UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4984
AMERICAN BEACON FUNDS
(Exact name of registrant as specified in charter)
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Address of principal executive offices)-(Zip code)
WILLIAM F. QUINN, PRESIDENT
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Name and address of agent for service)
Registrant's telephone number, including area code: (817) 967-3509
Date of fiscal year end: October 31, 2005
Date of reporting period: April 30, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
G U I D A N C E | V I S I O N | E X P E R I E N C E
[AMERICAN BEACON FUNDS LOGO]
SEMI-ANNUAL REPORT
[PHOTO]
APRIL 30, 2005
INTERNATIONAL EQUITY FUND
Formerly known as the
American AAdvantage Funds
About American Beacon Advisors
- --------------------------------
Since 1986, American Beacon
Advisors has offered a variety
of products and investment
advisory services to numerous
institutional and retail
clients, including a variety of
mutual funds, corporate cash
management, and separate account
management.
Our clients include defined
benefit plans, defined
contribution plans, foundations,
endowments, corporations,
financial planners, and other
institutional investors. With
American Beacon Advisors, you
can put the experience of a
multi-billion dollar asset
management firm to work for your
company.
<Table>
<Caption>
Contents
-----------------------------------------------
President's Message........... 1
Market and Performance
Overview................... 2
Schedule of Investments....... 18
Additional Information........Inside Back Cover
</Table>
Any opinions herein, including forecasts, reflect our judgement as of the end of
the reporting period and are subject to change. Each advisor's strategies and
each Fund's portfolio composition will change depending on economic and market
conditions. This report is not a complete analysis of market conditions and,
therefore, should not be relied upon as investment advice. Although economic and
market information has been compiled from reliable sources, American Beacon
Advisors, Inc. makes no representation as to the completeness or accuracy of the
statements contained herein.
American Beacon Funds April 30, 2005
(BILL QUINN PICTURE)
FELLOW SHAREHOLDERS,
I am pleased to present
you with the Semi- Annual
Report for the American
Beacon International
Equity Fund (formerly
known as the American
AAdvantage International
Equity Fund) for the six
months ended April 30,
2005. During this time,
the Dow Jones Industrial
Average posted gains of
2.78%, the S&P 500 Index
increased by 3.28% and the
MSCI EAFE Index returned
8.71%.
The International
Equity Fund posted strong
performance as the Institutional Class outpaced the Lipper International Funds
Index for the one-year, three-year, five-year and ten-year time periods as of
April 30, 2005. The Fund produced returns of 7.86% for the six-month period and
16.50%, 11.59%, 4.71% and 9.49% for the one-year, three-year, five-year, and
ten-year time periods, respectively.
Please review the enclosed market overviews, portfolio listings and
detailed financial data. As always, we welcome the opportunity to serve your
financial needs. To obtain further details about the American Beacon Funds
family or access your account information, please visit our web site at
www.americanbeaconfunds.com. Thank you for your continued confidence in the
American Beacon International Equity Fund.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President, American Beacon Funds
Performance shown is historical and may not be indicative of future returns.
Investment returns and principal value will vary, and shares may be worth more
or less at redemption than at original purchase. Performance shown is as of date
indicated and may differ from current performance. To obtain performance as of
the most recent month end, please visit www.americanbeaconfunds.com or call
1-800-967-9009.
1
INTERNATIONAL EQUITY MARKET OVERVIEW
- --------------------------------------------------------------------------------
Global equities rallied sharply in November, following the U.S. presidential
election, as uncertainty over the election's outcome, and whether that outcome
would be immediately clear, was removed. Declining oil prices and
better-than-expected economic reports, regarding both employment and retail
sales in the United States, added to the bullish sentiment. Equities were
relatively unaffected by the volatility in the currency markets, as the ongoing
weakness in the U.S. dollar accelerated and many world currencies reached
multi-year highs, versus the dollar. The rally was broad-based with all sectors
participating, although the materials sector outperformed amid rebounding
commodity prices, and health care continued to lag. On a regional basis, the
rally was also broad-based with every country in the MSCI World Index rising, in
local currency terms, and Europe outperformed. International stocks ended 2004
with their best quarterly performance of the year as oil prices crested, easing
concerns that higher energy costs would restrain earnings and economic growth.
The rally started right after the U.S. presidential election, as uncertainty
over the election's outcome, as well as its definitiveness, was lifted. On a
regional basis, markets in the 12-country euro region, helped by gains in their
common currency, were among the MSCI EAFE Index's best performers for the
quarter, led by Austria, France, and Germany. U.K. stocks trailed other euro
regions due to declines in energy shares, as oil prices fell, and to losses
experienced by drug makers after Merck & Co. recalled its Vioxx painkiller.
Japanese stocks also lagged, as Japan's economy stalled and the yen reached a
four-year high during the quarter. From a sector perspective, the rally was
broad based, although health care and energy stocks lagged the broad market
while technology and finance outperformed modestly.
International stocks declined modestly in January, which is somewhat surprising
as it is typically a strong period for equities. Oil prices, which many believed
to be last year's problem, rose again. From a sector perspective, the decline
was somewhat mixed as industrials was the best performing sector and information
technology continued to lag. Telecom services also performed poorly, even with
the recent acceleration of merger activity in the sector. From a regional
perspective, the decline was fairly consistent in the major regions.
International markets were strong during February, erasing much of the losses
from January. Markets pulled back mid-month, as oil prices continued to rise and
investors witnessed the outlook for inflation pick-up, before surging in the
last few days of the month. However, business confidence in both Germany and
Italy declined. Performing similarly, European, Australasia, and U.K. stock
markets outperformed those in Japan. From a sector perspective, energy
dramatically outperformed the market as the price of oil rose sharply in
February. Materials was one of the best performing sectors.
International markets were up modestly for the first quarter 2005, in local
currency terms. However, returns in U.S. dollars were depressed for unhedged
investors due to a rebound in the dollar. In March, the U.S. Federal Reserve
cited increasing inflation pressures and evidence of pricing power, which led
investors to believe that more aggressive monetary tightening might lie ahead.
Economic news from Japan was disappointing, causing Japanese stocks to lag. Most
other Asian markets lagged modestly while Europe outperformed. From a sector
perspective, defensive stocks, such as consumer staples and utilities, held up
while pharmaceutical stocks did not. Information technology and telecom services
stocks also lagged, as they were the worst performing sectors during the
quarter. Energy was the best performer as the price of oil rebounded, ending the
quarter slightly off its 2004 peak.
International equity markets continued to fall in April, making it the third
down month of the year. Signs of slowing economic growth were reinforced when,
late in the month, the U.S. Commerce Department announced that GDP, in the first
quarter of 2005, was below expectations and the slowest pace in two years. More
evidence of a global slowdown came from Japan, as consumer confidence was below
expectations. Global large cap stocks outperformed both mid and small caps,
reversing a trend that has been in place for an extended period. Merger activity
remained robust, particularly in the U.S. energy sector, as ChevronTexaco and
Valero Energy announced plans to acquire Unocal and Premcor, respectively. From
a sector perspective, defensive sectors such as consumer staples, health care,
and utilities all outperformed during the month as the broader market declined.
Materials and industrials lagged due to concerns over a slowing economy.
Consumer discretionary also lagged during the month. Regionally, most Asian
countries posted positive returns except Japan, while most European countries
lagged.
2
PERFORMANCE OVERVIEW
AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the International Equity Fund returned 7.86% for
the six months ended April 30, 2005. The Fund underperformed the MSCI EAFE Index
("Index") return of 8.71% and the Lipper International Funds Index return of
8.01%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
--------------------------------------
PERIODS ENDED 4/30/05
--------------------------------------
6 MONTHS 1 YEAR 5 YEARS 10 YEARS
-------- ------ ------- --------
Institutional Class(1)..... 7.86% 16.50% 4.71% 9.49%
PlanAhead Class(1)......... 7.72% 16.23% 4.53% 9.22%
Service Class(1,2)......... 7.62% 15.94% 4.41% 9.16%
AMR Class(1)............... 8.06% 16.87% 4.98% 9.77%
Lipper Int'l. Funds
Index..................... 8.01% 13.43% -0.24% 6.80%
MSCI EAFE Index............ 8.71% 14.95% -0.55% 4.77%
</Table>
The MSCI EAFE Index is a market capitalization weighted index of international
stock performance composed of equities from developed markets excluding the U.S.
and Canada.
1. Performance shown is historical and may not be indicative
of future returns. Investment returns and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end,
please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund
performance in the table above does not reflect the deduction of taxes a
shareholder would pay on distributions or the redemption of shares.
2. Fund performance for the five-year and ten-year periods
represents the total returns achieved by the PlanAhead Class from 4/30/95 up
to 5/1/03, the inception date of the Service Class, and the returns of the
Service Class since its inception. Expenses of the Service Class are higher
than those of the PlanAhead Class. As a result, total returns shown may be
higher than they would have been had the Service Class been in existence
since 4/30/95.
The Fund underperformed the Index over the past six months primarily due to
timing differences in currency pricing between the Fund (4 p.m. Eastern time)
and the Index (4 p.m. London time), Fund expenses and unfavorable country
allocation. Country allocation detracted value as the Fund had a nearly 4%
underweighting in Australia versus the Index and the Australian market gained
13.8% during the period. Additionally, the Fund had a nearly 2% overweighting to
Ireland and the Irish market was the worst performing, and only, EAFE market
with a negative return (-0.5%) for the period.
Stock selection was positive in the United Kingdom and France, but was
largely offset by negative selection in Japan and Singapore. In the U.K.,
significant positions in GlaxoSmithKline, British American Tobacco, BHP Billiton
and Cadbury Schweppes added value as each gained over 20% for the period. In
France, the Fund's largest holding during the period, Sanofi-Synthelabo, also
gained over 20% for the six month time period. Konica Minolta, which dropped
approximately 27%, was the biggest disappointment in Japan, while Creative
Technology (down approximately 20%) contributed to the weak stock selections in
Singapore during the period.
Although economic and market conditions vary from period to period, the
Fund's primary strategy remains consistent as it focuses on investing in
undervalued companies with above-average earnings growth expectations.
Investing in foreign equities entails additional risk not associated with
domestic equities, such as currency fluctuations, economic and political
instability and differences in accounting standards.
3
PERFORMANCE OVERVIEW
AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Sanofi-Synthelabo 2.4%
GlaxoSmithKline plc 2.2%
Royal Bank of Scotland Group plc 1.9%
Total S.A. 1.9%
Koninklijke (Royal) Philips Electronics N.V. 1.7%
Unilever plc 1.5%
Diageo plc 1.5%
Royal Dutch Petroleum Company 1.3%
BAE Systems plc 1.3%
Nestle SA 1.3%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Financials 24.6%
Consumer Discretionary 13.3%
Industrials 12.0%
Health Care 9.3%
Consumer Staples 8.9%
Telecommunication Services 8.6%
Energy 8.1%
Materials 6.8%
Information Technology 4.5%
Utilities 3.9%
</Table>
REGIONAL ALLOCATION*
(PIE CHART)
<Table>
<Caption>
EUROPE PACIFIC RIM NORTH AMERICA CENTRAL AMERICA
- --------------------- ----------- ------------- ---------------
75.4% 22.7% 1.7% 0.2%
</Table>
* Allocation based upon gross investments in American
Beacon Master Trust International Equity Portfolio.
FUND EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, such as redemption fees, and (2) ongoing costs, including management
fees, administrative service fees, distribution (12b-1) fees, and other Fund
expenses. The examples below are intended to help you understand the ongoing
cost (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning
of the period in each Class and held for the entire period from November 1, 2004
through April 30, 2005.
ACTUAL EXPENSES
The "Actual" lines of the table provide information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading "Expenses Paid During Period" to estimate
the expenses you paid on your account during this period. Shareholders of the
PlanAhead and Institutional Classes that invest in the Fund through an IRA may
be subject to a custodial IRA fee of $12 that is typically deducted each
December. If your account was subject to a custodial IRA fee during the period,
your costs would have been $12 higher.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The "Hypothetical" lines of the table provide information about
hypothetical account values and hypothetical expenses based on the Fund's actual
expense ratio and an assumed 5% per year rate of return before expenses (not the
Fund's actual return). You may compare the ongoing costs of investing in the
Fund with other funds by contrasting this 5% hypothetical example and the 5%
hypothetical examples that appear in the shareholder reports of the other funds.
The hypothetical account values and expenses may not be used to estimate the
actual ending account balance or expenses you paid for the period. Shareholders
of the PlanAhead and Institutional Classes that invest in the Fund through an
IRA
4
PERFORMANCE OVERVIEW
AMERICAN BEACON INTERNATIONAL EQUITY FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
may be subject to a custodial IRA fee of $12 that is typically deducted each
December. If your account was subject to a custodial IRA fee during the period,
your costs would have been $12 higher.
You should also be aware that the expenses shown in the table highlight
only your ongoing costs and do not reflect any transaction costs charged by the
Fund, such as redemption fees. Similarly, the expense examples for other funds
do not reflect any transaction costs charged by those funds, such as sales
charges (loads), redemption fees or exchange fees. Therefore, the "Hypothetical"
lines of the table are useful in comparing ongoing costs only and will not help
you determine the relative total costs of owning different funds. If you were
subject to any transaction costs during the period, your costs would have been
higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT ACCOUNT DURING PERIOD*
VALUE VALUE 11/1/04-
11/1/04 4/30/05 4/30/05
--------- --------- ---------------
INSTITUTIONAL CLASS
Actual $1,000.00 $1,078.62 $3.66
Hypothetical $1,000.00 $1,021.27 $3.56
(5% return before expenses)
PLANAHEAD CLASS
Actual $1,000.00 $1,077.25 $4.96
Hypothetical $1,000.00 $1,020.02 $4.82
(5% return before expenses)
SERVICE CLASS
Actual $1,000.00 $1,076.17 $6.34
Hypothetical $1,000.00 $1,018.69 $6.16
(5% return before expenses)
AMR CLASS
Actual $1,000.00 $1,080.62 $2.30
Hypothetical $1,000.00 $1,022.58 $2.24
(5% return before expenses)
</Table>
* Expense amounts are inclusive of the Fund's proportionate
share of expenses of the American Beacon Master Trust International Equity
Portfolio. Expenses are equal to the Fund's annualized expense ratios for
the six-month period of 0.71%, 0.96%, 1.23%, 0.45%, for the Institutional,
PlanAhead, Service, and AMR Classes, respectively, multiplied by the average
account value over the period, multiplied by the number derived by dividing
the number of days in the most recent fiscal half-year (181) by days in the
year (365) to reflect the half-year period.
5
AMERICAN BEACON INTERNATIONAL EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2005 (Unaudited) (in thousands)
- --------------------------------------------------------------------------------
<Table>
ASSETS:
Investments in Portfolio, at value...................... $ 2,148,472
Receivable for fund shares sold......................... 4,463
-----------
TOTAL ASSETS........................................ 2,152,935
-----------
LIABILITIES:
Payable for fund shares redeemed........................ 4,225
Administrative service and service fees payable......... 324
Other liabilities....................................... 266
-----------
TOTAL LIABILITIES................................... 4,815
-----------
NET ASSETS.................................................. $ 2,148,120
===========
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 1,766,276
Undistributed net investment income..................... 16,829
Accumulated net realized gain (loss).................... 52,316
Unrealized appreciation (depreciation) of investments,
futures contracts and foreign currency................. 312,699
-----------
NET ASSETS.................................................. $ 2,148,120
===========
Shares outstanding (no par value):
Institutional Class..................................... 57,792,728
===========
PlanAhead Class......................................... 23,980,691
===========
Service Class........................................... 124,374
===========
AMR Class............................................... 27,298,732
===========
Net asset value, offering and redemption price per share:
Institutional Class..................................... $ 19.68
===========
PlanAhead Class......................................... $ 19.52
===========
Service Class........................................... $ 19.38
===========
AMR Class............................................... $ 19.79
===========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
6
AMERICAN BEACON INTERNATIONAL EQUITY FUND
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2005 (Unaudited) (in thousands)
- --------------------------------------------------------------------------------
<Table>
INVESTMENT INCOME:
Investment income allocated from the Portfolio.......... $ 29,188
Expenses allocated from the Portfolio................... (4,246)
--------
TOTAL INVESTMENT INCOME............................. 24,942
--------
EXPENSES:
Administrative service fees (Note 2):
Institutional Class................................... 1,402
PlanAhead Class....................................... 494
Service Class......................................... 2
Transfer agent fees:
Institutional Class................................... 104
PlanAhead Class....................................... 42
AMR Class............................................. 8
Professional fees....................................... 26
Registration fees and expenses.......................... 79
Service fees -- PlanAhead Class (Note 2)................ 494
Service fees -- Service Class (Note 2).................. 2
Distribution fees -- Service Class (Note 2)............. 2
Prospectus and shareholder reports...................... 229
Other expenses.......................................... 7
--------
TOTAL EXPENSES...................................... 2,891
--------
NET INVESTMENT INCOME....................................... 22,051
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net increase from payments by affiliates................ 369
Net realized gain allocated from the Portfolio.......... 111,040
Change in net unrealized gain allocated from the
Portfolio.............................................. 5,291
--------
NET GAIN (LOSS) ON INVESTMENTS...................... 116,700
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $138,751
========
* Foreign taxes......................................... $ 4,609
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
7
AMERICAN BEACON INTERNATIONAL EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS (IN THOUSANDS)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS YEAR ENDED
ENDED OCTOBER 31,
APRIL 30, 2005 2004
-------------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 22,051 $ 25,715
Net realized gain (loss) on investments, futures
contracts, and foreign currency transactions........... 111,409** 111,748
Change in unrealized gain allocated from the
Portfolio.............................................. 5,291 153,263
---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... 138,751 290,726
---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class................................... (13,529) (19,224)
PlanAhead Class....................................... (4,004) (4,201)
Service Class......................................... (22) --
AMR Class............................................. (7,644) (9,135)
---------- ----------
NET DISTRIBUTIONS TO SHAREHOLDERS................... (25,199) (32,560)
---------- ----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........................... 447,101 670,346
Reinvestment of dividends and distributions............. 22,373 28,865
Cost of shares redeemed................................. (235,606) (379,293)
Redemption fees......................................... 35 21
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS.................................. 233,903 319,939
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS....................... 347,455 578,105
---------- ----------
NET ASSETS:
Beginning of period..................................... 1,800,665 1,222,560
---------- ----------
END OF PERIOD*.......................................... $2,148,120 $1,800,665
========== ==========
* Includes undistributed net investment income (loss)
of..................................................... $ 16,829 $ 10,007
========== ==========
** Includes $369 payment by affiliate.
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
8
AMERICAN BEACON INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American Beacon Funds (the "Trust"), formerly known as the American
AAdvantage Funds, is organized as a Massachusetts business trust and is
registered under the Investment Company Act of 1940 (the "Act"), as amended, as
a no load, open-end management investment company. These financial statements
and notes to the financial statements relate to the American Beacon
International Equity Fund, a series of the Trust.
American Beacon Advisors, Inc. (the "Manager"), formerly known as AMR
Investment Services, Inc., is a wholly-owned subsidiary of AMR Corporation, the
parent company of American Airlines, Inc. ("American"), and was organized in
1986 to provide business management, advisory, administrative and asset
management consulting services to the Trust and other investors.
The American Beacon International Equity Fund (the "Fund") invests all of
its investable assets in the International Equity Portfolio (the "Portfolio") of
the American Beacon Master Trust, which has the same investment objectives as
the Fund. The Portfolio is an open-end management investment company registered
under the Act. The value of the investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio. At April 30, 2005 the
Fund's investment was 95.9% of the Portfolio.
The financial statements of the Portfolio, including Notes to Financial
Statements, are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements. The Notes to Financial
Statements of the Portfolio include a discussion of investment valuation,
security transactions and investment income, the management agreement and
securities lending.
Class Disclosure
The Fund has multiple classes of shares designed to meet the needs of
different groups of investors. The following table sets forth the differences
amongst the classes:
<Table>
<Caption>
CLASS: OFFERED TO: SERVICE AND DISTRIBUTION FEES:
- ------ ----------- ------------------------------
INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service 0.25%
Fee --
PLANAHEAD CLASS General public and investors investing through an Administrative Service 0.25%
intermediary Fee -- 0.25%
Service Fee --
SERVICE CLASS Investors investing through an intermediary Administrative Service 0.25%
Fee -- 0.25%
Service Fee -- 0.25%
Distribution Fee --
AMR CLASS Investors in the tax-exempt retirement and benefit plans of N/A
AMR Corporation and its affiliates
</Table>
Investment income, net capital gains (losses) and all expenses incurred by
the Fund are allocated based on the relative net assets of each class, except
for service fees and certain other fees and expenses related solely to one class
of shares.
Security Valuation
The Fund records its investment in the Portfolio at fair value. Valuation
of securities by the Portfolio is discussed in Note 1 of the Portfolio's Notes
to Financial Statements which are included elsewhere in this report.
- --------------------------------------------------------------------------------
9
AMERICAN BEACON INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Redemption Fees
The Fund imposes a 2% redemption fee on certain Institutional, PlanAhead
and Service Class shares held for less than 30 days. The fee is deducted from
the redemption proceeds and is intended to offset the trading costs, market
impact and other costs associated with short-term trading activity in the Fund.
The "first-in, first-out" method is used to determine the holding period.
Investment Income
The Fund records its share of net investment income and realized and
unrealized gain (loss) in the Portfolio each day. All net investment income and
realized and unrealized gain (loss) of the Portfolio is allocated pro rata among
the Fund and other investors in the Portfolio at the time of such determination.
Dividends to Shareholders
Dividends from net investment income of the Fund normally will be declared
and paid annually. Distributions, if any, of net realized capital gains are
generally paid annually and recorded on the ex-dividend date.
Allocation of Income, Expenses, Gains and Losses
Income, expenses (other than those attributable to a specific class), gains
and losses are allocated daily to each class of shares based upon the relative
proportion of net assets represented by such class. Operating expenses directly
attributable to a specific class are charged against the operations of that
class.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liability arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that provide indemnification to the other party or parties against
potential costs or liabilities. The Trust's maximum exposure under these
arrangements is dependent on claims that may be made in the future and,
therefore, cannot be estimated. The Trust has had no prior claims or losses
pursuant to any such agreement.
2. TRANSACTIONS WITH AFFILIATES
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement
that obligates the Manager to provide or oversee administrative and management
services to the Fund. As compensation for performing the duties required under
the Administrative Services Agreement, the Manager
- --------------------------------------------------------------------------------
10
AMERICAN BEACON INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
receives an annualized fee of .25% of the average daily net assets of the
Institutional, PlanAhead and Service Classes of the Fund.
Distribution Plans
The Trust, except for the Service Class of the Funds, has adopted a
"defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under
the Investment Company Act of 1940, pursuant to which no fees may be charged to
the Funds for distribution purposes. However, the Plan authorizes the management
fees received by the Manager and the investment advisors hired by the Manager to
be used for distribution purposes. Under this Plan, the Trust does not intend to
compensate the Manager or any other party, either directly or indirectly, for
the distribution of Trust shares.
A separate Distribution Plan (the "Distribution Plan") has been adopted
pursuant to Rule 12b-1 under the Act for the Service Class of the Fund. Under
the Distribution Plan, as compensation for distribution assistance, the Manager
receives an annual fee of 0.25% of the average daily net assets of the Service
Class. The fee will be payable without regard to whether the amount of the fee
is more or less than the actual expenses incurred in a particular month by the
Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the
Manager to oversee additional shareholder servicing of the PlanAhead and Service
Classes. As compensation for performing the duties required under the Service
Plans, the Manager receives 0.25% of the average daily net assets of the
PlanAhead and Service Classes of the Fund.
Other
Certain officers or Trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. Mr. Feld and the non-interested Trustees (other than
Mr. O'Sullivan) and their spouses are provided free unlimited air transportation
on American. Retired Trustees and their spouses are provided free air
transportation on American, up to a maximum annual value of $40,000. The Trust
compensates each Trustee with payments in an amount equal to the Trustee's
income tax on the value of this free airline travel. Mr. O'Sullivan, as a
retiree of American, already receives flight benefits. Mr. O'Sullivan receives
an annual retainer of $40,000 plus $1,250 for each Board meeting attended. At
April 30, 2005, AMR Corporation and subsidiary companies and Employee Benefit
Trusts thereof owned 100% of AMR Class shares of the Fund.
During the period ended April 30, 2005, a subadvisor voluntarily reimbursed
the Portfolio for the loss associated with a rights offering that expired
totaling $383,000. The shares that would have been acquired through a full
exercise of the rights were subsequently purchased on the open market. The
subadvisor reimbursed the Portfolio for the appreciation of the shares over the
exercise price, transaction costs and foreign exchange costs incurred in making
this purchase in the open market. This reimbursement is reflected in the
gain/loss section of the Statement of Operations.
- --------------------------------------------------------------------------------
11
AMERICAN BEACON INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Interfund Lending Program
Pursuant to an exemptive order by the SEC, the Fund, along with other
registered investment companies having management contracts with the Manager,
may participate in an interfund lending program. This program provides an
alternative credit facility allowing the Fund to borrow from, or lend money to,
other participating Funds. At April 30, 2005, the Fund had not utilized the
credit facility.
3. FEDERAL INCOME AND EXCISE TAXES
It is the policy of the Fund to comply with the requirements of Subchapter
M of the Internal Revenue Code and to distribute substantially all net
investment income as well as any net realized capital gains on the sale of
investments. Therefore, no federal income or excise tax provision is required.
Dividends are determined in accordance with income tax regulations which
may treat certain transactions differently than U.S. generally accepted
accounting principles. Accordingly, the character of distributions and
composition of net assets for tax purposes may differ from those reflected in
the accompanying financial statements.
The tax character of distributions during the six months ended April 30,
2005 and the fiscal year ended October 31, 2004 were as follows (in thousands):
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2005 OCTOBER 31, 2004
-------------- ----------------
(UNAUDITED)
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Institutional Class..................................... $13,529 $19,224
PlanAhead Class......................................... 4,004 4,201
Service Class........................................... 22 --
AMR Class............................................... 7,644 9,135
LONG-TERM CAPITAL GAIN
Institutional Class..................................... -- --
PlanAhead Class......................................... -- --
Service Class........................................... -- --
AMR Class............................................... -- --
------- -------
TOTAL DISTRIBUTIONS PAID............................ $25,199 $32,560
------- -------
</Table>
- --------------------------------------------------------------------------------
12
AMERICAN BEACON INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
As of April 30, 2005, the components of distributable earnings were as
follows (in thousands):
<Table>
Cost basis of investments for federal income tax purposes... $2,377,001
Unrealized appreciation..................................... 340,042
Unrealized depreciation..................................... (35,365)
----------
Net unrealized appreciation/(depreciation).................. 304,677
Undistributed ordinary income............................... 18,742
Undistributed long-term gain/(loss)......................... 64,889
----------
Distributable earnings...................................... $ 388,308
==========
</Table>
Financial reporting records are adjusted for permanent book/tax differences
to reflect tax character. Financial records are not adjusted for temporary
differences. The temporary differences between financial reporting and tax-basis
reporting of unrealized appreciation/(depreciation) are attributable primarily
to the tax deferral of losses from wash sales, the realization for tax purposes
of unrealized gains/(losses) on certain derivative instruments, book
amortization for premiums, and the realization for tax purposes of unrealized
gains/(losses) on investments in passive foreign investment companies.
Due to inherent differences in the recognition of income, expenses and
realized gains/losses under U.S. generally accepted accounting principles and
federal income tax purposes, permanent differences between book and tax
reporting have been identified and appropriately reclassified on the Statement
of Assets and Liabilities.
Accordingly, the following amounts represent current year permanent
differences that have been reclassified as of October 31, 2004 (in thousands):
<Table>
Paid-in-capital............................................. $ 525
Undistributed net investment income......................... 9,180
Accumulated net realized gain (loss)........................ (9,705)
Unrealized appreciation (depreciation) of investments,
futures contracts and foreign currency.................... --
</Table>
The Fund intends to retain realized gains to the extent of available
capital loss carryforwards for federal income tax purposes. During the six
months ended April 30, 2005, the fund utilized $33,901,000 of capital loss
carryforwards.
- --------------------------------------------------------------------------------
13
AMERICAN BEACON INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
4. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each Class of
the Fund (in thousands):
Six Months Ended April 30, 2005
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS
------------------- ------------------ ---------------- ------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ --------- ------ -------- ------ ------ ------- --------
Shares sold................ 7,407 $ 148,251 9,199 $183,763 107 $2,135 5,639 $112,952
Reinvestment of dividends.. 543 10,788 199 3,920 1 22 383 7,643
Shares redeemed*........... (5,895) (117,681) (2,373) (47,302) (24) (480) (3,487) (70,108)
------ --------- ------ -------- ------ ------ ------- --------
Net increase in shares
outstanding.............. 2,055 $ 41,358 7,025 $140,381 84 $1,677 2,535 $ 50,487
====== ========= ====== ======== ====== ====== ======= ========
</Table>
* Net of Redemption Fees
Year Ended October 31, 2004
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS
------------------- ------------------- ---------------- -------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ --------- ------ --------- ------ ------ ------- ---------
Shares sold............. 15,750 $ 270,812 12,974 $ 218,345 43 $ 744 10,345 $ 180,445
Reinvestment of
dividends............. 975 15,613 258 4,117 -- -- 568 9,135
Shares redeemed*........ (7,712) (131,052) (7,839) (128,653) (3) (54) (6,917) (119,513)
------ --------- ------ --------- ------ ------ ------- ---------
Net increase in shares
outstanding........... 9,013 $ 155,373 5,393 $ 93,809 40 $ 690 3,996 $ 70,067
====== ========= ====== ========= ====== ====== ======= =========
</Table>
* Net of Redemption Fees
- --------------------------------------------------------------------------------
14
(This page intentionally left blank)
15
AMERICAN BEACON INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ----------------------------------------------------------
2005 2004(B) 2003(F) 2002 2001(E) 2000
-------------- ---------- -------- -------- -------- --------
(UNAUDITED)
Net asset value, beginning of period............... $ 18.47 $ 15.46 $ 12.10 $ 13.77 $ 17.95 $ 19.36
---------- ---------- -------- -------- -------- --------
Income from investment operations:
Net investment income(A D)......................... 0.21 0.30 0.25 0.21 0.24 0.36
Net gains (losses) on securities (both realized
and unrealized)(D)............................. 1.24 3.12 3.47 (1.62) (2.96) 0.18
---------- ---------- -------- -------- -------- --------
Total income (loss) from investment operations..... 1.45 3.42 3.72 (1.41) (2.72) 0.54
---------- ---------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income............. (0.24) (0.41) (0.36) (0.26) (0.22) (0.31)
Distributions from net realized gains on
securities..................................... -- -- -- -- (1.24) (1.64)
---------- ---------- -------- -------- -------- --------
Total distributions................................ (0.24) (0.41) (0.36) (0.26) (1.46) (1.95)
---------- ---------- -------- -------- -------- --------
Redemption fees added to beneficial interest....... --(I) --(I) --(I) -- -- --
---------- ---------- -------- -------- -------- --------
Net asset value, end of period..................... $ 19.68 $ 18.47 $ 15.46 $ 12.10 $ 13.77 $ 17.95
========== ========== ======== ======== ======== ========
Total return....................................... 7.86%(G) 22.49% 31.61% (10.51)% (16.54)% 2.36%
========== ========== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands)......... $1,137,456 $1,029,272 $722,333 $537,476 $519,151 $587,869
Ratios to average net assets (annualized):
Expenses(D).................................... 0.71% 0.76% 0.79% 0.75% 0.78% 0.72%
Net investment income(D)....................... 2.08% 1.69% 1.97% 1.56% 1.54% 1.64%
Decrease reflected in above expense ratio due
to absorption of expenses by the Manager(D)... -- -- -- -- -- --
Portfolio turnover rate(C)....................... 18%(G) 36% 44% 43% 36% 45%
</Table>
- ---------------
(A) Class expenses per share were subtracted from net investment income per
share for the Fund before class expenses to determine net investment income
per share.
(B) The Boston Company was added as an investment advisor to the International
Equity Fund on September 27, 2004.
(C) The International Equity Fund invests all of its investable assets in its
corresponding Portfolio. Portfolio turnover rate is that of the Portfolio.
(D) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the American Beacon Master Trust International Equity Portfolio.
(E) Causeway Capital Management, LLC replaced Merrill Lynch Investment
Managers, L.P. as investment advisor to the International Equity Fund on
August 31, 2001.
(F) Independence Investment LLC was removed as an investment advisor to the
International Equity Fund on October 24, 2003.
(G) Not annualized
(H) Portfolio turnover rate is for the period November 1, 2002 through October
31, 2003.
(I) Amounts represent less than $0.01 per share.
- --------------------------------------------------------------------------------
16
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS SERVICE CLASS AMR CLASS
- -------------------------------------------------------------------- --------------------------------------- -----------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED MAY 1 TO ENDED
APRIL 30, -------------------------------------------------- APRIL 31, OCTOBER 31, OCTOBER 31, APRIL 31,
2005 2004(B) 2003(F) 2002 2001(E) 2000 2005 2004(B) 2003(F) 2005
----------- -------- -------- ------- -------- ------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 18.31 $ 15.34 $ 11.95 $ 13.58 $ 17.72 $ 19.13 $18.24 $ 15.31 $ 12.18 $ 18.58
-------- -------- -------- ------- -------- ------- ------ --------- ---------- --------
0.19 0.26 0.22 0.15 0.19 0.31 0.20 0.30 0.09 0.24
1.24 3.08 3.46 (1.56) (2.92) 0.18 1.20 2.99 3.04 1.26
-------- -------- -------- ------- -------- ------- ------ --------- ---------- --------
1.43 3.34 3.68 (1.41) (2.73) 0.49 1.40 3.29 3.13 1.50
-------- -------- -------- ------- -------- ------- ------ --------- ---------- --------
(0.22) (0.37) (0.29) (0.22) (0.17) (0.26) (0.26) (0.36) -- (0.29)
-- -- -- -- (1.24) (1.64) -- -- -- --
-------- -------- -------- ------- -------- ------- ------ --------- ---------- --------
(0.22) (0.37) (0.29) (0.22) (1.41) (1.90) (0.26) (0.36) -- (0.29)
-------- -------- -------- ------- -------- ------- ------ --------- ---------- --------
--(I) --(I) --(I) -- -- -- --(I) --(I) --(I) --(I)
-------- -------- -------- ------- -------- ------- ------ --------- ---------- --------
$ 19.52 $ 18.31 $ 15.34 $ 11.95 $ 13.58 $ 17.72 $19.38 $ 18.24 $ 15.31 $ 19.79
======== ======== ======== ======= ======== ======= ====== ========= ========== ========
7.72%(G) 22.16% 31.62% (10.57)% (16.79)% 2.08% 7.62%(G) 21.88% 25.70%(G) 8.06%(G)
======== ======== ======== ======= ======== ======= ====== ========= ========== ========
$468,135 $310,540 $177,425 $99,636 $113,948 $85,680 $2,410 $ 739 $ 1 $540,119
0.96% 1.02% 1.10% 1.04% 1.10% 1.01% 1.23% 1.27% 1.50% 0.45%
1.96% 1.46% 1.68% 1.35% 1.22% 1.43% 1.74% 0.81% 1.33% 2.35%
-- -- -- -- -- -- -- 4.99% 1,137.58% --
18%(G) 36% 44% 43% 36% 45% 18%(G) 36% 44%(H) 18%(G)
<Caption>
AMR CLASS
- --- ----------------------------------------------------
YEAR ENDED OCTOBER 31,
----------------------------------------------------
2004(B) 2003(F) 2002 2001(E) 2000
-------- -------- -------- -------- --------
$ 15.54 $ 12.18 $ 13.86 $ 18.07 $ 19.46
-------- -------- -------- -------- --------
0.34 0.29 0.24 0.28 0.41
3.14 3.46 (1.62) (2.98) 0.20
-------- -------- -------- -------- --------
3.48 3.75 (1.38) (2.70) 0.61
-------- -------- -------- -------- --------
(0.44) (0.39) (0.30) (0.27) (0.36)
-- -- -- (1.24) (1.64)
-------- -------- -------- -------- --------
(0.44) (0.39) (0.30) (1.51) (2.00)
-------- -------- -------- -------- --------
--(I) --(I) -- -- --
-------- -------- -------- -------- --------
$ 18.58 $ 15.54 $ 12.18 $ 13.86 $ 18.07
======== ======== ======== ======== ========
22.84% 31.77% (10.26)% (16.35)% 2.69%
======== ======== ======== ======== ========
$460,114 $322,801 $264,579 $301,762 $428,329
0.49% 0.52% 0.49% 0.52% 0.46%
1.97% 2.22% 1.81% 1.78% 1.92%
-- -- -- -- --
36% 44% 43% 36% 45%
</Table>
- --------------------------------------------------------------------------------
17
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ ----------
(DOLLARS IN THOUSANDS)
STOCKS - 94.33%
AUSTRALIA - 1.54%
AUSTRALIA PREFERRED STOCK - 0.16%
AMP Limited.................. 697,790 $ 3,691
----------
TOTAL AUSTRALIA PREFERRED
STOCK.................. 3,691
----------
AUSTRALIA COMMON STOCK - 1.38%
Alumina Limited.............. 983,760 4,420
Commonwealth Bank of
Australia.................. 216,840 6,174
Macquarie Airports Management
Limited+................... 2,137,138 5,622
Macquarie Infrastructure
Group+..................... 1,293,774 3,688
National Australia Bank...... 356,430 8,140
The News Corporation
Limited.................... 189,580 2,897
----------
TOTAL AUSTRALIA COMMON
STOCK.................. 30,941
----------
TOTAL AUSTRALIA.......... 34,632
----------
CANADA COMMON STOCK - 1.61%
Alcan, Incorporated.......... 138,171 4,480
BCE, Incorporated............ 318,360 7,641
Celestica, Incorporated+..... 757,200 8,756
Husky Energy,
Incorporated(+)............ 141,880 4,132
Manulife Financial
Corporation................ 241,365 11,062
----------
TOTAL CANADA COMMON
STOCK.................. 36,071
----------
DENMARK COMMON STOCK - 0.08%
Vestas Wind Systems+(+)...... 147,226 1,862
----------
TOTAL DENMARK COMMON
STOCK.................. 1,862
----------
FINLAND COMMON STOCK - 2.00%
KCI Konecranes Oyj(+)........ 112,450 4,409
M-real Oyj................... 459,670 2,491
Nokia Oyj(+)................. 891,700 14,250
Stora Enso Oyj............... 619,200 8,214
UPM-Kymmene Oyj.............. 768,000 15,357
----------
TOTAL FINLAND COMMON
STOCK.................. 44,721
----------
FRANCE COMMON STOCK - 10.49%
Accor S.A.(+)................ 109,880 5,022
AXA(+)....................... 729,681 17,988
BNP Paribas S.A.(+).......... 279,678 18,429
Carrefour S.A.(+)............ 347,797 16,903
Compagnie Generale des
Etablissements
Michelin(+)................ 103,230 6,253
</Table>
<Table>
<Caption>
SHARES VALUE
------------ ----------
(DOLLARS IN THOUSANDS)
Credit Agricole S.A.(+)...... 368,654 $ 9,545
France Telecom S.A.+......... 690,390 20,210
Lagardere S.C.A.(+).......... 84,200 6,089
Sanofi-Synthelabo(+)......... 616,127 54,558
Schneider Electric S.A.(+)... 186,300 13,413
Suez S.A.(+)................. 244,630 6,683
Total S.A.(+)................ 191,940 42,596
Vinci S.A.(+)................ 115,640 17,374
----------
TOTAL FRANCE COMMON
STOCK.................. 235,063
----------
GERMANY - 7.44%
GERMANY PREFERRED STOCK - 2.07%
Commerzbank AG(+)............ 134,900 2,962
Depfa Bank plc............... 585,737 9,030
Deutsche Telekom+(+)......... 747,000 13,960
Heidelberger Druck+(+)....... 119,900 3,382
Karstadt Quelle AG+(+)....... 570,934 5,511
Schering AG(+)............... 175,800 11,604
----------
TOTAL GERMANY PREFERRED
STOCK.................. 46,449
----------
GERMANY COMMON STOCK - 5.37%
BASF AG+(+).................. 83,920 5,432
Bayer AG(+).................. 157,500 5,168
Celesio AG(+)................ 135,245 10,717
Deutsche Post AG............. 1,168,012 27,348
E.ON AG+(+).................. 269,380 22,706
Merck KGaA(+)................ 44,840 3,433
Muenchener Rueckversicherung-
Gesellschaft AG+(+)........ 23,787 2,610
Porsche AG................... 8,068 5,222
Siemens AG................... 193,300 14,170
Volkswagen AG(+)............. 563,960 23,484
----------
TOTAL GERMANY COMMON
STOCK.................. 120,290
----------
TOTAL GERMANY............ 166,739
----------
HONG KONG COMMON STOCK - 1.96%
Cheung Kong Holdings
Limited.................... 761,000 7,198
China Netcom Group........... 3,622,000 4,889
Henderson Land Development
Company Limited............ 2,045,000 9,534
Hutchison Whampoa Limited.... 207,000 1,857
PetroChina Company Limited... 20,252,000 12,025
Swire Pacific Limited+....... 995,500 8,365
----------
TOTAL HONG KONG COMMON
STOCK.................. 43,868
----------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
18
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ ----------
(DOLLARS IN THOUSANDS)
IRELAND COMMON STOCK - 1.83%
Allied Irish Banks plc....... 513,213 $ 10,442
Bank of Ireland.............. 999,300 15,087
CRH plc...................... 616,495 15,342
----------
TOTAL IRELAND COMMON
STOCK.................. 40,871
----------
ITALY COMMON STOCK - 2.49%
Enel S.p.A. ................. 796,460 7,559
Eni S.p.A.(+)................ 864,747 21,718
Finmeccanica S.p.A.(+)....... 7,173,200 6,664
Riunione Adriatica di Sicurta
S.p.A.(+).................. 224,303 4,887
Telecom Italia S.p.A.(+)..... 1,448,489 4,913
UniCredito Italiano
S.p.A.(+).................. 1,789,100 10,039
----------
TOTAL ITALY COMMON
STOCK.................. 55,780
----------
JAPAN COMMON STOCK - 15.16%
Aiful Corporation............ 48,250 3,590
Aiful Corporation,
warrants................... 24,125 1,760
Acom Company Limited......... 145,520 9,334
Alps Electric Company
Limited(+)................. 390,700 6,108
Canon, Incorporated.......... 188,300 9,778
DENSO Corporation............ 105,500 2,485
East Japan Railway Company... 1,794 9,324
FANUC Limited................ 143,000 8,417
Fujitsu Limited.............. 1,693,000 9,241
Hitachi Limited+............. 713,000 4,163
Honda Motor Company
Limited.................... 245,700 11,729
Hoya Corporation............. 67,800 7,058
Japan Tobacco, Incorporated.. 93 1,195
The Joyo Bank Limited........ 229,000 1,141
Kao Corporation.............. 264,000 6,053
KDDI Corporation+............ 1,682 7,759
Komatsu Limited.............. 581,000 4,086
Konica Corporation........... 1,230,840 11,839
Mabuchi Motor Company
Limited.................... 60,700 3,640
Minebea Company Limited...... 1,549,000 6,136
Murata Manufacturing Company
Limited.................... 295,800 14,563
NEC Corporation.............. 434,000 2,379
NEC Electronics Corporation.. 78,400 3,516
Nintendo Company Limited..... 53,200 6,024
Nippon Express Company....... 1,504,500 7,271
Nippon Telegraph & Telephone
Corporation+............... 1,294 5,376
Nomura Holdings,
Incorporated............... 1,141,400 14,306
NTT DoCoMo, Incorporated..... 3,725 5,736
</Table>
<Table>
<Caption>
SHARES VALUE
------------ ----------
(DOLLARS IN THOUSANDS)
Promise Company Limited...... 197,050 $ 12,708
ROHM Company Limited......... 6,000 564
Sekisui House Limited........ 548,000 5,761
Seiko Epson Corporation...... 143,200 4,952
Shinsei Bank, Limited........ 984,000 5,324
Shin-Etsu Chemical Company
Limited.................... 371,000 13,654
Sompo Japan Insurance,
Incorporated............... 628,000 6,060
Sony Corporation(+).......... 343,000 12,417
Sumitomo Chemical Company
Limited.................... 1,671,600 8,522
Sumitomo Trust and Banking
Company Limited............ 863,000 5,379
Takeda Chemical Industries
Limited.................... 448,800 21,799
Takefuji Corporation......... 345,100 21,669
Tokyo Gas Company
Limited(+)................. 2,408,000 9,631
Toyoda Gosei Company
Limited(+)................. 209,988 3,825
Toyota Motor Corporation..... 350,600 12,705
Yamanouchi Pharmaceutical
Company Limited............ 296,100 10,744
----------
TOTAL JAPAN COMMON
STOCK.................. 339,721
----------
MEXICO COMMON STOCK - 0.17%
Telefonos de Mexico, S.A. de
C.V., ADR.................. 111,700 3,787
----------
TOTAL MEXICO COMMON
STOCK.................. 3,787
----------
NETHERLANDS COMMON STOCK - 6.98%
ABN AMRO Holding N.V.(+)..... 368,276 9,014
CNH Global N.V. ............. 34,330 617
Fortis Bank N.V.+............ 218,600 6,066
Heineken N.V. ............... 272,415 8,656
IHC Caland N.V.(+)........... 78,300 5,090
ING Groep N.V. .............. 859,014 23,553
Koninklijke (Royal) Philips
Electronics N.V. .......... 1,498,568 37,380
Reed Elsevier N.V. .......... 200,230 2,882
Royal Dutch Petroleum
Company+................... 512,050 29,864
TPG N.V.+.................... 526,811 14,328
Unilever N.V. ............... 78,447 5,055
Vedior N.V.(+)............... 183,444 2,821
VNU N.V.(+).................. 173,280 4,877
Wolters Kluwer N.V. ......... 351,700 6,262
----------
TOTAL NETHERLANDS COMMON
STOCK.................. 156,465
----------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
19
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ ----------
(DOLLARS IN THOUSANDS)
NEW ZEALAND COMMON STOCK - 0.65%
Carter Holt Harvey Limited... 2,279,757 $ 3,102
Telecom Corporation of New
Zealand Limited............ 2,608,314 11,571
----------
TOTAL NEW ZEALAND COMMON
STOCK.................. 14,673
----------
NORWAY COMMON STOCK - 1.18%
Frontline Limited+........... 5,900 261
Norsk Hydro ASA(+)........... 50,830 4,004
Ship Finance International
Limited.................... 2,065 38
Statoil ASA(+)............... 392,200 6,906
Telenor ASA(+)............... 1,828,790 15,275
----------
TOTAL NORWAY COMMON
STOCK.................. 26,484
----------
PORTUGAL COMMON STOCK - 0.85%
Portugal Telecom, SGPS,
S.A. ...................... 1,738,233 19,082
----------
TOTAL PORTUGAL COMMON
STOCK.................. 19,082
----------
SINGAPORE COMMON STOCK - 1.51%
Creative Technology Limited.. 659,320 5,692
Development Bank of Singapore
Group Holdings Limited..... 1,523,495 13,328
Oversea-Chinese Banking
Corporation Limited........ 1,106,650 9,084
United Overseas Bank
Limited.................... 659,000 5,768
----------
TOTAL SINGAPORE COMMON
STOCK.................. 33,872
----------
SOUTH KOREA COMMON STOCK - 0.61%
Kookmin Bank, ADR............ 140,510 6,007
Korea Electric Power
Corporation................ 86,860 2,523
LG Electronics,
Incorporated............... 76,760 5,157
----------
TOTAL SOUTH KOREA COMMON
STOCK.................. 13,687
----------
SPAIN COMMON STOCK - 3.00%
Altadis S.A. ................ 76,432 3,244
Banco Popular Espanol
S.A.(+).................... 105,280 6,560
Banco Santander Central
Hispano SA................. 619,194 7,230
Enagas S.A. ................. 422,285 6,677
Endesa S.A.+(+).............. 274,000 5,987
Iberdrola S.A.(+)............ 227,197 5,924
Repsol YPF S.A.+(+).......... 284,340 7,227
Telefonica S.A.+(+).......... 1,428,261 24,287
----------
TOTAL SPAIN COMMON
STOCK.................. 67,136
----------
SWEDEN COMMON STOCK - 2.23%
Atlas Copco AB(+)............ 163,810 7,447
Autoliv, Incorporated+(+).... 156,650 6,976
</Table>
<Table>
<Caption>
SHARES VALUE
------------ ----------
(DOLLARS IN THOUSANDS)
Electrolux AB(+)............. 256,480 $ 5,184
ForeningsSparbanken AB(+).... 144,600 3,403
Nordea AB+................... 641,720 6,088
Securitas AB(+).............. 397,230 6,380
Stora Enso Oyj, Series A..... 70,802 946
Stora Enso Oyj, Series
R(+)....................... 222,142 2,964
TDC A/S+(+).................. 116,000 4,955
Volvo AB(+).................. 140,410 5,696
----------
TOTAL SWEDEN COMMON
STOCK.................. 50,039
----------
SWITZERLAND COMMON STOCK - 7.19%
Adecco SA(+)................. 143,820 6,949
Ciba Specialty Chemicals
Holding, Incorporated...... 139,900 8,759
Compagnie Financiere
Richemont AG+.............. 191,300 5,699
Credit Suisse Group(+)....... 578,749 24,362
Geberit AG(+)................ 8,512 5,712
Lonza Group AG(+)............ 162,473 9,782
Nestle SA+(+)................ 106,550 27,980
Novartis AG.................. 494,730 24,075
Swiss Reinsurance(+)......... 344,520 22,844
Syngenta AG.................. 71,951 7,443
UBS AG(+).................... 68,050 5,456
Zurich Financial Services
AG+........................ 70,800 11,959
----------
TOTAL SWITZERLAND COMMON
STOCK.................. 161,020
----------
UNITED KINGDOM COMMON STOCK - 25.36%
Alliance Unichem plc......... 409,450 6,243
AMVESCAP plc................. 353,530 2,055
Anglo American plc........... 214,690 4,784
Aviva plc.................... 902,640 10,188
BAA plc...................... 950,007 10,525
BAE Systems plc+............. 5,938,540 28,997
Barclays plc................. 1,461,500 15,053
Barratt Development plc...... 568,600 6,470
BHP Billiton plc............. 337,709 4,116
BOC Group.................... 533,162 9,880
BP plc....................... 1,851,020 18,855
Brambles Industries plc...... 700,641 3,909
British American Tobacco
Industries plc............. 783,545 14,665
British Sky Broadcasting
Group plc.................. 721,280 7,465
BT Group plc+................ 2,520,579 9,632
Cadbury Schweppes plc........ 1,838,870 18,490
Centrica plc................. 2,245,774 9,527
Cobham plc................... 92,280 2,281
Compass Group plc............ 2,900,610 12,977
Diageo plc................... 2,323,450 34,397
GKN plc...................... 1,586,700 6,995
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
20
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ ----------
(DOLLARS IN THOUSANDS)
GlaxoSmithKline plc+......... 1,997,898 $ 50,288
Hanson plc................... 922,955 8,524
HSBC Holdings plc............ 1,178,865 18,844
Imperial Tobacco Group plc... 344,340 9,852
Kesa Electricals plc......... 507,200 2,576
Kingfisher plc............... 2,072,268 9,767
Lloyds TSB Group plc......... 1,835,644 15,764
Marks and Spencer Group
plc+....................... 1,358,500 8,769
National Grid Transco plc.... 562,700 5,537
Pearson plc.................. 423,250 5,145
Prudential plc............... 1,036,550 9,348
Reed Elsevier plc+........... 887,360 8,678
Rentokil Initial plc......... 3,589,170 10,770
Reuters Group plc+........... 1,300,658 9,578
Rolls-Royce plc.............. 1,128,050 5,120
Rolls-Royce plc, B shares+... 56,402,500 108
Royal Bank of Scotland Group
plc........................ 1,422,328 42,913
J. Sainsbury plc............. 1,311,659 7,082
Shell Transport & Trading
Company plc................ 2,743,210 24,567
Shire Pharmaceuticals Group
plc........................ 378,040 3,928
Smiths Group plc............. 455,630 7,471
</Table>
<Table>
<Caption>
SHARES VALUE
------------ ----------
(DOLLARS IN THOUSANDS)
Standard Chartered plc....... 184,450 $ 3,326
TI Automotive*............... 681,500 --
Unilever plc................. 3,615,347 34,411
Vodafone Group plc........... 8,414,741 21,964
Yell Group plc............... 843,830 6,475
----------
TOTAL UNITED KINGDOM
COMMON STOCK........... 568,309
----------
TOTAL STOCKS............. 2,113,882
----------
SHORT TERM INVESTMENTS - 30.49%
American Beacon Enhanced Cash
Trust (Notes A and B)...... 402,179,722 402,180
American Beacon Money Market
Select Fund (Notes A and
B)......................... 281,024,237 281,024
----------
TOTAL SHORT TERM
INVESTMENTS............ 683,204
----------
TOTAL INVESTMENTS - 124.82%
(COST $2,461,886).......... 2,797,086
----------
LIABILITIES, NET OF OTHER
ASSETS - (24.82%).......... (556,146)
----------
TOTAL NET ASSETS - 100%...... $2,240,940
==========
</Table>
- ---------------
(A) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(B) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+) - All or a portion of the security is on loan at April 30, 2005. See Note
4.
+ - Non-income producing security.
* - Valued at fair value pursuant to procedures approved by the Board of
Trustees.
See accompanying notes
- --------------------------------------------------------------------------------
21
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
(dollars in thousands)
<Table>
<Caption>
UNREALIZED
NO. OF EXPIRATION MARKET APPRECIATION/
ISSUER CONTRACTS DATE VALUE (DEPRECIATION)
- ------ --------- ---------- -------- --------------
France CAC 40 Index........................................ 258 June 2005 $ 12,785 $ (464)
Germany DAX Index.......................................... 67 June 2005 9,099 (348)
UK FTSE 100 Index.......................................... 373 June 2005 34,166 (1,185)
Hang Seng Index............................................ 26 May 2005 2,290 3
Italy MIB 30 Index......................................... 28 June 2005 5,520 (154)
Tokyo FE TOPIX Index....................................... 269 June 2005 28,793 (1,388)
Spain IBEX 35 Index........................................ 46 May 2005 5,312 (195)
Sweden OMX Index........................................... 318 May 2005 3,337 (96)
Canada S&PCDA 60 Index..................................... 108 June 2005 8,986 (208)
Australia SPI Index........................................ 91 June 2005 7,082 (383)
Netherlands 200 AEX Index.................................. 73 May 2005 6,544 (301)
-------- -------
$123,914 $(4,719)
======== =======
</Table>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
(dollars in thousands)
<Table>
<Caption>
SETTLEMENT MARKET UNREALIZED
CONTRACTS TO DELIVER DATE VALUE GAIN/(LOSS)
- -------------------- ---------- ------- -----------
4,096 Australian Dollar................................. 6/17/2005 $ 3,187 $ (49)
5,343 Canadian Dollar................................... 6/17/2005 4,249 158
11,826 Euro Currency.................................... 6/17/2005 15,239 51
1,343,167 Japanese Yen.................................. 6/17/2005 12,865 (321)
7,667 Pound Sterling.................................... 6/17/2005 14,588 (254)
10,877 Swedish Krona.................................... 6/17/2005 1,525 13
4,659 Swiss Franc....................................... 6/17/2005 3,911 (20)
------- -----
TOTAL CONTRACTS TO DELIVER
(RECEIVABLE AMOUNT $55,142)........................... $55,564 $(422)
======= =====
</Table>
<Table>
<Caption>
SETTLEMENT MARKET UNREALIZED
CONTRACTS TO RECEIVE DATE VALUE GAIN/(LOSS)
- -------------------- ---------- -------- -----------
11,320 Australian Dollar............................... 6/17/2005 $ 8,809 $ (42)
13,869 Canadian Dollar................................. 6/17/2005 11,030 (461)
36,557 Euro Currency................................... 6/17/2005 47,108 (1,856)
3,762,860 Japanese Yen................................. 6/17/2005 36,041 (34)
22,831 Pound Sterling.................................. 6/17/2005 43,440 (57)
28,500 Swedish Krona................................... 6/17/2005 3,997 (203)
14,255 Swiss Franc..................................... 6/17/2005 11,965 (385)
-------- -------
TOTAL CONTRACTS TO RECEIVE
(PAYABLE AMOUNT $165,428)............................ $162,390 $(3,038)
======== =======
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
22
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
INDUSTRY DIVERSIFICATION
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
NET ASSETS
----------
Consumer Discretionary...................................... 12.52%
Consumer Staples............................................ 8.39%
Energy...................................................... 7.67%
Financials.................................................. 23.22%
Health Care................................................. 8.81%
Industrials................................................. 11.33%
Information Technology...................................... 4.22%
Materials................................................... 6.40%
Short-Term Investments...................................... 30.49%
Telecommunications Services................................. 8.08%
Utilities................................................... 3.69%
Liabilities, Net of Other Assets............................ -24.82%
-------
100.00%
=======
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
23
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2005 (unaudited) (in thousands)
- --------------------------------------------------------------------------------
<Table>
ASSETS:
Investments in unaffiliated securities, at value(A C)... $2,113,882
Investments in affiliated securities, at value(B)....... 683,204
Cash denominated in foreign currency (cost $19,049)..... 19,051
Deposit with broker for futures contracts............... 5,627
Dividends and interest receivable....................... 9,572
Reclaims receivable..................................... 278
Receivable for investments sold......................... 6,767
Receivable for variation margin on open futures
contracts.............................................. 105
----------
TOTAL ASSETS........................................ 2,838,486
----------
LIABILITIES:
Payable for investments purchased....................... 5,834
Payable upon return of securities loaned................ 585,721
Management and investment advisory fees payable (Note
2)..................................................... 1,988
Unrealized depreciation on foreign currency contracts... 3,460
Other liabilities....................................... 543
----------
TOTAL LIABILITIES................................... 597,546
----------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $2,240,940
==========
- ---------------
(A) Cost of unaffiliated securities......................... $1,778,682
(B) Cost of affiliated securities........................... $ 683,204
(C) Market value of securities on loan...................... $ 557,192
</Table>
STATEMENT OF OPERATIONS
Six months ended April 30, 2005 (unaudited) (in thousands)
- --------------------------------------------------------------------------------
<Table>
INVESTMENT INCOME:
Interest income......................................... $ 122
Dividend income from unaffiliated securities (net of
foreign taxes of $4,786)............................... 27,815
Dividend income from affiliated securities.............. 1,654
Income derived from commission recapture (Note 5)....... 217
Income derived from securities lending, net (Note 4).... 669
--------
TOTAL INVESTMENT INCOME............................. 30,477
--------
EXPENSES:
Management and investment advisory fees (Note 2)........ 3,739
Custodian fees.......................................... 599
Professional fees....................................... 61
Other expenses.......................................... 38
--------
TOTAL EXPENSES...................................... 4,437
--------
NET INVESTMENT INCOME....................................... 26,040
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on:
Investments........................................... 57,537
Foreign currency transactions......................... 43,256
Futures contracts..................................... 15,287
Change in net unrealized appreciation or depreciation
of:
Investments........................................... 31,328
Foreign currency contracts and translations........... (20,519)
Futures contracts..................................... (4,531)
Net increase from payments by affiliates................ 383
--------
NET GAIN ON INVESTMENTS............................. 122,741
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $148,781
========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
24
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS (IN THOUSANDS)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCTOBER 31,
2005 2004
----------- -----------
(UNAUDITED)
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 26,040 $ 31,238
Net realized gain (loss) on investments, futures
contracts and foreign currency transactions............ 116,080 117,757
Net increase from payments by affiliates................ 383 --
Change in net unrealized appreciation or depreciation of
investments, futures contracts and foreign currency
translations........................................... 6,278 162,138
---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... 148,781 311,133
---------- ----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions........................................... 452,252 676,161
Withdrawals............................................. (243,094) (387,228)
---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS..... 209,158 288,933
---------- ----------
NET INCREASE IN NET ASSETS.................................. 357,939 600,066
---------- ----------
NET ASSETS:
Beginning of period..................................... 1,883,001 1,282,935
---------- ----------
END OF PERIOD........................................... $2,240,940 $1,883,001
========== ==========
- ---------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ---------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -----------------------------------------
2005 2004 2003 2002 2001 2000
----------- ------ ------ ------- ----- -----
(UNAUDITED)
TOTAL RETURN........................................... 8.07%(A) 22.85% 31.97% (10.25%) N/A N/A
RATIOS TO AVERAGE NET ASSETS:
Expenses........................................... 0.41% 0.46% 0.49% 0.47% 0.49% 0.44%
Net investment income.............................. 2.42% 1.99% 2.26% 1.86% 1.82% 1.93%
PORTFOLIO TURNOVER RATE................................ 18%(A) 36% 44% 43% 36% 45%
</Table>
- ---------------
(A) Not annualized.
See accompanying notes
- --------------------------------------------------------------------------------
25
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American Beacon Master Trust (the "Trust"), formerly known as AMR
Investment Services Trust, is registered under the Investment Company Act of
1940, as amended, as a no-load, open-end management investment company that was
organized as a trust under the laws of the Commonwealth of Massachusetts
pursuant to a Declaration of Trust dated as of November 1, 2004. Prior to
November 1, 2004, the Trust was organized as a trust under the laws of the State
of New York. The American Beacon Master Trust International Equity Portfolio
(the "Portfolio") is one of the portfolios of the Trust. The Portfolio commenced
active operations on November 1, 1995. The Declaration of Trust permits the
Board of Trustees (the "Board") to issue beneficial interests in the Portfolio.
American Beacon Advisors, Inc. (the "Manager"), formerly known as AMR
Investment Services, Inc., is a wholly-owned subsidiary of AMR Corporation, the
parent company of American Airlines, Inc. ("American"), and was organized in
1986 to provide business management, advisory, administrative and asset
management consulting services.
The following is a summary of the significant accounting policies followed
by the Portfolio.
Security Valuation
Investments are valued at the close of the New York Stock Exchange (the
"Exchange"), normally 4 p.m. ET, each day that the Exchange is open for
business. Equity securities for which market quotations are available are valued
at the last sale price or official closing price (closing bid price or last
evaluated quote if no sale has occurred) on the primary market or exchange on
which they trade.
Debt securities (other than short-term securities) normally are valued on
the basis of prices provided by a pricing service and may take into account
appropriate factors such as institution-size trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics and other market data. When a price is unavailable from a
pricing service or when the price provided by the pricing service is deemed not
to represent fair value, the prices of debt securities may be determined using
quotes obtained from brokers.
Investments in mutual funds are valued at the closing net asset value per
share of the mutual fund on the day of valuation. Investment grade short-term
obligations with 60 days or less to maturity are valued using the amortized cost
method which approximates market value.
Securities for which the above valuation procedures are inappropriate or
are deemed not to reflect fair value are valued at fair value, as determined in
good faith and pursuant to procedures approved by the Board.
Most foreign markets close before the Exchange. Developments that could
affect the values of securities that occur between the close of a foreign market
and the close of the Exchange normally will not be reflected in security
valuations. If such developments are so significant such that they will, in the
judgement of the pricing committee of the Portfolio, clearly and materially
affect the value of securities, the previous closing prices may be adjusted to
reflect the fair value of the securities as of the close of the Exchange, as
determined in good faith and pursuant to procedures approved by the Board.
Adjustments to closing prices to reflect fair value on affected foreign
securities may be provided by an independent pricing service.
- --------------------------------------------------------------------------------
26
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale.
The Portfolio may purchase securities with delivery or payment to occur at
a later date. At the time the Portfolio enters into a commitment to purchase a
security, the transaction is recorded and the value of the security is reflected
in the net asset value. The value of the security may vary with market
fluctuations.
Dividend income is recorded on the ex-dividend date except certain
dividends from foreign securities which are recorded as soon as the information
is available to the Portfolio. Interest income is earned from settlement date,
recorded on the accrual basis, and adjusted, if necessary, for accretion of
discounts and amortization of premiums. For financial and tax reporting
purposes, realized gains and losses are determined on the basis of specific lot
identification.
There is uncertainty regarding the collectibility of tax reclaims by the
Portfolio due to its partnership status for federal income tax purposes. As
such, the Portfolio did not accrue tax reclaims totaling $1,003,094 during the
period. Upon determination of the Portfolio's entitlement to benefits under
foreign tax treaties, if any, tax reclaim income will be accrued.
Currency Translation
All assets and liabilities initially expressed in foreign currency values
are converted into U.S. dollar values at the mean of the bid and ask prices of
such currencies against U.S. dollars as last quoted by a recognized dealer.
Income, expenses and purchases and sales of investments are translated into U.S.
dollars at the rate of exchange prevailing on the respective dates of such
transactions. The effect of changes in foreign currency exchange rates on
investments is separately identified from the fluctuations arising from changes
in market values of securities held and is reported with all other foreign
currency gains and losses in the Portfolio's Statement of Operations.
Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts to hedge
the exchange rate risk on investment transactions or to hedge the value of
portfolio securities denominated in foreign currencies. Forward foreign currency
contracts are valued at the forward exchange rate prevailing on the day of
valuation. The Portfolio bears the market risk that arises from changes in
foreign exchange rates, and accordingly, the unrealized gain (loss) on these
contracts is reflected in the accompanying financial statements. The Portfolio
also bears the credit risk if the counterparty fails to perform under the
contract.
Futures Contracts
The Portfolio may enter into financial futures contracts which are
contracts to buy a standard quantity of securities at a specified price on a
future date. The Portfolio may purchase or sell futures contracts and options on
futures contracts as a method for keeping assets readily convertible to cash if
needed to meet shareholder redemptions or for other needs while maintaining
exposure to the stock market. The primary risks associated with the use of
futures contracts are the possibility of illiquid markets or imperfect
correlation between the values of the contracts and the underlying securities,
or that the counterparty will fail to perform its obligations.
- --------------------------------------------------------------------------------
27
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Upon entering into a futures contract, the Portfolio is required to set
aside or deposit with a broker an amount, termed the initial margin, which
typically represents 5% of the face value of the futures contract. The initial
margin amount is reflected as Deposit with broker for futures contracts on the
Statement of Assets and Liabilities. Payments to and from the broker, known as
variation margin, are required to be made on a daily basis as the price of the
futures contract fluctuates. Changes in initial settlement values are accounted
for as unrealized appreciation (depreciation) until the contracts are
terminated, at which time realized gains and losses are recognized. Futures
contracts are valued at the most recent settlement price established each day by
the exchange on which they are traded.
Federal Income and Excise Taxes
The Portfolio will be treated as a partnership for federal income tax
purposes. As such, each investor will be taxed on its share of the Portfolio's
ordinary income and capital gains. It is intended that the Portfolio's assets
will be managed in such a way that an investor in the Portfolio will be able to
satisfy the requirements of subchapter M of the Internal Revenue Code.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liability arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that provide indemnification to the other party or parties against
potential costs or liabilities. The Trust's maximum exposure under these
arrangements is dependent on claims that may be made in the future and,
therefore, cannot be estimated. The Trust has had no prior claims or losses
pursuant to any such agreement.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement that
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory, portfolio management and securities lending services.
Investment assets of the Portfolio are managed by multiple investment advisors
which have entered into separate investment advisory agreements with the
Manager. As compensation for performing the duties required under the Management
Agreement, the Manager receives from the Portfolio an annualized fee equal to
..10% of the average daily net assets plus amounts paid by the Manager to the
investment advisors hired by the Manager to direct investment activities of the
Portfolio. Management fees paid during the period were as follows (dollars in
thousands):
<Table>
<Caption>
AMOUNTS PAID TO NET AMOUNTS
MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY
FEE RATE FEE ADVISORS MANAGER
- ---------- ---------- --------------- -----------
..25%-.60% $3,739 $2,660 $1,079
</Table>
- --------------------------------------------------------------------------------
28
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
As compensation for services provided by the Manager in connection with
securities lending activities, the Portfolio pays to the Manager, with respect
to cash collateral posted by borrowers, a fee up to 25% of the net monthly
interest income (the gross interest income earned by the investment of cash
collateral, less the amount paid to borrowers and related expenses) from such
activities and, with respect to loan fees paid by borrowers when a borrower
posts collateral other than cash, a fee up to 25% of such loan fees. During the
six months ended April 30, 2005, the Portfolio paid securities lending fees of
$149,000 to the Manager.
Investment in Affiliated Funds
The Portfolio is permitted, pursuant to an exemptive order by the
Securities and Exchange Commission ("SEC") and approved procedures by the Board,
to invest up to 25% of its total assets in the American Beacon Money Market
Select Fund (the "Select Fund"), an affiliated fund. The Portfolio and the
Select Fund have the same investment advisor and therefore, are considered to be
affiliated. Cash collateral received by the Portfolio in connection with
securities lending may be invested in the Select Fund and the American Beacon
Enhanced Cash Trust (collectively, the "Affiliated Funds"). The Manager serves
as Trustee and investment advisor to the Affiliated Funds and receives an
annualized fee equal to 0.10% of the average daily net assets of the Affiliated
Funds. During the period, the Manager earned fees from the Affiliated Funds
totaling $71,225 on the Portfolio's direct investment in the Affiliated Funds,
and $218,265 from securities lending collateral invested in the Affiliated
Funds.
During the period, the Fund had purchases of $649,620,000 and sales of
$682,868,000, for an ending balance of $97,483,000, excluding balances held in
the securities lending collateral account.
Interfund Lending Program
Pursuant to an exemptive order by the SEC, the Portfolio, along with other
registered investment companies having management contracts with the Manager,
may participate in an interfund lending program. This program provides an
alternative credit facility allowing the Portfolio to borrow from, or lend money
to, other participating series managed by the Manager. At April 30, 2005, the
Portfolio had not utilized the credit facility.
Other
Certain officers or Trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. Mr. Feld and the non-interested Trustees (other than
Mr. O'Sullivan) and their spouses are provided free unlimited air transportation
on American. Retired Trustees and their spouses are provided free air
transportation on American, up to a maximum annual value of $40,000. The Trust
compensates each Trustee with payments in an amount equal to the Trustee's
income tax on the value of this free airline travel. Mr. O'Sullivan, as a
retiree of American, already receives flight benefits. Mr. O'Sullivan receives
an annual retainer of $40,000 plus $1,250 for each Board meeting attended.
During the period ended April 30, 2005, a subadvisor voluntarily reimbursed
the Portfolio for the loss associated with a rights offering that expired
totaling $383,000. The shares that would have been acquired through a full
exercise of the rights were subsequently purchased on the open markets. The
subadvisor reimbursed the Portfolio for the appreciation of the shares over the
exercise
- --------------------------------------------------------------------------------
29
AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
price, transaction costs and foreign exchange costs incurred in making this
purchase in the open market. This reimbursement is reflected in the gain/loss
section of the Statement of Operations.
3. INVESTMENT TRANSACTIONS
The aggregate cost of purchases and proceeds from sales of investments,
other than short-term obligations, (in thousands), for the six months ended
April 30, 2005 were $646,378 and $364,771, respectively.
4. SECURITIES LENDING
The Portfolio may lend its securities to qualified financial institutions,
such as certain broker-dealers, to earn additional income. The borrowers are
required to secure their loans continuously with collateral in an amount at
least equal to 102% (for loans of US securities) or 105% (for non-US securities)
of the market value of the loaned securities at the inception of each loan.
Collateral is marked to market and monitored daily. To the extent that a loan is
collateralized by cash, such collateral shall be invested by the securities
lending agent (the "Agent") in short-term instruments, money market mutual
funds, and such other short-term investments, provided the investments meet
certain quality and diversification requirements.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Portfolio and the Agent and is recorded as income for the Portfolio.
To the extent that a loan is secured by non-cash collateral, brokers pay the
Portfolio negotiated lenders' fees, which are divided between the Portfolio and
the Agent and are recorded as securities lending income for the Portfolio. The
Portfolio also continues to receive income on the securities loaned, and any
gain or loss in the market prices of securities loaned that may occur during the
term of the loan.
Risks to the Portfolio in securities lending transactions are that the
borrower may not provide additional collateral when required or return the
securities when due, and that the value of the short-term investments will be
less than the amount of cash collateral required to be returned to the borrower.
At April 30, 2005, securities with a market value of approximately
$557,192,000 were loaned by the Portfolio. Cash collateral held by the custodian
for the Portfolio in an investment in the Affiliated Funds totaled $585,721,000.
5. COMMISSION RECAPTURE
The Portfolio has established brokerage commission recapture arrangements
with certain brokers or dealers. If a Portfolio investment advisor chooses to
execute a transaction through a participating broker, the broker rebates a
portion of the commission back to the Portfolio. Any collateral benefit received
through participation in the commission recapture program is directed
exclusively to the Portfolio.
- --------------------------------------------------------------------------------
30
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND
(Unaudited)
- --------------------------------------------------------------------------------
Renewal of Management Agreement and Investment Advisory Agreements
At their February 23, 2005 meeting, the Trustees considered the renewal of
the existing Management Agreement between the Manager and the Fund and each
Investment Advisory Agreement between the Fund and the sub-advisors. As part of
the renewal process, legal counsel to the Trusts and the independent Trustees
sent information request letters to the Manager and each sub-advisor seeking
certain relevant information. The responses by the Manager and sub-advisors were
provided to the Trustees for their review prior to their meeting, and the
Trustees were provided with the opportunity to request any additional materials.
The Trustees considered, among other materials, responses by the Manager
and the sub-advisors to inquiries requesting:
- a description of any significant changes (actual or anticipated) to
principal activities, personnel, services provided to the Fund, or any
other area, including how these changes might affect the Fund;
- a copy of the firm's most recent audited or unaudited financial
statements as well as Parts I and II of its Form ADV;
- a summary of any material past, pending or anticipated litigation or
regulatory proceedings involving the firm or its personnel, including the
results of any recent regulatory examination or independent audit;
- a comparison of the performance of that portion of Fund assets managed by
each firm with performance of other similar accounts managed by the firm,
including a discussion of relative performance versus a peer group
average and any remedial measures if the firm's performance was
materially below that of the peer group;
- a cost/profitability analysis of the firm and any actual or anticipated
economies of scale in relation to the services it provides to the Fund,
if available;
- an analysis of compensation, including a comparison with fees charged to
other clients for which similar services are provided, any proposed
changes to the fee schedule and the effect of any fee waivers;
- an evaluation of any other benefits to the firm or Fund as a result of
their relationship, if any;
- a description of the scope of portfolio management services provided to
the Fund, including whether such services differ from the services
provided to other clients, including other registered investment
companies;
- a description of the personnel who are assigned primary responsibility
for managing the Fund, including any changes during the past year;
- a description of the basis upon which portfolio managers are compensated,
including any "incentive" arrangements;
- --------------------------------------------------------------------------------
31
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED
(Unaudited)
- --------------------------------------------------------------------------------
- a discussion regarding the firm's participation in "soft dollar"
arrangements, if any, or other brokerage allocation policies with respect
to Fund transactions, including the firm's methodology for obtaining the
most favorable execution and the use of any affiliated broker-dealers;
- a description of any actual or potential conflicts of interest
anticipated in managing Fund assets;
- a discussion of the firm's compliance program with regard to federal,
state, corporate and Fund requirements;
- information regarding the firm's code of ethics, insider trading policy
and disaster recovery plan, including a description of any material
changes thereto;
- a description of the firm's affiliation with any broker-dealer;
- a discussion of any anticipated change in the firm's controlling persons;
and
- verification of the firm's insurance coverage with regards to the
services provided to the Fund.
In addition to the foregoing, the Manager provided the following
information specific to the renewal of the Management Agreement:
- a table comparing the performance of the Fund to appropriate indices,
including comments on the relative performance of each sub-advisor and
the Fund versus comparable indices;
- a discussion of any underperformance by a sub-advisor relative to its
peer group and whether (and if so, why) such sub-advisor should have its
contract renewed;
- a table detailing the Manager's profitability with respect to the Fund;
- an analysis of any material complaints received from Fund shareholders;
- a discussion of the Manager's compliance program;
- a description of the Manager's securities lending practices and the fees
received from such practices;
- a description of the portfolio turnover rate and average execution costs
for the Fund and each sub-advisor to the Fund;
- a discussion of whether the Manager receives, with respect to trade
execution for the Fund, other special compensation, including any payment
for order flow;
- a description of how expenses that are not readily identifiable to the
Fund are allocated; and
- any ideas for the future growth and efficient operation of the Fund.
The Trustees were also provided with an analysis provided by Lipper, Inc.,
which compared: (i) investment performance of the Fund versus comparable
investment companies and appropriate indices; (ii) total Fund expenses versus
comparable mutual funds, and (iii) the Fund's investment advisory fees versus
comparable mutual funds.
Legal counsel provided the Trustees with a memorandum detailing their
responsibilities pertaining to the renewal of the Management and Investment
Advisory Agreements. This memoran-
- --------------------------------------------------------------------------------
32
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED
(Unaudited)
- --------------------------------------------------------------------------------
dum explained the regulatory requirements surrounding the Trustees' process for
evaluating investment advisors and the terms of the contracts.
Considerations and Conclusions with Respect to the Fund
In determining whether to approve the continuance of the Management
Agreement and each Investment Advisory Agreement, the Trustees considered the
best interests of the Fund separately from other series of the Trust. In each
instance, the Trustees considered, among other things, the following factors:
(1) the nature and quality of the services provided; (2) the investment
performance of the Fund and the investment advisor; (3) the Manager's or
sub-advisor's cost for providing the services and the profitability of the
advisory business to the Manager or sub-advisor; (4) the extent to which
economies of scale have been taken into account in setting the fee schedule; and
(5) whether fee levels reflect these economies of scale for the benefit of Fund
investors. The Trustees posed questions to various management personnel of the
Manager regarding certain key aspects of the material submitted in support of
the renewal.
With respect to the renewal of the Management Agreement, the Trustees
considered: the Manager's ability to retain key investment personnel and to
provide consistent performance and an active client service program; the
Manager's goal to continue to provide consistent above average long-term
performance at low cost; the continuing efforts by the Manager to add new series
so as to enhance the Trusts' product line; the Manager's record in building
improved compliance, control and credit functions that reduce risks to the
Trusts; the addition of personnel to manage the Trusts' series, promote sales
and improve services; and the active role played by the Manager in monitoring
and, as appropriate, recommending replacements for the investment sub-advisors
and master portfolios.
With respect to the renewal of the Investment Advisory Agreements, the
Trustees noted that, in many cases, the Manager has negotiated the lowest
sub-advisory fee a sub-advisor charges for any comparable client accounts. Where
applicable, for purposes of determining the fee charged to the Fund, the fee
schedule to each Investment Advisory Agreement specifies that all other assets
managed by a sub-advisor on behalf of AMR Corporation and its pension plans
shall be considered. Thus, the Fund is able to receive the lowest possible fee
due to economies of scale resulting from the sub-advisor's management of a
larger pool of assets.
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Fund outperformed its
benchmark indices for the one-, five and ten-year periods ended December 31,
2004; (2) the expense ratio of the Institutional Class of Fund shares was lower
than the industry average; and (3) the Trustees deemed the profit made by the
Manager on the services it provided to the Fund to be reasonable in light of the
fact that the Manager provides high-quality services at a low cost to investors,
allocates the Fund's assets among sub-advisors, monitors and evaluates the
performance of the Fund's three sub-advisors, and provides a comprehensive
compliance program for the Fund.
In considering the renewal of the Investment Advisory Agreements with
Causeway Capital Management LLC ("Causeway"), Lazard Asset Management LLC
("Lazard"), Templeton Investment Counsel, LLC ("Templeton"), and The Boston
Company Asset Management, LLC ("TBCAM"), the Trustees considered the following
additional factors: (1) Causeway and Templeton each out-
- --------------------------------------------------------------------------------
33
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED
(Unaudited)
- --------------------------------------------------------------------------------
performed their benchmark indices on a short-term and long-term basis with
respect to their allocated portion of the Fund's assets; (2) Lazard outperformed
its benchmark index on a long-term basis, although it underperformed its
benchmark index on a short-term basis with respect to its allocated portion of
the Fund's assets because it has emphasized larger capitalization, higher return
on equity securities, which have not performed as well recently as smaller
capitalization, lower return on equity companies; (3) as of December 31, 2004,
TBCAM had managed a portion of the Fund for three months, over which period it
slightly underperformed its benchmark index, but the Trustees considered the
performance record too short to be meaningful; (4) each sub-advisor represented
that they did not charge a lower fee rate for any comparable client accounts;
(5) for purposes of calculating the fee rates chargeable to the Fund, each
sub-advisor agreed to take into account all other assets of AMR Corporation and
its subsidiaries and affiliated entities under management by the sub-advisor;
and (6) the Manager's recommendation to continue to retain each sub-advisor.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and the
sub-advisors under the Management and Investment Advisory Agreements are fair
and reasonable, (2) determined that the Fund and its shareholders would benefit
from the Manager's and sub-advisors' continued management of the Fund and (3)
approved the renewal of the Management and Investment Advisory Agreements with
respect to the Fund.
- --------------------------------------------------------------------------------
34
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(AMERICAN BEACON FUNDS LOGO)
- --------------------------------------------------------------------------------
DELIVERY OF DOCUMENTS
To reduce expenses, your financial institution may mail only one copy of the
Prospectus, Annual Report and Semi-Annual Report to those addresses shared by
two or more accounts. If you wish to receive individual copies of these
documents, please contact your financial institution. Delivery of individual
copies will commence thirty days after receiving your request.
If you invest in the Fund through a financial institution, you may be able to
receive the Fund's regulatory mailings, such as the Prospectus, Annual Report
and Semi-Annual Report, by e-mail. If you are interested in this option, please
go to www.icsdelivery.com and search for your financial institution's name or
contact your financial institution directly.
TO OBTAIN MORE INFORMATION ABOUT THE FUND:
<Table>
(KEYBOARD GRAPHIC) (MOUSE GRAPHIC)
BY E-MAIL: ON THE INTERNET:
American-Beacon.Funds@ambeacon.com Visit our website at www.americanbeaconfunds.com
</Table>
- --------------------------------------------------------------------------------
<Table>
(TELEPHONE GRAPHIC) (MAILBOX GRAPHIC)
BY TELEPHONE: BY MAIL:
Institutional Class American Beacon Funds
Call (800) 658-5811 4151 Amon Carter Blvd., MD 2450
AMR Class(SM) Fort Worth, TX 76155
Call (800) 345-2345
PlanAhead Class(R) and Service Class
Call (800) 388-3344
</Table>
- --------------------------------------------------------------------------------
<Table>
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES AVAILABILITY OF PROXY VOTING POLICY AND RECORDS
In addition to the Schedule of Investments provided in each A description of the policies and procedures that the Funds
semi-annual and annual report, each Fund files a complete use to determine how to vote proxies relating to portfolio
schedule of its portfolio holdings with the Securities and securities is available in each Fund's Statement of
Exchange Commission ("SEC") on Form N-Q as of the first and Additional Information, which may be obtained free of charge
third fiscal quarters. The Funds' Forms N-Q are available on by calling 1-800-967-9009 or by accessing the SEC's website
the SEC's website at www.sec.gov. The Forms N-Q may also be at www.sec.gov. Each Fund's proxy voting record for the most
reviewed and copied at the SEC's Public Reference Room, 450 recent year ended June 30 is filed annually with the SEC on
Fifth Street, NW, Washington, DC 20549. Information Form N-PX. The Funds' Forms N-PX are available on the SEC's
regarding the operation of the SEC's Public Reference Room website at www.sec.gov. Each Fund's proxy voting record may
may be obtained by calling 1-800-SEC-0330. A complete also be obtained by calling 1-800-967-9009.
schedule of each Fund's portfolio holdings is also available
on the Funds' website (www.americanbeaconfunds.com)
approximately thirty days after the end of each fiscal
quarter.
</Table>
FUND SERVICE PROVIDERS:
<Table>
CUSTODIAN TRANSFER AGENT INDEPENDENT DISTRIBUTOR
STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES REGISTERED PUBLIC FORESIDE FUND SERVICES
Boston, Massachusetts Kansas City, Missouri ACCOUNTING FIRM Portland, Maine
ERNST & YOUNG LLP
Chicago, Illinois
</Table>
This report is prepared for shareholders of the American Beacon Funds and may be
distributed to others only if preceded or accompanied by a current prospectus.
- --------------------------------------------------------------------------------
American Airlines, Inc. is not responsible for investments made in the American
Beacon Funds. American Beacon Funds is a service mark of AMR Corporation.
American Beacon International Equity Fund is a service mark of American Beacon
Advisors, Inc.
[AMERICAN BEACON FUNDS LOGO]
4151 Amon Carter Blvd.
MD 2450
Fort Worth, TX 76155
1.800.967.9009
817.931.4331 fax
www.americanbeaconfunds.com
SAR 04/05
534228
G U I D A N C E | V I S I O N | E X P E R I E N C E
[AMERICAN BEACON FUNDS LOGO]
SEMI-ANNUAL REPORT
[PHOTO]
APRIL 30, 2005
SMALL CAP VALUE FUND
Formerly known as the
American AAdvantage Funds
About American Beacon
- --------------------------------
Since 1986, American Beacon
Advisors has offered a variety
of products and investment
advisory services to numerous
institutional and retail
clients, including a variety of
mutual funds, corporate cash
management, and separate account
management.
Our clients include defined
benefit plans, defined
contribution plans, foundations,
endowments, corporations,
financial planners, and other
institutional investors. With
American Beacon Advisors, you
can put the experience of a
multi-billion dollar asset
management firm to work for your
company.
<Table>
<Caption>
Contents
-----------------------------------------------
President's Message........... 1
Market and Performance
Overview................... 2
Schedule of Investments....... 6
</Table>
<Table>
Additional Information.........Inside Back Cover
</Table>
Any opinions herein, including forecasts, reflect our judgement as of the end of
the reporting period and are subject to change. Each advisor's strategies and
the Fund's portfolio composition will change depending on economic and market
conditions. This report is not a complete analysis of market conditions and
therefore, should not be relied upon as investment advice. Although economic and
market information has been compiled from reliable sources, American Beacon
Advisors, Inc. makes no representation as to the completeness or accuracy of the
statements contained herein.
American Beacon Funds April 30, 2005
(BILL QUINN PICTURE)
FELLOW SHAREHOLDERS,
Iam pleased to present you
with the Semi-Annual
Report for the American
Beacon Small Cap Value
Fund (formerly known as
the American AAdvantage
Small Cap Value Fund) for
the six months ended April
30, 2005. During this
time, the Dow Jones
Industrial Average posted
gains of 2.78%, the S&P
500 Index increased by
3.28%, while the Russell
2000 Index decreased by
0.15%.
The Small Cap Value
Fund's robust performance for the Institutional Class surpassed the Lipper Small
Cap Value Funds Index for the one-year, three-year and five-year time periods as
of April 30, 2005. The Fund produced returns of 3.56% during the six months and
9.98%, 12.06%, 20.30% for the one-year, three-year, and five-year time periods,
respectively.
As the six-month period drew to a close, the Fund experienced significant
inflows growing to $2.3 billion as of April 30, 2005. During the period, the
Fund closed to new investors in an effort to protect the interests of existing
shareholders. Our greatest priority is to deliver superior investment results to
shareholders; we believe that closing the Fund to new investors allows us to
preserve the integrity of our successful investment philosophy. Please note that
we plan to introduce a second small cap fund for new investors later this year.
Please review the enclosed market overviews, portfolio listings and
detailed financial data. As always, we welcome the opportunity to serve your
financial needs. To obtain further details about the American Beacon Funds
family or access your account information, please visit our web site at
www.americanbeaconfunds.com. Thank you for your continued confidence in the
American Beacon Small Cap Value Fund.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President, American Beacon Funds
Performance shown is historical and may not be indicative of future returns.
Investment returns and principal value will vary, and shares may be worth more
or less at redemption than at original purchase. Performance shown is as of date
indicated and may differ from current performance. To obtain performance as of
the most recent month end, please visit www.americanbeaconfunds.com or call
1-800-967-9009.
1
DOMESTIC EQUITY MARKET OVERVIEW
- --------------------------------------------------------------------------------
The U.S. equity markets surged in late 2004, essentially driving all of the
gains experienced by the major indices for the full year. A heavy influence on
this strong swing was the fall of oil prices from record $56 levels in late
October. The decline in oil prices eased concerns about consumer spending
slowing and the potentially dampening impact on consumer and business
confidence. Equity markets were boosted by evidence that the U.S. economy was
reaccelerating after relatively weak data in the third quarter. Investors were
enthusiastic about better employment news, as it was reported that 337,000 jobs
were added to payrolls in October (and an additional 113,000 jobs were added to
figures from previous months), far greater than the expectation of 175,000 jobs.
In addition, retail sales growth was stronger-than-expected in November, which
helped to alleviate concerns about anecdotes of soft holiday sales. Regional
manufacturing surveys also picked up in December, signaling that production was
accelerating. Lastly, investors were encouraged by a smooth presidential
election. A swift outcome in the election helped to eradicate fears of a long,
contentious process. The establishment of Republican Party dominance reassured
investors that taxes on capital gains and dividends would not be raised.
Unfortunately, that end-of-year momentum quickly diminished during the
first four months of 2005. Equities fell on concerns about higher interest rates
all along the yield curve. The market became anxious about higher short-term
rates during the first week of the year, when the Federal Open Market Committee
(FOMC) released the minutes from its December 2004 meeting stating that, "Some
participants believed that the prolonged period of policy accommodation had
generated a significant degree of liquidity that might be contributing to signs
of potentially excessive risk-taking in financial markets." As a result,
investors became concerned that the Federal Reserve Bank (the "Fed") was willing
to raise short-term interest rates aggressively not only to keep inflation under
control, but also to discourage speculative risk-taking in asset markets. In
February, Fed Chairman Greenspan tried to boost long-term rates by saying that a
recent fall in 10-year Treasury yields (which had been supporting equity
valuations) remained "a conundrum." Yields on 10-year bonds subsequently moved
higher, and risk assets suffered more. Long bond yields were also driven upward
by higher-than-expected consumer (CPI) and producer (PPI) inflation, as well as
high energy prices. Headline CPI and PPI each rose 0.4% higher than expected in
February, while WTI crude oil surged to nearly $57 per barrel near the end of
March. Concerns that the Federal Reserve's tightening cycle would cause a
slowdown in economic growth became fully apparent in April. Investors became
worried about a drop-off in U.S. consumer spending after it was reported that
core (non-auto) retail sales grew only 0.1% in the most recent month, far lower
than the 0.5% gain expected. There was also apprehension about a slowdown in the
manufacturing sector, as the Empire State manufacturing survey fell from a
reading of 20.2 in March to only 3.1 in April (much lower than the expected
value of 18.0). These fears were exacerbated by the far weaker-than-expected
durable goods report. Ultimately, the term "stagflation" reared its ugly head as
investors worried that inflation would continue to accelerate, even if economic
growth slowed materially. Much of the recent pickup in inflation was
attributable to gains in energy prices, as the four-week average of the price of
consumer gasoline nationwide rose another 8% during April, to finish at $2.29
per gallon.
Favorable news from Corporate America has helped the markets so far this
year. Consensus estimates of profit growth for the fourth quarter of 2004 rose
to 20.4% from 15.2% during January and February. Moreover, the consensus
estimate of the first quarter 2005 profit growth rose to 13.6% from 8.2% during
the month of April, with over 75% of S&P 500 companies reporting. There were
also indications that corporations were supported by large and growing cash
reserves on balance sheets, which would better enable them to weather
potentially rocky times ahead. However, company "guidance" about earnings
expectations for the balance of the year was not quite as encouraging. The
consensus expectation for the second quarter growth fell to 7.2% from 8.8% in
April.
In specific markets terms, during the six-month period ending April 2005,
the S&P 500 rose 3.3% overall, driven entirely by the gains in late 2004. Value
continued its prolonged outperformance relative to growth as the pace of the
economic recovery became a concern, with the Russell 1000 Value returning 6.7%
and the Russell 1000 Growth rising a modest 1.1%. Small cap's reign in recent
years faltered as the Russell 2000 Index fell 0.2%. Within the Russell 1000
Growth Index, more defensive sectors like utilities, energy and REITs were the
best performers, while more cyclically sensitive areas such as finance and autos
& transportation lagged. Retail underperformed as a whole and was dragged down
by lower-end retailers feeling the brunt of higher gas prices on their
customers. The insurance sector also declined as a whole as some of the
industry's most prominent names were involved in scandal.
2
PERFORMANCE OVERVIEW
AMERICAN BEACON SMALL CAP VALUE FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Small Cap Value Fund returned 3.56% for the
six months ended April 30, 2005, outperforming the Russell 2000 Value Index
("Index") return of 1.52% and nearly matching the Lipper Small-Cap Value Funds
Index return of 3.58% for the same period.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
------------------------------------
PERIODS ENDED 4/30/05
------------------------------------
SINCE
6 MONTHS 1 YEAR 5 YEARS INCEP.
-------- ------ ------- ------
Institutional Class(1)....... 3.56% 9.98% 20.30% 14.40%
PlanAhead Class(1,2)......... 3.46% 9.74% 19.97% 14.11%
Service Class(1,3)........... 3.31% 9.47% 19.83% 14.01%
AMR Class(1,2)............... 3.73% 10.31% 20.64% 14.71%
Lipper Small-Cap Value Funds
Index....................... 3.58% 9.83% 14.19% 11.79%
Russell 2000 Value Index..... 1.52% 9.80% 14.07% 11.45%
</Table>
Russell 2000 (R) Value Index is a service mark of the Frank Russell Company. The
Russell 2000 Value Index is an unmanaged index of those stocks in the Russell
2000 Index with below-average price-to-book ratios and below-average forecasted
growth values.
1. Performance shown is historical and may not be indicative
of future returns. Investment returns and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. Fund performance for the since inception period represents
the total returns achieved by the Institutional Class from 12/31/98 up to
3/1/99, the inception date of the PlanAhead and AMR Classes, and the returns
of the PlanAhead and AMR Classes since inception of these Classes. Expenses
of the PlanAhead Class are higher than those of the Institutional Class. As
a result, total returns shown may be higher than they would have been had
the PlanAhead Class been in existence since 12/31/98. Expenses of the AMR
Class are lower than those of the Institutional Class. As a result, total
returns shown may be lower than they would have been had the AMR Class been
in existence since 12/31/98.
3. Fund performance for the five-year and since inception
periods represents the total returns achieved by the Institutional Class
from 12/31/98 up to 3/1/99, the returns of the PlanAhead Class from 3/1/99
up to 5/1/03 (the inception date of the Service Class), and the returns of
the Service Class since its inception. Expenses of the Service Class are
higher than those of the Institutional and PlanAhead Classes. As a result,
total returns shown may be higher than they would have been had the Service
Class been in existence since 12/31/98.
The Fund generated positive returns in every sector except Financials and
Telecommunication Services and outperformed the Index in seven out of ten
sectors during the period. Most of the Fund's excess return is attributable to
stock selection, although sector allocation also added to the Fund's relative
performance.
Stock selection in the Health Care and Information Technology sectors had
the greatest impact. Positions in Triad Hospitals, Inc. (up 55.2%), Sola
International, Inc. (up 45.9%), Health Net, Inc. (up 40.3%) and Universal Health
Services, Inc. (up 37.0%) were the major contributors to the Health Care
sector's positive impact on the Fund's performance. Holdings such as Western
Digital Corp. (up 52.3%) and MEMC Electronic Materials, Inc. (up 24.8%) in the
Information Technology sector contributed significantly. The Industrials sector
detracted from performance, mostly due to a large position in Insituform
Technologies, Inc. (down 24.8%).
The Fund's large underweighting in the Financials sector, which was the
second worst performing sector of the Index, also contributed to the Fund's
excess performance relative to the Index.
The sub-advisors continue to focus on stock selection, to uncover
investment opportunities that should benefit the Fund's performance over the
longer-term.
Investing in the securities of small capitalization companies involves
greater risk and the possibility of greater price volatility than investing in
larger capitalization and more established companies.
3
PERFORMANCE OVERVIEW
AMERICAN BEACON SMALL CAP VALUE FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Del Monte Foods Company 0.9%
The Men's Wearhouse, Incorporated 0.9%
Valassis Communications, Incorporated 0.8%
American Financial Group, Incorporated 0.8%
Arrow Electronics, Incorporated 0.8%
Advance Auto Parts, Incorporated 0.7%
Encore Acquisition Company 0.7%
NSTAR 0.7%
Allmerica Financial Corporation 0.7%
Protective Life Corporation 0.7%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Financials 22.4%
Consumer Discretionary 21.8%
Industrials 16.4%
Utilities 9.8%
Information Technology 9.4%
Materials 6.6%
Health Care 5.4%
Consumer Staples 4.4%
Energy 3.8%
</Table>
FUND EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees, administrative service
fees, distribution (12b-1) fees, and other Fund expenses. The examples below are
intended to help you understand the ongoing cost (in dollars) of investing in
the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
The examples are based on an investment of $1,000 invested at the beginning
of the period in each Class and held for the entire period from November 1, 2004
through April 30, 2005.
ACTUAL EXPENSES
The "Actual" lines of the table provide information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading "Expenses Paid During Period" to estimate
the expenses you paid on your account during this period. Shareholders of the
PlanAhead and Institutional Classes that invest in the Fund through an IRA may
be subject to a custodial IRA fee of $12 that is typically deducted each
December. If your account was subject to a custodial IRA fee during the period,
your costs would have been $12 higher.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The "Hypothetical" lines of the table provide information about
hypothetical account values and hypothetical expenses based on the Fund's actual
expense ratio and an assumed 5% per year rate of return before expenses (not the
Fund's actual return). You may compare the ongoing costs of investing in the
Fund with other funds by contrasting this 5% hypothetical example and the 5%
hypothetical examples that appear in the shareholder reports of the other funds.
The hypothetical account values and expenses may not be used to estimate the
actual ending account balance or expenses you paid for the period. Shareholders
of the PlanAhead and Institutional Classes that invest in the Fund through an
IRA may be subject to a custodial IRA fee of $12 that is typically deducted each
December. If your account was subject to a custodial IRA fee during the period,
your costs would have been $12 higher.
You should also be aware that the expenses shown in the table highlight
only your ongoing costs and do not reflect any transaction costs charged by the
Fund. Similarly, the expense examples for other funds do not reflect any
transaction costs charged by those funds, such as sales charges (loads),
redemption fees or exchange fees. Therefore, the "Hypothetical" lines of the
table are useful in comparing ongoing costs only and will not help you determine
the relative total costs of owning different funds. If you were subject to any
transaction costs during the period, your costs would have been higher.
4
PERFORMANCE OVERVIEW
AMERICAN BEACON SMALL CAP VALUE FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES PAID
VALUE VALUE DURING PERIOD*
11/1/04 4/30/05 11/1/04-4/30/05
--------- --------- ---------------
INSTITUTIONAL CLASS
Actual $1,000.00 $1,035.64 $4.24
Hypothetical $1,000.00 $1,020.63 $4.24
(5% return before expenses)
PLANAHEAD CLASS
Actual $1,000.00 $1,034.65 $5.48
Hypothetical $1,000.00 $1,019.41 $5.43
(5% return before expenses)
SERVICE CLASS
Actual $1,000.00 $1,033.10 $6.77
Hypothetical $1,000.00 $1,018.14 $6.72
(5% return before expenses)
AMR CLASS
Actual $1,000.00 $1,037.28 $2.90
Hypothetical $1,000.00 $1,021.95 $2.87
(5% return before expenses)
</Table>
* Expenses are equal to the Fund's annualized expense ratios
for the six-month period of 0.84%, 1.09%, 1.34%, 0.57%, for the
Institutional, PlanAhead, Service, and AMR Classes, respectively, multiplied
by the average account value over the period, multiplied by the number
derived by dividing the number of days in the most recent fiscal half-year
(181) by days in the year (365) to reflect the half-year period.
5
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 91.74%
CONSUMER DISCRETIONARY - 19.97%
AUTO COMPONENTS - 2.61%
American Axle & Manufacturing
Holdings, Incorporated(+)... 290,500 $ 5,799
Arvinmeritor, Incorporated.... 420,300 4,993
Bandag, Incorporated(+)....... 59,300 2,576
Bandag, Incorporated, A
Shares...................... 3,600 139
Borg-Warner Automotive,
Incorporated................ 186,100 8,509
Cooper Tire & Rubber
Company(+).................. 338,900 5,914
Dana Corporation(+)........... 728,800 8,323
Group 1 Automotive,
Incorporated+(+)............ 279,300 7,024
Hayes Lemmerz International,
Incorporated+(+)............ 279,200 1,499
Lear Corporation.............. 152,700 5,175
Sonic Automotive,
Incorporated................ 190,400 3,745
Superior Industries
International,
Incorporated(+)............. 179,500 3,649
TRW Automotive Holdings
Corporation+................ 59,900 1,067
Westinghouse Air Brake
Technologies Corporation.... 101,900 2,038
--------
TOTAL AUTO COMPONENTS..... 60,450
--------
AUTOMOBILES - 0.08%
Winnebago Industries,
Incorporated(+)............. 64,200 1,871
--------
TOTAL AUTOMOBILES......... 1,871
--------
HOTELS RESTAURANTS & LEISURE - 2.30%
Aztar Corporation+............ 196,600 5,369
Blockbuster, Incorporated(+).. 327,300 3,240
Bob Evans Farms,
Incorporated................ 159,686 3,258
CEC Entertainment,
Incorporated+............... 162,500 5,883
Intrawest Corporation......... 233,500 4,703
Jack in the Box,
Incorporated+(+)............ 121,400 4,438
Jameson Inns, Incorporated.... 787,100 1,196
Kerzner International
Limited+(+)................. 177,000 9,751
La Quinta Corporation+........ 192,200 1,672
Landry's Restaurants,
Incorporated................ 103,300 2,686
Lodgian, Incorporated+........ 357,700 3,058
Magna Entertainment
Corporation+(+)............. 513,500 2,691
Papa John's International,
Incorporated+(+)............ 41,600 1,426
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Ryans Restaurant Group,
Incorporated+............... 35,150 $ 446
Steiner Leisure Limited+...... 115,700 3,467
Sunterra Corporation+......... 7,400 115
--------
TOTAL HOTELS RESTAURANTS &
LEISURE................. 53,399
--------
HOUSEHOLD DURABLES - 4.91%
American Greetings
Corporation(+).............. 489,600 11,090
Beazer Homes USA,
Incorporated(+)............. 240,600 10,971
Ethan Allen Interiors,
Incorporated(+)............. 185,500 5,589
Furniture Brands
International,
Incorporated(+)............. 492,700 9,549
Helen of Troy Limited+........ 369,300 10,318
Hooker Furniture
Corporation................. 129,000 2,154
La-Z-Boy, Incorporated(+)..... 491,500 5,819
Lifetime Hoan Corporation(+).. 85,200 1,436
William Lyon Homes+(+)........ 51,000 4,509
M.D.C. Holdings,
Incorporated................ 136,773 8,942
Matthews International
Corporation(+).............. 56,000 1,994
Maytag Corporation(+)......... 133,100 1,290
Modtech Holdings,
Incorporated+(+)............ 210,400 1,685
Standard Pacific
Corporation................. 147,100 10,534
Stanley Furniture Company,
Incorporated................ 57,800 2,419
The Toro Company.............. 111,700 4,615
Tupperware Corporation(+)..... 269,500 5,687
WCI Communities,
Incorporated+(+)............ 416,200 11,666
The Yankee Candle Company,
Incorporated................ 132,200 3,674
--------
TOTAL HOUSEHOLD
DURABLES................ 113,941
--------
INTERNET & CATALOG RETAIL - 0.27%
School Specialty,
Incorporated+(+)............ 166,918 6,194
--------
TOTAL INTERNET & CATALOG
RETAIL.................. 6,194
--------
LEISURE EQUIPMENT & PRODUCTS - 0.44%
Brunswick Corporation......... 147,800 6,208
Callaway Golf Company(+)...... 209,500 2,258
Hutchinson Technology,
Incorporated+(+)............ 46,500 1,722
--------
TOTAL LEISURE EQUIPMENT &
PRODUCTS................ 10,188
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
6
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
MEDIA - 0.86%
Courier Corporation(+)........ 46,600 $ 2,273
R.H. Donnelley Corporation+... 45,000 2,563
Gemstar TV-Guide
International,
Incorporated+............... 673,500 2,593
Gray Television,
Incorporated................ 178,400 2,346
Journal Communications,
Incorporated(+)............. 54,700 842
Journal Register Company+..... 249,550 3,948
The Reader's Digest
Association, Incorporated... 202,200 3,438
Source Interlink Companies,
Incorporated+(+)............ 176,900 1,852
--------
TOTAL MEDIA............... 19,855
--------
MULTILINE RETAIL - 0.55%
BJ's Wholesale Club,
Incorporated+............... 180,500 4,810
Burlington Coat Factory
Warehouse Corporation....... 195,200 5,378
Dillard's, Incorporated....... 77,100 1,794
ShopKo Stores,
Incorporated+(+)............ 32,800 786
--------
TOTAL MULTILINE RETAIL.... 12,768
--------
SPECIALTY RETAIL - 6.67%
Advance Auto Parts,
Incorporated+............... 320,900 17,120
AnnTaylor Stores
Corporation+................ 119,000 2,914
Jos. A. Bank Clothiers,
Incorporated+(+)............ 124,500 4,084
Barnes & Noble,
Incorporated+............... 236,500 8,419
Big 5 Sporting Goods
Corporation................. 158,000 3,775
Borders Group, Incorporated... 450,900 10,907
Brookstone, Incorporated+(+).. 222,450 4,398
Buckle, Incorporated(+)....... 16,200 557
Charming Shoppes,
Incorporated+............... 777,085 5,782
Claire's Stores,
Incorporated................ 571,700 12,475
Cost Plus, Incorporated+(+)... 130,500 3,026
CSK Auto Corporation+......... 158,000 2,451
GameStop Corporation+......... 140,319 3,275
Genesco, Incorporated+(+)..... 16,700 430
Global Imaging Systems,
Incorporated+............... 67,100 2,328
Handleman Company(+).......... 26,900 467
Linens 'n Things,
Incorporated+............... 273,100 6,371
The Men's Wearhouse,
Incorporated+(+)............ 504,800 20,833
Pier 1 Imports,
Incorporated(+)............. 145,600 2,114
Regis Corporation............. 202,500 7,235
Rent-A-Center,
Incorporated+............... 18,850 453
Saks Incorporated+(+)......... 139,400 2,375
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Stage Stores,
Incorporated+(+)............ 107,587 $ 4,069
Talbots, Incorporated......... 177,600 4,538
United Auto Group,
Incorporated(+)............. 29,900 847
United Rentals,
Incorporated+(+)............ 370,900 6,821
Wabash National
Corporation(+).............. 251,900 6,423
Zale Corporation+............. 371,200 10,034
--------
TOTAL SPECIALTY RETAIL.... 154,521
--------
TEXTILES & APPAREL - 1.28%
Brown Shoe Company,
Incorporated................ 4,300 133
Tommy Hilfiger Corporation+... 224,700 2,458
Kellwood Company(+)........... 165,200 4,219
K-Swiss, Incorporated(+)...... 72,300 2,169
Steven Madden Limited+(+)..... 93,100 1,479
Russell Corporation........... 130,400 2,283
The Timberland Company+....... 86,900 6,000
The Warnaco Group,
Incorporated+(+)............ 491,100 11,030
--------
TOTAL TEXTILES &
APPAREL................. 29,771
--------
TOTAL CONSUMER
DISCRETIONARY........... 462,958
--------
CONSUMER STAPLES - 4.01%
FOOD & DRUG RETAILING - 0.75%
The Great Atlantic & Pacific
Tea Company,
Incorporated+(+)............ 55,300 867
Longs Drug Stores
Corporation................. 92,800 3,373
Pathmark Stores,
Incorporated+............... 360,400 2,782
Performance Food Group
Company+.................... 189,600 5,099
Ruddick Corporation........... 231,600 5,202
--------
TOTAL FOOD & DRUG
RETAILING............... 17,323
--------
FOOD PRODUCTS - 2.47%
American Italian Pasta
Company(+).................. 268,100 6,343
Chiquita Brands International,
Incorporated................ 227,600 5,702
Del Monte Foods Company+(+)... 2,024,000 21,110
Del Monte Fresh Produce
Company(+).................. 104,900 3,032
Green Mountain Coffee
Roasters, Incorporated+(+).. 75,400 1,948
J&J Snack Foods Corporation... 41,700 2,041
Lance, Incorporated........... 129,600 2,136
Ralcorp Holdings,
Incorporated+............... 153,200 6,070
Sensient Technologies
Corporation(+).............. 279,900 5,601
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
7
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Smithfield Foods,
Incorporated+............... 111,000 $ 3,359
--------
TOTAL FOOD PRODUCTS....... 57,342
--------
HOUSEHOLD PRODUCTS - 0.19%
Blyth, Incorporated(+)........ 159,500 4,372
--------
TOTAL HOUSEHOLD
PRODUCTS................ 4,372
--------
PERSONAL PRODUCTS - 0.28%
NBTY, Incorporated+........... 304,000 6,481
--------
TOTAL PERSONAL PRODUCTS... 6,481
--------
TOBACCO - 0.32%
Schweitzer Mauduit
International,
Incorporated................ 13,000 380
Universal Corporation......... 153,000 6,984
--------
TOTAL TOBACCO............. 7,364
--------
TOTAL CONSUMER STAPLES.... 92,882
--------
ENERGY - 3.50%
ENERGY EQUIPMENT & SERVICES - 1.64%
Dril-Quip, Incorporated+...... 63,000 1,836
FMC Technologies,
Incorporated+............... 204,600 6,206
MDU Resources Group,
Incorporated(+)............. 215,500 5,825
Newpark Resources,
Incorporated+............... 258,400 1,553
Offshore Logistics,
Incorporated+............... 8,600 249
Oil States International,
Incorporated+............... 155,000 3,148
TETRA Technologies,
Incorporated+............... 146,900 3,971
Tidewater, Incorporated(+).... 305,700 10,537
Universal Compression
Holdings, Incorporated+..... 82,400 2,892
Veritas DGC,
Incorporated+(+)............ 67,100 1,718
--------
TOTAL ENERGY EQUIPMENT &
SERVICES................ 37,935
--------
OIL & GAS - 1.86%
Berry Petroleum Company....... 2,900 136
Cimarex Energy Company+(+).... 117,400 4,168
Encore Acquisition
Company+(+)................. 439,500 16,138
Forest Oil Corporation+....... 65,400 2,520
Giant Industries,
Incorporated+(+)............ 115,200 3,008
The Houston Exploration
Company+.................... 56,400 2,873
Newfield Exploration
Company+.................... 14,800 1,051
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Plains Exploration and
Production Company LP+...... 6,900 $ 222
Pogo Producing Company........ 99,800 4,492
Southwest Gas Corporation..... 32,200 788
Stone Energy Corporation+(+).. 172,900 7,770
--------
TOTAL OIL & GAS........... 43,166
--------
TOTAL ENERGY.............. 81,101
--------
FINANCIALS - 20.49%
BANKS - 7.27%
Ace Cash Express,
Incorporated+............... 155,700 3,425
Alabama National
BanCorporation(+)........... 34,100 1,950
Americredit Corporation+...... 70,300 1,645
Anchor BanCorp Wisconsin,
Incorporated................ 51,138 1,351
Bancorp South,
Incorporated(+)............. 354,200 7,498
Bank Hawaii Corporation....... 187,600 8,883
Chemical Financial
Corporation(+).............. 134,178 4,020
Chittenden Corporation........ 214,125 5,377
City National Corporation..... 30,700 2,164
Colonial BancGroup,
Incorporated................ 454,700 10,031
Commercial Federal
Corporation................. 233,000 6,084
Community Bank System,
Incorporated(+)............. 110,000 2,434
Corus Bankshares,
Incorporated................ 6,787 331
Cullen/Frost Bankers,
Incorporated................ 166,000 7,191
Downey Financial Corporation.. 23,500 1,521
First Commonwealth Financial
Corporation................. 156,600 2,061
First Republic Bank(+)........ 87,100 2,725
FirstFed Financial
Corporation+................ 13,000 658
F.N.B. Corporation(+)......... 60,000 1,137
Frontier Financial
Corporation(+).............. 36,869 1,330
Great American Financial
Resources, Incorporated..... 80,800 1,284
Greater Bay Bancorp(+)........ 79,000 1,988
Hudson United Bancorp......... 256,500 8,788
International Bancshares
Corporation................. 184,903 6,647
Irwin Financial
Corporation(+).............. 184,600 3,705
ITLA Capital Corporation+..... 3,500 161
MAF Bancorp, Incorporated..... 12,200 493
NBT Bancorp, Incorporated..... 103,135 2,143
Pacific Capital Bancorp....... 99,100 2,857
PFF Bancorp, Incorporated(+).. 8,400 235
Provident Bancorp,
Incorporated................ 159,200 1,686
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
8
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Provident Bankshares
Corporation................. 113,720 $ 3,330
R&G Financial Corporation..... 99,300 1,411
Republic Bancorp,
Incorporated(+)............. 333,817 4,233
S&T Bancorp, Incorporated(+).. 10,511 355
Santander BanCorp(+).......... 56,300 1,248
Sky Financial Group,
Incorporated(+)............. 466,794 12,183
Southwest Bancorp,
Incorporated................ 218,800 3,632
Sterling Bancshares,
Incorporated................ 146,200 1,963
Sterling Financial
Corporation+................ 53,000 1,733
Summit Bancshares,
Incorporated(+)............. 81,500 1,340
Susquehanna Bancshares,
Incorporated................ 215,000 4,521
TierOne Corporation........... 25,600 596
Timberland Bancorp,
Incorporated(+)............. 14,800 342
Trustmark Corporation(+)...... 301,765 8,305
United Bankshares,
Incorporated................ 77,571 2,375
Washington Federal,
Incorporated................ 356,994 7,957
Webster Financial Corporation
of Waterbury................ 242,000 10,999
Westcorp, Incorporated........ 7,000 313
--------
TOTAL BANKS............... 168,639
--------
DIVERSIFIED FINANCIALS - 2.03%
Affiliated Managers Group,
Incorporated+............... 62,200 3,889
American Capital Strategies
Limited..................... 137,200 4,387
Asset Acceptance Capital
Corporation+................ 123,900 2,534
Assured Guaranty Limited...... 166,900 3,181
Asta Funding, Incorporated.... 119,800 2,504
Cash America International,
Incorporated................ 122,400 1,818
Financial Federal
Corporation................. 88,500 3,124
First Cash Financial Services,
Incorporated+............... 238,600 4,662
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
IndyMac Bancorp,
Incorporated................ 68,300 $ 2,628
Knight Trading Group,
Incorporated+(+)............ 788,100 6,644
Metris Companies,
Incorporated+(+)............ 278,300 3,373
Raymond James Financial,
Incorporated................ 308,600 8,323
--------
TOTAL DIVERSIFIED
FINANCIALS.............. 47,067
--------
INSURANCE - 8.71%
21st Century Insurance
Group....................... 220,000 2,900
Alfa Corporation.............. 78,403 1,080
Allmerica Financial
Corporation+................ 459,700 15,432
American Financial Group,
Incorporated(+)............. 591,400 18,387
American National Insurance
Company..................... 24,717 2,536
AmerUs Group Company(+)....... 202,900 9,538
Arch Capital Group Limited+... 98,300 3,931
Aspen Insurance Holdings
Limited..................... 161,700 4,414
Bristol West Holdings,
Incorporated................ 236,600 3,568
Commerce Group, Incorporated.. 76,100 4,496
Conseco, Incorporated+(+)..... 238,300 4,585
Delphi Financial Group,
Incorporated................ 167,500 6,955
Direct General
Corporation(+).............. 228,513 4,058
FBL Financial Group,
Incorporated................ 164,000 4,297
First American Corporation.... 178,000 6,372
Fremont General
Corporation(+).............. 31,700 688
Arthur J. Gallagher &
Company..................... 269,600 7,506
HCC Insurance Holdings,
Incorporated................ 117,300 4,172
Hilb Rogal & Hobbs
Company(+).................. 140,400 4,915
Horace Mann Educators
Corporation................. 93,500 1,532
Infinity Property and Casualty
Corporation................. 115,098 3,735
KMG America Corporation+...... 267,200 2,469
LandAmerica Financial Group,
Incorporated................ 30,500 1,513
Max Re Capital Limited........ 203,800 4,473
Mercury General
Corporation(+).............. 91,800 4,853
National Western Life
Insurance Company+.......... 2,500 413
The Navigators Group,
Incorporated+............... 136,200 4,358
Odyssey Re Holdings
Corporation(+).............. 364,800 8,296
Ohio Casualty
Corporation+(+)............. 226,232 5,305
PartnerRe Limited............. 62,000 3,613
Platinum Underwriters Holdings
Limited..................... 120,900 3,579
Protective Life Corporation... 396,100 15,147
Reinsurance Group of America,
Incorporated................ 325,900 14,574
Scottish Re Group Limited(+).. 137,400 3,226
StanCorp Financial Group,
Incorporated................ 68,900 5,272
Stewart Information Services
Corporation................. 12,900 465
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
9
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Triad Guaranty,
Incorporated+(+)............ 64,600 $ 3,250
UICI.......................... 56,700 1,317
United America Indemnity
Limited+.................... 263,497 4,748
--------
TOTAL INSURANCE........... 201,968
--------
REAL ESTATE - 2.48%
Aames Investment Corporation.. 479,400 4,051
Alexandria Real Estate
Equities, Incorporated...... 44,200 3,042
American Financial Realty
Trust....................... 338,100 5,183
Bluegreen Corporation+........ 121,900 1,691
Boykin Lodging Company+(+).... 209,400 2,039
Capital Automotive REIT....... 101,900 3,463
Capital Lease Funding,
Incorporated(+)............. 134,900 1,508
Capital Trust,
Incorporated(+)............. 87,900 2,960
Fieldstone Investment
Corporation................. 377,800 4,825
Government Properties Trust,
Incorporated(+)............. 22,900 226
Innkeepers USA Trust.......... 230,000 3,052
Jones Lang LaSalle,
Incorporated+............... 138,500 5,194
LaSalle Hotel Properties...... 83,000 2,522
MI Developments,
Incorporated................ 386,100 11,382
MortgageIT Holdings,
Incorporated(+)............. 87,400 1,486
Mission West Properties,
Incorporated(+)............. 222,200 2,255
Redwood Trust, Incorporated... 31,200 1,564
Thomas Properties Group,
Incorporated+............... 76,100 985
--------
TOTAL REAL ESTATE......... 57,428
--------
TOTAL FINANCIALS.......... 475,102
--------
HEALTH CARE - 4.98%
BIOTECHNOLOGY - 0.02%
Albany Molecular Research,
Incorporated+............... 37,183 351
--------
TOTAL BIOTECHNOLOGY....... 351
--------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.41%
CONMED Corporation+........... 34,728 1,032
Haemonetics Corporation+...... 107,900 4,615
PolyMedica Corporation........ 127,000 3,936
--------
TOTAL HEALTH CARE
EQUIPMENT & SUPPLIES.... 9,583
--------
HEALTH CARE PROVIDERS & SERVICES - 3.47%
Amedisys, Incorporated+(+).... 177,700 5,333
America Service Group,
Incorporated+............... 101,600 2,308
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
AMN Healthcare Services,
Incorporated+(+)............ 19,900 $ 294
Apria Healthcare Group,
Incorporated+............... 347,800 10,469
Health Net, Incorporated+..... 413,400 14,068
Hooper Holmes, Incorporated... 461,130 1,688
Kindred Healthcare,
Incorporated+............... 195,100 6,419
Magellan Health Services,
Incorporated+(+)............ 81,000 2,759
MedQuist, Incorporated+(+).... 4,000 54
Owens & Minor, Incorporated... 61,200 1,775
Pediatrix Medical Group,
Incorporated+............... 49,400 3,364
ResCare, Incorporated+........ 233,400 3,335
Sierra Health Services,
Incorporated+............... 56,100 3,629
Triad Hospitals,
Incorporated+............... 257,000 13,171
Universal Health Services,
Incorporated................ 172,600 9,793
U.S. Physical Therapy,
Incorporated+............... 140,600 2,029
--------
TOTAL HEALTH CARE
PROVIDERS & SERVICES.... 80,488
--------
PHARMACEUTICALS - 1.08%
Andrx Corporation+(+)......... 109,800 2,186
ISTA Pharmaceuticals,
Incorporated+(+)............ 49,021 373
King Pharmaceuticals,
Incorporated+............... 695,700 5,565
The Medicines Company+........ 111,000 2,370
Watson Pharmaceuticals,
Incorporated+............... 487,200 14,616
--------
TOTAL PHARMACEUTICALS..... 25,110
--------
TOTAL HEALTH CARE......... 115,532
--------
INDUSTRIALS - 15.05%
AEROSPACE & DEFENSE - 0.44%
Cubic Corporation(+).......... 123,000 2,164
FTI Consulting,
Incorporated+............... 11,300 250
Herley Industries,
Incorporated+(+)............ 178,500 3,236
TIMCO Aviation Servcies,
Incorporated+*.............. 410 --
United Defense Industrials,
Incorporated(+)............. 62,900 4,653
--------
TOTAL AEROSPACE &
DEFENSE................. 10,303
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
10
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
AIR FREIGHT & COURIERS - 0.11%
Covenant Transportation,
Incorporated+............... 182,300 $ 2,446
--------
TOTAL AIR FREIGHT &
COURIERS................ 2,446
--------
BUILDING PRODUCTS - 0.43%
Universal Fastener Products,
Incorporated(+)............. 42,500 1,618
York International
Corporation................. 215,500 8,432
--------
TOTAL BUILDING PRODUCTS... 10,050
--------
COMMERCIAL SERVICES & SUPPLIES - 5.87%
Bowne & Company,
Incorporated(+)............. 721,800 9,398
The Brinks Company............ 209,600 6,762
Casella Waste Systems,
Incorporated+(+)............ 136,900 1,614
Central Parking
Corporation(+).............. 144,300 2,360
Concord Communications,
Incorporated+(+)............ 177,800 2,925
Convergys Corporation+........ 637,200 8,258
Deluxe Corporation(+)......... 263,400 10,518
eFunds Corporation+........... 147,700 3,229
Gevity HR, Incorporated....... 261,200 4,192
John H. Harland Company(+).... 112,500 4,050
IDEX Corporation.............. 245,000 9,126
Kelly Services,
Incorporated................ 311,500 8,180
Labor Ready,
Incorporated+(+)............ 160,100 2,672
LECG Corporation+............. 55,300 1,146
Mac Gray Corporation+......... 39,100 335
McGrath Rentcorp.............. 128,700 2,857
NCO Group, Incorporated+(+)... 157,391 2,932
PHH Corporation+.............. 509,100 11,378
Pope & Talbot, Incorporated... 236,500 3,086
Sabre Holdings
Corporation(+).............. 287,098 5,616
Spherion Corporation+......... 906,900 5,088
Steel Dynamics,
Incorporated................ 119,800 3,256
Steel Technologies,
Incorporated................ 194,600 3,734
Valassis Communications,
Incorporated+............... 532,800 18,781
Waste Connections,
Incorporated+............... 129,700 4,568
--------
TOTAL COMMERCIAL SERVICES
& SUPPLIES.............. 136,061
--------
CONSTRUCTION & ENGINEERING - 1.51%
Chicago Bridge & Iron Company
N.V.(+)..................... 175,500 3,928
Comfort Systems USA,
Incorporated+............... 213,000 1,521
ElkCorp....................... 147,500 4,056
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Florida Rock Industries,
Incorporated................ 34,300 $ 1,992
Granite Construction,
Incorporated................ 141,800 3,202
Hovnanian Enterprises,
Incorporated+............... 150,700 7,651
M/I Homes, Incorporated(+).... 42,600 1,947
Orleans Homebuilders,
Incorporated................ 128,100 2,221
The Shaw Group,
Incorporated+............... 147,600 2,667
Technical Olympic USA,
Incorporated................ 278,300 5,858
--------
TOTAL CONSTRUCTION &
ENGINEERING............. 35,043
--------
ELECTRICAL EQUIPMENT - 0.51%
Brady Corporation............. 373,600 11,077
Rayovac Corporation+.......... 23,300 849
--------
TOTAL ELECTRICAL
EQUIPMENT............... 11,926
--------
MACHINERY - 3.44%
AGCO Corporation+(+).......... 422,180 7,262
Briggs and Stratton
Corporation................. 233,000 7,542
Circor International,
Incorporated................ 94,200 2,243
Esterline Technologies
Corporation+................ 150,500 4,864
Flowserve Corporation+........ 358,100 9,941
GSI Lumonics,
Incorporated+(+)............ 385,400 3,014
Harsco Corporation............ 163,300 8,761
Hughes Supply, Incorporated... 163,500 4,217
Kaydon Corporation............ 326,400 8,956
MSC Industrial Direct Company,
Incorporated................ 74,000 1,988
Reliance Steel & Aluminum
Company..................... 74,800 2,822
SPX Corporation(+)............ 235,300 9,104
Terex Corporation+............ 241,700 9,035
--------
TOTAL MACHINERY........... 79,749
--------
MARINE - 1.52%
Alexander & Baldwin,
Incorporated................ 175,000 7,128
Kirby Corporation+............ 250,800 10,217
OMI Corporation............... 481,400 8,757
Overseas Shipholding Group,
Incorporated................ 79,300 4,475
Tsakos Energy Navigation
Limited..................... 121,900 4,669
--------
TOTAL MARINE.............. 35,246
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
11
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
TRANSPORTATION - 1.22%
Arkansas Best Corporation..... 115,200 $ 3,632
Central Freight Lines,
Incorporated+(+)............ 263,400 748
CP Ships Limited.............. 235,600 3,314
Laidlaw International,
Incorporated+............... 317,300 7,104
Overnite Corporation(+)....... 189,900 5,693
SCS Transportation,
Incorporated+............... 149,500 2,286
Yellow Roadway Corporation+... 111,600 5,468
--------
TOTAL TRANSPORTATION...... 28,245
--------
TOTAL INDUSTRIALS......... 349,069
--------
INFORMATION TECHNOLOGY - 8.63%
COMMUNICATIONS EQUIPMENT - 0.90%
C-COR, Incorporated+(+)....... 349,100 2,308
Comtech Telecommunications
Corporation+(+)............. 90,950 3,193
Digi International,
Incorporated+............... 194,600 2,072
McDATA Corporation+(+)........ 557,500 1,717
MEMC Electronic Materials,
Incorporated+............... 977,100 11,461
--------
TOTAL COMMUNICATIONS
EQUIPMENT............... 20,751
--------
COMPUTERS & PERIPHERALS - 0.73%
Electronics for Imaging,
Incorporated+............... 140,800 2,312
Komag, Incorporated+(+)....... 70,800 1,665
Western Digital
Corporation+(+)............. 1,012,600 12,850
--------
TOTAL COMPUTERS &
PERIPHERALS............. 16,827
--------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 3.67%
Arrow Electronics,
Incorporated+............... 724,900 17,644
Avnet, Incorporated+(+)....... 755,100 14,264
IKON Office Solutions,
Incorporated................ 739,100 6,393
Ingram Micro, Incorporated+... 694,300 11,567
Littlefuse, Incorporated+..... 258,300 6,959
Newport Corporation+.......... 197,900 2,721
Photon Dynamics,
Incorporated+............... 116,500 2,254
Plexus Corporation+........... 524,300 6,349
Tech Data Corporation+........ 264,300 9,655
Teleflex, Incorporated........ 5,400 289
Vishay Intertechnology,
Incorporated+............... 661,600 7,073
--------
TOTAL ELECTRONIC EQUIPMENT
& INSTRUMENTS........... 85,168
--------
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
INTERNET SOFTWARE & SERVICES - 0.31%
EarthLink, Incorporated+(+)... 298,000 $ 2,736
NIC, Inc+(+).................. 418,300 1,761
United Online,
Incorporated+(+)............ 314,000 2,760
--------
TOTAL INTERNET SOFTWARE &
SERVICES................ 7,257
--------
IT CONSULTING & SERVICES - 1.14%
BearingPoint,
Incorporated+(+)............ 1,567,800 9,705
Perot Systems
Corporation+(+)............. 321,300 4,058
Phase Forward
Incorporated+(+)............ 290,800 1,570
Reynolds and Reynolds
Company..................... 418,800 11,044
--------
TOTAL IT CONSULTING &
SERVICES................ 26,377
--------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.67%
Axcelis Technologies,
Incorporated+(+)............ 595,552 3,698
Cymer, Incorporated+.......... 111,100 2,754
Omnivision Technologies,
Incorporated+(+)............ 569,785 7,977
Silicon Storage Technology,
Incorporated+............... 400,479 1,049
--------
TOTAL SEMICONDUCTOR
EQUIPMENT & PRODUCTS.... 15,478
--------
SOFTWARE - 1.21%
Borland Software
Corporation+(+)............. 340,300 1,977
Compuware Corporation+........ 271,800 1,617
EPIQ Systems,
Incorporated+(+)............ 134,000 2,033
Informatica Corporation+...... 220,700 1,706
Lawson Software,
Incorporated+............... 574,800 3,035
Mentor Graphics
Corporation+(+)............. 785,800 7,025
Micromuse, Incorporated+...... 68,000 352
Progress Software
Corporation+................ 152,200 4,061
SafeNet, Incorporated+(+)..... 94,900 2,653
Sybase, Incorporated+(+)...... 195,600 3,703
--------
TOTAL SOFTWARE............ 28,162
--------
TOTAL INFORMATION
TECHNOLOGY.............. 200,020
--------
MATERIALS - 6.08%
CHEMICALS - 2.91%
Agrium, Incorporated.......... 615,800 10,961
Balchem Corporation........... 68,550 1,645
FMC Corporation+.............. 92,000 4,508
H.B. Fuller Company(+)........ 326,100 9,887
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
12
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Hercules, Incorporated+....... 702,800 $ 9,298
Lubrizol Corporation.......... 372,600 14,446
PolyOne Corporation+.......... 1,195,600 9,230
RPM International,
Incorporated................ 432,200 7,456
--------
TOTAL CHEMICALS........... 67,431
--------
CONSTRUCTION MATERIALS - 0.44%
Insituform Technologies,
Incorporated+(+)............ 532,200 7,935
Lafarge North America,
Incorporated................ 39,400 2,187
--------
TOTAL CONSTRUCTION
MATERIALS............... 10,122
--------
CONTAINERS & PACKAGING - 0.47%
Longview Fibre Company(+)..... 523,200 9,669
Silgan Holdings,
Incorporated................ 19,479 1,191
--------
TOTAL CONTAINERS &
PACKAGING............... 10,860
--------
METALS & MINING - 1.84%
Arch Coal, Incorporated(+).... 146,300 6,487
Century Aluminum
Company+(+)................. 346,500 8,073
Compass Minerals
International,
Incorporated................ 103,200 2,492
Foundation Coal Holdings,
Incorporated+(+)............ 278,000 6,491
NN, Incorporated(+)........... 163,900 2,057
Quanex Corporation............ 85,000 4,289
RTI International Metals,
Incorporated+............... 164,100 3,691
Worthington Industries,
Incorporated................ 551,200 8,963
--------
TOTAL METALS & MINING..... 42,543
--------
PAPER & FOREST PRODUCTS - 0.42%
Chesapeake Corporation........ 292,600 5,683
Potlatch Corporation.......... 86,200 4,071
--------
TOTAL PAPER & FOREST
PRODUCTS................ 9,754
--------
TOTAL MATERIALS........... 140,710
--------
UTILITIES - 9.03%
ELECTRIC UTILITIES - 4.93%
Alliant Corporation........... 331,000 8,719
Cleco Corporation............. 203,600 4,158
DPL Inc. ..................... 471,200 11,987
Duquesne Light Holdings,
Incorporated(+)............. 355,600 6,255
Great Plains Energy,
Incorporated(+)............. 442,200 13,522
Hawaiian Electric Industries,
Incorporated(+)............. 304,400 7,701
IDACORP, Incorporated......... 110,300 2,976
</Table>
<Table>
<Caption>
SHARES VALUE
------------ --------
(DOLLARS IN THOUSANDS)
Northeast Utilities........... 694,200 $ 12,711
NSTAR......................... 285,800 15,473
OGE Energy Corporation........ 437,800 12,083
PNM Resources, Incorporated... 255,350 7,060
Puget Energy, Incorporated.... 24,100 517
WPS Resources Corporation(+).. 209,900 11,068
--------
TOTAL ELECTRIC
UTILITIES............... 114,230
--------
GAS UTILITIES - 4.10%
AGL Resources, Incorporated... 353,300 12,224
Atmos Energy Corporation...... 344,200 9,052
Edge Petroleum Corporation+... 261,200 3,661
Energen Corporation........... 15,700 973
Energy Partners Limited+...... 244,800 5,596
National Fuel Gas Company(+).. 473,500 12,893
New Jersey Resources
Corporation(+).............. 128,500 5,572
Nicor, Incorporated(+)........ 30,800 1,139
ONEOK, Incorporated(+)........ 279,800 8,075
Peoples Energy
Corporation(+).............. 175,200 6,938
Remington Oil and Gas
Corporation+................ 89,100 2,599
Southern Union Company+....... 285,665 6,839
South Jersey Industries,
Incorporated(+)............. 39,600 2,152
UGI Corporation............... 122,900 6,173
Vectren Corporation(+)........ 155,300 4,195
WGL Holdings,
Incorporated(+)............. 225,200 6,826
--------
TOTAL GAS UTILITIES....... 94,907
--------
TOTAL UTILITIES........... 209,137
--------
TOTAL COMMON STOCK........ 2,126,511
--------
<Caption>
PAR
AMOUNT
------------
SHORT-TERM INVESTMENTS - 20.64%
U.S. TREASURY BILLS - 0.55%
2.685%, Due 6/9/2005 (Note
A).......................... $ 12,855 12,818
--------
TOTAL U.S. TREASURY
BILLS................... 12,818
--------
</Table>
<Table>
<Caption>
SHARES
------------
OTHER SHORT-TERM INVESTMENTS - 20.090% (Note B)
American Beacon Enhanced Cash
Trust (Notes B and C)...... 225,108,141 225,108
American Beacon Money Market
Select Fund (Notes B and
C)......................... 240,732,293 240,732
----------
TOTAL OTHER SHORT-TERM
INVESTMENTS............ 465,840
----------
TOTAL SHORT-TERM
INVESTMENTS............ 478,658
----------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
13
AMERICAN BEACON SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
VALUE
-----------
(DOLLARS IN
THOUSANDS)
TOTAL INVESTMENTS - 112.38%
(COST $2,549,523).......... $2,605,169
----------
LIABILITIES, NET OF OTHER
ASSETS - (12.38%).......... (286,909)
----------
TOTAL NET ASSETS - 100%...... $2,318,260
==========
</Table>
- ---------------
(A) At April 30, 2005, security held as collateral for open futures contracts.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+) - All or a portion of this security is on loan at April 30, 2005. See Note
5.
+ - Non-income producing security.
* - Valued at fair value pursuant to procedures approved by the Board of
Trustees.
FUTURES CONTRACTS
(dollars in thousands)
<Table>
<Caption>
UNREALIZED
NO. OF EXPIRATION MARKET APPRECIATION/
ISSUER CONTRACTS DATE VALUE (DEPRECIATION)
- ------ --------- ---------- -------- --------------
Russell 2000................................................ 602 June 2005 $174,851 $(10,322)
Emini Mini Russell.......................................... 636 June 2005 36,945 59
-------- --------
$211,796 $(10,263)
======== ========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
14
AMERICAN BEACON SMALL CAP VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2005 (Unaudited) (in thousands)
- --------------------------------------------------------------------------------
<Table>
ASSETS:
Investments in unaffiliated securities, at value(A C)... $ 2,139,329
Investments in affiliated securities, at value(B)....... 465,840
Receivable for investments sold......................... 13,236
Dividends and interest receivable....................... 1,702
Receivable for fund shares sold......................... 12,460
Receivable for variation margin on open futures
contracts.............................................. 2,439
Other assets............................................ 88
-----------
TOTAL ASSETS........................................ 2,635,094
-----------
LIABILITIES:
Payable for investments purchased....................... 40,413
Payable upon return of securities loaned................ 269,455
Payable for fund shares redeemed........................ 3,153
Management and investment advisory fees payable (Note
2)..................................................... 3,236
Administrative service and service fees payable......... 577
-----------
TOTAL LIABILITIES................................... 316,834
-----------
NET ASSETS.................................................. $ 2,318,260
===========
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 2,205,185
Undistributed net investment income..................... 3,750
Accumulated net realized gain (loss).................... 63,942
Unrealized appreciation (depreciation) of investments,
futures contracts and foreign currency................. 45,383
-----------
NET ASSETS.................................................. $ 2,318,260
===========
Shares outstanding (no par value):
Institutional Class..................................... 42,808,742
===========
PlanAhead Class......................................... 59,350,462
===========
Service Class........................................... 1,903,307
===========
AMR Class............................................... 20,803,117
===========
Net asset value, offering and redemption price per share:
Institutional Class..................................... $ 18.74
===========
PlanAhead Class......................................... $ 18.41
===========
Service Class........................................... $ 18.34
===========
AMR Class............................................... $ 18.67
===========
- ---------------
(A) Cost of investments in unaffiliated securities.......... $ 2,083,683
(B) Cost of investments in affiliated securities............ 465,840
(C) Market value of securities on loan...................... 263,671
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
15
AMERICAN BEACON SMALL CAP VALUE FUND
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2005 (Unaudited) (in thousands)
- --------------------------------------------------------------------------------
<Table>
INVESTMENT INCOME:
Dividend income from unaffiliated securities (net of
foreign taxes)*........................................ $ 12,490
Dividend income from affiliated securities.............. 2,134
Interest income......................................... 137
Income derived from commission recapture................ 154
Income derived from securities lending, net............. 271
--------
TOTAL INVESTMENT INCOME............................. 15,186
--------
EXPENSES:
Management and investment advisory fees (Note 2)........ 5,131
Administrative service fees (Note 2):
Institutional Class................................... 785
PlanAhead Class....................................... 1,082
Service Class......................................... 29
Transfer agent fees:
Institutional Class................................... 73
PlanAhead Class....................................... 86
Service Class......................................... 4
AMR Class............................................. 5
Fund accounting fees.................................... 398
Professional fees....................................... 31
Registration fees and expenses.......................... 71
Service fees -- PlanAhead Class (Note 2)................ 1,082
Service fees -- Service Class (Note 2).................. 29
Distribution fees -- Service Class (Note 2)............. 29
Prospectus and shareholder reports...................... 82
Other expenses.......................................... 3
--------
TOTAL EXPENSES...................................... 8,920
--------
NET INVESTMENT INCOME....................................... 6,266
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on:
Investments........................................... 62,320
Futures contracts..................................... 2,711
Change in net unrealized appreciation or depreciation
of:
Investments........................................... (56,798)
Futures contracts..................................... (10,303)
--------
NET GAIN (LOSS) ON INVESTMENTS...................... (2,070)
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 4,196
========
* Foreign taxes......................................... $ 29
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
16
AMERICAN BEACON SMALL CAP VALUE FUND
STATEMENT OF CHANGES IN NET ASSETS (IN THOUSANDS)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
2005 2004
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 6,266 $ 5,180
Net realized gain (loss) on investments, futures
contracts, and foreign currency transactions........... 65,031 69,211
Change in net unrealized appreciation or depreciation of
investments, futures contracts, and foreign currency
translations........................................... (67,101) 50,600
---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... 4,196 124,991
---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class................................... (1,734) (522)
PlanAhead Class....................................... (1,962) (156)
Service Class......................................... (37) --
AMR Class............................................. (2,456) (1,911)
Net realized gain on investments:
Institutional Class................................... (20,489) (3,082)
PlanAhead Class....................................... (27,260) (2,162)
Service Class......................................... (632) --
AMR Class............................................. (20,024) (9,583)
---------- ----------
NET DISTRIBUTIONS TO SHAREHOLDERS................... (74,594) (17,416)
---------- ----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........................... 1,375,596 969,153
Reinvestment of dividends and distributions............. 70,239 16,178
Cost of shares redeemed................................. (403,262) (230,849)
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS.................................. 1,042,573 754,482
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS....................... 972,175 862,057
---------- ----------
NET ASSETS:
Beginning of period..................................... 1,346,085 484,028
---------- ----------
END OF PERIOD*.......................................... $2,318,260 $1,346,085
========== ==========
* Includes undistributed net investment income (loss)
of..................................................... $ 3,750 $ 4,276
========== ==========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
17
AMERICAN BEACON SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American Beacon Funds (the "Trust"), formerly known as the American
AAdvantage Funds, is organized as a Massachusetts business trust and is
registered under the Investment Company Act of 1940 (the "Act"), as amended, as
a no load, open-end management investment company. These financial statements
and notes to the financial statements relate to the American Beacon Small Cap
Value Fund (the "Fund"), a series of the Trust.
American Beacon Advisors, Inc. (the "Manager"), formerly known as AMR
Investment Services, Inc., is a wholly-owned subsidiary of AMR Corporation, the
parent company of American Airlines, Inc. ("American"), and was organized in
1986 to provide business management, advisory, administrative and asset
management consulting services to the Trust and other investors.
Class Disclosure
The Fund has multiple classes of shares designed to meet the needs of
different groups of investors. The following table sets forth the differences
amongst the classes:
<Table>
<Caption>
CLASS: OFFERED TO: SERVICE AND DISTRIBUTION FEES:
- ------ ----------- ------------------------------
INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service 0.25%
Fee --
PLANAHEAD CLASS General public and investors investing through an Administrative Service 0.25%
intermediary Fee -- 0.25%
Service Fee --
SERVICE CLASS Investors investing through an intermediary Administrative Service 0.25%
Fee -- 0.25%
Service Fee -- 0.25%
Distribution Fee --
AMR CLASS Investors in the tax-exempt retirement and benefit plans of N/A
AMR Corporation and its affiliates
</Table>
Security Valuation
Investments are valued at the close of the New York Stock Exchange (the
"Exchange"), normally 4 p.m. ET, each day that the Exchange is open for
business. Equity securities for which market quotations are available are valued
at the last sale price or official price (closing bid price or last evaluated
quote if no sale has occurred) on the primary market or exchange on which they
trade.
Debt securities (other than short-term securities) normally are valued on
the basis of prices provided by a pricing service and may take into account
appropriate factors such as institution-size trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics and other market data. When a price is unavailable from a
pricing service or when the price provided by the pricing service is deemed not
to represent fair value, the prices of debt securities may be determined using
quotes obtained from brokers.
Investments in mutual funds are valued at the closing net asset value per
share of the mutual fund on the day of valuation. Investment grade short-term
obligations with 60 days or less to maturity are valued using the amortized cost
method, which approximates market value.
Securities for which the above valuation procedures are inappropriate, or
are deemed not to reflect fair value, are valued at fair value, as determined in
good faith and pursuant to procedures approved by the Trust's Board of Trustees
(the "Board").
- --------------------------------------------------------------------------------
18
AMERICAN BEACON SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale.
Dividend income is recorded on the ex-dividend date except certain
dividends from foreign securities which are recorded as soon as the information
is available to the Fund. Interest income is earned from settlement date,
recorded on the accrual basis, and adjusted, if necessary, for accretion of
discounts and amortization of premiums. For financial and tax reporting
purposes, realized gains and losses are determined on the basis of specific lot
identification.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of
securities at a specified price on a future date. The Fund may enter into
financial futures contracts as a method for keeping assets readily convertible
to cash if needed to meet shareholder redemptions or for other needs while
maintaining exposure to the stock or bond market, as applicable. The primary
risks associated with the use of futures contracts are the possibility of
illiquid markets or imperfect correlation between the values of the contracts
and the underlying securities, or that the counterparty will fail to perform its
obligations.
Upon entering into a futures contract, the Fund is required to set aside or
deposit with a broker an amount, termed the initial margin, which typically
represents 5% of the face value of the futures contract. The Fund reflects this
amount on the Schedule of Investments as a US Treasury Bill held as collateral
for futures contracts. Payments to and from the broker, known as variation
margin, are required to be made on a daily basis as the price of the futures
contract fluctuates. Changes in initial settlement values are accounted for as
unrealized appreciation (depreciation) until the contracts are terminated, at
which time realized gains and losses are recognized. Futures contracts are
valued at the most recent settlement price established each day by the exchange
on which they are traded.
Dividends to Shareholders
Dividends from net investment income of the Fund normally will be declared
and paid annually. Distributions, if any, of net realized capital gains are
generally paid annually and recorded on the ex-dividend date.
Commission Recapture
The Fund has established brokerage commission recapture arrangements with
certain brokers or dealers. If the Fund's investment advisor chooses to execute
a transaction through a participating broker, the broker rebates a portion of
the commission back to the Fund. Any collateral benefit received through
participation in the commission recapture program is directed exclusively to the
Fund.
Allocation of Income, Expenses, Gains and Losses
Income, expenses (other than those attributable to a specific class), gains
and losses are allocated daily to each class of shares based upon the relative
proportion of net assets represented by such class. Operating expenses directly
attributable to a specific class are charged against the operations of that
class.
- --------------------------------------------------------------------------------
19
AMERICAN BEACON SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liability arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that provide indemnification to the other party or parties against
potential costs or liabilities. The Trust's maximum exposure under these
arrangements is dependent on claims that may be made in the future and,
therefore, cannot be estimated. The Trust has had no prior claims or losses
pursuant to any such agreement.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement that
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory, fund management and securities lending services. Investment
assets of the Fund are managed by multiple investment advisors which have
entered into separate investment advisory agreements with the Manager. As
compensation for performing the duties required under the Management Agreement,
the Manager receives from the Fund an annualized fee equal to .10% of the
average daily net assets plus amounts paid by the Manager to the investment
advisors hired by the Manager to direct investment activities of the Funds.
Management fees paid during the six months ended April 30, 2005 were as follows
(dollars in thousands):
<Table>
<Caption>
AMOUNTS PAID TO NET AMOUNTS
MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY
FEE RATE FEE ADVISORS MANAGER
- ----------- ---------- --------------- -----------
.35%-.60% $5,131 $4,132 $999
</Table>
As compensation for services provided by the Manager in connection with
securities lending activities, the lending Fund pays to the Manager, with
respect to cash collateral posted by borrowers, a fee up to 25% of the net
monthly interest income (the gross interest income earned by the investment of
cash collateral, less the amount paid to borrowers and related expenses) from
such activities and, with respect to loan fees paid by borrowers when a borrower
posts collateral other than cash, a fee up to 25% of such loan fees. During the
six months ended April 30, 2005, securities lending fees totaling $48,000 were
paid to the Manager by the Fund.
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement
which obligates the Manager to provide or oversee administrative and management
services to the Fund. As compensation for performing the duties required under
the Administrative Services Agreement, the Manager receives an annualized fee of
..25% of the average daily net assets of the Institutional, PlanAhead and Service
Classes of the Fund.
- --------------------------------------------------------------------------------
20
AMERICAN BEACON SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Distribution Plans
The Trust, except for the Service Class of the Funds, has adopted a
"defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under
the Investment Company Act of 1940, pursuant to which no fees may be charged to
the Fund for distribution purposes. However, the Plan authorizes the management
fees received by the Manager and the investment advisors hired by the Manager to
be used for distribution purposes. Under this Plan, the Trust does not intend to
compensate the Manager or any other party, either directly or indirectly, for
the distribution of Trust shares.
A separate Distribution Plan (the "Distribution Plan") has been adopted
pursuant to Rule 12b-1 under the Act for the Service Class of the Fund. Under
the Distribution Plan, as compensation for distribution assistance, the Manager
receives an annual fee of 0.25% of the average daily net assets of the Service
Class. The fee will be payable without regard to whether the amount of the fee
is more or less than the actual expenses incurred in a particular month by the
Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the
Manager to oversee additional shareholder servicing of the PlanAhead and Service
Classes. As compensation for performing the duties required under the Service
Plans, the Manager receives 0.25% of the average daily net assets of the
PlanAhead and Service Classes of the Fund.
Brokerage Commissions
Affiliated entities of the Fund received net commissions on purchases and
sales of the Fund's portfolio securities for the six months ended April 30, 2005
of $22,000.
Investment in Affiliated Funds
The Fund is permitted, pursuant to an exemptive order by the Securities and
Exchange Commission ("SEC") and approved procedures by the Board, to invest up
to 25% of its total assets in the American Beacon Money Market Select Fund (the
"Select Fund"), an affiliated fund. The Fund and the Select Fund have the same
investment advisor and therefore, are considered to be affiliated. Cash
collateral received by the Fund in connection with securities lending may be
invested in the Select Fund and the American Beacon Enhanced Cash Trust (the
"Cash Trust") (collectively, the "Affiliated Funds"). The Manager serves as
Trustee and investment advisor to the Affiliated Funds and receives from the
Affiliated Funds an annualized fee equal to 0.10% of the average daily net
assets. During the six months ended April 30, 2005, fees earned by the Manager
from the Affiliated Funds were as follows:
<Table>
<Caption>
SECURITIES LENDING
DIRECT INVESTMENT COLLATERAL INVESTED
IN FUNDS IN FUNDS TOTAL
- ----------------- ------------------- --------
$91,173 $139,459 $230,632
</Table>
- --------------------------------------------------------------------------------
21
AMERICAN BEACON SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Other
Certain officers or Trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. Mr. Feld and the non-interested Trustees (other than
Mr. O'Sullivan) and their spouses are provided free unlimited air transportation
on American. Retired Trustees and their spouses are provided free air
transportation on American, up to a maximum annual value of $40,000. The Trust
compensates each Trustee with payments in an amount equal to the Trustee's
income tax on the value of this free airline travel. Mr. O'Sullivan, as a
retiree of American, already receives flight benefits. Mr. O'Sullivan receives
an annual retainer of $40,000 plus $1,250 for each Board meeting attended. At
April 30, 2005, AMR Corporation and subsidiary companies and Employee Benefit
Trusts thereof owned 100% of AMR Class shares of the Fund.
Interfund Lending Program
Pursuant to an exemptive order by the SEC, the Fund along with other
registered investment companies having management contracts with the Manager,
may participate in an interfund lending program. This program provides an
alternative credit facility allowing the Fund to borrow from, or lend money to,
other participating Funds. At April 30, 2005, the Fund had not utilized the
credit facility.
Reimbursement of Expenses
The Manager reimbursed expenses of the Service Class totaling $121 for the
Fund during the six months ended April 30, 2005.
3. FEDERAL INCOME AND EXCISE TAXES
It is the policy of the Fund to comply with the requirements of Subchapter
M of the Internal Revenue Code and to distribute substantially all net
investment income as well as any net realized capital gains on the sale of
investments. Therefore, no federal income or excise tax provision is required.
Dividends are determined in accordance with income tax regulations which
may treat certain transactions differently than U.S. generally accepted
accounting principles. Accordingly, the character of distributions and
composition of net assets for tax purposes may differ from those reflected in
the accompanying financial statements.
- --------------------------------------------------------------------------------
22
AMERICAN BEACON SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The tax character of distributions during the six months ended April 30,
2005 and the fiscal year ended October 31, 2004 were as follows (in thousands):
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
2005 2004
----------- -----------
(UNAUDITED)
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Institutional Class..................................... $12,463 $ 2,878
PlanAhead Class......................................... 16,237 1,809
Service Class........................................... 368 --
AMR Class............................................... 12,942 9,236
LONG-TERM CAPITAL GAIN
Institutional Class..................................... 9,760 726
PlanAhead Class......................................... 12,985 509
Service Class........................................... 301 --
AMR Class............................................... 9,538 2,258
------- -------
TOTAL DISTRIBUTIONS PAID............................ $74,594 $17,416
------- -------
</Table>
As of April 30, 2005, the components of distributable earnings were as
follows (in thousands):
<Table>
Cost basis of investments for federal income tax purposes... $2,551,392
Unrealized appreciation..................................... 179,135
Unrealized depreciation..................................... (125,358)
----------
Net unrealized appreciation/(depreciation).................. 53,777
Undistributed ordinary income............................... 15,610
Undistributed long-term gain/(loss)......................... 43,664
----------
Distributable earnings...................................... $ 113,051
==========
</Table>
Financial reporting records are adjusted for permanent book/tax differences
to reflect tax character. Financial records are not adjusted for temporary
differences. The temporary differences between financial reporting and tax-basis
reporting of unrealized appreciation/(depreciation) are attributable primarily
to the tax deferral of losses from wash sales, the realization for tax purposes
of unrealized gains/(losses) on certain derivative instruments, book
amortization for premiums, and the realization for tax purposes of unrealized
gains/(losses) on investments in passive foreign investment companies.
Due to inherent differences in the recognition of income, expenses and
realized gains/losses under U.S. generally accepted accounting principles and
federal income tax purposes, permanent differences between book and tax
reporting have been identified and appropriately reclassified on the Statement
of Assets and Liabilities.
Accordingly, the following amounts represent current year permanent
differences that have been reclassified as of April 30, 2005 (in thousands):
<Table>
Paid-in-capital............................................. $ 427
Undistributed net investment income......................... (603)
Accumulated net realized gain (loss)........................ 176
Unrealized appreciation (depreciation) of investments,
futures contracts and foreign currency.................... --
</Table>
- --------------------------------------------------------------------------------
23
AMERICAN BEACON SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
4. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended April 30, 2005 (excluding
short-term investments) are as follows (in thousands):
<Table>
Purchases................................................... $1,347,168
Proceeds from sales......................................... $ 433,480
</Table>
A summary of the Fund's direct transactions in Affiliated Funds for the six
months ended April 30, 2005 is set forth below (in thousands):
<Table>
<Caption>
OCTOBER 31, 2004 APRIL 30, 2005
AFFILIATE SHARE/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE
- --------- ------------------ ---------- ---------- -------------------
Select Fund............................... $139,782 $1,830,047 $1,773,444 $196,385
</Table>
5. SECURITIES LENDING
The Fund may lend its securities to qualified financial institutions, such
as certain broker-dealers, to earn additional income. The borrowers are required
to secure their loans continuously with collateral in an amount at least equal
to 102% (for loans of US securities) or 105% (for non-US securities) of the
market value of the loaned securities at the inception of each loan. Collateral
is marked to market and monitored daily. To the extent that a loan is
collateralized by cash, such collateral shall be invested by the securities
lending agent (the "Agent") in short-term instruments, money market mutual
funds, and such other short-term investments, provided the investments meet
certain quality and diversification requirements.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and the Agent and is recorded as income for the Fund. To the
extent that a loan is secured by non-cash collateral, brokers pay the Fund
negotiated lenders' fees, which are divided between the Fund and the Agent and
are recorded as securities lending income for the Fund. The Fund also continues
to receive income on the securities loaned, and any gain or loss in the market
price of securities loaned that may occur during the term of the loan.
Risks to the Fund in securities lending transactions are that the borrower
may not provide additional collateral when required or return the securities
when due, and that the value of the short-term investments will be less than the
amount of cash collateral required to be returned to the borrower.
At April 30, 2005, the value of outstanding securities on loan and the
value of collateral was as follows (in thousands):
<Table>
<Caption>
MARKET VALUE OF
SECURITIES ON LOAN NON-CASH COLLATERAL CASH COLLATERAL
- ------------------ ------------------- ---------------
$263,671 $134 $269,455
</Table>
The Custodian for the Fund invested the cash collateral in the Cash Trust
and the Select Fund. These amounts have been included as investments in the
Schedule of Investments and Statement of Assets and Liabilities. Income earned
on these investments is reported as Income derived from securities lending in
the Statement of Operations.
- --------------------------------------------------------------------------------
24
AMERICAN BEACON SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Non-Cash collateral received by the Fund may not be sold or repledged;
therefore, non-cash collateral is not included on the Fund's Schedule of
Investments or Statement of Assets and Liabilities.
6. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each Class of
the Fund (in thousands):
Six Months Ended April 30, 2005
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS
-------------------- ------------------- ----------------- --------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------- --------- ------ --------- ------ ------- ------- ---------
Shares sold............. 22,094 $435,215 38,795 $ 756,963 1,440 $27,932 7,760 $ 155,486
Reinvestment of
dividends............. 923 18,570 1,443 28,520 34 669 1,123 22,480
Shares redeemed......... (2,993) (59,007) (6,041) (117,430) (210) (4,079) (11,416) (222,746)
------ -------- ------ --------- ------ ------- ------- ---------
Net increase (decrease)
in shares
outstanding........... 20,024 $394,778 34,197 $ 668,053 1,264 $24,522 (2,533) $ (44,780)
====== ======== ====== ========= ====== ======= ======= =========
</Table>
Year Ended October 31, 2004
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS
-------------------- ------------------ ----------------- --------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------- --------- ------ -------- ------ ------- ------- ---------
Shares sold............... 21,166 $380,848 23,536 $422,446 685 $12,179 8,593 $ 153,680
Reinvestment of
dividends............... 143 2,425 136 2,259 -- -- 683 11,494
Shares redeemed........... (4,049) (72,693) (2,711) (47,684) (46) (819) (6,247) (109,653)
------ -------- ------ -------- ------ ------- ------- ---------
Net increase in shares
outstanding............. 17,260 $310,580 20,961 $377,021 639 $11,360 3,029 $ 55,521
====== ======== ====== ======== ====== ======= ======= =========
</Table>
- --------------------------------------------------------------------------------
25
AMERICAN BEACON SMALL CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS
--------------------------------------------------------------- --------------------------------
SIX MONTHS SIX MONTHS YEAR ENDED
ENDED YEAR ENDED OCTOBER 31, ENDED OCTOBER 31,
APRIL 30, ------------------------------------------------- APRIL 30, ------------------
2005(H) 2004(G) 2003(D) 2002 2001(C) 2000 2005(H) 2004(G) 2003(D)
----------- -------- -------- ------- ------- ------- ----------- -------- -------
(UNAUDITED) (UNAUDITED)
Net asset value, beginning of
period...................... $ 18.85 $ 16.21 $ 11.28 $ 11.69 $ 10.08 $ 9.07 $ 18.54 $ 15.95 $ 11.22
-------- -------- -------- ------- ------- ------- ---------- -------- -------
Income from investment
operations:
Net investment income
(loss)(A)............... 0.06 0.07 (0.01) (0.01) 0.16 0.21 0.05 0.08 0.05
Net gains on securities
(both realized and
unrealized)(A).......... 0.67 3.09 5.24 0.47 1.81 1.01 0.65 2.98 5.08
-------- -------- -------- ------- ------- ------- ---------- -------- -------
Total income from investment
operations.................. 0.73 3.16 5.23 0.46 1.97 1.22 0.70 3.06 5.13
-------- -------- -------- ------- ------- ------- ---------- -------- -------
Less distributions:
Dividends from net
investment income....... (0.07) (0.08) (0.02) (0.11) (0.19) (0.04) ((0.06) (0.03) (0.12)
Distributions from net
realized gains on
securities.............. (0.77) (0.44) (0.28) (0.76) (0.17) (0.17) (0.77) (0.44) (0.28)
-------- -------- -------- ------- ------- ------- ---------- -------- -------
Total distributions.......... (0.84) (0.52) (0.30) (0.87) (0.36) (0.21) (0.83) (0.47) (0.40)
-------- -------- -------- ------- ------- ------- ---------- -------- -------
Net asset value, end of
period...................... $ 18.74 $ 18.85 $ 16.21 $ 11.28 $ 11.69 $ 10.08 $ 18.41 $ 18.54 $ 15.95
======== ======== ======== ======= ======= ======= ========== ======== =======
Total return................. 3.56%(E) 19.86% 47.45% 3.29% 20.16% 13.78% 3.46%(E) 19.56% 47.12%
======== ======== ======== ======= ======= ======= ========== ======== =======
Ratios and supplemental data:
Net assets, end of period
(in thousands).......... $802,413 $429,540 $ 89,579 $21,936 $ 2,364 $ 1,955 $1,092,517 $466,364 $66,906
Ratios to average net
assets (annualized):
Expenses(A)............. 0.84% 0.89% 0.89% 0.82% 0.89% 0.92% 1.09% 1.15% 1.16%
Net investment
income(loss)(A)....... 0.68% 0.57% 0.60% 0.81% 1.38% 1.62% 0.42% 0.33% 0.39%
Decrease reflected in
above expense ratio
due to absorption of
expenses by the
Manager(A)............ -- -- -- -- -- 0.06% -- -- --
Portfolio turnover
rate(B)................. 24%(E) 35% 75% 81% 93% 63% 24%(E) 35% 75%
</Table>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Small Cap Value Portfolio through February 28,
2002.
(B) The Small Cap Value Fund invested all of its investable assets in its
corresponding Portfolio through February 28, 2002. Portfolio turnover rate
through February 28, 2002 was that of the Portfolio.
(C) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed
management of the Small Cap Value Fund's assets previously managed by
Merrill Lynch Investment Managers, L.P.
(D) Barrow, Hanley, Mewhinney & Strauss, Inc. was added as an investment
advisor to the Small Cap Value Fund on September 18, 2003.
(E) Not annualized.
(F) Portfolio turnover rate is for the period November 1, 2002 through October
31, 2003.
(G) The Boston Company was added as an investment advisor to the Small Cap
Value Fund on September 27, 2004.
(H) Opus Capital Management, Inc. was added as an investment advisor to the
Small Cap Value Fund on February 1, 2005.
- --------------------------------------------------------------------------------
26
- --------------------------------------------------------------------------------
<Table>
<Caption>
SERVICE CLASS AMR CLASS
PLANAHEAD CLASS --------------------------------------- -----------
--------------------------- SIX MONTHS SIX MONTHS
YEAR ENDED OCTOBER 31, ENDED YEAR ENDED MAY 1 TO ENDED
--------------------------- APRIL 30, OCTOBER 31, OCTOBER 31, APRIL 30,
2002 2001(C) 2000 2005(H) 2004(G) 2003(D) 2005(H)
------- ------- ------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
$ 11.64 $ 10.08 $ 9.05 $ 18.49 $ 15.92 $ 11.88 $ 18.78
------- ------- ------- ------- -------- --------- --------
0.06 0.15 0.08 0.03 0.01 -- 0.10
0.36 1.76 1.14 0.64 3.00 4.04 0.66
------- ------- ------- ------- -------- --------- --------
0.42 1.91 1.22 0.67 3.01 4.04 0.76
------- ------- ------- ------- -------- --------- --------
(0.08) (0.18) (0.02) (0.05) -- -- (0.10)
(0.76) (0.17) (0.17) (0.77) (0.44) -- (0.77)
------- ------- ------- ------- -------- --------- --------
(0.84) (0.35) (0.19) (0.82) (0.44) -- (0.87)
------- ------- ------- ------- -------- --------- --------
$ 11.22 $ 11.64 $ 10.08 $ 18.34 $ 18.49 $ 15.92 $ 18.67
======= ======= ======= ======= ======== ========= ========
2.99% 19.58% 13.76% 3.31%(E) 19.24% 34.01% 3.73%(E)
======= ======= ======= ======= ======== ========= ========
$16,190 $ 1,197 $ 440 $34,912 $ 11,828 $ 1 $388,418
1.11% 1.17% 1.18% 1.34% 1.38% 1.49% 0.57%
0.52% 1.06% 1.71% 0.17% 0.17% (0.05)% 0.94%
-- -- 0.06% -- 0.31% 1,087.55% --
81% 93% 63% 24%(E) 35% 75%(F) 24%(E)
<Caption>
AMR CLASS
----------------------------------------------------
YEAR ENDED OCTOBER 31,
----------------------------------------------------
2004(G) 2003(D) 2002 2001(C) 2000
-------- -------- -------- -------- --------
$ 16.13 $ 11.30 $ 11.71 $ 10.10 $ 9.08
-------- -------- -------- -------- --------
0.14 0.10 0.15 0.15 0.22
3.04 5.15 0.34 1.85 1.04
-------- -------- -------- -------- --------
3.18 5.25 0.49 2.00 1.26
-------- -------- -------- -------- --------
(0.09) (0.14) (0.14) (0.22) (0.07)
(0.44) (0.28) (0.76) (0.17) (0.17)
-------- -------- -------- -------- --------
(0.53) (0.42) (0.90) (0.39) (0.24)
-------- -------- -------- -------- --------
$ 18.78 $ 16.13 $ 11.30 $ 11.71 $ 10.10
======== ======== ======== ======== ========
20.12% 47.93% 3.54% 20.52% 14.19%
======== ======== ======== ======== ========
$438,353 $327,542 $181,180 $137,811 $ 53,715
0.60% 0.61% 0.56% 0.64% 0.68%
0.84% 0.95% 1.09% 1.55% 1.89%
-- -- -- -- 0.06%
35% 75% 81% 93% 63%
</Table>
- --------------------------------------------------------------------------------
27
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND
(Unaudited)
- --------------------------------------------------------------------------------
Renewal of Management Agreement and Investment Advisory Agreements
At their February 23, 2005 meeting, the Trustees considered the renewal of
the existing Management Agreement between the Manager and the Fund and each
Investment Advisory Agreement between the Fund and the sub-advisors. As part of
the renewal process, legal counsel to the Trusts and the independent Trustees
sent information request letters to the Manager and each sub-advisor seeking
certain relevant information. The responses by the Manager and sub-advisors were
provided to the Trustees for their review prior to their meeting, and the
Trustees were provided with the opportunity to request any additional materials.
The Trustees considered, among other materials, responses by the Manager
and the sub-advisors to inquiries requesting:
- a description of any significant changes (actual or anticipated) to
principal activities, personnel, services provided to the Fund, or any
other area, including how these changes might affect the Fund;
- a copy of the firm's most recent audited or unaudited financial
statements as well as Parts I and II of its Form ADV;
- a summary of any material past, pending or anticipated litigation or
regulatory proceedings involving the firm or its personnel, including the
results of any recent regulatory examination or independent audit;
- a comparison of the performance of that portion of Fund assets managed by
each firm with performance of other similar accounts managed by the firm,
including a discussion of relative performance versus a peer group
average and any remedial measures if the firm's performance was
materially below that of the peer group;
- a cost/profitability analysis of the firm and any actual or anticipated
economies of scale in relation to the services it provides to the Fund,
if available;
- an analysis of compensation, including a comparison with fees charged to
other clients for which similar services are provided, any proposed
changes to the fee schedule and the effect of any fee waivers;
- an evaluation of any other benefits to the firm or Fund as a result of
their relationship, if any;
- a description of the scope of portfolio management services provided to
the Fund, including whether such services differ from the services
provided to other clients, including other registered investment
companies;
- a description of the personnel who are assigned primary responsibility
for managing the Fund, including any changes during the past year;
- a description of the basis upon which portfolio managers are compensated,
including any "incentive" arrangements;
- a discussion regarding the firm's participation in "soft dollar"
arrangements, if any, or other brokerage allocation policies with respect
to Fund transactions, including the firm's methodology for obtaining the
most favorable execution and the use of any affiliated broker-dealers;
28
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED
(Unaudited)
- --------------------------------------------------------------------------------
- a description of any actual or potential conflicts of interest
anticipated in managing Fund assets;
- a discussion of the firm's compliance program with regard to federal,
state, corporate and Fund requirements;
- information regarding the firm's code of ethics, insider trading policy
and disaster recovery plan, including a description of any material
changes thereto;
- a description of the firm's affiliation with any broker-dealer;
- a discussion of any anticipated change in the firm's controlling persons;
and
- verification of the firm's insurance coverage with regards to the
services provided to the Fund.
In addition to the foregoing, the Manager provided the following
information specific to the renewal of the Management Agreement:
- a table comparing the performance of the Fund to appropriate indices,
including comments on the relative performance of each sub-advisor and
the Fund versus comparable indices;
- a discussion of any underperformance by a sub-advisor relative to its
peer group and whether (and if so, why) such sub-advisor should have its
contract renewed;
- a table detailing the Manager's profitability with respect to the Fund;
- an analysis of any material complaints received from Fund shareholders;
- a discussion of the Manager's compliance program;
- a description of the Manager's securities lending practices and the fees
received from such practices;
- a description of the portfolio turnover rate and average execution costs
for the Fund and each sub-advisor to the Fund;
- a discussion of whether the Manager receives, with respect to trade
execution for the Fund, other special compensation, including any payment
for order flow;
- a description of how expenses that are not readily identifiable to the
Fund are allocated; and
- any ideas for the future growth and efficient operation of the Fund.
The Trustees were also provided with an analysis provided by Lipper, Inc.,
which compared: (i) investment performance of the Fund versus comparable
investment companies and appropriate indices; (ii) total Fund expenses versus
comparable mutual funds, and (iii) the Fund's investment advisory fees versus
comparable mutual funds.
Legal counsel provided the Trustees with a memorandum detailing their
responsibilities pertaining to the renewal of the Management and Investment
Advisory Agreements. This memorandum explained the regulatory requirements
surrounding the Trustees' process for evaluating investment advisors and the
terms of the contracts.
29
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED
(Unaudited)
- --------------------------------------------------------------------------------
Considerations and Conclusions with Respect to the Fund
In determining whether to approve the continuance of the Management
Agreement and each Investment Advisory Agreement, the Trustees considered the
best interests of the Fund separately from other series of the Trust. In each
instance, the Trustees considered, among other things, the following factors:
(1) the nature and quality of the services provided; (2) the investment
performance of the Fund and the investment advisor; (3) the Manager's or
sub-advisor's cost for providing the services and the profitability of the
advisory business to the Manager or sub-advisor; (4) the extent to which
economies of scale have been taken into account in setting the fee schedule; and
(5) whether fee levels reflect these economies of scale for the benefit of Fund
investors. The Trustees posed questions to various management personnel of the
Manager regarding certain key aspects of the material submitted in support of
the renewal.
With respect to the renewal of the Management Agreement, the Trustees
considered: the Manager's ability to retain key investment personnel and to
provide consistent performance and an active client service program; the
Manager's goal to continue to provide consistent above average long-term
performance at low cost; the continuing efforts by the Manager to add new series
so as to enhance the Trusts' product line; the Manager's record in building
improved compliance, control and credit functions that reduce risks to the
Trusts; the addition of personnel to manage the Trusts' series, promote sales
and improve services; and the active role played by the Manager in monitoring
and, as appropriate, recommending replacements for the investment sub-advisors
and master portfolios.
With respect to the renewal of the Investment Advisory Agreements, the
Trustees noted that, in many cases, the Manager has negotiated the lowest
sub-advisory fee a sub-advisor charges for any comparable client accounts. Where
applicable, for purposes of determining the fee charged to the Fund, the fee
schedule to each Investment Advisory Agreement specifies that all other small
cap value assets managed by a sub-advisor on behalf of AMR Corporation and its
pensions plans shall be considered. Thus, the Fund is able to receive the lowest
possible fee due to economies of scale resulting from the sub-advisor's
management of a larger pool of assets.
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Fund outperformed its
benchmark indices for the one-year and five-year periods ended December 31,
2004; (2) the expense ratio of the Institutional Class of Fund shares was at the
industry average; and (3) the Trustees deemed the profit made by the Manager on
the services it provided to the Fund to be reasonable in light of the fact that
the Manager provides high-quality services at a low cost to investors, allocates
the Fund's assets among sub-advisors, monitors and evaluates the performance of
the Fund's two sub-advisors, and provides a comprehensive compliance program for
the Fund.
In considering the renewal of the Investment Advisory Agreements with
Barrow, Hanley, Mewhinney & Strauss, Inc. ("Barrow"), Brandywine Asset
Management, LLC ("Brandywine"), Hotchkis and Wiley Capital Management, LLC
("Hotchkis"), and The Boston Company Asset Management, LLC ("TBCAM"), the
Trustees considered the following additional factors: (1) Barrow and Hotchkis
have each outperformed for all reported periods its benchmark index with respect
to their allocated portion of the Fund's assets; (2) except for the most recent
one-year period, Brandywine has outperformed its benchmark index for the
longer-term periods with respect to its allocated portion of the Fund's assets;
(3) as of December 31, 2004, TBCAM had managed a portion of the Fund for three
months, over which period it slightly underperformed its benchmark index,
30
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED
(Unaudited)
- --------------------------------------------------------------------------------
but the Trustees considered the performance record too short to be meaningful;
(4) each sub-advisor represented that it did not charge a lower fee rate for any
comparable client accounts; (5) for purposes of calculating the fee rates
chargeable to the Fund, each sub-advisor agreed to take into account all other
assets of AMR Corporation and its subsidiaries and affiliated entities under
management by the sub-advisor; and (6) the Manager's recommendation to continue
to retain each sub-advisor.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and the
sub-advisors under the Management and Investment Advisory Agreements are fair
and reasonable, (2) determined that the Fund and its shareholders would benefit
from the Manager's and sub-advisors' continued management of the Fund and (3)
approved the renewal of the Management and Investment Advisory Agreements with
respect to the Fund.
Approval of Investment Advisory Agreement with Opus Capital Management, Inc.
At their January 27, 2005 meeting, the Trustees considered the approval of
an Investment Advisory Agreement between the Trust and Opus Capital Management,
Inc. ("Opus") to add Opus as a sub-adviser to the Fund. As part of the approval
process, legal counsel to the Trusts and the independent Trustees sent an
information request letter to Opus seeking certain relevant information. Opus's
response was provided to the Trustees for their review prior to their meeting,
and the Trustees were provided with the opportunity to request any additional
materials.
The Trustees considered, among other materials, responses by Opus to
inquiries requesting:
- a description of the advisory and related services proposed to be
provided to the Fund;
- identification of the professional personnel to perform services for the
Fund and their education, experience and responsibilities;
- a comparison of the performance of accounts similar to the Fund managed
by Opus with the performance of applicable indices;
- an analysis of the proposed advisory fee, a comparison to the fees
charged to other comparable clients and an explanation of any differences
between the fee schedules;
- whether Opus charges a lower advisory fee to other clients for which it
provides services comparable to the services proposed for the Fund and if
so, an explanation of the rationale for charging the other client(s) a
lower fee;
- a description of the portfolio managers' compensation, including any
incentive arrangements, and if compensation is tied to performance, a
description of the oversight mechanisms to prevent a manager with lagging
performance from taking undue risks; and
- any other information Opus believed would be material to the Trustees'
consideration of the agreement.
In considering the approval of the Investment Advisory Agreement with Opus,
the Trustees considered the following factors. First, the Trustees considered
that the Manager had screened the universe of available small capitalization
equity managers to identify those that would have added value to the Fund's
performance over the most recent three- and five-year periods. In this regard,
the Trustees considered that Opus's small cap value accounts outperformed the
Russell 2000 Value
31
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
AND INVESTMENT ADVISORY AGREEMENT OF THE FUND -- CONTINUED
(Unaudited)
- --------------------------------------------------------------------------------
Index for the most recent quarter, one-year, three-year, five-year, and since
inception periods. Second, the Trustees considered that the proposed fee to be
charged by Opus to the Fund was highly competitive with fees of comparable
advisers and represented a discount from Opus's standard fee schedule for such
services. Third, the Trustees considered the experience and knowledge of the
investment team identified by Opus that would make investment decisions for the
Fund. Fourth, the Trustees considered that Opus was prepared to reserve a
material amount of investment capacity for the benefit of the Fund. Fifth, the
Trustees considered the Manager's conclusion that the investment process to be
employed by Opus would be highly consistent with the Fund's investment
objectives and policies, as well as the Manager's strong recommendation on
behalf of Opus.
Based on these considerations, the Trustees (1) concluded that the fees
proposed to be paid to Opus under the Investment Advisory Agreement are fair and
reasonable, (2) determined that the Fund and its shareholders would benefit from
Opus's addition as a sub-advisor to the Fund and (3) approved the Investment
Advisory Agreement with Opus.
32
(AMERICAN AADVANTAGE FUNDS LOGO)
- --------------------------------------------------------------------------------
DELIVERY OF DOCUMENTS
To reduce expenses, your financial institution may mail only one copy of the
Prospectus, Annual Report and Semi-Annual Report to those addresses shared by
two or more accounts, if you wish to receive individual copies of these
documents, please contact your financial institution. Delivery of individual
copies will commence thirty days after receiving your request.
If you invest in the Fund through a financial institution, you may be able to
receive the Fund's regulatory mailings, such as the Prospectus, Annual Report
and Semi-Annual Report, by e-mail. If you are interested in this option, please
go to www.icsdelivery.com and search for your financial institution's name or
contact your financial institution directly.
TO OBTAIN MORE INFORMATION ABOUT THE FUND:
<Table>
(KEYBOARD GRAPHIC) (MOUSE GRAPHIC)
BY E-MAIL: ON THE INTERNET:
american-beacon.funds@ambeacon.com Visit our website at www.americanbeaconfunds.com
</Table>
- --------------------------------------------------------------------------------
<Table>
(TELEPHONE GRAPHIC) (MAILBOX GRAPHIC)
BY TELEPHONE: BY MAIL:
Institutional Class American Beacon Funds
Call (800) 658-5811 4151 Amon Carter Blvd., MD 2450
AMR Class(SM) Fort Worth, TX 76155
Call (800) 345-2345
PlanAhead Class(R) and Service Class
Call (800) 388-3344
</Table>
- --------------------------------------------------------------------------------
<Table>
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES AVAILABILITY OF PROXY VOTING POLICY AND RECORDS
In addition to the Schedule of Investments provided in each A description of the policies and procedures the Fund uses
semi-annual and annual report, the Fund files a complete to determine how to vote proxies relating to portfolio
schedule of its portfolio holdings with the Securities and securities is available in the Fund's Statement of
Exchange Commission ("SEC") on Form N-Q as of the first and Additional Information, which may be obtained free of charge
third fiscal quarters. The Fund's Forms N-Q are available on by calling 1-800-967-9009 or by accessing the SEC's website
the SEC's website at www.sec.gov. The Forms N-Q may also be at www.sec.gov. The Fund's proxy voting record for the most
reviewed and copied at the SEC's Public Reference Room, 450 recent year ended June 30 is filed annually with the SEC on
Fifth Street, NW, Washington, DC 20549. Information Form N-PX. The Fund's Forms N-PX are available on the SEC's
regarding the operation of the SEC's Public Reference Room website at www.sec.gov. The Fund's proxy voting record may
may be obtained by calling 1-800-SEC-0330. A complete also be obtained by calling 1-800-967-9009.
schedule of the Fund's portfolio holdings is also available
on the Funds' website (www.americanbeaconfunds.com)
approximately thirty days after the end of each fiscal
quarter.
</Table>
FUND SERVICE PROVIDERS:
<Table>
CUSTODIAN TRANSFER AGENT INDEPENDENT AUDITORS DISTRIBUTOR
STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES ERNST & YOUNG LLP FORESIDE FUND SERVICES
Boston, Massachusetts Kansas City, Missouri Chicago, Illinois Portland, Maine
</Table>
This report is prepared for shareholders of the American Beacon Funds and may be
distributed to others only if preceded or accompanied by a current prospectus.
- --------------------------------------------------------------------------------
American Airlines, Inc. is not responsible for investments made in the American
Beacon Funds. American Beacon Funds is a service mark of AMR Corporation.
American Beacon Small Cap Value Fund is a service mark of American Beacon
Advisors, Inc.
[AMERICAN BEACON FUNDS LOGO]
4151 Amon Carter Blvd.
MD 2450
Fort Worth, TX 76155
1.800.967.9009
817.931.4331 fax
www.americanbeaconfunds.com
SAR 04/05
534227
G U I D A N C E | V I S I O N | E X P E R I E N C E
[AMERICAN BEACON FUNDS LOGO]
SEMI-ANNUAL REPORT
[PHOTO]
APRIL 30, 2005
EQUITY FUNDS
BALANCED FUND
LARGE CAP VALUE FUND
LARGE CAP GROWTH FUND
MID-CAP VALUE FUND
EMERGING MARKETS FUND
BOND FUNDS
HIGH YIELD BOND FUND
ENHANCED INCOME FUND
INTERMEDIATE BOND FUND
SHORT-TERM BOND FUND
Formerly known as the
American AAdvantage Funds
About American Beacon
- --------------------------------
Since 1986, American Beacon
Advisors has offered a variety
of products and investment
advisory services to numerous
institutional and retail
clients, including a variety of
mutual funds, corporate cash
management, and separate account
management.
Our clients include defined
benefit plans, defined
contribution plans, foundations,
endowments, corporations,
financial planners, and other
institutional investors. With
American Beacon Advisors, you
can put the experience of a
multi-billion dollar asset
management firm to work for your
company
<Table>
<Caption>
Contents
-----------------------------------------------
President's Message........... 1
American Beacon Funds'
Performance................ 2
Market and Performance
Overviews.................. 3-24
American Beacon Schedules of Investments
Balanced Fund.............. 25
Large Cap Value Fund....... 34
Large Cap Growth Fund...... 38
Mid-Cap Value Fund......... 43
Emerging Markets Fund...... 46
High Yield Bond Fund....... 54
Enhanced Income Fund....... 62
Intermediate Bond Fund..... 68
Short-Term Bond Fund....... 74
Additional Information........Inside Back Cover
</Table>
Any opinions herein, including forecasts, reflect our judgement as of the end of
the reporting period and are subject to change. Each advisor's strategies and
each Fund's portfolio composition will change depending on economic and market
conditions. This report is not a complete analysis of market conditions and
therefore, should not be relied upon as investment advice. Although economic and
market information has been compiled from reliable sources, American Beacon
Advisors, Inc. makes no representation as to the completeness or accuracy of the
statements contained herein.
American Beacon Funds April 30, 2005
(BILL QUINN PICTURE)
FELLOW SHAREHOLDERS,
Iam pleased to present you
with the Semi-Annual
Report for the American
Beacon Funds (formerly
known as the American
AAdvantage Funds) for the
six months ended April 30,
2005. During this time,
most markets experienced
modest gains. The Dow
Jones Industrial Average
posted gains of 2.8%, the
S&P 500 Index increased by
3.3% and the MSCI EAFE
Index returned 8.7%. As of
April 30, 2005, the
10-Year Treasury interest
rate was 4.2%, resulting
in a 0.98% total return
for the bond market, as
defined by the Lehman
Brothers Aggregate Index. Additionally, the Federal Reserve increased the Fed
Funds Rate to 2.75%, up 100 basis points during the six-month period
The American Beacon equity funds posted strong returns in both absolute and
relative terms for the six-month period. The Balanced and Large Cap Value Funds
posted gains of 6.2% and 8.8%, respectively, for the period and continued to
surpass their respective Lipper benchmarks for all periods ended April 30, 2005.
Our new Mid-Cap Value Fund-Institutional Class outperformed its respective
Lipper peer group with returns of 6.6% for the six-months and 9.5% since its
inception on June 30, 2004. The Institutional Class of the Emerging Markets Fund
posted a positive return of 11.9% for the period.
On the fixed-income front, the Enhanced Income, Intermediate Bond and
Short-Term Bond Funds all posted modest positive returns for the six-month
period. During this time, in an effort to reduce the overall costs of investing
in these Funds, the Institutional Class of the Short-Term and Intermediate Bond
Funds was terminated and Institutional Class shareholders received AMR Class
shares. The AMR Class of shares has a lower expense ratio and, as a result, has
produced a higher historical rate of return than the Institutional Class shares.
Following this exchange, the former AMR Class of shares was re-named the
Institutional Class.
Please review the enclosed market overviews, portfolio listings and
detailed financial data. As always, we welcome the opportunity to serve your
financial needs. To obtain further details about the American Beacon Funds
family or access your account information, please visit our web site at
www.americanbeaconfunds.com. Thank you for your continued confidence in the
American Beacon Funds.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President, American Beacon Funds
Performance shown is historical and may not be indicative of future returns.
Investment returns and principal value will vary, and shares may be worth more
or less at redemption than at original purchase. Performance shown is as of date
indicated and may differ from current performance. To obtain performance as of
the most recent month end, please visit www.americanbeaconfunds.com or call
1-800-967-9009.
1
AMERICAN BEACON FUNDS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
AVERAGE ANNUALIZED TOTAL RETURN AS OF
APRIL 30, 2005
------------------------------------------
INCEPTION TICKER 10 YEAR/
DATE SYMBOL 1 YEAR 3 YEAR 5 YEAR SINCE INCEP.
--------- ------ ------ ------ ------ ---------------
Balanced Fund -- Institutional 7/17/87 AADBX 11.39% 8.29% 8.64% 9.66%
Balanced Fund -- PlanAhead 8/1/94 AABPX 10.98% 8.00% 8.38% 9.35%
Balanced Fund -- AMR 8/1/94 AABNX 11.68% 8.62% 8.95% 9.95%
Lipper Balanced Funds Index 6.06% 5.06% 2.22% 8.33%
Large Cap Value Fund -- Institutional 7/17/87 AADEX 15.47% 9.58% 9.25% 10.98%
Large Cap Value Fund -- PlanAhead 8/1/94 AAGPX 15.09% 9.28% 8.95% 10.64%
Large Cap Value Fund -- AMR 8/1/94 AAGAX 15.71% 9.87% 9.54% 11.27%
Lipper Multi-Cap Value Funds Index 9.64% 6.92% 6.16% 10.71%
Large Cap Growth Fund -- Institutional 7/31/00 ALCGX 0.65% 1.66% N/A -10.58%
Large Cap Growth Fund -- AMR 7/31/00 ALFIX 0.83% 1.72% N/A -10.48%
Lipper Large-Cap Growth Funds Index 1.38% 0.21% N/A -11.16%
Mid-Cap Value Fund -- Institutional 6/30/04 AMDIX N/A N/A N/A 9.49%
Lipper Mid-Cap Value Funds Index N/A N/A N/A 5.78%
Emerging Markets Fund -- Institutional 7/31/00 AEMFX 20.76% 16.95% N/A 8.14%
Emerging Markets Fund -- PlanAhead 10/1/02 AAEPX 20.51% 16.68% N/A 7.98%
Emerging Markets Fund -- AMR 7/31/00 AAMRX 21.03% 17.25% N/A 8.43%
Lipper Emerging Markets Funds Index 23.83% 17.91% N/A 7.83%
High Yield Bond Fund -- Institutional 12/29/00 AYBFX 4.75% 8.86% N/A 9.41%
High Yield Bond Fund -- PlanAhead 3/1/02 AHYPX 4.48% 8.47% N/A 8.97%
High Yield Bond Fund -- Service 5/1/03 AAHSX 4.07% 8.00% N/A 8.64%
Lipper High Current Yield Funds Index 5.87% 9.32% N/A 6.47%
Enhanced Income Fund -- PlanAhead 6/30/03 AANPX 2.57% N/A N/A 2.81%
Lipper Interm. Investment Grade Index 5.01% N/A N/A 3.02%
Intermediate Bond Fund -- Institutional 9/15/97 AABDX 5.03% 5.36% 7.15% 6.15%
Intermediate Bond Fund -- PlanAhead 3/2/98 AAPAX 4.38% 4.82% 6.61% 5.72%
Lipper Interm. Investment Grade Index 5.01% 5.64% 7.21% 6.22%
Short-Term Bond Fund -- Institutional 12/3/87 AASBX 1.34% 3.10% 5.02% 5.34%
Short-Term Bond Fund -- PlanAhead 8/1/94 AALPX 0.89% 2.55% 4.52% 4.84%
Lipper Short Investment Grade Index 1.68% 2.65% 4.44% 5.03%
</Table>
Performance shown is historical and may not be indicative of future returns.
Investment returns and principal value will vary, and shares may be worth more
or less at redemption than at original purchase. Performance shown is as of date
indicated and may differ from current performance. To obtain performance as of
the most recent month end, please visit www.americanbeaconfunds.com or call
1-800-967-9009.
Performance shown for the PlanAhead and AMR Classes prior to their inception
dates is that of the Institutional Class. Performance shown for the Service
Class prior to its inception date is that of the Institutional and PlanAhead
Classes since their inception dates. Fund performance does not reflect the
deduction of taxes a shareholder would pay on distributions or the redemption of
shares.
2
DOMESTIC EQUITY MARKET OVERVIEW
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The U.S. equity markets surged in late 2004, essentially driving all of the
gains experienced by the major indices for the full year. A heavy influence on
this strong swing was the fall of oil prices from record $56 levels in late
October. The decline in oil prices eased concerns about consumer spending
slowing and the potentially dampening impact on consumer and business
confidence. Equity markets were boosted by evidence that the U.S. economy was
reaccelerating after relatively weak data in the third quarter. Investors were
enthusiastic about better employment news, as it was reported that 337,000 jobs
were added to payrolls in October (and an additional 113,000 jobs were added to
figures from previous months), far greater than the expectation of 175,000 jobs.
In addition, retail sales growth was stronger-than-expected in November, which
helped to alleviate concerns about anecdotes of soft holiday sales. Regional
manufacturing surveys also picked up in December, signaling that production was
accelerating. Lastly, investors were encouraged by a smooth presidential
election. A swift outcome in the election helped to eradicate fears of a long,
contentious process. The establishment of Republican Party dominance reassured
investors that taxes on capital gains and dividends would not be raised.
Unfortunately, that end-of-year momentum quickly diminished during the
first four months of 2005. Equities fell on concerns about higher interest rates
all along the yield curve. The market became anxious about higher short-term
rates during the first week of the year, when the Federal Open Market Committee
(FOMC) released the minutes from its December 2004 meeting stating that, "Some
participants believed that the prolonged period of policy accommodation had
generated a significant degree of liquidity that might be contributing to signs
of potentially excessive risk-taking in financial markets." As a result,
investors became concerned that the Federal Reserve Bank (the "Fed") was willing
to raise short-term interest rates aggressively not only to keep inflation under
control, but also to discourage speculative risk-taking in asset markets. In
February, Fed Chairman Greenspan tried to boost long-term rates by saying that a
recent fall in 10-year Treasury yields (which had been supporting equity
valuations) remained "a conundrum." Yields on 10-year bonds subsequently moved
higher, and risk assets suffered more. Long bond yields were also driven upward
by higher-than-expected consumer (CPI) and producer (PPI) inflation, as well as
high energy prices. Headline CPI and PPI each rose 0.4% higher than expected in
February, while WTI crude oil surged to nearly $57 per barrel near the end of
March. Concerns that the Federal Reserve's tightening cycle would cause a
slowdown in economic growth became fully apparent in April. Investors became
worried about a drop-off in U.S. consumer spending after it was reported that
core (non-auto) retail sales grew only 0.1% in the most recent month, far lower
than the 0.5% gain expected. There was also apprehension about a slowdown in the
manufacturing sector, as the Empire State manufacturing survey fell from a
reading of 20.2 in March to only 3.1 in April (much lower than the expected
value of 18.0). These fears were exacerbated by the far weaker-than-expected
durable goods report. Ultimately, the term "stagflation" reared its ugly head as
investors worried that inflation would continue to accelerate, even if economic
growth slowed materially. Much of the recent pickup in inflation was
attributable to gains in energy prices, as the four-week average of the price of
consumer gasoline nationwide rose another 8% during April, to finish at $2.29
per gallon.
Favorable news from Corporate America has helped the markets so far this
year. Consensus estimates of profit growth for the fourth quarter of 2004 rose
to 20.4% from 15.2% during January and February. Moreover, the consensus
estimate of the first quarter 2005 profit growth rose to 13.6% from 8.2% during
the month of April, with over 75% of S&P 500 companies reporting. There were
also indications that corporations were supported by large and growing cash
reserves on balance sheets, which would better enable them to weather
potentially rocky times ahead. However, company "guidance" about earnings
expectations for the balance of the year was not quite as encouraging. The
consensus expectation for the second quarter growth fell to 7.2% from 8.8% in
April.
3
DOMESTIC EQUITY MARKET OVERVIEW -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
During the six-month period ending April 2005, the S&P 500 rose 3.3%
overall, driven entirely by the gains in late 2004. Value continued its
prolonged outperformance relative to growth as the pace of the economic recovery
became a concern, with the Russell 1000 Value returning 6.7% and the Russell
1000 Growth rising a modest 1.1%. Small cap's reign in recent years faltered as
the Russell 2000 Index fell 0.2%. Within the Russell 1000 Growth Index, more
defensive sectors like utilities, energy and REITs were the best performers,
while more cyclically sensitive areas such as finance and autos & transportation
lagged. Retail underperformed as a whole and was dragged down by lower-end
retailers feeling the brunt of higher gas prices on their customers. The
insurance sector also declined as a whole as some of the industry's most
prominent names were involved in scandal.
4
PERFORMANCE OVERVIEW
AMERICAN BEACON BALANCED FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Balanced Fund's Institutional Class returned 6.18% for the six months
ended April 30, 2005, outperforming the 60% S&P 500 Barra Value/40% Lehman
Brothers Aggregate Index benchmark return of 2.57% and the Lipper Balanced Funds
Index return of 2.67%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
---------------------------------------
PERIODS ENDED 4/30/05
---------------------------------------
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS
--------- ------ ------- --------
Institutional Class(1).... 6.18% 11.39% 8.64% 9.66%
PlanAhead Class(1)........ 5.93% 10.98% 8.38% 9.35%
AMR Class(1).............. 6.20% 11.68% 8.95% 9.95%
Lipper Balanced Funds
Index.................... 2.67% 6.06% 2.22% 8.33%
S&P 500 Index(2).......... 3.28% 6.34% -2.94% 10.26%
S&P 500/Barra Value
Index(2)................. 3.51% 9.72% 1.65% 10.36%
Lehman Bros. Aggregate
Index(2)................. 0.98% 5.26% 7.49% 7.14%
Balanced Composite
Index(3)................. 2.57% 8.02% 4.33% 9.41%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative
of future returns. Investment returns and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. The S&P 500 Index is an unmanaged index of common
stocks publicly traded in the United States. The S&P 500/ Barra Value Index
is a market value weighted index of stocks with book-to-price ratios in the
top 50% of the S&P 500 Index. The Lehman Brothers Aggregate Index is a
market value weighted index of government, corporate, mortgage-backed and
asset-backed fixed-rate debt securities of all maturities.
3. 60% S&P 500/Barra Value, 40% LB Aggregate Index
During the six-month period, the Fund's assets on average were invested 67%
in equities (including equitized cash) and 33% in fixed-income securities,
ending the period with 67% in equities/equitized cash and 33% in fixed-income
securities.
The equity portion of the Fund returned 10.8%, outperforming the S&P
500/Barra Value Index ("Barra Value Index") return of 3.5%. The Fund added value
relative to the Barra Value Index mostly through stock selection, which was
positive in seven out of ten sectors and also through sector allocation. Stock
selection in the Consumer Discretionary and Consumer Staples sectors contributed
most to the Fund's excess performance. In the Consumer Discretionary sector, the
Fund's positions in Sears Holdings Corp. (up 44.2%) and MGM Mirage, Inc. (up
29.8%) had the largest impact, while Altria Group Inc. (up 37.2%) and Imperial
Tobacco Group plc (up 26.6%) were the largest contributors to the positive
performance of the Consumer Staples sector. Selection in the Financials,
Industrials, and Health Care sectors were also a source of significant added
value. Strong performers included Allstate Corp. (up 18.1%) and Prudential
Financial Inc. (up 24.6%) in the Financials sector, Boeing Co. (up 20.3%) in the
Industrials sector, and Aetna Inc. (up 54.5%) in the Health Care sector.
Equity sector allocation also had an impact on the Fund's relative returns
during the six-month period. The Fund was underweight in the Energy sector very
early in the period but benefited from an overweight in this second-best
performing sector of the Barra Value Index over the course of the six months.
Overweighting the Health Care sector, which was the best performing sector of
the Barra Value Index also added value, as well as underweights in the
Financials and Telecommunications Services sector, that were two of the worst
performing sectors of the Barra Value Index.
The fixed-income portion of the Fund returned 0.2% for the six-month
period, lagging the Lehman Brothers Aggregate Index ("Lehman Index") return of
1.0%. The Fund's fixed-income underperformance was due mostly to its
significantly longer duration relative to the Lehman Index during February and
the early part of March as interest rates were rising.
5
PERFORMANCE OVERVIEW
AMERICAN BEACON BALANCED FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The sub-advisors continue to focus on the disciplined selection of
attractive securities with a goal of long-term added value.
TOP TEN EQUITY HOLDINGS
<Table>
<Caption>
% OF
EQUITIES
--------
ConocoPhillips 2.9%
Bank of America Corporation 2.9%
Altria Group, Incorporated 2.5%
Citigroup, Incorporated 2.5%
MetLife, Incorporated 2.0%
Occidental Petroleum Corporation 1.8%
Washington Mutual, Incorporated 1.7%
Allstate Corporation 1.7%
Pfizer, Incorporated 1.6%
Computer Associates International, Incorporated 1.6%
-----
Total 21.2%
Top Ten Equity Holdings as % of Total Net Assets 12.7%
</Table>
EQUITY SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Financials 29.5%
Industrials 13.1%
Energy 10.2%
Consumer Staples 10.1%
Consumer Discretionary 8.7%
Health Care 8.0%
Information Technology 7.4%
Materials 6.1%
Utilities 5.8%
Telecommunication Services 1.1%
</Table>
FIXED-INCOME SECTOR ALLOCATION
<Table>
<Caption>
% OF
FIXED INCOME
------------
U.S. Treasury 29.0%
Mortgage-Backed 27.8%
Corporates 26.6%
Agency 14.8%
Asset-Backed 1.8%
</Table>
6
PERFORMANCE OVERVIEW
AMERICAN BEACON LARGE CAP VALUE FUND(SM)
April 30 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Large Cap Value Fund returned 8.75% for the
six months ended April 30, 2005, well ahead of the S&P 500/Barra Value Index
("Index") return of 3.51% and the Lipper Multi-Cap Value Funds Index return of
5.34%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
---------------------------------------
PERIODS ENDED 4/30/05
---------------------------------------
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS
--------- ------ ------- --------
Institutional
Class(1).............. 8.75% 15.47% 9.25% 10.98%
PlanAhead Class(1)..... 8.60% 15.09% 8.95% 10.64%
AMR Class(1)........... 8.90% 15.71% 9.54% 11.27%
Lipper Multi-Cap Value
Funds Index........... 5.34% 9.64% 6.16% 10.71%
S&P 500 Index(2)....... 3.28% 6.34% -2.94% 10.26%
S&P 500/Barra Value
Index(2).............. 3.51% 9.72% 1.65% 10.36%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative of
future returns. Investment returns and principal value will vary, and shares
may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. The S&P 500 Index is an unmanaged index of common stocks
publicly traded in the United States. The S&P 500/Barra Value Index is a
market value weighted index of stocks with book-to-price ratios in the top
50% of the S&P 500 Index.
The Fund produced positive returns and positive stock selection relative to
the Index in every sector except Telecommunication Services. The Fund
outperformed the Index primarily through strong stock selection, although sector
allocation also added meaningfully to the excess performance.
From a stock selection standpoint, the largest contributors were in the
Consumer Discretionary, Consumer Staples, Industrials and Financials sectors.
The companies with most impact in the Consumer Discretionary sector were Sears
Holdings Corp. (up 44.2%) and J.C. Penney Company, Inc. (up 37.8%). In the
Consumer Staples sector, Altria Group Inc. (up 37.2%) and Imperial Tobacco Group
plc (up 26.6%) were the largest contributors. Boeing Co. (up 20.3%) in the
Industrials sector and Allstate Corp. (up 18.1%) and Prudential Financial Inc.
(up 24.6%) in the Financials sector also added meaningful value versus the
Index.
Sector weightings also added value during the period, as an underweight in
the Energy sector early in the period became an overweight in this second-best
performing sector of the Index. Also, an overweight in Health Care, which was
the best performing sector of the Index, and an underweight in Financials (one
of the poorer performing sectors of the Index) also contributed to added value
through sector allocation.
The sub-advisors continue to invest in a broadly diversified portfolio of
companies that they believe have attractive valuations and above average
earnings growth potential. This approach should allow the Fund to benefit over
the long-term.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF NET
ASSETS
----------
ConocoPhillips 2.7%
Bank of America Corporation 2.0%
Altria Group, Incorporated 1.9%
Citigroup, Incorporated 1.8%
Tyco International Limited 1.6%
Boeing Company 1.6%
Washington Mutual, Incorporated 1.6%
JP Morgan Chase & Company 1.6%
MetLife, Incorporated 1.4%
Allstate Corporation 1.3%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Financials 28.5%
Industrials 12.4%
Consumer Staples 10.2%
Consumer Discretionary 9.5%
Information Technology 9.3%
Energy 9.0%
Health Care 8.2%
Utilities 5.5%
Materials 5.4%
Telecommunication Services 2.0%
</Table>
7
PERFORMANCE OVERVIEW
AMERICAN BEACON LARGE CAP GROWTH FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Large Cap Growth Fund returned 0.30% for the
six months ended April 30, 2005, compared to the Russell 1000 Growth Index
("Index") return of 1.14% and the Lipper Large-Cap Growth Funds Index return of
1.45%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
------------------------------------------
PERIODS ENDED 4/30/05
------------------------------------------
6 MONTHS* 1 YEAR 3 YEAR SINCE INCEP.
--------- ------ ------ ------------
Institutional
Class(1).............. 0.30% 0.65% 1.66% -10.58%
AMR Class(1)........... 0.31% 0.83% 1.72% -10.48%
Lipper Large-Cap Growth
Funds Index........... 1.45% 1.38% 0.21% -11.16%
Russell 1000 Growth
Index(2).............. 1.14% 0.40% 1.51% -10.89%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative of
future returns. Investment returns and principal value will vary, and shares
may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. Russell 1000 (R) Growth Index is a service mark of the Frank
Russell Company. The Russell 1000 Growth Index is an unmanaged index of
those stocks in the Russell 1000 Index with above-average price-to-book
ratios and above-average forecasted growth values.
This has been a mediocre period for U.S. growth stocks overall. During the
six-month period, six out of ten sectors in the Russell 1000 Growth Index posted
positive returns. The Fund lost relative value versus the Index primarily as a
result of stock selection, although sector-weighting decisions were mildly
detrimental as well.
From a stock selection standpoint, the Fund added value in four of ten
sectors. Two of the largest value added sectors for the Fund relative to the
Index were Financials and Consumer Staples. An overweighting of Prudential
Financial, Inc. (up 24.6%) and a position in Loews Corp. (up 18.8%) contributed
most to the Financial sector's relative performance. In Consumer Staples, the
Fund's overweighted position in Gillette Company (up 25.3%) in particular added
value relative to the Index. Unfortunately, poor selection in the Health Care,
Information Technology, Industrials and Consumer Discretionary sectors more than
offset the positives elsewhere. The primary detractors were Biogen Idec, Inc.
(down 37.7%) in the Health Care sector, Qualcomm, Inc. (down 16.2%),
International Business Machines Corp. (down 14.6%) and Symantec Corp. (down
34.0%) in the Information Technology sector, Ryder Systems, Inc. (down 25.8%) in
Industrials and Ebay, Inc. (down 35.0%) and Harman International Industries,
Inc. (down 34.6%) in the Consumer Discretionary sector.
Looking forward, the Fund's sub-advisors will continue to maintain a
disciplined, long-term approach to equity investing in larger stocks with above
average growth potential.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF NET
ASSETS
----------
Johnson & Johnson 5.8%
Microsoft Corporation 4.9%
Pfizer, Incorporated 4.3%
Amgen, Incorporated 2.7%
Procter & Gamble Company 2.4%
Qualcomm, Incorporated 2.1%
Intel Corporation 2.0%
Coca-Cola Company 1.6%
Cisco Systems, Incorporated 1.4%
Time Warner, Incorporated 1.4%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Health Care 25.6%
Information Technology 24.3%
Consumer Discretionary 16.6%
Financials 11.3%
Industrials 8.9%
Consumer Staples 8.5%
Energy 1.8%
Utilities 1.1%
Telecommunication Services 1.0%
Materials 0.9%
</Table>
8
PERFORMANCE OVERVIEW
AMERICAN BEACON MID-CAP VALUE FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Mid-Cap Value Fund returned 6.61% for the
six-months ended April 30, 2005. The Fund trailed the Russell Midcap Value Index
("Index") return of 8.81% but outperformed the Lipper Mid-Cap Value Funds Index
return of 5.18%.
<Table>
<Caption>
TOTAL RETURNS
------------------------------------
PERIODS ENDED 4/30/05
------------------------------------
3 MONTHS* 6 MONTHS* SINCE INCEP.
--------- --------- ------------
Institutional
Class(1)........... -1.18% 6.61% 9.49%
Lipper Mid-Cap Value
Funds Index........ -2.10% 5.18% 5.78%
Russell Midcap Value
Index(2)........... 0.46% 8.81% 13.26%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative
of future returns. Investment returns and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. Russell Midcap(TM) Value Index is a trademark of the Frank
Russell Company. The Russell Midcap Value Index is an unmanaged index of
those stocks in the Russell Midcap Index with below-average price-to-book
ratios and below-average forecasted growth values.
The Fund underperformed the Index due to stock selection, as sector
allocation added value. The Fund's investments in the Consumer Discretionary
sector detracted most from performance, due to a large position in Lear Corp.
(down 36.6%). Stock selection in the Financials, Information Technology and
Utilities sectors also hurt the Fund's performance. In the Financials sector,
large positions in TCF Financial Corp. (down 18.7%), South Financial Group, Inc.
(down 11.1%) and Janus Capital Group Inc. (down 14.8%) had the largest impact.
BearingPoint, Inc. (down 28.9%), was responsible for most of the
underperformance in the Information Technology sector, while Pinnacle West
Capital Corp. (up 0.6%) had the largest negative impact in the Utilities sector.
The Fund's holdings in the Industrials and Health Care sectors added value
relative to the Index, but not enough to offset the underperformance of the
sectors mentioned above.
Sector weightings added to the Fund's performance relative to the Index. A
large overweight in Health Care, which was the best performing sector of the
Index, and an underweight in Information Technology, the worst performing sector
of the Index, were responsible for most of the excess performance attributable
to sector allocation.
The sub-advisors' philosophy of investing in undervalued companies that
exhibit improving profitability and earnings growth potential should allow the
Fund to benefit longer-term.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Loews Corporation 2.7%
Lear Corporation 2.0%
Health Net, Incorporated 2.0%
Marathon Oil Corporation 1.8%
Wisconsin Energy Corporation 1.8%
XL Capital Limited 1.8%
Whirlpool Corporation 1.7%
Torchmark, Incorporated 1.7%
American Power Conversion Corporation 1.6%
Wellchoice, Incorporated 1.6%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Financials 28.9%
Consumer Discretionary 23.9%
Industrials 17.1%
Health Care 9.1%
Utilities 7.9%
Consumer Staples 6.7%
Materials 3.1%
Energy 2.0%
Information Technology 1.3%
</Table>
9
EMERGING MARKETS OVERVIEW
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
During the six months ending April 30, 2005, the emerging markets as measured by
the MSCI Emerging Markets Index gained 13.4%. Emerging markets continued to
outpace developed markets as robust global economic growth and rising commodity
prices bolstered these markets. Investors were also enticed by the asset class'
attractive relative valuations, strong corporate earnings and solid economic
fundamentals consisting of positive current account balances, stronger
currencies against the dollar and stabilized inflation. The period in review,
however, did not end without some renewed volatility. After reaching new heights
at the start of the year the emerging markets along with other global markets
sold-off in March as global risk aversion spiked due to concerns of slowing
global growth and rising inflation and interest rates in the U.S.
While the parallels to the emerging markets April 2004 sell-off are
striking, this year's correction differed from last year's. This year's sell-off
was much more orderly compared to last year's experience with market weakness
avoiding last year's magnitude. Markets were down on average 10% during this
year's correction compared to 20% last year. Nevertheless, similarities were
present. After reaching lows in each correction the asset class rebounded
strongly as global markets stabilized. The resilience of emerging markets in
each period can be attributed to the fact that economies have become more
resilient to external shocks thanks to the adoption of better macroeconomic
fundamentals, stronger fiscal performance and de-leveraging of corporate balance
sheets.
In terms of regional performance, Latin America (up 16.3%) was the best
performing region, buoyed by strong commodity prices and a recovering U.S.
economy. The region's economic growth expanded about 5.5% during the year,
supported by a rebound in domestic consumption, strong oil and commodity
exports, especially to China. Latin America's shining star, Brazil (up 21.5%),
led the way with rising net capital inflows and strong exports. Furthering
Brazil's attraction was the government's determination to push forth structural
reforms. Mexico, despite recent political concerns, performed well gaining 11.1%
as economic and earnings growth remained supportive.
Emerging Asia, despite a strong April correction in early cyclical markets
such as South Korea and Taiwan followed, returning 13.0%. South Korea, despite
correcting in April, was among the best performing markets in the region,
returning 20.6%. Investors -- foreign and local -- warmed to improving domestic
economic data whilst locals returned to the market after a long absence.
Indonesia was also strong, returning 17.8% on the back of improving economic
growth and prospects of further economic reforms.
The Emerging Europe Middle East and South Africa (EMEA) trailed all regions
while returning a respectable 11.7%. Egypt was the best performing market
returning 93.1% given attractive valuations, prospects for continued reform-led
growth and improving political outlook. The Egyptian market has benefited from
an attractive growth outlook given the pick up in structural reform momentum and
the significant micro reform progress achieved to date. The reform process
received a boost earlier this year from a significant cabinet reshuffle and the
formation of a new government, led by Ahmed Nazif, the youngest Prime Minister
in Egypt's modern history. Russia, despite rising oil prices, was the worst
performing market falling 3.7%. Investor concern that the Yukos affair would
lead to further oligarchs being prosecuted hampered market sentiment for much of
the period in review.
10
PERFORMANCE OVERVIEW
AMERICAN BEACON EMERGING MARKETS FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Emerging Markets Fund returned 11.86% for
the six months ended April 30, 2005. The Fund underperformed the MSCI Emerging
Markets Index ("Index") return of 13.43% and the Lipper Emerging Market Funds
Index return of 12.52%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
-------------------------------------
PERIODS ENDED 4/30/05
-------------------------------------
SINCE
6 MONTHS* 1 YEAR 3 YEARS INCEP.
--------- ------ ------- ------
Institutional Class(1)... 11.86% 20.76% 16.95% 8.14%
PlanAhead Class(1,2)..... 11.74% 20.51% 16.68% 7.98%
AMR Class(1)............. 11.96% 21.03% 17.25% 8.43%
Lipper Emg Mkt Funds
Index................... 12.52% 23.83% 17.91% 7.83%
MSCI Emg Mkts Index(3)... 13.43% 23.62% 17.52% 7.44%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative of
future returns. Investment returns and principal value will vary, and shares
may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. Fund performance for the three-year and since inception periods
represents the total returns achieved by the Institutional Class from
7/31/00 up to 10/1/02, the inception date of the PlanAhead Class, and the
returns of the PlanAhead Class since its inception. Expenses of the
PlanAhead Class are higher than those of the Institutional Class. Therefore,
total returns shown may be higher than they would have been had the
PlanAhead Class been in existence since 7/31/00.
3. The MSCI Emerging Markets Index is a market capitalization
weighted index composed of companies that are representative of the market
structure of developing countries in Latin America, Asia, Eastern Europe,
the Middle East and Africa.
The Fund underperformed the Index over the six-month period due to Fund
expenses, unfavorable country allocation and lower returns in the cash
equitization account than the Index.
Country allocation detracted value despite the Fund overweighting Egypt,
which was the top-performing market for the six-month period with a return of
over 90%. Unfortunately, the Fund also overweighted South Africa, which only
gained 8.8%, and underweighted the Czech Republic (up 36.3%), South Korea (up
21.6%) and Israel (up 20.4%).
Stock selection was positive in South Africa and South Korea, but was
largely offset in Taiwan, Mexico and Egypt. In South Africa, MTN Group gained
31.0%, while Korea Electric Power returned 46.1% in South Korea. In Taiwan,
United Microelectronics dropped 2.7% during the period, and in Mexico, Telefonos
de Mexico gained less than 1%. In Egypt, despite owning five stocks that each
gained over 30%, each of these stocks underperformed the country return of over
90%.
The Fund's basic philosophy remains focused on investing in undervalued
companies with above-average earnings growth expectations.
Investing in foreign equities entails additional risk not associated with
domestic equities, such as currency fluctuations, economic and political
instability and differences in accounting standards. The risks of investing in
foreign equities are heightened when investing in emerging markets.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Samsung Electronics Company Limited 2.5%
LUKOIL Oil Company, ADR 2.4%
Petroleo Brasileiro S.A., ADR 2.0%
America Movil, S.A. de C.V., ADR 1.5%
China Mobile (Hong Kong) Limited 1.4%
United Microelectronics Corporation 1.4%
Korea Electric Power Corporation 1.3%
Wal-Mart de Mexico, S.A. de C.V. 1.3%
Telefonos de Mexico, S.A. de C.V., ADR 1.2%
Grupo Televisa, S.A., ADR 1.1%
</Table>
11
PERFORMANCE OVERVIEW
AMERICAN BEACON EMERGING MARKETS FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Financials 18.8%
Telecommunications Services 14.4%
Consumer Discretionary 12.7%
Information Technology 12.5%
Industrials 9.5%
Materials 9.2%
Energy 9.1%
Consumer Staples 7.2%
Utilities 5.0%
Health Care 1.6%
</Table>
COUNTRY ALLOCATION
(PIE CHART)
<Table>
<Caption>
OTHER
EUROPE,
MIDDLE
SOUTH EAST, OTHER
SOUTH KOREA AFRICA AFRICA TAIWAN BRAZIL MEXICO INDIA CHINA ASIA MALAYSIA ISRAEL
- ----------- ------ ------- ------ ------ ------ ----- ----- ----- -------- ------
16.5% 13.2% 12.8% 12.1% 10.9% 8.1% 7.7% 7.0% 6.7% 3.3% 0.9%
<Caption>
OTHER
LATIN
SOUTH KOREA AMERICA
- ----------- -------
16.5% 0.8%
</Table>
12
DOMESTIC BOND MARKET OVERVIEW
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
HIGH YIELD
For the six months ended April 30, 2005, the high yield market was a study in
dynamics, as the Lehman Brothers U.S. Corporate High Yield Index (the "Lehman
Index") posted a 0.08% return.
By the end of October, the Lehman Index spread over Treasuries had shrunk
to 373, the tightest since July 1998. BB's had contracted to 219 and BB-B spread
was 122, the tightest since the first half of 1998. The overall index spread
would have been lower were it not for CCC's, which were averaging 306 over B's,
still above the 242 spread reached in January 2004. In that environment, several
BB's were trading as tight as 150 bps, which hardly met the traditional standard
for high yield.
At 12/31/2004, the Lehman Index reached 319 basis points over Treasuries.
These spreads touched levels not reached since 1997 and 1986. Due to investors'
thirst for yield, quality spreads compressed. The most striking was the
difference between B's and BB's. In July 2002 it was 402. A year ago it was 147.
At 2004 year-end, it was at an all-time low of 103 basis points. Part of the
reason was a low occurrence of company distress, creating a better chance that
today's B could be tomorrow's BB and today's BB could reach investment grade.
These possibilities were mirrored in rating agency upgrades and downgrades,
which reached their best ratio in seven years.
For only the second time since 1990, the high yield market had a negative
January total return, albeit a slim -0.13% for the Lehman Index. One possible
cause of the market's performance was a $1.1 billion January outflow from mutual
funds, the largest since May 2004.
High yield spreads widened slightly in January, after last year's long,
steady narrowing. One factor that has rattled the market was a potential
downgrade of General Motors.
It normally doesn't take equity or debt markets nearly as long to correct
as it does for them to advance. Such was the case with the high yield market in
March. Yield spreads widened out with stunning swiftness. On February 28, the
J.P. Morgan High Yield Index was 309 basis points over Treasuries. The trough
was 299 basis points on March 11. By month-end, barely 20 days later, spreads
widened to 372 basis points. Price declines of 4-6 points on longer dated bonds
were not uncommon.
So what was the culprit? Sometimes the cause of a market correction is
obvious, other times much more subtle. The biggest factors were: 1) the profit
warning at General Motors and the attendant meltdown of its bonds (current
spread is 490 bps over Treasuries; 2) new high on 5-year Treasury yields (not
seen for three years); 3) a spike in oil prices back to $57; and 4) a $3.3
billion month of mutual fund outflow.
A dormant market that paid little attention to varying risk levels awoke
from its hibernation in April. The BB to B spread rose from 107 to 133 basis
points and the CCC to B jumped from 244 to 315, both the widest levels since
September. Market concern over a potential "ripple" effect from General Motors
was evident in some institutional "rebalancing" away from high yield and another
month of mutual fund outflows. Fortunately, the supply side of the picture was
well under control as new issuance was the lowest since October 2002. As a
result, the high yield market, which seemed destined to break $1 trillion at
some time in 2004, has continued to hold steady in the $920 billion range.
The coming months will prove to be very interesting for the high yield
market. Will the credit spreads continue to tighten and allow questionable deals
to be sold due to a seemingly insatiable appetite? Or will the market stabilize
as continued economic growth provides a positive environment for companies to
increase earnings and improve their balance sheets? The market consensus is that
the highest probability for high yield's total return for the remainder of 2005
is between 5% and 6%, as returns are driven by individual company fundamental
results rather than a big supply/demand imbalance or a rapid change in interest
rates.
13
DOMESTIC BOND MARKET OVERVIEW -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
INVESTMENT GRADE
For the six-month period ended April 30, 2005, the investment grade fixed-income
market, as
defined by the Lehman Brothers Aggregate Index (the "Index"), produced a 0.98%
total return. For the first time since 2002, the U.S. Credit sector did not post
the highest returns in the Index. Of the major asset classes, U.S. Credit
returned 0.57%, Agencies returned 0.61%, Treasuries returned 0.96%, and
Mortgages led the group at 1.44% during the period. The Treasury yield curve
continued to flatten as the Federal Reserve Bank raised short-term interest
rates while longer-term rates remained steady. The Federal Funds Rate was 2.75%
at period end; however, it increased to 3.00% shortly thereafter. Additionally,
further Fed rate hikes were priced into the market going forward. The U.S.
Credit sector underperformed during this period as yield spreads widened in
response to volatility in the auto sector. Due to the sheer size of the auto
sector, the effects of its credit deterioration were felt across the entire
credit market. Within the credit spectrum, triple-B rated securities posted the
lowest returns at 0.01%, and triple-A rated securities returned 1.10%.
<Table>
<Caption>
TOTAL RETURNS
----------------------
PERIODS ENDED 4/30/05
----------------------
6 MONTH 12 MONTH
------- --------
Lehman Aggregate 0.98% 5.26%
Lehman Gov/Credit 0.75% 5.13%
- -----------------------------------------------------
SECTOR
U.S. Treasury 0.96% 5.19%
U.S. Agency 0.61% 4.08%
Mortgage-Backed 1.44% 5.62%
Commercial MBS 0.44% 4.85%
U.S. Credit 0.57% 5.51%
Asset-Backed 0.43% 2.99%
- -----------------------------------------------------
CREDIT RATING
Aaa 1.07% 5.14%
Aa 0.71% 5.02%
A 1.10% 6.04%
Baa 0.01% 5.49%
</Table>
(source: Lehman Brothers)
The Federal Reserve Bank maintained its measured pace of raising the
Federal Funds Rate throughout the period. Their attention was focused on the
increase in recent inflation indicators and on the stabilization in the job
market, but neither of these factors was enough to encourage longer-term
interest rates to rise. By historical standards, this recovery has been
relatively slow, which has led many participants to doubt its sustainability.
Additionally, the recent volatility in the credit markets sent many investors
into the safe haven of Treasury securities. At period end, the Fed was nearing a
point where further increases in short-term interest rates would threaten the
positive slope of the Treasury yield curve. The Fed has several more months to
monitor economic and market data, but longer-term interest rates may ultimately
limit its remaining monetary policy considerations.
(PERFORMANCE GRAPH)
<Table>
<Caption>
2.89 1.89
---- ----
3.17 2.12
3.25 2.19
3.33 2.26
3.41 2.33
3.49 2.41
3.57 2.48
2 Yr. 3.65 2.55
3.67 2.61
3.69 2.67
3.71 2.73
3.73 2.79
3.75 2.85
3.77 2.92
3.79 2.98
3.81 3.04
3.83 3.10
3.85 3.16
3.87 3.22
5 Yr. 3.90 3.28
3.91 3.32
3.93 3.36
3.94 3.39
3.96 3.43
3.97 3.47
3.99 3.50
4.00 3.54
4.02 3.58
4.03 3.62
4.05 3.65
4.06 3.69
4.08 3.73
4.09 3.76
4.11 3.80
4.12 3.84
4.14 3.87
4.15 3.91
4.17 3.95
4.18 3.99
10 Yr. 4.20 4.02
4.20 4.03
4.21 4.04
4.21 4.05
4.21 4.06
4.22 4.07
4.22 4.08
4.23 4.09
4.23 4.10
4.23 4.11
4.24 4.12
4.24 4.13
4.25 4.14
4.25 4.15
4.25 4.16
4.26 4.17
4.26 4.18
4.26 4.19
4.27 4.20
4.27 4.20
4.28 4.21
4.28 4.22
4.28 4.23
4.29 4.24
4.29 4.25
4.30 4.26
4.30 4.27
4.30 4.28
4.31 4.29
4.31 4.30
4.32 4.31
4.32 4.32
4.32 4.33
4.33 4.34
4.33 4.35
4.34 4.36
4.34 4.37
4.34 4.38
4.35 4.39
4.35 4.40
4.36 4.41
4.36 4.42
4.36 4.43
4.37 4.43
4.37 4.44
4.38 4.45
4.38 4.46
4.38 4.47
4.39 4.48
4.39 4.49
4.39 4.50
4.40 4.51
4.40 4.52
4.41 4.53
4.41 4.54
4.41 4.55
4.42 4.56
4.42 4.57
4.43 4.58
4.43 4.59
4.43 4.60
4.44 4.61
4.44 4.62
4.45 4.63
4.45 4.64
4.45 4.65
4.46 4.65
4.46 4.66
4.47 4.67
4.47 4.68
4.47 4.69
4.48 4.70
4.48 4.71
4.49 4.72
4.49 4.73
4.49 4.74
4.50 4.75
4.50 4.76
4.51 4.77
4.51 4.78
30 Yr. 4.51 4.79
</Table>
The steady improvement in credit spreads over the past two years was
abruptly interrupted in April 2005 with announcements from the domestic auto
manufacturers that their financial situation was growing more tenuous. Sharp
earnings and cash flow reductions prompted the credit rating agencies to place
the ratings of these auto manufacturers, and of the underlying suppliers, on
watch for downgrade. The impacts of rising gasoline prices and strong foreign
competition have steadily eroded the competitive advantage of the U.S. auto
manufacturing sector. In total, auto sales are still very strong, at
approximately 17 million units per year, but shrinking margins and the
consumers' shift from large trucks to smaller vehicles has been costly for the
domestic manufacturers.
14
DOMESTIC BOND MARKET OVERVIEW -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The size of the auto sector's outstanding debt, and its carryover effects
on the high yield market, weighed heavily on the entire credit market. Spreads
rose accordingly, and lower rated credits underperformed higher rated names.
Also adding to volatility was an increase in pressure from equity investors who
demanded greater returns. In recent months, aggressive shareholder actions led
to increased leverage and other shareholder-friendly initiatives -- leaving
bondholders with wider credit spreads. Though the economy has been improving
gradually, the credit markets felt the pressure of the auto sector volatility
and of a more aggressive equity investor.
(PERFORMANCE GRAPH)
<Table>
<Caption>
INDEX AAA CREDIT AA CREDIT A CREDIT BAA CREDIT
----- ---------- --------- -------- ----------
Jan-03 180.00 63.00 99.00 174.00 268.00
176.00 62.00 96.00 171.00 261.00
171.00 59.00 94.00 163.00 256.00
173.00 61.00 95.00 164.00 260.00
169.00 59.00 89.00 161.00 257.00
169.00 58.00 90.00 161.00 256.00
167.00 54.00 89.00 158.00 256.00
165.00 54.00 89.00 157.00 251.00
162.00 53.00 85.00 155.00 247.00
167.00 57.00 87.00 163.00 249.00
167.00 56.00 89.00 167.00 245.00
165.00 55.00 90.00 168.00 238.00
161.00 53.00 85.00 161.00 235.00
Apr-03 159.00 53.00 86.00 159.00 229.00
157.00 52.00 85.00 155.00 227.00
149.00 51.00 80.00 146.00 217.00
144.00 48.00 78.00 139.00 210.00
134.00 47.00 76.00 130.00 193.00
128.00 42.00 70.00 125.00 186.00
130.00 43.00 70.00 126.00 191.00
132.00 44.00 72.00 128.00 192.00
128.00 42.00 69.00 125.00 186.00
128.00 43.00 69.00 127.00 184.00
124.00 41.00 66.00 120.00 181.00
123.00 41.00 67.00 120.00 178.00
124.00 41.00 67.00 120.00 179.00
Jul-03 124.00 40.00 67.00 122.00 180.00
122.00 41.00 66.00 118.00 176.00
119.00 42.00 68.00 116.00 169.00
118.00 42.00 69.00 114.00 168.00
128.00 55.00 81.00 124.00 176.00
121.00 45.00 73.00 116.00 171.00
126.00 48.00 76.00 121.00 179.00
121.00 48.00 72.00 115.00 173.00
120.00 48.00 73.00 115.00 169.00
119.00 49.00 54.00 93.00 174.00
117.00 47.00 51.00 91.00 172.00
113.00 46.00 54.00 88.00 165.00
114.00 45.00 53.00 88.00 167.00
Oct-03 115.00 48.00 57.00 89.00 167.00
114.00 44.00 57.00 90.00 165.00
109.00 44.00 56.00 85.00 157.00
112.00 47.00 56.00 86.00 164.00
108.00 45.00 54.00 83.00 156.00
109.00 47.00 55.00 84.00 158.00
102.00 41.00 49.00 78.00 149.00
103.00 41.00 50.00 80.00 151.00
100.00 39.00 48.00 79.00 146.00
101.00 40.00 49.00 80.00 144.00
100.00 39.00 48.00 81.00 143.00
99.00 39.00 50.00 80.00 141.00
98.00 38.00 49.00 79.00 139.00
Jan-04 97.00 39.00 50.00 79.00 136.00
95.00 38.00 49.00 78.00 134.00
95.00 38.00 49.00 78.00 134.00
96.00 40.00 49.00 79.00 134.00
97.00 40.00 49.00 79.00 136.00
100.00 41.00 53.00 82.00 141.00
95.00 36.00 48.00 77.00 135.00
96.00 35.00 48.00 79.00 136.00
96.00 37.00 49.00 78.00 137.00
97.00 38.00 48.00 78.00 138.00
99.00 38.00 48.00 78.00 143.00
99.00 39.00 48.00 79.00 142.00
99.00 39.00 48.00 79.00 142.00
Apr-04 98.00 40.00 48.00 80.00 140.00
97.00 40.00 48.00 80.00 137.00
98.00 40.00 50.00 80.00 138.00
96.00 41.00 50.00 80.00 133.00
97.00 40.00 51.00 80.00 137.00
103.00 45.00 55.00 86.00 144.00
103.00 42.00 53.00 85.00 147.00
103.00 42.00 53.00 86.00 145.00
102.00 40.00 54.00 85.00 144.00
103.00 41.00 56.00 85.00 145.00
102.00 42.00 56.00 86.00 144.00
102.00 42.00 56.00 86.00 143.00
101.00 41.00 55.00 85.00 141.00
Jul-04 103.00 42.00 57.00 87.00 145.00
103.00 42.00 56.00 87.00 145.00
102.00 41.00 56.00 87.00 142.00
101.00 42.00 56.00 86.00 141.00
99.00 41.00 54.00 85.00 137.00
101.00 42.00 54.00 87.00 141.00
99.00 38.00 52.00 84.00 140.00
99.00 39.00 53.00 85.00 138.00
97.00 38.00 53.00 83.00 136.00
96.00 38.00 53.00 82.00 134.00
96.00 39.00 52.00 82.00 135.00
94.00 40.00 51.00 81.00 132.00
94.00 38.00 51.00 79.00 132.00
Oct-04 94.00 40.00 54.00 80.00 131.00
93.00 40.00 53.00 79.00 130.00
93.00 39.00 52.00 79.00 131.00
95.00 39.00 52.00 78.00 135.00
93.00 38.00 51.00 77.00 131.00
89.00 37.00 48.00 75.00 127.00
87.00 35.00 48.00 73.00 124.00
87.00 35.00 48.00 73.00 122.00
85.00 34.00 45.00 70.00 122.00
86.00 35.00 47.00 71.00 123.00
83.00 32.00 46.00 68.00 120.00
84.00 34.00 48.00 69.00 120.00
83.00 34.00 47.00 68.00 118.00
83.00 34.00 48.00 69.00 119.00
Jan-05 82.00 34.00 46.00 68.00 118.00
84.00 34.00 46.00 68.00 121.00
84.00 34.00 46.00 68.00 123.00
81.00 33.00 44.00 65.00 119.00
80.00 32.00 45.00 66.00 117.00
79.00 30.00 43.00 64.00 116.00
79.00 31.00 43.00 64.00 115.00
77.00 31.00 42.00 63.00 113.00
78.00 32.00 44.00 64.00 113.00
77.00 32.00 42.00 63.00 112.00
84.00 34.00 46.00 67.00 124.00
86.00 36.00 47.00 67.00 129.00
Apr-05 94.00 38.00 50.00 74.00 141.00
94.00 38.00 51.00 73.00 142.00
106.00 40.00 54.00 79.00 167.00
99.00 39.00 53.00 75.00 153.00
102.00 39.00 53.00 77.00 158.00
</Table>
The Mortgage sector produced the most attractive returns during the period,
at 1.44%, reflecting lower prepayment rates and stable longer-term interest
rates. In general, Mortgages perform well when longer-term rates are range bound
and when refinancing activity is low and stable. The high credit quality of this
sector helped too. Although criticism of the government agencies' accounting and
management practices continued during the period, their underlying
mortgage-backed and unsecured bonds performed well.
Overall, the broad fixed-income markets posted positive returns during this
period despite rising interest rates. In the past, a recovering economy and a
rising Federal Funds Rate did not bode well for the bond market. However, given
the mild recovery, the comfortable level of inflation, and the strong demand for
Treasuries, fixed-income markets performed relatively well.
15
PERFORMANCE OVERVIEW
AMERICAN BEACON HIGH YIELD BOND FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the High Yield Bond Fund returned -0.29% for the
six months ended April 30, 2005. The Lipper High Current Yield Funds Index
returned 0.31% and the Lehman Brothers Corporate High Yield Index ("Lehman
Index") posted a return of 0.08% for the six-month period. Although the Fund
trailed its indices for the six-month period, it has outperformed for the
calendar year-to-date period.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
--------------------------------------
PERIODS ENDED 4/30/05
--------------------------------------
SINCE
6 MONTHS* 1 YEARS 3 YEARS INCEP.
--------- ------- ------- ------
Institutional Class(1)... -0.29% 4.75% 8.86% 9.41%
PlanAhead Class(1, 2).... -0.50% 4.48% 8.47% 8.97%
Service Class(1,3)....... -0.66% 4.07% 8.00% 8.64%
Lehman Bros. High Yield
Index(4)............... 0.08% 6.53% 10.07% 8.95%
Lipper High Current Yield
Funds Index............ 0.31% 5.87% 9.32% 6.47%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative
of future returns. Investment returns and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. Fund performance for the since inception period represents
the total returns achieved by the Institutional Class from 12/29/00 up to
3/1/02, the inception date of the PlanAhead Class, and the returns of the
PlanAhead Class since its inception. Expenses of the PlanAhead Class are
higher than those of the Institutional Class. As a result, total returns
shown may be higher than they would have been had the PlanAhead Class been
in existence since 12/29/00.
3. Fund performance for the since inception period represents
the total returns achieved by the Institutional Class from 12/29/00 up to
3/1/02, the returns of the PlanAhead Class from 3/1/02 up to 5/1/03 (the
inception date of the Service Class), and the returns of the Service Class
since its inception. Expenses of the Service Class are higher than those of
the Institutional and PlanAhead Classes. As a result, total returns shown
may be higher than they would have been had the Service Class been in
existence since 12/29/00.
4. The Lehman Brothers U.S. Corporate High Yield Index is an
unmanaged index of fixed income securities with a maximum credit rating of
Ba1, a minimum amount outstanding of $100 million, and at least one year to
maturity.
The Fund, relative to the Lehman Index, was underweighted in two
(Transportation and Communication) of the top three best performing sectors. The
Transportation and Communication sectors outperformed the Lehman Index with
returns of 2.9% and 1.5%, respectively. The Fund was also impacted by an
overweighting in the Consumer Cyclical sector, the worst sector for the period,
as it dropped 2.1%.
The Fund had an overweighting in Financials (the best sector for the period
with a return of 6.0%) and Consumer Non-Cyclicals (up 0.6%) as both sectors
outperformed the Lehman Index. Additionally, the Fund underweighted the Energy
and Utility sectors, which both failed to outperform the Lehman Index with
returns of -0.2% and 0.0%, respectively.
The sub-advisor's "bottom up" investment process, with a focus on companies
with strong cash flow and fundamental credit strength, began to come back into
favor as the period came to a close. Higher-rated securities reversed course
from 2004 and outperformed the lower-rated securities in the first four months
of 2005. The sub-advisor believes that its comprehensive research approach,
which has generated outperformance for the Fund in the past, will continue to
deliver strong performance over the long term.
Investing in high yield securities involves additional risks when compared
to investing in investment grade securities. These include a greater risk of
default or bankruptcy and an increased sensitivity to financial difficulties or
changes in interest rates.
16
PERFORMANCE OVERVIEW
AMERICAN BEACON HIGH YIELD BOND FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Echostar DBS Corporation, 6.625%,
Due 10/1/2014, 144A 1.6%
Qwest Services Corporation, 14.00%,
Due 12/15/2010, 144A 1.3%
UNOVA, Incorporated, 7.00%, Due 3/15/2008 1.2%
Kabel Deutschland GMBH, 10.625%,
Due 7/1/2014, 144A 1.1%
Turning Stone Casino Resort, 9.125%,
Due 12/15/2010, 144A 1.1%
HCA, Incorporated, 8.36%, Due 4/15/2024 1.0%
Biovail Corporation, 7.875%, Due 4/1/2010 1.0%
Transdigm, Incorporated, 8.375%,
Due 7/15/2011 0.9%
Unisys Corporation, 7.875%, 4/1/2008 0.9%
Woolworth Corporation, 8.50%, Due 1/15/2022 0.9%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
FIXED INCOME
------------
Corporate 100.0%
</Table>
17
PERFORMANCE OVERVIEW
AMERICAN BEACON ENHANCED INCOME FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The PlanAhead Class of the Enhanced Income Fund returned 0.16% for the six
months ended April 30, 2005. Its benchmark, a blend of 75% Lehman Brothers
Gov/Credit Intermediate Index and 25% Merrill Lynch All U.S. Convertibles Index
("Benchmark"), returned -0.48%. The Fund's peer group, the Lipper Intermediate
Investment Grade Index, returned 1.16% over the period.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
--------------------------------
PERIODS ENDED 4/30/05
--------------------------------
SINCE
6 MONTHS* 1 YEAR INCEPTION
--------- ------ ---------
PlanAhead Class(1).......... 0.16% 2.57% 2.81%
Lipper Interm. Investment
Grade Index............... 1.16% 5.01% 3.02%
Enhanced Income Composite
Index(2).................. -0.48% 2.32% 3.08%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative
of future returns. Investment returns and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
shown in the table above does not reflect the deduction of taxes a
shareholder would pay on distributions or the redemption of shares.
2. 75% Lehman Bros. Gov/Credit Intermediate Index, 25%
Merrill Lynch All U.S. Convertibles Index. The Lehman Bros. Gov./Credit
Intermediate Index is an unmanaged index of investment grade corporate and
government debt issues with maturities between one and ten years. The
Merrill Lynch All U.S. Convertibles Index is an unmanaged index of domestic
securities convertible into U.S. dollar-denominated common stock, ADRs or
cash equivalents with greater than $50 million aggregate market value at
issuance. The Merrill Lynch Index includes securities of all quality grades.
The Fund's assets have been allocated approximately 75% to American Beacon
Advisors, Inc. (the "Manager") which invests primarily in income producing,
short- and intermediate-term investment grade bonds and 25% to a sub-advisor
which invests in securities including convertible bonds, convertible preferreds,
high yield bonds and equities in order to try to enhance the return of the
overall Fund.
For the six-month period, the investment grade bond portion of the Fund
returned 0.6% compared to a 0.0% return for Lehman Brothers Gov/Credit
Intermediate Index ("Lehman Index"). The Corporate sector of the Lehman Index
produced negative returns for the period primarily due to spread widening
induced by deteriorating fundamentals within the auto industry. Although the
Manager's portion of the Fund was overweight Corporates, value was added
relative to the Lehman Index in this sector through good security selection.
Likewise, security selection in the Treasuries sector was positive for relative
returns. In addition, the Manager's holdings in Mortgages added value, since
they produced higher returns than any other sector in the Manager's portion of
the Fund. Overall, the duration of the Manager's portion of the Fund was neutral
to the Lehman Index during the six-month period.
The remaining portion of the Fund managed by the Fund's sub-advisor
returned -1.2%. These results beat the -2.1% return of the Merrill Lynch All
U.S. Convertibles Index ("ML Index") but were a drag on the Fund's absolute
return. This portion of the Fund benefited most from owning corporate bonds and
from owning fewer non-investment grade convertible securities relative to the ML
Index.
The Fund's investment advisors remain focused on the Fund's investment
objectives of generating income and capital appreciation.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF NET
ASSETS
----------
U.S. Treasury Notes, 4.75%, Due 5/15/2014 4.9%
U.S. Treasury Notes, 4.00%, Due 2/15/2014 4.4%
U.S. Treasury Notes, 5.00%, Due 8/15/2011 3.9%
U.S. Treasury Notes, 5.00%, Due 2/15/2011 3.2%
Prudential Insurance Company of America, 6.375%,
Due 7/23/2006 1.8%
Household Finance Corporation, 5.75%,
Due 1/30/2007 1.6%
Wachovia Corporation, 6.40%, Due 4/1/2008 1.4%
Credit Suisse First Boston USA, Incorporated,
5.875%, Due 8/1/2006 1.4%
Heller Financial, Incorporated, 6.375%,
Due 3/15/2006 1.4%
St. George Bank Limited, 7.15%, Due 10/15/2005 1.4%
</Table>
18
PERFORMANCE OVERVIEW
AMERICAN BEACON ENHANCED INCOME FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
FIXED-INCOME SECTOR ALLOCATION
<Table>
<Caption>
% OF
FIXED INCOME
------------
Corporates 57.9%
U.S. Treasury 19.2%
Corporate Convertibles 11.5%
Mortgage-Backed 9.3%
U.S. Agency 1.1%
Asset-Backed 1.0%
</Table>
EQUITY SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Consumer Discretionary 29.0%
Financials 28.8%
Energy 10.9%
Information Technology 9.7%
Telecommunication Services 9.3%
Industrials 7.9%
Health Care 4.4%
</Table>
19
PERFORMANCE OVERVIEW
AMERICAN BEACON INTERMEDIATE BOND FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Intermediate Bond Fund returned 1.10% for
the six months ended April 30, 2005, ahead of the Lehman Brothers Aggregate
Index ("Index") return of 0.98% and slightly lagging the Lipper Intermediate
Investment Grade Index return of 1.16%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
--------------------------------------
PERIODS ENDED 4/30/05
--------------------------------------
SINCE
6 MONTHS* 1 YEARS 5 YEARS INCEP.
--------- ------- ------- ------
Institutional
Class(1)............ 1.10% 5.03% 7.15% 6.15%
PlanAhead Class(1,2).. 0.69% 4.38% 6.61% 5.72%
Lipper Interm.
Investment Grade
Index............... 1.16% 5.01% 7.21% 6.22%
Lehman Bros. Agg.
Index(3)............ 0.98% 5.26% 7.49% 6.72%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative
of future returns. Investment returns and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. Fund performance for the since inception period represents
the total returns achieved by the Institutional Class from 9/15/97 up to
3/2/98, the inception date of the PlanAhead Class, and the returns of the
PlanAhead Class since its inception. Expenses of the PlanAhead Class are
higher than those of the Institutional Class. As a result, total returns
shown may be higher than they would have been had the PlanAhead Class been
in existence since 9/15/97.
3. Since inception return is from 8/31/97. The Lehman
Brothers Aggregate Index is a market value weighted index of government,
corporate, mortgage-backed and asset-backed fixed-rate debt securities of
all maturities.
The Fund added value relative to the Index due to security selection
primarily in the U.S. Treasuries and Corporate sectors. In the U.S. Treasury
sector, outperformance was a result of the Fund holding longer duration
Treasuries that outperformed during the period. The Fund's holdings in the
Corporate sector outperformed the Index, which accounted for some excess
performance. However, the Fund's overweight in the sector, which was an
underperforming sector within the Index, offset the gains achieved through
security selection. The Fund also added value by underweighting Agencies, but
that added value was lost through poor selection in the sector. The Fund's
duration was generally somewhat longer than the Index over the course of the six
months, which proved to be beneficial.
The Fund's investment managers remain focused on a conservative approach
toward investing in the bond market, focusing on issuer-specific opportunities
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Federal National Mortgage Association, Pool #725238,
5.00%, Due 3/1/2034 3.1%
Federal Home Loan Mortgage Corporation, 6.00%,
Due 12/11/2033 2.2%
Federal National Mortgage Association, Discount Note,
Due 6/13/2005 2.2%
U.S. Treasury Notes, 3.375%, Due 9/15/2009 2.2%
Federal Home Loan Mortgage Corporation, 4.25%,
Due 7/15/2009 1.9%
Government National Mortgage Association, Pool #003515,
5.50%, Due 2/20/2034 1.8%
U.S. Treasury Notes, 4.625%, Due 5/15/2006 1.6%
Federal National Mortgage Association, Pool #254545,
5.00%, Due 12/1/2017 1.5%
Federal National Mortgage Association, Pool #555880,
5.50%, Due 11/1/2033 1.5%
U.S. Treasury Bonds, 5.375%, Due 2/15/2031 1.4%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
FIXED INCOME
------------
Mortgage-Backed 38.7%
Corporates 33.5%
U.S. Treasury 15.5%
U.S. Agency 9.7%
Asset-Backed 2.6%
</Table>
20
PERFORMANCE OVERVIEW
AMERICAN BEACON SHORT-TERM BOND FUND(SM)
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Short-Term Bond Fund returned 0.10% for the
six months ended April 30, 2005, ahead of the Merrill Lynch 1-3 Year Gov/Corp
Index (the "Index") return of 0.05% but below the Lipper Short Investment Grade
Bond Funds Index ("Lipper") return of 0.33%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
---------------------------------------
PERIODS ENDED 4/30/05
---------------------------------------
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS
--------- ------ ------- --------
Institutional
Class(1)............. 0.10% 1.34% 5.02% 5.34%
PlanAhead Class(1)..... -0.18% 0.89% 4.52% 4.84%
Lipper Short Inv. Grade
Index................ 0.33% 1.68% 4.44% 5.03%
Merrill Lynch 1-3 Yr.
Gov./Corp. Index(2).. 0.05% 1.36% 5.08% 5.54%
</Table>
* Not annualized.
1. Performance shown is historical and may not be indicative
of future returns. Investment returns and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated and may differ from current
performance. To obtain performance as of the most recent month end, please
visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance
in the table above does not reflect the deduction of taxes a shareholder
would pay on distributions or the redemption of shares.
2. The Merrill Lynch 1-3 Yr. Gov./Corp. Index is a market value
weighted performance benchmark for government and corporate fixed-rate debt
securities with maturities between one and three years.
According to the Index, the Agency sector produced the highest total
return, at 0.12%, followed by Corporates at 0.04%, and Treasuries at 0.01%.
Outside of the Index, the 0-3 year Mortgage sector produced a 1.00% total
return, the "AAA" rated Credit Card Asset Backed Sector and the Auto Asset
Backed sectors returned approximately 0.25%.
The Fund's largest position, 69.5% of assets, was in the Corporate sector
where the Fund was overweight both the Index and Lipper. The Fund's Corporate
holdings outperformed the Index due to their relatively short duration, in a
rising interest rate environment, and due to security selection. The Corporate
sector, in general, began to experience volatility towards period end as the
auto sector downgrades and other credit events caused spreads to widen. The Fund
was somewhat protected from the spread widening due to its short duration in
this sector.
The Fund's second largest position, 20.4% of assets, was invested in "AAA"
rated Auto and Credit Card Asset Backed securities, and produced a total return
of 0.28%. This overweight position contributed to the outperformance relative to
the Index as this sector outperformed all of the Index sectors due primarily to
its high credit quality.
Finally, the Fund held a small position in the Mortgage sector, 4.5% of
assets, which contributed to the Fund's outperformance relative to the Index as
this sector outperformed all of the Index sectors. Mortgages benefited from
their relatively short duration in a rising interest rate environment and from a
decline in prepayment activity during the period. The Fund's position, however,
was underweight relative to Lipper and accounted for some of the Fund's
underperformance relative to Lipper.
Overall, the Fund benefited from its slightly short duration and from
security selection within the Corporate sector. Its holdings in the Mortgage and
Asset Backed sectors also contributed to performance. Given the outlook for
short-term interest rates and credit spreads, the Fund will likely maintain a
similar posture going forward.
21
PERFORMANCE OVERVIEW
AMERICAN BEACON SHORT-TERM BOND FUND(SM) -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Prudential Insurance Company of America, 6.375%,
Due 7/23/2006, 144A 3.3%
Chemical Master Credit Card Trust 1996-2 A,
5.98%, Due 9/15/2008 3.2%
Federal National Mortgage Association, 2.75%,
Due 8/15/2006 3.2%
Hertz Corporation, 4.70%, Due 10/2/2006 3.1%
Citibank Credit Card Issuance Trust 2004-A4 A4,
3.20%, Due 8/24/2009 3.1%
MetLife Global Funding I, 3.375%,
Due 10/5/2007, 144A 3.1%
DaimlerChrysler Auto Trust 2004-C A4, 3.28%,
Due 12/8/2009 3.1%
Wachovia Corporation, 6.40%, Due 4/1/2008 2.9%
Heller Financial, Incorporated, 6.375%,
Due 3/15/2006 2.7%
Synovus Financial Corporation, 7.25%,
Due 12/15/2005 2.7%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
FIXED INCOME
------------
Corporates 69.5%
Asset-Backed 20.4%
Agency 5.6%
Mortgage-Backed 4.5%
</Table>
22
FUND EXPENSES
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
FUND EXPENSE EXAMPLE
As a shareholder of a Fund, you incur two types of costs: (1) transaction
costs, including redemption fees if applicable, and (2) ongoing costs, including
management fees, administrative service fees, and other Fund expenses. The
examples below are intended to help you understand the ongoing cost (in dollars)
of investing in a particular Fund and to compare these costs with the ongoing
costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning
of the period in each Class and held for the entire period from November 1, 2004
through April 30, 2005.
ACTUAL EXPENSES
The following table provides information about actual account values and
actual expenses. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the
"Expenses Paid During Period" row estimate the expenses you paid on your account
during this period. Shareholders of the PlanAhead and Institutional Classes that
invest in a Fund through an IRA may be subject to a custodial IRA fee of $12
that is typically deducted each December. If your account was subject to a
custodial IRA fee during the period, your costs would have been $12 higher.
<Table>
<Caption>
LARGE CAP LARGE CAP MID-CAP EMERGING HIGH YIELD INTERMEDIATE SHORT-TERM
INSTITUTIONAL CLASS BALANCED VALUE GROWTH VALUE MARKETS BOND BOND BOND
- ------------------- --------- --------- --------- --------- --------- ---------- ------------ ----------
Beginning Account Value
11/1/04................... $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
Ending Account Value
4/30/05................... $1,061.79 $1,087.52 $1,003.00 $1,066.14 $1,118.58 $ 997.11 $,1010.98 $1,000.97
Expenses Paid During Period*
11/1/04-4/30/05........... $ 2.73 $ 3.20 $ 3.74 $ 5.19 $ 8.13 $ 4.20 $ 1.59 $ 1.61
Annualized Expense Ratio.... 0.53% 0.62% 0.75% 1.01% 1.55% 0.85% 0.32% 0.32%
</Table>
<Table>
<Caption>
LARGE CAP EMERGING HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM
PLANAHEAD CLASS BALANCED VALUE MARKETS BOND INCOME BOND BOND
- --------------- --------- --------- --------- ---------- --------- ------------ ----------
Beginning Account Value
11/1/04........................ $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
Ending Account Value 4/30/05..... $1,059.31 $1,085.96 $1,117.44 $ 994.97 $1,001.63 $1,006.92 $ 998.17
Expenses Paid During Period*
11/1/04-4/30/05................ $ 4.48 $ 4.48 $ 10.30 $ 5.39 $ 4.92 $ 4.73 $ 4.45
Annualized Expense Ratio......... 0.88% 0.87% 1.96% 1.09% 0.99% 0.95% 0.90%
</Table>
<Table>
<Caption>
HIGH YIELD
SERVICE CLASS BOND
- ------------- ----------
Beginning Account Value
11/1/04...................... $1,000.00
Ending Account Value 4/30/05... $ 993.41
Expenses Paid During Period*
11/1/04-4/30/05.............. $ 7.24
Annualized Expense Ratio....... 1.46%
</Table>
<Table>
<Caption>
LARGE CAP LARGE CAP EMERGING
AMR CLASS BALANCED VALUE GROWTH MARKETS
- --------- --------- --------- --------- ---------
Beginning Account Value
11/1/04...................... $1,000.00 $1,000.00 $1,000.00 $1,000.00
Ending Account Value 4/30/05... $1,062.03 $1,089.05 $1,003.09 $1,119.59
Expenses Paid During Period*
11/1/04-4/30/05.............. $ 1.73 $ 1.87 $ 3.36 $ 6.71
Annualized Expense Ratio....... 0.34% 0.36% 0.68% 1.28%
</Table>
- ---------------
* Expenses are equal to the Fund's annualized expense ratios for the six-month
period multiplied by the average account value over the period, multiplied by
the number derived by dividing the number of days in the most recent fiscal
half-year (181) by days in the year (365) to reflect the half-year period.
23
FUND EXPENSES
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The following table provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
5% per year rate of return before expenses (not the Fund's actual return). You
may compare the ongoing costs of investing in a particular Fund with other funds
by contrasting this 5% hypothetical example and the 5% hypothetical examples
that appear in the shareholder reports of the other funds. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. Shareholders of the
PlanAhead and Institutional Classes that invest in a Fund through an IRA may be
subject to a custodial IRA fee of $12 that is typically deducted each December.
If your account was subject to a custodial IRA fee during the period, your costs
would have been $12 higher.
You should also be aware that the expenses shown in the table highlight
only your ongoing costs and do not reflect any transaction costs charged by a
Fund. Similarly, the expense examples for other funds do not reflect any
transaction costs charged by those funds, such as sales charges (loads),
redemption fees or exchange fees. Therefore, the "Expenses Paid During Period"
lines of the table are useful in comparing ongoing costs only and will not help
you determine the relative total costs of owning different funds. If you were
subject to any transaction costs during the period, your costs would have been
higher.
<Table>
<Caption>
LARGE CAP LARGE CAP MID-CAP EMERGING HIGH YIELD INTERMEDIATE SHORT-TERM
INSTITUTIONAL CLASS BALANCED VALUE GROWTH VALUE MARKETS BOND BOND BOND
- ------------------- --------- --------- --------- --------- --------- ---------- ------------ ----------
Beginning Account Value
11/1/04.................... $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
Ending Account Value
4/30/05.................... $1,022.14 $1,021.73 $1,021.06 $1,019.77 $1,017.12 $1,020.59 $1,023.21 $1,023.18
Expenses Paid During Period*
11/1/04-4/30/05............ $ 2.68 $ 3.09 $ 3.78 $ 5.08 $ 7.74 $ 4.25 $ 1.60 $ 1.63
Annualized Expense Ratio..... 0.53% 0.62% 0.75% 1.01% 1.55% 0.85% 0.32% 0.32%
</Table>
<Table>
<Caption>
LARGE CAP EMERGING HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM
PLANAHEAD CLASS BALANCED VALUE MARKETS BOND INCOME BOND BOND
- --------------- --------- --------- --------- ---------- --------- ------------ ----------
Beginning Account Value
11/1/04........................ $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
Ending Account Value 4/30/05..... $1,020.44 $1,020.50 $1,015.07 $1,019.39 $1,019.88 $1,020.08 $1,020.34
Expenses Paid During Period*
11/1/04-4/30/05................ $ 4.40 $ 4.34 $ 9.80 $ 5.45 $ 4.96 $ 4.76 $ 4.50
Annualized Expense Ratio......... 0.88% 0.87% 1.96% 1.09% 0.99% 0.95% 0.90%
</Table>
<Table>
<Caption>
HIGH YIELD
SERVICE CLASS BOND
- ------------- ----------
Beginning Account Value
11/1/04...................... $1,000.00
Ending Account Value 4/30/05... $1,017.54
Expenses Paid During Period*
11/1/04-4/30/05.............. $ 7.32
Annualized Expense Ratio....... 1.46%
</Table>
<Table>
<Caption>
LARGE CAP LARGE CAP EMERGING
AMR CLASS BALANCED VALUE GROWTH MARKETS
- --------- --------- --------- --------- ---------
Beginning Account Value
11/1/04...................... $1,000.00 $1,000.00 $1,000.00 $1,000.00
Ending Account Value 4/30/05... $1,023.11 $1,023.00 $1,021.44 $1,018.46
Expenses Paid During Period*
11/1/04-4/30/05.............. $ 1.70 $ 1.82 $ 3.39 $ 6.39
Annualized Expense Ratio....... 0.34% 0.36% 0.68% 1.28%
</Table>
- ---------------
* Expenses are equal to the Fund's annualized expense ratios for the six-month
period multiplied by the average account value over the period, multiplied by
the number derived by dividing the number of days in the most recent fiscal
half-year (181) by days in the year (365) to reflect the half-year period.
24
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
U.S. TREASURY OBLIGATIONS - 9.03%
U.S. TREASURY BONDS - 1.50%
7.50%, Due 11/15/2016(+)..... $ 1,100 $ 1,413
9.125%, Due 5/15/2018(+)..... 1,750 2,563
7.875%, Due 2/15/2021(+)..... 500 687
6.875%, Due 8/15/2025(+)..... 1,580 2,048
6.25%, Due 5/15/2030(+)...... 1,510 1,880
5.375%, Due 2/15/2031(+)..... 2,200 2,485
---------
TOTAL U.S. TREASURY
BONDS.................. 11,076
---------
U.S. TREASURY NOTES - 7.53%
1.50%, Due 3/31/2006(+)...... 34,420 33,845
4.625%, Due 5/15/2006(+)..... 3,745 3,791
3.375%, Due 11/15/2008(+).... 3,000 2,959
3.875%, Due 5/15/2009(+)..... 500 501
3.375%, Due 9/15/2009(+)..... 2,225 2,182
5.75%, Due 8/15/2010(+)...... 1,700 1,847
5.00%, Due 2/15/2011(+)...... 2,350 2,477
5.00%, Due 8/15/2011(+)...... 1,700 1,795
4.375%, Due 8/15/2012(+)..... 2,000 2,046
4.75%, Due 5/15/2014(+)...... 900 938
4.25%, Due 8/15/2014(+)...... 2,505 2,516
4.00%, Due 2/15/2015(+)...... 800 787
---------
TOTAL U.S. TREASURY
NOTES.................. 55,684
---------
TOTAL U.S. TREASURY
OBLIGATIONS............ 66,760
---------
U.S. AGENCY OBLIGATIONS - 4.92%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 4.19%
3.625%, Due 9/15/2006........ 15,000 14,971
5.875%, Due 3/21/2011(+)..... 495 528
4.875%, Due 11/15/2013(+).... 500 512
4.50%, Due 1/15/2015(+)...... 15,080 14,991
---------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION... 31,002
---------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 0.73%
Discount Note, Due
6/13/2005.................. 2,025 2,018
5.125%, Due 1/2/2014......... 595 607
7.25%, Due 5/15/2030(+)...... 550 728
6.00%, Due 12/11/2033........ 1,980 2,032
---------
TOTAL FEDERAL
NATIONAL MORTGAGE
ASSOCIATION............ 5,385
---------
TOTAL U.S. AGENCY
OBLIGATIONS............ 36,387
---------
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 8.72%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 2.72%
Pool #G10084, 6.50%,
Due 3/1/2008............... $ 731 $ 748
Pool #E90777, 5.50%,
Due 8/1/2017............... 106 109
Pool #G11295, 5.50%,
Due 9/1/2017............... 572 586
Pool #E96536, 5.00%,
Due 3/1/2018............... 1,236 1,247
Pool #E01386, 5.00%,
Due 6/1/2018............... 671 677
Pool #E97381, 5.50%,
Due 6/1/2018............... 229 235
Pool #E01492, 5.50%,
Due 10/1/2018.............. 1,020 1,045
Pool #B12563, 5.00%,
Due 2/1/2019............... 634 639
Pool #E01602, 4.50%,
Due 3/1/2019............... 1,330 1,318
Pool #C26472, 6.50%,
Due 5/1/2029............... 136 142
Pool #C27089, 6.50%,
Due 6/1/2029............... 22 23
Pool #C00835, 6.50%,
Due 7/1/2029............... 381 397
Pool #G01457, 6.00%,
Due 8/1/2029............... 183 189
Pool #G01533, 6.00%,
Due 3/1/2033............... 951 978
Pool #C01598, 5.00%,
Due 8/1/2033............... 1,484 1,473
Pool #A12149, 6.00%,
Due 8/1/2033............... 836 859
Pool #C01786, 5.50%,
Due 2/1/2034............... 2,152 2,177
Pool #C01796, 5.00%,
Due 3/1/2034............... 1,818 1,801
Pool #C01848, 6.00%,
Due 6/1/2034............... 1,664 1,709
Pool #A28109, 5.50%,
Due 10/1/2034.............. 1,431 1,447
Pool #A27483, 6.00%,
Due 10/1/2034.............. 1,162 1,194
Pool #A30948, 5.50%,
Due 1/1/2035............... 1,128 1,142
---------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION... 20,135
---------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
25
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 3.90%
Pool #488099, 5.50%,
Due 2/1/2014............... $ 390 $ 400
Pool #323789, 6.00%,
Due 6/1/2014............... 305 317
Pool #535846, 6.00%,
Due 4/1/2016............... 745 772
Pool #254545, 5.00%,
Due 12/1/2017.............. 1,567 1,581
Pool #555549, 5.00%,
Due 6/1/2018............... 1,889 1,905
Pool #254865, 4.50%,
Due 9/1/2018............... 2,278 2,259
Pool #100292, 10.00%,
Due 9/1/2018............... 190 214
Pool #747844, 5.50%,
Due 12/1/2018.............. 135 138
Pool #761337, 5.00%,
Due 4/1/2019............... 363 365
Pool #252211, 6.00%,
Due 1/1/2029............... 899 926
Pool #725706, 6.00%,
Due 8/1/2032............... 456 473
Pool #555531, 5.50%,
Due 6/1/2033............... 752 760
Pool #713999, 5.50%,
Due 7/1/2033............... 807 816
Pool #727223, 5.50%,
Due 9/1/2033............... 1,315 1,329
Pool #749219, 5.50%,
Due 10/1/2033.............. 799 808
Pool #555880, 5.50%,
Due 11/1/2033.............. 1,976 1,997
Pool #758322, 5.50%,
Due 12/1/2033.............. 1,735 1,754
Pool #725238, 5.00%,
Due 3/1/2034............... 4,326 4,296
Pool #765304, 5.50%,
Due 3/1/2034............... 666 673
Pool #255225, 5.50%,
Due 6/1/2034............... 876 885
Pool #725866, 4.50%,
Due 9/1/2034............... 1,255 1,212
Pool #801716, 5.50%,
Due 10/1/2034.............. 881 890
Pool #796229, 6.00%,
Due 11/1/2034.............. 1,080 1,110
Pool #781822, 6.00%,
Due 12/1/2034.............. 1,804 1,853
Pool #812630, 5.50%,
Due 2/1/2035............... 619 625
Pool #815762, 6.50%,
Due 3/1/2035............... 475 494
---------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION 28,852
---------
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 2.10%
Pool #780085, 11.50%,
Due 8/15/2018.............. $ 153 $ 171
Pool #780400, 7.00%,
Due 12/15/2025............. 161 171
Pool #781200, 8.00%,
Due 12/15/2025............. 181 197
Pool #780509, 6.50%,
Due 2/15/2027.............. 250 263
Pool #780615, 6.50%,
Due 8/15/2027.............. 298 313
Pool #780651, 7.00%,
Due 10/15/2027............. 340 361
Pool #780680, 6.50%,
Due 11/15/2027............. 758 797
Pool #780747, 6.50%,
Due 3/15/2028.............. 289 304
Pool #780788, 6.50%,
Due 4/15/2028.............. 308 323
Pool #780842, 8.50%,
Due 8/20/2028.............. 151 164
Pool #780936, 7.50%,
Due 12/15/2028............. 356 383
Pool #781035, 6.50%,
Due 5/15/2029.............. 286 300
Pool #781273, 6.00%,
Due 4/15/2031.............. 433 448
Pool #781288, 6.50%,
Due 5/15/2031.............. 518 543
Pool #781564, 6.00%,
Due 2/15/2033.............. 904 933
Pool #781589, 5.50%,
Due 4/15/2033.............. 1,846 1,881
Pool #781603, 5.00%,
Due 5/15/2033.............. 980 980
Pool #781636, 5.50%,
Due 7/15/2033.............. 1,978 2,015
Pool #616094, 6.00%,
Due 11/15/2033............. 338 349
Pool #781690, 6.00%,
Due 12/15/2033............. 1,033 1,067
Pool #003515, 5.50%,
Due 2/20/2034.............. 2,771 2,818
Pool #003517, 6.00%,
Due 2/20/2034.............. 727 749
---------
TOTAL GOVERNMENT
NATIONAL MORTGAGE
ASSOCIATION............ 15,530
---------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS............ 64,517
---------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
26
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
ASSET-BACKED SECURITIES - 0.60%
Citigroup Commercial Mortgage
Trust 2004-C2 A3,
4.38%, Due 10/15/2041...... $ 760 $ 748
Household Automotive Trust
2004-1 A3,
3.30%, Due 5/18/2009....... 1,300 1,289
Master Asset Securitization
Trust 2002-6 2A1,
5.75%, Due 10/25/2017...... 698 697
J P Morgan Chase Commercial
Mortgage Securities Corp
2004-CBX A4,
4.529%, Due 11/12/2039..... 555 551
J P Morgan Chase Commercial
Mortgage Securities Corp
2005-LDP1 A2,
4.625%, Due 3/15/2046...... 775 780
TXU Electric Delivery
Transition Bond Company,
LLC 2004-1 A2,
4.81%, Due 11/15/2012...... 350 355
---------
TOTAL ASSET-BACKED
SECURITIES............. 4,420
---------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.49%
Banc of America Commercial
Mortgage, Incorporated
2003-2 A3,
4.342%, Due 3/11/2041...... 445 443
Bear Stearns Commercial
Mortgage Securities,
Incorporated 2004-PWR5 A4,
4.831%, Due 7/11/2042...... 740 741
Countrywide Home Loan,
Incorporated 2004-18 A1,
6.00%, Due 10/25/2034...... 696 711
General Electric Capital
Commercial Mortgage
Corporation 2003-C2 A2,
4.17%, Due 7/10/2037....... 430 427
General Electric Capital
Commercial Mortgage
Corporation 2004-C3 A3,
4.865%, Due 7/10/2039...... 715 723
Wachovia Bank Commercial
Mortgage Trust 2003-C5 A2,
3.989%, Due 6/15/2035...... 570 542
---------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS............ 3,587
---------
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
CORPORATE BONDS - 8.83%
BANKS - 0.83%
Banco Popular North America,
Incorporated,
4.25%, Due 4/1/2008........ $ 500 $ 500
Bank One Corporation,
5.90%, Due 11/15/2011...... 500 533
4.90%, Due 4/30/2015....... 300 295
Capital One,
6.875%, Due 2/1/2006....... 800 818
6.70%, Due 5/15/2008....... 450 479
4.80%, Due 2/21/2012....... 360 354
5.125%, Due 2/15/2014...... 450 446
Credit Suisse First Boston,
6.50%, Due 5/1/2008........ 750 793
Fleet Norstar Financial
Group, Incorporated,
8.625%, Due 1/15/2007...... 600 644
ING Bank, NV,
5.125%, Due 5/1/2015, 144A
(Note A)................... 450 457
Synovus Financial
Corporation,
4.875%, Due 2/15/2013...... 300 301
Washington Mutual Financial
Corporation,
6.875%, Due 5/15/2011...... 425 475
---------
TOTAL BANKS.............. 6,095
---------
ENERGY - 0.32%
FPL Group, Incorporated,
4.086%, Due 2/16/2007(+)... 310 310
Marathon Oil Corporation,
5.375%, Due 6/1/2007....... 260 266
MidAmerican Energy Holdings
Company,
3.50%, Due 5/15/2008....... 395 383
5.875%, Due 10/1/2012...... 305 321
Public Service Enterprise
Group, Incorporated,
6.95%, Due 6/1/2012........ 380 424
Union Oil Company of
California,
7.90%, Due 4/18/2008....... 100 109
Xcel Energy, Incorporated,
7.00%, Due 12/1/2010....... 500 556
---------
TOTAL ENERGY............. 2,369
---------
FINANCE - 2.75%
AEGON, N.V.,
8.00%, Due 8/15/2006....... 300 315
American General Finance
Corporation,
5.375%, Due 9/1/2009(+).... 285 294
Assurant, Incorporated,
5.625%, Due 2/15/2014...... 315 326
Bear Stearns Companies,
Incorporated,
3.00%, Due 3/30/2006....... 500 497
2.875%, Due 7/2/2008....... 300 287
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
27
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
BHP Finance (USA) Limited,
4.80%, Due 4/15/2013....... $ 300 $ 302
Boeing Capital Corporation,
5.40%, Due 11/30/2009...... 850 884
Bunge Limited Finance
Corporation,
7.80%, Due 10/15/2012...... 400 472
Caterpillar Financial
Services Corporation,
4.35%, Due 3/4/2009(+)..... 700 699
Cendant Corporation,
6.875%, Due 8/15/2006...... 990 1,024
Countrywide Home Loan,
Incorporated,
3.50%, Due 12/19/2005...... 800 799
3.25%, Due 5/21/2008....... 510 492
Ford Motor Credit Company,
6.50%, Due 1/25/2007(+).... 375 375
General Electric Capital
Corporation,
6.875%, Due 11/15/2010..... 535 594
General Motors Acceptance
Corporation,
6.75%, Due 1/15/2006....... 650 655
6.125%, Due 8/28/2007(+)... 320 312
Goldman Sachs Group,
Incorporated,
4.75%, Due 7/15/2013....... 400 393
Household Finance
Corporation,
5.75%, Due 1/30/2007....... 1,500 1,541
HSBC Finance Corporation,
4.75%, Due 4/15/2010(+).... 420 422
International Lease Finance
Corporation,
6.375%, Due 3/15/2009...... 1,025 1,090
Liberty Mutual Corporation,
7.875%, Due 10/15/2026,
144A (Note A)(+)........... 1,500 1,754
Lincoln National Corporation,
4.75%, Due 2/15/2014....... 200 196
Merrill Lynch & Company,
Incorporated,
4.25%, Due 2/8/2010........ 825 814
Morgan Stanley & Company,
Incorporated,
6.10%, Due 4/15/2006....... 450 459
PHH Corporation,
6.00%, Due 3/1/2008........ 500 518
PNC Funding Corporation,
4.20%, Due 3/10/2008....... 545 546
Prudential Financial,
Incorporated,
3.75%, Due 5/1/2008(+)..... 185 182
4.50%, Due 7/15/2013(+).... 400 390
5.10%, Due 5/20/2014(+).... 290 293
SLM Corporation,
3.95%, Due 8/15/2008(+).... 460 454
4.00%, Due 1/15/2009....... 1,500 1,482
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Verizon Global Funding
Corporation,
4.375%, Due 6/1/2013(+).... $ 400 $ 389
Washington Mutual,
Incorporated,
4.625%, Due 4/1/2014....... 350 337
WellPoint, Incorporated, 144A
(Note A)
3.75%, Due 12/14/2007...... 380 375
5.00%, Due 12/15/2014...... 330 332
---------
TOTAL FINANCE............ 20,294
---------
FOREIGN - 0.33%
Deutsche Telekom
International,
8.50%, Due 6/15/2010(+).... 280 325
France Telecom SA,
8.50%, Due 3/1/2011........ 550 634
Province of Ontario,
3.35%, Due 7/16/2007(+).... 1,000 988
Telefonos de Mexico, S.A. de
C.V.,
5.50%, Due 1/27/2015, 144A
(Note A)................... 500 484
---------
TOTAL FOREIGN............ 2,431
---------
INDUSTRIALS - 3.04%
Anheuser Busch Companies,
Incorporated,
6.50%, Due 1/1/2028........ 872 1,014
Atlantic Richfield Company,
9.125%, Due 3/1/2011....... 425 524
Baxter International,
Incorporated,
5.25%, Due 5/1/2007(+)..... 455 462
Carnival Corporation,
3.75%, Due 11/15/2007...... 515 509
Comcast Cable Communications,
7.625%, Due 2/15/2008...... 200 216
Comcast Corporation,
5.50%, Due 3/15/2011....... 255 264
Conagra Foods, Incorporated,
7.125%, Due 10/1/2026...... 410 492
7.00%, Due 10/1/2028....... 600 719
Continental Cablevision,
Incorporated,
8.30%, Due 5/15/2006....... 270 282
DaimlerChrysler North
America,
4.75%, Due 1/15/2008....... 720 710
7.75%, Due 1/18/2011(+).... 1,000 1,087
John Deere Capital
Corporation,
3.375%, Due 10/1/2007...... 650 637
4.125%, Due 1/15/2010...... 520 513
Dell Computer Corporation,
6.55%, Due 4/15/2008(+).... 400 427
EOG Resources, Incorporated,
4.75%, Due 3/15/2014, 144A
(Note A)................... 425 418
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
28
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
EOP Operating Limited
Partnership,
4.75%, Due 3/15/2014....... $ 350 $ 336
Hertz Corporation,
4.70%, Due 10/2/2006....... 650 640
Hewlett Packard Company,
5.75%, Due 12/15/2006...... 470 482
Kinder Morgan, Incorporated,
6.50%, Due 9/1/2012........ 460 503
Lockheed Martin Corporation,
7.20%, Due 5/1/2036........ 600 749
Martin Marietta Material,
Incorporated,
6.90%, Due 8/15/2007....... 200 211
MetLife Global Funding I,
3.375%, Due 10/5/2007, 144A
(Note A)................... 650 637
Nissan Motor Company Limited,
4.625%, Due 3/8/2010....... 410 406
Northrop Grumman Corporation,
4.079%, Due 11/16/2006..... 850 850
7.125%, Due 2/15/2011...... 505 568
Occidental Petroleum
Corporation,
6.75%, Due 1/15/2012....... 400 449
Pepsi Bottling Group,
Incorporated,
7.00%, Due 3/1/2029........ 650 796
Pulte Homes, Incorporated,
4.875%, Due 7/15/2009...... 300 298
5.25%, Due 1/15/2014....... 275 270
Reed Elsevier Capital,
Incorporated,
6.125%, Due 8/1/2006....... 765 781
Simon Property Group LP,
6.375%, Due 11/15/2007..... 400 418
Sprint Capital Corporation,
6.00%, Due 1/15/2007....... 1,230 1,263
8.375%, Due 3/15/2012...... 175 207
Time Warner, Incorporated,
7.625%, Due 4/15/2031...... 250 305
Unilever Capital Corporation,
7.125%, Due 11/1/2010...... 2,000 2,259
Univision Communications,
Incorporated,
3.875%, Due 10/15/2008..... 555 544
Wal-Mart Stores,
Incorporated,
7.55%, Due 2/15/2030....... 650 854
Weyerhaeuser Company,
5.95%, Due 11/1/2008....... 340 357
---------
TOTAL INDUSTRIALS........ 22,457
---------
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
PHARMACEUTICAL - 0.13%
Amgen, Incorporated,
4.00%, Due 11/18/2009, 144A
(Note A)................... $ 310 $ 305
Schering Plough Corporation,
6.75%, Due 12/1/2033....... 300 348
Wyeth,
5.50%, Due 2/1/2014........ 325 337
---------
TOTAL PHARMACEUTICAL..... 990
---------
TELECOMMUNICATION - 0.97%
Alltel Corporation,
4.656%, Due 5/17/2007...... 750 756
America Movil S.A. de C.V.,
6.375%, Due 3/1/2035....... 1,135 1,055
AT&T Broadband Corporation,
8.375%, Due 3/15/2013...... 848 1,029
AT&T Wireless Services,
Incorporated,
7.35%, Due 3/1/2006........ 855 880
8.125%, Due 5/1/2012....... 900 1,064
8.75%, Due 3/1/2031........ 265 361
Motorola, Incorporated,
4.608%, Due
11/16/2007(+).............. 810 816
Verizon Communications,
Incorporated,
6.36%, Due 4/15/2006....... 730 746
Verizon Wireless Capital,
LLC,
5.375%, Due 12/15/2006..... 420 428
---------
TOTAL TELECOMMUNICATION.. 7,135
---------
TRANSPORTATION - 0.36%
CNF Transportation,
Incorporated,
8.875%, Due 5/1/2010....... 1,850 2,150
Union Pacific Corporation,
6.50%, Due 4/15/2012....... 450 494
---------
TOTAL TRANSPORTATION..... 2,644
---------
UTILITY - 0.10%
Consolidated Natural Gas
Company,
6.875%, Due 10/15/2026..... 360 416
Southern Company Capital
Funding, Incorporated,
5.30%, Due 2/1/2007........ 325 334
---------
TOTAL UTILITY............ 750
---------
TOTAL CORPORATE BONDS.... 65,165
---------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
29
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 59.72%
CONSUMER DISCRETIONARY - 5.17%
HOTELS, RESTAURANTS & LEISURE - 0.99%
Carnival Corporation......... 26,300 $ 1,286
McDonald's Corporation....... 44,500 1,304
MGM MIRAGE+.................. 45,900 3,204
Yum Brands, Incorporated..... 32,200 1,512
---------
TOTAL HOTELS, RESTAURANTS
& LEISURE.............. 7,306
---------
HOUSEHOLD DURABLES - 1.84%
Centex Corporation........... 93,600 5,403
Fortune Brands,
Incorporated............... 19,700 1,666
Koninklijke (Royal) Philips
Electronics NV............. 128,531 3,186
Newell Rubbermaid,
Incorporated(+)............ 73,000 1,586
Pulte Homes, Incorporated.... 24,800 1,772
---------
TOTAL HOUSEHOLD
DURABLES............... 13,613
---------
LEISURE EQUIPMENT & PRODUCTS - 0.66%
Eastman Kodak Company........ 86,600 2,165
Mattel, Incorporated......... 151,200 2,729
---------
TOTAL LEISURE EQUIPMENT &
PRODUCTS............... 4,894
---------
MEDIA - 0.20%
Interpublic Group Companies,
Incorporated+(+)........... 116,600 1,499
---------
TOTAL MEDIA.............. 1,499
---------
MULTILINE RETAIL - 1.29%
Federated Department Stores,
Incorporated............... 50,900 2,927
May Department Stores
Company.................... 63,100 2,214
Sears Holdings
Corporation+............... 21,200 2,867
Target Corporation........... 32,400 1,504
---------
TOTAL MULTILINE RETAIL... 9,512
---------
TEXTILES & APPAREL - 0.19%
Liz Claiborne,
Incorporated............... 39,800 1,410
---------
TOTAL TEXTILES &
APPAREL................ 1,410
---------
TOTAL CONSUMER
DISCRETIONARY.......... 38,234
---------
CONSUMER STAPLES - 6.01%
FOOD & DRUG RETAILING - 0.43%
Albertson's,
Incorporated(+)............ 73,600 1,457
Safeway, Incorporated+....... 79,700 1,697
---------
TOTAL FOOD & DRUG
RETAILING.............. 3,154
---------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
FOOD PRODUCTS - 2.38%
Anheuser Busch Companies,
Incorporated............... 26,200 $ 1,228
Conagra, Incorporated........ 134,900 3,609
Dean Foods Company+.......... 86,300 2,965
General Mills,
Incorporated............... 35,200 1,739
Kraft Foods,
Incorporated(+)............ 78,900 2,557
Sara Lee Company............. 121,374 2,596
Unilever plc, ADR(+)......... 75,900 2,912
---------
TOTAL FOOD PRODUCTS...... 17,606
---------
TOBACCO - 3.20%
Altria Group, Incorporated... 172,100 11,185
Gallaher Group plc, ADR(+)... 42,400 2,639
Imperial Tobacco Group plc,
ADR........................ 94,800 5,499
UST, Incorporated............ 94,500 4,328
---------
TOTAL TOBACCO............ 23,651
---------
TOTAL CONSUMER STAPLES... 44,411
---------
ENERGY - 6.11%
ENERGY EQUIPMENT & SERVICES - 0.67%
Duke Energy Corporation...... 169,900 4,959
---------
TOTAL ENERGY EQUIPMENT &
SERVICES............... 4,959
---------
OIL & GAS - 5.44%
BP plc, ADR.................. 80,380 4,895
ChevronTexaco Corporation.... 93,028 4,837
ConocoPhillips............... 123,388 12,937
Devon Energy Corporation..... 80,800 3,650
Kerr-McGee Corporation(+).... 29,200 2,266
Occidental Petroleum
Corporation................ 112,400 7,756
Petro-Canada................. 26,600 1,476
Valero Energy Corporation.... 35,300 2,419
---------
TOTAL OIL & GAS.......... 40,236
---------
TOTAL ENERGY............. 45,195
---------
FINANCIALS - 17.63%
BANKS - 5.24%
Bank of America
Corporation................ 284,718 12,824
Comerica, Incorporated....... 23,300 1,334
Federal Home Loan Mortgage
Corporation................ 59,700 3,673
KeyCorp Limited.............. 88,500 2,935
PNC Financial Services Group,
Incorporated............... 8,800 468
U.S. Bancorp, Incorporated... 99,260 2,769
UnionBanCal Corporation...... 10,500 646
Wachovia Corporation......... 59,300 3,035
Washington Mutual,
Incorporated............... 185,800 7,677
Wells Fargo & Company........ 56,600 3,393
---------
TOTAL BANKS.............. 38,754
---------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
30
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
DIVERSIFIED FINANCIALS - 5.41%
Bear Stearns Companies,
Incorporated............... 24,200 $ 2,291
CIT Group, Incorporated...... 36,700 1,478
Citigroup, Incorporated...... 235,042 11,038
Federal National Mortgage
Association................ 38,900 2,099
Goldman Sachs Group,
Incorporated............... 20,500 2,189
MBNA Corporation............. 162,100 3,201
Merrill Lynch & Company,
Incorporated............... 39,900 2,152
J P Morgan Chase & Company... 160,734 5,704
Morgan Stanley & Company,
Incorporated............... 53,500 2,815
Principal Financial Group,
Incorporated............... 67,600 2,642
SLM Corporation.............. 92,500 4,407
---------
TOTAL DIVERSIFIED
FINANCIALS............. 40,016
---------
INSURANCE - 6.40%
Ace Limited.................. 67,600 2,904
Allstate Corporation......... 135,400 7,604
American International Group,
Incorporated............... 30,700 1,561
AON Corporation.............. 58,300 1,216
Assurant, Incorporated....... 41,600 1,377
Conseco, Incorporated+(+).... 71,600 1,378
Hartford Financial Services
Group, Incorporated........ 20,600 1,491
Loews Corporation............ 28,100 1,992
MetLife, Incorporated........ 222,080 8,639
MGIC Investments
Corporation................ 42,600 2,513
Prudential Financial,
Incorporated............... 79,500 4,543
The St. Paul Travelers
Companies, Incorporated.... 153,900 5,510
WellPoint, Incorporated+..... 34,100 4,356
XL Capital Limited........... 31,800 2,235
---------
TOTAL INSURANCE.......... 47,319
---------
REAL ESTATE - 0.58%
Equity Office Properties
Trust...................... 137,000 4,311
---------
TOTAL REAL ESTATE........ 4,311
---------
TOTAL FINANCIALS......... 130,400
---------
HEALTH CARE - 4.79%
HEALTH CARE EQUIPMENT & SUPPLIES - 0.44%
Baxter International,
Incorporated............... 88,200 3,272
---------
TOTAL HEALTH CARE
EQUIPMENT & SUPPLIES... 3,272
---------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
HEALTH CARE PROVIDERS & SERVICES - 1.50%
Aetna, Incorporated+......... 20,000 $ 1,467
Cigna Corporation............ 27,900 2,566
HCA, Incorporated............ 62,600 3,496
Health Net, Incorporated+.... 50,100 1,705
Tenet Healthcare
Corporation+............... 155,100 1,857
---------
TOTAL HEALTH CARE
PROVIDERS & SERVICES... 11,091
---------
PHARMACEUTICALS - 2.85%
Bristol-Myers Squibb
Company.................... 195,700 5,088
Merck & Company,
Incorporated............... 93,700 3,176
Pfizer, Incorporated......... 262,700 7,138
Schering Plough
Corporation................ 164,000 3,423
Wyeth........................ 49,800 2,238
---------
TOTAL PHARMACEUTICALS.... 21,063
---------
TOTAL HEALTH CARE........ 35,426
---------
INDUSTRIALS - 7.80%
AEROSPACE & DEFENSE - 2.81%
Boeing Company............... 106,200 6,321
Honeywell International,
Incorporated............... 72,400 2,589
Lockheed Martin Corporation.. 59,500 3,627
Raytheon Company............. 86,500 3,253
Textron, Incorporated........ 38,200 2,878
United Technologies
Corporation................ 20,800 2,116
---------
TOTAL AEROSPACE &
DEFENSE................ 20,784
---------
COMMERCIAL SERVICES & SUPPLIES - 1.26%
Cendant Corporation.......... 327,900 6,528
PHH Corporation+(+).......... 7,235 162
Waste Management,
Incorporated............... 92,907 2,647
---------
TOTAL COMMERCIAL SERVICES
& SUPPLIES............. 9,337
---------
ELECTRICAL EQUIPMENT - 0.88%
American Power Conversion
Corporation................ 81,400 1,975
Emerson Electrical Company... 72,300 4,531
---------
TOTAL ELECTRICAL
EQUIPMENT.............. 6,506
---------
INDUSTRIAL CONGLOMERATES - 1.21%
General Electric Company..... 80,000 2,896
Tyco International Limited... 193,501 6,058
---------
TOTAL INDUSTRIAL
CONGLOMERATES.......... 8,954
---------
MACHINERY - 0.67%
Caterpillar, Incorporated.... 26,800 2,360
ITT Industries,
Incorporated............... 28,400 2,569
---------
TOTAL MACHINERY.......... 4,929
---------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
31
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
TRANSPORTATION - 0.97%
Burlington Northern Santa Fe
Corporation................ 59,400 $ 2,866
CSX Corporation.............. 108,000 4,334
---------
TOTAL TRANSPORTATION..... 7,200
---------
TOTAL INDUSTRIALS........ 57,710
---------
INFORMATION TECHNOLOGY - 4.45%
COMMUNICATIONS EQUIPMENT - 0.61%
Nokia Corporation, ADR....... 280,100 4,476
---------
TOTAL COMMUNICATIONS
EQUIPMENT.............. 4,476
---------
COMPUTERS & PERIPHERALS - 1.36%
Hewlett Packard Company...... 276,500 5,660
International Business
Machines Corporation....... 57,300 4,377
---------
TOTAL COMPUTERS &
PERIPHERALS............ 10,037
---------
IT CONSULTING & SERVICES - 1.12%
Computer Sciences
Corporation+............... 45,900 1,996
Electronic Data Systems
Corporation................ 325,200 6,293
---------
TOTAL IT CONSULTING &
SERVICES............... 8,289
---------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.40%
Freescale Semiconductor,
Incorporated+(+)........... 157,600 2,950
---------
TOTAL SEMICONDUCTOR
EQUIPMENT & PRODUCTS... 2,950
---------
SOFTWARE - 0.96%
Computer Associates
International,
Incorporated............... 262,803 7,069
---------
TOTAL SOFTWARE........... 7,069
---------
TOTAL INFORMATION
TECHNOLOGY............. 32,821
---------
MATERIALS - 3.67%
CHEMICALS - 2.05%
Air Products & Chemicals,
Incorporated............... 30,100 1,768
E. I. du Pont de Nemours &
Company.................... 30,600 1,442
Eastman Chemical Company..... 30,000 1,620
Hercules, Incorporated+...... 139,900 1,851
Imperial Chemical Industries
plc, ADR(+)................ 91,300 1,768
Lyondell Chemical Company.... 132,500 3,324
The Mosaic Company+.......... 111,300 1,430
PPG Industries,
Incorporated............... 28,500 1,925
---------
TOTAL CHEMICALS.......... 15,128
---------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
METALS & MINING - 0.59%
Alcoa, Incorporated.......... 148,996 $ 4,324
---------
TOTAL METALS & MINING.... 4,324
---------
PAPER & FOREST PRODUCTS - 1.03%
International Paper Company.. 62,000 2,126
Sappi Limited, ADR........... 220,700 2,203
UPM Kymmene Corporation,
ADR(+)..................... 56,500 1,134
Weyerhaeuser Company......... 31,500 2,161
---------
TOTAL PAPER & FOREST
PRODUCTS............... 7,624
---------
TOTAL MATERIALS.......... 27,076
---------
TELECOMMUNICATION SERVICES - 0.65%
DIVERSIFIED TELECOMMUNICATION - 0.65%
Alltel Corporation........... 11,500 655
BellSouth Corporation........ 44,600 1,181
Verizon Communications,
Incorporated............... 83,228 2,980
---------
TOTAL TELECOMMUNICATION
SERVICES............... 4,816
---------
UTILITIES - 3.44%
American Electric Power
Company, Incorporated(+)... 140,600 4,952
CenterPoint Energy,
Incorporated(+)............ 132,600 1,570
DTE Energy Company........... 24,100 1,107
Entergy Corporation.......... 63,900 4,684
Exelon Corporation........... 32,600 1,614
FirstEnergy Corporation...... 70,800 3,081
Florida Power and Light
Group, Incorporated........ 120,000 4,899
Public Service Enterprise
Group, Incorporated(+)..... 26,200 1,522
Reliant Resources,
Incorporated+.............. 72,756 740
Teco Energy,
Incorporated(+)............ 76,900 1,277
---------
TOTAL UTILITIES.......... 25,446
---------
TOTAL COMMON STOCK....... 441,535
---------
</Table>
<Table>
<Caption>
PAR
AMOUNT
-------
SHORT-TERM INVESTMENTS - 22.97%
UNITED STATES TREASURY BILLS - 0.58%
Discount Note, Due 6/9/2005 (Note
B)................................ $4,325 4,311
------
TOTAL UNITED STATES TREASURY
BILLS......................... 4,311
------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
32
AMERICAN BEACON BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
OTHER SHORT-TERM INVESTMENTS - 22.39%
American Beacon Enhanced Cash
Trust (Notes C and D)........ 94,419,078 $ 94,419
American Beacon Money Market
Select Fund (Notes C and D).. 71,080,462 71,081
---------
TOTAL OTHER SHORT-TERM
INVESTMENTS.............. 165,500
---------
TOTAL SHORT-TERM
INVESTMENTS.............. 169,811
---------
TOTAL INVESTMENTS - 115.28%
(COST $747,222).............. 852,182
---------
LIABILITIES, NET OF OTHER
ASSETS - (15.28%)............ (112,974)
---------
TOTAL NET ASSETS - 100%........ $ 739,208
=========
</Table>
FUTURES CONTRACTS
(DOLLARS IN THOUSANDS)
<Table>
<Caption>
UNREALIZED
NO. OF EXPIRATION MARKET APPRECIATION/
ISSUER CONTRACTS DATE VALUE (DEPRECIATION)
- ------ --------- ---------- ------- --------------
S&P 500 Index............................................... 151 June 2005 $43,733 $(1,633)
Emini S&P 500 Index......................................... 195 June 2005 11,295 (360)
------- -------
$55,028 $(1,993)
======= =======
</Table>
- ---------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At period end, the
value of these securities amounted to $4,762 or 0.64% of net assets.
(B) At April 30, 2005, security held as collateral for open futures contracts.
(C) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(D) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of this security is on loan at April 30, 2005. See Note 5.
+- Non-income producing security.
See accompanying notes
- --------------------------------------------------------------------------------
33
AMERICAN BEACON LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 92.34%
CONSUMER DISCRETIONARY - 8.8%
HOTELS, RESTAURANTS & LEISURE - 1.18%
Carnival Corporation............ 47,100 $ 2,302
McDonald's Corporation.......... 80,200 2,351
MGM MIRAGE+(+).................. 83,600 5,836
Yum Brands, Incorporated........ 55,500 2,606
--------
TOTAL HOTELS, RESTAURANTS &
LEISURE................... 13,095
--------
HOUSEHOLD DURABLES - 2.62%
Centex Corporation.............. 176,300 10,176
Fortune Brands, Incorporated.... 33,800 2,859
Koninklijke (Royal) Philips
Electronics NV................ 209,966 5,205
Matsushita Electric Industrial
Company Limited, ADR.......... 329,000 4,820
Newell Rubbermaid,
Incorporated(+)............... 126,700 2,753
Pulte Homes, Incorporated....... 44,200 3,158
--------
TOTAL HOUSEHOLD DURABLES.... 28,971
--------
LEISURE EQUIPMENT & PRODUCTS - 0.84%
Eastman Kodak Company(+)........ 155,900 3,898
Mattel, Incorporated............ 300,900 5,431
--------
TOTAL LEISURE EQUIPMENT &
PRODUCTS.................. 9,329
--------
MEDIA - 1.79%
Clear Channel Communications,
Incorporated.................. 172,000 5,494
The Walt Disney Company......... 208,000 5,491
Interpublic Group Companies,
Incorporated+(+).............. 207,300 2,666
Liberty Media Corporation+...... 148,000 6,138
--------
TOTAL MEDIA................. 19,789
--------
MULTILINE RETAIL - 2.16%
Federated Department Stores,
Incorporated.................. 82,000 4,715
May Department Stores Company... 102,000 3,578
J.C. Penney Company,
Incorporated.................. 162,000 7,680
Sears Holdings Corporation+..... 40,133 5,428
Target Corporation.............. 54,400 2,525
--------
TOTAL MULTILINE RETAIL...... 23,926
--------
TEXTILES & APPAREL - 0.21%
Liz Claiborne, Incorporated..... 66,000 2,338
--------
TOTAL TEXTILES & APPAREL.... 2,338
--------
TOTAL CONSUMER
DISCRETIONARY............. 97,448
--------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
CONSUMER STAPLES - 9.45%
FOOD & DRUG RETAILING - 0.89%
Albertson's, Incorporated(+).... 139,500 $ 2,761
Performance Food Group
Company+(+)................... 145,000 3,899
Safeway, Incorporated+.......... 151,000 3,215
--------
TOTAL FOOD & DRUG
RETAILING................. 9,875
--------
FOOD PRODUCTS - 4.56%
Anheuser Busch Companies,
Incorporated.................. 45,600 2,137
Archer-Daniels-Midland Company.. 338,000 6,081
Conagra, Incorporated........... 250,700 6,706
Dean Foods Company+............. 150,100 5,157
Diageo plc, ADR................. 109,000 6,513
General Mills, Incorporated..... 60,700 2,999
Kellogg Company................. 132,000 5,933
Kraft Foods, Incorporated(+).... 140,700 4,560
Sara Lee Company................ 236,228 5,053
Unilever plc, ADR(+)............ 141,200 5,416
--------
TOTAL FOOD PRODUCTS......... 50,555
--------
TOBACCO - 4.00%
Altria Group, Incorporated...... 320,300 20,816
Gallaher Group plc, ADR......... 81,000 5,042
Imperial Tobacco Group plc,
ADR(+)........................ 183,500 10,645
UST, Incorporated............... 170,400 7,804
--------
TOTAL TOBACCO............... 44,307
--------
TOTAL CONSUMER STAPLES...... 104,737
--------
ENERGY - 8.26%
ENERGY EQUIPMENT & SERVICES - 0.86%
American Power Conversion
Company....................... 165,000 4,003
Weatherford International
Limited+...................... 106,800 5,570
--------
TOTAL ENERGY EQUIPMENT &
SERVICES.................. 9,573
--------
OIL & GAS - 7.40%
BP plc, ADR..................... 132,036 8,041
ChevronTexaco Corporation....... 257,962 13,414
ConocoPhillips.................. 282,622 29,633
Devon Energy Corporation........ 140,900 6,364
Kerr-McGee Corporation(+)....... 57,700 4,478
Occidental Petroleum
Corporation................... 184,900 12,758
Petro-Canada.................... 50,300 2,791
Valero Energy Corporation....... 65,700 4,502
--------
TOTAL OIL & GAS............. 81,981
--------
TOTAL ENERGY................ 91,554
--------
FINANCIALS - 26.33%
BANKS - 7.88%
Bank of America Corporation..... 497,442 22,405
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
34
AMERICAN BEACON LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Comerica, Incorporated.......... 41,700 $ 2,388
Fifth Third Bancorp............. 136,500 5,938
KeyCorp Limited................. 148,100 4,911
Mitsubishi Tokyo Financial
Group, Incorporated, ADR(+)... 677,800 5,863
PNC Financial Services Group,
Incorporated.................. 17,200 916
TCF Financial Corporation....... 124,500 3,149
U.S. Bancorp, Incorporated...... 167,460 4,672
UnionBanCal Corporation......... 18,800 1,157
Wachovia Corporation............ 98,200 5,026
Washington Mutual,
Incorporated.................. 427,200 17,652
Wells Fargo & Company........... 221,200 13,259
--------
TOTAL BANKS................. 87,336
--------
DIVERSIFIED FINANCIALS - 8.99%
Bear Stearns Companies,
Incorporated.................. 41,900 3,966
Charles Schwab Corporation...... 595,000 6,158
CIT Group, Incorporated......... 69,500 2,799
Citigroup, Incorporated......... 434,438 20,401
Federal Home Loan Mortgage
Corporation................... 122,400 7,530
Federal National Mortgage
Association................... 67,500 3,642
Goldman Sachs Group,
Incorporated.................. 33,800 3,610
ING Groep NV, ADR............... 219,900 6,027
MBNA Corporation................ 305,500 6,034
Merrill Lynch & Company,
Incorporated.................. 78,500 4,234
JP Morgan Chase & Company....... 486,298 17,259
Morgan Stanley & Company,
Incorporated.................. 92,300 4,857
Principal Financial Group,
Incorporated.................. 127,800 4,994
SLM Corporation................. 168,500 8,027
--------
TOTAL DIVERSIFIED
FINANCIALS................ 99,538
--------
INSURANCE - 8.81%
Ace Limited..................... 116,700 5,013
Allstate Corporation............ 252,028 14,154
American International Group,
Incorporated.................. 154,200 7,841
AON Corporation................. 100,700 2,100
Assurant, Incorporated.......... 81,600 2,700
Chubb Corporation............... 78,300 6,403
Conseco, Incorporated+.......... 128,300 2,468
Hartford Financial Services
Group, Incorporated........... 35,800 2,591
Loews Corporation............... 48,500 3,438
MetLife, Incorporated........... 418,300 16,272
MGIC Investments Corporation.... 68,000 4,012
Prudential Financial,
Incorporated.................. 146,900 8,395
The St. Paul Travelers
Companies, Incorporated....... 285,100 10,207
Wellpoint, Incorporated+........ 62,600 7,997
XL Capital Limited.............. 56,900 4,000
--------
TOTAL INSURANCE............. 97,591
--------
REAL ESTATE - 0.65%
Equity Office Properties
Trust......................... 229,800 7,232
--------
TOTAL REAL ESTATE........... 7,232
--------
TOTAL FINANCIALS............ 291,697
--------
HEALTH CARE - 7.60%
HEALTH CARE EQUIPMENT & SUPPLIES - 1.71%
C. R. Bard, Incorporated........ 99,000 7,046
Baxter International,
Incorporated.................. 322,100 11,950
--------
TOTAL HEALTH CARE EQUIPMENT
& SUPPLIES................ 18,996
--------
HEALTH CARE PROVIDERS & SERVICES - 1.83%
Aetna, Incorporated+............ 37,200 2,729
Cigna Corporation............... 50,400 4,636
HCA, Incorporated............... 111,700 6,237
Health Net, Incorporated+....... 93,800 3,192
Tenet Healthcare
Corporation+(+)............... 288,000 3,447
--------
TOTAL HEALTH CARE PROVIDERS
& SERVICES................ 20,241
--------
PHARMACEUTICALS - 4.06%
Astrazeneca plc, ADR............ 155,100 6,817
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Bristol-Myers Squibb Company.... 343,600 $ 8,934
Merck & Company, Incorporated... 187,500 6,356
Pfizer, Incorporated............ 469,600 12,759
Schering Plough Corporation..... 286,100 5,971
Wyeth........................... 92,200 4,143
--------
TOTAL PHARMACEUTICALS....... 44,980
--------
TOTAL HEALTH CARE........... 84,217
--------
INDUSTRIALS - 11.50%
AEROSPACE & DEFENSE - 4.14%
Boeing Company.................. 298,600 17,773
L3 Communications Holding
Corporation................... 89,700 6,366
Lockheed Martin Corporation..... 120,700 7,357
Raytheon Company................ 152,500 5,736
Textron, Incorporated........... 65,700 4,950
United Technologies
Corporation................... 36,100 3,672
--------
TOTAL AEROSPACE & DEFENSE... 45,854
--------
COMMERCIAL SERVICES & SUPPLIES - 1.57%
Cendant Corporation............. 599,300 11,932
PHH Corporation+................ 12,560 281
Waste Management, Incorporated.. 180,665 5,147
--------
TOTAL COMMERCIAL SERVICES &
SUPPLIES.................. 17,360
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
35
AMERICAN BEACON LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
ELECTRICAL EQUIPMENT - 1.09%
Emerson Electrical Company...... 127,400 $ 7,984
Molex, Incorporated............. 177,500 4,063
--------
TOTAL ELECTRICAL
EQUIPMENT................. 12,047
--------
INDUSTRIAL CONGLOMERATES - 2.39%
General Electric Company........ 134,600 4,873
Honeywell International,
Incorporated.................. 105,400 3,769
Tyco International Limited...... 570,800 17,872
--------
TOTAL INDUSTRIAL
CONGLOMERATES............. 26,514
--------
MACHINERY - 1.14%
Caterpillar, Incorporated....... 46,000 4,050
Deere & Company................. 71,000 4,440
ITT Industries, Incorporated.... 45,200 4,089
--------
TOTAL MACHINERY............. 12,579
--------
TRANSPORTATION - 1.17%
Burlington Northern Santa Fe
Corporation................... 100,100 4,830
CSX Corporation................. 202,800 8,138
--------
TOTAL TRANSPORTATION........ 12,968
--------
TRADING COMPANIES & DISTRIBUTION - 0%
TOTAL TRADING COMPANIES &
DISTRIBUTION.............. --
--------
TOTAL INDUSTRIALS........... 127,322
--------
INFORMATION TECHNOLOGY - 8.54%
COMMUNICATIONS EQUIPMENT - 1.10%
Lucent Technologies,
Incorporated+(+).............. 1,743,000 4,236
Nokia Corporation, ADR.......... 500,200 7,993
--------
TOTAL COMMUNICATIONS
EQUIPMENT................. 12,229
--------
COMPUTERS & PERIPHERALS - 3.12%
Apple Computer, Incorporated+... 203,000 7,320
Hewlett Packard Company......... 507,000 10,378
International Business Machines
Corporation................... 163,400 12,480
NCR Corporation+................ 134,000 4,422
--------
TOTAL COMPUTERS &
PERIPHERALS............... 34,600
--------
IT CONSULTING & SERVICES - 1.48%
Computer Sciences Corporation+.. 77,100 3,352
Electronic Data Systems
Corporation................... 672,500 13,013
--------
TOTAL IT CONSULTING &
SERVICES.................. 16,365
--------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 1.03%
Freescale Semiconductor,
Incorporated+(+).............. 298,300 5,584
Texas Instruments,
Incorporated.................. 235,400 5,876
--------
TOTAL SEMICONDUCTOR
EQUIPMENT & PRODUCTS...... 11,460
--------
SOFTWARE - 1.81%
Autodesk, Incorporated.......... 208,700 6,643
Computer Associates
International, Incorporated... 497,560 13,384
--------
TOTAL SOFTWARE.............. 20,027
--------
TOTAL INFORMATION
TECHNOLOGY................ 94,681
--------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
MATERIALS - 5.00%
CHEMICALS - 2.58%
Air Products & Chemicals,
Incorporated.................. 145,100 $ 8,522
E. I. du Pont de Nemours &
Company....................... 51,300 2,417
Hercules, Incorporated+......... 201,200 2,662
Imperial Chemical Industries
plc, ADR...................... 153,400 2,971
Lyondell Chemical Company(+).... 241,200 6,052
The Mosaic Company+(+).......... 210,700 2,707
PPG Industries, Incorporated.... 48,900 3,303
--------
TOTAL CHEMICALS............. 28,634
--------
METALS & MINING - 0.71%
Alcoa, Incorporated............. 270,568 7,852
--------
TOTAL METALS & MINING....... 7,852
--------
PAPER & FOREST PRODUCTS - 1.71%
International Paper Company..... 108,100 3,707
Sappi Limited, ADR.............. 335,300 3,346
UPM Kymmene Corporation,
ADR(+)........................ 92,600 1,859
Weyerhaeuser Company............ 146,600 10,058
--------
TOTAL PAPER & FOREST
PRODUCTS.................. 18,970
--------
TOTAL MATERIALS............. 55,456
--------
TELECOMMUNICATION SERVICES - 1.83%
DIVERSIFIED TELECOMMUNICATION - 1.27%
Alltel Corporation.............. 20,400 1,162
AT&T Corporation................ 287,000 5,490
BellSouth Corporation........... 78,200 2,072
Verizon Communications,
Incorporated.................. 148,446 5,314
--------
TOTAL DIVERSIFIED
TELECOMMUNICATION......... 14,038
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
36
AMERICAN BEACON LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
WIRELESS TELECOMMUNICATION - 0.56%
Vodafone Group plc, ADR......... 238,700 $ 6,240
--------
TOTAL WIRELESS
TELECOMMUNICATION......... 6,240
--------
TOTAL TELECOMMUNICATION
SERVICES.................. 20,278
--------
UTILITIES - 5.03%
ELECTRIC UTILITIES - 4.27%
American Electric Power Company,
Incorporated(+)............... 259,400 9,136
Centerpoint Energy,
Incorporated(+)............... 231,500 2,741
DTE Energy Company.............. 41,700 1,916
Entergy Corporation............. 143,300 10,504
Exelon Corporation.............. 60,300 2,985
FirstEnergy Corporation......... 122,000 5,309
Florida Power and Light Group,
Incorporated.................. 208,800 8,523
Public Service Enterprise Group,
Incorporated(+)............... 48,400 2,812
Reliant Resources,
Incorporated+................. 112,847 1,148
Teco Energy, Incorporated(+).... 132,900 2,208
--------
TOTAL ELECTRIC UTILITIES.... 47,282
--------
MULTI-UTILITIES - 0.76%
Duke Energy Corporation(+)...... 289,300 8,445
--------
TOTAL MULTI-UTILITIES....... 8,445
--------
TOTAL UTILITIES............. 55,727
--------
TOTAL COMMON STOCK.......... 1,023,117
--------
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- --------
SHORT-TERM INVESTMENTS - 12.68%
U.S. TREASURY BILLS - 0.65%
2.685%, Due 6/9/2005 (Note A)... $ 7,195 $ 7,174
--------
TOTAL U.S. TREASURY BILLS... 7,174
--------
</Table>
<Table>
<Caption>
SHARES
----------
OTHER SHORT-TERM INVESTMENTS - 12.03%
American Beacon Enhanced Cash
Trust (Notes B and C)....... 45,235,937 45,236
American Beacon Money Market
Select Fund (Notes B and
C).......................... 87,956,301 87,956
----------
TOTAL OTHER SHORT-TERM
INVESTMENTS............. 133,192
----------
TOTAL SHORT-TERM
INVESTMENTS............. 140,366
----------
TOTAL INVESTMENTS - 105.02%
(COST $980,198)............. 1,163,483
----------
LIABILITIES, NET OF OTHER
ASSETS - (5.02%)............ (55,659)
----------
TOTAL NET ASSETS - 100%....... $1,107,824
==========
</Table>
FUTURES CONTRACTS
(DOLLARS IN THOUSANDS)
<Table>
<Caption>
UNREALIZED
NO. OF EXPIRATION MARKET APPRECIATION/
ISSUER CONTRACTS DATE VALUE (DEPRECIATION)
- ------ --------- ---------- ------- --------------
S&P 500 Index............................................... 226 June 2005 $65,455 $(2,337)
Emini S&P 500 Index......................................... 269 June 2005 15,582 (575)
------- -------
$81,037 $(2,912)
======= =======
</Table>
- ---------------
(A) At April 30, 2005, security held as collateral for open futures contracts.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of this security is on loan at April 30, 2005. See Note 5.
+- Non-income producing security.
See accompanying notes
- --------------------------------------------------------------------------------
37
AMERICAN BEACON LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 99.62%
CONSUMER DISCRETIONARY - 16.49%
AUTO COMPONENTS - 0.17%
Johnson Controls, Incorporated... 1,400 $ 77
Lear Corporation................. 400 14
--------
TOTAL AUTO COMPONENTS........ 91
--------
AUTOMOBILES - 0.09%
Harley Davidson, Incorporated.... 1,000 47
--------
TOTAL AUTOMOBILES............ 47
--------
HOTELS, RESTAURANTS & LEISURE - 2.26%
Carnival Corporation............. 2,900 142
Hilton Hotels Corporation........ 1,600 35
International Game Technology,
Incorporated................... 5,900 159
Marriott International,
Incorporated................... 2,200 138
McDonald's Corporation........... 6,900 202
MGM MIRAGE+...................... 1,000 70
Polaris Industries,
Incorporated(+)................ 3,700 213
Starbucks Corporation+........... 3,200 158
Yum Brands, Incorporated......... 2,300 108
--------
TOTAL HOTELS, RESTAURANTS &
LEISURE.................... 1,225
--------
HOUSEHOLD DURABLES - 0.08%
Centex Corporation............... 600 35
Lennar Corporation............... 200 10
--------
TOTAL HOUSEHOLD DURABLES..... 45
--------
INTERNET & CATALOG RETAIL - 0.43%
Ebay, Incorporated+.............. 7,400 235
--------
TOTAL INTERNET & CATALOG
RETAIL..................... 235
--------
LEISURE EQUIPMENT & PRODUCTS - 0.14%
Mattel, Incorporated............. 4,300 78
--------
TOTAL LEISURE EQUIPMENT &
PRODUCTS................... 78
--------
MEDIA - 5.70%
The DIRECTV Group,
Incorporated+.................. 2,700 38
The Walt Disney Company.......... 3,000 79
Echostar Communications
Corporation+................... 2,000 58
Gannett Company, Incorporated.... 5,000 385
Harman International Industries,
Incorporated................... 1,400 110
Liberty Media Corporation+....... 50,700 509
Liberty Media International,
Incorporated+.................. 6,300 261
Pixar Animation Studios+......... 600 27
The E. W. Scripps Company........ 4,900 250
Time Warner, Incorporated+....... 43,500 731
Viacom, Incorporated............. 18,388 637
--------
TOTAL MEDIA.................. 3,085
--------
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
MULTILINE RETAIL - 3.11%
Costco Wholesale Corporation..... 2,500 $ 101
Dillard's, Incorporated.......... 20,500 477
Dollar General Corporation....... 2,900 59
Family Dollar Stores,
Incorporated................... 300 8
Kohl's Corporation+.............. 5,100 243
Nordstrom, Incorporated.......... 600 30
Target Corporation............... 6,500 302
Wal-Mart Stores, Incorporated.... 9,800 462
--------
TOTAL MULTILINE RETAIL....... 1,682
--------
SPECIALTY RETAIL - 3.44%
Abercrombie and Fitch Company.... 300 16
AutoNation, Incorporated+........ 13,600 248
Bed Bath & Beyond,
Incorporated+.................. 2,200 82
Circuit City Stores,
Incorporated................... 35,560 562
Foot Locker, Incorporated........ 2,300 61
Home Depot, Incorporated......... 14,200 502
Lowe's Companies, Incorporated... 7,000 365
Petco Animal Supplies,
Incorporated+.................. 700 22
--------
TOTAL SPECIALTY RETAIL....... 1,858
--------
TEXTILES & APPAREL - 1.07%
Coach, Incorporated+............. 2,200 59
Jones Apparel Group,
Incorporated................... 2,900 88
Nike, Incorporated............... 5,600 430
--------
TOTAL TEXTILES & APPAREL..... 577
--------
TOTAL CONSUMER
DISCRETIONARY.............. 8,923
--------
CONSUMER STAPLES - 8.44%
BEVERAGES - 2.32%
Coca-Cola Company................ 20,100 873
Pepsico, Incorporated............ 6,900 384
--------
TOTAL BEVERAGES.............. 1,257
--------
FOOD & DRUG RETAILING - 1.00%
7 Eleven, Incorporated+.......... 6,500 152
CVS Corporation.................. 3,000 155
Sysco Corporation................ 5,100 176
Walgreen Company................. 1,300 56
--------
TOTAL FOOD & DRUG
RETAILING.................. 539
--------
FOOD PRODUCTS - 1.30%
Archer Daniels Midland Company... 6,300 113
Hershey Foods Corporation........ 5,000 320
Tyson Foods, Incorporated........ 15,900 269
--------
TOTAL FOOD PRODUCTS.......... 702
--------
HOUSEHOLD PRODUCTS - 2.40%
Procter & Gamble Company......... 24,000 1,300
--------
TOTAL HOUSEHOLD PRODUCTS..... 1,300
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
38
AMERICAN BEACON LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
PERSONAL PRODUCTS - 0.81%
Gillette Company................. 8,500 $ 439
--------
TOTAL PERSONAL PRODUCTS...... 439
--------
TOBACCO - 0.61%
Altria Group, Incorporated....... 3,500 227
UST, Incorporated................ 2,200 101
--------
TOTAL TOBACCO................ 328
--------
TOTAL CONSUMER STAPLES....... 4,565
--------
ENERGY - 1.82%
ENERGY EQUIPMENT & SERVICES - 0.54%
Baker Hughes, Incorporated....... 2,000 88
Cooper Cameron Corporation+...... 1,600 88
Pride International,
Incorporated+.................. 3,900 87
Rowan Companies, Incorporated+... 1,100 29
--------
TOTAL ENERGY EQUIPMENT &
SERVICES................... 292
--------
OIL & GAS - 1.28%
Anadarko Petroleum Corporation... 100 8
Burlington Resources,
Incorporated................... 11,300 549
Occidental Petroleum
Corporation.................... 200 14
Unocal Corporation............... 2,200 120
--------
TOTAL OIL & GAS.............. 691
--------
TOTAL ENERGY................. 983
--------
FINANCIALS - 11.27%
BANKS - 1.82%
Bank of America Corporation...... 12,600 568
North Fork Bancorporation,
Incorporated................... 4,100 115
U.S. Bancorp, Incorporated....... 10,600 296
Washington Mutual, Incorporated.. 100 4
--------
TOTAL BANKS.................. 983
--------
DIVERSIFIED FINANCIALS - 3.76%
Charles Schwab Corporation....... 11,600 120
CIT Group, Incorporated.......... 800 32
Citigroup, Incorporated.......... 6,100 286
Countrywide Financial
Corporation.................... 4,800 174
Doral Financial Corporation...... 2,300 32
Federal Home Loan Mortgage
Corporation.................... 2,400 148
First Data Corporation........... 4,900 186
MBNA Corporation................. 8,000 158
Moody's Corporation.............. 6,900 567
Morgan Stanley & Company,
Incorporated................... 3,400 179
Providian Financial
Corporation+................... 3,900 65
State Street Corporation......... 1,900 88
--------
TOTAL DIVERSIFIED
FINANCIALS................. 2,035
--------
INSURANCE - 5.49%
AFLAC, Incorporated.............. 3,700 150
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
Alleghany Corporation+........... 306 $ 83
Ambac Financial Group,
Incorporated................... 4,200 281
W. R. Berkley Corporation........ 11,100 361
Genworth Financial,
Incorporated................... 200 6
Hartford Financial Services
Group, Incorporated............ 2,100 152
Loews Corporation................ 7,900 560
MBIA, Incorporated............... 4,800 251
The Progressive Corporation...... 900 82
Prudential Financial,
Incorporated................... 10,000 571
WellPoint, Incorporated+......... 3,700 473
--------
TOTAL INSURANCE.............. 2,970
--------
REAL ESTATE - 0.20%
CarrAmerica Realty Corporation... 900 30
Kimco Realty Corporation......... 500 27
Mack-Cali Realty Corporation..... 300 13
Regency Centers Corporation...... 700 37
--------
TOTAL REAL ESTATE............ 107
--------
TOTAL FINANCIALS............. 6,095
--------
HEALTH CARE - 25.47%
BIOTECHNOLOGY - 4.15%
Amgen, Incorporated+............. 25,200 1,467
Biogen Idec, Incorporated+....... 2,700 98
Gen-Probe, Incorporated+......... 1,500 75
Gilead Sciences, Incorporated+... 12,500 464
ImClone Systems, Incorporated+... 4,400 140
--------
TOTAL BIOTECHNOLOGY.......... 2,244
--------
HEALTH CARE EQUIPMENT & SUPPLIES - 2.98%
Bausch & Lomb, Incorporated...... 2,700 202
Baxter International,
Incorporated................... 100 4
Biomet, Incorporated............. 1,200 46
Boston Scientific Corporation+... 12,600 373
Guidant Corporation.............. 4,000 296
Medtronic, Incorporated.......... 8,200 432
Zimmer Holdings, Incorporated+... 3,200 261
--------
TOTAL HEALTH CARE EQUIPMENT &
SUPPLIES................... 1,614
--------
HEALTH CARE PROVIDERS & SERVICES - 3.67%
Aetna, Incorporated+............. 9,300 682
Becton Dickinson and Company..... 10,500 614
Cardinal Health, Incorporated.... 1,000 56
HCA, Incorporated................ 700 39
McKesson Corporation............. 12,500 463
Pharmaceutical Product
Development, Incorporated+..... 600 27
UnitedHealth Group,
Incorporated+.................. 1,100 104
--------
TOTAL HEALTH CARE PROVIDERS &
SERVICES................... 1,985
--------
PHARMACEUTICALS - 14.67%
Abbott Laboratories.............. 9,500 467
Allergan, Incorporated........... 5,200 366
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
39
AMERICAN BEACON LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
Eli Lilly & Company.............. 10,000 $ 585
Forest Laboratories,
Incorporated+.................. 9,500 339
Johnson & Johnson................ 45,800 3,143
OSI Pharmaceuticals,
Incorporated+.................. 4,200 199
Pfizer, Incorporated............. 85,960 2,336
Schering Plough Corporation...... 2,000 42
Sepracor, Incorporated+.......... 5,100 305
Watson Pharmaceuticals,
Incorporated+.................. 200 6
Wyeth............................ 3,300 148
--------
TOTAL PHARMACEUTICALS........ 7,936
--------
TOTAL HEALTH CARE............ 13,779
--------
INDUSTRIALS - 8.82%
AEROSPACE & DEFENSE - 1.30%
Boeing Company................... 4,300 256
Lockheed Martin Corporation...... 2,300 140
Northrop Grumman Corporation..... 2,000 110
Raytheon Company................. 700 26
United Technologies Corporation.. 1,700 173
--------
TOTAL AEROSPACE & DEFENSE.... 705
--------
COMMERCIAL SERVICES & SUPPLIES - 1.91%
Automatic Data Processing,
Incorporated................... 800 35
Cendant Corporation.............. 26,600 529
Staples, Incorporated............ 12,000 229
United Parcel Service,
Incorporated................... 3,000 214
West Corporation+................ 800 26
--------
TOTAL COMMERCIAL SERVICES &
SUPPLIES................... 1,033
--------
ELECTRICAL EQUIPMENT - 1.91%
Emerson Electric Company......... 1,300 81
Energizer Holdings,
Incorporated+.................. 9,600 547
Rockwell Automation,
Incorporated................... 8,800 407
--------
TOTAL ELECTRICAL EQUIPMENT... 1,035
--------
INDUSTRIAL CONGLOMERATES - 2.28%
3M Company....................... 5,500 420
General Electric Company......... 9,300 337
Reynolds American, Incorporated.. 1,600 125
Tyco International Limited....... 11,200 351
--------
TOTAL INDUSTRIAL
CONGLOMERATES.............. 1,233
--------
MACHINERY - 0.64%
Caterpillar, Incorporated........ 1,000 88
Deere and Company................ 1,900 119
Eaton Corporation................ 2,400 141
--------
TOTAL MACHINERY.............. 348
--------
TRANSPORTATION - 0.78%
Burlington Northern Santa Fe
Corporation.................... 1,400 67
J.B. Hunt Transportation
Services, Incorporated......... 9,000 352
--------
TOTAL TRANSPORTATION......... 419
--------
TOTAL INDUSTRIALS............ 4,773
--------
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
INFORMATION TECHNOLOGY - 24.23%
COMMUNICATIONS EQUIPMENT - 4.93%
Cisco Systems, Incorporated+..... 43,100 $ 745
Corning, Incorporated+........... 21,800 300
Juniper Networks,
Incorporated+.................. 11,000 248
Motorola, Incorporated........... 15,000 230
Qualcomm, Incorporated........... 32,700 1,141
--------
TOTAL COMMUNICATIONS
EQUIPMENT.................. 2,664
--------
COMPUTERS & PERIPHERALS - 4.18%
Apple Computer, Incorporated+.... 15,500 559
Dell, Incorporated+.............. 7,300 254
EMC Corporation+................. 33,500 440
International Business Machines
Corporation.................... 6,000 458
Lexmark International,
Incorporated+.................. 1,400 97
NCR Corporation+................. 9,400 310
Western Digital Corporation+..... 11,400 145
--------
TOTAL COMPUTERS &
PERIPHERALS................ 2,263
--------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.32%
Broadcom Corporation+............ 1,000 30
Ingram Micro, Incorporated+...... 7,900 132
Intersil Corporation............. 700 12
--------
TOTAL ELECTRONIC EQUIPMENT &
INSTRUMENTS................ 174
--------
INTERNET SOFTWARE & SERVICES - 1.74%
Electronic Arts, Incorporated+... 1,600 85
Mercury Interactive
Corporation+................... 300 12
Symantec Corporation+............ 6,200 117
Yahoo, Incorporated+............. 21,000 725
--------
TOTAL INTERNET SOFTWARE &
SERVICES................... 939
--------
IT CONSULTING & SERVICES - 1.13%
Acxiom Corporation............... 5,500 105
Affiliated Computer Services,
Incorporated+.................. 2,400 114
Cognizant Technology Solutions
Corporation+................... 2,200 92
Computer Sciences Corporation+... 6,200 270
SunGard Data Systems,
Incorporated+.................. 900 30
--------
TOTAL IT CONSULTING &
SERVICES................... 611
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
40
AMERICAN BEACON LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 5.00%
Advanced Micro Devices,
Incorporated+.................. 33,400 $ 475
Altera Corporation+.............. 9,100 189
Analog Devices, Incorporated..... 14,400 491
Freescale Semiconductor,
Incorporated, B Shares+........ 4,681 88
Intel Corporation................ 45,400 1,068
Linear Technology Corporation.... 2,700 97
Maxim Integrated Products,
Incorporated................... 1,600 60
Novellus Systems,
Incorporated+.................. 4,000 94
Xilinx, Incorporated............. 5,400 145
--------
TOTAL SEMICONDUCTOR EQUIPMENT
& PRODUCTS................. 2,707
--------
SOFTWARE - 6.93%
Autodesk, Incorporated........... 18,300 582
Microsoft Corporation............ 105,400 2,667
Oracle Corporation+.............. 39,800 460
VERITAS Software Corporation+.... 1,800 37
--------
TOTAL SOFTWARE............... 3,746
--------
TOTAL INFORMATION
TECHNOLOGY................. 13,104
--------
MATERIALS - 0.93%
CHEMICALS - 0.30%
Monsanto Company................. 1,700 100
Praxair, Incorporated............ 1,300 61
--------
TOTAL CHEMICALS................ 161
--------
METALS & MINING - 0.63%
Alcoa, Incorporated.............. 3,000 87
Newmont Mining Corporation....... 700 27
Nucor Corporation................ 2,200 112
United States Steel
Corporation.................... 2,700 115
--------
TOTAL METALS & MINING........ 341
--------
TOTAL MATERIALS.............. 502
--------
TELECOMMUNICATION SERVICES - 1.03%
DIVERSIFIED TELECOMMUNICATION - 0.22%
ALLTEL Corporation............... 600 34
CenturyTel, Incorporated......... 1,800 55
SpectraSite, Incorporated+....... 200 11
Verizon Communications,
Incorporated................... 500 18
--------
TOTAL DIVERSIFIED
TELECOMMUNICATION.......... 118
--------
WIRELESS TELECOMMUNICATION SERVICE - 0.81%
American Tower Corporation+...... 1,600 28
Nextel Communications,
Incorporated+.................. 6,600 185
Sprint Corporation............... 10,100 225
--------
TOTAL WIRELESS
TELECOMMUNICATION
SERVICE.................... 438
--------
TOTAL TELECOMMUNICATION
SERVICES................... 556
--------
</Table>
<Table>
<Caption>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
UTILITIES - 1.12%
ELECTRIC UTILITIES - 0.87%
CMS Energy Corporation+.......... 2,600 $ 34
PG&E Corporation................. 12,100 420
Pinnacle West Capital
Corporation.................... 400 17
TOTAL ELECTRIC UTILITIES..... 471
--------
WATER UTILITIES - 0.25%
Nalco Holding Company+........... 7,400 133
--------
TOTAL WATER UTILITIES........ 133
--------
TOTAL UTILITIES.............. 604
--------
TOTAL COMMON STOCK........... 53,884
--------
<Caption>
PAR
AMOUNT
----------
SHORT-TERM INVESTMENTS - 0.93%
U.S. TREASURY NOTES - 0.08%
1.625%, Due 2/28/2006 (Note A)... $ 45 44
--------
TOTAL U.S. TREASURY BILLS.... 44
--------
<Caption>
SHARES
----------
OTHER SHORT-TERM INVESTMENTS - 0.85%
American Beacon Enhanced Cash
Trust (Notes B and C).......... 181,389 181
American Beacon Money Market
Select Fund (Notes B and C).... 236,076 236
iShares Russell 1000 Growth Index
Fund........................... 910 42
--------
TOTAL OTHER SHORT-TERM
INVESTMENTS................ 459
--------
TOTAL SHORT-TERM
INVESTMENTS................ 503
--------
TOTAL INVESTMENTS - 100.55% (COST
$53,098)....................... 54,387
--------
LIABILITIES, NET OF OTHER
ASSETS - (0.55%)............... (299)
--------
TOTAL NET ASSETS - 100%.......... $ 54,088
========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
41
AMERICAN BEACON LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
(DOLLARS IN THOUSANDS)
<Table>
<Caption>
UNREALIZED
NO. OF EXPIRATION MARKET APPRECIATION/
ISSUER CONTRACTS DATE VALUE (DEPRECIATION)
- ------ --------- ---------- ------ --------------
Emini S&P 500 Index......................................... 5 June 2005 $290 $(3)
---- ---
$290 $(3)
==== ===
</Table>
- ---------------
(A) At April 30, 2005, security held as collateral for open futures contracts.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of this security is on loan at April 30, 2005. See Note 5.
+- Non-income producing security.
See accompanying notes
- --------------------------------------------------------------------------------
42
AMERICAN BEACON MID-CAP VALUE FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 90.79%
CONSUMER DISCRETIONARY - 21.74%
AUTO COMPONENTS - 5.83%
Advance Auto Parts,
Incorporated+................. 6,400 $ 341
Genuine Parts Company........... 6,300 270
Goodrich Corporation............ 10,600 427
Lear Corporation................ 16,600 563
--------
TOTAL AUTO COMPONENTS....... 1,601
--------
AUTOMOBILES - 0.68%
Winnebago Industries,
Incorporated(+)............... 6,400 186
--------
TOTAL AUTOMOBILES........... 186
--------
HOTELS RESTAURANTS & LEISURE - 4.41%
GTECH Holdings Corporation...... 2,900 71
Hasbro, Incorporated............ 20,550 389
Mattel, Incorporated............ 11,200 202
Royal Caribbean Cruises,
Limited(+).................... 8,100 340
Wendy's International,
Incorporated.................. 4,900 210
--------
TOTAL HOTELS RESTAURANTS &
LEISURE................... 1,212
--------
HOUSEHOLD DURABLES - 3.13%
Stanley Works................... 9,100 392
Whirlpool Corporation........... 7,550 469
--------
TOTAL HOUSEHOLD DURABLES.... 861
--------
LEISURE EQUIPMENT & PRODUCTS - 0.69%
Brunswick Corporation........... 4,500 189
--------
TOTAL LEISURE EQUIPMENT &
PRODUCTS.................. 189
--------
MEDIA - 1.10%
Dex Media, Incorporated......... 13,850 303
--------
TOTAL MEDIA................. 303
--------
MULTILINE RETAIL - 2.42%
Dollar General Corporation...... 19,500 397
Family Dollar Stores,
Incorporated.................. 10,000 270
--------
TOTAL MULTILINE RETAIL...... 667
--------
SPECIALTY RETAIL - 3.48%
AutoZone, Incorporated+......... 3,025 251
Rent-A-Center, Incorporated+.... 14,975 360
The TJX Companies,
Incorporated.................. 15,225 345
--------
TOTAL SPECIALTY RETAIL...... 956
--------
TOTAL CONSUMER
DISCRETIONARY............. 5,975
--------
CONSUMER STAPLES - 6.05%
FOOD PRODUCTS - 2.79%
Dean Foods Company+............. 11,400 392
Del Monte Foods Company+........ 35,925 375
--------
TOTAL FOOD PRODUCTS......... 767
--------
PERSONAL PRODUCTS - 0.91%
NBTY, Incorporated+............. 11,700 249
--------
TOTAL PERSONAL PRODUCTS..... 249
--------
TOBACCO - 2.35%
Universal Corporation........... 5,525 252
UST, Incorporated............... 8,600 394
--------
TOTAL TOBACCO............... 646
--------
TOTAL CONSUMER STAPLES...... 1,662
--------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
ENERGY - 1.83%
Marathon Oil Corporation........ 10,800 $ 503
--------
TOTAL ENERGY................ 503
--------
FINANCIALS - 26.26%
BANKS - 3.94%
Peoples Bank (+)................ 10,100 419
South Financial Group,
Incorporated.................. 14,100 372
TCF Financial Corporation....... 11,500 291
--------
TOTAL BANKS................. 1,082
--------
DIVERSIFIED FINANCIALS - 2.22%
CIT Group, Incorporated......... 8,950 361
Janus Capital Group,
Incorporated.................. 19,250 250
--------
TOTAL DIVERSIFIED
FINANCIALS................ 611
--------
INSURANCE - 17.57%
AON Corporation................. 12,625 263
Axis Capital Holdings Limited... 4,800 128
Delphi Financial Group,
Incorporated.................. 5,875 244
First American Corporation...... 8,325 298
IPC Holdings Limited............ 6,000 226
Loews Corporation............... 23,700 747
Old Republic International
Corporation................... 14,650 346
Protective Life Corporation..... 6,250 239
Radian Group, Incorporated...... 8,300 369
RenaissanceRe Holdings Limited.. 5,175 232
Torchmark, Incorporated......... 8,525 455
Wellchoice, Incorporated+....... 7,700 433
Willis Group Holdings Limited
(+)........................... 11,000 368
XL Capital Limited.............. 6,875 483
--------
TOTAL INSURANCE............. 4,831
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
43
AMERICAN BEACON MID-CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
REAL ESTATE - 2.53%
American Financial Realty
Trust......................... 24,800 $ 380
Equity Office Properties
Trust......................... 10,000 315
--------
TOTAL REAL ESTATE........... 695
--------
TOTAL FINANCIALS............ 7,219
--------
HEALTH CARE - 8.24%
HEALTH CARE PROVIDERS & SERVICES - 5.76%
Cigna Corporation............... 4,575 421
Health Net, Incorporated+....... 15,800 538
Triad Hospitals,
Incorporated+................. 8,000 410
Universal Health Services,
Incorporated.................. 3,800 216
--------
TOTAL HEALTH CARE PROVIDERS
& SERVICES................ 1,585
--------
PHARMACEUTICALS - 2.48%
McKesson Corporation............ 11,275 417
Valeant Pharmaceuticals
International(+).............. 12,700 264
--------
TOTAL PHARMACEUTICALS....... 681
--------
TOTAL HEALTH CARE........... 2,266
--------
INDUSTRIALS - 15.55%
AEROSPACE & DEFENSE - 0.77%
Precision Castparts
Corporation................... 2,875 212
--------
TOTAL AEROSPACE & DEFENSE... 212
--------
BUILDING PRODUCTS - 0.91%
York International
Corporation................... 6,375 249
--------
TOTAL BUILDING PRODUCTS..... 249
--------
COMMERCIAL SERVICES & SUPPLIES - 6.89%
Hillenbrand Industries,
Incorporated.................. 5,600 309
MoneyGram International,
Incorporated.................. 17,375 337
Service Corporation
International+................ 16,900 119
United Stationers,
Incorporated+................. 7,800 329
Valassis Communications,
Incorporated+................. 11,100 391
Weight Watchers International,
Incorporated+(+).............. 9,800 409
--------
TOTAL COMMERCIAL SERVICES &
SUPPLIES.................. 1,894
--------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.62%
American Power Conversion
Corporation................... 18,400 446
--------
TOTAL ELECTRONIC EQUIPMENT &
INSTRUMENTS............... 446
--------
INDUSTRIAL CONGLOMERATES - 1.47%
Reynolds American,
Incorporated(+)............... 5,200 405
--------
TOTAL INDUSTRIAL
CONGLOMERATES............. 405
--------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
MACHINERY - 3.03%
ITT Industries, Incorporated.... 2,700 $ 244
Kennametal, Incorporated........ 8,475 384
Trinity Industries,
Incorporated(+)............... 8,825 206
--------
TOTAL MACHINERY............. 834
--------
TRANSPORTATION - 0.86%
Ryder Systems, Incorporated..... 6,400 236
--------
TOTAL TRANSPORTATION........ 236
--------
TOTAL INDUSTRIALS........... 4,276
--------
INFORMATION TECHNOLOGY - 1.15%
BearingPoint, Incorporated+(+).. 51,175 317
--------
TOTAL INFORMATION
TECHNOLOGY................ 317
--------
MATERIALS - 2.77%
CHEMICALS - 1.92%
Ashland, Incorporated........... 4,500 303
FMC Corporation+................ 4,625 227
--------
TOTAL CHEMICALS............. 530
--------
CONSTRUCTION MATERIALS - 0.85%
Lafarge North America,
Incorporated.................. 4,200 233
--------
TOTAL CONSTRUCTION
MATERIALS................. 233
--------
TOTAL MATERIALS............. 763
--------
UTILITIES - 7.20%
CenterPoint Energy,
Incorporated(+)............... 13,900 164
Entergy Corporation............. 4,800 352
FirstEnergy Corporation......... 6,900 300
Pinnacle West Capital
Corporation................... 9,400 394
Wisconsin Energy Corporation.... 14,200 501
Xcel Energy, Incorporated....... 15,700 270
--------
TOTAL UTILITIES............. 1,981
--------
TOTAL COMMON STOCK.......... 24,962
--------
</Table>
<Table>
<Caption>
PAR
AMOUNT
----------
SHORT-TERM INVESTMENTS - 21.74%
U.S. TREASURY BILLS - 1.12%
2.685%, Due 6/9/2005 (Note A)... $ 310 309
--------
TOTAL U. S. TREASURY
BILLS..................... 309
--------
</Table>
<Table>
<Caption>
SHARES
----------
OTHER SHORT-TERM INVESTMENTS - 20.62%
American Beacon Enhanced Cash
Trust (Notes B and C)......... 1,684,040 1,684
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
44
AMERICAN BEACON MID-CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
American Beacon Money Market
Select Fund (Notes B and C)... 3,986,213 $ 3,986
--------
TOTAL OTHER SHORT-TERM
INVESTMENTS............... 5,670
--------
TOTAL SHORT-TERM
INVESTMENTS............... 5,979
--------
TOTAL INVESTMENTS - 112.53%
(COST $30,889)................ 30,941
--------
LIABILITIES, NET OF OTHER
ASSETS - (12.53%)............. (3,446)
--------
TOTAL NET ASSETS - 100%......... $ 27,495
========
</Table>
FUTURES CONTRACTS
(DOLLARS IN THOUSANDS)
<Table>
<Caption>
UNREALIZED
NO. OF EXPIRATION MARKET APPRECIATION/
ISSUER CONTRACTS DATE VALUE (DEPRECIATION)
- ------ --------- ---------- ------ --------------
S&P MidCap 400 Index........................................ 2 June 2005 $ 634 $ (27)
Emini S&P MidCap 400 Index.................................. 40 June 2005 2,537 (84)
------ -----
$3,171 $(111)
====== =====
</Table>
- ---------------
(A) At April 30, 2005, security held as collateral for open futures contracts.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of this security is on loan at April 30, 2005. See Note 5.
+- Non-income producing security.
See accompanying notes
- --------------------------------------------------------------------------------
45
AMERICAN BEACON EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
STOCKS - 98.06%
AUSTRIA COMMON STOCK - 0.09%
Raiffeisen International
Bank-Holding AG+............. 1,800 $ 93
--------
TOTAL AUSTRIA COMMON
STOCK.................... 93
--------
BRAZIL - 10.70%
BRAZIL PREFERRED STOCK - 7.19%
All America Latina Logistica
S.A. ........................ 4,100 118
Banco Bradesco S.A. ........... 12,252 377
Banco Bradesco S.A., ADR+(+)... 12,971 401
Banco Itau Holding Financeira
S.A. ........................ 800 140
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Banco Itau Holding Financeira
S.A., ADR+(+)................ 9,416 $ 806
Brasil Telecom Participacoes
S.A., ADR(+)................. 10,000 327
Braskem S.A.+.................. 2,111,000 83
Braskem S.A., ADR+............. 2,200 86
Companhia de Tecidos Norte de
Minas+....................... 2,990,500 253
Companhia Energetica de Minas
Gerais+...................... 15,400,210 432
Companhia Paranaense de
Energia+..................... 63,728,300 334
Companhia Vale do Rio Doce+.... 1,876 43
Companhia Vale do Rio Doce,
ADR(+)....................... 43,264 1,004
Duratex S.A.+.................. 3,641,700 170
Embratel Participacoes S.A.+... 122,985,370 202
Empresa Brasileira de
Aeronautica S.A. (Embraer),
ADR+(+)...................... 14,540 419
Gerdau S.A.+................... 7,500 74
Petrol Brasileiro S.A.,+....... 865 32
Petroleo Brasileiro S.A.,
ADR.......................... 20,716 761
Telecomunicacoes Brasileiras
S.A., ADR(+)................. 10,310 289
Telemar Norte Leste S.A. ...... 5,800 127
Telemig Celular Participacoes
S.A.+........................ 140,316,900 225
Telemig Celular Participacoes
S.A., rights................. 1,544,889 --
Telesp Celular Participacoes
S.A.+........................ 133,746,308 285
Telesp - Telecommunicacoes de
Sao Paulo S.A.+.............. 9,274,800 176
TIM Participacoes S.A.,
ADR+(+)...................... 4,866 73
Unibanco - Uniao de Bancos
Brasileiros S.A.+............ 7,689 51
--------
TOTAL BRAZIL PREFERRED
STOCK.................... 7,288
--------
BRAZIL COMMON STOCK - 3.51%
CPFL Energia S.A.+............. 15,000 120
Companhia de Saneamento Basico
do Estado de Sao Paulo+...... 5,558,100 289
Companhia de Saneamento Basico
do Estado de Sao Paulo,
ADR+(+)...................... 9,800 127
Companhia Energetica de Minas
Gerais, ADR+................. 2,800 78
Companhia Paranaense de
Energia+..................... 5,015,000 21
Companhia Siderurgica Nacional
S.A. ........................ 1,000 22
Companhia Siderurgica Nacional
S.A., ADR(+)................. 10,700 234
Companhia Vale do Rio Doce,
ADR.......................... 6,200 167
Gerdau S.A., ADR............... 9,150 89
Grendene S.A.+................. 30,300 204
Natura Cosmeticos S.A. ........ 2,180 66
Petroleo Brasileiro S.A.,
ADR.......................... 47,602 1,996
Unibanco - Uniao de Bancos
Brasileiros S.A., GDR+....... 4,415 147
--------
TOTAL BRAZIL COMMON
STOCK.................... 3,560
--------
TOTAL BRAZIL............... 10,848
--------
CHILE COMMON STOCK - 0.74%
Banco Santander-Chile S.A.,
ADR.......................... 5,900 185
Grupo Enersis SA, ADR.......... 65,140 566
--------
TOTAL CHILE COMMON STOCK... 751
--------
CHINA COMMON STOCK - 2.47%
China Mobile (Hong Kong)
Limited...................... 395,100 1,379
China Mobile (Hong Kong)
Limited, ADR(+).............. 6,200 111
China Petroleum & Chemical
Corporation.................. 932,000 368
China Petroleum & Chemical
Corporation, ADR............. 1,400 55
China Resource Power Holdings
Company Limited(+)........... 296,000 164
China Telecom Corporation
Limited...................... 671,600 229
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
46
AMERICAN BEACON EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Chunghwa Telecom Company
Limited, ADR................. 700 $ 14
TPV Technology Limited......... 301,000 184
--------
TOTAL CHINA COMMON STOCK... 2,504
--------
EGYPT COMMON STOCK - 1.60%
Commercial International Bank,
GDR, 144A (Note A)........... 19,200 151
Eastern Tobacco Company........ 10,626 332
Egyptian Company for Mobile
Services (MobiNil)+.......... 22,303 730
Orascom Construction Industries
S.A.E........................ 18,126 413
--------
TOTAL EGYPT COMMON STOCK... 1,626
--------
HONG KONG COMMON STOCK - 4.35%
Asia Aluminum Holdings
Limited...................... 1,200,000 139
Beijing Enterprises Holdings... 62,000 81
Brilliance China Automotive
Holdings Limited(+).......... 646,000 110
China Lee Insurance Company
Limited+..................... 302,000 199
China Ping'an Insurance Company
Limited+..................... 126,000 193
China Resources Enterprises
Limited(+)................... 251,900 357
Denway Motors Limited(+)....... 967,600 338
Fountain Set (Holdings)
Limited...................... 201,000 120
Foxconn International Holdings
Limited+..................... 152,000 92
Global Bio-chem Technology
Group Company Limited........ 252,000 165
Gome Electrical Appliances
Holdings Limited............. 177,000 173
The Grande Holdings Limited.... 91,000 86
Hainan Meilan Airport Company
Limited...................... 89,000 52
Hopewell Highway Infrastructure
Limited...................... 199,000 139
Huaneng Power International,
Incorporated(+).............. 175,000 133
Kingboard Chemical Holdings
Limited...................... 76,000 226
Lianhua Supermarket Holdings
Company Limited+............. 90,000 98
Moulin International Holdings
Limited(+)................... 96,000 62
Norstar Founders(+)............ 206,000 48
Panva Gas Holdings Limited+.... 157,000 65
Shandong International Power
Development Company
Limited+..................... 1,695,800 525
Shanghai Industrial Holdings
Limited...................... 160,500 329
Shougang Concord Century
Holdings Limited............. 537,000 44
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Sinopec Yizheng Chemical Fibre
Company Limited.............. 1,067,500 $ 187
Sinotrans Limited(+)........... 566,000 168
Victory City International
Holdings Limited............. 169,000 54
Wumart Stores, Incorporated.... 37,000 59
Yanzhou Coal Mining Company
Limited(+)................... 122,000 168
--------
TOTAL HONG KONG COMMON
STOCK.................... 4,410
--------
HUNGARY COMMON STOCK - 0.84%
Gedeon Richter Rt.............. 3,001 364
Magyar Tavkozlesi Rt........... 110,100 484
--------
TOTAL HUNGARY COMMON STOCK... 848
--------
INDIA COMMON STOCK - 7.55%
ABB Limited.................... 6,000 166
Aventis Pharma Limited......... 4,000 110
Bharat Electronics Limited+.... 20,000 364
Bharat Petroleum Corporation
Limited...................... 48,433 386
CIPLA.......................... 21,250 129
Container Corporation.......... 6,500 130
Doctor Reddy's Laboratories
Limited...................... 5,700 84
Doctor Reddy's Laboratories
Limited, ADR................. 23,700 359
GAIL (India) Limited........... 21,900 103
GAIL (India) Limited, GDR, 144A
(Note A)..................... 9,000 255
GlaxoSmithKline Pharmaceutical
Limited...................... 7,500 123
Gujarat Ambuja Cements Limited,
GDR.......................... 13,500 129
HDFC Bank Limited.............. 10,500 130
Hero Honda Motors Limited...... 17,200 199
Hindalco Industries Limited.... 4,000 109
Hindalco Industries Limited,
GDR, 144A (Note A)........... 17,100 470
Hindustan Lever Limited........ 134,698 426
Housing Development Finance
Corporation Limited.......... 11,200 188
ICICI Bank Limited+............ 19,199 159
Industrial Development Bank of
India Limited................ 34,000 63
Infosys Technologies Limited... 6,500 283
ITC Limited.................... 2,600 86
ITC Limited, GDR............... 1,500 48
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
47
AMERICAN BEACON EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Mahanagar Telephone Nigam
Limited...................... 260,370 $ 696
Mahindra & Mahindra Limited.... 14,000 143
Oil and Natural Gas Corporation
Limited...................... 30,724 573
Reliance Industries Limited.... 80,600 978
Siemens India Limited.......... 1,800 76
State Bank of India, GDR, 144A
(Note A)..................... 11,800 423
Steel Authority of India
Limited+..................... 41,000 50
UTI Bank Limited............... 7,000 37
UTI Bank Limited, GDR, 144A
(Note A)..................... 14,000 70
Wipro Limited.................. 7,000 102
--------
TOTAL INDIA COMMON STOCK... 7,647
--------
INDONESIA COMMON STOCK - 2.20%
Bank Central Asia.............. 574,500 185
Bumi Resources Tbk+............ 1,372,000 109
Hindustan Petroleum Corporation
Limited...................... 67,400 469
PT Bank Mandiri................ 989,500 166
PT Bank Rakyat Indonesia....... 697,500 196
PT Gudang Garam Tbk............ 283,500 448
PT Indocement Tunggal Prakarsa
Tbk+......................... 220,500 61
PT Indofood Sukses Makmur
Tbk.......................... 2,378,800 254
PT Telekomunikasi Indonesia
Tbk.......................... 772,000 346
--------
TOTAL INDONESIA COMMON
STOCK.................... 2,234
--------
ISRAEL COMMON STOCK - 0.85%
Bank Hapoalim Limited.......... 40,480 139
Bank Leumi le-Israel B.M....... 45,000 127
Check Point Software
Technologies+................ 19,490 408
Supersol Limited............... 68,500 185
--------
TOTAL ISRAEL COMMON
STOCK.................... 859
--------
MALAYSIA COMMON STOCK - 3.28%
Bandar Raya Developments
Berhad....................... 148,000 74
Commerce Asset-Holding
Berhad....................... 290,600 343
Gamuda Berhad.................. 298,500 365
Genting Berhad................. 103,100 500
Kuala Lumpur Kepong Berhad..... 96,400 165
Magnum Corporation Berhad...... 172,000 94
MK Land Holdings Berhad........ 295,300 105
Proton Holdings Berhad+........ 65,500 135
Resorts World Berhad........... 119,900 302
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Road Builder(M) Holdings
Berhad....................... 144,000 $ 103
Sime Darby Berhad.............. 364,700 567
SP Setia Berhad................ 113,499 120
Tenaga Nasional Berhad......... 99,000 276
YTL Corporation Berhad......... 127,600 180
--------
TOTAL MALAYSIA COMMON
STOCK.................... 3,329
--------
MEXICO COMMON STOCK - 7.96%
America Movil, S.A. de C.V.,
ADR.......................... 30,155 1,497
Cemex, S.A. de C.V. ........... 35,047 253
Coca-Cola Femsa, S.A. de C.V.,
ADR(+)....................... 30,575 698
Consorcio Ara, S.A. de C.V. ... 5,100 16
Controladora Commercial
Mexicana, S.A. de C.V.+...... 397,700 417
Desc, S.A. de C.V. ............ 525,500 133
Empresas ICA Sociedad
Controladora, S.A. de
C.V.+........................ 189,500 70
Empresas ICA Sociedad
Controladora, S.A. de C.V.,
ADR+(+)...................... 10,800 24
Fomento Economico Mexicano,
S.A. de C.V., ADR............ 3,600 184
Grupo Continential, S.A. ...... 141,750 263
Grupo Financiero Banorte, S.A.
de C.V. ..................... 27,280 176
Grupo Televisa, S.A., ADR...... 18,900 1,062
Kimberly-Clark de Mexico, S.A.
de C.V. ..................... 207,920 592
Telefonos de Mexico, S.A. de
C.V., ADR.................... 37,190 1,261
Wal-Mart de Mexico, S.A. de
C.V.+........................ 341,529 1,266
Wal-Mart de Mexico, S.A. de
C.V., ADR.................... 4,126 153
--------
TOTAL MEXICO COMMON
STOCK.................... 8,065
--------
MOROCCO COMMON STOCK - 0.17%
Banque Maroc du Commerce
Exterieur+................... 2,700 168
--------
TOTAL MOROCCO COMMON
STOCK.................... 168
--------
PHILIPPINES COMMON STOCK - 0.41%
ABS-CBN Broadcasting
Corporation+................. 261,800 63
Bank of the Philippine
Islands...................... 268,036 238
Manila Electric Company+....... 279,400 115
--------
TOTAL PHILIPPINES COMMON
STOCK.................... 416
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
48
AMERICAN BEACON EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
POLAND COMMON STOCK - 2.05%
Agora SA....................... 14,446 $ 261
Bank Przemyslowo-Handlowy SA... 1,047 149
KGHM Polska Miedz SA........... 27,894 251
Powszechna Kasa Oszczednosci
Bank Polski.................. 63,751 483
Telekomunikacja Polska SA...... 94,775 525
Telekomunikacja Polska SA,
GDR.......................... 73,300 404
--------
TOTAL POLAND COMMON
STOCK.................... 2,073
--------
RUSSIA - 5.37%
RUSSIA PREFERRED STOCK - 0.26%
Vimpel Communications, ADR+.... 4,200 137
VolgaTelecom, ADR.............. 19,300 129
--------
TOTAL RUSSIA PREFERRED
STOCK.................... 266
--------
RUSSIA COMMON STOCK - 5.11%
Efes Breweries International
N.V., GDR+................... 7,022 221
Highland Gold Mining Limited... 62,200 221
LUKOIL Oil Company, ADR+....... 18,077 2,462
Mobile Telesystems, ADR........ 22,700 763
Mobile Telesystems, GDR, 144A
(Note A)+.................... 7,200 244
Peter Hambro Mining plc+....... 12,694 139
RAO Gazprom+(+)................ 10,400 351
RAO Gazprom, ADR(+)............ 14,300 483
Wimm-Bill-Dann Foods, ADR+..... 16,900 293
--------
TOTAL RUSSIA COMMON
STOCK.................... 5,177
--------
TOTAL RUSSIA............... 5,443
--------
SINGAPORE COMMON STOCK - 0.14%
Total Access Communications+... 53,000 145
--------
TOTAL SINGAPORE COMMON
STOCK.................... 145
--------
SOUTH AFRICA COMMON STOCK - 12.93%
African Bank Investments
Limited...................... 156,400 418
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Alexander Forbes Limited....... 96,875 $ 177
Aveng Limited.................. 394,000 694
Avi Limited.................... 134,400 287
Barloworld Limited............. 19,300 292
Bidvest Group Limited.......... 37,004 416
Consol, Limited+............... 37,400 63
Edgars Consolidated Stores..... 8,700 359
Harmony Gold Mining Company
Limited...................... 41,729 265
Harmony Gold Mining Company
Limited, ADR(+).............. 18,487 116
Illovo Sugar Limited........... 158,500 193
Impala Platinum Holdings
Limited...................... 9,947 826
Imperial Holdings Limited...... 3,585 55
Kumba Resources Limited........ 37,000 365
Lewis Group Limited+........... 53,900 314
Massmart Holdings Limited...... 59,900 433
Metropolitan Holdings Limited.. 99,800 176
MTN Group Limited.............. 119,740 849
Murray & Roberts............... 3,100 7
Nampak Limited................. 232,100 592
Nedcor Limited................. 81,486 1,005
Network Healthcare Holdings
Limited...................... 172,300 157
Old Mutual..................... 207,175 499
Sanlam Limited+................ 400,100 756
Sappi Limited.................. 60,400 600
Sasol Limited.................. 29,800 698
Shoprite Holdings Limited...... 165,600 381
Standard Bank Group Limited.... 94,191 944
Steinhoff International
Holdings Limited............. 306,179 650
Telkom South Africa Limited.... 23,300 405
The Tongaat-Hulett Group
Limited...................... 12,516 112
--------
TOTAL SOUTH AFRICA COMMON
STOCK.................... 13,104
--------
SOUTH KOREA - 16.20%
SOUTH KOREA PREFERRED STOCK - 0.50%
Daishin Securities Company
Limited+..................... 7,760 68
Hyundai Motor Company.......... 3,200 111
Samsung Electronics Company
Limited+..................... 1,070 323
--------
TOTAL SOUTH KOREA PREFERRED
STOCK.................... 502
--------
SOUTH KOREA COMMON STOCK - 15.70%
Cheil Industries,
Incorporated................. 11,710 201
CJ Corporation................. 4,010 287
Daelim Industrial Company
Limited...................... 4,660 231
Daewoo Heavy Industries &
Machinery Limited............ 7,630 63
Daishin Securities Company
Limited...................... 4,320 52
Doosan Heavy Industries and
Construction Limited......... 15,130 189
Handsome Corporation........... 10,080 115
Hankook Tire Company Limited... 46,290 471
Hanmi Pharmaceutical Company
Limited...................... 950 54
Hyundai Department Store
Company Limited.............. 4,430 196
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
49
AMERICAN BEACON EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Hyundai Development Company.... 11,570 $ 230
Hyundai Heavy Industries
Company Limited+............. 2,500 128
Hyundai Mobis.................. 9,580 628
Hyundai Motor Company
Limited...................... 11,880 648
Industrial Bank of Korea....... 33,640 293
INI Steel Company.............. 7,870 125
Kangwon Land Incorporated...... 34,691 488
Kia Motors Corporation......... 13,780 172
Kookmin Bank................... 13,471 571
Kookmin Bank, ADR(+)........... 6,800 291
Korea Electric Power
Corporation.................. 43,860 1,274
Korea Electric Power
Corporation, ADR(+).......... 4,800 71
KT Corporation, ADR............ 33,900 684
KT&G Corporation............... 9,380 338
Kumho Tire Company,
Incorporated, GDR............ 8,910 62
Kumho Tire Company,
Incorporated, GDR, 144A (Note
A)........................... 11,600 80
LG Chemical.................... 11,160 425
LG Construction Company........ 10,690 321
LG Electronics, Incorporated... 4,330 291
LG Household and Health Care
Limited...................... 3,990 132
LG Investment and Securities
Company Limited+............. 5,730 46
POSCO.......................... 3,080 558
Pusan Bank..................... 19,460 151
Samsung Corporation............ 6,270 80
Samsung Electro Mechanics
Company Limited.............. 21,760 503
Samsung Electronics Company
Limited...................... 5,440 2,496
Samsung Fire & Marine Insurance
Company Limited.............. 9,770 668
Samsung SDI Company Limited.... 9,870 971
Shinhan Financial Group Company
Limited...................... 14,950 388
SK Corporation................. 2,300 129
SK Telecom Company Limited, ADR
(+).......................... 9,000 175
SK Telecom Company Limited..... 1,850 304
Tong Yang Confectionery
Corporation.................. 2,383 327
--------
TOTAL SOUTH KOREA COMMON
STOCK.................... 15,907
--------
TOTAL SOUTH KOREA.......... 16,409
--------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
TAIWAN COMMON STOCK - 11.91%
Accton Technology
Corporation+................. 275,396 $ 136
Acer, Incorporated............. 96,518 159
Advanced Semiconductor
Engineering, Incorporated.... 256,000 172
Asia Optical Company,
Incorporated................. 59,071 368
Asustek Computer,
Incorporated................. 153,737 414
AU Optronics Corp.............. 83,000 133
Benq Corporation............... 301,000 295
Catcher Technology Company
Limited...................... 53,000 284
Cathay Financial Holding
Company Limited.............. 173,000 315
Cheng Shin Industries.......... 76,216 86
China Motor Company............ 203,000 224
Chinatrust Financial Holding
Company Limited.............. 230,827 265
Compal Electronics,
Incorporated................. 970,026 906
CTCI Corporation............... 164,552 92
CyberLink Corporation.......... 18,837 59
Delta Electronics Group........ 316,650 509
Delta Electronics,
Incorporated, GDR............ 11,800 94
Elan Microelectronics
Corporation.................. 116,496 55
Far EasTone Telecommunication
Company Limited.............. 112,000 137
First Financial Holding Company
Limited...................... 592,000 459
Hon Hai Precision Industry
Company Limited.............. 108,064 517
Hon Hai Precision Industry
Company Limited, GDR......... 4,000 38
Infortrend Technology,
Incorporated................. 58,414 113
Kaulin Manufacturing Company
Limited...................... 48,950 48
Largan Precision Company
Limited...................... 18,484 112
Media Tek, Incorporated........ 40,162 307
Mega Financial Holding
Company...................... 435,000 274
Nien Hsing Textile Company
Limited...................... 182,000 163
Phoenixtec Power Company
Limited...................... 81,355 90
Polaris Securities Company
Limited...................... 136,733 60
President Chain Store
Corporation.................. 74,000 137
Quanta Computer, Incorporated.. 396,298 665
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
50
AMERICAN BEACON EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Shin Kong Financial Holding
Company Limited.............. 534,459 $ 503
SinoPac Holdings............... 930,987 506
Springsoft Systems Limited..... 61,800 126
Sunplus Technology Company
Limited+..................... 35,000 47
Taishin Financial Holdings
Company Limited.............. 210,445 189
Taiwan Cellular Corporation.... 533,635 535
Taiwan Semiconductor
Manufacturing Company
Limited...................... 166,000 277
Tsann Keun Enterprise Company
Limited...................... 88,630 113
United Microelectronics
Corporation+................. 2,308,251 1,371
United Microelectronics
Corporation, ADR+(+)......... 42,477 138
Ya Hsin Industrial Company
Limited...................... 136,288 126
Yaego Corporation+............. 1,470,000 451
--------
TOTAL TAIWAN COMMON
STOCK.................... 12,068
--------
THAILAND COMMON STOCK - 3.77%
Advanced Info Services PCL*.... 122,300 295
Asian Property Development
Company Limited*............. 541,600 51
Bangkok Bank PCL............... 162,100 441
Banpu Company*................. 28,000 115
CH. Karnchang Public Company
Limited*..................... 146,800 40
Charoen Pokphand Foods PCL*.... 1,360,700 150
CP Seven Eleven PCL+*.......... 236,800 179
Delta Electronics PCL+*........ 118,000 53
Italian-Thai Development PCL*.. 747,800 175
Kasikornbank PCL............... 411,000 581
Kasikornbank PCL, NVDR+........ 18,900 26
Krung Thai Bank PCL*........... 1,770,400 377
Lalin Property PCL+*........... 148,400 20
Land & Houses PCL.............. 518,500 97
MBK Public Company Limited+*... 29,000 35
PTT Public Company Limited*.... 61,600 312
Siam City Bank PCL............. 175,400 110
Siam Commercial Bank PCL*...... 330,200 396
Siam Makro PCL+................ 98,800 138
Sino Thai Engineering &
Construction PCL+*........... 136,900 28
Sino Thai Engineering &
Construction PCL, rights+*... 22,816 3
Thai Oil PCL+*................. 73,400 120
True Corporation Public Company
Limited+*.................... 369,300 77
--------
TOTAL THAILAND COMMON
STOCK.................... 3,819
--------
TURKEY COMMON STOCK - 2.48%
Akbank T.A.S................... 40,830 196
Akcansa Cimento A.S............ 66,790 191
Dogan Yayin Holding+........... 101,800 245
Enka Insaat ve Sanayi A.S...... 13,072 195
Hurriyet Gazetecilik ve
Matbaacilik A.S.............. 111,463 199
Tupras-Turkiye Petrol
Rafinerileri A.S............. 28,563 359
Turkcell Iletisim Hizmetleri
A.S.......................... 35,222 216
Turkiye Garanti Bankasi
A.S.+........................ 79,224 282
Trakya Cam Sanayii A.S......... 61,512 179
Yapi ve Kredi Bankasi A.S.+.... 124,273 455
--------
TOTAL TURKEY COMMON
STOCK.................... 2,517
--------
TOTAL STOCKS............... 99,376
--------
<Caption>
PAR
AMOUNT
-----------
SHORT TERM INVESTMENTS - 7.47%
U.S. TREASURY BILLS - 0.30%
2.685%, Due 6/9/2005 (Note
C)........................... $ 300 299
--------
TOTAL U.S. TREASURY
BILLS.................... 299
--------
<Caption>
SHARES
-----------
OTHER SHORT TERM INVESTMENTS -- 7.17%
American Beacon Enhanced Cash
Trust (Notes B and D)........ 3,852,212 3,852
American Beacon Money Market
Select Fund (Notes B and D).. 3,416,783 3,417
--------
TOTAL OTHER SHORT TERM
INVESTMENTS.............. 7,269
--------
TOTAL SHORT TERM
INVESTMENTS.............. 7,568
--------
TOTAL INVESTMENTS - 105.53%
(COST $90,458)............... 106,944
--------
LIABILITIES, NET OF OTHER
ASSETS - (5.53%)............. (5,607)
--------
TOTAL NET ASSETS - 100%........ $101,337
========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
51
AMERICAN BEACON EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
(DOLLARS IN THOUSANDS)
<Table>
<Caption>
UNREALIZED
NUMBER OF EXPIRATION MARKET APPRECIATION/
ISSUER CONTRACTS DATE VALUE (DEPRECIATION)
- ------ --------- ---------- ------ --------------
Emini S&P 500 Index........................................ 50 June 2005 $2,896 $(103)
------ -----
$2,896 $(103)
====== =====
</Table>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
(DOLLARS IN THOUSANDS)
<Table>
<Caption>
SETTLEMENT MARKET UNREALIZED
CONTRACTS TO DELIVER DATE VALUE GAIN/(LOSS)
- -------------------- ---------- ------ -----------
4,141 S. African Rand........................................... 6/27/2005 $ 676 $ (65)
1,748 S. African Rand........................................... 6/27/2005 285 (5)
2,595 S. African Rand........................................... 7/22/2005 422 (26)
11,092 S. African Rand........................................... 11/14/2005 1,787 (49)
------ -----
Total contracts to deliver (Receivable amount $3,025).............. $3,170 $(145)
====== =====
</Table>
<Table>
<Caption>
SETTLEMENT MARKET UNREALIZED
CONTRACTS TO RECEIVE DATE VALUE GAIN/(LOSS)
- -------------------- ---------- ------ -----------
1,350 Euro Currency............................................ 11/14/2005 $1,750 $12
------ ---
Total contracts to receive (Payable amount $1,738).................. $1,750 $12
====== ===
</Table>
- ---------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At period end, the
value of these securities amounted to $1,693 or 1.67% of net assets.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) At April 30, 2005, security held as collateral for open futures contracts.
(D) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of this security is on loan at April 30, 2005. See Note 5.
+- Non-income producing security.
*- Valued at fair value pursuant to procedures approved by the Board of
Trustees.
See accompanying notes
- --------------------------------------------------------------------------------
52
AMERICAN BEACON EMERGING MARKETS FUND
EMERGING MARKETS SECTOR DIVERSIFICATION
April 30, 2005
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<Table>
<Caption>
PERCENT OF
NET ASSETS
----------
Consumer Discretionary...................................... 12.48%
Consumer Staples............................................ 7.05%
Energy...................................................... 8.95%
Financials.................................................. 18.43%
Health Care................................................. 1.59%
Industrials................................................. 9.32%
Information Technology...................................... 12.21%
Materials................................................... 9.05%
Short-Term Investments...................................... 7.47%
Telecommunication Services.................................. 14.11%
Utilities................................................... 4.87%
Liabilities, Net of Other Assets............................ (5.53%)
-------
100.00%
=======
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
53
AMERICAN BEACON HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
CORPORATE BONDS - 93.52%
CONSUMER DISCRETIONARY - 26.75%
AUTO COMPONENTS - 4.40%
Advanced Accessory Systems, LLC, 10.75%, Due 6/15/2011(+)... $ 1,200 $ 852
Asbury Automotive Group, Incorporated,
9.00%, Due 6/15/2012...................................... 1,000 985
8.00%, Due 3/15/2014...................................... 800 732
Delphi Corporation, 6.55%, Due 6/15/2006(+)................. 1,500 1,402
GenCorp, Incorporated, 9.50%, Due 8/15/2013................. 1,174 1,274
Meritor Automotive, Incorporated, 6.80%, Due 2/15/2009...... 620 572
Navistar International Transportation Corporation,
7.50%, Due 6/15/2011(+)................................... 1,650 1,559
6.25%, Due 3/1/2012, 144A (Note A)........................ 1,000 880
Stanadyne Corporation, 10.00%, Due 8/15/2014................ 1,000 970
Tenneco Automotive, Incorporated, 8.625%, Due 11/15/2014,
144A (Note A)(+).......................................... 1,000 912
TriMas Corporation, 9.875%, Due 6/15/2012................... 3,000 2,955
United Components, Incorporated, 9.375%, Due 6/15/2013...... 2,250 2,070
Visteon Corporation, 7.00%, Due 3/10/2014(+)................ 1,000 698
--------
TOTAL AUTO COMPONENTS................................... 15,861
--------
HOTELS, RESTAURANTS & LEISURE - 6.27%
AMC Entertainment, Incorporated, 9.875%, Due 2/1/2012(+).... 600 600
Ameristar Casinos, Incorporated, 10.75%, Due 2/15/2009...... 1,200 1,305
AMF Bowling Worldwide Incorporated, 10.00%, Due 3/1/2010.... 2,950 2,950
Aztar Corporation, 9.00%, Due 8/15/2011..................... 650 695
Booth Creek Ski Holdings, Incorporated, 12.50%, Due
3/15/2007................................................. 2,500 2,469
Choctaw Resort Development Enterprise, 7.25%, Due
11/15/2019, 144A (Note A)................................. 700 683
Chumash Casino & Resort Enterprises, 9.26%, Due 7/15/2010... 1,250 1,338
Cinemark, Incorporated, 0.00%, Due 3/15/2014+............... 1,500 1,031
Intrawest Corporation, 7.50%, Due 10/15/2013................ 750 746
Landry's Restaurants, Incorporated, 7.50%, Due 12/15/2014,
114A (Note A)............................................. 825 767
Station Casinos, Incorporated, 6.875%, Due 3/1/2016......... 1,500 1,515
Town Sports International, Incorporated, 9.625%, Due
4/15/2011................................................. 800 821
Turning Stone Casino Resort, 9.125%, Due 12/15/2010, 144A
(Note A).................................................. 3,710 3,803
Vicorp Restaurants, Incorporated, 10.50%, Due 4/15/2011..... 1,000 1,015
Warner Music Group,
7.385%, Due 12/15/2011, 144A (Note A)..................... 1,500 1,545
0.00%, Due 12/15/2014+.................................... 2,000 1,330
--------
TOTAL HOTELS, RESTAURANTS & LEISURE..................... 22,613
--------
HOUSEHOLD DURABLES - 0.25%
Ainsworth Lumber Company Limited, 6.75%, Due 3/15/2014...... 1,000 905
--------
TOTAL HOUSEHOLD DURABLES................................ 905
--------
MEDIA - 6.61%
American Media Operations, Incorporated, 10.25%, Due
5/1/2009.................................................. 2,615 2,687
Charter Communications Holdings, 10.25%, Due 9/15/2010...... 1,500 1,498
Charter Communications Operations, 8.375%, Due 4/30/2014,
144A (Note A)............................................. 1,900 1,824
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
54
AMERICAN BEACON HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Dex Media West, LLC,
12.125%, Due 11/15/2012................................... $ 1,415 $ 1,664
9.875%, Due 8/15/2013..................................... 500 555
0.00%, Due 11/15/2013+.................................... 1,000 750
Echostar DBS Corporation, 6.625%, Due 10/1/2014, 144A (Note
A)........................................................ 5,850 5,675
The Interpublic Group of Companies, Incorporated, 6.25%, Due
11/15/2014................................................ 3,000 2,865
Kabel Deutschland GMBH, 10.625%, Due 7/1/2014, 144A (Note
A)........................................................ 3,825 4,035
LBI Media, Incorporated, 10.125%, Due 7/15/2012............. 1,000 1,100
WDAC Subsidiary Corporation, 8.375%, Due 12/1/2014, 144A
(Note A)(+)............................................... 1,300 1,180
--------
TOTAL MEDIA............................................. 23,833
--------
RETAIL - 6.84%
CSK Auto Corporation, 7.00%, Due 1/15/2014.................. 1,545 1,398
Finlay Fine Jewelry Corporation, 8.375%, Due 6/1/2012....... 1,000 880
FTD, Incorporated, 7.75%, Due 2/15/2014..................... 923 918
GNC Corporation, 8.625%, Due 1/15/2011, 144A (Note A)....... 1,965 1,749
Group 1 Automotive, Incorporated, 8.25%, Due 8/15/2013...... 1,000 1,000
Michaels Stores, Incorporated, 9.25%, Due 7/1/2009.......... 750 789
Pep Boys, Incorporated,
6.88%, Due 3/6/2006....................................... 1,000 1,005
7.50%, Due 12/15/2014(+).................................. 2,300 2,208
Rite Aid Corporation,
12.50%, Due 9/15/2006..................................... 750 817
8.125%, Due 5/1/2010...................................... 2,000 1,950
9.50%, Due 2/15/2011...................................... 710 721
7.50%, Due 1/15/2015, 144A (Note A)....................... 750 688
Samsonite Corporation, 8.875%, Due 6/1/2011................. 2,500 2,575
Toys R Us, Incorporated,
7.625%, Due 8/1/2011...................................... 1,000 903
7.875%, Due 4/15/2013(+).................................. 800 696
United Rentals North America, Incorporated, 6.50%, Due
2/15/2012................................................. 3,325 3,167
Woolworth Corporation, 8.50%, Due 1/15/2022................. 2,900 3,176
--------
TOTAL RETAIL............................................ 24,640
--------
SERVICES - 0.79%
Knowledge Learning Corporation, 7.75%, Due 2/1/2015, 144A
(Note A).................................................. 3,000 2,850
--------
TOTAL SERVICES.......................................... 2,850
--------
TEXTILES & APPAREL - 1.59%
Day International Group, Incorporated, 9.50%, Due
3/15/2008................................................. 1,555 1,571
Phillips-Van Heusen Corporation,
8.125%, Due 5/1/2013...................................... 1,250 1,288
7.75%, Due 11/15/2023..................................... 2,800 2,884
--------
TOTAL TEXTILES & APPAREL................................ 5,743
--------
TOTAL CONSUMER DISCRETIONARY............................ 96,445
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
55
AMERICAN BEACON HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
CONSUMER STAPLES - 1.41%
FOOD/RESTAURANT - 1.16%
Borden, Incorporated,
9.20%, Due 3/15/2021...................................... $ 2,500 $ 2,375
7.875%, Due 2/15/2023..................................... 655 557
Pilgrims Pride Corporation, 9.625%, Due 9/15/2011........... 1,148 1,254
--------
TOTAL FOOD/RESTAURANT................................... 4,186
--------
HOUSEHOLD DURABLES - 0.25%
H.H. Gregg Appliances, Incorporated, 9.00%, Due 2/1/2013.... 1,000 900
--------
TOTAL HOUSEHOLD DURABLES................................ 900
--------
TOTAL CONSUMER STAPLES.................................. 5,086
--------
ENERGY - 7.75%
AES Corporation, 4.50%, Due 8/15/2005....................... 2,250 2,253
Alpha Natural Resources, LLC, 10.00%, Due 6/1/2012, 144A
(Note A).................................................. 2,000 2,220
AmeriGas Partners, L.P.,
8.875%, Due 5/20/2011..................................... 1,500 1,627
7.25%, Due 5/20/2015, 144A (Note A)....................... 1,500 1,500
CITGO Petroleum Corporation, 6.00%, Due 10/15/2011, 144A
(Note A)(+)............................................... 1,000 973
Delta Petroleum Corporation, 7.00%, Due 4/1/2015, 144A (Note
A)........................................................ 960 907
Dynegy Holdings, Incorporated, 144A (Note A),
9.875%, Due 7/15/2010..................................... 500 505
10.125%, Due 7/15/2013.................................... 300 309
Energy Partners Limited, 8.75%, Due 8/1/2010................ 2,000 2,100
Ferrellgas Partners, L.P., 6.75%, Due 5/1/2014.............. 1,000 950
Holly Energy Partners, L.P., 6.25%, 3/1/2015, 144A (Note
A)........................................................ 1,450 1,363
Inergy Finance Corporation, 6.875%, Due 12/15/2014, 144A
(Note A).................................................. 1,000 950
Key Energy Service, Incorporated, 8.375%, Due 3/1/2008...... 1,000 1,035
Newfield Exploration Company, 8.375%, Due 8/15/2012......... 425 457
Paramount Resources Limited, 8.50%, Due 1/31/2013........... 2,374 2,303
Reliant Energy, Incorporated, 6.75%, Due 12/15/2014(+)...... 1,580 1,398
Swift Energy Company,
7.625%, Due 7/15/2011..................................... 900 913
9.375%, Due 5/1/2012...................................... 1,000 1,070
Tenaska, Incorporated, 6.528%, Due 12/30/2014, 144A (Note
A)........................................................ 985 1,002
Terex Corporation,
9.25%, Due 7/15/2011...................................... 1,250 1,356
7.375%, Due 1/15/2014..................................... 1,975 1,985
Venoco, Incorporated, 8.75%, Due 12/15/2011, 114A (Note
A)........................................................ 750 750
--------
TOTAL ENERGY............................................ 27,926
--------
FINANCIALS - 5.19%
DIVERSIFIED FINANCIALS - 4.39%
E*Trade Financial Corporation, 8.00%, Due 6/15/2011......... 2,375 2,434
K&F Acquisition, Incorporated, 7.75%, Due 11/14/2014, 144A
(Note A).................................................. 2,000 1,960
General Motors Acceptance Corporation, 6.15%, Due
4/5/2007.................................................. 1,400 1,373
Glencore Funding, LLC, 6.00%, Due 4/15/2014, 144A (Note
A)........................................................ 1,850 1,752
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
56
AMERICAN BEACON HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Noble Group Limited, 6.625%, Due 3/17/2015, 144A (Note A)... $ 3,500 $ 3,120
Refco Financial Holdings, LLC, 9.00%, Due 8/1/2012, 144A
(Note A).................................................. 2,150 2,322
Thornburg Mortgage, Incorporated, 8.00%, Due 5/15/2013...... 2,850 2,864
--------
TOTAL DIVERSIFIED FINANCIALS............................ 15,825
--------
REAL ESTATE - 0.80%
American Real Estate Partners, L.P. 7.125%, Due 2/15/2013,
144A (Note A)............................................. 1,500 1,451
Host Marriott Corporation, 6.375%, Due 3/15/2015, 144A (Note
A)........................................................ 1,500 1,427
--------
TOTAL REAL ESTATE....................................... 2,878
--------
TOTAL FINANCIALS........................................ 18,703
--------
HEALTH CARE - 9.24%
EQUIPMENT & SUPPLIES - 0.29%
Sybron Dental Specialties, Incorporated, 8.125%, Due
6/15/2012................................................. 1,000 1,060
--------
TOTAL EQUIPMENT & SUPPLIES.............................. 1,060
--------
HEALTHCARE PROVIDERS & SERVICES - 7.73%
ACIH, Incorporated, 0.00%, Due 12/15/2012, 144A (Note A)+... 3,575 2,431
DaVita, Incorporated, 7.25%, Due 3/15/2015, 144A (Note A)... 2,750 2,674
HCA, Incorporated, 8.36%, Due 4/15/2024..................... 3,435 3,742
HealthSouth Corporation,
6.875%, Due 6/15/2005(+).................................. 450 450
7.375%, Due 10/1/2006..................................... 250 250
8.375%, Due 10/1/2011..................................... 2,950 2,921
Interactive Health, LLC, 8.00%, Due 4/1/2011, 144A (Note
A)........................................................ 1,800 1,638
National Health Investors, 7.30%, Due 7/16/2007............. 1,000 1,041
NDCHealth Corporation, 10.50%, Due 12/1/2012................ 3,000 3,165
Pacificare Health Systems, Incorporated, 10.75%, Due
6/1/2009.................................................. 2,625 2,914
Quintiles Transnational Corporation, 10.00%, Due
10/1/2013................................................. 1,600 1,728
Select Medical Corporation, 7.625%, Due 2/1/2015, 144A (Note
A)........................................................ 2,225 2,186
Vicar Operating, Incorporated, 9.875%, Due 12/1/2009........ 2,500 2,709
--------
TOTAL HEALTHCARE PROVIDERS & SERVICES................... 27,849
--------
PHARMACEUTICALS - 1.22%
Athena Neurosciences Financial LLC, 7.25%, Due
2/21/2008(+).............................................. 1,550 1,352
Dade Behring Holdings, Incorporated, 11.91%, Due
10/3/2010................................................. 2,300 2,504
Leiner Health Products, Incorporated, 11.00%, Due
6/1/2012.................................................. 500 528
--------
TOTAL PHARMACEUTICALS................................... 4,384
--------
TOTAL HEALTH CARE....................................... 33,293
--------
INFORMATION TECHNOLOGY - 3.28%
COMMUNICATIONS EQUIPMENT - 0.50%
Corning, Incorporated, 7.00%, Due 3/15/2007................. 1,800 1,802
--------
TOTAL COMMUNICATIONS EQUIPMENT.......................... 1,802
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
57
AMERICAN BEACON HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.75%
Amkor Technology, Incorporated,
9.25%, Due 2/15/2008.................................... $ 1,500 $ 1,331
7.125%, Due 3/15/2011................................... 500 393
7.75%, Due 5/15/2013.................................... 290 227
Flextronics International Limited, 6.50%, Due
5/15/2013(+).............................................. 2,550 2,435
Freescale Semiconductor, Incorporated, 7.125%, Due
7/15/2014................................................. 2,550 2,652
MagnaChip Semiconductor Limited, 144A (Note A)
6.875%, Due 12/15/2011(+)................................. 2,750 2,517
8.00%, Due 12/15/2014..................................... 400 346
--------
TOTAL SEMICONDUCTOR EQUIPMENT & PRODUCTS................ 9,901
--------
SOFTWARE - 0.03%
Peregrine Systems, Incorporated, 6.50%, Due 8/15/2007....... 109 107
--------
TOTAL SOFTWARE.......................................... 107
--------
TOTAL INFORMATION TECHNOLOGY............................ 11,810
--------
INDUSTRIALS - 26.29%
AEROSPACE & ENGINEERING - 0.92%
Transdigm, Incorporated, 8.375%, Due 7/15/2011.............. 3,250 3,315
--------
TOTAL AEROSPACE & ENGINEERING........................... 3,315
--------
CONSTRUCTION & ENGINEERING - 5.55%
AMH Holdings, Incorporated, 0.00%, Due 3/1/2014+............ 2,500 1,687
Beazer Homes USA, Incorporated, 8.375%, Due 4/15/2012....... 2,000 2,120
Interline Brands, Incorporated, 11.50%, Due 5/15/2011....... 2,275 2,571
KB Home, 7.75%, Due 2/1/2010................................ 1,000 1,047
K. Hovnanian Enterprises, Incorporated, 8.875%, Due
4/1/2012.................................................. 2,700 2,875
Meritage Homes Corporation, 6.25%, Due 3/15/2015, 144A (Note
A)........................................................ 125 115
Propex Fabrics, Incorporated, 10.00%, Due 12/1/2012......... 825 784
Schuler Homes, Incorporated, 9.375%, Due 7/15/2009.......... 1,500 1,570
Standard Pacific Corporation,
9.50%, Due 9/15/2010...................................... 1,205 1,271
6.25%, Due 4/1/2014(+).................................... 1,000 955
Technical Olympic USA, Incorporated, 9.00%, Due 7/1/2010.... 1,250 1,287
Terex Corporation, 10.375%, Due 4/1/2011.................... 500 543
WCI Communities, Incorporated, 10.625%, Due 2/15/2011....... 1,075 1,140
Wolverine Tube, Incorporated, 7.375%, Due 8/1/2008, 144A
(Note A).................................................. 2,250 2,048
--------
TOTAL CONSTRUCTION & ENGINEERING........................ 20,013
--------
COMMERCIAL SERVICES & SUPPLIES - 19.20%
Allied Waste North American, Incorporated, 8.50%, Due
12/1/2008................................................. 3,050 3,107
Alpharma, Incorporated, 8.625%, Due 5/1/2011, 144A (Note
A)(+)..................................................... 3,250 3,152
Asia Aluminum Holdings Limited, 8.00%, Due 12/23/2011, 144A
(Note A).................................................. 3,000 2,843
Biovail Corporation, 7.875%, Due 4/1/2010(+)................ 3,700 3,682
Browning-Ferris Industries, Incorporated, 9.25%, Due
5/1/2021.................................................. 1,000 1,010
Cadmus Communications Corporation, 8.375%, Due 6/15/2014.... 1,200 1,254
Celestica, Incorporated, 7.875%, Due 7/1/2011............... 2,800 2,786
CHC Helicopter Corporation, 7.375%, Due 5/1/2014............ 1,860 1,814
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
58
AMERICAN BEACON HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
CHC Helicopter Corporation, 7.375%, Due 5/1/2014, 144A (Note
A)........................................................ $ 750 $ 731
Clean Harbors, Incorporated, 11.25%, Due 7/15/2012, 144A
(Note A).................................................. 1,000 1,110
Columbus McKinnon Corporation, 10.00%, Due 8/1/2010......... 2,000 2,150
Communications and Power Industries, Incorporated, 8.00%,
Due 2/1/2012.............................................. 1,000 965
Compass Minerals Group, Incorporated, 10.00%, Due
8/15/2011................................................. 1,000 1,090
Compass Minerals International, Incorporated, 0.00%, Due
6/1/2013+................................................. 1,825 1,524
Corrections Corporation of America,
7.50%, Due 5/1/2011....................................... 500 516
6.25%, Due 3/15/2013, 144A (Note A)....................... 1,000 965
Da-Lite Screen Company, Incorporated, 9.50%, Due
5/15/2011................................................. 750 819
Freeport-McMoRan Copper & Gold, Incorporated, 10.125%, Due
2/1/2010.................................................. 1,750 1,916
HMH Properties, Incorporated, 7.875%, Due 8/1/2008.......... 702 716
Ingram Micro, Incorporated, 9.875%, Due 8/15/2008........... 3,000 3,172
Invensys, plc, 9.875%, Due 3/15/2011, 144A (Note A)(+)...... 1,050 1,039
Iron Mountain, Incorporated, 6.625%, Due 1/1/2016........... 2,500 2,225
Medical Device Manufacturing, Incorporated, 10.00%, Due
7/15/2012................................................. 2,000 2,140
Mueller Group, Incorporated, 10.00%, Due 5/1/2012........... 1,370 1,473
NationsRent Companies, Incorporated, 9.50%, Due 5/1/2015,
144A (Note A)............................................. 2,000 2,000
Novelis, Incorporated, 7.25%, Due 2/15/2015, 144A (Note
A)........................................................ 1,000 967
Pantry, Incorporated, 7.75%, Due 2/15/2014.................. 600 603
Phibro Animal Health Corporation, 13.00%, Due 12/1/2007..... 500 535
J.B. Poindexter Incorporated, 8.75%, Due 3/15/2014, 144A
(Note A).................................................. 2,000 1,940
Polypore, Incorporated, 8.75%, Due 5/15/2012................ 1,450 1,225
Polypore International, Incorporated, 0.00%, Due 10/1/2012,
144A (Note A)+............................................ 1,500 840
Russell Corporation, 9.25%, Due 5/1/2010.................... 1,475 1,530
Sheridan Group, Incorporated, 10.25%, Due 8/15/2011......... 2,125 2,247
Solectron Corporation, 7.97%, Due 11/15/2006................ 1,500 1,553
Superior Essex Communications, 9.00%, Due 4/15/2012......... 2,400 2,424
UAP Holding Corporation, 0.00%, Due 7/15/2012+.............. 2,000 1,530
Unisys Corporation, 7.875%, Due 4/1/2008.................... 3,270 3,250
UNOVA, Incorporated, 7.00%, Due 3/15/2008................... 4,250 4,314
WH Holdings (Cayman Islands) Limited, 9.50%, Due 4/1/2011... 800 852
Xerox Corporation, 7.625%, Due 6/15/2013.................... 1,100 1,174
--------
TOTAL COMMERCIAL SERVICES & SUPPLIES.................... 69,183
--------
MACHINERY - 0.62%
Case Corporation, 7.25%, Due 1/15/2016...................... 2,400 2,220
--------
TOTAL MACHINERY......................................... 2,220
--------
TOTAL INDUSTRIALS....................................... 94,731
--------
MATERIALS - 9.70%
CHEMICALS - 5.57%
Acetex Corporation, 10.875%, Due 8/1/2009................... 850 897
Casella Waste System, Incorporated, 9.75%, Due 2/1/2013..... 2,020 2,207
Cpi Holding Company, Incorporated, 8.83%, Due 2/1/2015, 144A
(Note A).................................................. 1,750 1,671
Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp, 0.00%, Due
10/1/2014, Series A, 144A (Note A)+....................... 1,463 980
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
59
AMERICAN BEACON HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp, 0.00%, Due
10/1/2014, Series B, 144A (Note A)+....................... $ 3,990 $ 2,593
FMC Corporation, 10.25%, Due 11/1/2009...................... 2,000 2,210
Hercules, Incorporated, 6.75%, Due 10/15/2029............... 1,750 1,702
Innophos, Incorporated, 8.875%, Due 8/15/2014, 144A (Note
A)........................................................ 500 518
Lyondell Chemical Company, 10.875%, Due 5/1/2009(+)......... 2,500 2,587
Nalco Company,
7.75%, Due 11/15/2011..................................... 500 510
8.875%, Due 11/15/2013(+)................................. 1,930 1,978
Resolution Performance Products, 8.00%, Due 12/15/2009...... 500 521
Westlake Chemical Corporation, 8.75%, Due 7/15/2011......... 1,560 1,697
--------
TOTAL CHEMICALS......................................... 20,071
--------
CONTAINERS & PACKAGING - 1.78%
Crown Holdings, Incorporated, 9.50%, Due 3/1/2011........... 1,500 1,620
Intertape Polymer, Incorporated, 8.50%, Due 8/1/2014........ 1,300 1,298
Owens-Brockway Glass Containers, Incorporated,
8.875%, Due 2/15/2009..................................... 2,015 2,146
8.75%, Due 11/15/2012..................................... 1,250 1,362
--------
TOTAL CONTAINERS & PACKAGING............................ 6,426
--------
PAPER & FOREST PRODUCTS - 2.35%
Abitibi-Consolidated, Incorporated, 8.375%, Due
4/1/2015(+)............................................... 1,000 913
Fraser Papers Incorporated, 8.75%, Due 3/15/2015, 144A (Note
A)........................................................ 2,300 2,139
Mercer International Incorporated, 9.25%, Due 2/15/2013..... 1,000 920
Neenah Paper, Incorporated, 7.375%, Due 11/15/2014, 144A
(Note A).................................................. 2,450 2,328
The Newark Group, Incorporated, 9.75%, Due 3/15/2014........ 2,200 2,167
--------
TOTAL PAPER & FOREST PRODUCTS........................... 8,467
--------
TOTAL MATERIALS......................................... 34,964
--------
TELECOMMUNICATION SERVICES - 3.65%
Dobson Cellular Systems, Incorporated, 8.375%, Due
11/1/2011, 144A (Note A).................................. 225 227
GST Equipment Funding, Incorporated, 13.25%, Due
5/1/2007+*................................................ 2,500 --
Intelsat, Limited, 5.25%, Due 11/1/2008..................... 1,900 1,724
MCI, Incorporated, 7.688%, Due 5/1/2009..................... 1,525 1,575
PanAmSat Holding Corporation, 0.00%, Due 11/1/2014, 144A
(Note A)+................................................. 1,850 1,184
Partner Communications Company Limited, 13.00%, Due
8/15/2010(+).............................................. 1,000 1,120
Qwest Services Corporation, 14.00%, Due 12/15/2010, 144A
(Note A).................................................. 4,250 4,781
SBA Telecom, Incorporated, 0.00%, Due 12/15/2011+(+)........ 1,750 1,523
US Unwired, Incorporated, 7.26%, Due 6/15/2010.............. 1,000 1,025
--------
TOTAL TELECOMMUNICATION SERVICES........................ 13,159
--------
OTHER CORPORATE BONDS - 0.26%
Jostens, Incorporated, 7.625%, Due 10/1/2012................ 950 950
--------
TOTAL OTHER CORPORATE BONDS............................. 950
--------
TOTAL CORPORATE BONDS................................... 337,067
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
60
AMERICAN BEACON HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
COMMON STOCKS - 0.16%
Peregrine Systems, Incorporated+............................ 28,000 $ 588
--------
TOTAL COMMON STOCKS..................................... 588
--------
SHORT TERM INVESTMENTS - 12.08%
American Beacon Money Market Select Fund (Note B)........... 12,221,936 12,222
Short-Term Investment Company Liquid Asset Fund (Note E).... 2,990,979 2,991
<Caption>
PAR
AMOUNT
-----------
Chesham Finance LLC, Due 8/31/2005 (Note E)................. $ 10,000 $ 10,000
Harwood Street Funding II, Due 5/2/2005 (Note E)............ 3,801 3,801
Merrill Lynch Pierce Fenner & Smith, Inc. Tri Party Repo,
3.05%, Due 5/2/2005,
(Notes C and E)........................................... 10,000 10,000
Morgan Stanley & Co., Inc. Tri Party Repo, 3.05%, Due
5/2/2005, (Notes D and E)................................. 4,500 4,500
--------
TOTAL SHORT TERM INVESTMENTS............................ 43,514
--------
TOTAL INVESTMENTS - 105.76% (COST $386,336)................. 381,169
--------
LIABILITIES, NET OF OTHER ASSETS - (5.76%).................. (20,756)
--------
TOTAL NET ASSETS - 100%..................................... $360,413
========
</Table>
- ---------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $95,065 or 26.38% of net assets.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) Collateral held at J.P. Morgan Chase consists of the following: Ford Motor
Credit Company, 7.60%, Due 8/1/2005, Market Value - $1,966, Ford Motor
Credit Company, 6.50%, Due 1/25/2007, Market Value - $4,021, Ford Motor
Credit Company, 7.00%, Due 10/1/2013, Market Value - $3,517, Ford Motor
Credit Company, 3.75%, Due 11/16/2006, Market Value - $701
(D) Collateral held at the Bank of New York consists of the following: UST,
Incorporated, 7.25%, Due 6/1/2009, Market Value - $1,598, UST, Incorporated,
6.63%, Due 7/15/2012, Market Value - $3,110
(E) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of this security is on loan April 30, 2005. See note 5.
+- Non-income producing security.
*- Valued at fair value pursuant to procedures approved by the Board of
Trustees.
See accompanying notes
- --------------------------------------------------------------------------------
61
AMERICAN BEACON ENHANCED INCOME FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
U.S. TREASURY OBLIGATIONS - 17.38%
U.S. TREASURY BONDS - 0.98%
8.75%, Due 8/15/2020........................................ $ 750 $ 1,099
--------
TOTAL U.S. TREASURY BONDS............................... 1,099
--------
U.S. TREASURY NOTES - 16.40%
5.00%, Due 2/15/2011(+)..................................... 3,350 3,530
5.00%, Due 8/15/2011(+)..................................... 4,100 4,329
4.00%, Due 2/15/2014(+)..................................... 5,000 4,942
4.75%, Due 5/15/2014(+)..................................... 5,300 5,525
--------
TOTAL U.S. TREASURY NOTES............................... 18,326
--------
TOTAL U.S. TREASURY OBLIGATIONS......................... 19,425
--------
U.S. AGENCY OBLIGATIONS - 0.96%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.46%
Federal Home Loan Mortgage Corporation, 5.125%, Due
10/15/2008................................................ 500 517
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 517
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.50%
Federal National Mortgage Association, 6.625%, Due
11/15/2010(+)............................................. 500 556
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 556
--------
TOTAL U.S. AGENCY OBLIGATIONS........................... 1,073
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 8.43%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.94%
Pool E01492, 5.50%, Due 10/1/2018........................... 1,020 1,045
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 1,045
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.53%
Pool 555549, 5.00%, Due 6/1/2018............................ 1,303 1,314
Pool 545759, 6.50%, Due 7/1/2032............................ 937 975
Pool C01598, 5.00%, Due 8/1/2033............................ 848 842
Pool C01786, 5.50%, Due 2/1/2034............................ 1,241 1,256
Pool 725238, 5.00%, Due 3/1/2034............................ 685 680
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 5,067
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.96%
Pool 780921, 7.00%, Due 11/15/2013.......................... 356 376
Pool 780454, 7.00%, Due 10/15/2026.......................... 343 364
Pool 002379, 8.00%, Due 2/20/2027........................... 213 230
Pool 781564, 6.00%, Due 2/15/2033........................... 484 500
Pool 781690, 6.00%, Due 12/15/2033.......................... 707 730
Pool 003515, 5.50%, Due 2/20/2034........................... 1,091 1,110
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 3,310
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 9,422
--------
ASSET-BACKED SECURITIES - 0.89%
Household Automotive Trust 2004-1 A3, 3.30%, Due
5/18/2009................................................. 1,000 991
--------
TOTAL ASSET-BACKED SECURITIES........................... 991
--------
CORPORATE BONDS - 52.34%
BANKS - 5.14%
Banco Popular North America, Incorporated,
6.125%, Due 10/15/2006.................................... 500 513
4.25%, Due 4/1/2008....................................... 300 300
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
62
AMERICAN BEACON ENHANCED INCOME FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Bank America Corporation, 0.25%, Due 1/26/2010.............. $ 265 $ 249
Bank One Corporation, 4.90%, Due 4/30/2015.................. 500 492
Credit Suisse First Boston, 6.50%, Due 5/1/2008............. 500 529
FleetBoston Financial Corporation, 8.625%, Due 1/15/2007.... 200 214
ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)........... 300 305
St. George Bank Limited, 7.15%, Due 10/15/2005, 144A (Note
A)........................................................ 1,510 1,531
Wachovia Corporation, 6.40%, Due 4/1/2008................... 1,500 1,609
--------
TOTAL BANKS............................................. 5,742
--------
FINANCE - 24.98%
AEGON, N.V., 8.00%, Due 8/15/2006........................... 225 236
Allstate Life Global Funding, 3.85%, Due 1/25/2008.......... 1,000 989
American Honda Finance Corporation, 2.875%, Due 4/3/2006,
144A (Note A)............................................. 650 644
Bear Stearns Companies, Incorporated,
3.00%, Due 3/30/2006...................................... 500 497
2.875%, Due 7/2/2008...................................... 300 287
Capital One Bank,
4.25%, Due 12/1/2008...................................... 1,000 988
5.125%, Due 2/15/2014..................................... 330 328
Caterpillar Financial Services, 4.15%, Due 1/15/2010........ 1,000 987
Citigroup, Incorporated, 4.125%, Due 2/22/2010.............. 1,000 985
Countrywide Home Loan, Incorporated, 3.50%, Due
12/19/2005................................................ 750 749
Credit Suisse First Boston USA, Incorporated, 5.875%, Due
8/1/2006.................................................. 1,500 1,536
Fortis Insurance NV, 7.75%, Due 1/26/2008, 144A (Note A).... 275 279
Goldman Sachs Group, Incorporated, 4.75%, Due 7/15/2013..... 350 344
John Hancock Global Funding,
5.625%, Due 6/27/2006..................................... 1,400 1,426
3.75%, Due 9/30/2008...................................... 1,000 980
Heller Financial, Incorporated, 6.375%, Due 3/15/2006....... 1,500 1,533
Household Finance Corporation, 5.75%, Due 1/30/2007......... 1,750 1,798
Lehman Brothers Holdings, Incorporated, 3.50%, Due
8/7/2008.................................................. 1,000 980
Lincoln National Corporation, 4.75%, Due 2/15/2014(+)....... 200 196
MassMutual Global Funding II, 3.80%, Due 4/15/2009, 144A
(Note A).................................................. 1,000 980
Morgan Stanley & Company, Incorporated, 6.10%, Due
4/15/2006................................................. 550 561
PHH Corporation, 6.00%, Due 3/1/2008........................ 300 311
Prudential Financial, Incorporated, 4.50%, Due
7/15/2013(+).............................................. 375 366
Prudential Insurance Company of America, 6.375%, Due
7/23/2006, 144A (Note A).................................. 2,000 2,062
Refco Group Limited, LLC, 9.00%, Due 8/1/2012, 144A (Note
A)........................................................ 400 432
Salomon, Incorporated, 6.75%, Due 1/15/2006................. 1,000 1,021
Simon Property Group LP, 6.375%, Due 11/15/2007............. 400 418
SLM Corporation, 4.00%, Due 1/15/2009....................... 1,300 1,284
Synovus Financial Corporation,
7.25%, Due 12/15/2005..................................... 1,500 1,530
4.875%, Due 2/15/2013..................................... 500 501
Transamerica Corporation, 6.75%, Due 11/15/2006............. 1,000 1,034
Verizon Global Funding Corporation, 4.375%, Due
6/1/2013(+)............................................... 200 194
VW Credit Incorporated, 3.40%, Due 7/21/2005, 144A (Note
A)........................................................ 1,000 1,000
Washington Mutual, Incorporated, 4.625%, Due 4/1/2014....... 480 462
--------
TOTAL FINANCE........................................... 27,918
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
63
AMERICAN BEACON ENHANCED INCOME FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
FOREIGN - 1.23%
France Telecom SA, 8.50%, Due 3/1/2011...................... $ 680 $ 783
Province of Ontario, 3.35%, Due 7/16/2007(+)................ 300 296
Telefonos de Mexico, S.A. de C.V., 5.50%, Due 1/27/2015,
144A (Note A)............................................. 300 291
--------
TOTAL FOREIGN........................................... 1,370
--------
INDUSTRIALS - 20.56%
AmeriPath, Incorporated, 10.50%, Due 4/1/2013............... 400 400
AT&T Broadband Corporation, 8.375%, Due 3/15/2013........... 700 850
AT&T Wireless Services, Incorporated,
7.35%, Due 3/1/2006....................................... 900 926
8.125%, Due 5/1/2012...................................... 250 295
BHP Finance (USA) Limited, 4.80%, Due 4/15/2013............. 550 553
Boeing Capital Corporation, 5.40%, Due 11/30/2009........... 700 728
Bunge Limited Finance Corporation,
7.80%, Due 10/15/2012..................................... 200 236
5.35%, Due 4/15/2014...................................... 500 511
Cadence Design Systems, Incorporated, 0.00%, Due
8/15/2023+................................................ 260 261
Celestica, Incorporated, 7.875%, Due 7/1/2011............... 260 259
Cendant Corporation, 6.875%, Due 8/15/2006.................. 1,100 1,137
Continental Cablevision, Incorporated, 8.30%, Due
5/15/2006................................................. 250 261
DaimlerChrysler North America, 4.75%, Due 1/15/2008......... 700 691
John Deere Capital Corporation, 4.125%, Due 1/15/2010....... 1,000 986
Dell Computer Corporation, 6.55%, Due 4/15/2008............. 200 213
Deutsche Telekom International,
8.25%, Due 6/15/2005...................................... 175 176
3.875%, Due 7/22/2008..................................... 500 492
Dole Food Company, Incorporated, 8.875%, Due 3/15/2011...... 142 150
DST Systems, Incorporated, 3.625%, Due 8/15/2023............ 485 524
EOG Resources, Incorporated, 4.75%, Due 3/15/2014, 144A
(Note A).................................................. 350 344
EOP Operating Limited Partnership, 4.75%, Due 3/15/2014..... 350 336
Equistar Chemicals, LP, 10.625%, Due 5/1/2011............... 400 446
First Data Corporation, 3.375%, Due 8/1/2008................ 1,000 973
Freeport-McMoRan Copper & Gold, Incorporated, 10.125%, Due
2/1/2010.................................................. 400 438
General Motors Acceptance Corporation, 6.75%, Due
1/15/2006................................................. 650 655
Hertz Corporation, 4.70%, Due 10/2/2006..................... 900 886
International Lease Finance Corporation, 6.375%, Due
3/15/2009................................................. 725 771
Jacuzzi Brands, Incorporated, 9.625%, Due 7/1/2010.......... 400 428
Kroger Company, 8.15%, 7/15/2006............................ 1,000 1,045
Legrand SA, 8.50%, Due 2/15/2025............................ 400 478
Leucadia National Corporation, 7.00%, Due 8/15/2013......... 400 400
Liberty Media Corporation, 0.75%, Due 3/30/2023............. 150 158
Masco Corporation, 0.00%, Due 7/20/203+..................... 575 267
Nissan Motor Acceptance Corporation, 4.625%, Due 3/8/2010... 400 396
Northrop Grumman Corporation,
4.079%, Due 11/16/2006.................................... 700 700
7.125%, Due 2/15/2011..................................... 510 574
Occidental Petroleum Corporation, 6.75%, Due 1/15/2012...... 450 505
Pope & Talbot, Incorporated, 8.375%, Due 6/1/2013........... 355 369
Pulte Homes, Incorporated,
4.875%, Due 7/15/2009..................................... 100 100
5.25%, Due 1/15/2014...................................... 125 123
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
64
AMERICAN BEACON ENHANCED INCOME FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Sprint Capital Corporation,
6.00%, Due 1/15/2007...................................... $ 1,200 $ 1,232
8.375%, Due 3/15/2012..................................... 675 799
Tenent Healthcare Corporation, 9.25%, Due 2/1/2015, 144A
(Note A).................................................. 275 275
Union Pacific Corporation, 6.50%, Due 4/15/2012............. 350 384
WH Holdings (Cayman Islands) Limited, 9.50%, Due 4/1/2011... 240 256
--------
TOTAL INDUSTRIALS....................................... 22,987
--------
PHARMACEUTICAL - 0.26%
Genzyme Corporation, 1.25%, Due 12/1/2023................... 285 293
--------
TOTAL PHARMACEUTICAL.................................... 293
--------
TRANSPORTATION - 0.17%
Telcordia Technologies, Incorporated, 10.00%, Due 3/15/2013,
144A (Note A)............................................. 200 193
--------
TOTAL TRANSPORTATION.................................... 193
--------
TOTAL CORPORATE BONDS................................... 58,503
--------
CONVERTIBLE BONDS - 10.40%
AEROSPACE & DEFENSE - 0.24%
Alliant Techsystems, Incorporated, 2.75%, Due 2/15/2024..... 250 263
--------
TOTAL AEROSPACE & DEFENSE............................... 263
--------
CONSUMER DISCRETIONARY - 1.58%
Carnival Corporation, 0.00%, Due 10/24/2021+(+)............. 715 583
Eastman Kodak Company, 3.375%, Due 10/15/2033............... 425 438
Flextronics International Limited, 1.00%, Due 8/1/2010...... 250 235
Goodyear Tire and Rubber Company, 4.50%, Due 6/15/2034, 144A
(Note A).................................................. 225 259
Reebok International Limited, 2.00%, Due 5/1/2024........... 250 254
--------
TOTAL CONSUMER DISCRETIONARY............................ 1,769
--------
ENERGY - 0.64%
CenterPoint Energy, Incorporated, 3.75%, Due 5/15/2023, 144A
(Note A).................................................. 390 436
Nabors Industries Limited, 0.00%, Due 6/15/2023+............ 280 275
--------
TOTAL ENERGY............................................ 711
--------
FINANCIALS - 1.73%
American Financial Group, Incorporated, 1.486%, Due
6/2/2033.................................................. 625 252
Financial Federal Corporation, 2.00%, Due 4/15/2034, 144A
(Note A).................................................. 285 270
LandAmerica Financial Group, Incorporated, 3.125%, Due
11/15/2033................................................ 265 246
Lehman Brothers Holdings, Incorporated, 0.25%, Due
12/6/2011................................................. 150 179
Morgan Stanley and Company, Incorporated,
0.25%, Due 4/1/2009....................................... 560 490
0.25%, Due 12/30/2011..................................... 150 162
Silicon Valley Bancshares, 0.00%, Due 6/15/2008+............ 240 339
--------
TOTAL FINANCIALS........................................ 1,938
--------
HEALTH CARE - 0.75%
Invitrogen Corporation, 2.00%, Due 8/1/2023................. 250 303
Manor Care, Incorporated, 2.625%, Due 4/15/2023............. 215 262
Medtronic, Incorporated, 1.25%, Due 9/15/2021............... 275 276
--------
TOTAL HEALTH CARE....................................... 841
--------
INDUSTRIALS - 4.96%
Andrew Corporation, 3.25%, Due 8/15/2013, 144A (Note A)..... 425 464
Anixter International, Incorporated, 0.00%, Due 7/7/2033+... 275 145
The Walt Disney Company, 2.125%, Due 4/15/2023.............. 475 499
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
65
AMERICAN BEACON ENHANCED INCOME FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Electronic Data Systems Corporation, 3.875%, Due
7/15/2023................................................. $ 250 $ 236
Fisher Scientific International, Incorporated, 3.25%, Due
3/1/2024.................................................. 560 570
NCI Building Systems, Incorporated, 2.125%, Due 11/15/2024,
144A (Note A)............................................. 285 289
Halliburton Company, 3.125%, Due 7/15/2023, 144A (Note A)... 210 263
Hutchinson Technology Incorporated, 2.25%, Due 3/15/2010.... 200 268
Juniper Networks, Incorporated, 0.00%, Due 6/15/2008, 144A
(Note A)+................................................. 215 266
Liberty Media Corporation, 0.75%, Due 3/30/2023, 144A (Note
A)........................................................ 355 375
NII Holdings, Incorporated, 2.875%, Due 2/1/2034............ 440 492
Omnicom Group, Incorporated, 0.00%, Due 6/15/2033+.......... 520 508
Quanta Services, Incorporated, 4.50%, Due 10/1/2023......... 158 157
Regal-Beloit Corporation, 2.75%, Due 3/15/2024.............. 210 246
Schlumberger Limited, 2.125%, Due 6/1/2023(+)............... 280 296
Tyco International Group S.A.,
2.75%, Due 1/15/2018...................................... 165 228
2.75%, Due 1/15/2018, 144A (Note A)....................... 175 242
--------
TOTAL INDUSTRIALS....................................... 5,544
--------
PHARMACEUTICAL - 0.50%
Teva Pharmaceuticals,
0.25%, Due 2/1/2024....................................... 120 121
0.50%, Due 2/1/2024....................................... 170 170
Wyeth, 2.39%, Due 1/15/2024................................. 260 268
--------
TOTAL PHARMACEUTICAL.................................... 559
--------
TOTAL CONVERTIBLE BONDS................................. 11,625
--------
<Caption>
SHARES
-----------
CONVERTIBLE PREFERRED STOCK - 3.30%
CONSUMER DISCRETIONARY - 0.62%
Ford Motor Company Capital Trust II......................... 17,900 697
--------
TOTAL CONSUMER DISCRETIONARY............................ 697
--------
ENERGY - 0.62%
Amerada Hess Corporation.................................... 4,900 399
Devon Energy Corporation.................................... 6,406 289
--------
TOTAL ENERGY............................................ 688
--------
FINANCIALS - 1.41%
Genworth Financial, Incorporated............................ 9,300 298
Hartford Financial Services Group, Incorporated............. 4,000 264
Lehman Brothers Holdings, Incorporated...................... 9,800 259
Morgan Stanley.............................................. 11,500 383
Washington Mutual, Incorporated............................. 7,200 370
--------
TOTAL FINANCIALS........................................ 1,574
--------
INDUSTRIALS - 0.13%
Phelps Dodge Corporation.................................... 840 150
--------
TOTAL INDUSTRIALS....................................... 150
--------
TELECOMMUNICATION SERVICES - 0.52%
Lucent Technologies Capital Trust........................... 200 187
Nokia Corporation, ADR...................................... 25,000 400
--------
TOTAL TELECOMMUNICATION SERVICES........................ 587
--------
TOTAL CONVERTIBLE PREFERRED STOCK....................... 3,696
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
66
AMERICAN BEACON ENHANCED INCOME FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 2.58%
CONSUMER DISCRETIONARY - 1.02%
The Walt Disney Company..................................... 11,000 $ 290
Ebay, Incorporated+......................................... 11,500 365
Home Depot, Incorporated.................................... 6,600 233
Starbucks Corporation+...................................... 5,000 248
--------
TOTAL CONSUMER DISCRETIONARY............................ 1,136
--------
FINANCIALS - 0.22%
Prudential Financial, Incorporated.......................... 4,263 244
--------
TOTAL FINANCIALS........................................ 244
--------
HEALTH CARE - 0.25%
HCA, Incorporated........................................... 5,000 279
--------
TOTAL HEALTH CARE....................................... 279
--------
INDUSTRIALS - 0.32%
L-3 Communications Holdings, Incorporated................... 5,000 355
--------
TOTAL INDUSTRIALS....................................... 355
--------
INFORMATION TECHNOLOGY - 0.55%
AutoDesk, Incorporated...................................... 7,900 251
Infosys Technologies Limited, ADR........................... 6,100 361
--------
TOTAL INFORMATION TECHNOLOGY............................ 612
--------
TRANSPORTATION - 0.22%
Burlington Northern Santa Fe Corporation.................... 5,000 241
--------
TOTAL TRANSPORTATION.................................... 241
--------
TOTAL COMMON STOCK...................................... 2,867
--------
SHORT-TERM INVESTMENTS - 18.99%
American Beacon Enhanced Cash Trust (Notes B and C)......... 14,415,972 14,416
American Beacon Money Market Select Fund (Notes B and C).... 6,809,361 6,809
--------
TOTAL SHORT-TERM INVESTMENTS............................ 21,225
--------
TOTAL INVESTMENTS - 115.27% (COST $129,086)................. 128,827
--------
LIABILITIES, NET OF OTHER ASSETS - (15.27%)................. (17,067)
--------
TOTAL NET ASSETS - 100%..................................... $111,760
========
</Table>
- ---------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of the securities amounted to $11,200 or 10.02% of net assets.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of the security is on loan at April 30, 2005. See Note 5.
+- Non-income producing security.
See accompanying notes
- --------------------------------------------------------------------------------
67
AMERICAN BEACON INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
U.S. TREASURY OBLIGATIONS - 14.00%
U.S. TREASURY BONDS - 5.36%
7.50%, Due 11/15/2016(+).................................... $ 530 $ 681
9.125%, Due 5/15/2018(+).................................... 700 1,025
7.875%, Due 2/15/2021(+).................................... 750 1,030
6.875%, Due 8/15/2025(+).................................... 370 479
6.25%, Due 5/15/2030(+)..................................... 790 984
5.375%, Due 2/15/2031(+).................................... 1,295 1,463
--------
TOTAL U.S. TREASURY BONDS............................... 5,662
--------
U.S. TREASURY NOTES - 8.64%
4.625%, Due 5/15/2006(+).................................... 1,640 1,660
3.375%, Due 9/15/2009(+).................................... 2,335 2,290
5.00%, Due 2/15/2011(+)..................................... 1,000 1,054
5.00%, Due 8/15/2011(+)..................................... 700 739
4.75%, Due 5/15/2014(+)..................................... 1,000 1,042
4.25%, Due 8/15/2014(+)..................................... 1,120 1,125
4.00%, Due 2/15/2015(+)..................................... 1,235 1,215
--------
TOTAL U.S. TREASURY NOTES............................... 9,125
--------
TOTAL U.S. TREASURY OBLIGATIONS......................... 14,787
--------
U.S. AGENCY OBLIGATIONS - 8.69%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 5.67%
4.25%, Due 7/15/2009(+)..................................... 2,000 2,011
5.625%, Due 3/15/2011(+).................................... 500 533
5.875%, Due 3/21/2011(+).................................... 380 405
4.875%, Due 11/15/2013(+)................................... 200 205
5.00%, Due 7/15/2014........................................ 500 517
6.00%, Due 12/11/2033....................................... 2,265 2,324
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 5,995
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.02%
Discount Note, Due 6/13/2005................................ 2,315 2,307
5.125%, Due 1/2/2014(+)..................................... 545 556
7.25%, Due 5/15/2030(+)..................................... 250 331
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 3,194
--------
TOTAL U.S. AGENCY OBLIGATIONS........................... 9,189
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 31.92%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 7.51%
Pool #G11295, 5.50%, Due 9/1/2017........................... 381 390
Pool #E96536, 5.00%, Due 3/1/2018........................... 772 779
Pool #B12563, 5.00%, Due 2/1/2019........................... 572 578
Pool #E01602, 4.50%, Due 3/1/2019........................... 887 879
Pool #G00738, 8.00%, Due 7/1/2027........................... 213 233
Pool #C00647, 6.50%, Due 9/1/2028........................... 163 170
Pool #G01457, 6.00%, Due 8/1/2029........................... 524 539
Pool #G01533, 6.00%, Due 3/1/2033........................... 563 578
Pool #C01598, 5.00%, Due 8/1/2033........................... 1,060 1,052
Pool #A12149, 6.00%, Due 8/1/2033........................... 727 747
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
68
AMERICAN BEACON INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Pool #C01786, 5.50%, Due 2/1/2034........................... $ 745 $ 754
Pool #A30948, 5.50%, Due 1/1/2035........................... 1,220 1,234
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 7,933
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 17.00%
Pool #323309, 6.00%, Due 9/1/2013........................... 211 218
Pool #488099, 5.50%, Due 2/1/2014........................... 539 553
Pool #323789, 6.00%, Due 6/1/2014........................... 229 238
Pool #545449, 6.50%, Due 2/1/2017........................... 568 593
Pool #545823, 5.50%, Due 8/1/2017........................... 639 655
Pool #254545, 5.00%, Due 12/1/2017.......................... 1,567 1,581
Pool #254865, 4.50%, Due 9/1/2018........................... 976 968
Pool #747844, 5.50%, Due 12/1/2018.......................... 232 237
Pool #761337, 5.00%, Due 4/1/2019........................... 430 433
Pool #100293, 9.50%, Due 8/1/2029........................... 179 199
Pool #555531, 5.50%, Due 6/1/2033........................... 878 887
Pool #727223, 5.50%, Due 9/1/2033........................... 616 623
Pool #749219, 5.50%, Due 10/1/2033.......................... 128 130
Pool #555880, 5.50%, Due 11/1/2033.......................... 1,553 1,569
Pool #758322, 5.50%, Due 12/1/2033.......................... 790 799
Pool #725238, 5.00%, Due 3/1/2034........................... 3,303 3,280
Pool #765304, 5.50%, Due 3/1/2034........................... 268 270
Pool #725866, 4.50%, Due 9/1/2034........................... 676 653
Pool #801716, 5.50%, Due 10/1/2034.......................... 853 861
Pool #796229, 6.00%, Due 11/1/2034.......................... 1,121 1,152
Pool #781822, 6.00%, Due 12/1/2034.......................... 1,262 1,297
Pool #812630, 5.50%, Due 2/1/2035........................... 753 761
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 17,957
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 7.41%
Pool #780400, 7.00%, Due 12/15/2025......................... 461 490
Pool #780615, 6.50%, Due 8/15/2027.......................... 479 504
Pool #780747, 6.50%, Due 3/15/2028.......................... 675 708
Pool #780936, 7.50%, Due 12/15/2028......................... 297 320
Pool #781273, 6.00%, Due 4/15/2031.......................... 637 659
Pool #781564, 6.00%, Due 2/15/2033.......................... 710 733
Pool #781589, 5.50%, Due 4/15/2033.......................... 462 470
Pool #781603, 5.00%, Due 5/15/2033.......................... 472 472
Pool #616094, 6.00%, Due 11/15/2033......................... 515 531
Pool #781690, 6.00%, Due 12/15/2033......................... 544 561
Pool #003515, 5.50%, Due 2/20/2034.......................... 1,890 1,923
Pool #003517, 6.00%, Due 2/20/2034.......................... 440 454
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 7,825
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 33,715
--------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 2.97%
Banc of America Commercial Mortgage, Incorporated 2003-2 A3,
4.342%, Due 3/11/2041..................................... 265 264
Bear Stearns Commercial Mortgage Securities, Incorporated
2004-PWR5 A4,
4.831%, Due 7/11/2042..................................... 535 536
Countrywide Home Loan, Incorporated 2004-18 A1, 6.00%, Due
10/25/2034................................................ 566 578
General Electric Capital Commercial Mortgage Corporation
2003-C2 A2, 4.17%, Due 7/10/2037.......................... 312 310
General Electric Capital Commercial Mortgage Corporation
2004-C3 A3, 4.865%, Due 7/10/2039......................... 495 500
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
69
AMERICAN BEACON INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
J P Morgan Chase Commercial Mortgage Securities Corp
2005-LDP1 A2, 4.625%, Due 3/15/2046....................... $ 505 $ 508
Wachovia Bank Commercial Mortgage Trust 2003-C5 A2, 3.989%,
Due 6/15/2035............................................. 464 441
--------
TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS............ 3,137
--------
CORPORATE OBLIGATIONS - 30.24%
FINANCIAL - 12.42%
AEGON, N.V., 8.00%, Due 8/15/2006........................... 300 315
American General Finance Corporation, 5.375%, Due
9/1/2009(+)............................................... 180 186
Assurant, Incorporated, 5.625%, Due 2/15/2014............... 225 233
Banco Popular North America Inc, 4.25%, Due 4/1/2008........ 200 200
Bank One Corporation,
5.90%, Due 11/15/2011..................................... 440 469
4.90%, Due 4/30/2015...................................... 200 197
Bear Stearns Companies, Incorporated, 2.875%, Due
7/2/2008.................................................. 400 382
BHP Finance (USA) Limited, 4.80%, Due 4/15/2013............. 150 151
Boeing Capital Corporation, 5.40%, Due 11/30/2009........... 450 468
Capital One Bank,
6.70%, Due 5/15/2008...................................... 350 373
4.80%, Due 2/21/2012...................................... 235 231
5.125%, Due 2/15/2014..................................... 220 218
Caterpillar Financial Services Corporation, 4.35%, Due
3/4/2009.................................................. 460 460
Cendant Corporation, 6.875%, Due 8/15/2006.................. 450 465
Countrywide Home Loan, Incorporated,
3.50%, Due 12/19/2005..................................... 250 250
3.25%, Due 5/21/2008...................................... 290 280
Credit Suisse First Boston, 6.50%, Due 5/1/2008............. 350 370
John Deere Capital Corporation,
3.375%, Due 10/1/2007..................................... 350 343
4.125%, Due 1/15/2010..................................... 275 271
Deutsche Telekom International Finance Corporation, 8.50%,
Due 6/15/2010(+).......................................... 150 174
Fleet Norstar Financial Group, Incorporated, 8.625%, Due
1/15/2007................................................. 200 215
Ford Motor Credit Company, 6.50%, Due 1/25/2007............. 185 185
General Electric Capital Corporation, 6.875%, Due
11/15/2010................................................ 380 422
General Motors Acceptance Corporation,
6.75%, Due 1/15/2006...................................... 350 353
6.125%, Due 8/28/2007..................................... 240 234
Goldman Sachs Group, Incorporated, 4.75%, Due 7/15/2013..... 250 246
HSBC Finance Corporation, 4.75%, Due 4/15/2010(+)........... 250 251
ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)........... 250 254
International Lease Finance Corporation, 6.375%, Due
3/15/2009................................................. 250 266
Lincoln National Corporation, 4.75%, Due 2/15/2014(+)....... 100 98
Merrill Lynch & Company, Incorporated, 4.25%, Due
2/8/2010.................................................. 475 469
MetLife Global Funding I, 3.375%, Due 10/5/2007, 144A (Note
A)........................................................ 350 343
PHH Corporation, 6.00%, Due 3/1/2008........................ 200 207
PNC Funding Corporation, 4.20%, Due 3/10/2008............... 355 356
Prudential Financial, Incorporated,
3.75%, Due 5/1/2008(+).................................... 130 128
4.50%, Due 7/15/2013(+)................................... 225 219
5.10%, Due 9/20/2014...................................... 210 212
Simon Property Group LP, 6.375%, Due 11/15/2007............. 200 209
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
70
AMERICAN BEACON INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
SLM Corporation,
3.95%, Due 8/15/2008(+)................................... $ 325 $ 320
4.00%, Due 1/15/2009...................................... 700 691
Synovus Financial Corporation, 4.875%, Due 2/15/2013........ 200 200
Verizon Global Funding Corporation, 4.375%, Due 6/1/2013.... 400 389
Washington Mutual Corporation, 4.625%, Due 4/1/2014......... 170 164
Washington Mutual Financial Corporation, 6.875%, Due
5/15/2011................................................. 190 212
WellPoint, Incorporated, 144A (Note A),
3.75%, Due 12/14/2007..................................... 235 232
5.00%, Due 12/15/2014..................................... 210 212
--------
TOTAL FINANCIAL......................................... 13,123
--------
FOREIGN - 0.65%
Province of Ontario, 3.35%, Due 7/16/2007(+)................ 500 494
Telefonos de Mexico, S.A. de C.V., 5.50%, Due 1/27/2015,
144A (Note A)............................................. 200 194
--------
TOTAL FOREIGN........................................... 688
--------
INDUSTRIALS - 11.82%
Amgen, Incorporated, 4.00%, Due 11/18/2009, 144A (Note A)... 210 207
Anheuser Busch Companies, Incorporated, 6.50%, Due
1/1/2028.................................................. 350 407
Atlantic Richfield Company, 8.50%, Due 4/1/2012............. 255 314
Baxter International, Incorporated, 5.25%, Due 5/1/2007..... 315 320
Bunge Limited Finance Corporation, 7.80%, Due 10/15/2012.... 150 177
Carnival Corporation, 3.75%, Due 11/15/2007................. 380 375
Comcast Cable Communications, 7.625%, Due 2/15/2008......... 230 248
Comcast Corporation, 5.50%, Due 3/15/2011................... 160 166
Conagra Foods, Incorporated,
7.125%, Due 10/1/2026..................................... 380 456
7.00%, Due 10/1/2028...................................... 400 479
Continental Cablevision, Incorporated, 8.30%, Due
5/15/2006................................................. 250 261
DaimlerChrysler North America, 4.75%, Due 1/15/2008......... 345 340
Dell Computer Corporation, 6.55%, Due 4/15/2008(+).......... 400 427
EOG Resources, Incorporated, 4.75%, Due 3/15/2014, 144A
(Note A).................................................. 225 221
EOP Operating Limited Partnership, 4.75%, Due 3/15/2014..... 300 288
France Telecom SA, 8.50%, Due 3/1/2011...................... 270 311
Hertz Corporation, 4.70%, Due 10/2/2006..................... 450 443
Hewlett Packard Company, 5.75%, Due 12/15/2006.............. 325 334
Kinder Morgan, Incorporated, 6.50%, Due 9/1/2012............ 305 333
Lockheed Martin Corporation, 7.20%, Due 5/1/2036............ 470 587
Martin Marietta Material, Incorporated, 6.90%, Due
8/15/2007................................................. 300 317
Motorola, Incorporated, 4.608%, Due 11/16/2007.............. 570 574
Nissan Motor Company Limited, 4.625%, Due 3/8/2010.......... 190 188
Northrop Grumman Corporation,
4.079%, Due 11/16/2006.................................... 450 450
7.125%, Due 2/15/2011..................................... 250 281
Occidental Petroleum Corporation, 6.75%, Due 1/15/2012...... 150 168
Pepsi Bottling Group, Incorporated, 7.00%, Due 3/1/2029..... 350 429
Pulte Homes, Incorporated,
4.875%, Due 7/15/2009..................................... 100 99
5.25%, Due 1/15/2014...................................... 100 98
Reed Elsevier Capital, Incorporated, 6.125%, Due 8/1/2006... 500 510
Schering Plough Corporation, 6.75%, Due 12/1/2033........... 200 232
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
71
AMERICAN BEACON INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Sprint Capital Corporation,
6.00%, Due 1/15/2007...................................... $ 485 $ 498
8.375%, Due 3/15/2012..................................... 150 178
Time Warner, Incorporated, 7.625%, Due 4/15/2031............ 155 189
Union Oil Company of California, 7.90%, Due 4/18/2008....... 100 109
Union Pacific Corporation, 6.50%, Due 4/15/2012(+).......... 200 219
Univision Communications, Incorporated, 3.875%, Due
10/15/2008................................................ 390 382
Wal-Mart Stores, Incorporated, 7.55%, Due 2/15/2030......... 350 460
Weyerhaeuser Company, 5.95%, Due 11/1/2008.................. 210 221
Wyeth Corporation, 5.50%, Due 2/1/2014...................... 180 187
--------
TOTAL INDUSTRIALS....................................... 12,483
--------
TELECOMMUNICATIONS - 3.46%
Alltel Corporation, 4.656%, Due 5/17/2007................... 495 499
America Movil S.A. de C.V., 6.375%, Due 3/1/2035............ 610 567
AT&T Broadband Corporation, 8.375%, Due 3/15/2013........... 448 544
AT&T Wireless Services, Incorporated,
7.35%, Due 3/1/2006....................................... 500 514
8.125%, Due 5/1/2012...................................... 390 461
8.75%, Due 3/1/2031....................................... 170 232
Verizon Communications, Incorporated, 6.36%, Due
4/15/2006................................................. 500 511
Verizon Wireless Capital, LLC, 5.375%, Due 12/15/2006....... 310 316
--------
TOTAL TELECOMMUNICATIONS................................ 3,644
--------
UTILITIES - 1.89%
Consolidated Natural Gas Company, 6.875%, Due 10/15/2026.... 290 335
FPL Group, Incorporated, 4.086%, Due 2/16/2007.............. 210 210
Marathon Oil Corporation, 5.375%, Due 6/1/2007.............. 255 261
MidAmerican Energy Holdings Company,
3.50%, Due 5/15/2008...................................... 270 262
5.875%, Due 10/1/2012..................................... 200 211
Public Service Enterprise Group, Incorporated, 6.95%, Due
6/1/2012(+)............................................... 240 267
Southern Company Capital Funding, Incorporated, 5.30%, Due
2/1/2007.................................................. 220 226
Xcel Energy, Incorporated, 7.00%, Due 12/1/2010............. 200 222
--------
TOTAL UTILITIES......................................... 1,994
--------
TOTAL CORPORATE OBLIGATIONS............................. 31,932
--------
ASSET-BACKED SECURITIES - 2.32%
Citigroup Commercial Mortgage Trust 2004-C2 A3, 4.38%, Due
10/15/2041................................................ 470 463
Household Automotive Trust 2004-1 A3, 3.30%, Due
5/18/2009................................................. 700 694
Master Asset Securitization Trust 2002-6 2A1, 5.75%, Due
10/25/2017................................................ 687 687
JP Morgan Chase Commercial Mortgage Securities Corp 2004-CBX
A4, 4.529%, Due 11/12/2039................................ 255 253
Residential Asset Mortgage Products, Incorporated 2004-RS12
AI2, 3.767%, Due 2/25/2027................................ 110 109
TXU Electric Delivery Transition 2004-1 A2, 4.81%, Due
11/15/2012................................................ 243 246
--------
TOTAL ASSET-BACKED SECURITIES........................... 2,452
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
72
AMERICAN BEACON INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
---------- --------
SHORT-TERM INVESTMENTS - 25.81%
American Beacon Enhanced Cash Trust (Notes B and C)......... 16,597,372 $ 16,597
American Beacon Money Market Select Fund (Notes B and C).... 10,668,911 10,669
--------
TOTAL SHORT-TERM INVESTMENTS............................ 27,266
--------
TOTAL INVESTMENTS - 115.95% (COST $122,389)................. 122,478
--------
LIABILITIES, NET OF OTHER ASSETS - (15.95%)................. (16,846)
--------
TOTAL NET ASSETS - 100%..................................... $105,632
========
</Table>
- ---------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $1,663 or 1.57% of net assets.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of this security is on loan at April 30, 2005. See Note 5.
See accompanying notes
- --------------------------------------------------------------------------------
73
AMERICAN BEACON SHORT-TERM BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
U.S. AGENCY OBLIGATIONS - 5.25%
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.25%
2.75%, Due 8/15/2006........................................ $ 3,000 $ 2,963
3.625%, Due 9/15/2008....................................... 2,000 1,971
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 4,934
--------
TOTAL U.S. AGENCY OBLIGATIONS........................... 4,934
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 4.26%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.27%
Pool #E00228, 6.50%, Due 7/1/2008........................... 240 250
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 250
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.94%
Pool #050952, 6.50%, Due 12/1/2008.......................... 293 304
Pool #252448, 5.50%, Due 4/1/2009........................... 273 282
Pool #313430, 6.50%, Due 3/1/2012........................... 301 314
Pool #313522, 7.00%, Due 5/1/2012........................... 555 585
Pool #323223, 6.50%, Due 7/1/2013........................... 243 254
Pool #323980, 6.00%, Due 4/1/2014........................... 525 545
Pool #545038, 6.00%, Due 9/1/2014........................... 459 477
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 2,761
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.05%
Pool #780286, 7.00%, Due 6/15/2008.......................... 294 303
Pool #351992, 6.00%, Due 12/15/2008......................... 669 688
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 991
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 4,002
--------
CORPORATE OBLIGATIONS - 65.31%
FINANCE - 43.40%
American Honda Finance Corporation, 2.875%, Due 4/3/2006,
144A (Note A)............................................. 1,150 1,139
Bear Stearns Companies, Incorporated, 3.00%, Due
3/30/2006................................................. 2,000 1,987
Boeing Capital Corporation, 5.65%, Due 5/15/2006 (+)........ 626 637
Capital One Bank,
6.875%, Due 2/1/2006...................................... 200 205
6.70%, Due 5/15/2008...................................... 1,100 1,171
Caterpillar Financial Services,
2.35%, Due 9/15/2006 (+).................................. 1,500 1,469
4.15%, Due 1/15/2010...................................... 1,000 987
Countrywide Funding Corporation, 3.50%, Due 12/19/2005...... 1,200 1,199
Credit Suisse First Boston, Incorporated, 5.875%, Due
8/1/2006.................................................. 2,000 2,047
FleetBoston Financial Corporation, 3.85%, Due 2/15/2008..... 2,500 2,475
General Electric Capital Corporation, 2.75%, Due 9/25/2006
(+)....................................................... 1,000 984
General Motors Acceptance Corporation, 6.75%, Due
1/15/2006................................................. 2,350 2,368
John Hancock Global Funding, 5.625%, Due 6/27/2006.......... 1,000 1,019
Heller Financial, Incorporated, 6.375%, Due 3/15/2006....... 2,500 2,556
Household Finance Corporation, 5.75%, Due 1/30/2007......... 2,250 2,311
International Lease Finance Corporation, 2.95%, Due
5/23/2006................................................. 2,000 1,971
Merrill Lynch & Company, Incorporated, 7.00%, Due
3/15/2006................................................. 1,660 1,703
MetLife Global Funding I, 3.375%, Due 10/5/2007, 144A (Note
A)........................................................ 3,000 2,941
Monumental Global Funding, 5.20%, Due 1/30/2007, 144A (Note
A)........................................................ 1,200 1,225
Prudential Insurance Company of America, 6.375%, Due
7/23/2006, 144A (Note A).................................. 3,000 3,093
Simon Property Group LP, 6.375%, Due 11/15/2007............. 2,000 2,090
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
74
AMERICAN BEACON SHORT-TERM BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Synovus Financial Corporation, 7.25%, Due 12/15/2005........ $ 2,500 $ 2,550
Wachovia Corporation, 6.40%, Due 4/1/2008................... 2,500 2,681
--------
TOTAL FINANCE........................................... 40,808
--------
INDUSTRIALS - 21.70%
AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006... 1,400 1,440
Cendant Corporation, 6.875%, Due 8/15/2006.................. 2,140 2,213
Conagra Foods, Incorporated, 9.875%, Due 11/15/2005......... 1,000 1,029
Continental Cablevision, Incorporated, 8.30%, Due
5/15/2006................................................. 1,960 2,044
DaimlerChrysler North America, 4.75%, Due 1/15/2008......... 1,500 1,480
John Deere Capital Corporation, 3.375%, Due 10/1/2007....... 2,000 1,960
Deutsche Telekom International Finance Corporation, 8.25%,
Due 6/15/2005............................................. 325 327
Hertz Corporation, 4.70%, Due 10/2/2006..................... 3,000 2,953
Northrop Grumman Corporation, 7.00%, Due 3/1/2006........... 2,000 2,049
Sprint Capital Corporation, 6.00%, Due 1/15/2007............ 1,800 1,848
Unilever Capital Corporation, 6.875%, Due 11/1/2005......... 1,000 1,016
Verizon Wireless Capital, 5.375%, Due 12/15/2006............ 2,000 2,040
--------
TOTAL INDUSTRIALS....................................... 20,399
--------
FOREIGN - 0.21%
Province of Ontario, 3.35%, Due 7/16/2007 (+)............... 200 198
--------
TOTAL FOREIGN........................................... 198
--------
TOTAL CORPORATE OBLIGATIONS............................. 61,405
--------
ASSET-BACKED SECURITIES - 19.10%
Chase Manhattan Auto Owner Trust 2004-A A4, 2.83%, Due
9/15/2010................................................. 2,000 1,947
Chemical Master Credit Card Trust 1996-2 A, 5.98%, Due
9/15/2008................................................. 3,000 3,047
Citibank Credit Card Issuance Trust 2004-A4 A4, 3.20%, Due
8/24/2009................................................. 3,000 2,944
DaimlerChrysler Auto Trust 2004-C A4, 3.28%, Due
12/8/2009................................................. 3,000 2,939
Household Automotive Trust 2004-1 A3, 3.30%, Due
5/18/2009................................................. 1,600 1,586
Nissan Auto Receivables Owner Trust 2004-A A3, 2.01%, Due
11/15/2007................................................ 1,000 985
USAA Auto Owner Trust 2004-1 A3, 2.06%, Due 4/15/2008....... 2,000 1,972
Wells Fargo Financial Auto Owner Trust 2004-A A4, 2.67%, Due
8/16/2010................................................. 2,600 2,541
--------
TOTAL ASSET-BACKED SECURITIES........................... 17,961
--------
<Caption>
SHARES
-----------
SHORT-TERM INVESTMENTS - 6.00%
American Beacon Enhanced Cash Trust (Notes B and C)......... 157,490 157
American Beacon Money Market Select Fund (Notes B and C).... 5,485,752 5,486
--------
TOTAL SHORT-TERM INVESTMENTS............................ 5,643
--------
TOTAL INVESTMENTS - 99.92% (COST $94,978)................... 93,945
--------
OTHER ASSETS, NET OF LIABILITIES - 0.08%.................... 79
--------
TOTAL NET ASSETS - 100%..................................... $ 94,024
========
</Table>
- ---------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $5,601 or 6.11% of net assets.
(B) The Fund/Trust is affiliated by having the same investment advisor. See Note
2.
(C) All or a portion of this security is purchased with cash collateral for
securities loaned.
(+)-All or a portion of this security is on loan at April 30, 2005. See Note 5.
See accompanying notes
- --------------------------------------------------------------------------------
75
AMERICAN BEACON FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2005 (unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
LARGE CAP LARGE CAP MID-CAP
BALANCED VALUE GROWTH VALUE
----------- ----------- ---------- ----------
(IN THOUSANDS)
ASSETS:
Investments in unaffiliated securities, at value(A D)... $ 686,682 $ 1,030,291 $ 53,970 $ 25,271
Investments in affiliated securities, at value(B)....... 165,500 133,192 417 5,670
Foreign currency, at value(C)........................... -- -- -- --
Cash.................................................... 102 181 84 --
Receivable for investments sold......................... 168 5,931 88 185
Dividends and interest receivable....................... 2,835 1,659 21 21
Receivable for fund shares sold......................... 845 2,701 -- --
Receivable for tax reclaims............................. -- -- -- --
Receivable for variation margin on open futures
contracts............................................. 731 1,095 5 33
----------- ----------- ---------- ----------
TOTAL ASSETS........................................ 856,863 1,175,050 54,585 31,180
----------- ----------- ---------- ----------
LIABILITIES:
Payable for investments purchased....................... 3,531 7,932 84 724
Payable upon return of securities loaned................ 113,505 54,815 216 2,845
Payable for fund shares redeemed........................ 1 3,446 92 39
Dividends payable....................................... -- -- -- --
Management and investment advisory fees payable (Note
2).................................................... 514 798 94 60
Administrative service and service fees payable......... 24 92 -- 6
Unrealized depreciation on foreign currency contracts... -- -- -- --
Payable for custodian overdraft......................... -- -- -- --
Other liabilities....................................... 80 143 11 11
----------- ----------- ---------- ----------
TOTAL LIABILITIES................................... 117,655 67,226 497 3,685
----------- ----------- ---------- ----------
NET ASSETS.................................................. $ 739,208 $ 1,107,824 $ 54,088 $ 27,495
=========== =========== ========== ==========
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 621,710 908,825 61,906 24,782
Undistributed net investment income..................... 4,534 3,124 52 78
Accumulated net realized gain (loss).................... 9,997 15,502 (9,156) 2,694
Unrealized appreciation (depreciation) of investments,
futures contracts and foreign currency................ 102,967 180,373 1,286 (59)
----------- ----------- ---------- ----------
NET ASSETS.................................................. $ 739,208 $ 1,107,824 $ 54,088 $ 27,495
=========== =========== ========== ==========
Shares outstanding (no par value):
Institutional Class..................................... 680,090 4,640,263 110 2,523,376
=========== =========== ========== ==========
PlanAhead Class......................................... 3,614,907 10,529,975 N/A N/A
=========== =========== ========== ==========
Service Class........................................... N/A N/A N/A N/A
=========== =========== ========== ==========
AMR Class............................................... 48,892,139 42,308,436 9,316,351 N/A
=========== =========== ========== ==========
Net asset value, offering and redemption price per share:
Institutional Class..................................... $ 14.41 $ 19.58 $ 5.79 $ 10.90
=========== =========== ========== ==========
PlanAhead Class......................................... $ 13.66 $ 18.82 N/A N/A
=========== =========== ========== ==========
Service Class........................................... N/A N/A N/A N/A
=========== =========== ========== ==========
AMR Class............................................... $ 13.91 $ 19.35 $ 5.81 N/A
=========== =========== ========== ==========
- ---------------
(A) Cost of investments in unaffiliated securities.......... $ 581,722 $ 847,006 $ 52,681 $ 25,219
(B) Cost of investments in affiliated securities............ $ 165,500 $ 133,192 $ 417 $ 5,670
(C) Cost of foreign currency................................ $ -- $ -- $ -- $ --
(D) Market value of securities on loan...................... $ 111,247 $ 53,931 $ 213 $ 2,788
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
76
- --------------------------------------------------------------------------------
<Table>
<Caption>
EMERGING HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM
MARKETS BOND INCOME BOND BOND
---------- ----------- ----------- ------------ -----------
(IN THOUSANDS)
$ 99,675 $ 368,947 $ 107,602 $ 95,212 $ 88,302
7,269 12,222 21,225 27,266 5,643
1,551 -- -- -- --
-- 2 9 -- --
560 6,228 370 101 --
310 7,509 1,136 895 961
-- 110 153 5,353 166
5 -- -- -- --
44 -- -- -- --
---------- ----------- ----------- ----------- -----------
109,414 395,018 130,495 128,827 95,072
---------- ----------- ----------- ----------- -----------
594 1,500 473 2,396 --
6,268 31,306 18,038 20,641 1,024
761 348 25 123 2
-- 241 -- 1 --
279 567 108 20 19
2 99 42 1 1
133 -- -- -- --
-- 484 -- -- --
40 60 49 13 2
---------- ----------- ----------- ----------- -----------
8,077 34,605 18,735 23,195 1,048
---------- ----------- ----------- ----------- -----------
$ 101,337 $ 360,413 $ 111,760 $ 105,632 $ 94,024
========== =========== =========== =========== ===========
80,421 361,755 112,206 113,246 103,077
505 -- (523) (1) (2,194)
4,150 3,825 336 (7,702) (5,826)
16,261 (5,167) (259) 89 (1,033)
---------- ----------- ----------- ----------- -----------
$ 101,337 $ 360,413 $ 111,760 $ 105,632 $ 94,024
========== =========== =========== =========== ===========
513,334 20,451,566 N/A 10,237,668 9,793,440
========== =========== =========== =========== ===========
175,774 14,675,269 11,189,238 95,636 802,208
========== =========== =========== =========== ===========
N/A 505 N/A N/A N/A
========== =========== =========== =========== ===========
7,091,233 N/A N/A N/A N/A
========== =========== =========== =========== ===========
$ 12.99 $ 10.26 N/A $ 10.22 $ 8.87
========== =========== =========== =========== ===========
$ 12.89 $ 10.26 $ 9.99 $ 10.29 $ 8.89
========== =========== =========== =========== ===========
N/A $ 10.45 N/A N/A N/A
========== =========== =========== =========== ===========
$ 13.03 N/A N/A $ N/A $ N/A
========== =========== =========== =========== ===========
$ 83,189 $ 374,114 $ 107,861 $ 95,123 $ 89,335
$ 7,269 $ 12,222 $ 21,225 $ 27,266 $ 5,643
$ 1,545 $ -- $ -- $ -- $ --
$ 6,146 $ 33,071 $ 17,694 $ 20,241 $ 1,003
</Table>
- --------------------------------------------------------------------------------
77
AMERICAN BEACON FUNDS
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
LARGE CAP LARGE CAP MID-CAP
BALANCED VALUE GROWTH VALUE
-------- --------- --------- -------
(IN THOUSANDS)
INVESTMENT INCOME:
Dividend income from unaffiliated securities (net of
foreign taxes)*....................................... $ 5,259 $10,359 $ 590 $ 256
Dividend income from affiliated securities.............. 21 973 8 47
Interest income......................................... 5,453 76 2 5
Income derived from commission recapture................ 13 93 3 23
Income derived from securities lending, net............. 75 28 1 1
Other income............................................ 2 -- -- --
------- ------- ------- ------
TOTAL INVESTMENT INCOME............................. 10,823 11,529 604 332
------- ------- ------- ------
EXPENSES:
Management and investment advisory fees (Note 2)........ 1,009 1,521 173 101
Administrative service fees (Note 2):
Institutional Class................................... 12 95 -- 38
PlanAhead Class....................................... 43 165 -- --
Transfer agent fees:
Institutional Class................................... (2) 4 -- 3
PlanAhead Class....................................... 9 12 -- --
AMR Class............................................. 8 11 -- --
Fund accounting fees.................................... 84 138 10 4
Professional fees....................................... 22 24 3 3
Registration fees and expenses.......................... 22 48 1 4
Service fees -- PlanAhead Class (Note 2)................ 43 165 -- --
Prospectus and shareholder reports...................... 55 81 5 8
Other expenses.......................................... 7 9 1 --
------- ------- ------- ------
TOTAL EXPENSES...................................... 1,312 2,273 193 161
------- ------- ------- ------
Less fees waived (Note 2)............................... -- -- -- 7
------- ------- ------- ------
NET EXPENSES........................................ 1,312 2,273 193 154
------- ------- ------- ------
NET INVESTMENT INCOME....................................... 9,511 9,256 411 178
------- ------- ------- ------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on:
Investments........................................... 14,807 27,888 2,206 1,948
Foreign currency transactions......................... -- -- -- --
Futures contracts..................................... 3,702 2,521 38 768
Change in net unrealized appreciation or depreciation
of:
Investments........................................... 15,947 33,975 (2,351) (464)
Foreign currency translations......................... -- -- -- --
Futures contracts..................................... (2,366) (3,250) (7) (157)
------- ------- ------- ------
NET GAIN (LOSS) ON INVESTMENTS...................... 32,090 61,134 (114) 2,095
------- ------- ------- ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $41,601 $70,390 $ 297 $2,273
======= ======= ======= ======
* Foreign taxes......................................... $ 73 $ 228 $ -- $ --
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
78
- --------------------------------------------------------------------------------
<Table>
<Caption>
EMERGING HIGH YIELD ENHANCED
MARKETS BOND INCOME
-------- ---------- --------
(IN THOUSANDS)
$ 1,198 $ -- $ 126
79 125 40
12 15,471 1,839
-- -- --
7 109 17
-- -- 9
-------- ------- ------
1,296 15,705 2,031
-------- ------- ------
435 1,017 196
10 293 --
2 195 137
1 32 --
4 15 29
1 -- --
196 48 13
3 12 6
14 18 11
2 195 137
8 18 14
1 2 --
-------- ------- ------
677 1,845 543
-------- ------- ------
3 1 --
-------- ------- ------
674 1,844 543
-------- ------- ------
622 13,861 1,488
-------- ------- ------
3,972 3,890 724
853 -- --
608 -- --
2,524 (18,812) (2,425)
1,746 -- --
(197) -- --
-------- ------- ------
9,506 (14,922) (1,701)
-------- ------- ------
$ 10,128 $(1,061) $ (213)
======== ======= ======
$ 141 $ -- $ --
</Table>
- --------------------------------------------------------------------------------
79
AMERICAN BEACON FUNDS
STATEMENTS OF OPERATIONS -- CONTINUED
Six Months Ended April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INTERMEDIATE SHORT-TERM
BOND BOND
------------ ----------
(IN THOUSANDS)
INVESTMENT INCOME:
Dividend income from affiliated securities.............. $ 40 $ 15
Interest income......................................... 2,023 1,413
Income derived from securities lending, net............. 11 1
------ ------
TOTAL INVESTMENT INCOME............................. 2,074 1,429
------ ------
EXPENSES:
Management and investment advisory fees (Note 2)........ 118 108
Administrative service fees (Note 2):
Institutional Class (terminated 3/1/05) (Note 1)...... 1 3
PlanAhead Class....................................... 1 9
Transfer agent fees:
Institutional Class (terminated 3/1/05) (Note 1)...... (1) 1
PlanAhead Class....................................... 1 3
Institutional Class (known as AMR Class prior to
3/1/05) (Note 1)..................................... 2 1
Fund accounting fees.................................... 12 7
Professional fees....................................... 5 2
Registration fees and expenses.......................... 11 10
Service fees -- PlanAhead Class (Note 2)................ 1 9
Prospectus and shareholder reports...................... 2 10
Other expenses.......................................... 2 1
------ ------
TOTAL EXPENSES...................................... 155 164
------ ------
NET INVESTMENT INCOME....................................... 1,919 1,265
------ ------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on:
Investments........................................... 252 17
Change in net unrealized appreciation or depreciation
of:
Investments........................................... (1,235) (1,221)
------ ------
NET GAIN (LOSS) ON INVESTMENTS...................... (983) (1,204)
------ ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 936 $ 61
====== ======
* Foreign taxes......................................... -- --
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
80
(This page intentionally left blank)
(LIGHTHOUSE LOGO)
81
AMERICAN BEACON FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BALANCED LARGE CAP VALUE LARGE CAP GROWTH
------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31,
2005 2004 2005 2004 2005 2004
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................. $ 9,511 $ 15,049 $ 9,256 $ 12,568 $ 411 $ 184
Net realized gain (loss) on
investments, futures contracts, and
foreign currency transactions....... 18,509 27,633 30,409 39,844 2,244 4,414
Change in net unrealized appreciation
or depreciation of investments,
futures contracts, and foreign
currency translations............... 13,581 33,329 30,725 69,573 (2,358) (1,298)
-------- -------- ---------- --------- -------- --------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS....... 41,601 76,011 70,390 121,985 297 3,300
-------- -------- ---------- --------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class................. (183) (211) (909) (414) -- --
PlanAhead Class..................... (584) (354) (1,111) (344) -- --
AMR Class........................... (16,172) (15,797) (11,555) (11,675) (474) (151)
Net realized gain on investments:
Institutional Class................. (277) -- -- -- -- --
PlanAhead Class..................... (930) -- -- -- -- --
AMR Class........................... (21,970) -- -- -- -- --
-------- -------- ---------- --------- -------- --------
NET DISTRIBUTIONS TO
SHAREHOLDERS.................... (40,116) (16,362) (13,575) (12,433) (474) (151)
-------- -------- ---------- --------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares......... 62,092 71,533 339,527 148,293 19,408 25,454
Reinvestment of dividends and
distributions....................... 40,085 16,359 13,156 12,206 474 151
Cost of shares redeemed............... (30,823) (61,146) (97,820) (117,617) (20,739) (22,559)
Redemption fees....................... -- -- -- -- -- --
-------- -------- ---------- --------- -------- --------
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE
TRANSACTIONS.................... 71,354 26,746 254,863 42,882 (857) 3,046
-------- -------- ---------- --------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS..... 72,839 86,395 311,678 152,434 (1,034) 6,195
-------- -------- ---------- --------- -------- --------
NET ASSETS:
Beginning of period................... 666,369 579,974 796,146 643,712 55,122 48,927
-------- -------- ---------- --------- -------- --------
END OF PERIOD*........................ $739,208 $666,369 $1,107,824 $ 796,146 $ 54,088 $ 55,122
======== ======== ========== ========= ======== ========
* Includes undistributed net
investment income (loss) of......... $ 4,534 $ 11,527 $ 3,124 $ 7,615 $ 52 $ 120
======== ======== ========== ========= ======== ========
<Caption>
MID-CAP VALUE(1)
-------------------------
SIX MONTHS
ENDED JUNE 30 TO
APRIL 30, OCTOBER 31,
2005 2004
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................. $ 178 $ 43
Net realized gain (loss) on
investments, futures contracts, and
foreign currency transactions....... 2,716 (43)
Change in net unrealized appreciation
or depreciation of investments,
futures contracts, and foreign
currency translations............... (621) 562
-------- -------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS....... 2,273 562
-------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class................. (115) --
PlanAhead Class..................... -- --
AMR Class........................... -- --
Net realized gain on investments:
Institutional Class................. (3) --
PlanAhead Class..................... -- --
AMR Class........................... -- --
-------- -------
NET DISTRIBUTIONS TO
SHAREHOLDERS.................... (118) --
-------- -------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares......... 30,245 26,544
Reinvestment of dividends and
distributions....................... 118 --
Cost of shares redeemed............... (30,569) (1,560)
Redemption fees....................... -- --
-------- -------
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE
TRANSACTIONS.................... (206) 24,984
-------- -------
NET INCREASE (DECREASE) IN NET ASSETS..... 1,949 25,546
-------- -------
NET ASSETS:
Beginning of period................... 25,546 --
-------- -------
END OF PERIOD*........................ $ 27,495 $25,546
======== =======
* Includes undistributed net
investment income (loss) of......... $ 78 $ 43
======== =======
</Table>
- ---------------
(1) Commencement of Operations
See accompanying notes
- --------------------------------------------------------------------------------
82
- --------------------------------------------------------------------------------
<Table>
<Caption>
EMERGING MARKETS HIGH YIELD BOND ENHANCED INCOME
------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31,
2005 2004 2005 2004 2005 2004
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 622 $ 676 $ 13,861 $ 22,814 $ 1,488 $ 2,525
5,433 10,395 3,890 6,934 724 320
4,073 (243) (18,812) 2,292 (2,425) 1,851
-------- -------- --------- --------- -------- --------
10,128 10,828 (1,061) 32,040 (213) 4,696
-------- -------- --------- --------- -------- --------
(39) (20) (8,437) (13,226) -- --
(3) (3) (5,424) (9,588) (1,778) (2,672)
(577) (415) -- -- -- --
(673) -- (4,274) (2,082) -- --
(86) -- (2,693) (1,646) -- --
(6,885) -- -- -- -- --
-------- -------- --------- --------- -------- --------
(8,263) (438) (20,828) (26,542) (1,778) (2,672)
-------- -------- --------- --------- -------- --------
25,908 43,769 87,208 214,560 16,605 21,940
8,256 438 18,838 21,423 1,778 2,192
(17,389) (27,453) (113,791) (138,469) (8,529) (23,331)
2 4 -- -- -- --
-------- -------- --------- --------- -------- --------
16,777 16,758 (7,745) 97,514 9,854 801
-------- -------- --------- --------- -------- --------
18,642 27,148 (29,634) 103,012 7,863 2,825
-------- -------- --------- --------- -------- --------
82,695 55,547 390,047 287,035 103,897 101,072
-------- -------- --------- --------- -------- --------
$101,337 $ 82,695 $ 360,413 $ 390,047 $111,760 $103,897
======== ======== ========= ========= ======== ========
$ 505 $ 486 $ -- $ -- $ (523) $ (144)
======== ======== ========= ========= ======== ========
</Table>
- --------------------------------------------------------------------------------
83
AMERICAN BEACON FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) -- CONTINUED
- --------------------------------------------------------------------------------
<Table>
<Caption>
INTERMEDIATE BOND SHORT-TERM BOND
------------------------- -------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 1,919 $ 4,681 $ 1,265 $ 2,816
Net realized gain (loss) on investments, futures
contracts, and foreign currency transactions.......... 252 1,148 17 432
Change in net unrealized appreciation or depreciation of
investments, futures contracts, and foreign currency
translations.......................................... (1,235) (67) (1,221) (991)
-------- -------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ 936 5,762 61 2,257
-------- -------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class (terminated 3/1/05) (Note 1)...... (13) (36) (48) (162)
Institutional Class................................... (19) (43) (147) (345)
Institutional Class (known as AMR Class prior to
3/1/05) (Note 1).................................... (2,031) (5,071) (1,817) (4,192)
-------- -------- --------- ---------
NET DISTRIBUTIONS TO SHAREHOLDERS................... (2,063) (5,150) (2,012) (4,699)
-------- -------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........................... 32,254 31,565 19,100 19,631
Reinvestment of dividends and distributions............. 2,060 5,146 1,999 4,626
Cost of shares redeemed................................. (25,800) (73,424) (16,733) (31,645)
-------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS................................ 8,514 (36,713) 4,366 (7,388)
-------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS....................... 7,387 (36,101) 2,415 (9,830)
-------- -------- --------- ---------
NET ASSETS:
Beginning of period..................................... 98,245 134,346 91,609 101,439
-------- -------- --------- ---------
END OF PERIOD*.......................................... $105,632 $ 98,245 $ 94,024 $ 91,609
======== ======== ========= =========
* Includes undistributed net investment income (loss)
of.................................................... $ (1) -- $ (2,194) ($ 1,576)
======== ======== ========= =========
</Table>
- --------------------------------------------------------------------------------
84
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American Beacon Funds (the "Trust"), formerly known as the American
AAdvantage Funds, is organized as a Massachusetts business trust and is
registered under the Investment Company Act of 1940 (the "Act"), as amended, as
a no load, open-end management investment company. These financial statements
and notes to the financial statements relate to the American Beacon Balanced
Fund, the American Beacon Large Cap Value Fund, the American Beacon Large Cap
Growth Fund, the American Beacon Mid-Cap Value Fund, the American Beacon
Emerging Markets Fund, the American Beacon High Yield Bond Fund, the American
Beacon Enhanced Income Fund, the American Beacon Intermediate Bond Fund and the
American Beacon Short-Term Bond Fund (each a "Fund" and collectively, the
"Funds"), each a series of the Trust.
American Beacon Advisors, Inc. (the "Manager"), formerly known as AMR
Investment Services, Inc., is a wholly-owned subsidiary of AMR Corporation, the
parent company of American Airlines, Inc. ("American"), and was organized in
1986 to provide business management, advisory, administrative and asset
management consulting services to the Trust and other investors.
Class Disclosure
Each Fund, except the Mid-Cap Value and Enhanced Income Fund, has multiple
classes of shares designed to meet the needs of different groups of investors.
Please note that not all Funds offer all classes. The following table sets forth
the differences amongst the classes:
<Table>
<Caption>
CLASS: OFFERED TO: SERVICE AND DISTRIBUTION FEES:
- ------ ----------- ------------------------------
INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service 0.25%
Fee --
PLANAHEAD CLASS General public and investors investing through an Administrative Service 0.25%
intermediary Fee -- 0.25%
Service Fee --
SERVICE CLASS Investors investing through an intermediary Administrative Service 0.25%
Fee -- 0.25%
Service Fee -- 0.25%
Distribution Fee --
AMR CLASS Investors in the tax-exempt retirement and benefit plans of N/A
AMR Corporation and its affiliates
</Table>
Investment income, net capital gains (losses) and all expenses incurred by
the Funds are allocated based on the relative net assets of each class, except
for service fees and certain other fees and expenses related solely to one class
of shares.
Reorganization Intermediate Bond and Short-Term Bond Funds
Effective March 1, 2005, the existing Institutional Class of the
Intermediate Bond and Short-Term Bond Funds was terminated, and Institutional
Class shares were exchanged for AMR Class shares of each Fund. Following the
exchange, the former AMR Class of shares for these Funds was renamed
Institutional Class.
Security Valuation
Investments are valued at the close of the New York Stock Exchange (the
"Exchange"), normally 4 p.m. ET, each day that the Exchange is open for
business. Equity securities for which market quotations are available are valued
at the last sale price or official closing price (closing bid
- --------------------------------------------------------------------------------
85
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
price or last evaluated quote if no sale has occurred) on the primary market or
exchange on which they trade.
Debt securities (other than short-term securities) normally are valued on
the basis of prices provided by a pricing service and may take into account
appropriate factors such as institution-size trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics and other market data. When a price is unavailable from a
pricing service or when the price provided by the pricing service is deemed not
to represent fair value, the prices of debt securities may be determined using
quotes obtained from brokers.
Investments in mutual funds are valued at the closing net asset value per
share of the mutual fund on the day of valuation. Investment grade short-term
obligations with 60 days or less to maturity are valued using the amortized cost
method which approximates market value.
Securities for which the above valuation procedures are inappropriate, or
are deemed not to reflect fair value, are valued at fair value, as determined in
good faith and pursuant to procedures approved by the Trust's Board of Trustees
(the "Board").
Most foreign markets close before the Exchange. Developments that could
affect the values of securities that occur between the close of a foreign market
and the close of the Exchange normally will not be reflected in security
valuations. If such developments are so significant such that they will, in the
judgement of the pricing committee of the Funds, clearly and materially affect
the value of securities, the previous closing prices may be adjusted to reflect
the fair value of the securities as of the close of the Exchange, as determined
in good faith and pursuant to procedures approved by the Board. Adjustments to
closing prices to reflect fair value on affected foreign securities may be
provided by an independent pricing service.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale.
Dividend income is recorded on the ex-dividend date except certain
dividends from foreign securities which are recorded as soon as the information
is available to the Funds. Interest income is earned from settlement date,
recorded on the accrual basis, and adjusted, if necessary, for accretion of
discounts and amortization of premiums. For financial and tax reporting
purposes, realized gains and losses are determined on the basis of specific lot
identification.
Currency Translation
All assets and liabilities initially expressed in foreign currency values
are converted into U.S. dollar values at the mean of the bid and ask prices of
such currencies against U.S. dollars as last quoted by a recognized dealer.
Income, expenses and purchases and sales of investments are translated into U.S.
dollars at the rate of exchange prevailing on the respective dates of such
transactions. The effect of changes in foreign currency exchange rates on
investments is separately identified from the fluctuations arising from changes
in market values of securities held and is reported with all other foreign
currency gains and losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
86
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Forward Foreign Currency Contracts
The Emerging Markets Fund may enter into forward foreign currency contracts
to hedge the exchange rate risk on investment transactions or to hedge the value
of fund securities denominated in foreign currencies. Forward foreign currency
contracts are valued at the forward exchange rate prevailing on the day of
valuation.
Repurchase Agreements
Under the terms of a repurchase agreement, securities are acquired by a
Fund from a securities dealer or a bank which are subject to resale at a later
date. Repurchase agreements are fully collateralized. The collateral is
monitored daily by each Fund so that the collateral's market value equals or
exceeds the carrying value of the repurchase agreement, including accrued
interest.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of
securities at a specified price on a future date. The Balanced, Large Cap Value,
Large Cap Growth, Mid-Cap Value, Emerging Markets, High Yield Bond and Enhanced
Income Funds may enter into financial futures contracts as a method for keeping
assets readily convertible to cash if needed to meet shareholder redemptions or
for other needs while maintaining exposure to the stock or bond market, as
applicable. The primary risks associated with the use of futures contracts are
the possibility of illiquid markets or imperfect correlation between the values
of the contracts and the underlying securities, or that the counterparty will
fail to perform its obligations.
Upon entering into a futures contract, the Fund is required to set aside or
deposit with a broker an amount, termed the initial margin, which typically
represents 5% of the face value of the futures contract. The initial margin
amount is reflected as Deposit with broker for futures contracts on the
Statement of Assets and Liabilities for the Large Cap Growth Fund. The other
Funds reflect this amount on the Schedules of Investments as a US Treasury Bill
held as collateral for futures contracts. Payments to and from the broker, known
as variation margin, are required to be made on a daily basis as the price of
the futures contract fluctuates. Changes in initial settlement values are
accounted for as unrealized appreciation (depreciation) until the contracts are
terminated, at which time realized gains and losses are recognized. Futures
contracts are valued at the most recent settlement price established each day by
the exchange on which they are traded.
Dividends to Shareholders
Dividends from net investment income of the Balanced, Large Cap Value,
Large Cap Growth, Mid-Cap Value, and Emerging Markets Funds normally will be
declared and paid annually. The High Yield Bond, Enhanced Income, Intermediate
Bond and Short-Term Bond Funds generally declare dividends from net investment
income daily, payable monthly. Distributions, if any, of net realized capital
gains are generally paid annually and recorded on the ex-dividend date.
Commission Recapture
The Funds have established brokerage commission recapture arrangements with
certain brokers or dealers. If a Fund's investment advisor chooses to execute a
transaction through a participating broker, the broker rebates a portion of the
commission back to the Fund. Any collateral benefit
- --------------------------------------------------------------------------------
87
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
received through participation in the commission recapture program is directed
exclusively to the Fund.
Allocation of Income, Expenses, Gains and Losses
Income, expenses (other than those attributable to a specific class), gains
and losses are allocated daily to each class of shares based upon the relative
proportion of net assets represented by such class. Operating expenses directly
attributable to a specific class are charged against the operations of that
class.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
Redemption Fees
The Emerging Markets Fund imposes a 2% redemption fee on certain
Institutional and PlanAhead Class shares held for less than 90 days. The fee is
deducted from the redemption proceeds and is intended to offset the trading
costs, market impact and other costs associated with short-term trading activity
in the Fund. The "first-in, first-out" method is used to determine the holding
period.
Other
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liability arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that provide indemnification to the other party or parties against
potential costs or liabilities. The Trust's maximum exposure under these
arrangements is dependent on claims that may be made in the future and,
therefore, cannot be estimated. The Trust has had no prior claims or losses
pursuant to any such agreement.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement that
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory, fund management and securities lending services. Investment
assets of the Balanced, Large Cap Value, Large Cap Growth, Mid-Cap Value,
Emerging Markets, High Yield Bond, Enhanced Income and Intermediate Bond Funds
are managed by multiple investment advisors which have entered into separate
investment advisory agreements with the Manager. As compensation for performing
the duties required under the Management Agreement, the Manager receives from
the Balanced Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid-Cap Value
Fund, Emerging Markets Fund, High Yield Bond Fund and Enhanced Income Fund an
annualized fee equal to .10% of the average daily net assets plus amounts paid
by the Manager to the investment advisors hired by the Manager to direct
investment activities of the Funds. The Manager receives an annualized fee of
..25% of the average daily net assets of the
- --------------------------------------------------------------------------------
88
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Intermediate Bond Fund and pays a portion of their fee to an investment advisor
hired by the Manager to direct investment activities of a portion of the Fund.
Management fees paid during the six months ended April 30, 2005 were as follows
(dollars in thousands):
<Table>
<Caption>
AMOUNTS PAID TO NET AMOUNTS
MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY
FEE RATE FEE ADVISORS MANAGER
----------- ---------- --------------- -----------
Balanced Fund...................................... .225%-.70% $1,009 $ 653 $356
Large Cap Value Fund............................... .225%-.70% 1,521 1,014 507
Large Cap Growth Fund.............................. .35%-.55% 173 144 29
Mid-Cap Value Fund................................. .40%-.90% 101 87 14
Emerging Markets Fund.............................. .80%-1.20% 435 384 51
High Yield Bond Fund............................... 1.52% 1,017 822 195
Enhanced Income Fund............................... .25%-.85% 196 141 55
Intermediate Bond Fund............................. .25% 118 46 72
</Table>
The Manager serves as the sole investment advisor to the Short-Term Bond
Fund. Pursuant to the Management Agreement, the Manager receives from the Fund
an annualized fee equal to .25% of the average daily net assets of the
Short-Term Bond Fund.
As compensation for services provided by the Manager in connection with
securities lending activities, the lending Fund pays to the Manager, with
respect to cash collateral posted by borrowers, a fee up to 25% of the net
monthly interest income (the gross interest income earned by the investment of
cash collateral, less the amount paid to borrowers and related expenses) from
such activities and, with respect to loan fees paid by borrowers when a borrower
posts collateral other than cash, a fee up to 25% of such loan fees. During the
six months ended April 30, 2005, securities lending fees paid to the Manager
were as follows (in thousands):
<Table>
Balanced Fund............................................... $15
Large Cap Value Fund........................................ 13
Emerging Markets Fund....................................... 1
High Yield Bond Fund........................................ 16
Enhanced Income Fund........................................ 3
Intermediate Bond Fund...................................... 2
</Table>
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement
which obligates the Manager to provide or oversee administrative and management
services to the Funds. As compensation for performing the duties required under
the Administrative Services Agreement, the Manager receives an annualized fee of
..25% of the average daily net assets of the Institutional, PlanAhead and Service
Classes of each of the Funds.
Distribution Plans
The Trust, except for the Service Class of the Funds, has adopted a
"defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under
the Investment Company Act of 1940, pursuant to which no fees may be charged to
the Funds for distribution purposes. However, the Plan authorizes the management
fees received by the Manager and the investment advisors hired by the Manager to
be used for distribution purposes. Under this Plan, the Trust does not intend to
- --------------------------------------------------------------------------------
89
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
compensate the Manager or any other party, either directly or indirectly, for
the distribution of Trust shares.
A separate Distribution Plan (the "Distribution Plan") has been adopted
pursuant to Rule 12b-1 under the Act for the Service Class of the Funds. Under
the Distribution Plan, as compensation for distribution assistance, the Manager
receives an annual fee of 0.25% of the average daily net assets of the Service
Class. The fee will be payable without regard to whether the amount of the fee
is more or less than the actual expenses incurred in a particular month by the
Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the
Manager to oversee additional shareholder servicing of the PlanAhead and Service
Classes. As compensation for performing the duties required under the Service
Plans, the Manager receives 0.25% of the average daily net assets of the
PlanAhead and Service Classes of each Fund.
Brokerage Commissions
Affiliated entities of a subadvisor to the Large Cap Growth Fund received
net commissions on purchases and sales of the Fund's portfolio securities
totaling $696 for the six months ended April 30, 2005.
Investment in Affiliated Funds
The Funds are permitted, pursuant to an exemptive order by the Securities
and Exchange Commission ("SEC") and approved procedures by the Board, to invest
up to 25% of its total assets in the American Beacon Money Market Select Fund
(the "Select Fund"), an affiliated fund. The Funds and the Select Fund have the
same investment advisor and therefore, are considered to be affiliated. Cash
collateral received by certain Funds in connection with securities lending may
be invested in the Select Fund and the American Beacon Enhanced Cash Trust (the
"Business Trust") (collectively, the "Affiliated Funds"). The Manager serves as
Trustee and investment advisor to the Affiliated Funds and receives from the
Affiliated Funds an annualized fee equal to 0.10% of the average daily net
assets. During the period, fees earned by the Manager from the Affiliated Funds
were as follows:
<Table>
<Caption>
SECURITIES LENDING
DIRECT INVESTMENT COLLATERAL INVESTED
IN FUNDS IN FUNDS TOTAL
----------------- ------------------- -------
Balanced.................................................... $21,867 $48,230 $70,097
Large Cap Value............................................. 41,290 27,496 68,786
Large Cap Growth............................................ 485 -- 485
Mid-Cap Value............................................... 944 756 1,700
Emerging Markets............................................ 4,114 1,070 5,184
High Yield Bond............................................. 8,412 -- 8,412
Enhanced Income............................................. 1,660 9,550 11,210
Intermediate Bond........................................... 1,699 7,866 9,565
Short-Term Bond............................................. 600 651 1,251
</Table>
- --------------------------------------------------------------------------------
90
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
Other
Certain officers or Trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. Mr. Feld and the non-interested Trustees (other than
Mr. O'Sullivan) and their spouses are provided free unlimited air transportation
on American. Retired Trustees and their spouses are provided free transportation
on American, up to a maximum annual value of $40,000. The Trust compensates each
Trustee with payments in an amount equal to the Trustee's income tax on the
value of this free airline travel. Mr. O'Sullivan, as a retiree of American,
already receives flight benefits. This Trustee receives an annual retainer of
$40,000 plus $1,250 for each Board meeting attended. At April 30, 2005, AMR
Corporation and subsidiary companies and Employee Benefit Trusts thereof owned
100% of AMR Class shares of the Funds, 100% of the Institutional Class of the
Mid-Cap Value Fund, 98% of the Institutional Class of the Intermediate Bond Fund
and 87% of the Institutional Class of the Short-Term Bond Fund.
Interfund Lending Program
Pursuant to an exemptive order by the SEC, the Funds along with other
registered investment companies having management contracts with the Manager,
may participate in an interfund lending program. This program provides an
alternative credit facility allowing the Funds to borrow from, or lend money to,
other participating Funds. At April 30, 2005, the Funds had not utilized the
credit facility.
Reimbursement of Expenses
The Manager contractually agreed to reimburse the following Funds for other
expenses through February 28, 2006 to the extent that total annual fund
operating expenses exceed the following amounts:
<Table>
<Caption>
FUND CLASS EXPENSE CAP
- ---- ----- -----------
Large Cap Growth............................................ Institutional 0.90%
Mid-Cap Value............................................... Institutional 1.14%
Emerging Markets............................................ PlanAhead 2.00%
High Yield Bond............................................. Service 1.50%
Intermediate................................................ PlanAhead 0.95%
</Table>
During the six months ended April 30, 2005, the Manager waived or
reimbursed expenses as follows:
<Table>
<Caption>
FUND CLASS AMOUNT
- ---- ----- ------
Mid-Cap Value............................................... Institutional $7,258
Emerging Markets............................................ PlanAhead 2,831
High Yield Bond............................................. Institutional 506
High Yield Bond............................................. Service 127
</Table>
Expense Reimbursement Plan
The Funds have adopted an Expense Reimbursement Plan whereby the Manager
may seek repayment of fees waived or expenses reimbursed for a period of up to
three years. However, reimbursement will occur only if the Class' average net
assets have grown or expenses have declined
- --------------------------------------------------------------------------------
91
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
sufficiently to allow reimbursement without causing its expense ratio to exceed
the previously agreed upon contractual expense limit. The following waived fees
or reimbursed expenses are subject to potential recovery expiring in:
<Table>
<Caption>
YEAR MID-CAP VALUE EMERGING MARKETS
- ---- ------------- ----------------
2008........................................................ $7,258 $2,831
</Table>
3. FEDERAL INCOME AND EXCISE TAXES
It is the policy of each of the Funds to comply with the requirements of
Subchapter M of the Internal Revenue Code and to distribute substantially all
net investment income as well as any net realized capital gains on the sale of
investments. Therefore, no federal income or excise tax provision is required.
Dividends are determined in accordance with income tax regulations which
may treat certain transactions differently than U.S. generally accepted
accounting principles. Accordingly, the character of distributions and
composition of net assets for tax purposes may differ from those reflected in
the accompanying financial statements.
The tax character of distributions during the periods ended April 30, 2005
and October 31, 2004 were as follows (in thousands):
<Table>
<Caption>
BALANCED LARGE CAP VALUE LARGE-CAP GROWTH MID CAP VALUE
------------------------- ------------------------- ------------------------- -------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30,
2005 2004 2005 2004 2005 2004 2005
----------- ----------- ----------- ----------- ----------- ----------- -------------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Institutional Class....... $ 207 $ 211 $ 909 $ 414 $ -- $ -- $118
PlanAhead Class........... 665 354 1,111 344 -- -- --
AMR Class................. 18,088 15,797 11,555 11,675 474 151 --
LONG-TERM CAPITAL GAIN
Institutional Class....... 253 -- -- -- -- -- --
PlanAhead Class........... 849 -- -- -- -- -- --
AMR Class................. 20,054 -- -- -- -- -- --
------- ------- ------- ------- ---- ---- ----
TOTAL DISTRIBUTIONS
PAID................ $40,116 $16,362 $13,575 $12,433 $474 $151 $118
------- ------- ------- ------- ---- ---- ----
</Table>
- --------------------------------------------------------------------------------
92
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
EMERGING MARKETS HIGH-YIELD BOND ENHANCED INCOME
------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31,
2005 2004 2005 2004 2005 2004
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Institutional Class................ $ 39 $ 20 $ 9,257 $14,823 $ -- $ --
PlanAhead Class.................... 3 3 5,941 10,851 1,778 2,672
Service Class...................... -- -- -- -- -- --
AMR Class.......................... 577 415 -- -- -- --
LONG-TERM CAPITAL GAIN
Institutional Class................ 673 -- 3,454 485 -- --
PlanAhead Class.................... 86 -- 2,176 383 -- --
Service Class...................... -- -- -- -- -- --
AMR Class.......................... 6,885 -- -- -- -- --
------ ---- ------- ------- ------ ------
TOTAL DISTRIBUTIONS PAID....... $8,263 $438 $20,828 $26,542 $1,778 $2,672
------ ---- ------- ------- ------ ------
</Table>
<Table>
<Caption>
INTERMEDIATE BOND SHORT-TERM BOND
------------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCTOBER 31, APRIL 30 OCTOBER 31,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
Institutional Class (terminated 3/1/05)..................... $ 13 $ 36 $ 48 $ 162
PlanAhead Class............................................. 19 43 147 345
Institutional Class (formerly known as AMR Class prior to
3/1/05).................................................... 2,031 5,071 1,817 4,192
------ ------ ------ ------
$2,063 $5,150 $2,012 $4,699
------ ------ ------ ------
</Table>
As of April 30, 2005, the components of distributable earnings were as
follows (in thousands):
<Table>
<Caption>
BALANCED LARGE CAP LARGE CAP MID-CAP
FUND VALUE FUND GROWTH FUND VALUE FUND
-------- ---------- ------------- ----------
Cost basis of investments for federal income tax purposes... $754,346 $991,139 $54,970 $30,987
Unrealized appreciation..................................... 110,410 199,206 3,281 1,315
Unrealized depreciation..................................... (12,574) (26,862) (3,864) (1,361)
-------- -------- ------- -------
Net unrealized appreciation/(depreciation).................. 97,836 172,344 (583) (46)
Undistributed ordinary income............................... 5,508 3,082 50 2,393
Undistributed long-term gain/(loss)......................... 15,380 23,349 (7,286) 366
-------- -------- ------- -------
Distributable earnings...................................... $118,724 $198,775 $(7,819) $ 2,713
======== ======== ======= =======
</Table>
<Table>
<Caption>
ENHANCED
EMERGING HIGH YIELD INCOME INTERMEDIATE SHORT-TERM
MARKETS FUND BOND FUND FUND BOND FUND BOND FUND
------------ ---------- ------------- ------------- ----------
Cost basis of investments for federal income tax
purposes........................................... $91,611 $386,559 $129,086 $122,401 $97,281
Unrealized appreciation............................. 18,191 4,631 1,565 809 32
Unrealized depreciation............................. (2,858) (10,021) (1,824) (732) (3,368)
------- -------- -------- -------- -------
Net unrealized appreciation/(depreciation).......... 15,333 (5,390) (259) 77 (3,336)
Undistributed ordinary income....................... 1,274 1,966 20 502 533
Undistributed long-term gain/(loss)................. 4,431 2,860 335 (7,702) (5,826)
------- -------- -------- -------- -------
Distributable earnings.............................. $21,038 $ (564) $ 96 $ (7,123) $(8,629)
======= ======== ======== ======== =======
</Table>
Financial reporting records are adjusted for permanent book/tax differences
to reflect tax character. Financial records are not adjusted for temporary
differences. The temporary differences between financial reporting and tax-basis
reporting of unrealized appreciation/(depreciation) are attributable primarily
to the tax deferral of losses from wash sales, the realization for tax purposes
of
- --------------------------------------------------------------------------------
93
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
unrealized gains/(losses) on certain derivative instruments, book amortization
for premiums, and the realization for tax purposes of unrealized gains/(losses)
on investments in passive foreign investment companies.
Due to inherent differences in the recognition of income, expenses and
realized gains/losses under U.S. generally accepted accounting principles and
federal income tax purposes, permanent differences between book and tax
reporting have been identified and appropriately reclassified on the Statement
of Assets and Liabilities.
Accordingly, the following amounts represent current year permanent
differences that have been reclassified as of April 30, 2005 (in thousands):
<Table>
<Caption>
LARGE CAP LARGE CAP MID-CAP EMERGING ENHANCED INTERMEDIATE SHORT-TERM
BALANCED VALUE GROWTH VALUE MARKETS INCOME BOND BOND
FUND FUND FUND FUND FUND FUND FUND FUND
-------- --------- --------- ------- -------- -------- ------------ ----------
Paid-in-capital.................... $ 22 $ 31 $ 1 $ 4 $ -- $138 $ -- $(431)
Undistributed net investment
income............................ 435 (172) (5) (28) 16 (89) 143 320
Accumulated net realized gain
(loss)............................ (457) 141 4 24 (16) (49) (143) 111
Unrealized appreciation
(depreciation) of investments,
futures contracts and foreign
currency.......................... -- -- -- -- -- -- -- --
</Table>
At April 30, 2005, capital loss carryforward positions for federal income
tax purposes were as follows (in thousands):
<Table>
<Caption>
FUND 2006 2007 2008 2009 2010 2011 2012 2013 TOTAL
- ---- ---- ----- ----- ---- ----- ---- ---- ---- -----
Large Cap Growth....................................... -- -- -- -- 6,612 674 -- -- 7,286
Intermediate Bond...................................... -- -- 7,367 -- 328 -- -- 7 7,702
Short-Term Bond........................................ 437 1,991 1,218 -- 913 161 800 306 5,826
</Table>
Net capital loss carryovers utilized for the period ended April 30, 2005
are as follows: Large Cap Value Fund $4,106, Large Cap Growth Fund $2,551, and
Enhanced Income Fund $340. The Short-Term Bond Fund had $432 of expired capital
loss carryovers.
4. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended April 30, 2005 (excluding
short-term investments) are as follows (in thousands):
<Table>
<Caption>
LARGE CAP LARGE CAP MID-CAP EMERGING HIGH YIELD ENHANCED INTERMEDIATE
BALANCED VALUE GROWTH VALUE MKT BOND INCOME BOND SHORT-TERM
-------- --------- --------- ------- -------- ---------- -------- ------------ ----------
Purchases............ $294,740 $308,730 $45,864 $22,000 $42,619 $258,774 $26,544 $68,671 $9,864
Proceeds from sales.. $229,309 $101,965 $47,275 $18,682 $22,009 $261,757 $19,173 $68,527 $8,486
</Table>
The Balanced Fund had purchases and sales of U.S. Government Securities of
$91,174 and $149,404 respectively, and the Intermediate Bond Fund had purchases
and sales of U.S. Government securities of $15,190 and $15,169, respectively.
- --------------------------------------------------------------------------------
94
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
A summary of the Funds' direct transactions in Affiliated Funds for the
period ended April 30, 2005 is set forth below (in thousands):
<Table>
<Caption>
OCTOBER 31, 2004 APRIL 30, 2005
FUND AFFILIATE SHARE/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE
- ---- ----------- ------------------ ---------- ----------- -------------------
Balanced....................... Select Fund $45,118 $ 211,539 $ 204,663 $51,994
Large Cap Value................ Select Fund 37,721 537,198 496,542 78,377
Large Cap Growth............... Select Fund 4,309 14,683 18,790 202
Mid-Cap Value.................. Select Fund 5,810 51,148 54,133 2,825
Emerging Markets............... Select Fund 11,076 36,999 47,075 1,000
High Yield Bond................ Select Fund 23,672 126,525 137,975 12,222
Enhanced Income................ Select Fund 442 30,913 28,168 3,187
Intermediate Bond.............. Select Fund 2,767 43,100 39,242 6,625
Short Term Bond................ Select Fund 1,683 17,648 14,711 4,620
</Table>
5. SECURITIES LENDING
Each Fund may lend its securities to qualified financial institutions, such
as certain broker-dealers, to earn additional income. The borrowers are required
to secure their loans continuously with collateral in an amount at least equal
to 102% (for loans of US securities) or 105% (for non-US securities) of the
market value of the loaned securities at the inception of each loan. Collateral
is marked to market and monitored daily. To the extent that a loan is
collateralized by cash, such collateral shall be invested by the securities
lending agent (the "Agent") in short-term instruments, money market mutual
funds, and such other short-term investments, provided the investments meet
certain quality and diversification requirements.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and the Agent and is recorded as income for the Fund. To the
extent that a loan is secured by non-cash collateral, brokers pay the Fund
negotiated lenders' fees, which are divided between the Fund and the Agent and
are recorded as securities lending income for the Fund. The Fund also continues
to receive income on the securities loaned, and any gain or loss in the market
priced of securities loaned that may occur during the term of the loan.
Risks to the Fund in securities lending transactions are that the borrower
may not provide additional collateral when required or return the securities
when due, and that the value of the short-term investments will be less than the
amount of cash collateral required to be returned to the borrower.
- --------------------------------------------------------------------------------
95
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
At April 30, 2005, the value of outstanding securities on loan and the
value of collateral was as follows (in thousands):
<Table>
<Caption>
MARKET VALUE OF
FUND SECURITIES ON LOAN CASH COLLATERAL
- ---- ------------------ ---------------
Balanced.................................................... $111,247 $113,505
Large Cap Value............................................. 53,931 54,815
Large Cap Growth............................................ 213 216
Mid-Cap Value............................................... 2,788 2,845
Emerging Markets............................................ 6,146 6,268
High Yield Bond............................................. 30,071 31,306
Enhanced Income............................................. 17,694 18,038
Intermediate Bond........................................... 20,241 20,641
Short Term Bond............................................. 1,003 1,024
</Table>
The Custodian for each Fund, other than High Yield Bond, invested the cash
collateral in the Business Trust and the Select Fund. These amounts have been
included as investments in each Fund's Schedule of Investments and Statements of
Assets and Liabilities. Income earned on these investments is reported as Income
derived from securities lending in the Statements of Operations.
Non-Cash collateral received by the Fund may not be sold or repledged;
therefore, non-cash collateral is not included on the Fund's Schedule of
Investments or Statement of Assets and Liabilities.
6. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each Class of
the Funds (in thousands):
Period Ended April 30, 2005
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ------------------- -----------------
BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------- -------- -------- ------ --------- ------- -------
Shares sold....................................... 77 $1,119 2,135 $ 29,513 2,228 $31,460
Reinvestment of dividends......................... 32 459 108 1,484 2,736 38,142
Shares redeemed................................... (14) (208) (212) (2,931) (1,972) (27,684)
------ ------ ------ --------- ------- -------
Net increase in shares outstanding................ 95 $1,370 2,031 $ 28,066 2,992 $41,918
====== ====== ====== ========= ======= =======
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
------------------- ------------------- ------------------
LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- -------- ------ --------- ------- --------
Shares sold...................................... 2,652 $51,835 8,165 $ 154,136 6,900 $133,556
Reinvestment of dividends........................ 25 496 58 1,105 592 11,555
Shares redeemed.................................. (695) (13,554) (629) (11,874) (3,808) (72,392)
------ ------- ------ --------- ------- --------
Net increase in shares outstanding............... 1,982 $38,777 7,594 $ 143,367 3,684 $ 72,719
====== ======= ====== ========= ======= ========
</Table>
- --------------------------------------------------------------------------------
96
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS AMR CLASS
-------------------- ------------------
LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT
- --------------------- -------- -------- ------ --------
Shares sold..................................... -- $ -- 3,216 $ 19,408
Reinvestment of dividends....................... -- -- 76 474
Shares redeemed................................. -- -- (3,418) (20,739)
------ ------ ------ --------
Net decrease in shares outstanding.............. -- $ -- (126) $ (857)
====== ====== ====== ========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS
--------------------
MID CAP VALUE FUND SHARES AMOUNT
- ------------------ ------- ---------
Shares sold..................................... 2,766 $ 30,245
Reinvestment of dividends....................... 11 118
Shares redeemed................................. (2,741) (30,569)
------ --------
Net increase (decrease) in shares outstanding... 36 $ (206)
====== ========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
------------------- ---------------- ------------------
EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- --------------------- ------- -------- ------ ------ ------- --------
Shares sold....................................... 58 $ 787 122 $1,636 1,745 $ 23,485
Reinvestment of dividends......................... 54 706 7 88 575 7,462
Shares redeemed................................... (176) (2,290) (50) (668) (1,080) (14,429)
------ ------- ------ ------ ------- --------
Net increase (decrease) in shares outstanding..... (64) $ (797) 79 $1,056 1,240 $ 16,518
====== ======= ====== ====== ======= ========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS
-------------------- ------------------ ----------------
HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------ -------- ------- ------
Shares sold....................................... 4,951 $ 53,329 3,162 $ 33,875 -- $ 4
Reinvestment of dividends......................... 1,005 10,733 760 8,105 -- --
Shares redeemed................................... (7,770) (83,309) (2,892) (30,479) -- (3)
------ -------- ------ -------- ------- ------
Net increase (decrease) in shares outstanding..... (1,814) $(19,247) 1,030 $ 11,501 -- $ 1
====== ======== ====== ======== ======= ======
</Table>
<Table>
<Caption>
PLANAHEAD CLASS
-----------------
ENHANCED INCOME FUND SHARES AMOUNT
- -------------------- ------ -------
Shares sold...................................... 1,633 $16,605
Reinvestment of dividends........................ 176 1,778
Shares redeemed.................................. (848) (8,529)
------ -------
Net increase in shares outstanding............... 961 $ 9,854
====== =======
</Table>
<Table>
<Caption>
INSTITUTIONAL
INSTITUTIONAL CLASS CLASS (FORMERLY
(TERMINATED AMR CLASS
3/1/05)* PLANAHEAD CLASS THROUGH 3/1/05)
-------------------- ---------------- ------------------
INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ---------------------- -------- -------- ------ ------ ------- --------
Shares sold....................................... -- $ -- 6 $ 59 3,142 $ 32,195
Reinvestment of dividends......................... 1 11 2 19 199 2,030
Shares redeemed................................... (88) (912) (17) (172) (2,416) (24,716)
------ ------ ------ ------ ------- --------
Net increase (decrease) in shares outstanding..... (87) $ (901) (9) $ (94) 925 $ 9,509
====== ====== ====== ====== ======= ========
</Table>
- --------------------------------------------------------------------------------
97
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL
INSTITUTIONAL CLASS CLASS (FORMERLY
(TERMINATED AMR CLASS
3/1/05)* PLANAHEAD CLASS THROUGH 3/1/05)
------------------- ----------------- ------------------
SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- -------- ------ ------- ------- --------
Shares sold....................................... 110 $ 982 200 $ 1,791 1,836 $ 16,327
Reinvestment of dividends......................... 5 46 15 137 203 1,816
Shares redeemed................................... (481) (4,290) (269) (2,415) (1,119) (10,028)
------ ------- ------ ------- ------- --------
Net increase (decrease) in shares outstanding..... (366) $(3,262) (54) $ (487) 920 $ 8,115
====== ======= ====== ======= ======= ========
</Table>
* Activity is for the period November 1, 2004 through February 28, 2005
Period Ended October 31, 2004
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
------------------- ------------------- ------------------
BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------- ------- -------- ------ --------- ------- --------
Shares sold....................................... 120 $ 1,646 943 $ 12,438 4,313 $ 57,449
Reinvestment of dividends......................... 16 211 28 351 1,225 15,797
Shares redeemed................................... (246) (3,383) (461) (6,099) (3,888) (51,664)
------ ------- ------ --------- ------- --------
Net increase (decrease) in shares outstanding..... (110) $(1,526) 510 $ 6,690 1,650 $ 21,582
====== ======= ====== ========= ======= ========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
------------------- ------------------- ------------------
LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- -------- ------ --------- ------- --------
Shares sold...................................... 1,678 $29,357 2,166 $ 36,511 4,775 $ 82,425
Reinvestment of dividends........................ 12 190 21 341 717 11,675
Shares redeemed.................................. (537) (9,282) (669) (11,207) (5,644) (97,128)
------ ------- ------ --------- ------- --------
Net increase (decrease) in shares outstanding.... 1,153 $20,265 1,518 $ 25,645 (152) $ (3,028)
====== ======= ====== ========= ======= ========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS AMR CLASS
-------------------- ------------------
LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT
- --------------------- -------- -------- ------ --------
Shares sold..................................... -- $ -- 4,375 $ 25,454
Reinvestment of dividends....................... -- -- 27 151
Shares redeemed................................. -- -- (3,880) (22,559)
------ ------ ------ --------
Net increase in shares outstanding.............. -- $ -- 522 $ 3,046
====== ====== ====== ========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS
-------------------
MID-CAP VALUE FUND SHARES AMOUNT
- ------------------ ------- --------
Shares sold..................................... 2,646 $26,544
Reinvestment of dividends....................... -- --
Shares redeemed................................. (158) (1,560)
------ -------
Net increase in shares outstanding.............. 2,488 $24,984
====== =======
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ----------------- -----------------
EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- --------------------- -------- -------- ------ ------- ------- -------
Shares sold....................................... 254 $3,097 158 $ 1,907 3,200 $38,765
Reinvestment of dividends......................... 2 20 -- 3 37 415
Shares redeemed*.................................. (15) (170) (108) (1,304) (2,219) (25,975)
------ ------ ------ ------- ------- -------
Net increase in shares outstanding................ 241 $2,947 50 $ 606 1,018 $13,205
====== ====== ====== ======= ======= =======
</Table>
* Net of Redemption Fees
- --------------------------------------------------------------------------------
98
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2005 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS
-------------------- ------------------ ----------------
HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------ -------- ------- ------
Shares sold....................................... 13,551 $144,793 6,516 $ 69,764 -- $ 3
Reinvestment of dividends......................... 1,211 12,997 786 8,426 -- --
Shares redeemed................................... (7,537) (80,955) (5,361) (57,514) -- --
------ -------- ------ -------- ------- ------
Net increase in shares outstanding................ 7,225 $ 76,835 1,941 $ 20,676 -- $ 3
====== ======== ====== ======== ======= ======
</Table>
<Table>
<Caption>
PLANAHEAD CLASS
------------------
ENHANCED INCOME FUND SHARES AMOUNT
- -------------------- ------ --------
Shares sold...................................... 2,177 $ 21,940
Reinvestment of dividends........................ 217 2,192
Shares redeemed.................................. (2,316) (23,331)
------ --------
Net increase in shares outstanding............... 78 $ 801
====== ========
</Table>
<Table>
<Caption>
INSTITUTIONAL
CLASS (FORMERLY
INSTITUTIONAL CLASS AMR CLASS
(TERMINATED THROUGH
3/1/05)** PLANAHEAD CLASS 2/28/05)
-------------------- ---------------- ------------------
INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ---------------------- -------- -------- ------ ------ ------- --------
Shares sold....................................... 1 $ 13 13 $ 134 3,058 $ 31,418
Reinvestment of dividends......................... 3 33 4 42 494 5,071
Shares redeemed................................... (16) (168) (48) (491) (7,119) (72,765)
------ ------ ------ ------ ------- --------
Net decrease in shares outstanding................ (12) $ (122) (31) $ (315) (3,567) $(36,276)
====== ====== ====== ====== ======= ========
</Table>
<Table>
<Caption>
INSTITUTIONAL
CLASS (FORMERLY
INSTITUTIONAL CLASS AMR CLASS
(TERMINATED THROUGH
3/1/05)** PLANAHEAD CLASS 2/28/05)
-------------------- ----------------- ------------------
SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- -------- -------- ------ ------- ------- --------
Shares sold....................................... 31 $ 282 1,029 $ 9,534 1,071 $ 9,815
Reinvestment of dividends......................... 15 140 32 293 456 4,193
Shares redeemed................................... (82) (755) (825) (7,622) (2,527) (23,268)
------ ------ ------ ------- ------- --------
Net increase (decrease) in shares outstanding..... (36) $ (333) 236 $ 2,205 (1,000) $ (9,260)
====== ====== ====== ======= ======= ========
</Table>
** Activity is for the period November 1, 2004 through February 28, 2005
- --------------------------------------------------------------------------------
99
AMERICAN BEACON BALANCED FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
-------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -----------------------------------------------------
2005 2004 2003 2002 2001(D E G) 2000(B)
----------- ------- ------- ------ ----------- --------
(UNAUDITED)
Net asset value, beginning of period............ $14.31 $ 12.99 $ 10.97 $12.07 $ 12.27 $ 13.01
------ ------- ------- ------ -------- --------
Income from investment operations:
Net investment income(A C).................. 0.18 0.29 0.31(H) 0.11 0.51 0.58
Net gains (losses) on securities (both
realized and unrealized)(C)............... 0.70 1.36 1.84(H) (0.69) (0.03) (0.03)
------ ------- ------- ------ -------- --------
Total income (loss) from investment
operations.................................... 0.88 1.65 2.15 (0.58) 0.48 0.55
------ ------- ------- ------ -------- --------
Less distributions:
Dividends from net investment income........ (0.31) (0.33) (0.13) (0.44) (0.68) (0.51)
Distributions from net realized gains on
securities................................ (0.47) -- -- (0.08) -- (0.78)
------ ------- ------- ------ -------- --------
Total distributions............................. (0.78) (0.33) (0.13) (0.52) (0.68) (1.29)
------ ------- ------- ------ -------- --------
Net asset value, end of period.................. $14.41 $ 14.31 $ 12.99 $10.97 $ 12.07 $ 12.27
====== ======= ======= ====== ======== ========
Total return.................................... 6.18%(I) 12.87% 19.77% (5.14)% 4.07% 5.13%
====== ======= ======= ====== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands).... $9,798 $ 8,378 $ 9,041 $8,994 $157,775 $260,880
Ratios to average net assets (annualized):
Expenses(C)............................... 0.53% 0.63% 0.63% 0.62% 0.62% 0.61%
Net investment income(C).................. 2.50% 2.15% 2.74% 3.12% 3.56% 4.39%
Portfolio turnover rate(F).................. 34%(I) 62% 69% 84% 122% 121%
</Table>
- ---------------
(A) Class expenses per share were subtracted from net investment income per
share for the Fund before class expenses to determine net investment income
per share.
(B) GSB Investment Management, Inc. was removed as an investment advisor to the
Balanced Fund on March 1, 2000.
(C) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Balanced Portfolio through February 28, 2002.
(D) On September 7, 2001, American Beacon Advisors, Inc. assumed management of
the fixed income portion of the Balanced Fund's assets previously managed
by Merrill Lynch Investment Managers, L.P.
(E) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed
management of the equity portion of the Balanced Fund's assets previously
managed by Merrill Lynch Investment Managers, L.P.
(F) The Balanced Fund invested all of its investable assets in its
corresponding Portfolio through February 28, 2002. Portfolio turnover rate
through February 28, 2002 was that of the Portfolio.
(G) Independence Investment LLC was removed as an investment advisor to the
Balanced Fund on November 30, 2000.
(H) For the year ended October 31, 2003, the net investment income and net
gains (losses) on securities (both realized and unrealized) has been
restated from 0.30 and 1.85, respectively for Institutional Class and 0.36
and 1.66, respectively for PlanAhead Class.
(I) Not annualized.
- --------------------------------------------------------------------------------
100
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS AMR CLASS
------------------------------------------------------------------------------ ------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ------------------------------------------------------------- APRIL 30, -------------------------
2005 2004 2003 2002 2001(D E G) 2000(B) 2005 2004 2003
----------- ------- ------- ------- ----------- ------- ----------- -------- --------
(UNAUDITED) (UNAUDITED)
$ 13.62 $ 12.40 $ 10.81 $ 11.88 $ 12.08 $ 12.79 $ 13.87 $ 12.60 $ 10.98
------- ------- ------- ------- ------- ------- -------- -------- --------
0.17 0.27 0.28(H) 0.41 0.51 0.53 0.19 0.32 0.34
0.64 1.25 1.74(H) (0.99) (0.06) -- 0.67 1.31 1.78
------- ------- ------- ------- ------- ------- -------- -------- --------
0.81 1.52 2.02 (0.58) 0.45 0.53 0.86 1.63 2.12
------- ------- ------- ------- ------- ------- -------- -------- --------
(0.30) (0.30) (0.43) (0.41) (0.65) (0.46) (0.35) (0.36) (0.50)
(0.47) -- -- (0.08) -- (0.78) (0.47) -- --
------- ------- ------- ------- ------- ------- -------- -------- --------
(0.77) (0.30) (0.43) (0.49) (0.65) (1.24) (0.82) (0.36) (0.50)
------- ------- ------- ------- ------- ------- -------- -------- --------
$ 13.66 $ 13.62 $ 12.40 $ 10.81 $ 11.88 $ 12.08 $ 13.91 $ 13.87 $ 12.60
======= ======= ======= ======= ======= ======= ======== ======== ========
5.93%(I) 12.44% 19.36% (5.18)% 3.84% 4.88% 6.20%(I) 13.13% 20.06%
======= ======= ======= ======= ======= ======= ======== ======== ========
$44,397 $21,571 $13,321 $10,561 $12,176 $11,643 $680,013 $636,420 $557,612
0.88% 0.93% 0.94% 0.90% 0.84% 0.90% 0.34% 0.37% 0.38%
2.15% 1.84% 2.40% 2.83% 3.29% 4.01% 2.70% 2.40% 2.98%
34%(I) 62% 69% 84% 122% 121% 34%(I) 62% 69%
<Caption>
AMR CLASS
----------------------------------
YEAR ENDED OCTOBER 31,
----------------------------------
2002 2001(D E G) 2000(B)
-------- ----------- --------
$ 12.06 $ 12.27 $ 13.02
-------- -------- --------
0.48 0.56 0.61
(1.01) (0.05) (0.03)
-------- -------- --------
(0.53) 0.51 0.58
-------- -------- --------
(0.47) (0.72) (0.55)
(0.08) -- (0.78)
-------- -------- --------
(0.55) (0.72) (1.33)
-------- -------- --------
$ 10.98 $ 12.06 $ 12.27
======== ======== ========
(4.71)% 4.38% 5.37%
======== ======== ========
$487,526 $526,405 $525,040
0.35% 0.36% 0.35%
3.39% 3.77% 4.54%
84% 122% 121%
</Table>
- --------------------------------------------------------------------------------
101
AMERICAN BEACON LARGE CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
--------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -----------------------------------------------------
2005 2004 2003 2002 2001(B D) 2000(E)
----------- ------- ------- ------- --------- -------
(UNAUDITED)
Net asset value, beginning of period.............. $ 18.23 $ 15.62 $ 12.55 $ 14.51 $ 15.83 $ 18.69
------- ------- ------- ------- ------- -------
Income from investment operations:
Net investment income (loss)(A C).............. 0.15 0.26 0.25(G) 0.27 0.28 0.47
Net gains (losses) on securities (both realized
and unrealized)(C)............................ 1.45 2.62 3.11(G) (1.76) (0.61) 0.06
------- ------- ------- ------- ------- -------
Total income (loss) from investment operations.... 1.60 2.88 3.36 (1.49) (0.33) 0.53
------- ------- ------- ------- ------- -------
Less distributions:
Dividends from net investment income........... (0.25) (0.27) (0.29) (0.30) (0.50) (0.34)
Distributions from net realized gains on
securities.................................... -- -- -- (0.17) (0.49) (3.05)
------- ------- ------- ------- ------- -------
Total distributions............................... (0.25) (0.27) (0.29) (0.47) (0.99) (3.39)
------- ------- ------- ------- ------- -------
Net asset value, end of period.................... $ 19.58 $ 18.23 $ 15.62 $ 12.55 $ 14.51 $ 15.83
======= ======= ======= ======= ======= =======
Total return...................................... 8.75%(H) 18.59% 27.30% (10.83)% (2.21)% 4.81%
======= ======= ======= ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)....... $90,843 $48,451 $23,512 $21,589 $10,081 $ 7,594
Ratios to average net assets (annualized):
Expenses(C)................................... 0.62% 0.66% 0.66% 0.61% 0.64% 0.53%
Net investment income(C)...................... 1.63% 1.49% 1.88% 1.82% 1.76% 3.71%
Portfolio turnover rate(F)..................... 11%(H) 29% 27% 34% 60% 58%
</Table>
- ---------------
(A) Class expenses per share were subtracted from net investment income per
share for the Fund before class expenses to determine net investment income
per share.
(B) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed
management of the Large Cap Value Fund's assets previously managed by
Merrill Lynch Investment Managers, L.P.
(C) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Large Cap Value Portfolio through February 28,
2002.
(D) Metropolitan West Capital Management, LLC replaced Independence Investment
LLC as investment advisor to the Large Cap Value Fund on December 1, 2000.
(E) GSB Investment Management, Inc. was removed as an investment advisor to the
Large Cap Value Fund on March 1, 2000.
(F) The Large Cap Value Fund invested all of its investable assets in its
corresponding Portfolio through February 28, 2002. Portfolio turnover rate
through February 28, 2002 was that of the Portfolio.
(G) For the year ended October 31, 2003, the net investment income and net
gains (losses) on securities (both realized and unrealized) has been
restated from 0.20 and 3.16, respectively for Institutional Class and 0.10
and 3.11, respectively for PlanAhead Class.
(H) Not annualized.
- --------------------------------------------------------------------------------
102
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS
- -------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -------------------------------------------------
2005 2004 2003 2002 2001(B D) 2000(E)
----------- ------- ------- ------- --------- -------
(UNAUDITED)
$ 17.54 $ 15.05 $ 12.09 $ 14.00 $ 15.40 $ 18.41
-------- ------- ------- ------- -------- -------
0.15 0.23 0.22(G) 0.25 0.26 0.60
1.36 2.49 2.99(G) (1.74) (0.62) (0.13)
-------- ------- ------- ------- -------- -------
1.51 2.72 3.21 (1.49) (0.36) 0.47
-------- ------- ------- ------- -------- -------
(0.23) (0.23) (0.25) (0.25) (0.55) (0.43)
-- -- -- (0.17) (0.49) (3.05)
-------- ------- ------- ------- -------- -------
(0.23) (0.23) (0.25) (0.42) (1.04) (3.48)
-------- ------- ------- ------- -------- -------
$ 18.82 $ 17.54 $ 15.05 $ 12.09 $ 14.00 $ 15.40
======== ======= ======= ======= ======== =======
8.60%(H) 18.26% 26.99% (11.13)% (2.47)% 4.56%
======== ======= ======= ======= ======== =======
$198,192 $51,489 $21,331 $15,941 $ 12,280 $11,507
0.87% 0.94% 0.95% 0.93% 0.89% 0.84%
1.35% 1.21% 1.57% 1.53% 1.54% 2.51%
11%(H) 29% 27% 34% 60% 58%
<Caption>
AMR CLASS
- --- -------------------------------------------------------------------
SIX MONTH
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -----------------------------------------------------
2005 2004 2003 2002 2001(B D) 2000(E)
----------- -------- -------- -------- --------- --------
(UNAUDITED)
$ 18.02 $ 15.44 $ 12.40 $ 14.34 $ 15.75 $ 18.77
-------- -------- -------- -------- -------- --------
0.16 0.30 0.29 0.31 0.34 0.65
1.45 2.58 3.06 (1.75) (0.63) (0.09)
-------- -------- -------- -------- -------- --------
1.61 2.88 3.35 (1.44) (0.29) 0.56
-------- -------- -------- -------- -------- --------
(0.28) (0.30) (0.31) (0.33) (0.63) (0.53)
-- -- -- (0.17) (0.49) (3.05)
-------- -------- -------- -------- -------- --------
(0.28) (0.30) (0.31) (0.50) (1.12) (3.58)
-------- -------- -------- -------- -------- --------
$ 19.35 $ 18.02 $ 15.44 $ 12.40 $ 14.34 $ 15.75
======== ======== ======== ======== ======== ========
8.90%(H) 18.89% 27.64% (10.62)% (1.98)% 5.08%
======== ======== ======== ======== ======== ========
$818,789 $696,206 $598,869 $511,287 $654,239 $737,111
0.36% 0.39% 0.36% 0.36% 0.36% 0.34%
1.91% 1.79% 2.13% 2.06% 2.09% 3.07%
11%(H) 29% 27% 34% 60% 58%
</Table>
- --------------------------------------------------------------------------------
103
AMERICAN BEACON LARGE CAP GROWTH FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, JULY 31 TO
APRIL 30, -------------------------------------- OCTOBER 31,
2005 2004 2003 2002 2001 2000
----------- ------ ------- ------- ------- -----------
(UNAUDITED)
Net asset value, beginning of period...... $ 5.82 $ 5.47 $ 4.53 $ 5.66 $ 9.54 $10.00
------- ------ ------- ------- ------- ------
Income from investment operations:
Net investment income (loss)(A)....... 0.04 0.02 0.02 0.03 (0.01) --
Net gains (losses) on securities (both
realized and unrealized)(A)......... (0.02) 0.35 0.94 (1.16) (3.86) (0.46)
------- ------ ------- ------- ------- ------
Total income (loss) from investment
operations.............................. 0.02 0.37 0.96 (1.13) (3.87) (0.46)
------- ------ ------- ------- ------- ------
Less distributions:
Dividends from net investment income.. (0.05) (0.02) (0.02) -- (0.01) --
------- ------ ------- ------- ------- ------
Total distributions....................... (0.05) (0.02) (0.02) -- (0.01) --
------- ------ ------- ------- ------- ------
Net asset value, end of period............ $ 5.79 $ 5.82 $ 5.47 $ 4.53 $ 5.66 $ 9.54
======= ====== ======= ======= ======= ======
Total return.............................. 0.30%(C) 6.71% 21.15% (19.96)% (40.62)% (4.60)%(C)
======= ====== ======= ======= ======= ======
Ratios and supplemental data:
Net assets, end of period (in
thousands).......................... $ 1 $ 1 $ 1 $ 1 $ 1 $ 1
Ratios to average net assets
(annualized)(A):
Expenses............................ 0.75% 0.84% 0.87% 0.87% 0.99% 0.99%
Net investment income (loss)........ 1.25% 0.18% 0.18% 0.06% (0.26)% --
Decrease reflected in above expense
ratio due to absorption of
expenses by the Manager(A)........ 44.12% 12.38% -- -- 0.02% 0.29%
Portfolio turnover rate(B)............ 82%(C) 131% 138% 135% 85% 9%(C)
</Table>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Large Cap Growth Portfolio through February 28,
2001.
(B) The Large Cap Growth Fund invested all of its investable assets in its
corresponding Portfolio through February 28, 2001. Portfolio turnover rate
through February 28, 2001 was that of the Portfolio.
(C) Not annualized.
- --------------------------------------------------------------------------------
104
- --------------------------------------------------------------------------------
<Table>
<Caption>
AMR CLASS
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, JULY 31 TO
APRIL 30, --------------------------------------------- OCTOBER 31,
2005 2004 2003 2002 2001 2000
----------- ------- ------- ------- ------- -----------
(UNAUDITED)
$ 5.84 $ 5.48 $ 4.54 $ 5.67 $ 9.55 $ 10.00
------- ------- ------- ------- ------- -------
0.05 0.02 0.02 0.02 0.01 0.01
(0.03) 0.36 0.93 (1.14) (3.87) (0.46)
------- ------- ------- ------- ------- -------
0.02 0.38 0.95 (1.12) (3.86) (0.45)
------- ------- ------- ------- ------- -------
(0.05) (0.02) (0.01) (0.01) (0.02) --
------- ------- ------- ------- ------- -------
(0.05) (0.02) (0.01) (0.01) (0.02) --
------- ------- ------- ------- ------- -------
$ 5.81 $ 5.84 $ 5.48 $ 4.54 $ 5.67 $ 9.55
======= ======= ======= ======= ======= =======
0.31%(C) 6.88% 21.09% (19.85)% (40.51)% (4.50)%(C)
======= ======= ======= ======= ======= =======
$54,087 $55,121 $48,926 $28,017 $23,804 $19,505
0.68% 0.71% 0.68% 0.67% 0.70% 0.74%
1.44% 0.34% 0.40% 0.30% 0.08% 0.25%
-- -- -- -- 0.02% 0.14%
82%(C) 131% 138% 135% 85% 9%(C)
</Table>
- --------------------------------------------------------------------------------
105
AMERICAN BEACON MID-CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
---------------------------------
SIX MONTHS
ENDED JUNE 30 TO
APRIL 30, OCTOBER 31,
2005 2004
----------- -------------------
(UNAUDITED)
Net asset value, beginning of period........................ $ 10.27 $ 10.00
------- -------
Income from investment operations:
Net investment income................................... 0.07 0.02(B)
Net gains on securities (both realized and
unrealized)........................................... 0.61 0.25
------- -------
Total income from investment operations..................... 0.68 0.27
------- -------
Less distributions:
Dividends from net investment income.................... (0.05) --
Distributions from net realized gains on securities..... -- --
------- -------
Total distributions......................................... (0.05) --
------- -------
Net asset value, end of period.............................. $ 10.90 $ 10.27
======= =======
Total return................................................ 6.61%(A) 2.70%(A)
======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $27,495 $25,546
Ratios to average net assets (annualized):
Expenses.............................................. 1.01% 1.14%
Net investment income................................. 1.18% 0.73%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager............... 0.05% 0.20%
Portfolio turnover rate................................. 75%(A) 6%(A)
</Table>
- ---------------
(A) Not annualized.
(B) Based on average shares outstanding.
- --------------------------------------------------------------------------------
106
(This page intentionally left blank)
(LIGHTHOUSE LOGO)
107
AMERICAN BEACON EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, JULY 31 TO
APRIL 30, ------------------------------------ OCTOBER 31,
2005 2004 2003 2002 2001 2000
----------- ------- ------- ------ ------- -----------
(UNAUDITED)
Net asset value, beginning of period................. $12.64 $ 10.62 $ 7.20 $ 6.64 $ 8.17 $ 10.00
------ ------- ------- ------ ------- -------
Income from investment operations:
Net investment income(A)......................... 0.07 0.07 0.04 0.09 0.11 --
Net gains (losses) on securities (both realized
and unrealized)(A)............................. 1.42 2.01 3.43 0.56 (1.62) (1.83)
------ ------- ------- ------ ------- -------
Total income (loss) from investment operations....... 1.49 2.08 3.47 0.65 (1.51) (1.83)
------ ------- ------- ------ ------- -------
Less distributions:
Dividends from net investment income............. (0.06) (0.06) (0.05) (0.09) (0.01) --
Distributions from net realized gains on
securities..................................... (1.08) -- -- -- (0.01) --
------ ------- ------- ------ ------- -------
Total distributions.................................. (1.14) (0.06) (0.05) (0.09) (0.02) --
------ ------- ------- ------ ------- -------
Redemption fees added to beneficial interests --(E) --(E) -- -- -- --
------ ------- ------- ------ ------- -------
Net asset value, end of period....................... $12.99 $ 12.64 $ 10.62 $ 7.20 $ 6.64 $ 8.17
====== ======= ======= ====== ======= =======
Total return......................................... 11.86%(C) 19.65% 48.45% 9.80% (18.52)% (18.30)%(C)
====== ======= ======= ====== ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)......... $6,667 $ 7,282 $ 3,557 $1,769 $ 1,495 $ 1
Ratios to average net assets (annualized):
Expenses(A).................................... 1.55% 1.85% 1.76% 1.51% 1.43% 1.87%
Net investment income (loss)(A)................ 0.90% 0.74% 0.62% 1.11% 2.07% (0.47)%
Decrease reflected in above expense ratio due
to absorption of expenses by the Manager..... -- -- -- -- -- --
Portfolio turnover rate(B)....................... 24%(C) 76% 80% 94% 95% 23%(C)
</Table>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Emerging Markets Portfolio through February 28,
2002.
(B) The Emerging Markets Fund invested all of its investable assets in its
corresponding Portfolio through February 28, 2002. Portfolio turnover rate
through February 28, 2002 was that of the Portfolio.
(C) Not annualized.
(D) Portfolio turnover rate is for the period November 1, 2001 through October
31, 2002.
(E) Amounts represent less than $0.01 per share.
- --------------------------------------------------------------------------------
108
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS AMR CLASS
- --------------------------------------------------- -----------------------------------------------------------------
SIX MONTHS YEAR ENDED SIX MONTHS
ENDED OCTOBER 31, OCTOBER 1 TO ENDED YEAR ENDED OCTOBER 31, JULY 31 TO
APRIL 30, ----------------- OCTOBER 31, APRIL 30, ------------------------------------- OCTOBER 31,
2005 2004 2003 2002 2005 2004 2003 2002 2001 2000
----------- ------- ------- ------------ ----------- ------- ------- ------- ------- -----------
(UNAUDITED) (UNAUDITED)
$12.53 $ 10.55 $ 7.19 $ 6.86 $ 12.68 $ 10.66 $ 7.22 $ 6.65 $ 8.18 $ 10.00
------ ------- ------- ------ ------- ------- ------- ------- ------- -------
0.04 0.04 0.09 -- 0.07 0.10 0.07 0.09 0.13 --
1.43 1.99 3.34 0.33 1.45 2.00 3.44 0.59 (1.63) (1.82)
------ ------- ------- ------ ------- ------- ------- ------- ------- -------
1.47 2.03 3.43 0.33 1.52 2.10 3.51 0.68 (1.50) (1.82)
------ ------- ------- ------ ------- ------- ------- ------- ------- -------
(0.03) (0.05) (0.07) -- (0.09) (0.08) (0.07) (0.11) (0.02) --
(1.08) -- -- -- (1.08) -- -- -- (0.01) --
------ ------- ------- ------ ------- ------- ------- ------- ------- -------
(1.11) (0.05) (0.07) -- (1.17) (0.08) (0.07) (0.11) (0.03) --
------ ------- ------- ------ ------- ------- ------- ------- ------- -------
--(E) --(E) --(E) -- -- -- -- -- -- --
------ ------- ------- ------ ------- ------- ------- ------- ------- -------
$12.89 $ 12.53 $ 10.55 $ 7.19 $ 13.03 $ 12.68 $ 10.66 $ 7.22 $ 6.65 $ 8.18
====== ======= ======= ====== ======= ======= ======= ======= ======= =======
11.74%(C) 19.33% 48.07% 4.81%(C) 11.96%(C) 20.00% 48.84% 10.10% (18.40)% (18.20)%(C)
====== ======= ======= ====== ======= ======= ======= ======= ======= =======
$2,266 $ 1,214 $ 492 $ 1 $92,404 $74,199 $51,498 $32,731 $20,660 $17,308
1.96% 2.14% 2.08% 1.87% 1.28% 1.59% 1.50% 1.26% 1.30% 1.60%
0.69% 0.37% 0.57% (0.25)% 1.24% 1.01% 0.92% 1.35% 1.76% (0.19)%
0.35% 0.06% -- -- -- -- -- -- -- --
24%(C) 76% 80% 94%(D) 24%(C) 76% 80%(C) 94% 95% 23%(C)
</Table>
- --------------------------------------------------------------------------------
109
AMERICAN BEACON HIGH YIELD BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
-----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, DECEMBER 29, 2000
APRIL 30, ------------------------------ TO OCTOBER 31,
2005 2004 2003 2002 2001
----------- -------- -------- -------- -----------------
(UNAUDITED)
Net asset value, beginning of period............... $ 10.86 $ 10.73 $ 9.63 $ 9.82 $ 10.00
-------- -------- -------- -------- -------
Income from investment operations:
Net investment income.......................... 0.38 0.78 0.78 0.80 0.71
Net gains (losses) on securities (both realized
and unrealized).............................. (0.80) 0.27 1.10 (0.19) (0.18)
-------- -------- -------- -------- -------
Total income from investment operations............ (0.42) 1.05 1.88 0.61 0.53
-------- -------- -------- -------- -------
Less distributions:
Dividends from net investment income........... (0.38) (0.78) (0.78) (0.80) (0.71)
Distributions from net realized gains on
securities................................... 0.20 (0.14) -- -- --
-------- -------- -------- -------- -------
Total distributions................................ (0.18) (0.92) (0.78) (0.80) (0.71)
-------- -------- -------- -------- -------
Net asset value, end of period..................... $ 10.26 $ 10.86 $ 10.73 $ 9.63 $ 9.82
======== ======== ======== ======== =======
Total return....................................... (0.29)%(A) 10.19% 20.11% 6.28% 5.33%(A)
======== ======== ======== ======== =======
Ratios and supplemental data:
Net assets, end of period (in thousands)....... $209,786 $241,777 $161,380 $104,813 $53,275
Ratios to average net assets (annualized):
Expenses..................................... 0.85% 0.88% 0.90% 0.90% 0.90%
Net investment income........................ 7.19% 7.27% 7.51% 8.02% 8.48%
Decrease reflected in above expense ratio due
to absorption of expenses by the Manager... -- 0.04% 0.10% 0.08% 0.17%
Portfolio turnover rate........................ 71%(A) 138% 114% 163% 145%(A)
</Table>
- ---------------
(A) Not annualized.
(B) Portfolio turnover rate is for the period November 1, 2001 through October
31, 2002.
(C) Portfolio turnover rate is for the period November 1, 2002 through October
31, 2003.
- --------------------------------------------------------------------------------
110
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS SERVICE CLASS
- ----------------------------------------------------- ---------------------------------------
SIX MONTHS YEAR ENDED SIX MONTHS
ENDED OCTOBER 31, MARCH 1 TO ENDED YEAR ENDED MAY 1 TO
APRIL 30, ------------------- OCTOBER 31, APRIL 30, OCTOBER 31, OCTOBER 31,
2005 2004 2003 2002 2005 2004 2003
----------- -------- -------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
$ 10.87 $ 10.73 $ 9.63 $10.10 $ 10.87 $ 10.73 $ 10.47
-------- -------- -------- ------ ------- -------- --------
0.37 0.74 0.75 0.50 0.35 0.71 0.29
(0.81) 0.28 1.10 (0.47) (0.42) 0.27 0.26
-------- -------- -------- ------ ------- -------- --------
(0.44) 1.02 1.85 0.03 (0.07) 0.98 0.55
-------- -------- -------- ------ ------- -------- --------
(0.37) (0.74) (0.75) (0.50) (0.35) (0.70) (0.29)
0.20 (0.14) -- -- -- (0.14) --
-------- -------- -------- ------ ------- -------- --------
(0.17) (0.88) (0.75) (0.50) (0.35) (0.84) (0.29)
-------- -------- -------- ------ ------- -------- --------
$ 10.26 $ 10.87 $ 10.73 $ 9.63 $ 10.45 $ 10.87 $ 10.73
======== ======== ======== ====== ======= ======== ========
(0.50)%(A) 9.94% 19.57% (0.26)%(A) (0.66)%(A) 9.41% 5.46%(A)
======== ======== ======== ====== ======= ======== ========
$150,622 $148,266 $125,654 $4,029 $ 5 $ 4 $ 1
1.09% 1.20% 1.24% 1.27% 1.46% 1.57% 1.71%
6.96% 6.95% 7.11% 7.20% 6.53% 6.57% 6.51%
-- -- -- -- 3.24% 439.24% 805.12%
71%(A) 138% 114% 163%(B) 71%(A) 138% 114%(C)
</Table>
- --------------------------------------------------------------------------------
111
AMERICAN BEACON ENHANCED INCOME FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS
---------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30 TO
APRIL 30, OCTOBER 31, OCTOBER 31,
2005 2004 2003
----------- ----------- -----------
(UNAUDITED)
Net asset value, beginning of period........................ $ 10.16 $ 9.96 $ 10.00
-------- -------- --------
Income from investment operations:
Net investment income................................... 0.19 0.26 0.07(B)
Net gains (losses) on securities (both realized and
unrealized)........................................... (0.17) 0.20 (0.04)
-------- -------- --------
Total income from investment operations..................... 0.02 0.46 0.03
-------- -------- --------
Less distributions:
Dividends from net investment income.................... (0.19) (0.26) (0.07)
Distributions from net realized gains on securities..... -- -- --
-------- -------- --------
Total distributions......................................... (0.19) (0.26) (0.07)
-------- -------- --------
Net asset value, end of period.............................. $ 9.99 $ 10.16 $ 9.96
======== ======== ========
Total return................................................ 0.16%(A) 4.70% 0.32%(A)
======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $111,760 $103,897 $101,072
Ratios to average net assets (annualized):
Expenses.............................................. 0.99% 1.00% 0.93%
Net investment income................................. 2.71% 2.54% 2.20%
Portfolio turnover rate................................. 18%(A) 72% 57%(A)
</Table>
- ---------------
(A) Not annualized.
(B) Based on average shares outstanding.
- --------------------------------------------------------------------------------
112
(This page intentionally left blank)
(LIGHTHOUSE LOGO)
113
AMERICAN BEACON INTERMEDIATE BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS (TERMINATED 3/1/05)
-------------------------------------------------------------
FROM
NOVEMBER 1,
2004 TO YEAR ENDED OCTOBER 31,
FEBRUARY 28, ----------------------------------------------
2005(D) 2004 2003 2002 2001 2000
------------ ------- ------- ------- ------- ------
(UNAUDITED)
Net asset value, beginning of period............... $ 10.54 $ 10.45 $ 10.42 $ 10.51 $ 9.72 $ 9.58
------- ------- ------- ------- ------- ------
Income from investment operations:
Net investment income(A)....................... 0.13 0.37 0.41 0.51 0.57 0.59
Net gains (losses) on securities (both realized
and unrealized)(A)........................... (0.11) 0.14 0.03 (0.09) 0.79 0.14
------- ------- ------- ------- ------- ------
Total income from investment operations............ 0.02 0.51 0.44 0.42 1.36 0.73
------- ------- ------- ------- ------- ------
Less distributions:
Dividends from net investment income........... (0.15) (0.42) (0.41) (0.51) (0.57) (0.59)
Distributions from net realized gains on
securities................................... -- -- -- -- -- --
------- ------- ------- ------- ------- ------
Total distributions................................ (0.15) (0.42) (0.41) (0.51) (0.57) (0.59)
------- ------- ------- ------- ------- ------
Net asset value, end of period..................... $ 10.41 $ 10.54 $ 10.45 $ 10.42 $ 10.51 $ 9.72
======= ======= ======= ======= ======= ======
Total return....................................... 0.17%(C) 4.90% 4.31% 4.21% 14.36% 7.89%
======= ======= ======= ======= ======= ======
Ratios and supplemental data:
Net assets, end of period (in thousands)....... N/A $ 912 $ 1,024 $74,919 $60,842 $ 115
Ratios to average net assets (annualized):
Expenses(A).................................. 0.37% 0.80% 0.58% 0.56% 0.54% 0.59%
Net investment income(A)..................... 3.82% 3.51% 4.02% 4.99% 5.55% 6.31%
Decrease reflected in above expense ratio due
to absorption of expenses by the
Manager(A)................................. -- -- -- -- -- --
Portfolio turnover rate(B)..................... 73%(CE) 106% 187% 185% 164% 102%
</Table>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Intermediate Bond Portfolio through February
28, 2002.
(B) The Intermediate Bond Fund invested all of its investable assets in its
corresponding Portfolio through February 28, 2002. Portfolio turnover rate
through February 28, 2002 was that of the Portfolio.
(C) Not annualized.
(D) On March 1, 2005, the existing Institutional Class shares were terminated
and exchanged for AMR Class shares at a conversion rate of 1.0202.
Following this exchange, the former AMR Class Shares were re-named
Institutional Class.
(E) Portfolio turnover rate is for the period November 1, 2004 through April
30, 2005.
- --------------------------------------------------------------------------------
114
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLAN AHEAD CLASS INSTITUTIONAL CLASS (FORMERLY AMR CLASS PRIOR TO 3/1/05)
---------------------------------------------------------- ----------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -------------------------------------------- APRIL 30, --------------------------------------------------
2005 2004 2003 2002 2001 2000 2005(D) 2004 2003 2002 2001 2000
----------- ------- ------ ------ ------- ------ ----------- -------- -------- -------- ------- -------
(UNAUDITED) (UNAUDITED)
$10.41 $ 10.31 $10.27 $10.34 $ 9.57 $ 9.63 $ 10.33 $ 10.24 $ 10.22 $ 10.30 $ 9.53 $ 9.58
------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- -------
0.17 0.35 0.39 0.48 0.53 0.59 0.21 0.40 0.45 0.53 0.58 0.64
(0.10) 0.14 0.04 (0.07) 0.77 (0.06) (0.10) 0.14 0.02 (0.08) 0.77 (0.05)
------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- -------
0.07 0.49 0.43 0.41 1.30 0.53 0.11 0.54 0.47 0.45 1.35 0.59
------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- -------
(0.19) (0.39) (0.39) (0.48) (0.53) (0.59) (0.22) (0.45) (0.45) (0.53) (0.58) (0.64)
-- -- -- -- -- -- -- -- -- -- -- --
------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- -------
(0.19) (0.39) (0.39) (0.48) (0.53) (0.59) (0.22) (0.45) (0.45) (0.53) (0.58) (0.64)
------ ------- ------ ------ ------- ------ -------- -------- -------- -------- ------- -------
$10.29 $ 10.41 $10.31 $10.27 $ 10.34 $ 9.57 $ 10.22 $ 10.33 $ 10.24 $ 10.22 $ 10.30 $ 9.53
====== ======= ====== ====== ======= ====== ======== ======== ======== ======== ======= =======
0.69%(C) 4.86% 4.25% 4.10% 13.91% 5.76% 1.10%(C) 5.38% 4.62% 4.57% 14.58% 6.39%
====== ======= ====== ====== ======= ====== ======== ======== ======== ======== ======= =======
$ 984 $ 1,091 $1,395 $1,691 $ 300 $ 102 $104,648 $ 96,242 $131,927 $144,098 $95,820 $40,555
0.95% 0.92% 0.86% 0.86% 0.83% 0.87% 0.32% 0.34% 0.32% 0.30% 0.30% 0.39%
3.43% 3.39% 3.70% 4.60% 5.04% 6.07% 4.06% 3.97% 4.32% 5.23% 5.84% 6.72%
0.13% 0.01% -- -- 0.01% 0.02% -- -- -- -- -- --
73%(C) 106% 187% 185% 164% 102% 73%(C) 106% 187% 185% 164% 102%
</Table>
- --------------------------------------------------------------------------------
115
AMERICAN BEACON SHORT-TERM BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS (TERMINATED 3/1/05)
--------------------------------------------------------------------------------
FROM NOVEMBER 1 ,
2004 YEAR ENDED OCTOBER 31,
TO FEBRUARY 28, -----------------------------------------------------
2005(D) 2004 2003 2002 2001 2000
----------------- ------ ------ ------ ------- ------
(UNAUDITED)
Net asset value, beginning of
period............................ $ 9.09 $ 9.32 $ 9.45 $ 9.62 $ 9.21 $ 9.30
------ ------ ------ ------ ------- ------
Income from investment operations:
Net investment income(B)........ 0.11 0.24 0.37 0.42 0.57 0.62
Net gains (losses) on securities
(both realized and
unrealized)(B)................ (0.15) (0.03) (0.04) (0.11) 0.41 (0.10)
------ ------ ------ ------ ------- ------
Total income from investment
operations........................ (0.04) 0.21 0.33 0.31 0.98 0.52
------ ------ ------ ------ ------- ------
Less distributions:
Dividends from net investment
income........................ (0.13) (0.44) (0.46) (0.48) (0.57) (0.61)
------ ------ ------ ------ ------- ------
Total distributions................. (0.13) (0.44) (0.46) (0.48) (0.57) (0.61)
------ ------ ------ ------ ------- ------
Net asset value, end of period...... $ 8.92 $ 9.09 $ 9.32 $ 9.45 $ 9.62 $ 9.21
====== ====== ====== ====== ======= ======
Total return........................ (0.44)%(C) 2.21% 3.58% 3.37% 10.98% 5.83%
====== ====== ====== ====== ======= ======
Ratios and supplemental data:
Net assets, end of period (in
thousands).................... N/A $3,324 $3,745 $8,396 $ 4,226 $3,687
Ratios to average net assets
(annualized):
Expenses(B)................... 0.61% 0.62% 0.54% 0.44% 0.51% 0.58%
Net investment income(B)...... 1.82% 2.72% 4.30% 4.47% 6.06% 6.61%
Decrease reflected in above
expense ratio due to
absorption of expenses by
the Manager(B).............. -- -- -- -- -- --
Portfolio turnover rate(A)...... 10%(CE) 41% 81% 63% 104% 89%
</Table>
- ---------------
(A) The Short-Term Bond Fund invested all of its investable assets in its
corresponding Portfolio through February 28, 2002. Portfolio turnover rate
through February 28, 2002 was that of the Portfolio.
(B) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the AMR Investment Services Short-Term Bond Portfolio through February 28,
2002.
(C) Not annualized.
(D) On March 1, 2005, the existing Institutional Class shares were terminated
and exchanged for AMR Class shares at a conversion rate of 1.0014.
Following this exchange, the former AMR Class Shares were re-named
Institutional Class.
(E) Portfolio turnover rate is for the period November 1, 2004 through April
30, 2005.
- --------------------------------------------------------------------------------
116
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS
--------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ------------------------------------------------------
2005 2004 2003 2002 2001 2000(D)
----------- ------- ------ ------ ------- -------
(UNAUDITED)
$ 9.09 $ 9.33 $ 9.45 $ 9.62 $ 9.21 $ 9.30
------ ------- ------ ------ ------- ------
0.09 0.25 0.39 0.43 0.55 0.59
(0.11) (0.07) (0.08) (0.14) 0.41 (0.09)
------ ------- ------ ------ ------- ------
(0.02) 0.18 0.31 0.29 0.96 0.50
------ ------- ------ ------ ------- ------
(0.18) (0.42) (0.43) (0.46) (0.55) (0.59)
------ ------- ------ ------ ------- ------
(0.18) (0.42) (0.43) (0.46) (0.55) (0.59)
------ ------- ------ ------ ------- ------
$ 8.89 $ 9.09 $ 9.33 $ 9.45 $ 9.62 $ 9.21
====== ======= ====== ====== ======= ======
(0.18)%(C) 1.84% 3.38% 3.16% 10.69% 5.56%
====== ======= ====== ====== ======= ======
$7,132 $ 7,781 $5,783 $3,520 $ 1,257 $ 489
0.90% 0.87% 0.86% 0.73% 0.75% 0.84%
2.39% 2.44% 4.00% 4.16% 5.76% 6.29%
-- -- -- 0.04% -- 0.10%
10%(C) 41% 81% 63% 104% 89%
<Caption>
INSTITUTIONAL (FORMERLY AMR CLASS PRIOR TO 3/1/05)
---------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -------------------------------------------------------
2005 2004 2003 2002 2001 2000
----------- ------- ------- ------- ------- -------
(UNAUDITED)
$ 9.07 $ 9.31 $ 9.44 $ 9.60 $ 9.20 $ 9.29
------- ------- ------- ------- ------- -------
0.17 0.27 0.42 0.44 0.59 0.63
(0.16) (0.05) (0.07) (0.11) 0.40 (0.09)
------- ------- ------- ------- ------- -------
0.01 0.22 0.35 0.33 0.99 0.54
------- ------- ------- ------- ------- -------
(0.21) (0.46) (0.48) (0.49) (0.59) (0.63)
------- ------- ------- ------- ------- -------
(0.21) (0.46) (0.48) (0.49) (0.59) (0.63)
------- ------- ------- ------- ------- -------
$ 8.87 $ 9.07 $ 9.31 $ 9.44 $ 9.60 $ 9.20
======= ======= ======= ======= ======= =======
(0.10)%(C) 2.39% 3.82% 3.60% 11.07% 6.09%
======= ======= ======= ======= ======= =======
$86,891 $80,504 $91,911 $89,932 $81,370 $56,714
0.32% 0.33% 0.33% 0.30% 0.33% 0.33%
2.97% 3.00% 4.54% 4.63% 6.26% 6.88%
-- -- -- -- -- --
10%(C) 41% 81% 63% 104% 89%
</Table>
- --------------------------------------------------------------------------------
117
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE
MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED)
- --------------------------------------------------------------------------------
RENEWAL OF MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS
At their February 23, 2005 meeting, the Trustees considered the renewal of
the existing Management Agreement between the Manager and the Funds and each
Investment Advisory Agreement between the Funds and the sub-advisors. As part of
the renewal process, legal counsel to the Trusts and the independent Trustees
sent information request letters to the Manager and each sub-advisor seeking
certain relevant information. The responses by the Manager and sub-advisors were
provided to the Trustees for their review prior to their meeting, and the
Trustees were provided with the opportunity to request any additional materials.
The Trustees considered, among other materials, responses by the Manager
and the sub-advisors to inquiries requesting:
- a description of any significant changes (actual or anticipated) to
principal activities, personnel, services provided to the Funds, or any
other area, including how these changes might affect the Funds;
- a copy of the firm's most recent audited or unaudited financial
statements as well as Parts I and II of its Form ADV;
- a summary of any material past, pending or anticipated litigation or
regulatory proceedings involving the firm or its personnel, including the
results of any recent regulatory examination or independent audit;
- a comparison of the performance of that portion of Fund assets managed by
each firm with performance of other similar accounts managed by the firm,
including a discussion of relative performance versus a peer group
average and any remedial measures if the firm's performance was
materially below that of the peer group;
- a cost/profitability analysis of the firm and any actual or anticipated
economies of scale in relation to the services it provides to the Funds,
if available;
- an analysis of compensation, including a comparison with fees charged to
other clients for which similar services are provided, any proposed
changes to the fee schedule and the effect of any fee waivers;
- an evaluation of any other benefits to the firm or Funds as a result of
their relationship, if any;
- a description of the scope of portfolio management services provided to
the Funds, including whether such services differ from the services
provided to other clients, including other registered investment
companies;
- a description of the personnel who are assigned primary responsibility
for managing the Fund, including any changes during the past year;
- a description of the basis upon which portfolio managers are compensated,
including any "incentive" arrangements;
- a discussion regarding the firm's participation in "soft dollar"
arrangements, if any, or other brokerage allocation policies with respect
to Fund transactions, including the firm's methodology for obtaining the
most favorable execution and the use of any affiliated broker-dealers;
- a description of any actual or potential conflicts of interest
anticipated in managing Fund assets;
- a discussion of the firm's compliance program with regard to federal,
state, corporate and Fund requirements;
- information regarding the firm's code of ethics, insider trading policy
and disaster recovery plan, including a description of any material
changes thereto;
118
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE
MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUNDS (UNAUDITED)
- --------------------------------------------------------------------------------
- a description of the firm's affiliation with any broker-dealer;
- a discussion of any anticipated change in the firm's controlling persons;
and
- verification of the firm's insurance coverage with regards to the
services provided to the Funds.
In addition to the foregoing, the Manager provided the following
information specific to the renewal of the Management Agreement:
- a table comparing the performance of each Fund to appropriate indices,
including comments on the relative performance of each sub-advisor and
each Fund versus comparable indices;
- a discussion of any underperformance by a sub-advisor relative to its
peer group and whether (and if so, why) such sub-advisor should have its
contract renewed;
- a table detailing the Manager's profitability with respect to each Fund;
- an analysis of any material complaints received from Fund shareholders;
- a discussion of the Manager's compliance program;
- a description of the Manager's securities lending practices and the fees
received from such practices;
- a description of the portfolio turnover rate and average execution costs
for each Fund and each sub-advisor to a Fund;
- a discussion of whether the Manager receives, with respect to trade
execution for the Funds, other special compensation, including any
payment for order flow;
- a description of how expenses that are not readily identifiable to a
particular Fund are allocated; and
- any ideas for the future growth and efficient operation of the Funds.
The Trustees were also provided with an analysis provided by Lipper, Inc.,
which compared: (i) investment performance of each Fund versus comparable
investment companies and appropriate indices; (ii) total Fund expenses of each
Fund versus comparable mutual funds, and (iii) each Fund's investment advisory
fees versus comparable mutual funds.
Legal counsel provided the Trustees with a memorandum detailing their
responsibilities pertaining to the renewal of the Management and Investment
Advisory Agreements. This memorandum explained the regulatory requirements
surrounding the Trustees' process for evaluating investment advisors and the
terms of the contracts.
CONSIDERATIONS WITH RESPECT TO ALL FUNDS
In determining whether to approve the continuance of the Management
Agreement and each Investment Advisory Agreement, the Trustees considered the
best interests of each Fund separately. In each instance, the Trustees
considered, among other things, the following factors: (1) the nature and
quality of the services provided; (2) the investment performance of the Fund and
the investment advisor; (3) the Manager's or sub-advisor's cost for providing
the services and the profitability of the advisory business to the Manager or
sub-advisor; (4) the extent to which economies of scale have been taken into
account in setting the fee schedule; and (5) whether fee levels reflect these
economies of scale for the benefit of Fund investors. The Trustees posed
questions to various management personnel of the Manager regarding certain key
aspects of the material submitted in support of the renewal.
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With respect to the renewal of the Management Agreement, the Trustees
considered: the Manager's ability to retain key investment personnel and to
provide consistent performance and an active client service program; the
Manager's goal to continue to provide consistent above average long-term
performance at low cost; the continuing efforts by the Manager to add new Funds
so as to enhance the Trusts' product line; the Manager's record in building
improved compliance, control and credit functions that reduce risks to the
Funds; the addition of personnel to manage the Funds, promote sales and improve
services; and the active role played by the Manager in monitoring and, as
appropriate, recommending replacements for the investment sub-advisors and
master portfolios.
With respect to the renewal of the Investment Advisory Agreements, the
Trustees noted that, in many cases, the Manager has negotiated the lowest
sub-advisory fee a sub-advisor charges for any comparable client accounts. Where
applicable, for purposes of determining the fee charged to the Funds, the fee
schedule to each Investment Advisory Agreement specifies that all other assets
managed by a sub-advisor on behalf of AMR Corporation and its pensions plans
shall be considered. Thus, the Funds are able to receive the lowest possible fee
due to economies of scale resulting from the sub-advisor's management of a
larger pool of assets.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE BALANCED FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Balanced Fund outperformed
its benchmark indices for the one, five- and ten-year periods ended December 31,
2004, even though the Manager slightly underperformed its benchmark index with
respect to the portion of fixed income Fund assets allocated to it; (2) the
expense ratio of the Institutional Class of Fund shares was lower than the
industry average; and (3) the Trustees deemed the profit made by the Manager on
the services it provided to the Fund to be reasonable in light of the fact that
the Manager provides high-quality services at a low cost to investors, manages a
portion of the Fund's assets, allocates the Fund's assets among sub-advisors,
monitors and evaluates the performance of the Fund's three sub-advisors, and
provides a comprehensive compliance program for the Fund.
In considering the renewal of the Investment Advisory Agreements with
Barrow, Hanley, Mewhinney & Strauss, Inc. ("Barrow"), Brandywine Asset
Management, LLC ("Brandywine") and Hotchkis and Wiley Capital Management, LLC
("Hotchkis"), the Trustees considered the following additional factors: (1)
Barrow, Brandywine and Hotchkis each either equaled or outperformed on a
short-term and long-term basis their benchmark indices with respect to its
allocated portion of the Fund's assets; (2) each sub-advisor represented that it
did not charge a lower fee rate for any comparable client accounts; (3) for
purposes of calculating the fee rates chargeable to the Fund, each sub-advisor
agreed to take into account all other assets of AMR Corporation and its
subsidiaries and affiliated entities under management by the sub-advisor (except
for assets managed by Barrow under the HALO Bond Program); and (4) the Manager's
recommendation to continue to retain each sub-advisor.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and the
sub-advisors under the Management and Investment Advisory Agreements are fair
and reasonable, (2) determined that the Balanced Fund and its shareholders would
benefit from the Manager's and sub-advisors' continued management of the Fund
and (3) approved the renewal of the Management and Investment Advisory
Agreements with respect to the Balanced Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE EMERGING MARKETS
FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Emerging Markets Fund only
slightly underperformed its benchmark indices for the one-year period, and
outperformed the benchmarks for the three-year periods ended December 31, 2004;
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(2) the expense ratio of the Institutional Class of the Emerging Markets Fund
was higher than the industry average, but the expense ratio of that Fund's AMR
Class was significantly lower; (3) the Manager has contractually agreed to
continue to waive fees and/or reimburse Fund expenses to the extent necessary to
maintain a competitive total expense ratio for the PlanAhead Class of shares of
the Fund; (4) the Manager incurred a loss on the services it provided to the
Fund.
In considering the renewal of the Investment Advisory Agreements with The
Boston Company Asset Management, LLC ("TBCAM") and Morgan Stanley Investment
Management Inc. ("MSIM Inc."), the Trustees considered the following additional
factors: (1) TBCAM and MSIM Inc. each outperformed on a short-term and long-term
basis certain indices with respect to its allocated portion of Fund assets; (2)
for purposes of calculating the fee rates chargeable to the Fund, each
sub-advisor agreed to take into account assets of AMR Corporation and its
subsidiaries and affiliated entities under management by the sub-advisor; and
(3) the Manager's recommendation to continue to retain each sub-advisor.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and the
sub-advisors under the Management and Investment Advisory Agreements are fair
and reasonable, (2) determined that the Emerging Markets Fund and its
shareholders would benefit from the Manager's and sub-advisors' continued
management of the Fund and (3) approved the renewal of the Management and
Investment Advisory Agreements with respect to the Emerging Markets Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE ENHANCED INCOME
FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Enhanced Income Fund
outperformed its peer group for the one-year and since inception periods; (2)
the Manager outperformed its benchmark index with respect to its allocated
portion of the Fund's assets for the one-year and since inception periods; (3)
the expense ratio of the Fund was higher than the industry average on an actual
basis, although contractual fees are below its peers; and (4) the Trustees
deemed the profit made by the Manager on the services it provided to the Fund to
be reasonable in light of the fact that the Manager provides high-quality
services at a low cost to investors, manages a portion of the Fund's assets,
allocates the Fund's assets among sub-advisors, monitors and evaluates the
performance of the Fund's sub-advisor, and provides a comprehensive compliance
program for the Fund.
In considering the renewal of the Investment Advisory Agreement with
Calamos Advisors LLC ("Calamos"), the Trustees considered the following
additional factors: (1) Calamos outperformed its benchmark index with respect to
its allocated portion of the Fund's assets; (2) for purposes of calculating the
fee rates chargeable to the Fund, Calamos agreed to take into account all other
assets of AMR Corporation and its subsidiaries and affiliated entities under
management by Calamos; and (3) the Manager's recommendation to continue to
retain Calamos.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and Calamos
under the Management and Investment Advisory Agreements are fair and reasonable,
(2) determined that the Enhanced Income Fund and its shareholders would benefit
from the Manager's and Calamos' continued management of the Fund and (3)
approved the renewal of the Management and Investment Advisory Agreements with
respect to the Enhanced Income Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE HIGH YIELD BOND
FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the High Yield Bond Fund
underperformed both its benchmark indices and its peer group for the one-year
period ended December 31, 2004 primarily due to its investment in higher-quality
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bonds that did not perform as well as much lower-quality bonds, but outperformed
its peer group for the three-year period ended December 31, 2004; (2) the
expense ratio of the Institutional Class was slightly higher than the industry
average; (3) the Manager has contractually agreed to continue to waive fees
and/or reimburse Fund expenses to the extent necessary to maintain a competitive
total expense ratio for the Service Class of shares of the Fund; and (4) the
Trustees deemed the profit made by the Manager on the services it provided to
the Fund to be reasonable in light of the fact that the Manager provides
high-quality services at a low cost to investors, allocates the Fund's assets
among sub-advisors, monitors and evaluates the performance of the Fund's
sub-advisor, and provides a comprehensive compliance program for the Fund.
In considering the renewal of the Investment Advisory Agreement with Post
Advisory Group, LLC ("Post"), the Trustees considered the following additional
factors: (1) although Post's long-term performance is good, it underperformed
its benchmark index and trailed its peer group because the market rewarded more
risky portfolios and Post's investment process focused on higher-quality
securities; (2) Post represented that it did not charge a lower fee rate for any
comparable client accounts; (3) for purposes of calculating the fee rates
chargeable to the Fund, Post agreed to take into account all other assets of AMR
Corporation and its subsidiaries and affiliated entities under management by
Post; and (4) the Manager's recommendation to continue to retain Post because it
expects that Post's investment process should come back into favor and continue
to perform well over the long term.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and Post
under the Management and Investment Advisory Agreements are fair and reasonable,
(2) determined that the High Yield Bond Fund and its shareholders would benefit
from the Manager's and Post's continued management of the Fund and (3) approved
the renewal of the Management and Investment Advisory Agreements with respect to
the High Yield Bond Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE INTERMEDIATE BOND
FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Intermediate Bond Fund
underperformed its benchmark index and trailed its peer group for the short-term
and long-term periods ended December 31, 2004, primarily due to its investment
in higher-quality bonds that did not perform as well as lower-quality bonds
included in the portfolios of its peers; (2) although the Manager underperformed
its benchmark index with respect to its allocated portion of the Fund's assets
for the short-term and long-term periods, its relative performance has improved
and the Manager believes that its higher quality portfolio will add value to
Fund shareholders going forward; (3) the expense ratio of the AMR Class of Fund
shares was lower than the industry average and the Manager recommends collapsing
the Institutional Class of shares into the AMR Class, effective as of March 1,
2005; (4) the Manager has contractually agreed to continue to waive fees and/or
reimburse Fund expenses to the extent necessary to maintain a competitive total
expense ratio for the PlanAhead Class of shares of the Fund; and (5) the Manager
incurred a loss on the services it provided to the Fund, manages a portion of
the Fund's assets, allocates the Fund's assets among itself and the sub-advisor,
monitors and evaluates the performance of the Fund's sub-advisor, and provides a
comprehensive compliance program for the Fund.
In considering the renewal of the Investment Advisory Agreement with
Barrow, the Trustees considered the following additional factors: (1) Barrow
outperformed its benchmark index for every period with respect to its allocated
portion of the Fund's assets; (2) Barrow represented that it did not charge a
lower fee rate for any comparable client accounts; (3) for purposes of
calculating the fee rates chargeable to the Fund, Barrow agreed to take into
account other assets of AMR Corporation and its subsidiaries and affiliated
entities under management by Barrow; and (4) the Manager's recommendation to
continue to retain Barrow.
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Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and Barrow
under the Management and Investment Advisory Agreements are fair and reasonable,
(2) determined that the Intermediate Bond Fund and its shareholders would
benefit from the Manager's and Barrow's continued management of the Fund and (3)
approved the renewal of the Management and Investment Advisory Agreements with
respect to the Intermediate Bond Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE LARGE CAP GROWTH
FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Manager provides
high-quality services at a low cost to investors, allocates the Fund's assets
among sub-advisors, monitors and evaluates the performance of the Fund's two
sub-advisors, and provides a comprehensive compliance program for the Fund; (2)
the Large Cap Growth Fund outperformed its benchmark indices and peer groups for
the one-, three-year and since inception periods ended December 31, 2004; (3)
the expense ratios of each class of Fund shares were lower than the industry
average; (4) the Manager has contractually agreed to continue to waive fees
and/or reimburse Fund expenses to the extent necessary to maintain a competitive
total expense ratio for the Institutional Class of shares of the Fund; and (5)
the Manager incurred a loss on the services it provided to the Fund.
In considering the renewal of the Investment Advisory Agreements with
Goldman Sachs Asset Management, L.P. ("GSAM") and J.P. Morgan Investment
Management Inc. ("JPMIM"), the Trustees considered the following additional
factors: (1) GSAM outperformed its benchmark indices with respect to its
allocated portion of the Fund's assets for all periods and JPMIM outperformed
its benchmark indices for the one-year and since inception periods; (2) Each
sub-advisor represented that it did not charge a lower fee rate for any
comparable client accounts; (3) for purposes of calculating the fee rates
chargeable to the Fund, each sub-advisor agreed to take into account all other
assets of AMR Corporation and its subsidiaries and affiliated entities under
management by the sub-advisor; and (4) the Manager's recommendation to continue
to retain each sub-advisor.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and the
sub-advisors under the Management and Investment Advisory Agreements are fair
and reasonable, (2) determined that the Large Cap Growth Fund and its
shareholders would benefit from the Manager's and sub-advisors' continued
management of the Fund and (3) approved the renewal of the Management and
Investment Advisory Agreements with respect to the Large Cap Growth Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE LARGE CAP VALUE
FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Large Cap Value Fund
outperformed its peer group and benchmark indices for the short and long-term
periods ended December 31, 2004; (2) the expense ratio of the Institutional
Class of Fund shares was lower than the industry average; and (3) the Trustees
deemed the profit made by the Manager on the services it provided to the Fund to
be reasonable in light of the fact that the Manager provides high-quality
services at a low cost to investors, allocates the Fund's assets among
sub-advisors, monitors and evaluates the performance of the Fund's four
sub-advisors, and provides a comprehensive compliance program for the Fund.
In considering the renewal of the Investment Advisory Agreements with
Barrow, Brandywine, Hotchkis and Metropolitan West Capital Management, LLC, the
Trustees considered the following additional factors: (1) each sub-advisor,
except for Brandywine, outperformed its benchmark index for the year with
respect to its allocated portion of the Fund's assets; (2) although Brandywine
underperformed its benchmark index for the most recent one-year period, it has
outperformed for the longer periods; (3) each sub-advisor represented that it
did not charge a lower fee rate for any comparable client accounts; (4) for
purposes of calculating the fee
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rates chargeable to the Fund, each sub-advisor agreed to take into account all
other assets of AMR Corporation and its subsidiaries and affiliated entities
under management by the sub-advisor; and (5) the Manager's recommendation to
continue to retain each sub-advisor.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and the
sub-advisors under the Management and Investment Advisory Agreements are fair
and reasonable, (2) determined that the Large Cap Value Fund and its
shareholders would benefit from the Manager's and sub-advisors' continued
management of the Fund and (3) approved the renewal of the Management and
Investment Advisory Agreements with respect to the Large Cap Value Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE MID-CAP VALUE FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Manager provides
high-quality services at a low cost to investors, allocates the Fund's assets
among sub-advisors, monitors and evaluates the performance of the Fund's two
sub-advisors, and provides a comprehensive compliance program for the Fund; (2)
the Mid-Cap Value Fund outperformed its peer group for the six-month period
ended December 31, 2004, but lagged behind its benchmark indices for the period;
(3) the expense ratio of the Institutional Class of Fund shares was higher than
the industry average due primarily to the higher fees charged by one of the
sub-advisors; (4) the Manager has contractually agreed to continue to waive fees
and/or reimburse Fund expenses to the extent necessary to maintain a competitive
total expense ratio for the Institutional Class of shares of the Fund and (5)
the Manager incurred a loss on the services it provided to the Fund.
In considering the renewal of the Investment Advisory Agreements with
Barrow and Pzena Investment Management, LLC, the Trustees considered the
following additional factors: (1) although each sub-advisor underperformed its
benchmark index for the six-month period with respect to its allocated portion
of the Fund's assets, the performance records are too short to be meaningful;
(2) each sub-advisor represented that it did not charge a lower fee rate for any
comparable client accounts; (3) for purposes of calculating the fee rates
chargeable to the Fund, each sub-advisor agreed to take into account all other
assets of AMR Corporation and its subsidiaries and affiliated entities under
management by the sub-advisor; and (4) the Manager's recommendation to continue
to retain each sub-advisor.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager and the
sub-advisors under the Management and Investment Advisory Agreements are fair
and reasonable, (2) determined that the Mid-Cap Value Fund and its shareholders
would benefit from the Manager's and sub-advisors' continued management of the
Fund and (3) approved the renewal of the Management and Investment Advisory
Agreements with respect to the Mid-Cap Value Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE SHORT-TERM BOND
FUND
In considering the renewal of the Management Agreement, the Trustees
considered the following additional factors: (1) the Short-Term Bond Fund
underperformed its benchmark index and peer group for the one-year period ended
December 31, 2004, but outperformed its peer group for the three-, five- and
ten-year periods; (2) the expense ratio of the AMR Class of Fund shares was
lower than the industry average and the Manager recommends collapsing the
Institutional Class of shares into the AMR Class, effective as of March 1, 2005;
and (3) the Manager incurred a loss on the services it provided to the Fund.
Based on these considerations and those noted above with respect to all
Funds, the Trustees (1) concluded that the fees paid to the Manager under the
Management Agreement are fair and reasonable, (2) determined that the Short-Term
Bond Fund and its shareholders would benefit from the Manager's continued
management of the Fund and (3) approved the renewal of the Management Agreement
with respect to the Short-Term Bond Fund.
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(LIGHTHOUSE LOGO)
(AMERICAN BEACON FUNDS LOGO)
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DELIVERY OF DOCUMENTS
To reduce expenses, your financial institution may mail only one copy of the
Prospectus, Annual Report and Semi-Annual Report to those addresses shared by
two or more accounts. If you wish to receive individual copies of these
documents, please contact your financial institution. Delivery of individual
copies will commence thirty days after receiving your request.
If you invest in the Funds through a financial institution, you may be able to
receive the Fund's regulatory mailings, such as the Prospectus, Annual Report
and Semi-Annual Report, by e-mail. If you are interested in this option, please
go to www.icsdelivery.com and search for your financial institution's name or
contact your financial institution directly.
TO OBTAIN MORE INFORMATION ABOUT THE FUNDS:
<Table>
(KEYBOARD GRAPHIC) (MOUSE GRAPHIC)
BY E-MAIL: ON THE INTERNET:
american-beacon.funds@ambeacon.com Visit our website at www.americanbeaconfunds.com
</Table>
- --------------------------------------------------------------------------------
<Table>
(TELEPHONE GRAPHIC) (MAILBOX GRAPHIC)
BY TELEPHONE: BY MAIL:
Institutional Class American Beacon Funds
Call (800) 658-5811 4151 Amon Carter Blvd., MD 2450
AMR Class(SM) Fort Worth, TX 76155
Call (800) 345-2345
PlanAhead Class(R) and Service Class
Call (800) 388-3344
</Table>
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<Table>
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES AVAILABILITY OF PROXY VOTING POLICY AND RECORDS
In addition to the Schedule of Investments provided in each A description of the policies and procedures that the Funds
semi-annual and annual report, each Fund files a complete use to determine how to vote proxies relating to portfolio
schedule of its portfolio holdings with the Securities and securities is available in each Fund's Statement of
Exchange Commission ("SEC") on Form N-Q as of the first and Additional Information, which may be obtained free of charge
third fiscal quarters. The Funds' Forms N-Q are available on by calling 1-800-967-9009 or by accessing the SEC's website
the SEC's website at www.sec.gov. The Forms N-Q may also be at www.sec.gov. Each Fund's proxy voting record for the most
reviewed and copied at the SEC's Public Reference Room, 450 recent year ended June 30 is filed annually with the SEC on
Fifth Street, NW, Washington, DC 20549. Information Form N-PX. The Funds' Forms N-PX are available on the SEC's
regarding the operation of the SEC's Public Reference Room website at www.sec.gov. Each Fund's proxy voting record may
may be obtained by calling 1-800-SEC-0330. A complete also be obtained by calling 1-800-967-9009.
schedule of each Fund's portfolio holdings is also available
on the Funds' website (www.americanbeaconfunds.com)
approximately thirty days after the end of each fiscal
quarter.
</Table>
FUND SERVICE PROVIDERS:
<Table>
CUSTODIAN TRANSFER AGENT INDEPENDENT DISTRIBUTOR
STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES REGISTERED PUBLIC FORESIDE FUND SERVICES
Boston, Massachusetts Kansas City, Missouri ACCOUNTING FIRM Portland, Maine
ERNST & YOUNG LLP
Chicago, Illinois
</Table>
This report is prepared for shareholders of the American Beacon Funds and may be
distributed to others only if preceded or accompanied by a current prospectus.
- --------------------------------------------------------------------------------
American Airlines, Inc. is not responsible for investments made in the American
Beacon Funds. American Beacon Funds is a service mark of AMR Corporation.
American Beacon Balanced Fund, American Beacon Large Cap Value Fund, American
Beacon Large Cap Growth Fund, American Beacon Mid-Cap Value Fund, American
Beacon Emerging Markets Fund, American Beacon High Yield Bond Fund, American
Beacon Enhanced Income Fund, American Beacon Intermediate Bond Fund and American
Beacon Short-Term Bond Fund are service marks of American Beacon Advisors, Inc.
[AMERICAN BEACON FUNDS LOGO]
4151 Amon Carter Blvd.
MD 2450
Fort Worth, TX 76155
1.800.967.9009
817.931.4331 fax
www.americanbeaconfunds.com
SAR 04/05
534226
ITEM 2. CODE OF ETHICS.
The Trust did not amend the code of ethics that applies to its principal
executive and financial officers (the "Code") nor did it grant any waivers to
the provisions of the Code during the period covered by the shareholder reports
presented in Item 1.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The schedules of investments for each series of the Trust are included in the
shareholder reports presented in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has made no material changes to the procedures by which shareholders
may recommend nominees to the Trust's Board of Trustees since the Trust last
disclosed such procedures in Schedule 14A.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon an evaluation within 90 days of the filing date of this
report, the principal executive and financial officers concluded that
the disclosure controls and procedures of the Trust are effective.
(b) There were no changes in the Trust's internal control over financial
reporting during the second fiscal quarter of the period covered by
this report that has materially affected, or is reasonably likely to
materially affect, the Trust's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the Trust as required by Rule
30a-2(a) under the Investment Company Act of 1940 is attached hereto
as EX-99.CERT.
(a)(3) Not applicable.
(b) The certifications required by Rule 30a-2(b) under the Investment
Company Act of 1940 are attached hereto as EX-99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): American Beacon Funds
By /s/ William F. Quinn
--------------------
William F. Quinn
President
Date: July 5, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By /s/ William F. Quinn
--------------------
William F. Quinn
President
Date: July 5, 2005
By /s/ Rebecca L. Harris
---------------------
Rebecca L. Harris
Treasurer
Date: July 5, 2005