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 FUNDS
(Exact name of registrant as specified in charter)
220 East Las Colinas Boulevard, Suite 1200
Irving, Texas 75039
(Address of principal executive offices)-(Zip code)
GENE L. NEEDLES, JR., PRESIDENT
220 East Las Colinas Boulevard, Suite 1200
Irving, Texas 75039
(Name and address of agent for service)
Registrant’s telephone number, including area code: (817) 391-6100
Date of fiscal year end: January 31, 2019
Date of reporting period: July 31, 2018
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS 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.
CRESCENT SHORT DURATION HIGH INCOME FUND
The Fund’s investments in high-yield securities, including loans, restricted securities and floating rate securities are subject to greater levels of credit, interest rate, market and liquidity risks than investment-grade securities. Investing in foreign securities may involve heightened risk due to currency fluctuations and economic and political risks. 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 each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions, and, therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | July 31, 2018 |
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Disclosure Regarding Approval of the Management and Investment Advisory Agreements | 44 |
| Back Cover |
![]() | Dear Shareholders,
Since 1986, American Beacon has endeavored to provide investors with a disciplined approach to realizing long-term investment goals: Institutional wisdom + earned alpha = enduring value.
u We believe institutional wisdom comes from having more than 30 years of experience as manager of one of the country’s largest pension plans. As a fiduciary, we have built an investment due-diligence and oversight infrastructure, which we leverage across all our investment products. When selecting our investment managers, we focus on their people, processes and performance. We perform due-diligence reviews with each investment manager on a quarterly basis.
u We believe earned alpha – that is, the returns of an actively managed |
fund beyond a benchmark – comes from employing and engaging investment managers we believe are best-in-class and who have defined, repeatable and proven processes. Our experience has shown us that, while it’s important to be mindful of short-term considerations, having a long-term focus helps manage expectations, mitigate risks and realize goals. Thus, we seek relationships with leading investment managers who display a willingness to undertake time-intensive research strategies. The resulting investment portfolios are differentiated from their peers and allow incremental changes to help address periods of market volatility and economic uncertainty. |
u | We believe enduring value comes from “putting a portfolio in place and sticking with the plan.” Our mutual funds provide you with access to institutional-quality, research-intensive investment managers with diverse processes and styles. In the long run, having such access and spending time in the market – rather than trying to time the market – may better position you to reach your long-term investment goals. |
During periods of market volatility and economic uncertainty – such as what we’ve seen thus far in 2018 – investing for the long term requires conviction. It isn’t about identifying and anticipating the next big market move. It’s about identifying the right investment products for riding out those moves. It’s about developing an approach based on long-term participation, while seeking some measure of protection against ongoing volatility.
As a manager of managers, we strive to provide investment products that may enable investors to participate during market upswings while potentially insulating against market downswings. Many of the sub-advisors to our mutual funds pursue upside capture and/or downside protection using proprietary strategies. The investment teams behind our mutual funds seek to produce consistent, long-term results rather than focus only on short-term movements in the markets. In managing our investment products, we emphasize identifying opportunities that offer the potential for high quality and lower risk.
At American Beacon, our approach is more than a concept. It’s the cornerstone of our culture. And we strive to apply it at every turn as we seek to provide a well-diversified line of investment products for your portfolio.
Thank you for your continued interest in American Beacon. 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 Crescent Short Duration High Income FundSM
Performance Overview
July 31, 2018 (Unaudited)
The Investor Class of the American Beacon Crescent Short Duration High Income Fund (the “Fund”) returned 0.41% for the six-month period ended July 31, 2018, underperforming the Bank of America Merrill Lynch U.S. High Yield Cash Pay BB-B 1-5 Year Index (the “Index”) return of 1.59%. For additional comparison, the ICE Bank of America U.S. High Yield Index returned 0.55%, and the Credit Suisse Leveraged Loan Index returned 2.12% during the period.
Total Returns for the Period ended July 31, 2018 |
| ||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Years | Since Inception | |||||||||||||||||||||||
Institutional Class (1,3) | ACHIX | 0.49 | % | 1.84 | % | 4.15 | % | 3.34 | % | ||||||||||||||||||
Y Class (1,3) | ACHYX | 0.55 | % | 1.84 | % | 4.10 | % | 3.25 | % | ||||||||||||||||||
Investor Class (1,3) | ACHPX | 0.41 | % | 1.56 | % | 3.80 | % | 2.99 | % | ||||||||||||||||||
A without Sales Charge (1,3) | ACHAX | 0.29 | % | 1.43 | % | 3.75 | % | 2.91 | % | ||||||||||||||||||
A with Sales Charge (1,3) | ACHAX | (2.26 | )% | (1.12 | )% | 2.86 | % | 2.22 | % | ||||||||||||||||||
C without Sales Charge (1,3) | ACHCX | 0.03 | % | 0.78 | % | 2.98 | % | 2.17 | % | ||||||||||||||||||
C with Sales Charge (1,3) | ACHCX | (0.97 | )% | (0.22 | )% | 2.98 | % | 2.17 | % | ||||||||||||||||||
BofA Merrill Lynch U.S High Yield Cash Pay BB-B 1-5 Year Index (2) | 1.59 | % | 3.29 | % | 4.82 | % | 4.13 | % |
* | 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 calculated based on the published end of day net asset values as of the 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. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than the actual returns shown since inception. A Class shares have a maximum sales charge of 2.50%. 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. | The BofA Merrill Lynch U.S. High Yield Cash Pay BB-B 1-5 Year Index is an unmanaged index that generally tracks the performance of BB-B rated U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market with maturities of 1 to 5 years. One cannot directly invest in an index. |
3. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares were 1.27%, 1.37%, 1.57%, 1.67% and 2.42%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund’s sub-advisor actively allocates among traditional high-yield, floating-rate bank-loan and private-debt sectors of the bond market to seek attractive risk-adjusted returns with lower volatility than that of the high-yield market overall. This flexibility allows for dynamic allocation across markets and provides opportunity to invest outside of the traditional indices. During the period, the sub-advisor progressively reduced its allocation to traditional high-yield and increased bank loans. Much of the increase, however, came after the rise in yields in February 2018 when the Fund had a longer duration than that of the Index. At period end, high yield represented approximately 71% of Fund assets while bank loans were 19%. Private debt exposure held steady at 9%, and the remaining 1% was in cash. By period end, the Fund’s duration was 2.2 years, which was slightly shorter than the Index duration of 2.5 years.
The sub-advisor increased its allocation to floating-rate bank loans due to their attractive risk-adjusted characteristics and ability to perform well in rising rate environments. Bank loans have floating-rate coupons that fluctuate based on the London Interbank Offered Rate (LIBOR). As the Federal Reserve System continued to raise interest rates throughout the period, LIBOR rose as well, which benefited bank loans by increasing their coupon.
The period was constructive for the credit markets as both high yield bonds and bank loans reported positive returns. High yield, however, underperformed bank loans due to rising yields. The Fund’s allocation to private-market holdings was accretive as these assets continued to contribute a premium level of income.
2
American Beacon Crescent Short Duration High Income FundSM
Performance Overview
July 31, 2018 (Unaudited)
Top Ten Holdings (% Net Assets) |
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Sprint Corp., 7.250%, Due 9/15/2021 | 1.2 | |||||||
Navient Corp., 5.875%, Due 3/25/2021 | 1.1 | |||||||
Univision Communications, Inc., 5.125%, Due 5/15/2023 | 1.0 | |||||||
Hertz Corp., 5.875%, Due 10/15/2020 | 0.9 | |||||||
Freeport-McMoRan, Inc., 3.550%, Due 3/1/2022 | 0.9 | |||||||
DISH DBS Corp., 6.750%, Due 6/1/2021 | 0.8 | |||||||
Calpine Corp., 5.875%, Due 1/15/2024 | 0.8 | |||||||
Bausch Health Cos, Inc., 7.000%, Due 3/15/2024 | 0.8 | |||||||
Mclaren Finance PLC, 5.750%, Due 8/1/2022 | 0.8 | |||||||
EMC Corp., 2.650%, Due 6/1/2020 | 0.8 | |||||||
Total Fund Holdings | 400 | |||||||
Sector Allocation (% Investments) |
| |||||||
Communications | 15.0 | |||||||
Consumer, Non-Cyclical | 14.5 | |||||||
Energy | 11.3 | |||||||
Financial | 10.3 | |||||||
Technology | 9.4 | |||||||
Consumer, Cyclical | 7.6 | |||||||
Industrial | 6.8 | |||||||
Basic Materials | 6.7 | |||||||
Service | 4.9 | |||||||
Consumer | 4.1 | |||||||
Utilities | 2.8 | |||||||
Manufacturing | 2.4 | |||||||
Health Care | 1.6 | |||||||
Telecommunications | 1.4 | |||||||
Media | 0.7 | |||||||
Defense | 0.3 | |||||||
Transportation | 0.2 |
3
American Beacon Crescent Short Duration High Income FundSM
Expense Examples
July 31, 2018 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution (12b-1) fees, sub-transfer agent fees, and other Fund expenses. The Examples 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 February 1, 2018 through July 31, 2018.
Actual Expenses
The “Actual” lines of the tables provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “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 tables 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 Funds 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) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
4
American Beacon Crescent Short Duration High Income FundSM
Expense Examples
July 31, 2018 (Unaudited)
Crescent Short Duration High Income Fund |
| ||||||||||||||
Beginning Account Value 2/1/2018 | Ending Account Value 7/31/2018 | Expenses Paid During Period 2/1/2018-7/31/2018* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,004.90 | $4.23 | ||||||||||||
Hypothetical** | $1,000.00 | $1,020.60 | $4.26 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,005.50 | $4.72 | ||||||||||||
Hypothetical** | $1,000.00 | $1,020.10 | $4.76 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,004.10 | $6.11 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.70 | $6.16 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,002.90 | $6.21 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.60 | $6.26 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,000.30 | $9.92 | ||||||||||||
Hypothetical** | $1,000.00 | $1,014.90 | $9.99 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.85%, 0.95%, 1.23%, 1.25%, and 2.00% 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. |
5
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 0.00% | |||||||||||||||
Energy - 0.00% | |||||||||||||||
Oil, Gas & Consumable Fuels - 0.00% | |||||||||||||||
Energy Exploration AssetA B | 3 | $ | - | ||||||||||||
|
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Health Care - 0.00% | |||||||||||||||
Pharmaceuticals - 0.00% | |||||||||||||||
Millennium Health LLCA B | 4,651 | 200 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $26,255) | 200 | ||||||||||||||
|
| ||||||||||||||
Principal Amount | |||||||||||||||
BANK LOAN OBLIGATIONSC - 23.19% | |||||||||||||||
Basic Materials - 1.05% | |||||||||||||||
Golden Nugget, Inc., 4.827%, Due 10/4/2023, 2017 Incremental Term Loan B, (1-mo. LIBOR + 2.750%) | $ | 48,125 | 48,252 | ||||||||||||
H.B. Fuller Co., 4.086%, Due 10/20/2024, 2017 Term Loan B, (1-mo. LIBOR + 2.000%) | 112,606 | 112,558 | |||||||||||||
Las Vegas Sands LLC, 3.827%, Due 3/27/2025, 2018 Term Loan B, (1-mo. LIBOR + 1.750%) | 105,830 | 105,565 | |||||||||||||
Loparex Holding B.V., 6.584%, Due 4/11/2025, 2018 Term Loan, (3-mo. LIBOR + 4.250%) | 52,000 | 52,390 | |||||||||||||
PQ Corp., 4.577%, Due 2/8/2025, 2018 Term Loan B, (1-mo. LIBOR + 2.500%) | 123,708 | 123,580 | |||||||||||||
Prince Minerals, Inc., 5.899%, Due 3/20/2025, 2018 1st Lien Term Loan, (6-mo. LIBOR + 3.500%) | 124,688 | 125,208 | |||||||||||||
Pro Mach Group, Inc., 5.097%, Due 3/7/2025, 2018 Term Loan B, (1-mo. LIBOR + 3.000%) | 124,688 | 123,752 | |||||||||||||
Solenis International LP, | |||||||||||||||
6.179%, Due 12/18/2023, 2018 1st Lien Term Loan, (3-mo. LIBOR + 4.000%) | 100,000 | 100,419 | |||||||||||||
10.679%, Due 6/1/2026, 2018 2nd Lien Term Loan, (3-mo. LIBOR + 8.500%) | 60,000 | 59,050 | |||||||||||||
Univar, Inc., 4.577%, Due 7/1/2024, 2017 USD Term Loan B, (1-mo. LIBOR + 2.500%) | 88,630 | 88,837 | |||||||||||||
|
| ||||||||||||||
939,611 | |||||||||||||||
|
| ||||||||||||||
Consumer - 4.02% | |||||||||||||||
Albertsons LLC, 4.827%, Due 8/25/2021, USD 2017 Term Loan B4, (1-mo. LIBOR + 2.750%) | 38,902 | 38,734 | |||||||||||||
Alphabet Holding Co., Inc., 5.577%, Due 9/26/2024, 2017 1st Lien Term Loan, (1-mo. LIBOR + 3.500%) | 124,063 | 116,256 | |||||||||||||
AMCP Clean Acquisition Company LLC, | |||||||||||||||
Due 6/16/2025, 2018 Delayed Draw Term LoanD E | 5,226 | 5,226 | |||||||||||||
6.334%, Due 6/16/2025, 2018 Term Loan, (3-mo. LIBOR + 4.250%) | 21,774 | 21,774 | |||||||||||||
CHG PPC Parent LLC, 4.827%, Due 3/31/2025, 2018 Term Loan B, (1-mo. LIBOR + 2.750%) | 114,000 | 113,858 | |||||||||||||
Community Health Systems, Inc., 5.557%, Due 1/27/2021, Term Loan H, (3-mo. LIBOR + 3.250%) | 23,429 | 22,996 | |||||||||||||
Container Store, Inc. (The), 9.077%, Due 8/15/2021, 2017 Term Loan B, (1-mo. LIBOR + 7.000%) | 109,435 | 109,709 | |||||||||||||
Crown Finance US, Inc., 4.577%, Due 2/28/2025, 2018 USD Term Loan, (1-mo. LIBOR + 2.500%) | 124,688 | 124,259 | |||||||||||||
CSC Holdings LLC, 4.572%, Due 1/25/2026, 2018 Term Loan B, (1-mo. LIBOR + 2.500%) | 124,688 | 124,479 | |||||||||||||
CVS Holdings LP, 5.080%, Due 2/6/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 3.000%) | 124,688 | 123,596 | |||||||||||||
Dhanani Group, Inc., Due 6/27/2025, 2018 Term Loan BE | 100,000 | 99,000 | |||||||||||||
Endo Luxembourg Finance Co. I S.a.r.l., 6.375%, Due 4/29/2024, 2017 Term Loan B, (1-mo. LIBOR + 4.250%) | 123,750 | 123,776 | |||||||||||||
Global Appliance, Inc., 6.080%, Due 9/29/2024, Term Loan B, (1-mo. LIBOR + 4.000%) | 124,063 | 124,373 | |||||||||||||
GYP Holdings III Corp., 4.827%, Due 6/1/2025, 2018 Term Loan B, (1-mo. LIBOR + 2.750%) | 71,434 | 70,719 | |||||||||||||
IRB Holding Corp., 5.347%, Due 2/5/2025, 1st Lien Term Loan, (1-mo. LIBOR + 3.250%) | 124,688 | 125,414 | |||||||||||||
Mohegan Tribal Gaming Authority, Due 10/13/2023, 2016 Term Loan BE | 52,280 | 48,817 | |||||||||||||
Next Level Apparel, Inc., Due 7/17/2024, 2018 Term LoanE | 125,000 | 123,125 | |||||||||||||
P.F. Chang’s China Bistro, Inc., 7.670%, Due 8/18/2022, 2017 Term Loan B, (6-mo. LIBOR + 5.000%) | 124,063 | 123,907 | |||||||||||||
Packers Holdings LLC, 5.347%, Due 12/4/2024, 2017 Term Loan B, (1-mo. LIBOR + 3.250%) | 124,375 | 124,220 | |||||||||||||
Parexel International Corp., 4.827%, Due 9/27/2024, Term Loan B, (1-mo. LIBOR + 2.750%) | 75,809 | 75,544 | |||||||||||||
Rodan & Fields LLC, 6.072%, Due 6/6/2025, 2018 Term Loan B, (1-mo. LIBOR + 4.000%) | 100,000 | 100,625 | |||||||||||||
RSC Acquisition, Inc., 6.750%, Due 11/30/2022, 2018 1st Lien Term Loan, (6-mo. LIBOR + 4.250%) | 282,429 | 281,723 | |||||||||||||
Scientific Games International, Inc., 4.903%, Due 8/14/2024, 2018 Term Loan B5, (1-mo. LIBOR + 2.750%) | 166,376 | 166,399 | |||||||||||||
Shutterfly, Inc., 4.830%, Due 8/17/2024, Term Loan B2, (1-mo. LIBOR + 2.750%) | 125,000 | 125,469 | |||||||||||||
SMG Holdings, Inc., 5.327%, Due 1/23/2025, 2017 1st Lien Term Loan, (1-mo. LIBOR + 3.250%) | 124,688 | 124,843 | |||||||||||||
SRS Distribution, Inc., 5.580%, Due 5/23/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.250%) | 126,000 | 123,795 | |||||||||||||
Staples, Inc., 6.358%, Due 9/12/2024, 2017 Term Loan B, (3-mo. LIBOR + 4.000%) | 54,183 | 53,656 | |||||||||||||
Strategic Partners, Inc., 5.827%, Due 6/30/2023, 2016 Term Loan, (1-mo. LIBOR + 3.750%) | 118,505 | 118,653 | |||||||||||||
Team Health Holdings, Inc., 4.827%, Due 2/6/2024, 1st Lien Term Loan, (1-mo. LIBOR + 2.750%) | 21,889 | 21,260 | |||||||||||||
TGP Holdings III LLC, | |||||||||||||||
6.584%, Due 9/25/2024, 2018 1st Lien Term Loan, (3-mo. LIBOR + 4.250%) | 194,196 | 194,681 | |||||||||||||
10.834%, Due 9/25/2025, 2nd Lien Term Loan, (3-mo. LIBOR + 8.500%) | 50,000 | 50,500 |
See accompanying notes
6
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
BANK LOAN OBLIGATIONSc - 23.19% (continued) | |||||||||||||||
Consumer - 4.02% (continued) | |||||||||||||||
TMK Hawk Parent Corp., 5.580%, Due 8/28/2024, 2017 1st Lien Term Loan, (1-mo. LIBOR + 3.500%) | $ | 124,076 | $ | 124,037 | |||||||||||
Varsity Brands, Inc., 5.577%, Due 12/15/2024, 2017 Term Loan B, (1-mo. LIBOR + 3.500%) | 124,375 | 124,308 | |||||||||||||
Wheel Pros LLC, 6.850%, Due 3/16/2025, 1st Lien Term Loan, (1-mo. LIBOR + 4.750%) | 168,000 | 166,320 | |||||||||||||
|
| ||||||||||||||
3,616,051 | |||||||||||||||
|
| ||||||||||||||
Defense - 0.28% | |||||||||||||||
Keyw Corp. (The), 6.597%, Due 5/2/2024, 1st Lien Term Loan, (1-mo. LIBOR + 4.500%) | 89,000 | 90,001 | |||||||||||||
TransDigm, Inc., 4.577%, Due 6/9/2023, 2018 Term Loan F, (1-mo. LIBOR + 2.500%) | 165,638 | 165,659 | |||||||||||||
|
| ||||||||||||||
255,660 | |||||||||||||||
|
| ||||||||||||||
Energy - 0.58% | |||||||||||||||
California Resources Corp., | |||||||||||||||
12.439%, Due 12/31/2021, Second Out Term Loan, (3-mo. LIBOR + 10.375%) | 12,000 | 13,230 | |||||||||||||
6.831%, Due 12/31/2022, 2017 1st Lien Term Loan, (1-mo. LIBOR + 4.750%) | 13,000 | 13,206 | |||||||||||||
Energy & Exploration Partners, Inc., 5.000%, Due 5/13/2022, 2016 2nd Lien PIK Term Loan, PIK (in-kind rate 5.000%) | 6,830 | 69 | |||||||||||||
Lucid Energy Group II LLC, 5.079%, Due 2/17/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 3.000%) | 124,688 | 120,791 | |||||||||||||
McDermott Technology Americas, Inc., 7.077%, Due 5/10/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 5.000%) | 124,688 | 125,373 | |||||||||||||
Medallion Midland Acquisition LLC, 5.327%, Due 10/30/2024, 1st Lien Term Loan, (1-mo. LIBOR + 3.250%) | 124,375 | 122,237 | |||||||||||||
PowerTeam Services LLC, 5.584%, Due 2/27/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.250%) | 124,688 | 123,675 | |||||||||||||
|
| ||||||||||||||
518,581 | |||||||||||||||
|
| ||||||||||||||
Financial - 3.50% | |||||||||||||||
1011778 B.C. Unlimited Liability Co., 4.327%, Due 2/16/2024, Term Loan B3, (1-mo. LIBOR + 2.250%) | 186,620 | 186,426 | |||||||||||||
Acrisure LLC, 6.592%, Due 11/22/2023, 2017 Term Loan B, (3-mo. LIBOR + 4.250%) | 126,850 | 126,977 | |||||||||||||
Alera Group Holdings, Inc., Due 7/25/2025, 2018 Term Loan BE | 100,000 | 100,250 | |||||||||||||
AssuredPartners, Inc., 5.327%, Due 10/22/2024, 2017 1st Lien Add-On Term Loan, (1-mo. LIBOR + 3.250%) | 133,661 | 133,761 | |||||||||||||
Asurion LLC, | |||||||||||||||
5.077%, Due 11/3/2024, 2018 Term Loan B7, (1-mo. LIBOR + 3.000%) | 100,273 | 100,111 | |||||||||||||
8.577%, Due 8/4/2025, 2017 2nd Lien Term Loan, (1-mo. LIBOR + 6.500%) | 101,436 | 102,852 | |||||||||||||
Avolon TLB Borrower (US) LLC, 4.086%, Due 1/15/2025, Term Loan B3, (1-mo. LIBOR + 2.000%) | 146,000 | 144,922 | |||||||||||||
Capital Automotive LP, 8.080%, Due 3/24/2025, 2017 2nd Lien Term Loan, (1-mo. LIBOR + 6.000%) | 116,900 | 118,654 | |||||||||||||
Edelman Financial Center, LLC, 5.592%, Due 7/21/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.250%) | 115,000 | 115,623 | |||||||||||||
EIG Management Co. LLC, 6.079%, Due 2/22/2025, 2018 Term Loan B, (3-mo. LIBOR + 3.750%) | 103,740 | 104,345 | |||||||||||||
First Data Corp., | |||||||||||||||
4.069%, Due 7/8/2022, 2017 USD Term Loan, (1-mo. LIBOR + 2.000%) | 143,345 | 143,328 | |||||||||||||
Due 4/26/2024, 2024 USD Term LoanE | 35,000 | 34,984 | |||||||||||||
Focus Financial Partners LLC, 4.827%, Due 7/3/2024, 2018 1st Lien Term Loan, (1-mo. LIBOR + 2.750%) | 124,063 | 123,956 | |||||||||||||
Franklin Square Holdings, L.P., Due 7/25/2025, 2018 Term Loan BE | 100,000 | 100,125 | |||||||||||||
Genworth Financial, Inc., 6.578%, Due 3/7/2023, Term Loan, (1-mo. LIBOR + 4.500%) | 124,688 | 126,948 | |||||||||||||
GGP, Inc., Due 5/4/2025, 1st Lien Term Loan BE | 38,000 | 37,667 | |||||||||||||
Hub International Ltd., 5.335%, Due 4/25/2025, 2018 Term Loan B, (3-mo. LIBOR + 3.000%) | 100,000 | 99,900 | |||||||||||||
Iron Mountain, Inc., 3.827%, Due 1/2/2026, 2018 Term Loan B, (1-mo. LIBOR + 1.750%) | 112,718 | 111,168 | |||||||||||||
iStar, Inc., 4.842%, Due 6/28/2023, 2016 Term Loan B, (3-mo. LIBOR + 2.750%) | 97,000 | 97,000 | |||||||||||||
Jane Street Group LLC, 5.827%, Due 8/25/2022, 2018 Term Loan B, (1-mo. LIBOR + 3.750%) | 82,179 | 82,898 | |||||||||||||
Paradigm Acquisition Corp., 6.703%, Due 10/11/2024, 1st Lien Term Loan, (6-mo. LIBOR + 4.250%) | 186,065 | 186,763 | |||||||||||||
Prime Security Services Borrower LLC, 4.827%, Due 5/2/2022, 2016 1st Lien Term Loan, (1-mo. LIBOR + 2.750%) | 72,816 | 72,890 | |||||||||||||
PSAV Holdings LLC, 5.435%, Due 3/1/2025, 2018 1st Lien Term Loan, (2-mo. LIBOR + 3.250%) | 142,021 | 140,868 | |||||||||||||
SBA Senior Finance II LLC, 4.080%, Due 4/11/2025, 2018 Term Loan B, (1-mo. LIBOR + 2.000%) | 112,000 | 111,692 | |||||||||||||
StepStone Group LP, 6.072%, Due 3/14/2025, Term Loan B, (1-mo. LIBOR + 4.000%) | 143,640 | 144,358 | |||||||||||||
Travelport Finance (Luxembourg) S.a.r.l., 4.830%, Due 3/17/2025, 2018 Term Loan B, (3-mo. LIBOR + 2.500%) | 53,000 | 52,916 | |||||||||||||
VFH Parent LLC, 5.586%, Due 12/30/2021, 2017 Refinanced Term Loan B, (3-mo. LIBOR + 3.250%) | 52,492 | 52,788 | |||||||||||||
VICI Properties LLC, 4.081%, Due 12/20/2024, Replacement Term Loan B, (1-mo. LIBOR + 2.000%) | 115,000 | 115,090 |
See accompanying notes
7
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
BANK LOAN OBLIGATIONSc - 23.19% (continued) | |||||||||||||||
Financial - 3.50% (continued) | |||||||||||||||
WEX, Inc., 4.327%, Due 6/30/2023, 2017 Term Loan B2, (1-mo. LIBOR + 2.250%) | $ | 76,072 | $ | 76,059 | |||||||||||
|
| ||||||||||||||
3,145,319 | |||||||||||||||
|
| ||||||||||||||
Health Care - 1.57% | |||||||||||||||
Affordable Care Holding Corp., 6.919%, Due 10/22/2022, 2015 1st Lien Term Loan, (2-mo. LIBOR + 4.750%) | 48,750 | 48,872 | |||||||||||||
Amneal Pharmaceuticals LLC, 5.625%, Due 5/4/2025, 2018 Term Loan B, (1-mo. LIBOR + 3.500%) | 124,971 | 125,831 | |||||||||||||
Avantor, Inc., 6.077%, Due 11/21/2024, 2017 1st Lien Term Loan, (1-mo. LIBOR + 4.000%) | 150,310 | 151,437 | |||||||||||||
Beaver-Visitec International, Inc., 6.169%, Due 8/21/2023, 2018 Term Loan B, (2-mo. LIBOR + 4.000%) | 100,651 | 100,651 | |||||||||||||
DentalCorp Perfect Smile ULC, | |||||||||||||||
Due 6/6/2025, 1st Lien Delayed Draw Term LoanD E | 22,200 | 22,274 | |||||||||||||
5.827%, Due 6/6/2025, 1st Lien Term Loan, (1-mo. LIBOR + 3.750%) | 88,800 | 89,096 | |||||||||||||
ExamWorks Group, Inc., 5.327%, Due 7/27/2023, 2017 Term Loan, (1-mo. LIBOR + 3.250%) | 5,004 | 5,027 | |||||||||||||
Gentiva Health Services, Inc., 6.125%, Due 7/2/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.750%) | 97,738 | 98,471 | |||||||||||||
Ivory Merger Sub, Inc., 5.840%, Due 3/7/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.500%) | 101,745 | 101,428 | |||||||||||||
Mallinckrodt International Finance S.A., 5.517%, Due 2/24/2025, 2018 Term Loan B, (6-mo. LIBOR + 3.000%) | 124,688 | 123,649 | |||||||||||||
MedPlast Holdings, Inc., 6.087%, Due 7/2/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.750%) | 60,000 | 60,600 | |||||||||||||
NVA Holdings, Inc., 4.827%, Due 2/2/2025, Term Loan B3, (1-mo. LIBOR + 2.750%) | 124,688 | 124,064 | |||||||||||||
Onex Carestream Finance LP, 6.077%, Due 6/7/2019, 1st Lien Term Loan, (1-mo. LIBOR + 4.000%) | 61,938 | 61,849 | |||||||||||||
Pearl Intermediate Parent LLC, | |||||||||||||||
Due 2/14/2025, 2018 Delayed Draw Term LoanD E | 18,182 | 17,795 | |||||||||||||
4.829%, Due 2/14/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 2.750%) | 61,664 | 60,353 | |||||||||||||
Press Ganey Holdings, Inc., 4.827%, Due 10/23/2023, 2018 1st Lien Term Loan, (1-mo. LIBOR + 2.750%) | 97,442 | 97,412 | |||||||||||||
Prospect Medical Holdings, Inc., 7.625%, Due 2/22/2024, 2018 Term Loan B, (1-mo. LIBOR + 5.500%) | 124,688 | 124,922 | |||||||||||||
|
| ||||||||||||||
1,413,731 | |||||||||||||||
|
| ||||||||||||||
Manufacturing - 2.44% | |||||||||||||||
AECOM, 3.827%, Due 2/22/2025, Term Loan B, (1-mo. LIBOR + 1.750%) | 114,271 | 114,378 | |||||||||||||
American Bath Group LLC, 6.584%, Due 9/30/2023, 2018 Term Loan B, (3-mo. LIBOR + 4.250%) | 246,250 | 248,097 | |||||||||||||
Berlin Packaging LLC, 5.122%, Due 11/7/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.000%) | 122,000 | 121,974 | |||||||||||||
Berry Global, Inc., 4.086%, Due 1/19/2024, Term Loan R, (1-mo. LIBOR + 2.000%) | 72,816 | 72,876 | |||||||||||||
Brookfield WEC Holdings, Inc., Due 7/25/2025, 2018 1st Lien Term LoanE | 100,000 | 100,641 | |||||||||||||
BWAY Holding Co., 5.581%, Due 4/3/2024, 2017 Term Loan B, (3-mo. LIBOR + 3.250%) | 48,510 | 48,359 | |||||||||||||
Consolidated Container Co. LLC, 4.827%, Due 5/22/2024, 2017 1st Lien Term Loan, (1-mo. LIBOR + 2.750%) | 114,089 | 114,113 | |||||||||||||
CPG International, Inc., 6.251%, Due 5/3/2024, 2017 Term Loan, (6-mo. LIBOR + 3.750%) | 121,913 | 121,964 | |||||||||||||
DG Investment Intermediate Holdings, Inc., | |||||||||||||||
Due 2/3/2025, 2018 Delayed Draw Term LoanD E | 12,097 | 11,968 | |||||||||||||
5.077%, Due 2/3/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 3.000%) | 112,621 | 111,425 | |||||||||||||
Edward Don & Company LLC, Due 3/31/2022, 2018 Term LoanE | 98,500 | 98,500 | |||||||||||||
Emerald Performance Materials LLC, 5.577%, Due 8/1/2021, New 1st Lien Term Loan, (1-mo. LIBOR + 3.500%) | 124,396 | 125,056 | |||||||||||||
Flex Acquisition Co., Inc., 5.337%, Due 12/29/2023, 1st Lien Term Loan, (3-mo. LIBOR + 3.000%) | 123,438 | 123,196 | |||||||||||||
Netsmart Technologies, Inc., 5.827%, Due 4/19/2023, Term Loan D1, (1-mo. LIBOR + 3.750%) | 75,815 | 76,004 | |||||||||||||
Pisces Midco, Inc., 6.087%, Due 4/12/2025, 2018 Term Loan, (3-mo. LIBOR + 3.750%) | 125,000 | 125,118 | |||||||||||||
SHO Holding Corp., 7.342%, Due 10/27/2022, Term Loan, (3-mo. LIBOR + 5.000%) | 243,750 | 224,250 | |||||||||||||
Tank Holding Corp., 5.659%, Due 3/17/2022, 2018 Term Loan B, (3-mo. LIBOR + 3.500%) | 83,043 | 83,009 | |||||||||||||
Titan Acquisition Ltd., 5.077%, Due 3/28/2025, 2018 Term Loan B, (1-mo. LIBOR + 3.000%) | 124,688 | 122,523 | |||||||||||||
U.S. Silica Company, 6.125%, Due 5/1/2025, 2018 Term Loan B, (1-mo. LIBOR + 4.000%) | 149,625 | 149,508 | |||||||||||||
|
| ||||||||||||||
2,192,959 | |||||||||||||||
|
| ||||||||||||||
Media - 0.68% | |||||||||||||||
ION Media Networks, Inc., 4.830%, Due 12/18/2020, 2017 Term Loan B3, (1-mo. LIBOR + 2.750%) | 75,000 | 75,093 | |||||||||||||
Meredith Corp., 5.077%, Due 1/31/2025, Term Loan B, (1-mo. LIBOR + 3.000%) | 124,688 | 124,982 |
See accompanying notes
8
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
BANK LOAN OBLIGATIONSc - 23.19% (continued) | |||||||||||||||
Media - 0.68% (continued) | |||||||||||||||
Radiate Holdco LLC, 5.077%, Due 2/1/2024, 1st Lien Term Loan, (1-mo. LIBOR + 3.000%) | $ | 137,928 | $ | 136,601 | |||||||||||
Standard Media Group LLC, Due 6/21/2025, 2018 1st Lien Term LoanE | 100,000 | 99,688 | |||||||||||||
Univision Communications, Inc., 4.827%, Due 3/15/2024, Term Loan C5, (1-mo. LIBOR + 2.750%) | 17,547 | 17,021 | |||||||||||||
UPC Financing Partnership, 4.572%, Due 1/15/2026, USD Term Loan AR, (1-mo. LIBOR + 2.500%) | 75,000 | 74,644 | |||||||||||||
Virgin Media Bristol LLC, Due 1/15/2026, Term Loan KE | 81,000 | 80,890 | |||||||||||||
|
| ||||||||||||||
608,919 | |||||||||||||||
|
| ||||||||||||||
Service - 4.70% | |||||||||||||||
Academy, Ltd., 6.092%, Due 7/1/2022, 2015 Term Loan B, (1-mo. LIBOR + 4.000%) | 26,925 | 22,213 | |||||||||||||
ADMI Corp., 5.327%, Due 4/30/2025, 2018 Term Loan B, (1-mo. LIBOR + 3.250%) | 140,000 | 140,000 | |||||||||||||
Albany Molecular Research, Inc., 5.327%, Due 8/30/2024, 2017 1st Lien Term Loan, (1-mo. LIBOR + 3.250%) | 124,063 | 123,907 | |||||||||||||
Allied Universal Holdco LLC, 5.827%, Due 7/28/2022, 2015 Term Loan, (1-mo. LIBOR + 3.750%) | 60,935 | 59,996 | |||||||||||||
American Airlines, Inc., 3.827%, Due 6/27/2025, 2018 Term Loan B, (1-mo. LIBOR + 1.750%) | 55,525 | 54,554 | |||||||||||||
ATI Holdings Acquisition, Inc., 5.578%, Due 5/10/2023, 2016 Term Loan, (1-mo. LIBOR + 3.500%) | 98,881 | 99,375 | |||||||||||||
BioClinica, Inc., 6.625%, Due 10/20/2023, 1st Lien Term Loan, (3-mo. LIBOR + 4.250%) | 85,378 | 80,895 | |||||||||||||
BJ’s Wholesale Club, Inc., Due 2/3/2024, 2017 1st Lien Term LoanE | 81,603 | 81,705 | |||||||||||||
Blackhawk Network Holdings, Inc., 5.072%, Due 6/15/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 3.000%) | 68,000 | 68,114 | |||||||||||||
Boing US Holdco, Inc., 5.613%, Due 10/3/2024, 2017 1st Lien Term Loan, (3-mo. LIBOR + 3.250%) | 124,376 | 124,842 | |||||||||||||
Brand Energy & Infrastructure Services, Inc., 6.596%, Due 6/21/2024, 2017 Term Loan, (3-mo. LIBOR + 4.250%) | 123,750 | 124,292 | |||||||||||||
California Pizza Kitchen, Inc., 8.080%, Due 8/23/2022, 2016 Term Loan, (1-mo. LIBOR + 6.000%) | 245,625 | 238,502 | |||||||||||||
Camelot UK Holdco Ltd., 5.327%, Due 10/3/2023, 2017 Repriced Term Loan, (1-mo. LIBOR + 3.250%) | 69,475 | 69,562 | |||||||||||||
CareerBuilder LLC, 9.084%, Due 7/31/2023, Term Loan, (3-mo. LIBOR + 6.750%) | 26,576 | 26,609 | |||||||||||||
EAB Global, Inc., 6.252%, Due 11/15/2024, 1st Lien Term Loan, (3-mo. LIBOR + 3.750%) | 124,688 | 123,597 | |||||||||||||
Heartland Dental LLC, | |||||||||||||||
Due 4/30/2025, 2018 Delayed Draw Term LoanD E | 13,174 | 13,067 | |||||||||||||
5.827%, Due 4/30/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 3.750%) | 87,826 | 87,113 | |||||||||||||
IG Investment Holdings LLC, 5.684%, Due 5/23/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.500%) | 121,615 | 121,919 | |||||||||||||
Institutional Shareholder Services, Inc., | |||||||||||||||
6.071%, Due 10/16/2024, 2017 Delayed Draw Term Loan, (3-mo. LIBOR + 3.750%) | 8,313 | 8,316 | |||||||||||||
6.087%, Due 10/16/2024, 2017 1st Lien Term Loan, (3-mo. LIBOR + 3.750%) | 91,208 | 91,247 | |||||||||||||
10.087%, Due 10/16/2025, 2017 2nd Lien Term Loan, (3-mo. LIBOR + 7.750%) | 25,000 | 25,250 | |||||||||||||
Kingpin Intermediate Holdings LLC, 5.580%, Due 7/3/2024, 2018 Term Loan B, (1-mo. LIBOR + 3.500%) | 123,750 | 124,059 | |||||||||||||
Lakeland Tours LLC, 6.341%, Due 12/15/2024, 2017 1st Lien Term Loan B, (3-mo. LIBOR + 4.000%) | 124,688 | 125,390 | |||||||||||||
Learning Care Group, Inc., 5.335%, Due 3/13/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 3.250%) | 124,688 | 124,999 | |||||||||||||
Mister Car Wash Holdings, Inc., 5.703%, Due 8/20/2021, Term Loan B, (3-mo. LIBOR + 3.250%) | 122,952 | 123,311 | |||||||||||||
Neiman Marcus Group Ltd. LLC, 5.336%, Due 10/25/2020, 2020 Term Loan, (1-mo. LIBOR + 3.250%) | 45,880 | 40,436 | |||||||||||||
NMSC Holdings, Inc., 7.501%, Due 4/19/2023, 1st Lien Term Loan, (6-mo. LIBOR + 5.000%) | 250,000 | 250,000 | |||||||||||||
Playpower, Inc., 7.084%, Due 6/23/2021, 2015 1st Lien Term Loan, (3-mo. LIBOR + 4.750%) | 243,719 | 243,109 | |||||||||||||
Pre-Paid Legal Services, Inc., 5.342%, Due 5/1/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 3.250%) | 95,000 | 95,119 | |||||||||||||
Quidditch Acquisition, Inc., 9.079%, Due 3/14/2025, 2018 Term Loan B, (1-mo. LIBOR + 7.000%) | 109,725 | 110,274 | |||||||||||||
Realogy Group LLC, 4.317%, Due 2/8/2025, 2018 Term Loan B, (1-mo. LIBOR + 2.250%) | 74,089 | 74,135 | |||||||||||||
Red Ventures LLC, 6.077%, Due 11/8/2024, 1st Lien Term Loan, (1-mo. LIBOR + 4.000%) | 102,188 | 103,107 | |||||||||||||
Rentpath, Inc., 6.830%, Due 12/17/2021, 2017 Term Loan, (1-mo. LIBOR + 4.750%) | 118,788 | 106,217 | |||||||||||||
Sabre GLBL, Inc., 4.077%, Due 2/22/2024, 2018 Term Loan B, (1-mo. LIBOR + 2.000%) | 109,724 | 109,758 | |||||||||||||
Spin Holdco, Inc., 5.589%, Due 11/14/2022, 2017 Term Loan B, (3-mo. LIBOR + 3.250%) | 72,816 | 72,920 | |||||||||||||
Syneos Health, Inc., 4.077%, Due 8/1/2024, 2018 Term Loan B, (1-mo. LIBOR + 2.000%) | 37,327 | 37,292 |
See accompanying notes
9
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
BANK LOAN OBLIGATIONSc - 23.19% (continued) | |||||||||||||||
Service - 4.70% (continued) | |||||||||||||||
Tribune Media Co., 5.077%, Due 12/27/2020, Term Loan, (1-mo. LIBOR + 3.000%) | $ | 4,219 | $ | 4,219 | |||||||||||
TruGreen LP, 6.078%, Due 4/13/2023, 2017 Term Loan, (1-mo. LIBOR + 4.000%) | 47,198 | 47,434 | |||||||||||||
USIC Holdings, Inc., 5.327%, Due 12/8/2023, 2017 Term Loan B, (1-mo. LIBOR + 3.250%) | 10,694 | 10,680 | |||||||||||||
Vestcom Parent Holdings, Inc., 6.077%, Due 12/19/2023, 2016 1st Lien Term Loan, (1-mo. LIBOR + 4.000%) | 123,434 | 123,125 | |||||||||||||
Vivid Seats Ltd., 5.577%, Due 6/30/2024, 2017 1st Lien Term Loan, (1-mo. LIBOR + 3.500%) | 123,750 | 123,364 | |||||||||||||
William Morris Endeavor Entertainment LLC, 4.930%, Due 5/18/2025, 2018 1st Lien Term Loan, (2-mo. LIBOR + 2.750%) | 142,000 | 141,350 | |||||||||||||
World Triathlon Corp., 6.584%, Due 6/26/2021, Term Loan, (3-mo. LIBOR + 4.250%) | 246,787 | 246,787 | |||||||||||||
|
| ||||||||||||||
4,222,160 | |||||||||||||||
|
| ||||||||||||||
Technology - 2.44% | |||||||||||||||
Almonde, Inc., | |||||||||||||||
5.807%, Due 6/13/2024, USD 1st Lien Term Loan, (3-mo. LIBOR + 3.500%) | 56,731 | 55,924 | |||||||||||||
9.557%, Due 6/13/2025, USD 2nd Lien Term Loan, (3-mo. LIBOR + 7.250%) | 124,825 | 120,189 | |||||||||||||
AqGen Ascensus, Inc., | |||||||||||||||
Due 12/5/2022, 2018 Delayed Draw Term LoanD E | 48,320 | 48,381 | |||||||||||||
5.669%, Due 12/5/2022, 2018 Incremental Term Loan, (2-mo. LIBOR + 3.500%) | 80,332 | 80,483 | |||||||||||||
Capri Finance LLC, 5.592%, Due 11/1/2024, USD 2017 1st Lien Term Loan, (3-mo. LIBOR + 3.250%) | 124,375 | 123,753 | |||||||||||||
Compuware Corp., 5.580%, Due 12/15/2021, Term Loan B3, (1-mo. LIBOR + 3.500%) | 102,618 | 102,745 | |||||||||||||
Dell International LLC, 4.080%, Due 9/7/2023, 2017 Term Loan B, (1-mo. LIBOR + 2.000%) | 155,218 | 155,231 | |||||||||||||
Epicor Software Corp., 5.330%, Due 6/1/2022, 1st Lien Term Loan, (1-mo. LIBOR + 3.250%) | 124,041 | 123,753 | |||||||||||||
GrafTech Finance, Inc., 5.590%, Due 2/12/2025, 2018 Term Loan B, (1-mo. LIBOR + 3.500%) | 123,801 | 123,647 | |||||||||||||
MH Sub I LLC, 5.829%, Due 9/13/2024, 2017 1st Lien Term Loan, (1-mo. LIBOR + 3.750%) | 124,063 | 124,328 | |||||||||||||
Microchip Technology, Inc., 4.080%, Due 5/29/2025, 2018 Term Loan B, (1-mo. LIBOR + 2.000%) | 100,000 | 100,200 | |||||||||||||
Navicure, Inc., 5.827%, Due 11/1/2024, 1st Lien Term Loan B, (1-mo. LIBOR + 3.750%) | 124,375 | 124,531 | |||||||||||||
Omnitracs, Inc., 5.085%, Due 3/21/2025, 2018 Term Loan B, (3-mo. LIBOR + 2.750%) | 125,000 | 124,141 | |||||||||||||
P2 Upstream Acquisition Co., 6.370%, Due 10/30/2020, 1st Lien Term Loan, (3-mo. LIBOR + 4.000%) | 222,118 | 219,897 | |||||||||||||
Plantronics, Inc., 4.577%, Due 5/30/2025, 2018 Term Loan B, (1-mo. LIBOR + 2.500%) | 100,000 | 99,854 | |||||||||||||
PowerSchool, Due 5/30/2025, 2018 Term Loan BE | 100,000 | 99,625 | |||||||||||||
Riverbed Technology, Inc., 5.330%, Due 4/24/2022, 2016 Term Loan, (1-mo. LIBOR + 3.250%) | 74,000 | 73,564 | |||||||||||||
Sound Inpatient Physicians, 5.077%, Due 6/27/2025, 2018 1st Lien Term Loan, (1-mo. LIBOR + 3.000%) | 100,000 | 100,250 | |||||||||||||
SS&C Technologies Holdings Europe S.a.r.l., 4.577%, Due 4/16/2025, 2018 Term Loan B4, (1-mo. LIBOR + 2.500%) | 32,246 | 32,327 | |||||||||||||
SS&C Technologies, Inc., 4.577%, Due 4/16/2025, 2018 Term Loan B3, (1-mo. LIBOR + 2.500%) | 84,066 | 84,276 | |||||||||||||
Triple Point Technology, Inc., 6.327%, Due 7/10/2020, 1st Lien Term Loan, (1-mo. LIBOR + 4.250%) | 83,268 | 73,692 | |||||||||||||
|
| ||||||||||||||
2,190,791 | |||||||||||||||
|
| ||||||||||||||
Telecommunications - 1.37% | |||||||||||||||
Altice Financing S.A., 4.822%, Due 1/31/2026, USD 2017 1st Lien Term Loan, (1-mo. LIBOR + 2.750%) | 74,624 | 72,385 | |||||||||||||
Altice France S.A., Due 7/13/2026, 2018 Term Loan B13E | 100,000 | 97,734 | |||||||||||||
Avaya, Inc., 6.322%, Due 12/15/2024, 2018 Term Loan B, (1-mo. LIBOR + 4.250%) | 124,375 | 124,911 | |||||||||||||
Charter Communications Operating LLC, 4.080%, Due 4/30/2025, 2017 Term Loan B, (1-mo. LIBOR + 2.000%) | 124,375 | 124,404 | |||||||||||||
Flexential Intermediate Corp., 5.834%, Due 8/1/2024, 2017 1st Lien Term Loan, (3-mo. LIBOR + 3.500%) | 124,063 | 123,494 | |||||||||||||
GTT Communications, Inc., 4.830%, Due 5/31/2025, 2018 USD Term Loan B, (1-mo. LIBOR + 2.750%) | 31,000 | 30,669 | |||||||||||||
Intelsat Jackson Holdings S.A., 5.827%, Due 11/27/2023, 2017 Term Loan B3, (1-mo. LIBOR + 3.750%) | 42,000 | 42,112 | |||||||||||||
Marketo, Inc., 5.613%, Due 2/7/2025, 2018 1st Lien Term Loan, (3-mo. LIBOR + 3.250%) | 125,000 | 123,789 | |||||||||||||
Merrill Communications LLC, 7.592%, Due 6/1/2022, 2015 Term Loan, (3-mo. LIBOR + 5.250%) | 79,727 | 80,524 | |||||||||||||
NeuStar, Inc., 5.572%, Due 8/8/2024, 2018 Term Loan B4, (1-mo. LIBOR + 3.500%) | 124,063 | 124,489 | |||||||||||||
Speedcast International Ltd., 5.001%, Due 5/2/2025, Term Loan B, (3-mo. LIBOR + 2.500%) | 126,000 | 126,315 |
See accompanying notes
10
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
BANK LOAN OBLIGATIONSc - 23.19% (continued) | |||||||||||||||
Telecommunications - 1.37% (continued) | |||||||||||||||
Sprint Communications, Inc., 4.625%, Due 2/2/2024, 1st Lien Term Loan B, (1-mo. LIBOR + 2.500%) | $ | 31,839 | $ | 31,831 | |||||||||||
Syniverse Holdings, Inc., 7.078%, Due 3/9/2023, 2018 1st Lien Term Loan, (1-mo. LIBOR + 5.000%) | 124,688 | 124,704 | |||||||||||||
|
| ||||||||||||||
1,227,361 | |||||||||||||||
|
| ||||||||||||||
Transportation - 0.24% | |||||||||||||||
American Tire Distributors Holdings, Inc., 6.327%, Due 9/1/2021, 2015 Term Loan, (1-mo. LIBOR + 4.250%) | 127,395 | 90,769 | |||||||||||||
XPO Logistics, Inc., 4.064%, Due 2/24/2025, 2018 Term Loan B, (3-mo. LIBOR + 2.000%) | 125,000 | 125,215 | |||||||||||||
|
| ||||||||||||||
215,984 | |||||||||||||||
|
| ||||||||||||||
Utilities - 0.32% | |||||||||||||||
Calpine Corp., 4.840%, Due 1/15/2024, Term Loan B5, (3-mo. LIBOR + 2.500%) | 111,712 | 111,777 | |||||||||||||
Eastern Power LLC, 5.827%, Due 10/2/2023, Term Loan B, (1-mo. LIBOR + 3.750%) | 71,349 | 71,639 | |||||||||||||
Helix Gen Funding LLC, 5.827%, Due 6/2/2024, Term Loan B, (1-mo. LIBOR + 3.750%) | 104,460 | 105,199 | |||||||||||||
|
| ||||||||||||||
288,615 | |||||||||||||||
|
| ||||||||||||||
Total Bank Loan Obligations (Cost $20,895,548) | 20,835,742 | ||||||||||||||
|
| ||||||||||||||
CORPORATE OBLIGATIONS - 57.66% | |||||||||||||||
Basic Materials - 3.64% | |||||||||||||||
AK Steel Corp., | |||||||||||||||
7.625%, Due 10/1/2021 | 300,000 | 305,250 | |||||||||||||
6.375%, Due 10/15/2025 | 125,000 | 115,313 | |||||||||||||
CF Industries, Inc., | |||||||||||||||
3.450%, Due 6/1/2023 | 200,000 | 191,500 | |||||||||||||
5.150%, Due 3/15/2034 | 250,000 | 231,250 | |||||||||||||
Chemours Co., | |||||||||||||||
6.625%, Due 5/15/2023 | 200,000 | 209,500 | |||||||||||||
7.000%, Due 5/15/2025 | 400,000 | 428,000 | |||||||||||||
Cornerstone Chemical Co., 6.750%, Due 8/15/2024F | 250,000 | 245,000 | |||||||||||||
Freeport-McMoRan, Inc., 3.550%, Due 3/1/2022 | 850,000 | 823,437 | |||||||||||||
Hi-Crush Partners LP, 9.500%, Due 8/1/2026F | 100,000 | 99,250 | |||||||||||||
Huntsman International LLC, 5.125%, Due 11/15/2022 | 250,000 | 257,500 | |||||||||||||
PQ Corp., 6.750%, Due 11/15/2022F | 350,000 | 367,500 | |||||||||||||
|
| ||||||||||||||
3,273,500 | |||||||||||||||
|
| ||||||||||||||
Communications - 11.53% | |||||||||||||||
Block Communications, Inc., 6.875%, Due 2/15/2025F | 300,000 | 298,500 | |||||||||||||
Cablevision Systems Corp., 5.875%, Due 9/15/2022 | 700,000 | 701,750 | |||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., | |||||||||||||||
5.250%, Due 9/30/2022 | 500,000 | 505,000 | |||||||||||||
5.125%, Due 2/15/2023 | 50,000 | 49,750 | |||||||||||||
CenturyLink, Inc., | |||||||||||||||
5.800%, Due 3/15/2022, Series T | 200,000 | 199,750 | |||||||||||||
7.500%, Due 4/1/2024, Series Y | 325,000 | 339,628 | |||||||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.125%, Due 12/15/2021F | 250,000 | 249,375 | |||||||||||||
Clear Channel Worldwide Holdings, Inc., 6.500%, Due 11/15/2022, Series B | 450,000 | 460,125 | |||||||||||||
DISH DBS Corp., | |||||||||||||||
5.125%, Due 5/1/2020 | 75,000 | 74,438 | |||||||||||||
6.750%, Due 6/1/2021 | 750,000 | 753,975 | |||||||||||||
5.000%, Due 3/15/2023 | 350,000 | 302,750 | |||||||||||||
5.875%, Due 11/15/2024 | 200,000 | 166,000 | |||||||||||||
EIG Investors Corp., 10.875%, Due 2/1/2024 | 350,000 | 380,625 | |||||||||||||
Frontier Communications Corp., | |||||||||||||||
7.125%, Due 3/15/2019 | 250,000 | 251,250 | |||||||||||||
10.500%, Due 9/15/2022 | 250,000 | 226,875 | |||||||||||||
8.500%, Due 4/1/2026F | 225,000 | 216,000 | |||||||||||||
Level 3 Financing, Inc., 5.375%, Due 1/15/2024 | 400,000 | 396,000 | |||||||||||||
Plantronics, Inc., 5.500%, Due 5/31/2023F | 500,000 | 496,250 | |||||||||||||
Qwest Corp., 6.750%, Due 12/1/2021 | 25,000 | 26,576 |
See accompanying notes
11
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
CORPORATE OBLIGATIONS - 57.66% (continued) | |||||||||||||||
Communications - 11.53% (continued) | |||||||||||||||
Salem Media Group, Inc., 6.750%, Due 6/1/2024F | $ | 175,000 | $ | 158,375 | |||||||||||
Sinclair Television Group, Inc., | |||||||||||||||
5.375%, Due 4/1/2021 | 250,000 | 251,562 | |||||||||||||
6.125%, Due 10/1/2022 | 150,000 | 152,625 | |||||||||||||
Sirius XM Radio, Inc., 3.875%, Due 8/1/2022F | 650,000 | 631,312 | |||||||||||||
Sprint Communications, Inc., 6.000%, Due 11/15/2022 | 675,000 | 682,384 | |||||||||||||
Sprint Corp., 7.250%, Due 9/15/2021 | 1,000,000 | 1,051,250 | |||||||||||||
T-Mobile USA, Inc., 6.500%, Due 1/15/2024 | 175,000 | 182,438 | |||||||||||||
Townsquare Media, Inc., 6.500%, Due 4/1/2023F | 175,000 | 160,563 | |||||||||||||
Univision Communications, Inc., 5.125%, Due 5/15/2023F | 900,000 | 859,500 | |||||||||||||
Windstream Services LLC, 7.750%, Due 10/15/2020 | 150,000 | 135,000 | |||||||||||||
|
| ||||||||||||||
10,359,626 | |||||||||||||||
|
| ||||||||||||||
Consumer, Cyclical - 5.00% | |||||||||||||||
AV Homes, Inc., 6.625%, Due 5/15/2022 | 300,000 | 309,000 | |||||||||||||
CEC Entertainment, Inc., 8.000%, Due 2/15/2022 | 250,000 | 221,250 | |||||||||||||
EMI Music Publishing Group North America Holdings, Inc., 7.625%, Due 6/15/2024F | 225,000 | 242,156 | |||||||||||||
Golden Nugget, Inc., 6.750%, Due 10/15/2024F | 350,000 | 349,125 | |||||||||||||
MDC Holdings, Inc., 5.500%, Due 1/15/2024 | 500,000 | 495,000 | |||||||||||||
MGM Resorts International, 6.625%, Due 12/15/2021 | 500,000 | 532,835 | |||||||||||||
Navistar International Corp., 6.625%, Due 11/1/2025F | 375,000 | 391,519 | |||||||||||||
Neiman Marcus Group Ltd. LLC, 8.000%, Due 10/15/2021F | 200,000 | 126,000 | |||||||||||||
PF Chang’s China Bistro, Inc., 10.250%, Due 6/30/2020F | 350,000 | 329,000 | |||||||||||||
Scientific Games International, Inc., 10.000%, Due 12/1/2022 | 500,000 | 533,750 | |||||||||||||
Tempur Sealy International, Inc., 5.625%, Due 10/15/2023 | 475,000 | 469,656 | |||||||||||||
United Continental Holdings, Inc., 4.250%, Due 10/1/2022 | 500,000 | 488,750 | |||||||||||||
|
| ||||||||||||||
4,488,041 | |||||||||||||||
|
| ||||||||||||||
Consumer, Non-Cyclical - 11.91% | |||||||||||||||
APX Group, Inc., 7.875%, Due 12/1/2022 | 175,000 | 176,313 | |||||||||||||
Cardtronics, Inc., 5.125%, Due 8/1/2022 | 750,000 | 710,625 | |||||||||||||
CHS/Community Health Systems, Inc., | |||||||||||||||
8.000%, Due 11/15/2019 | 350,000 | 343,000 | |||||||||||||
6.250%, Due 3/31/2023 | 100,000 | 93,000 | |||||||||||||
Cott Holdings, Inc., 5.500%, Due 4/1/2025F | 175,000 | 168,438 | |||||||||||||
DaVita, Inc., | |||||||||||||||
5.750%, Due 8/15/2022 | 100,000 | 101,750 | |||||||||||||
5.125%, Due 7/15/2024 | 500,000 | 486,562 | |||||||||||||
Dean Foods Co., 6.500%, Due 3/15/2023F | 600,000 | 586,500 | |||||||||||||
Encompass Health Corp., 5.750%, Due 11/1/2024 | 300,000 | 304,341 | |||||||||||||
First Quality Finance Co., Inc., 4.625%, Due 5/15/2021F | 700,000 | 680,750 | |||||||||||||
HCA, Inc., | |||||||||||||||
6.500%, Due 2/15/2020 | 675,000 | 702,540 | |||||||||||||
5.875%, Due 5/1/2023 | 500,000 | 523,125 | |||||||||||||
Herc Rentals, Inc., 7.500%, Due 6/1/2022F | 366,000 | 386,130 | |||||||||||||
Hertz Corp., 5.875%, Due 10/15/2020 | �� | 850,000 | 840,310 | ||||||||||||
Horizon Pharma, Inc., 6.625%, Due 5/1/2023 | 90,000 | 90,675 | |||||||||||||
Horizon Pharma, Inc. / Horizon Pharma USA, Inc., 8.750%, Due 11/1/2024F | 75,000 | 79,688 | |||||||||||||
Kronos Acquisition Holdings, Inc., 9.000%, Due 8/15/2023F | 175,000 | 152,250 | |||||||||||||
LifePoint Health, Inc., 5.875%, Due 12/1/2023 | 525,000 | 548,730 | |||||||||||||
MEDNAX, Inc., 5.250%, Due 12/1/2023F | 225,000 | 223,313 | |||||||||||||
Monitronics International, Inc., 9.125%, Due 4/1/2020 | 250,000 | 185,000 | |||||||||||||
Nielsen Finance LLC / Nielsen Finance Co., 5.000%, Due 4/15/2022F | 350,000 | 340,156 | |||||||||||||
NVA Holdings, Inc., 6.875%, Due 4/1/2026F | 250,000 | 248,750 | |||||||||||||
Prime Security Services Borrower, LLC / Prime Finance, Inc., 9.250%, Due 5/15/2023F | 350,000 | 374,937 | |||||||||||||
Tenet Healthcare Corp., | |||||||||||||||
4.750%, Due 6/1/2020 | 200,000 | 202,500 | |||||||||||||
4.375%, Due 10/1/2021 | 200,000 | 199,250 | |||||||||||||
7.500%, Due 1/1/2022F | 100,000 | 104,750 | |||||||||||||
8.125%, Due 4/1/2022 | 100,000 | 106,500 | |||||||||||||
6.750%, Due 6/15/2023 | 200,000 | 203,040 | |||||||||||||
United Rentals North America, Inc., 5.750%, Due 11/15/2024 | 150,000 | 153,375 | |||||||||||||
Universal Health Services, Inc., 4.750%, Due 8/1/2022F | 350,000 | 352,625 |
See accompanying notes
12
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
CORPORATE OBLIGATIONS - 57.66% (continued) | |||||||||||||||
Consumer, Non-Cyclical - 11.91% (continued) | |||||||||||||||
Universal Hospital Services, Inc., 7.625%, Due 8/15/2020 | $ | 550,000 | $ | 550,775 | |||||||||||
Vector Group Ltd., 6.125%, Due 2/1/2025F | 500,000 | 483,750 | |||||||||||||
|
| ||||||||||||||
10,703,448 | |||||||||||||||
|
| ||||||||||||||
Energy - 7.74% | |||||||||||||||
Antero Resources Corp., 5.125%, Due 12/1/2022 | 300,000 | 300,750 | |||||||||||||
Archrock Partners LP / Archrock Partners Finance Corp., 6.000%, Due 4/1/2021 | 250,000 | 247,500 | |||||||||||||
Calfrac Holdings LP, 8.500%, Due 6/15/2026F | 300,000 | 289,875 | |||||||||||||
California Resources Corp., 8.000%, Due 12/15/2022F | 175,000 | 156,625 | |||||||||||||
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.500%, Due 4/15/2021 | 450,000 | 445,500 | |||||||||||||
Carrizo Oil & Gas, Inc., 7.500%, Due 9/15/2020 | 54,000 | 54,068 | |||||||||||||
Chesapeake Energy Corp., | |||||||||||||||
8.000%, Due 12/15/2022F | 24,000 | 25,320 | |||||||||||||
8.000%, Due 1/15/2025 | 100,000 | 102,500 | |||||||||||||
8.000%, Due 6/15/2027 | 275,000 | 281,187 | |||||||||||||
Citgo Holding, Inc., 10.750%, Due 2/15/2020F | 400,000 | 425,620 | |||||||||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.250%, Due 4/1/2023 | 200,000 | 204,000 | |||||||||||||
Denbury Resources, Inc., 9.000%, Due 5/15/2021F | 250,000 | 265,938 | |||||||||||||
Diamond Offshore Drilling, Inc., 4.875%, Due 11/1/2043 | 200,000 | 144,000 | |||||||||||||
EP Energy LLC / Everest Acquisition Finance, Inc., 8.000%, Due 11/29/2024F | 175,000 | 176,750 | |||||||||||||
Hess Infrastructure Partners LP / Hess Infrastructure Partners Finance Corp., 5.625%, Due 2/15/2026F | 500,000 | 502,500 | |||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.000%, Due 12/1/2024F | 300,000 | 288,375 | |||||||||||||
Jones Energy Holdings LLC / Jones Energy Finance Corp., 6.750%, Due 4/1/2022 | 350,000 | 210,000 | |||||||||||||
Nabors Industries, Inc., 5.500%, Due 1/15/2023 | 425,000 | 409,585 | |||||||||||||
Oceaneering International, Inc., 4.650%, Due 11/15/2024 | 500,000 | 477,219 | |||||||||||||
Parker Drilling Co., 6.750%, Due 7/15/2022 | 250,000 | 203,750 | |||||||||||||
Peabody Energy Corp., 6.000%, Due 3/31/2022F | 75,000 | 77,250 | |||||||||||||
SESI LLC, 7.125%, Due 12/15/2021 | 500,000 | 510,000 | |||||||||||||
SM Energy Co., 5.625%, Due 6/1/2025 | 175,000 | 170,406 | |||||||||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 5.500%, Due 8/15/2022 | 500,000 | 495,000 | |||||||||||||
Sunoco LP / Sunoco Finance Corp., 4.875%, Due 1/15/2023F | 500,000 | 491,360 | |||||||||||||
|
| ||||||||||||||
6,955,078 | |||||||||||||||
|
| ||||||||||||||
Financial - 5.63% | |||||||||||||||
Ally Financial, Inc., | |||||||||||||||
4.125%, Due 2/13/2022 | 150,000 | 148,500 | |||||||||||||
5.125%, Due 9/30/2024 | 300,000 | 306,375 | |||||||||||||
Credit Acceptance Corp., | |||||||||||||||
6.125%, Due 2/15/2021 | 575,000 | 581,469 | |||||||||||||
7.375%, Due 3/15/2023 | 100,000 | 105,000 | |||||||||||||
Equinix, Inc., 5.375%, Due 1/1/2022 | 250,000 | 258,438 | |||||||||||||
Greystar Real Estate Partners LLC, 5.750%, Due 12/1/2025F | 50,000 | 48,500 | |||||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., | |||||||||||||||
6.000%, Due 8/1/2020 | 300,000 | 305,002 | |||||||||||||
6.250%, Due 2/1/2022 | 400,000 | 407,748 | |||||||||||||
iStar, Inc., 4.625%, Due 9/15/2020 | 300,000 | 297,375 | |||||||||||||
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, Due 4/1/2020F | 150,000 | 152,625 | |||||||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 5.875%, Due 8/1/2021F | 90,000 | 90,900 | |||||||||||||
Navient Corp., 5.875%, Due 3/25/2021 | 1,000,000 | 1,015,000 | |||||||||||||
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc., 6.375%, Due 12/15/2022F | 175,000 | 177,625 | |||||||||||||
SBA Communications Corp., 4.875%, Due 7/15/2022 | 400,000 | 398,500 | |||||||||||||
Springleaf Finance Corp., | |||||||||||||||
5.250%, Due 12/15/2019 | 500,000 | 508,125 | |||||||||||||
6.125%, Due 5/15/2022 | 150,000 | 153,375 | |||||||||||||
5.625%, Due 3/15/2023 | 100,000 | 100,261 | |||||||||||||
|
| ||||||||||||||
5,054,818 | |||||||||||||||
|
| ||||||||||||||
Industrial - 4.21% | |||||||||||||||
BBA US Holdings, Inc., 5.375%, Due 5/1/2026F | 50,000 | 50,374 | |||||||||||||
CEMEX Finance, LLC, 6.000%, Due 4/1/2024F | 250,000 | 258,550 | |||||||||||||
Engility Corp., 8.875%, Due 9/1/2024 | 300,000 | 321,750 | |||||||||||||
Gibraltar Industries, Inc., 6.250%, Due 2/1/2021 | 250,000 | 251,250 | |||||||||||||
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd., 7.375%, Due 12/15/2023F | 575,000 | 598,000 | |||||||||||||
Ingram Micro, Inc., | |||||||||||||||
5.000%, Due 8/10/2022 | 275,000 | 272,217 | |||||||||||||
5.450%, Due 12/15/2024 | 350,000 | 344,735 |
See accompanying notes
13
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
CORPORATE OBLIGATIONS - 57.66% (continued) | |||||||||||||||
Industrial - 4.21% (continued) | |||||||||||||||
Manitowoc Co., Inc., 12.750%, Due 8/15/2021F | $ | 300,000 | $ | 331,500 | |||||||||||
New Enterprise Stone & Lime Co., Inc., 6.250%, Due 3/15/2026F | 200,000 | 202,688 | |||||||||||||
Standard Industries, Inc., 5.375%, Due 11/15/2024F | 350,000 | 346,605 | |||||||||||||
TransDigm, Inc., 6.000%, Due 7/15/2022 | 550,000 | 559,735 | |||||||||||||
Tutor Perini Corp., 6.875%, Due 5/1/2025F | 250,000 | 248,125 | |||||||||||||
|
| ||||||||||||||
3,785,529 | |||||||||||||||
|
| ||||||||||||||
Technology - 5.60% | |||||||||||||||
Advanced Micro Devices, Inc., 7.000%, Due 7/1/2024 | 500,000 | 528,750 | |||||||||||||
BMC Software Finance, Inc., 8.125%, Due 7/15/2021F | 500,000 | 511,875 | |||||||||||||
EMC Corp., 2.650%, Due 6/1/2020 | 750,000 | 731,202 | |||||||||||||
First Data Corp., | |||||||||||||||
7.000%, Due 12/1/2023F | 425,000 | 444,656 | |||||||||||||
5.750%, Due 1/15/2024F | 300,000 | 306,810 | |||||||||||||
Harland Clarke Holdings Corp., 8.375%, Due 8/15/2022F | 150,000 | 143,430 | |||||||||||||
Infor Software Parent LLC / Infor Software Parent, Inc., 7.125%, Due 5/1/2021, Cash (7.125%) or PIK (in-kind rate 7.875%)F | 650,000 | 656,500 | |||||||||||||
Infor US, Inc., 5.750%, Due 8/15/2020F | 100,000 | 101,375 | |||||||||||||
j2 Cloud Services LLC / j2 Global Co-Obligor, Inc., 6.000%, Due 7/15/2025F | 300,000 | 303,750 | |||||||||||||
NCR Corp., 5.000%, Due 7/15/2022 | 500,000 | 493,125 | |||||||||||||
Rackspace Hosting, Inc., 8.625%, Due 11/15/2024F | 250,000 | 252,500 | |||||||||||||
Solera LLC / Solera Finance, Inc., 10.500%, Due 3/1/2024F | 500,000 | 552,879 | |||||||||||||
|
| ||||||||||||||
5,026,852 | |||||||||||||||
|
| ||||||||||||||
Utilities - 2.40% | |||||||||||||||
Calpine Corp., 5.875%, Due 1/15/2024F | 750,000 | 753,750 | |||||||||||||
NRG Energy, Inc., 6.250%, Due 7/15/2022 | 100,000 | 103,125 | |||||||||||||
Talen Energy Supply LLC, 9.500%, Due 7/15/2022F | 650,000 | 624,000 | |||||||||||||
Vistra Energy Corp., 7.375%, Due 11/1/2022 | 650,000 | 678,437 | |||||||||||||
|
| ||||||||||||||
2,159,312 | |||||||||||||||
|
| ||||||||||||||
Total Corporate Obligations (Cost $52,483,233) | 51,806,204 | ||||||||||||||
|
| ||||||||||||||
FOREIGN CORPORATE OBLIGATIONS - 16.40% | |||||||||||||||
Basic Materials - 1.80% | |||||||||||||||
Alcoa Nederland Holding B.V., 6.750%, Due 9/30/2024F | 350,000 | 372,312 | |||||||||||||
INEOS Group Holdings S.A., 5.625%, Due 8/1/2024F | 250,000 | 247,500 | |||||||||||||
New Gold, Inc., 6.250%, Due 11/15/2022F | 700,000 | 659,750 | |||||||||||||
NOVA Chemicals Corp., 4.875%, Due 6/1/2024F | 125,000 | 120,744 | |||||||||||||
Perstorp Holding AB, 8.500%, Due 6/30/2021F | 204,000 | 213,221 | |||||||||||||
|
| ||||||||||||||
1,613,527 | |||||||||||||||
|
| ||||||||||||||
Communications - 3.08% | |||||||||||||||
Altice Financing S.A., 6.625%, Due 2/15/2023F | 250,000 | 252,813 | |||||||||||||
Altice Luxembourg S.A., 7.750%, Due 5/15/2022F | 600,000 | 597,000 | |||||||||||||
Nokia OYJ, 5.375%, Due 5/15/2019 | 375,000 | 379,687 | |||||||||||||
Sable International Finance Ltd., 6.875%, Due 8/1/2022F | 450,000 | 470,250 | |||||||||||||
Virgin Media Finance PLC, 6.375%, Due 4/15/2023F | 500,000 | 513,750 | |||||||||||||
Virgin Media Secured Finance PLC, 5.250%, Due 1/15/2021 | 250,000 | 255,000 | |||||||||||||
VTR Finance B.V., 6.875%, Due 1/15/2024F | 290,000 | 299,758 | |||||||||||||
|
| ||||||||||||||
2,768,258 | |||||||||||||||
|
| ||||||||||||||
Consumer, Cyclical - 2.35% | |||||||||||||||
Aston Martin Capital Holdings Ltd., 6.500%, Due 4/15/2022F | 400,000 | 407,132 | |||||||||||||
International Game Technology PLC, 6.500%, Due 2/15/2025F | 375,000 | 396,116 | |||||||||||||
Mclaren Finance PLC, 5.750%, Due 8/1/2022F | 750,000 | 738,900 | |||||||||||||
Silversea Cruise Finance Ltd., 7.250%, Due 2/1/2025F | 250,000 | 270,625 | |||||||||||||
Viking Cruises Ltd., 6.250%, Due 5/15/2025F | 300,000 | 301,125 | |||||||||||||
|
| ||||||||||||||
2,113,898 | |||||||||||||||
|
| ||||||||||||||
Consumer, Non-Cyclical - 2.20% | |||||||||||||||
Bausch Health Cos, Inc., | |||||||||||||||
5.500%, Due 3/1/2023F | 625,000 | 592,187 | |||||||||||||
7.000%, Due 3/15/2024F | 700,000 | 742,175 |
See accompanying notes
14
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
FOREIGN CORPORATE OBLIGATIONS - 16.40% (continued) | |||||||||||||||
Consumer, Non-Cyclical - 2.20% (continued) | |||||||||||||||
Clearwater Seafoods, Inc., 6.875%, Due 5/1/2025F | $ | 100,000 | $ | 96,000 | |||||||||||
Mallinckrodt International Finance S.A. / Mallinckrodt CB LLC, | |||||||||||||||
4.875%, Due 4/15/2020F | 250,000 | 246,875 | |||||||||||||
5.625%, Due 10/15/2023F | 350,000 | 301,438 | |||||||||||||
|
| ||||||||||||||
1,978,675 | |||||||||||||||
|
| ||||||||||||||
Energy - 2.67% | |||||||||||||||
Ensco PLC, | |||||||||||||||
8.000%, Due 1/31/2024 | 175,000 | 176,750 | |||||||||||||
5.750%, Due 10/1/2044 | 225,000 | 163,688 | |||||||||||||
MEG Energy Corp., 6.375%, Due 1/30/2023F | 300,000 | 270,750 | |||||||||||||
Noble Holding International Ltd., 7.750%, Due 1/15/2024 | 183,000 | 177,510 | |||||||||||||
Transocean, Inc., 8.375%, Due 12/15/2021 | 250,000 | 267,500 | |||||||||||||
Weatherford International Ltd., | |||||||||||||||
5.125%, Due 9/15/2020 | 500,000 | 505,000 | |||||||||||||
4.500%, Due 4/15/2022 | 250,000 | 231,250 | |||||||||||||
Welltec A/S, 9.500%, Due 12/1/2022F | 600,000 | 603,000 | |||||||||||||
|
| ||||||||||||||
2,395,448 | |||||||||||||||
|
| ||||||||||||||
Financial - 0.87% | |||||||||||||||
goeasy Ltd., 7.875%, Due 11/1/2022F | 500,000 | 525,055 | |||||||||||||
Travelport Corporate Finance PLC, 6.000%, Due 3/15/2026F | 250,000 | 254,375 | |||||||||||||
|
| ||||||||||||||
779,430 | |||||||||||||||
|
| ||||||||||||||
Industrial - 2.42% | |||||||||||||||
Ardagh Packaging Finance PLC , 7.250%, Due 5/15/2024F | 550,000 | 573,375 | |||||||||||||
Bombardier, Inc., 6.000%, Due 10/15/2022F | 550,000 | 554,125 | |||||||||||||
Cemex S.A.B. de C.V., 7.750%, Due 4/16/2026F | 500,000 | 550,380 | |||||||||||||
Park Aerospace Holdings Ltd., 5.250%, Due 8/15/2022F | 500,000 | 500,000 | |||||||||||||
|
| ||||||||||||||
2,177,880 | |||||||||||||||
|
| ||||||||||||||
Technology - 1.01% | |||||||||||||||
Open Text Corp., 5.875%, Due 6/1/2026F | 400,000 | 410,000 | |||||||||||||
Seagate HDD Cayman, 4.750%, Due 6/1/2023 | 500,000 | 500,924 | |||||||||||||
|
| ||||||||||||||
910,924 | |||||||||||||||
|
| ||||||||||||||
Total Foreign Corporate Obligations (Cost $14,817,414) | 14,738,040 | ||||||||||||||
|
| ||||||||||||||
Shares | |||||||||||||||
SHORT-TERM INVESTMENTS - 1.95% (Cost $1,749,762) | |||||||||||||||
Investment Companies - 1.95% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 1.82%G H | 1,749,762 | 1,749,762 | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 99.20% (Cost $89,972,212) | 89,129,948 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 0.80% | 714,705 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 89,844,653 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
A Non-income producing security.
B Value was determined using significant unobservable inputs.
C Bank loan obligations, unless otherwise stated, carry a floating rate of interest. The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
D Unfunded Loan Commitment. At period end, the amount of unfunded loan commitments was $109,477 or 0.12% of net assets. Of this amount, $5,226 relate to AMCP Clean Acquisition Company LLC, $48,320 relates to AqGen Ascensus, Inc., $20,939 relates to DentalCorp Perfect Smile ULC, $8,669 relates to DG Investment Intermediate Holdings, Inc., $13,174 relates to Heartland Dental LLC, and $13,149 relates to Pearl Intermediate Parent LLC.
E Coupon rates may not be available for bank loans that are unsettled and/or unfunded as of July 31, 2018.
F 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 $31,338,823 or 34.88% of net assets. The Fund has no right to demand registration of these securities.
G The Fund is affiliated by having the same investment advisor.
H 7-day yield.
See accompanying notes
15
American Beacon Crescent Short Duration High Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
LIBOR - London Interbank Offered Rate.
LLC - Limited Liability Company.
LLLP - Limited Liability Limited Partnership.
LP - Limited Partnership.
PIK - Payment in Kind.
PLC - Public Limited Company.
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of July 31, 2018, the investments were classified as described below:
Crescent Short Duration High Income Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Common Stocks | $ | - | $ | - | $ | 200 | $ | 200 | ||||||||||||||||||||
Bank Loan Obligations(1) | - | 20,835,742 | - | 20,835,742 | ||||||||||||||||||||||||
Corporate Obligations | - | 51,806,204 | - | 51,806,204 | ||||||||||||||||||||||||
Foreign Corporate Obligations | - | 14,738,040 | - | 14,738,040 | ||||||||||||||||||||||||
Short-Term Investments | 1,749,762 | - | - | 1,749,762 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 1,749,762 | $ | 87,379,986 | $ | 200 | $ | 89,129,948 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | Unfunded loan commitments represent $109,477 at period end. |
U.S. GAAP requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of the Fund’s assets and liabilities. During the period ended July 31, 2018, there were no transfers between levels.
The following table is a reconciliation of Level 3 assets within the Fund for which significant unobservable inputs were used to determine fair value. Transfers in or out of Level 3 represent the ending value of any security or instrument where a change in the level has occurred from the beginning to the end of the period:
Security Type | Balance as of 1/31/2018 | Net Purchases | Net Sales | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3 | Transfer out of Level 3 | Balance as of 7/31/2018 | Change in Unrealized Appreciation (Depreciation) at Period end** | ||||||||||||||||||||||||||||||
Common Stocks | $ | 507 | $ | - | $ | - | $ | - | $ | - | $ | (307 | ) | $ | - | $ | - | $ | 200 | (1) | $ | (26,055 | ) |
** | Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at period end. This balance is included in the change in unrealized appreciation (depreciation) on the Statement of Operations. |
The common stocks classified as Level 3 were fair valued using private valuation reports provided to the Fund’s Sub-Advisor from a pricing vendor.
See accompanying notes
16
American Beacon Crescent Short Duration High Income FundSM
Statement of Assets and Liabilities
July 31, 2018 (Unaudited)
Assets: |
| |||
Investments in unaffiliated securities, at fair value† | $ | 87,380,186 | ||
Investments in affiliated securities, at fair value‡ | 1,749,762 | |||
Cash | 36,116 | |||
Dividends and interest receivable | 1,243,893 | |||
Receivable for investments sold | 2,210,890 | |||
Receivable for fund shares sold | 31 | |||
Receivable for tax reclaims | 2,377 | |||
Receivable for expense reimbursement (Note 2) | 11,771 | |||
Prepaid expenses | 25,912 | |||
|
| |||
Total assets | 92,660,938 | |||
|
| |||
Liabilities: |
| |||
Payable for investments purchased | 2,557,783 | |||
Payable for fund shares redeemed | 31,477 | |||
Dividends payable | 2,458 | |||
Unfunded loan commitments | 109,477 | |||
Management and sub-advisory fees payable (Note 2) | 57,136 | |||
Service fees payable (Note 2) | 1,016 | |||
Transfer agent fees payable (Note 2) | 1,258 | |||
Custody and fund accounting fees payable | 7,864 | |||
Professional fees payable | 43,113 | |||
Payable for prospectus and shareholder reports | 4,178 | |||
Other liabilities | 525 | |||
|
| |||
Total liabilities | 2,816,285 | |||
|
| |||
Net assets | $ | 89,844,653 | ||
|
| |||
Analysis of net assets: |
| |||
Paid-in-capital | $ | 93,587,100 | ||
Undistributed net investment income | 32,522 | |||
Accumulated net realized (loss) | (2,932,705 | ) | ||
Unrealized (depreciation) of investments in unaffiliated securitiesA | (842,264 | ) | ||
|
| |||
Net assets | $ | 89,844,653 | ||
|
| |||
Shares outstanding at no par value (unlimited shares authorized): |
| |||
Institutional Class | 8,779,842 | |||
|
| |||
Y Class | 509,272 | |||
|
| |||
Investor Class | 82,439 | |||
|
| |||
A Class | 131,442 | |||
|
| |||
C Class | 53,303 | |||
|
| |||
Net assets: |
| |||
Institutional Class | $ | 82,548,879 | ||
|
| |||
Y Class | $ | 4,784,740 | ||
|
| |||
Investor Class | $ | 775,498 | ||
|
| |||
A Class | $ | 1,234,698 | ||
|
| |||
C Class | $ | 500,838 | ||
|
| |||
Net asset value, offering and redemption price per share: |
| |||
Institutional Class | $ | 9.40 | ||
|
| |||
Y Class | $ | 9.40 | ||
|
| |||
Investor Class | $ | 9.41 | ||
|
| |||
A Class | $ | 9.39 | ||
|
| |||
A Class (offering price) | $ | 9.63 | ||
|
| |||
C Class | $ | 9.40 | ||
|
| |||
† Cost of investments in unaffiliated securities | $ | 88,222,450 | ||
‡ Cost of investments in affiliated securities | $ | 1,749,762 | ||
A The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
17
American Beacon Crescent Short Duration High Income FundSM
Statement of Operations
For the period ended July 31, 2018 (Unaudited)
Investment income: |
| |||
Dividend income from affiliated securities (Note 7) | $ | 37,370 | ||
Interest income | 2,569,564 | |||
|
| |||
Total investment income | 2,606,934 | |||
|
| |||
Expenses: |
| |||
Management and sub-advisory fees (Note 2) | 333,386 | |||
Transfer agent fees: | ||||
Institutional Class (Note 2) | 4,670 | |||
Y Class (Note 2) | 2,194 | |||
Investor Class | 691 | |||
A Class | 45 | |||
C Class | 5 | |||
Custody and fund accounting fees | 29,590 | |||
Professional fees | 37,192 | |||
Registration fees and expenses | 34,268 | |||
Service fees (Note 2): | ||||
Investor Class | 1,031 | |||
A Class | 371 | |||
C Class | 177 | |||
Distribution fees (Note 2): | ||||
A Class | 1,801 | |||
C Class | 2,531 | |||
Prospectus and shareholder report expenses | 8,099 | |||
Trustee fees (Note 2) | 2,526 | |||
Other expenses | 3,495 | |||
|
| |||
Total expenses | 462,072 | |||
|
| |||
Net fees waived and expenses (reimbursed) (Note 2) | (75,459 | ) | ||
|
| |||
Net expenses | 386,613 | |||
|
| |||
Net investment income | 2,220,321 | |||
|
| |||
Realized and unrealized gain (loss) from investments: |
| |||
Net realized (loss) from: | ||||
Investments in unaffiliated securitiesA | (463,738 | ) | ||
Change in net unrealized (depreciation) of: | ||||
Investments in unaffiliated securitiesB | (1,271,227 | ) | ||
|
| |||
Net (loss) from investments | (1,734,965 | ) | ||
|
| |||
Net increase in net assets resulting from operations | $ | 485,356 | ||
|
| |||
A The Fund did not recognize net realized gains (losses) from the sale of investments in affiliated securities. | ||||
B The Fund’s investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
18
American Beacon Crescent Short Duration High Income FundSM
Statement of Changes in Net Assets
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||
(unaudited) | ||||||||||||
Increase (decrease) in net assets: |
| |||||||||||
Operations: |
| |||||||||||
Net investment income | $ | 2,220,321 | $ | 3,897,464 | ||||||||
Net realized gain (loss) from investments in unaffiliated securities | (463,738 | ) | 323,728 | |||||||||
Change in net unrealized (depreciation) of investments in unaffiliated securities | (1,271,227 | ) | (801,438 | ) | ||||||||
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 485,356 | 3,419,754 | ||||||||||
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||
Net investment income: | ||||||||||||
Institutional Class | (2,026,937 | ) | (3,407,440 | ) | ||||||||
Y Class | (129,265 | ) | (295,367 | ) | ||||||||
Investor Class | (19,110 | ) | (86,903 | ) | ||||||||
A Class | (33,231 | ) | (72,041 | ) | ||||||||
C Class | (9,808 | ) | (21,430 | ) | ||||||||
|
|
|
| |||||||||
Net distributions to shareholders | (2,218,351 | ) | (3,883,181 | ) | ||||||||
|
|
|
| |||||||||
Capital share transactions (Note 9): |
| |||||||||||
Proceeds from sales of shares | 5,799,783 | 32,726,092 | ||||||||||
Reinvestment of dividends and distributions | 2,206,264 | 3,843,806 | ||||||||||
Cost of shares redeemed | (4,384,191 | ) | (10,553,290 | ) | ||||||||
|
|
|
| |||||||||
Net increase in net assets from capital share transactions | 3,621,856 | 26,016,608 | ||||||||||
|
|
|
| |||||||||
Net increase in net assets | 1,888,861 | 25,553,181 | ||||||||||
|
|
|
| |||||||||
Net assets: |
| |||||||||||
Beginning of period | 87,955,792 | 62,402,611 | ||||||||||
|
|
|
| |||||||||
End of period* | $ | 89,844,653 | $ | 87,955,792 | ||||||||
|
|
|
| |||||||||
*Includes undistributed net investment income | $ | 32,522 | $ | 30,552 | ||||||||
|
|
|
|
See accompanying notes
19
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), is organized as a Massachusetts business trust. The Fund, a series within the Trust, is registered under the Investment Company Act of 1940 (the “Act”), as amended, as a diversified, open-end management investment company. As of July 31, 2018, the Trust consists of thirty-three active series, one of which is presented in this filing: American Beacon Crescent Short Duration High Income Fund (the “Fund”). The remaining thirty-two active series are reported in separate filings.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
Class Disclosure
The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations, such as broker-dealers or retirement plan sponsors. | $ | 2,500 | |||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor which may include a front-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 | |||
C Class | Retail investors who invest directly through a financial intermediary such as a broker or through employee directed benefit plans with applicable sales charges which may include CDSC. | $ | 1,000 |
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 respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, and sub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Fund in preparation of the financial statements. The Fund is considered an investment company and accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard Codification Topic 946, Financial Services – Investment Companies, a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
20
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
Dividend income, net of foreign taxes, is recorded on the ex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Fund. Interest income, net of foreign taxes, is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. Realized gains (losses) from securities sold are determined on the basis of specific lot identification.
Distributions to Shareholders
Distributions, if any, of net investment income are generally monthly and recorded on the ex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP. To the extent necessary to fully distribute capital gains, the Fund may designate earnings and profits distributed to shareholders on the redemption of shares.
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Fund is allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Fund. Expenses directly charged or attributable to any Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Fund on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Fund or nature of the services performed and relative applicability to the Fund.
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.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities 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.
Concentration of Ownership
From time to time, the Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of accounts that represent a significant ownership of more than 5% of the Fund’s outstanding shares could have a material impact on the Fund. As of July 31, 2018, based on management’s evaluation of the shareholder account base, two accounts in the Crescent Short Duration High Income Fund have been identified as representing an unaffiliated significant ownership of approximately 42% of the Fund’s outstanding shares.
21
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
2. Transactions with Affiliates
Management and Investment Sub-Advisory Agreements
The Fund and the Manager are parties to a Management Agreement that obligates the Manager to provide the Fund with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Fund’s average daily net assets that is calculated and accrued daily according to the following schedule:
First $5 billion | 0.35 | % | ||
Next $5 billion | 0.325 | % | ||
Next $10 billion | 0.30 | % | ||
Over $20 billion | 0.275 | % |
The Trust, on behalf of the Fund, and the Manager have entered into an Investment Advisory Agreement with Crescent Capital Group LP (the "Sub-Advisor") Sub-Advisor pursuant to which the Fund has agreed to pay an annualized sub-advisory fee that is calculated and accrued daily based on the Fund’s average daily net assets according to the following schedule:
First $250 million | 0.40 | % | ||
Next $750 million | 0.35 | % | ||
Over $1 billion | 0.30 | % |
The Management and Sub-Advisory Fees paid by the Fund during the period ended July 31, 2018 were as follows:
Effective Fee Rate | Amount of Fees Paid | |||||||
Management Fees | 0.35 | % | $ | 155,081 | ||||
Sub-Advisor Fees | 0.40 | % | 178,305 | |||||
|
|
|
| |||||
Total | 0.75 | % | $ | 333,386 | ||||
|
|
|
|
Distribution Plans
The Fund, except for the A and C Classes of the Fund, has adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no separate fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
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. 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 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 up to 0.25% 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.
22
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Institutional and Y Classes of the Fund and has agreed to compensate the intermediaries for providing these services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. Certain services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Fund’s transfer agent. Accordingly, the Fund, pursuant to the Board’s approval, has agreed to reimburse the Manager for certain non-distribution shareholder services provided by financial intermediaries for the Institutional and Y Classes. The reimbursement amounts (sub-transfer agent fees) paid to the Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional Class and Y Class on an annual basis. During the period ended July 31, 2018, the sub-transfer agent fees, as reflected in “Transfer agent fees” on the Statement of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
Crescent Short Duration High Income | $ | 5,396 |
As of July 31, 2018, the Fund owed the Manager the following reimbursement of sub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statement of Assets and Liabilities:
Fund | Reimbursement Sub-Transfer Agent Fees | |||
Crescent Short Duration High Income | $ | 670 |
Investments in Affiliated Funds
The Fund may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). Cash collateral received by the Fund in connection with securities lending may also be invested in the USG Select Fund. The Fund and the USG Select Fund have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund. During the period ended July 31, 2018, the Manager earned fees on the Fund’s direct investments in the USG Select Fund as shown below:
Fund | Direct Investments in USG Select Fund | |||
Crescent Short Duration High Income | $ | 2,408 |
Interfund Credit Facility
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 a credit facility whereby each Fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating Funds for temporary purposes. The interfund credit facility is advantageous to the Funds because it provides added liquidity, and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a Fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended July 31, 2018, the Fund did not utilize the credit facility.
23
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Fund to the extent that total operating expenses exceed the Fund’s expense cap. During the period ended July 31, 2018, the Manager waived and/or reimbursed expenses as follows:
Expense Cap | Expiration of Reimbursed Expenses | |||||||||||||||||
Fund | Class | 2/1/2018 - 7/31/2018 | Reimbursed Expenses | (Recouped) Expenses | ||||||||||||||
Crescent Short Duration High Income | Institutional | 0.85 | % | $ | 70,120 | $ | - | 2021 | ||||||||||
Crescent Short Duration High Income | Y | 0.95 | % | 3,802 | - | 2021 | ||||||||||||
Crescent Short Duration High Income | Investor | 1.23 | % | 820 | - | 2021 | ||||||||||||
Crescent Short Duration High Income | A | 1.25 | % | 506 | - | 2021 | ||||||||||||
Crescent Short Duration High Income | C | 2.00 | % | 211 | - | 2021 |
Of these amounts, $11,771 was disclosed as a receivable from the Manager to the Crescent Short Duration High Income Fund on the Statement of Assets and Liabilities at July 31, 2018.
The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Fund for any contractual or voluntary fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Fund’s annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2021. The Fund did not record a liability for potential reimbursements due to the current assessment that reimbursements are unlikely. The carryover of excess expenses potentially reimbursable to the Manager are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
Crescent Short Duration High Income | $ | - | $ | 180,253 | $ | - | 2019 | |||||||||
Crescent Short Duration High Income | - | 201,928 | - | 2020 | ||||||||||||
Crescent Short Duration High Income | - | 175,701 | - | 2021 |
The Distributor
Effective March 1, 2018, Resolute Investment Distributors, Inc. (“RID” or “Distributor”) replaced Foreside Fund Services, LLC (“Foreside”) as the Fund’s distributor and principal underwriter of the Fund’s shares.
RID is a registered broker-dealer and is a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). The Distributor is affiliated with the Manager through common ownership. Under a Distribution Agreement with the Trust, the Distributor acts as the distributor and principal underwriter of the Trust in connection with the continuous offering of shares of the Fund. The Distributor continually distributes shares of the Fund on a best efforts basis. The Distributor has no obligation to sell any specific quantity of the Fund’s shares. Pursuant to the Distribution Agreement, to the extent applicable, the Distributor receives, and may re-allow to broker-dealers, all or a portion of the sales charge paid by the purchasers of A Class and C Class shares. For A Class and C Class shares, the Distributor receives commission revenue consisting of the portion of A Class and C Class sales charge remaining after the allowances by the Distributor to the broker-dealers. The Distributor retains any portion of the commission fees that are not paid to the broker-dealers for use solely to pay distribution related expenses.
Prior to March 1, 2018, Foreside served as the distributor and principal underwriter of the Fund’s shares. Pursuant to a Sub-Administration Agreement between Foreside and the Manager in effect through February 28, 2018, Foreside received a fee from the Manager for providing administrative services in connection with the
24
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
marketing and distribution of shares of the Trust, including the registration of Manager employees as registered representatives of Foreside to facilitate distribution of Fund shares. Foreside also received a fee from the Manager under a Marketing Agreement pursuant to which Foreside provided services in connection with the marketing of a Fund to institutional investors. Pursuant to the Distribution Agreement with the Trust in effect through February 28, 2018, Foreside received, and may have re-allowed to broker-dealers, all or a portion of the sales charge paid by the purchasers of A and C Class shares. For A and C Class shares, Foreside received commission revenues consisting of the portion of A and C Class sales charge remaining after the allowances by Foreside to the broker dealers. Foreside retained any portion of the commission fees that were not paid to the broker-dealers for use solely to pay distribution related expenses.
Sales Commissions
The Fund’s Distributor, formerly Foreside, may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended July 31, 2018, there were no sales commissions collected by Foreside and RID for Class A Shares of the Fund.
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Fund’s 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 period ended July 31, 2018, there were no CDSC fees collected for Class A Shares of the Fund.
A 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 Fund’s 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 period ended July 31, 2018, there were no CDSC fees collected by Foreside and RID for Class C Shares of the Fund.
Trustee Fees and Expenses
As compensation for their service to the Trust, American Beacon Select Funds, American Beacon Institutional Funds Trust, American Beacon Sound Point Enhanced Income Fund, and American Beacon Apollo Enhanced Income Fund, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chairman receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for his attendance at the committee meetings. Effective January 1, 2018, the Board Vice Chair receives an additional annual retainer of $10,000. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each Fund of the Trusts according to its respective net assets.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on its net asset value (“NAV”) per share. The Fund’s NAV is computed by adding total assets, subtracting all the Fund’s liabilities, and dividing the result by the total number of shares outstanding.
The NAV of each class of the Fund’s shares is determined based on a pro rata allocation of the Fund’s investment income, expenses and total capital gains and losses. The Fund’s NAV per share is determined each
25
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
business day as of the regular close of trading on the New York Stock Exchange (‘‘NYSE‘‘ or “Exchange”), which is typically 4:00 p.m. Eastern Time (“ET”). However, if trading on the NYSE closes at a time other than 4:00 p.m. ET, the Fund’s NAV per share typically would still be determined as of the regular close of trading on the NYSE. The Fund does not price its shares on days that the NYSE is closed. Foreign exchanges may permit trading in foreign securities on days when the Fund is not open for business, which may result in the value of the Fund’s portfolio investments being affected at a time when you are unable to buy or sell shares.
Equity securities and certain derivative instruments that are traded on an exchange are valued based on market value. Certain derivative instruments (other than short-term securities) usually are valued on the basis of prices provided by a pricing service. The price of debt securities generally is determined using pricing services or quotes obtained from broker/dealers who may consider a number of inputs and factors, such as comparable characteristics, yield curve, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flow. Investments in other mutual funds are valued at the closing NAV per share of the mutual funds on the day of valuation. Equity securities, including shares of closed-end funds and exchanged-traded funds (“ETFs”), are valued at the last sale price or official closing price.
The valuation of securities traded on foreign markets and certain fixed income securities will generally be based on prices determined as of the earlier closing time of the markets on which they primarily trade unless a significant event has occurred. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. ET.
Securities may be valued at fair value, as determined in good faith and pursuant to procedures approved by the Board, under certain limited circumstances. For example, fair value pricing will be used when market quotations are not readily available or reliable, as determined by the Manager, such as when (i) trading for a security is restricted or stopped; (ii) a security’s trading market is closed (other than customary closings); or (iii) a security has been de-listed from a national exchange. A security with limited market liquidity may require fair value pricing if the Manager determines that the available price does not reflect the security’s true market value. In addition, if a significant event that the Manager determines to affect the value of one or more securities held by the Fund occurs after the close of a related exchange but before the determination of the Fund’s NAV, fair value pricing may be used on the affected security or securities. Securities of small-capitalization companies are also more likely to require a fair value determination using these procedures because they are more thinly traded and less liquid than the securities of larger-capitalization companies. The Fund may fair value securities as a result of significant events occurring after the close of the foreign markets in which the Fund invests as described below. In addition, the Fund may invest in illiquid securities requiring these procedures.
The Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund’s pricing time of 4:00 p.m. ET. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. If the Manager determines that the last quoted prices of non-U.S. securities will, in its judgment, materially affect the value of some or all its portfolio securities, the Manager can 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. These securities are fair valued using a pricing service, using methods approved by the Board, that considers the correlation of the trading patterns of the foreign security to intraday trading in the U.S. markets, based on indices of domestic securities and other appropriate indicators such as prices of relevant American Depository Receipts (“ADRs”) and futures contracts. The Valuation Committee, established by the Board, may also fair value securities in other situations, such as when a particular foreign market is closed but the 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.
26
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Attempts to determine the fair value of securities introduce an element of subjectivity to the pricing of securities. As a result, the price of a security determined through fair valuation techniques may differ from the price quoted or published by other sources and may not accurately reflect the market value of the security when trading resumes. If a reliable market quotation becomes available for a security formerly valued through fair valuation techniques, the Manager compares the new market quotation to the fair value price to evaluate the effectiveness of the Fund’s fair valuation procedures. If any significant discrepancies are found, the Manager may adjust the Fund’s fair valuation procedures.
Valuation Inputs
Various inputs may be used to determine the fair 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 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. |
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 and are categorized as Level 2 of the fair value hierarchy.
Common stocks 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. 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 generally categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair value
The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows.
Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction and may be categorized as Level 3 of the fair value hierarchy.
27
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the Exchange close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade, do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the fair values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the Manager. For instances in which daily market quotes are not readily available, investments may be valued pursuant to guidelines established by the Board. In the event that the security or asset cannot be valued, pursuant to one of the valuation methods established by the Board, the fair value of the security or asset will be determined in good faith by the Valuation Committee, generally based upon recommendations provided by the Manager.
When a Fund uses fair valuation methods applied by the Manager that use significant unobservable inputs to determine its NAV, the securities priced using this methodology are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
4. Securities and Other Investments
Bank Loans and Senior Loans
Loans are typically administered by a bank, insurance company, finance company or other financial institution (the “agent”) for a lending syndicate of financial institutions. In a typical loan, the agent administers the terms of the loan agreement and is responsible for the collection of principal and interest and fee payments from the borrower and the apportionment of these payments to all lenders that are parties to the loan agreement. In addition, an institution (which may be the agent) may hold collateral on behalf of the lenders. Typically, under loan agreements, the agent is given broad authority in monitoring the borrower’s performance and is obligated to use the same care it would use in the management of its own property. In asserting rights against a borrower, the Fund normally will be dependent on the willingness of the lead bank to assert these rights, or upon a vote of all the lenders to authorize the action. If an agent becomes insolvent, or has a receiver, conservator, or similar official appointed for it by the appropriate regulatory authority, or becomes a debtor in a bankruptcy proceeding, the agent’s appointment may be terminated and a successor agent would be appointed. If an appropriate regulator or court determines that assets held by the agent for the benefit of purchasers of loans are subject to the claims of the agent’s general or secured creditors, the Fund might incur certain costs and delays in realizing payment on a loan or suffer a loss of principal and/or interest. The Fund may be subject to similar risks when it buys a participation interest or an assignment from an intermediary.
Bank loans are fixed and floating rate loans arranged through private negotiations between a company or a non-U.S. government and one or more financial institutions (lenders). The Fund may invest in senior loans, which are floating rate loans that hold a senior position in the capital structure of U.S. and foreign corporations, partnerships or other business entities. Under normal circumstances, senior loans have priority of claim ahead of other obligations of a borrower in the event of liquidation. Senior loans may be collateralized or uncollateralized. They pay interest at rates that float above, or are adjusted periodically based on, a benchmark that reflects current interest rates.
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American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The Fund may invest in such loans in the form of participations in loans and assignments of all or a portion of loans from third parties. In connection with purchasing participations in such instruments, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation. When the Fund purchases assignments from lenders, the Fund will acquire direct rights against the borrower on the loan. A Fund may acquire bank and senior loan assignments or participations. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the purchaser’s rights can be more restricted than those of the assigning institution, and, in any event, the Fund may not be able to unilaterally enforce all rights and remedies under the loan and with regard to any associated collateral. A participation typically results in a contractual relationship only with the institution participating out the interest, not with the borrower. In purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement against the borrower, and the Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Fund will be exposed to the credit risk of both the borrower and the institution selling the participation.
The Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in “Interest income” on the Statement of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included on the Statement of Assets and Liabilities and Statement of Operations.
Common Stock
Common stock generally takes the form of shares in a corporation which represent an ownership interest. It ranks below preferred stock and debt securities in claims for dividends and for assets of the company in a liquidation or bankruptcy. The value of a company’s common stock may fall as a result of factors directly relating to that company, such as decisions made by its management or decreased demand for the company’s products or services. A stock’s value may also decline because of factors affecting not just the company, but also companies in the same industry or sector. The price of a company’s stock may also be affected by changes in financial markets that are relatively unrelated to the company, such as changes in interest rates, currency exchange rates or industry regulation. Companies that elect to pay dividends on their common stock generally only do so after they invest in their own business and make required payments to bondholders and on other debt and preferred stock. Therefore, the value of a company’s common stock will usually be more volatile than its bonds, other debt and preferred stock. Common stock may be exchange-traded or OTC. OTC stock may be less liquid than exchange-traded stock.
Corporate Debt and Other Fixed-Income Securities
Typically, the values of fixed-income securities change inversely with prevailing interest rates. Therefore, a fundamental risk of fixed-income securities is interest rate risk, which is the risk that their value will generally decline as prevailing interest rates rise, which may cause a Fund’s net asset value to likewise decrease, and vice versa. How specific fixed-income securities may react to changes in interest rates will depend on specific characteristics of each security. Fixed-income securities are also subject to credit risk, which is the risk that the credit strength of an issuer of a fixed-income security will weaken and/or that the issuer will be unable to make timely principal and interest payments and that the security may go into default.
Delayed Funding Loans and Revolving Credit Facilities
A Fund may enter into, or acquire participations in, delayed funding loans and revolving credit facilities. Delayed funding loans and revolving credit facilities are borrowing arrangements in which the lender agrees to make loans up to a maximum amount upon demand by the borrower during a specific term. A revolving credit facility differs from a delayed funding loan in that as the borrower repays the loan, an amount equal to the repayment may be borrowed again during the term of the revolving credit facility. Delayed funding loans and
29
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
revolving credit facilities usually provide for floating or variable rates of interest. These commitments may have the effect of requiring a Fund to increase its investment in a company at a time when it might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that a Fund is committed to advance additional funds, it will at all times segregate or “earmark” assets, determined to be liquid in accordance with procedures established by the Trust’s Board, in an amount sufficient to meet such commitments.
A Fund may invest in delayed funding loans and revolving credit facilities with credit quality comparable to that of issuers of its securities investments. Delayed funding loans and revolving credit facilities may be subject to restrictions on transfer, and only limited opportunities may exist to resell such instruments. As a result, a Fund may be unable to sell such investments at an opportune time or may have to resell them at less than fair market value.
Floating Rate Loan Interest
The coupon on certain fixed-income securities in which the Fund may invest is not fixed and may fluctuate based upon changes in market rates. The coupon on a floating rate security is generally based on an interest rate such as a money market index, London Interbank Offered Rate ("LIBOR") or a Treasury bill rate. Floating rate obligations are less effective than fixed rate obligations at locking in a particular yield. Nevertheless, such securities are subject to interest rate risk and may fluctuate in value in response to interest rate changes if there is a delay between changes in market interest rates and the interest reset date for the obligation, or for other reasons. As short-term interest rates decline, the coupons on floating rate securities typically decrease. Alternatively, during periods of increasing interest rates, changes in the coupons of floating rate securities may lag behind changes in market rates or may have limits on the maximum increases in the coupon rates. The value of floating rate securities may decline if their coupons do not rise as much, or as quickly, as interest rates in general. Floating rate securities will not generally increase in value if interest rates decline.
Foreign Debt Securities
The Fund may invest in foreign fixed and floating rate income securities (including emerging market securities) all or a portion of which may be non-U.S. dollar denominated and which include: (a) debt obligations issued or guaranteed by foreign national, provincial, state, municipal or other governments with taxing authority or by their agencies or instrumentalities, including Brady Bonds; (b) debt obligations of supranational entities; (c) debt obligations of the U.S. Government issued in non-dollar securities; (d) debt obligations and other fixed income securities of foreign corporate issuers (both dollar and non-dollar denominated); and (e) U.S. corporate issuers (both Eurodollar and non-dollar denominated). There is no minimum rating criteria for the Fund’s investments in such securities. Investing in the securities of foreign issuers involves special considerations that are not typically associated with investing in the securities of U.S. issuers. In addition, frontier and emerging markets are markets that have risks that are different and higher than those in more developed markets.
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.
30
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Illiquid and 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 (the “Securities Act”). Illiquid securities have included securities that have not been registered under the Securities Act, securities that are otherwise not readily marketable, and repurchase agreements having a remaining maturity of longer than seven calendar days. Disposal of both illiquid and restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities outstanding during the period ended July 31, 2018 are disclosed in the Fund’s Notes to the Schedule of Investments.
Regulation S under the Securities Act permits the sale abroad of securities that are not registered for sale in the United States and includes a provision for U.S. investors, such as the Fund, to purchase such unregistered securities if certain conditions are met.
Other Investment Company Securities and Other Exchange-Traded Products
The Fund may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, unit investment trusts, and other investment companies of the Trust. The Fund 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, the Fund becomes a shareholder of that investment company. As a result, the Fund’s shareholders indirectly will bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses the Fund’s 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.
Payment-In-Kind Securities
Payment-in-kind securities (“PIKs”) are debt securities that do not make regular cash interest payments. PIKs pay interest through the issuance of additional securities. Because these securities do not pay current cash income, their price can be volatile when interest rates fluctuate. Federal income tax law requires a holder of pay-in-kind securities to include in gross income each taxable year the portion of the non-cash income on those securities (i.e., the additional securities issued as interest thereon) accrued during that year. In order to continue to qualify for treatment as a “regulated investment company” under the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and avoid federal excise tax, a Fund may be required to distribute a portion of such non-cash income and may be required to dispose of other portfolio securities (which may occur in periods of adverse market prices) in order to generate cash to meet these distribution requirements. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the “Unrealized appreciation (depreciation) of investments” to “Dividend and interest receivable” in the Statement of Assets and Liabilities.
5. Principal Risks
Investing in the Fund may involve certain risks including, but not limited to, those described below.
Credit Risk
The Fund is subject to the risk that the issuer or guarantor of a debt security, or the counterparty to a derivatives contract or a loan will fail to make timely payment of interest or principal or otherwise honor its
31
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
obligations or default completely. A decline in the credit rating of an individual security held by a Fund may have an adverse impact on its price and make it difficult for a Fund to sell it. Ratings represent a rating agency’s opinion regarding the quality of the security and are not a guarantee of quality. Rating agencies might not always change their credit rating on an issuer or security in a timely manner to reflect events that could affect the issuer’s ability to make timely payments on its obligations. Credit risk is typically greater for securities with ratings that are below investment grade. Since a Fund can invest significantly in high yield investments considered speculative in nature, this risk will be substantial.
Floating Rate Securities Risk
The coupon on floating rate securities are not fixed and may fluctuate based upon changes in market rates. The coupon on a floating rate security is a generally based on an interest rate, such as a money-market index, London Interbank Offered Rate (“LIBOR”) or a Treasury bill rate. Floating rate securities are subject to interest rate and credit risk. As short-term interest rates decline, coupons on floating rate securities typically decrease. Alternatively, during periods of rising interest rates, coupons on floating rate securities typically increase. Changes in coupons on floating rate securities may lag behind changes in market rates or may have limits on the maximum increases in the coupon rates. The value of floating rate securities may decline if their coupons do not rise as much, or as quickly, as interest rates in general. Floating rate securities will not generally increase in value if interest rates decline.
High-Yield Securities Risk
Investing in high-yield securities (commonly referred to as ‘‘junk bonds’’) generally involves significantly greater risks of loss of your money than an investment in investment-grade securities. Compared with issuers of investment-grade securities, high-yield securities are more likely to encounter financial difficulties and to be materially affected by these difficulties. High-yield debt securities may fluctuate more widely in price and yield and may fall in price when the economy is weak or expected to become weak. High-yield securities are considered to be speculative with respect to an issuer’s ability to pay interest and principal and carry a greater risk that issuers of lower-rated securities will default on the timely payment of principal or interest. Below-investment-grade securities may experience greater price volatility and less liquidity than investment-grade securities.
Lower-rated securities are subject to certain risks that may not be present with investments in higher-grade securities. Investors should consider carefully their ability to assume the risks associated with lower-rated securities before investing in a Fund. The lower rating of certain high-yielding corporate income securities reflects a greater possibility that the financial condition of the issuer or adverse changes in general economic conditions may impair the ability of the issuer to pay income and principal. Changes by rating agencies in their ratings of a fixed-income security also may affect the value of these investments. However, allocating investments among securities of different issuers could reduce the risks of owning any such securities separately. The prices of these high-yield securities tend to be less sensitive to interest rate changes than investment-grade investments, but more sensitive to adverse economic changes or individual corporate developments. During economic downturns or periods of rising interest rates, highly leveraged issuers may experience financial stress that adversely affects their ability to service principal and interest payment obligations, to meet projected business goals or to obtain additional financing, and the markets for their securities may be more volatile. If an issuer defaults, a Fund may incur additional expenses to seek recovery. Additionally, accruals of interest income for a Fund may have to be adjusted in the event of default. In the event of an issuer’s default, a Fund may write off prior income accruals for that issuer, resulting in a reduction in a Fund’s current dividend payment. Frequently, the higher yields of high-yielding securities may not reflect the value of the income stream that holders of such securities may expect, but rather the risk that such securities may lose a substantial portion of their value as a result of their issuer’s financial restructuring or default. Additionally, an economic downturn or an increase in interest rates could have a negative effect on the high-yield securities market and on the market value of the high-yield securities held by a Fund, as well as on the ability of the issuers of such securities to repay principal and interest on their borrowings.
32
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Illiquid and Restricted Securities Risk
Securities not registered in the U.S. under the Securities Act of 1933, as amended (the “Securities Act”), including Rule 144A securities, are restricted as to their resale. Such securities may not be listed on an exchange and may have no active trading market. They may be more difficult to purchase or sell at an advantageous time or price because such securities may not be readily marketable in broad public markets. The Fund may not be able to sell a restricted security when the sub-advisor considers it desirable to do so and/or may have to sell the security at a lower price than the Fund believes is its fair market value. In addition, transaction costs may be higher for restricted securities and the Fund may receive only limited information regarding the issuer of a restricted security. The Fund may have to bear the expense of registering restricted securities for resale and the risk of substantial delays in effecting the registration.
Interest Rate Risk
Investments in investment-grade and non-investment grade fixed-income securities are subject to interest rate risk. The value of a Fund’s fixed-income investments typically will fall when interest rates rise. A Fund may be particularly sensitive to changes in interest rates if it invests in debt securities with intermediate and long terms to maturity. Debt securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than debt securities with shorter durations. Yields of debt securities will fluctuate over time. Following the financial crisis that started in 2008, the Federal Reserve has attempted to stabilize the economy and support the economic recovery by keeping the federal funds rate (the interest rate at which depository institutions lend reserve balances to each other overnight) at or near zero percent. The Federal Reserve has raised the federal funds rate several times since December 2015 and has signaled additional increases in the near future. Interest rates may rise significantly and/or rapidly, potentially resulting insubstantial losses to a Fund. During periods of very low or negative interest rates, a Fund may be unable to maintain positive returns. Certain European countries and Japan have recently experienced negative interest rates on deposits and debt securities have traded at negative yields. Negative interest rates may become more prevalent among non-U.S. issuers, and potentially within the United States. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates.
Liquidity Risk
When there is little or no active trading market for specific types of securities, such as derivative instruments, it can become more difficult to purchase or sell the securities at or near their perceived value. During such periods, certain investments held by a Fund may be difficult to sell or other investments may be difficult to purchase at favorable times or prices. As a result, a Fund may have to lower the price on certain securities that it is trying to sell, sell other securities instead or forgo an investment opportunity, any of which could have a negative effect on Fund management or performance. Redemptions by a few large investors in a Fund at such times may have a significant adverse effect on a Fund’s NAV and remaining Fund shareholders. In addition, the market-making capacity of dealers in certain types of securities has been reduced in recent years, in part as a result of structural and regulatory changes, such as fewer proprietary trading desks and increased regulatory capital requirements for broker-dealers. Further, many broker-dealers have reduced their inventory of certain debt securities. This could negatively affect a Fund’s ability to buy or sell debt securities and increase the related volatility and trading costs. A Fund may lose money if it is forced to sell certain investments at unfavorable prices to meet redemption requests or other cash needs.
Loan Interests Risk
In making investments in loans that are made by banks or other financial intermediaries to borrowers, a Fund will depend primarily on the creditworthiness of the borrower for payment of principal and interest, and will also rely on the financial institution to make principal and interest payments to a Fund once it receives payment on the
33
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
underlying loan or to pursue appropriate remedies against a borrower in the event that the borrower defaults, which may expose a Fund to the credit risk of both the financial institution that made the loan and the underlying borrower. The market for bank loans may not be highly liquid, and a Fund may have difficulty selling them. Unlike publicly traded common stocks which trade on national exchanges, there is no central place or exchange for loans, including bank loans and senior loans, to trade. Loans trade in an over-the-counter market, and confirmation and settlement, which are effected through standardized procedures and documentation, may take significantly longer than seven days to complete. Extended trade settlement periods may, in unusual market conditions with a high volume of shareholder redemptions, present risk to shareholders regarding a Fund’s ability to pay redemption proceeds within the allowable time periods stated in its prospectus. The secondary market for floating rate loans also may be subject to irregular trading activity and wide bid/ask spreads. The lack of an active trading market for certain loans may impair the ability of a Fund to sell its loan interests at a time when it may otherwise be desirable to do so or may require a Fund to sell them at prices that are less than what a Fund regards as their fair market value and may make it difficult to value such loans. Restrictions on transfers in loan agreements, a lack of publicly available information and other factors may make bank loans more difficult to sell at an advantageous time or price than other types of securities or instruments. There may be less readily available information about loans. Interests in loans made to finance highly leveraged companies or transactions, such as corporate acquisitions, may be especially vulnerable to adverse changes in economic or market conditions. When a Fund’s loan interest is a participation, the Fund is subject to the risk that the party selling the participation interest will not remit a Fund’s pro rata share of loan payments to the Fund, and the Fund may have less control over the exercise of remedies than the party selling the participation interest.
Market Risk
Since the financial crisis that started in 2008, the U.S. and many foreign economies continue to experience its after-effects. Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these securities to rise and the yields to decline. Reduced liquidity in fixed-income and credit markets may negatively affect many issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, and the possibility of changes to some international trade agreements, could affect the economies of many nations in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants. In addition, political and diplomatic events within the U.S. and abroad, such as the U.S. government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has recently reduced federal corporate income tax rates, and future legislative, regulatory and policy changes may result in more restrictions on international trade, less stringent prudential regulation of certain
34
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the markets’ expectations for changes in government policies are not borne out.
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the U.S. and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Regulators have expressed concern that rate increases may cause investors to sell fixed income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse. The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the "EU’), commonly referred to as "Brexit," are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of a Fund’s investments in the United Kingdom and Europe.
Other Investment Companies Risk
A Fund may invest in shares of other registered investment companies, including money market funds. To the extent that a Fund invests in shares of other registered investment companies, a Fund will indirectly bear fees and expenses, including for example, advisory and administrative fees, charged by those investment companies in addition to a Fund’s direct fees and expenses and will be subject to the risks associated with investments in those companies. For example, a Fund’s investments in money market funds are subject to interest rate risk, credit risk, and market risk. A Fund must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of a Fund’s investment will decline, adversely affecting a Fund’s performance. To the extent a Fund invests in other investment companies that invest in equity securities, fixed income securities and/or foreign securities, or track an index, the Fund is subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject.
Prepayment and Extension Risk
Prepayment risk is the risk that the principal amount of a bond may be repaid prior to the bond’s maturity date. Due to a decline in interest rates or excess cash flow, a debt security may be called or otherwise prepaid before maturity. If this occurs, no additional interest will be paid on the investment and the Fund may have to invest at a lower rate, may not benefit from an increase in value that may result from declining interest rates, and may lose any premium it paid to acquire the security. Variable and floating rate securities may be less sensitive to prepayment risk. Extension risk is the risk that a decrease in prepayments may, as a result of higher interest rates or other factors, result in the extension of a security’s effective maturity, heighten interest rate risk and increase the potential for a decline in its price.
Unrated Securities Risk
Because a Fund may purchase securities that are not rated by any rating organization, a sub-advisor, after assessing their credit quality, may internally assign ratings to certain of those securities, in categories of those similar to those of rating organizations. Investing in unrated securities involves the risk that the sub-advisor may
35
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
not accurately evaluate the security’s comparative credit rating. To the extent that a Fund invests in unrated securities, a Fund’s success in achieving its investment objective may depend more heavily on the sub-advisor’s credit analysis than if a Fund invested exclusively in rated securities. Some unrated securities may not have an active trading market or may be difficult to value, which means a Fund might have difficulty selling them promptly at an acceptable price.
6. 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 distributions 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 unrecorded tax liabilities in the accompanying financial statements. Each of the tax years in the four year period ended January 31, 2018 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 expenses” on the Statement of Operations.
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 (depreciation), as applicable, as the income is earned or capital gains are recorded.
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.
As of July 31, 2018 the tax cost for the Fund and the respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Crescent Short Duration High Income | $ | 89,978,068 | $ | 629,268 | $ | (1,477,388 | ) | $ | (848,120 | ) |
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Fund in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
During the year January 31, 2018, the Fund had the following post RIC MOD capital loss carryforwards:
Fund | Short-Term Capital Loss Carryforwards | Long-Term Capital Loss Carryforwards | ||||||||||
Crescent Short Duration High Income | $ | 1,116,531 | $ | 1,346,373 |
7. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended July 31, 2018 were as follows:
Fund | Purchases (non-U.S. Government Securities) | Purchases of U.S. Government Securities | Sales (non-U.S. Government Securities) | Sales of U.S. Government Securities | ||||||||||||||||||||||||
Crescent Short Duration High Income | $ | 38,390,699 | $ | – | $ | 30,678,490 | $ | – |
36
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
A summary of the Fund’s transactions in the USG Select Fund for the period ended July 31, 2018 were as follows:
Fund | Type of Transaction | January 31, 2018 Share/Fair Value | Purchases | Sales | July 31, 2018 Share/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||
Crescent Short Duration High Income | Direct | $ | 2,182,064 | $ | 25,815,180 | $ | 26,247,482 | $ | 1,749,762 | $ | 37,370 |
8. Borrowing Arrangements
Effective November 16, 2017, the Fund, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $50 million with interest at a rate equal to the higher of (a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 15, 2018, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
Effective November 16, 2017, the Fund, along with certain other Participating Funds managed by the Manager, entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”) agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of (a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate. The Uncommitted Line expires November 15, 2018 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
The Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statement of Operations, along with commitment fees, that have been allocated among the Participating Funds based on average daily net assets. During the period ended July 31, 2018, the Fund did not utilize this facility.
9. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Fund:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Crescent Short Duration High Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 547,609 | $ | 5,190,315 | 3,035,175 | $ | 29,281,462 | ||||||||||||||||||||||
Reinvestment of dividends | 215,581 | 2,026,743 | 353,215 | 3,406,053 | ||||||||||||||||||||||||
Shares redeemed | (214,292 | ) | (2,020,604 | ) | (536,404 | ) | (5,189,606 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 548,898 | $ | 5,196,454 | 2,851,986 | $ | 27,497,909 | ||||||||||||||||||||||
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| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Crescent Short Duration High Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 61,456 | $ | 582,201 | 216,234 | $ | 2,083,182 | ||||||||||||||||||||||
Reinvestment of dividends | 12,970 | 121,901 | 29,095 | 280,460 | ||||||||||||||||||||||||
Shares redeemed | (179,277 | ) | (1,691,859 | ) | (283,003 | ) | (2,725,395 | ) | ||||||||||||||||||||
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|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (104,851 | ) | $ | (987,757 | ) | (37,674 | ) | $ | (361,753 | ) | ||||||||||||||||||
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37
American Beacon Crescent Short Duration High Income FundSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Crescent Short Duration High Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 11 | $ | 101 | 28,126 | $ | 271,672 | ||||||||||||||||||||||
Reinvestment of dividends | 2,030 | 19,109 | 7,617 | 73,541 | ||||||||||||||||||||||||
Shares redeemed | (21,725 | ) | (205,095 | ) | (211,566 | ) | (2,043,360 | ) | ||||||||||||||||||||
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|
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|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (19,684 | ) | $ | (185,885 | ) | (175,823 | ) | $ | (1,698,147 | ) | ||||||||||||||||||
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A Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Crescent Short Duration High Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 266 | $ | 2,500 | 83,232 | $ | 802,939 | ||||||||||||||||||||||
Reinvestment of dividends | 3,144 | 29,543 | 6,732 | 64,862 | ||||||||||||||||||||||||
Shares redeemed | (43,423 | ) | (408,127 | ) | (41,404 | ) | (399,151 | ) | ||||||||||||||||||||
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|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (40,013 | ) | $ | (376,084 | ) | 48,560 | $ | 468,650 | ||||||||||||||||||||
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C Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Crescent Short Duration High Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 2,630 | $ | 24,666 | 29,843 | $ | 286,837 | ||||||||||||||||||||||
Reinvestment of dividends | 954 | 8,968 | 1,959 | 18,890 | ||||||||||||||||||||||||
Shares redeemed | (6,205 | ) | (58,506 | ) | (20,299 | ) | (195,778 | ) | ||||||||||||||||||||
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|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (2,621 | ) | $ | (24,872 | ) | 11,503 | $ | 109,949 | ||||||||||||||||||||
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10. Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
38
American Beacon Crescent Short Duration High Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | October 1, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.59 | $ | 9.64 | $ | 9.01 | $ | 9.68 | $ | 10.00 | ||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.23 | 0.47 | 0.46 | 0.47 | 0.16 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.19 | ) | (0.05 | ) | 0.63 | (0.67 | ) | (0.32 | ) | |||||||||||||||||||||||||||
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Total income (loss) from investment operations | 0.04 | 0.42 | 1.09 | (0.20 | ) | (0.16 | ) | |||||||||||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.23 | ) | (0.47 | ) | (0.46 | ) | (0.47 | ) | (0.16 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | - | |||||||||||||||||||||||||||||||
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Total distributions | (0.23 | ) | (0.47 | ) | (0.46 | ) | (0.47 | ) | (0.16 | ) | ||||||||||||||||||||||||||
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Net asset value, end of period | $ | 9.40 | $ | 9.59 | $ | 9.64 | $ | 9.01 | $ | 9.68 | ||||||||||||||||||||||||||
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Total returnB | 0.49 | %C | 4.45 | % | 12.38 | % | (2.23 | )% | (1.65 | )%C | ||||||||||||||||||||||||||
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Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 82,548,879 | $ | 78,914,147 | $ | 51,834,666 | $ | 36,971,459 | $ | 33,903,138 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.02 | %D | 1.07 | % | 1.26 | % | 1.27 | % | 2.24 | %D | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 0.85 | %D | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | %D | ||||||||||||||||||||||||||
Net investment income, before expense reimbursements | 4.86 | %D | 4.66 | % | 4.51 | % | 4.41 | % | 3.37 | %D | ||||||||||||||||||||||||||
Net investment income, net of reimbursements | 5.03 | %D | 4.89 | % | 4.93 | % | 4.83 | % | 4.76 | %D | ||||||||||||||||||||||||||
Portfolio turnover rate | 41 | %C | 75 | % | 95 | % | 72 | % | 31 | %E |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from October 1, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
39
American Beacon Crescent Short Duration High Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | October 1, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.58 | $ | 9.63 | $ | 9.00 | $ | 9.68 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.23 | 0.46 | 0.45 | 0.46 | 0.15 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.18 | ) | (0.05 | ) | 0.63 | (0.68 | ) | (0.32 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.05 | 0.41 | �� | 1.08 | (0.22 | ) | (0.17 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.23 | ) | (0.46 | ) | (0.45 | ) | (0.46 | ) | (0.15 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | - | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.23 | ) | (0.46 | ) | (0.45 | ) | (0.46 | ) | (0.15 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.40 | $ | 9.58 | $ | 9.63 | $ | 9.00 | $ | 9.68 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnB | 0.55 | %C | 4.33 | % | 12.27 | % | (2.39 | )% | (1.68 | )%C | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 4,784,740 | $ | 5,883,759 | $ | 6,277,416 | $ | 8,481,991 | $ | 98,343 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.09 | %D | 1.14 | % | 1.36 | % | 1.29 | % | 7.71 | %D | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 0.95 | %D | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | %D | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 4.78 | %D | 4.59 | % | 4.42 | % | 4.80 | % | (2.11 | )%D | ||||||||||||||||||||||||||
Net investment income, net of reimbursements | 4.92 | %D | 4.78 | % | 4.83 | % | 5.14 | % | 4.64 | %D | ||||||||||||||||||||||||||
Portfolio turnover rate | 41 | %C | 75 | % | 95 | % | 72 | % | 31 | %E |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from October 1, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
40
American Beacon Crescent Short Duration High Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | October 1, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.59 | $ | 9.64 | $ | 9.01 | $ | 9.69 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.22 | 0.44 | 0.43 | 0.44 | 0.14 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.18 | ) | (0.06 | ) | 0.63 | (0.68 | ) | (0.31 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.04 | 0.38 | 1.06 | (0.24 | ) | (0.17 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.22 | ) | (0.43 | ) | (0.43 | ) | (0.44 | ) | (0.14 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | - | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.22 | ) | (0.43 | ) | (0.43 | ) | (0.44 | ) | (0.14 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.41 | $ | 9.59 | $ | 9.64 | $ | 9.01 | $ | 9.69 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnB | 0.41 | %C | 4.04 | % | 11.96 | % | (2.67 | )% | (1.67 | )%C | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 775,498 | $ | 979,646 | $ | 2,679,338 | $ | 3,560,159 | $ | 189,898 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.43 | %D | 1.39 | % | 1.56 | % | 1.46 | % | 6.21 | %D | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.23 | %D | 1.23 | % | 1.23 | % | 1.23 | % | 1.23 | %D | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 4.44 | %D | 4.33 | % | 4.22 | % | 4.44 | % | (0.41 | )%D | ||||||||||||||||||||||||||
Net investment income, net of reimbursements | 4.64 | %D | 4.49 | % | 4.55 | % | 4.68 | % | 4.57 | %D | ||||||||||||||||||||||||||
Portfolio turnover rate | 41 | %C | 75 | % | 95 | % | 72 | % | 31 | %E |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from October 1, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
41
American Beacon Crescent Short Duration High Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | October 1, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.58 | $ | 9.63 | $ | 9.00 | $ | 9.68 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.22 | 0.43 | 0.43 | 0.43 | 0.14 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.19 | ) | (0.05 | ) | 0.63 | (0.68 | ) | (0.32 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.03 | 0.38 | 1.06 | (0.25 | ) | (0.18 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.22 | ) | (0.43 | ) | (0.43 | ) | (0.43 | ) | (0.14 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | - | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.22 | ) | (0.43 | ) | (0.43 | ) | (0.43 | ) | (0.14 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.39 | $ | 9.58 | $ | 9.63 | $ | 9.00 | $ | 9.68 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnB | 0.29 | %C | 4.02 | % | 11.94 | % | (2.71 | )% | (1.78 | )%C | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 1,234,698 | $ | 1,642,414 | $ | 1,183,362 | $ | 1,033,329 | $ | 98,255 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.32 | %D | 1.46 | % | 1.66 | % | 1.55 | % | 7.97 | %D | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.25 | %D | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | %D | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 4.55 | %D | 4.26 | % | 4.13 | % | 4.28 | % | (2.37 | )%D | ||||||||||||||||||||||||||
Net investment income, net of reimbursements | 4.62 | %D | 4.47 | % | 4.54 | % | 4.59 | % | 4.36 | %D | ||||||||||||||||||||||||||
Portfolio turnover rate | 41 | %C | 75 | % | 95 | % | 72 | % | 31 | %E |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from October 1, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
42
American Beacon Crescent Short Duration High Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | October 1, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.58 | $ | 9.63 | $ | 9.00 | $ | 9.68 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.18 | 0.36 | 0.35 | 0.36 | 0.12 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.18 | ) | (0.05 | ) | 0.63 | (0.68 | ) | (0.32 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | - | 0.31 | 0.98 | (0.32 | ) | (0.20 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | (0.36 | ) | (0.35 | ) | (0.36 | ) | (0.12 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | - | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.18 | ) | (0.36 | ) | (0.35 | ) | (0.36 | ) | (0.12 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.40 | $ | 9.58 | $ | 9.63 | $ | 9.00 | $ | 9.68 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnB | 0.03 | %C | 3.24 | % | 11.10 | % | (3.40 | )% | (2.03 | )%C | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 500,838 | $ | 535,826 | $ | 427,829 | $ | 456,828 | $ | 97,911 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.08 | %D | 2.21 | % | 2.41 | % | 2.36 | % | 8.70 | %D | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 2.00 | %D | 2.00 | % | 2.00 | % | 2.00 | % | 2.00 | %D | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 3.80 | %D | 3.51 | % | 3.37 | % | 3.76 | % | (3.12 | )%D | ||||||||||||||||||||||||||
Net investment income, net of reimbursements | 3.88 | %D | 3.71 | % | 3.78 | % | 4.12 | % | 3.59 | %D | ||||||||||||||||||||||||||
Portfolio turnover rate | 41 | %C | 75 | % | 95 | % | 72 | % | 31 | %E |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from October 1, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
43
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
At in-person meetings held on May 18, 2018 and June 5-6, 2018 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 6, 2018 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon Crescent Short Duration High Income Fund (“Fund”); and
(2) the Investment Advisory Agreement among the Manager, Crescent Capital Group LP (the “subadvisor”), and the Trust, on behalf of the Fund.
The Management Agreement and the Investment Advisory Agreement are collectively referred to herein as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisor, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and the subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Fund as well as information from the Manager and the subadvisor. At the Meetings, the Board considered the information provided. Further, the Board took into consideration information furnished to the Board throughout the year at regular meetings of the Board and its committees, as well as information specifically prepared in connection with the renewal process.
In connection with the Board’s consideration of the Agreements, the Trustees received and evaluated such information as they deemed necessary. The information requested on behalf of the Board included, among other information, the following materials. References herein to the “firm” refer to the Manager and/or the subadvisor.
• | comparisons of the performance of an appropriate share class of the Fund to comparable investment companies and appropriate benchmark indices, including peer group averages and performance analyses from Broadridge, and to the performance of any similar accounts or a composite of similar accounts, as applicable, managed by the firm; |
• | comparisons of the Fund’s management and subadvisory fee rates and expense ratio with the management fee rates paid by comparable mutual funds and their expense ratios, including peer group averages and fee and expense analyses from Broadridge, and the advisory fee rates charged to other clients for which similar services are provided by a firm; |
• | a description of any applicable fee waivers and/or expense reimbursements in place for the Fund during the past year, and any proposed changes to the expense limitation arrangements; |
• | the Manager’s profitability with respect to the services that it provided to the Fund; |
• | any actual or anticipated economies of scale in relation to the services the firm provides or will provide to the Fund and whether the current fee rates charged or to be charged to the Fund reflect these economies of scale for the benefit of the Fund’s investors; |
• | an evaluation of other benefits to the firm or Fund as a result of their relationship, if any; |
• | information regarding administrative, accounting-related and cash management services that the Manager provides to the Fund and the fees that the Manager receives for such services; and |
• | information regarding a firm’s financial condition, the personnel of the Manager who are assigned primary responsibility for managing the Fund, staffing levels, portfolio managers’ compensation, insurance coverage, material pending litigation, code of ethics, compliance matters, actual or potential conflicts of interest that the firm experiences, or anticipates that it will experience, in providing services to the Fund, and the Manager’s disaster recovery plans. |
44
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
The Board noted that the Manager provides management and administrative services to the Fund pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. The class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Fund and its shareholders.
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreement
In determining whether to renew the Agreements, the Trustees considered the best interests of the Fund. While the Management Agreement and the Investment Advisory Agreement for the Fund were considered at the Meetings, the Board considered the Fund’s investment management and subadvisory relationships separately.
In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of the Fund; (3) the costs incurred by the Manager in rendering services to the Fund and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or the subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or the subadvisor from their relationships with the Fund.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: the Fund’s long-term performance; the length of service of key investment personnel at the Manager; the cost structure of the Fund; the Manager’s culture of compliance and support that reduce risks to the Fund; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
With respect to the renewal of the Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. The Board also considered the adequacy of the resources committed to the Fund by the subadvisor, and whether those resources were commensurate with the needs of the Fund and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of the subadvisor. The Board also considered the subadvisor’s representations regarding its
45
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and the subadvisor were appropriate for the Fund.
Investment Performance. The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of the Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting the Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for the Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by the subadvisor regarding the performance of the Fund relative to the performance of the Fund’s benchmark index and appropriate composites of similar accounts. In addition, the Board considered the Manager’s recommendation to continue to retain the subadvisor. A discussion regarding the Board’s considerations with respect to the Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to the Fund.”
Costs of the Services Provided to the Fund and the Profits Realized by the Manager from its Relationship with the Fund. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the Manager sustaining a loss before and after the payment of distribution-related expenses by the Manager. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Fund, the Manager represented that, among other matters, the difference is attributable to the fact that the Manager does not perform administrative services for non-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Fund.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the Fund that were in place during the last fiscal year. The Board further considered that, with respect to the Fund, the applicable Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager. In addition, the Board considered that the Manager receives fees for overseeing the securities lending program on behalf of the Fund. The Board also noted that certain share classes of the Fund maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by the subadvisor in connection with its investment advisory services to the Fund, the Board considered representations made by the subadvisor regarding the subadvisory fee rate schedule for a comparable client account. The Board did not request profitability data from the subadvisor because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisor with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that the subadvisor may not account for its profits on an account-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to the Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to the Fund.”
46
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as the Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints in the subadvisory fee rate for the Fund.
In addition, the Board noted the Manager’s representation that the Management Agreement contains fee schedule breakpoints at higher asset levels with respect to the Fund. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for the Fund provide for a reasonable sharing of benefits from any economies of scale with the Fund.
Benefits Derived from the Relationship with the Fund. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisor as a result of the advisory relationships with the Fund, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisor. The Board also considered that the Manager may invest the Fund’s cash balances and cash collateral provided by the borrowers of the Fund’s securities in the American Beacon U.S. Government Money Market Select Fund, which the Manager manages directly. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisor by virtue of their relationships with the Fund appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to the Fund
The performance comparisons below were made in comparison to the Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top twenty percent of the universe based on performance and the 5th Quintile representing the bottom twenty percent of the universe based on performance. References below to the Fund’s Broadridge performance universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events and not necessarily reflective of manager skill.
The expense comparisons below were made in comparison to the Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the top twenty percent of the universe or group based on lowest total expense and the 5th Quintile representing the bottom twenty percent of the universe or group based on highest total expense. References below to the Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered the Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisor’s use of soft dollars was requested from the Manager and was considered by the Trustees.
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with the subadvisor for the Fund, the Trustees considered the following additional factors:
Broadridge Total Expense Analysis Excluding 12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 4th Quintile | |
Compared to Broadridge Expense Universe | 5th Quintile | |
Morningstar Fee Level Ranking – Institutional Class | High Expense Ratio |
47
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Broadridge and Morningstar Performance Analysis (three-year period ended December 31, 2017)
Compared to Broadridge Performance Universe | 4th Quintile | |
Compared to Morningstar Category | 4th Quintile |
The Trustees also considered: (1) the higher expenses associated with the Fund’s investments in bank loans and private debt than high yield (below investment grade securities), in which the funds in its Broadridge expense group, expense universe and Morningstar category primarily invest in; (2) the favorable performance of high yield in the past three years and the fact that the Fund does not invest in these securities to the same extent as many of the funds in its Broadridge performance universe and Morningstar category; and (3) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management Agreement and Investment Advisory Agreement are fair and reasonable; and (2) determined that the Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund.
48
Delivery of Documents
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 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: Call (800) 658-5811 | By Mail: American Beacon Funds 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, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (800)-SEC-0330. 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 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts | TRANSFER AGENT DST Asset Manager Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Boston, Massachusetts | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, 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 Crescent Short Duration High Income Fund are service marks of American Beacon Advisors, Inc.
SAR 7/18
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.
ACADIAN EMERGING MARKETS MANAGED VOLATILITY FUND
Investing in foreign and emerging market securities may involve heightened risk due to currency fluctuations and economic and political risks. Investing in lower volatility securities may produce more modest gains than other stock funds as a trade-off for the potentially lower downside risk. The use of futures contracts for cash management may subject the Fund to losing more money than invested. The Fund participates in a securities lending program. 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.
SGA GLOBAL GROWTH FUND
Investing in foreign and emerging market securities may involve heightened risk due to currency fluctuations and economic and political risks. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. The use of futures contracts for cash management may subject the Fund to losing more money than invested. The Fund participates in a securities lending program. 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 each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions, and, therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | July 31, 2018 |
Back Cover |
![]() | Dear Shareholders,
Since 1986, American Beacon has endeavored to provide investors with a disciplined approach to realizing long-term investment goals: Institutional wisdom + earned alpha = enduring value.
u We believe institutional wisdom comes from having more than 30 years of experience as manager of one of the country’s largest pension plans. As a fiduciary, we have built an investment due-diligence and oversight infrastructure, which we leverage across all our investment products. When selecting our investment managers, we focus on their people, processes and performance. We perform due-diligence reviews with each investment manager on a quarterly basis.
u We believe earned alpha – that is, the returns of an actively managed |
fund beyond a benchmark – comes from employing and engaging investment managers we believe are best-in-class and who have defined, repeatable and proven processes. Our experience has shown us that, while it’s important to be mindful of short-term considerations, having a long-term focus helps manage expectations, mitigate risks and realize goals. Thus, we seek relationships with leading investment managers who display a willingness to undertake time-intensive research strategies. The resulting investment portfolios are differentiated from their peers and allow incremental changes to help address periods of market volatility and economic uncertainty. |
u | We believe enduring value comes from “putting a portfolio in place and sticking with the plan.” Our mutual funds provide you with access to institutional-quality, research-intensive investment managers with diverse processes and styles. In the long run, having such access and spending time in the market – rather than trying to time the market – may better position you to reach your long-term investment goals. |
During periods of market volatility and economic uncertainty – such as what we’ve seen thus far in 2018 – investing for the long term requires conviction. It isn’t about identifying and anticipating the next big market move. It’s about identifying the right investment products for riding out those moves. It’s about developing an approach based on long-term participation, while seeking some measure of protection against ongoing volatility.
As a manager of managers, we strive to provide investment products that may enable investors to participate during market upswings while potentially insulating against market downswings. Many of the sub-advisors to our mutual funds pursue upside capture and/or downside protection using proprietary strategies. The investment teams behind our mutual funds seek to produce consistent, long-term results rather than focus only on short-term movements in the markets. In managing our investment products, we emphasize identifying opportunities that offer the potential for high quality and lower risk.
At American Beacon, our approach is more than a concept. It’s the cornerstone of our culture. And we strive to apply it at every turn as we seek to provide a well-diversified line of investment products for your portfolio.
Thank you for your continued interest in American Beacon. 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 Acadian Emerging Markets Managed Volatility FundSM
July 31, 2018 (Unaudited)
The Investor Class of the American Beacon Acadian Emerging Markets Managed Volatility Fund (the “Fund”) returned -7.72% for the six months ended July 31, 2018. The Fund outperformed the MSCI Emerging Markets Index (the “Index”) return of -11.94% for the period.
Total Returns for the Period ended July 31, 2018 |
| ||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Year | Since Inception | |||||||||||||||||||||||
Institutional Class (1,3) | ACDIX | (7.56 | )% | 6.64 | % | 4.28 | % | 3.04 | % | ||||||||||||||||||
Y Class (1,3) | ACDYX | (7.59 | )% | 6.46 | % | 4.15 | % | 2.94 | % | ||||||||||||||||||
Investor Class (1,3) | ACDPX | (7.72 | )% | 6.20 | % | 3.87 | % | 2.66 | % | ||||||||||||||||||
A without Sales Charge (1,3) | ACDAX | (7.78 | )% | 6.19 | % | 3.82 | % | 2.61 | % | ||||||||||||||||||
A with Sales Charge (1,3) | ACDAX | (13.06 | )% | 0.10 | % | 1.79 | % | 1.36 | % | ||||||||||||||||||
C without Sales Charge (1,3) | ACDCX | (8.05 | )% | 5.35 | % | 3.05 | % | 1.84 | % | ||||||||||||||||||
C with Sales Charge (1,3) | ACDCX | (9.05 | )% | 4.35 | % | 3.05 | % | 1.84 | % | ||||||||||||||||||
Lipper Emerging Markets Funds Index (2) | (11.56 | )% | 3.38 | % | 8.83 | % | 4.13 | % | |||||||||||||||||||
MSCI Emerging Markets Index (2) | (11.94 | )% | 4.36 | % | 8.94 | % | 4.17 | % |
* | 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 calculated based on the published end of day net asset values as of the 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. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than the actual returns shown since inception. 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. | The MSCI Emerging Markets Index is a market capitalization weighted index composed of companies that are representative of the market structure of developing countries in Latin America, Asia, Eastern Europe, the Middle East and Africa. One cannot directly invest in an index. The Lipper Emerging Markets Funds Index tracks the results of the 30 largest mutual funds in the Lipper Emerging Markets Funds category. Lipper is an independent mutual fund research and ranking service. |
3. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares were 1.48%, 1.56%, 1.78%, 1.91% and 2.68%, 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 over the six-month period due to stock selection and country allocation.
Stock selections in China, Malaysia, and Hong Kong contributed positively to the Fund’s relative performance for the period. Stock selections in Thailand offset some of the impact, detracting from the Fund’s relative return. In China, contributors included China Petroleum + Chemical (up 17.8%), and China Railway Group, Ltd. H (up 52.1%). Within Malaysia, Nestle (Malaysia) Berhad (up 27.0%) and Public Bank Berhad (up 6.3%) contributed to the Fund’s relative returns. In Hong Kong, a primary contributor was CNOOC Ltd. (up 9.8%). In Thailand, Advanced Information Tech F (down 25.6%) detracted from relative performance.
Relative contribution from country allocation was positive for the six-month period, primarily due to overweighting Egypt (up 0.9%) and India (down 4.5%). Underweighting Mexico (down 2.0%) detracted from the Fund’s relative performance during the period.
The Fund’s basic philosophy remains focused on investing in a well-diversified portfolio of low volatility stocks that aims to maximize risk-adjusted returns.
2
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Performance Overview
July 31, 2018 (Unaudited)
Top Ten Holdings (% Net Assets) | ||||||||
Manila Electric Co. | 1.6 | |||||||
Hindustan Unilever Ltd. | 1.5 | |||||||
CEZ A/S | 1.5 | |||||||
Public Bank Bhd | 1.4 | |||||||
Tata Consultancy Services Ltd. | 1.4 | |||||||
Alicorp S.A.A. | 1.4 | |||||||
Shanghai Commercial & Savings Bank Ltd. | 1.4 | |||||||
CITIC Ltd. | 1.4 | |||||||
PetroChina Co., Ltd., Class H | 1.4 | |||||||
China Petroleum & Chemical Corp., Class H | 1.4 | |||||||
Total Fund Holdings | 239 | |||||||
Sector Allocation (% Equities) | ||||||||
Financials | 21.3 | |||||||
Consumer Staples | 21.0 | |||||||
Telecommunication Services | 13.0 | |||||||
Utilities | 9.5 | |||||||
Information Technology | 9.0 | |||||||
Industrials | 6.9 | |||||||
Consumer Discretionary | 6.2 | |||||||
Energy | 5.5 | |||||||
Health Care | 4.0 | |||||||
Materials | 3.6 | |||||||
Country Allocation (% Equities) | ||||||||
China | 27.3 | |||||||
India | 12.5 | |||||||
Republic of Korea | 10.6 | |||||||
Taiwan | 8.4 | |||||||
Malaysia | 5.3 | |||||||
Thailand | 4.8 | |||||||
South Africa | 3.7 | |||||||
Philippines | 3.5 | |||||||
Brazil | 3.4 | |||||||
Indonesia | 3.2 | |||||||
Chile | 2.9 | |||||||
Egypt | 2.5 | |||||||
Czech Republic | 2.3 | |||||||
Peru | 2.0 | |||||||
Hungary | 2.0 | |||||||
Greece | 2.0 | |||||||
Russia | 1.2 | |||||||
Turkey | 0.7 | |||||||
Mexico | 0.7 | |||||||
Poland | 0.6 | |||||||
Hong Kong | 0.3 | |||||||
Cayman Islands | 0.1 |
3
American Beacon SGA Global Growth FundSM
Performance Overview
July 31, 2018 (Unaudited)
The Investor Class of the American Beacon SGA Global Growth Fund (the “Fund”) returned 0.56% for the six months ended July 31, 2018. The Fund outperformed the MSCI All Country World Index (the “Index”) return of -2.91% for the period.
Total Returns for the Period ended July 31, 2018 | ||||||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||||||||||||||
Institutional Class (1,7) | SGAGX | 0.75 | % | 17.12 | % | 14.12 | % | 12.63 | % | 11.98 | % | |||||||||||||||||||
Y Class (1,2,7) | SGAYX | 0.70 | % | 16.96 | % | 14.00 | % | 12.51 | % | 11.91 | % | |||||||||||||||||||
Investor Class (1,3,7) | SGAPX | 0.56 | % | 16.70 | % | 13.66 | % | 12.21 | % | 11.71 | % | |||||||||||||||||||
A without Sales Charge (1,4,7) | SGAAX | 0.56 | % | 16.66 | % | 13.66 | % | 12.18 | % | 11.69 | % | |||||||||||||||||||
A with Sales Charge (1,4,7) | SGAAX | (5.21 | )% | 9.97 | % | 11.44 | % | 10.86 | % | 10.82 | % | |||||||||||||||||||
C without Sales Charge (1,5,7) | SGACX | 0.16 | % | 15.74 | % | 12.79 | % | 11.36 | % | 11.15 | % | |||||||||||||||||||
C with Sales Charge (1,5,7) | SGACX | (0.84 | )% | 14.74 | % | 12.79 | % | 11.36 | % | 11.15 | % | |||||||||||||||||||
MSCI All Country World Index (6) | (2.91 | )% | 10.97 | % | 8.95 | % | 9.04 | % | 8.40 | % | ||||||||||||||||||||
MSCI All Country World Growth Index (6) | (1.03 | )% | 15.34 | % | 10.43 | % | 11.04 | % | 9.69 | % |
* | 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 calculated based on the published end of day net asset values as of the 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. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than the actual returns shown since inception. Please note that the recent performance of the securities market has helped produce short-term returns that are not typical and may not continue in the future. |
2. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 12/31/10 up to 10/4/13, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 12/31/10. |
3. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 12/31/10 up to 10/4/13, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Investor Class been in existence since 12/31/10. |
4. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 12/31/10 up to 10/4/13, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 12/31/10. The maximum sales charge for A Class is 5.75%. |
5. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 12/31/10 up to 10/4/13, 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 Institutional Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 12/31/10. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. |
6. | The MSCI All Country World Index (“ACWI”) is a free float-adjusted, market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI All Country World Growth Index is designed to measure equity market performance of companies with higher growth values in developed and emerging markets. One cannot directly invest in an index. |
7. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A and C Class shares were 2.04%, 1.89%, 2.06%, 2.34% and 3.09%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund outperformed the Index over the six-month period due to stock selection. This was slightly offset by country allocation.
4
American Beacon SGA Global Growth FundSM
Performance Overview
July 31, 2018 (Unaudited)
Stock selections in the United States were the leading contributor to the Fund’s relative outperformance over the six-month period, including Salesforce.com, Inc. (up 23.1%), TJX Companies, Inc. (up 22.1%), and Amazon.com, Inc. (up 24.4%). Stock selections in Germany also added value to the Fund’s relative performance, led by SAP SE Sponsored ADR (up 4.0%). Conversely, stock selections in Australia, including MYOB Group, Ltd. (down 14.1%) detracted from relative performance.
From a country allocation perspective, overweighting Hong Kong (down 11.5%) and China (down 14.3%) detracted from relative performance. Overweighting the United States (up 0.6%) contributed positively for the period.
The Fund’s basic philosophy remains focused on investing in high-quality companies that offer sustainable earnings and cash flow growth over the long term.
Top Ten Holdings (% Net Assets) |
| |||||||
AIA Group Ltd. | 3.9 | |||||||
Schlumberger Ltd. | 3.9 | |||||||
Visa, Inc., Class A | 3.9 | |||||||
SAP SE, Sponsored ADR | 3.8 | |||||||
Autodesk, Inc. | 3.3 | |||||||
Regeneron Pharmaceuticals, Inc. | 3.2 | |||||||
Alphabet, Inc., Class C | 3.1 | |||||||
Danone S.A. | 3.0 | |||||||
TJX Co., Inc. | 3.0 | |||||||
Mondelez International, Inc., Class A | 3.0 | |||||||
Total Fund Holdings | 34 | |||||||
Sector Allocation (% Equities) |
| |||||||
Information Technology | 33.9 | |||||||
Consumer Discretionary | 22.3 | |||||||
Consumer Staples | 15.2 | |||||||
Financials | 9.5 | |||||||
Health Care | 6.5 | |||||||
Energy | 4.2 | |||||||
Industrials | 3.2 | |||||||
Real Estate | 3.1 | |||||||
Materials | 2.1 | |||||||
Country Allocation (% Equities) |
| |||||||
United States | 53.7 | |||||||
China | 8.2 | |||||||
India | 6.1 | |||||||
South Africa | 4.4 | |||||||
Hong Kong | 4.2 | |||||||
Germany | 4.1 | |||||||
France | 3.2 | |||||||
Denmark | 3.1 | |||||||
Switzerland | 2.7 | |||||||
Japan | 2.4 | |||||||
Argentina | 2.4 | |||||||
Mexico | 2.2 | |||||||
Republic of Korea | 1.8 | |||||||
Australia | 1.5 |
5
American Beacon FundsSM
July 31, 2018 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution (12b-1) fees, sub-transfer agent fees, and other Fund expenses. The Examples are intended to help you understand the ongoing cost (in dollars) of investing in the Funds 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 February 1, 2018 through July 31, 2018.
Actual Expenses
The “Actual” lines of the tables provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “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 Funds 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 tables provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed 5% per year rate of return before expenses (not the Funds’ actual return). You may compare the ongoing costs of investing in the Funds 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 Funds 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 Funds, such as sales charges (loads) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
6
American Beacon FundsSM
Expense Examples
July 31, 2018 (Unaudited)
Acadian Emerging Markets Managed Volatility Fund |
| ||||||||||||||
Beginning Account Value 2/1/2018 | Ending Account Value 7/31/2018 | Expenses Paid During Period 2/1/2018-7/31/2018* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $924.40 | $6.44 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.10 | $6.76 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $924.10 | $6.92 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.60 | $7.25 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $922.80 | $8.25 | ||||||||||||
Hypothetical** | $1,000.00 | $1,016.20 | $8.65 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $922.20 | $8.34 | ||||||||||||
Hypothetical** | $1,000.00 | $1,016.10 | $8.75 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $919.50 | $11.90 | ||||||||||||
Hypothetical** | $1,000.00 | $1,012.40 | $12.47 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.35%, 1.45%, 1.73%, 1.75%, and 2.50% 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. |
SGA Global Growth Fund |
| ||||||||||||||
Beginning Account Value 2/1/2018 | Ending Account Value 7/31/2018 | Expenses Paid During Period 2/1/2018-7/31/2018* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,007.50 | $4.88 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.90 | $4.91 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,007.00 | $5.37 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.40 | $5.41 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,005.60 | $6.76 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.10 | $6.81 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,005.60 | $6.86 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.00 | $6.90 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,001.60 | $10.57 | ||||||||||||
Hypothetical** | $1,000.00 | $1,014.20 | $10.64 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.98%, 1.08%, 1.36%, 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. |
7
American Beacon Acadian Emerging Markets Managed Volatility FundSM
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
Brazil - 3.29% | |||||||||||||||
Common Stocks - 2.86% | |||||||||||||||
Ambev S.A. | 33,800 | $ | 174,795 | ||||||||||||
Atacadao Distribuicao Comercio e Industria LtdaA | 1,600 | 6,667 | |||||||||||||
Camil Alimentos S.A.A | 63,100 | 106,419 | |||||||||||||
Construtora Tenda S.A.A | 4,900 | 34,714 | |||||||||||||
CPFL Energia S.A. | 20,300 | 117,636 | |||||||||||||
Engie Brasil Energia S.A. | 1,600 | 15,939 | |||||||||||||
Grendene S.A. | 28,200 | 58,529 | |||||||||||||
Hypera S.A.A | 17,200 | 127,168 | |||||||||||||
IRB Brasil Resseguros S/AA | 22,400 | 318,696 | |||||||||||||
SLC Agricola S.A. | 1,100 | 15,504 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 976,067 | ||||||||||||||
|
| ||||||||||||||
Preferred Stocks - 0.43% | |||||||||||||||
Centrais Eletricas Santa CatarinaB | 900 | 7,074 | |||||||||||||
Telefonica Brasil S.A.A B | 12,800 | 140,028 | |||||||||||||
|
| ||||||||||||||
Total Preferred Stocks | 147,102 | ||||||||||||||
|
| ||||||||||||||
Total Brazil (Cost $1,092,293) | 1,123,169 | ||||||||||||||
|
| ||||||||||||||
Chile - 2.77% | |||||||||||||||
Common Stocks - 2.77% | |||||||||||||||
AntarChile S.A. | 2,356 | 40,600 | |||||||||||||
Banco de Chile | 4,736 | 740 | |||||||||||||
Blumar S.A. | 29,423 | 9,227 | |||||||||||||
Cia Cervecerias Unidas S.A., Sponsored ADR | 6,967 | 189,712 | |||||||||||||
Embotelladora Andina S.A., Class B, ADR | 3,952 | 98,523 | |||||||||||||
Enel Chile S.A., ADR | 3,961 | 20,795 | |||||||||||||
Enel Chile S.A. | 2,043,335 | 216,526 | |||||||||||||
Inversiones Aguas Metropolitanas S.A. | 6,607 | 10,418 | |||||||||||||
Sigdo Koppers S.A. | 16,183 | 25,502 | |||||||||||||
SMU S.A.A | 281,595 | 83,894 | |||||||||||||
Sociedad Punta del Cobre S.A., Class A | 1,894 | 11,283 | |||||||||||||
Vina Concha y Toro S.A. | 111,423 | 239,708 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 946,928 | ||||||||||||||
|
| ||||||||||||||
Total Chile (Cost $790,461) | 946,928 | ||||||||||||||
|
| ||||||||||||||
China - 27.10% | |||||||||||||||
Common Stocks - 27.10% | |||||||||||||||
Agricultural Bank of China Ltd., Class HC | 860,000 | 416,217 | |||||||||||||
Bank of China Ltd., Class HC | 919,000 | 430,758 | |||||||||||||
Bank of Communications Co., Ltd., Class HC | 613,000 | 441,930 | |||||||||||||
Beijing Chunlizhengda Medical Instruments Co., Ltd., Class HC | 36,600 | 102,417 | |||||||||||||
Beijing Jingkelong Co., Ltd., Class H | 69,000 | 16,527 | |||||||||||||
Changshouhua Food Co., Ltd.C | 19,000 | 8,749 | |||||||||||||
China CITIC Bank Corp. Ltd., Class HC | 109,000 | 69,829 | |||||||||||||
China Construction Bank Corp., Class HC | 467,000 | 422,881 | |||||||||||||
China Greenfresh Group Co., Ltd.A C | 339,000 | 51,517 | |||||||||||||
China Lilang Ltd.C | 9,000 | 10,988 | |||||||||||||
China Merchants Bank Co., Ltd., Class HC | 78,000 | 304,432 | |||||||||||||
China Mobile Ltd.C | 42,500 | 384,371 | |||||||||||||
China Petroleum & Chemical Corp., Class HC | 482,000 | 462,902 | |||||||||||||
China Railway Group Ltd., Class HC | 431,000 | 373,853 | |||||||||||||
China Shenhua Energy Co., Ltd., Class HC | 108,000 | 243,458 | |||||||||||||
China Shineway Pharmaceutical Group Ltd.A C | 73,000 | 92,125 | |||||||||||||
China Telecom Corp. Ltd., Class HC | 970,000 | 457,455 | |||||||||||||
China Unicom Hong Kong Ltd.C | 250,000 | 308,836 | |||||||||||||
China Yangtze Power Co., Ltd., Class AC | 133,400 | 329,656 |
See accompanying notes
8
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
China - 27.10% (continued) | |||||||||||||||
Common Stocks - 27.10% (continued) | |||||||||||||||
CITIC Ltd.C | 330,000 | $ | 466,781 | ||||||||||||
CNOOC Ltd.C | 235,000 | 393,886 | |||||||||||||
COSCO SHIPPING International Hong Kong Co., Ltd.C | 240,000 | 90,005 | |||||||||||||
Daqin Railway Co., Ltd., Class AC | 109,894 | 144,464 | |||||||||||||
Fuguiniao Co., Ltd., Class HA C D | 28,000 | 357 | |||||||||||||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class HC | 36,000 | 153,788 | |||||||||||||
Hengan International Group Co., Ltd.C | 20,500 | 182,382 | |||||||||||||
Huadian Power International Corp. Ltd., Class HC | 424,000 | 199,154 | |||||||||||||
Huishang Bank Corp. Ltd., Class HC | 397,100 | 171,999 | |||||||||||||
Industrial & Commercial Bank of China Ltd., Class HC | 579,000 | 428,440 | |||||||||||||
Jiangsu Expressway Co., Ltd., Class HC | 4,000 | 4,861 | |||||||||||||
NVC Lighting Holding Ltd.C | 1,780,000 | 154,327 | |||||||||||||
PetroChina Co., Ltd., Class HC | 614,000 | 465,834 | |||||||||||||
Ping An Insurance Group Co. of China Ltd., Class HC | 40,000 | 370,898 | |||||||||||||
Shanghai Pharmaceuticals Holding Co., Ltd., Class HC | 29,200 | 77,605 | |||||||||||||
Sinopec Shanghai Petrochemical Co., Ltd., Class HC | 48,000 | 29,070 | |||||||||||||
Sinopharm Group Co., Ltd., Class HC | 22,000 | 93,391 | |||||||||||||
Tencent Holdings Ltd.C | 8,700 | 395,533 | |||||||||||||
Tsingtao Brewery Co., Ltd., Class HC | 16,000 | 85,635 | |||||||||||||
Wanhua Chemical Group Co., Ltd., Class A | 4,800 | 35,846 | |||||||||||||
Want Want China Holdings Ltd.C | 47,000 | 38,851 | |||||||||||||
Yuexiu Transport Infrastructure Ltd.C | 214,000 | 155,307 | |||||||||||||
Yum China Holdings, Inc. | 5,168 | 186,462 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 9,253,777 | ||||||||||||||
|
| ||||||||||||||
Total China (Cost $8,353,972) | 9,253,777 | ||||||||||||||
|
| ||||||||||||||
Czech Republic - 2.22% | |||||||||||||||
Common Stocks - 2.22% | |||||||||||||||
CEZ A/SC | 19,149 | 502,418 | |||||||||||||
Komercni banka A/SC | 3,272 | 142,027 | |||||||||||||
Philip Morris CR A/SC | 163 | 112,545 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 756,990 | ||||||||||||||
|
| ||||||||||||||
Total Czech Republic (Cost $540,831) | 756,990 | ||||||||||||||
|
| ||||||||||||||
Egypt - 2.42% | |||||||||||||||
Common Stocks - 2.42% | |||||||||||||||
Commercial International Bank Egypt SAEC | 38,247 | 181,834 | |||||||||||||
Credit Agricole Egypt SAEC | 8,236 | 20,164 | |||||||||||||
Eastern TobaccoC | 43,194 | 398,783 | |||||||||||||
ElSewedy Electric Co.C | 3,695 | 38,736 | |||||||||||||
Faisal Islamic Bank of EgyptC | 40,070 | 38,018 | |||||||||||||
Global Telecom Holding SAEA C | 19,187 | 4,495 | |||||||||||||
MM Group for Industry & International Trade SAEA C | 57 | 40 | |||||||||||||
Telecom Egypt Co.C | 184,372 | 142,977 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 825,047 | ||||||||||||||
|
| ||||||||||||||
Total Egypt (Cost $515,591) | 825,047 | ||||||||||||||
|
| ||||||||||||||
Greece - 1.90% | |||||||||||||||
Common Stocks - 1.90% | |||||||||||||||
Aegean Airlines S.A.C | 14,980 | 142,836 | |||||||||||||
Hellenic Telecommunications Organization S.A.C | 29,732 | 385,924 | |||||||||||||
Sarantis S.A.C | 13,652 | 111,887 | |||||||||||||
Thessaloniki Water Supply & Sewage Co. S.A.C | 1,610 | 8,679 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 649,326 | ||||||||||||||
|
| ||||||||||||||
Total Greece (Cost $507,645) | 649,326 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
9
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
Hong Kong - 0.26% | |||||||||||||||
Common Stocks - 0.26% | |||||||||||||||
Goldlion Holdings Ltd.C | 46,000 | $ | 19,067 | ||||||||||||
Organic Tea Cosmetics Holdings Co., Ltd.C | 29,118 | 69,701 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 88,768 | ||||||||||||||
|
| ||||||||||||||
Total Hong Kong (Cost $109,352) | 88,768 | ||||||||||||||
|
| ||||||||||||||
Hungary - 1.92% | |||||||||||||||
Common Stocks - 1.92% | |||||||||||||||
Magyar Telekom Telecommunications PLCC | 275,493 | 397,779 | |||||||||||||
MOL Hungarian Oil & Gas PLCC | 2,320 | 22,779 | |||||||||||||
OTP Bank NyrtC | 282 | 10,616 | |||||||||||||
Richter Gedeon NyrtC | 12,160 | 219,985 | |||||||||||||
Waberer’s International NyrtA C | 290 | 3,555 | |||||||||||||
Zwack Unicum RtC | 7 | 426 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 655,140 | ||||||||||||||
|
| ||||||||||||||
Total Hungary (Cost $661,812) | 655,140 | ||||||||||||||
|
| ||||||||||||||
India - 12.10% | |||||||||||||||
Common Stocks - 12.10% | |||||||||||||||
Abbott India Ltd.C | 440 | 49,126 | |||||||||||||
Colgate-Palmolive India Ltd.C | 1,861 | 31,079 | |||||||||||||
Gillette India Ltd.C | 1,887 | 184,542 | |||||||||||||
GlaxoSmithKline Consumer Healthcare Ltd.C | 2,006 | 190,104 | |||||||||||||
Hawkins Cookers Ltd.C | 381 | 15,161 | |||||||||||||
HCL Technologies Ltd.C | 25,858 | 363,858 | |||||||||||||
Hinduja Global Solutions Ltd.C | 4,072 | 47,682 | |||||||||||||
Hindustan Unilever Ltd.C | 20,611 | 521,262 | |||||||||||||
Infosys Ltd.C | 9,703 | 193,251 | |||||||||||||
Infosys Ltd., Sponsored ADR | 13,317 | 268,737 | |||||||||||||
Maruti Suzuki India Ltd.C | 900 | 125,164 | |||||||||||||
Nestle India Ltd.C | 2,968 | 458,344 | |||||||||||||
Oil & Natural Gas Corp. Ltd.C | 5,268 | 12,747 | |||||||||||||
Oracle Financial Services Software Ltd.A C | 5,183 | 293,330 | |||||||||||||
Pfizer Ltd.C | 6,263 | 244,578 | |||||||||||||
Procter & Gamble Hygiene & Health Care Ltd.C | 1,222 | 183,680 | |||||||||||||
Sanofi India Ltd.C | 217 | 18,955 | |||||||||||||
Tata Consultancy Services Ltd.C | 17,092 | 486,008 | |||||||||||||
Wipro Ltd.C | 87,362 | 352,953 | |||||||||||||
Wipro Ltd., ADRE | 17,962 | 90,888 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 4,131,449 | ||||||||||||||
|
| ||||||||||||||
Total India (Cost $3,309,392) | 4,131,449 | ||||||||||||||
|
| ||||||||||||||
Indonesia - 3.12% | |||||||||||||||
Common Stocks - 3.12% | |||||||||||||||
Astra Graphia Tbk PTC | 167,100 | 19,005 | |||||||||||||
Bank Central Asia Tbk PTC | 216,600 | 349,594 | |||||||||||||
Bank Rakyat Indonesia Persero Tbk PTC | 48,000 | 10,210 | |||||||||||||
Gudang Garam Tbk PTC | 3,300 | 17,223 | |||||||||||||
Indofood CBP Sukses Makmur Tbk PTC | 224,900 | 136,129 | |||||||||||||
Indofood Sukses Makmur Tbk PTC | 359,100 | 158,487 | |||||||||||||
Multipolar Technology Tbk PTC | 558,900 | 34,716 | |||||||||||||
Telekomunikasi Indonesia Persero Tbk PTC | 75,300 | 18,601 | |||||||||||||
Unilever Indonesia Tbk PTC | 107,000 | 321,605 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 1,065,570 | ||||||||||||||
|
| ||||||||||||||
Total Indonesia (Cost $1,147,400) | 1,065,570 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
10
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
Malaysia - 5.09% | |||||||||||||||
Common Stocks - 5.09% | |||||||||||||||
Batu Kawan BhdC | 2,800 | $ | 12,022 | ||||||||||||
Fraser & Neave Holdings BhdC | 34,900 | 321,397 | |||||||||||||
Kim Loong Resources BhdC | 26,100 | 8,937 | |||||||||||||
Kuala Lumpur Kepong BhdC | 43,800 | 267,253 | |||||||||||||
Nestle Malaysia BhdC | 4,200 | 152,712 | |||||||||||||
Public Bank BhdC | 83,500 | 494,356 | |||||||||||||
Sime Darby Plantation BhdC | 54,100 | 69,893 | |||||||||||||
Tenaga Nasional BhdC | 106,700 | 412,527 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 1,739,097 | ||||||||||||||
|
| ||||||||||||||
Total Malaysia (Cost $1,368,004) | 1,739,097 | ||||||||||||||
|
| ||||||||||||||
Mexico - 0.66% | |||||||||||||||
Common Stocks - 0.66% | |||||||||||||||
Industrias Bachoco S.A.B. de C.V., Series B | 17,308 | 85,436 | |||||||||||||
Megacable Holdings S.A.B. de C.V.F | 29,282 | 140,505 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 225,941 | ||||||||||||||
|
| ||||||||||||||
Total Mexico (Cost $177,996) | 225,941 | ||||||||||||||
|
| ||||||||||||||
Peru - 1.98% | |||||||||||||||
Common Stocks - 1.98% | |||||||||||||||
Alicorp S.A.A. | 133,443 | 478,840 | |||||||||||||
Southern Copper Corp. | 3,566 | 176,018 | |||||||||||||
Union de Cervecerias Peruanas Backus y Johnston S.A.A., Class I | 3,546 | 22,760 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 677,618 | ||||||||||||||
|
| ||||||||||||||
Total Peru (Cost $545,443) | 677,618 | ||||||||||||||
|
| ||||||||||||||
Philippines - 3.39% | |||||||||||||||
Common Stocks - 3.39% | |||||||||||||||
Aboitiz Power Corp.C | 228,600 | 160,261 | |||||||||||||
Asia United Bank Corp.C | 19,880 | 22,410 | |||||||||||||
Bank of the Philippine IslandsC | 6,810 | 12,574 | |||||||||||||
Cebu Air, Inc.C | 44,203 | 58,593 | |||||||||||||
China Banking Corp.C | 51,412 | 32,100 | |||||||||||||
Cosco Capital, Inc.C | 261,300 | 30,021 | |||||||||||||
Globe Telecom, Inc.C | 345 | 11,863 | |||||||||||||
Jollibee Foods Corp.C | 3,360 | 17,075 | |||||||||||||
Manila Electric Co.C | 74,060 | 530,879 | |||||||||||||
Pepsi-Cola Products Philippines, Inc.C | 40,900 | 1,733 | |||||||||||||
Philippine National BankA C | 24,020 | 21,124 | |||||||||||||
Pilipinas Shell Petroleum Corp.C | 5,480 | 5,805 | |||||||||||||
RFM Corp.C | 132,000 | 11,446 | |||||||||||||
San Miguel Corp.C | 50,960 | 133,924 | |||||||||||||
San Miguel Food and Beverage, Inc.C | 45,900 | 60,030 | |||||||||||||
Top Frontier Investment Holdings, Inc.A C | 1,480 | 7,210 | |||||||||||||
Union Bank of the PhilippinesC | 25,780 | 41,082 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 1,158,130 | ||||||||||||||
|
| ||||||||||||||
Total Philippines (Cost $1,110,428) | 1,158,130 | ||||||||||||||
|
| ||||||||||||||
Poland - 0.27% | |||||||||||||||
Common Stocks - 0.27% | |||||||||||||||
Boryszew S.A.A C | 2,086 | 3,856 | |||||||||||||
Dom Development S.A.C | 1,350 | 27,087 | |||||||||||||
Netia S.A.C | 10,180 | 13,813 | |||||||||||||
Neuca S.A.C | 175 | 12,233 |
See accompanying notes
11
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
Poland - 0.27% (continued) | |||||||||||||||
Common Stocks - 0.27% (continued) | |||||||||||||||
Stalexport Autostrady S.A.C | 29,864 | $ | 27,950 | ||||||||||||
Zespol Elektrocieplowni Wroclawskich Kogeneracja S.A.C | 433 | 7,839 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 92,778 | ||||||||||||||
|
| ||||||||||||||
Total Poland (Cost $105,108) | 92,778 | ||||||||||||||
|
| ||||||||||||||
Republic of Korea - 10.27% | |||||||||||||||
Common Stocks - 10.27% | |||||||||||||||
Binggrae Co., Ltd.C | 1,466 | 79,004 | |||||||||||||
Busan City Gas Co., Ltd.C | 989 | 32,215 | |||||||||||||
Daeduck Electronics Co.C | 101 | 769 | |||||||||||||
Daehan Synthetic Fiber Co., Ltd.C | 89 | 10,272 | |||||||||||||
Daekyo Co., Ltd.C | 11,206 | 74,357 | |||||||||||||
Daesung Energy Co., Ltd.C | 8,294 | 43,686 | |||||||||||||
Dong-Il Corp.C | 4,311 | 215,434 | |||||||||||||
E-MART, Inc.C | 45 | 8,797 | |||||||||||||
ESTec Corp.C | 5,543 | 49,179 | |||||||||||||
Fursys, Inc.C | 639 | 17,188 | |||||||||||||
Incheon City Gas Co., Ltd.C | 1,386 | 37,185 | |||||||||||||
Industrial Bank of KoreaC | 3,180 | 44,502 | |||||||||||||
Jinro Distillers Co., Ltd.C | 1,536 | 42,013 | |||||||||||||
JLS Co., Ltd.C | 16,085 | 103,416 | |||||||||||||
KEC Holdings Co., Ltd.C | 10,238 | 7,622 | |||||||||||||
Kia Motors Corp.C | 11,831 | 335,790 | |||||||||||||
KT Corp.C | 16,598 | 422,986 | |||||||||||||
KT&G Corp.C | 228 | 22,527 | |||||||||||||
LF Corp.C | 4,821 | 118,492 | |||||||||||||
LG Electronics, Inc.C | 4,893 | 327,476 | |||||||||||||
LG Uplus Corp.C | 19,119 | 263,336 | |||||||||||||
Namyang Dairy Products Co., Ltd.C | 191 | 109,548 | |||||||||||||
RedcapTour Co., Ltd.C | 842 | 13,538 | |||||||||||||
S-1 Corp.C | 499 | 38,660 | |||||||||||||
Saeron Automotive Corp.C | 2,901 | 13,485 | |||||||||||||
Samsung C&T Corp.C | 58 | 6,418 | |||||||||||||
Samsung Electronics Co., Ltd.C | 8,000 | 331,890 | |||||||||||||
Samwonsteel Co., Ltd.C | 5,383 | 13,833 | |||||||||||||
Samyang Tongsang Co., Ltd.C | 868 | 32,415 | |||||||||||||
SAVEZONE I&C Corp.C | 6,608 | 24,569 | |||||||||||||
SK Hynix, Inc.C | 927 | 71,505 | |||||||||||||
SK Telecom Co., Ltd.C | 1,981 | 442,930 | |||||||||||||
TS Corp.C | 1,139 | 23,948 | |||||||||||||
YESCO Co., Ltd.C | 2,705 | 95,125 | |||||||||||||
Youngone Holdings Co., Ltd.C | 671 | 32,222 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 3,506,332 | ||||||||||||||
|
| ||||||||||||||
Total Republic of Korea (Cost $3,224,376) | 3,506,332 | ||||||||||||||
|
| ||||||||||||||
Russia - 1.18% | |||||||||||||||
Common Stocks - 1.18% | |||||||||||||||
Gazprom Neft PJSC, Sponsored ADRC | 8,178 | 212,330 | |||||||||||||
Rostelecom PJSC, Sponsored ADRC | 28,013 | 191,246 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 403,576 | ||||||||||||||
|
| ||||||||||||||
Total Russia (Cost $350,829) | 403,576 | ||||||||||||||
|
| ||||||||||||||
South Africa - 2.50% | |||||||||||||||
Common Stocks - 2.33% | |||||||||||||||
AECI Ltd.C | 11,530 | 92,853 | |||||||||||||
Aspen Pharmacare Holdings Ltd.C | 1,686 | 32,791 |
See accompanying notes
12
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
South Africa - 2.50% (continued) | |||||||||||||||
Common Stocks - 2.33% (continued) | |||||||||||||||
Bid Corp. Ltd.C | 9,144 | $ | 183,122 | ||||||||||||
Clover Industries Ltd.C | 54,461 | 67,581 | |||||||||||||
Combined Motor Holdings Ltd.C | 3,475 | 7,072 | |||||||||||||
Distell Group Holdings Ltd.A C | 10,956 | 106,891 | |||||||||||||
Netcare Ltd.C | 45,727 | 93,901 | |||||||||||||
Vodacom Group Ltd.C | 19,690 | 209,884 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 794,095 | ||||||||||||||
|
| ||||||||||||||
Preferred Stocks - 0.17% | |||||||||||||||
Absa Bank Ltd.B C | 1,084 | 57,629 | |||||||||||||
|
| ||||||||||||||
Total South Africa (Cost $902,095) | 851,724 | ||||||||||||||
|
| ||||||||||||||
Taiwan - 8.17% | |||||||||||||||
Common Stocks - 8.17% | |||||||||||||||
104 Corp.C | 4,000 | 22,170 | |||||||||||||
Chang Hwa Commercial Bank Ltd.C | 83,000 | 49,133 | |||||||||||||
Chunghwa Telecom Co., Ltd.C | 132,000 | 457,430 | |||||||||||||
E-LIFE MALL Corp.C | 12,000 | 25,343 | |||||||||||||
ECOVE Environment Corp.C | 4,000 | 22,685 | |||||||||||||
Far Eastern International BankC | 880,204 | 297,659 | |||||||||||||
First Financial Holding Co., Ltd.C | 52,000 | 35,774 | |||||||||||||
Great Taipei Gas Co., Ltd.C | 74,000 | 65,252 | |||||||||||||
Lian HWA Food Corp.C | 3,080 | 3,855 | |||||||||||||
Shanghai Commercial & Savings Bank Ltd.C | 404,809 | 476,877 | |||||||||||||
Taichung Commercial Bank Co., Ltd.C | 1,222,116 | 405,328 | |||||||||||||
Taiwan Business BankC | 364,759 | 120,454 | |||||||||||||
Taiwan Cooperative Financial Holding Co., Ltd.C | 99,842 | 61,020 | |||||||||||||
Taiwan Secom Co., Ltd.C | 71,105 | 206,106 | |||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd.C | 1,000 | 7,984 | |||||||||||||
Taiwan Shin Kong Security Co., Ltd.C | 179,170 | 216,610 | |||||||||||||
Ttet Union Corp.C | 23,000 | 70,808 | |||||||||||||
Uni-President Enterprises Corp.C | 39,000 | 103,173 | |||||||||||||
Union Bank Of TaiwanC | 308,000 | 104,161 | |||||||||||||
Ve Wong Corp.C | 44,000 | 37,032 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 2,788,854 | ||||||||||||||
|
| ||||||||||||||
Total Taiwan (Cost $2,451,262) | 2,788,854 | ||||||||||||||
|
| ||||||||||||||
Thailand - 4.62% | |||||||||||||||
Common Stocks - 4.62% | |||||||||||||||
Advanced Information Technology PCL | 60,500 | 42,916 | |||||||||||||
Amata B.Grimm Power Plant Infrasture FundC F | 48,400 | 12,438 | |||||||||||||
Bangkok Bank PCLC | 15,400 | 95,482 | |||||||||||||
Bangkok Bank PCL, NVDRC | 21,200 | 131,442 | |||||||||||||
Bangkok Insurance PCL, NVDRC | 1,900 | 19,929 | |||||||||||||
Digital Telecommunications Infrastructure FundC F | 112,100 | 49,828 | |||||||||||||
Kang Yong Electric PCL | 2,100 | 27,015 | |||||||||||||
Kang Yong Electric PCL, NVDRC | 100 | 1,286 | |||||||||||||
Krung Thai Bank PCL, NVDRC | 571,200 | 326,430 | |||||||||||||
PTT PCL, NVDRC | 7,000 | 10,782 | |||||||||||||
Ratchaburi Electricity Generating Holding PCL | 103,400 | 160,057 | |||||||||||||
Ratchaburi Electricity Generating Holding PCL, NVDRC | 103,000 | 159,410 | |||||||||||||
Siam Cement PCL, NVDRC | 32,000 | 431,680 | |||||||||||||
Siam Commercial Bank PCL, NVDRC | 18,900 | 79,523 | |||||||||||||
Siam Makro PCL, NVDRC | 11,000 | 12,239 |
See accompanying notes
13
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
Thailand - 4.62% (continued) | |||||||||||||||
Common Stocks - 4.62% (continued) | |||||||||||||||
Thai Stanley Electric PCL, NVDRC | 1,800 | $ | 14,716 | ||||||||||||
Thai Vegetable Oil PCL, NVDRC | 1,000 | 879 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 1,576,052 | ||||||||||||||
|
| ||||||||||||||
Total Thailand (Cost $1,538,043) | 1,576,052 | ||||||||||||||
|
| ||||||||||||||
Turkey - 0.66% (Cost $231,175) | |||||||||||||||
Common Stocks - 0.66% | |||||||||||||||
BIM Birlesik Magazalar A/SC | 15,761 | 226,955 | |||||||||||||
|
| ||||||||||||||
United Kingdom - 1.09% (Cost $323,015) | |||||||||||||||
Common Stocks - 1.09% | |||||||||||||||
Mondi Ltd.C | 13,511 | 371,321 | |||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 1.78% (Cost $609,588) | |||||||||||||||
Investment Companies - 1.78% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 1.82%G H | 609,588 | 609,588 | |||||||||||||
|
| ||||||||||||||
SECURITIES LENDING COLLATERAL - 0.26% (Cost $89,581) | |||||||||||||||
Investment Companies - 0.26% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 1.82%G H | 89,581 | 89,581 | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 99.02% (Cost $30,055,692) | 33,813,711 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 0.98% | 334,154 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 34,147,865 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
A Non-income producing security.
B A type of Preferred Stock that has no maturity date.
C Fair valued pursuant to procedures approved by the Board of Trustees. At period end, the value of these securities amounted to $29,312,438 or 85.84% of net assets.
D Value was determined using significant unobservable inputs.
E All or a portion of this security is on loan at July 31, 2018.
F Unit - Usually consists of one common stock and/or rights and warrants.
G The Fund is affiliated by having the same investment advisor.
H 7-day yield.
ADR - American Depositary Receipt.
NVDR - Non Voting Depositary Receipt.
PCL - Public Company Limited (Thailand).
PJSC - Private Joint Stock Company.
PLC - Public Limited Company.
Futures Contracts Open on July 31, 2018: | ||||||||||||||||
Long Futures | ||||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Mini MSCI Emerging Markets Index Futures | 15 | September 2018 | $ | 802,577 | $ | 822,225 | $ | 19,648 | ||||||||
|
|
|
|
|
| |||||||||||
$ | 802,577 | $ | 822,225 | $ | 19,648 | |||||||||||
|
|
|
|
|
|
Index Abbreviations: | ||
MSCI | Morgan Stanley Capital International |
See accompanying notes
14
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of July 31, 2018, the investments were classified as described below:
Acadian Emerging Markets Managed Volatility Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets |
| |||||||||||||||||||||||||||
Foreign Common Stocks |
| |||||||||||||||||||||||||||
Brazil | $ | 976,067 | $ | - | $ | - | $ | 976,067 | ||||||||||||||||||||
Chile | 946,928 | - | - | 946,928 | ||||||||||||||||||||||||
China | 238,835 | 9,014,585 | 357 | 9,253,777 | ||||||||||||||||||||||||
Czech Republic | - | 756,990 | - | 756,990 | ||||||||||||||||||||||||
Egypt | - | 825,047 | - | 825,047 | ||||||||||||||||||||||||
Greece | - | 649,326 | - | 649,326 | ||||||||||||||||||||||||
Hong Kong | - | 88,768 | - | 88,768 | ||||||||||||||||||||||||
Hungary | - | 655,140 | - | 655,140 | ||||||||||||||||||||||||
India | 359,625 | 3,771,824 | - | 4,131,449 | ||||||||||||||||||||||||
Indonesia | - | 1,065,570 | - | 1,065,570 | ||||||||||||||||||||||||
Malaysia | - | 1,739,097 | - | 1,739,097 | ||||||||||||||||||||||||
Mexico | 225,941 | - | - | 225,941 | ||||||||||||||||||||||||
Peru | 677,618 | - | - | 677,618 | ||||||||||||||||||||||||
Philippines | - | 1,158,130 | - | 1,158,130 | ||||||||||||||||||||||||
Poland | - | 92,778 | - | 92,778 | ||||||||||||||||||||||||
Republic of Korea | - | 3,506,332 | - | 3,506,332 | ||||||||||||||||||||||||
Russia | - | 403,576 | - | 403,576 | ||||||||||||||||||||||||
South Africa | - | 794,095 | - | 794,095 | ||||||||||||||||||||||||
Taiwan | - | 2,788,854 | - | 2,788,854 | ||||||||||||||||||||||||
Thailand | - | 1,576,052 | - | 1,576,052 | ||||||||||||||||||||||||
Turkey | - | 226,955 | - | 226,955 | ||||||||||||||||||||||||
United Kingdom | - | 371,321 | - | 371,321 | ||||||||||||||||||||||||
Foreign Preferred Stocks |
| |||||||||||||||||||||||||||
Brazil | 147,102 | - | - | 147,102 | ||||||||||||||||||||||||
South Africa | - | 57,629 | - | 57,629 | ||||||||||||||||||||||||
Short-Term Investments | 609,588 | - | - | 609,588 | ||||||||||||||||||||||||
Securities Lending Collateral | 89,581 | - | - | 89,581 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 4,271,285 | $ | 29,542,069 | $ | 357 | $ | 33,813,711 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Futures Contracts | $ | 19,648 | $ | - | $ | - | $ | 19,648 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 19,648 | $ | - | $ | - | $ | 19,648 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of the Fund’s assets and liabilities. During the period ended July 31, 2018, there were transfers from level 1 to level 2, with a fair value of $25,912,247.
The following table is a reconciliation of Level 3 assets within the Fund for which significant unobservable inputs were used to determine fair value. Transfers in or out of Level 3 represent the ending value of any security or instrument where a change in the level has occurred from the beginning to the end of the period:
Security Type | Balance as of 1/31/2018 | Purchases | Sales | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3 | Transfer out of Level 3 | Balance as of 7/31/2018 | Change in Unrealized Appreciation (Depreciation) at Period end** | ||||||||||||||||||||||||||
Foreign Common Stocks | $358 | $ | - | $ - | $ | - | $ | - | $ | (1 | ) | $ | - | $ | - | $ | 357 | $ | (13,004 | ) |
** | Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at period end. This balance is included in the change in unrealized appreciation (depreciation) on the Statements of Operations. |
The foreign common stock classified as Level 3 was fair valued at a nominal value of 0.10 Hong Kong Dollar (HKD) due to lack of observable inputs.
See accompanying notes
15
American Beacon SGA Global Growth FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
Argentina - 2.22% (Cost $988,594) | |||||||||||||||
Common Stocks - 2.22% | |||||||||||||||
MercadoLibre, Inc. | 3,642 | $ | 1,248,878 | ||||||||||||
|
| ||||||||||||||
Australia - 1.38% (Cost $913,872) | |||||||||||||||
Common Stocks - 1.38% | |||||||||||||||
MYOB Group Ltd.D | 332,670 | 773,281 | |||||||||||||
|
| ||||||||||||||
China - 7.72% | |||||||||||||||
Common Stocks - 7.72% | |||||||||||||||
Ctrip.com International Ltd., ADRA | 32,383 | 1,332,560 | |||||||||||||
New Oriental Education & Technology Group, Inc., Sponsored ADR | 16,947 | 1,458,120 | |||||||||||||
Tencent Holdings Ltd.D | 33,935 | 1,542,807 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 4,333,487 | ||||||||||||||
|
| ||||||||||||||
Total China (Cost $4,001,045) | 4,333,487 | ||||||||||||||
|
| ||||||||||||||
Denmark - 2.94% (Cost $1,399,435) | |||||||||||||||
Common Stocks - 2.94% | |||||||||||||||
Novo Nordisk A/S, Class BD | 33,152 | 1,649,718 | |||||||||||||
|
| ||||||||||||||
France - 3.04% (Cost $1,591,893) | |||||||||||||||
Common Stocks - 3.04% | |||||||||||||||
Danone S.A.D | 21,729 | 1,707,188 | |||||||||||||
|
| ||||||||||||||
Germany - 3.81% (Cost $1,693,111) | |||||||||||||||
Common Stocks - 3.81% | |||||||||||||||
SAP SE, Sponsored ADR | 18,417 | 2,137,109 | |||||||||||||
|
| ||||||||||||||
Hong Kong - 3.93% (Cost $1,696,293) | |||||||||||||||
Common Stocks - 3.93% | |||||||||||||||
AIA Group Ltd.D | 251,926 | 2,205,575 | |||||||||||||
|
| ||||||||||||||
India - 5.69% | |||||||||||||||
Common Stocks - 5.69% | |||||||||||||||
HDFC Bank Ltd., ADR | 14,948 | 1,544,727 | |||||||||||||
Infosys Ltd., Sponsored ADR | 81,807 | 1,650,865 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 3,195,592 | ||||||||||||||
|
| ||||||||||||||
Total India (Cost $2,498,931) | 3,195,592 | ||||||||||||||
|
| ||||||||||||||
Japan - 2.31% (Cost $1,053,083) | |||||||||||||||
Common Stocks - 2.31% | |||||||||||||||
Fast Retailing Co., Ltd.D | 2,956 | 1,295,904 | |||||||||||||
|
| ||||||||||||||
Mexico - 2.07% (Cost $1,034,724) | |||||||||||||||
Common Stocks - 2.07% | |||||||||||||||
Fomento Economico Mexicano S.A.B. de C.V., Series B, Sponsored ADR | 11,812 | 1,159,230 | |||||||||||||
|
| ||||||||||||||
Republic of Korea - 1.72% (Cost $1,124,458) | |||||||||||||||
Common Stocks - 1.72% | |||||||||||||||
Amorepacific Corp.D | 4,026 | 963,438 | |||||||||||||
|
| ||||||||||||||
South Africa - 4.14% | |||||||||||||||
Common Stocks - 4.14% | |||||||||||||||
Sanlam Ltd.D | 215,224 | 1,248,598 | |||||||||||||
Shoprite Holdings Ltd.D | 64,908 | 1,074,284 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 2,322,882 | ||||||||||||||
|
| ||||||||||||||
Total South Africa (Cost $2,112,457) | 2,322,882 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
16
American Beacon SGA Global Growth FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
Switzerland - 2.53% (Cost $1,388,504) | |||||||||||||||
Common Stocks - 2.53% | |||||||||||||||
Nestle S.A.D | 17,403 | $ | 1,418,119 | ||||||||||||
|
| ||||||||||||||
United States - 50.37% | |||||||||||||||
Common Stocks - 50.37% | |||||||||||||||
Alphabet, Inc., Class CA | 1,412 | 1,718,771 | |||||||||||||
Amazon.com, Inc.A | 924 | 1,642,355 | |||||||||||||
Autodesk, Inc.A | 14,259 | 1,831,426 | |||||||||||||
Booking Holdings, Inc.A | 534 | 1,083,336 | |||||||||||||
Equinix, Inc., REIT | 3,730 | 1,638,514 | |||||||||||||
FleetCor Technologies, Inc.A | 7,440 | 1,614,480 | |||||||||||||
IHS Markit Ltd.A | 31,246 | 1,656,975 | |||||||||||||
Mondelez International, Inc., Class A | 38,616 | 1,675,162 | |||||||||||||
NIKE, Inc., Class B | 21,169 | 1,628,108 | |||||||||||||
Praxair, Inc. | 6,694 | 1,121,245 | |||||||||||||
Red Hat, Inc.A | 11,676 | 1,649,002 | |||||||||||||
Regeneron Pharmaceuticals, Inc.A | 4,811 | 1,770,496 | |||||||||||||
salesforce.com, Inc.A | 11,289 | 1,548,286 | |||||||||||||
Schlumberger Ltd. | 32,524 | 2,196,021 | |||||||||||||
TJX Co., Inc. | 17,299 | 1,682,501 | |||||||||||||
Visa, Inc., Class A | 15,843 | 2,166,372 | |||||||||||||
Yum! Brands, Inc. | 20,786 | 1,648,122 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks | 28,271,172 | ||||||||||||||
|
| ||||||||||||||
Total United States (Cost $22,260,152) | 28,271,172 | ||||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 5.77% (Cost $3,238,650) | |||||||||||||||
Investment Companies - 5.77% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 1.82%B C | 3,238,650 | 3,238,650 | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 99.64% (Cost $46,995,202) | 55,920,223 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 0.36% | 204,263 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 56,124,486 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
|
A Non-income producing security.
B The Fund is affiliated by having the same investment advisor.
C 7-day yield.
D Fair valued pursuant to procedures approved by the Board of Trustees. At period end, the value of these securities amounted to $13,878,912 or 24.73% of net assets.
ADR - American Depositary Receipt.
REIT - Real Estate Investment Trust.
Futures Contracts Open on July 31, 2018: | ||||||||||||||||
Long Futures | ||||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Mini MSCI EAFE Index Futures | 12 | September 2018 | $ | 1,200,291 | $ | 1,202,580 | $ | 2,289 | ||||||||
Mini MSCI Emerging Markets Index Futures | 6 | September 2018 | 326,638 | 328,890 | 2,252 | |||||||||||
S&P 500 E-Mini Index Futures | 11 | September 2018 | $ | 1,550,485 | $ | 1,549,405 | $ | (1,080 | ) | |||||||
|
|
|
|
|
| |||||||||||
$ | 3,077,414 | $ | 3,080,875 | $ | 3,461 | |||||||||||
|
|
|
|
|
|
See accompanying notes
17
American Beacon SGA Global Growth FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Index Abbreviations: | ||
MSCI | Morgan Stanley Capital International | |
MSCI EAFE | Morgan Stanley Capital International - Europe, Australasia, and Far East | |
S&P 500 | Standard & Poor’s U.S. Equity Large-Cap Index |
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of July 31, 2018, the investments were classified as described below:
SGA Global Growth Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets |
| |||||||||||||||||||||||||||
Foreign Common Stocks |
| |||||||||||||||||||||||||||
Argentina | $ | 1,248,878 | $ | - | $ | - | $ | 1,248,878 | ||||||||||||||||||||
Australia | - | 773,281 | - | 773,281 | ||||||||||||||||||||||||
China | 2,790,680 | 1,542,807 | - | 4,333,487 | ||||||||||||||||||||||||
Denmark | - | 1,649,718 | - | 1,649,718 | ||||||||||||||||||||||||
France | - | 1,707,188 | - | 1,707,188 | ||||||||||||||||||||||||
Germany | 2,137,109 | - | - | 2,137,109 | ||||||||||||||||||||||||
Hong Kong | - | 2,205,575 | - | 2,205,575 | ||||||||||||||||||||||||
India | 3,195,592 | - | - | 3,195,592 | ||||||||||||||||||||||||
Japan | - | 1,295,904 | - | 1,295,904 | ||||||||||||||||||||||||
Mexico | 1,159,230 | - | - | 1,159,230 | ||||||||||||||||||||||||
Republic of Korea | - | 963,438 | - | 963,438 | ||||||||||||||||||||||||
South Africa | - | 2,322,882 | - | 2,322,882 | ||||||||||||||||||||||||
Switzerland | - | 1,418,119 | - | 1,418,119 | ||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||
United States | 28,271,172 | - | - | 28,271,172 | ||||||||||||||||||||||||
Short-Term Investments | 3,238,650 | - | - | 3,238,650 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 42,041,311 | $ | 13,878,912 | $ | - | $ | 55,920,223 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Futures Contracts | $ | 4,541 | $ | - | $ | - | $ | 4,541 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 4,541 | $ | - | $ | - | $ | 4,541 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||||||
Futures Contracts | $ | (1,080 | ) | $ | - | $ | - | $ | (1,080 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Liabilities | $ | (1,080 | ) | $ | - | $ | - | $ | (1,080 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of the Fund’s assets and liabilities. During the period ended July 31, 2018, there were transfers from level 1 to level 2, with a fair value of $12,460,793.
See accompanying notes
18
American Beacon FundsSM
Statements of Assets and Liabilities
July 31, 2018 (Unaudited)
Acadian Emerging Markets Managed Volatility Fund | SGA Global Growth Fund | |||||||||||
Assets: |
| |||||||||||
Investments in unaffiliated securities, at fair value†§ | $ | 33,114,542 | $ | 52,681,573 | ||||||||
Investments in affiliated securities, at fair value‡ | 699,169 | 3,238,650 | ||||||||||
Foreign currency, at fair value^ | 232,131 | - | ||||||||||
Deposit with brokers for futures contracts | 20,393 | 112,237 | ||||||||||
Dividends and interest receivable | 225,281 | 4,685 | ||||||||||
Receivable for investments sold | 1,670 | - | ||||||||||
Receivable for fund shares sold | 62,390 | 167,436 | ||||||||||
Receivable for tax reclaims | - | 15,935 | ||||||||||
Receivable for expense reimbursement (Note 2) | 5,234 | 2,340 | ||||||||||
Receivable for variation margin on open futures contracts (Note 5) | 19,701 | 3,545 | ||||||||||
Prepaid expenses | 30,146 | 40,278 | ||||||||||
|
|
|
| |||||||||
Total assets | 34,410,657 | 56,266,679 | ||||||||||
|
|
|
| |||||||||
Liabilities: |
| |||||||||||
Payable for fund shares redeemed | - | 48,946 | ||||||||||
Management and sub-advisory fees payable (Note 2) | 39,420 | 38,958 | ||||||||||
Service fees payable (Note 2) | 1,153 | 6,457 | ||||||||||
Transfer agent fees payable (Note 2) | 2,858 | 1,565 | ||||||||||
Payable upon return of securities loaned (Note 9)§ | 89,581 | - | ||||||||||
Custody and fund accounting fees payable | 60,755 | 7,477 | ||||||||||
Professional fees payable | 62,280 | 38,624 | ||||||||||
Trustee fees payable (Note 2) | 217 | - | ||||||||||
Payable for prospectus and shareholder reports | 6,425 | - | ||||||||||
Other liabilities | 103 | 166 | ||||||||||
|
|
|
| |||||||||
Total liabilities | 262,792 | 142,193 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 34,147,865 | $ | 56,124,486 | ||||||||
|
|
|
| |||||||||
Analysis of net assets: |
| |||||||||||
Paid-in-capital | $ | 28,700,106 | $ | 45,098,362 | ||||||||
Undistributed net investment income | 434,468 | 24,067 | ||||||||||
Accumulated net realized gain | 1,236,443 | 2,073,546 | ||||||||||
Unrealized appreciation of investments in unaffiliated securitiesA | 3,758,019 | 8,925,021 | ||||||||||
Unrealized appreciation (depreciation) of foreign currency transactions | (819 | ) | 29 | |||||||||
Unrealized appreciation of futures contracts | 19,648 | 3,461 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 34,147,865 | $ | 56,124,486 | ||||||||
|
|
|
|
See accompanying notes
19
American Beacon FundsSM
Statements of Assets and Liabilities
July 31, 2018 (Unaudited)
Acadian Emerging Markets Managed Volatility Fund | SGA Global Growth Fund | |||||||||||
Shares outstanding at no par value (unlimited shares authorized): |
| |||||||||||
Institutional Class | 472,300 | 1,132,530 | ||||||||||
|
|
|
| |||||||||
Y Class | 2,336,753 | 777,682 | ||||||||||
|
|
|
| |||||||||
Investor Class | 263,774 | 560,659 | ||||||||||
|
|
|
| |||||||||
A Class | 41,554 | 215,595 | ||||||||||
|
|
|
| |||||||||
C Class | 37,175 | 110,349 | ||||||||||
|
|
|
| |||||||||
Net assets: |
| |||||||||||
Institutional Class | $ | 5,141,938 | $ | 22,942,659 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 25,325,491 | $ | 15,669,876 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 2,837,791 | $ | 11,131,939 | ||||||||
|
|
|
| |||||||||
A Class | $ | 447,999 | $ | 4,275,541 | ||||||||
|
|
|
| |||||||||
C Class | $ | 394,646 | $ | 2,104,471 | ||||||||
|
|
|
| |||||||||
Net asset value, offering and redemption price per share: |
| |||||||||||
Institutional Class | $ | 10.89 | $ | 20.26 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 10.84 | $ | 20.15 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 10.76 | $ | 19.86 | ||||||||
|
|
|
| |||||||||
A Class | $ | 10.78 | $ | 19.83 | ||||||||
|
|
|
| |||||||||
A Class (offering price) | $ | 11.44 | $ | 21.04 | ||||||||
|
|
|
| |||||||||
C Class | $ | 10.62 | $ | 19.07 | ||||||||
|
|
|
| |||||||||
† Cost of investments in unaffiliated securities | $ | 29,356,523 | $ | 43,756,552 | ||||||||
‡ Cost of investments in affiliated securities | $ | 699,169 | $ | 3,238,650 | ||||||||
§ Fair value of securities on loan | $ | 86,339 | $ | - | ||||||||
^ Cost of foreign currency | $ | 232,388 | $ | - | ||||||||
A The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
20
American Beacon FundsSM
Statements of Operations
For the period ended July 31, 2018 (Unaudited)
Acadian Emerging Markets Managed Volatility Fund | SGA Global Growth Fund | |||||||||||
Investment income: |
| |||||||||||
Dividend income from unaffiliated securities (net of foreign taxes)† A | $ | 731,003 | $ | 293,339 | ||||||||
Dividend income from affiliated securities (Note 8) | 6,418 | 19,470 | ||||||||||
Income derived from securities lending (Note 9) | 346 | 5,711 | ||||||||||
|
|
|
| |||||||||
Total investment income | 737,767 | 318,520 | ||||||||||
|
|
|
| |||||||||
Expenses: |
| |||||||||||
Management and sub-advisory fees (Note 2) | 168,957 | 190,003 | ||||||||||
Transfer agent fees: | ||||||||||||
Institutional Class (Note 2) | 1,534 | 2,645 | ||||||||||
Y Class (Note 2) | 13,240 | 4,215 | ||||||||||
Investor Class | 803 | 932 | ||||||||||
A Class | 37 | 98 | ||||||||||
C Class | 50 | 68 | ||||||||||
Custody and fund accounting fees | 29,626 | 12,291 | ||||||||||
Professional fees | 38,155 | 23,739 | ||||||||||
Registration fees and expenses | 33,315 | 34,975 | ||||||||||
Service fees (Note 2): | ||||||||||||
Investor Class | 3,565 | 22,054 | ||||||||||
A Class | 434 | 1,707 | ||||||||||
C Class | 220 | 627 | ||||||||||
Distribution fees (Note 2): | ||||||||||||
A Class | 771 | 4,930 | ||||||||||
C Class | 2,216 | 9,497 | ||||||||||
Prospectus and shareholder report expenses | 9,265 | 4,938 | ||||||||||
Trustee fees (Note 2) | 1,322 | 1,131 | ||||||||||
Other expenses | 2,957 | 3,054 | ||||||||||
|
|
|
| |||||||||
Total expenses | 306,467 | 316,904 | ||||||||||
|
|
|
| |||||||||
Net fees waived and expenses (reimbursed) (Note 2) | (51,001 | ) | (21,439 | ) | ||||||||
|
|
|
| |||||||||
Net expenses | 255,466 | 295,465 | ||||||||||
|
|
|
| |||||||||
Net investment income | 482,301 | 23,055 | ||||||||||
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: |
| |||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in unaffiliated securitiesB | 641,342 | 1,064,455 | ||||||||||
Commission recapture (Note 1) | 192 | - | ||||||||||
Foreign currency transactions | (23,582 | ) | (16,855 | ) | ||||||||
Futures contracts | (115,748 | ) | (78,830 | ) | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in unaffiliated securitiesC | (3,851,047 | ) | (515,645 | ) | ||||||||
Foreign currency transactions | (1,248 | ) | 33 | |||||||||
Futures contracts | 6,262 | (12,492 | ) | |||||||||
|
|
|
| |||||||||
Net gain (loss) from investments | (3,343,829 | ) | 440,666 | |||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (2,861,528 | ) | $ | 463,721 | |||||||
|
|
|
| |||||||||
† Foreign taxes | $ | 99,144 | $ | 23,142 | ||||||||
A Includes non-recurring dividends of $30,732 for the SGA Global Growth Fund. |
| |||||||||||
B The Fund did not recognize net realized gains (losses) from the sale of investments in affiliated securities. |
| |||||||||||
C The Fund’s investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
21
American Beacon FundsSM
Statements of Changes in Net Assets
Acadian Emerging Markets Managed Volatility Fund | SGA Global Growth Fund | |||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||||||||||||||
Operations: |
| |||||||||||||||||||||||||||
Net investment income (loss) | $ | 482,301 | $ | 603,982 | $ | 23,055 | $ | (59,857 | ) | |||||||||||||||||||
Net realized gain from investments in unaffiliated securities, commission recapture, foreign currency transactions, and futures contracts | 502,204 | 5,754,585 | 968,770 | 2,578,017 | ||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments in unaffiliated securities, foreign currency transactions, and futures contracts | (3,846,033 | ) | 5,835,412 | (528,104 | ) | 8,263,609 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (2,861,528 | ) | 12,193,979 | 463,721 | 10,781,769 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||
Institutional Class | - | (100,822 | ) | - | - | |||||||||||||||||||||||
Y Class | - | (480,371 | ) | - | - | |||||||||||||||||||||||
Investor Class | - | (69,880 | ) | - | - | |||||||||||||||||||||||
A Class | - | (14,170 | ) | - | - | |||||||||||||||||||||||
C Class | - | (5,253 | ) | - | - | |||||||||||||||||||||||
Net realized gain from investments: | ||||||||||||||||||||||||||||
Institutional Class | - | - | - | (465,632 | ) | |||||||||||||||||||||||
Y Class | - | - | - | (142,594 | ) | |||||||||||||||||||||||
Investor Class | - | - | - | (592,350 | ) | |||||||||||||||||||||||
A Class | - | - | - | (116,358 | ) | |||||||||||||||||||||||
C Class | - | - | - | (54,664 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net distributions to shareholders | - | (670,496 | ) | - | (1,371,598 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Capital share transactions (Note 11): |
| |||||||||||||||||||||||||||
Proceeds from sales of shares | 5,295,461 | 9,494,062 | 21,441,646 | 18,350,384 | ||||||||||||||||||||||||
Reinvestment of dividends and distributions | - | 655,131 | - | 1,357,278 | ||||||||||||||||||||||||
Issued in reorganization | - | - | - | (4,938,231 | ) | |||||||||||||||||||||||
Cost of shares redeemed | (6,196,410 | ) | (73,592,119 | ) | (12,796,566 | ) | - | |||||||||||||||||||||
Redemption fees | 15,654 | 1,444 | - | - | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | (885,295 | ) | (63,441,482 | ) | 8,645,080 | 14,769,431 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets | (3,746,823 | ) | (51,917,999 | ) | 9,108,801 | 24,179,602 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net assets: |
| |||||||||||||||||||||||||||
Beginning of period | 37,894,688 | 89,812,687 | 47,015,685 | 22,836,083 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
End of period * | $ | 34,147,865 | $ | 37,894,688 | $ | 56,124,486 | $ | 47,015,685 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
*Includes undistributed (overdistribution of) net investment income | $ | 434,468 | $ | (47,833 | ) | $ | 24,067 | $ | 1,012 | |||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes
22
American Beacon FundsSM
July 31, 2018 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), is organized as a Massachusetts business trust. The Funds, each a series within the Trust, are registered under the Investment Company Act of 1940 (the “Act”), as amended, as diversified, open-end management investment companies. As of July 31, 2018, the Trust consists of thirty-three active series, two of which are presented in this filing: American Beacon Acadian Emerging Markets Managed Volatility Fund and American Beacon SGA Global Growth Fund (collectively, the “Funds” and each individually a “Fund”). The remaining thirty-two active series are reported in separate filings.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
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 | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations, such as broker-dealers or retirement plan sponsors. | $ | 2,500 | |||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor which may include a front-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 | |||
C Class | Retail investors who invest directly through a financial intermediary such as a broker or through employee directed benefit plans with applicable sales charges which may include CDSC. | $ | 1,000 |
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 respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, and sub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Funds in preparation of the financial statements. The Funds are considered investment companies and accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard Codification Topic 946, Financial Services – Investment Companies, a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
23
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
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, net of foreign taxes, is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. Realized gains (losses) from securities sold are determined on the basis of specific lot identification.
Commission Recapture
The Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If a 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.
Currency Translation
All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices of such currencies against U.S. dollars as last quoted by a recognized dealer. Income, expenses, and purchases and sales of investments are translated into U.S. dollars at the rate of 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 on the Funds’ Statements of Operations.
Distributions to Shareholders
Distributions, if any, of net investment income are generally paid at least annually and recorded on the ex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP. To the extent necessary to fully distribute capital gains, the Funds may designate earnings and profits distributed to shareholders on the redemption of shares.
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Funds are allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Funds. Expenses directly charged or attributable to any Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Funds on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Funds or nature of the services performed and relative applicability to the Funds.
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.
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American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Redemption Fees
All Classes of the Acadian Emerging Markets Managed Volatility Fund impose 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 this Fund pro-rata based on the net assets.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities 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.
Concentration of Ownership
From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of accounts that represent a significant ownership of more than 5% of the Funds’ outstanding shares could have a material impact on the Funds. As of July 31, 2018, based on management’s evaluation of the shareholder account base, one account in the SGA Global Growth Fund has been identified as representing an unaffiliated significant ownership of approximately 7% of the Fund’s outstanding shares.
2. Transactions with Affiliates
Management and Investment Sub-Advisory Agreements
The Funds and the Manager are parties to a Management Agreement that obligates the Manager to provide the Funds with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Funds’ average daily net assets that is calculated and accrued daily according to the following schedule:
First $5 billion | 0.35 | % | ||
Next $5 billion | 0.325 | % | ||
Next $10 billion | 0.30 | % | ||
Over $20 billion | 0.275 | % |
The Trust, on behalf of the Funds, and the Manager have entered into an Investment Advisory Agreement with Acadian Asset Management LLC and Sustainable Growth Advisers, LP (“SGA”) (the “Sub-Advisors”) pursuant to which each Fund has agreed to pay an annualized sub-advisory fee that is calculated and accrued daily based on the Funds’ average daily net assets according to the following schedules:
Acadian Asset Management LLC
First $500 million | 0.65 | % | ||
Over $500 million | 0.60 | % |
Sustainable Growth Advisers, LP
First $100 million | 0.45 | % | ||
Next $900 million | 0.40 | % | ||
Over $1 billion | 0.35 | % |
25
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The Management and Sub-Advisory Fees paid by the Funds for the period ended July 31, 2018 were as follows:
Acadian Emerging Markets Managed Volatility Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||||
Management Fees | 0.35 | % | $ | 60,605 | ||||||||||
Sub-Advisor Fees | 0.63 | % | 108,352 | |||||||||||
|
|
|
| |||||||||||
Total | 0.98 | % | $ | 168,957 | ||||||||||
|
|
|
|
SGA Global Growth Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||||
Management Fees | 0.35 | % | $ | 85,849 | ||||||||||
Sub-Advisor Fees | 0.43 | % | 104,154 | |||||||||||
|
|
|
| |||||||||||
Total | 0.78 | % | $ | 190,003 | ||||||||||
|
|
|
|
As compensation for services provided by the Manager in connection with securities lending activities of each Fund of a Trust, a lending Fund shall pay to the Manager, with respect to cash collateral posted by borrowers, a fee of 10% of the net monthly interest income (the gross interest income earned by the investment of cash collateral, less the amount paid to borrowers as well as related expenses) from such activities and, with respect to loan fees paid by borrowers when a borrower posts collateral other than cash, a fee up to 10% of such loan fees. These fees are included in “Income derived from securities lending” and “Management and investment advisory fees” on the Statements of Operations. During the period ended July 31, 2018, the Manager received securities lending fees of $38 and $618 for the securities lending activities of the American Beacon Acadian Emerging Markets Managed Volatility Fund and American Beacon SGA Global Growth Fund, respectively.
Distribution Plans
The Funds, except for the A and C Classes, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no separate fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors 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 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 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 Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the Investor, A, and C Classes of the Funds. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee up to 0.25% 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 Funds.
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to
26
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
customers of the intermediaries that hold positions in the Institutional and Y Classes of the Funds and has agreed to compensate the intermediaries for providing these services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. Certain services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Fund’s transfer agent. Accordingly, the Funds, pursuant to the Trust’s Board of Trustees approval, have agreed to reimburse the Manager for certain non-distribution shareholder services provided by financial intermediaries for the Institutional and Y Classes. The reimbursement amounts (sub-transfer agent fees) paid to the Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional and Y Classes on an annual basis. During the period ended July 31, 2018, the sub-transfer agent fees, as reflected in “Transfer agent fees” on the Statements of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
Acadian Emerging Markets Managed Volatility | $ | 14,003 | ||
SGA Global Growth | 6,183 |
As of July 31, 2018, the Funds owed the Manager the following reimbursement of sub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statements of Assets and Liabilities:
Fund | Reimbursement Sub-Transfer Agent Fees | |||
Acadian Emerging Markets Managed Volatility | $ | 2,408 | ||
SGA Global Growth | 1,276 |
Investments in Affiliated Funds
The Funds may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). Cash collateral received by the Funds in connection with securities lending may also be invested in the USG Select Fund. The Funds and the USG Select Fund have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund. During the period ended July 31, 2018, the Manager earned fees on the Funds’ direct and indirect investments in the USG Select Fund as shown below:
Fund | Direct Investments in USG Select Fund | Securities Lending Collateral in USG Select Fund | Total | |||||||||
Acadian Emerging Markets Managed Volatility | $ | 408 | $ | 84 | $ | 492 | ||||||
SGA Global Growth | 1,214 | 218 | 1,432 |
Interfund Credit Facility
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 a credit facility whereby each Fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating Funds for temporary purposes. The interfund credit facility is advantageous to the Funds because it provides added liquidity, and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a Fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended July 31, 2018, the Acadian Emerging Markets Managed Volatility Fund borrowed on average $30,034 for 2
27
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
days at an average interest rate of 2.02% with interest charges earned of $3 and the SGA Global Growth borrowed $1,420,765 for 1 day at an interest rate of 2.52% with interest charges earned of $98. This amount is included in “Interest income” on the Statements of Operations.
Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Funds to the extent that total operating expenses exceed the Funds’ expense cap. During the period ended July 31, 2018, the Manager waived and/or reimbursed expenses as follows:
Expense Cap | ||||||||||||||||||
Fund | Class | 2/1/2018 - 7/31/2018 | Reimbursed Expenses | (Recouped) Expenses | Expiration of Reimbursed Expenses | |||||||||||||
Acadian Emerging Markets Managed Volatility | Institutional | 1.35 | % | $ | 9,433 | $ | - | 2021 | ||||||||||
Acadian Emerging Markets Managed Volatility | Y | 1.45 | % | 37,022 | - | 2021 | ||||||||||||
Acadian Emerging Markets Managed Volatility | Investor | 1.73 | % | 3,065 | - | 2021 | ||||||||||||
Acadian Emerging Markets Managed Volatility | A | 1.75 | % | 903 | - | 2021 | ||||||||||||
Acadian Emerging Markets Managed Volatility | C | 2.50 | % | 578 | - | 2021 | ||||||||||||
SGA Global Growth | Institutional | 0.98 | % | 13,684 | - | 2021 | ||||||||||||
SGA Global Growth | Y | 1.08 | % | 5,396 | - | 2021 | ||||||||||||
SGA Global Growth | Investor | 1.36 | % | 552 | - | 2021 | ||||||||||||
SGA Global Growth | A | 1.38 | % | 1,341 | - | 2021 | ||||||||||||
SGA Global Growth | C | 2.13 | % | 466 | - | 2021 |
Of these amounts, $5,234 and $2,340 were disclosed as a receivable from the Manager on the Statements of Assets and Liabilities at July 31, 2018 for the Acadian Emerging Markets Managed Volatility Fund and SGA Global Growth Fund, respectively.
The Funds have adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Funds for any contractual or voluntary fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Funds’ annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2021. The Funds did not record a liability for potential reimbursements due to the current assessment that reimbursements are unlikely. The carryover of excess expenses potentially reimbursable to the Manager are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
Acadian Emerging Markets Managed Volatility | $ | - | $ | 120,326 | $ | - | 2019 | |||||||||
Acadian Emerging Markets Managed Volatility | - | 93,050 | - | 2020 | ||||||||||||
Acadian Emerging Markets Managed Volatility | - | 207,848 | - | 2021 | ||||||||||||
SGA Global Growth | - | 118,368 | - | 2019 | ||||||||||||
SGA Global Growth | - | 123,518 | - | 2020 | ||||||||||||
SGA Global Growth | - | 96,126 | - | 2021 |
The Distributor
Effective March 1, 2018, Resolute Investment Distributors, Inc. (“RID” or “Distributor”) replaced Foreside Fund Services, LLC (“Foreside”) as the Funds’ distributor and principal underwriter of the Funds’ shares.
RID is a registered broker-dealer and is a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). The Distributor is affiliated with the Manager through common ownership. Under a Distribution
28
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Agreement with the Trust, the Distributor acts as the distributor and principal underwriter of the Trust in connection with the continuous offering of shares of the Funds. The Distributor continually distributes shares of the Funds on a best efforts basis. The Distributor has no obligation to sell any specific quantity of the Funds’ shares. Pursuant to the Distribution Agreement, to the extent applicable, the Distributor receives, and may re-allow to broker-dealers, all or a portion of the sales charge paid by the purchasers of A Class and C Class shares. For A Class and C Class shares, the Distributor receives commission revenue consisting of the portion of A Class and C Class sales charge remaining after the allowances by the Distributor to the broker-dealers. The Distributor retains any portion of the commission fees that are not paid to the broker-dealers for use solely to pay distribution related expenses.
Prior to March 1, 2018, Foreside served as the distributor and principal underwriter of the Funds’ shares. Pursuant to a Sub-Administration Agreement between Foreside and the Manager in effect through February 28, 2018, Foreside received a fee from the Manager for providing administrative services in connection with the marketing and distribution of shares of the Trust, including the registration of Manager employees as registered representatives of Foreside to facilitate distribution of Fund shares. Foreside also received a fee from the Manager under a Marketing Agreement pursuant to which Foreside provided services in connection with the marketing of a Fund to institutional investors. Pursuant to the Distribution Agreement with the Trust in effect through February 28, 2018, Foreside received, and may have re-allowed to broker-dealers, all or a portion of the sales charge paid by the purchasers of A and C Class shares. For A and C Class shares, Foreside received commission revenues consisting of the portion of A and C Class sales charge remaining after the allowances by Foreside to the broker dealers. Foreside retained any portion of the commission fees that were not paid to the broker-dealers for use solely to pay distribution related expenses.
Sales Commissions
The Funds’ Distributor, formerly Foreside, may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended February 28, 2018, Foreside collected $54 in sales commissions for SGA Global Growth Fund from the sale of Class A Shares. During the period March 1, 2018 through July 31, 2018, RID collected $4,848 for SGA Global Growth Fund from the sale of Class A Shares. There were no sales commissions collected for the Acadian Emerging Emerging Markets Managed Volatility Fund.
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Funds’ 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 period ended July 31, 2018, there were no CDSC fees collected for Class A Shares of the Funds.
A 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 Funds’ 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 period ended February 28, 2018, CDSC fees of $41 were collected for Class C Shares of the SGA Global Growth Fund. During the period March 1, 2018 through July 31, 2018, RID collected CDSC fees of $1,150 for Class C Shares of SGA Global Growth Fund. There were no CDSC fees collected for the Acadian Emerging Emerging Markets Managed Volatility Fund.
Trustee Fees and Expenses
As compensation for their service to the Trust, American Beacon Select Funds, American Beacon Institutional Funds Trust, American Beacon Sound Point Enhanced Income Fund, and American Beacon Apollo Enhanced Income Fund, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee
29
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chairman receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for his attendance at the committee meetings. Effective January 1, 2018, the Board Vice Chair receives an additional annual retainer of $10,000. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each Fund of the Trusts according to its respective net assets.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on its net asset value (“NAV”) per share. The Fund’s NAV is computed by adding total assets, subtracting all the Fund’s liabilities, and dividing the result by the total number of shares outstanding.
The NAV of each class of the Fund’s shares is determined based on a pro rata allocation of the Fund’s investment income, expenses and total capital gains and losses. The Fund’s NAV per share is determined each business day as of the regular close of trading on the New York Stock Exchange (‘‘NYSE‘‘ or “Exchange”), which is typically 4:00 p.m. Eastern Time (“ET”). However, if trading on the NYSE closes at a time other than 4:00 p.m. ET, the Fund’s NAV per share typically would still be determined as of the regular close of trading on the NYSE. The Fund does not price its shares on days that the NYSE is closed. Foreign exchanges may permit trading in foreign securities on days when the Fund is not open for business, which may result in the value of the Fund’s portfolio investments being affected at a time when you are unable to buy or sell shares.
Equity securities and certain derivative instruments that are traded on an exchange are valued based on market value. Certain derivative instruments (other than short-term securities) usually are valued on the basis of prices provided by a pricing service. The price of debt securities generally is determined using pricing services or quotes obtained from broker/dealers who may consider a number of inputs and factors, such as comparable characteristics, yield curve, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flow. Investments in other mutual funds are valued at the closing NAV per share of the mutual funds on the day of valuation. Equity securities, including shares of closed-end funds and exchanged-traded funds (“ETFs”), are valued at the last sale price or official closing price.
The valuation of securities traded on foreign markets and certain fixed income securities will generally be based on prices determined as of the earlier closing time of the markets on which they primarily trade unless a significant event has occurred. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. ET.
Securities may be valued at fair value, as determined in good faith and pursuant to procedures approved by the Board of Trustees, under certain limited circumstances. For example, fair value pricing will be used when market quotations are not readily available or reliable, as determined by the Manager, such as when (i) trading for a security is restricted or stopped; (ii) a security’s trading market is closed (other than customary closings); or (iii) a security has been de-listed from a national exchange. A security with limited market liquidity may require fair value pricing if the Manager determines that the available price does not reflect the security’s true market value. In addition, if a significant event that the Manager determines to affect the value of one or more securities held by the Fund occurs after the close of a related exchange but before the determination of the Fund’s NAV, fair value pricing may be used on the affected security or securities. Securities of small-capitalization companies are also more likely to require a fair value determination using these procedures because they are more thinly traded and less liquid than the securities of larger-capitalization companies. The Fund may fair value securities as a result of significant events occurring after the close of the foreign markets in which the Fund invests as described below. In addition, the Fund may invest in illiquid securities requiring these procedures.
30
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund’s pricing time of 4:00 p.m. ET. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. If the Manager determines that the last quoted prices of non-U.S. securities will, in its judgment, materially affect the value of some or all its portfolio securities, the Manager can 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. These securities are fair valued using a pricing service, using methods approved by the Board, that considers the correlation of the trading patterns of the foreign security to intraday trading in the U.S. markets, based on indices of domestic securities and other appropriate indicators such as prices of relevant American Depository Receipts (“ADRs”) and futures contracts. The Valuation Committee, established by the Board, may also fair value securities in other situations, such as when a particular foreign market is closed but the 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.
Attempts to determine the fair value of securities introduce an element of subjectivity to the pricing of securities. As a result, the price of a security determined through fair valuation techniques may differ from the price quoted or published by other sources and may not accurately reflect the market value of the security when trading resumes. If a reliable market quotation becomes available for a security formerly valued through fair valuation techniques, the Manager compares the new market quotation to the fair value price to evaluate the effectiveness of the Fund’s fair valuation procedures. If any significant discrepancies are found, the Manager may adjust the Fund’s fair valuation procedures.
Valuation Inputs
Various inputs may be used to determine the fair 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. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Common stocks, preferred securities, and financial derivative instruments, such as futures 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. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are generally categorized as Level 2 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.
Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
31
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Level 3 trading assets and trading liabilities, at fair value
The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows.
Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction and may be categorized as Level 3 of the fair value hierarchy.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the Exchange close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade, do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the fair values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the Manager. For instances in which daily market quotes are not readily available, investments may be valued pursuant to guidelines established by the Board. In the event that the security or asset cannot be valued, pursuant to one of the valuation methods established by the Board, the fair value of the security or asset will be determined in good faith by the Valuation Committee, generally based upon recommendations provided by the Manager.
When a Fund uses fair valuation methods applied by the Manager that use significant unobservable inputs to determine its NAV, the securities priced using this methodology are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
4. Securities and Other Investments
American Depositary Receipts and Non-Voting Depositary Receipts
American Depositary Receipts (“ADRs”) are depositary receipts for foreign issuers in registered form traded in U.S. securities markets. Non-Voting Depositary Receipts (“NVDRs”) represent financial interests in an issuer but the holder is not entitled to any voting rights. Depositary receipts may not be denominated in the same currency as the securities into which they may be converted. Investing in depositary receipts entails substantially the same risks as direct investment in foreign securities. There is generally less publicly available information about foreign companies and there may be less governmental regulation and supervision of foreign stock exchanges, brokers, and listed companies. In addition, such companies may use different accounting and financial standards (and certain currencies may become unavailable for transfer from a foreign currency), resulting in the Fund’s possible inability to convert immediately into U.S. currency proceeds realized upon the sale of portfolio securities of the affected foreign companies. In addition, the Funds may invest in unsponsored depositary receipts, the issuers of which are not obligated to disclose material information about the underlying securities to investors in the United States. Ownership of unsponsored depositary receipts may not entitle the Funds to the same benefits and rights as ownership of a sponsored depositary receipt or the underlying security.
32
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Common Stock
Common stock generally takes the form of shares in a corporation which represent an ownership interest. It ranks below preferred stock and debt securities in claims for dividends and for assets of the company in a liquidation or bankruptcy. The value of a company’s common stock may fall as a result of factors directly relating to that company, such as decisions made by its management or decreased demand for the company’s products or services. A stock’s value may also decline because of factors affecting not just the company, but also companies in the same industry or sector. The price of a company’s stock may also be affected by changes in financial markets that are relatively unrelated to the company, such as changes in interest rates, currency exchange rates or industry regulation. Companies that elect to pay dividends on their common stock generally only do so after they invest in their own business and make required payments to bondholders and on other debt and preferred stock. Therefore, the value of a company’s common stock will usually be more volatile than its bonds, other debt and preferred stock. Common stock may be exchange-traded or Over-the-counter (“OTC”). OTC stock may be less liquid than exchange-traded stock.
Foreign Securities
The Funds may invest in U.S. dollar-denominated and non-U.S. dollar denominated equity and debt securities of foreign issuers and foreign branches of U.S. banks, including negotiable certificates of deposit (“CDs”), bankers’ acceptances, and commercial paper. Foreign issuers are issuers organized and doing business principally outside the United States and include corporations, banks, non-U.S. governments, and quasi-governmental organizations. While investments in foreign securities may be intended to reduce risk by providing further diversification, such investments involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political or social instability, nationalization, expropriation, or confiscatory taxation); the potentially adverse effects of unavailability of public information regarding issuers, different governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States; different laws and customs governing securities tracking; and possibly limited access to the courts to enforce the Funds’ rights as an investor.
Illiquid and 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 (the “Securities Act”). Illiquid securities have included securities that have not been registered under the Securities Act, securities that are otherwise not readily marketable, and repurchase agreements having a remaining maturity of longer than seven calendar days. Disposal of both illiquid and restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. The Funds did not hold any illiquid securities as of the period ended July 31, 2018. Restricted securities outstanding during the period ended July 31, 2018 are disclosed in the Fund’s Notes to the Schedules of Investments.
Regulation S under the Securities Act permits the sale abroad of securities that are not registered for sale in the United States and includes a provision for U.S. investors, such as the Funds, to purchase such unregistered securities if certain conditions are met.
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, unit investment trusts, and other investment companies of the Trust. The
33
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
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, the Funds become a shareholder of that investment company. As a result, the Funds’ shareholders indirectly will bear the Funds’ proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses the Funds’ shareholders directly bear in connection with the Funds’ 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 Funds in their Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
Preferred Stock
A preferred stock blends the characteristics of a bond and common stock. It can offer the higher yield of a bond and has priority over common stock in equity ownership, but does not have the seniority of a bond and its participation in the issuer’s growth may be limited. Preferred stock generally has preference over common stock in the receipt of dividends and in any residual assets after payment to creditors should the issuer be dissolved. Although the dividend is set at a fixed or variable rate, in some circumstances it can be changed or omitted by the issuer.
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-characterize 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.
5. Financial Derivative Instruments
The Funds may utilize derivative instruments to gain market exposure on cash balances or reduce market exposure in anticipation of liquidity needs. When considering the Funds’ use of derivatives, it is important to note that the Funds do not use derivatives for the purpose of creating financial leverage.
Futures Contracts
Futures contracts, including interest rate futures contracts and futures contracts on U.S. Treasury securities, obligate the purchaser to take delivery of, or cash settle, a specific amount of an obligation underlying the futures contract at a specified time in the future for a specified price. Likewise, the seller incurs an obligation to deliver the specified amount of the underlying obligation against receipt of the specified price. Futures are traded on both U.S. and foreign commodities exchanges. Futures contracts will be traded for the same purposes as entering into forward contracts. The purchase of futures can serve as a long hedge, and the sale of futures can serve as a short hedge.
No price is paid upon entering into a futures contract. Instead, at the inception of a futures contract a Fund is required to deposit “initial margin” consisting of cash or U.S. Government Securities in an amount set by the exchange on which the contract is traded and varying based on the volatility of the underlying asset. Margin must also be deposited when writing a call or put option on a futures contract, in accordance with applicable exchange rules. Unlike margin in securities transactions, initial margin on futures contracts does not represent a borrowing, but rather is in the nature of a performance bond or good-faith deposit that is returned to a Fund at the termination of the transaction if all contractual obligations have been satisfied. Under certain circumstances, such as periods of high volatility, a Fund may be required by a futures exchange to increase the level of its initial margin payment, and initial margin requirements might be increased generally in the future by regulatory action.
34
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Subsequent “variation margin” payments (sometimes referred to as “maintenance margin” payments) are made to and from the futures broker daily as the value of the futures position varies, a process known as “marking-to-market.” Variation margin does not involve borrowing, but rather represents a daily settlement of a Fund’s obligations to or from a futures broker. When a Fund purchases or sells a futures contract, it is subject to daily, or even intraday, variation margin calls that could be substantial in the event of adverse price movements. If a Fund has insufficient cash to meet daily or intraday variation margin requirements, it might need to sell securities at a time when such sales are disadvantageous.
Purchasers and sellers of futures contracts can enter into offsetting closing transactions, by selling or purchasing, respectively, an instrument identical to the instrument purchased or sold. Positions in futures contracts may be closed only on a futures exchange or board of trade that trades that contract. A Fund intends to enter into futures contracts only on exchanges or boards of trade where there appears to be a liquid secondary market. However, there can be no assurance that such a market will exist for a particular contract at a particular time. In such event, it may not be possible to close a futures contract.
During the period ended July 31, 2018, the Funds entered into futures contracts primarily for exposing cash to markets.
The Funds’ average futures contracts outstanding fluctuate throughout the operating year as required meeting strategic requirements. The following table illustrates the average quarterly volume of futures contracts. For purpose of this disclosure, volume is measured by contracts outstanding at each quarter end.
Average Futures Contracts Outstanding | ||||
Fund | Period Ended July 31, 2018 | |||
Acadian Emerging Markets Managed Volatility | 16 | |||
SGA Global Growth | 18 |
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk
exposure(1):
Acadian Emerging Markets Managed Volatility Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | $ | - | $ | - | $ | - | $ | - | $ | 19,648 | $ | 19,648 | |||||||||||||||||||||||||||||||||||||||||||
The effect of financial derivative instruments on the Statements of Operations as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | - | $ | - | $ | - | $ | - | $ | (115,748 | ) | $ | (115,748 | ) | |||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | - | $ | - | $ | - | $ | - | $ | 6,262 | $ | 6,262 |
35
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
SGA Global Growth Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | $ | - | $ | - | $ | - | $ | - | $ | 4,541 | $ | 4,541 | |||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Payable for variation margin from open futures contracts(2) | $ | - | $ | - | $ | - | $ | - | $ | (1,080 | ) | $ | (1,080 | ) | |||||||||||||||||||||||||||||||||||||||||
The effect of financial derivative instruments on the Statements of Operations as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | - | $ | - | $ | - | $ | - | $ | (78,830 | ) | $ | (78,830 | ) | |||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | - | $ | - | $ | - | $ | - | $ | (12,492 | ) | $ | (12,492 | ) |
(1) See Note 3 in the Notes to Financial Statements for additional information.
(2) Includes cumulative appreciation (depreciation) of futures contracts as reported in the Fund’s Schedule of Investments footnotes. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
Offsetting Assets and Liabilities
The Funds are parties to enforceable master netting agreements between brokers and counterparties which provide for the right to offset under certain circumstances. The Funds employ multiple money managers and counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, July 31, 2018.
Acadian Emerging Markets Managed Volatility Fund
Offsetting of Financial and Derivative Assets as of July 31, 2018: |
| |||||||||||
Assets | Liabilities | |||||||||||
Futures Contracts | $ | 19,648 | $ | - | ||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 19,648 | $ | - | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | (19,648 | ) | $ | - | |||||||
|
|
|
|
Remaining Contractual Maturity of the Agreements As of July 31, 2018 | ||||||||||||||||||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||||||||||||||||||
Common Stocks | $ | 89,581 | $ | - | $ | - | $ | - | $ | 89,581 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Borrowings | $ | 89,581 | $ | - | $ | - | $ | - | $ | 89,581 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 89,581 | |||||||||||||||||||||||||||||||||
|
|
36
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
SGA Global Growth Fund
Offsetting of Financial and Derivative Assets as of July 31, 2018: |
| |||||||||||
Assets | Liabilities | |||||||||||
Futures Contracts | $ | 4,541 | $ | 1,080 | ||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 4,541 | $ | 1,080 | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | (4,541 | ) | $ | (1,080 | ) | ||||||
|
|
|
|
6. Principal Risks
Investing in the Funds may involve certain risks including, but not limited to, those described below.
Counterparty Risk
The Funds are subject to the risk that a party or participant to a transaction, such as a broker or derivative counterparty, will be unwilling or unable to satisfy its obligation to make timely principal, interest or settlement payments or to otherwise honor its obligations to the Funds.
Currency Risk
The Funds may have exposure to foreign currencies by making direct investments in non-U.S. currencies, in securities denominated in non-U.S. currencies or by purchasing or selling forward foreign currency exchange contracts in non-U.S. currencies. Foreign currencies will fluctuate, and may decline in value relative to the U.S. dollar and other currencies and thereby affect the Funds’ investments in foreign (non-U.S.) currencies or in securities that traded in, and receive revenues in, or in derivatives that provide exposure to, foreign (non-U.S.) currencies. Currency exchange rates 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, a Fund’s investments in foreign currency denominated securities may reduce the returns of a Fund. Currency futures, forwards or options may not always work as intended, and in specific cases a Fund may be worse off than if it had not used such instrument(s). There may not always be suitable hedging instruments available. Even where suitable hedging instruments are available, a Fund may choose to not hedge its currency risks.
Derivatives Risk
Derivatives may involve significant risk. The use of derivative instruments may expose the Funds to additional risks that they would not be subject to if they invested directly in the securities or other instruments underlying those derivatives, including the high degree of leverage often embedded in such instruments, and potential material and prolonged deviations between the theoretical value and realizable value of a derivative. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds’ initial investment. Derivatives may be illiquid and may be more volatile than other types of investments. The Funds may buy or sell derivatives not traded on an exchange and which may be subject to heightened liquidity and valuation risk. Derivative investments can increase transaction costs. Derivatives also are subject to counterparty and credit risk. As a result, the Funds may obtain no recovery of their investment or may only obtain a limited recovery, and any recovery may be delayed. Not all derivative transactions require a counterparty to post collateral, which may expose the Funds to greater losses in the event of a default by counterparty. Ongoing changes to regulation of the derivatives markets and potential changes in the regulation of funds using derivative instruments could limit a Fund’s ability to pursue its investment strategies.
37
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Emerging Markets Risk
When investing in emerging markets, the risks of investing in foreign securities are heightened. Emerging markets are generally smaller, less developed, less liquid and more volatile than the securities markets of the U.S. and other developed markets. There are also risks of: greater political uncertainties; an economy’s dependence on revenues from particular commodities or on international aid or development assistance; currency transfer restrictions; a limited number of potential buyers for such securities; and delays and disruptions in securities settlement procedures.
Equity Investment Risk
Equity securities are subject to investment and market risk. The Funds’ investments in equity securities may include common stocks, preferred stocks, securities convertible into or exchangeable for common stocks, REITs, depositary receipts, and U.S. dollar-denominated foreign stocks traded on U.S. exchanges. Such investments may expose the Funds to additional risk. The value of a company’s common stock may fall as a result of factors affecting the company, companies in the same industry or sector, or the financial markets overall. Common stock generally is subordinate to preferred stock upon the liquidation or bankruptcy of the issuing company. Preferred stocks are sensitive to movements in interest rates. Preferred stocks may be less liquid than common stocks and, unlike common stocks, participation in the growth of an issuer may be limited. Distributions on preferred stocks generally are payable at the discretion of an issuer and after required payments to bond holders. Convertible securities are subject to the risk that the credit standing of the issuer may have an effect on the convertible securities’ investment value. Investments in REITs are subject to the risks associated with investing in the real estate industry such as adverse developments affecting the real estate industry and real property values. Depositary receipts are subject to certain of the risks associated with investing directly in foreign securities, including, but not limited to, currency exchange rate fluctuations, political and financial instability in the home country of a particular depositary receipt, less liquidity and more volatility, less government regulation and supervision and delays in transaction settlement.
Foreign Investing Risk
Non-U.S. investments carry potential risks not associated with U.S. investments. Such risks include, but are not limited to: (1) currency exchange rate fluctuations, (2) political and financial instability, (3) less liquidity and greater volatility, (4) lack of uniform accounting, auditing and financial reporting standards, (5) increased price volatility, (6) different government regulation and supervision of foreign stock exchanges, brokers and listed companies, and (7) delays in transaction settlement in some foreign markets.
Futures Contracts Risk
Futures contracts are derivative instruments where the parties agree to a fixed price for an agreed amount of securities or other underlying assets at an agreed date. The use of such derivative instruments may expose the Funds to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. Futures contracts may experience potentially dramatic price changes (losses) and imperfect correlation between the price of the contract and the underlying security or index, which will increase the volatility of the Funds and may involve a small investment of cash (the amount of initial and variation margin) relative to the magnitude of the risk assumed (the potential increase or decrease in the price of the futures contract).
The Funds are susceptible to the risk that certain investments held by the Funds, such as structured notes and other derivative instruments, may have limited marketability or be subject to restrictions on sale, and may be difficult or impossible to purchase or sell at favorable times or prices. The Funds could lose money if it is unable to dispose of an investment at a time that is most beneficial to the Funds. The Funds may be required to dispose of investments at unfavorable times or prices to satisfy obligations, which may result in losses or may be costly to the
38
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Funds. For example, the Funds may be forced to sell certain investments at unfavorable prices to meet redemption requests or other cash needs. Judgment plays a greater role in pricing illiquid investments than in investments with more active markets.
Market Risk
Since the financial crisis that started in 2008, the U.S. and many foreign economies continue to experience its after-effects. Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these securities to rise and the yields to decline. Reduced liquidity in fixed-income and credit markets may negatively affect many issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, and the possibility of changes to some international trade agreements, could affect the economies of many nations in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants. In addition, political and diplomatic events within the U.S. and abroad, such as the U.S. government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has recently reduced federal corporate income tax rates, and future legislative, regulatory and policy changes may result in more restrictions on international trade, less stringent prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the markets’ expectations for changes in government policies are not borne out.
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the U.S. and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Regulators have expressed concern that rate increases may cause investors to sell fixed income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse. The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the “EU”), commonly referred to as “Brexit,” are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations
39
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of a Fund’s investments in the United Kingdom and Europe.
Market Timing Risk
A Fund that invests in foreign securities is particularly subject to the risk of market timing activities. Frequent trading by Fund shareholders poses risks to other shareholders in that Fund, including (i) the dilution of a Fund’s NAV, (ii) an increase in a Fund’s expenses, and (iii) interference with the portfolio manager’s ability to execute efficient investment strategies. Because of specific securities in which a Fund may invest, it could be subject to the risk of market timing activities by shareholders. Some examples of these types of securities are high yield and foreign securities. The limited trading activity of some high yield securities may result in market prices that do not reflect the true market value of these securities. If a Fund trades foreign securities, it generally prices these foreign securities using their closing prices from the foreign markets in which they trade, which typically is prior to a Fund’s calculation of its NAV. These prices may be affected by events that occur after the close of a foreign market but before a Fund prices its shares. In such instances, a Fund may fair value high yield and foreign securities. However, some investors may engage in frequent short-term trading in a Fund to take advantage of any price differentials that may be reflected in the NAV of a Fund’s shares. While the Manager monitors trading in a Fund, there is no guarantee that it can detect all market timing activities.
Other Investment Companies Risk
A Fund may invest in shares of other registered investment companies, including money market funds. To the extent that a Fund invests in shares of other registered investment companies, a Fund will indirectly bear fees and expenses, including for example, advisory and administrative fees, charged by those investment companies in addition to a Fund’s direct fees and expenses and will be subject to the risks associated with investments in those companies. , a Fund’s investments in money market funds are subject to interest rate risk, credit risk, and market risk. A Fund must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of a Fund’s investment will decline, adversely affecting a Fund’s performance. To the extent a Fund invests in other investment companies that invest in equity securities, fixed income securities and/or foreign securities, or track an index, the Fund is subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject.
Securities Lending Risk
A Fund may lend its portfolio securities to brokers, dealers and financial institutions to seek income. There is a risk that a borrower may default on its obligations to return loaned securities; however, a Fund’s securities lending agent may indemnify the Fund against that risk. There is a risk that the assets of a Fund’s securities lending agent may be insufficient to satisfy any contractual indemnification requirements to the Fund. Borrowers of a Fund’s securities typically provide collateral in the form of cash that is reinvested in securities. A Fund will be responsible for the risks associated with the investment of cash collateral, including any collateral invested in an affiliated money market fund. A Fund may lose money on its investment of cash collateral or may fail to earn sufficient income on its investment to meet obligations to the borrower. In addition, delays may occur in the recovery of securities from borrowers, which could interfere with a Fund’s ability to vote proxies or to settle transactions and there is the risk of possible loss of rights in the collateral should the borrower fail financially. In any case in which the loaned securities are not returned to a Fund before an ex-dividend date, the payment in lieu of the dividend that the Fund receives from the securities’ borrower would not qualify for treatment as “qualified dividend income”.
40
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Valuation Risk
This is the risk that a Fund has valued a security at a price different from the price at which it can be sold. This risk may be especially pronounced for investments, such as derivatives, which may be illiquid or which may become illiquid and for securities that trade in relatively thin markets and/or markets that experience extreme volatility. If market conditions make it difficult to value certain investments, a Fund may value these investments using more subjective methods, such as fair-value methodologies. Investors who purchase or redeem Fund shares on days when a Fund is holding fair-valued securities may receive fewer or more shares, or lower or higher redemption proceeds, than they would have received if the Fund had not fair-valued the securities or had used a different valuation methodology. The value of foreign securities, certain fixed income securities and currencies, as applicable, may be materially affected by events after the close of the markets on which they are traded, but before a Fund determines its NAV. A Fund’s ability to value its investments in an accurate and timely manner may be impacted by technological issues and/or errors by third party service providers, such as pricing services or accounting agents.
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 distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each 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. Each of the tax years in the four year period ended January 31, 2018 remain subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
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 (depreciation), as applicable, as the income is earned or capital gains are recorded.
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 also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction.
As of July 31, 2018, the tax cost for each Fund and their respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility | $ | 30,294,166 | $ | 4,884,989 | $ | (1,366,263 | ) | $ | 3,518,726 | |||||||||||||||||||
SGA Global Growth | 47,024,837 | 9,553,009 | (657,594 | ) | 8,895,415 |
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
During the year January 31, 2018 the Funds did not have any capital loss carryforwards.
41
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended July 31, 2018 were as follows:
Fund | Purchases (non-U.S. Government Securities) | Purchases of U.S. Government Securities | Sales (non-U.S. Government Securities) | Sales of U.S. Government Securities | ||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility | $ | 5,168,468 | $ | - | $ | 5,605,488 | $ | - | ||||||||||||||||||||
SGA Global Growth | 14,567,778 | - | 6,849,428 | - |
A summary of the Funds’ transactions in the USG Select Fund for the period ended July 31, 2018 was as follows:
Fund | Type of Transaction | January 31, 2018 Shares/Fair Value | Purchases | Sales | July 31, 2018 Shares/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility | Direct | $ | 594,472 | $ | 7,315,814 | $ | 7,300,698 | $ | 609,588 | $ | 6,418 | |||||||||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility | Securities Lending | 98,112 | 1,830,530 | 1,839,061 | 89,581 | N/A | ||||||||||||||||||||||||||||||||||||
SGA Global Growth | Direct | 2,508,026 | 23,112,262 | 22,381,638 | 3,238,650 | 19,470 | ||||||||||||||||||||||||||||||||||||
SGA Global Growth | Securities Lending | 868,249 | 3,810,472 | 4,678,721 | - | N/A |
9. Securities Lending
The Funds may lend their securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored and marked-to-market daily. Daily mark-to-market amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement for mark-to-market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.
To the extent that a loan is collateralized by cash, such cash collateral shall be invested by the securities lending agent (the “Agent”) in money market mutual funds and other short-term investments, provided the investments meet certain quality and diversification requirements. Securities purchased with cash collateral proceeds are listed in the Funds’ Schedule of Investments and the collateral is shown on the Statement of Assets and Liabilities as a payable.
Securities lending income is generated from the demand premium (if any) paid by the borrower to borrow a specific security and from the return on investment of cash collateral, reduced by negotiated rebate fees paid to the borrower and transaction costs. To the extent that a loan is secured by non-cash collateral, securities lending income is generated as a demand premium reduced by transaction costs. The Funds, the Agent, and the Manager retained 80%, 10%, and 10%, respectively, of the income generated from securities lending.
While securities are on loan, the Funds continue to receive certain income associated with that security and any gain or loss in the market price that may occur during the term of the loan. In the case of domestic equities, the value of any dividend is received in the form of a substitute payment approximately equal to the dividend. In the case of foreign securities, a negotiated amount is received that is less than the actual dividend, but higher than the dividend amount minus the foreign tax that the Funds would be subject to on the dividend.
Securities lending transactions pose certain risks to the Funds, including that the borrower may not provide additional collateral when required or return the securities when due, that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower, that non-cash collateral may be subject to legal constraints in the event of a borrower bankruptcy, and that the cash collateral investments could become illiquid and
42
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
unable to be used to return collateral to the borrower. The Funds could also experience delays and costs in gaining access to the collateral. The Funds bear the risk of any deficiency in the amount of the cash collateral available for return to the borrower and any action which impairs its ability to liquidate non-cash collateral to satisfy a borrower default.
As of July 31, 2018, the value of outstanding securities on loan and the value of collateral were as follows:
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility | $ | 86,339 | $ | 89,581 | $ | - | $ | 89,581 |
Cash collateral is listed on the Funds’ Schedules of Investments and is shown on the Statements of Assets and Liabilities. Income earned on these investments is included in “Income derived from securities lending” on the Statements of Operations.
Non-cash collateral received by the Funds may not be sold or re-pledged except to satisfy a borrower default. Therefore, non-cash collateral is not included on the Funds’ Schedules of Investments or Statements of Assets and Liabilities.
10. Borrowing Arrangements
Effective November 16, 2017, the Funds, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $50 million with interest at a rate equal to the higher of (a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 15, 2018, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
Effective November 16, 2017, the Funds, along with certain other Participating Funds managed by the Manager, entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”) agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of (a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate. The Uncommitted Line expires November 15, 2018 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
The Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statements of Operations, along with commitment fees, that have been allocated among the Participating Funds based on average daily net assets. During the period ended July 31, 2018, the Funds did not utilize this facility.
11. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 65,355 | $ | 732,333 | 118,476 | $ | 1,192,443 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 9,318 | 100,822 | ||||||||||||||||||||||||
Shares redeemed | (77,583 | ) | (848,756 | ) | (5,369,441 | ) | (52,389,780 | ) | ||||||||||||||||||||
Redemption fees | - | 2,590 | - | 607 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (12,228 | ) | $ | (113,833 | ) | (5,241,647 | ) | $ | (51,095,908 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
43
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Y Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 389,977 | $ | 4,314,826 | 661,605 | $ | 6,777,368 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 43,146 | 465,116 | ||||||||||||||||||||||||
Shares redeemed | (424,962 | ) | (4,745,957 | ) | (1,880,829 | ) | (18,422,329 | ) | ||||||||||||||||||||
Redemption fees | - | 11,368 | - | (310 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (34,985 | ) | $ | (419,763 | ) | (1,176,078 | ) | $ | (11,180,155 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 19,008 | $ | 209,787 | 104,015 | $ | 1,045,237 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 6,508 | 69,770 | ||||||||||||||||||||||||
Shares redeemed | (13,910 | ) | (154,712 | ) | (229,184 | ) | (2,397,931 | ) | ||||||||||||||||||||
Redemption fees | - | 1,235 | - | 126 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | 5,098 | $ | 56,310 | (118,661 | ) | $ | (1,282,798 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 3,486 | $ | 38,515 | 24,494 | $ | 259,607 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 1,319 | 14,170 | ||||||||||||||||||||||||
Shares redeemed | (34,578 | ) | (378,743 | ) | (8,724 | ) | (88,067 | ) | ||||||||||||||||||||
Redemption fees | - | 258 | - | 1,001 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (31,092 | ) | $ | (339,970 | ) | 17,089 | $ | 186,711 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Acadian Emerging Markets Managed Volatility Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | - | $ | - | 22,464 | $ | 219,407 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 495 | 5,253 | ||||||||||||||||||||||||
Shares redeemed | (6,380 | ) | (68,242 | ) | (29,030 | ) | (294,012 | ) | ||||||||||||||||||||
Redemption fees | - | 203 | - | 20 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (6,380 | ) | $ | (68,039 | ) | (6,071 | ) | $ | (69,332 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
SGA Global Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 361,261 | $ | 7,172,407 | 297,426 | $ | 5,174,249 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 24,913 | 465,632 | ||||||||||||||||||||||||
Shares redeemed | (20,036 | ) | (392,938 | ) | (40,518 | ) | (727,410 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 341,225 | $ | 6,779,469 | 281,821 | $ | 4,912,471 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
SGA Global Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 517,769 | $ | 10,365,339 | 202,621 | $ | 3,631,956 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 7,121 | 132,444 | ||||||||||||||||||||||||
Shares redeemed | (26,534 | ) | (518,090 | ) | (36,662 | ) | (660,523 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 491,235 | $ | 9,847,249 | 173,080 | $ | 3,103,877 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
44
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
SGA Global Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 105,947 | $ | 2,040,074 | 338,281 | $ | 5,871,708 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 32,263 | 592,350 | ||||||||||||||||||||||||
Shares redeemed | (531,377 | ) | (10,482,499 | ) | (150,290 | ) | (2,633,764 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (425,430 | ) | $ | (8,442,425 | ) | 220,254 | $ | 3,830,294 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
SGA Global Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 61,798 | $ | 1,195,598 | 164,780 | $ | 2,822,687 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 6,125 | 112,333 | ||||||||||||||||||||||||
Shares redeemed | (40,630 | ) | (786,631 | ) | (45,538 | ) | (748,714 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 21,168 | $ | 408,967 | 125,367 | $ | 2,186,306 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
SGA Global Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 35,318 | $ | 668,228 | 47,361 | $ | 849,784 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 3,077 | 54,519 | ||||||||||||||||||||||||
Shares redeemed | (33,257 | ) | (616,408 | ) | (10,356 | ) | (167,820 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 2,061 | $ | 51,820 | 40,082 | $ | 736,483 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
12. Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Funds’ financial statements through this date.
45
American Beacon Acadian Emerging Markets Managed Volatility FundSM
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | September 27, 2013A to January 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.78 | $ | 9.22 | $ | 8.36 | $ | 10.24 | $ | 9.59 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.16 | 0.12 | B | 0.13 | 0.04 | 0.13 | 0.02 | |||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (1.05 | ) | 2.65 | 0.90 | (1.84 | ) | 0.64 | (0.42 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.89 | ) | 2.77 | 1.03 | (1.80 | ) | 0.77 | (0.40 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | – | (0.21 | ) | (0.17 | ) | (0.08 | ) | (0.12 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||||
Tax return of capitalH | – | – | – | (0.00 | )C | – | – | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | – | (0.21 | ) | (0.17 | ) | (0.08 | ) | (0.12 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Redemption fees added to beneficial interestsC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.89 | $ | 11.78 | $ | 9.22 | $ | 8.36 | $ | 10.24 | $ | 9.59 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnD | (7.56 | )%E | 30.24 | % | 12.37 | % | (17.58 | )% | 8.04 | % | (4.05 | )%E | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
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|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 5,141,938 | $ | 5,706,260 | $ | 52,787,468 | $ | 40,335,580 | $ | 13,079,558 | $ | 9,968,951 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.70 | %F | 1.85 | % | 1.47 | % | 1.68 | % | 2.26 | % | 4.20 | %F | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.35 | %F | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | %F | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 2.65 | %F | 0.74 | % | 1.18 | % | 1.16 | % | 0.44 | % | (2.30 | )%F | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 2.99 | %F | 1.23 | % | 1.31 | % | 1.49 | % | 1.35 | % | 0.55 | %F | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %E | 34 | % | 32 | % | 35 | % | 22 | % | 9 | %G |
A | Commencement of operations. |
B | Per share amounts have been calculated using the average shares method. |
C | Amount represents less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from September 27, 2013 through January 31, 2014 and is not annualized. |
H | Tax return of capital is calculated based on shares outstanding at the time of distribution. |
See accompanying notes
46
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | September 27, 2013A to January 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.73 | $ | 9.19 | $ | 8.34 | $ | 10.22 | $ | 9.59 | $ | 10.00 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.15 | 0.13 | 0.11 | 0.14 | 0.04 | 0.01 | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (1.04 | ) | 2.62 | 0.91 | (1.94 | ) | 0.71 | (0.41 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.89 | ) | 2.75 | 1.02 | (1.80 | ) | 0.75 | (0.40 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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|
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|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | – | (0.21 | ) | (0.17 | ) | (0.08 | ) | (0.12 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||||
Tax return of capitalG | – | – | – | (0.00 | )B | – | – | |||||||||||||||||||||||||||||||||||||
|
|
|
|
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|
|
|
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|
| |||||||||||||||||||||||||||||||||
Total distributions | – | (0.21 | ) | (0.17 | ) | (0.08 | ) | (0.12 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Redemption fees added to beneficial interestsB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.84 | $ | 11.73 | $ | 9.19 | $ | 8.34 | $ | 10.22 | $ | 9.59 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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|
|
| |||||||||||||||||||||||||||||||||
Total returnC | (7.59 | )%D | 30.12 | % | 12.28 | % | (17.64 | )% | 7.83 | % | (4.05 | )%D | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
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|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 25,325,491 | $ | 27,820,209 | $ | 32,606,568 | $ | 25,098,823 | $ | 4,603,907 | $ | 488,729 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.74 | %E | 1.93 | % | 1.55 | % | 1.77 | % | 2.12 | % | 6.19 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.45 | %E | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 2.51 | %E | 1.04 | % | 1.15 | % | 1.23 | % | 0.01 | % | (4.30 | )%E | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 2.80 | %E | 1.52 | % | 1.25 | % | 1.55 | % | 0.68 | % | 0.44 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %D | 34 | % | 32 | % | 35 | % | 22 | % | 9 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from September 27, 2013 through January 31, 2014 and is not annualized. |
G | Tax return of capital is calculated based on shares outstanding at the time of distribution. |
See accompanying notes
47
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | September 27, 2013A to January 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.66 | $ | 9.16 | $ | 8.32 | $ | 10.19 | $ | 9.58 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
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|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.14 | 0.11 | 0.11 | 0.16 | 0.07 | 0.00 | B | |||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (1.04 | ) | 2.60 | 0.87 | (1.98 | ) | 0.66 | (0.41 | ) | |||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
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|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.90 | ) | 2.71 | 0.98 | (1.82 | ) | 0.73 | (0.41 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
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|
|
|
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|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.21 | ) | (0.14 | ) | (0.05 | ) | (0.12 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Tax return of capitalG | - | - | - | (0.00 | )B | - | - | |||||||||||||||||||||||||||||||||||||
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|
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|
|
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|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.21 | ) | (0.14 | ) | (0.05 | ) | (0.12 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
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|
|
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|
| |||||||||||||||||||||||||||||||||
Redemption fees added to beneficial interestsB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
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|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.76 | $ | 11.66 | $ | 9.16 | $ | 8.32 | $ | 10.19 | $ | 9.58 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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|
|
| |||||||||||||||||||||||||||||||||
Total returnC | (7.72 | )%D | 29.78 | % | 11.89 | % | (17.86 | )% | 7.63 | % | (4.15 | )%D | ||||||||||||||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 2,837,791 | $ | 3,016,153 | $ | 3,457,789 | $ | 3,933,437 | $ | 4,612,098 | $ | 1,326,164 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.95 | %E | 2.12 | % | 1.77 | % | 1.98 | % | 2.42 | % | 5.46 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.73 | %E | 1.73 | % | 1.73 | % | 1.73 | % | 1.73 | % | 1.73 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 2.34 | %E | 0.82 | % | 0.94 | % | 1.30 | % | 0.12 | % | (3.60 | )%E | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 2.55 | %E | 1.21 | % | 0.98 | % | 1.55 | % | 0.81 | % | 0.13 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %D | 34 | % | 32 | % | 35 | % | 22 | % | 9 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from September 27, 2013 through January 31, 2014 and is not annualized. |
G | Tax return of capital is calculated based on shares outstanding at the time of distribution. |
See accompanying notes
48
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | September 27, 2013A to January 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.69 | $ | 9.18 | $ | 8.34 | $ | 10.18 | $ | 9.58 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
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|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.10 | 0.10 | 0.13 | 0.12 | 0.06 | 0.00 | B | |||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (1.01 | ) | 2.62 | 0.85 | (1.94 | ) | 0.66 | (0.41 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.91 | ) | 2.72 | 0.98 | (1.82 | ) | 0.72 | (0.41 | ) | |||||||||||||||||||||||||||||||||||
|
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| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.21 | ) | (0.14 | ) | (0.02 | ) | (0.12 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Tax return of capitalG | - | - | - | (0.00 | )B | - | - | |||||||||||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.21 | ) | (0.14 | ) | (0.02 | ) | (0.12 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Redemption fees added to beneficial interestsB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||||
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|
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|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.78 | $ | 11.69 | $ | 9.18 | $ | 8.34 | $ | 10.18 | $ | 9.58 | ||||||||||||||||||||||||||||||||
|
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| |||||||||||||||||||||||||||||||||
Total returnC | (7.78 | )%D | 29.83 | % | 11.84 | % | (17.90 | )% | 7.53 | % | (4.15 | )%D | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 447,999 | $ | 849,017 | $ | 510,236 | $ | 740,272 | $ | 3,214,591 | $ | 554,182 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.04 | %E | 2.24 | % | 1.90 | % | 2.10 | % | 2.49 | % | 7.71 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.75 | %E | 1.75 | % | 1.75 | % | 1.75 | % | 1.77 | % | 1.85 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 1.94 | %E | 0.61 | % | 0.86 | % | 1.08 | % | 0.09 | % | (5.92 | )%E | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 2.23 | %E | 1.10 | % | 1.01 | % | 1.43 | % | 0.81 | % | (0.07 | )%E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %D | 34 | % | 32 | % | 35 | % | 22 | % | 9 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from September 27, 2013 through January 31, 2014 and is not annualized. |
G | Tax return of capital is calculated based on shares outstanding at the time of distribution. |
See accompanying notes
49
American Beacon Acadian Emerging Markets Managed Volatility FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | September 27, 2013A to January 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.55 | $ | 9.08 | $ | 8.23 | $ | 10.10 | $ | 9.55 | $ | 10.00 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.08 | 0.06 | 0.02 | 0.10 | 0.02 | (0.01 | ) | |||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (1.01 | ) | 2.54 | 0.89 | (1.97 | ) | 0.62 | (0.43 | ) | |||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.93 | ) | 2.60 | 0.91 | (1.87 | ) | 0.64 | (0.44 | ) | |||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.13 | ) | (0.06 | ) | (0.00 | )B | (0.09 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Tax return of capitalG | - | - | - | (0.00 | )B | - | - | |||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.13 | ) | (0.06 | ) | (0.00 | )B | (0.09 | ) | (0.01 | ) | |||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Redemption fees added to beneficial interestsB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.62 | $ | 11.55 | $ | 9.08 | $ | 8.23 | $ | 10.10 | $ | 9.55 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total returnC | (8.05 | )%D | 28.71 | % | 11.11 | % | (18.50 | )% | 6.66 | % | (4.45 | )%D | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 394,646 | $ | 503,049 | $ | 450,626 | $ | 644,705 | $ | 623,506 | $ | 148,736 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.76 | %E | 3.00 | % | 2.67 | % | 2.87 | % | 3.26 | % | 10.04 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 2.50 | %E | 2.50 | % | 2.50 | % | 2.50 | % | 2.52 | % | 2.60 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 1.41 | %E | (0.01 | )% | 0.11 | % | 0.40 | % | (0.90 | )% | (8.13 | )%E | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 1.67 | %E | 0.49 | % | 0.28 | % | 0.77 | % | (0.16 | )% | (0.68 | )%E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %D | 34 | % | 32 | % | 35 | % | 22 | % | 9 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from September 27, 2013 through January 31, 2014 and is not annualized. |
G | Tax return of capital is calculated based on shares outstanding at the time of distribution. |
See accompanying notes
50
American Beacon SGA Global Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, | Year Ended January 31, | Four Months Ended January 31, | Year Ended | |||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.11 | $ | 15.11 | $ | 13.79 | $ | 13.43 | $ | 13.05 | $ | 13.15 | $ | 12.04 | ||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.01 | (0.01 | ) | 0.03 | 0.03 | 0.06 | 0.01 | (0.04 | )A | |||||||||||||||||||||||||||||||||||||||||||
Net gains on investments (both realized and unrealized) | 0.14 | 5.65 | 1.84 | 0.56 | 0.72 | 0.15 | 1.36 | |||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Total income from investment operations | 0.15 | 5.64 | 1.87 | 0.59 | 0.78 | 0.16 | 1.32 | |||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | (0.02 | ) | (0.03 | ) | - | - | |||||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.64 | ) | (0.55 | ) | (0.21 | ) | (0.37 | ) | (0.26 | ) | (0.21 | ) | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Total distributions | - | (0.64 | ) | (0.55 | ) | (0.23 | ) | (0.40 | ) | (0.26 | ) | (0.21 | ) | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 20.26 | $ | 20.11 | $ | 15.11 | $ | 13.79 | $ | 13.43 | $ | 13.05 | $ | 13.15 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Total returnB | 0.75 | %C | 37.64 | % | 13.66 | % | 4.26 | % | 5.98 | % | 1.13 | %C | 11.21 | %D | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 22,942,659 | $ | 15,912,971 | $ | 7,698,159 | $ | 6,219,477 | $ | 5,106,079 | $ | 4,738,199 | $ | 4,351,023 | ||||||||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.14 | %E | 1.34 | % | 2.03 | % | 2.62 | % | 3.82 | % | 5.28 | %E | 8.00 | % | ||||||||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 0.98 | %E | 0.98 | % | 0.98 | % | 0.98 | % | 0.98 | % | 1.00 | %E | 1.75 | % | ||||||||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.15 | %E | (0.28 | )% | (0.83 | )% | (1.37 | )% | (2.41 | )% | (4.12 | )%E | (6.56 | )% | ||||||||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 0.31 | %E | 0.08 | % | 0.21 | % | 0.27 | % | 0.42 | % | 0.16 | %E | (0.31 | )% | ||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %C | 31 | % | 32 | % | 39 | % | 38 | % | 15 | %F | 39 | % |
A | The Predecessor Fund calculated the change in undistributed net investment income based on average shares outstanding during the period. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Total returns would have been lower had expenses not been waived or absorbed by the Predecessor Fund. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distribution or the redemption of Fund shares. |
E | Annualized. |
F | Portfolio turnover rate is for the period from October 1, 2013 through January 31, 2014 and is not annualized. |
See accompanying notes
51
American Beacon SGA Global Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | October 4, 2013A to January 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.01 | $ | 15.05 | $ | 13.75 | $ | 13.41 | $ | 13.05 | $ | 13.25 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.01 | 0.00 | B | (0.03 | ) | 0.02 | 0.04 | 0.00 | B | |||||||||||||||||||||||||||||||||||
Net gains on investments (both realized and unrealized) | 0.13 | 5.60 | 1.88 | 0.55 | 0.72 | 0.06 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income from investment operations | 0.14 | 5.60 | 1.85 | 0.57 | 0.76 | 0.06 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | (0.02 | ) | (0.03 | ) | - | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.64 | ) | (0.55 | ) | (0.21 | ) | (0.37 | ) | (0.26 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.64 | ) | (0.55 | ) | (0.23 | ) | (0.40 | ) | (0.26 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 20.15 | $ | 20.01 | $ | 15.05 | $ | 13.75 | $ | 13.41 | $ | 13.05 | ||||||||||||||||||||||||||||||||
|
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|
|
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|
|
| |||||||||||||||||||||||||||||||||
Total returnC | 0.70 | %D | 37.52 | % | 13.55 | % | 4.12 | % | 5.83 | % | 0.37 | %D | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 15,669,876 | $ | 5,732,352 | $ | 1,706,678 | $ | 127,585 | $ | 119,680 | $ | 105,161 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.22 | %E | 1.40 | % | 1.88 | % | 2.72 | % | 3.84 | % | 10.23 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.08 | %E | 1.08 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.08 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.05 | %E | (0.37 | )% | (0.96 | )% | (1.51 | )% | (2.44 | )% | (9.09 | )%E | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 0.19 | %E | (0.04 | )% | (0.15 | )% | 0.13 | % | 0.32 | % | 0.06 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %D | 31 | % | 32 | % | 39 | % | 38 | % | 15 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from October 1, 2013 through January 31, 2014 and is not annualized. |
See accompanying notes
52
American Beacon SGA Global Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | October 4, 2013A to January 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.75 | $ | 14.90 | $ | 13.66 | $ | 13.36 | $ | 13.03 | $ | 13.25 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.06 | ) | (0.04 | ) | 0.06 | (0.04 | ) | 0.01 | (0.01 | ) | ||||||||||||||||||||||||||||||||||
Net gains on investments (both realized and unrealized) | 0.17 | 5.53 | 1.73 | 0.57 | 0.72 | 0.05 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income from investment operations | 0.11 | 5.49 | 1.79 | 0.53 | 0.73 | 0.04 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | (0.02 | ) | (0.03 | ) | - | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.64 | ) | (0.55 | ) | (0.21 | ) | (0.37 | ) | (0.26 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.64 | ) | (0.55 | ) | (0.23 | ) | (0.40 | ) | (0.26 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 19.86 | $ | 19.75 | $ | 14.90 | $ | 13.66 | $ | 13.36 | $ | 13.03 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnB | 0.56 | %C | 37.16 | % | 13.20 | % | 3.84 | % | 5.60 | % | 0.22 | %C | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 11,131,939 | $ | 19,473,640 | $ | 11,414,261 | $ | 421,630 | $ | 108,458 | $ | 106,990 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.37 | %D | 1.57 | % | 2.05 | % | 3.08 | % | 5.28 | % | 10.37 | %D | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.36 | %D | 1.36 | % | 1.34 | % | 1.36 | % | 1.36 | % | 1.36 | %D | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.03 | )%D | (0.50 | )% | (1.14 | )% | (2.04 | )% | (3.88 | )% | (9.22 | )%D | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | (0.02 | )%D | (0.29 | )% | (0.43 | )% | (0.32 | )% | 0.05 | % | (0.22 | )%D | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %C | 31 | % | 32 | % | 39 | % | 38 | % | 15 | %E |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from October 1, 2013 through January 31, 2014 and is not annualized. |
See accompanying notes
53
American Beacon SGA Global Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | �� | October 4, 2013A to January 31, 2014 | |||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.72 | $ | 14.89 | $ | 13.65 | $ | 13.35 | $ | 13.03 | $ | 13.25 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.00 | B | (0.02 | ) | 0.03 | (0.03 | ) | 0.00 | B | 0.00 | B | |||||||||||||||||||||||||||||||||
Net gains on investments (both realized and unrealized) | 0.11 | 5.49 | 1.76 | 0.56 | 0.72 | 0.04 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income from investment operations | 0.11 | 5.47 | 1.79 | 0.53 | 0.72 | 0.04 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | (0.02 | ) | (0.03 | ) | - | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.64 | ) | (0.55 | ) | (0.21 | ) | (0.37 | ) | (0.26 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.64 | ) | (0.55 | ) | (0.23 | ) | (0.40 | ) | (0.26 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 19.83 | $ | 19.72 | $ | 14.89 | $ | 13.65 | $ | 13.35 | $ | 13.03 | ||||||||||||||||||||||||||||||||
|
|
|
|
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|
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|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnC | 0.56 | %D | 37.05 | % | 13.21 | % | 3.84 | % | 5.53 | % | 0.22 | %D | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 4,275,541 | $ | 3,835,023 | $ | 1,028,223 | $ | 345,107 | $ | 434,636 | $ | 362,595 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.45 | %E | 1.72 | % | 2.33 | % | 3.05 | % | 4.19 | % | 8.22 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.38 | %E | 1.38 | % | 1.38 | % | 1.38 | % | 1.42 | % | 1.48 | %E | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.14 | )%E | (0.77 | )% | (1.22 | )% | (1.90 | )% | (2.78 | )% | (6.91 | )%E | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements | (0.07 | )%E | (0.43 | )% | (0.27 | )% | (0.22 | )% | (0.01 | )% | (0.17 | )%E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %D | 31 | % | 32 | % | 39 | % | 38 | % | 15 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from October 1, 2013 through January 31, 2014 and is not annualized. |
See accompanying notes
54
American Beacon SGA Global Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months July 31, | Year Ended January 31, | October 4, 2013A to January 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.04 | $ | 14.50 | $ | 13.40 | $ | 13.21 | $ | 13.00 | $ | 13.25 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.07 | ) | (0.04 | ) | 0.05 | (0.12 | ) | (0.05 | ) | (0.04 | ) | |||||||||||||||||||||||||||||||||
Net gains on investments (both realized and unrealized) | 0.10 | 5.22 | 1.60 | 0.54 | 0.66 | 0.05 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income from investment operations | 0.03 | 5.18 | 1.65 | 0.42 | 0.61 | 0.01 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | (0.02 | ) | (0.03 | ) | - | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.64 | ) | (0.55 | ) | (0.21 | ) | (0.37 | ) | (0.26 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.64 | ) | (0.55 | ) | (0.23 | ) | (0.40 | ) | (0.26 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 19.07 | $ | 19.04 | $ | 14.50 | $ | 13.40 | $ | 13.21 | $ | 13.00 | ||||||||||||||||||||||||||||||||
|
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|
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|
| |||||||||||||||||||||||||||||||||
Total returnB | 0.16 | %C | 36.04 | % | 12.41 | % | 3.04 | % | 4.69 | % | (0.01 | )%C | ||||||||||||||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 2,104,471 | $ | 2,061,699 | $ | 988,762 | $ | 410,331 | $ | 393,478 | $ | 109,489 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.18 | %D | 2.47 | % | 3.08 | % | 3.76 | % | 4.77 | % | 11.36 | %D | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 2.13 | %D | 2.13 | % | 2.12 | % | 2.13 | % | 2.16 | % | 2.23 | %D | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.87 | )%D | (1.42 | )% | (1.95 | )% | (2.51 | )% | (3.41 | )% | (10.22 | )%D | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements | (0.82 | )%D | (1.08 | )% | (1.00 | )% | (0.89 | )% | (0.80 | )% | (1.09 | )%D | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 15 | %C | 31 | % | 32 | % | 39 | % | 38 | % | 15 | %E |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from October 1, 2013 through January 31, 2014 and is not annualized. |
See accompanying notes
55
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
At in-person meetings held on May 18, 2018 and June 5-6, 2018 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 6, 2018 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon Acadian Emerging Markets Managed Volatility Fund (“Acadian Fund”) and the American Beacon SGA Global Growth Fund (“SGA Fund”) (each, a “Fund” and collectively, the “Funds”);
(2) the Investment Advisory Agreement among the Manager, Acadian Asset Management LLC (“Acadian”), and the Trust, on behalf of the Acadian Fund; and
(3) the Investment Advisory Agreement among the Manager, Sustainable Growth Advisers, LP (“SGA”), and the Trust, on behalf of the SGA Fund.
Acadian and SGA are hereinafter each referred to as a “subadvisor” and collectively as the “subadvisors.” The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisors, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Funds as well as information from the Manager and the subadvisors. At the Meetings, the Board considered the information provided. Further, the Board took into consideration information furnished to the Board throughout the year at regular meetings of the Board and its committees, as well as information specifically prepared in connection with the renewal process.
In connection with the Board’s consideration of the Agreements, the Trustees received and evaluated such information as they deemed necessary. The information requested on behalf of the Board included, among other information, the following materials. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.
• | comparisons of the performance of an appropriate share class of each Fund to comparable investment companies and appropriate benchmark indices, including peer group averages and performance analyses from Broadridge, and to the performance of any similar accounts or a composite of similar accounts, as applicable, managed by the firm; |
• | comparisons of each Fund’s management and subadvisory fee rates and expense ratio with the management fee rates paid by comparable mutual funds and their expense ratios, including peer group averages and fee and expense analyses from Broadridge, and the advisory fee rates charged to other clients for which similar services are provided by a firm; |
• | a description of any applicable fee waivers and/or expense reimbursements in place for each Fund during the past year, and any proposed changes to the expense limitation arrangements; |
• | the Manager’s profitability with respect to the services that it provided to each Fund; |
• | any actual or anticipated economies of scale in relation to the services the firm provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors; |
• | an evaluation of other benefits to the firm or Funds as a result of their relationship, if any; |
• | information regarding administrative, accounting-related, cash management and securities lending services that the Manager provides to the Funds and the fees that the Manager receives for such services; and |
56
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
• | information regarding a firm’s financial condition, the personnel of the Manager who are assigned primary responsibility for managing the Funds, staffing levels, portfolio managers’ compensation, insurance coverage, material pending litigation, code of ethics, compliance matters, actual or potential conflicts of interest that the firm experiences, or anticipates that it will experience, in providing services to the Funds, and the Manager’s disaster recovery plans. |
The Board noted that the Manager provides management and administrative services to the Funds pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. For each Fund, the class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Funds and their shareholders.
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreements
In determining whether to renew the Agreements, the Trustees considered the best interests of each Fund separately. While the Management Agreement and the Investment Advisory Agreements for the Funds were considered at the Meetings, the Board considered each Fund’s investment management and subadvisory relationships separately.
In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of a Fund; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or a subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or a subadvisor from their relationships with a Fund.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s long-term performance; the length of service of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support that reduce risks to the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
57
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
With respect to the renewal of each Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. The Board also considered the adequacy of the resources committed to the Funds by each subadvisor, and whether those resources were commensurate with the needs of the Funds and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of each subadvisor. The Board also considered each subadvisor’s representations regarding its compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund.
Investment Performance. The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of each Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting each Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for a Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by each subadvisor regarding the performance of the relevant Fund relative to the performance of a composite of similar accounts managed by the subadvisor and the Fund’s benchmark index. In addition, the Board considered the Manager’s recommendation to continue to retain each subadvisor. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Costs of the Services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the Manager sustaining a loss before and after the payment of distribution-related expenses by the Manager for each Fund. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the Manager represented that, among other matters, the difference is attributable to the fact that the Manager does not perform administrative services for non-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the Funds that were in place during the last fiscal year. The Board further considered that, with respect to each Fund, the applicable Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager. In addition, the Board considered that the Manager receives fees for overseeing the securities lending program on behalf of each Fund. The Board also noted that certain share classes of the Funds maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by each subadvisor in connection with its investment advisory services to a Fund, the Board considered representations made by each subadvisor that the fee rate negotiated by the Manager is favorable relative to the fee rates that the subadvisor charges for any comparable client accounts. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
58
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as each Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints with respect to each Fund’s subadvisory fee rate.
In addition, the Board noted the Manager’s representation that the Management Agreement contains fee schedule breakpoints at higher asset levels with respect to each Fund. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for each Fund provide for a reasonable sharing of benefits from any economies of scale with each Fund.
Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisors’ investment process and expanding the level of assets under management by the Manager and the subadvisors. The Board also considered that the Manager may invest the Funds’ cash balances and cash collateral provided by the borrowers of the Funds’ securities in the American Beacon U.S. Government Money Market Select Fund, which the Manager manages directly. In addition, the Board noted that SGA benefits from soft dollar arrangements for proprietary and/or third-party research. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to Each Fund
The performance comparisons below were made in comparison to each Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top twenty percent of the universe based on performance and the 5th Quintile representing the bottom twenty percent of the universe based on performance. References below to each Fund’s Broadridge performance universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events and not necessarily reflective of manager skill.
The expense comparisons below were made in comparison to each Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the top twenty percent of the universe or group based on lowest total expense and the 5th Quintile representing the bottom twenty percent of the universe or group based on highest total expense. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered each Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisors’ use of soft dollars was requested from the Manager and was considered by the Trustees.
59
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Additional Considerations and Conclusions with Respect to the American Beacon Acadian Emerging Markets Managed Volatility Fund
In considering the renewal of the Management Agreement and Investment Advisory Agreement with Acadian for the Acadian Fund, the Trustees considered the following additional factors:
Broadridge Total Expense Analysis Excluding 12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 4th Quintile | |
Compared to Broadridge Expense Universe | 4th Quintile | |
Morningstar Fee Level Ranking – Institutional Class | Above Average Expense Ratio |
Broadridge and Morningstar Performance Analysis (three-year period ended December 31, 2017)
Compared to Broadridge Performance Universe | 5th Quintile | |
Compared to Morningstar Category | 5th Quintile |
The Trustees also considered: (1) management’s explanation that Acadian’s defensive investment process is designed to construct a portfolio of securities that exhibit less volatility than is typical of emerging markets, and that the Fund is likely to underperform when emerging markets are less volatile; (2) management’s representation regarding the challenges associated with identifying a peer group for evaluating the Fund’s expenses and performance as none of the funds in the Fund’s Broadridge expense group, expense universe or performance universe or Morningstar category pursue a comparable investment strategy; (3) information provided by Acadian regarding fee rates charged for managing accounts in the same strategy as the subadvisor manages the Fund; and (4) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management Agreement and Investment Advisory Agreement are fair and reasonable; and (2) determined that the Acadian Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund.
Additional Considerations and Conclusions with Respect to the American Beacon SGA Global Growth Fund
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with SGA for the SGA Fund, the Trustees considered the following additional factors:
Broadridge Total Expense Analysis Excluding 12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 3rd Quintile | |
Compared to Broadridge Expense Universe | 2nd Quintile | |
Morningstar Fee Level Ranking – Institutional Class | Average Expense Ratio |
Broadridge and Morningstar Performance Analysis (five-year period ended December 31, 2017)
Compared to Broadridge Performance Universe | 2nd Quintile | |
Compared to Morningstar Category | 2nd Quintile |
The Trustees also considered: (1) information provided by SGA regarding fee rates charged for managing accounts in the same strategy as the subadvisor manages the Fund; (2) that the Fund acquired all of the assets of the SGA Global Growth Fund (the “Acquired Fund”), a series of the Investment Managers Series Trust, on October 7, 2013, and that the Fund’s performance prior to that date is that of the Acquired Fund; and (3) the Manager’s recommendation to continue to retain the subadvisor.
60
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and the subadvisor under the Management Agreement and Investment Advisory Agreement are fair and reasonable; and (2) determined that the SGA Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund.
Approval of New Investment Advisory Agreement for American Beacon SGA Global Growth Fund
At its June 5-6, 2018 meetings, the Board considered the approval of a new investment advisory agreement among the Manager, SGA, and the Trust, on behalf of the SGA Fund (“New Agreement”). The Board was advised that SGA was expected to undergo a change of control on or about June 30, 2018, and that the change in control would result in an assignment and the automatic termination of the existing Investment Advisory Agreement among the Manager, SGA and the Trust, on behalf of the SGA Fund (“Existing Agreement”).
Prior to the June 5-6, 2018 meetings, information was provided to the Board by SGA and the Manager regarding the change of control and the New Agreement. In addition, information was provided to the Board by SGA and the Manger prior to the Board’s May 18, 2018 and June 5-6, 2018 meetings in connection with the Board’s review of the Existing Agreement. In connection with its consideration of the New Agreement, the Board considered that the New Agreement would contain the same terms and conditions as the Existing Agreement and that the services provided by SGA to the SGA Fund and the fee rate paid by the SGA Fund to SGA would remain unchanged. The Board also considered that the individuals who currently provide portfolio management services to the SGA Fund would remain the same after the change in control. Therefore, the Board considered certain information provided in connection with its review of the Existing Agreement in determining whether to approve the New Agreement.
Based on the foregoing considerations, the Board, including a majority of Trustees who are not “interested persons” of the SGA Fund, the Manager or SGA, as that term is defined in the Investment Company Act of 1940, as amended, concluded that the approval of the New Agreement was in the best interests of the SGA Fund and approved the New Agreement.
61
Delivery of Documents
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If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
![]() | ![]() | |
By E-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website at www.americanbeaconfunds.com | |
By Telephone: Call (800) 658-5811 | By Mail: American Beacon Funds 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, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (800)-SEC-0330. A complete schedule of the American Beacon Acadian Emerging Markets Managed Volatility Fund’s portfolio holdings is also available at www.americanbeaconfunds.com approximately sixty days after the end of each quarter. A complete schedule of the American Beacon SGA Global Growth Fund’s portfolio holdings is also available on the website approximately twenty days after the end of each month. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts | TRANSFER AGENT DST Asset Manager Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Boston, Massachusetts | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, 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 Acadian Emerging Markets Managed Volatility Fund and American Beacon SGA Global Growth Fund are service marks of American Beacon Advisors, Inc.
SAR 7/18
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.
GROSVENOR LONG/SHORT FUND
Because the Fund may invest in fewer issuers than a more diversified portfolio, the fluctuating value of a single holding may have a greater effect on the value of the Fund. The Fund may have high portfolio turnover risk, which could increase the Fund’s transaction costs and possibly have a negative impact on performance. Investing in small- or mid-capitalization stocks may involve greater volatility and lower liquidity than larger company stocks. Investing in foreign securities may involve heightened risk due to currency fluctuations and economic and political risks. Investing in derivative instruments involves liquidity, credit, interest rate and market risks and in some cases the addition of financial leverage, which can magnify these risks. Short sales involve special risks, including greater reliance on the sub-advisor’s ability to accurately anticipate the future value of a security or instrument; the Fund’s losses are potentially unlimited in a short sale.
NUMERIC INTEGRATED ALPHA FUND
Short sales involve special risks, including greater reliance on the sub-advisor’s ability to accurately anticipate the future value of a security or instrument; the Fund’s losses are potentially unlimited in a short sale. Investing in derivative instruments involves liquidity, credit, interest rate and market risks and in some cases the addition of financial leverage, which can magnify these risks. Investing in foreign and emerging market securities may involve heightened risk due to currency fluctuations and economic and political risks. Because the Fund may invest in fewer issuers than a more diversified portfolio, the fluctuating value of a single holding may have a greater effect on the value of the Fund. The Fund may have high portfolio turnover risk, which could increase the Fund’s transaction costs and possibly have a negative impact on performance. Investing in small- or mid-capitalization stocks may involve greater volatility and lower liquidity than larger company stocks.
Please see the prospectus for a complete discussion of the Funds’ risks. There can be no assurances that the investment objectives of the Funds 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 each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions, and, therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | July 31, 2018 |
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Disclosure Regarding Approval of the Management and Investment Advisory Agreements | 88 |
Back Cover |
![]() | Dear Shareholders,
Since 1986, American Beacon has endeavored to provide investors with a disciplined approach to realizing long-term investment goals: Institutional wisdom + earned alpha = enduring value.
u We believe institutional wisdom comes from having more than 30 years of experience as manager of one of the country’s largest pension plans. As a fiduciary, we have built an investment due-diligence and oversight infrastructure, which we leverage across all our investment products. When selecting our investment managers, we focus on their people, processes and performance. We perform due-diligence reviews with each investment manager on a quarterly basis.
u We believe earned alpha – that is, the returns of an actively managed |
fund beyond a benchmark – comes from employing and engaging investment managers we believe are best-in-class and who have defined, repeatable and proven processes. Our experience has shown us that, while it’s important to be mindful of short-term considerations, having a long-term focus helps manage expectations, mitigate risks and realize goals. Thus, we seek relationships with leading investment managers who display a willingness to undertake time-intensive research strategies. The resulting investment portfolios are differentiated from their peers and allow incremental changes to help address periods of market volatility and economic uncertainty. |
u | We believe enduring value comes from “putting a portfolio in place and sticking with the plan.” Our mutual funds provide you with access to institutional-quality, research-intensive investment managers with diverse processes and styles. In the long run, having such access and spending time in the market – rather than trying to time the market – may better position you to reach your long-term investment goals. |
During periods of market volatility and economic uncertainty – such as what we’ve seen thus far in 2018 – investing for the long term requires conviction. It isn’t about identifying and anticipating the next big market move. It’s about identifying the right investment products for riding out those moves. It’s about developing an approach based on long-term participation, while seeking some measure of protection against ongoing volatility.
As a manager of managers, we strive to provide investment products that may enable investors to participate during market upswings while potentially insulating against market downswings. Many of the sub-advisors to our mutual funds pursue upside capture and/or downside protection using proprietary strategies. The investment teams behind our mutual funds seek to produce consistent, long-term results rather than focus only on short-term movements in the markets. In managing our investment products, we emphasize identifying opportunities that offer the potential for high quality and lower risk.
At American Beacon, our approach is more than a concept. It’s the cornerstone of our culture. And we strive to apply it at every turn as we seek to provide a well-diversified line of investment products for your portfolio.
Thank you for your continued interest in American Beacon. 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 Grosvenor Long/Short FundSM
Performance Overview
July 31, 2018 (Unaudited)
The Investor Class of the American Beacon Grosvenor Long/Short Fund (the “Fund”) returned -3.58% for the six-month period ending July 31, 2018. The Fund underperformed the MSCI World Index (the “Index”) return of -1.63% for the same period.
Total Returns for the Period ended July 31, 2018 |
| |||||||||||||||||||||
Ticker | 6 Months* | 1 Year | Since Inception 10/1/2015 | |||||||||||||||||||
Institutional Class (1,4) | GVRIX | (3.37 | )% | 5.77 | % | 6.70 | % | |||||||||||||||
Y Class (1,4) | GVRYX | (3.38 | )% | 5.68 | % | 6.61 | % | |||||||||||||||
Investor Class (1,4) | GVRPX | (3.58 | )% | 5.34 | % | 6.28 | % | |||||||||||||||
A without Sales Charge (1,4) | GSVAX | (3.50 | )% | 5.34 | % | 6.28 | % | |||||||||||||||
A with Sales Charge (1,4) | GSVAX | (9.04 | )% | (0.68 | )% | 4.08 | % | |||||||||||||||
C without Sales Charge (1,4) | GVRCX | (3.93 | )% | 4.45 | % | 5.46 | % | |||||||||||||||
C with Sales Charge (1,4) | GVRCX | (4.93 | )% | 3.45 | % | 5.46 | % | |||||||||||||||
Ultra Class (1,2,4) | GVRUX | (3.28 | )% | 5.86 | % | 6.74 | % | |||||||||||||||
MSCI World Index (3) | (1.63 | )% | 11.88 | % | 13.52 | % |
* | 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 calculated based on the published end of day net asset values as of the 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. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than the actual returns shown since inception. 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. | Fund performance for the periods represent the returns achieved by the Institutional Class from 10/1/15 through 11/14/17, the inception date of the Ultra Class, and the returns of the Ultra Class since its inception. Expenses of the Ultra Class are lower than the Institutional Class. As a result, total returns shown may be lower than they would have been had the Ultra Class been in existence since 10/1/15. A portion of the fees charged to the Ultra Class of the Fund has been waived since class inception. Performance prior to waiving fees was lower than actual returns shown. |
3. | The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. One cannot directly invest in an index. |
4. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, C and Ultra Class shares were 4.29%, 4.76%, 5.02%, 5.06%, 5.80%, and 4.33%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
During the period, three out of five sub-advisers in the Fund generated negative performance. Losses were driven by long positions in the portfolio during the period, with short positions and hedges mitigating losses.
A source of detraction included exposure to the consumer, industrials and energy sectors. The Fund also experienced losses during the steep equity market sell-off early in the period that occurred in conjunction with inflation fears and historically high valuation levels. Additionally, idiosyncratic developments in residential real estate companies and consumer home positions resulted in some negative performance.
The Fund’s lead sub-advisor, Grosvenor Capital Management, continues to implement its thorough due-diligence process that addresses Investment Strategy & Research, Risk Management, and Operational Effectiveness among the Fund’s sub-advisors. These efforts, and the Fund’s investment process, have remained consistent since its inception.
2
American Beacon Grosvenor Long/Short FundSM
Performance Overview
July 31, 2018 (Unaudited)
Top 10 Long Exposures (% Net Assets) |
| |||||||
LKQ Corp. | 1.5 | |||||||
FirstEnergy Corp. | 1.5 | |||||||
Fortune Brands Home & Security, Inc. | 1.4 | |||||||
Teck Resources Ltd. | 1.3 | |||||||
Exelon Corp. | 1.2 | |||||||
Marriott International, Inc. | 1.2 | |||||||
Restaurant Brands International, Inc. | 1.2 | |||||||
Alphabet, Inc. | 1.2 | |||||||
SS&C Technologies Holdings, Inc. | 1.2 | |||||||
Masco Corp. | 1.2 | |||||||
Top 10 Short Exposures (% Net Assets) |
| |||||||
Utilities Select Sector SPDR Fund | (1.2) | |||||||
Consumer Discretionary Select Sector SPDR Fund | (1.0) | |||||||
Vanguard Total International Bond ETF | (1.0) | |||||||
Health Care Select Sector SPDR Fund | (0.7) | |||||||
Technology Select Sector SPDR Fund | (0.6) | |||||||
SPDR S&P Retail ETF | (0.5) | |||||||
Consumer Staples Select Sector SPDR Fund | (0.5) | |||||||
SPDR S&P 500 ETF Trust | (0.5) | |||||||
iShares Russell 2000 ETF | (0.5) | |||||||
Public Service Enterprise Group, Inc. | (0.5) | |||||||
Net Sector Exposures (% Investments) |
| |||||||
Consumer Discretionary | 29.3 | |||||||
Financials | 22.7 | |||||||
Information Technology | 20.1 | |||||||
Industrials | 15.4 | |||||||
Utilities | 9.7 | |||||||
Materials | 8.0 | |||||||
Energy | 4.1 | |||||||
Consumer Staples | 2.3 | |||||||
Health Care | 1.7 | |||||||
Investment Companies | 1.6 | |||||||
Real Estate | 1.4 | |||||||
Telecommunication Services | 1.2 | |||||||
Exchange-Traded Instruments | (17.5) | |||||||
Fund Level Exposure (% Net Assets) | Fund | |||||||
Net Exposure | 56.3 | |||||||
Gross Exposure | 108.3 | |||||||
Long Exposure | 82.3 | |||||||
Short Exposure | 26.0 |
3
American Beacon Numeric Integrated Alpha FundSM
Performance Overview
July 31, 2018 (Unaudited)
The Investor Class of the American Beacon Numeric Integrated Alpha Fund (the “Fund”) returned -2.71% for the six months ended July 31, 2018. The Fund underperformed the ICE BofA/ML 3-Month Treasury Bill Index (the “Index”) return of 0.85% for the period.
Total Returns for the Period ended July 31, 2018 |
| |||||||||||||||||||||
Ticker | 6 Months* | 1 Year | Since Inception | |||||||||||||||||||
Institutional Class (1,3) | NIAIX | (2.59 | )% | (1.90 | )% | (0.47 | )% | |||||||||||||||
Y Class (1,3) | NIAYX | (2.60 | )% | (1.93 | )% | (0.49 | )% | |||||||||||||||
Investor Class (1,3) | NIAPX | (2.71 | )% | (2.21 | )% | (0.76 | )% | |||||||||||||||
Ultra Class (1,3) | NIAUX | (2.50 | )% | (1.71 | )% | (0.25 | )% | |||||||||||||||
ICE BofAML 3-Month Treasury Bill Index (2) | 0.85 | % | 1.43 | % | 1.08 | % |
* | 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 calculated based on the published end of day net asset values as of the 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. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than the actual returns shown since inception. |
2. | The ICE BofAML 3-Month Treasury Bill Index is designed to measure the total return on cash, including price and interest income, based on short-term government Treasury bills of about 90-day maturity. One cannot directly invest in an index. |
3. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, and Ultra Class shares were 6.17%, 6.27%, 6.55%, and 6.07%, 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. |
Within the Fund, the Core Market Neutral strategy was the largest detractor from returns during the period. This strategy develops a market-neutral, long-short equity portfolio that seeks to identify mispriced securities caused by valuation discrepancies, investor sentiment, seasonal trends and other events that cause equity prices to fluctuate around fundamental valuations. Industry-specific models are also employed within various regions and sectors; thus, the primary detractors over the period were the U.S. region and Consumer Discretionary components. Conversely, the UK region contributed positively, as did the Energy and Consumer Staples sectors which added slightly to performance.
The Fund’s Dynamic Beta component also detracted from returns during the period. This strategy uses global equity index and U.S. Treasury futures to add long exposure to the Fund when the models identify opportunity. During this period, exposure to EAFE and Emerging Market equities hurt performance.
The Country Timing component was negative for the period. This is a market-neutral strategy utilizing Country ETFs to combine traditional value and momentum signals with top-down fundamentals. The Fund seeks to benefit when prices revert back to more appropriate levels.
Looking forward, the Fund’s sub-advisor will continue to implement its systematic investment process utilizing a fundamental approach that combines a diversified set of uncorrelated quantitative strategies. This investment process has remained consistent since the Fund’s inception.
4
American Beacon Numeric Integrated Alpha FundSM
Performance Overview
July 31, 2018 (Unaudited)
Top Ten Long Exposures (% Net Assets) |
| |||||||
Health Care Select Sector SPDR Fund | 2.0 | |||||||
Technology Select Sector SPDR Fund | 1.9 | |||||||
Forest City Realty Trust, Inc., Class A | 1.4 | |||||||
Assured Guaranty Ltd. | 1.4 | |||||||
Atkore International Group, Inc. | 1.3 | |||||||
QTS Realty Trust, Inc., Class A | 1.3 | |||||||
Equinix, Inc., REIT | 1.3 | |||||||
Simon Property Group, Inc. | 1.3 | |||||||
Citrix Systems, Inc. | 1.2 | |||||||
Equity LifeStyle Properties, Inc. | 1.2 | |||||||
Total Fund Holdings | 270 | |||||||
Top Ten Short Exposures (% Net Assets) |
| |||||||
Industrial Select Sector SPDR Fund | (2.0) | |||||||
Duke Realty Corp. | (1.3) | |||||||
Tesla, Inc. | (1.3) | |||||||
Adient PLC | (1.3) | |||||||
Baker Hughes a GE Co. | (1.3) | |||||||
Sabra Health Care REIT, Inc. | (1.2) | |||||||
Southern Co. | (1.2) | |||||||
Utilities Select Sector SPDR Fund | (1.2) | |||||||
Seritage Growth Properties | (1.2) | |||||||
Omega Healthcare Investors, Inc. | (1.2) | |||||||
Total Fund Holdings | 161 | |||||||
Sector Exposure (% Equities) | Portfolio Long | Portfolio Short | ||||||
Real Estate | 13.2 | (14.6) | ||||||
Consumer Discretionary | 12.2 | (13.5) | ||||||
Exchange-Traded Instruments | 8.0 | (8.3) | ||||||
Information Technology | 7.7 | (5.3) | ||||||
Industrials | 6.5 | (3.4) | ||||||
Financials | 3.6 | (2.4) | ||||||
Health Care | 3.5 | (1.7) | ||||||
Consumer Staples | 2.5 | (0.9) | ||||||
Utilities | 2.2 | (2.4) | ||||||
Materials | 2.1 | (0.5) | ||||||
Energy | 2.0 | (2.9) | ||||||
Telecommunication Services | 0.7 | (0.1) |
5
Expense Example
July 31, 2018 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution (12b-1) fees, sub-transfer agent fees, and other Fund expenses. The Examples 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 February 1, 2018 through July 31, 2018.
Actual Expenses
The “Actual” lines of the tables provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “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 tables 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 Funds 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) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
6
American Beacon FundsSM
Expense Examples
July 31, 2018 (Unaudited)
Grosvenor Long/Short Fund |
| ||||||||||||||
Beginning Account Value 2/1/2018 | Ending Account Value 7/31/2018 | Expenses Paid During Period 2/1/2018-7/31/2018* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $966.30 | $18.04 | ||||||||||||
Hypothetical** | $1,000.00 | $1,006.40 | $18.41 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $967.10 | $18.53 | ||||||||||||
Hypothetical** | $1,000.00 | $1,006.00 | $18.90 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $965.00 | $20.07 | ||||||||||||
Hypothetical** | $1,000.00 | $1,004.40 | $20.48 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $965.00 | $19.98 | ||||||||||||
Hypothetical** | $1,000.00 | $1,004.50 | $20.38 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $960.70 | $23.58 | ||||||||||||
Hypothetical** | $1,000.00 | $1,000.70 | $24.06 | ||||||||||||
Ultra Class | |||||||||||||||
Actual | $1,000.00 | $967.20 | $17.51 | ||||||||||||
Hypothetical** | $1,000.00 | $1,007.00 | $17.86 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 3.70%, 3.80%, 4.12%, 4.10%, 4.85%, and 3.59% for the Institutional, Y, Investor, A, C, and Ultra 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. |
American Beacon Numeric Integrated Alpha Fund |
| ||||||||||||||
Beginning Account Value 2/1/2018 | Ending Account Value 7/31/2018 | Expenses Paid During Period 2/1/2018-7/31/2018* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $974.10 | $23.74 | ||||||||||||
Hypothetical** | $1,000.00 | $1,000.70 | $24.06 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $974.00 | $24.23 | ||||||||||||
Hypothetical** | $1,000.00 | $1,000.20 | $24.55 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $972.90 | $25.58 | ||||||||||||
Hypothetical** | $1,000.00 | $998.90 | $25.92 | ||||||||||||
Ultra Class | |||||||||||||||
Actual | $1,000.00 | $975.00 | $23.36 | ||||||||||||
Hypothetical** | $1,000.00 | $1,001.10 | $23.67 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 4.85%, 4.95%, 5.23%, and 4.77% for the Institutional, Y, Investor, and Ultra 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. |
7
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
SECURITIES HELD LONG | |||||||||||||||
COMMON STOCKS - 80.68% | |||||||||||||||
Consumer Discretionary - 18.75% | |||||||||||||||
Auto Components - 0.17% | |||||||||||||||
Mountain Commerce Bancorp, Inc.A | 1,722 | $ | 33,699 | ||||||||||||
|
| ||||||||||||||
Automobiles - 0.20% | |||||||||||||||
Harley-Davidson, Inc. | 202 | 8,664 | |||||||||||||
Thor Industries, Inc. | 321 | 30,447 | |||||||||||||
|
| ||||||||||||||
39,111 | |||||||||||||||
|
| ||||||||||||||
Distributors - 1.53% | |||||||||||||||
LKQ Corp.A | 8,929 | 299,300 | |||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 8.01% | |||||||||||||||
Caesars Entertainment Corp.A | 17,542 | 198,225 | |||||||||||||
Carnival Corp. | 2,014 | 119,309 | |||||||||||||
Jack in the Box, Inc. | 245 | 20,639 | |||||||||||||
Marriott International, Inc., Class A | 1,886 | 241,106 | |||||||||||||
Melco Resorts & Entertainment Ltd., ADR | 4,334 | 112,077 | |||||||||||||
Norwegian Cruise Line Holdings Ltd.A | 764 | 38,223 | |||||||||||||
Red Robin Gourmet Burgers, Inc.A | 147 | 6,953 | |||||||||||||
Restaurant Brands International, Inc. | 3,756 | 237,116 | |||||||||||||
Royal Caribbean Cruises Ltd. | 782 | 88,178 | |||||||||||||
SeaWorld Entertainment, Inc.A | 3,904 | 83,155 | |||||||||||||
Starbucks Corp. | 283 | 14,826 | |||||||||||||
Wyndham Destinations, Inc. | 1,150 | 53,038 | |||||||||||||
Wyndham Hotels & Resorts, Inc. | 3,849 | 223,242 | |||||||||||||
Yum China Holdings, Inc. | 406 | 14,649 | |||||||||||||
Yum! Brands, Inc. | 1,422 | 112,751 | |||||||||||||
|
| ||||||||||||||
1,563,487 | |||||||||||||||
|
| ||||||||||||||
Household Durables - 1.61% | |||||||||||||||
Century Communities, Inc.A | 968 | 29,524 | |||||||||||||
DR Horton, Inc. | 102 | 4,457 | |||||||||||||
Lennar Corp., Class A | 572 | 29,898 | |||||||||||||
M/I Homes, Inc.A | 1,318 | 34,083 | |||||||||||||
Mohawk Industries, Inc.A | 1,007 | 189,679 | |||||||||||||
Taylor Morrison Home Corp., Class AA | 1,418 | 27,694 | |||||||||||||
|
| ||||||||||||||
315,335 | |||||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - 1.08% | |||||||||||||||
Amazon.com, Inc.A | 93 | 165,302 | |||||||||||||
Booking Holdings, Inc.A | 14 | 28,402 | |||||||||||||
JD.com, Inc., ADRA | 478 | 17,141 | |||||||||||||
|
| ||||||||||||||
210,845 | |||||||||||||||
|
| ||||||||||||||
Leisure Products - 0.91% | |||||||||||||||
Brunswick Corp. | 2,779 | 178,690 | |||||||||||||
|
| ||||||||||||||
Media - 2.67% | |||||||||||||||
CBS Corp., Class B, NVDR | 3,897 | 205,255 | |||||||||||||
Liberty Media Corp–Liberty SiriusXM, Tracking Stock, Class AA B | 3,886 | 183,186 | |||||||||||||
Liberty Media Corp–Liberty SiriusXM, Tracking Stock, Class CA B | 908 | 42,885 | |||||||||||||
Tribune Media Co., Class A | 1,989 | 67,328 | |||||||||||||
Viacom, Inc., Class B | 782 | 22,717 | |||||||||||||
|
| ||||||||||||||
521,371 | |||||||||||||||
|
| ||||||||||||||
Multiline Retail - 0.85% | |||||||||||||||
Dollar Tree, Inc.A | 484 | 44,180 |
See accompanying notes
8
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 80.68% (continued) | |||||||||||||||
Consumer Discretionary - 18.75% (continued) | |||||||||||||||
Multiline Retail - 0.85% (continued) | |||||||||||||||
JC Penney Co., Inc.A | 5,281 | $ | 12,938 | ||||||||||||
Macy’s, Inc. | 1,591 | 63,210 | |||||||||||||
Nordstrom, Inc. | 444 | 23,270 | |||||||||||||
Target Corp. | 266 | 21,461 | |||||||||||||
|
| ||||||||||||||
165,059 | |||||||||||||||
|
| ||||||||||||||
Specialty Retail - 1.07% | |||||||||||||||
At Home Group, Inc.A | 401 | 14,544 | |||||||||||||
Camping World Holdings, Inc., Class A | 336 | 7,449 | |||||||||||||
Gap, Inc. | 1,315 | 39,674 | |||||||||||||
Hudson Ltd., Class AA | 1,915 | 32,364 | |||||||||||||
Industria de Diseno Textil S.A.C | 324 | 10,620 | |||||||||||||
MarineMax, Inc.A | 3,934 | 73,762 | |||||||||||||
Ulta Salon Cosmetics & Fragrance, Inc.A | 121 | 29,571 | |||||||||||||
|
| ||||||||||||||
207,984 | |||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - 0.65% | |||||||||||||||
Lululemon Athletica, Inc.A | 102 | 12,235 | |||||||||||||
Moncler SpAC | 182 | 8,024 | |||||||||||||
Puma SEC | 170 | 85,255 | |||||||||||||
Swatch Group AGC | 49 | 22,011 | |||||||||||||
|
| ||||||||||||||
127,525 | |||||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 3,662,406 | ||||||||||||||
|
| ||||||||||||||
Consumer Staples - 1.90% | |||||||||||||||
Beverages - 0.68% | |||||||||||||||
Anheuser-Busch InBev S.A., Sponsored ADR | 291 | 29,601 | |||||||||||||
Coca-Cola Co. | 637 | 29,703 | |||||||||||||
Constellation Brands, Inc., Class A | 351 | 73,791 | |||||||||||||
|
| ||||||||||||||
133,095 | |||||||||||||||
|
| ||||||||||||||
Food & Staples Retailing - 0.18% | |||||||||||||||
Koninklijke Ahold Delhaize N.V.C | 800 | 20,328 | |||||||||||||
Kroger Co. | 502 | 14,558 | |||||||||||||
|
| ||||||||||||||
34,886 | |||||||||||||||
|
| ||||||||||||||
Food Products - 0.47% | |||||||||||||||
Mondelez International, Inc., Class A | 2,119 | 91,922 | |||||||||||||
|
| ||||||||||||||
Household Products - 0.57% | |||||||||||||||
Procter & Gamble Co. | 1,379 | 111,533 | |||||||||||||
|
| ||||||||||||||
Total Consumer Staples | 371,436 | ||||||||||||||
|
| ||||||||||||||
Energy - 2.31% | |||||||||||||||
Oil, Gas & Consumable Fuels - 2.31% | |||||||||||||||
China Petroleum & Chemical Corp., Class HC | 59,167 | 56,823 | |||||||||||||
Hess Corp. | 2,037 | 133,688 | |||||||||||||
Kinder Morgan, Inc. | 2,162 | 38,440 | |||||||||||||
Kunlun Energy Co., Ltd.C | 92,488 | 80,074 | |||||||||||||
Newfield Exploration Co.A | 1,325 | 38,054 | |||||||||||||
PetroChina Co., Ltd., Class HC | 40,950 | 31,068 | |||||||||||||
Tellurian, Inc.A | 4,361 | 34,060 | |||||||||||||
YPF S.A., Sponsored ADR | 2,296 | 38,114 | |||||||||||||
|
| ||||||||||||||
450,321 | |||||||||||||||
|
|
See accompanying notes
9
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 80.68% (continued) | |||||||||||||||
Financials - 18.14% | |||||||||||||||
Banks - 10.37% | |||||||||||||||
1st Capital BankA | 2,265 | $ | 41,336 | ||||||||||||
American Business BankA | 2,775 | 111,000 | |||||||||||||
American River Bankshares | 2,042 | 31,957 | |||||||||||||
American Riviera BankA | 2,244 | 42,636 | |||||||||||||
Bank Leumi Le-Israel BMC | 2,607 | 16,334 | |||||||||||||
Bank of Commerce Holdings | 1,923 | 24,037 | |||||||||||||
Bank of Ireland Group PLCC | 6,269 | 53,773 | |||||||||||||
Bank of the James Financial Group, Inc. | 3,536 | 57,460 | |||||||||||||
Bridge Bancorp, Inc. | 3,696 | 132,317 | |||||||||||||
Carter Bank & TrustA | 848 | 15,306 | |||||||||||||
Chemung Financial Corp. | 422 | 18,973 | |||||||||||||
Citigroup, Inc. | 765 | 54,996 | |||||||||||||
Citizens Financial Group, Inc. | 818 | 32,540 | |||||||||||||
Codorus Valley Bancorp, Inc. | 1,123 | 35,071 | |||||||||||||
Commerce West Bank | 1,605 | 41,730 | |||||||||||||
Community Financial Corp. | 293 | 10,188 | |||||||||||||
CYBG PLCC | 12,750 | 57,816 | |||||||||||||
Delmarva Bancshares, Inc.A | 1,704 | 13,973 | |||||||||||||
DNB Financial Corp. | 922 | 31,071 | |||||||||||||
Eagle Financial Services, Inc. | 259 | 9,531 | |||||||||||||
Embassy Bancorp, Inc. | 496 | 8,482 | |||||||||||||
ENB Financial Corp. | 98 | 3,533 | |||||||||||||
Esquire Financial Holdings, Inc.A | 517 | 13,204 | |||||||||||||
Exchange Bank | 145 | 27,115 | |||||||||||||
Farmers & Merchants Bank of Long Beach | 7 | 58,100 | |||||||||||||
First Northern Community BancorpA | 2,518 | 34,622 | |||||||||||||
Highlands Bankshares, Inc.A | 1,314 | 9,632 | |||||||||||||
Hilltop Holdings, Inc. | 3,465 | 72,072 | |||||||||||||
IBERIABANK Corp. | 561 | 46,619 | |||||||||||||
Israel Discount Bank Ltd., Class AC | 6,137 | 19,408 | |||||||||||||
Live Oak Bancshares, Inc. | 2,540 | 72,263 | |||||||||||||
Meridian BankA | 2,438 | 42,446 | |||||||||||||
Metro Bank PLCA C | 2,614 | 109,871 | |||||||||||||
Metropolitan Bank Holding Corp.A | 348 | 17,101 | |||||||||||||
MidSouth Bancorp, Inc. | 3,901 | 55,199 | |||||||||||||
MidWestOne Financial Group, Inc. | 275 | 8,844 | |||||||||||||
Pacific City Financial Corp. | 2,148 | 38,664 | |||||||||||||
Parke Bancorp, Inc. | 658 | 15,529 | |||||||||||||
Peapack Gladstone Financial Corp. | 977 | 32,124 | |||||||||||||
Pinnacle Financial Partners, Inc. | 839 | 52,437 | |||||||||||||
Premier Financial Bancorp, Inc. | 556 | 10,570 | |||||||||||||
Private Bancorp of America, Inc.A | 417 | 10,759 | |||||||||||||
Royal Bank of Scotland Group PLCC | 5,294 | 17,724 | |||||||||||||
Santa Cruz County Bank | 11 | 578 | |||||||||||||
Seacoast Commerce Banc Holdings | 1,185 | 24,008 | |||||||||||||
Shore Bancshares, Inc. | 1,316 | 25,425 | |||||||||||||
Signature Bank | 603 | 66,155 | |||||||||||||
SouthCrest Financial Group, Inc. | 950 | 10,355 | |||||||||||||
State Bank Corp. | 341 | 5,149 | |||||||||||||
Stewardship Financial Corp. | 2,051 | 22,151 | |||||||||||||
Tri City Bankshares Corp. | 1,542 | 33,770 | |||||||||||||
UniCredit SpAC | 7,260 | 128,347 | |||||||||||||
Virginia National Bankshares Corp. | 93 | 4,213 | |||||||||||||
WTB Financial Corp., Class B | 206 | 79,413 | |||||||||||||
Zions Bancorp | 317 | 16,389 | |||||||||||||
|
| ||||||||||||||
2,024,316 | |||||||||||||||
|
|
See accompanying notes
10
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 80.68% (continued) | |||||||||||||||
Financials - 18.14% (continued) | |||||||||||||||
Capital Markets - 1.91% | |||||||||||||||
Amundi S.A.C D | 1,206 | $ | 83,219 | ||||||||||||
CBOE Global Markets, Inc. | 1,764 | 171,337 | |||||||||||||
S&P Global, Inc. | 591 | 118,460 | |||||||||||||
|
| ||||||||||||||
373,016 | |||||||||||||||
|
| ||||||||||||||
Consumer Finance - 2.51% | |||||||||||||||
Ally Financial, Inc. | 6,680 | 178,757 | |||||||||||||
OneMain Holdings, Inc.A | 5,594 | 186,000 | |||||||||||||
Regional Management Corp.A | 3,762 | 124,786 | |||||||||||||
|
| ||||||||||||||
489,543 | |||||||||||||||
|
| ||||||||||||||
Insurance - 0.54% | |||||||||||||||
Progressive Corp. | 1,758 | 105,497 | |||||||||||||
|
| ||||||||||||||
Thrifts & Mortgage Finance - 2.81% | |||||||||||||||
Charter Court Financial Services Group PLCA C D | 10,662 | 47,423 | |||||||||||||
Equitable Group, Inc. | 1,108 | 53,660 | |||||||||||||
Flagstar Bancorp, Inc.A | 2,162 | 73,616 | |||||||||||||
Home Capital Group, Inc.A | 6,089 | 71,616 | |||||||||||||
Luther Burbank Corp. | 5,763 | 62,702 | |||||||||||||
OneSavings Bank PLCC | 7,887 | 44,985 | |||||||||||||
OP BancorpA | 3,122 | 39,431 | |||||||||||||
PennyMac Financial Services, Inc., Class AA | 4,129 | 79,070 | |||||||||||||
Sterling Bancorp, Inc. | 6,014 | 77,100 | |||||||||||||
|
| ||||||||||||||
549,603 | |||||||||||||||
|
| ||||||||||||||
Total Financials | 3,541,975 | ||||||||||||||
|
| ||||||||||||||
Health Care - 1.03% | |||||||||||||||
Health Care Providers & Services - 0.67% | |||||||||||||||
Cigna Corp. | 398 | 71,409 | |||||||||||||
Universal Health Services, Inc., Class B | 491 | 59,951 | |||||||||||||
|
| ||||||||||||||
131,360 | |||||||||||||||
|
| ||||||||||||||
Pharmaceuticals - 0.36% | |||||||||||||||
Pfizer, Inc. | 1,770 | 70,676 | |||||||||||||
|
| ||||||||||||||
Total Health Care | 202,036 | ||||||||||||||
|
| ||||||||||||||
Industrials - 10.77% | |||||||||||||||
Aerospace & Defense - 1.32% | |||||||||||||||
Boeing Co. | 172 | 61,284 | |||||||||||||
Meggitt PLCC | 7,080 | 52,945 | |||||||||||||
TransDigm Group, Inc. | 385 | 144,583 | |||||||||||||
|
| ||||||||||||||
258,812 | |||||||||||||||
|
| ||||||||||||||
Airlines - 0.72% | |||||||||||||||
Deutsche Lufthansa AGC | 128 | 3,591 | |||||||||||||
Southwest Airlines Co. | 1,760 | 102,362 | |||||||||||||
United Continental Holdings, Inc.A | 433 | 34,813 | |||||||||||||
|
| ||||||||||||||
140,766 | |||||||||||||||
|
| ||||||||||||||
Building Products - 2.65% | |||||||||||||||
Builders FirstSource, Inc.A | 866 | 15,527 | |||||||||||||
Fortune Brands Home & Security, Inc. | 4,688 | 271,904 | |||||||||||||
Masco Corp. | 5,715 | 230,486 | |||||||||||||
|
| ||||||||||||||
517,917 | |||||||||||||||
|
|
See accompanying notes
11
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 80.68% (continued) | |||||||||||||||
Industrials - 10.77% (continued) | |||||||||||||||
Commercial Services & Supplies - 0.67% | |||||||||||||||
Advanced Disposal Services, Inc.A | 3,159 | $ | 77,712 | ||||||||||||
Waste Connections, Inc. | 684 | 53,085 | |||||||||||||
|
| ||||||||||||||
130,797 | |||||||||||||||
|
| ||||||||||||||
Construction & Engineering - 0.12% | |||||||||||||||
Beijing Urban Construction Design & Development Group Co., Ltd., Class HC D | 51,610 | 23,407 | |||||||||||||
|
| ||||||||||||||
Electrical Equipment - 1.02% | |||||||||||||||
Bloom Energy Corp., Class AA | 1,653 | 38,101 | |||||||||||||
Enphase Energy, Inc.A | 9,159 | 54,496 | |||||||||||||
Melrose Industries PLCC | 37,313 | 105,791 | |||||||||||||
|
| ||||||||||||||
198,388 | |||||||||||||||
|
| ||||||||||||||
Industrial Conglomerates - 0.44% | |||||||||||||||
Siemens AGC | 612 | 86,402 | |||||||||||||
|
| ||||||||||||||
Machinery - 2.12% | |||||||||||||||
Chart Industries, Inc.A | 798 | 62,316 | |||||||||||||
China Conch Venture Holdings Ltd.C | 17,915 | 67,501 | |||||||||||||
CIMC Enric Holdings Ltd.C | 7,890 | 7,209 | |||||||||||||
Middleby Corp.A | 1,391 | 142,550 | |||||||||||||
Navistar International Corp.A | 2,419 | 104,186 | |||||||||||||
Stanley Black & Decker, Inc. | 207 | 30,940 | |||||||||||||
|
| ||||||||||||||
414,702 | |||||||||||||||
|
| ||||||||||||||
Marine - 0.12% | |||||||||||||||
AP Moller – Maersk A/S, Class BC | 11 | 15,813 | |||||||||||||
Star Bulk Carriers Corp.A | 523 | 7,003 | |||||||||||||
|
| ||||||||||||||
22,816 | |||||||||||||||
|
| ||||||||||||||
Road & Rail - 0.59% | |||||||||||||||
Norfolk Southern Corp. | 280 | 47,320 | |||||||||||||
Union Pacific Corp. | 449 | 67,301 | |||||||||||||
|
| ||||||||||||||
114,621 | |||||||||||||||
|
| ||||||||||||||
Trading Companies & Distributors - 1.00% | |||||||||||||||
AerCap Holdings N.V.A | 1,342 | 75,326 | |||||||||||||
Air Lease Corp. | 1,980 | 87,041 | |||||||||||||
BOC Aviation Ltd.C D | 5,147 | 32,391 | |||||||||||||
|
| ||||||||||||||
194,758 | |||||||||||||||
|
| ||||||||||||||
Total Industrials | 2,103,386 | ||||||||||||||
|
| ||||||||||||||
Information Technology - 11.97% | |||||||||||||||
Communications Equipment - 0.62% | |||||||||||||||
Palo Alto Networks, Inc.A | 611 | 121,137 | |||||||||||||
|
| ||||||||||||||
121,137 | |||||||||||||||
|
| ||||||||||||||
Electronic Equipment, Instruments & Components - 0.24% | |||||||||||||||
Landis+Gyr Group AGA C | 736 | 47,003 | |||||||||||||
|
| ||||||||||||||
Internet Software & Services - 3.42% | |||||||||||||||
Alibaba Group Holding Ltd., Sponsored ADRA | 20 | 3,745 | |||||||||||||
Alphabet, Inc., Class AA | 193 | 236,853 | |||||||||||||
Five9, Inc.A | 1,883 | 60,068 | |||||||||||||
GrubHub, Inc.A | 92 | 11,214 |
See accompanying notes
12
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 80.68% (continued) | |||||||||||||||
Information Technology - 11.97% (continued) | |||||||||||||||
Internet Software & Services - 3.42% (continued) | |||||||||||||||
Hortonworks, Inc.A | 3,881 | $ | 67,607 | ||||||||||||
Spotify Technology S.A.A | 874 | 159,793 | |||||||||||||
Twitter, Inc.A | 4,014 | 127,926 | |||||||||||||
|
| ||||||||||||||
667,206 | |||||||||||||||
|
| ||||||||||||||
IT Services - 3.59% | |||||||||||||||
Mastercard, Inc., Class A | 481 | 95,238 | |||||||||||||
Pagseguro Digital Ltd., Class AA | 2,037 | 54,836 | |||||||||||||
PayPal Holdings, Inc.A | 2,761 | 226,789 | |||||||||||||
Visa, Inc., Class A | 818 | 111,853 | |||||||||||||
Worldpay, Inc., Class AA | 2,597 | 213,447 | |||||||||||||
|
| ||||||||||||||
702,163 | |||||||||||||||
|
| ||||||||||||||
Software - 3.71% | |||||||||||||||
CDK Global, Inc. | 2,431 | 151,816 | |||||||||||||
LINE Corp., Sponsored ADRA | 2,946 | 128,210 | |||||||||||||
Microsoft Corp. | 847 | 89,850 | |||||||||||||
Red Hat, Inc.A | 616 | 86,998 | |||||||||||||
ServiceNow, Inc.A | 175 | 30,793 | |||||||||||||
SS&C Technologies Holdings, Inc. | 4,461 | 236,745 | |||||||||||||
|
| ||||||||||||||
724,412 | |||||||||||||||
|
| ||||||||||||||
Technology Hardware, Storage & Peripherals - 0.39% | |||||||||||||||
Apple, Inc. | 248 | 47,192 | |||||||||||||
NetApp, Inc. | 374 | 28,992 | |||||||||||||
|
| ||||||||||||||
76,184 | |||||||||||||||
|
| ||||||||||||||
Total Information Technology | 2,338,105 | ||||||||||||||
|
| ||||||||||||||
Materials - 5.02% | |||||||||||||||
Chemicals - 1.19% | |||||||||||||||
Mosaic Co. | 877 | 26,406 | |||||||||||||
Sherwin-Williams Co. | 467 | 205,821 | |||||||||||||
|
| ||||||||||||||
232,227 | |||||||||||||||
|
| ||||||||||||||
Construction Materials - 0.40% | |||||||||||||||
Buzzi Unicem SpAC | 582 | 12,822 | |||||||||||||
Forterra, Inc.A | 4,857 | 43,956 | |||||||||||||
Loma Negra Cia Industrial Argentina S.A., Sponsored ADRA | 1,925 | 21,637 | |||||||||||||
|
| ||||||||||||||
78,415 | |||||||||||||||
|
| ||||||||||||||
Containers & Packaging - 0.11% | |||||||||||||||
Ball Corp. | 577 | 22,486 | |||||||||||||
|
| ||||||||||||||
Metals & Mining - 2.99% | |||||||||||||||
China Molybdenum Co., Ltd., Class HC | 27,546 | 14,029 | |||||||||||||
First Quantum Minerals Ltd. | 9,280 | 144,745 | |||||||||||||
Southern Copper Corp. | 1,043 | 51,482 | |||||||||||||
Teck Resources Ltd., Class B | 9,511 | 247,571 | |||||||||||||
thyssenkrupp AGC | 1,998 | 53,265 | |||||||||||||
Warrior Met Coal, Inc. | 2,802 | 72,488 | |||||||||||||
|
| ||||||||||||||
583,580 | |||||||||||||||
|
|
See accompanying notes
13
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 80.68% (continued) | |||||||||||||||
Materials - 5.02% (continued) | |||||||||||||||
Paper & Forest Products - 0.33% | |||||||||||||||
Canfor Corp.A | 2,171 | $ | 47,597 | ||||||||||||
West Fraser Timber Co., Ltd. | 268 | 16,647 | |||||||||||||
|
| ||||||||||||||
64,244 | |||||||||||||||
|
| ||||||||||||||
Total Materials | 980,952 | ||||||||||||||
|
| ||||||||||||||
Real Estate - 0.97% | |||||||||||||||
Real Estate Management & Development - 0.97% | |||||||||||||||
Realogy Holdings Corp. | 8,688 | 190,007 | |||||||||||||
|
| ||||||||||||||
Total Real Estate | 190,007 | ||||||||||||||
|
| ||||||||||||||
Telecommunication Services - 0.68% | |||||||||||||||
Diversified Telecommunication Services - 0.14% | |||||||||||||||
China Unicom Hong Kong Ltd.C | 21,416 | 26,456 | |||||||||||||
|
| ||||||||||||||
Wireless Telecommunication Services - 0.54% | |||||||||||||||
TIM Participacoes S.A., ADRA | 3,148 | 51,690 | |||||||||||||
XL Axiata Tbk PTA C | 282,937 | 54,034 | |||||||||||||
|
| ||||||||||||||
105,724 | |||||||||||||||
|
| ||||||||||||||
Total Telecommunication Services | 132,180 | ||||||||||||||
|
| ||||||||||||||
Utilities - 9.14% | |||||||||||||||
Electric Utilities - 6.45% | |||||||||||||||
Alliant Energy Corp. | 1,162 | 49,931 | |||||||||||||
Avangrid, Inc. | 3,580 | 179,215 | |||||||||||||
Edison International | 2,066 | 137,658 | |||||||||||||
El Paso Electric Co. | 445 | 27,723 | |||||||||||||
Exelon Corp. | 5,720 | 243,100 | |||||||||||||
FirstEnergy Corp. | 8,157 | 289,003 | |||||||||||||
Pampa Energia S.A., Sponsored ADRA | 669 | 28,198 | |||||||||||||
PG&E Corp. | 2,084 | 89,779 | |||||||||||||
Portland General Electric Co. | 1,192 | 54,069 | |||||||||||||
PPL Corp. | 5,595 | 160,968 | |||||||||||||
|
| ||||||||||||||
1,259,644 | |||||||||||||||
|
| ||||||||||||||
Gas Utilities - 0.64% | |||||||||||||||
Beijing Enterprises Holdings Ltd.C | 4,890 | 23,809 | |||||||||||||
China Resources Gas Group Ltd.C | 11,260 | 53,434 | |||||||||||||
ENN Energy Holdings Ltd.C | 4,663 | 47,508 | |||||||||||||
|
| ||||||||||||||
124,751 | |||||||||||||||
|
| ||||||||||||||
Independent Power & Renewable Electricity Producers - 1.00% | |||||||||||||||
AES Corp. | 9,728 | 129,966 | |||||||||||||
NRG Energy, Inc. | 731 | 23,151 | |||||||||||||
Vistra Energy Corp.A | 1,827 | 41,290 | |||||||||||||
|
| ||||||||||||||
194,407 | |||||||||||||||
|
| ||||||||||||||
Multi-Utilities - 0.63% | |||||||||||||||
RWE AGC | 4,727 | 124,022 | |||||||||||||
|
| ||||||||||||||
124,022 | |||||||||||||||
|
| ||||||||||||||
Water Utilities - 0.42% | |||||||||||||||
Beijing Enterprises Water Group Ltd.A C | 99,976 | 54,675 | |||||||||||||
Guangdong Investment Ltd.C | 16,417 | 28,276 | |||||||||||||
|
| ||||||||||||||
82,951 | |||||||||||||||
|
| ||||||||||||||
Total Utilities | 1,785,775 | ||||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $14,933,622) | 15,758,579 | ||||||||||||||
|
|
See accompanying notes
14
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
INVESTMENT COMPANIES - 0.92% (Cost $149,273) | |||||||||||||||
Closed-End Funds - 0.92% | |||||||||||||||
Altaba, Inc.A | 2,435 | $ | 178,851 | ||||||||||||
|
| ||||||||||||||
EXCHANGE-TRADED INSTRUMENTS - 0.69% (Cost $130,728) | |||||||||||||||
Exchange-Traded Funds - 0.69% | |||||||||||||||
iShares China Large-Cap ETF | 3,083 | 134,480 | |||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 5.52% (Cost $1,079,034) | |||||||||||||||
Investment Companies - 5.52% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 1.82%E F | 1,079,034 | 1,079,034 | |||||||||||||
|
| ||||||||||||||
TOTAL SECURITIES HELD LONG (Cost $16,292,657) | 17,150,944 | ||||||||||||||
|
| ||||||||||||||
SECURITIES HELD SHORT | |||||||||||||||
COMMON STOCKS - (15.49%) | |||||||||||||||
Consumer Discretionary - (2.29%) | |||||||||||||||
Auto Components - (0.01%) | |||||||||||||||
BorgWarner, Inc. | (19 | ) | (875 | ) | |||||||||||
Delphi Technologies PLC | (19 | ) | (858 | ) | |||||||||||
Faurecia S.A.C | (11 | ) | (747 | ) | |||||||||||
|
| ||||||||||||||
(2,480 | ) | ||||||||||||||
|
| ||||||||||||||
Automobiles - (0.42%) | |||||||||||||||
Ferrari N.V. | (186 | ) | (24,667 | ) | |||||||||||
Ford Motor Co. | (1,455 | ) | (14,608 | ) | |||||||||||
Tesla, Inc.A | (140 | ) | (41,740 | ) | |||||||||||
|
| ||||||||||||||
(81,015 | ) | ||||||||||||||
|
| ||||||||||||||
Diversified Consumer Services - (0.04%) | |||||||||||||||
Sotheby’sA | (125 | ) | (6,639 | ) | |||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - (0.19%) | |||||||||||||||
Hilton Hotels Corp. | (92 | ) | (7,112 | ) | |||||||||||
Hilton Worldwide Holdings, Inc. | (80 | ) | (6,293 | ) | |||||||||||
MGM Resorts International | (468 | ) | (14,681 | ) | |||||||||||
Wynn Macau Ltd.C | (794 | ) | (2,348 | ) | |||||||||||
Wynn Resorts Ltd. | (44 | ) | (7,338 | ) | |||||||||||
|
| ||||||||||||||
(37,772 | ) | ||||||||||||||
|
| ||||||||||||||
Household Durables - (0.44%) | |||||||||||||||
DR Horton, Inc. | (246 | ) | (10,750 | ) | |||||||||||
Leggett & Platt, Inc. | (14 | ) | (610 | ) | |||||||||||
LGI Homes, Inc.A | (300 | ) | (15,507 | ) | |||||||||||
NVR, Inc.A | (3 | ) | (8,278 | ) | |||||||||||
PulteGroup, Inc. | (839 | ) | (23,903 | ) | |||||||||||
TopBuild Corp.A | (198 | ) | (14,708 | ) | |||||||||||
TRI Pointe Group, Inc.A | (896 | ) | (12,696 | ) | |||||||||||
|
| ||||||||||||||
(86,452 | ) | ||||||||||||||
|
| ||||||||||||||
Media - (0.52%) | |||||||||||||||
Altice USA, Inc., Class AA | (1,092 | ) | (18,706 | ) | |||||||||||
Entercom Communications Corp., Class A | (2,200 | ) | (16,610 | ) | |||||||||||
Live Nation Entertainment, Inc.A | (62 | ) | (3,055 | ) | |||||||||||
ProSiebenSat.1 Media SEC | (913 | ) | (24,696 | ) | |||||||||||
RTL Group S.A.C | (311 | ) | (23,182 | ) | |||||||||||
Walt Disney Co. | (138 | ) | (15,671 | ) | |||||||||||
|
| ||||||||||||||
(101,920 | ) | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
15
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (15.49%) (continued) | |||||||||||||||
Consumer Discretionary - (2.29%) (continued) | |||||||||||||||
Multiline Retail - (0.07%) | |||||||||||||||
Dollarama, Inc. | (161 | ) | $ | (5,817 | ) | ||||||||||
Next PLCC | (89 | ) | (6,930 | ) | |||||||||||
Nordstrom, Inc. | (29 | ) | (1,520 | ) | |||||||||||
|
| ||||||||||||||
(14,267 | ) | ||||||||||||||
|
| ||||||||||||||
Specialty Retail - (0.45%) | |||||||||||||||
AutoNation, Inc.A | (261 | ) | (12,666 | ) | |||||||||||
Best Buy Co., Inc. | (66 | ) | (4,952 | ) | |||||||||||
CarMax, Inc.A | (360 | ) | (26,885 | ) | |||||||||||
Floor & Decor Holdings, Inc., Class AA | (91 | ) | (4,345 | ) | |||||||||||
Hennes & Mauritz AB, Class BC | (1,094 | ) | (17,029 | ) | |||||||||||
Home Depot, Inc. | (15 | ) | (2,963 | ) | |||||||||||
Lumber Liquidators Holdings, Inc.A | (297 | ) | (5,744 | ) | |||||||||||
Monro, Inc. | (97 | ) | (6,543 | ) | |||||||||||
Tiffany & Co. | (53 | ) | (7,291 | ) | |||||||||||
|
| ||||||||||||||
(88,418 | ) | ||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - (0.15%) | |||||||||||||||
Canada Goose Holdings, Inc.A | (56 | ) | (3,214 | ) | |||||||||||
Gildan Activewear, Inc. | (211 | ) | (5,435 | ) | |||||||||||
Hanesbrands, Inc. | (45 | ) | (1,002 | ) | |||||||||||
HUGO BOSS AGC | (41 | ) | (3,695 | ) | |||||||||||
Pandora A/SC | (208 | ) | (14,797 | ) | |||||||||||
|
| ||||||||||||||
(28,143 | ) | ||||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | (447,106 | ) | |||||||||||||
|
| ||||||||||||||
Consumer Staples - (0.61%) | |||||||||||||||
Beverages - (0.13%) | |||||||||||||||
Boston Beer Co., Inc., Class AA | (23 | ) | (6,324 | ) | |||||||||||
Davide Campari-Milano SpAC | (596 | ) | (5,024 | ) | |||||||||||
Molson Coors Brewing Co., Class B | (220 | ) | (14,740 | ) | |||||||||||
|
| ||||||||||||||
(26,088 | ) | ||||||||||||||
|
| ||||||||||||||
Food & Staples Retailing - (0.27%) | |||||||||||||||
Colruyt S.A.C | (120 | ) | (7,170 | ) | |||||||||||
Costco Wholesale Corp. | (17 | ) | (3,718 | ) | |||||||||||
ICA Gruppen ABC | (177 | ) | (5,871 | ) | |||||||||||
Koninklijke Ahold Delhaize N.V.C | (629 | ) | (15,983 | ) | |||||||||||
Loblaw Cos Ltd. | (108 | ) | (5,710 | ) | |||||||||||
Metro, Inc. | (104 | ) | (3,507 | ) | |||||||||||
Wm Morrison Supermarkets PLCC | (2,903 | ) | (9,949 | ) | |||||||||||
|
| ||||||||||||||
(51,908 | ) | ||||||||||||||
|
| ||||||||||||||
Food Products - (0.02%) | |||||||||||||||
Danone S.A.C | (50 | ) | (3,928 | ) | |||||||||||
|
| ||||||||||||||
Household Products - (0.19%) | |||||||||||||||
Colgate-Palmolive Co. | (78 | ) | (5,227 | ) | |||||||||||
Kimberly-Clark Corp. | (276 | ) | (31,425 | ) | |||||||||||
|
| ||||||||||||||
(36,652 | ) | ||||||||||||||
|
| ||||||||||||||
Total Consumer Staples | (118,576 | ) | |||||||||||||
|
| ||||||||||||||
Financials - (5.38%) | |||||||||||||||
Banks - (3.90%) | |||||||||||||||
1st Source Corp. | (612 | ) | (34,615 | ) | |||||||||||
Blue Hills Bancorp, Inc. | (542 | ) | (11,870 | ) |
See accompanying notes
16
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (15.49%) (continued) | |||||||||||||||
Financials - (5.38%) (continued) | |||||||||||||||
Banks - (3.90%) (continued) | |||||||||||||||
Canadian Imperial Bank of Commerce | (253 | ) | $ | (23,090 | ) | ||||||||||
Canadian Western Bank | (1,483 | ) | (41,599 | ) | |||||||||||
City Holding Co. | (427 | ) | (34,365 | ) | |||||||||||
Commerce Bancshares, Inc. | (765 | ) | (51,102 | ) | |||||||||||
Community Bank System, Inc. | (277 | ) | (17,520 | ) | |||||||||||
First Financial Bankshares, Inc. | (1,031 | ) | (58,355 | ) | |||||||||||
German American Bancorp, Inc. | (465 | ) | (17,038 | ) | |||||||||||
Glacier Bancorp, Inc. | (1,264 | ) | (53,973 | ) | |||||||||||
Heritage Financial Corp. | (923 | ) | (32,351 | ) | |||||||||||
Independent Bank Corp. | (551 | ) | (48,708 | ) | |||||||||||
JPMorgan Chase & Co. | (237 | ) | (27,243 | ) | |||||||||||
Lakeland Financial Corp. | (509 | ) | (24,681 | ) | |||||||||||
Laurentian Bank of Canada | (1,201 | ) | (43,042 | ) | |||||||||||
Lloyds Banking Group PLCC | (51,971 | ) | (42,518 | ) | |||||||||||
Royal Bank of Canada | (286 | ) | (22,326 | ) | |||||||||||
S&T Bancorp, Inc. | (410 | ) | (18,352 | ) | |||||||||||
ServisFirst Bancshares, Inc. | (1,186 | ) | (50,109 | ) | |||||||||||
Valley National Bancorp | (566 | ) | (6,594 | ) | |||||||||||
Webster Financial Corp. | (776 | ) | (50,075 | ) | |||||||||||
WesBanco, Inc. | (392 | ) | (19,157 | ) | |||||||||||
Westamerica Bancorp | (560 | ) | (33,611 | ) | |||||||||||
|
| ||||||||||||||
(762,294 | ) | ||||||||||||||
|
| ||||||||||||||
Capital Markets - (0.34%) | |||||||||||||||
Close Brothers Group PLCC | (3,189 | ) | (66,397 | ) | |||||||||||
|
| ||||||||||||||
Consumer Finance - (0.24%) | |||||||||||||||
Discover Financial Services | (234 | ) | (16,710 | ) | |||||||||||
World Acceptance Corp.A | (292 | ) | (29,173 | ) | |||||||||||
|
| ||||||||||||||
(45,883 | ) | ||||||||||||||
|
| ||||||||||||||
Insurance - (0.06%) | |||||||||||||||
First American Financial Corp. | (220 | ) | (12,320 | ) | |||||||||||
|
| ||||||||||||||
Thrifts & Mortgage Finance - (0.84%) | |||||||||||||||
Beneficial Bancorp, Inc. | (1,893 | ) | (30,761 | ) | |||||||||||
Kearny Financial Corp. | (4,785 | ) | (68,665 | ) | |||||||||||
Oritani Financial Corp. | (526 | ) | (8,464 | ) | |||||||||||
PCSB Financial Corp. | (1,519 | ) | (29,894 | ) | |||||||||||
WSFS Financial Corp. | (477 | ) | (27,046 | ) | |||||||||||
|
| ||||||||||||||
(164,830 | ) | ||||||||||||||
|
| ||||||||||||||
Total Financials | (1,051,724 | ) | |||||||||||||
|
| ||||||||||||||
Health Care - (0.06%) | |||||||||||||||
Biotechnology - (0.06%) | |||||||||||||||
AbbVie, Inc. | (62 | ) | (5,719 | ) | |||||||||||
Amgen, Inc. | (13 | ) | (2,555 | ) | |||||||||||
Celgene Corp.A | (36 | ) | (3,243 | ) | |||||||||||
|
| ||||||||||||||
(11,517 | ) | ||||||||||||||
|
| ||||||||||||||
Total Health Care | (11,517 | ) | |||||||||||||
|
| ||||||||||||||
Industrials - (2.09%) | |||||||||||||||
Aerospace & Defense - (0.01%) | |||||||||||||||
Cobham PLCA C | (607 | ) | (996 | ) | |||||||||||
Senior PLCC | (231 | ) | (961 | ) | |||||||||||
|
| ||||||||||||||
(1,957 | ) | ||||||||||||||
|
|
See accompanying notes
17
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (15.49%) (continued) | |||||||||||||||
Industrials - (2.09%) (continued) | |||||||||||||||
Air Freight & Logistics - (0.34%) | |||||||||||||||
FedEx Corp. | (156 | ) | $ | (38,356 | ) | ||||||||||
United Parcel Service, Inc., Class B | (239 | ) | (28,653 | ) | |||||||||||
|
| ||||||||||||||
(67,009 | ) | ||||||||||||||
|
| ||||||||||||||
Airlines - (0.01%) | |||||||||||||||
Norwegian Air Shuttle ASAA C | (28 | ) | (823 | ) | |||||||||||
|
| ||||||||||||||
Building Products - (0.17%) | |||||||||||||||
AO Smith Corp. | (360 | ) | (21,431 | ) | |||||||||||
Johnson Controls International PLC | (26 | ) | (975 | ) | |||||||||||
Simpson Manufacturing Co., Inc. | (135 | ) | (9,849 | ) | |||||||||||
|
| ||||||||||||||
(32,255 | ) | ||||||||||||||
|
| ||||||||||||||
Commercial Services & Supplies - (0.19%) | |||||||||||||||
Cintas Corp. | (29 | ) | (5,930 | ) | |||||||||||
Waste Management, Inc. | (354 | ) | (31,860 | ) | |||||||||||
|
| ||||||||||||||
(37,790 | ) | ||||||||||||||
|
| ||||||||||||||
Electrical Equipment - (0.38%) | |||||||||||||||
Eaton Corp. PLC | (130 | ) | (10,812 | ) | |||||||||||
Emerson Electric Co. | (103 | ) | (7,445 | ) | |||||||||||
Generac Holdings, Inc.A | (1,048 | ) | (56,330 | ) | |||||||||||
|
| ||||||||||||||
(74,587 | ) | ||||||||||||||
|
| ||||||||||||||
Machinery - (0.41%) | |||||||||||||||
Kone OYJ, Class BC | (189 | ) | (10,336 | ) | |||||||||||
SKF AB, Class BC | (1,317 | ) | (27,048 | ) | |||||||||||
Terex Corp. | (740 | ) | (32,649 | ) | |||||||||||
Xylem, Inc. | (133 | ) | (9,314 | ) | |||||||||||
|
| ||||||||||||||
(79,347 | ) | ||||||||||||||
|
| ||||||||||||||
Marine - (0.16%) | |||||||||||||||
Kirby Corp.A | (295 | ) | (24,618 | ) | |||||||||||
Kuehne + Nagel International AGC | (46 | ) | (7,353 | ) | |||||||||||
|
| ||||||||||||||
(31,971 | ) | ||||||||||||||
|
| ||||||||||||||
Road & Rail - (0.09%) | |||||||||||||||
Canadian National Railway Co. | (112 | ) | (9,985 | ) | |||||||||||
Schneider National, Inc., Class B | (308 | ) | (8,051 | ) | |||||||||||
|
| ||||||||||||||
(18,036 | ) | ||||||||||||||
|
| ||||||||||||||
Trading Companies & Distributors - (0.07%) | |||||||||||||||
Air Lease Corp. | (75 | ) | (3,297 | ) | |||||||||||
WW Grainger, Inc. | (29 | ) | (10,050 | ) | |||||||||||
|
| ||||||||||||||
(13,347 | ) | ||||||||||||||
|
| ||||||||||||||
Transportation Infrastructure - (0.26%) | |||||||||||||||
Atlantia SpAC | (1,516 | ) | (44,954 | ) | |||||||||||
Fraport AG Frankfurt Airport Services WorldwideC | (53 | ) | (5,290 | ) | |||||||||||
|
| ||||||||||||||
(50,244 | ) | ||||||||||||||
|
| ||||||||||||||
Total Industrials | (407,366 | ) | |||||||||||||
|
| ||||||||||||||
Information Technology - (0.66%) | |||||||||||||||
Communications Equipment - (0.02%) | |||||||||||||||
Cisco Systems, Inc. | (106 | ) | (4,483 | ) | |||||||||||
|
| ||||||||||||||
See accompanying notes
18
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (15.49%) (continued) | |||||||||||||||
Information Technology - (0.66%) (continued) | |||||||||||||||
Internet Software & Services - (0.26%) | |||||||||||||||
Dropbox, Inc., Class AA | (32 | ) | $ | (857 | ) | ||||||||||
iQIYI, Inc., ADRA | (416 | ) | (13,320 | ) | |||||||||||
Pandora Media, Inc.A | (1,981 | ) | (13,352 | ) | |||||||||||
Zillow Group, Inc., Class CA | (405 | ) | (22,558 | ) | |||||||||||
|
| ||||||||||||||
(50,087 | ) | ||||||||||||||
|
| ||||||||||||||
IT Services - (0.05%) | |||||||||||||||
Accenture PLC, Class A | (69 | ) | (10,994 | ) | |||||||||||
|
| ||||||||||||||
Semiconductors & Semiconductor Equipment - (0.14%) | |||||||||||||||
SolarEdge Technologies, Inc.A | (510 | ) | (27,158 | ) | |||||||||||
|
| ||||||||||||||
Software - (0.17%) | |||||||||||||||
Adobe Systems, Inc.A | (21 | ) | (5,138 | ) | |||||||||||
Atlassian Corp. PLC, Class AA | (4 | ) | (290 | ) | |||||||||||
Check Point Software Technologies Ltd.A | (88 | ) | (9,915 | ) | |||||||||||
Fortinet, Inc.A | (49 | ) | (3,083 | ) | |||||||||||
Ultimate Software Group, Inc.A | (33 | ) | (9,137 | ) | |||||||||||
Workday, Inc., Class AA | (35 | ) | (4,341 | ) | |||||||||||
Zscaler, Inc.A | (34 | ) | (1,200 | ) | |||||||||||
|
| ||||||||||||||
(33,104 | ) | ||||||||||||||
|
| ||||||||||||||
Technology Hardware, Storage & Peripherals - (0.02%) | |||||||||||||||
Logitech International S.A.C | (76 | ) | (3,346 | ) | |||||||||||
|
| ||||||||||||||
Total Information Technology | (129,172 | ) | |||||||||||||
|
| ||||||||||||||
Materials - (0.51%) | |||||||||||||||
Chemicals - (0.20%) | |||||||||||||||
Eastman Chemical Co. | (170 | ) | (17,615 | ) | |||||||||||
LyondellBasell Industries N.V., Class A | (198 | ) | (21,937 | ) | |||||||||||
|
| ||||||||||||||
(39,552 | ) | ||||||||||||||
|
| ||||||||||||||
Construction Materials - (0.06%) | |||||||||||||||
Vulcan Materials Co. | (109 | ) | (12,208 | ) | |||||||||||
|
| ||||||||||||||
Paper & Forest Products - (0.25%) | |||||||||||||||
Domtar Corp. | (438 | ) | (21,121 | ) | |||||||||||
Louisiana-Pacific Corp. | (1,021 | ) | (27,485 | ) | |||||||||||
|
| ||||||||||||||
(48,606 | ) | ||||||||||||||
|
| ||||||||||||||
Total Materials | (100,366 | ) | |||||||||||||
|
| ||||||||||||||
Real Estate - (0.21%) | |||||||||||||||
Equity Real Estate Investment Trusts (REITs) - (0.21%) | |||||||||||||||
Camden Property Trust | (241 | ) | (22,314 | ) | |||||||||||
Empire State Realty Trust, Inc., Class A | (210 | ) | (3,501 | ) | |||||||||||
Federal Realty Investment Trust | (22 | ) | (2,761 | ) | |||||||||||
Realty Income Corp. | (49 | ) | (2,733 | ) | |||||||||||
Regency Centers Corp. | (72 | ) | (4,581 | ) | |||||||||||
UDR, Inc. | (117 | ) | (4,502 | ) | |||||||||||
|
| ||||||||||||||
(40,392 | ) | ||||||||||||||
|
| ||||||||||||||
Total Real Estate | (40,392 | ) | |||||||||||||
|
| ||||||||||||||
See accompanying notes
19
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (15.49%) (continued) | |||||||||||||||
Utilities - (3.68%) | |||||||||||||||
Electric Utilities - (1.83%) | |||||||||||||||
American Electric Power Co., Inc. | (771 | ) | $ | (54,849 | ) | ||||||||||
Duke Energy Corp. | (641 | ) | (52,318 | ) | |||||||||||
Hawaiian Electric Industries, Inc. | (584 | ) | (20,539 | ) | |||||||||||
Innogy SEA C | (935 | ) | (40,283 | ) | |||||||||||
Southern Co. | (967 | ) | (46,996 | ) | |||||||||||
Terna Rete Elettrica Nazionale SpAC | (11,395 | ) | (63,713 | ) | |||||||||||
Xcel Energy, Inc. | (1,702 | ) | (79,756 | ) | |||||||||||
|
| ||||||||||||||
(358,454 | ) | ||||||||||||||
|
| ||||||||||||||
Multi-Utilities - (1.40%) | |||||||||||||||
Avista Corp. | (1,493 | ) | (75,516 | ) | |||||||||||
Consolidated Edison, Inc. | (351 | ) | (27,704 | ) | |||||||||||
DTE Energy Co. | (503 | ) | (54,596 | ) | |||||||||||
Public Service Enterprise Group, Inc. | (1,706 | ) | (87,961 | ) | |||||||||||
WEC Energy Group, Inc. | (428 | ) | (28,406 | ) | |||||||||||
|
| ||||||||||||||
(274,183 | ) | ||||||||||||||
|
| ||||||||||||||
Water Utilities - (0.45%) | |||||||||||||||
American Water Works Co., Inc. | (652 | ) | (57,539 | ) | |||||||||||
AquaVenture Holdings Ltd.A | (1,783 | ) | (29,491 | ) | |||||||||||
|
| ||||||||||||||
(87,030 | ) | ||||||||||||||
|
| ||||||||||||||
Total Utilities | (719,667 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL COMMON STOCKS (Proceeds $(2,894,022)) | (3,025,886 | ) | |||||||||||||
|
| ||||||||||||||
EXCHANGE-TRADED INSTRUMENTS - (10.55%) | |||||||||||||||
Exchange-Traded Funds - (10.55%) | |||||||||||||||
Consumer Discretionary Select Sector SPDR Fund | (1,762 | ) | (196,058 | ) | |||||||||||
Consumer Staples Select Sector SPDR Fund | (1,882 | ) | (100,819 | ) | |||||||||||
Energy Select Sector SPDR Fund | (120 | ) | (9,254 | ) | |||||||||||
Health Care Select Sector SPDR Fund | (1,525 | ) | (135,618 | ) | |||||||||||
Industrial Select Sector SPDR Fund | (681 | ) | (52,382 | ) | |||||||||||
Invesco QQQ Trust, Series 1 | (378 | ) | (66,698 | ) | |||||||||||
iShares 20+ Year Treasury Bond ETF | (685 | ) | (81,994 | ) | |||||||||||
iShares 3-7 Year Treasury Bond ETF | (674 | ) | (80,523 | ) | |||||||||||
iShares 7-10 Year Treasury Bond ETF, Class B | (825 | ) | (83,968 | ) | |||||||||||
iShares MSCI Brazil ETF | (708 | ) | (25,559 | ) | |||||||||||
iShares MSCI Emerging Markets ETF | (360 | ) | (16,150 | ) | |||||||||||
iShares MSCI India ETF | (254 | ) | (9,050 | ) | |||||||||||
iShares Nasdaq Biotechnology ETF | (94 | ) | (10,950 | ) | |||||||||||
iShares Russell 2000 ETF | (580 | ) | (96,205 | ) | |||||||||||
iShares STOXX Europe 600 UCITS ETFC | (1,036 | ) | (47,165 | ) | |||||||||||
Materials Select Sector SPDR Fund | (260 | ) | (15,530 | ) | |||||||||||
Real Estate Select Sector SPDR Fund | (753 | ) | (24,887 | ) | |||||||||||
SPDR S&P 500 ETF Trust | (345 | ) | (97,090 | ) | |||||||||||
SPDR S&P Biotech ETF | (112 | ) | (10,672 | ) | |||||||||||
SPDR S&P Homebuilders ETF | (474 | ) | (18,780 | ) | |||||||||||
SPDR S&P MidCap 400 ETF Trust | (94 | ) | (33,941 | ) | |||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | (421 | ) | (18,111 | ) | |||||||||||
SPDR S&P Pharmaceuticals ETF | (1,207 | ) | (56,065 | ) | |||||||||||
SPDR S&P Regional Banking ETF | (251 | ) | (15,439 | ) | |||||||||||
SPDR S&P Retail ETF | (2,158 | ) | (107,101 | ) | |||||||||||
SPDR S&P Telecom ETF | (471 | ) | (33,558 | ) | |||||||||||
Technology Select Sector SPDR Fund | (1,678 | ) | (119,004 | ) | |||||||||||
Utilities Select Sector SPDR Fund | (4,273 | ) | (225,572 | ) | |||||||||||
VanEck Vectors Pharmaceutical ETF | (890 | ) | (55,046 | ) |
See accompanying notes
20
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
EXCHANGE-TRADED INSTRUMENTS - (10.55%) (continued) | |||||||||||||||
Exchange-Traded Funds - (10.55%) (continued) | |||||||||||||||
VanEck Vectors Russia ETF | (1,284 | ) | $ | (28,017 | ) | ||||||||||
Vanguard Total International Bond ETF | (3,442 | ) | (188,415 | ) | |||||||||||
|
| ||||||||||||||
Total Exchange-Traded Funds | (2,059,621 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL EXCHANGE-TRADED INSTRUMENTS (Proceeds $(1,865,130)) | (2,059,621 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL SECURITITES SOLD SHORT (Proceeds $(4,759,152)) | (5,085,507 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS IN SECURITIES (EXCLUDES SECURITIES SOLD SHORT) - 87.81% | 17,150,944 | ||||||||||||||
TOTAL PURCHASED OPTIONS - 0.08% (Premiums Paid $22,143) | 15,007 | ||||||||||||||
TOTAL WRITTEN OPTIONS - (0.01%) (Premiums Received $(3,233)) | (990 | ) | |||||||||||||
TOTAL SECURITIES SOLD SHORT - (26.04%) (Proceeds $(4,759,152)) | (5,085,507 | ) | |||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 38.16% | 7,451,415 | ||||||||||||||
|
| ||||||||||||||
NET ASSETS - 100.00% | $ | 19,530,869 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
A Non-income producing security.
B Tracking Stock - A form of common stock that is issued by a parent company and tracks the performance of a specific division of that parent company. It allows investors the chance to invest in an individual sector of a company while the parent company maintains overall control.
C Fair valued pursuant to procedures approved by the Board of Trustees. At period end, the value of these securities amounted to $1,324,954 or 6.78% of net assets. Value was determined using significant unobservable inputs.
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 $186,440 or 0.95% of net assets. The Fund has no right to demand registration of these securities.
E The Fund is affiliated by having the same investment advisor.
F 7-day yield.
ADR - American Depositary Receipt.
ETF - Exchange-Traded Fund.
MSCI - Morgan Stanley Capital International.
NASDAQ - National Association of Securities Dealers Automated Quotations.
NVDR - Non Voting Depositary Receipt.
PLC - Public Limited Company.
S&P - Standard & Poor’s.
S&P 500 - Standard & Poor’s U.S. Equity Large-Cap Index.
SPDR - Standard & Poor’s Depositary Receipt.
UCITS - Undertaking for Collective Investments in Transferable Securities.
Long Futures Contracts Open on July 31, 2018: |
| |||||||||||||
Commodity Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||
ICE ECX Futures | 3 | December 2018 | $ 53,931 | $61,327 | $7,396 | |||||||||
|
|
|
|
| ||||||||||
$ 53,931 | $61,327 | $7,396 | ||||||||||||
|
|
|
|
|
See accompanying notes
21
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
OTC Swap Agreements Outstanding on July 31, 2018: |
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OTC Swap Agreement Contracts for Difference - Equity | ||||||||||||||||||||||||||
Reference Entity | Counter- party | Long/Short | Currency | Financing Rate | Expiration Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Acciona S.A. | MSC | Long | EUR | 0.505 | % | 01/15/2020 | 410 | $ | 30,974 | $ | 1,112 | |||||||||||||||
ACS Actividades de Construccion y Servicios S.A. | MSC | Long | EUR | 0.142 | % | 01/15/2020 | 1,241 | 52,131 | 988 | |||||||||||||||||
Cellnex Telecom S.A. | MSC | Long | EUR | 0.142 | % | 01/15/2020 | 2,764 | 69,900 | 3,544 | |||||||||||||||||
EDP - Energias de Portugal S.A. | MSC | Long | EUR | 0.142 | % | 01/15/2020 | 32,937 | 120,160 | 14,299 | |||||||||||||||||
Electricite de France S.A. | MSC | Long | EUR | 0.142 | % | 01/15/2020 | 6,617 | 84,965 | 14,136 | |||||||||||||||||
Gas Natural SDG S.A. | MSC | Long | EUR | 0.139 | % | 01/15/2020 | 5,567 | 127,903 | 27,098 | |||||||||||||||||
RWE AG | MSC | Long | EUR | 0.142 | % | 01/15/2020 | 1,902 | 39,526 | 10,413 | |||||||||||||||||
Suez | MSC | Long | EUR | 0.142 | % | 01/15/2020 | 18,342 | 253,899 | 5,887 | |||||||||||||||||
Centrica PLC | MSC | Long | GBP | 0.952 | % | 05/20/2020 | 25,288 | 51,313 | (1,970 | ) | ||||||||||||||||
EDP - Energias do Brasil S.A. | MSC | Long | USD | 2.910 | % | 02/13/2020 | 7,038 | 28,544 | (2,971 | ) | ||||||||||||||||
Federal Grid Co Unified Energy System PJSC | MSC | Long | USD | 3.410 | % | 02/12/2020 | 8,060,000 | 23,374 | (1,499 | ) | ||||||||||||||||
GAIL India Ltd. | MSC | Long | USD | 5.910 | % | 03/31/2020 | 14,985 | 75,425 | 6,616 | |||||||||||||||||
Inter RAO UES PJSC | MSC | Long | USD | 3.410 | % | 02/12/2020 | 344,000 | 22,424 | 557 | |||||||||||||||||
ROSSETI PJSC | MSC | Long | USD | 3.410 | % | 02/12/2020 | 2,000,000 | 30,786 | (6,145 | ) | ||||||||||||||||
RusHydro PJSC | MSC | Long | USD | 3.410 | % | 02/12/2020 | 1,517,000 | 19,402 | (2,881 | ) | ||||||||||||||||
Enagas S.A. | MSC | Short | EUR | (0.858 | %) | 01/15/2020 | (2,029 | ) | 54,432 | (2,355 | ) | |||||||||||||||
Endesa S.A. | MSC | Short | EUR | (0.858 | %) | 01/15/2020 | (3,804 | ) | 80,231 | (7,807 | ) | |||||||||||||||
Engie S.A. | MSC | Short | EUR | (0.758 | %) | 01/15/2020 | (5,642 | ) | 89,216 | (1,983 | ) | |||||||||||||||
ESTX 50 PR Index | MSC | Short | EUR | 0.000 | % | 07/30/2118 | (13 | ) | 54,343 | 718 | ||||||||||||||||
Red Electrica Corp S.A. | MSC | Short | EUR | (0.858 | %) | 01/15/2020 | (2,926 | ) | 59,235 | (2,868 | ) | |||||||||||||||
Stoxx Europe 600 Utilities | MSC | Short | EUR | (0.808 | %) | 02/03/2020 | (18 | ) | 6,140 | (67 | ) | |||||||||||||||
STXE 600 IG&S PR Index | MSC | Short | EUR | (0.808 | %) | 06/02/2020 | (81 | ) | 51,590 | (868 | ) | |||||||||||||||
CGN Power Co Ltd. | MSC | Short | HKD | (0.274 | %) | 02/04/2020 | (59,000 | ) | 16,744 | 1,105 | ||||||||||||||||
China Mobile Ltd. | MSC | Short | HKD | (0.274 | %) | 02/04/2020 | (2,019 | ) | 17,691 | (525 | ) | |||||||||||||||
CLP Holdings Ltd. | MSC | Short | HKD | (0.274 | %) | 02/04/2020 | (6,452 | ) | 65,178 | (8,533 | ) | |||||||||||||||
HK Electric Investments & HK Electric Investments Ltd. | MSC | Short | HKD | (0.649 | %) | 02/04/2020 | (48,000 | ) | 44,164 | (4,832 | ) | |||||||||||||||
Hong Kong & China Gas Co Ltd. | MSC | Short | HKD | (0.274 | %) | 02/04/2020 | (18,425 | ) | 34,504 | (3,111 | ) | |||||||||||||||
Shanghai Electric Group Co Ltd. | MSC | Short | HKD | (2.024 | %) | 02/04/2020 | (47,580 | ) | 17,586 | 1,640 | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||
$ | 1,573,578 | $ | 39,698 | |||||||||||||||||||||||
|
|
|
|
Total Return Swap Agreements | ||||||||||||||||||||||||||||||
Pay/Receive Floating Rate | Description | Reference Entity | Counter- party | Floating Rate | Expiration Date | Reference Quantity | Notional Amount* | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pay | 1-Month USD-FEDEF | Alphabet, Inc. | MSC | 2.410 | % | 10/2/2018 | 84 | 68,344 | $ | - | $ | 34,742 | ||||||||||||||||||
Pay | 1-Month USD-FEDEF | Caterpillar, Inc. | MSC | 2.410 | % | 10/2/2018 | 788 | 100,390 | - | 12,925 | ||||||||||||||||||||
Pay | 1-Month USD-FEDEF | Delta Air Lines, Inc. | MSC | 2.410 | % | 10/2/2018 | 2,295 | 120,851 | - | 4,043 | ||||||||||||||||||||
Pay | 1-Day USD-FEDEF | Knight-Swift Transportation Holdings, Inc. | MSC | 2.410 | % | 10/2/2018 | 1,139 | 36,356 | (6 | ) | 724 | |||||||||||||||||||
Pay | 1-Month USD-FEDEF | Monster Beverage Corp. | MSC | 2.410 | % | 10/2/2018 | 1,506 | 75,362 | - | 15,028 | ||||||||||||||||||||
Pay | 1-Day USD-FEDEF | NVR, Inc. | MSC | 2.410 | % | 10/2/2018 | 51 | 92,584 | (2 | ) | 48,149 | |||||||||||||||||||
Pay | 1-Day USD-FEDEF | Rio Tinto PLC | MSC | 2.410 | % | 10/2/2018 | 2,690 | 114,014 | - | 35,280 | ||||||||||||||||||||
Pay | 1-Day USD-FEDEF | Take-Two Interactive Software, Inc. | MSC | 2.410 | % | 10/2/2018 | 991 | 76,820 | - | 35,183 | ||||||||||||||||||||
Pay | 1-Month EUR-EURIBOR | Cie Plastic Omnium S.A. | MSC | 0.130 | % | 10/5/2018 | 1,130 | 33,710 | - | 7,978 | ||||||||||||||||||||
Pay | 1-Month GBP-LIBOR | Rio Tinto PLC | MSC | 1.000 | % | 10/5/2018 | 967 | 34,869 | - | 7,496 | ||||||||||||||||||||
Receive | 1-Day EUR-EONIA | Accor S.A. | MSC | 0.400 | % | 10/5/2018 | 564 | 24,794 | - | - | ||||||||||||||||||||
Receive | 1-Day GBP-SONIA | Puma SE | MSC | 1.000 | % | 10/9/2018 | 488 | 10,431 | - | 1,211 |
See accompanying notes
22
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Pay/Receive Floating Rate | Description | Reference Entity | Counter- party | Floating Rate | Expiration Date | Reference Quantity | Notional Amount* | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receive | 1-Day AUD-BBSW | Qantas Airways Limited | MSC | 1.000 | % | 1/16/2019 | 3,884 | 25,405 | $ | - | $ | (517 | ) | |||||||||||||||||
Receive | 6-Month AUD-BBR-BBSW | Woolworths Group Ltd | MSC | 1.000 | % | 4/5/2019 | 341 | 9,125 | - | (844 | ) | |||||||||||||||||||
Pay | 1-Month HKD-HONIA | Tencent Holdings Ltd. | MSC | 1.180 | % | 7/10/2019 | 975 | 387,293 | (22 | ) | (5,198 | ) | ||||||||||||||||||
Pay | 1-Month HKD-HONIA | Air China Limited | MSC | 1.180 | % | 7/15/2019 | 15,561 | 115,976 | - | (462 | ) | |||||||||||||||||||
Receive | 1-Day EUR-EONIA | Hermes International | MSC | 0.400 | % | 7/15/2019 | 10 | 5,461 | - | 52 | ||||||||||||||||||||
Receive | 1-Day USD-FEDEF | Consumer Discretionary Select Sector Index | MSC | 1.910 | % | 11/6/2019 | 12 | 33,443 | 31 | (7,273 | ) | |||||||||||||||||||
Receive | 1-Day USD-FEDEF | Consumer Staples Select Sector Index | MSC | 1.760 | % | 11/6/2019 | 15 | 33,660 | - | (708 | ) | |||||||||||||||||||
Receive | 1-Day USD-FEDEF | S&P 500 Total Return Index | MSC | 2.110 | % | 11/12/2019 | 22 | 111,668 | - | (10,431 | ) | |||||||||||||||||||
Pay | 1-Month EUR-EURIBOR | Accor S.A. | MSC | 0.550 | % | 1/17/2020 | 2,210 | 83,987 | (7 | ) | 15,711 | |||||||||||||||||||
Pay | 1-Day EUR-EONIA | FinecoBank Banca Fineco SpA | MSC | 0.550 | % | 1/17/2020 | 1,085 | 9,043 | - | 2,177 | ||||||||||||||||||||
Receive | 1-Day EUR-EONIA | Eutelsat Communications S.A. | MSC | 0.400 | % | 1/17/2020 | 944 | 17,271 | - | (27 | ) | |||||||||||||||||||
Receive | 1-Day GBP-SONIA | Ted Baker PLC | MSC | 0.350 | % | 1/17/2020 | 46 | 1,361 | - | 455 | ||||||||||||||||||||
Receive | 1-Day TWD-FEDEF | China Steel Corp. | MSC | 1.410 | % | 1/21/2020 | 4,020 | 81,547 | - | (619 | ) | |||||||||||||||||||
Receive | 1-Day BRL-FEDEF | Raia Drogasil S.A. | MSC | 25.840 | % | 1/21/2020 | 41 | 2,826 | - | (59 | ) | |||||||||||||||||||
Receive | 1-Day BRL-FEDEF | Telefonica Brasil S.A. | MSC | 0.910 | % | 1/21/2020 | 270 | 12,404 | - | 351 | ||||||||||||||||||||
Receive | 1-Day USD-FEDEF | Tremblant | MSC | 1.560 | % | 6/8/2020 | 58 | 5,803 | - | 153 | ||||||||||||||||||||
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$ | (6 | ) | $ | 195,520 | ||||||||||||||||||||||||||
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* | Notional amounts are denominated in local currency |
Purchased Options Contracts Open on July 31, 2018: |
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Equity Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Paid | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Put - Apple, Inc. | CCP | 175.00 | 8/3/2018 | USD | 6 | 600 | $ | 310 | $ | 310 | $ | - | ||||||||||||||||||
Call - JD.com, Inc. | CCP | 39.00 | 8/17/2018 | USD | 5 | 500 | 699 | 165 | (534 | ) | ||||||||||||||||||||
Call - ServiceNow, Inc. | CCP | 200.00 | 8/17/2018 | USD | 12 | 1,200 | 2,477 | 180 | (2,297 | ) | ||||||||||||||||||||
Call - Starbucks Corp. | CCP | 52.50 | 8/17/2018 | USD | 8 | 800 | 710 | 480 | (230 | ) | ||||||||||||||||||||
Put - Sprouts Farmers Market, Inc. | CCP | 22.50 | 8/17/2018 | USD | 5 | 500 | 663 | 700 | 37 | |||||||||||||||||||||
Put - Check Point Software Technology Ltd. | CCP | 105.00 | 8/17/2018 | USD | 3 | 300 | 673 | 105 | (568 | ) | ||||||||||||||||||||
Put - Realogy Holdings Corp. | CCP | 20.00 | 8/17/2018 | USD | 70 | 7,000 | 2,128 | 2,100 | (28 | ) |
See accompanying notes
23
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Paid | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Put - Procter & Gamble Co. | CCP | 78.50 | 8/17/2018 | USD | 15 | 1,500 | $ | 950 | $ | 420 | $ | (530 | ) | |||||||||||||||||
Call - Red Hat, Inc. | CCP | 165.00 | 9/21/2018 | USD | 20 | 2,000 | 4,940 | 1,300 | (3,640 | ) | ||||||||||||||||||||
Call - Palo Alto Networks, Inc. | CCP | 220.00 | 9/21/2018 | USD | 2 | 200 | 861 | 861 | - | |||||||||||||||||||||
Call - Koninklijke Ahold N.V. | MSC | 22.03 | 12/21/2018 | EUR | 6 | 600 | 1,130 | 477 | (653 | ) | ||||||||||||||||||||
Put - Apple, Inc. | CCP | 170.00 | 1/18/2019 | USD | 1 | 100 | 447 | 410 | (37 | ) | ||||||||||||||||||||
Put - Apple, Inc. | CCP | 180.00 | 1/18/2019 | USD | 1 | 100 | 623 | 680 | 57 | |||||||||||||||||||||
Call - Realogy Holdings Corp. | CCP | 30.00 | 3/15/2019 | USD | 46 | 4,600 | 1,654 | 920 | (734 | ) | ||||||||||||||||||||
Call - Procter & Gamble Co. | CCP | 82.50 | 6/21/2019 | USD | 9 | 900 | 1,202 | 3,510 | 2,308 | |||||||||||||||||||||
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$ | 19,467 | $ | 12,618 | $ | (6,849 | ) | ||||||||||||||||||||||||
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Exchange-Traded Fund Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Paid | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Put - iShares Russell 2000 ETF | CCP | 150.00 | 8/17/2018 | USD | 2 | 200 | $ | 312 | $ | 24 | $ | (288 | ) | |||||||||||||||||
Put - VanEck Vectors Semiconductor ETF | CCP | 102.00 | 8/17/2018 | USD | 9 | 900 | 635 | 635 | - | |||||||||||||||||||||
Put - Invesco QQQ Trust Series 1 | CCP | 168.00 | 8/17/2018 | USD | 23 | 2,300 | 1,729 | 1,730 | 1 | |||||||||||||||||||||
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$ | 2,676 | $ | 2,389 | $ | (287 | ) | ||||||||||||||||||||||||
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Written Options Contracts Open on July 31, 2018: |
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Equity Options | ||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Received | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Call - Red Hat, Inc. | CCP | 170.00 | 9/21/2018 | USD | 22 | 2,200 | $ | (3,233 | ) | $ | (990 | ) | $ | 2,243 | ||||||||||||||
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$ | (3,233 | ) | $ | (990 | ) | $ | 2,243 | |||||||||||||||||||||
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|
|
Forward Foreign Currency Contracts Open on July 31, 2018: | ||||||||||||||||||||||||||||
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
CNH | 121,208 | USD | 124,000 | 8/6/2018 | MSC | $ | - | $ | (2,792 | ) | $ | (2,792 | ) | |||||||||||||||
CNH | 125,870 | USD | 125,242 | 8/6/2018 | MSC | 628 | - | 628 | ||||||||||||||||||||
USD | 126,170 | CNH | 124,347 | 8/6/2018 | MSC | 1,823 | - | 1,823 | ||||||||||||||||||||
USD | 124,000 | CNH | 122,731 | 8/6/2018 | MSC | 1,269 | - | 1,269 | ||||||||||||||||||||
KRW | 25,275 | USD | 26,500 | 8/10/2018 | MSC | - | (1,225 | ) | (1,225 | ) | ||||||||||||||||||
USD | 24,335 | BRL | 23,493 | 8/10/2018 | MSC | 842 | - | 842 | ||||||||||||||||||||
USD | 15,797 | KRW | 15,226 | 8/10/2018 | MSC | 571 | - | 571 | ||||||||||||||||||||
USD | 8,436 | KRW | 8,128 | 8/10/2018 | MSC | 308 | - | 308 | ||||||||||||||||||||
USD | 1,998 | KRW | 1,921 | 8/10/2018 | MSC | 77 | - | 77 | ||||||||||||||||||||
GBP | 4,263 | USD | 4,317 | 8/31/2018 | MSC | - | (54 | ) | (54 | ) | ||||||||||||||||||
CAD | 5,268 | USD | 5,226 | 8/31/2018 | MSC | 42 | - | 42 | ||||||||||||||||||||
GBP | 5,702 | USD | 5,771 | 8/31/2018 | MSC | - | (69 | ) | (69 | ) | ||||||||||||||||||
CAD | 5,839 | USD | 5,734 | 8/31/2018 | MSC | 105 | - | 105 | ||||||||||||||||||||
EUR | 5,916 | USD | 5,917 | 8/31/2018 | MSC | - | (1 | ) | (1 | ) | ||||||||||||||||||
TRY | 6,950 | USD | 7,068 | 8/31/2018 | MSC | - | (118 | ) | (118 | ) | ||||||||||||||||||
SEK | 7,058 | USD | 7,007 | 8/31/2018 | MSC | 51 | - | 51 | ||||||||||||||||||||
TRY | 7,142 | USD | 7,301 | 8/31/2018 | MSC | - | (159 | ) | (159 | ) | ||||||||||||||||||
TRY | 7,258 | USD | 7,508 | 8/31/2018 | MSC | - | (250 | ) | (250 | ) |
See accompanying notes
24
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
CAD | 7,485 | USD | 7,336 | 8/31/2018 | MSC | $ | 149 | $ | - | $ | 149 | |||||||||||||||||
EUR | 8,403 | USD | 8,365 | 8/31/2018 | MSC | 38 | - | 38 | ||||||||||||||||||||
CAD | 8,459 | USD | 8,372 | 8/31/2018 | MSC | 87 | - | 87 | ||||||||||||||||||||
KRW | 12,001 | USD | 11,925 | 8/31/2018 | MSC | 76 | - | 76 | ||||||||||||||||||||
CAD | 12,273 | USD | 11,971 | 8/31/2018 | MSC | 302 | - | 302 | ||||||||||||||||||||
EUR | 12,626 | USD | 12,596 | 8/31/2018 | MSC | 30 | - | 30 | ||||||||||||||||||||
SEK | 13,771 | USD | 13,662 | 8/31/2018 | MSC | 109 | - | 109 | ||||||||||||||||||||
SEK | 13,861 | USD | 13,827 | 8/31/2018 | MSC | 34 | - | 34 | ||||||||||||||||||||
CAD | 15,598 | USD | 15,316 | 8/31/2018 | MSC | 282 | - | 282 | ||||||||||||||||||||
CAD | 17,237 | USD | 16,880 | 8/31/2018 | MSC | 357 | - | 357 | ||||||||||||||||||||
JPY | 17,451 | USD | 17,777 | 8/31/2018 | MSC | - | (326 | ) | (326 | ) | ||||||||||||||||||
EUR | 17,562 | USD | 17,445 | 8/31/2018 | MSC | 117 | - | 117 | ||||||||||||||||||||
EUR | 17,996 | USD | 17,964 | 8/31/2018 | MSC | 32 | - | 32 | ||||||||||||||||||||
TRY | 18,495 | USD | 18,971 | 8/31/2018 | MSC | - | (476 | ) | (476 | ) | ||||||||||||||||||
CAD | 21,141 | USD | 21,070 | 8/31/2018 | MSC | 71 | - | 71 | ||||||||||||||||||||
CAD | 21,357 | USD | 21,332 | 8/31/2018 | MSC | 25 | - | 25 | ||||||||||||||||||||
CAD | 27,148 | USD | 26,769 | 8/31/2018 | MSC | 379 | - | 379 | ||||||||||||||||||||
JPY | 29,436 | USD | 30,152 | 8/31/2018 | MSC | - | (716 | ) | (716 | ) | ||||||||||||||||||
USD | 280,265 | CAD | 286,283 | 8/31/2018 | MSC | - | (6,018 | ) | (6,018 | ) | ||||||||||||||||||
USD | 34,920 | EUR | 35,044 | 8/31/2018 | MSC | - | (124 | ) | (124 | ) | ||||||||||||||||||
USD | 27,390 | SEK | 27,533 | 8/31/2018 | MSC | - | (143 | ) | (143 | ) | ||||||||||||||||||
USD | 23,907 | JPY | 24,122 | 8/31/2018 | MSC | - | (215 | ) | (215 | ) | ||||||||||||||||||
USD | 22,595 | JPY | 22,766 | 8/31/2018 | MSC | - | (171 | ) | (171 | ) | ||||||||||||||||||
USD | 18,036 | GBP | 17,840 | 8/31/2018 | MSC | 196 | - | 196 | ||||||||||||||||||||
USD | 16,621 | CHF | 16,588 | 8/31/2018 | MSC | 33 | - | 33 | ||||||||||||||||||||
USD | 14,245 | DKK | 14,300 | 8/31/2018 | MSC | - | (55 | ) | (55 | ) | ||||||||||||||||||
USD | 14,018 | CAD | 14,142 | 8/31/2018 | MSC | - | (124 | ) | (124 | ) | ||||||||||||||||||
USD | 11,979 | CAD | 12,097 | 8/31/2018 | MSC | - | (118 | ) | (118 | ) | ||||||||||||||||||
USD | 12,078 | KRW | 12,001 | 8/31/2018 | MSC | 77 | - | 77 | ||||||||||||||||||||
USD | 12,666 | TRY | 11,887 | 8/31/2018 | MSC | 779 | - | 779 | ||||||||||||||||||||
USD | 11,170 | CAD | 11,186 | 8/31/2018 | MSC | - | (16 | ) | (16 | ) | ||||||||||||||||||
USD | 8,810 | TRY | 8,768 | 8/31/2018 | MSC | 42 | - | 42 | ||||||||||||||||||||
USD | 7,655 | TRY | 7,537 | 8/31/2018 | MSC | 118 | - | 118 | ||||||||||||||||||||
USD | 6,758 | TRY | 6,607 | 8/31/2018 | MSC | 151 | - | 151 | ||||||||||||||||||||
USD | 6,017 | CAD | 6,090 | 8/31/2018 | MSC | - | (73 | ) | (73 | ) | ||||||||||||||||||
USD | 5,210 | CAD | 5,329 | 8/31/2018 | MSC | - | (119 | ) | (119 | ) | ||||||||||||||||||
USD | 5,062 | TRY | 5,045 | 8/31/2018 | MSC | 17 | - | 17 | ||||||||||||||||||||
USD | 4,862 | EUR | 4,836 | 8/31/2018 | MSC | 26 | - | 26 | ||||||||||||||||||||
USD | 4,330 | CAD | 4,355 | 8/31/2018 | MSC | - | (25 | ) | (25 | ) | ||||||||||||||||||
USD | 4,079 | CAD | 4,139 | 8/31/2018 | MSC | - | (60 | ) | (60 | ) | ||||||||||||||||||
USD | 3,905 | CAD | 3,953 | 8/31/2018 | MSC | - | (48 | ) | (48 | ) | ||||||||||||||||||
USD | 61,158 | INR | 60,237 | 9/10/2018 | MSC | 921 | - | 921 | ||||||||||||||||||||
USD | 25,862 | INR | 25,884 | 9/10/2018 | MSC | - | (22 | ) | (22 | ) | ||||||||||||||||||
USD | 7,950 | INR | 7,830 | 9/10/2018 | MSC | 120 | - | 120 | ||||||||||||||||||||
USD | 125,194 | CNH | 125,832 | 9/12/2018 | MSC | - | (638 | ) | (638 | ) | ||||||||||||||||||
THB | 12,428 | USD | 12,540 | 9/14/2018 | MSC | - | (112 | ) | (112 | ) | ||||||||||||||||||
USD | 12,925 | THB | 12,428 | 9/14/2018 | MSC | 497 | - | 497 | ||||||||||||||||||||
DKK | 14,482 | USD | 14,452 | 10/18/2018 | MSC | 30 | - | 30 | ||||||||||||||||||||
SEK | 21,666 | USD | 21,589 | 10/18/2018 | MSC | 77 | - | 77 | ||||||||||||||||||||
USD | 248,951 | EUR | 249,487 | 10/18/2018 | MSC | - | (536 | ) | (536 | ) | ||||||||||||||||||
USD | 141,664 | GBP | 141,677 | 10/18/2018 | MSC | - | (13 | ) | (13 | ) | ||||||||||||||||||
USD | 132,931 | JPY | 134,069 | 10/18/2018 | MSC | - | (1,138 | ) | (1,138 | ) | ||||||||||||||||||
USD | 25,686 | BRL | 26,345 | 10/18/2018 | MSC | - | (659 | ) | (659 | ) | ||||||||||||||||||
USD | 19,232 | EUR | 19,175 | 10/18/2018 | MSC | 57 | - | 57 | ||||||||||||||||||||
CAD | 2,740 | USD | 2,752 | 12/3/2018 | MSC | - | (12 | ) | (12 | ) | ||||||||||||||||||
CAD | 21,799 | USD | 21,896 | 12/3/2018 | MSC | - | (97 | ) | (97 | ) | ||||||||||||||||||
USD | 34,875 | ILS | 33,618 | 12/3/2018 | MSC | 1,257 | - | 1,257 | ||||||||||||||||||||
USD | 8,118 | CAD | 8,297 | 12/3/2018 | MSC | - | (179 | ) | (179 | ) | ||||||||||||||||||
USD | 5,968 | CAD | 6,089 | 12/3/2018 | MSC | - | (121 | ) | (121 | ) | ||||||||||||||||||
USD | 4,820 | CAD | 4,882 | 12/3/2018 | MSC | - | (62 | ) | (62 | ) | ||||||||||||||||||
USD | 1,273 | ILS | 1,269 | 12/3/2018 | MSC | 4 | - | 4 |
See accompanying notes
25
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
USD | 1,199 | CAD | 1,205 | 12/3/2018 | MSC | $ | - | $ | (6 | ) | $ | (6 | ) | |||||||||||||||
USD | 1,010 | ILS | 1,003 | 12/3/2018 | MSC | 7 | - | 7 | ||||||||||||||||||||
GBP | 1,292 | USD | 1,283 | 12/4/2018 | MSC | 9 | - | 9 | ||||||||||||||||||||
EUR | 3,593 | USD | 3,593 | 12/4/2018 | MSC | - | - | - | ||||||||||||||||||||
USD | 151,284 | GBP | 149,036 | 12/4/2018 | MSC | 2,248 | - | 2,248 | ||||||||||||||||||||
USD | 28,178 | EUR | 27,787 | 12/4/2018 | MSC | 391 | - | 391 | ||||||||||||||||||||
USD | 21,278 | EUR | 21,354 | 12/4/2018 | MSC | - | (76 | ) | (76 | ) | ||||||||||||||||||
USD | 14,433 | GBP | 14,081 | 12/4/2018 | MSC | 352 | - | 352 | ||||||||||||||||||||
USD | 9,828 | GBP | 9,768 | 12/4/2018 | MSC | 60 | - | 60 | ||||||||||||||||||||
USD | 4,913 | EUR | 4,895 | 12/4/2018 | MSC | 18 | - | 18 | ||||||||||||||||||||
USD | 3,885 | GBP | 3,892 | 12/4/2018 | MSC | - | (7 | ) | (7 | ) | ||||||||||||||||||
USD | 2,952 | EUR | 2,943 | 12/4/2018 | MSC | 9 | - | 9 | ||||||||||||||||||||
USD | 2,169 | GBP | 2,142 | 12/4/2018 | MSC | 27 | - | 27 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 15,327 | $ | (17,173 | ) | $ | (1,846 | ) | |||||||||||||||||||||
|
|
|
|
|
|
* | All values denominated in USD. |
Glossary: | ||
Counterparty Abbreviations: | ||
MSC | Morgan Stanley & Co., Inc. | |
Currency Abbreviations: | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Yuan Renminbi | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | Pound Sterling | |
HKD | Hong Kong Dollar | |
ILS | Israeli New Shekel | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
SEK | Swedish Krona | |
THB | Thai Baht | |
TRY | Turkish Lira | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
Exchange Abbreviations: | ||
ICE | Intercontinental Exchange | |
Index Abbreviations: | ||
S&P 500 | Standard & Poor’s U.S. Equity Large-Cap Index | |
Other Abbreviations: | ||
BBR | Bank of England Base Rate | |
BBSW | Bank Bill Swap Rate | |
CCP | Central Counterparty Clearing House | |
EONIA | Euro Overnight Index Average | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FEDEF | Effective Federal Funds Rate | |
HONIA | Hong Kong Dollar Overnight Index Average | |
LIBOR | London Interbank Offered Rate | |
PJSC | Private Joint Stock Company | |
PLC | Public Limited Company | |
SONIA | Sterling Overnight Index Average |
See accompanying notes
26
American Beacon Grosvenor Long/Short FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of July 31, 2018, the investments were classified as described below:
Grosvenor Long/Short Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Common Stocks | $ | 13,931,093 | $ | 1,827,486 | $ | - | $ | 15,758,579 | ||||||||||||||||||||
Investment Companies | 178,851 | - | - | 178,851 | ||||||||||||||||||||||||
Exchange-Traded Instruments | 134,480 | - | - | 134,480 | ||||||||||||||||||||||||
Short-Term Investments | 1,079,034 | - | - | 1,079,034 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 15,323,458 | $ | 1,827,486 | $ | - | $ | 17,150,944 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Liabilities |
| |||||||||||||||||||||||||||
Common Stocks (Sold Short) | $ | (2,712,971 | ) | $ | (312,915 | ) | $ | - | $ | (3,025,886 | ) | |||||||||||||||||
Exchange-Traded Instruments (Sold Short) | (2,012,456 | ) | (47,165 | ) | - | (2,059,621 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Liabilities | (4,725,427 | ) | (360,080 | ) | - | (5,085,507 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities | $ | 10,598,031 | $ | 1,467,406 | $ | - | $ | 12,065,437 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Futures Contracts | $ | 7,396 | $ | - | $ | - | $ | 7,396 | ||||||||||||||||||||
OTC Swap Agreement Contracts for Difference - Equity | - | 88,113 | - | 88,113 | ||||||||||||||||||||||||
Swap Contract Agreements | - | 221,658 | - | 221,658 | ||||||||||||||||||||||||
Purchased Options | 15,007 | - | - | 15,007 | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | - | 15,327 | - | 15,327 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 22,403 | $ | 325,098 | $ | - | $ | 347,501 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||||||
OTC Swap Agreement Contracts for Difference - Equity | $ | - | $ | (48,415 | ) | $ | - | $ | (48,415 | ) | ||||||||||||||||||
Swap Contract Agreements | - | (26,138 | ) | - | (26,138 | ) | ||||||||||||||||||||||
Written Options | (990 | ) | - | - | (990 | ) | ||||||||||||||||||||||
Forward Foreign Currency Contracts | - | (17,173 | ) | - | (17,173 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Liabilities | $ | (990 | ) | $ | (91,726 | ) | $ | - | $ | (92,716 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of the Fund’s assets and liabilities. During the period ended July 31, 2018, there were transfers from level 1 to level 2, with a fair value of $756,952.
The following table is a reconciliation of Level 3 assets within the Fund for which significant unobservable inputs were used to determine fair value. Transfers in or out of Level 3 represent the ending value of any security or instrument where a change in the level has occurred from the beginning to the end of the period:
Security Type | Balance as of 1/31/2018 | Net Purchases | Net Sales | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3 | Transfer out of Level 3 | Balance as of 7/31/2018 | Change in Unrealized Appreciation (Depreciation) at Period end** | ||||||||||||||||||||||||||
Rights | $-(1) | $ | - | $-(1) | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - |
** | Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at period end. This balance is included in the change in unrealized appreciation (depreciation) on the Statements of Operations |
(1) | Investment held in the Fund’s portfolio with $0 fair value. |
The rights classified as Level 3 were fair valued using private valuation reports provided to the Fund’s Sub-Advisor from a pricing vendor.
See accompanying notes
27
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
SECURITIES HELD LONG | |||||||||||||||
COMMON STOCKS - 56.32% | |||||||||||||||
Consumer Discretionary - 12.15% | |||||||||||||||
Diversified Consumer Services - 0.19% | |||||||||||||||
H&R Block, Inc. | 3,200 | $ | 80,512 | ||||||||||||
K12, Inc.A | 17,000 | 278,120 | |||||||||||||
|
| ||||||||||||||
358,632 | |||||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 2.53% | |||||||||||||||
BBX Capital Corp. | 2,533 | 22,088 | |||||||||||||
Bloomin’ Brands, Inc. | 79,500 | 1,537,530 | |||||||||||||
Carnival Corp. | 1,300 | 77,012 | |||||||||||||
Carrols Restaurant Group, Inc.A | 114,000 | 1,653,000 | |||||||||||||
Darden Restaurants, Inc. | 1,600 | 171,104 | |||||||||||||
Dave & Buster’s Entertainment, Inc.A | 2,500 | 122,875 | |||||||||||||
Del Frisco’s Restaurant Group, Inc.A | 5,700 | 48,735 | |||||||||||||
Del Taco Restaurants, Inc.A | 41,000 | 530,540 | |||||||||||||
Domino’s Pizza, Inc. | 2,190 | 575,225 | |||||||||||||
McDonald’s Corp. | 600 | 94,524 | |||||||||||||
|
| ||||||||||||||
4,832,633 | |||||||||||||||
|
| ||||||||||||||
Household Durables - 0.15% | |||||||||||||||
Whirlpool Corp. | 2,100 | 275,310 | |||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - 1.20% | |||||||||||||||
Expedia Group, Inc. | 3,700 | 495,208 | |||||||||||||
Groupon, Inc.A | 293,400 | 1,373,112 | |||||||||||||
Nutrisystem, Inc. | 2,500 | 100,000 | |||||||||||||
Shutterfly, Inc.A | 4,000 | 329,040 | |||||||||||||
|
| ||||||||||||||
2,297,360 | |||||||||||||||
|
| ||||||||||||||
Leisure Products - 0.04% | |||||||||||||||
Vista Outdoor, Inc.A | 4,900 | 79,576 | |||||||||||||
|
| ||||||||||||||
Media - 0.17% | |||||||||||||||
Omnicom Group, Inc. | 2,100 | 144,543 | |||||||||||||
Walt Disney Co. | 1,500 | 170,340 | |||||||||||||
|
| ||||||||||||||
314,883 | |||||||||||||||
|
| ||||||||||||||
Multiline Retail - 0.07% | |||||||||||||||
Dollar General Corp. | 1,400 | 137,410 | |||||||||||||
|
| ||||||||||||||
Specialty Retail - 5.47% | |||||||||||||||
Abercrombie & Fitch Co., Class A | 50,000 | 1,184,500 | |||||||||||||
American Eagle Outfitters, Inc. | 20,400 | 513,672 | |||||||||||||
Bed Bath & Beyond, Inc. | 66,102 | 1,238,090 | |||||||||||||
Best Buy Co., Inc. | 19,800 | 1,485,594 | |||||||||||||
Cato Corp., Class A | 41,400 | 1,030,860 | |||||||||||||
Citi Trends, Inc. | 500 | 14,205 | |||||||||||||
DSW, Inc., Class A | 3,100 | 85,064 | |||||||||||||
Foot Locker, Inc. | 27,800 | 1,356,918 | |||||||||||||
Hibbett Sports, Inc.A | 11,900 | 273,105 | |||||||||||||
Hudson Ltd., Class AA | 853 | 14,416 | |||||||||||||
Signet Jewelers Ltd. | 600 | 34,644 | |||||||||||||
Tailored Brands, Inc. | 19,400 | 391,104 | |||||||||||||
Tiffany & Co. | 500 | 68,780 | |||||||||||||
TJX Co., Inc. | 2,000 | 194,520 | |||||||||||||
Ulta Salon Cosmetics & Fragrance, Inc.A | 7,280 | 1,779,159 | |||||||||||||
Urban Outfitters, Inc.A | 4,600 | 204,240 |
See accompanying notes
28
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 56.32% (continued) | |||||||||||||||
Consumer Discretionary - 12.15% (continued) | |||||||||||||||
Specialty Retail - 5.47% (continued) | |||||||||||||||
Williams-Sonoma, Inc. | 6,400 | $ | 374,336 | ||||||||||||
Zumiez, Inc.A | 8,800 | 199,320 | |||||||||||||
|
| ||||||||||||||
10,442,527 | |||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - 2.33% | |||||||||||||||
Carter’s, Inc. | 1,400 | 146,762 | |||||||||||||
Deckers Outdoor Corp.A | 19,400 | 2,188,902 | |||||||||||||
Lululemon Athletica, Inc.A | 15,700 | 1,883,215 | |||||||||||||
Rocky Brands, Inc. | 9,100 | 235,235 | |||||||||||||
|
| ||||||||||||||
4,454,114 | |||||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 23,192,445 | ||||||||||||||
|
| ||||||||||||||
Consumer Staples - 2.53% | |||||||||||||||
Beverages - 0.18% | |||||||||||||||
Coca-Cola Bottling Co. Consolidated | 500 | 72,560 | |||||||||||||
Coca-Cola Co. | 3,100 | 144,553 | |||||||||||||
PepsiCo, Inc. | 1,100 | 126,500 | |||||||||||||
|
| ||||||||||||||
343,613 | |||||||||||||||
|
| ||||||||||||||
Food & Staples Retailing - 0.77% | |||||||||||||||
Costco Wholesale Corp. | 200 | 43,742 | |||||||||||||
Performance Food Group Co.A | 15,300 | 548,505 | |||||||||||||
Sysco Corp. | 1,300 | 87,373 | |||||||||||||
US Foods Holding Corp.A | 19,200 | 649,152 | |||||||||||||
Walmart, Inc. | 1,600 | 142,768 | |||||||||||||
|
| ||||||||||||||
1,471,540 | |||||||||||||||
|
| ||||||||||||||
Food Products - 0.89% | |||||||||||||||
Archer-Daniels-Midland Co. | 1,500 | 72,390 | |||||||||||||
Bunge Ltd. | 1,000 | 69,130 | |||||||||||||
Campbell Soup Co. | 10,500 | 429,450 | |||||||||||||
Flowers Foods, Inc. | 6,200 | 126,480 | |||||||||||||
Hershey Co. | 700 | 68,747 | |||||||||||||
Ingredion, Inc. | 2,200 | 222,860 | |||||||||||||
JM Smucker Co. | 700 | 77,784 | |||||||||||||
Lamb Weston Holdings, Inc. | 2,700 | 189,729 | |||||||||||||
McCormick & Co., Inc. | 700 | 82,278 | |||||||||||||
Sanderson Farms, Inc. | 1,900 | 191,577 | |||||||||||||
TreeHouse Foods, Inc.A | 1,200 | 56,988 | |||||||||||||
Tyson Foods, Inc., Class A | 1,800 | 103,770 | |||||||||||||
|
| ||||||||||||||
1,691,183 | |||||||||||||||
|
| ||||||||||||||
Household Products - 0.07% | |||||||||||||||
Procter & Gamble Co. | 1,600 | 129,408 | |||||||||||||
|
| ||||||||||||||
Personal Products - 0.30% | |||||||||||||||
Medifast, Inc. | 1,200 | 206,016 | |||||||||||||
Natural Health Trends Corp. | 6,600 | 157,542 | |||||||||||||
USANA Health Sciences, Inc.A | 1,600 | 211,600 | |||||||||||||
|
| ||||||||||||||
575,158 | |||||||||||||||
|
| ||||||||||||||
Tobacco - 0.32% | |||||||||||||||
Philip Morris International, Inc. | 7,200 | 621,360 | |||||||||||||
|
| ||||||||||||||
Total Consumer Staples | 4,832,262 | ||||||||||||||
|
| ||||||||||||||
Energy - 2.00% | |||||||||||||||
Energy Equipment & Services - 0.22% | |||||||||||||||
SEACOR Holdings, Inc.A | 7,800 | 411,606 | |||||||||||||
|
|
See accompanying notes
29
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 56.32% (continued) | |||||||||||||||
Energy - 2.00% (continued) | |||||||||||||||
Oil, Gas & Consumable Fuels - 1.78% | |||||||||||||||
Arch Coal, Inc., Class A | 2,600 | $ | 219,934 | ||||||||||||
Bonanza Creek Energy, Inc.A | 8,800 | 327,360 | |||||||||||||
Chevron Corp. | 1,300 | 164,151 | |||||||||||||
ConocoPhillips | 1,700 | 122,689 | |||||||||||||
EOG Resources, Inc. | 1,300 | 167,622 | |||||||||||||
EQT Corp. | 1,100 | 54,648 | |||||||||||||
Exxon Mobil Corp. | 1,900 | 154,869 | |||||||||||||
Halcon Resources Corp.A | 107,100 | 418,761 | |||||||||||||
Oasis Petroleum, Inc.A | 14,200 | 173,524 | |||||||||||||
Occidental Petroleum Corp. | 1,800 | 151,074 | |||||||||||||
Overseas Shipholding Group, Inc., Class AA | 29,000 | 104,400 | |||||||||||||
PBF Energy, Inc., Class A | 4,600 | 214,820 | |||||||||||||
Peabody Energy Corp. | 4,400 | 186,956 | |||||||||||||
SandRidge Energy, Inc.A | 55,100 | 899,232 | |||||||||||||
SilverBow Resources, Inc.A | 1,300 | 39,611 | |||||||||||||
|
| ||||||||||||||
3,399,651 | |||||||||||||||
|
| ||||||||||||||
Total Energy | 3,811,257 | ||||||||||||||
|
| ||||||||||||||
Financials - 3.61% | |||||||||||||||
Banks - 0.51% | |||||||||||||||
BB&T Corp. | �� | 3,200 | 162,592 | ||||||||||||
Cullen/Frost Bankers, Inc. | 1,600 | 176,784 | |||||||||||||
Independent Bank Corp. | 900 | 22,050 | |||||||||||||
M&T Bank Corp. | 900 | 156,015 | |||||||||||||
People’s United Financial, Inc. | 7,700 | 140,371 | |||||||||||||
PNC Financial Services Group, Inc. | 1,100 | 159,313 | |||||||||||||
US Bancorp | 2,800 | 148,428 | |||||||||||||
|
| ||||||||||||||
965,553 | |||||||||||||||
|
| ||||||||||||||
Capital Markets - 0.31% | |||||||||||||||
CME Group, Inc. | 1,100 | 175,032 | |||||||||||||
Intercontinental Exchange, Inc. | 2,300 | 169,993 | |||||||||||||
Oppenheimer Holdings, Inc., Class A | 8,500 | 251,175 | |||||||||||||
|
| ||||||||||||||
596,200 | |||||||||||||||
|
| ||||||||||||||
Consumer Finance - 0.38% | |||||||||||||||
Navient Corp. | 8,100 | 107,001 | |||||||||||||
Nelnet, Inc., Class A | 900 | 52,902 | |||||||||||||
Santander Consumer USA Holdings, Inc. | 29,900 | 575,276 | |||||||||||||
|
| ||||||||||||||
735,179 | |||||||||||||||
|
| ||||||||||||||
Diversified Financial Services - 0.05% | |||||||||||||||
Berkshire Hathaway, Inc., Class BA | 500 | 98,935 | |||||||||||||
|
| ||||||||||||||
Insurance - 2.27% | |||||||||||||||
Allstate Corp. | 1,600 | 152,192 | |||||||||||||
Ambac Financial Group, Inc.A | 7,600 | 155,192 | |||||||||||||
Assured Guaranty Ltd. | 66,400 | 2,584,288 | |||||||||||||
Axis Capital Holdings Ltd. | 2,200 | 124,432 | |||||||||||||
Everest Re Group Ltd. | 600 | 131,010 | |||||||||||||
RenaissanceRe Holdings Ltd. | 1,000 | 131,850 | |||||||||||||
Third Point Reinsurance Ltd.A | 83,417 | 1,051,054 | |||||||||||||
|
| ||||||||||||||
4,330,018 | |||||||||||||||
|
| ||||||||||||||
Thrifts & Mortgage Finance - 0.09% | |||||||||||||||
Essent Group Ltd.A | 2,000 | 76,800 | |||||||||||||
See accompanying notes
30
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 56.32% (continued) | |||||||||||||||
Financials - 3.61% (continued) | |||||||||||||||
Thrifts & Mortgage Finance - 0.09% (continued) | |||||||||||||||
Radian Group, Inc. | 4,500 | $ | 86,175 | ||||||||||||
|
| ||||||||||||||
162,975 | |||||||||||||||
|
| ||||||||||||||
Total Financials | 6,888,860 | ||||||||||||||
|
| ||||||||||||||
Health Care - 3.53% | |||||||||||||||
Biotechnology - 0.90% | |||||||||||||||
Amgen, Inc. | 600 | 117,930 | |||||||||||||
Applied Genetic Technologies Corp.A | 34,100 | 136,400 | |||||||||||||
BioMarin Pharmaceutical, Inc.A | 1,000 | 100,560 | |||||||||||||
Celgene Corp.A | 1,600 | 144,144 | |||||||||||||
Concert Pharmaceuticals, Inc.A | 1,600 | 25,584 | |||||||||||||
Emergent BioSolutions, Inc.A | 19,000 | 1,032,650 | |||||||||||||
Gilead Sciences, Inc. | 2,000 | 155,660 | |||||||||||||
|
| ||||||||||||||
1,712,928 | |||||||||||||||
|
| ||||||||||||||
Health Care Equipment & Supplies - 0.92% | |||||||||||||||
Boston Scientific Corp.A | 11,200 | 376,432 | |||||||||||||
Cantel Medical Corp. | 1,800 | 166,878 | |||||||||||||
FONAR Corp.A | 3,296 | 86,026 | |||||||||||||
Integer Holdings Corp.A | 900 | 64,305 | |||||||||||||
Intuitive Surgical, Inc.A | 100 | 50,819 | |||||||||||||
LivaNova PLCA | 1,400 | 154,182 | |||||||||||||
NuVasive, Inc.A | 5,800 | 336,690 | |||||||||||||
Varex Imaging Corp.A | 4,600 | 175,904 | |||||||||||||
Varian Medical Systems, Inc.A | 900 | 103,905 | |||||||||||||
Zimmer Biomet Holdings, Inc. | 1,900 | 238,488 | |||||||||||||
|
| ||||||||||||||
1,753,629 | |||||||||||||||
|
| ||||||||||||||
Health Care Providers & Services - 0.84% | |||||||||||||||
Aetna, Inc. | 700 | 131,873 | |||||||||||||
Anthem, Inc. | 500 | 126,500 | |||||||||||||
Cigna Corp. | 800 | 143,536 | |||||||||||||
Express Scripts Holding Co.A | 900 | 71,514 | |||||||||||||
HCA Healthcare, Inc.A | 600 | 74,538 | |||||||||||||
Humana, Inc. | 470 | 147,664 | |||||||||||||
Owens & Minor, Inc. | 16,300 | 307,581 | |||||||||||||
Patterson Cos., Inc. | 12,900 | 316,308 | |||||||||||||
Premier, Inc., Class AA | 2,200 | 82,280 | |||||||||||||
UnitedHealth Group, Inc. | 240 | 60,773 | |||||||||||||
Universal Health Services, Inc., Class B | 1,100 | 134,310 | |||||||||||||
|
| ||||||||||||||
1,596,877 | |||||||||||||||
|
| ||||||||||||||
Life Sciences Tools & Services - 0.36% | |||||||||||||||
Agilent Technologies, Inc. | 5,500 | 363,220 | |||||||||||||
Charles River Laboratories International, Inc.A | 700 | 87,010 | |||||||||||||
Medpace Holdings, Inc.A | 3,900 | 239,343 | |||||||||||||
|
| ||||||||||||||
689,573 | |||||||||||||||
|
| ||||||||||||||
Pharmaceuticals - 0.51% | |||||||||||||||
Bristol-Myers Squibb Co. | 8,500 | 499,375 | |||||||||||||
Eli Lilly & Co. | 1,900 | 187,739 | |||||||||||||
Merck & Co., Inc. | 1,800 | 118,566 | |||||||||||||
Pfizer, Inc. | 4,400 | 175,692 | |||||||||||||
|
| ||||||||||||||
981,372 | |||||||||||||||
|
| ||||||||||||||
Total Health Care | 6,734,379 | ||||||||||||||
|
|
See accompanying notes
31
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 56.32% (continued) | |||||||||||||||
Industrials - 6.53% | |||||||||||||||
Aerospace & Defense - 0.64% | |||||||||||||||
Huntington Ingalls Industries, Inc. | 900 | $ | 209,745 | ||||||||||||
Northrop Grumman Corp. | 280 | 84,137 | |||||||||||||
Raytheon Co. | 600 | 118,818 | |||||||||||||
Vectrus, Inc.A | 25,556 | 802,714 | |||||||||||||
|
| ||||||||||||||
1,215,414 | |||||||||||||||
|
| ||||||||||||||
Air Freight & Logistics - 0.01% | |||||||||||||||
CH Robinson Worldwide, Inc. | 300 | 27,669 | |||||||||||||
|
| ||||||||||||||
Building Products - 0.16% | |||||||||||||||
Masco Corp. | 3,200 | 129,056 | |||||||||||||
Owens Corning | 2,900 | 180,438 | |||||||||||||
|
| ||||||||||||||
309,494 | |||||||||||||||
|
| ||||||||||||||
Commercial Services & Supplies - 0.13% | |||||||||||||||
Pitney Bowes, Inc. | 7,300 | 63,729 | |||||||||||||
Waste Connections, Inc. | 2,300 | 178,503 | |||||||||||||
|
| ||||||||||||||
242,232 | |||||||||||||||
|
| ||||||||||||||
Construction & Engineering - 0.04% | |||||||||||||||
Argan, Inc. | 1,900 | 72,960 | |||||||||||||
|
| ||||||||||||||
Electrical Equipment - 1.65% | |||||||||||||||
Allied Motion Technologies, Inc. | 1,100 | 50,468 | |||||||||||||
Atkore International Group, Inc.A | 107,700 | 2,548,182 | |||||||||||||
nVent Electric PLCA | 20,000 | 548,000 | |||||||||||||
|
| ||||||||||||||
3,146,650 | |||||||||||||||
|
| ||||||||||||||
Machinery - 0.23% | |||||||||||||||
Cummins, Inc. | 1,000 | 142,810 | |||||||||||||
Hurco Cos, Inc. | 3,700 | 163,910 | |||||||||||||
Woodward, Inc. | 1,600 | 133,136 | |||||||||||||
|
| ||||||||||||||
439,856 | |||||||||||||||
|
| ||||||||||||||
Professional Services - 1.53% | |||||||||||||||
Barrett Business Services, Inc. | 14,400 | 1,323,072 | |||||||||||||
CRA International, Inc. | 4,400 | 238,128 | |||||||||||||
Heidrick & Struggles International, Inc. | 3,800 | 155,420 | |||||||||||||
Insperity, Inc. | 10,900 | 1,036,590 | |||||||||||||
ManpowerGroup, Inc. | 1,800 | 167,868 | |||||||||||||
|
| ||||||||||||||
2,921,078 | |||||||||||||||
|
| ||||||||||||||
Road & Rail - 0.79% | |||||||||||||||
ArcBest Corp. | 28,400 | 1,322,020 | |||||||||||||
Landstar System, Inc. | 600 | 66,690 | |||||||||||||
Ryder System, Inc. | 1,500 | 117,450 | |||||||||||||
|
| ||||||||||||||
1,506,160 | |||||||||||||||
|
| ||||||||||||||
Trading Companies & Distributors - 1.35% | |||||||||||||||
AerCap Holdings N.V.A | 27,600 | 1,549,188 | |||||||||||||
GMS, Inc.A | 795 | 20,861 | |||||||||||||
HD Supply Holdings, Inc.A | 13,900 | 611,322 | |||||||||||||
MSC Industrial Direct Co., Inc., Class A | 1,700 | 143,871 | |||||||||||||
United Rentals, Inc.A | 1,000 | 148,800 | |||||||||||||
WW Grainger, Inc. | 330 | 114,365 | |||||||||||||
|
| ||||||||||||||
2,588,407 | |||||||||||||||
|
| ||||||||||||||
Total Industrials | 12,469,920 | ||||||||||||||
|
|
See accompanying notes
32
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 56.32% (continued) | |||||||||||||||
Information Technology - 7.74% | |||||||||||||||
Aerospace & Defense - 0.10% | |||||||||||||||
Harris Corp. | 1,200 | $ | 197,940 | ||||||||||||
|
| ||||||||||||||
Capital Markets - 0.05% | |||||||||||||||
Blucora, Inc.A | 2,549 | 88,578 | |||||||||||||
|
| ||||||||||||||
Communications Equipment - 0.58% | |||||||||||||||
Cisco Systems, Inc. | 4,200 | 177,618 | |||||||||||||
CommScope Holding Co., Inc.A | 4,900 | 157,339 | |||||||||||||
F5 Networks, Inc.A | 1,200 | 205,656 | |||||||||||||
InterDigital, Inc. | 1,500 | 123,675 | |||||||||||||
Juniper Networks, Inc. | 5,100 | 134,334 | |||||||||||||
Motorola Solutions, Inc. | 1,700 | 206,210 | |||||||||||||
Palo Alto Networks, Inc.A | 500 | 99,130 | |||||||||||||
|
| ||||||||||||||
1,103,962 | |||||||||||||||
|
| ||||||||||||||
Electronic Equipment, Instruments & Components - 0.44% | |||||||||||||||
Amphenol Corp., Class A | 1,800 | 168,318 | |||||||||||||
PCM, Inc.A | 3,418 | 75,538 | |||||||||||||
SYNNEX Corp. | 4,000 | 385,880 | |||||||||||||
TE Connectivity Ltd. | 700 | 65,499 | |||||||||||||
Tech Data Corp.A | 1,000 | 83,410 | |||||||||||||
Vishay Intertechnology, Inc. | 2,400 | 60,000 | |||||||||||||
|
| ||||||||||||||
838,645 | |||||||||||||||
|
| ||||||||||||||
Internet Software & Services - 2.88% | |||||||||||||||
Care.com, Inc.A | 21,400 | 385,628 | |||||||||||||
eBay, Inc.A | 55,800 | 1,866,510 | |||||||||||||
eGain Corp.A | 9,600 | 124,800 | |||||||||||||
Facebook, Inc., Class AA | 2,100 | 362,418 | |||||||||||||
LogMeIn, Inc. | 2,800 | 226,940 | |||||||||||||
TechTarget, Inc.A | 20,700 | 588,294 | |||||||||||||
VeriSign, Inc.A | 1,000 | 145,230 | |||||||||||||
XO Group, Inc.A | 19,600 | 552,328 | |||||||||||||
Yelp, Inc.A | 33,800 | 1,246,544 | |||||||||||||
|
| ||||||||||||||
5,498,692 | |||||||||||||||
|
| ||||||||||||||
IT Services - 0.40% | |||||||||||||||
Amdocs Ltd. | 2,400 | 162,192 | |||||||||||||
Automatic Data Processing, Inc. | 500 | 67,495 | |||||||||||||
Cardtronics PLC, Class AA | 4,100 | 103,812 | |||||||||||||
CoreLogic, Inc.A | 1,200 | 58,440 | |||||||||||||
Genpact Ltd. | 10,000 | 303,800 | |||||||||||||
Worldpay, Inc., Class AA | 900 | 73,971 | |||||||||||||
|
| ||||||||||||||
769,710 | |||||||||||||||
|
| ||||||||||||||
Semiconductors & Semiconductor Equipment - 0.11% | |||||||||||||||
Maxim Integrated Products, Inc. | 1,000 | 61,140 | |||||||||||||
QUALCOMM, Inc. | 800 | 51,272 | |||||||||||||
Xilinx, Inc. | 1,400 | 100,898 | |||||||||||||
|
| ||||||||||||||
213,310 | |||||||||||||||
|
| ||||||||||||||
Software - 3.15% | |||||||||||||||
Atlassian Corp. PLC, Class AA | 1,200 | 86,892 | |||||||||||||
Avaya Holdings Corp.A | 12,400 | 255,192 | |||||||||||||
Cadence Design Systems, Inc.A | 7,500 | 330,675 | |||||||||||||
Check Point Software Technologies Ltd.A | 4,800 | 540,816 | |||||||||||||
Citrix Systems, Inc.A | 21,000 | 2,309,370 | |||||||||||||
CommVault Systems, Inc.A | 1,200 | 77,880 |
See accompanying notes
33
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 56.32% (continued) | |||||||||||||||
Information Technology - 7.74% (continued) | |||||||||||||||
Software - 3.15% (continued) | |||||||||||||||
MicroStrategy, Inc., Class AA | 2,500 | $ | 325,375 | ||||||||||||
Nuance Communications, Inc.A | 4,400 | 64,988 | |||||||||||||
Oracle Corp. | 10,000 | 476,800 | |||||||||||||
Progress Software Corp. | 42,200 | 1,552,538 | |||||||||||||
|
| ||||||||||||||
6,020,526 | |||||||||||||||
|
| ||||||||||||||
Technology Hardware, Storage & Peripherals - 0.03% | |||||||||||||||
Xerox Corp. | 1,800 | 46,746 | |||||||||||||
|
| ||||||||||||||
Total Information Technology | 14,778,109 | ||||||||||||||
|
| ||||||||||||||
Materials - 2.12% | |||||||||||||||
Chemicals - 0.20% | |||||||||||||||
Ecolab, Inc. | 1,000 | 140,700 | |||||||||||||
Praxair, Inc. | 700 | 117,250 | |||||||||||||
Sherwin-Williams Co. | 270 | 118,997 | |||||||||||||
|
| ||||||||||||||
376,947 | |||||||||||||||
|
| ||||||||||||||
Containers & Packaging - 0.19% | |||||||||||||||
Berry Global Group, Inc.A | 5,900 | 288,215 | |||||||||||||
Greif, Inc., Class A | 1,400 | 76,230 | |||||||||||||
|
| ||||||||||||||
364,445 | |||||||||||||||
|
| ||||||||||||||
Metals & Mining - 0.08% | |||||||||||||||
Newmont Mining Corp. | 4,100 | 150,388 | |||||||||||||
|
| ||||||||||||||
Paper & Forest Products - 1.65% | |||||||||||||||
Louisiana-Pacific Corp. | 46,200 | 1,243,704 | |||||||||||||
Verso Corp., Class AA | 91,216 | 1,903,678 | |||||||||||||
|
| ||||||||||||||
3,147,382 | |||||||||||||||
|
| ||||||||||||||
Total Materials | 4,039,162 | ||||||||||||||
|
| ||||||||||||||
Real Estate - 13.15% | |||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 13.15% | |||||||||||||||
American Assets Trust, Inc. | 30,300 | 1,164,429 | |||||||||||||
American Homes 4 Rent, Class A | 38,700 | 856,818 | |||||||||||||
Americold Realty Trust | 105,700 | 2,273,607 | |||||||||||||
Brixmor Property Group, Inc. | 20,900 | 369,721 | |||||||||||||
CareTrust REIT, Inc. | 5,305 | 89,707 | |||||||||||||
CBL & Associates Properties, Inc. | 73,800 | 402,210 | |||||||||||||
Cedar Realty Trust, Inc. | 23,600 | 112,336 | |||||||||||||
CoreSite Realty Corp. | 800 | 89,680 | |||||||||||||
Empire State Realty Trust, Inc., Class A | 27,900 | 465,093 | |||||||||||||
Equinix, Inc. | 5,650 | 2,481,932 | |||||||||||||
Equity LifeStyle Properties, Inc. | 25,300 | 2,302,047 | |||||||||||||
Essex Property Trust, Inc. | 2,200 | 528,990 | |||||||||||||
Forest City Realty Trust, Inc., Class A | 107,900 | 2,694,263 | |||||||||||||
Global Net Lease, Inc. | 40,100 | 848,516 | |||||||||||||
Healthcare Trust of America, Inc., Class A | 37,800 | 1,032,696 | |||||||||||||
Host Hotels & Resorts, Inc. | 30,400 | 636,576 | |||||||||||||
Innovative Industrial Properties, Inc. | 12,026 | 389,402 | |||||||||||||
Kite Realty Group Trust | 7,500 | 126,525 | |||||||||||||
PS Business Parks, Inc. | 7,100 | 907,167 | |||||||||||||
QTS Realty Trust, Inc., Class A | 58,600 | 2,505,150 | |||||||||||||
Retail Properties of America, Inc., Class A | 10,100 | 126,755 | |||||||||||||
Ryman Hospitality Properties, Inc. | 2,700 | 229,527 |
See accompanying notes
34
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 56.32% (continued) | |||||||||||||||
Real Estate - 13.15% (continued) | |||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 13.15% (continued) | |||||||||||||||
Senior Housing Properties Trust | 38,100 | $ | 679,704 | ||||||||||||
Simon Property Group, Inc. | 13,600 | 2,396,456 | |||||||||||||
Xenia Hotels & Resorts, Inc. | 57,489 | 1,402,157 | |||||||||||||
|
| ||||||||||||||
25,111,464 | |||||||||||||||
|
| ||||||||||||||
Total Real Estate | 25,111,464 | ||||||||||||||
|
| ||||||||||||||
Telecommunication Services - 0.74% | |||||||||||||||
Diversified Telecommunication Services - 0.27% | |||||||||||||||
AT&T, Inc. | 6,742 | 215,542 | |||||||||||||
Cogent Communications Holdings, Inc. | 1,700 | 88,315 | |||||||||||||
Verizon Communications, Inc. | 1,900 | 98,116 | |||||||||||||
Zayo Group Holdings, Inc.A | 3,000 | 111,270 | |||||||||||||
|
| ||||||||||||||
513,243 | |||||||||||||||
|
| ||||||||||||||
Wireless Telecommunication Services - 0.47% | |||||||||||||||
Telephone & Data Systems, Inc. | 35,800 | 903,950 | |||||||||||||
|
| ||||||||||||||
Total Telecommunication Services | 1,417,193 | ||||||||||||||
|
| ||||||||||||||
Utilities - 2.22% | |||||||||||||||
Electric Utilities - 0.16% | |||||||||||||||
American Electric Power Co., Inc. | 2,200 | 156,508 | |||||||||||||
NextEra Energy, Inc. | 900 | 150,786 | |||||||||||||
|
| ||||||||||||||
307,294 | |||||||||||||||
|
| ||||||||||||||
Gas Utilities - 0.27% | |||||||||||||||
UGI Corp. | 9,500 | 504,830 | |||||||||||||
|
| ||||||||||||||
Independent Power & Renewable Electricity Producers - 1.07% | |||||||||||||||
Atlantica Yield PLC | 99,800 | 2,050,890 | |||||||||||||
|
| ||||||||||||||
Multi-Utilities - 0.72% | |||||||||||||||
CenterPoint Energy, Inc. | 39,500 | 1,124,960 | |||||||||||||
Consolidated Edison, Inc. | 2,000 | 157,860 | |||||||||||||
DTE Energy Co. | 900 | 97,686 | |||||||||||||
|
| ||||||||||||||
1,380,506 | |||||||||||||||
|
| ||||||||||||||
Total Utilities | 4,243,520 | ||||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $104,940,664) | 107,518,571 | ||||||||||||||
|
| ||||||||||||||
EXCHANGE-TRADED INSTRUMENTS - 7.99% | |||||||||||||||
Exchange-Traded Funds - 7.99% | |||||||||||||||
Health Care Select Sector SPDR Fund | 43,000 | 3,823,990 | |||||||||||||
iShares MSCI Australia ETF | 59,900 | 1,372,908 | |||||||||||||
iShares MSCI Austria ETF | 28,700 | 683,060 | |||||||||||||
iShares MSCI Hong Kong ETF | 77,700 | 1,923,852 | |||||||||||||
iShares MSCI New Zealand ETF | 15,800 | 762,666 | |||||||||||||
iShares MSCI Turkey ETF | 8,900 | 251,069 | |||||||||||||
Technology Select Sector SPDR Fund | 51,900 | 3,680,748 | |||||||||||||
VanEck Vectors Russia ETF | 88,900 | 1,939,798 | |||||||||||||
VanEck Vectors Vietnam ETF | 49,700 | 818,062 | |||||||||||||
|
| ||||||||||||||
Total Exchange-Traded Funds | 15,256,153 | ||||||||||||||
|
| ||||||||||||||
Total Exchange-Traded Instruments (Cost $14,912,947) | 15,256,153 | ||||||||||||||
|
|
See accompanying notes
35
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
SHORT-TERM INVESTMENTS - 12.47% (Cost $23,815,895) | |||||||||||||||
Investment Companies - 12.47% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 1.82%B C | 23,815,895 | $ | 23,815,895 | ||||||||||||
|
| ||||||||||||||
TOTAL SECURITIES HELD LONG (Cost $143,669,506) | 146,590,619 | ||||||||||||||
|
| ||||||||||||||
SECURITIES HELD SHORT | |||||||||||||||
COMMON STOCKS - (47.64%) | |||||||||||||||
Consumer Discretionary - (13.55%) | |||||||||||||||
Auto Components - (1.28%) | |||||||||||||||
Adient PLC | (51,400 | ) | (2,448,182 | ) | |||||||||||
|
| ||||||||||||||
Automobiles - (1.29%) | |||||||||||||||
Tesla, Inc.A | (8,240 | ) | (2,456,674 | ) | |||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - (0.93%) | |||||||||||||||
Dunkin’ Brands Group, Inc. | (900 | ) | (62,667 | ) | |||||||||||
MGM Resorts International | (4,200 | ) | (131,754 | ) | |||||||||||
Papa John’s International, Inc. | (31,700 | ) | (1,330,132 | ) | |||||||||||
Scientific Games Corp., Class AA | (1,400 | ) | (67,270 | ) | |||||||||||
Shake Shack, Inc., Class AA | (900 | ) | (56,097 | ) | |||||||||||
Sonic Corp. | (1,800 | ) | (63,270 | ) | |||||||||||
Wynn Resorts Ltd. | (400 | ) | (66,712 | ) | |||||||||||
|
| ||||||||||||||
(1,777,902 | ) | ||||||||||||||
|
| ||||||||||||||
Household Durables - (2.71%) | |||||||||||||||
Leggett & Platt, Inc. | (48,800 | ) | (2,126,216 | ) | |||||||||||
Mohawk Industries, Inc.A | (3,500 | ) | (659,260 | ) | |||||||||||
Newell Brands, Inc. | (66,800 | ) | (1,749,492 | ) | |||||||||||
Tempur Sealy International, Inc.A | (13,000 | ) | (635,310 | ) | |||||||||||
|
| ||||||||||||||
(5,170,278 | ) | ||||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - (0.22%) | |||||||||||||||
Amazon.com, Inc.A | (82 | ) | (145,750 | ) | |||||||||||
Netflix, Inc.A | (470 | ) | (158,601 | ) | |||||||||||
TripAdvisor, Inc.A | (900 | ) | (52,191 | ) | |||||||||||
Wayfair, Inc., Class AA | (700 | ) | (76,174 | ) | |||||||||||
|
| ||||||||||||||
(432,716 | ) | ||||||||||||||
|
| ||||||||||||||
Leisure Products - (0.57%) | |||||||||||||||
Mattel, Inc. | (68,600 | ) | (1,088,682 | ) | |||||||||||
|
| ||||||||||||||
Media - (0.74%) | |||||||||||||||
Charter Communications, Inc., Class AA | (550 | ) | (167,519 | ) | |||||||||||
Discovery, Inc., Class AA | (2,300 | ) | (61,134 | ) | |||||||||||
DISH Network Corp., Class AA | (3,800 | ) | (119,928 | ) | |||||||||||
Liberty Media Corp-Liberty Formula One, Tracking Stock, Class CA D | (30,100 | ) | (1,061,025 | ) | |||||||||||
|
| ||||||||||||||
(1,409,606 | ) | ||||||||||||||
|
| ||||||||||||||
Multiline Retail - (0.19%) | |||||||||||||||
Ollie’s Bargain Outlet Holdings, Inc.A | (5,400 | ) | (375,300 | ) | |||||||||||
|
| ||||||||||||||
Specialty Retail - (5.52%) | |||||||||||||||
At Home Group, Inc.A | (1,700 | ) | (61,659 | ) | |||||||||||
CarMax, Inc.A | (31,000 | ) | (2,315,080 | ) | |||||||||||
Carvana Co.A | (16,000 | ) | (688,000 | ) | |||||||||||
Children’s Place, Inc. | (5,800 | ) | (712,820 | ) | |||||||||||
Conn’s, Inc.A | (40,800 | ) | (1,383,120 | ) | |||||||||||
Five Below, Inc.A | (7,600 | ) | (738,416 | ) | |||||||||||
Francesca’s Holdings Corp.A | (30,300 | ) | (246,642 | ) | |||||||||||
Lithia Motors, Inc., Class A | (16,200 | ) | (1,442,610 | ) | |||||||||||
Lowe’s Co., Inc. | (1,700 | ) | (168,878 | ) |
See accompanying notes
36
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (47.64%) (continued) | |||||||||||||||
Consumer Discretionary - (13.55%) (continued) | |||||||||||||||
Specialty Retail - (5.52%) (continued) | |||||||||||||||
Monro, Inc. | (900 | ) | $ | (60,705 | ) | ||||||||||
Murphy USA, Inc.A | (6,300 | ) | (499,212 | ) | |||||||||||
National Vision Holdings, Inc.A | (33,400 | ) | (1,358,044 | ) | |||||||||||
Restoration HardwareA | (4,200 | ) | (570,612 | ) | |||||||||||
Ross Stores, Inc. | (3,300 | ) | (288,519 | ) | |||||||||||
|
| ||||||||||||||
(10,534,317 | ) | ||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - (0.10%) | |||||||||||||||
Under Armour, Inc., Class AA | (4,900 | ) | (97,853 | ) | |||||||||||
Under Armour, Inc., Class CA | (4,700 | ) | (88,078 | ) | |||||||||||
|
| ||||||||||||||
(185,931 | ) | ||||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | (25,879,588 | ) | |||||||||||||
|
| ||||||||||||||
Consumer Staples - (0.89%) | |||||||||||||||
Beverages - (0.03%) | |||||||||||||||
Molson Coors Brewing Co., Class B | (1,000 | ) | (67,000 | ) | |||||||||||
|
| ||||||||||||||
Food & Staples Retailing - (0.22%) | |||||||||||||||
Casey’s General Stores, Inc. | (2,400 | ) | (262,512 | ) | |||||||||||
PriceSmart, Inc. | (1,900 | ) | (155,325 | ) | |||||||||||
|
| ||||||||||||||
(417,837 | ) | ||||||||||||||
|
| ||||||||||||||
Food Products - (0.55%) | |||||||||||||||
Kraft Heinz Co. | (17,400 | ) | (1,048,350 | ) | |||||||||||
|
| ||||||||||||||
Personal Products - (0.09%) | |||||||||||||||
Herbalife Nutrition Ltd.A | (3,200 | ) | (165,216 | ) | |||||||||||
|
| ||||||||||||||
Total Consumer Staples | (1,698,403 | ) | |||||||||||||
|
| ||||||||||||||
Energy - (2.93%) | |||||||||||||||
Energy Equipment & Services - (1.30%) | |||||||||||||||
Baker Hughes a GE Co. | (69,600 | ) | (2,406,768 | ) | |||||||||||
Weatherford International PLCA | (19,400 | ) | (65,766 | ) | |||||||||||
|
| ||||||||||||||
(2,472,534 | ) | ||||||||||||||
|
| ||||||||||||||
Oil, Gas & Consumable Fuels - (1.63%) | |||||||||||||||
Cheniere Energy, Inc.A | (2,300 | ) | (146,050 | ) | |||||||||||
Delek US Holdings, Inc. | (1,200 | ) | (63,984 | ) | |||||||||||
Golar LNG Ltd. | (69,600 | ) | (1,810,296 | ) | |||||||||||
Hess Corp. | (1,300 | ) | (85,319 | ) | |||||||||||
Marathon Petroleum Corp. | (900 | ) | (72,747 | ) | |||||||||||
SemGroup Corp., Class A | (33,200 | ) | (834,980 | ) | |||||||||||
Whiting Petroleum Corp.A | (2,000 | ) | (99,300 | ) | |||||||||||
|
| ||||||||||||||
(3,112,676 | ) | ||||||||||||||
|
| ||||||||||||||
Total Energy | (5,585,210 | ) | |||||||||||||
|
| ||||||||||||||
Financials - (2.43%) | |||||||||||||||
Capital Markets - (0.30%) | |||||||||||||||
Affiliated Managers Group, Inc. | (300 | ) | (48,003 | ) | |||||||||||
BlackRock, Inc. | (300 | ) | (150,828 | ) | |||||||||||
Franklin Resources, Inc. | (1,600 | ) | (54,912 | ) | |||||||||||
Moody’s Corp. | (1,100 | ) | (188,232 | ) | |||||||||||
S&P Global, Inc. | (300 | ) | (60,132 | ) | |||||||||||
WisdomTree Investments, Inc. | (7,500 | ) | (65,550 | ) | |||||||||||
|
| ||||||||||||||
(567,657 | ) | ||||||||||||||
|
|
See accompanying notes
37
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (47.64%) (continued) | |||||||||||||||
Financials - (2.43%) (continued) | |||||||||||||||
Consumer Finance - (0.03%) | |||||||||||||||
Capital One Financial Corp. | (600 | ) | $ | (56,592 | ) | ||||||||||
|
| ||||||||||||||
Insurance - (1.44%) | |||||||||||||||
Marsh & McLennan Co., Inc. | (22,100 | ) | (1,842,256 | ) | |||||||||||
Trupanion, Inc.A | (21,800 | ) | (906,880 | ) | |||||||||||
|
| ||||||||||||||
(2,749,136 | ) | ||||||||||||||
|
| ||||||||||||||
Thrifts & Mortgage Finance - (0.66%) | |||||||||||||||
Ditech Holding Corp.A | (1 | ) | (1 | ) | |||||||||||
LendingTree, Inc.A | (4,800 | ) | (1,146,240 | ) | |||||||||||
TFS Financial Corp. | (8,200 | ) | (124,804 | ) | |||||||||||
|
| ||||||||||||||
(1,271,045 | ) | ||||||||||||||
|
| ||||||||||||||
Total Financials | (4,644,430 | ) | |||||||||||||
|
| ||||||||||||||
Health Care - (1.67%) | |||||||||||||||
Biotechnology - (0.02%) | |||||||||||||||
PolarityTE, Inc.A | (1,900 | ) | (43,301 | ) | |||||||||||
|
| ||||||||||||||
Health Care Equipment & Supplies - (0.10%) | |||||||||||||||
Align Technology, Inc.A | (540 | ) | (192,591 | ) | |||||||||||
|
| ||||||||||||||
Health Care Providers & Services - (0.10%) | |||||||||||||||
PetIQ, Inc.A | (6,700 | ) | (183,580 | ) | |||||||||||
|
| ||||||||||||||
Health Care Technology - (0.11%) | |||||||||||||||
Teladoc, Inc.A | (3,553 | ) | (212,647 | ) | |||||||||||
|
| ||||||||||||||
Life Sciences Tools & Services - (0.05%) | |||||||||||||||
Illumina, Inc.A | (300 | ) | (97,308 | ) | |||||||||||
|
| ||||||||||||||
Pharmaceuticals - (1.29%) | |||||||||||||||
Akorn, Inc.A | (100,900 | ) | (1,868,668 | ) | |||||||||||
Allergan PLC | (900 | ) | (165,681 | ) | |||||||||||
Mylan N.V.A | (2,000 | ) | (74,620 | ) | |||||||||||
Pacira Pharmaceuticals, Inc.A | (1,600 | ) | (64,320 | ) | |||||||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR | (11,875 | ) | (284,288 | ) | |||||||||||
|
| ||||||||||||||
(2,457,577 | ) | ||||||||||||||
|
| ||||||||||||||
Total Health Care | (3,187,004 | ) | |||||||||||||
|
| ||||||||||||||
Industrials - (3.40%) | |||||||||||||||
Aerospace & Defense - (0.13%) | |||||||||||||||
Arconic, Inc. | (9,000 | ) | (195,210 | ) | |||||||||||
Boeing Co. | (170 | ) | (60,571 | ) | |||||||||||
|
| ||||||||||||||
(255,781 | ) | ||||||||||||||
|
| ||||||||||||||
Air Freight & Logistics - (0.26%) | |||||||||||||||
FedEx Corp. | (600 | ) | (147,522 | ) | |||||||||||
United Parcel Service, Inc., Class B | (2,400 | ) | (287,736 | ) | |||||||||||
XPO Logistics, Inc.A | (600 | ) | (59,832 | ) | |||||||||||
|
| ||||||||||||||
(495,090 | ) | ||||||||||||||
|
| ||||||||||||||
Airlines - (0.03%) | |||||||||||||||
American Airlines Group, Inc. | (1,300 | ) | (51,402 | ) | |||||||||||
|
|
See accompanying notes
38
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (47.64%) (continued) | |||||||||||||||
Industrials - (3.40%) (continued) | |||||||||||||||
Building Products - (1.13%) | |||||||||||||||
AAON, Inc. | (1,800 | ) | $ | (67,950 | ) | ||||||||||
Johnson Controls International PLC | (55,900 | ) | (2,096,809 | ) | |||||||||||
|
| ||||||||||||||
(2,164,759 | ) | ||||||||||||||
|
| ||||||||||||||
Commercial Services & Supplies - (0.35%) | |||||||||||||||
Multi-Color Corp. | (8,100 | ) | (537,435 | ) | |||||||||||
Team, Inc.A | (5,500 | ) | (119,900 | ) | |||||||||||
|
| ||||||||||||||
(657,335 | ) | ||||||||||||||
|
| ||||||||||||||
Industrial Conglomerates - (0.07%) | |||||||||||||||
General Electric Co. | (10,100 | ) | (137,663 | ) | |||||||||||
|
| ||||||||||||||
Machinery - (1.24%) | |||||||||||||||
Caterpillar, Inc. | (1,000 | ) | (143,800 | ) | |||||||||||
Deere & Co. | (400 | ) | (57,916 | ) | |||||||||||
Wabtec Corp. | (19,700 | ) | (2,173,304 | ) | |||||||||||
|
| ||||||||||||||
(2,375,020 | ) | ||||||||||||||
|
| ||||||||||||||
Road & Rail - (0.19%) | |||||||||||||||
Avis Budget Group, Inc.A | (1,600 | ) | (55,760 | ) | |||||||||||
Hertz Global Holdings, Inc.A | (19,600 | ) | (298,508 | ) | |||||||||||
|
| ||||||||||||||
(354,268 | ) | ||||||||||||||
|
| ||||||||||||||
Total Industrials | (6,491,318 | ) | |||||||||||||
|
| ||||||||||||||
Information Technology - (5.28%) | |||||||||||||||
Communications Equipment - (1.19%) | |||||||||||||||
Acacia Communications, Inc.A | (3,500 | ) | (112,490 | ) | |||||||||||
ViaSat, Inc.A | (30,600 | ) | (2,152,404 | ) | |||||||||||
|
| ||||||||||||||
(2,264,894 | ) | ||||||||||||||
|
| ||||||||||||||
Electronic Equipment, Instruments & Components - (0.02%) | |||||||||||||||
II-VI, Inc.A | (800 | ) | (31,360 | ) | |||||||||||
|
| ||||||||||||||
Internet Software & Services - (0.14%) | |||||||||||||||
Alphabet, Inc., Class AA | (60 | ) | (73,633 | ) | |||||||||||
Alphabet, Inc., Class CA | (59 | ) | (71,819 | ) | |||||||||||
Spotify Technology S.A.A | (400 | ) | (73,132 | ) | |||||||||||
Twitter, Inc.A | (1,400 | ) | (44,618 | ) | |||||||||||
|
| ||||||||||||||
(263,202 | ) | ||||||||||||||
|
| ||||||||||||||
IT Services - (0.36%) | |||||||||||||||
First Data Corp., Class AA | (4,200 | ) | (97,692 | ) | |||||||||||
PayPal Holdings, Inc.A | (1,900 | ) | (156,066 | ) | |||||||||||
Square, Inc., Class AA | (1,300 | ) | (84,045 | ) | |||||||||||
Switch, Inc., Class A | (27,100 | ) | (352,842 | ) | |||||||||||
|
| ||||||||||||||
(690,645 | ) | ||||||||||||||
|
| ||||||||||||||
Semiconductors & Semiconductor Equipment - (1.78%) | |||||||||||||||
Advanced Micro Devices, Inc.A | (4,900 | ) | (89,817 | ) | |||||||||||
Cree, Inc.A | (1,300 | ) | (61,295 | ) | |||||||||||
Impinj, Inc.A | (79,000 | ) | (1,683,490 | ) | |||||||||||
MACOM Technology Solutions Holdings, Inc.A | (34,900 | ) | (726,967 | ) | |||||||||||
NVIDIA Corp. | (400 | ) | (97,944 | ) | |||||||||||
PDF Solutions, Inc.A | (21,700 | ) | (227,850 | ) | |||||||||||
Universal Display Corp. | (1,000 | ) | (96,300 | ) | |||||||||||
Veeco Instruments, Inc.A | (28,300 | ) | (414,595 | ) | |||||||||||
|
| ||||||||||||||
(3,398,258 | ) | ||||||||||||||
|
|
See accompanying notes
39
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (47.64%) (continued) | |||||||||||||||
Information Technology - (5.28%) (continued) | |||||||||||||||
Software - (1.41%) | |||||||||||||||
Activision Blizzard, Inc. | (2,200 | ) | $ | (161,524 | ) | ||||||||||
Autodesk, Inc.A | (1,300 | ) | (166,972 | ) | |||||||||||
Snap, Inc., Class AA | (170,099 | ) | (2,126,237 | ) | |||||||||||
Splunk, Inc.A | (1,300 | ) | (124,930 | ) | |||||||||||
Workday, Inc., Class AA | (1,000 | ) | (124,020 | ) | |||||||||||
|
| ||||||||||||||
(2,703,683 | ) | ||||||||||||||
|
| ||||||||||||||
Technology Hardware, Storage & Peripherals - (0.38%) | |||||||||||||||
3D Systems Corp.A | (60,191 | ) | (732,524 | ) | |||||||||||
|
| ||||||||||||||
Total Information Technology | (10,084,566 | ) | |||||||||||||
|
| ||||||||||||||
Materials - (0.45%) | |||||||||||||||
Chemicals - (0.42%) | |||||||||||||||
Albemarle Corp. | (6,200 | ) | (584,040 | ) | |||||||||||
CF Industries Holdings, Inc. | (1,300 | ) | (57,746 | ) | |||||||||||
NewMarket Corp. | (380 | ) | (155,587 | ) | |||||||||||
|
| ||||||||||||||
(797,373 | ) | ||||||||||||||
|
| ||||||||||||||
Metals & Mining - (0.03%) | |||||||||||||||
United States Steel Corp. | (1,700 | ) | (61,931 | ) | |||||||||||
|
| ||||||||||||||
Total Materials | (859,304 | ) | |||||||||||||
|
| ||||||||||||||
Real Estate - (14.60%) | |||||||||||||||
Equity Real Estate Investment Trusts (REITs) - (14.60%) | |||||||||||||||
American Tower Corp. | (3,500 | ) | (518,840 | ) | |||||||||||
Chesapeake Lodging Trust | (14,100 | ) | (451,482 | ) | |||||||||||
Community Healthcare Trust, Inc. | (35,081 | ) | (1,052,430 | ) | |||||||||||
Crown Castle International Corp. | (8,700 | ) | (964,221 | ) | |||||||||||
DDR Corp. | (76,600 | ) | (1,049,420 | ) | |||||||||||
Duke Realty Corp. | (85,300 | ) | (2,483,936 | ) | |||||||||||
Easterly Government Properties, Inc. | (35,600 | ) | (674,620 | ) | |||||||||||
Education Realty Trust, Inc. | (49,400 | ) | (2,043,184 | ) | |||||||||||
EPR Properties | (2,800 | ) | (186,172 | ) | |||||||||||
Government Properties Income Trust | (94,600 | ) | (1,425,622 | ) | |||||||||||
Gramercy Property Trust | (11,700 | ) | (320,463 | ) | |||||||||||
Hersha Hospitality Trust | (102,900 | ) | (2,221,611 | ) | |||||||||||
Iron Mountain, Inc. | (65,500 | ) | (2,299,705 | ) | |||||||||||
LaSalle Hotel Properties | (14,500 | ) | (502,715 | ) | |||||||||||
Life Storage, Inc. | (19,400 | ) | (1,861,624 | ) | |||||||||||
Omega Healthcare Investors, Inc. | (78,900 | ) | (2,342,541 | ) | |||||||||||
Prologis, Inc. | (100 | ) | (6,562 | ) | |||||||||||
Public Storage | (2,500 | ) | (544,575 | ) | |||||||||||
Sabra Health Care REIT, Inc. | (110,200 | ) | (2,381,422 | ) | |||||||||||
SBA Communications Corp.A | (900 | ) | (142,425 | ) | |||||||||||
Seritage Growth Properties | (55,900 | ) | (2,365,129 | ) | |||||||||||
Weingarten Realty Investors | (16,900 | ) | (510,718 | ) | |||||||||||
Weyerhaeuser Co. | (3,900 | ) | (133,302 | ) | |||||||||||
WP Carey, Inc. | (21,300 | ) | (1,392,594 | ) | |||||||||||
|
| ||||||||||||||
(27,875,313 | ) | ||||||||||||||
|
| ||||||||||||||
Total Real Estate | (27,875,313 | ) | |||||||||||||
|
| ||||||||||||||
Telecommunication Services - (0.04%) | |||||||||||||||
Diversified Telecommunication Services - (0.04%) | |||||||||||||||
CenturyLink, Inc. | (3,800 | ) | (71,326 | ) | |||||||||||
|
|
See accompanying notes
40
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (47.64%) (continued) | |||||||||||||||
Utilities - (2.40%) | |||||||||||||||
Electric Utilities - (1.25%) | |||||||||||||||
Dominion Energy, Inc. | (14,300 | ) | $ | (1,025,453 | ) | ||||||||||
Sempra Energy | (10,100 | ) | (1,167,459 | ) | |||||||||||
|
| ||||||||||||||
(2,192,912 | ) | ||||||||||||||
|
| ||||||||||||||
Multi-Utilities – (1.15%) | |||||||||||||||
Duke Energy Corp. | (200 | ) | (16,324 | ) | |||||||||||
Southern Co. | (49,000 | ) | (2,381,400 | ) | |||||||||||
|
| ||||||||||||||
(2,397,724 | ) | ||||||||||||||
|
| ||||||||||||||
Total Utilities | (4,590,636 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL COMMON STOCKS (Proceeds $(87,465,507)) | (90,967,098 | ) | |||||||||||||
|
| ||||||||||||||
EXCHANGE-TRADED INSTRUMENTS - (8.31%) | |||||||||||||||
Exchange-Traded Funds - (8.31%) | |||||||||||||||
Consumer Discretionary Select Sector SPDR Fund | (8,400 | ) | (934,668 | ) | |||||||||||
Global X MSCI Argentina ETF | (36,902 | ) | (1,093,406 | ) | |||||||||||
Industrial Select Sector SPDR Fund | (49,400 | ) | (3,799,848 | ) | |||||||||||
iShares China Large-Cap ETF | (20,200 | ) | (881,124 | ) | |||||||||||
iShares MSCI Germany ETF | (33,600 | ) | (1,052,016 | ) | |||||||||||
iShares MSCI Netherlands ETF | (7,100 | ) | (225,212 | ) | |||||||||||
iShares MSCI Philippines ETF | (49,891 | ) | (1,633,930 | ) | |||||||||||
iShares MSCI Poland ETF | (17,600 | ) | (428,560 | ) | |||||||||||
iShares MSCI South Africa ETF | (27,100 | ) | (1,658,249 | ) | |||||||||||
Materials Select Sector SPDR Fund | (11,700 | ) | (698,841 | ) | |||||||||||
SPDR S&P 500 ETF Trust | (3,820 | ) | (1,074,681 | ) | |||||||||||
Utilities Select Sector SPDR Fund | (45,100 | ) | (2,380,829 | ) | |||||||||||
|
| ||||||||||||||
Total Exchange-Traded Funds | (15,861,364 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL EXCHANGE-TRADED INSTRUMENTS (Proceeds $(15,270,249)) | (15,861,364 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL SECURITITES SOLD SHORT (Proceeds $(102,735,756)) | (106,828,462 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS IN SECURITIES (EXCLUDES SECURITIES SOLD SHORT) - 76.78% | 146,590,619 | ||||||||||||||
TOTAL SECURITIES SOLD SHORT - (55.95%) (Proceeds $(102,735,756)) | (106,828,462 | ) | |||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 79.17% | 151,160,857 | ||||||||||||||
|
| ||||||||||||||
NET ASSETS - 100.00% | $ | 190,923,014 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
A Non-income producing security.
B The Fund is affiliated by having the same investment advisor.
C 7-day yield.
D Tracking Stock - A form of common stock that is issued by a parent company and tracks the performance of a specific division of that parent company. It allows investors the chance to invest in an individual sector of a company while the parent company maintains overall control.
ADR - American Depositary Receipt.
ETF - Exchange-Traded Fund.
MSCI - Morgan Stanley Capital International.
PLC - Public Limited Company.
S&P - Standard & Poor’s.
S&P 500 - Standard & Poor’s U.S. Equity Large-Cap Index.
SPDR - Standard & Poor’s Depositary Receipt.
See accompanying notes
41
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Long Futures Contracts Open on July 31, 2018: |
| |||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Mini MSCI EAFE Index Futures | 105 | September 2018 | $10,502,229 | $ | 10,522,575 | $ | 20,346 | |||||||||
Mini MSCI Emerging Markets Index Futures | 7 | September 2018 | 366,540 | 383,705 | 17,165 | |||||||||||
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$10,868,769 | $ | 10,906,280 | $ | 37,511 | ||||||||||||
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Interest Rate Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
U.S. Treasury 10-Year Note Futures | 6 | September 2018 | $ 717,697 | $ | 716,531 | $ | (1,166 | ) | ||||||||
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$ 717,697 | $ | 716,531 | $ | (1,166 | ) | |||||||||||
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Short Futures Contracts Open on July 31, 2018: |
| |||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
S&P 500 E-Mini Index Futures | 31 | September 2018 | $(4,272,172) | $ | (4,366,505 | ) | $ | (94,333 | ) | |||||||
S&P/TSX 60 Index Futures | 1 | September 2018 | (146,960) | (150,998 | ) | (4,038 | ) | |||||||||
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$(4,419,132) | $ | (4,517,503 | ) | $ | (98,371 | ) | ||||||||||
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|
OTC Swap Agreements Outstanding on July 31, 2018: | ||||||||||||||||
OTC Swap Agreement Contracts for Difference-Equity |
Reference Entity | Counter- party | Long/Short | Currency | Financing Rate | Expiration Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Geberit AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 332 | $ | 146,918 | $ | 1,207 | |||||||||||||||
Givaudan S.A. | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 78 | 181,764 | 1,261 | |||||||||||||||||
Kuehne + Nagel International AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 505 | 78,224 | 2,551 | |||||||||||||||||
Nestle S.A. | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 1,870 | 152,924 | (491 | ) | ||||||||||||||||
Partners Group Holding AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 227 | 173,345 | (803 | ) | ||||||||||||||||
Roche Holding AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 247 | 58,382 | 2,258 | |||||||||||||||||
Siegfried Holding AG | MSC | Long | CHF | (0.423 | %) | 10/22/2018 | 3,825 | 1,645,909 | 5,795 | |||||||||||||||||
Sika AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 1,200 | 171,030 | (242 | ) | ||||||||||||||||
Sonova Holding AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 916 | 172,097 | (2,961 | ) | ||||||||||||||||
Swatch Group AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 1,430 | 121,558 | (3,619 | ) | ||||||||||||||||
Swiss Prime Site AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 570 | 52,048 | 259 | |||||||||||||||||
Swiss Re AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 710 | 63,298 | 1,807 | |||||||||||||||||
Swisscom AG | MSC | Long | CHF | (0.476 | %) | 10/22/2018 | 313 | 142,304 | 4,806 | |||||||||||||||||
Coloplast A/S | MSC | Long | DKK | (0.068 | %) | 10/22/2018 | 1,170 | 125,650 | 2,058 | |||||||||||||||||
Danske Bank A/S | MSC | Long | DKK | (0.068 | %) | 10/22/2018 | 4,790 | 135,976 | 3,385 | |||||||||||||||||
GN Store Nord A/S | MSC | Long | DKK | (0.068 | %) | 10/22/2018 | 16,382 | 779,575 | 2,573 | |||||||||||||||||
H Lundbeck A/S | MSC | Long | DKK | (0.068 | %) | 10/22/2018 | 3,530 | 258,905 | (3,160 | ) | ||||||||||||||||
Orsted A/S | MSC | Long | DKK | (0.068 | %) | 10/22/2018 | 2,080 | 132,139 | (3,757 | ) | ||||||||||||||||
Vestas Wind Systems A/S | MSC | Long | DKK | (0.068 | %) | 10/22/2018 | 1,020 | 67,122 | (1,266 | ) | ||||||||||||||||
William Demant Holding A/S | MSC | Long | DKK | (0.068 | %) | 10/22/2018 | 1,980 | 94,036 | 684 | |||||||||||||||||
Aalberts Industries NV | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 8,150 | 382,824 | (12,831 | ) | ||||||||||||||||
Ageas | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 1,710 | 85,934 | 5,802 | |||||||||||||||||
Amadeus IT Group S.A. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 2,230 | 193,030 | (2,557 | ) | ||||||||||||||||
ANDRITZ AG | MSC | Long | EUR | (0.069 | %) | 03/20/2019 | 1,290 | 72,600 | 634 | |||||||||||||||||
Arkema S.A. | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 2,329 | 282,042 | 10,219 | |||||||||||||||||
ASTM SpA | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 5,554 | 135,168 | 16,246 |
See accompanying notes
42
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Reference Entity | Counter- party | Long/Short | Currency | Financing Rate | Expiration Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
AURELIUS Equity Opportunities SE & Co. KGaA | MSC | Long | EUR | (7.857 | %) | 10/22/2018 | 26,716 | $ | 1,586,398 | $ | 64,081 | |||||||||||||||
Bauer AG | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 11,220 | 243,655 | 4,989 | |||||||||||||||||
Bayer AG | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 7,530 | 822,717 | 16,569 | |||||||||||||||||
Beneteau S.A. | MSC | Long | EUR | (0.119 | %) | 03/20/2019 | 40,695 | 627,568 | 41,901 | |||||||||||||||||
C&C Group PLC | MSC | Long | EUR | (0.069 | %) | 03/20/2019 | 44,500 | 178,591 | 521 | |||||||||||||||||
Cewe Stiftung & Co. KGAA | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 570 | 51,820 | 400 | |||||||||||||||||
Christian Dior SE | MSC | Long | EUR | (0.119 | %) | 03/20/2019 | 5,537 | 2,377,635 | (17,492 | ) | ||||||||||||||||
Colruyt S.A. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 2,880 | 169,229 | 3,033 | |||||||||||||||||
Covestro AG | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 26,717 | 2,507,696 | 58,769 | |||||||||||||||||
CTS Eventim AG & Co. KGaA | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 8,410 | 404,232 | (7,478 | ) | ||||||||||||||||
Deutsche Lufthansa AG | MSC | Long | EUR | 0.619 | % | 10/22/2018 | 9,504 | - | 8,896 | |||||||||||||||||
Deutz AG | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 142,172 | 1,181,905 | 111,453 | |||||||||||||||||
Eiffage S.A. | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 5,013 | 554,521 | 6,921 | |||||||||||||||||
El.En. SpA | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 9,560 | 324,385 | (8,277 | ) | ||||||||||||||||
Elisa OYJ | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 1,180 | 50,297 | 1,022 | |||||||||||||||||
Enel SpA | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 36,300 | 202,787 | (191 | ) | ||||||||||||||||
Fiat Chrysler Automobiles N.V. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 61,410 | 1,130,576 | (81,668 | ) | ||||||||||||||||
ForFarmers N.V. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 21,010 | 257,627 | (18,683 | ) | ||||||||||||||||
Galp Energia SGPS S.A. | MSC | Long | EUR | (0.069 | %) | 03/20/2019 | 4,200 | 83,345 | 3,096 | |||||||||||||||||
Groupe Bruxelles Lambert S.A. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 750 | 79,365 | 386 | |||||||||||||||||
Hermes International | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 107 | 68,181 | (376 | ) | ||||||||||||||||
HOCHTIEF AG | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 12,882 | 2,370,918 | (54,261 | ) | ||||||||||||||||
Iberdrola S.A. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 7,600 | 59,526 | (391 | ) | ||||||||||||||||
Intertrust N.V. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 6,200 | 112,079 | (3,990 | ) | ||||||||||||||||
Jacquet Metal Service | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 13,325 | 393,671 | (780 | ) | ||||||||||||||||
KBC Ancora | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 4,690 | 252,207 | 5,488 | |||||||||||||||||
KBC Group N.V. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 1,650 | 123,982 | 2,973 | |||||||||||||||||
Kerry Group PLC | MSC | Long | EUR | (0.069 | %) | 03/20/2019 | 1,080 | 118,531 | (3,917 | ) | ||||||||||||||||
Kesko OYJ | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 1,120 | 73,779 | (10,798 | ) | ||||||||||||||||
Kingspan Group PLC | MSC | Long | EUR | (0.069 | %) | 03/20/2019 | 1,690 | 80,480 | (1,938 | ) | ||||||||||||||||
Maisons du Monde S.A. | MSC | Long | EUR | (0.119 | %) | 03/20/2019 | 29,165 | 1,070,145 | (177,448 | ) | ||||||||||||||||
MAN SE | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 1,510 | 169,345 | 177 | |||||||||||||||||
Masmovil Ibercom S.A. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 3,619 | 399,305 | 10,163 | |||||||||||||||||
Mediaset Espana Comunicacion S.A. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 247,696 | 2,000,895 | (48,689 | ) | ||||||||||||||||
Mersen S.A. | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 1,484 | 58,428 | 3,039 | |||||||||||||||||
Nemetschek SE | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 5,701 | 774,440 | 18,010 | |||||||||||||||||
Neste OYJ | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 1,017 | 79,988 | 4,046 | |||||||||||||||||
NH Hotel Group S.A. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 229,813 | 1,706,125 | (16,134 | ) | ||||||||||||||||
OMV AG | MSC | Long | EUR | (0.069 | %) | 03/20/2019 | 16,470 | 896,089 | 35,844 | |||||||||||||||||
Paddy Power Betfair PLC | MSC | Long | EUR | (0.069 | %) | 03/20/2019 | 780 | 85,012 | 91 | |||||||||||||||||
Peugeot S.A. | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 89,181 | 2,168,462 | 399,500 | |||||||||||||||||
Pharming Group N.V. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 195,682 | 322,638 | (25,908 | ) | ||||||||||||||||
Proximus SADP | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 2,530 | 61,188 | 770 | |||||||||||||||||
Royal Dutch Shell PLC | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 1,270 | 44,215 | (617 | ) | ||||||||||||||||
SBM Offshore N.V. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 34,150 | 452,915 | 77,917 | |||||||||||||||||
Scout24 AG | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 1,140 | 61,304 | (1,947 | ) | ||||||||||||||||
Siltronic AG | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 14,651 | 2,302,226 | 254,565 | |||||||||||||||||
Snam SpA | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 11,900 | 51,406 | (237 | ) | ||||||||||||||||
Thales S.A. | MSC | Long | EUR | (0.119 | %) | 03/20/2019 | 600 | 79,645 | (702 | ) | ||||||||||||||||
Trigano S.A. | MSC | Long | EUR | (0.119 | %) | 03/20/2019 | 4,439 | 619,627 | 19,217 | |||||||||||||||||
UCB S.A. | MSC | Long | EUR | (0.069 | %) | 10/22/2018 | 1,330 | 109,897 | 4,420 | |||||||||||||||||
Wacker Neuson SE | MSC | Long | EUR | (0.119 | %) | 10/22/2018 | 19,536 | 478,192 | 26,515 | |||||||||||||||||
3i Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 171,430 | 2,093,686 | 37,214 |
See accompanying notes
43
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Reference Entity | Counter- party | Long/Short | Currency | Financing Rate | Expiration Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Admiral Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 3,690 | $ | 94,774 | $ | 1,113 | |||||||||||||||
Ashtead Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 31,240 | 947,846 | 11,474 | |||||||||||||||||
Auto Trader Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 30,300 | 174,485 | (5,445 | ) | ||||||||||||||||
BAE Systems PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 9,400 | 83,255 | (2,713 | ) | ||||||||||||||||
Bovis Homes Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 4,360 | 65,886 | 86 | |||||||||||||||||
Burberry Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 41,359 | 1,166,045 | (22,941 | ) | ||||||||||||||||
Carnival PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 1,030 | 59,678 | 108 | |||||||||||||||||
Conviviality PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 105,604 | 1,385 | 138,803 | |||||||||||||||||
Countryside Properties PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 57,100 | 251,517 | (749 | ) | ||||||||||||||||
Direct Line Insurance Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 21,549 | 95,627 | 1,583 | |||||||||||||||||
Drax Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 139,104 | 652,194 | 11,631 | |||||||||||||||||
Gulf Keystone Petroleum Ltd. | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 424,387 | 1,466,878 | (36,185 | ) | ||||||||||||||||
HSBC Holdings PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 8,200 | 78,654 | (79 | ) | ||||||||||||||||
Jackpotjoy PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 24,327 | 312,408 | 5,106 | |||||||||||||||||
Just Eat PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 8,100 | 91,695 | (7,438 | ) | ||||||||||||||||
Kingfisher PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 34,600 | 143,921 | (9,259 | ) | ||||||||||||||||
Marks & Spencer Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 20,300 | 82,868 | (852 | ) | ||||||||||||||||
Moneysupermarket.com Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 29,200 | 118,490 | 1,820 | |||||||||||||||||
Next PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 1,040 | 82,535 | (1,555 | ) | ||||||||||||||||
Paragon Banking Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 36,700 | 242,228 | (2,484 | ) | ||||||||||||||||
Persimmon PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 20,200 | 659,522 | (1,857 | ) | ||||||||||||||||
Plus500 Ltd. | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 105,831 | 2,422,477 | 154,095 | |||||||||||||||||
Polymetal International PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 10,600 | 93,522 | (1,140 | ) | ||||||||||||||||
Rightmove PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 950 | 64,825 | (4,125 | ) | ||||||||||||||||
Royal Dutch Shell PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 1,430 | 51,116 | (1,004 | ) | ||||||||||||||||
Royal Mail PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 21,300 | 129,922 | 1,090 | |||||||||||||||||
SSE PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 3,670 | 65,641 | (5,464 | ) | ||||||||||||||||
SSP Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 64,400 | 582,805 | (7,012 | ) | ||||||||||||||||
Stock Spirits Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 34,650 | 104,767 | (6,591 | ) | ||||||||||||||||
Thomas Cook Group PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 1,332,253 | 1,665,447 | 10,486 | |||||||||||||||||
William Hill PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 20,900 | 81,424 | 137 | |||||||||||||||||
Wm Morrison Supermarkets PLC | MSC | Long | GBP | 0.875 | % | 10/22/2018 | 23,400 | 78,548 | 1,658 | |||||||||||||||||
Azrieli Group Ltd. | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 2,960 | 139,517 | 2,096 | |||||||||||||||||
Bank Hapoalim BM | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 22,900 | 157,198 | 4,614 | |||||||||||||||||
Bank Leumi Le-Israel BM | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 27,700 | 166,690 | 6,788 | |||||||||||||||||
Bezeq The Israeli Telecommunication Corp. Ltd. | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 93,700 | 99,300 | (77 | ) | ||||||||||||||||
Elbit Systems Ltd. | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 758 | 89,784 | 1,032 | |||||||||||||||||
Frutarom Industries Ltd. | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 1,400 | 138,952 | 2,364 | |||||||||||||||||
Israel Chemicals Ltd. | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 36,100 | 167,795 | 4,718 | |||||||||||||||||
Israel Discount Bank Ltd. | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 51,000 | 154,979 | 6,110 | |||||||||||||||||
Mizrahi Tefahot Bank Ltd. | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 8,820 | 166,241 | 5,067 | |||||||||||||||||
Nice Ltd. | MSC | Long | ILS | 0.960 | % | 02/27/2019 | 1,720 | 187,573 | (94 | ) | ||||||||||||||||
Aker BP ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 12,710 | 439,615 | 15,288 | |||||||||||||||||
Austevoll Seafood ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 30,780 | 415,573 | 33,246 | |||||||||||||||||
DNB ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 8,470 | 165,038 | 6,030 | |||||||||||||||||
DNO ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 268,100 | 513,236 | 55,226 | |||||||||||||||||
Entra ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 8,870 | 129,774 | (218 | ) | ||||||||||||||||
Marine Harvest ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 4,520 | 95,368 | 3,578 | |||||||||||||||||
Odfjell Drilling Ltd. | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 39,803 | 153,891 | (733 | ) | ||||||||||||||||
SpareBank 1 Nord Norge | MSC | Long | NOK | 0.034 | % | 10/22/2018 | 24,366 | 183,927 | 1,495 | |||||||||||||||||
Spectrum ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 37,751 | 262,259 | 7,414 | |||||||||||||||||
Telenor ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 51,698 | 1,009,556 | 2,538 |
See accompanying notes
44
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Reference Entity | Counter- party | Long/Short | Currency | Financing Rate | Expiration Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
TGS NOPEC Geophysical Co. ASA | MSC | Long | NOK | 1.120 | % | 10/22/2018 | 14,354 | $ | 553,209 | $ | (5,285 | ) | ||||||||||||||
BioGaia AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 4,391 | 203,644 | 11,994 | |||||||||||||||||
Biotage AB | MSC | Long | SEK | 0.300 | % | 10/22/2018 | 9,660 | 120,055 | 1,539 | |||||||||||||||||
Concentric AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 2,199 | 37,841 | 200 | |||||||||||||||||
Dustin Group AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 47,334 | 484,925 | 2,608 | |||||||||||||||||
G5 Entertainment AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 27,967 | 1,395,961 | (92,868 | ) | ||||||||||||||||
Loomis AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 11,685 | 400,905 | (34,125 | ) | ||||||||||||||||
Lundin Petroleum AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 7,400 | 230,846 | 13,475 | |||||||||||||||||
Nobina AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 112,264 | 767,886 | 11,499 | |||||||||||||||||
Nolato AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 12,967 | 1,112,854 | 50,059 | |||||||||||||||||
SSAB AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 283,125 | 1,053,999 | 69,601 | |||||||||||||||||
SSAB AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 175,600 | 818,789 | 47,565 | |||||||||||||||||
Swedish Match AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 44,990 | 2,501,791 | (39,939 | ) | ||||||||||||||||
Swedish Orphan Biovitrum AB | MSC | Long | SEK | (0.163 | %) | 10/22/2018 | 15,430 | 426,043 | (8,445 | ) | ||||||||||||||||
ams AG | MSC | Short | CHF | (1.076 | %) | 10/22/2018 | (10,730 | ) | 778,846 | 4,335 | ||||||||||||||||
COSMO Pharmaceuticals N.V. | MSC | Short | CHF | (5.776 | %) | 10/22/2018 | (5,068 | ) | 631,708 | (24,572 | ) | |||||||||||||||
Credit Suisse Group AG | MSC | Short | CHF | (1.076 | %) | 10/22/2018 | (4,440 | ) | 68,237 | (3,386 | ) | |||||||||||||||
LafargeHolcim Ltd. | MSC | Short | CHF | (1.076 | %) | 10/22/2018 | (35,230 | ) | 1,684,279 | (117,789 | ) | |||||||||||||||
ALK-Abello A/S | MSC | Short | DKK | (0.668 | %) | 10/22/2018 | (9,143 | ) | 1,691,539 | (8,616 | ) | |||||||||||||||
Aegon N.V. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (14,200 | ) | 87,859 | (5,882 | ) | |||||||||||||||
Airbus SE | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (1,340 | ) | 165,818 | (376 | ) | |||||||||||||||
ALD S.A. | MSC | Short | EUR | (1.272 | %) | 03/20/2019 | (52,217 | ) | 929,889 | (3,666 | ) | |||||||||||||||
Allianz SE | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (360 | ) | 76,367 | (3,302 | ) | |||||||||||||||
ASML Holding N.V. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (422 | ) | 93,049 | 2,444 | ||||||||||||||||
AXA S.A. | MSC | Short | EUR | (0.619 | %) | 03/20/2019 | (2,440 | ) | 59,240 | (2,427 | ) | |||||||||||||||
Banco BPM SpA | MSC | Short | EUR | (1.369 | %) | 10/22/2018 | (744,500 | ) | 2,270,964 | (98,435 | ) | |||||||||||||||
Banco Comercial Portugues S.A. | MSC | Short | EUR | (0.669 | %) | 03/20/2019 | (477,300 | ) | 148,606 | (1,286 | ) | |||||||||||||||
Banco Santander S.A. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (13,500 | ) | 73,387 | (2,741 | ) | |||||||||||||||
Bayerische Motoren Werke AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (12,220 | ) | 1,151,797 | (30,506 | ) | |||||||||||||||
Boskalis Westminster | MSC | Short | EUR | (3.369 | %) | 10/22/2018 | (8,440 | ) | 251,621 | (7,505 | ) | |||||||||||||||
Carrefour S.A. | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (16,840 | ) | 301,443 | (1,205 | ) | |||||||||||||||
Credito Valtellinese SpA | MSC | Short | EUR | (7.869 | %) | 10/22/2018 | (17,524,272 | ) | 1,845,385 | (332,169 | ) | |||||||||||||||
Daimler AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (35,480 | ) | 2,377,057 | (78,460 | ) | |||||||||||||||
De’ Longhi SpA | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (1,830 | ) | 51,903 | (1,970 | ) | |||||||||||||||
Delivery Hero AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (21,300 | ) | 1,249,842 | 39,128 | ||||||||||||||||
Deutsche Bank AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (116,900 | ) | 1,403,293 | (126,989 | ) | |||||||||||||||
Deutsche Telekom AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (3,270 | ) | 52,589 | (1,550 | ) | |||||||||||||||
E.ON SE | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (9,300 | ) | 104,473 | (468 | ) | |||||||||||||||
Electricite de France S.A. | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (11,870 | ) | 169,926 | (7,847 | ) | |||||||||||||||
Ferrovial S.A. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (58,630 | ) | 875,421 | (3,566 | ) | |||||||||||||||
Fresenius SE & Co. KGaA | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (840 | ) | 68,268 | 3,381 | ||||||||||||||||
GEA Group AG | MSC | Short | EUR | (0.869 | %) | 10/22/2018 | (36,050 | ) | 1,324,462 | (84,361 | ) | |||||||||||||||
GRENKE AG | MSC | Short | EUR | (0.994 | %) | 10/22/2018 | (800 | ) | 92,013 | 3,510 | ||||||||||||||||
Huhtamaki OYJ | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (47,780 | ) | 1,610,082 | (108,998 | ) | |||||||||||||||
ING Groep N.V. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (7,420 | ) | 107,897 | (5,852 | ) | |||||||||||||||
Ingenico Group S.A. | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (8,150 | ) | 735,219 | 58,551 | ||||||||||||||||
Innate Pharma S.A. | MSC | Short | EUR | (11.994 | %) | 03/20/2019 | (19,521 | ) | 103,856 | (7,697 | ) | |||||||||||||||
Ion Beam Applications | MSC | Short | EUR | (8.119 | %) | 10/22/2018 | (13,172 | ) | 350,158 | 5,548 | ||||||||||||||||
Kone OYJ | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (13,120 | ) | 728,571 | 10,295 | ||||||||||||||||
Leonardo SpA | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (8,000 | ) | 84,805 | (11,139 | ) | |||||||||||||||
Mithra Pharmaceuticals S.A. | MSC | Short | EUR | (1.744 | %) | 10/22/2018 | (8,540 | ) | 367,714 | 31,975 | ||||||||||||||||
Neinor Homes S.A. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (93,738 | ) | 1,750,464 | (26,323 | ) | |||||||||||||||
Nokian Renkaat OYJ | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (5,280 | ) | 217,461 | (11,676 | ) | |||||||||||||||
Obrascon Huarte Lain S.A. | MSC | Short | EUR | (7.369 | %) | 10/22/2018 | (62,800 | ) | 194,352 | (27,040 | ) | |||||||||||||||
OCI N.V. | MSC | Short | EUR | (1.494 | %) | 10/22/2018 | (64,780 | ) | 1,875,948 | (84,133 | ) | |||||||||||||||
Orpea | MSC | Short | EUR | (0.619 | %) | 03/20/2019 | (1,366 | ) | 193,886 | 5,848 | ||||||||||||||||
Promotora de Informaciones S.A. | MSC | Short | EUR | (7.494 | %) | 10/22/2018 | (91,500 | ) | 173,865 | (20,984 | ) |
See accompanying notes
45
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Reference Entity | Counter- party | Long/Short | Currency | Financing Rate | Expiration Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Rallye S.A. | MSC | Short | EUR | (1.811 | %) | 03/20/2019 | (8,509 | ) | $ | 102,746 | $ | 2,389 | ||||||||||||||
Randstad Holding N.V. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (2,430 | ) | 143,128 | (11,145 | ) | |||||||||||||||
Rocket Internet SE | MSC | Short | EUR | (1.119 | %) | 10/22/2018 | (32,130 | ) | 1,124,804 | 7,519 | ||||||||||||||||
RWE AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (3,640 | ) | 94,379 | (1,193 | ) | |||||||||||||||
SES S.A. | MSC | Short | EUR | (0.869 | %) | 03/20/2019 | (112,510 | ) | 2,088,506 | (161,920 | ) | |||||||||||||||
Siemens AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (514 | ) | 70,244 | (2,382 | ) | |||||||||||||||
Siemens Gamesa Renewable Energy S.A. | MSC | Short | EUR | (2.369 | %) | 10/22/2018 | (71,830 | ) | 1,011,478 | (4,202 | ) | |||||||||||||||
Sodexo S.A. | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (12,080 | ) | 1,292,331 | (45,896 | ) | |||||||||||||||
SRP Groupe S.A. | MSC | Short | EUR | (10.244 | %) | 10/22/2018 | (31,353 | ) | 232,213 | (5,870 | ) | |||||||||||||||
Stora Enso OYJ | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (5,290 | ) | 87,149 | (340 | ) | |||||||||||||||
Takeaway.com N.V. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (2,050 | ) | 135,041 | (1,919 | ) | |||||||||||||||
Tenaris S.A. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (33,690 | ) | 625,580 | 9,461 | ||||||||||||||||
Tikkurila OYJ | MSC | Short | EUR | (0.747 | %) | 10/22/2018 | (7,089 | ) | 127,072 | (3,318 | ) | |||||||||||||||
UniCredit SpA | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (3,810 | ) | 62,232 | (5,367 | ) | |||||||||||||||
Unilever N.V. | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (2,620 | ) | 151,652 | 705 | ||||||||||||||||
Unione di Banche Italiane SpA | MSC | Short | EUR | (1.167 | %) | 10/22/2018 | (49,000 | ) | 196,958 | (6,114 | ) | |||||||||||||||
Vallourec S.A. | MSC | Short | EUR | (6.744 | %) | 10/22/2018 | (107,400 | ) | 653,198 | (40,464 | ) | |||||||||||||||
Volkswagen AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (822 | ) | 139,131 | (7,271 | ) | |||||||||||||||
Wartsila OYJ Abp | MSC | Short | EUR | (0.669 | %) | 10/22/2018 | (20,900 | ) | 444,654 | (7,501 | ) | |||||||||||||||
Wirecard AG | MSC | Short | EUR | (0.619 | %) | 10/22/2018 | (417 | ) | 75,919 | (2,025 | ) | |||||||||||||||
YIT OYJ | MSC | Short | EUR | (1.556 | %) | 10/22/2018 | (69,234 | ) | 405,846 | (64,806 | ) | |||||||||||||||
AA PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (98,375 | ) | 146,206 | 1,678 | ||||||||||||||||
British American Tobacco PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (48,090 | ) | 2,498,051 | (152,028 | ) | |||||||||||||||
Capita PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (173,150 | ) | 374,537 | 6,587 | ||||||||||||||||
CYBG PLC | MSC | Short | GBP | (2.466 | %) | 10/22/2018 | (53,400 | ) | 233,258 | (8,826 | ) | |||||||||||||||
Dixons Carphone PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (249,900 | ) | 589,232 | 9,342 | ||||||||||||||||
Fresnillo PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (26,540 | ) | 390,960 | 29,244 | ||||||||||||||||
Hurricane Energy PLC | MSC | Short | GBP | (7.131 | %) | 10/22/2018 | (597,616 | ) | 394,474 | 1,728 | ||||||||||||||||
Inmarsat PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (161,098 | ) | 1,171,138 | (32,543 | ) | |||||||||||||||
IQE PLC | MSC | Short | GBP | (7.000 | %) | 10/22/2018 | (294,500 | ) | 399,572 | 17,511 | ||||||||||||||||
John Wood Group PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (179,100 | ) | 1,446,727 | (79,878 | ) | |||||||||||||||
Merlin Entertainments PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (280,800 | ) | 1,489,197 | 38,676 | ||||||||||||||||
Metro Bank PLC | MSC | Short | GBP | (0.615 | %) | 10/22/2018 | (2,660 | ) | 115,564 | 3,908 | ||||||||||||||||
Micro Focus International PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (39,040 | ) | 659,925 | 19,791 | ||||||||||||||||
Ocado Group PLC | MSC | Short | GBP | (0.625 | %) | 10/22/2018 | (4,040 | ) | 59,202 | 590 | ||||||||||||||||
Petra Diamonds Ltd. | MSC | Short | GBP | (1.125 | %) | 10/22/2018 | (138,229 | ) | 90,661 | 7,072 | ||||||||||||||||
Provident Financial PLC | MSC | Short | GBP | (2.625 | %) | 10/22/2018 | (250,211 | ) | 2,019,175 | (179,862 | ) | |||||||||||||||
Prudential PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (6,130 | ) | 143,934 | (1,206 | ) | |||||||||||||||
Purplebricks Group PLC | MSC | Short | GBP | (20.875 | %) | 10/22/2018 | (177,797 | ) | 690,813 | 35,917 | ||||||||||||||||
Randgold Resources Ltd. | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (2,920 | ) | 213,502 | (3,677 | ) | |||||||||||||||
Sanne Group PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (18,846 | ) | 177,993 | 3,461 | ||||||||||||||||
Sirius Minerals PLC | MSC | Short | GBP | (7.625 | %) | 10/22/2018 | (818,114 | ) | 361,655 | (28,761 | ) | |||||||||||||||
Smart Metering Systems PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (55,886 | ) | 505,829 | 45,451 | ||||||||||||||||
Travis Perkins PLC | MSC | Short | GBP | 0.375 | % | 10/22/2018 | (118,130 | ) | 2,122,912 | 269,625 | ||||||||||||||||
Asetek A/S | MSC | Short | NOK | (3.555 | %) | 10/22/2018 | (7,903 | ) | 84,294 | (3,395 | ) | |||||||||||||||
Borr Drilling Ltd. | MSC | Short | NOK | 0.070 | % | 10/22/2018 | (60,530 | ) | 276,376 | (10,401 | ) | |||||||||||||||
Norwegian Air Shuttle ASA | MSC | Short | NOK | (9.037 | %) | 10/22/2018 | (25,594 | ) | 750,797 | 1,571 | ||||||||||||||||
Yara International ASA | MSC | Short | NOK | 0.520 | % | 10/22/2018 | (16,030 | ) | 675,241 | (32,870 | ) | |||||||||||||||
Atlas Copco AB | MSC | Short | SEK | (0.763 | %) | 10/22/2018 | (1,620 | ) | 45,070 | (1,355 | ) | |||||||||||||||
BillerudKorsnas AB | MSC | Short | SEK | (0.300 | %) | 10/22/2018 | (5,290 | ) | 60,236 | (2,890 | ) | |||||||||||||||
Eltel AB | MSC | Short | SEK | (3.213 | %) | 10/22/2018 | (40,151 | ) | 105,466 | (2,833 | ) | |||||||||||||||
Epiroc AB | MSC | Short | SEK | (0.763 | %) | 10/22/2018 | (15,170 | ) | 176,190 | (5,577 | ) | |||||||||||||||
Hennes & Mauritz AB | MSC | Short | SEK | (2.485 | %) | 10/22/2018 | (151,230 | ) | 2,386,798 | 32,260 | ||||||||||||||||
Oncopeptides AB | MSC | Short | SEK | (3.500 | %) | 10/22/2018 | (7,790 | ) | 141,853 | (5,142 | ) | |||||||||||||||
Skanska AB | MSC | Short | SEK | (0.763 | %) | 10/22/2018 | (44,280 | ) | 796,244 | (38,300 | ) | |||||||||||||||
Svenska Handelsbanken AB | MSC | Short | SEK | (0.763 | %) | 10/22/2018 | (30,060 | ) | 350,838 | (20,869 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||||
$ | 125,609,691 | $ | (348,982 | ) | ||||||||||||||||||||||
|
|
|
|
See accompanying notes
46
American Beacon Numeric Integrated Alpha FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Glossary: | ||
Counterparty Abbreviations: | ||
MSC | Morgan Stanley & Co., Inc. | |
Currency Abbreviations: | ||
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | Pound Sterling | |
ILS | Israeli New Sheqel | |
NOK | Norwegian Krone | |
SEK | Swedish Krona | |
Exchange Abbreviations: | ||
OTC | Over-the-Counter | |
Index Abbreviations: | ||
MSCI | Morgan Stanley Capital International | |
MSCI EAFE | Morgan Stanley Capital International - Europe, Australasia, and Far East | |
S&P 500 | Standard & Poor’s U.S. Equity Large-Cap Index | |
S&P/TSX | Canadian Equity Market Index | |
Other Abbreviations: | ||
ETF | Exchange-Traded Fund | |
PLC | Public Limited Company |
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of July 31, 2018, the investments were classified as described below:
Numeric Integrated Alpha Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Common Stocks | $ | 107,518,571 | $ | - | $ | - | $ | 107,518,571 | ||||||||||||||||||||
Exchange-Traded Instruments | 15,256,153 | - | - | 15,256,153 | ||||||||||||||||||||||||
Short-Term Investments | 23,815,895 | - | - | 23,815,895 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 146,590,619 | $ | - | $ | - | $ | 146,590,619 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||
Common Stocks (Sold Short) | $ | (90,967,098 | ) | $ | - | $ | - | $ | (90,967,098 | ) | ||||||||||||||||||
Exchange-Traded Instruments (Sold Short) | (15,861,364 | ) | - | - | (15,861,364 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Liabilities | (106,828,462 | ) | - | - | (106,828,462 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities | $ | 39,762,157 | $ | - | $ | - | $ | 39,762,157 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||||||||||||||
Futures Contracts | $ | 37,511 | $ | - | $ | - | $ | 37,511 | ||||||||||||||||||||
OTC Swap Agreement Contracts for Difference - Equity | - | 2,698,366 | - | 2,698,366 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 37,511 | $ | 2,698,366 | $ | - | $ | 2,735,877 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||||||
Futures Contracts | $ | (99,537 | ) | $ | - | $ | - | $ | (99,537 | ) | ||||||||||||||||||
OTC Swap Agreement Contracts for Difference - Equity | - | (3,047,348 | ) | - | (3,047,348 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Liabilities | $ | (99,537 | ) | $ | (3,047,348 | ) | $ | - | $ | (3,146,885 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of the Fund’s assets and liabilities. During the period ended July 31, 2018, there were no transfers between levels.
See accompanying notes
47
Statements of Assets and Liabilities
July 31, 2018 (Unaudited)
Grosvenor Long/Short Fund | Numeric Integrated Alpha Fund | |||||||||||
Assets: |
| |||||||||||
Investments in unaffiliated securities, at fair value† | $ | 16,071,910 | $ | 122,774,724 | ||||||||
Investments in affiliated securities, at fair value‡ | 1,079,034 | 23,815,895 | ||||||||||
Foreign currency, at fair value^ | 78,749 | 100,031 | ||||||||||
Foreign currency with brokers, at fair value1 | 374,629 | - | ||||||||||
Purchased options contracts outstanding (premiums paid $22,143) | 15,007 | - | ||||||||||
Foreign currency deposits with brokers for futures contracts, at fair value¤ | 11,378 | 740,919 | ||||||||||
Swap premium paid | 31 | - | ||||||||||
Cash with brokers | 4,190,025 | 104,529,084 | ||||||||||
Deposit with brokers for futures contracts | - | 790,889 | ||||||||||
Cash collateral held at custodian for the benefit of the broker | 2,429,048 | 46,775,000 | ||||||||||
Dividends and interest receivable | 48,239 | 84,383 | ||||||||||
Receivable for investments sold | 419,714 | 2,751,333 | ||||||||||
Receivable for fund shares sold | - | 470,313 | ||||||||||
Receivable for tax reclaims | 1,462 | - | ||||||||||
Receivable for expense reimbursement (Note 2) | 16,929 | 12,744 | ||||||||||
Unrealized appreciation from forward foreign currency contracts | 15,327 | - | ||||||||||
Receivable for variation margin on open futures contracts (Note 5) | 7,421 | - | ||||||||||
Unrealized appreciation from swap agreements | 309,771 | 2,698,366 | ||||||||||
Prepaid expenses | 45,181 | 58,463 | ||||||||||
|
|
|
| |||||||||
Total assets | 25,113,855 | 305,602,144 | ||||||||||
|
|
|
| |||||||||
Liabilities: |
| |||||||||||
Payable for investments purchased | 277,525 | 4,047,900 | ||||||||||
Payable for fund shares redeemed | - | 100,509 | ||||||||||
Foreign currency deposits with brokers for futures contracts, at fair value¤ | - | 9,885 | ||||||||||
Swap premium received | 37 | - | ||||||||||
Securities sold short, at fair value± | 5,085,507 | 106,828,462 | ||||||||||
Cash due to broker for futures contracts | 11,689 | - | ||||||||||
Cash due to custodian | 6,370 | 79,695 | ||||||||||
Written options and swaptions contracts, at fair value (premiums received $3,233) | 990 | - | ||||||||||
Swap income payable | 4,024 | 12,136 | ||||||||||
Dividends and interest expense payable | 21,915 | 144,565 | ||||||||||
Management and sub-advisory fees payable (Note 2) | 34,262 | 285,180 | ||||||||||
Service fees payable (Note 2) | 302 | - | ||||||||||
Transfer agent fees payable (Note 2) | 2,844 | 24,249 | ||||||||||
Custody and fund accounting fees payable | 5,179 | 10,718 | ||||||||||
Professional fees payable | 38,433 | 24,551 | ||||||||||
Unrealized depreciation from forward foreign currency contracts | 17,173 | - | ||||||||||
Payable for prospectus and shareholder reports | 2,163 | - | ||||||||||
Payable for variation margin from open futures contracts (Note 5) | - | 61,281 | ||||||||||
Unrealized depreciation from swap agreements | 74,553 | 3,047,348 | ||||||||||
Other liabilities | 20 | 2,651 | ||||||||||
|
|
|
| |||||||||
Total liabilities | 5,582,986 | 114,679,130 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 19,530,869 | $ | 190,923,014 | ||||||||
|
|
|
| |||||||||
Analysis of net assets: |
| |||||||||||
Paid-in-capital | $ | 18,156,626 | $ | 198,392,482 | ||||||||
(Overdistribution) of net investment income | (628,710 | ) | (1,573,921 | ) | ||||||||
Accumulated net realized gain (loss) | 1,234,957 | (4,311,956 | ) | |||||||||
Unrealized appreciation of investments in unaffiliated securitiesA | 858,287 | 2,921,113 | ||||||||||
Unrealized appreciation (depreciation) of purchased options contracts | (7,136 | ) | - | |||||||||
Unrealized appreciation (depreciation) of foreign currency transactions | 189 | (990 | ) | |||||||||
Unrealized appreciation (depreciation) of forward foreign currency contracts | (1,846 | ) | - | |||||||||
Unrealized appreciation (depreciation) of futures contracts | 7,396 | (62,026 | ) | |||||||||
Unrealized appreciation (depreciation) of swap agreements | 235,218 | (348,982 | ) | |||||||||
Unrealized appreciation of written options contracts | 2,243 | - | ||||||||||
Unrealized (depreciation) of short sales | (326,355 | ) | (4,092,706 | ) | ||||||||
|
|
|
| |||||||||
Net assets | $ | 19,530,869 | $ | 190,923,014 | ||||||||
|
|
|
|
See accompanying notes
48
American Beacon FundsSM
Statements of Assets and Liabilities
July 31, 2018 (Unaudited)
Grosvenor Long/Short Fund | Numeric Integrated Alpha Fund | |||||||||||
Shares outstanding at no par value (unlimited shares authorized): |
| |||||||||||
Institutional Class | 1,662,131 | 12,247 | ||||||||||
|
|
|
| |||||||||
Y Class | 37,063 | 10,169 | ||||||||||
|
|
|
| |||||||||
Investor Class | 50,929 | 10,162 | ||||||||||
|
|
|
| |||||||||
A Class | 18,977 | N/A | ||||||||||
|
|
|
| |||||||||
C Class | 16,593 | N/A | ||||||||||
|
|
|
| |||||||||
Ultra Class | 9,574 | 19,518,876 | ||||||||||
|
|
|
| |||||||||
Net assets: |
| |||||||||||
Institutional Class | $ | 18,097,386 | $ | 119,544 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 402,387 | $ | 99,114 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 548,116 | $ | 98,631 | ||||||||
|
|
|
| |||||||||
A Class | $ | 204,164 | N/A | |||||||||
|
|
|
| |||||||||
C Class | $ | 174,465 | N/A | |||||||||
|
|
|
| |||||||||
Ultra Class | $ | 104,351 | $ | 190,605,725 | ||||||||
|
|
|
| |||||||||
Net asset value, offering and redemption price per share: |
| |||||||||||
Institutional Class | $ | 10.89 | $ | 9.76 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 10.86 | $ | 9.75 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 10.76 | $ | 9.71 | ||||||||
|
|
|
| |||||||||
A Class | $ | 10.76 | N/A | |||||||||
|
|
|
| |||||||||
A Class (offering price) | $ | 11.42 | N/A | |||||||||
|
|
|
| |||||||||
C Class | $ | 10.51 | N/A | |||||||||
|
|
|
| |||||||||
Ultra Class | $ | 10.90 | $ | 9.77 | ||||||||
|
|
|
| |||||||||
† Cost of investments in unaffiliated securities | $ | 15,213,623 | $ | 119,853,611 | ||||||||
‡ Cost of investments in affiliated securities | $ | 1,079,034 | $ | 23,815,895 | ||||||||
¤ Cost of foreign currency deposits with broker for futures contracts | $ | 11,413 | $ | 731,891 | ||||||||
^ Cost of foreign currency | $ | 77,152 | $ | 100,065 | ||||||||
1 Cost of foreign currency with broker | $ | 375,558 | $ | - | ||||||||
± Proceeds of securities sold short | $ | 4,759,152 | $ | 102,735,756 | ||||||||
A The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
49
American Beacon FundsSM
Statements of Operations
For the period ended July 31, 2018 (Unaudited)
Grosvenor Long/Short Fund | Numeric Integrated Alpha Fund | |||||||||||
Investment income: | ||||||||||||
Dividend income from unaffiliated securities (net of foreign taxes)† | $ | 126,994 | $ | 1,262,684 | ||||||||
Dividend income from affiliated securities (Note 8) | 18,112 | 163,139 | ||||||||||
Interest income | 92,877 | 995,426 | ||||||||||
|
|
|
| |||||||||
Total investment income | 237,983 | 2,421,249 | ||||||||||
|
|
|
| |||||||||
Expenses: | ||||||||||||
Management and sub-advisory fees (Note 2) | 182,251 | 1,625,798 | ||||||||||
Transfer agent fees: | ||||||||||||
Institutional Class (Note 2) | 953 | 4 | ||||||||||
Y Class (Note 2) | 61 | 28 | ||||||||||
Investor Class | 624 | 605 | ||||||||||
Ultra Class | 1,761 | 55,515 | ||||||||||
Custody and fund accounting fees | 51,728 | 25,154 | ||||||||||
Professional fees | 30,536 | 26,795 | ||||||||||
Registration fees and expenses | 33,062 | 39,707 | ||||||||||
Service fees (Note 2): | ||||||||||||
Investor Class | 950 | 44 | ||||||||||
Distribution fees (Note 2): | ||||||||||||
A Class | 255 | - | ||||||||||
C Class | 874 | - | ||||||||||
Prospectus and shareholder report expenses | 6,203 | 6,810 | ||||||||||
Trustee fees (Note 2) | 575 | 4,098 | ||||||||||
Prime broker fees | 98,547 | 791,182 | ||||||||||
Dividends and interest on securities sold short | 58,382 | 1,862,295 | ||||||||||
Other expenses | 2,162 | 3,075 | ||||||||||
|
|
|
| |||||||||
Total expenses | 468,924 | 4,441,310 | ||||||||||
|
|
|
| |||||||||
Net fees waived and expenses (reimbursed) (Note 2) | (102,116 | ) | (104,115 | ) | ||||||||
|
|
|
| |||||||||
Net expenses | 366,808 | 4,337,195 | ||||||||||
|
|
|
| |||||||||
Net investment (loss) | (128,825 | ) | (1,915,946 | ) | ||||||||
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in unaffiliated securitiesA | 840,971 | 960,343 | ||||||||||
Purchased options contracts | (25,196 | ) | - | |||||||||
Commission recapture (Note 1) | - | (75 | ) | |||||||||
Foreign currency transactions | (17,470 | ) | (62,000 | ) | ||||||||
Forward foreign currency contracts | 49,418 | (126 | ) | |||||||||
Futures contracts | 11,385 | (892,906 | ) | |||||||||
Swap agreements | 261,353 | 978,755 | ||||||||||
Written options contracts | 783 | - | ||||||||||
Short sales | (80,554 | ) | (2,640,626 | ) | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in unaffiliated securitiesB | (1,367,875 | ) | 4,011 | |||||||||
Purchased options contracts | (3,171 | ) | - | |||||||||
Foreign currency transactions | 5,003 | (5,862 | ) | |||||||||
Forward foreign currency contracts | 32,446 | - | ||||||||||
Futures contracts | 7,396 | (251,651 | ) | |||||||||
Swap agreements | (352,054 | ) | 17,926 | |||||||||
Written options contracts | 2,243 | - | ||||||||||
Short sales | 86,315 | (908,564 | ) | |||||||||
|
|
|
| |||||||||
Net (loss) from investments | (549,007 | ) | (2,800,775 | ) | ||||||||
|
|
|
| |||||||||
Net (decrease) in net assets resulting from operations | $ | (677,832 | ) | $ | (4,716,721 | ) | ||||||
|
|
|
| |||||||||
† Foreign taxes | $ | 4,273 | $ | 97 | ||||||||
A The Fund did not recognize net realized gains (losses) from the sale of investments in affiliated securities. |
| |||||||||||
B The Fund’s investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
50
American Beacon FundsSM
Statements of Changes in Net Assets
Grosvenor Long/Short Fund | Numeric Integrated Alpha Fund | |||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||
Net investment (loss) | $ | (128,825 | ) | $ | (329,883 | ) | $ | (1,915,946 | ) | $ | (4,058,282 | ) | ||||||||||||||||
Net realized gain (loss) from investments in unaffiliated securities, purchased options contracts, commission recapture, foreign currency transactions, forward foreign currency contracts, futures contracts, swap agreements, written options contracts, and short sales | 1,040,690 | 1,556,635 | (1,656,635 | ) | 5,061,846 | |||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments in unaffiliated securities, purchased options contracts, foreign currency transactions, forward foreign currency contracts, futures contracts, swap agreements, written options contracts, and short sales | (1,589,697 | ) | 1,287,735 | (1,144,140 | ) | (1,069,466 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (677,832 | ) | 2,514,487 | (4,716,721 | ) | (65,902 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||
Institutional Class | - | (88,769 | ) | - | - | |||||||||||||||||||||||
Y Class | - | (2,015 | ) | - | (71 | ) | ||||||||||||||||||||||
Investor Class | - | (3,387 | ) | - | - | |||||||||||||||||||||||
A Class | - | (1,022 | ) | - | - | |||||||||||||||||||||||
C Class | - | (1,017 | ) | - | - | |||||||||||||||||||||||
Ultra ClassA | - | (516 | ) | (163 | ) | (505,474 | ) | |||||||||||||||||||||
Net realized gain from investments: | ||||||||||||||||||||||||||||
Institutional Class | - | (1,261,803 | ) | - | (1,928 | ) | ||||||||||||||||||||||
Y Class | - | (28,648 | ) | - | (1,600 | ) | ||||||||||||||||||||||
Investor Class | - | (48,133 | ) | - | (1,600 | ) | ||||||||||||||||||||||
A Class | - | (14,525 | ) | - | - | |||||||||||||||||||||||
C Class | - | (14,710 | ) | - | - | |||||||||||||||||||||||
Ultra ClassA | - | (7,334 | ) | - | (2,768,627 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net distributions to shareholders | - | (1,471,879 | ) | (163 | ) | (3,279,300 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Capital share transactions (Note 10): | ||||||||||||||||||||||||||||
Proceeds from sales of shares | 53,503 | 1,122,598 | 51,985,846 | 156,192,646 | ||||||||||||||||||||||||
Reinvestment of dividends and distributions | - | 1,471,879 | 163 | 1,498,078 | ||||||||||||||||||||||||
Cost of shares redeemed | (345,319 | ) | (303,320 | ) | (33,086,532 | ) | (35,313,498 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | (291,816 | ) | 2,291,157 | 18,899,477 | 122,377,226 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets | (969,648 | ) | 3,333,765 | 14,182,593 | 119,032,024 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||
Beginning of period | 20,500,517 | 17,166,752 | 176,740,421 | 57,708,397 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
End of period* | $ | 19,530,869 | $ | 20,500,517 | $ | 190,923,014 | $ | 176,740,421 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
*Includes undistributed (overdistribution of) net investment income | $ | (628,710 | ) | $ | (499,885 | ) | $ | (1,573,921 | ) | $ | 342,188 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class commenced operations November 14, 2017 for the Grosvenor Long/Short Fund (Note 1). |
|
See accompanying notes
51
Notes to Financial Statements
July 31, 2018 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), is organized as a Massachusetts business trust. The Funds, each a series within the Trust, are registered under the Investment Company Act of 1940 (the “Act”), as amended, as non-diversified, open-end management investment companies. As of July 31, 2018, the Trust consists of thirty-three active series, two of which are presented in this filing: American Beacon Grosvenor Long/Short Fund and American Beacon Numeric Integrated Alpha Fund (collectively, the “Funds” and each individually a “Fund”). The remaining thirty-one active series are reported in separate filings.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
Class Disclosure
Each Fund has multiple classes of shares designed to meet the needs of different groups of investors; however, not all of the funds offer all classes. The following table sets forth the differences amongst the classes:
Class | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations such as broker-dealers or retirement plan sponsors. | $ | 2,500 | |||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor, which may include a front-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 | |||
C Class | Retail investors who invest directly through a financial intermediary such as a broker or through employee directed benefit plans with applicable sales charges, which may include CDSC. | $ | 1,000 | |||
Ultra | Large institutional investors - sold directly or through intermediary channels. | $ | 350,000,000 |
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 respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, and sub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Funds in preparation of the financial statements. The Funds are considered investment companies and accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard Codification Topic 946, Financial Services – Investment Companies, a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
52
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
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. Realized gains (losses) from securities sold are determined on the basis of specific lot identification.
Commission Recapture
The Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If a 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.
Currency Translation
All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices of such currencies against U.S. dollars as last quoted by a recognized dealer. Income, expenses, and purchases and sales of investments are translated into U.S. dollars at the rate of 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 on the Funds’ Statements of Operations.
Distributions to Shareholders
Distributions, if any, of net investment income are generally paid at least annually and recorded on the ex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP. To the extent necessary to fully distribute capital gains, the Funds may designate earnings and profits distributed to shareholders on the redemption of shares.
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Funds are allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Funds. Expenses directly charged or attributable to any Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Funds on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Funds or nature of the services performed and relative applicability to the Funds.
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.
53
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
2. Transactions with Affiliates
Management and Investment Sub-Advisory Agreements
The Grosvenor Long/Short Fund operates in a manager of managers structure. The Manager has engaged Grosvenor Capital Management, L.P., an unaffiliated alternative investment advisory firm, to serve as the Fund’s lead Sub-Advisor (“Lead Sub-Advisor”). The Fund and the Manager have received an exemptive order from the Securities and Exchange Commission (“SEC”) that permits the Fund, subject to certain conditions and approval by the Board, to hire and replace Sub-Advisors (but not the Lead Sub-Advisor) that are unaffiliated with the Manager without approval of shareholders. The Manager has ultimate responsibility, subject to oversight by the Board, to oversee the Lead Sub-Advisor and Sub-Advisors and recommend their hiring, termination and replacement. The order also exempts the Fund from disclosing the advisory fees paid by the Fund to individual sub-advisors that are unaffiliated with the Manager in various documents filed with the SEC and provided to shareholders. Instead, the fees payable to unaffiliated sub-advisors are aggregated, and fees payable to sub-advisors that are affiliated with the Manager, if any, would be aggregated with fees payable to the Manager. Disclosure of the separate fees paid to an affiliated sub-advisor would be required. Whenever a sub-advisor change is proposed in reliance on the order, in order for the change to be implemented, the Board must approve the change. In addition, the Fund is required to provide shareholders with certain information regarding any new sub-advisor within 90 days of the hiring of any new sub-advisor. The Fund’s Sub-Advisors are set forth below.
• | Basswood Capital Management, LLC |
• | Electron Capital Partners, LLC |
• | Impala Asset Management LLC |
• | Incline Global Management, LLC |
• | Tremblant Capital LP |
The Grosvenor Long/Short Fund and the Manager are parties to a Management Agreement that obligates the Manager to provide the Fund with management, administrative, and supervisory services. The Manager is paid a management fee as compensation that is calculated and accrued daily equal to 1.85% of the Fund’s average daily net assets. As part of the fee, the Manager receives an annualized management fee equal to 0.35%. The remain portion of the fee is used by the Manager to compensate the Lead Sub-Advisor pursuant to a Lead Investment Advisory Agreement between the Trust, on behalf of the Fund, and the Manager. The fee is calculated and accrued daily equal to 1.50% of the Funds average daily assets. The Lead Sub-Advisor pays the fees of each Sub-Advisor.
The Numeric Integrated Alpha Fund and the Manager are parties to a Management Agreement that obligates the Manager to provide the Fund with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of each Fund’s average daily net assets that is calculated and accrued daily according to the following schedule:
First $1 billion | 0.425 | % | ||
Next $4 billion | 0.40 | % | ||
Next $5 billion | 0.375 | % | ||
Over $10 billion | 0.35 | % |
54
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The Trust, on behalf of the Numeric Integrated Alpha Fund, and the Manager have entered into an Investment Advisory Agreement with Numeric Investors LLC (the “Sub-Advisor”) pursuant to which the Fund has agreed to pay an annualized sub-advisory fee that is calculated and accrued daily based on the Fund’s average daily net assets according to the following schedule:
First $800 million | 1.35 | % | ||
Over $800 million | 1.30 | % |
The Management and Sub-Advisory Fees paid by the Funds for the period ended July 31, 2018 were as follows:
Grosvenor Long/Short Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 34,480 | ||||||||
Sub-Advisor Fees | 1.50 | % | 147,771 | |||||||||
|
|
|
| |||||||||
Total | 1.85 | % | $ | 182,251 | ||||||||
|
|
|
| |||||||||
Numeric Integrated Alpha Fund | ||||||||||||
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.43 | % | $ | 386,709 | ||||||||
Sub-Advisor Fees | 1.35 | % | 1,239,089 | |||||||||
|
|
|
| |||||||||
Total | 1.78 | % | $ | 1,625,798 | ||||||||
|
|
|
|
Distribution Plans
The Funds, except for the 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 separate fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors 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 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 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 Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the Investor, A, and C Classes of the Grosvenor Long/Short Fund and the Investor Class of the Numeric Integrated Alpha Fund. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee of up to 0.25% 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 Funds.
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Institutional Class of the Grosvenor Long/Short Fund and the Institutional and Y Classes of the Numeric Integrated Alpha Fund and has agreed to compensate the intermediaries for providing these
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services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. Certain services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Funds’ transfer agent. Accordingly, the Funds, pursuant to Board approval, have agreed to reimburse the Manager for certain non-distribution shareholder services provided by financial intermediaries for the Institutional Class and Y Classes. The reimbursement amounts (sub-transfer agent fees) paid to the Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional Class and Y Classes on an annual basis. During the period ended July 31, 2018, the sub-transfer agent fees, as reflected in “Transfer agent fees” on the Statements of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
Grosvenor Long/Short | $ | 718 | ||
Numeric Integrated Alpha | 18 |
As of July 31, 2018, the Funds owed the Manager the following reimbursement of sub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statements of Assets and Liabilities:
Fund | Reimbursement Sub-Transfer Agent Fees | |||
Grosvenor Long/Short | $ | 92 | ||
Numeric Integrated Alpha | - |
Investments in Affiliated Funds
The Funds may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). The Funds and the USG Select Fund have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund.
Fund | Direct Investments in USG Select Fund | |||
Grosvenor Long/Short | $ | 1,163 | ||
Numeric Integrated Alpha | 10,235 |
Interfund Credit Facility
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 a credit facility whereby each Fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating Funds for temporary purposes. The interfund credit facility is advantageous to the Funds because it provides added liquidity, and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a Fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended July 31, 2018, the Funds did not utilize the credit facility.
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Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Funds to the extent that total operating expenses exceed the Funds’ expense cap. During the period ended July 31, 2018, the Manager waived and/or reimbursed expenses as follows:
Fund | Class | Expense Cap | Reimbursed Expenses | (Recouped) Expenses | Expiration of Reimbursed Expenses | |||||||||||||
2/1/2018 - 7/31/2018 | ||||||||||||||||||
Grosvenor Long/Short | Institutional | 2.10 | % | $ | 92,280 | $ | - | 2021 | ||||||||||
Grosvenor Long/Short | Y | 2.20 | % | 1,893 | - | 2021 | ||||||||||||
Grosvenor Long/Short | Investor | 2.48 | % | 3,967 | - | 2021 | ||||||||||||
Grosvenor Long/Short | A | 2.50 | % | 880 | - | 2021 | ||||||||||||
Grosvenor Long/Short | C | 3.25 | % | 752 | - | 2021 | ||||||||||||
Grosvenor Long/Short | Ultra | 1.99 | % | 2,344 | - | 2021 | ||||||||||||
Numeric Integrated Alpha | Institutional | 1.95 | % | - | (24 | ) | 2021 | |||||||||||
Numeric Integrated Alpha | Y | 2.05 | % | - | (46 | ) | 2021 | |||||||||||
Numeric Integrated Alpha | Investor | 2.33 | % | 435 | - | 2021 | ||||||||||||
Numeric Integrated Alpha | Ultra | 1.85 | % | 103,750 | - | 2021 |
Of these amounts, $16,929 and $12,744 were disclosed as a receivable from the Manager on the Statements of Assets and Liabilities at July 31, 2018 for the Grosvenor Long/Short Fund and Numeric Integrated Alpha Fund, respectively.
The Funds have adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Funds for any contractual or voluntary fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Funds’ annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2021. The Funds did not record a liability for potential reimbursements due to the current assessment that reimbursements are unlikely. The carryover of excess expenses potentially reimbursable to the Manager are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
Grosvenor Long/Short | $ | - | $ | 426,070 | $ | - | 2019 | |||||||||
Grosvenor Long/Short | - | 281,244 | - | 2020 | ||||||||||||
Grosvenor Long/Short | - | 279,922 | - | 2021 | ||||||||||||
Numeric Integrated Alpha | - | 189,564 | - | 2020 | ||||||||||||
Numeric Integrated Alpha | - | 282,447 | - | 2021 |
The Distributor
Effective March 1, 2018, Resolute Investment Distributors, Inc. (“RID” or “Distributor”) replaced Foreside Fund Services, LLC (“Foreside”) as the Funds’ distributor and principal underwriter of the Funds’ shares.
RID is a registered broker-dealer and is a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). The Distributor is affiliated with the Manager through common ownership. Under a Distribution Agreement with the Trust, the Distributor acts as the distributor and principal underwriter of the Trust in connection with the continuous offering of shares of the Funds. The Distributor continually distributes shares of the Funds on a best efforts basis. The Distributor has no obligation to sell any specific quantity of the Funds’ shares. Pursuant to the Distribution Agreement, to the extent applicable, the Distributor receives, and may re-allow to broker-dealers, all or a portion of the sales charge paid by the purchasers of A Class and C Class shares. For A Class and C Class shares, the
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Distributor receives commission revenue consisting of the portion of A Class and C Class sales charge remaining after the allowances by the Distributor to the broker-dealers. The Distributor retains any portion of the commission fees that are not paid to the broker-dealers for use solely to pay distribution related expenses.
Prior to March 1, 2018, Foreside served as the distributor and principal underwriter of the Funds’ shares. Pursuant to a Sub-Administration Agreement between Foreside and the Manager in effect through February 28, 2018, Foreside received a fee from the Manager for providing administrative services in connection with the marketing and distribution of shares of the Trust, including the registration of Manager employees as registered representatives of Foreside to facilitate distribution of Fund shares. Foreside also received a fee from the Manager under a Marketing Agreement pursuant to which Foreside provided services in connection with the marketing of a Fund to institutional investors. Pursuant to the Distribution Agreement with the Trust in effect through February 28, 2018, Foreside received, and may have re-allowed to broker-dealers, all or a portion of the sales charge paid by the purchasers of A and C Class shares. For A and C Class shares, Foreside received commission revenues consisting of the portion of A and C Class sales charge remaining after the allowances by Foreside to the broker dealers. Foreside retained any portion of the commission fees that were not paid to the broker-dealers for use solely to pay distribution related expenses.
Sales Commissions
The Funds’ Distributor, formerly Foreside, may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended July 31, 2018, there were no fees collected by Foreside for the sale of Class A Shares of the Funds.
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Funds’ 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 period ended July 31, 2018, there were no CDSC fees collected for Class A Shares of the Funds.
A 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 Funds’ 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 period ended July 31, 2018, there were no CDSC fees collected for Class C Shares of the Funds.
Trustee Fees and Expenses
As compensation for their service to the Trust, American Beacon Select Funds, American Beacon Institutional Funds Trust, American Beacon Sound Point Enhanced Income Fund, and American Beacon Apollo Enhanced Income Fund, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chairman receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for his attendance at the committee meetings. Effective January 1, 2018, the Board Vice Chair receives an additional annual retainer of $10,000. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each Fund of the Trusts according to its respective net assets.
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Concentration of Ownership
From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of accounts that represent a significant ownership of more than 5% of the Funds’ outstanding shares could have a material impact on the Funds. As of July 31, 2018, based on management’s evaluation of the shareholder account base, one account in the Grosvenor Long/Short Fund has been identified as representing an affiliated significant ownership of approximately 60% and one unaffiliated account of approximately 31% of the Fund’s outstanding shares.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on its net asset value (“NAV”) per share. The Fund’s NAV is computed by adding total assets, subtracting all the Fund’s liabilities, and dividing the result by the total number of shares outstanding.
The NAV of each class of the Fund’s shares is determined based on a pro rata allocation of the Fund’s investment income, expenses and total capital gains and losses. The Fund’s NAV per share is determined each business day as of the regular close of trading on the New York Stock Exchange (‘‘NYSE‘‘ or “Exchange”), which is typically 4:00 p.m. Eastern Time (“ET”). However, if trading on the NYSE closes at a time other than 4:00 p.m. ET, the Fund’s NAV per share typically would still be determined as of the regular close of trading on the NYSE. The Fund does not price its shares on days that the NYSE is closed. Foreign exchanges may permit trading in foreign securities on days when the Fund is not open for business, which may result in the value of the Fund’s portfolio investments being affected at a time when you are unable to buy or sell shares.
Equity securities and certain derivative instruments that are traded on an exchange are valued based on market value. Certain derivative instruments (other than short-term securities) usually are valued on the basis of prices provided by a pricing service. The price of debt securities generally is determined using pricing services or quotes obtained from broker/dealers who may consider a number of inputs and factors, such as comparable characteristics, yield curve, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flow. Investments in other mutual funds are valued at the closing NAV per share of the mutual funds on the day of valuation. Equity securities, including shares of closed-end funds and exchanged-traded funds (“ETFs”), are valued at the last sale price or official closing price.
The valuation of securities traded on foreign markets and certain fixed income securities will generally be based on prices determined as of the earlier closing time of the markets on which they primarily trade unless a significant event has occurred. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. ET.
Securities may be valued at fair value, as determined in good faith and pursuant to procedures approved by the Board, under certain limited circumstances. For example, fair value pricing will be used when market quotations are not readily available or reliable, as determined by the Manager, such as when (i) trading for a security is restricted or stopped; (ii) a security’s trading market is closed (other than customary closings); or (iii) a security has been de-listed from a national exchange. A security with limited market liquidity may require fair value pricing if the Manager determines that the available price does not reflect the security’s true market value. In addition, if a significant event that the Manager determines to affect the value of one or more securities held by the Fund occurs after the close of a related exchange but before the determination of the Fund’s NAV, fair value pricing may be used on the affected security or securities. Securities of small-capitalization companies are also more likely to require a fair value determination using these procedures because they are more thinly traded and less liquid than the securities of larger-capitalization companies. The Fund may fair value securities as a result of significant events occurring after the close of the foreign markets in which the Fund invests as described below. In addition, the Fund may invest in illiquid securities requiring these procedures.
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The Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund’s pricing time of 4:00 p.m. ET. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. If the Manager determines that the last quoted prices of non-U.S. securities will, in its judgment, materially affect the value of some or all its portfolio securities, the Manager can 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. These securities are fair valued using a pricing service, using methods approved by the Board, that considers the correlation of the trading patterns of the foreign security to intraday trading in the U.S. markets, based on indices of domestic securities and other appropriate indicators such as prices of relevant American Depository Receipts (“ADRs”) and futures contracts. The Valuation Committee, established by the Board, may also fair value securities in other situations, such as when a particular foreign market is closed but the 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.
Attempts to determine the fair value of securities introduce an element of subjectivity to the pricing of securities. As a result, the price of a security determined through fair valuation techniques may differ from the price quoted or published by other sources and may not accurately reflect the market value of the security when trading resumes. If a reliable market quotation becomes available for a security formerly valued through fair valuation techniques, the Manager compares the new market quotation to the fair value price to evaluate the effectiveness of the Fund’s fair valuation procedures. If any significant discrepancies are found, the Manager may adjust the Fund’s fair valuation procedures.
Valuation Inputs
Various inputs may be used to determine the fair 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. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Common stocks, ETFs, and financial derivative instruments, such as futures contracts or options 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 generally categorized as Level 2 of the fair value hierarchy.
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Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
Over-the-counter (“OTC”) financial derivative instruments, such as forward foreign currency contracts, options contracts, or swap 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 fair 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.
Level 3 trading assets and trading liabilities, at fair value
The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows.
Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction and may be categorized as Level 3 of the fair value hierarchy.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the Exchange close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade, do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the fair values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the Manager. For instances in which daily market quotes are not readily available, investments may be valued pursuant to guidelines established by the Board. In the event that the security or asset cannot be valued, pursuant to one of the valuation methods established by the Board, the fair value of the security or asset will be determined in good faith by the Valuation Committee, generally based upon recommendations provided by the Manager.
When a Fund uses fair valuation methods applied by the Manager that use significant unobservable inputs to determine its NAV, the securities priced using this methodology are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
4. Securities and Other Investments
American Depositary Receipts
ADRs are depositary receipts for foreign issuers in registered form traded in U.S. securities markets. Depositary receipts may not be denominated in the same currency as the securities into which they may be converted. Investing in depositary receipts entails substantially the same risks as direct investment in foreign
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securities. There is generally less publicly available information about foreign companies and there may be less governmental regulation and supervision of foreign stock exchanges, brokers, and listed companies. In addition, such companies may use different accounting and financial standards (and certain currencies may become unavailable for transfer from a foreign currency), resulting in the Fund’s possible inability to convert immediately into U.S. currency proceeds realized upon the sale of portfolio securities of the affected foreign companies. In addition, the Funds may invest in unsponsored depositary receipts, the issuers of which are not obligated to disclose material information about the underlying securities to investors in the United States. Ownership of unsponsored depositary receipts may not entitle the Funds to the same benefits and rights as ownership of a sponsored depositary receipt or the underlying security.
Common Stock
Common stock generally takes the form of shares in a corporation which represent an ownership interest. It ranks below preferred stock and debt securities in claims for dividends and for assets of the company in a liquidation or bankruptcy. The value of a company’s common stock may fall as a result of factors directly relating to that company, such as decisions made by its management or decreased demand for the company’s products or services. A stock’s value may also decline because of factors affecting not just the company, but also companies in the same industry or sector. The price of a company’s stock may also be affected by changes in financial markets that are relatively unrelated to the company, such as changes in interest rates, currency exchange rates or industry regulation. Companies that elect to pay dividends on their common stock generally only do so after they invest in their own business and make required payments to bondholders and on other debt and preferred stock. Therefore, the value of a company’s common stock will usually be more volatile than its bonds, other debt and preferred stock. Common stock may be exchange-traded or OTC. OTC stock may be less liquid than exchange-traded stock.
Foreign Securities
The Funds may invest in U.S. dollar-denominated and non-U.S. dollar denominated equity and debt securities of foreign issuers and foreign branches of U.S. banks, including negotiable certificates of deposit (“CDs”), bankers’ acceptances, and commercial paper. Foreign issuers are issuers organized and doing business principally outside the United States and include corporations, banks, non-U.S. governments, and quasi-governmental organizations. While investments in foreign securities may be intended to reduce risk by providing further diversification, such investments involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political or social instability, nationalization, expropriation, or confiscatory taxation); the potentially adverse effects of unavailability of public information regarding issuers, different governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States; different laws and customs governing securities tracking; and possibly limited access to the courts to enforce the Funds’ rights as an investor.
Illiquid and 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 (the “Securities Act”). Illiquid securities have included securities that have not been registered under the Securities Act, securities that are otherwise not readily marketable, and repurchase agreements having a remaining maturity of longer than seven calendar days. Disposal of both illiquid and restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities outstanding during the period ended July 31, 2018 are disclosed in the Funds’ Notes to the Schedules of Investments.
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Regulation S under the Securities Act permits the sale abroad of securities that are not registered for sale in the United States and includes a provision for U.S. investors, such as the Funds, to purchase such unregistered securities if certain conditions are met.
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, 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, the Funds become a shareholder of that investment company. As a result, the Funds’ shareholders indirectly will bear the Funds’ proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses the Funds’ shareholders directly bear in connection with the Funds’ 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 Funds in their Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
Real Estate Investment Trusts
The Numeric Integrated Alpha Fund may gain exposure to the real estate sector by investing in real estate investment trusts (“REITs”). Adverse economic, business or political developments affecting real estate could have a major effect on the value of the Fund’s investments. Investing in securities issued by real estate and real estate-related companies may subject the Fund to risks associated with the direct ownership of real estate. Changes in interest rates, debt leverage ratios, debt maturity schedules, and the availability of credit to real estate companies may also affect the value of the Fund’s investment in real estate securities. Real estate securities are dependent upon specialized management skills at the operating company level, have limited diversification and are, therefore, subject to risks inherent in operating and financing a limited number of properties. Real estate securities are also subject to heavy cash flow dependency and defaults by borrowers. The real estate industry tends to be cyclical. Such cycles may adversely affect the value of the Fund’s portfolio. The Fund will indirectly bear a proportionate share of a REIT’s ongoing operating fees and expense. In addition, tax-qualified REITs are subject to the possibility of failing to (a) qualify for tax-free pass-through of distributed net income and net realized gains under the Internal Revenue Code, and (b) maintain exemption eligibility from Investment Company Act registration requirements.
Short Sales
The Funds may enter into short sale transactions. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in the market price of the security. Securities sold in short sale transactions and the dividends and interest payable on such securities, if any, are reflected as a liability on the Statement of Assets and Liabilities. A Fund is obligated to deliver the security at the market price at the time the short position is closed. The risk of loss on a short sale transaction is theoretically unlimited, because there is no limit to the cost of replacing the security sold short, whereas losses from purchase transactions cannot exceed the total amount invested. As of July 31, 2018, short positions were held by the Funds and are disclosed in the Schedules of Investments.
5. Financial Derivative Instruments
The Funds may utilize derivative instruments to gain market exposure on cash balances or reduce market exposure in anticipation of liquidity needs. When considering the Funds’ use of derivatives, it is important to note that the Funds do not use derivatives for the purpose of creating financial leverage.
Contracts for Difference
A Contract for Difference (“CFD”) is a form of equity swap in which its value is based on the fluctuating value of some underlying asset (e.g., shares of a particular stock or a stock index). A CFD is a contract between
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July 31, 2018 (Unaudited)
two parties, buyer and seller, stipulating that the seller will pay to the buyer the difference between the nominal value of the underlying stock at the opening of the contract and the stock’s value at the close of the contract. The size of the contract and the contract’s expiration date are typically negotiated by the parties to the CFD transaction. CFDs enable the Numeric Integrated Alpha Fund to take short or long positions on an underlying stock and thus potentially capture gains on movements in the share prices of the stock without the need to own the underlying stock. By entering into a CFD transaction, the Fund could incur losses because it would face many of the same types of risks as owning the underlying equity security directly. For example, the fund might buy a short position in a CFD and the contract value at the close of the transaction may be greater than the contract value at the opening of the transaction. This may be due to, among other factors, an increase in the market value of the underlying equity security. In such a situation, the Fund would have to pay the difference in value of the contract to the seller of the CFD. The Fund’s use of swaps is intended to generate profits, adjust leverage, hedge exposures, and manager volatility.
The CFDs outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of these contracts. For purpose of this disclosure, volume is measured by contracts outstanding at each quarter end.
Average Contracts for Difference Notional Amounts Outstanding | ||||
Fund | Period Ended July 31, 2018 | |||
Grosvenor Long/Short | $ | 6,165,084 | ||
Numeric Integrated Alpha | 17,289,051 |
Forward Foreign Currency Contracts
The Grosvenor Long/Short 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 may also use currency contracts to increase exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. 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.
During the period ended July 31, 2018, the Grosvenor Long/Short Fund entered into forward foreign currency contracts primarily for speculative purposes.
The Fund’s forward foreign currency contract notional dollar values outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of forward foreign currency contracts. For the purpose of this disclosure, volume is measured by the amounts bought and sold in USD at each quarter end.
Average Forward Foreign Currency Notional Amounts Outstanding | ||||||||
Fund | Purchased Contracts | Sold Contracts | ||||||
Grosvenor Long/Short | $ | 363,025 | $ | 1,462,902 |
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.
64
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Upon entering into a futures contract, the Funds are 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 reflects this amount on the Schedules of Investments as a U.S. Treasury Bill held as 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 (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 Funds’ average futures contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of futures contracts. For purpose of this disclosure, volume is measured by contracts outstanding at each quarter end.
Average Futures Contracts Outstanding | ||||
Fund | Period Ended July 31, 2018 | |||
Grosvenor Long/Short | 2 | |||
Numeric Integrated Alpha | 263 |
Options Contracts
The Grosvenor Long/Short 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 Funds 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 Funds, 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 Funds may not be able to enter into a closing transaction because of an illiquid market.
The Grosvenor Long/Short Fund may also purchase put and call options. Purchasing call options tends to increase the Funds’ exposure to favorable movements of the underlying instrument in exchange for paying an upfront premium. Purchasing put options tends to decrease the Funds’ exposure to unfavorable movements of the underlying instrument. The Funds pay a premium which is included on the 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.
During the period ended July 31, 2018, the Grosvenor Long/Short Fund purchased/sold options primarily for return enhancement and hedging.
65
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The Fund’s option contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of options contracts. For the purpose of this disclosure, volume is measured by the notional value of contracts outstanding at each quarter end.
Average Option Notional Amounts Outstanding | ||||||||
Fund | Purchased | Sold | ||||||
Grosvenor Long/Short | $ | 38,175 | $ | 975 |
Total Return Swap Agreements
The Grosvenor Long/Short Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
The Fund’s total return swap contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of total return swap contracts. For the purpose of this disclosure, volume is measured by contracts outstanding at each quarter end:
Average Total Return Swap Notional Amounts Outstanding | ||||
Fund | Period Ended July 31, 2018 | |||
Grosvenor Long/Short | $ | 54,964,449 |
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk
exposure(1):
Grosvenor Long/Short Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options outstanding | $ | - | $ | - | $ | - | $ | - | $ | 15,007 | $ | 15,007 | |||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation of forward foreign currency contracts | - | 15,327 | - | - | - | 15,327 | |||||||||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | - | - | 7,396 | - | - | 7,396 | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation from swap agreements | - | - | - | - | 309,771 | 309,771 | |||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Written options contracts outstanding | $ | - | $ | - | $ | - | $ | - | $ | (990 | ) | $ | (990 | ) | |||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation of forward foreign currency contracts | - | (17,173 | ) | - | - | - | (17,173 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation from swap agreements | - | - | - | - | (74,553 | ) | (74,553 | ) |
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American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The effect of financial derivative instruments on the Statements of Operations as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options contracts | $ | - | $ | - | $ | - | $ | - | $ | (25,196 | ) | $ | (25,196 | ) | |||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | - | 49,418 | - | - | - | 49,418 | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | - | - | 5,031 | - | 6,354 | 11,385 | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | - | - | - | - | 261,353 | 261,353 | |||||||||||||||||||||||||||||||||||||||||||||||||
Written options contracts | - | - | - | - | 783 | 783 | |||||||||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options contracts | $ | - | $ | - | $ | - | $ | - | $ | (3,171 | ) | $ | (3,171 | ) | |||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | - | 32,446 | - | - | - | 32,446 | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | - | - | 7,396 | - | - | 7,396 | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | - | - | - | - | (352,054 | ) | (352,054 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Written options contracts | - | - | - | - | 2,243 | 2,243 |
Numeric Integrated Alpha Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | $ | - | $ | - | $ | - | $ | - | $ | 37,511 | $ | 37,511 | |||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation from swap agreements | - | - | - | - | 2,698,366 | 2,698,366 | |||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Payable for variation margin from open futures contracts(2) | $ | - | $ | - | $ | - | $ | (1,166 | ) | $ | (98,371 | ) | $ | (99,537 | ) | ||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation from swap agreements | - | - | - | - | (3,047,348 | ) | (3,047,348 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
The effect of financial derivative instruments on the Statements of Operations as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | - | $ | (126 | ) | $ | - | $ | - | $ | - | $ | (126 | ) | |||||||||||||||||||||||||||||||||||||||||
Futures contracts | - | - | - | (161,365 | ) | (731,541 | ) | (892,906 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | - | - | - | - | 978,755 | 978,755 | |||||||||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | - | $ | - | $ | - | $ | (1,166 | ) | $ | (250,485 | ) | $ | (251,651 | ) | ||||||||||||||||||||||||||||||||||||||||
Swap agreements | - | - | - | - | 17,926 | 17,926 |
(1) See Note 3 in the Notes to Financial Statements for additional information.
(2) Includes cumulative appreciation (depreciation) of futures contracts as reported in the Fund’s Schedules of Investments footnotes. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
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American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Master Agreements
International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) with counterparties govern transactions in OTC derivative and foreign exchange contracts entered into by the Funds and those counterparties. The ISDA Master Agreements contain 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 terminate early could be material to the financial statements. Since different types of forward and OTC financial 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, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain forward settling transactions, such as delayed delivery or sale-buyback financing transactions by and between a 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.
Offsetting Assets and Liabilities
The Funds are parties to enforceable master netting agreements between brokers and counterparties which provide for the right to offset under certain circumstances. The Funds employ multiple money managers and counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, July 31, 2018.
Grosvenor Long/Short Fund
Offsetting of Financial and Derivative Assets as of July 31, 2018: |
| |||||||||||
Assets | Liabilities | |||||||||||
Futures Contracts | $ | 7,396 | $ | - | ||||||||
Swap Agreement - OTC | 309,771 | 74,553 | ||||||||||
Purchased Options Contracts | 15,007 | - | ||||||||||
Written Options Contracts | - | 990 | ||||||||||
Forward Foreign Currency Contracts | 15,327 | 17,173 | ||||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 347,501 | $ | 92,716 | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | (21,926 | ) | $ | (990 | ) | ||||||
|
|
|
| |||||||||
Total derivative assets and liabilities subject to an MNA | $ | 325,575 | $ | 91,726 | ||||||||
|
|
|
|
Financial Assets, Derivatives, and Collateral Received/(Pledged) by Counterparty as of July 31, 2018: |
| |||||||||||||||||||||||||||||||||||
Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount | |||||||||||||||||||||||||||||||||
Morgan Stanley & Co. Inc. | $ | 325,575 | $ | (91,726 | ) | $ | - | $ | - | $ | 233,849 |
68
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statement of Assets and Liabilities | Net Amount | |||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Received | Cash Collateral Received | ||||||||||||||||||||||||||||||||||
Morgan Stanley & Co. Inc. | $ | 91,726 | $ | (91,726 | ) | $ | - | $ | - | $ | - |
Numeric Integrated Alpha Fund
Offsetting of Financial and Derivative Assets as of July 31, 2018: |
| |||||||||||
Assets | Liabilities | |||||||||||
Futures Contracts | $ | 37,511 | $ | 99,537 | ||||||||
Swap Agreement - OTC | 2,698,366 | 3,047,348 | ||||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 2,735,877 | $ | 3,146,885 | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | (37,511 | ) | $ | (99,537 | ) | ||||||
|
|
|
| |||||||||
Total derivative assets and liabilities subject to an MNA | $ | 2,698,366 | $ | 3,047,348 | ||||||||
|
|
|
|
Financial Assets, Derivatives, and Collateral Received/(Pledged) by Counterparty as of July 31, 2018: |
| |||||||||||||||||||||||||||||||||||
Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statement of Assets and Liabilities | Net Amount | |||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Pledged | Cash Collateral Pledged | ||||||||||||||||||||||||||||||||||
Morgan Stanley & Co. Inc. | $ | 2,698,366 | $ | (2,698,366 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||||||
Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statement of Assets and Liabilities | Net Amount | |||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Received | Cash Collateral Received | ||||||||||||||||||||||||||||||||||
Morgan Stanley & Co. Inc. | $ | 3,047,348 | $ | (2,698,366 | ) | $ | - | $ | - | $ | 348,982 |
6. Principal Risks
Investing in the Funds may involve certain risks including, but not limited to, those described below.
Counterparty Risk
The Funds are subject to the risk that a party or participant to a transaction, such as a broker or derivative counterparty, will be unwilling or unable to satisfy its obligation to make timely principal, interest or settlement payments or to otherwise honor its obligations to the Funds.
Currency Risk
The Funds may have exposure to foreign currencies by making direct investments in non-U.S. currencies or in securities denominated in non-U.S. currencies or by purchasing or selling forward foreign currency exchange contracts in non-U.S. currencies, including both non-deliverable forwards (“NDFs”) and deliverable forwards, non-U.S. currency futures contracts, options (including non-deliverable (“NDOs”) on non-U.S. currencies and non-U.S. currency futures), and swaps for cross-currency investments. Foreign currencies will fluctuate, and may decline, in value relative to the U.S. dollar and other currencies and thereby affect the Funds’ investments in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, or in derivatives that provide exposure to, foreign (non-U.S.) currencies.
Derivatives Risk
Derivatives may involve significant risk. The use of derivative instruments may expose the Funds to additional risks that they would not be subject to if they invested directly in the securities or other instruments underlying those derivatives, including the high degree of leverage often embedded in such instruments, and
69
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
potential material and prolonged deviations between the theoretical value and realizable value of a derivative. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds’ initial investment. Derivatives may be illiquid and may be more volatile than other types of investments. The Funds may buy or sell derivatives not traded on an exchange and which may be subject to heightened liquidity and valuation risk. Derivative investments can increase transaction costs. Derivatives also are subject to counterparty and credit risk. As a result, the Funds may obtain no recovery of their investment or may only obtain a limited recovery, and any recovery may be delayed. Not all derivative transactions require a counterparty to post collateral, which may expose the Funds to greater losses in the event of a default by a counterparty. Ongoing changes in regulation of the derivatives market and potential changes in the regulation of funds using derivative instruments could limit the Funds ability to pursue its investment strategy.
Emerging Markets Risk
When investing in emerging markets, the risks of investing in foreign securities are heightened. Emerging markets are generally smaller, less developed, less liquid and more volatile than the securities markets of the U.S. and other developed markets. There are also risks of: greater political uncertainties; an economy’s dependence on revenues from particular commodities or on international aid or development assistance; currency transfer restrictions; a limited number of potential buyers for such securities; and delays and disruptions in securities settlement procedures.
Forward Foreign Currency Contracts Risk
Forward foreign currency contracts, including non-deliverable forwards, are derivative instruments pursuant to a contract with a counterparty to pay a fixed price for an agreed amount of securities or other underlying assets at an agreed date or to buy or sell a specific currency at a future date at a price set at the time of the contract. The use of forward foreign currency contracts may expose the Funds to additional risks that it would not be subject to if it invested directly in the securities or currencies underlying the forward foreign currency contract.
Futures Contracts Risk
Futures contracts are derivative instruments where one party pays a fixed price for an agreed amount of securities or other underlying assets at an agreed date. The use of such derivative instruments may expose the Funds to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. Futures contracts may experience potentially dramatic price changes (losses) and imperfect correlation between the price of the contract and the underlying security or index, which will increase the volatility of the Funds and may involve a small investment of cash (the amount of initial and variation margin) relative to the magnitude of the risk assumed (the potential increase or decrease in the price of the futures contract).
High Portfolio Turnover Risk
Portfolio turnover is a measure of the Funds’ trading activity over a one-year period. High portfolio turnover could increase the Funds’ transaction costs, have a negative impact on performance, and generate higher capital gain distributions to shareholders than if the Funds have a lower portfolio turnover rate. Frequent trading by the Fund could also result in increased realized net capital gains, distributions to shareholders of which are taxable to the Funds’ shareholders. When shares are held in a taxable account (including short-term gain distributions, which are taxable to them as ordinary income).
Illiquid and Restricted Securities Risk
Securities not registered in the U.S. under the Securities Act of 1933, as amended (the “Securities Act”), including Rule 144A securities, are restricted as to their resale. Such securities may not be listed on an exchange and may have no active trading market. They may be more difficult to purchase or sell at an advantageous time or price because such securities may not be readily marketable in broad public markets. The Funds may not be able to sell a restricted security when the sub-advisor considers it desirable to do so and/or may have to sell the security
70
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
at a lower price than the Funds believe is its fair market value. In addition, transaction costs may be higher for restricted securities and the Funds may receive only limited information regarding the issuer of a restricted security. The Funds may have to bear the expense of registering restricted securities for resale and the risk of substantial delays in effecting the registration.
Leverage Risk
Financial leverage magnifies the exposure to the movement in prices of an asset or class of assets underlying a derivative instrument and results in increased volatility, which means that the Funds will have the potential for greater losses than if the Funds do not use the derivative instruments that have a leveraging effect. Leverage tends to magnify, sometimes significantly, the effect of any increase or decrease in the Funds’ exposure to an asset or class of assets and may cause the Funds’ NAV to be volatile.
The Funds may experience leveraging risk in connection with investments in derivatives because its investments in derivatives may be purchased with a fraction of the assets that would be needed to purchase the securities directly, so that the remainder of the assets may be invested in other investments. Such investments may have the effect of leveraging the Funds because the Funds may experience gains or losses not only on its investments in derivatives, but also on the investments purchased with the remainder of the assets. If the value of the Funds’ investments in derivatives is increasing, this could be offset by declining values of the Funds’ other investments. Conversely, it is possible that the rise in the value of the Funds’ non-derivative investments could be offset by a decline in the value of the Funds’ investments in derivatives. In either scenario, the Funds may experience losses. In a market where the value of the Funds’ investments in derivatives is declining and the value of its other investments is declining, the Funds may experience substantial losses. The use of leverage may cause the Funds to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or to meet any required asset segregation requirements. In addition, the costs that the Funds pays to engage in these practices are additional costs borne by the Funds and could reduce or eliminate any net investment profits.
Liquidity Risk
When there is little or no active trading market for specific types of securities, it can become more difficult to purchase or sell the securities at or near their perceived value. During such periods, certain investments held by the Funds, such as CFDs and total return swaps, may be difficult to sell or other investments may be difficult to purchase at favorable times or prices. As a result, the Funds may have to lower the price on certain securities that they are trying to sell, sell other securities instead or forgo an investment opportunity, any of which could have a negative effect on Funds management or performance. Redemptions by a few large investors in the Funds at such times may have a significant adverse effect on the Funds’ NAV and remaining Fund shareholders. In addition, the market-making capacity of dealers in certain types of securities has been reduced in recent years, in part as a result of structural and regulatory changes, such as fewer proprietary trading desks and increased regulatory capital requirements for broker-dealers. Further, many broker-dealers have reduced their inventory of certain debt securities. This could negatively affect the Funds’ ability to buy or sell debt securities and increase the related volatility and trading costs. The Funds may lose money if they are forced to sell certain investments at unfavorable prices to meet redemption requests or other cash needs.
Market Risk
Since the financial crisis that started in 2008, the U.S. and many foreign economies continue to experience its after-effects. Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these
71
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
securities to rise and the yields to decline. Reduced liquidity in fixed-income and credit markets may negatively affect many issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, and the possibility of changes to some international trade agreements, could affect the economies of many nations in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants. In addition, political and diplomatic events within the U.S. and abroad, such as the U.S. government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has recently reduced federal corporate income tax rates, and future legislative, regulatory, and policy changes may result in more restrictions on international trade, less stringent prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the market’s expectations for changes in government policies are not borne out.
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the U.S. and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Regulators have expressed concern that rate increases may cause investors to sell fixed income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse. The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the “EU”), commonly referred to as “Brexit,” are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of the Fund’s investments in the United Kingdom and Europe.
Multi-Manager Risk
The Grosvenor Long/Short Fund’s performance depends on, among other things, the Lead Sub-Advisor’s success in monitoring and allocating the Fund’s assets among the Sub-Advisors. The Sub-Advisors investment styles may not always be complementary. The Sub-Advisors make investment decisions independently of one another, and may make conflicting investment decisions. The Fund’s multi-manager approach may result in the Fund investing a significant percentage of its assets in certain types of securities, which could be beneficial or detrimental to the Fund’s performance depending on the performance of those securities and the overall market environment. The
72
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Sub-Advisors may underperform the market generally or underperform other investment managers that could have been selected for the Fund. The Lead Sub-Advisor and the Sub-Advisors also may use proprietary or licensed strategies that are based on considerations and factors that are not fully disclosed to the Board, the Manager or the Lead Sub-Advisor. The success of a particular Sub-Advisor in implementing its investment strategy is dependent on the expertise of its portfolio managers, and certain Sub-Advisors may have a limited number of investment management professionals. The loss of one or more of a Sub-Advisor’s key investment professionals could have a materially adverse effect on the performance of the Fund. A Sub-Advisor may have little or no experience managing the assets of a registered investment company which, unlike the other accounts a Sub-Advisor may manage, is subject to daily inflows and outflows of investor cash and are subject to certain legal and tax-related restrictions on their investments and operations.
Non-Diversification Risk
The Funds are non-diversified, which means the Funds may focus their investments in the securities of a comparatively small number of issuers. Investments in securities of a limited number of issuers exposes the Funds to greater market risk and potential losses than if assets were diversified among the securities of a greater number of issuers. Since the Funds are non-diversified, the NAV and total return may also fluctuate more and be subject to decline in weaker markets than a diversified fund.
Options Risk
In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit that might have been realized had it bought the underlying security at the time it purchased the call option. For a put option to be profitable, the market price of the underlying security must decline sufficiently below the exercise price to cover the premium and transaction costs. By using put options in this manner, the Funds will reduce any profit it might otherwise have realized from appreciation of the underlying security by the premium paid for the put option and by transaction costs. If the Funds sell a put option, there is a risk that the Funds may be required to buy the underlying asset at a disadvantageous price. If the Funds sell a call option, there is a risk that the Funds may be required to sell the underlying asset at a disadvantageous price. If the Funds sell a call option on an underlying asset that the Funds own and the underlying asset has increased in value when the call option is exercised, the Funds will be required to sell the underlying asset at the call price and will not be able to realize any of the underlying asset’s value above the call price.
Other Investment Companies Risk
The Funds may invest in shares of other registered investment companies, including ETFs and money market funds. To the extent that the Funds invest in shares of other registered investment companies, the Funds will indirectly bear the fees and expenses, including for example, advisory and administrative fees, charged by those investment companies in addition to the Funds’ direct fees and expenses and will be subject to the risks associated with investments in those companies. The Funds must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of the Funds’ investment will decline, adversely affecting the Funds’ performance. Money market funds are subject to interest rate risk, credit risk, and market risk. ETFs are subject to the following risks that do not apply to conventional funds: (1) the market price of an ETF’s shares may trade at a discount or premium to its NAV; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. An ETF that tracks an index may not precisely replicate the returns of its benchmark index. To the extent the Funds invest in other investment companies that invest in equity securities, fixed-income securities and/or foreign securities, or that track an index, the Funds are subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject.
73
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Short Position Risk
The Funds’ short positions are subject to special risks. A short sale is effected by selling a security that the Funds do not own, or selling a security that the Funds own but that it does not deliver upon consummation of the sale. In order to make delivery to the buyer of a security sold short, the Funds must borrow the security. In so doing, it incurs the obligation to replace that security, whatever its price may be, at the time it is required to deliver it to the lender. The Funds must also pay to the lender of the security any dividends or interest payable on the security during the borrowing period and may have to pay a premium to borrow the security. This obligation must, unless the Funds then own or have the right to obtain, without payment, securities identical to those sold short, be collateralized by a deposit of cash or marketable securities with the lender. Short selling is subject to a theoretically unlimited risk of loss because there is no limit on how much the price of a security may appreciate before the short position is closed out. There can be no assurance that the securities necessary to cover the short position will be available for purchase by the Funds. In addition, purchasing securities to close out the short position can itself cause the price of the relevant securities to rise further, thereby increasing any loss incurred by the Funds. Furthermore, the Funds may be forced to closeout a short position prematurely if a counterparty from which the Funds borrowed securities demand their return, resulting in a loss on what might otherwise have been a profitable position. The Funds may also enter into a short position through a forward commitment or via an option, futures contract or swap agreement. If the price of the security or derivative has increased during the time the Funds hold the short position, then the Funds will incur a loss equal to the increase in price from the time that the short position was entered into plus any premiums and interest paid to the third party. Therefore, short positions involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. The Funds’ losses are potentially unlimited in a short position because the price appreciation of the security that the Funds are required to purchase is unlimited. In addition, because the Funds may invest the proceeds of a short sale, the Funds may be subject to the effect of leverage, in that it amplifies changes in the Funds’ NAV since it increases the exposure of the Funds to the market. If such instruments are traded OTC, the Funds are subject to the risk that the counterparty may fail to honor its contract terms, causing a loss to the Funds.
Valuation Risk
The Funds may value certain assets at a price different from the price at which they can be sold. This risk may be especially pronounced for investments, such as certain derivatives, which may be illiquid or which may become illiquid.
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 distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecorded tax liabilities in the accompanying financial statements. For the Grosvenor Long/Short Fund, each of the tax years in the 3 year period ended January 31, 2018 and for the Numeric Integrated Alpha Fund, each of the tax years in the 2 year period ended January 31, 2018 remain subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
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 (depreciation), as applicable, as the income is earned or capital gains are recorded.
74
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (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 Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction.
As of July 31, 2018 the tax cost for each Fund and their respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Grosvenor Long/Short | $ | 16,582,210 | $ | 1,035,809 | $ | (1,146,717 | ) | $ | (110,908 | ) | ||||||||||||||||||
Numeric Integrated Alpha | 146,901,667 | 8,980,132 | (13,366,950 | ) | (4,386,818 | ) |
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
For the year ended January 31, 2018, the Funds did not have any capital loss carryforwards.
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended July 31, 2018 were as follows:
Fund | Purchases (non-U.S. Government Securities) | Purchases of U.S. Government Securities | Sales (non-U.S. Government Securities) | Sales of U.S. Government Securities | ||||||||||||
Grosvenor Long/Short | $ | 137,763,374 | $ | - | $ | 18,980,896 | $ | - | ||||||||
Numeric Integrated Alpha | 391,768,023 | - | 393,671,192 | - |
A summary of the Funds’ transactions in the USG Select Fund for the period ended July 31, 2018 are as follows:
Fund | Type of Transaction | January 31, 2018 Share/Fair Value | Purchases | Sales | July 31, 2018 Share/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||
Grosvenor Long/Short | Direct | $ | 3,966,444 | $ | 7,555,451 | $ | 10,442,861 | $ | 1,079,034 | $ | 18,112 | |||||||||||||||||||||||||||||||
Numeric Integrated Alpha | Direct | 26,525,936 | 98,181,510 | 100,891,551 | 23,815,895 | 163,139 |
9. Borrowing Arrangements
Effective November 16, 2017, the Funds, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $50 million with interest at a rate equal to the higher of (a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 15, 2018, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
Effective November 16, 2017, the Funds, along with certain other Participating Funds managed by the Manager, entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”)
75
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of (a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate. The Uncommitted Line expires November 15, 2018 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
The Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statements of Operations, along with commitment fees, that have been allocated among the Participating Funds based on average daily net assets. During the period ended July 31, 2018, the Funds did not utilize this facility.
10. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Grosvenor Long/Short Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 1,381 | $ | 15,000 | 24,792 | $ | 275,000 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 124,822 | 1,350,573 | ||||||||||||||||||||||||
Shares redeemed | - | - | (1,252 | ) | (13,588 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 1,381 | $ | 15,000 | 148,362 | $ | 1,611,985 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Grosvenor Long/Short Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | - | $ | - | 20,612 | $ | 225,000 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 2,839 | 30,664 | ||||||||||||||||||||||||
Shares redeemed | - | - | (12,642 | ) | (140,173 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | - | $ | - | 10,809 | $ | 115,491 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Grosvenor Long/Short Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 3,622 | $ | 38,503 | 47,906 | $ | 522,598 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 4,806 | 51,520 | ||||||||||||||||||||||||
Shares redeemed | (31,713 | ) | (345,319 | ) | (7,889 | ) | (87,672 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (28,091 | ) | $ | (306,816 | ) | 44,823 | $ | 486,446 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Grosvenor Long/Short Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Reinvestment of dividends | - | $ | - | 1,450 | $ | 15,547 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | - | $ | - | 1,450 | $ | 15,547 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Grosvenor Long/Short Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Reinvestment of dividends | - | $ | - | 1,495 | $ | 15,726 | ||||||||||||||||||||||
Shares redeemed | - | - | (5,799 | ) | (61,887 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | - | $ | - | (4,304 | ) | $ | (46,161 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
76
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Ultra Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | November 15, 2017A to January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Grosvenor Long/Short Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | - | $ | - | 8,849 | $ | 100,000 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 725 | 7,849 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | - | $ | - | 9,574 | $ | 107,849 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Numeric Integrated Alpha Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Reinvestment of dividends | - | $ | - | 195 | $ | 1,928 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | - | $ | - | 195 | $ | 1,928 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Numeric Integrated Alpha Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Reinvestment of dividends | - | $ | - | 169 | $ | 1,671 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | - | $ | - | 169 | $ | 1,671 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Numeric Integrated Alpha Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Reinvestment of dividends | - | $ | - | 162 | $ | 1,600 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | - | $ | - | 162 | $ | 1,600 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Ultra Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Numeric Integrated Alpha Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 5,253,876 | $ | 51,985,846 | 15,360,264 | $ | 156,192,646 | ||||||||||||||||||||||
Reinvestment of dividends | 16 | 163 | 150,491 | 1,492,879 | ||||||||||||||||||||||||
Shares redeemed | (3,343,058 | ) | (33,086,532 | ) | (3,491,355 | ) | (35,313,498 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 1,910,834 | $ | 18,899,477 | 12,019,400 | $ | 122,372,027 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
A | Commencement of operations. |
11. Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Funds’ financial statements through this date.
77
American Beacon Grosvenor Long/Short FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, | October 1, 2015A to January 31, 2016 | ||||||||||||||||||||||||||
2018 | 2017 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.26 | $ | 10.66 | $ | 9.79 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||
Net investment (loss) | (0.07 | ) | (0.16 | )B | (0.14 | ) | (0.02 | ) | ||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.30 | ) | 1.65 | 1.22 | (0.19 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total income (loss) from investment operations | (0.37 | ) | 1.49 | 1.08 | (0.21 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.06 | ) | - | - | |||||||||||||||||||||||
Distributions from net realized gains | - | (0.83 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions | - | (0.89 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 10.89 | $ | 11.26 | $ | 10.66 | $ | 9.79 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total returnC | (3.37 | )%D | 14.29 | % | 11.06 | % | (2.10 | )%D | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||
Net assets, end of period | $ | 18,097,386 | $ | 18,701,925 | $ | 16,119,517 | $ | 15,098,172 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, before reimbursements | 4.71 | %E | 5.67 | % | 6.13 | % | 11.84 | %E | ||||||||||||||||||||
Expenses, net of reimbursementsF | 3.69 | %E | 4.14 | % | 4.41 | % | 3.95 | %E | ||||||||||||||||||||
Net investment (loss), before expense reimbursements | (2.30 | )%E | (3.30 | )% | (3.10 | )% | (10.23 | )%E | ||||||||||||||||||||
Net investment (loss), net of reimbursements | (1.28 | )%E | (1.77 | )% | (1.37 | )% | (2.34 | )%E | ||||||||||||||||||||
Portfolio turnover rate | 86 | %D | 186 | % | 250 | % | 77 | %D |
A | Commencement of operations. |
B | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.18) for Institutional Class. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 2.10% for the period ended July 31, 2018. |
See accompanying notes
78
American Beacon Grosvenor Long/Short FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, | October 1, 2015A to January 31, 2016 | ||||||||||||||||||||||||||
2018 | 2017 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.23 | $ | 10.65 | $ | 9.79 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||
Net investment (loss) | (0.07 | ) | (0.15 | )B | (0.10 | ) | (0.01 | ) | ||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.30 | ) | 1.62 | 1.17 | (0.20 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total income (loss) from investment operations | (0.37 | ) | 1.47 | 1.07 | (0.21 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.06 | ) | - | - | |||||||||||||||||||||||
Distributions from net realized gains | - | (0.83 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions | - | (0.89 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 10.86 | $ | 11.23 | $ | 10.65 | $ | 9.79 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total returnC | (3.29 | )%D | 14.11 | % | 10.96 | % | (2.10 | )%D | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||
Net assets, end of period | $ | 402,387 | $ | 416,381 | $ | 279,480 | $ | 166,300 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, before reimbursements | 4.73 | %E | 5.75 | % | 6.58 | % | 14.92 | %E | ||||||||||||||||||||
Expenses, net of reimbursementsF | 3.79 | %E | 4.27 | % | 4.49 | % | 4.03 | %E | ||||||||||||||||||||
Net investment (loss), before expense reimbursements | (2.32 | )%E | (3.36 | )% | (3.57 | )% | (13.32 | )%E | ||||||||||||||||||||
Net investment (loss), net of reimbursements | (1.38 | )%E | (1.88 | )% | (1.48 | )% | (2.43 | )%E | ||||||||||||||||||||
Portfolio turnover rate | 86 | %D | 186 | % | 250 | % | 77 | %D |
A | Commencement of operations. |
B | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.17) for Y Class. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 2.20% for the period ended July 31, 2018. |
See accompanying notes
79
American Beacon Grosvenor Long/Short FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, | October 1, 2015A to January 31, 2016 | ||||||||||||||||||||||||||
2018 | 2017 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.15 | $ | 10.60 | $ | 9.78 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||
Net investment (loss) | (0.29 | ) | (0.02 | )B | (0.21 | ) | (0.01 | ) | ||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.10 | ) | 1.46 | 1.24 | (0.21 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total income (loss) from investment operations | (0.39 | ) | 1.44 | 1.03 | (0.22 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.06 | ) | - | - | |||||||||||||||||||||||
Distributions from net realized gains | - | (0.83 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions | - | (0.89 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 10.76 | $ | 11.15 | $ | 10.60 | $ | 9.78 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total returnC | (3.50 | )%D | 13.89 | % | 10.56 | % | (2.20 | )%D | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||
Net assets, end of period | $ | 548,116 | $ | 881,290 | $ | 362,643 | $ | 477,097 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, before reimbursements | 5.16 | %E | 6.04 | % | 6.89 | % | 15.21 | %E | ||||||||||||||||||||
Expenses, net of reimbursementsF | 4.12 | %E | 4.51 | % | 4.82 | % | 4.37 | %E | ||||||||||||||||||||
Net investment (loss), before expense reimbursements | (2.64 | )%E | (3.66 | )% | (3.80 | )% | (13.54 | )%E | ||||||||||||||||||||
Net investment (loss), net of reimbursements | (1.60 | )%E | (2.13 | )% | (1.73 | )% | (2.69 | )%E | ||||||||||||||||||||
Portfolio turnover rate | 86 | %D | 186 | % | 250 | % | 77 | %D |
A | Commencement of operations. |
B | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.03) for Investor Class. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 2.48% for the period ended July 31, 2018. |
See accompanying notes
80
American Beacon Grosvenor Long/Short FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, | October 1, 2015A to January 31, 2016 | ||||||||||||||||||||||||||
2018 | 2017 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.15 | $ | 10.60 | $ | 9.78 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||
Net investment (loss) | (0.09 | ) | (0.20 | )B | (0.23 | ) | (0.02 | ) | ||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.30 | ) | 1.64 | 1.26 | (0.20 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total income (loss) from investment operations | (0.39 | ) | 1.44 | 1.03 | (0.22 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.06 | ) | - | - | |||||||||||||||||||||||
Distributions from net realized gains | - | (0.83 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions | - | (0.89 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 10.76 | $ | 11.15 | $ | 10.60 | $ | 9.78 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total returnC | (3.50 | )%D | 13.89 | % | 10.56 | % | (2.20 | )%D | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||
Net assets, end of period | $ | 204,164 | $ | 211,579 | $ | 185,823 | $ | 252,710 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, before reimbursements | 4.95 | %E | 6.06 | % | 6.96 | % | 14.66 | %E | ||||||||||||||||||||
Expenses, net of reimbursementsF | 4.09 | %E | 4.54 | % | 4.88 | % | 4.36 | %E | ||||||||||||||||||||
Net investment (loss), before expense reimbursements | (2.54 | )%E | (3.69 | )% | (3.89 | )% | (13.03 | )%E | ||||||||||||||||||||
Net investment (loss), net of reimbursements | (1.68 | )%E | (2.17 | )% | (1.80 | )% | (2.74 | )%E | ||||||||||||||||||||
Portfolio turnover rate | 86 | %D | 186 | % | 250 | % | 77 | %D |
A | Commencement of operations. |
B | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.22) for A Class. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 2.50% for the period ended July 31, 2018. |
See accompanying notes
81
American Beacon Grosvenor Long/Short FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, | October 1, 2015A to January 31, 2016 | ||||||||||||||||||||||||||
2018 | 2017 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 10.49 | $ | 9.76 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||
Net investment (loss) | (0.13 | ) | (0.43 | )B | (0.22 | ) | (0.05 | ) | ||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.30 | ) | 1.77 | 1.16 | (0.19 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total income (loss) from investment operations | (0.43 | ) | 1.34 | 0.94 | (0.24 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.06 | ) | - | - | |||||||||||||||||||||||
Distributions from net realized gains | - | (0.83 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions | - | (0.89 | ) | (0.21 | ) | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 10.51 | $ | 10.94 | $ | 10.49 | $ | 9.76 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total returnC | (3.93 | )%D | 13.07 | % | 9.66 | % | (2.40 | )%D | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||
Net assets, end of period | $ | 174,465 | $ | 181,475 | $ | 219,289 | $ | 146,348 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, before reimbursements | 5.70 | %E | 6.80 | % | 7.62 | % | 16.08 | %E | ||||||||||||||||||||
Expenses, net of reimbursementsF | 4.84 | %E | 5.31 | % | 5.53 | % | 5.10 | %E | ||||||||||||||||||||
Net investment (loss), before expense reimbursements | (3.29 | )%E | (4.40 | )% | (4.61 | )% | (14.48 | )%E | ||||||||||||||||||||
Net investment (loss), net of reimbursements | (2.43 | )%E | (2.91 | )% | (2.52 | )% | (3.49 | )%E | ||||||||||||||||||||
Portfolio turnover rate | 86 | %D | 186 | % | 250 | % | 77 | %D |
A | Commencement of operations. |
B | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.45) for C Class. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 3.25% for the period ended July 31, 2018. |
See accompanying notes
82
American Beacon Grosvenor Long/Short FundSM
Financial Highlights
(For a share outstanding throughout the period)
Ultra | ||||||||||||
Six Months July 31, 2018 | November 14, 2017A to January 31, 2018 | |||||||||||
|
| |||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 11.27 | $ | 11.30 | ||||||||
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | (0.06 | ) | (0.02 | )B | ||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.31 | ) | 0.88 | |||||||||
|
|
|
| |||||||||
Total income (loss) from investment operations | (0.37 | ) | 0.86 | |||||||||
|
|
|
| |||||||||
Less distributions: | ||||||||||||
Dividends from net investment income | - | (0.06 | ) | |||||||||
Distributions from net realized gains | - | (0.83 | ) | |||||||||
|
|
|
| |||||||||
Total distributions | - | (0.89 | ) | |||||||||
|
|
|
| |||||||||
Net asset value, end of period | $ | 10.90 | $ | 11.27 | ||||||||
|
|
|
| |||||||||
Total returnC | (3.28 | )%D | 7.90 | %D | ||||||||
|
|
|
| |||||||||
Ratios and supplemental data: |
| |||||||||||
Net assets, end of period | $ | 104,351 | $ | 107,867 | ||||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 8.08 | %E | 7.68 | %E | ||||||||
Expenses, net of reimbursementsF | 3.58 | %E | 3.21 | %E | ||||||||
Net investment (loss), before expense reimbursements | (5.67 | )%E | (5.43 | )%E | ||||||||
Net investment (loss), net of reimbursements | (1.17 | )%E | (0.96 | )%E | ||||||||
Portfolio turnover rate | 86 | %D | 186 | %D |
A | Commencement of operations. |
B | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.04) for Ultra Class. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 1.99% for the period ended July 31, 2018. |
See accompanying notes
83
American Beacon Numeric Integrated Alpha FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, 2018 | November 1, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.02 | $ | 10.28 | $ | 10.00 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment (loss) | (0.11 | ) | (0.23 | ) | (4.25 | ) | ||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.15 | ) | 0.13 | 4.53 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | (0.26 | ) | (0.10 | ) | 0.28 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | - | - | |||||||||||||||||
Distributions from net realized gains | - | (0.16 | ) | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total distributions | - | (0.16 | ) | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net asset value, end of period | $ | 9.76 | $ | 10.02 | $ | 10.28 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total returnB | (2.59 | )%C | (0.96 | )% | 2.80 | %C | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||
Net assets, end of period | $ | 119,544 | $ | 122,715 | $ | 123,935 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 4.81 | %D | 4.82 | % | 6.48 | %D | ||||||||||||||
Expenses, net of reimbursementsE | 4.85 | %D | 4.80 | % | 4.56 | %D | ||||||||||||||
Net investment (loss), before expense reimbursements | (2.15 | )%D | (3.02 | )% | (4.74 | )%D | ||||||||||||||
Net investment (loss), net of reimbursements | (2.19 | )%D | (3.00 | )% | (2.82 | )%D | ||||||||||||||
Portfolio turnover rate | 182 | %C | 329 | % | 114 | %C |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 1.95% for the period ended July 31, 2018. |
See accompanying notes
84
American Beacon Numeric Integrated Alpha FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, 2018 | November 1, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.01 | $ | 10.26 | $ | 10.00 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment (loss) | (0.11 | ) | (0.31 | ) | (0.08 | ) | ||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.15 | ) | 0.23 | 0.34 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | (0.26 | ) | (0.08 | ) | 0.26 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | (0.01 | ) | - | ||||||||||||||||
Distributions from net realized gains | - | (0.16 | ) | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total distributions | - | (0.17 | ) | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net asset value, end of period | $ | 9.75 | $ | 10.01 | $ | 10.26 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total returnB | (2.60 | )%C | (0.79 | )% | 2.60 | %C | ||||||||||||||
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|
|
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| |||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||
Net assets, end of period | $ | 99,114 | $ | 101,793 | $ | 102,596 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 4.86 | %D | 4.92 | % | 12.24 | %D | ||||||||||||||
Expenses, net of reimbursementsE | 4.95 | %D | 4.90 | % | 4.62 | %D | ||||||||||||||
Net investment (loss), before expense reimbursements | (2.20 | )%D | (3.12 | )% | (10.64 | )%D | ||||||||||||||
Net investment (loss), net of reimbursements | (2.29 | )%D | (3.10 | )% | (3.02 | )%D | ||||||||||||||
Portfolio turnover rate | 182 | %C | 329 | % | 114 | %C |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 2.05% for the period ended July 31, 2018. |
See accompanying notes
85
American Beacon Numeric Integrated Alpha FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, 2018 | November 1, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.98 | $ | 10.25 | $ | 10.00 | ||||||||||||||
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|
|
|
| |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment (loss) | (0.13 | ) | (0.34 | ) | (0.08 | ) | ||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.14 | ) | 0.23 | 0.33 | ||||||||||||||||
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|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | (0.27 | ) | (0.11 | ) | 0.25 | |||||||||||||||
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| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | - | - | |||||||||||||||||
Distributions from net realized gains | - | (0.16 | ) | - | ||||||||||||||||
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|
| |||||||||||||||
Total distributions | - | (0.16 | ) | - | ||||||||||||||||
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|
| |||||||||||||||
Net asset value, end of period | $ | 9.71 | $ | 9.98 | $ | 10.25 | ||||||||||||||
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|
|
|
| |||||||||||||||
Total returnB | (2.71 | )%C | (1.06 | )% | 2.50 | %C | ||||||||||||||
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|
|
|
| |||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||
Net assets, end of period | $ | 98,631 | $ | 101,438 | $ | 102,524 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 6.11 | %D | 6.26 | % | 13.71 | %D | ||||||||||||||
Expenses, net of reimbursementsE | 5.23 | %D | 5.18 | % | 4.90 | %D | ||||||||||||||
Net investment (loss), before expense reimbursements | (3.45 | )%D | (4.46 | )% | (12.11 | )%D | ||||||||||||||
Net investment (loss), net of reimbursements | (2.57 | )%D | (3.38 | )% | (3.30 | )%D | ||||||||||||||
Portfolio turnover rate | 182 | %C�� | 329 | % | 114 | %C |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 2.33% for the period ended July 31, 2018. |
See accompanying notes
86
American Beacon Numeric Integrated Alpha FundSM
Financial Highlights
(For a share outstanding throughout the period)
Ultra | ||||||||||||||||||||
Six Months July 31, 2018 | Year Ended January 31, 2018 | November 1, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.02 | $ | 10.27 | $ | 10.00 | ||||||||||||||
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|
|
|
|
| |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment (loss) | (0.07 | ) | (0.20 | ) | (0.05 | ) | ||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.18 | ) | 0.14 | 0.32 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | (0.25 | ) | (0.06 | ) | 0.27 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | 0.00 | B | (0.03 | ) | - | |||||||||||||||
Distributions from net realized gains | - | (0.16 | ) | - | ||||||||||||||||
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| |||||||||||||||
Total distributions | - | (0.19 | ) | - | ||||||||||||||||
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| |||||||||||||||
Net asset value, end of period | $ | 9.77 | $ | 10.02 | $ | 10.27 | ||||||||||||||
|
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|
|
| |||||||||||||||
Total returnC | (2.50 | )%D | (0.57 | )% | 2.70 | %D | ||||||||||||||
|
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|
|
| |||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||
Net assets, end of period | $ | 190,605,725 | $ | 176,414,475 | $ | 57,379,342 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 4.88 | %E | 4.90 | % | 6.74 | %E | ||||||||||||||
Expenses, net of reimbursementsF | 4.77 | %E | 4.70 | % | 4.87 | %E | ||||||||||||||
Net investment (loss), before expense reimbursements | (2.22 | )%E | (3.04 | )% | (5.04 | )%E | ||||||||||||||
Net investment (loss), net of reimbursements | (2.11 | )%E | (2.84 | )% | (3.17 | )%E | ||||||||||||||
Portfolio turnover rate | 182 | %D | 329 | % | 114 | %D |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Includes non-operating expenses consisting of dividend expense from securities sold short and broker fees and other charges from securities sold short, including interest expense. The Expenses, net of reimbursements, excluding non-operating expenses is 1.85% for the period ended July 31, 2018. |
See accompanying notes
87
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
At in-person meetings held on May 18, 2018 and June 5-6, 2018 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 6, 2018 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon Grosvenor Long/Short Fund (“Grosvenor Fund”) and the American Beacon Numeric Integrated Alpha Fund (“Numeric Fund”) (each, a “Fund” and collectively, the “Funds”);
(2) the Investment Advisory Agreement among the Manager, Numeric Investors LLC (“Numeric”), and the Trust, on behalf of the Numeric Fund;
(3) the Lead Investment Advisory Agreement between Grosvenor Capital Management, L.P. (“Grosvenor”), the lead subadvisor of the Grosvenor Fund, and the Manager; and
(4) the Investment Advisory Agreements among the Manager, Grosvenor and each of the Grosvenor Fund’s underlying subadvisors whose contracts were being proposed for renewal (the “Underlying Subadvisors”).
Numeric, Grosvenor and the Underlying Subadvisors are hereinafter each referred to as a “subadvisor” and collectively as the “subadvisors.” The Investment Advisory Agreement with Numeric, the Lead Investment Advisory Agreement with Grosvenor and the Investment Advisory Agreements with the Underlying Subadvisors are referred to herein as the “Investment Advisory Agreements,” and the Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisors, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Funds as well as information from the Manager and the subadvisors. At the Meetings, the Board considered the information provided. Further, the Board took into consideration information furnished to the Board throughout the year at regular meetings of the Board and its committees, as well as information specifically prepared in connection with the renewal process.
In connection with the Board’s consideration of the Agreements, the Trustees received and evaluated such information as they deemed necessary. The information requested on behalf of the Board included, among other information, the following materials. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.
• | comparisons of the performance of an appropriate share class of each Fund to comparable investment companies and appropriate benchmark indices, including peer group averages and performance analyses from Broadridge, and to the performance of any similar accounts or a composite of similar accounts, as applicable, managed by the firm; |
• | comparisons of each Fund’s management and subadvisory fee rates and expense ratio with the management fee rates paid by comparable mutual funds and their expense ratios, including peer group averages and fee and expense analyses from Broadridge, and the advisory fee rates charged to other clients for which similar services are provided by a firm; |
• | for the Grosvenor Fund, information regarding the performance of the individual firms with respect to their allocated portions of a Fund’s portfolio, and the performance of certain relevant benchmarks and other similar accounts or a composite of similar accounts, as applicable, managed by the firm; |
• | a description of any applicable fee waivers and/or expense reimbursements in place for each Fund during the past year, and any proposed changes to the expense limitation arrangements; |
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Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
• | the Manager’s profitability with respect to the services that it provided to each Fund; |
• | any actual or anticipated economies of scale in relation to the services the firm provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors; |
• | an evaluation of other benefits to the firm or a Fund as a result of their relationship, if any; |
• | information regarding administrative, accounting-related and cash management services that the Manager provides to the Funds and the fees that the Manager receives for such services; and |
• | information regarding a firm’s financial condition, the personnel of the Manager who are assigned primary responsibility for managing the Funds, staffing levels, portfolio managers’ compensation, insurance coverage, material pending litigation, code of ethics, compliance matters, actual or potential conflicts of interest that the firm experiences, or anticipates that it will experience, in providing services to the Funds, and the Manager’s disaster recovery plans. |
The Board noted that the Manager provides management and administrative services to the Funds pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. For each Fund, the class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Funds and their shareholders.
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreements
In determining whether to renew the Agreements, the Trustees considered the best interests of each Fund separately. While the Management Agreement and the Investment Advisory Agreements for the Funds were considered at the Meetings, the Board considered each Fund’s investment management and subadvisory relationships separately.
In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of a Fund; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or a subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken
89
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or a subadvisor from their relationships with a Fund.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s performance since its inception in 2015, with respect to the Grosvenor Fund, and 2016, with respect to the Numeric Fund; the length of service of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support that reduce risks to the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
With respect to the renewal of each Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. With respect to the Grosvenor Fund, the Board also considered Grosvenor’s active role in monitoring and, as appropriate, recommending additional or replacement underlying subadvisors. Additionally, the Board considered the adequacy of the resources committed to the relevant Fund by each subadvisor, and whether those resources were commensurate with the needs of the Fund and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of each subadvisor. The Board also considered each subadvisor’s representations regarding its compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund.
Investment Performance. The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of each Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting each Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for a Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by each subadvisor regarding, in the case of Numeric, the performance of the Numeric Fund relative to the performance of the Numeric Fund’s benchmark index and, in the case of the Grosvenor Fund, the performance of the Grosvenor Fund or portion of the Grosvenor Fund, as applicable, relative to the performance of other comparable investment accounts managed by the subadvisor, the Fund’s benchmark index or a benchmark index that is appropriate in light of the strategy pursued by a subadvisor in managing its portion of the Grosvenor Fund. In addition, the Board considered the Manager’s recommendation to continue to retain each subadvisor.
The Board also considered Grosvenor’s recommendation to continue to retain each of the Grosvenor Fund’s Underlying Subadvisors. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Costs of the Services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the Manager sustaining a loss before and after the payment of distribution-related expenses by the Manager for each Fund. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the Manager represented that, among other matters, the difference is attributable to the fact that the Manager does not perform administrative services for non-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.
90
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the Funds that were in place during the last fiscal year. The Board further considered that, with respect to each Fund, the applicable Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager, and that, with respect to the Grosvenor Fund, the Manager pays a fee to Grosvenor and Grosvenor, in turn, pays a fee to each of the Underlying Subadvisors. The Board also noted that certain share classes of the Funds maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by Numeric in connection with its investment advisory services to the Numeric Fund, the Board considered representations made by Numeric that the fee rate negotiated by the Manager is favorable relative to the fee rates that the subadvisor charges for any comparable client accounts. In analyzing the fee rates charged by Grosvenor and the Underlying Subadvisors in connection with their investment advisory services to the Grosvenor Fund, the Board considered representations made by Grosvenor that it does not manage any comparable client accounts, and therefore could not provide fee schedules for comparable investment accounts managed by it, and that the Underlying Subadvisors are compensated by Grosvenor. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as each Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered the Manager’s representation that, with respect to the Numeric Fund, the Management Agreement contains fee schedule breakpoints at higher asset levels. The Board also considered the Manager’s representation that, with respect to the Grosvenor Fund, economies of scale are reflected in the current level of management fees charged by AmBeacon and that the current fee structure provides an adequate basis for sharing economies of scale with the Fund’s shareholders. The Board considered that the Funds’ subadvisory fee rates do not contain breakpoints, but that the Manager or Grosvenor, as applicable, had negotiated competitive rates. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for each Fund provide for a reasonable sharing of benefits from any economies of scale with each Fund.
Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisors’ investment process and expanding the level of assets under management by the Manager and the subadvisors. In addition, the Board noted that certain of the subadvisors benefit from soft dollar arrangements for third party and/or proprietary research. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to Each Fund
The performance comparisons below were made in comparison to each Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top twenty percent of the universe based on performance and the 5th Quintile representing the bottom twenty percent of the universe based on performance. References below to each Fund’s Broadridge
91
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
performance universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge. For the Grosvenor Fund, information regarding the performance of individual firms is calculated by the Manager using information provided by the Grosvenor Fund’s custodian.
The expense comparisons below were made in comparison to each Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the top twenty percent of the universe or group based on lowest total expense and the 5th Quintile representing the bottom twenty percent of the universe or group based on highest total expense. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered each Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisors’ use of soft dollars was requested from the Manager and was considered by the Trustees.
Additional Considerations and Conclusions with Respect to the American Beacon Numeric Integrated Alpha Fund
In considering the renewal of the Management Agreement with the Manager and the Investment Advisory Agreement with Numeric for the Numeric Fund, the Trustees considered the following additional factors:
Morningstar Fee Level Ranking
Morningstar Fee Level Ranking – Institutional Class | High Expense Ratio |
Broadridge and Morningstar Performance Analysis (one-year period ended December 31, 2017)
Compared to Broadridge Performance Universe | 5th Quintile | |
Compared to Morningstar Category | 5th Quintile |
The Trustees also considered: (1) the challenges associated with identifying a peer group for evaluating the Fund’s expenses and performance as none of the funds in the Fund’s Broadridge performance universe or Morningstar category pursue a comparable investment strategy; and (2) the Manager’s recommendation to continue to retain the subadvisor based upon, among other factors, the relatively brief period that this Fund has been in operation.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and the subadvisor under the Management Agreement and Investment Advisory Agreement are fair and reasonable; and (2) determined that the Numeric Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund.
Additional Considerations and Conclusions with Respect to the American Beacon Grosvenor Long/Short Fund
In considering the renewal of the Management Agreement for the Grosvenor Fund, the Trustees considered the following additional factors:
Broadridge Total Expense Analysis Excluding 12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 4th Quintile | |
Compared to Broadridge Expense Universe | 5th Quintile | |
Morningstar Fee Level Ranking – Institutional Class | High Expense Ratio |
92
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Broadridge and Morningstar Performance Analysis (one-year period ended December 31, 2017)
Compared to Broadridge Performance Universe | 2nd Quintile | |
Compared to Morningstar Category | 3rd Quintile |
In considering the renewal of the Lead Investment Advisory Agreement with Grosvenor and the Investment Advisory Agreements with Basswood Capital Management, LLC (“Basswood”), Incline Global Management, LLC (“Incline”), Impala Asset Management, LLC (“Impala”) and Tremblant Capital Group (“Tremblant”), the Trustees considered that, as lead subadvisor, Grosvenor manages the Fund by the allocating the Fund’s assets among the Underlying Subadvisors, which pursue different investment strategies, and that the expense level is therefore a function of this extra level of oversight and expertise. The Trustees considered that the diversification of investment strategies facilitated by the Fund’s multi-manager structure permits the Fund to mitigate the risks associated with a single Underlying Subadvisor. The Trustees also considered the following additional factors:
Fund Performance (compared to Broadridge Performance Universe for period indicated ended December 31, 2017)
Grosvenor | 1 Year | 2nd Quintile |
Underlying Subadvisor Performance (compared to Broadridge Performance Universe for period indicated ended December 31, 2017)
Basswood | 1 Year | 1st Quintile | ||
Incline | 1 Year | 1st Quintile | ||
Impala | 1 Year | 1st Quintile | ||
Tremblant | 1 Year | 2nd Quintile |
The Trustees also considered: (1) Grosvenor’s management expertise and familiarity with Basswood, Incline, Impala and Tremblant; (2) the challenges associated with the use of multiple Underlying Subadvisors to achieve a market-neutral portfolio with a balanced risk profile; (3) representations by Grosvenor and/or certain of the Underlying Subadvisors to the effect that they do not manage accounts for clients comparable to the Fund or otherwise provide information regarding client accounts; (4) the decision not to seek Board approval for the renewal of the Investment Advisory Agreement with two of the Fund’s prior underlying subadvisors; (5) that the period since the Fund’s inception in October 2015 was not long enough to fully evaluate the performance of Grosvenor and the Underlying Subadvisors; and (6) the Manager’s recommendation to continue to retain Grosvenor, Basswood, Incline, Impala and Tremblant.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager, Grosvenor and the Underlying Subadvisors under the Management, Lead Investment Subadvisory and Investment Advisory Agreements are fair and reasonable; and (2) determined that the Fund and its shareholders would benefit from the Manager’s and specified subadvisors’ continued management of the Fund.
Approval of Additional Underlying Subadvisor of American Beacon Grosvenor Long/Short Fund
At its June 5-6, 2018 and August 21-22, 2018 meetings, the Board of Trustees (“Board”) considered the approval of a new investment advisory agreement (“New Agreement”) among the Manager, Magnetar Asset Management LLC (“Magnetar”), and Grosvenor, pursuant to which Magnetar would manage a portion of the assets of the Grosvenor Fund. Prior to the meetings, information was provided to the Board by Magnetar in response to requests from the Board and/or the Manager in connection with the Board’s consideration of the New Agreement. The Investment Committee of the Board also met with representatives of Magnetar. Also in attendance at that meeting were representatives of the Manager and Grosvenor, who explained the basis for Grosvenor’s recommendation of Magnetar.
93
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Provided below is an overview of the primary factors the Board considered at its June 5-6, 2018 and August 21-22, 2018 meetings at which the Board considered the approval of the New Agreement. In determining whether to approve the New Agreement, the Board considered, among other things, the following factors: (1) the nature and quality of the services to be provided; (2) the investment performance of an account managed by Magnetar (the “Comparable Account”); (3) the extent to which economies of scale, if any, have been taken into account in setting the fee schedule; (4) whether fee levels reflect these economies of scale, if any, for the benefit of investors; (5) comparisons of services and fees with contracts entered into by Magnetar with other clients; and (6) any other benefits anticipated to be derived by Magnetar from its relationship with the Grosvenor Fund. In addition, the Board considered that Magnetar would be compensated for its services exclusively by Grosvenor from its fixed rate advisory fee, and not by the Grosvenor Fund.
The Board did not identify any particular information that was most relevant to its consideration of the New Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the approval of investment advisory contracts, such as the New Agreement. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of the New Agreement were reasonable and fair and that the approval of the New Agreement was in the best interests of the Grosvenor Fund.
Nature, extent and quality of the services to be provided by Magnetar. The Board considered information regarding Magnetar’s principal business activities, its reputation, financial condition and overall capabilities to perform the services under the New Agreement. In addition, the Board considered the background and experience of the personnel who will be assigned responsibility for managing Magnetar’s allocation of the Grosvenor Fund. The Board also considered Magnetar’s investment resources, infrastructure and the adequacy of its compliance program. In addition, the Board took into consideration that Grosvenor had recommended Magnetar and the Manager had not identified any issues that would warrant a contrary recommendation by it. The Board considered Magnetar’s representation regarding the strength of its financial condition and that its current staffing levels were adequate to service the Grosvenor Fund. Based on this information, the Board concluded that the nature, extent and quality of the advisory services to be provided by Magnetar were appropriate for the Grosvenor Fund in light of its investment objective, and, thus, supported a decision to approve the New Agreement.
Performance of Magnetar. The Board evaluated the information provided by Magnetar regarding the performance of the Comparable Account. The Board considered Magnetar’s representation that the Comparable Account does not have a benchmark index, but that the strategy applicable to the Comparable Account and Magnetar’s allocation of the Grosvenor Fund generally seeks to outperform cash. The Board also considered Magnetar’s representation that, for various periods ended February 28, 2018, the performance of the Comparable Account was favorable. Based on the foregoing information, the Board concluded that the historical investment performance record of Magnetar supported approval of the New Agreement.
Comparisons of the amounts to be paid under the New Agreement with those under contracts between Magnetar and its other clients. In evaluating the New Agreement, the Board reviewed the proposed advisory fee rate for services to be performed by Magnetar on behalf of the Grosvenor Fund. The Board considered Magnetar’s representation that the proposed advisory fee rate is lower than the fee rate Magnetar charges to another investment company managed in the same strategy as Magnetar’s allocation of the Grosvenor Fund and equal to the fee rate charged by an affiliate of Magnetar to a hedge fund managed in the same strategy as Magnetar’s allocation of the Grosvenor Fund. After evaluating this information, the Board concluded that the advisory fee rate under the New Agreement was reasonable in light of the services to be provided to the Grosvenor Fund.
Costs of the services to be provided and profits to be realized by Magnetar and its affiliates from its relationship with the Grosvenor Fund. The Board did not consider the costs of the services to be provided and profits to be realized by Magnetar from its relationship with the Grosvenor Fund, noting instead the arm’s-length nature of the relationship between the Manager, Magnetar and Grosvenor with respect to the negotiation of the advisory fee rate on behalf of the Grosvenor Fund.
94
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Economies of Scale. The Board considered Magnetar’s representation that it did not anticipate achieving significant economics of scale in connection with the provision of services to its allocation of the Grosvenor Fund.
Benefits to be derived by Magnetar from the relationship with the Grosvenor Fund. The Board considered the “fall-out” or ancillary benefits that might accrue to Magnetar as a result of its relationship with the Grosvenor Fund, including Magnetar’s representation that neither it nor its affiliates anticipate receiving any indirect benefits from its relationship with the Grosvenor Fund. Based on the foregoing information, the Board concluded that the potential benefits accruing to Magnetar by virtue of its relationship with the Grosvenor Fund appear to be fair and reasonable.
Board’s Conclusion. Based on the various considerations described above, the Board, including a majority of Trustees who are not “interested persons” of the Grosvenor Fund, the Manager, Grosvenor or Magnetar, as that term is defined in the Investment Company Act of 1940, as amended, concluded that the proposed investment advisory fee rate is fair and reasonable and that the approval of the New Agreement is in the best interests of the Grosvenor Fund and approved the New Agreement.
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96
Delivery of Documents
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If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
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By E-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website at www.americanbeaconfunds.com | |
By Telephone: Call (800) 658-5811 | By Mail: American Beacon Funds 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, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (800)-SEC-0330. A complete schedule of each 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 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts | TRANSFER AGENT DST Asset Manager Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Boston, Massachusetts | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, 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 Grosvenor Long/Short Fund and American Beacon Numeric Integrated Alpha Fund are service marks of American Beacon Advisors, Inc.
SAR 7/18
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.
FRONTIER MARKETS INCOME FUND
Investing in foreign, emerging and frontier market securities may involve heightened risk due to currency fluctuations and economic and political risks. Investing in derivative instruments involves liquidity, credit, interest rate and market risks. The use of fixed-income securities entails interest rate and credit risks. 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.
GLG TOTAL RETURN FUND
Investing in foreign and emerging market securities may involve heightened risk due to currency fluctuations and economic and political risks. Investing in derivative instruments involves liquidity, credit, interest rate and market risks. The use of fixed-income securities entails interest rate and credit risks. Because the Fund may invest in fewer issuers than a more diversified portfolio, the fluctuating value of a single holding may have a greater effect on the value of the Fund. The Fund may have high portfolio turnover risk, which could increase the Fund’s transaction costs and possibly have a negative impact on performance. 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 each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions, and, therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | July 31, 2018 |
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Disclosure Regarding Approval of the Management and Investment Advisory Agreements | 70 |
| Back Cover |
![]() | Dear Shareholders,
Since 1986, American Beacon has endeavored to provide investors with a disciplined approach to realizing long-term investment goals: Institutional wisdom + earned alpha = enduring value.
u We believe institutional wisdom comes from having more than 30 years of experience as manager of one of the country’s largest pension plans. As a fiduciary, we have built an investment due-diligence and oversight infrastructure, which we leverage across all our investment products. When selecting our investment managers, we focus on their people, processes and performance. We perform due-diligence reviews with each investment manager on a quarterly basis.
u We believe earned alpha – that is, the returns of an actively managed |
fund beyond a benchmark – comes from employing and engaging investment managers we believe are best-in-class and who have defined, repeatable and proven processes. Our experience has shown us that, while it’s important to be mindful of short-term considerations, having a long-term focus helps manage expectations, mitigate risks and realize goals. Thus, we seek relationships with leading investment managers who display a willingness to undertake time-intensive research strategies. The resulting investment portfolios are differentiated from their peers and allow incremental changes to help address periods of market volatility and economic uncertainty. |
u | We believe enduring value comes from “putting a portfolio in place and sticking with the plan.” Our mutual funds provide you with access to institutional-quality, research-intensive investment managers with diverse processes and styles. In the long run, having such access and spending time in the market – rather than trying to time the market – may better position you to reach your long-term investment goals. |
During periods of market volatility and economic uncertainty – such as what we’ve seen thus far in 2018 – investing for the long term requires conviction. It isn’t about identifying and anticipating the next big market move. It’s about identifying the right investment products for riding out those moves. It’s about developing an approach based on long-term participation, while seeking some measure of protection against ongoing volatility.
As a manager of managers, we strive to provide investment products that may enable investors to participate during market upswings while potentially insulating against market downswings. Many of the sub-advisors to our mutual funds pursue upside capture and/or downside protection using proprietary strategies. The investment teams behind our mutual funds seek to produce consistent, long-term results rather than focus only on short-term movements in the markets. In managing our investment products, we emphasize identifying opportunities that offer the potential for high quality and lower risk.
At American Beacon, our approach is more than a concept. It’s the cornerstone of our culture. And we strive to apply it at every turn as we seek to provide a well-diversified line of investment products for your portfolio.
Thank you for your continued interest in American Beacon. 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 Frontier Markets Income FundSM
July 31, 2018 (Unaudited)
The Investor Class of the American Beacon Frontier Markets Income Fund (the “Fund”) returned -1.60% for the six-month period ending July 31, 2018. The Fund outperformed the JP Morgan EMBI Global Diversified Index (the “Index”) return of -2.76% for the same period.
Total Returns for the Period ended July 31, 2018 |
| ||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Year | Since Inception 2/25/2014 | |||||||||||||||||||||||
Institutional Class (1,3) | AGEIX | (1.61 | )% | 4.50 | % | 6.90 | % | 5.49 | % | ||||||||||||||||||
Y Class (1,3) | AGEYX | (1.52 | )% | 4.44 | % | 6.81 | % | 5.42 | % | ||||||||||||||||||
Investor Class (1,3) | AGEPX | (1.60 | )% | 4.20 | % | 6.54 | % | 5.14 | % | ||||||||||||||||||
A without Sales Charge (1,3) | AGUAX | (1.80 | )% | 3.98 | % | 6.46 | % | 5.07 | % | ||||||||||||||||||
A with Sales Charge (1,3) | AGUAX | (6.48 | )% | (0.95 | )% | 4.75 | % | 3.92 | % | ||||||||||||||||||
C without Sales Charge (1,3) | AGECX | (2.03 | )% | 3.34 | % | 5.75 | % | 4.29 | % | ||||||||||||||||||
C with Sales Charge (1,3) | AGECX | (3.03 | )% | 2.34 | % | 5.75 | % | 4.29 | % | ||||||||||||||||||
JPMorgan EMBI Global Diversified Index (2) | (2.76 | )% | 0.07 | % | 5.34 | % | 5.42 | % |
* | 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 calculated based on the published end of day net asset values 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. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of fees charged to the Institutional Class of the Fund was waived from Fund inception through 2015, partially recovered in 2016, and waived in 2017 and partially recovered in 2018. Performance prior to waiving fees was lower than actual returns shown through 2015 and in 2017. A portion of fees charged to the C Class of the Fund was waived from Fund inception through 2017 and was partially recovered in 2018. Performance prior to waiving fees was lower than actual returns shown through 2017. A portion of fees charged to the Investor, Y and A Classes of the Fund was waived from Fund inception through 2015, partially recovered in 2016, waived in 2017 and partially recovered in 2018. Performance prior to waiving fees was lower than actual returns shown through 2015 and in 2017. 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. | The JPMorgan EMBI Global Diversified Index is an emerging market debt benchmark that tracks dollar-denominated bonds issued by frontier and emerging market governments. One cannot directly invest in an index. |
3. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares were 1.41%, 1.49%, 1.73%, 1.79% and 2.56%, 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 momentum in frontier markets debt continued through the beginning of this period as investors maintained their appetite for yield. By April 2018, however, sentiment began to turn negative due to U.S. dollar strength and moderating economic growth in several emerging and frontier economies. Volatility increased through the remainder of the period as credit spreads widened and investors looked for safety. Spread widening led to the negative returns for the Fund and the Index, and the Fund’s outperformance reflected the outperformance of frontier market countries relative to emerging market counties.
The Fund’s top performing countries during the period were Kenya, Ukraine and Georgia. In Kenya, the shilling remained remarkably stable throughout the period despite the broader market volatility. The Central Bank of Kenya grew foreign exchange reserves to an all-time high due to capital inflows, bond issuance and recently a syndicated loan, which helped protect the currency.
The Fund’s local currency position in Ukraine performed well during the period due primarily to its higher yield. The Ukrainian hryvnia initially improved as anti-corruption laws and domestic fiscal policy reform could unlock further International Monetary Fund (“IMF”) financing; however, the currency ended on a weak note.
In Georgia, the currency enjoyed strong momentum in the first couple of months of the period and remained stable through period end due to renewed confidence following a steep devaluation in late 2017. Economic growth
2
American Beacon Frontier Markets Income FundSM
Performance Overview
July 31, 2018 (Unaudited)
recovered, and trade with Russia improved; however, shortly after period end, the currency declined reflecting weakness in the Russian ruble.
The worst performing countries in the Fund included Argentina, Ghana and Uruguay. In Argentina, the peso declined 40% during the period reflecting a loss of confidence in fiscal and monetary policy. In June 2018, the IMF agreed to a $50 billion stand-by credit facility for Argentina, the largest in the IMF’s history; however, Argentina enjoyed only a brief period of stability. Shortly after period end, the currency declined another 25%.
In Ghana, both the currency and sovereign bonds came under pressure as emerging market sentiment turned negative. Despite improving macroeconomic readings, a disinflationary trend and monetary policy easing caused credit spreads to widen and the currency to weaken.
The sell-off in the Argentine peso was accompanied by a sell-off in the Brazilian real (the Fund did not have exposure to the Brazilian real), however, the local contagion spread to the Uruguayan peso and caused the Fund’s position in local currency Uruguayan bonds to underperform as well.
Overall, the sub-advisor’s investment process involves a top-down approach that assesses macroeconomic factors affecting the relationships between developed, emerging and frontier countries, combined with a bottom-up approach to determine the countries in which the Fund will make investments. This investment process has remained consistent since the inception of the Fund.
Top Ten Holdings (% Net Assets) | ||||||||
Kenya Infrastructure Bond, Series 15YR, 12.500%, Due 1/10/2033 | 2.2 | |||||||
Angolan Government International Bond, 9.500%, Due 11/12/2025 | 2.1 | |||||||
Nigeria Government Bond, Series 10YR, 16.288%, Due 3/17/2027 | 1.6 | |||||||
Dominican Republic International Bond, 11.500%, Due 5/10/2024 | 1.6 | |||||||
Mongolia Government International Bond, 8.750%, Due 3/9/2024 | 1.6 | |||||||
Bonos de la Nacion Argentina con Ajuste por CER, 3.750%, Due 2/8/2019 | 1.6 | |||||||
International Finance Corp., 9.500%, Due 5/31/2020 | 1.5 | |||||||
Ivory Coast Government International Bond, 5.750%, Due 12/31/2032 | 1.5 | |||||||
Costa Rica Titulos de Propiedad, 9.660%, Due 9/30/2026 | 1.4 | |||||||
Ivory Coast Government International Bond, 5.750%, Due 12/31/2032 | 1.4 | |||||||
Total Fund Holdings | 150 | |||||||
Top Ten Country Weightings (% Investments) |
| |||||||
Egypt | 5.5 | |||||||
Kenya | 5.4 | |||||||
Ukraine | 5.2 | |||||||
Sri Lanka | 5.0 | |||||||
Nigeria | 4.8 | |||||||
Argentina | 4.5 | |||||||
Zambia | 4.5 | |||||||
Angola | 4.5 | |||||||
Ivory Coast | 4.4 | |||||||
Ghana | 4.4 | |||||||
Sector Allocation (% Investments) |
| |||||||
Foreign Sovereign Obligations | 79.8 | |||||||
Credit-Linked Notes | 19.9 | |||||||
Financial | 0.3 | |||||||
3
American Beacon Frontier Markets Income FundSM
Performance Overview
July 31, 2018 (Unaudited)
Country Allocation (% Investments) |
| |||||||
Egypt | 5.5 | |||||||
Kenya | 5.4 | |||||||
Ukraine | 5.2 | |||||||
Sri Lanka | 5.0 | |||||||
Nigeria | 4.8 | |||||||
Argentina | 4.5 | |||||||
Zambia | 4.5 | |||||||
Angola | 4.5 | |||||||
Ivory Coast | 4.4 | |||||||
Ghana | 4.4 | |||||||
Uruguay | 3.6 | |||||||
Iraq | 3.5 | |||||||
Supranational | 3.5 | |||||||
Dominican Republic | 3.5 | |||||||
Uganda | 3.4 | |||||||
Costa Rica | 3.0 | |||||||
Mozambique | 2.9 | |||||||
Ecuador | 2.7 | |||||||
Senegal | 2.7 | |||||||
Kazakhstan | 2.2 | |||||||
Netherlands | 2.2 | |||||||
Mongolia | 2.1 | |||||||
Nicaragua | 2.0 | |||||||
Kyrgyzstan | 1.9 | |||||||
Cameroon | 1.5 | |||||||
Georgia | 1.5 | |||||||
Tajikistan | 1.2 | |||||||
Ethiopia | 1.1 | |||||||
Belarus | 1.1 | |||||||
Azerbaijan | 0.9 | |||||||
Gabon | �� | 0.8 | ||||||
Paraguay | 0.8 | |||||||
Tunisia | 0.8 | |||||||
Malawi | 0.7 | |||||||
Suriname | 0.7 | |||||||
Armenia | 0.7 | |||||||
Gambia | 0.4 | |||||||
Tanzania, United Republic Of | 0.3 | |||||||
Bosnia & Herzegovina | 0.1 |
4
American Beacon GLG Total Return FundSM
Performance Overview
July 31, 2018 (Unaudited)
The Investor Class of the American Beacon GLG Total Return Fund (the “Fund”) returned 2.97% for the six months ended July 31, 2018. The Fund outperformed the BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index (the “Index”) return of 0.98% for the same period. For additional comparison, the JP Morgan EMBI Global Index (hard currency) returned -3.09%, and the JP Morgan GBI-EM Global Diversified Index (local currency) returned -8.75%.
Total Returns for the Period ended July 31, 2018 |
| |||||||||||||||||||||
Ticker | 6 Months* | 1 Year | Since Inception 5/20/2016 | |||||||||||||||||||
Institutional Class (1,3) | GLGIX | 3.24 | % | 1.73 | % | 4.75 | % | |||||||||||||||
Y Class (1,3) | GLGYX | 3.06 | % | 1.44 | % | 4.55 | % | |||||||||||||||
Investor Class (1,3) | GLGPX | 2.97 | % | 1.23 | % | 4.30 | % | |||||||||||||||
A without Sales Charge (1,3) | GLGAX | 3.07 | % | 1.33 | % | 4.30 | % | |||||||||||||||
A Class with Sales Charge (1,3) | GLGAX | (1.83 | )% | (3.47 | )% | 2.00 | % | |||||||||||||||
C without Sales Charge (1,3) | GLGCX | 2.71 | % | 0.51 | % | 3.52 | % | |||||||||||||||
C Class with Sales Charge (1,3) | GLGCX | 1.71 | % | (0.49 | )% | 3.52 | % | |||||||||||||||
Ultra Class (1,3) | GLGUX | 3.24 | % | 1.73 | % | 4.78 | % | |||||||||||||||
BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index (2) | 0.98 | % | 1.62 | % | 1.21 | % | ||||||||||||||||
JPMorgan EMBI Global Index (2) | (3.09 | )% | (1.09 | )% | 4.09 | % |
* | 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 calculated based on the published end of day net asset values as of the 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. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of fees charged to the Institutional, A and C Classes of the Fund was waived from Fund inception through 2017 and partially recovered in 2018. Performance prior to waiving fees was lower than actual returns shown through 2017. A portion of fees charged to the Investor and Y Classes of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than actual returns shown since inception. 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. | The BofA Merrill Lynch 3-Month LIBOR Constant Maturity 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. The JPMorgan EMBI Global Index is an emerging market debt benchmark that tracks dollar-denominated bonds issued by emerging market governments. One cannot directly invest in an index. |
3. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, C, and Ultra Class shares were 2.10%, 5.32%, 5.15%, 5.63%, 6.38% and 2.10%, 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 first half of 2018 was a challenging one for emerging market (EM) debt as a combination of U.S. Federal Reserve tightening and an uptick in idiosyncratic risk in key EM economies (such as Argentina and Turkey) led to a significant selloff.
The Fund entered the year with a defensive positioning across all parts of its asset classes. In Local Currency, the Fund held a net short position in EM forwards for most of the first half of the year and a short credit spread duration position for the period. The reason for the defensive positioning is: firstly, the manager started seeing stagnation in the improvement of the current account balances of most of the larger EM countries since post-2013 U.S. tapering. Secondly, the manager’s belief was that these current accounts needed to improve further (i.e. go into surplus) due to the potential for capital outflows from EM.
The Fund has since closed out many of its local currency short positions. While it is still net short, the Fund is much closer to neutral than it was at the start of the year, as this is the asset class that has sold off the most. With regards to Hard Currency, the Fund maintains a similar defensive positioning as the manager believes the correction in that segment of the asset class has not been as meaningful and the positioning there remains crowded.
5
American Beacon GLG Total Return FundSM
Performance Overview
July 31, 2018 (Unaudited)
The largest contributors to performance over the six-month period came from short positions in EM currencies and the Fund’s short positions in hard currency via credit default swaps (CDS). This included short positions in Argentina, Turkey and Lebanon CDS and short currency positions in Brazil and Indonesia. The largest detractors for the period came from a long position in the Argentine Peso, in which the Fund started accumulating in early May. Other detractors included a short position in the Turkish lira and a position in Brazil credit spreads. With regards to Argentina, the manager’s view is that the Argentine peso may stabilize due to the recent actions taken by government authorities, namely a significant hike in rates which has led to high real rates, an International Monetary Fund package and a renewed focus on meeting fiscal targets. In the meantime, the valuation looks cheaper after the selloff and the higher yield offers a cushion to further potential depreciation.
The Fund continues to perform as expected. Over time, the sub-advisor’s consistent top-down and bottom-up approach to emerging-market, fixed-income investing seeks to add value with less volatility than that of the common indices.
Top Ten Holdings (% Net Assets) |
| |||||||
United States Treasury Bills, 2.013%, Due 11/15/2018 | 26.1 | |||||||
United States Treasury Bills, 1.955%, Due 10/4/2018 | 19.1 | |||||||
United States Treasury Bills, 2.110%, Due 1/3/2019 | 18.6 | |||||||
United States Treasury Bills, 1.870%, Due 8/30/2018 | 15.4 | |||||||
United States Treasury Bills, 1.921%, Due 9/6/2018 | 9.0 | |||||||
United States Treasury Bills, 1.829%, Due 8/2/2018 | 2.2 | |||||||
Republic of South Africa Government International Bond, 6.875%, Due 5/27/2019 | 1.5 | |||||||
Republic of South Africa Government International Bond, 5.500%, Due 3/9/2020 | 1.2 | |||||||
Petroleos Mexicanos, 6.000%, Due 3/5/2020 | 0.8 | |||||||
Indonesia Government International Bond, 11.625%, Due 3/4/2019 | 0.8 | |||||||
Total Fund Holdings | 19 |
Fund | 1 | |||||||
Sector Exposures (%) | Long/(Short) | |||||||
Foreign Sovereign | 4.1 | |||||||
South Africa | 2.7 | |||||||
Indonesia | 0.8 | |||||||
Columbia | 0.5 | |||||||
Brazil | 0.1 | |||||||
Foreign Corporate Obligations | 2.4 | |||||||
Energy | 1.7 | |||||||
Financial | 0.7 | |||||||
Cash & Cash Equivalent | 90.4 | |||||||
U.S. dollar denominated. |
1 | Percentages represent the Fund’s risk-based, notional exposure as a percentage of the Fund’s total net assets. Due to the use of derivative instruments, which typically introduce leverage, percentages may not add to 100%. |
Country Allocation (% Investments) |
| |||
United States | 93.3 | |||
South Africa | 2.7 | |||
British Virgin Islands | 1.0 | |||
Mexico | 0.8 | |||
Indonesia | 0.8 | |||
India | 0.7 | |||
Colombia | 0.6 | |||
Brazil | 0.1 |
6
American Beacon FundsSM
July 31, 2018 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution (12b-1) fees, sub-transfer agent fees, and other Fund expenses. The Examples 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 February 1, 2018 through July 31, 2018.
Actual Expenses
The “Actual” lines of the tables provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “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 tables 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 Funds 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) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
7
American Beacon FundsSM
Expense Examples
July 31, 2018 (Unaudited)
American Beacon Frontier Markets Income Fund |
| ||||||||||||||
Beginning Account Value 2/1/2018 | Ending Account Value 7/31/2018 | Expenses Paid During Period 2/1/2018-7/31/2018* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $983.90 | $5.51 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.20 | $5.61 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $983.80 | $5.75 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.00 | $5.86 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $983.00 | $6.39 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.30 | $6.51 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $980.90 | $7.61 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.10 | $7.75 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $978.70 | $10.89 | ||||||||||||
Hypothetical** | $1,000.00 | $1,013.80 | $11.08 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.12%, 1.17%, 1.30%, 1.55%, and 2.22% 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. |
American Beacon GLG Total Return Fund |
| ||||||||||||||
Beginning Account Value 2/1/2018 | Ending Account Value 7/31/2018 | Expenses Paid During Period 2/1/2018-7/31/2018* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,032.40 | $5.29 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.60 | $5.26 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,030.60 | $5.79 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.10 | $5.76 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,029.70 | $7.20 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.70 | $7.15 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,030.70 | $7.30 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.60 | $7.25 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,026.10 | $11.05 | ||||||||||||
Hypothetical** | $1,000.00 | $1,013.90 | $10.99 | ||||||||||||
Ultra Class | |||||||||||||||
Actual | $1,000.00 | $1,032.40 | $4.79 | ||||||||||||
Hypothetical** | $1,000.00 | $1,020.10 | $4.76 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.05%, 1.15%, 1.43%, 1.45%, 2.20%, and 0.95% for the Institutional, Y, Investor, A, C, and Ultra 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. |
8
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount* | Fair Value | ||||||||||||||
Angola - 3.84% | |||||||||||||||
Credit-Linked Notes - 0.50% | |||||||||||||||
Republic of Angola (Issuer Aurora Australis B.V.), 8.032%, Due 12/19/2023, (6-mo. USD LIBOR + 6.250%)A B | $ | 1,031,250 | $ | 1,033,249 | |||||||||||
USD - AOA Non-Deliverable Forward Foreign Currency Contract (Issuer Standard Chartered Bank), 25.580%, Due 9/7/2018C E | 375,000 | 309,940 | |||||||||||||
|
| ||||||||||||||
Total Credit-Linked Notes | 1,343.189 | ||||||||||||||
|
| ||||||||||||||
Foreign Sovereign Obligations - 3.34% | |||||||||||||||
Angolan Government International Bond, | |||||||||||||||
9.500%, Due 11/12/2025B | 4,950,000 | 5,618,250 | |||||||||||||
8.250%, Due 5/9/2028B | 2,280,000 | 2,362,536 | |||||||||||||
9.375%, Due 5/8/2048B | 985,000 | 1,043,454 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 9,024,240 | ||||||||||||||
|
| ||||||||||||||
Total Angola (Cost $9,904,670) | 10,367,429 | ||||||||||||||
|
| ||||||||||||||
Argentina - 3.76% | |||||||||||||||
Foreign Sovereign Obligations - 3.76% | |||||||||||||||
Argentina Bonar Bonds, | |||||||||||||||
35.842%, Due 3/11/2019, (BADLARP Index + 2.500%)A | ARS | 50,441,687 | 1,773,761 | ||||||||||||
36.087%, Due 3/1/2020, (BADLARP Index + 3.250%)A | ARS | 4,500,000 | 162,913 | ||||||||||||
36.496%, Due 4/3/2022, (BADLARP Index + 2.000%)A | ARS | 42,100,000 | 1,387,448 | ||||||||||||
Argentine Bonos del Tesoro, | |||||||||||||||
21.200%, Due 9/19/2018 | ARS | 15,850,000 | 562,562 | ||||||||||||
18.200%, Due 10/3/2021 | ARS | 11,600,000 | 346,879 | ||||||||||||
16.000%, Due 10/17/2023 | ARS | 16,250,000 | 522,088 | ||||||||||||
Bonos de la Nacion Argentina con Ajuste por CER, 3.750%, Due 2/8/2019D | ARS | 102,000,000 | 4,158,027 | ||||||||||||
Provincia de Buenos Aires, | |||||||||||||||
36.554%, Due 5/31/2022, (BADLARP Index + 3.830%)A | ARS | 9,500,000 | 292,472 | ||||||||||||
38.473%, Due 4/12/2025B E | ARS | 33,000,000 | 965,422 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 10,171,572 | ||||||||||||||
|
| ||||||||||||||
Total Argentina (Cost $14,370,305) | 10,171,572 | ||||||||||||||
|
| ||||||||||||||
Armenia - 0.56% (Cost $1,500,000) | |||||||||||||||
Credit-Linked Notes - 0.56% | |||||||||||||||
Republic of Armenia Treasury Bonds (Issuer Frontera Capital B.V.), 10.000%, Due 5/7/2021E F | 1,500,000 | 1,511,607 | |||||||||||||
|
| ||||||||||||||
Azerbaijan - 0.75% (Cost $2,000,000) | |||||||||||||||
Credit-Linked Notes - 0.75% | |||||||||||||||
Republic of Azerbaijan (Issuer Frontera Capital B.V.), 14.000%, Due 3/30/2020, Series BE F | 2,000,000 | 2,023,080 | |||||||||||||
|
| ||||||||||||||
Belarus - 0.93% | |||||||||||||||
Foreign Sovereign Obligations - 0.93% | |||||||||||||||
Republic of Belarus International Bond, | |||||||||||||||
6.875%, Due 2/28/2023B | 1,710,000 | 1,789,105 | |||||||||||||
7.625%, Due 6/29/2027B | 685,000 | 735,758 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 2,524,863 | ||||||||||||||
|
| ||||||||||||||
Total Belarus (Cost $2,468,245) | 2,524,863 | ||||||||||||||
|
| ||||||||||||||
Bosnia & Herzegovina - 0.05% (Cost $185,770) | |||||||||||||||
Foreign Sovereign Obligations - 0.05% | |||||||||||||||
Bosnia & Herzegovina Government International Bond, 0.500%, Due 12/20/2021, Series B, (6-mo. EUR LIBOR + 0.813%)A B I | EUR | 291,667 | 148,224 | ||||||||||||
|
| ||||||||||||||
Cameroon, United Republic Of - 1.28% (Cost $3,452,835) | |||||||||||||||
Foreign Sovereign Obligations - 1.28% | |||||||||||||||
Republic of Cameroon International Bond, 9.500%, Due 11/19/2025B | 3,200,000 | 3,466,022 | |||||||||||||
|
| ||||||||||||||
See accompanying notes
9
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount* | Fair Value | ||||||||||||||
Costa Rica - 2.53% | |||||||||||||||
Foreign Sovereign Obligations - 2.53% | |||||||||||||||
Costa Rica Titulos de Propiedad, | |||||||||||||||
8.050%, Due 9/18/2024B | CRC | 950,000,000 | $ | 1,557,680 | |||||||||||
9.660%, Due 9/30/2026B | CRC | 2,250,000,000 | 3,866,820 | ||||||||||||
10.580%, Due 9/26/2029B | CRC | 800,000,000 | 1,413,073 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 6,837,573 | ||||||||||||||
|
| ||||||||||||||
Total Costa Rica (Cost $7,008,649) | 6,837,573 | ||||||||||||||
|
| ||||||||||||||
Dominican Republic - 2.96% | |||||||||||||||
Foreign Sovereign Obligations - 2.96% | |||||||||||||||
Dominican Republic Bond, 10.500%, Due 4/7/2023B | DOP | 57,000,000 | 1,189,410 | ||||||||||||
Dominican Republic International Bond, | |||||||||||||||
8.900%, Due 2/15/2023B | DOP | 122,000,000 | 2,487,247 | ||||||||||||
11.500%, Due 5/10/2024B | DOP | 200,000,000 | 4,334,272 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 8,010,929 | ||||||||||||||
|
| ||||||||||||||
Total Dominican Republic (Cost $8,415,778) | 8,010,929 | ||||||||||||||
|
| ||||||||||||||
Ecuador - 2.33% | |||||||||||||||
Foreign Sovereign Obligations - 2.33% | |||||||||||||||
Ecuador Government International Bond, | |||||||||||||||
10.500%, Due 3/24/2020B | $ | 1,400,000 | 1,474,900 | ||||||||||||
8.750%, Due 6/2/2023B | 660,000 | 658,350 | |||||||||||||
7.950%, Due 6/20/2024B | 1,000,000 | 962,500 | |||||||||||||
9.650%, Due 12/13/2026B | 1,550,000 | 1,561,625 | |||||||||||||
9.625%, Due 6/2/2027B | 500,000 | 502,850 | |||||||||||||
8.875%, Due 10/23/2027B | 1,200,000 | 1,158,000 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 6,318,225 | ||||||||||||||
|
| ||||||||||||||
Total Ecuador (Cost $6,455,622) | 6,318,225 | ||||||||||||||
|
| ||||||||||||||
Egypt - 4.67% | |||||||||||||||
Foreign Sovereign Obligations - 4.67% | |||||||||||||||
Egypt Government Bond, | |||||||||||||||
17.180%, Due 5/9/2027, Series 10YR | EGP | 14,500,000 | 808,306 | ||||||||||||
15.700%, Due 11/7/2027, Series 10YR | EGP | 10,000,000 | 512,564 | ||||||||||||
Egypt Treasury Bills, | |||||||||||||||
17.500%, Due 10/16/2018, Series 364D | EGP | 10,000,000 | 539,451 | ||||||||||||
17.700%, Due 11/13/2018, Series 364D | EGP | 33,000,000 | 1,754,765 | ||||||||||||
18.400%, Due 11/27/2018, Series 364D | EGP | 10,000,000 | 528,094 | ||||||||||||
17.901%, Due 12/11/2018, Series 364D | EGP | 12,000,000 | 629,374 | ||||||||||||
17.250%, Due 1/8/2019, Series 364D | EGP | 41,000,000 | 2,121,191 | ||||||||||||
16.638%, Due 1/22/2019, Series 364D | EGP | 70,000,000 | 3,597,036 | ||||||||||||
16.480%, Due 3/5/2019, Series 364D | EGP | 20,000,000 | 1,007,941 | ||||||||||||
19.501%, Due 4/30/2019, Series 364D | EGP | 23,000,000 | 1,130,478 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 12,629,200 | ||||||||||||||
|
| ||||||||||||||
Total Egypt (Cost $12,805,109) | 12,629,200 | ||||||||||||||
|
| ||||||||||||||
Ethiopia - 0.94% | |||||||||||||||
Foreign Sovereign Obligations - 0.94% | |||||||||||||||
Ethiopia International Bond, | |||||||||||||||
6.625%, Due 12/11/2024B | 900,000 | 917,978 | |||||||||||||
6.625%, Due 12/11/2024B | 1,600,000 | 1,631,962 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 2,549,940 | ||||||||||||||
|
| ||||||||||||||
Total Ethiopia (Cost $2,479,978) | 2,549,940 | ||||||||||||||
|
| ||||||||||||||
Gabon - 0.71% | |||||||||||||||
Foreign Sovereign Obligations - 0.71% | |||||||||||||||
Gabon Government International Bond, | |||||||||||||||
6.375%, Due 12/12/2024B | 1,150,000 | 1,074,953 | |||||||||||||
6.950%, Due 6/16/2025B | 900,000 | 852,493 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 1,927,446 | ||||||||||||||
|
| ||||||||||||||
Total Gabon (Cost $2,014,180) | 1,927,446 | ||||||||||||||
|
|
See accompanying notes
10
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount* | Fair Value | ||||||||||||||
Gambia - 0.34% (Cost $976,845) | |||||||||||||||
Credit-Linked Notes - 0.34% | |||||||||||||||
Republic of Gambia (Zambezi B.V.), 11.180%, Due 9/11/2020E F | $ | 976,984 | $ | 926,240 | |||||||||||
|
| ||||||||||||||
Georgia - 1.24% | |||||||||||||||
Credit-Linked Notes - 1.24% | |||||||||||||||
Georgia Government (Issuer Frontera Capital B.V.), 10.000%, Due 8/4/2021B E | 1,250,000 | 1,408,293 | |||||||||||||
Georgia Government (Issuer Zambezi B.V.), 9.500%, Due 8/9/2022F | 2,000,000 | 1,942,979 | |||||||||||||
|
| ||||||||||||||
Total Credit-Linked Notes | 3,351,272 | ||||||||||||||
|
| ||||||||||||||
Total Georgia (Cost $3,250,000) | 3,351,272 | ||||||||||||||
|
| ||||||||||||||
Ghana - 3.76% | |||||||||||||||
Credit-Linked Notes - 0.10% | |||||||||||||||
Ghana Promissory Notes (Issued Saderea DAC), 12.500%, Due 11/30/2026B | 243,536 | 266,063 | |||||||||||||
|
| ||||||||||||||
Foreign Sovereign Obligations - 3.66% | |||||||||||||||
Ghana Government Bond, | |||||||||||||||
16.500%, Due 3/22/2021, Series 3Y | GHS | 3,900,000 | 785,673 | ||||||||||||
24.750%, Due 7/19/2021, Series 5YR | GHS | 5,300,000 | 1,270,630 | ||||||||||||
18.750%, Due 1/24/2022, Series 5YR | GHS | 2,000,000 | 425,122 | ||||||||||||
18.250%, Due 7/25/2022, Series 5Y | GHS | 11,225,000 | 2,350,754 | ||||||||||||
16.500%, Due 2/6/2023, Series 5Y | GHS | 8,200,000 | 1,622,742 | ||||||||||||
19.000%, Due 11/2/2026, Series 10Y | GHS | 15,875,000 | 3,438,373 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 9,893,294 | ||||||||||||||
|
| ||||||||||||||
Total Ghana (Cost $11,072,597) | 10,159,357 | ||||||||||||||
|
| ||||||||||||||
Iraq - 3.00% | |||||||||||||||
Foreign Sovereign Obligations - 3.00% | |||||||||||||||
Iraq International Bond, | |||||||||||||||
6.752%, Due 3/9/2023B | 3,080,000 | 3,065,795 | |||||||||||||
5.800%, Due 1/15/2028B | 1,750,000 | 1,648,878 | |||||||||||||
5.800%, Due 1/15/2028B | 3,600,000 | 3,391,978 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 8,106,651 | ||||||||||||||
|
| ||||||||||||||
Total Iraq (Cost $7,765,148) | 8,106,651 | ||||||||||||||
|
| ||||||||||||||
Ivory Coast - 3.79% | |||||||||||||||
Foreign Sovereign Obligations - 3.79% | |||||||||||||||
Ivory Coast Government International Bond, | |||||||||||||||
6.375%, Due 3/3/2028B | 500,000 | 486,304 | |||||||||||||
5.250%, Due 3/22/2030B | EUR | 1,910,000 | 2,171,069 | ||||||||||||
5.750%, Due 12/31/2032B E G | 4,116,250 | 3,926,079 | |||||||||||||
5.750%, Due 12/31/2032B E G | 3,838,750 | 3,661,400 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 10,244,852 | ||||||||||||||
|
| ||||||||||||||
Total Ivory Coast (Cost $10,571,006) | 10,244,852 | ||||||||||||||
|
| ||||||||||||||
Kazakhstan - 1.90% | |||||||||||||||
Credit-Linked Notes - 1.90% | |||||||||||||||
Development Bank of Kazakhstan JSC, 8.950%, Due 5/4/2023B | KZT | 206,250,000 | 586,693 | ||||||||||||
National Bank of Kazakhstan (Issuer Citigroup Global Markets Holdings, Inc.), | |||||||||||||||
7.750%, Due 9/11/2018B | KZT | 128,806,961 | 366,923 | ||||||||||||
7.900%, Due 10/15/2018 | KZT | 618,439,888 | 1,750,012 | ||||||||||||
0.000%, Due 2/8/2019B H | KZT | 124,000,000 | 341,276 | ||||||||||||
0.000%, Due 3/15/2019B H | KZT | 520,000,000 | 1,420,945 | ||||||||||||
National Bank of Kazakhstan (Issuer ICBC Standard Bank PLC), 0.000%, Due 2/8/2019B H | KZT | 250,000,000 | 682,575 | ||||||||||||
|
| ||||||||||||||
Total Credit-Linked Notes | 5,148,424 | ||||||||||||||
|
| ||||||||||||||
Total Kazakhstan (Cost $5,419,770) | 5,148,424 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
11
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount* | Fair Value | ||||||||||||||
Kenya - 4.64% | |||||||||||||||
Foreign Sovereign Obligations - 4.64% | |||||||||||||||
Kenya Infrastructure Bond, | |||||||||||||||
12.000%, Due 9/18/2023, Series 12YR | KES | 57,400,000 | $ | 575,973 | |||||||||||
12.500%, Due 11/18/2024 | KES | 100,000,000 | 1,037,660 | ||||||||||||
11.000%, Due 12/2/2024, Series 9YR | KES | 75,000,000 | 730,872 | ||||||||||||
12.500%, Due 5/12/2025, Series 9YR | KES | 36,000,000 | 371,376 | ||||||||||||
11.000%, Due 10/12/2026, Series 12YR | KES | 100,000,000 | 974,245 | ||||||||||||
12.000%, Due 10/6/2031, Series 15YR | KES | 288,000,000 | 2,938,566 | ||||||||||||
12.500%, Due 1/10/2033, Series 15YR | KES | 571,000,000 | 5,937,786 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 12,566,478 | ||||||||||||||
|
| ||||||||||||||
Total Kenya (Cost $12,040,962) | 12,566,478 | ||||||||||||||
|
| ||||||||||||||
Kyrgyzstan - 1.59% | |||||||||||||||
Credit-Linked Notes - 1.59% | |||||||||||||||
Kyrgyz Republic (Issuer Frontera Capital B.V.), 8.000%, Due 1/31/2020F | KGS | 132,958,171 | 2,040,281 | ||||||||||||
Kyrgyz Republic (Issuer Zambezi B.V.), 13.980%, Due 4/10/2028F | KGS | 180,000,000 | 2,266,794 | ||||||||||||
|
| ||||||||||||||
Total Credit-Linked Notes | 4,307,075 | ||||||||||||||
|
| ||||||||||||||
Total Kyrgyzstan (Cost $4,335,180) | 4,307,075 | ||||||||||||||
|
| ||||||||||||||
Malawi - 0.58% | |||||||||||||||
Credit-Linked Notes - 0.58% | |||||||||||||||
Republic of Malawi (Issuer Zambezi B.V.), | |||||||||||||||
15.100%, Due 10/19/2018F | $ | 450,000 | 493,560 | ||||||||||||
12.000%, Due 10/8/2020F | 1,100,000 | 1,082,253 | |||||||||||||
|
| ||||||||||||||
Total Credit-Linked Notes | 1,575,813 | ||||||||||||||
|
| ||||||||||||||
Total Malawi (Cost $1,610,901) | 1,575,813 | ||||||||||||||
|
| ||||||||||||||
Mongolia - 1.84% | |||||||||||||||
Foreign Sovereign Obligations - 1.84% | |||||||||||||||
Mongolia Government International Bond, | |||||||||||||||
8.750%, Due 3/9/2024B | 3,900,000 | 4,304,352 | |||||||||||||
8.750%, Due 3/9/2024B | 600,000 | 662,208 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 4,966,560 | ||||||||||||||
|
| ||||||||||||||
Total Mongolia (Cost $5,000,003) | 4,966,560 | ||||||||||||||
|
| ||||||||||||||
Mozambique - 2.29% | |||||||||||||||
Credit-Linked Notes - 1.71% | |||||||||||||||
Mozambique Government Bonds (Issuer ICBC Standard Bank PLC), | |||||||||||||||
1.000%, Due 4/23/2019E | MZN | 20,100,000 | 90,216 | ||||||||||||
27.000%, Due 2/26/2020 | MZN | 180,000,000 | 3,001,488 | ||||||||||||
Republic of Mozambique (Issuer ICBC Standard Bank PLC), 19.000%, Due 3/28/2021B E F | MZN | 90,500,000 | 1,528,365 | ||||||||||||
|
| ||||||||||||||
Total Credit-Linked Notes | 4,620,069 | ||||||||||||||
|
| ||||||||||||||
Foreign Sovereign Obligations - 0.58% | |||||||||||||||
Mozambique International Bond, 10.500%, Due 1/18/2023B | 1,900,000 | 1,584,068 | |||||||||||||
|
| ||||||||||||||
Total Mozambique (Cost $6,241,240) | 6,204,137 | ||||||||||||||
|
| ||||||||||||||
Netherlands - 1.85% | |||||||||||||||
Foreign Corporate Obligations - 0.32% | |||||||||||||||
Frontera Capital B.V., 8.000%, Due 5/26/2025 | KGS | 70,000,000 | 867,852 | ||||||||||||
|
| ||||||||||||||
Foreign Sovereign Obligations - 1.53% | |||||||||||||||
Nederlandse Financierings Maatschappij voor Ontwikkelingslanden N.V., | |||||||||||||||
7.350%, Due 9/11/2020, Series EMTNB | 650,000 | 683,837 | |||||||||||||
7.140%, Due 4/6/2021, Series EMTNE | 3,500,000 | 3,457,219 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 4,141,056 | ||||||||||||||
|
| ||||||||||||||
Total Netherlands (Cost $5,027,590) | 5,008,908 | ||||||||||||||
|
|
See accompanying notes
12
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount* | Fair Value | ||||||||||||||
Nicaragua - 1.67% | |||||||||||||||
Credit-Linked Notes - 1.62% | |||||||||||||||
Empresa Administadora de Aeropuertos Internacionales (Issuer Zambezi B.V.), 7.000%, Due 4/8/2024E F | $ | 2,000,000 | $ | 1,904,639 | |||||||||||
Republic of Nicaragua (Issuer Zambezi B.V.), 6.750%, Due 8/5/2022F | 2,400,000 | 2,469,828 | |||||||||||||
|
| ||||||||||||||
Total Credit-Linked Notes | 4,374,467 | ||||||||||||||
|
| ||||||||||||||
Foreign Sovereign Obligations - 0.05% | |||||||||||||||
Nicaragua Government International Bond, 5.000%, Due 2/1/2019E G | 138,770 | 133,219 | |||||||||||||
|
| ||||||||||||||
Total Nicaragua (Cost $4,537,726) | 4,507,686 | ||||||||||||||
|
| ||||||||||||||
Nigeria - 4.13% | |||||||||||||||
Foreign Sovereign Obligations - 4.13% | |||||||||||||||
Nigeria Government Bond, | |||||||||||||||
15.540%, Due 2/13/2020, Series 5YR | NGN | 310,000,000 | 878,804 | ||||||||||||
14.500%, Due 7/15/2021, Series 5YR | NGN | 559,000,000 | 1,574,031 | ||||||||||||
16.288%, Due 3/17/2027, Series 10YR | NGN | 1,438,000,000 | 4,419,239 | ||||||||||||
13.980%, Due 2/23/2028, Series 10YR | NGN | 560,000,000 | 1,521,944 | ||||||||||||
16.250%, Due 4/18/2037, Series 20YR | NGN | 888,958,000 | 2,777,104 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 11,171,122 | ||||||||||||||
|
| ||||||||||||||
Total Nigeria (Cost $11,213,793) | 11,171,122 | ||||||||||||||
|
| ||||||||||||||
Paraguay - 0.70% (Cost $2,000,460) | |||||||||||||||
Credit-Linked Notes - 0.70% | |||||||||||||||
Municipalidad De Asuncion (Issuer Zambezi B.V.), 11.000%, Due 3/23/2027F | 2,000,000 | 1,893,076 | |||||||||||||
|
| ||||||||||||||
Senegal - 2.31% | |||||||||||||||
Foreign Sovereign Obligations - 2.31% | |||||||||||||||
Senegal Government International Bond, | |||||||||||||||
6.250%, Due 7/30/2024B | 1,350,000 | 1,368,630 | |||||||||||||
4.750%, Due 3/13/2028B | EUR | 2,000,000 | 2,283,366 | ||||||||||||
6.750%, Due 3/13/2048B | 2,860,000 | 2,588,586 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 6,240,582 | ||||||||||||||
|
| ||||||||||||||
Total Senegal (Cost $6,673,781) | 6,240,582 | ||||||||||||||
|
| ||||||||||||||
Sri Lanka - 4.27% | |||||||||||||||
Foreign Sovereign Obligations - 4.27% | |||||||||||||||
Sri Lanka Government Bonds, | |||||||||||||||
9.250%, Due 5/1/2020 | LKR | 30,000,000 | 187,016 | ||||||||||||
10.750%, Due 3/1/2021, Series A | LKR | 26,000,000 | 166,547 | ||||||||||||
9.000%, Due 5/1/2021, Series A | LKR | 465,000,000 | 2,852,706 | ||||||||||||
11.000%, Due 8/1/2021, Series A | LKR | 420,000,000 | 2,706,123 | ||||||||||||
11.500%, Due 5/15/2023, Series A | LKR | 180,000,000 | 1,180,074 | ||||||||||||
11.400%, Due 1/1/2024, Series A | LKR | 200,000,000 | 1,306,112 | ||||||||||||
11.000%, Due 8/1/2024, Series A | LKR | 315,000,000 | 2,032,568 | ||||||||||||
11.500%, Due 9/1/2028 | LKR | 168,000,000 | 1,126,753 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 11,557,899 | ||||||||||||||
|
| ||||||||||||||
Total Sri Lanka (Cost $11,888,381) | 11,557,899 | ||||||||||||||
|
| ||||||||||||||
Supranational - 2.98% | |||||||||||||||
Foreign Sovereign Obligations - 2.98% | |||||||||||||||
European Bank for Reconstruction & Development, | |||||||||||||||
6.990%, Due 12/6/2018E | GEL | 2,200,000 | 896,654 | ||||||||||||
2.129%, Due 12/20/2018E | GEL | 2,900,000 | 1,180,146 | ||||||||||||
13.750%, Due 10/9/2019B | 904,359 | 737,324 |
See accompanying notes
13
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount* | Fair Value | ||||||||||||||
Supranational - 2.98% (continued) | |||||||||||||||
Foreign Sovereign Obligations - 2.98% (continued) | |||||||||||||||
European Bank for Reconstruction & Development, (continued) | |||||||||||||||
9.800%, Due 3/16/2020B | $ | 700,000 | $ | 686,921 | |||||||||||
9.500%, Due 6/21/2021B | 500,000 | 497,930 | |||||||||||||
International Finance Corp., 9.500%, Due 5/31/2020 | UZS | 32,000,000,000 | 4,069,056 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 8,068,031 | ||||||||||||||
|
| ||||||||||||||
Total Supranational (Cost $7,961,236) | 8,068,031 | ||||||||||||||
|
| ||||||||||||||
Suriname - 0.57% (Cost $1,616,748) | |||||||||||||||
Foreign Sovereign Obligations - 0.57% | |||||||||||||||
Republic of Suriname, 9.250%, Due 10/26/2026B | 1,600,000 | 1,552,000 | |||||||||||||
|
| ||||||||||||||
Tajikistan - 1.07% (Cost $3,200,262) | |||||||||||||||
Foreign Sovereign Obligations - 1.07% | |||||||||||||||
Republic of Tajikistan International Bond, 7.125%, Due 9/14/2027B | 3,230,000 | 2,881,573 | |||||||||||||
|
| ||||||||||||||
Tunisia - 0.67% (Cost $1,919,169) | |||||||||||||||
Foreign Sovereign Obligations - 0.67% | |||||||||||||||
Banque Centrale de Tunisie International Bond, 5.750%, Due 1/30/2025B | 2,000,000 | 1,823,000 | |||||||||||||
|
| ||||||||||||||
Uganda - 2.90% | |||||||||||||||
Foreign Sovereign Obligations - 2.90% | |||||||||||||||
Republic of Uganda Government Bonds, | |||||||||||||||
10.750%, Due 9/6/2018 | UGX | 1,925,000,000 | 520,933 | ||||||||||||
18.375%, Due 2/18/2021, Series 5YR | UGX | 1,000,000,000 | 283,537 | ||||||||||||
16.500%, Due 5/13/2021, Series 5YR | UGX | 4,355,000,000 | 1,186,152 | ||||||||||||
16.750%, Due 10/28/2021 | UGX | 6,940,000,000 | 1,895,703 | ||||||||||||
14.125%, Due 7/7/2022 | UGX | 8,300,000,000 | 2,098,276 | ||||||||||||
19.500%, Due 12/18/2025, Series 10YR | UGX | 4,000,000,000 | 1,208,501 | ||||||||||||
16.000%, Due 5/6/2027 | UGX | 2,500,000,000 | 652,395 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 7,845,497 | ||||||||||||||
|
| ||||||||||||||
Total Uganda (Cost $8,673,787) | 7,845,497 | ||||||||||||||
|
| ||||||||||||||
Ukraine - 4.30% | |||||||||||||||
Credit-Linked Notes - 4.30% | |||||||||||||||
Ukraine Government Bonds (Issuer Citigroup Global Markets Holdings, Inc.), | |||||||||||||||
15.090%, Due 3/6/2019 | UAH | 27,000,000 | 1,007,077 | ||||||||||||
13.300%, Due 8/2/2019B | UAH | 15,150,000 | 586,701 | ||||||||||||
13.460%, Due 6/12/2020B | UAH | 14,840,000 | 533,666 | ||||||||||||
13.500%, Due 8/21/2020B | UAH | 37,000,000 | 1,327,315 | ||||||||||||
14.160%, Due 10/14/2022B | UAH | 52,000,000 | 1,842,969 | ||||||||||||
14.160%, Due 10/17/2022B | UAH | 45,000,000 | 1,594,218 | ||||||||||||
15.970%, Due 4/19/2023B | UAH | 27,500,000 | 1,010,267 | ||||||||||||
Ukraine Government Bonds (Issuer ICBC Standard Bank PLC), | |||||||||||||||
15.740%, Due 1/15/2020B | UAH | 32,000,000 | 1,110,406 | ||||||||||||
14.910%, Due 10/14/2022 | UAH | 74,000,000 | 2,611,748 | ||||||||||||
|
| ||||||||||||||
Total Credit-Linked Notes | 11,624,367 | ||||||||||||||
|
| ||||||||||||||
Total Ukraine (Cost $12,465,320) | 11,624,367 | ||||||||||||||
|
| ||||||||||||||
United Republic Of Tanzania - 0.28% (Cost $764,045) | |||||||||||||||
Credit-Linked Notes - 0.28% | |||||||||||||||
United Republic of Tanzania (Issuer Zambezi B.V.), 8.650%, Due 4/23/2021F | TZS | 1,700,000,000 | 744,822 | ||||||||||||
|
| ||||||||||||||
Uruguay - 3.08% | |||||||||||||||
Foreign Sovereign Obligations - 3.08% | |||||||||||||||
Uruguay Government International Bond, | |||||||||||||||
9.875%, Due 6/20/2022B | UYU | 48,203,000 | 1,565,709 | ||||||||||||
8.500%, Due 3/15/2028B | UYU | 65,802,000 | 1,880,827 |
See accompanying notes
14
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount* | Fair Value | ||||||||||||||
Uruguay - 3.08% (continued) | |||||||||||||||
Foreign Sovereign Obligations - 3.08% (continued) | |||||||||||||||
Uruguay Monetary Regulation Bill, | |||||||||||||||
0.000%, Due 1/11/2019, Series 0001H | UYU | 70,500,000 | $ | 2,213,966 | |||||||||||
0.000%, Due 4/5/2019, Series 0001H | UYU | 40,000,000 | 1,227,584 | ||||||||||||
Uruguay Notas del Tesoro, 13.900%, Due 7/29/2020, Series 8 | UYU | 40,750,000 | 1,433,759 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 8,321,845 | ||||||||||||||
|
| ||||||||||||||
Total Uruguay (Cost $9,174,561) | 8,321,845 | ||||||||||||||
|
| ||||||||||||||
Zambia - 3.86% | |||||||||||||||
Foreign Sovereign Obligations - 3.86% | |||||||||||||||
Zambia Government Bond, | |||||||||||||||
11.000%, Due 8/31/2019, Series 5YR | ZMW | 4,800,000 | 426,582 | ||||||||||||
11.000%, Due 2/16/2020, Series 5YR | ZMW | 500,000 | 42,536 | ||||||||||||
11.000%, Due 5/26/2020, Series 5YR | ZMW | 23,100,000 | 1,913,240 | ||||||||||||
11.000%, Due 8/29/2021, Series 5YR | ZMW | 21,000,000 | 1,563,289 | ||||||||||||
12.000%, Due 5/23/2023, Series 7YR | ZMW | 6,100,000 | 419,298 | ||||||||||||
12.000%, Due 11/21/2023, Series 7YR | ZMW | 14,900,000 | 999,006 | ||||||||||||
12.000%, Due 4/23/2025, Series 7YR | ZMW | 16,500,000 | 1,040,700 | ||||||||||||
13.000%, Due 8/29/2026, Series 10YR | ZMW | 42,500,000 | 2,739,360 | ||||||||||||
13.000%, Due 12/18/2027, Series 10YR | ZMW | 7,000,000 | 433,833 | ||||||||||||
Zambia Government International Bond, 8.970%, Due 7/30/2027B | $ | 950,000 | 853,586 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 10,431,430 | ||||||||||||||
|
| ||||||||||||||
Total Zambia (Cost $12,367,833) | 10,431,430 | ||||||||||||||
|
| ||||||||||||||
Shares | |||||||||||||||
SHORT-TERM INVESTMENTS - 11.74% (Cost $31,758,221) | |||||||||||||||
Investment Companies - 11.74% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 1.82%J K | 31,758,221 | 31,758,221 | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 96.66% (Cost $272,587,706) | 261,473,028 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 3.34% | 9,022,133 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 270,495,161 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. *In U.S. Dollars unless otherwise noted. |
A Variable, floating, or adjustable rate securities with an interest rate that changes periodically. Rates are periodically reset with rates that are based on a predetermined benchmark such as a widely followed interest rate such as T-bills, LIBOR or PRIME plus a fixed spread. The interest rate disclosed reflects the rate in effect on July 31, 2018.
B Reg S - Security purchased under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.
C The rate represents the implied yield as determined from the foreign currency exchange rates structured into the reference entity. The actual yield will depend on movements in the foreign currency exchange rates in the future.
D Inflation-Indexed Note.
E Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end.
F 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 $20,827,524 or 7.70% of net assets. The Fund has no right to demand registration of these securities.
G Step Up/Down - A zero coupon bond that converts to a fixed rate or variable interest rate at a designated future date. The rate disclosed represents the coupon rate at July 31, 2018. The maturity date disclosed represents the final maturity date.
H Zero coupon bond.
I Value was determined using significant unobservable inputs.
J The Fund is affiliated by having the same investment advisor.
K 7-day yield.
BADLARP - Benchmark rate provided by the Banco Central de la Republica Argentina.
LIBOR - London Interbank Offered Rate.
PLC - Public Limited Company.
See accompanying notes
15
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Forward Foreign Currency Contracts Open on July 31, 2018: |
| |||||||||||||||||||||||||||
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
AZN | 1,021,414 | USD | 1,000,000 | 9/17/2018 | ICBC | $ | 21,414 | $ | - | $ | 21,414 | |||||||||||||||||
KZT | 1,199,479 | USD | 1,200,000 | 10/26/2018 | ICBC | - | (521 | ) | (521 | ) | ||||||||||||||||||
KZT | 1,875,139 | USD | 2,000,000 | 12/14/2018 | ICBC | - | (124,861 | ) | (124,861 | ) | ||||||||||||||||||
AZN | 1,034,886 | USD | 999,999 | 12/17/2018 | ICBC | 34,887 | - | 34,887 | ||||||||||||||||||||
KZT | 1,120,125 | USD | 1,200,001 | 2/4/2019 | ICBC | - | (79,876 | ) | (79,876 | ) | ||||||||||||||||||
KZT | 1,869,748 | USD | 2,000,000 | 3/4/2019 | ICBC | - | (130,252 | ) | (130,252 | ) | ||||||||||||||||||
KZT | 473,242 | USD | 500,000 | 4/12/2019 | ICBC | - | (26,758 | ) | (26,758 | ) | ||||||||||||||||||
DZD | 154,632 | USD | 150,000 | 8/28/2018 | MSC | 4,632 | - | 4,632 | ||||||||||||||||||||
USD | 4,942,161 | EUR | 4,926,706 | 9/14/2018 | SSB | 15,455 | - | 15,455 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 76,388 | $ | (362,268 | ) | $ | (285,880 | ) | |||||||||||||||||||||
|
|
|
|
|
|
* | All values denominated in USD. |
Glossary: | ||
Counterparty Abbreviations: | ||
ICBC | ICBC Standard Bank PLC | |
MSC | Morgan Stanley & Co. Inc. | |
SSB | State Street Bank & Trust Co. | |
Currency Abbreviations: | ||
ARS | Argentine Peso | |
AZN | Azerbaijani Manat | |
CRC | Costa Rican Colon | |
DOP | Dominican Peso | |
DZD | Algerian Dinars | |
EGP | Egyptian Pound | |
EUR | Euro | |
GEL | Georgian Lari | |
GHS | Ghanaian Cedi | |
KES | Kenyan Shilling | |
KGS | Kyrgyzstani Som | |
KZT | Kazakhstani Tenge | |
LKR | Sri Lankan Rupee | |
MZN | Mozambique Metical | |
NGN | Nigerian Naira | |
TZS | Tanzanian Shilling | |
UAH | Ukrainian Hryvnia | |
UGX | Ugandan Shilling | |
USD | United States Dollar | |
UYU | Uruguayan Peso | |
UZS | Uzbekistani Som | |
ZMW | Zambian Kwacha |
See accompanying notes
16
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of July 31, 2018, the investments were classified as described below:
Frontier Markets Income Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Credit-Linked Notes | ||||||||||||||||||||||||||||
Angola | $ | - | $ | 1,343,189 | $ | - | $ | 1,343,189 | ||||||||||||||||||||
Armenia | - | 1,511,607 | - | 1,511,607 | ||||||||||||||||||||||||
Azerbaijan | - | 2,023,080 | - | 2,023,080 | ||||||||||||||||||||||||
Gambia | - | 926,240 | - | 926,240 | ||||||||||||||||||||||||
Georgia | - | 3,351,272 | - | 3,351,272 | ||||||||||||||||||||||||
Ghana | - | 266,063 | - | 266,063 | ||||||||||||||||||||||||
Kazakhstan | - | 5,148,424 | - | 5,148,424 | ||||||||||||||||||||||||
Kyrgyzstan | - | 4,307,075 | - | 4,307,075 | ||||||||||||||||||||||||
Malawi | - | 1,575,813 | - | 1,575,813 | ||||||||||||||||||||||||
Mozambique | - | 4,620,069 | - | 4,620,069 | ||||||||||||||||||||||||
Nicaragua | - | 4,374,467 | - | 4,374,467 | ||||||||||||||||||||||||
Paraguay | - | 1,893,076 | - | 1,893,076 | ||||||||||||||||||||||||
Ukraine | - | 11,624,367 | - | 11,624,367 | ||||||||||||||||||||||||
United Republic of Tanzania | - | 744,822 | - | 744,822 | ||||||||||||||||||||||||
Foreign Sovereign Obligations | ||||||||||||||||||||||||||||
Angola | - | 9,024,240 | - | 9,024,240 | ||||||||||||||||||||||||
Argentina | - | 10,171,572 | - | 10,171,572 | ||||||||||||||||||||||||
Belarus | - | 2,524,863 | - | 2,524,863 | ||||||||||||||||||||||||
Bosnia & Herzegovina | - | - | 148,224 | 148,224 | ||||||||||||||||||||||||
Cameroon | - | 3,466,022 | - | 3,466,022 | ||||||||||||||||||||||||
Costa Rica | - | 6,837,573 | - | 6,837,573 | ||||||||||||||||||||||||
Dominican Republic | - | 8,010,929 | - | 8,010,929 | ||||||||||||||||||||||||
Ecuador | - | 6,318,225 | - | 6,318,225 | ||||||||||||||||||||||||
Egypt | - | 12,629,200 | - | 12,629,200 | ||||||||||||||||||||||||
Ethiopia | - | 2,549,940 | - | 2,549,940 | ||||||||||||||||||||||||
Gabon | - | 1,927,446 | - | 1,927,446 | ||||||||||||||||||||||||
Ghana | - | 9,893,294 | - | 9,893,294 | ||||||||||||||||||||||||
Iraq | - | 8,106,651 | - | 8,106,651 | ||||||||||||||||||||||||
Ivory Coast | - | 10,244,852 | - | 10,244,852 | ||||||||||||||||||||||||
Kenya | - | 12,566,478 | - | 12,566,478 | ||||||||||||||||||||||||
Mongolia | - | 4,966,560 | - | 4,966,560 | ||||||||||||||||||||||||
Mozambique | - | 1,584,068 | - | 1,584,068 | ||||||||||||||||||||||||
Netherlands | - | 4,141,056 | - | 4,141,056 | ||||||||||||||||||||||||
Nicaragua | - | 133,219 | - | 133,219 | ||||||||||||||||||||||||
Nigeria | - | 11,171,122 | - | 11,171,122 | ||||||||||||||||||||||||
Senegal | - | 6,240,582 | - | 6,240,582 | ||||||||||||||||||||||||
Sri Lanka | - | 11,557,899 | - | 11,557,899 | ||||||||||||||||||||||||
Supranational | - | 8,068,031 | - | 8,068,031 | ||||||||||||||||||||||||
Suriname | - | 1,552,000 | - | 1,552,000 | ||||||||||||||||||||||||
Tajikistan | - | 2,881,573 | - | 2,881,573 | ||||||||||||||||||||||||
Tunisia | - | 1,823,000 | - | 1,823,000 | ||||||||||||||||||||||||
Uganda | - | 7,845,497 | - | 7,845,497 | ||||||||||||||||||||||||
Uruguay | - | 8,321,845 | - | 8,321,845 | ||||||||||||||||||||||||
Zambia | - | 10,431,430 | - | 10,431,430 | ||||||||||||||||||||||||
Foreign Corporate Obligations |
| |||||||||||||||||||||||||||
Netherlands | - | 867,852 | - | 867,852 | ||||||||||||||||||||||||
Short-Term Investments | 31,758,221 | - | - | 31,758,221 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 31,758,221 | $ | 229,566,583 | $ | 148,224 | $ | 261,473,028 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | - | $ | 76,388 | $ | - | $ | 76,388 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | - | $ | 76,388 | $ | - | $ | 76,388 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | - | $ | (362,268 | ) | $ | - | $ | (362,268 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Liabilities | $ | - | $ | (362,268 | ) | $ | - | $ | (362,268 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes
17
American Beacon Frontier Markets Income FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
U.S. GAAP requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of the Fund’s assets and liabilities. During the period ended July 31, 2018, there were no transfers between levels.
The following table is a reconciliation of Level 3 assets within the Fund for which significant unobservable inputs were used to determine fair value. Transfers in or out of Level 3 represent the ending value of any security or instrument where a change in the level has occurred from the beginning to the end of the period:
Security Type | Balance as of 1/31/2018 | Purchases | Sales | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3 | Transfer out of Level 3 | Balance as of 7/31/2018 | Change in Unrealized Appreciation (Depreciation) at Period end** | ||||||||||||||||||||||||||
Foreign Sovereign Obligations | $176,155 | $ | - | $24,741 | $ | 2,153 | $ | (1,724 | ) | $ | (3,619 | ) | $ | - | $ | - | $ | 148,224 | $ | (37,545 | ) |
** | Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at period end. This balance is included in the change in unrealized appreciation (depreciation) on the Statements of Operations. |
The foreign sovereign obligations, classified as Level 3, were valued using single broker quotes. The principal amount of these securities, valued at $148,224, have been deemed level 3 due to limited market transparency and/or lack of corroboration to support the quoted prices.
See accompanying notes
18
American Beacon GLG Total Return FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
Brazil - 0.14% (Cost $1,008,142) | |||||||||||||||
Foreign Sovereign Obligations - 0.14% | |||||||||||||||
Banco Nacional de Desenvolvimento Economico e Social, 4.000%, Due 4/14/2019A | $ | 1,000,000 | $ | 1,002,980 | |||||||||||
|
| ||||||||||||||
British Virgin Islands - 0.93% | |||||||||||||||
Foreign Corporate Obligations - 0.93% | |||||||||||||||
CNPC General Capital Ltd., 2.750%, Due 5/14/2019A | 4,850,000 | 4,826,465 | |||||||||||||
Sinopec Group Overseas Development Ltd., | |||||||||||||||
2.500%, Due 10/17/2018A | 1,500,000 | 1,497,948 | |||||||||||||
2.750%, Due 4/10/2019A | 250,000 | 249,118 | |||||||||||||
2.125%, Due 5/3/2019A | 250,000 | 247,750 | |||||||||||||
|
| ||||||||||||||
Total Foreign Corporate Obligations | 6,821,281 | ||||||||||||||
|
| ||||||||||||||
Total British Virgin Islands (Cost $6,870,211) | 6,821,281 | ||||||||||||||
|
| ||||||||||||||
Colombia - 0.56% (Cost $4,131,192) | |||||||||||||||
Foreign Sovereign Obligations - 0.56% | |||||||||||||||
Colombia Government International Bond, 7.375%, Due 3/18/2019 | 4,000,000 | 4,110,000 | |||||||||||||
|
| ||||||||||||||
India - 0.66% | |||||||||||||||
Foreign Corporate Obligations - 0.66% | |||||||||||||||
ICICI Bank Ltd., 4.800%, Due 5/22/2019A | 4,339,000 | 4,382,794 | |||||||||||||
State Bank of India, 3.622%, Due 4/17/2019A | 500,000 | 499,978 | |||||||||||||
|
| ||||||||||||||
Total Foreign Corporate Obligations | 4,882,772 | ||||||||||||||
|
| ||||||||||||||
Total India (Cost $4,921,955) | 4,882,772 | ||||||||||||||
|
| ||||||||||||||
Indonesia - 0.75% (Cost $5,597,059) | |||||||||||||||
Foreign Sovereign Obligations - 0.75% | |||||||||||||||
Indonesia Government International Bond, 11.625%, Due 3/4/2019A | 5,300,000 | 5,565,058 | |||||||||||||
|
| ||||||||||||||
Mexico - 0.82% (Cost $6,080,188) | |||||||||||||||
Foreign Corporate Obligations - 0.82% | |||||||||||||||
Petroleos Mexicanos, 6.000%, Due 3/5/2020 | 5,853,000 | 6,037,194 | |||||||||||||
|
| ||||||||||||||
South Africa - 2.66% | |||||||||||||||
Foreign Sovereign Obligations - 2.66% | |||||||||||||||
Republic of South Africa Government International Bond, | |||||||||||||||
6.875%, Due 5/27/2019 | 10,750,000 | 11,042,895 | |||||||||||||
5.500%, Due 3/9/2020 | 8,300,000 | 8,538,940 | |||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations | 19,581,835 | ||||||||||||||
|
| ||||||||||||||
Total South Africa (Cost $19,760,171) | 19,581,835 | ||||||||||||||
|
| ||||||||||||||
Shares | |||||||||||||||
SHORT-TERM INVESTMENTS - 91.22% | |||||||||||||||
Investment Companies - 0.85% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 1.82%B C | 6,228,469 | 6,228,469 | |||||||||||||
|
| ||||||||||||||
Par Amount | |||||||||||||||
U.S. Treasury Obligations - 90.37% | |||||||||||||||
U.S. Treasury Bills, | |||||||||||||||
1.829%, Due 8/2/2018 | $ | 16,400,000 | 16,399,180 | ||||||||||||
1.870%, Due 8/30/2018 | 113,600,000 | 113,426,028 | |||||||||||||
1.921%, Due 9/6/2018 | 66,500,000 | 66,374,315 | |||||||||||||
1.955%, Due 10/4/2018 | 140,800,000 | 140,317,525 | |||||||||||||
2.013%, Due 11/15/2018 | 193,000,000 | 191,861,314 | |||||||||||||
2.110%, Due 1/3/2019 | 137,900,000 | 136,652,412 | |||||||||||||
|
| ||||||||||||||
Total U.S. Treasury Obligations | 665,030,774 | ||||||||||||||
|
| ||||||||||||||
Total Short-Term Investments (Cost $671,310,927) | 671,259,243 | ||||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 97.74% (Cost $719,679,845) | 719,260,363 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 2.26% | 16,635,935 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 735,896,298 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
See accompanying notes
19
American Beacon GLG Total Return FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
A Reg S - Security purchased under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.
B The Fund is affiliated by having the same investment advisor.
C 7-day yield.
Centrally Cleared Swap Agreements Outstanding on July 31, 2018: |
Interest Rate Swaps |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate (%) | Expiration Date | Curr | Notional Amount(4) (000s) | Premiums Paid (Received) | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Pay | 1-Day BRL-CDI | 8.75 | 1/4/2021 | BRL | 24,500 | $ | - | $ | (1,415 | ) | $ | (1,415 | ) | |||||||||||||
Pay | 1-Day BRL-CDI | 9.10 | 1/4/2021 | BRL | 70,000 | - | (131,740 | ) | (131,740 | ) | ||||||||||||||||
Pay | 1-Day BRL-CDI | 9.17 | 1/4/2021 | BRL | 191,800 | - | (430,215 | ) | (430,215 | ) | ||||||||||||||||
Pay | 1-Day BRL-CDI | 9.30 | 1/4/2021 | BRL | 24,800 | - | (72,787 | ) | (72,787 | ) | ||||||||||||||||
Pay | 1-Day BRL-CDI | 10.36 | 1/4/2021 | BRL | 76,400 | - | (628,955 | ) | (628,955 | ) | ||||||||||||||||
Pay | 1-Day BRL-CDI | 10.26 | 1/4/2021 | BRL | 80,900 | - | (627,835 | ) | (627,835 | ) | ||||||||||||||||
Pay | 1-Day BRL-CDI | 9.84 | 1/4/2021 | BRL | 41,000 | - | (231,959 | ) | (231,959 | ) | ||||||||||||||||
Pay | 1-Day BRL-CDI | 9.53 | 1/4/2021 | BRL | 187,700 | - | (767,112 | ) | (767,112 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | - | $ | (2,892,018 | ) | $ | (2,892,018 | ) | |||||||||||||||||||
|
|
|
|
|
|
OTC Swap Agreements Outstanding on July 31, 2018: |
Credit Default Swaps on Corporate and Sovereign Securities - Buy Protection(1) |
Reference Entity | Counter- Party | Fixed Rate (%) | Expiration Date | Implied Credit Spread at 7/31/2018(3) (%) | Curr | Notional Amount(4) (000s) | Premiums Paid (Received) | Fair Value(5) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Lebanese Republic | BRC | 1.00 | 12/20/2019 | 5.3983 | USD | 150 | $ | 6,351 | $ | 8,680 | $ | 2,329 | ||||||||||||||||||
Lebanese Republic | BCC | 1.00 | 6/20/2021 | 6.0040 | USD | 200 | 18,860 | 24,190 | 5,330 | |||||||||||||||||||||
Lebanese Republic | BRC | 1.00 | 6/20/2021 | 6.0040 | USD | 275 | 27,711 | 33,262 | 5,551 | |||||||||||||||||||||
Russian Federation | BRC | 1.00 | 6/20/2021 | 0.9733 | USD | 500 | 17,994 | (724 | ) | (18,718 | ) | |||||||||||||||||||
Lebanese Republic | BCC | 1.00 | 12/20/2021 | 6.0019 | USD | 15,000 | 1,523,559 | 2,109,437 | 585,878 | |||||||||||||||||||||
Lebanese Republic | BRC | 1.00 | 12/20/2021 | 6.0019 | USD | 800 | 83,017 | 112,503 | 29,486 | |||||||||||||||||||||
Lebanese Republic | BRC | 1.00 | 12/20/2021 | 6.0019 | USD | 3,000 | 369,042 | 421,887 | 52,845 | |||||||||||||||||||||
Republic Of Indonesia | BRC | 1.00 | 12/20/2021 | 0.7846 | USD | 800 | 13,116 | (5,350 | ) | (18,466 | ) | |||||||||||||||||||
Republic Of Indonesia | BRC | 1.00 | 12/20/2021 | 0.7846 | USD | 1,000 | 17,301 | (6,688 | ) | (23,989 | ) | |||||||||||||||||||
Republic Of Kazakhstan | BRC | 1.00 | 12/20/2021 | 0.5553 | USD | 800 | 16,254 | (12,746 | ) | (29,000 | ) | |||||||||||||||||||
Republic Of Kazakhstan | BRC | 1.00 | 12/20/2021 | 0.5553 | USD | 15,000 | 314,549 | (238,985 | ) | (553,534 | ) | |||||||||||||||||||
Republic Of Kazakhstan | BRC | 1.00 | 12/20/2021 | 0.5553 | USD | 250 | 8,020 | (3,983 | ) | (12,003 | ) | |||||||||||||||||||
Republic Of Kazakhstan | BRC | 1.00 | 12/20/2021 | 0.5553 | USD | 3,000 | 93,547 | (47,797 | ) | (141,344 | ) | |||||||||||||||||||
Republic Of South Africa | BRC | 1.00 | 12/20/2021 | 1.3899 | USD | 2,000 | 67,739 | 23,030 | (44,709 | ) | ||||||||||||||||||||
Republic Of South Africa | BRC | 1.00 | 12/20/2021 | 1.3899 | USD | 1,500 | 48,589 | 17,272 | (31,317 | ) | ||||||||||||||||||||
Republic Of South Africa | BRC | 1.00 | 12/20/2021 | 1.3899 | USD | 6,000 | 196,619 | 69,089 | (127,530 | ) | ||||||||||||||||||||
Republic Of Kazakhstan | CBK | 1.00 | 12/20/2021 | 0.8500 | USD | 300 | 8,887 | (4,780 | ) | (13,667 | ) | |||||||||||||||||||
Russian Federation | CBK | 1.00 | 12/20/2021 | 1.0600 | USD | 13,000 | 312,307 | 18,343 | (293,964 | ) | ||||||||||||||||||||
Russian Federation | CBK | 1.00 | 12/20/2021 | 1.0600 | USD | 3,000 | 115,075 | 4,233 | (110,842 | ) | ||||||||||||||||||||
Republic Of Colombia | FBF | 1.00 | 12/20/2021 | 0.7272 | USD | 4,000 | 45,340 | (35,742 | ) | (81,082 | ) | |||||||||||||||||||
Republic Of Indonesia | HUS | 1.00 | 12/20/2021 | 0.7846 | USD | 1,800 | 29,018 | (12,038 | ) | (41,056 | ) | |||||||||||||||||||
Republic Of Indonesia | UAG | 1.00 | 12/20/2021 | 0.7846 | USD | 3,000 | 38,384 | (20,063 | ) | (58,447 | ) | |||||||||||||||||||
Republic Of Turkey | BCC | 1.00 | 6/20/2022 | 3.0689 | USD | 5,000 | 245,439 | 337,594 | 92,155 | |||||||||||||||||||||
Republic Of Turkey | BCC | 1.00 | 6/20/2022 | 3.0689 | USD | 9,375 | 455,985 | 632,989 | 177,004 | |||||||||||||||||||||
Russian Federation | BCC | 1.00 | 6/20/2022 | 1.1462 | USD | 4,500 | 112,599 | 18,812 | (93,787 | ) | ||||||||||||||||||||
Lebanese Republic | BRC | 1.00 | 6/20/2022 | 6.0000 | USD | 12,500 | 1,546,706 | 1,988,561 | 441,855 | |||||||||||||||||||||
Republic Of Indonesia | BRC | 1.00 | 6/20/2022 | 0.8931 | USD | 5,000 | 30,641 | (20,110 | ) | (50,751 | ) | |||||||||||||||||||
Russian Federation | BRC | 1.00 | 6/20/2022 | 1.1462 | USD | 4,300 | 108,723 | 17,975 | (90,748 | ) | ||||||||||||||||||||
Russian Federation | BRC | 1.00 | 6/20/2022 | 1.1462 | USD | 2,600 | 40,110 | 10,869 | (29,241 | ) | ||||||||||||||||||||
Republic Of South Africa | CBK | 1.00 | 6/20/2022 | 1.5439 | USD | 4,000 | 142,699 | 70,864 | (71,835 | ) |
See accompanying notes
20
American Beacon GLG Total Return FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Reference Entity | Counter- Party | Fixed Rate (%) | Expiration Date | Implied Credit Spread at 7/31/2018(3) (%) | Curr | Notional Amount(4) (000s) | Premiums Paid (Received) | Fair Value(5) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Republic Of South Africa | CBK | 1.00 | 6/20/2022 | 1.5439 | USD | 2,500 | $ | 99,401 | $ | 44,290 | $ | (55,111 | ) | |||||||||||||||||
Republic Of South Africa | CBK | 1.00 | 6/20/2022 | 1.5439 | USD | 5,500 | 190,217 | 97,439 | (92,778 | ) | ||||||||||||||||||||
Republic Of Turkey | CBK | 1.00 | 6/20/2022 | 3.0689 | USD | 4,000 | 134,834 | 270,075 | 135,241 | |||||||||||||||||||||
Republic Of Indonesia | HUS | 1.00 | 6/20/2022 | 0.8931 | USD | 3,000 | 31,958 | (12,066 | ) | (44,024 | ) | |||||||||||||||||||
Lebanese Republic | BOA | 1.00 | 12/20/2022 | 6.0752 | USD | 3,000 | 406,820 | 531,077 | 124,257 | |||||||||||||||||||||
Lebanese Republic | BOA | 1.00 | 12/20/2022 | 6.0752 | USD | 5,000 | 686,548 | 885,128 | 198,580 | |||||||||||||||||||||
Republic Of South Africa | BOA | 1.00 | 12/20/2022 | 1.6861 | USD | 4,300 | 163,628 | 115,728 | (47,900 | ) | ||||||||||||||||||||
Federal Republic of Brazil | BRC | 1.00 | 12/20/2022 | 1.9830 | USD | 9,000 | 181,439 | 345,584 | 164,145 | |||||||||||||||||||||
Kingdom Of Saudi Arabia | BRC | 1.00 | 12/20/2022 | 0.7503 | USD | 11,000 | (22,704 | ) | (116,160 | ) | (93,456 | ) | ||||||||||||||||||
Republic Of Indonesia | BRC | 1.00 | 12/20/2022 | 1.0119 | USD | 4,500 | (30,090 | ) | 3,552 | 33,642 | ||||||||||||||||||||
Republic Of Indonesia | BRC | 1.00 | 12/20/2022 | 1.0119 | USD | 4,900 | (1,989 | ) | 3,867 | 5,856 | ||||||||||||||||||||
Republic Of Indonesia | BRC | 1.00 | 12/20/2022 | 1.0119 | USD | 2,000 | (4,880 | ) | 1,579 | 6,459 | ||||||||||||||||||||
Republic Of South Africa | BRC | 1.00 | 12/20/2022 | 1.6861 | USD | 3,000 | 101,383 | 80,740 | (20,643 | ) | ||||||||||||||||||||
Republic Of South Africa | BRC | 1.00 | 12/20/2022 | 1.6861 | USD | 8,600 | 322,301 | 231,455 | (90,846 | ) | ||||||||||||||||||||
Federal Republic of Brazil | CBK | 1.00 | 12/20/2022 | 1.9830 | USD | 13,400 | 267,509 | 514,536 | 247,027 | |||||||||||||||||||||
Kingdom Of Saudi Arabia | CBK | 1.00 | 12/20/2022 | 0.7503 | USD | 2,000 | (13,988 | ) | (21,120 | ) | (7,132 | ) | ||||||||||||||||||
Republic Of Indonesia | CBK | 1.00 | 12/20/2022 | 1.0119 | USD | 3,500 | (9,953 | ) | 2,762 | 12,715 | ||||||||||||||||||||
Republic Of Indonesia | CBK | 1.00 | 12/20/2022 | 1.0119 | USD | 4,500 | - | 3,552 | 3,552 | |||||||||||||||||||||
Republic Of South Africa | CBK | 1.00 | 12/20/2022 | 1.6861 | USD | 8,600 | 327,255 | 231,455 | (95,800 | ) | ||||||||||||||||||||
Republic Of South Africa | CBK | 1.00 | 12/20/2022 | 1.6861 | USD | 8,600 | 325,604 | 231,455 | (94,149 | ) | ||||||||||||||||||||
Republic Of South Africa | CBK | 1.00 | 12/20/2022 | 1.6861 | USD | 13,000 | 472,013 | 349,874 | (122,139 | ) | ||||||||||||||||||||
Russian Federation | CBK | 1.00 | 12/20/2022 | 1.2386 | USD | 3,000 | 35,845 | 27,844 | (8,001 | ) | ||||||||||||||||||||
Lebanese Republic | DUB | 1.00 | 12/20/2022 | 6.0752 | USD | 1,100 | 171,555 | 194,728 | 23,173 | |||||||||||||||||||||
Lebanese Republic | DUB | 1.00 | 12/20/2022 | 6.0752 | USD | 700 | 109,284 | 123,918 | 14,634 | |||||||||||||||||||||
Lebanese Republic | DUB | 1.00 | 12/20/2022 | 6.0752 | USD | 1,600 | 245,085 | 283,241 | 38,156 | |||||||||||||||||||||
Republic Of Indonesia | HUS | 1.00 | 12/20/2022 | 1.0119 | USD | 6,100 | (2,475 | ) | 4,815 | 7,290 | ||||||||||||||||||||
Republic Of Indonesia | HUS | 1.00 | 12/20/2022 | 1.0119 | USD | 4,000 | (812 | ) | 3,157 | 3,969 | ||||||||||||||||||||
Republic Of Indonesia | HUS | 1.00 | 12/20/2022 | 1.0119 | USD | 4,500 | - | 3,552 | 3,552 | |||||||||||||||||||||
Republic Of Indonesia | HUS | 1.00 | 12/20/2022 | 1.0119 | USD | 8,500 | - | 6,709 | 6,709 | |||||||||||||||||||||
Republic Of Indonesia | UAG | 1.00 | 12/20/2022 | 1.0119 | USD | 5,500 | (2,790 | ) | 4,341 | 7,131 | ||||||||||||||||||||
Republic Of Indonesia | UAG | 1.00 | 12/20/2022 | 1.0119 | USD | 5,500 | (2,232 | ) | 4,341 | 6,573 | ||||||||||||||||||||
Argentine Republic | BRC | 5.00 | 6/20/2023 | 4.2200 | USD | 4,000 | (363,735 | ) | (135,760 | ) | 227,975 | |||||||||||||||||||
Argentine Republic | BRC | 5.00 | 6/20/2023 | 4.2200 | USD | 1,700 | (104,698 | ) | (57,698 | ) | 47,000 | |||||||||||||||||||
Federal Republic of Brazil | BRC | 1.00 | 6/20/2023 | 2.1550 | USD | 12,500 | 597,261 | 610,311 | 13,050 | |||||||||||||||||||||
Federal Republic of Brazil | BRC | 1.00 | 6/20/2023 | 2.1550 | USD | 4,500 | 218,746 | 219,712 | 966 | |||||||||||||||||||||
Federal Republic of Brazil | BRC | 1.00 | 6/20/2023 | 2.1550 | USD | 1,000 | 62,011 | 48,825 | (13,186 | ) | ||||||||||||||||||||
Federal Republic of Brazil | BRC | 1.00 | 6/20/2023 | 2.1550 | USD | 5,000 | 343,075 | 244,124 | (98,951 | ) | ||||||||||||||||||||
Federal Republic of Brazil | BRC | 1.00 | 6/20/2023 | 2.1550 | USD | 23,000 | 1,603,799 | 1,122,972 | (480,827 | ) | ||||||||||||||||||||
Federation of Malaysia | BRC | 1.00 | 6/20/2023 | 0.8366 | USD | 4,500 | (31,989 | ) | (32,948 | ) | (959 | ) | ||||||||||||||||||
Republic of Korea | BRC | 1.00 | 6/20/2023 | 0.4213 | USD | 10,900 | (252,905 | ) | (290,028 | ) | (37,123 | ) | ||||||||||||||||||
Republic Of South Africa | BRC | 1.00 | 6/20/2023 | 1.8275 | USD | 6,000 | 167,501 | 214,377 | 46,876 | |||||||||||||||||||||
Argentine Republic | CBK | 5.00 | 6/20/2023 | 4.2200 | USD | 27,300 | (1,886,527 | ) | (926,561 | ) | 959,966 | |||||||||||||||||||
Argentine Republic | CBK | 5.00 | 6/20/2023 | 4.2200 | USD | 7,100 | (400,541 | ) | (240,974 | ) | 159,567 | |||||||||||||||||||
Republic Of South Africa | CBK | 1.00 | 6/20/2023 | 1.8275 | USD | 4,500 | 125,626 | 160,783 | 35,157 | |||||||||||||||||||||
Federal Republic of Brazil | GST | 1.00 | 6/20/2023 | 2.1550 | USD | 11,500 | 786,764 | 561,486 | (225,278 | ) | ||||||||||||||||||||
Federal Republic of Brazil | HUS | 1.00 | 6/20/2023 | 2.1550 | USD | 4,000 | 193,612 | 195,300 | 1,688 | |||||||||||||||||||||
Federal Republic of Brazil | HUS | 1.00 | 6/20/2023 | 2.1550 | USD | 8,500 | 591,755 | 415,012 | (176,743 | ) | ||||||||||||||||||||
Federation of Malaysia | HUS | 1.00 | 6/20/2023 | 0.8366 | USD | 8,250 | (51,277 | ) | (60,404 | ) | (9,127 | ) | ||||||||||||||||||
Federation of Malaysia | HUS | 1.00 | 6/20/2023 | 0.8366 | USD | 8,250 | (51,277 | ) | (60,404 | ) | (9,127 | ) | ||||||||||||||||||
Federation of Malaysia | HUS | 1.00 | 6/20/2023 | 0.8366 | USD | 16,500 | (102,711 | ) | (120,808 | ) | (18,097 | ) | ||||||||||||||||||
Republic Of South Africa | HUS | 1.00 | 6/20/2023 | 1.8275 | USD | 4,000 | 111,668 | 142,918 | 31,250 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 11,791,105 | $ | 11,972,267 | $ | 181,162 | |||||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes
21
American Beacon GLG Total Return FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Credit Default Swaps on Corporate and Sovereign Securities - Sell Protection(2) | ||||||||||||||||||||||||||||||
Reference Entity | Counter- Party | Fixed Rate (%) | Expiration Date | Implied Credit Spread at 7/31/2018(3) (%) | Curr | Notional Amount(4) (000s) | Premiums Paid (Received) | Fair Value(5) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Republic Of Philippines | BCC | 1.00 | 12/20/2019 | 0.1575 | USD | 3,000 | $ | 15,127 | $ | 31,109 | $ | 15,982 | ||||||||||||||||||
Republic Of Philippines | BRC | 1.00 | 12/20/2019 | 0.1575 | USD | 500 | 1,902 | 5,185 | 3,283 | |||||||||||||||||||||
Republic Of Colombia | HUS | 1.00 | 12/20/2021 | 0.2800 | USD | 7,000 | 25,920 | 57,506 | 31,586 | |||||||||||||||||||||
Argentine Republic | CBK | 5.00 | 6/20/2023 | 4.1200 | USD | 22,800 | 327,044 | 773,831 | 446,787 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 369,993 | $ | 867,631 | $ | 497,638 | |||||||||||||||||||||||||
|
|
|
|
|
|
Interest Rate Swaps | ||||||||||||||||||||||||||||
Pay/Receive Floating Rate | Floating Rate Index | Counter- Party | Fixed Rate (%) | Expiration Date | Curr | Notional Amount(4) (000s) | Premiums Paid (Received) | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pay | 1-Day BRL-CDI | HUS | 9.12 | 1/4/2021 | BRL | 30,100 | $ | - | $ | (141,094 | ) | $ | (141,094 | ) | ||||||||||||||
Pay | 1-Day BRL-CDI | UAG | 8.65 | 1/4/2021 | BRL | 32,500 | - | (33,061 | ) | (33,061 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | - | $ | (174,155 | ) | $ | (174,155 | ) | |||||||||||||||||||||
|
|
|
|
|
|
(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. |
Forward Foreign Currency Contracts Open on July 31, 2018: |
| |||||||||||||||||||||||||||
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
IDR | 1,851,920 | USD | 1,900,000 | 8/27/2018 | HUS | $ | - | $ | (48,080 | ) | $ | (48,080 | ) | |||||||||||||||
IDR | 8,698,219 | USD | 8,709,595 | 8/27/2018 | HUS | - | (11,376 | ) | (11,376 | ) | ||||||||||||||||||
IDR | 8,698,221 | USD | 8,709,597 | 8/27/2018 | HUS | - | (11,376 | ) | (11,376 | ) | ||||||||||||||||||
IDR | 17,396,439 | USD | 17,425,224 | 8/27/2018 | HUS | - | (28,785 | ) | (28,785 | ) | ||||||||||||||||||
USD | 9,164,924 | IDR | 8,807,499 | 8/27/2018 | HUS | 357,425 | - | 357,425 | ||||||||||||||||||||
USD | 4,397,000 | IDR | 4,228,562 | 8/27/2018 | HUS | 168,438 | - | 168,438 | ||||||||||||||||||||
USD | 4,116,000 | IDR | 3,976,830 | 8/27/2018 | HUS | 139,170 | - | 139,170 | ||||||||||||||||||||
USD | 4,114,000 | IDR | 3,976,320 | 8/27/2018 | HUS | 137,680 | - | 137,680 | ||||||||||||||||||||
USD | 4,117,000 | IDR | 3,976,087 | 8/27/2018 | HUS | 140,913 | - | 140,913 | ||||||||||||||||||||
USD | 4,117,000 | IDR | 3,958,149 | 8/27/2018 | HUS | 158,851 | - | 158,851 | ||||||||||||||||||||
USD | 4,114,000 | IDR | 3,955,265 | 8/27/2018 | HUS | 158,735 | - | 158,735 | ||||||||||||||||||||
USD | 3,899,000 | IDR | 3,766,088 | 8/27/2018 | HUS | 132,912 | - | 132,912 | ||||||||||||||||||||
USD | 5,145,000 | COP | 5,162,436 | 10/9/2018 | HUS | - | (17,436 | ) | (17,436 | ) |
See accompanying notes
22
American Beacon GLG Total Return FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
USD | 4,149,000 | COP | 4,165,922 | 10/9/2018 | HUS | $ | - | $ | (16,922 | ) | $ | (16,922 | ) | |||||||||||||
USD | 4,149,000 | COP | 4,163,060 | 10/9/2018 | HUS | - | (14,060 | ) | (14,060 | ) | ||||||||||||||||
USD | 4,149,000 | COP | 4,161,629 | 10/9/2018 | HUS | - | (12,629 | ) | (12,629 | ) | ||||||||||||||||
USD | 4,149,000 | COP | 4,160,198 | 10/9/2018 | HUS | - | (11,198 | ) | (11,198 | ) | ||||||||||||||||
USD | 4,149,000 | COP | 4,160,198 | 10/9/2018 | HUS | - | (11,198 | ) | (11,198 | ) | ||||||||||||||||
USD | 4,149,000 | COP | 4,143,025 | 10/9/2018 | HUS | 5,975 | - | 5,975 | ||||||||||||||||||
USD | 4,149,000 | COP | 4,140,163 | 10/9/2018 | HUS | 8,837 | - | 8,837 | ||||||||||||||||||
USD | 1,991,000 | COP | 2,001,181 | 10/9/2018 | HUS | - | (10,181 | ) | (10,181 | ) | ||||||||||||||||
USD | 750,000 | COP | 747,885 | 10/9/2018 | HUS | 2,115 | - | 2,115 | ||||||||||||||||||
TRY | 2,896,413 | USD | 3,271,000 | 11/13/2018 | HUS | - | (374,587 | ) | (374,587 | ) | ||||||||||||||||
TRY | 2,897,746 | USD | 3,271,000 | 11/13/2018 | HUS | - | (373,254 | ) | (373,254 | ) | ||||||||||||||||
TRY | 3,004,489 | USD | 3,397,000 | 11/13/2018 | HUS | - | (392,511 | ) | (392,511 | ) | ||||||||||||||||
TRY | 3,008,049 | USD | 3,396,999 | 11/13/2018 | HUS | - | (388,950 | ) | (388,950 | ) | ||||||||||||||||
TRY | 3,009,038 | USD | 3,397,000 | 11/13/2018 | HUS | - | (387,962 | ) | (387,962 | ) | ||||||||||||||||
TRY | 3,129,034 | USD | 3,390,000 | 11/13/2018 | HUS | - | (260,966 | ) | (260,966 | ) | ||||||||||||||||
TRY | 3,544,720 | USD | 3,535,000 | 11/13/2018 | HUS | 9,720 | - | 9,720 | ||||||||||||||||||
TRY | 3,907,256 | USD | 4,416,000 | 11/13/2018 | HUS | - | (508,744 | ) | (508,744 | ) | ||||||||||||||||
TRY | 4,428,149 | USD | 4,419,000 | 11/13/2018 | HUS | 9,149 | - | 9,149 | ||||||||||||||||||
TRY | 5,760,179 | USD | 6,239,000 | 11/13/2018 | HUS | - | (478,821 | ) | (478,821 | ) | ||||||||||||||||
TRY | 6,536,905 | USD | 7,336,000 | 11/13/2018 | HUS | - | (799,095 | ) | (799,095 | ) | ||||||||||||||||
TRY | 6,757,603 | USD | 7,589,000 | 11/13/2018 | HUS | - | (831,397 | ) | (831,397 | ) | ||||||||||||||||
TRY | 9,396,765 | USD | 10,172,000 | 11/13/2018 | HUS | - | (775,235 | ) | (775,235 | ) | ||||||||||||||||
USD | 59,429,000 | TRY | 55,231,832 | 11/13/2018 | HUS | 4,197,168 | - | 4,197,168 | ||||||||||||||||||
USD | 3,457,000 | TRY | 3,201,880 | 11/13/2018 | HUS | 255,120 | - | 255,120 | ||||||||||||||||||
ARS | 5,230,569 | USD | 5,717,353 | 11/23/2018 | HUS | - | (486,784 | ) | (486,784 | ) | ||||||||||||||||
ARS | 10,595,105 | USD | 11,556,332 | 11/23/2018 | HUS | - | (961,227 | ) | (961,227 | ) | ||||||||||||||||
ARS | 976,320 | USD | 1,067,375 | 11/26/2018 | HUS | - | (91,055 | ) | (91,055 | ) | ||||||||||||||||
ARS | 3,320,020 | USD | 3,192,615 | 11/26/2018 | HUS | 127,405 | - | 127,405 | ||||||||||||||||||
ARS | 9,054,463 | USD | 8,709,735 | 11/26/2018 | HUS | 344,728 | - | 344,728 | ||||||||||||||||||
ARS | 1,354,811 | USD | 1,314,277 | 11/28/2018 | HUS | 40,534 | - | 40,534 | ||||||||||||||||||
ARS | 7,126,680 | USD | 6,908,000 | 11/28/2018 | HUS | 218,680 | - | 218,680 | ||||||||||||||||||
ARS | 7,127,806 | USD | 6,908,000 | 11/28/2018 | HUS | 219,806 | - | 219,806 | ||||||||||||||||||
ARS | 2,104,724 | USD | 2,279,513 | 11/29/2018 | HUS | - | (174,789 | ) | (174,789 | ) | ||||||||||||||||
ARS | 5,749,376 | USD | 6,299,052 | 11/29/2018 | HUS | - | (549,676 | ) | (549,676 | ) | ||||||||||||||||
ARS | 4,125,472 | USD | 3,935,969 | 12/6/2018 | HUS | 189,503 | - | 189,503 | ||||||||||||||||||
ARS | 4,125,472 | USD | 3,940,838 | 12/6/2018 | HUS | 184,634 | - | 184,634 | ||||||||||||||||||
USD | 17,039,229 | IDR | 17,044,425 | 2/4/2019 | HUS | - | (5,196 | ) | (5,196 | ) | ||||||||||||||||
USD | 8,510,392 | IDR | 8,522,214 | 2/4/2019 | HUS | - | (11,822 | ) | (11,822 | ) | ||||||||||||||||
USD | 8,516,153 | IDR | 8,522,212 | 2/4/2019 | HUS | - | (6,059 | ) | (6,059 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 7,207,498 | $ | (8,051,371 | ) | $ | (843,873 | ) | |||||||||||||||||||
|
|
|
|
|
|
* | All values denominated in USD. |
See accompanying notes
23
American Beacon GLG Total Return FundSM
Schedule of Investments
July 31, 2018 (Unaudited)
Glossary: | ||
Counterparty Abbreviations: | ||
BCC | Barclays Capital, Inc. | |
BOA | Bank of America, N.A. | |
BRC | Barclays Bank PLC | |
CBK | Citibank, N.A. | |
DUB | Deutsche Bank AG | |
FBF | Credit Suisse International | |
GST | Goldman Sachs International | |
HUS | HSBC Bank (USA) | |
UAG | UBS AG | |
USD | United States Dollar | |
Currency Abbreviations: | ||
ARS | Argentine Peso | |
BRL | Brazilian Real | |
COP | Colombian Peso | |
IDR | Indonesian Rupiah | |
TRY | Turkish Lira | |
Exchange Abbreviations: | ||
OTC | Over-the-Counter | |
Other Abbreviations: | ||
CDI | Chess Depository Interest |
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of July 31, 2018, the investments were classified as described below:
GLG Total Return Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets |
| |||||||||||||||||||||||||||
Foreign Sovereign Obligations |
| |||||||||||||||||||||||||||
Brazil | $ | - | $ | 1,002,980 | $ | - | $ | 1,002,980 | ||||||||||||||||||||
Colombia | - | 4,110,000 | - | 4,110,000 | ||||||||||||||||||||||||
Indonesia | - | 5,565,058 | - | 5,565,058 | ||||||||||||||||||||||||
South Africa | - | 19,581,835 | - | 19,581,835 | ||||||||||||||||||||||||
Foreign Corporate Obligations |
| |||||||||||||||||||||||||||
British Virgin Islands | - | 6,821,281 | - | 6,821,281 | ||||||||||||||||||||||||
India | - | 4,882,772 | - | 4,882,772 | ||||||||||||||||||||||||
Mexico | - | 6,037,194 | - | 6,037,194 | ||||||||||||||||||||||||
Short-Term Investments |
| |||||||||||||||||||||||||||
Investment Companies | 6,228,469 | - | - | 6,228,469 | ||||||||||||||||||||||||
U.S. Treasury Obligations | - | 665,030,774 | - | 665,030,774 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 6,228,469 | $ | 713,031,894 | $ | - | $ | 719,260,363 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Swap Contract Agreements | $ | - | $ | 4,456,227 | $ | - | $ | 4,456,227 | ||||||||||||||||||||
Forward Foreign Currency Contracts | - | 7,207,498 | - | 7,207,498 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | - | $ | 11,663,725 | $ | - | $ | 11,663,725 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||||||
Swap Contract Agreements | $ | - | $ | (6,843,600 | ) | $ | - | $ | (6,843,600 | ) | ||||||||||||||||||
Forward Foreign Currency Contracts | - | (8,051,371 | ) | - | (8,051,371 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Liabilities | $ | - | $ | (14,894,971 | ) | $ | - | $ | (14,894,971 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of the Fund’s assets and liabilities. During the period ended July 31, 2018, there were no transfers between levels.
See accompanying notes
24
Statements of Assets and Liabilities
July 31, 2018 (Unaudited)
Frontier Markets Income Fund | GLG Total Return Fund | |||||||||||
Assets: | ||||||||||||
Investments in unaffiliated securities, at fair value† | $ | 229,714,807 | $ | 713,031,894 | ||||||||
Investments in affiliated securities, at fair value‡ | 31,758,221 | 6,228,469 | ||||||||||
Foreign currency, at fair value^ | 2,690,658 | 263 | ||||||||||
Swap premium paid | - | 15,498,671 | ||||||||||
Swap income receivable | - | 145,236 | ||||||||||
Cash collateral held at custodian for the benefit of the broker | 270,000 | 15,093,100 | ||||||||||
Dividends and interest receivable | 5,992,463 | 930,474 | ||||||||||
Receivable for fund shares sold | 1,774,516 | 1,009,539 | ||||||||||
Receivable for expense reimbursement (Note 2) | - | 63,530 | ||||||||||
Unrealized appreciation from swap agreements | - | 4,456,227 | ||||||||||
Unrealized appreciation from forward foreign currency contracts | 76,388 | 7,207,498 | ||||||||||
Prepaid expenses | 148,813 | 93,122 | ||||||||||
|
|
|
| |||||||||
Total assets | 272,425,866 | 763,758,023 | ||||||||||
|
|
|
| |||||||||
Liabilities: | ||||||||||||
Payable for investments purchased | 533,335 | - | ||||||||||
Payable for fund shares redeemed | 761,679 | 627,596 | ||||||||||
Payable for expense reimbursement (Note 2) | 522 | - | ||||||||||
Swap premium received | - | 3,337,573 | ||||||||||
Cash collateral held at broker for the benefit of the custodian | - | 7,037,652 | ||||||||||
Cash due to custodian | - | 40,000 | ||||||||||
Swap income payable | - | 1,208,022 | ||||||||||
Management and sub-advisory fees payable (Note 2) | 191,823 | 581,569 | ||||||||||
Service fees payable (Note 2) | 20,264 | 119 | ||||||||||
Transfer agent fees payable (Note 2) | 10,986 | 87,558 | ||||||||||
Custody and fund accounting fees payable | - | 4,328 | ||||||||||
Professional fees payable | 46,613 | 30,750 | ||||||||||
Unrealized depreciation from swap agreements | - | 6,843,600 | ||||||||||
Unrealized depreciation from forward foreign currency contracts | 362,268 | 8,051,371 | ||||||||||
Other liabilities | 3,215 | 11,587 | ||||||||||
|
|
|
| |||||||||
Total liabilities | 1,930,705 | 27,861,725 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 270,495,161 | $ | 735,896,298 | ||||||||
|
|
|
| |||||||||
Analysis of net assets: | ||||||||||||
Paid-in-capital | $ | 295,685,482 | $ | 729,294,939 | ||||||||
Undistributed net investment income | 3,772,286 | 4,153,189 | ||||||||||
Accumulated net realized gain (loss) | (17,543,929 | ) | 6,098,892 | |||||||||
Unrealized (depreciation) of investments in unaffiliated securitiesA | (11,114,678 | ) | (419,482 | ) | ||||||||
Unrealized appreciation (depreciation) of foreign currency transactions | (18,120 | ) | 6 | |||||||||
Unrealized (depreciation) of forward foreign currency contracts | (285,880 | ) | (843,873 | ) | ||||||||
Unrealized (depreciation) of swap agreements | - | (2,387,373 | ) | |||||||||
|
|
|
| |||||||||
Net assets | $ | 270,495,161 | $ | 735,896,298 | ||||||||
|
|
|
|
See accompanying notes
25
American Beacon FundsSM
Statements of Assets and Liabilities
July 31, 2018 (Unaudited)
Frontier Markets Income Fund | GLG Total Return Fund | |||||||||||
Shares outstanding at no par value (unlimited shares authorized): | ||||||||||||
Institutional Class | 7,899,273 | 130,646 | ||||||||||
|
|
|
| |||||||||
Y Class | 15,249,561 | 45,057 | ||||||||||
|
|
|
| |||||||||
Investor Class | 4,972,883 | 14,847 | ||||||||||
|
|
|
| |||||||||
A Class | 433,081 | 10,212 | ||||||||||
|
|
|
| |||||||||
C Class | 1,163,333 | 10,160 | ||||||||||
|
|
|
| |||||||||
Ultra Class | N/A | 67,693,056 | ||||||||||
|
|
|
| |||||||||
Net assets: | ||||||||||||
Institutional Class | $ | 71,913,949 | $ | 1,415,635 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 138,884,267 | $ | 486,298 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 45,217,907 | $ | 159,462 | ||||||||
|
|
|
| |||||||||
A Class | $ | 3,938,678 | $ | 109,632 | ||||||||
|
|
|
| |||||||||
C Class | $ | 10,540,360 | $ | 107,847 | ||||||||
|
|
|
| |||||||||
Ultra Class | N/A | $ | 733,617,424 | |||||||||
|
|
|
| |||||||||
Net asset value, offering and redemption price per share: | ||||||||||||
Institutional Class | $ | 9.10 | $ | 10.84 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 9.11 | $ | 10.79 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 9.09 | $ | 10.74 | ||||||||
|
|
|
| |||||||||
A Class | $ | 9.09 | $ | 10.74 | ||||||||
|
|
|
| |||||||||
A Class (offering price) | $ | 9.54 | $ | 11.28 | ||||||||
|
|
|
| |||||||||
C Class | $ | 9.06 | $ | 10.61 | ||||||||
|
|
|
| |||||||||
Ultra Class | N/A | $ | 10.84 | |||||||||
|
|
|
| |||||||||
† Cost of investments in unaffiliated securities | $ | 240,829,485 | $ | 713,451,376 | ||||||||
‡ Cost of investments in affiliated securities | $ | 31,758,221 | $ | 6,228,469 | ||||||||
^ Cost of foreign currency | $ | 2,691,021 | $ | 257 | ||||||||
A The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
26
American Beacon FundsSM
Statements of Operations
For the period ended July 31, 2018 (Unaudited)
Frontier Markets Income Fund | GLG Total Return Fund | |||||||||||
Investment income: | ||||||||||||
Dividend income from affiliated securities (Note 8) | $ | 236,139 | $ | 104,599 | ||||||||
Interest income (net of foreign taxes)† | 13,734,193 | 6,496,273 | ||||||||||
|
|
|
| |||||||||
Total investment income | 13,970,332 | 6,600,872 | ||||||||||
|
|
|
| |||||||||
Expenses: | ||||||||||||
Management and sub-advisory fees (Note 2) | 1,062,545 | 3,468,053 | ||||||||||
Transfer agent fees: | ||||||||||||
Institutional Class (Note 2) | 6,844 | 14 | ||||||||||
Y Class (Note 2) | 53,215 | 261 | ||||||||||
Investor Class | 1,281 | 614 | ||||||||||
A Class | 131 | - | ||||||||||
C Class | 138 | - | ||||||||||
Ultra Class | - | 184,891 | ||||||||||
Custody and fund accounting fees | 108,343 | 85,640 | ||||||||||
Professional fees | 49,035 | 37,592 | ||||||||||
Registration fees and expenses | 65,414 | 71,732 | ||||||||||
Service fees (Note 2): | ||||||||||||
Investor Class | 54,771 | - | ||||||||||
A Class | 1,033 | 28 | ||||||||||
C Class | 3,991 | 28 | ||||||||||
Distribution fees (Note 2): | ||||||||||||
A Class | 4,744 | 134 | ||||||||||
C Class | 48,802 | 528 | ||||||||||
Prospectus and shareholder report expenses | 9,026 | 13,507 | ||||||||||
Trustee fees (Note 2) | 4,365 | 18,804 | ||||||||||
Dividends and interest on securities sold short | - | 5,552 | ||||||||||
Other expenses | 5,748 | 14,379 | ||||||||||
|
|
|
| |||||||||
Total expenses | 1,479,426 | 3,901,757 | ||||||||||
|
|
|
| |||||||||
Net fees waived and expenses (reimbursed) / recouped (Note 2) | 56,053 | (375,235 | ) | |||||||||
|
|
|
| |||||||||
Net expenses | 1,535,479 | 3,526,522 | ||||||||||
|
|
|
| |||||||||
Net investment income | 12,434,853 | 3,074,350 | ||||||||||
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in unaffiliated securitiesA | (2,167,552 | ) | 2,661,444 | |||||||||
Foreign currency transactions | (186,122 | ) | (705,851 | ) | ||||||||
Forward foreign currency contracts | 273,733 | 4,200,258 | ||||||||||
Swap agreements | - | (48,615 | ) | |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in unaffiliated securitiesB | (14,247,259 | ) | 3,838 | |||||||||
Foreign currency transactions | (44,840 | ) | 3 | |||||||||
Forward foreign currency contracts | (425,297 | ) | 4,452,718 | |||||||||
Swap agreements | - | 9,818,664 | ||||||||||
|
|
|
| |||||||||
Net gain (loss) from investments | (16,797,337 | ) | 20,382,459 | |||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (4,362,484 | ) | $ | 23,456,809 | |||||||
|
|
|
| |||||||||
† Foreign taxes | $ | 264,346 | $ | - | ||||||||
A The Fund did not recognize net realized gains (losses) from the sale of investments in affiliated securities. |
| |||||||||||
B The Fund’s investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
27
American Beacon FundsSM
Statements of Changes in Net Assets
Frontier Markets Income Fund | GLG Total Return Fund | |||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||||||||||||||
Operations: |
| |||||||||||||||||||||||||||
Net investment income | $ | 12,434,853 | $ | 11,020,530 | $ | 3,074,350 | $ | 2,531,727 | ||||||||||||||||||||
Net realized gain (loss) from investments in unaffiliated securities, foreign currency transactions, forward foreign currency contracts, and swap agreements | (2,079,941 | ) | (2,024,117 | ) | 6,107,236 | 3,133,509 | ||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments in unaffiliated securities, foreign currency transactions, forward foreign currency contracts, and swap agreements | (14,717,396 | ) | 7,678,093 | 14,275,223 | (18,655,514 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (4,362,484 | ) | 16,674,506 | 23,456,809 | (12,990,278 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||
Institutional Class | (2,864,592 | ) | (2,845,735 | ) | - | (34,454 | ) | |||||||||||||||||||||
Y Class | (4,673,769 | ) | (3,511,778 | ) | - | (6,291 | ) | |||||||||||||||||||||
Investor Class | (1,689,204 | ) | (2,275,358 | ) | - | (1,298 | ) | |||||||||||||||||||||
A Class | (144,540 | ) | (293,772 | ) | - | (987 | ) | |||||||||||||||||||||
C Class | (331,541 | ) | (214,080 | ) | - | (422 | ) | |||||||||||||||||||||
Ultra Class | - | - | (88 | ) | (4,299,303 | ) | ||||||||||||||||||||||
Net realized gain from investments: | ||||||||||||||||||||||||||||
Institutional Class | - | - | - | (517 | ) | |||||||||||||||||||||||
Y Class | - | - | - | (1,675 | ) | |||||||||||||||||||||||
Investor Class | - | - | - | (244 | ) | |||||||||||||||||||||||
A Class | - | - | - | (173 | ) | |||||||||||||||||||||||
C Class | - | - | - | (172 | ) | |||||||||||||||||||||||
Ultra Class | - | - | - | (1,163,013 | ) | |||||||||||||||||||||||
Return of capital: | ||||||||||||||||||||||||||||
Institutional Class | - | - | - | (152 | ) | |||||||||||||||||||||||
Y Class | - | - | - | (491 | ) | |||||||||||||||||||||||
Investor Class | - | - | - | (72 | ) | |||||||||||||||||||||||
A Class | - | - | - | (51 | ) | |||||||||||||||||||||||
C Class | - | - | - | (50 | ) | |||||||||||||||||||||||
Ultra Class | - | - | - | (341,068 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net distributions to shareholders | (9,703,646 | ) | (9,140,723 | ) | (88 | ) | (5,850,433 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Capital share transactions (Note 10): |
| |||||||||||||||||||||||||||
Proceeds from sales of shares | 113,436,616 | 148,370,285 | 124,607,782 | 793,714,239 | ||||||||||||||||||||||||
Reinvestment of dividends and distributions | 8,290,909 | 8,065,854 | 18 | 184,104 | ||||||||||||||||||||||||
Cost of shares redeemed | (37,568,202 | ) | (26,890,130 | ) | (157,752,505 | ) | (104,815,311 | ) | ||||||||||||||||||||
Redemption fees | 53,979 | 11,114 | - | - | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | 84,213,302 | 129,557,123 | (33,144,705 | ) | 689,083,032 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets | 70,147,172 | 137,090,906 | (9,687,984 | ) | 670,242,321 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net assets: |
| |||||||||||||||||||||||||||
Beginning of period | 200,347,989 | 63,257,083 | 745,584,282 | 75,341,961 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
End of period* | $ | 270,495,161 | $ | 200,347,989 | $ | 735,896,298 | $ | 745,584,282 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
*Includes undistributed net investment income | $ | 3,772,286 | $ | 1,041,079 | $ | 4,153,189 | $ | 1,078,927 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes
28
Notes to Financial Statements
July 31, 2018 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), is organized as a Massachusetts business trust. The Funds, each a series within the Trust, are registered under the Investment Company Act of 1940 (the “Act”), as amended, as open-end management investment companies. As of July 31, 2018, the Trust consists of thirty-three active series, two of which are presented in this filing: American Beacon Frontier Markets Income Fund and American Beacon GLG Total Return Fund (collectively, the “Funds” and each individually a “Fund”). The remaining thirty-one active series are reported in separate filings. The American Beacon Frontier Markets Income Fund is registered as a diversified fund and American Beacon GLG Total Return Fund is registered as non-diversified. From February 1, 2018 to June 14, 2018, the American Beacon Frontier Markets Income Fund was known as American Beacon Global Evolution Frontier Markets Income Fund.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
Class Disclosure
Each Fund has multiple classes of shares designed to meet the needs of different groups of investors; however, not all of the Funds offer all classes. The following table sets forth the differences amongst the classes:
Class | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations such as broker-dealers or retirement plan sponsors - sold directly through intermediary channels. | $ | 2,500 | |||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor which may include a front-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 | |||
C Class | Retail investors who invest directly through a financial intermediary such as a broker or through employee directed benefit plans with applicable sales charges which may include CDSC. | $ | 1,000 | |||
Ultra | Large institutional investors - sold directly or through intermediary channels. | $ | 500,000,000 |
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 respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, and sub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Funds in preparation of the financial statements. The Funds are considered investment companies and accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard Codification Topic 946, Financial Services – Investment Companies, a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
29
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
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, net of foreign taxes, is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. Realized gains (losses) from securities sold are determined on the basis of specific lot identification.
Currency Translation
All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices of such currencies against U.S. dollars as last quoted by a recognized dealer. Income, expenses, and purchases and sales of investments are translated into U.S. dollars at the rate of 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 on the Funds’ Statements of Operations.
Distributions to Shareholders
Distributions, if any, of net investment income are generally paid at least annually and recorded on the ex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP.
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Funds are allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Funds. Expenses directly charged or attributable to any Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Funds on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Funds or nature of the services performed and relative applicability to the Funds.
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.
Redemption Fees
All Classes of the Frontier Markets Income Fund impose 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 this Fund pro-rata based on the net assets.
30
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
2. Transactions with Affiliates
Management and Investment Sub-Advisory Agreements
The Funds and the Manager are parties to a Management Agreement that obligates the Manager to provide the Funds with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Funds’ average daily net assets that is calculated and accrued daily according to the following schedule:
First $5 billion | 0.35 | % | ||
Next $5 billion | 0.325 | % | ||
Next $10 billion | 0.30 | % | ||
Over $20 billion | 0.275 | % |
The Trust, on behalf of the Funds, and the Manager have entered into an Investment Advisory Agreement with Global Evolution USA, LLC and GLG LLC (the “Sub-Advisors”) pursuant to which each Fund has agreed to pay an annualized sub-advisory fee that is calculated and accrued daily based on the Funds’ average daily net assets according to the following schedules:
Global Evolution USA, LLC
All Assets | 0.50 | % |
GLG LLC
First $500 million | 0.60 | % | ||
Next $500 million | 0.55 | % | ||
Over $1 billion | 0.50 | % |
The Management and Sub-Advisory Fees paid by the Funds for the period ended July 31, 2018 were as follows:
Frontier Markets Income Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 438,763 | ||||||||
Sub-Advisor Fees | 0.50 | % | 623,782 | |||||||||
|
|
|
| |||||||||
Total | 0.85 | % | $ | 1,062,545 | ||||||||
|
|
|
|
GLG Total Return Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 1,295,602 | ||||||||
Sub-Advisor Fees | 0.59 | % | 2,172,451 | |||||||||
|
|
|
| |||||||||
Total | 0.94 | % | $ | 3,468,053 | ||||||||
|
|
|
|
31
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Distribution Plans
The Funds, except for the 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 separate fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors 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 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 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 Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligates the Manager to oversee additional shareholder servicing of the Investor, A, and C Classes of the Funds. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee up to 0.25% 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 Funds.
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Institutional and Y Classes of the Funds and has agreed to compensate the intermediaries for providing these services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. Certain services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Fund’s transfer agent. Accordingly, the Funds, pursuant to Board approval, have agreed to reimburse the Manager for certain non-distribution shareholder services provided by financial intermediaries for the Institutional and Y Classes. The reimbursement amounts (sub-transfer agent fees) paid to the Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional and Y Classes on an annual basis. During the period ended July 31, 2018, the sub-transfer agent fees, as reflected in “Transfer agent fees” on the Statements of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
Frontier Markets Income | $ | 56,849 | ||
GLG Total Return | 261 |
As of July 31, 2018, the Funds owed the Manager the following reimbursement of sub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statements of Assets and Liabilities:
Fund | Reimbursement Sub-Transfer Agent Fees | |||
Frontier Markets Income | $ | 10,986 | ||
GLG Total Return | 32 |
32
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Investments in Affiliated Funds
The Funds may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). Cash collateral received by the Funds in connection with securities lending may also be invested in the USG Select Fund. The Funds and the USG Select Fund have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund. During the period ended July 31, 2018, the Manager earned fees on the Funds’ direct investments in the USG Select Fund as shown below:
Fund | Direct Investments in USG Select Fund | |||
Frontier Markets Income | $ | 15,008 | ||
GLG Total Return | 6,716 |
Interfund Credit Facility
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 a credit facility whereby each Fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating Funds for temporary purposes. The interfund credit facility is advantageous to the Funds because it provides added liquidity, and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a Fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended July 31, 2018, the Funds did not utilize the credit facility.
Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Funds to the extent that total operating expenses exceed the Funds’ expense cap. During the period ended July 31, 2018, the Manager waived and/or reimbursed expenses as follows:
Expense Cap | Expiration of Reimbursed Expenses | |||||||||||||||||
Fund | Class | 2/1/2018 - 7/31/2018 | Reimbursed Expenses | (Recouped) Expenses | ||||||||||||||
Frontier Markets Income | Institutional | 1.15 | % | $ | – | $ | (22,060 | ) | 2021 | |||||||||
Frontier Markets Income | Y | 1.25 | % | – | (24,698 | ) | 2021 | |||||||||||
Frontier Markets Income | Investor | 1.53 | % | – | (918 | ) | 2021 | |||||||||||
Frontier Markets Income | A | 1.55 | % | – | (3,802 | ) | 2021 | |||||||||||
Frontier Markets Income | C | 2.30 | % | – | (4,575 | ) | 2021 | |||||||||||
GLG Total Return | Institutional | 1.05 | % | – | (119 | ) | 2021 | |||||||||||
GLG Total Return | Y | 1.15 | % | – | (263 | ) | 2021 | |||||||||||
GLG Total Return | Investor | 1.43 | % | 282 | – | 2021 | ||||||||||||
GLG Total Return | A | 1.45 | % | – | (78 | ) | 2021 | |||||||||||
GLG Total Return | C | 2.20 | % | – | (77 | ) | 2021 | |||||||||||
GLG Total Return | Ultra | 0.95 | % | 375,486 | – | 2021 |
Of these amounts, $63,530 was disclosed as a receivable from the Manager on the Statements of Assets and Liabilities at July 31, 2018 for the GLG Total Return Fund and $522 was disclosed as a payable to the Manager on the Statements of Assets and Liabilities at July 31, 2018 for the Frontier Markets Income Fund.
33
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The Funds have adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Funds for any contractual or voluntary fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Funds’ annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2021. The carryover of excess expenses potentially reimbursable to the Manager are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
Frontier Markets Income | $ | - | $ | 18,592 | $ | - | 2019 | |||||||||
Frontier Markets Income | - | 63,671 | (1) | - | 2020 | |||||||||||
Frontier Markets Income | - | 33,162 | - | 2021 | ||||||||||||
GLG Total Return | 226 | 263,456 | - | 2020 | ||||||||||||
GLG Total Return | 226 | 669,447 | - | 2021 |
(1) | Contractual expense caps were removed from the Institutional, Y, Investor, and A Classes on May 29, 2016. Voluntary expense caps were reinstated November 29, 2016 for the Institutional, Y, Investor, and A Classes. |
The Distributor
Effective March 1, 2018, Resolute Investment Distributors, Inc. (“RID” or “Distributor”) replaced Foreside Fund Services, LLC (“Foreside”) as the Funds’ distributor and principal underwriter of the Funds’ shares.
RID is a registered broker-dealer and is a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). The Distributor is affiliated with the Manager through common ownership. Under a Distribution Agreement with the Trust, the Distributor acts as the distributor and principal underwriter of the Trust in connection with the continuous offering of shares of the Funds. The Distributor continually distributes shares of the Funds on a best efforts basis. The Distributor has no obligation to sell any specific quantity of the Funds’ shares. Pursuant to the Distribution Agreement, to the extent applicable, the Distributor receives, and may re-allow to broker-dealers, all or a portion of the sales charge paid by the purchasers of A Class and C Class shares. For A Class and C Class shares, the Distributor receives commission revenue consisting of the portion of A Class and C Class sales charge remaining after the allowances by the Distributor to the broker-dealers. The Distributor retains any portion of the commission fees that are not paid to the broker-dealers for use solely to pay distribution related expenses.
Prior to March 1, 2018, Foreside served as the distributor and principal underwriter of the Funds’ shares. Pursuant to a Sub-Administration Agreement between Foreside and the Manager in effect through February 28, 2018, Foreside received a fee from the Manager for providing administrative services in connection with the marketing and distribution of shares of the Trust, including the registration of Manager employees as registered representatives of Foreside to facilitate distribution of Fund shares. Foreside also received a fee from the Manager under a Marketing Agreement pursuant to which Foreside provided services in connection with the marketing of a Fund to institutional investors. Pursuant to the Distribution Agreement with the Trust in effect through February 28, 2018, Foreside received, and may have re-allowed to broker-dealers, all or a portion of the sales charge paid by the purchasers of A and C Class shares. For A and C Class shares, Foreside received commission revenues consisting of the portion of A and C Class sales charge remaining after the allowances by Foreside to the broker dealers. Foreside retained any portion of the commission fees that were not paid to the broker-dealers for use solely to pay distribution related expenses.
Sales Commissions
The Funds’ Distributor, formerly Foreside, may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended February 28, 2018, Foreside collected $804 for the Frontier Markets Income Fund from the sale of Class A Shares. During the period March 1, 2018 through July 31, 2018, RID collected $5,443 for Frontier Markets Income Fund from the sale of Class A Shares. There were no sales commissions collected by Foreside and RID for Class A Shares of the GLG Total Return Fund.
34
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Funds’ 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 period ended July 31, 2018, there were no CDSC fees collected for Class A Shares of the Funds.
A 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 Funds’ 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 period ended February 28, 2018, Foreside collected CDSC fees of $100 for Class C Shares of the Frontier Markets Income Fund. During the period March 1, 2018 through July 31, 2018, RID collected CDSC fees of $927 for Class C Shares of Frontier Markets Income Fund. There were no CDSC fees collected by Foreside and RID for Class C Shares of the GLG Total Return Fund.
Trustee Fees and Expenses
As compensation for their service to the Trust, American Beacon Select Funds, American Beacon Institutional Funds Trust, American Beacon Sound Point Enhanced Income Fund, and American Beacon Apollo Enhanced Income Fund, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chairman receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for his attendance at the committee meetings. Effective January 1, 2018, the Board Vice Chair receives an additional annual retainer of $10,000. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each Fund of the Trusts according to its respective net assets.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on its net asset value (“NAV”) per share. The Fund’s NAV is computed by adding total assets, subtracting all the Fund’s liabilities, and dividing the result by the total number of shares outstanding.
The NAV of each class of the Fund’s shares is determined based on a pro rata allocation of the Fund’s investment income, expenses and total capital gains and losses. The Fund’s NAV per share is determined each business day as of the regular close of trading on the New York Stock Exchange (‘‘NYSE‘‘ or “Exchange”), which is typically 4:00 p.m. Eastern Time (“ET”). However, if trading on the NYSE closes at a time other than 4:00 p.m. ET, the Fund’s NAV per share typically would still be determined as of the regular close of trading on the NYSE. The Fund does not price its shares on days that the NYSE is closed. Foreign exchanges may permit trading in foreign securities on days when the Fund is not open for business, which may result in the value of the Fund’s portfolio investments being affected at a time when you are unable to buy or sell shares.
Equity securities and certain derivative instruments that are traded on an exchange are valued based on market value. Certain derivative instruments (other than short-term securities) usually are valued on the basis of prices provided by a pricing service. The price of debt securities generally is determined using pricing services or quotes obtained from broker/dealers who may consider a number of inputs and factors, such as comparable characteristics, yield curve, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flow. Investments in other mutual funds are valued at the closing NAV per share of the mutual funds on the day of valuation. Equity securities, including shares of closed-end funds and exchanged-traded funds (“ETFs”), are valued at the last sale price or official closing price.
35
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The valuation of securities traded on foreign markets and certain fixed income securities will generally be based on prices determined as of the earlier closing time of the markets on which they primarily trade unless a significant event has occurred. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. ET.
Securities may be valued at fair value, as determined in good faith and pursuant to procedures approved by the Board, under certain limited circumstances. For example, fair value pricing will be used when market quotations are not readily available or reliable, as determined by the Manager, such as when (i) trading for a security is restricted or stopped; (ii) a security’s trading market is closed (other than customary closings); or (iii) a security has been de-listed from a national exchange. A security with limited market liquidity may require fair value pricing if the Manager determines that the available price does not reflect the security’s true market value. In addition, if a significant event that the Manager determines to affect the value of one or more securities held by the Fund occurs after the close of a related exchange but before the determination of the Fund’s NAV, fair value pricing may be used on the affected security or securities. Securities of small-capitalization companies are also more likely to require a fair value determination using these procedures because they are more thinly traded and less liquid than the securities of larger-capitalization companies. The Fund may fair value securities as a result of significant events occurring after the close of the foreign markets in which the Fund invests as described below. In addition, the Fund may invest in illiquid securities requiring these procedures.
The Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund’s pricing time of 4:00 p.m. ET. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. If the Manager determines that the last quoted prices of non-U.S. securities will, in its judgment, materially affect the value of some or all its portfolio securities, the Manager can 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. These securities are fair valued using a pricing service, using methods approved by the Board, that considers the correlation of the trading patterns of the foreign security to intraday trading in the U.S. markets, based on indices of domestic securities and other appropriate indicators such as prices of relevant American Depository Receipts (“ADRs”) and futures contracts. The Valuation Committee, established by the Board, may also fair value securities in other situations, such as when a particular foreign market is closed but the 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.
Attempts to determine the fair value of securities introduce an element of subjectivity to the pricing of securities. As a result, the price of a security determined through fair valuation techniques may differ from the price quoted or published by other sources and may not accurately reflect the market value of the security when trading resumes. If a reliable market quotation becomes available for a security formerly valued through fair valuation techniques, the Manager compares the new market quotation to the fair value price to evaluate the effectiveness of the Fund’s fair valuation procedures. If any significant discrepancies are found, the Manager may adjust the Fund’s fair valuation procedures.
36
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Valuation Inputs
Various inputs may be used to determine the fair 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. |
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 and are categorized as Level 2 of the fair value hierarchy.
Common stocks, preferred securities, and financial derivative instruments, such as futures 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. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are generally categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
Over-the-counter (“OTC”) financial derivative instruments, such as foreign currency contracts and structured notes, 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 fair 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.
Level 3 trading assets and trading liabilities, at fair value
The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows.
Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction and may be categorized as Level 3 of the fair value hierarchy.
37
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the Exchange close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade, do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the fair values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the Manager. For instances in which daily market quotes are not readily available, investments may be valued pursuant to guidelines established by the Board. In the event that the security or asset cannot be valued, pursuant to one of the valuation methods established by the Board, the fair value of the security or asset will be determined in good faith by the Valuation Committee, generally based upon recommendations provided by the Manager.
When a Fund uses fair valuation methods applied by the Manager that use significant unobservable inputs to determine its NAV, the securities priced using this methodology are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
4. Securities and Other Investments
Credit-Linked Notes
The Frontier Markets Income Fund may invest in credit-linked notes (“CLNs”). CLNs are derivative debt obligations that are issued by limited purpose entities, such as Special Purpose Vehicles (“SPVs”), or by financial firms, such as banks, securities firms or their affiliates. They are structured so that their performance is linked to that of an underlying bond or other debt obligation (a “reference asset”), normally by means of an embedded or underlying credit default swap. The reference assets for the CLNs in which the Fund may invest will be limited to sovereign or quasi-sovereign debt instruments or other investments in which the Fund’s investment policies permit it to invest directly. The Fund may invest in CLNs when the Fund’s Sub-Advisor believes that doing so is more efficient than investing in the reference assets directly or when such direct investment by the Fund is not feasible due to legal or other restrictions.
The issuer or one of the affiliates of the issuer of the CLNs in which the Fund will invest, normally will purchase the reference asset underlying the CLN directly, but in some cases it may gain exposure to the reference asset through a credit default swap or other derivative. Under the terms of a CLN, the Fund will receive a fixed or variable rate of interest on the outstanding principal amount of the CLN, which in turn will be subject to reduction (potentially down to zero) if a “credit event” occurs with respect to the underlying reference asset or its issuer. Such credit events will include payment defaults on the reference asset, and normally will also include events that do not involve an actual default, such as actual or potential insolvencies, repudiations of indebtedness, moratoria on payments, reference asset restructurings, limits on the convertibility or repatriation of currencies, and the imposition of ownership restrictions. If a credit event occurs, payments on the CLN would terminate, and the Fund normally would receive delivery of the underlying reference asset (or, in some cases, a comparable “deliverable” asset) in lieu of the repayment of principal. In some cases, however, including but not limited to instances where there has been a market disruption or in which it is or has become illegal, impossible or impracticable for the Fund to purchase, hold or receive the reference assets, the Fund may receive a cash settlement based on the value of the reference asset or a comparable instrument, less fees charged and certain expenses incurred by the CLN issuer.
38
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
CLNs are debt obligations of the CLN issuers, and the Fund would have no ownership or other property interest in the reference assets (other than following a credit event that results in the reference assets being delivered to the Fund) or any direct recourse to the issuers of those reference assets. Thus, the Fund will be exposed to the credit risk of the issuers of the reference assets that underlie its CLNs, as well as to the credit risk of the issuers of the CLNs themselves. CLNs will also be subject to currency risk, liquidity risk, valuation risks, and the other risks of a credit default swap. Various determinations that may need to be made with respect to the CLNs, including the occurrence of a credit event, the selection of deliverable assets (where applicable) and the valuation of the reference asset for purposes of determining any cash settlement amount, normally will be made by the issuer or sponsor of the CLN. The interests of such issuer or sponsor may not be aligned with those of the Fund or other investors in the CLN. Accordingly, CLNs may also be subject to potential conflicts of interest. There may be no established trading market for the Fund’s CLNs, in which event they may constitute illiquid investments.
Fixed-Income Investments
The Funds may hold debt, including government and corporate debt, and other fixed-income securities. Typically, the values of fixed-income securities change inversely with prevailing interest rates. Therefore, a fundamental risk of fixed-income securities is interest rate risk, which is the risk that their value will generally decline as prevailing interest rates rise, which may cause the Funds’ net asset value to likewise decrease, and vice versa. How specific fixed-income securities may react to changes in interest rates will depend on the specific characteristics of each security. For example, while securities with longer maturities tend to produce higher yields, they also tend to be more sensitive to changes in prevailing interest rates and are, therefore, more volatile than shorter-term securities and are subject to greater market fluctuations as a result of changes in interest rates. Fixed-income securities are also subject to credit risk, which is the risk that the credit strength of an issuer of a fixed-income security will weaken and/or that the issuer will be unable to make timely principal and interest payments and that the security may go into default. In addition, there is prepayment risk, which is the risk that during periods of falling interest rates, certain fixed-income securities with higher interest rates, such as mortgage- and asset-backed securities, may be prepaid by their issuers thereby reducing the amount of interest payments. This may result in a Fund having to reinvest its proceeds in lower yielding securities. Securities underlying mortgage- and asset-backed securities, which may include subprime mortgages, also may be subject to a higher degree of credit risk, valuation risk, and liquidity risk.
Foreign Debt Securities
The Funds may invest in foreign fixed and floating rate income securities (including emerging market securities) all or a portion of which may be non-U.S. dollar denominated and which include: (a) debt obligations issued or guaranteed by foreign national, provincial, state, municipal or other governments with taxing authority or by their agencies or instrumentalities, including Brady Bonds; (b) debt obligations of supranational entities; (c) debt obligations of the U.S. Government issued in non-dollar securities; (d) debt obligations and other fixed income securities of foreign corporate issuers (both dollar and non-dollar denominated); and (e) U.S. corporate issuers (both Eurodollar and non-dollar denominated). There is no minimum rating criteria for the Funds’ investments in such securities. Investing in the securities of foreign issuers involves special considerations that are not typically associated with investing in the securities of U.S. issuers. In addition, emerging markets are markets that have risks that are different and higher than those in more developed markets.
Foreign Securities
The Funds may invest in U.S. dollar-denominated and non-U.S. dollar denominated equity and debt securities of foreign issuers and foreign branches of U.S. banks, including negotiable certificates of deposit (“CDs”), bankers’ acceptances, and commercial paper. Foreign issuers are issuers organized and doing business principally outside the United States and include corporations, banks, non-U.S. governments, and quasi-governmental organizations. While investments in foreign securities may be intended to reduce risk by providing further diversification, such investments involve sovereign and other risks, in addition to the credit and market risks
39
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political or social instability, nationalization, expropriation, or confiscatory taxation); the potentially adverse effects of unavailability of public information regarding issuers, different governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States; different laws and customs governing securities tracking; and possibly limited access to the courts to enforce the Funds’ rights as an investor.
Frontier and Emerging Market Investments
The Funds may invest in the securities and derivatives with exposure to various countries with emerging capital markets. These investments involve significantly higher risks not involved in investments in securities in more developed capital markets, such as (i) low or non-existent trading volume, resulting in a lack of liquidity and increased volatility in prices for such securities, as compared to securities from more developed capital markets, (ii) uncertain national policies and social, political and economic instability, increasing the potential for expropriation of assets, confiscatory taxation, high rates of inflation or unfavorable diplomatic developments, (iii) possible fluctuations in exchange rates, differing legal systems and the existence or possible imposition of exchange controls, custodial restrictions or other non-U.S. or U.S. governmental laws or restrictions applicable to such investments, (iv) national policies that may limit the Fund’s investment opportunities such as restrictions on investment in issuers or industries deemed sensitive to national interests, (v) the lack or relatively early development of legal structures governing private and foreign investments and private property, and (vi) less diverse or immature economic structures. In addition to withholding taxes on investment income, some countries with emerging capital markets may impose differential capital gain taxes on foreign investors.
Illiquid and 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 (the “Securities Act”). Illiquid securities have included securities that have not been registered under the Securities Act, securities that are otherwise not readily marketable, and repurchase agreements having a remaining maturity of longer than seven calendar days. Disposal of both illiquid and restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities outstanding during the period ended July 31, 2018 are disclosed in the Fund’s Notes to the Schedules of Investments.
Regulation S under the Securities Act permits the sale abroad of securities that are not registered for sale in the United States and includes a provision for U.S. investors, such as the Funds, to purchase such unregistered securities if certain conditions are met.
Inflation-Indexed Bonds
The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted based on 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 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 Statements of Operations, even though investors do not receive their principal until maturity.
40
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
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, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or the 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, the Funds become a shareholder of that investment company. As a result, the Funds’ shareholders indirectly will bear the Funds’ proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses the Funds’ shareholders directly bear in connection with the Funds’ 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 Funds in their Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
Sovereign and Quasi-Sovereign Government and Supranational Debt
The Funds can invest in debt securities issued or guaranteed by foreign governments and their political subdivisions or agencies which involve special risks. Sovereign debt differs from debt obligations issued by private entities in that, generally, remedies for defaults must be pursued in the courts of the defaulting party. Sovereign debt securities may include: debt securities issued or guaranteed by governments, governmental agencies or instrumentalities and political subdivisions located in emerging market countries; debt securities issued by government owned, controlled or sponsored entities located in emerging market countries; interests in entities organized and operated for the purpose of restructuring the investment characteristics of instruments issued by government owned, controlled or sponsored entities located in emerging market countries; interests in entities organized and operated for the purpose of restructuring the investment characteristics of instruments issued by any of the above issuers; participations in loans between emerging market governments and financial institutions; and Brady Bonds, which are debt securities issued under the framework of the Brady Plan as a means for debtor nations to restructure their outstanding external indebtedness.
Supranational entities may also issue debt securities. Supranational organizations are entities designated or supported by a government or governmental group to promote economic development. Included among these organizations are the Asian Development Bank, the European Investment Bank, the Inter-American Development Bank, the International Monetary Fund, the United Nations, the World Bank and the European Bank for Reconstruction and Development. Supranational organizations have no taxing authority and are dependent on their members for payments of interest and principal to the extent their assets are insufficient. Further, the lending activities of such entities are limited to a percentage of their total capital, reserves and net income.
Variable or Floating Rate Obligations
The interest rates payable on certain fixed-income securities in which the Funds may invest are not fixed and may fluctuate based upon changes in market rates. A variable rate obligation has an interest rate which is adjusted at predesignated periods in response to changes in the market rate of interest on which the interest rate is based. Variable and floating rate obligations are less effective than fixed rate instruments at locking in a particular yield. Nevertheless, such obligations may fluctuate in value in response to interest rate changes if there is a delay between changes in market interest rates and the interest reset date for the obligation, or for other reasons.
5. Financial Derivative Instruments
The Funds may utilize derivative instruments to enhance return, hedge risk, gain efficient exposure to an asset class or to manage liquidity. When considering the Funds’ use of derivatives, it is important to note that the Funds do not use derivatives for the purpose of creating financial leverage.
41
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Forward Foreign Currency Contracts
The Funds may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of the Funds’ securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. The Funds may also use currency contracts to increase exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. The Funds bear 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 Funds also bear the credit risk if the counterparty fails to perform under the contract.
During the period ended July 31, 2018, the Funds entered into forward foreign currency contracts primarily for hedging foreign currency fluctuations.
The Funds’ forward foreign currency contract notional dollar values outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of forward foreign currency contracts. For the purpose of this disclosure, volume is measured by the amounts bought and sold in USD at each quarter end.
Average Forward Foreign Currency Notional Amounts Outstanding | ||||||||
Fund | Purchased Contracts | Sold Contracts | ||||||
Frontier Markets Income | $ | 6,817,372 | $ | 2,440,560 | ||||
GLG Total Return | 146,566,998 | 273,473,058 |
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 Funds are 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 reflects this amount on the Schedules of Investments as a U.S. Treasury Bill held as 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 (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.
During the period ended July 31, 2018, the GLG Total Return Fund entered into futures contracts primarily for exposing cash to markets.
The GLG Total Return Fund invested in an insignificant volume of futures contracts during the period, and no positions were held as of July 31, 2018.
Swap Agreements
The Funds may invest in swap agreements. Swap agreements are negotiated between the Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies, or market-linked returns at
42
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
specified, future intervals. Swap agreements are either privately negotiated in the over-the-counter market (“OTC Swaps”) or cleared in a central clearing house (“Centrally Cleared Swaps”). 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 Statement of Assets and Liabilities. Daily fluctuations in the value of centrally cleared swaps are recorded in variation margin on the Statement of Assets and Liabilities and recorded as unrealized gain or loss. 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 Valuation Committee pursuant to procedures approved by the Board.
For OTC 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). Centrally cleared swaps provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments for OTC and centrally cleared swaps 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 premiums 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
43
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
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 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
44
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
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 referenced 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 agreement outstanding as of July 31, 2018, 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.
During the period ended July 31, 2018, the GLG Total Return Fund entered into credit default swaps primarily for return enhancement, hedging, and exposing cash to markets.
The Fund’s credit default swap contract notional amounts outstanding fluctuate throughout the operating year as required to meet the strategic requirements. The following table illustrates the average quarterly volume of credit default swap contracts. For the purpose of this disclosure, the volume is measure by the notional amounts outstanding at each quarter end.
Average Credit Default Swap Notional Amounts Outstanding | ||||
Fund | Period Ended July 31, 2018 | |||
GLG Total Return | $ | 370,425,000 |
Interest Rate Swap Agreements
The GLG Total Return 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.
During the period ended July 31, 2018, the GLG Total Return Fund entered into interest rate swaps primarily for return enhancement, hedging and exposing cash to markets.
The Fund’s interest rate swap contract notional amounts outstanding fluctuate throughout the operating year as required to meet the strategic requirements. The following table illustrates the average quarterly volume of interest rate swap contracts. For the purpose of this disclosure, the volume is measured by the notional amounts outstanding at each quarter end.
Average Interest Rate Swaps Notional Amounts Outstanding | ||||
Fund | Period Ended July 31, 2018 | |||
GLG Total Return | $ | 718,425,000 |
45
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure(1):
Frontier Markets Income Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation of forward foreign currency contracts | $ | - | $ | 76,388 | $ | - | $ | - | $ | - | $ | 76,388 | |||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation of forward foreign currency contracts | $ | - | $ | (362,268 | ) | $ | - | $ | - | $ | - | $ | (362,268 | ) | |||||||||||||||||||||||||||||||||||||||||
The effect of financial derivative instruments on the Statements of Operations as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | - | $ | 273,733 | $ | - | $ | - | $ | - | $ | 273,733 | |||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | - | $ | (425,297 | ) | $ | - | $ | - | $ | - | $ | (425,297 | ) | |||||||||||||||||||||||||||||||||||||||||
GLG Total Return Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation of forward foreign currency contracts | $ | - | $ | 7,207,498 | $ | - | $ | - | $ | - | $ | 7,207,498 | |||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation from swap agreements | 4,456,227 | - | - | - | - | 4,456,227 | |||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation of forward foreign currency contracts | $ | - | $ | (8,051,371 | ) | $ | - | $ | - | $ | - | $ | (8,051,371 | ) | |||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation from swap agreements | (3,777,427 | ) | - | - | (3,066,173 | ) | - | (6,843,600 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
46
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
The effect of financial derivative instruments on the Statements of Operations as of July 31, 2018: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | - | $ | 4,200,258 | $ | - | $ | - | $ | - | $ | 4,200,258 | |||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 2,451,077 | - | - | (2,499,692 | ) | - | (48,615 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | - | $ | 4,452,718 | $ | - | $ | - | $ | - | $ | 4,452,718 | |||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 7,289,453 | - | - | 2,529,211 | - | 9,818,664 |
Master Agreements
International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) with counterparties govern transactions in OTC derivative and foreign exchange contracts entered into by the Funds and those counterparties. The ISDA Master Agreements contain 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 terminate early could be material to the financial statements. Since different types of forward and OTC financial 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, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain forward settling transactions, such as delayed delivery or sale-buyback financing transactions by and between a 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.
Offsetting Assets and Liabilities
The Funds are parties to enforceable master netting agreements between brokers and counterparties which provide for the right to offset under certain circumstances. The Funds employ multiple money managers and counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, July 31, 2018.
Frontier Markets Income Fund
Offsetting of Financial and Derivative Assets as of July 31, 2018: | ||||||||||||
Assets | Liabilities | |||||||||||
Forward Foreign Currency Contracts | $ | 76,388 | $ | 362,268 | ||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 76,388 | $ | 362,268 | ||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities subject to an MNA | $ | 76,388 | $ | 362,268 | ||||||||
|
|
|
|
47
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Financial Assets, Derivatives, and Collateral Received/(Pledged) by Counterparty as of July 31, 2018: |
| |||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||||||||||
Counterparty | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount | |||||||||||||||||||||||||||||||
ICBC Standard Bank PLC | $ | 56,301 | $ | (56,301 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||||||
Morgan Stanley & Co. Inc. | 4,632 | - | - | - | 4,632 | |||||||||||||||||||||||||||||||
State Street Bank & Trust Co. | 15,455 | - | - | - | 15,455 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 76,388 | $ | (56,301 | ) | $ | - | $ | - | $ | 20,087 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||||||||||
Counterparty | Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount | |||||||||||||||||||||||||||||||
ICBC Standard Bank PLC | $ | 362,268 | $ | (56,301 | ) | $ | - | $ | - | $ | 305,967 |
GLG Total Return Fund
Offsetting of Financial and Derivative Assets as of July 31, 2018: |
| |||||||||||
Assets | Liabilities | |||||||||||
Swap Agreement – Centrally cleared | $ | - | $ | 2,892,018 | ||||||||
Swap Agreement – OTC | 4,456,227 | 3,951,582 | ||||||||||
Forward Foreign Currency Contracts | 7,207,498 | 8,051,371 | ||||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 11,663,725 | $ | 14,894,971 | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | - | $ | (2,892,018 | ) | |||||||
|
|
|
| |||||||||
Total derivative assets and liabilities subject to an MNA | $ | 11,663,725 | $ | 12,002,953 | ||||||||
|
|
|
|
Financial Assets, Derivatives, and Collateral Received/(Pledged) by Counterparty as of July 31, 2018: |
| |||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||||||||||
Counterparty | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount | |||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | 322,837 | $ | (47,900 | ) | $ | - | $ | - | $ | 274,937 | |||||||||||||||||||||||||
Barclays Bank PLC | 1,081,318 | (1,081,318 | ) | - | - | - | ||||||||||||||||||||||||||||||
Barclays Capital, Inc. | 876,349 | (93,787 | ) | - | - | 782,562 | ||||||||||||||||||||||||||||||
Citibank, N.A. | 2,000,012 | (965,418 | ) | - | - | 1,034,594 | ||||||||||||||||||||||||||||||
Deutsche Bank AG | 75,963 | - | - | - | 75,963 | |||||||||||||||||||||||||||||||
HSBC Bank (USA) | 7,293,542 | (7,293,542 | ) | - | - | - | ||||||||||||||||||||||||||||||
UBS AG | 13,704 | (13,704 | ) | - | - | - | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 11,663,725 | $ | (9,495,669 | ) | $ | - | $ | - | $ | 2,168,056 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||||||||||
Counterparty | Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount | |||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | 47,900 | $ | (47,900 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||||||
Barclays Bank PLC | 2,007,341 | (1,081,318 | ) | - | - | 926,023 | ||||||||||||||||||||||||||||||
Barclays Capital, Inc. | 93,787 | (93,787 | ) | - | - | - | ||||||||||||||||||||||||||||||
Citibank, N.A. | 965,418 | (965,418 | ) | - | - | - | ||||||||||||||||||||||||||||||
Credit Suisse International | 81,082 | - | - | - | 81,082 | |||||||||||||||||||||||||||||||
Goldman Sachs International | 225,278 | - | - | - | 225,278 | |||||||||||||||||||||||||||||||
HSBC Bank (USA) | 8,490,639 | (7,293,542 | ) | - | - | 1,197,097 | ||||||||||||||||||||||||||||||
UBS AG | 91,508 | (13,704 | ) | - | - | 77,804 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 12,002,953 | $ | (9,495,669 | ) | $ | - | $ | - | $ | 2,507,284 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
48
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
6. Principal Risks
Investing in the Funds may involve certain risks including, but not limited to, those described below.
Counterparty Risk
The Funds are subject to the risk that a party or participant to a transaction, such as a broker or derivative counterparty, will be unwilling or unable to satisfy its obligation to make timely principal, interest or settlement payments or to otherwise honor its obligations to the Funds. As a result, the Funds may obtain no recovery of its investments or may obtain a limited recovery, and any recovery may be delayed. Not all derivative transactions require a counterparty to post collateral, which may expose the Fund to greater losses in the event of a default by a counterparty.
Credit Risk
The Funds are subject to the risk that the issuer or guarantor of a debt security, or the counterparty to a derivatives contract or a loan, will fail to make timely payment of interest or principal or otherwise honor its obligations or default completely. Credit risk is typically greater for securities with ratings that are below investment grade (commonly referred to as “junk bonds”). Since the Funds can invest significantly in lower-quality debt securities considered speculative in nature, this risk will be substantial. A downgrade or default affecting any of the Fund’s securities could affect the Fund’s performance.
Currency Risk
The Funds may have exposure to foreign currencies by making direct investments in non-U.S. currencies or in securities denominated in non-U.S. currencies or by purchasing or selling forward foreign currency exchange contracts in non-U.S. currencies, including both non-deliverable forwards (“NDFs”) and deliverable forwards, non-U.S. currency futures contracts, options (including non-deliverable options (“NDOs”) on non-U.S. currencies and non-U.S. currency forwards) and swaps for cross-currency transactions. Foreign currencies will fluctuate, and may decline, in value relative to the U.S. dollar and other currencies and thereby affect the Funds’ investments in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, or in derivatives that provide exposure to, foreign (non-U.S.) currencies.
Custody Risk
The Funds may invest in markets that are less developed than those in the U.S., which may expose the Funds to risks in the process of clearing and settling trades and the holding of securities by foreign banks, agents and depositories. Investments in frontier and emerging markets may be subject to greater custody risks than investments in more developed markets.
Derivatives Risk
Derivatives may involve significant risk. The use of derivative instruments may expose the Funds to additional risks that they would not be subject to if they invested directly in the securities or other instruments underlying those derivatives, including the high degree of leverage often embedded in such instruments, and potential material and prolonged deviations between the theoretical value and realizable value of a derivative. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds’ initial investment. Derivatives may be illiquid and may be more volatile than other types of investments. The Funds may buy or sell derivatives not traded on an exchange and which may be subject to heightened liquidity and valuation risk. Derivative investments can increase transaction costs. Derivatives also are subject to counterparty and credit risk. As a result, the Funds may obtain no recovery of their investment or may only obtain a limited recovery, and any recovery may be delayed. Not all derivative transactions require a counterparty to post collateral, which may
49
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
expose the Funds to greater losses in the event of a default by a counterparty. Ongoing changes to the regulation of the derivatives markets and potential changes in the regulation of funds using derivative instruments could limit the Fund’s ability to pursue its investment strategies. The extent and impact of the regulation are not yet fully known and may not be for some time. New regulation may make derivatives more costly, may limit their availability, may disrupt markets, or may otherwise adversely affect their value or performance. In addition to other changes, these rules provide for central clearing of derivatives that in the past were traded exclusively over-the-counter and may increase costs and margin requirements, but are expected to reduce certain counterparty risks.
Emerging Markets Risk
When investing in emerging markets, the risks of investing in foreign securities are heightened. Emerging markets are generally smaller, less developed, less liquid and more volatile than the securities markets of the U.S. and other developed markets. There are also risks of: greater political uncertainties; an economy’s dependence on revenues from particular commodities or on international aid or development assistance; currency transfer restrictions; a limited number of potential buyers for such securities; and delays and disruptions in securities settlement procedures.
Forward Foreign Currency Contracts Risk
Forward foreign currency contracts, including NDFs, are derivative instruments pursuant to a contract where the parties agree to buy or sell a specific currency at a future date at a price set at the time of the contract. There are no limitations on daily price movements of forward contracts. There can be no assurance that any strategy used will succeed. Not all forward contracts, including NDFs, require a counterparty to post collateral, which may expose the Fund to greater losses in the event of a default by a counterparty. Forward currency transactions, including NDFs,and forward currency contracts include the risks associated with fluctuations in currency.
Frontier Markets Risk
Frontier market countries generally have smaller economies and less developed capital markets or legal, regulatory and political systems than traditional emerging market countries. As a result, the risks of investing in emerging market countries are magnified in frontier market countries. The magnification of risks are the result of (1) the potential for extreme price volatility and illiquidity in frontier markets; (2) government ownership or control of parts of the private sector or other protectionist measures; (3) large currency fluctuations; (4) fewer companies and investment opportunities; or (5) inadequate investor protections and regulatory enforcement. In certain frontier and emerging markets, fraud and corruption may be more prevalent than in developed market countries. Investments that the Frontier Markets Income Fund holds may be exposed to these risks, which could have a negative impact on their value. Additional risks of frontier market securities may include: greater political instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers to which the Fund is exposed; increased risk of embargoes or economic sanctions on a country, sector or issuer; greater risk of default (by both government and private issuers); more substantial governmental involvement in the economy; less governmental supervision and regulation;differences in, or lack of, auditing and financial reporting standards, which may result in unavailability of material information about issuers; less developed legal systems; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.
High Portfolio Turnover Risk
Portfolio turnover is a measure of the Funds’ trading activity over a one-year period. A portfolio turnover rate of 100% would indicate that the Funds sold and replaced the entire value of its securities holdings during the
50
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
period. High portfolio turnover could increase the Funds’ transaction costs, have a negative impact on performance, and generate higher capital gain distributions to shareholders than if the Funds have a lower portfolio turnover rate.
Illiquid and Restricted Securities Risk
Section 4(a)(2) securities and Rule 144A securities may not be listed on an exchange and may have no active trading market. They may be more difficult to purchase or sell at an advantageous time or price because such securities may not be readily marketable in broad public markets. The Funds may not be able to sell a Section 4(a)(2) security or a Rule 144A security when the sub-advisors consider it desirable to do so and/or may have to sell the security at a lower price than the Funds believes is its fair market value. Although there is a substantial institutional market for Section 4(a)(2) securities and Rule 144A securities, it is not possible to predict exactly how the market for such securities will develop. A Section 4(a)(2) security or Rule 144A security that was liquid at the time of purchase may subsequently become illiquid. In addition, transaction costs may be higher for restricted securities and the Fund may receive only limited information regarding the issuer of a restricted security. The Funds may have to bear the expense of registering Section 4(a)(2) securities and Rule 144Asecurities for resale and the risk of substantial delays in effecting the registration. If, during such a delay, adverse market conditions were to develop, the Funds might obtain a less favorable price than prevailed at the time it decided to seek registration of the security.
Interest Rate Risk
The Funds are subject to the risk that the market value of fixed-income securities or derivatives it holds, particularly mortgage-backed and other asset-backed securities, will decline due to rising interest rates. Generally, the value of investments with interest rate risk, such as fixed-income securities, will move in the opposite direction to movements in interest rates. The Federal Reserve has raised the federal funds rate several times since December 2015 and has signaled additional increases in the near future. Interest rates may rise, perhaps significantly and/or rapidly, potentially resulting in substantial losses to the Funds. The prices of fixed-income securities or derivatives are also affected by their duration. Fixed-income securities or derivatives with longer duration generally have greater sensitivity to changes in interest rates. Significant upward pressure on domestic interest rates and a corresponding widening of credit spreads could negatively impact the markets price of emerging debt instruments. An increase in interest rates can impact markets broadly as well. Some investors buy securities with borrowed money; an increase in interest rates can cause a decline in those markets.
Leverage Risk
The GLG Total Return Fund’s use of futures, forward foreign currency contracts, swaps, other derivative instruments and selling securities short will have the economic effect of financial leverage. Financial leverage magnifies the exposure to the swings in prices of an asset or class of assets underlying a derivative instrument and results in increased volatility, which means that the Fund will have the potential for greater losses than if the Fund not use the derivative instruments that have a leveraging effect. Leverage may result in losses that exceed the amount originally invested and may accelerate the rate of losses. Leverage tends to magnify, sometimes significantly, the effect of an increase or decrease in the Funds’ exposure to an asset or class of assets and may cause the Funds’ NAV to be volatile.
Liquidity Risk
The Funds are susceptible to the risk that certain fixed-income investments, may have limited marketability or be subject to restrictions on sale, and may be difficult or impossible to purchase or sell at favorable times or prices. The Funds could lose money if they are unable to dispose of an investment at a time that is most beneficial to the Funds. The Funds may be required to dispose of investments at unfavorable times or prices to satisfy obligations, which may result in losses or may be costly to the Funds. For example, the Funds may be forced to sell
51
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
certain investments at unfavorable prices to meet redemption requests or other cash needs. Judgment plays a greater role in pricing illiquid investments than in investments with more active markets.
Market Risk
Since the financial crisis that started in 2008, the U.S. and many foreign economies continue to experience its after-effects. Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these securities to rise and the yields to decline. Reduced liquidity in fixed-income and credit markets may negatively affect many issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, and the possibility of changes to some international trade agreements, could affect the economies of many nations in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants. In addition, political and diplomatic events within the U.S. and abroad, such as the U.S. government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has recently reduced federal corporate income tax rates, and future legislative, regulatory, and policy changes may result in more restrictions on international trade, less stringent prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the market’s expectations for changes in government policies are not borne out.
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the U.S. and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Regulators have expressed concern that rate increases may cause investors to sell fixed income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse. The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the “EU”), commonly referred to as “Brexit,” are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may
52
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of the Funds’ investments in the United Kingdom and Europe.
Market Timing Risk
Because the Funds invest in foreign securities, it is particularly subject to the risk of market timing activities. Frequent trading by Fund shareholders poses risks to other shareholders in the Funds, including (i) the dilution of the Fund’s NAV, (ii) an increase in the Funds’ expenses, and (iii) interference with the portfolio manager’s ability to execute efficient investment strategies. Because of specific securities in which the Funds may invest, it could be subject to the risk of market timing activities by shareholders. Some examples of these types of securities are high-yield and foreign securities. The limited trading activity of some high-yield securities may result in market prices that do not reflect the true market value of these securities. The Funds generally prices foreign securities using their closing prices from the foreign markets in which they trade, typically prior to the Funds’ calculation of its NAV. These prices may be affected by events that occur after the close of a foreign market but before the Funds price its shares. In such instances, the Funds may fair value high yield and foreign securities. However, some investors may engage in frequent short-term trading in the Funds to take advantage of any price differentials that may be reflected in the NAV of the Funds’ shares. While the Manager monitors trading in the Funds, there is no guarantee that it can detect all market timing activities.
Non-Diversification Risk
The GLG Total Return Fund is non-diversified, which means it may focus its investments in the securities of a comparatively small number of issuers. Investments in securities of a limited number of issuers exposes the Fund to greater market risk and potential losses than if assets were diversified among the securities of a greater number of issuers.
Other Investment Companies Risk
The Funds may invest in shares of other registered investment companies, including ETFs and money market funds that are advised by the Manager. To the extent that the Funds invest in shares of other registered investment companies, the Funds will indirectly bear the fees and expenses charged by those investment companies in addition to the Funds’ direct fees and expenses and will be subject to the risks associated with investments in those companies. For example, ETF shares may trade at a premium or discount to their net asset value. An ETF that tracks an index may not precisely replicate the returns of its benchmark index.
Redemption Risk
The Funds may experience periods of heavy redemptions that could cause the Funds to sell assets at inopportune times or at a loss or depressed value. Redemption risk is greater to the extent that one or more investors or intermediaries control a large percentage of investments in the Funds, have short investment horizons, or have unpredictable cash flow needs. A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from mutual funds that hold large amounts of fixed-income securities. This, coupled with a reduction in the ability or willingness of dealers and other institutional investors to buy or hold fixed-income securities, may result in decreased liquidity and increased volatility in the fixed income markets, and heightened redemption risk. Heavy redemptions, whether by a few large investors or many smaller investors, could hurt the Funds’ performance. This risk is heightened if the Funds invest in emerging market securities, which are generally less liquid than the securities of U.S. and other developed markets. The sale of assets to meet redemption requests may create net capital gains or losses, which could cause the Funds to have to distribute substantial capital gains.
53
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Sovereign and Quasi-Sovereign Debt Risk
The Funds normally will have significant investments in sovereign and quasi-sovereign debt securities. These investments are subject to risk of payment delays or defaults due to (1) country cash flow problems, (2) insufficient foreign currency reserves, (3) political considerations, (4) large debt positions relative to the country’s economy, (5) policies toward foreign lenders or investors, (6) the failure to implement economic reforms required by the International Monetary Fund or other multilateral agencies, or (7) an inability or unwillingness to repay debts. It may be particularly difficult to enforce the rights of debt holders in frontier and emerging markets. A governmental entity that defaults on an obligation may request additional time in which to pay or further loans or may seek to restructure its obligations to reduce interest rates or outstanding principal. There is no legal process for collecting sovereign and quasi-sovereign debt that a government does not pay nor are there bankruptcy proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected. Sovereign and quasi-sovereign debt risk is increased for emerging and frontier markets issuers, which are among the largest debtors to commercial banks and foreign governments. At times, certain emerging market countries have declared moratoria on the payment of principal and interest on external debt. Certain emerging market countries have experienced difficulty in servicing their sovereign debt on a timely basis, which has led to defaults and the restructuring of certain indebtedness.
Swap Agreements Risk.
The GLG Total Return Fund may invest in swap agreements. Swaps can involve greater risks than a direct investment in an underlying asset, because swaps typically include a certain amount of embedded leverage and as such are subject to leveraging risk. If swaps are used as a hedging strategy, a Fund is subject to the risk that the hedging strategy may not eliminate the risk that it is intended to offset, due to, among other reasons, a lack of correlation between the swaps and the portfolio of assets that the swaps are designed to hedge or replace. Swaps also may be difficult to value. Total return swaps, interest rate swaps, currency swaps and credit default swaps are subject to counterparty risk, credit risk and liquidity risk. In addition to these risks, total return swaps are subject to market risk and interest rate risk, if the underlying securities are bonds or other debt obligations, interest rate swaps are subject to interest rate risk, and currency swaps are subject to currency risk. With respect to a credit default swap, if the Fund is selling credit protection, there is a risk that a credit event will occur and that the Fund will have to pay the counterparty. There is also the risk that the transaction may be closed-out at a time when the credit quality of the underlying investment has deteriorated, in which case the Fund may need to make an early termination payment. If the Fund is buying credit protection, there is the risk that no credit event will occur and the Fund will receive no benefit (other than any hedging benefit) for the premium paid. There is also the risk that the transaction may be closed-out at a time when the credit quality of the underlying investment has improved, in which case a Fund may need to make a nearly termination payment. Equity swaps are subject to equity investments risk, liquidity risk, and counterparty risk
Variable and Floating Rate Securities Risk
The coupons on variable and floating-rate securities are not fixed and may fluctuate based upon changes in market rates. The coupon on a floating rate security is generally based on an interest rate such as a money-market index or a London Interbank Offered Price (“LIBOR”) Treasury bill rate. Variable and floating rate securities are subject to interest rate risk and credit risk.
As short-term interest rates decline, coupons on floating-rate securities typically decrease. Alternatively, during periods of rising interest rates, coupons on floating-rate securities typically increase. Changes in the coupons of floating-rate securities may lag behind changes in market rates or may have limits on the maximum coupon rate change for a given period of time. The value of floating-rate securities may decline if their coupon do not rise as much, or as quickly, as interest rates in general. Floating rate securities will not generally increase in value if interest rates decline.
54
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
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 distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecorded tax liabilities in the accompanying financial statements. For the Frontier Markets Income Fund, each of the tax years in the 4 year period ended January 31, 2018 and for the GLG Total Return Fund, each of the tax years in the 2 year period ended January 31, 2018 remain subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
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 (depreciation), as applicable, as the income is earned or capital gains are recorded.
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 also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction.
As of July 31, 2018 the tax cost for each Fund and their respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Frontier Markets Income | $ | 272,836,847 | $ | 3,634,835 | $ | (15,016,774 | ) | $ | (11,381,939 | ) | ||||||||||||||||||
GLG Total Return | 719,690,063 | 18,906,149 | (19,335,843 | ) | (429,694 | ) |
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
For the year January 31, 2018 the Funds had the following post RIC MOD capital loss carryforwards:
Fund | Short-Term Capital Loss Carryforwards | Long-Term Capital Loss Carryforwards | ||||||||||
Frontier Markets Income | $ | 3,882,282 | $ | 11,581,707 | ||||||||
GLG Total Return | - | - |
The Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year capital losses are any capital losses incurred after October 31 through the Funds’ fiscal year ending January 31, 2018. Qualified late year ordinary losses are specified losses generally incurred after October 31 and ordinary losses incurred after December 31 through the end of the Fund’s fiscal year, January 31, 2018. For the period ended January 31, 2018, GLG deferred $2,013 in short-term capital losses, $465 in long-term capital losses, and $9,612,993 in late year ordinary losses to February 1, 2018.
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American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended July 31, 2018 were as follows:
Fund | Purchases (non-U.S. Government Securities) | Purchases of U.S. Government Securities | Sales (non-U.S. Government Securities) | Sales of U.S. Government Securities | ||||||||||||||||||||||||
Frontier Markets Income | $ | 73,555,735 | $ | - | $ | 5,958,916 | $ | - | ||||||||||||||||||||
GLG Total Return | 1,171,569,821 | 369,430,648 | 1,180,334,620 | 372,098,294 |
A summary of the Funds’ transactions in the USG Select Fund for the period ended July 31, 2018 were as follows:
Fund | Type of Transaction | January 31, 2018 Shares/Fair Value | Purchases | Sales | July 31, 2018 Shares/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||
Frontier Markets Income | Direct | $ | 27,848,722 | $ | 72,087,277 | $ | 68,177,778 | $ | 31,758,221 | $ | 236,139 | |||||||||||||||||||||||||||||||
GLG Total Return | Direct | 13,961,256 | 196,268,419 | 204,001,206 | 6,228,469 | 104,599 |
9. Borrowing Arrangements
Effective November 16, 2017, the Funds, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $50 million with interest at a rate equal to the higher of (a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 15, 2018, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
Effective November 16, 2017, the Funds, along with certain other Participating Funds managed by the Manager, entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”) agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of (a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate. The Uncommitted Line expires November 15, 2018 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
The Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statements of Operations, along with commitment fees, that have been allocated among the Participating Funds based on average daily net assets. During the period ended July 31, 2018, the Funds did not utilize this facility.
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American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
10. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Frontier Markets Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 2,184,998 | $ | 20,494,506 | 6,139,305 | $ | 57,844,697 | ||||||||||||||||||||||
Reinvestment of dividends | 160,188 | 1,493,878 | 194,497 | 1,822,176 | ||||||||||||||||||||||||
Shares redeemed | (1,476,791 | ) | (13,637,785 | ) | (759,494 | ) | (7,164,036 | ) | ||||||||||||||||||||
Redemption fees | - | 17,565 | - | (626 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 868,395 | $ | 8,368,164 | 5,574,308 | $ | 52,502,211 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Frontier Markets Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 7,907,586 | $ | 74,538,168 | 5,977,636 | $ | 56,371,234 | ||||||||||||||||||||||
Reinvestment of dividends | 499,417 | 4,648,648 | 371,040 | 3,480,135 | ||||||||||||||||||||||||
Shares redeemed | (1,363,708 | ) | (12,639,825 | ) | (787,633 | ) | (7,423,091 | ) | ||||||||||||||||||||
Redemption fees | - | 31,772 | - | 6,934 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 7,043,295 | $ | 66,578,763 | 5,561,043 | $ | 52,435,212 | ||||||||||||||||||||||
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|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Frontier Markets Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 1,438,294 | $ | 13,398,868 | 2,670,141 | $ | 24,877,596 | ||||||||||||||||||||||
Reinvestment of dividends | 180,631 | 1,682,409 | 242,444 | 2,266,383 | ||||||||||||||||||||||||
Shares redeemed | (969,533 | ) | (8,945,058 | ) | (836,260 | ) | (7,768,266 | ) | ||||||||||||||||||||
Redemption fees | - | 1,842 | - | 3,588 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 649,392 | $ | 6,138,061 | 2,076,325 | $ | 19,379,301 | ||||||||||||||||||||||
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| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Frontier Markets Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 174,198 | $ | 1,627,976 | 246,600 | $ | 2,317,510 | ||||||||||||||||||||||
Reinvestment of dividends | 14,554 | 135,689 | 30,605 | 284,937 | ||||||||||||||||||||||||
Shares redeemed | (143,046 | ) | (1,328,246 | ) | (408,936 | ) | (3,828,759 | ) | ||||||||||||||||||||
Redemption fees | - | 1,001 | - | 616 | ||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | 45,706 | $ | 436,420 | (131,731 | ) | $ | (1,225,696 | ) | ||||||||||||||||||||
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| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Frontier Markets Income Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 361,240 | $ | 3,377,098 | 736,515 | $ | 6,959,248 | ||||||||||||||||||||||
Reinvestment of dividends | 35,590 | 330,285 | 22,677 | 212,223 | ||||||||||||||||||||||||
Shares redeemed | (110,338 | ) | (1,017,288 | ) | (75,480 | ) | (705,978 | ) | ||||||||||||||||||||
Redemption fees | - | 1,799 | - | 602 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 286,492 | $ | 2,691,894 | 683,712 | $ | 6,466,095 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
57
American Beacon FundsSM
Notes to Financial Statements
July 31, 2018 (Unaudited)
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
GLG Total Return Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 100,000 | $ | 1,090,000 | - | $ | - | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 3,291 | 35,124 | ||||||||||||||||||||||||
Shares redeemed | - | - | (679,807 | ) | (7,300,030 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | 100,000 | $ | 1,090,000 | (676,516 | ) | $ | (7,264,906 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
GLG Total Return Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | - | $ | - | 99,879 | $ | 1,076,470 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 794 | 8,458 | ||||||||||||||||||||||||
Shares redeemed | (54,171 | ) | (569,719 | ) | (11,543 | ) | (124,763 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (54,171 | ) | $ | (569,719 | ) | 89,130 | $ | 960,165 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
GLG Total Return Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 375 | $ | 4,000 | 2,242 | $ | 24,098 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 152 | 1,614 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 375 | $ | 4,000 | 2,394 | $ | 25,712 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
GLG Total Return Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Reinvestment of dividends | - | $ | - | 114 | $ | 1,210 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | - | $ | - | 114 | $ | 1,210 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
GLG Total Return Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Reinvestment of dividends | - | $ | - | 62 | $ | 644 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | - | $ | - | 62 | $ | 644 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Ultra Class | ||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
GLG Total Return Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 11,594,510 | $ | 123,513,782 | 73,646,676 | $ | 792,613,671 | ||||||||||||||||||||||
Reinvestment of dividends | 2 | 18 | 12,855 | 137,054 | ||||||||||||||||||||||||
Shares redeemed | (14,776,338 | ) | (157,182,786 | ) | (9,080,295 | ) | (97,390,518 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (3,181,826 | ) | $ | (33,668,986 | ) | 64,579,236 | $ | 695,360,207 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
11. Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Funds’ financial statements through this date.
58
American Beacon Frontier Markets Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | February 25, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.62 | $ | 8.96 | $ | 8.35 | $ | 9.68 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.46 | 0.77 | 0.88 | 0.67 | 0.59 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.61 | ) | 0.61 | 0.44 | (1.30 | ) | (0.30 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.15 | ) | 1.38 | 1.32 | (0.63 | ) | 0.29 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.37 | ) | (0.72 | ) | (0.08 | ) | (0.50 | ) | (0.59 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | (0.02 | ) | ||||||||||||||||||||||||||||||
Tax return of capital | - | - | (0.63 | )B | (0.20 | )B | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.37 | ) | (0.72 | ) | (0.71 | ) | (0.70 | ) | (0.61 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Redemption fees added to beneficial interestsC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.10 | $ | 9.62 | $ | 8.96 | $ | 8.35 | $ | 9.68 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | (1.61 | )%E | 15.92 | % | 16.20 | % | (6.98 | )% | 2.76 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 71,913,949 | $ | 67,653,731 | $ | 13,047,515 | $ | 10,531,288 | $ | 9,225,629 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.06 | %F | 1.17 | % | 1.40 | % | 1.14 | % | 1.95 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursements or recoupments | 1.12 | %F | 1.15 | % | 1.27 | %G | 1.15 | % | 1.15 | %F | ||||||||||||||||||||||||||
Net investment income, before expense reimbursements or recoupments | 10.12 | %F | 9.04 | % | 9.98 | % | 7.14 | % | 5.43 | %F | ||||||||||||||||||||||||||
Net investment income, net of reimbursements or recoupments | 10.06 | %F | 9.06 | % | 10.11 | % | 7.13 | % | 6.22 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %E | 22 | % | 69 | % | 68 | % | 23 | %H |
A | Commencement of operations. |
B | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Amount represents less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Voluntary expense cap. See Note 2 of the Notes to the Financial Statements. |
H | Portfolio turnover rate is for the period from February 25, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
59
American Beacon Frontier Markets Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | February 25, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.63 | $ | 8.97 | $ | 8.34 | $ | 9.69 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.41 | 0.79 | 0.90 | 0.61 | 0.58 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.56 | ) | 0.58 | 0.44 | (1.28 | ) | (0.28 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.15 | ) | 1.37 | 1.34 | (0.67 | ) | 0.30 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.37 | ) | (0.71 | ) | (0.08 | ) | (0.50 | ) | (0.59 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | (0.02 | ) | ||||||||||||||||||||||||||||||
Tax return of capital | - | - | (0.63 | )B | (0.18 | )B | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.37 | ) | (0.71 | ) | (0.71 | ) | (0.68 | ) | (0.61 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Redemption fees added to beneficial interestsC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.11 | $ | 9.63 | $ | 8.97 | $ | 8.34 | $ | 9.69 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | (1.62 | )%E | 15.83 | % | 16.37 | % | (7.40 | )% | 2.87 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 138,884,267 | $ | 79,007,953 | $ | 23,715,300 | $ | 29,434,613 | $ | 138,082,358 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.13 | %F | 1.25 | % | 1.48 | % | 1.18 | % | 1.50 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursements or recoupments | 1.17 | %F | 1.25 | % | 1.37 | %G | 1.25 | % | 1.25 | %F | ||||||||||||||||||||||||||
Net investment income, before expense reimbursements or recoupments | 9.98 | %F | 8.94 | % | 10.49 | % | 7.35 | % | 6.33 | %F | ||||||||||||||||||||||||||
Net investment income, net of reimbursements or recoupments | 9.94 | %F | 8.94 | % | 10.61 | % | 7.28 | % | 6.59 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %E | 22 | % | 69 | % | 68 | % | 23 | %H |
A | Commencement of operations. |
B | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Amount represents less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Voluntary expense cap. See Note 2 of the Notes to the Financial Statements. |
H | Portfolio turnover rate is for the period from February 25, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
60
American Beacon Frontier Markets Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | February 25, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.61 | $ | 8.95 | $ | 8.35 | $ | 9.68 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.44 | 0.78 | 0.85 | 0.63 | 0.55 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.60 | ) | 0.57 | 0.43 | (1.30 | ) | (0.29 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.16 | ) | 1.35 | 1.28 | (0.67 | ) | 0.26 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.36 | ) | (0.69 | ) | (0.07 | ) | (0.47 | ) | (0.56 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | (0.02 | ) | ||||||||||||||||||||||||||||||
Tax return of capital | - | - | (0.61 | )B | (0.19 | )B | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.36 | ) | (0.69 | ) | (0.68 | ) | (0.66 | ) | (0.58 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Redemption fees added to beneficial interestsC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.09 | $ | 9.61 | $ | 8.95 | $ | 8.35 | $ | 9.68 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | (1.70 | )%E | 15.59 | % | 15.69 | % | (7.33 | )% | 2.47 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 45,217,907 | $ | 41,560,845 | $ | 20,120,332 | $ | 15,934,048 | $ | 13,987,805 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.30 | %F | 1.41 | % | 1.72 | % | 1.44 | % | 1.78 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursements or recoupments | 1.30 | %F | 1.51 | % | 1.63 | %G | 1.53 | % | 1.53 | %F | ||||||||||||||||||||||||||
Net investment income, before expense reimbursements or recoupments | 9.83 | %F | 8.73 | % | 9.62 | % | 6.84 | % | 5.86 | %F | ||||||||||||||||||||||||||
Net investment income, net of reimbursements or recoupments | 9.83 | %F | 8.64 | % | 9.71 | % | 6.76 | % | 6.12 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %E | 22 | % | 69 | % | 68 | % | 23 | %H |
A | Commencement of operations. |
B | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Amount represents less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Voluntary expense cap. See Note 2 of the Notes to the Financial Statements. |
H | Portfolio turnover rate is for the period from February 25, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
61
American Beacon Frontier Markets Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | February 25, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.62 | $ | 8.96 | $ | 8.35 | $ | 9.68 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.44 | 0.81 | 0.90 | 0.62 | 0.54 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.62 | ) | 0.53 | 0.39 | (1.29 | ) | (0.29 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.18 | ) | 1.34 | 1.29 | (0.67 | ) | 0.25 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.35 | ) | (0.68 | ) | (0.07 | ) | (0.47 | ) | (0.55 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | (0.02 | ) | ||||||||||||||||||||||||||||||
Tax return of capital | - | - | (0.61 | )B | (0.19 | )B | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.35 | ) | (0.68 | ) | (0.68 | ) | (0.66 | ) | (0.57 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Redemption fees added to beneficial interestsC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.09 | $ | 9.62 | $ | 8.96 | $ | 8.35 | $ | 9.68 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | (1.91 | )%E | 15.51 | % | 15.77 | % | (7.36 | )% | 2.42 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 3,938,678 | $ | 3,726,687 | $ | 4,648,954 | $ | 7,513,980 | $ | 15,782,502 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.35 | %F | 1.48 | % | 1.78 | % | 1.52 | % | 1.88 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursements or recoupments | 1.55 | %F | 1.55 | % | 1.67 | %G | 1.55 | % | 1.55 | %F | ||||||||||||||||||||||||||
Net investment income, before expense reimbursements or recoupments | 10.29 | %F | 8.65 | % | 9.85 | % | 6.89 | % | 5.82 | %F | ||||||||||||||||||||||||||
Net investment income, net of reimbursements or recoupments | 10.09 | %F | 8.58 | % | 9.96 | % | 6.86 | % | 6.15 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %E | 22 | % | 69 | % | 68 | % | 23 | %H |
A | Commencement of operations. |
B | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Amount represents less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Voluntary expense cap. See Note 2 of the Notes to the Financial Statements. |
H | Portfolio turnover rate is for the period from February 25, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
62
American Beacon Frontier Markets Income FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, | February 25, 2014A to January 31, 2015 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.58 | $ | 8.93 | $ | 8.34 | $ | 9.67 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.40 | 0.65 | 0.83 | 0.56 | 0.47 | |||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.60 | ) | 0.62 | 0.39 | (1.30 | ) | (0.30 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.20 | ) | 1.27 | 1.22 | (0.74 | ) | 0.17 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.32 | ) | (0.62 | ) | (0.07 | ) | (0.42 | ) | (0.48 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | - | - | - | - | (0.02 | ) | ||||||||||||||||||||||||||||||
Tax return of capital | - | - | (0.56 | )B | (0.17 | )B | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | (0.32 | ) | (0.62 | ) | (0.63 | ) | (0.59 | ) | (0.50 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Redemption fees added to beneficial interestsC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.06 | $ | 9.58 | $ | 8.93 | $ | 8.34 | $ | 9.67 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | (2.13 | )%E | 14.66 | % | 14.90 | % | (8.06 | )% | 1.60 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 10,540,360 | $ | 8,398,773 | $ | 1,724,982 | $ | 2,049,234 | $ | 1,244,636 | ||||||||||||||||||||||||||
Ratios to average net assets: | �� | |||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 2.13 | %F | 2.29 | % | 2.55 | % | 2.31 | % | 3.01 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursements or recoupments | 2.22 | %F | 2.30 | % | 2.30 | % | 2.30 | % | 2.31 | %F | ||||||||||||||||||||||||||
Net investment income, before expense reimbursements or recoupments | 9.08 | %F | 7.81 | % | 8.90 | % | 5.89 | % | 4.62 | %F | ||||||||||||||||||||||||||
Net investment income, net of reimbursements or recoupments | 8.99 | %F | 7.81 | % | 9.14 | % | 5.90 | % | 5.33 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %E | 22 | % | 69 | % | 68 | % | 23 | %G |
A | Commencement of operations. |
B | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Amount represents less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from February 25, 2014 through January 31, 2015 and is not annualized. |
See accompanying notes
63
American Beacon GLG Total Return FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | May 20, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.50 | $ | 10.69 | $ | 10.00 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 1.31 | 0.06 | B | 0.07 | ||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | (0.97 | ) | (0.12 | ) | 0.73 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | 0.34 | (0.06 | ) | 0.80 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | (0.11 | ) | (0.10 | ) | |||||||||||||||
Distributions from net realized gains | - | (0.02 | ) | (0.01 | ) | |||||||||||||||
Tax return of capital | - | (0.00 | )CD | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total distributions | - | (0.13 | ) | (0.11 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net asset value, end of period | $ | 10.84 | $ | 10.50 | $ | 10.69 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total returnE | 3.24 | %F | (0.64 | )% | 7.95 | %F | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period | $ | 1,415,635 | $ | 321,683 | $ | 7,560,278 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 1.01 | %G | 1.03 | % | 2.09 | %G | ||||||||||||||
Expenses, net of reimbursements | 1.05 | %G | 1.05 | % | 1.05 | %G | ||||||||||||||
Net investment income, before expense reimbursements | 0.97 | %G | 0.49 | % | 0.01 | %G | ||||||||||||||
Net investment income, net of reimbursements | 0.93 | %G | 0.46 | % | 1.05 | %G | ||||||||||||||
Portfolio turnover rate | 215 | %F | 248 | % | 311 | %H |
A | Commencement of operations. |
B | Per share amounts have been calculated using the average shares method. |
C | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
D | Amount represents less than $0.01 per share. |
E | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
F | Not annualized. |
G | Annualized. |
H | Portfolio turnover rate is for the period from May 20, 2016 through January 31, 2017 and is not annualized. |
See accompanying notes
64
American Beacon GLG Total Return FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | May 20, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.47 | $ | 10.68 | $ | 10.00 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.03 | B | 0.09 | 0.07 | ||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.29 | (0.17 | ) | 0.72 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | 0.32 | (0.08 | ) | 0.79 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | (0.10 | ) | (0.10 | ) | |||||||||||||||
Distributions from net realized gains | - | (0.02 | ) | (0.01 | ) | |||||||||||||||
Tax return of capital | - | (0.01 | )C | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total distributions | - | (0.13 | ) | (0.11 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net asset value, end of period | $ | 10.79 | $ | 10.47 | $ | 10.68 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total returnD | 3.06 | %E | (0.78 | )% | 7.85 | %E | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period | $ | 486,298 | $ | 1,038,736 | $ | 107,884 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 1.08 | %F | 1.18 | % | 5.31 | %F | ||||||||||||||
Expenses, net of reimbursements | 1.15 | %F | 1.15 | % | 1.15 | %F | ||||||||||||||
Net investment income (loss), before expense reimbursements | 0.62 | %F | 0.18 | % | (3.21 | )%F | ||||||||||||||
Net investment income, net of reimbursements | 0.55 | %F | 0.21 | % | 0.95 | %F | ||||||||||||||
Portfolio turnover rate | 215 | %E | 248 | % | 311 | %G |
A | Commencement of operations. |
B | Per share amounts have been calculated using the average shares method. |
C | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from May 20, 2016 through January 31, 2017 and is not annualized. |
See accompanying notes
65
American Beacon GLG Total Return FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | May 20, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.43 | $ | 10.66 | $ | 10.00 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.02 | 0.02 | 0.05 | |||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.29 | (0.13 | ) | 0.72 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | 0.31 | (0.11 | ) | 0.77 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | (0.09 | ) | (0.10 | ) | |||||||||||||||
Distributions from net realized gains | - | (0.02 | ) | (0.01 | ) | |||||||||||||||
Tax return of capital | - | (0.01 | )B | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total distributions | - | (0.12 | ) | (0.11 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net asset value, end of period | $ | 10.74 | $ | 10.43 | $ | 10.66 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total returnC | 2.97 | %D | (1.05 | )% | 7.65 | %D | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period | $ | 159,462 | $ | 150,889 | $ | 128,790 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 1.80 | %E | 2.09 | % | 5.14 | %E | ||||||||||||||
Expenses, net of reimbursements | 1.43 | %E | 1.43 | % | 1.43 | %E | ||||||||||||||
Net investment (loss), before expense reimbursements | (0.01 | )%E | (0.62 | )% | (3.04 | )%E | ||||||||||||||
Net investment income, net of reimbursements | 0.36 | %E | 0.03 | % | �� | 0.67 | %E | |||||||||||||
Portfolio turnover rate | 215 | %D | 248 | % | 311 | %F |
A | Commencement of operations. |
B | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from May 20, 2016 through January 31, 2017 and is not annualized. |
See accompanying notes
66
American Beacon GLG Total Return FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | May 20, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.42 | $ | 10.66 | $ | 10.00 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.02 | 0.00 | B | 0.05 | ||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.30 | (0.12 | ) | 0.72 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | 0.32 | (0.12 | ) | 0.77 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | (0.10 | ) | (0.10 | ) | |||||||||||||||
Distributions from net realized gains | - | (0.02 | ) | (0.01 | ) | |||||||||||||||
Tax return of capital | - | (0.00 | )BC | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total distributions | - | (0.12 | ) | (0.11 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net asset value, end of period | $ | 10.74 | $ | 10.42 | $ | 10.66 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total returnD | 3.07 | %E | (1.15 | )% | 7.65 | %E | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period | $ | 109,632 | $ | 106,439 | $ | 107,660 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 1.31 | %F | 1.42 | % | 5.62 | %F | ||||||||||||||
Expenses, net of reimbursements | 1.45 | %F | 1.45 | % | 1.45 | %F | ||||||||||||||
Net investment income (loss), before expense reimbursements | 0.49 | %F | 0.05 | % | (3.51 | )%F | ||||||||||||||
Net investment income, net of reimbursements | 0.34 | %F | 0.02 | % | 0.65 | %F | ||||||||||||||
Portfolio turnover rate | 215 | %E | 248 | % | 311 | %G |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from May 20, 2016 through January 31, 2017 and is not annualized. |
See accompanying notes
67
American Beacon GLG Total Return FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | May 20, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.34 | $ | 10.61 | $ | 10.00 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment (loss) | (0.02 | ) | (0.08 | ) | (0.01 | ) | ||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.29 | (0.12 | ) | 0.73 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income (loss) from investment operations | 0.27 | (0.20 | ) | 0.72 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | (0.04 | ) | (0.10 | ) | |||||||||||||||
Distributions from net realized gains | - | (0.02 | ) | (0.01 | ) | |||||||||||||||
Tax return of capital | - | (0.01 | )B | - | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total distributions | - | (0.07 | ) | (0.11 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net asset value, end of period | $ | 10.61 | $ | 10.34 | $ | 10.61 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total returnC | 2.61 | %D | (1.95 | )% | 7.15 | %D | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period | $ | 107,847 | $ | 105,096 | $ | 107,101 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 2.06 | %E | 2.17 | % | 6.37 | %E | ||||||||||||||
Expenses, net of reimbursements | 2.20 | %E | 2.20 | % | 2.20 | %E | ||||||||||||||
Net investment (loss), before expense reimbursements | (0.26 | )%E | (0.70 | )% | (4.27 | )%E | ||||||||||||||
Net investment (loss), net of reimbursements | (0.41 | )%E | (0.73 | )% | (0.10 | )%E | ||||||||||||||
Portfolio turnover rate | 215 | %D | 248 | % | 311 | %F |
A | Commencement of operations. |
B | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from May 20, 2016 through January 31, 2017 and is not annualized. |
See accompanying notes
68
American Beacon GLG Total Return FundSM
Financial Highlights
(For a share outstanding throughout the period)
Ultra | ||||||||||||||||||||
Six Months Ended July 31, 2018 | Year Ended January 31, 2018 | May 20, 2016A to January 31, 2017 | ||||||||||||||||||
|
| |||||||||||||||||||
(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.50 | $ | 10.69 | $ | 10.00 | ||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.04 | 0.11 | 0.07 | |||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.30 | (0.17 | ) | 0.73 | ||||||||||||||||
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Total income (loss) from investment operations | 0.34 | (0.06 | ) | 0.80 | ||||||||||||||||
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Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.00 | )G | (0.10 | ) | (0.10 | ) | ||||||||||||||
Distributions from net realized gains | - | (0.02 | ) | (0.01 | ) | |||||||||||||||
Tax return of capital | - | (0.01 | )B | - | ||||||||||||||||
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Total distributions | - | (0.13 | ) | (0.11 | ) | |||||||||||||||
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Net asset value, end of period | $ | 10.84 | $ | 10.50 | $ | 10.69 | ||||||||||||||
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Total returnC | 3.24 | %D | (0.57 | )% | 7.95 | %D | ||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period | $ | 733,617,424 | $ | 743,861,439 | $ | 67,330,248 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 1.05 | %E | 1.07 | % | 2.09 | %E | ||||||||||||||
Expenses, net of reimbursements | 0.95 | %E | 0.95 | % | 0.95 | %E | ||||||||||||||
Net investment income, before expense reimbursements | 0.73 | %E | 0.34 | % | 0.76 | %E | ||||||||||||||
Net investment income, net of reimbursements | 0.83 | %E | 0.46 | % | 1.91 | %E | ||||||||||||||
Portfolio turnover rate | 215 | %D | 248 | % | 311 | %F |
A | Commencement of operations. |
B | Tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from May 20, 2016 through January 31, 2017 and is not annualized. |
G | Amount represents less than $0.01 per share. |
See accompanying notes
69
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
At in-person meetings held on May 18, 2018 and June 5-6, 2018 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 6, 2018 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon GLG Total Return Fund (“GLG Fund”) and the American Beacon Frontier Markets Income Fund (formerly known as the American Beacon Global Evolution Frontier Markets Income Fund) (“Frontier Fund”) (each, a “Fund” and collectively, the “Funds”);
(2) the Investment Advisory Agreement among the Manager, GLG LLC (“GLG”), and the Trust, on behalf of the GLG Fund; and
(3) the Investment Advisory Agreement among the Manager, Global Evolution USA, LLC (“Global Evolution”), and the Trust, on behalf of the Frontier Markets Fund.
GLG and Global Evolution are hereinafter each referred to as a “subadvisor” and collectively as the “subadvisors.” The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisors, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Funds as well as information from the Manager and the subadvisors. At the Meetings, the Board considered the information provided. Further, the Board took into consideration information furnished to the Board throughout the year at regular meetings of the Board and its committees, as well as information specifically prepared in connection with the renewal process.
In connection with the Board’s consideration of the Agreements, the Trustees received and evaluated such information as they deemed necessary. The information requested on behalf of the Board included, among other information, the following materials. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.
• | comparisons of the performance of an appropriate share class of each Fund to comparable investment companies and appropriate benchmark indices, including peer group averages and performance analyses from Broadridge, and to the performance of any similar accounts or a composite of similar accounts, as applicable, managed by the firm; |
• | comparisons of each Fund’s management and subadvisory fee rates and expense ratio with the management fee rates paid by comparable mutual funds and their expense ratios, including peer group averages and fee and expense analyses from Broadridge, and the advisory fee rates charged to other clients for which similar services are provided by a firm; |
• | a description of any applicable fee waivers and/or expense reimbursements in place for each Fund during the past year, and any proposed changes to the expense limitation arrangements; |
• | the Manager’s profitability with respect to the services that it provided to each Fund; |
• | any actual or anticipated economies of scale in relation to the services the firm provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors; |
• | an evaluation of other benefits to the firm or Funds as a result of their relationship, if any; |
• | information regarding administrative, accounting-related and cash management services that the Manager provides to the Funds and the fees that the Manager receives for such services; and |
70
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
• | information regarding a firm’s financial condition, the personnel of the Manager who are assigned primary responsibility for managing the Funds, staffing levels, portfolio managers’ compensation, insurance coverage, material pending litigation, code of ethics, compliance matters, actual or potential conflicts of interest that the firm experiences, or anticipates that it will experience, in providing services to the Funds, and the Manager’s disaster recovery plans. |
The Board noted that the Manager provides management and administrative services to the Funds pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. For each Fund, the class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Funds and their shareholders.
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreements
In determining whether to renew the Agreements, the Trustees considered the best interests of each Fund separately. While the Management Agreement and the Investment Advisory Agreements for the Funds were considered at the Meetings, the Board considered each Fund’s investment management and subadvisory relationships separately.
In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of a Fund; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or a subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or a subadvisor from their relationships with a Fund.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s performance since its inception in 2016, with respect to the GLG Fund, and 2014, with respect to the Frontier Markets Fund; the length of service of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support that reduce risks to the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
71
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
With respect to the renewal of each Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. The Board also considered the adequacy of the resources committed to the Funds by each subadvisor, and whether those resources were commensurate with the needs of the Funds and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of each subadvisor. The Board also considered each subadvisor’s representations regarding its compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund.
Investment Performance. The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of each Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting each Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for a Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by each subadvisor regarding the performance of the relevant Fund relative to the performance of a similar account and an appropriate benchmark index. In addition, the Board considered the Manager’s recommendation to continue to retain each subadvisor. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Costs of the Services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the GLG Fund being profitable for the Manager before and after the payment of distribution-related expenses by the Manager and the Manager sustaining a loss before and after the payment of distribution-related expenses by the Manager with respect to the Frontier Markets Fund. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the Manager represented that, among other matters, the difference is attributable to the fact that the Manager does not perform administrative services for non-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the Funds that were in place during the last fiscal year. The Board further considered that, with respect to each Fund, the applicable Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager. The Board also noted that certain share classes of the Funds maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by each subadvisor in connection with its investment advisory services to a Fund, the Board considered representations made by each subadvisor that the fee rate negotiated by the Manager is favorable relative to the fee rates that the subadvisor charges for any comparable client accounts. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
72
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as each Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints with respect to the GLG Fund’s subadvisory fee rate. The Board also considered Global Evolution’s representation that, due to the nature of the GLG Fund’s strategy, GLG is unlikely to realize economies of scale.
In addition, the Board noted the Manager’s representation that the Management Agreement contains fee schedule breakpoints at higher asset levels with respect to each Fund. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for each Fund provide for a reasonable sharing of benefits from any economies of scale with each Fund.
Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisors’ investment process and expanding the level of assets under management by the Manager and the subadvisors. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to Each Fund
The performance comparisons below were made in comparison to each Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top twenty percent of the universe based on performance and the 5th Quintile representing the bottom twenty percent of the universe based on performance. References below to each Fund’s Broadridge performance universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge.
The expense comparisons below were made in comparison to each Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the top twenty percent of the universe or group based on lowest total expense and the 5th Quintile representing the bottom twenty percent of the universe or group based on highest total expense. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered each Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisors’ use of soft dollars was requested from the Manager and was considered by the Trustees.
73
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Additional Considerations and Conclusions with Respect to the American Beacon GLG Total Return Fund
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with GLG for the GLG Fund, the Trustees considered the following additional factors:
Broadridge Total Expense Analysis Excluding 12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 3rd Quintile | |
Compared to Broadridge Expense Universe | 3nd Quintile | |
Morningstar Fee Level Ranking – Institutional Class | High Expense Ratio |
Broadridge and Morningstar Performance Analysis (one-year period ended December 31, 2017)
Compared to Broadridge Performance Universe | 4th Quintile | |
Compared to Morningstar Category | 5th Quintile |
The Trustees also considered: (1) information provided by GLG regarding fee rates charged for managing accounts in the same strategy as the subadvisor manages the Fund; (2) the challenges associated with identifying a peer group for evaluating the Fund’s expenses and performance as none of the funds in the Fund’s Broadridge expense group, expense universe, performance universe or Morningstar category pursue a comparable investment strategy; and (3) the Manager’s recommendation to continue to retain the subadvisor based upon, among other factors, the relatively brief period that this Fund has been in operation.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management Agreement and Investment Advisory Agreement are fair and reasonable; and (2) determined that the GLG Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund.
Additional Considerations and Conclusions with Respect to the American Beacon Frontier Markets Income Fund
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with Global Evolution for the Frontier Markets Fund, the Trustees considered the following additional factors:
Broadridge Total Expense Analysis Excluding 12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 5th Quintile | |
Compared to Broadridge Expense Universe | 5th Quintile | |
Morningstar Fee Level Ranking – Institutional Class | High Expense Ratio |
Broadridge and Morningstar Performance Analysis (three-year period ended December 31, 2017)
Compared to Broadridge Performance Universe | 2nd Quintile | |
Compared to Morningstar Category | 2nd Quintile |
The Trustees also considered: (1) Global Evolution’s representation that it does not manage other accounts with comparable investment objectives and policies as those of the Fund; (2) the challenges associated with identifying a peer group for evaluating the Fund’s expenses and performance as none of the funds in the Fund’s Broadridge expense group, expense universe or performance universe or Morningstar category pursue a comparable investment strategy; (3) that the Fund is a limited capacity product as it invests principally in investments that are economically tied to frontier market countries, which are a subgroup of emerging market countries; (4) the Manager’s explanation that the Fund’s expense profile is attributable to the higher expenses associated with investments in frontier market countries than emerging market countries, which the Fund’s peer group funds invest in; and (5) the Manager’s recommendation to continue to retain the subadvisor.
74
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management Agreement and Investment Advisory Agreement are fair and reasonable; and (2) determined that the Frontier Markets Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund.
Approval of Additional Subadvisor of American Beacon Frontier Markets Income Fund
At its June 5-6, 2018 meetings, the Board considered the approval of a new investment advisory agreement (“New Agreement”) among the “Manager, Aberdeen Asset Managers Limited (“Aberdeen”), and the Trust, on behalf of the Frontier Markets Fund, pursuant to which Aberdeen would manage a portion of the Frontier Markets Fund’s assets. Prior to the meetings, information was provided to the Board by Aberdeen in response to requests from the Board and/or the Manager in connection with the Board’s consideration of the Agreement. The Investment Committee of the Board also met with representatives of Aberdeen.
Provided below is an overview of the primary factors the Board considered at its June 5-6, 2018 meetings at which the Board considered the approval of the New Agreement. In determining whether to approve the New Agreement, the Board considered, among other things, the following factors: (1) the nature and quality of the services to be provided; (2) the investment performance of an account managed by Aberdeen (the “Comparable Account”); (3) the extent to which economies of scale, if any, have been taken into account in setting the fee schedule; (4) whether fee levels reflect these economies of scale, if any, for the benefit of investors; (5) comparisons of services and fees with contracts entered into by Aberdeen with other clients; and (6) any other benefits anticipated to be derived by Aberdeen from its relationship with the Fund.
The Board did not identify any particular information that was most relevant to its consideration of the New Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the approval of investment advisory contracts, such as the New Agreement. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of the New Agreement were reasonable and fair and that the approval of the New Agreement was in the best interests of the Frontier Markets Fund.
Nature, extent and quality of the services to be provided by Aberdeen. The Board considered information regarding Aberdeen’s principal business activities, its reputation, financial condition and overall capabilities to perform the services under the New Agreement. In addition, the Board considered the background and experience of the personnel who will be assigned responsibility for managing Aberdeen’s allocation of the Frontier Markets Fund. The Board also considered Aberdeen’s investment resources, infrastructure and the adequacy of its compliance program. The Board also took into consideration the Manager’s recommendation of Aberdeen. The Board considered Aberdeen’s representation regarding the strength of its financial condition and that its current staffing levels were adequate to service the Frontier Markets Fund. Based on this information, the Board concluded that the nature, extent and quality of the advisory services to be provided by Aberdeen were appropriate for the Frontier Markets Fund in light of its investment objective, and, thus, supported a decision to approve the New Agreement.
Performance of Portfolio Management Team. The Board evaluated the information provided by Aberdeen regarding the performance of the Comparable Account relative to the performance of an appropriate benchmark index (the “Index”). The Board considered representations made by Aberdeen that, for various periods ended March 31, 2018, the performance of the Comparable Account was favorable. Based on the foregoing information, the Board concluded that the historical investment performance record of Aberdeen supported approval of the New Agreement.
75
Disclosure Regarding Approval of the Management and Investment Advisory Agreements
July 31, 2018 (Unaudited)
Comparisons of the amounts to be paid under the New Agreement with those under contracts between Aberdeen and its other clients. In evaluating the New Agreement, the Board reviewed the proposed advisory fee rate for services to be performed by Aberdeen on behalf of the Frontier Markets Fund. The Board considered that Aberdeen’s investment advisory fee rate under the New Agreement would be paid to Aberdeen by the Fund. The Board also considered Aberdeen’s representation that the advisory fee rate is equal to or lower than the advisory fee rates that Aberdeen currently charges to other clients with similar mandates. In addition, the Board considered that Aberdeen’s investment advisory fee rate under the New Agreement would be the same as the investment advisory fee paid by the Frontier Markets Fund to its current subadvisor. After evaluating this information, the Board concluded that the advisory fee rate under the New Agreement was reasonable in light of the services to be provided to the Frontier Markets Fund.
Costs of the services to be provided and profits to be realized by Aberdeen and its affiliates from its relationship with the Frontier Markets Fund. The Board did not consider the costs of the services to be provided and profits to be realized by Aberdeen from its relationship with the Frontier Markets Fund, noting instead the arm’s-length nature of the relationship between the Manager and Aberdeen with respect to the negotiation of the advisory fee rate on behalf of the Fund.
Economies of Scale. The Board considered Aberdeen’s representation that it believes that the proposed investment advisory fee rate to be paid by the Frontier Markets Fund under the New Agreement is appropriate in light of any economies of scale that Aberdeen may realize in connection with the services that it proposes to provide to the Frontier Markets Fund.
Benefits to be derived by Aberdeen from the relationship with the Frontier Markets Fund. The Board considered Aberdeen’s representation that it does not anticipate any material “fall-out” or ancillary benefits that may accrue to Aberdeen or its affiliates as a result of its relationship with the Frontier Markets Fund. Based on the foregoing information, the Board concluded that the potential benefits accruing to Aberdeen by virtue of its relationship with the Frontier Markets Fund appear to be fair and reasonable.
Board’s Conclusion. Based on the various considerations described above, the Board, including a majority of Trustees who are not “interested persons” of the Frontier Markets Fund, the Manager or Aberdeen, as that term is defined in the Investment Company Act of 1940, as amended, concluded that the proposed investment advisory fee rate is fair and reasonable and that the approval of the New Agreement is in the best interests of the Frontier Markets Fund and approved the New Agreement.
76
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To obtain more information about the Fund:
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By E-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website at www.americanbeaconfunds.com | |
By Telephone: Call (800) 658-5811 | By Mail: American Beacon Funds 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, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (800)-SEC-0330. A complete schedule of each Fund’s portfolio holdings is also available at www.americanbeaconfunds.com approximately twenty days after the end of each month. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts | TRANSFER AGENT DST Asset Manager Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Boston, Massachusetts | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, 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 Frontier Markets Income Fund and American Beacon GLG Total Return Fund are service marks of American Beacon Advisors, Inc.
SAR 7/18
ITEM 2. CODE OF ETHICS.
Not Applicable.
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 Act (17 CFR 270.30a-2(a)) 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 |
American Beacon Funds |
Date: October 5, 2018 |
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 |
American Beacon Funds |
Date: October 5, 2018 |
By /s/ Melinda G. Heika |
Melinda G. Heika |
Treasurer |
American Beacon Funds |
Date: October 5, 2018 |