||||||||||||||
Reinvestment of dividends | — | — | 42 | 511 | 2 | 25 | ||||||||||||||||||
Shares redeemed | — | — | (376 | ) | (4,773 | ) | (13 | ) | (165 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net (decrease) in shares outstanding | — | $ | — | (315 | ) | $ | (4,016 | ) | (11 | ) | $ | (139 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Zebra Small Cap Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 21 | $ | 255 | 17 | $ | 215 | 25 | $ | 297 | |||||||||||||||
Reinvestment of dividends | 13 | 149 | 17 | 186 | 21 | 239 | ||||||||||||||||||
Shares redeemed | (9 | ) | (106 | ) | — | (271 | ) | (36 | ) | (426 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 25 | $ | 298 | 34 | $ | 130 | 10 | $ | 110 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Retirement Class | A Class | C Class | ||||||||||||||||||||||
Zebra Small Cap Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | — | $ | — | 11 | $ | 128 | 2 | $ | 29 | |||||||||||||||
Reinvestment of dividends | — | — | 19 | 209 | 6 | 70 | ||||||||||||||||||
Shares redeemed | (22 | ) | — | (57 | ) | (703 | ) | (4 | ) | (57 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | (22 | ) | $ | — | (27 | ) | $ | (366 | ) | 4 | $ | 42 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
SiM High Yield Opportunities | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 1,987 | $ | 20,532 | 4,203 | $ | 43,514 | 11,896 | $ | 121,935 | |||||||||||||||
Reinvestment of dividends | 208 | 2,144 | 116 | 1,203 | 671 | 6,896 | ||||||||||||||||||
Shares redeemed | (2,383 | ) | (24,364 | )* | (564 | ) | (5,865 | )* | (5,235 | ) | (53,778 | )* | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | (188 | ) | $ | (1,688 | ) | 3,755 | $ | 38,852 | 7,332 | $ | 75,053 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
50
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
A Class | C Class | |||||||||||||||||||||||
SiM High Yield Opportunities | Shares | Amount | Shares | Amount | ||||||||||||||||||||
Shares sold | 2,760 | $ | 28,443 | 2,375 | $ | 24,484 | ||||||||||||||||||
Reinvestment of dividends | 122 | 1,258 | 87 | 899 | ||||||||||||||||||||
Shares redeemed | (651 | ) | (6,692 | )* | (94 | ) | (969 | )* | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase in shares outstanding | 2,231 | $ | 23,009 | 2,368 | $ | 24,414 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
For the Year ended August 31, 2012 | ||||||||||||||||||||||||
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
The London Company Income Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 523 | 5,500 | 42 | $ | 442 | 188 | $ | 1,974 | ||||||||||||||||
Reinvestment of dividends | 2 | 20 | — | 1 | — | 1 | ||||||||||||||||||
Shares redeemed | — | (3 | ) | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 525 | 5,517 | 42 | $ | 443 | 188 | $ | 1,975 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
A Class | C Class | |||||||||||||||||||||||
The London Company Income Equity | Shares | Amount | Shares | Amount | ||||||||||||||||||||
Shares sold | 52 | $ | 544 | 16 | $ | 170 | ||||||||||||||||||
Reinvestment of dividends | — | 1 | — | — | ||||||||||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase in shares outstanding | 52 | $ | 545 | 16 | $ | 170 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Zebra Global Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 32 | $ | 367 | 18 | $ | 218 | 60 | $ | 715 | |||||||||||||||
Reinvestment of dividends | 2 | 19 | 1 | 8 | 2 | 27 | ||||||||||||||||||
Shares redeemed | (117 | ) | (1,419 | ) | (63 | ) | (774 | ) | (252 | ) | (3,093 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net (decrease) in shares outstanding | (83 | ) | $ | (1,033 | ) | (44 | ) | $ | (548 | ) | (190 | ) | $ | (2,351 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Retirement Class | A Class | C Class | ||||||||||||||||||||||
Zebra Global Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | — | $ | — | 235 | $ | 2,748 | 7 | $ | 84 | |||||||||||||||
Reinvestment of dividends | — | — | 3 | 30 | — | 1 | ||||||||||||||||||
Shares redeemed | — | — | (90 | ) | (1,057 | ) | (9 | ) | (118 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | — | $ | — | 148 | $ | 1,721 | (2 | ) | $ | (33 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Zebra Small Cap Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 69 | $ | 838 | 82 | $ | 981 | 32 | $ | 380 | |||||||||||||||
Reinvestment of dividends | 3 | 31 | 1 | 17 | 4 | 44 | ||||||||||||||||||
Shares redeemed | (115 | ) | (1,375 | ) | (11 | ) | (139 | ) | (97 | ) | (1,132 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | (43 | ) | $ | (506 | ) | 72 | $ | 859 | (61 | ) | $ | (708 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Retirement Class | A Class | C Class | ||||||||||||||||||||||
Zebra Small Cap Equity | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | — | $ | — | 40 | $ | 458 | 7 | $ | 81 | |||||||||||||||
Reinvestment of dividends | — | — | 4 | 42 | 1 | 9 | ||||||||||||||||||
Shares redeemed | — | — | (81 | ) | (924 | ) | (3 | ) | (40 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | — | $ | — | (37 | ) | $ | (424 | ) | 5 | $ | 50 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
51
American Beacon FundsSM
Notes to Financial Statements
February 28, 2013 (Unaudited)
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
SiM High Yield Opportunities | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 5,528 | $ | 53,914 | 1,911 | $ | 18,513 | 15,330 | $ | 148,359 | |||||||||||||||
Reinvestment of dividends | 265 | 2,575 | 45 | 444 | 389 | 3,777 | ||||||||||||||||||
Shares redeemed | (518 | ) | (5,021 | )* | (68 | ) | (653 | )* | (1,044 | ) | (9,920 | )* | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 5,275 | $ | 51,468 | 1,888 | $ | 18,304 | 14,675 | $ | 142,216 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
A Class | C Class | |||||||||||||||||||||||
SiM High Yield Opportunities | Shares | Amount | Shares | Amount | ||||||||||||||||||||
Shares sold | 3,957 | $ | 38,326 | 2,557 | $ | 24,842 | ||||||||||||||||||
Reinvestment of dividends | 80 | 771 | 40 | 389 | ||||||||||||||||||||
Shares redeemed | (245 | ) | (2,330 | )* | (44 | ) | (418 | )* | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase in shares outstanding | 3,792 | $ | 36,767 | 2,553 | $ | 24,813 | ||||||||||||||||||
|
|
|
|
|
|
|
|
* | Net of Redemption Fees |
52
This page intentionally left blank.
53
American Beacon The London Company Income Equity FundSM
(For a share outstanding throughout the period)
Institutional Class | Y Class | Investor Class | A Class | |||||||||||||||||||||||||||||
Six Months Ended Feb. 28, 2013 | May 29 to Aug. 31, 2012 | Six Months Ended Feb. 28, 2013 | May 29 to Aug. 31, 2012 | Six Months Ended Feb. 28, 2013 | May 29 to Aug. 31, 2012 | Six Months Ended Feb. 28, 2013 | May 29 to Aug. 31, 2012 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.49 | $ | 10.00 | $ | 10.49 | $ | 10.00 | $ | 10.48 | $ | 10.00 | $ | 10.47 | $ | 10.00 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income | 0.19 | 0.06 | 0.20 | 0.05 | 0.15 | 0.05 | 0.19 | 0.05 | ||||||||||||||||||||||||
Net gains from investments (both realized and unrealized) | 0.66 | 0.47 | 0.65 | 0.48 | 0.68 | 0.47 | 0.64 | 0.46 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total income from investment operations | 0.85 | 0.53 | 0.85 | 0.53 | 0.83 | 0.52 | 0.83 | 0.51 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.16 | ) | (0.04 | ) | (0.20 | ) | (0.04 | ) | (0.16 | ) | (0.04 | ) | (0.20 | ) | (0.04 | ) | ||||||||||||||||
Distributions from net realized gains of securities | (0.01 | ) | — | (0.01 | ) | — | (0.01 | ) | — | (0.01 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions | (0.17 | ) | (0.04 | ) | (0.21 | ) | (0.04 | ) | (0.17 | ) | (0.04 | ) | (0.21 | ) | (0.04 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net asset value, end of period | $ | 11.17 | $ | 10.49 | $ | 11.13 | $ | 10.49 | $ | 11.14 | $ | 10.48 | $ | 11.09 | $ | 10.47 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total return A, E | 8.20 | %B | 5.31 | %B | 8.20 | %B | 5.31 | %B | 8.05 | %B | 5.21 | %B | 7.92 | %B | 5.11 | %B | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,665 | $ | 10,331 | $ | 3,511 | $ | 551 | $ | 5,568 | $ | 2,073 | $ | 4,563 | $ | 647 | ||||||||||||||||
Ratios to average net assets:D | ||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.61 | % | 7.28 | % | 1.76 | % | 10.59 | % | 2.06 | % | 10.14 | % | 2.13 | % | 11.94 | % | ||||||||||||||||
Expenses, net of reimbursements | 0.79 | % | 0.79 | % | 0.88 | % | 0.89 | % | 1.16 | % | 1.17 | % | 1.28 | % | 1.29 | % | ||||||||||||||||
Net investment income (loss), before reimbursements | 2.87 | % | (3.99 | )% | 2.85 | % | (7.30 | )% | 1.96 | % | (6.99 | )% | 2.48 | % | (8.87 | )% | ||||||||||||||||
Net investment income, net of reimbursements | 3.70 | % | 2.50 | % | 3.73 | % | 2.40 | % | 2.86 | % | 1.99 | % | 3.33 | % | 1.78 | % | ||||||||||||||||
Portfolio turnover rate | 7 | %B | 6 | %C | 7 | %B | 6 | %C | 7 | %B | 6 | %C | 7 | %B | 6 | %C |
A | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
B | Not annualized. |
C | Portfolio turnover rate is for the period from May 29 through August 31, 2012. |
D | Annualized. |
E | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
54
American Beacon The London Company Income Equity FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||
Six Months Ended Feb. 28, 2013 | May 29 to Aug. 31, 2012 | |||||
(unaudited) | ||||||
$ | 10.46 |
| $ | 10.00 | ||
|
|
|
| |||
|
|
| ||||
| 0.16 |
| 0 .04 | |||
|
0.61 |
| 0 .46 | |||
|
|
|
| |||
| 0.77 |
| 0 .50 | |||
| (0.17) |
| (0 .04) | |||
|
(0.01) |
| — | |||
(0.18) | (0 .04) | |||||
$ | 11.05 | $ | 10.46 | |||
|
|
|
| |||
7.44 | %B | 5.01 | %B | |||
$ | 1,145 | $ | 274 | |||
| 3.88 | % | 13.83 | % | ||
|
2.03 |
% | 2.04 | % | ||
|
0.53 |
% | (10.65 | )% | ||
| 2.38 | % | 1 .14 | % | ||
7 | %B | 6 | %C |
55
American Beacon Zebra Global Equity FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | Y Class | |||||||||||||||||||||||||||||||
Six Months Ended Feb. 28, 2013 | Year Ended August 31, | June 1 to Aug, 31, 2010 | Six Months Ended Feb. 28, | Year Ended August 31, | June 1 to Aug. 31, 2010 | |||||||||||||||||||||||||||
2012 | 2011 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||
(unaudited | ) | (unaudited | ) | |||||||||||||||||||||||||||||
Net asset value+, beginning of period | $ | 12 .57 | $ | 11.46 | $ | 10.10 | $ | 10.00 | $ | 12 .68 | $ | 11.58 | $ | 10.10 | $ | 10.00 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income | 0 .25 | 0 .39 | 0 .23 | 0 .05 | 0 .26 | 0 .38 | 0 .13 | 0 .02 | A | |||||||||||||||||||||||
Net gains from investments (both realized and unrealized) | 0 .95 | 0 .84 | 1 .41 | 0 .05 | 0 .96 | 0 .84 | 1 .51 | 0 .08 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total income from investment operations | 1 .20 | 1 .23 | 1 .64 | 0 .10 | 1 .22 | 1 .22 | 1 .64 | 0 .10 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||
Dividends from net investment income | (0 .35 | ) | (0 .12 | ) | (0 .17 | ) | — | (0 .35 | ) | (0 .12 | ) | (0 .05 | ) | — | ||||||||||||||||||
Distributions from net realized gains of securities | (0 .86 | ) | — | (0 .11 | ) | — | (0 .86 | ) | — | (0 .11 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions | (1 .21 | ) | (0 .12 | ) | (0 .28 | ) | — | (1 .21 | ) | (0 .12 | ) | (0 .16 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net asset value, end of period | $ | 12 .56 | $ | 12.57 | $ | 11.46 | $ | 10.10 | $ | 12 .69 | $ | 12.68 | $ | 11.58 | $ | 10.10 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total return B, F | 9 .61 | %C | 10.85 | % | 16.19 | % | 1.00 | %C | 10 .02 | %C | 10.68 | % | 16.18 | % | 1.00 | %C | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 721 | $ | 899 | $ | 1,776 | $ | 1,005 | $ | 218 | $ | 285 | $ | 768 | $ | 84 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2 .25 | %D | 1.84 | % | 2.38 | % | 6.33 | %D | 2 .25 | %D | 1.91 | % | 2.57 | % | 6.00 | %D | ||||||||||||||||
Expenses, net of reimbursements | 0 .79 | %D | 0.79 | % | 0.77 | % | 0.79 | %D | 0 .89 | %D | 0.89 | % | 0.86 | % | 0.89 | %D | ||||||||||||||||
Net investment income (loss), before reimbursements | 0 .97 | %D | 0.62 | % | (0.16 | )% | (3.63 | )%D | 1 .01 | %D | 0.53 | % | (0.42 | )% | (3.24 | )%D | ||||||||||||||||
Net investment income, net of reimbursements | 2 .43 | %D | 1.67 | % | 1.45 | % | 1.91 | %D | 2 .37 | %D | 1.54 | % | 1.29 | % | 1.87 | %D | ||||||||||||||||
Portfolio turnover rate | 107 | %C | 66 | % | 24 | % | 0 | %C,E | 107 | %C | 66 | % | 24 | % | 0 | %C,E |
A | Based on average shares outstanding. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from June 1 through August 31, 2010. |
F | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
56
American Beacon Zebra Global Equity FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | Retirement Class | A Class | C Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Year Ended August 31, | June 1 to Aug. 31, | Six Months Ended Feb. 28, | Year Ended August 31, | June 1 to Aug. 31, | Six Months Ended Feb. 28, | Year Ended August 31, | June 1 to Aug. 31, | Six Months Ended Feb. 28, | Year Ended August 31, | ||||||||||||||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2013 | 2012 | 2011 | 2010 | 2013 | 2012 | 2012 | 2010 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$12.64 | $ | 11.53 | $ | 10.08 | $ | 10.00 | $ | 12.59 | $ | 11.49 | $ | 10.08 | $ | 10.00 | $ | 12.65 | $ | 11.54 | $ | 10.08 | $ | 10.00 | $ | 12.52 | $ | 11.46 | $ | 10.32 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
0.22 | 0.18 | 0.09 | 0.03 | A | 0.10 | 0.12 | 0.09 | 0.03 | 0.20 | 0.14 | 0.03 | 0.03 | 0.09 | 0.06 | 0.02 | |||||||||||||||||||||||||||||||||||||||||||
0.98 | 1.02 | 1.51 | 0.05 | 1.06 | 1.03 | 1.48 | 0.05 | 0.99 | 1.04 | 1.56 | 0.05 | 1.04 | 1.03 | 1.25 | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
1.20 | 1.20 | 1.60 | 0.08 | 1.16 | 1.15 | 1.57 | 0.08 | 1.19 | 1.18 | 1.59 | 0.08 | 1.13 | 1.09 | 1.27 | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
(0.26) | (0.09 | ) | (0.04 | ) | — | (0.19 | ) | (0.05 | ) | (0.05 | ) | — | (0.24 | ) | (0.07 | ) | (0.02 | ) | — | (0.11 | ) | (0.03 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
(0.86) | — | (0.11 | ) | — | (0.86 | ) | — | (0.11 | ) | — | (0.86 | ) | — | (0.11 | ) | — | (0.86 | ) | — | (0.11 | ) | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
(1.12) | (0.09 | ) | (0.15 | ) | — | (1.05 | ) | (0.05 | ) | (0.16 | ) | — | (1.10 | ) | (0.07 | ) | (0.13 | ) | — | (0.97 | ) | (0.03 | ) | (0.13 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
$12.72 | $ | 12.64 | $ | 11.53 | $ | 10.08 | $ | 12.70 | $ | 12.59 | $ | 11.49 | $ | 10.08 | $ | 12.74 | $ | 12.65 | $ | 11.54 | $ | 10.08 | $ | 12.68 | $ | 12.52 | $ | 11.46 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
9.85%C | 10.47 | % | 15.86 | % | 0.80 | %C | 9.00 | %C | 10.04 | % | 15.50 | % | 0.80 | %C | 9.78 | %C | 10.33 | % | 15.74 | % | 0.80 | %C | 9.38 | %C | 9.50 | % | 12.24 | % | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
$1,243 | $ | 2,159 | $ | 4,160 | $ | 114 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 6,005 | $ | 9,945 | $ | 7,369 | $ | 1 | $ | 313 | $ | 447 | $ | 437 | ||||||||||||||||||||||||||||||
2.62%D | 2.25 | % | 2.45 | % | 6.12 | %D | 4.05 | %D | 9.28 | % | 142.53 | % | 7.00 | %D | 2.62 | %D | 2.40 | % | 2.26 | % | 7.17 | %D | 3.45 | %D | 3.18 | % | 3.92 | % | ||||||||||||||||||||||||||||||
1.17%D | 1.17 | % | 1.14 | % | 0.93 | %D | 1.54 | %D | 1.54 | % | 1.41 | % | 1.54 | %D | 1.29 | %D | 1.29 | % | 1.25 | % | 1.32 | %D | 2.04 | %D | 2.04 | % | 1.96 | % | ||||||||||||||||||||||||||||||
0.64%D | 0.17 | % | (0.23 | )% | (3.86 | )%D | (0.82 | )%D | (6.75 | )% | (140.35 | )% | (4.30 | )%D | 0.69 | %D | 0.13 | % | (0.11 | )% | (4.53 | )%D | (0.16 | )%D | (0.67 | )% | (1.76 | )% | ||||||||||||||||||||||||||||||
2.09%D | 1.26 | % | 1.08 | % | 1.33 | %D | 1.69 | %D | 0.99 | % | 0.77 | % | 1.17 | %D | 2.01 | %D | 1.24 | % | 0.90 | % | 1.33 | %D | 1.24 | %D | 0.47 | % | 0.21 | % | ||||||||||||||||||||||||||||||
107%C | 66 | % | 24 | % | 0 | %C,E | 107 | %C | 66 | % | 24 | % | 0 | %C,E | 107 | %C | 66 | % | 24 | % | 0 | %C,E | 107 | %C | 66 | % | 24 | % |
57
American Beacon Zebra Small Cap Equity FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | Y Class | |||||||||||||||||||||||||||||||
Six Months Ended Feb. 28, 2013 | Year Ended August 31, | June 1 to Aug. 31, 2010 | Six Months Ended Feb. 28, 2013 | Year Ended August 31, | June 1 to Aug. 31, 2010 | |||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.40 | $ | 11.30 | $ | 9.63 | $ | 10.00 | $ | 12.46 | $ | 11.36 | $ | 9.62 | $ | 10.00 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.35 | 0.27 | 0.17 | 0.03 | 0.22 | 0.06 | 0.15 | 0.03 | ||||||||||||||||||||||||
Net gains (losses) from investments (both realized and unrealized) | 1.26 | 1.15 | 1.66 | (0.40 | ) | 1.38 | 1.37 | 1.66 | (0.41 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total income (loss) from investment operations | 1.61 | 1.42 | 1.83 | (0.37 | ) | 1.60 | 1.43 | 1.81 | (0.38 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||
Dividends from net investment income | (1.17 | ) | (0.10 | ) | (0.11 | ) | — | (1.11 | ) | (0.11 | ) | (0.02 | ) | — | ||||||||||||||||||
Distributions from net realized gains of securities | (0.82 | ) | (0.22 | ) | (0.05 | ) | — | (0.82 | ) | (0.22 | ) | (0.05 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions | (1.99 | ) | (0.32 | ) | (0.16 | ) | — | (1.93 | ) | (0.33 | ) | (0.07 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net asset value, end of period | $ | 12.02 | $ | 12.40 | $ | 11.30 | $ | 9.63 | $ | 12.13 | $ | 12.46 | $ | 11.36 | $ | 9.62 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total return B, F | 14.22 | %C | 12.78 | % | 18.93 | % | (3.70 | )%C | 14.05 | %C | 12.78 | % | 18.81 | % | (3.80 | )%C | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,201 | $ | 923 | $ | 1,325 | $ | 959 | $ | 1,284 | $ | 1,174 | $ | 255 | $ | 1 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.82 | %D | 3.18 | % | 3.24 | % | 18.32 | %D | 2.80 | %D | 3.39 | % | 3.08 | % | 183.72 | %D | ||||||||||||||||
Expenses, net of reimbursements | 0.99 | %D | 0.99 | % | 0.99 | % | 0.99 | %D | 1.09 | %D | 1.09 | % | 1.09 | % | 1.09 | %D | ||||||||||||||||
Net investment income (loss), before reimbursements | 0.65 | %D | (0.71 | )% | (1.16 | )% | (16.04 | )%D | 0.62 | %D | (0.81 | )% | (1.25 | )% | (181.45 | )%D | ||||||||||||||||
Net investment income (loss), net of reimbursements | 2.48 | %D | 1.48 | % | 1.09 | % | 1.28 | %D | 2.33 | %D | 1.49 | % | 0.75 | % | 1.18 | %D | ||||||||||||||||
Portfolio turnover rate | 20 | %C | 103 | % | 66 | % | 1 | %C,E | 20 | %C | 103 | % | 66 | % | 1 | %C,E |
A | Based on average shares outstanding. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from June 1 through August 31, 2010. |
F | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
58
American Beacon Zebra Small Cap Equity FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | Retirement Class | A Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended Feb. 28, 2013 | Year Ended August 31, | June 1 to Aug. 31, 2010 | Six Months Ended Feb. 28, 2013 | Year Ended August 31, | June 1 to Aug. 31, 2010 | Six Months Ended Feb. 28, 2013 | Year Ended August 31, | June 1 to Aug. 31, 2010 | ||||||||||||||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
$ | 12.44 | $ | 11.31 | $ | 9.62 | $ | 10.00 | $ | 12.38 | $ | 11.26 | $ | 9.61 | $ | 10.00 | $ | 12.46 | $ | 11.32 | $ | 9 .61 | $ | 10.00 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
0.22 | 0.17 | 0.06 | 0.01 | A | 0.22 | 0.09 | 0.04 | 0.01 | 0.16 | 0.13 | 0.02 | 0.02 | ||||||||||||||||||||||||||||||||||
1.36 | 1.22 | 1.71 | (0.39 | ) | 1.33 | 1.25 | 1.69 | (0.40 | ) | 1.42 | 1.24 | 1.76 | (0.41 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
1.58 | 1.39 | 1.77 | (0.38 | ) | 1.55 | 1.34 | 1.73 | (0.39 | ) | 1.58 | 1.37 | 1.78 | (0.39 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(1.10 | ) | (0.04 | ) | (0.03 | ) | — | (1.02 | ) | (0.03 | ) | — | (1.09 | ) | (0.01 | ) | (0.02 | ) | — | ||||||||||||||||||||||||||||
(0.82 | ) | (0.22 | ) | (0.05 | ) | — | (0.82 | ) | (0.22 | ) | (0.05 | ) | — | (0.82 | ) | (0.22 | ) | (0.05 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(1.92 | ) | (0.26 | ) | (0.08 | ) | — | (1.84 | ) | (0.22 | ) | (0.08 | ) | — | (1.91 | ) | (0.23 | ) | (0.07 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 12.10 | $ | 12.44 | $ | 11.31 | $ | 9.62 | $ | 12.09 | $ | 12.38 | $ | 11.26 | $ | 9.61 | $ | 12.13 | $ | 12.46 | $ | 11.32 | $ | 9.61 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
13.95 | %C | 12.45 | % | 18.34 | % | (3.80 | )%C | 13.69 | %C | 12.04 | % | 18.00 | % | (3.90 | )%C | 13.87 | %C | 12.28 | % | 18.48 | % | (3.90 | )%C | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 1,749 | $ | 1,670 | $ | 2,207 | $ | 24 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1,840 | $ | 2,232 | $ | 2,451 | $ | 1 | |||||||||||||||||||||||
3.13 | %D | 3.60 | % | 3.18 | % | 55.64 | %D | 8.41 | %D | 22.23 | % | 143.33 | % | 184.07 | %D | 3.25 | %D | 3.71 | % | 3.20 | % | 186.19 | %D | |||||||||||||||||||||||
1.37 | %D | 1.37 | % | 1.36 | % | 1.36 | %D | 1.72 | %D | 1.74 | % | 1.67 | % | 1.74 | %D | 1.49 | %D | 1.49 | % | 1.47 | % | 1.49 | %D | |||||||||||||||||||||||
0.29 | %D | (1.14 | )% | (1.21 | )% | (53.84 | )%D | (5.00 | )%D | (19.76 | )% | (141.30 | )% | (181.81 | )%D | 0.10 | %D | (1.26 | )% | (1.29 | )% | (183.90 | )%D | |||||||||||||||||||||||
2.06 | %D | 1.08 | % | 0.61 | % | 0.43 | %D | 1.69 | %D | 0.72 | % | 0.36 | % | 0.52 | %D | 1.87 | %D | 0.97 | % | 0.43 | % | 0.80 | %D | |||||||||||||||||||||||
20 | %C | 103 | % | 66 | % | 1 | %C,E | 20 | %C | 103 | % | 66 | % | 1 | %C,E | 20 | %C | 103 | % | 66 | % | 1 | %C,E |
59
American Beacon Zebra Small Cap Equity FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||
Six Months Ended Feb. 28, | Year Ended August 31, | |||||||||||
2013 | 2012 | 2011 | ||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 12.28 | $ | 11.24 | $ | 9.94 | ||||||
|
|
|
|
|
| |||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.17 | 0.03 | (0.02 | ) | ||||||||
Net gains (losses) from investments (both realized and unrealized) | 1.35 | 1.23 | 1.38 | |||||||||
|
|
|
|
|
| |||||||
Total income (loss) from investment operations | 1.52 | 1.26 | 1.36 | |||||||||
|
|
|
|
|
| |||||||
Less distributions: | ||||||||||||
Dividends from net investment income | (0.97 | ) | (0.01 | ) | ||||||||
Distributions from net realized gains on securities | (0.82 | ) | (0.22 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (1.79 | ) | (0.22 | ) | (0.06 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 12.01 | $ | 12.28 | $ | 11.24 | ||||||
|
|
|
|
|
| |||||||
Total return B, F | 13.46 | %C | 11.35 | % | 13.64 | % | ||||||
|
|
|
|
|
| |||||||
Ratios and supplemental data: | ||||||||||||
Net assets, end of period (in thousands) | $ | 543 | $ | 507 | $ | 410 | ||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 4.00 | %D | 4.48 | % | 4.35 | % | ||||||
Expenses, net of reimbursements | 2.24 | %D | 2.24 | % | 2.22 | % | ||||||
Net investment income (loss), before reimbursements | (0.57 | )%D | (2.02 | )% | (2.44 | )% | ||||||
Net investment income (loss), net of reimbursements | 1.19 | %D | 0.23 | % | (0.31 | )% | ||||||
Portfolio turnover rate | 20 | %C | 103 | % | 66 | % |
A | Based on average shares outstanding. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from June 1 through August 31, 2010. |
F | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
60
This page intentionally left blank.
61
American Beacon SiM High Yield Opportunities FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | Y Class | |||||||||||||||||||||||
Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | Feb. 14 to Aug. 31, 2011 | Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | Feb. 14 to Aug. 31, 2011 | |||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.93 | $ | 9.42 | $ | 10.00 | $ | 9.92 | $ | 9.41 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.40 | 0.77 | 0.37 | 0.39 | 0.76 | 0.36 | ||||||||||||||||||
Net gains (losses) from investments (both realized and unrealized) | 0.65 | 0.51 | (0.58 | ) | 0.65 | 0.51 | (0.59 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income (loss) from investment operations | 1.05 | 1.28 | (0.21 | ) | 1.04 | 1.27 | (0.23 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.40 | ) | (0.77 | ) | (0.37 | ) | (0.39 | ) | (0.76 | ) | (0.36 | ) | ||||||||||||
Distributions from net realized gains on securities | (0.03 | ) | — | — | (0.03 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.43 | ) | (0.77 | ) | (0.37 | ) | (0.42 | ) | (0.76 | ) | (0.36 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Redemption fees added to beneficial interests A | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 10.55 | $ | 9.93 | $ | 9.42 | $ | 10.54 | $ | 9.92 | $ | 9.41 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return B, F | 10.76 | %C | 14.19 | % | (2.24 | )%C | 10.71 | %C | 14.09 | % | (2.44 | )%C | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 64,696 | $ | 62,790 | $ | 9,839 | $ | 59,887 | $ | 19,129 | $ | 378 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses, before reimbursements | 0.92 | %D | 1.06 | % | 2.62 | %D | 0.97 | %D | 1.09 | % | 5.04 | %D | ||||||||||||
Expenses, net of reimbursements | 0.84 | %D | 0.84 | % | 0.82 | %D | 0.94 | %D | 0.94 | % | 0.92 | %D | ||||||||||||
Net investment income, before reimbursements | 7.69 | %D | 7.90 | % | 5.03 | %D | 7.55 | %D | 7.92 | % | 2.87 | %D | ||||||||||||
Net investment income, net of reimbursements | 7.76 | %D | 8.12 | % | 6.83 | %D | 7.58 | %D | 8.07 | % | 6.99 | %D | ||||||||||||
Portfolio turnover rate | 36 | %C | 43 | % | 20 | %CE | 36 | %C | 43 | % | 20 | %CE |
A | Amounts represent less than $0.01 per share. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from February 14, 2011, through August 31, 2011. |
F | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
62
American Beacon SiM High Yield Opportunities FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | A Class | C Class | ||||||||||||||||||||||||||||||||
Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | Feb. 14 to Aug. 31, 2011 | Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | Feb. 14 to Aug. 31, 2011 | Six Months Ended Feb. 28, 2013 | Year Ended Aug. 31, 2012 | Feb. 14 to Aug. 31, 2011 | ||||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||||||||
$ | 9.90 | $ | 9.38 | $ | 10.00 | $ | 9.92 | $ | 9.41 | $ | 10.00 | $ | 9.94 | $ | 9.42 | $ | 10.00 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
0.38 | 0.73 | 0.35 | 0.37 | 0.72 | 0.34 | 0.33 | 0.65 | 0.30 | ||||||||||||||||||||||||||
0.64 | 0.52 | (0.62 | ) | 0.65 | 0.51 | (0.59 | ) | 0.65 | 0.52 | (0.58 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
1.02 | 1.25 | (0.27 | ) | 1.02 | 1.23 | (0.25 | ) | 0.98 | 1.17 | (0.28 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
(0.38 | ) | (0.73 | ) | (0.35 | ) | (0.37 | ) | (0.72 | ) | (0.34 | ) | (0.33 | ) | (0.65 | ) | (0.30 | ) | |||||||||||||||||
(0.03 | ) | — | — | (0.03 | ) | — | — | (0.03 | ) | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
(0.41 | ) | (0.73 | ) | (0.35 | ) | (0.40 | ) | (0.72 | ) | (0.34 | ) | (0.36 | ) | (0.65 | ) | (0.30 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 10.51 | $ | 9.90 | $ | 9.38 | $ | 10.54 | $ | 9.92 | $ | 9.41 | $ | 10.56 | $ | 9.94 | $ | 9.42 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
10.51 | %C | 13.92 | % | (2.85 | )%C | 10.48 | %C | 13.63 | % | (2.61 | )%C | 10.06 | %C | 12.90 | % | (2.88 | )%C | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 236,770 | $ | 150,396 | $ | 4,894 | $ | 69,014 | $ | 42,832 | $ | 4,932 | $ | 53,329 | $ | 26,679 | $ | 1,239 | |||||||||||||||||
1.13 | %D | 1.23 | % | 2.78 | %D | 1.39 | %D | 1.53 | % | 2.92 | %D | 2.13 | %D | 2.26 | % | 4.03 | %D | |||||||||||||||||
1.13 | %D | 1.19 | % | 1.19 | %D | 1.34 | %D | 1.34 | % | 1.31 | %D | 2.09 | %D | 2.09 | % | 2.07 | %D | |||||||||||||||||
7.44 | %D | 7.74 | % | 5.14 | %D | 7.20 | %D | 7.44 | % | 4.98 | %D | 6.44 | %D | 6.70 | % | 3.98 | %D | |||||||||||||||||
7.44 | %D | 7.78 | % | 6.73 | %D | 7.24 | %D | 7.62 | % | 6.60 | %D | 6.48 | %D | 6.87 | % | 5.94 | %D | |||||||||||||||||
36 | %C | 43 | % | 20 | %CE | 36 | %C | 43 | % | 20 | %CE | 36 | %C | 43 | % | 20 | %CE |
63
This page intentionally left blank.
64
This page intentionally left blank.
65
eDelivery is NOW AVAILABLE - Stop traditional mail delivery and receive your
shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Summary 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: | |
American Beacon Funds | ||
Call (800) 658-5811 | P.O. Box 219643 | |
Kansas City, MO 64121-9643 | ||
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, DC 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 202-551-8090. A complete schedule of the Fund’s portfolio holdings is also available at www.americanbeaconfunds.com approximately sixty days after the end of each quarter for the Zebra Funds and twenty days after the end of each month for the other Funds. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended August 31 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN | TRANSFER AGENT | INDEPENDENT REGISTERED | DISTRIBUTOR | |||||||||
State Street Bank and | Boston Financial Data | PUBLIC ACCOUNTING | Foreside Fund Services, | |||||||||
Trust | Services | FIRM | LLC | |||||||||
Boston, Massachusetts | �� | Kansas City, Missouri | Ernst & Young LLP | Portland, Maine | ||||||||
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 or Summary Prospectus.
American Beacon Funds, American Beacon The London Company Income Equity Fund, American Beacon Zebra Global Equity Fund, American Beacon Zebra Small Cap Equity Fund, and American Beacon SiM High Yield Opportunities Fund are service marks of American Beacon Advisors, Inc.
SAR 2/12
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/ Gene L. Needles, Jr. | |
Gene L. Needles, Jr. | ||
President | ||
Date: May 6, 2013 | ||
By | /s/ Melinda G. Heika | |
Melinda G. Heika | ||
Treasurer |
Date: May 6, 2013
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/ Gene L. Needles, Jr. | |
Gene L. Needles, Jr. | ||
President | ||
Date: May 6, 2013 | ||
By | /s/ Melinda G. Heika | |
Melinda G. Heika | ||
Treasurer |
Date: May 6, 2013