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: 811-9098
AMERICAN BEACON MASTER TRUST
(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)
Douglas G. Herring, 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: December 31, 2007
Date of reporting period: June 30, 2007
ITEM 1. REPORT 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 FUND(SM) LOGO)
Semi-Annual Report
(GRAPHICS)
June 30, 2007
MONEY MARKET FUND
U.S GOVERNMENT MONEY MARKET FUND
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.
CONTENTS
President's Message .............................................. 1
Financial Highlights
Money Market Fund.............................................. 16
U.S. Government Money Market Fund ............................. 20
Schedule of Investments
Money Market Portfolio ........................................ 22
U.S. Government Money Market Portfolio ........................ 27
Additional Information............................................ Back Cover
Any opinions herein, including forecasts, reflect our judgment as of the end of
the reporting period and are subject to change. Each advisor's strategies and
each Fund's portfolio composition will change depending on economic and market
conditions. This report is not a complete analysis of market conditions and
therefore, should not be relied upon as investment advice. Although economic and
market information has been compiled from reliable sources, American Beacon
Advisors, Inc. makes no representation as to the completeness or accuracy of the
statements contained herein.
American Beacon Funds June 30, 2007
(PHOTO OF DOUGHS G. HERRING)
Fellow Shareholders,
I am pleased to present to you the Semi-Annual Report for the American
Beacon Money Market Fund and the U.S. Government Money Market Fund for the six
months ended June 30, 2007.
For this period, both Funds performed well versus their respective Lipper
peer groups. The American Beacon Money Market Fund - Institutional Class and -
Cash Management Class returned 2.60% and 2.62%, respectively, outperforming the
Lipper Institutional Money Market Funds Average return of 2.47%. The American
Beacon U.S. Government Money Market Fund - Cash Management Class gained 2.59%
versus the Lipper Institutional U.S. Government Money Market Funds Average
return of 2.46%.
Please review the enclosed portfolio listings and detailed financial data.
As always, we welcome the opportunity to serve your financial needs. Should you
have any questions about the enclosed information, please do not hesitate to
contact us at 800-967-9009. You may access Fund and account information at
www.americanbeaconfunds.com. Thank you for your continued confidence in the
American Beacon Funds.
Sincerely,
/s/ Douglas G. Herring
----------------------
Douglas G. Herring
President
American Beacon Funds
1
ECONOMIC OVERVIEW
JUNE 30, 2007 (Unaudited)
Annualized Gross Domestic Product ("GDP") growth came in at an anemic 0.7%
during the first quarter of 2007, the lowest rate of growth in four years.
Inventory drawdowns, a widening trade deficit and an ongoing slump in the
housing market were the main contributors to the slowdown. GDP growth in the
second quarter recovered to an estimated 3.4% annualized rate as consumer
spending held strong and business investment rebounded. The labor market
remained a bright spot for the economy. Higher wages enabled consumers to keep
spending despite increasing energy prices and declining home values. Payroll
gains averaged 148,000 per month during the second quarter of 2007 and the
unemployment rate remained near a six-year low at 4.5% in June.
The Federal Open Market Committee ("Fed") left rates unchanged at 5.25% at
both the May and June meetings. This marked eight consecutive meetings with no
movement from the Fed. In its June statement, the Fed acknowledged that the
economy was expected to expand at a moderate pace and that core inflation
measures had improved modestly. However, Fed officials remained concerned about
the high level of resource utilization and stated that "a sustained moderation
in inflation pressures has yet to be convincingly demonstrated." Thus the Fed's
inflation bias remained in place after the June meeting.
Though economic growth recovered in the second quarter and the Fed has been
unremitting in its commitment to contain inflation, the market is fearful that
subprime mortgage difficulties could spill over into the broader economy. As
such, the Fed continues to maintain ample flexibility by stating that "future
policy adjustments will depend on the evolution of the outlook for both
inflation and economic growth."
2
PERFORMANCE OVERVIEW
AMERICAN BEACON MONEY MARKET FUND(SM)
JUNE 30, 2007 (Unaudited)
The Money Market Fund will maintain the strategy of purchasing high quality
commercial paper maturing in 3 months or less and 3-month London Interbank
Offered Rate (LIBOR) based variable rate securities until it becomes apparent
that the Fed is on the verge of lowering interest rates. In addition, we remain
conservative on credit risk given the volatile credit spread environment and
effects of the subprime mortgage difficulties.
For the six months ended June 30, 2007, the total return of the Cash
Management Class of the American Beacon Money Market Fund was 2.62%. The Fund
outperformed the Lipper Institutional Money Market Average return of 2.47% by 15
basis points (0.15%). Lipper Inc. ranked the Cash Management Class of the Fund
17th among 350, 20th among 298, and 18th among 252 Institutional Money Market
Funds for the one-year, three-year and five-year periods ended June 30, 2007,
respectively. The Lipper Institutional Money Market Average is calculated by
taking an arithmetic average of the returns of the mutual funds in the Lipper
Institutional Money Market Funds category. Lipper is an independent mutual fund
research and ranking service that ranks mutual funds in various categories by
making comparative calculations using total returns.
Cash Management Class Total Returns as of June 30, 2007
1year 5 Years* 10 Years*
----- -------- ---------
American Beacon Money Market Fund 5.36% 2.80% 3.91%
Lipper Institutional Money Market
Funds Average 5.04% 2.51% 3.68%
* Annualised
ANNUALIZED TOTAL
RETURNS AS OF
6/30/2007
---------------------------
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
Cash Management
Class (1,2,5) ................... 5.36% 2.80% 3.91%
Institutional Class (1,3,5) ..... 5.32% 2.71% 3.86%
PlanAheadClass (1,5) ........... 5.03% 2.44% 3.56%
BBH Comset Class (1,4,5)....... 5.36% 2.80% 3.91%
1. Performance shown is historical and may not be indicative of future
returns. Investment returns will vary, and shares may be worth more or less
at redemption than at original purchase. An investment in this Fund is
neither insured nor guaranteed by the Federal Deposit Insurance Corporation
or any other government agency. Although the Fund seeks to preserve the
value of an investment at $1.00 per share it is possible to lose money by
investing in the Fund. 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 and ten-year periods represent the total
returns achieved by the Institutional Class from 7/1/97 to 12/1/01, the
inception date of the Cash Management Class, and the returns of the Cash
Management Class thereafter. Expenses of the Cash Management Class are
lower than those of the Institutional Class. Therefore, total returns shown
are lower than they would have been had the Cash Management Class been in
place since 7/1/97. A portion of the fees charged to the Cash Management
Class of the Fund has been waived. Performance prior to waiving fees was
lower than the actual returns shown.
3. A portion of the fees charged to the Institutional Class of the Fund has
been waived since 2006. Performance prior to waiving fees was lower than
the actual returns shown for periods since 2006.
4. Fund performance represents the total returns achieved by the Institutional
Class from 7/1/97 to 12/1/01, the total returns achieved by the Cash
Management Class from 12/1/01 up to 4/2/07, the inception date of the BBH
Comset Class, and the returns of the BBH Comset Class thereafter. Expenses
of the BBH Comset Class are lower than those of the Institutional and Cash
Management Classes through 12/31/03. Therefore, total returns shown through
12/31/03 are lower than they would have been had the BBH Comset Class been
in place during that period. Expenses of the BBH Comset Class have been the
same as those of the Cash Management Class since 1/1/04.
5. The total annual Fund operating expense ratio set forth in the most recent
Fund prospectus for the Cash Management, Institutional, PlanAhead and the
BBH Comset Class shares was 0.20%, 0.23%, 0.49% and 0.19%, respectively.
After expense reimbursement, the net expense ratio set forth in the most
recent Fund prospectus for the Cash Management, Institutional and BBH
Comset Class shares was 0.15%, 0.18% and 0.15%, respectively. The expense
ratios above may vary from the expense ratios presented in other sections
of this report that are based on expenses incurred during the period
covered by this report.
3
PERFORMANCE OVERVIEW
AMERICAN BEACON MONEY MARKET FUND(SM)
JUNE 30, 2007 (Unaudited)
PORTFOLIO STATISTICS AS OF JUNE 30, 2007
CASH BBH
MANAGEMENT INSTITUTIONAL PLANAHEAD COMSET
CLASS CLASS CLASS CLASS
---------- ------------- --------- -------
7-day
Current
Yield* 5.24% 5.19% 4.89% 5.24%
7-day
Effective
Yield* 5.38% 5.32% 5.01% 5.38%
30-day Yield* 5.22% 5.17% 4.87% 5.22%
Weighted
Avg. Maturity 35 Days 35 Days 35 Days 35 Days
Moody's
Rating Aaa N/A N/A Aaa
S&P Rating AAAm N/A N/A AAAm
* Annualized. You may call 1-800-388-3344 to obtain the Fund's current seven
day yield. Yield is a more accurate reflection of the Fund's current
earnings than total returns.
TOP TEN ISSUERS AS OF JUNE 30, 2007
% OF
NET ASSETS**
------------
General Electric Capital Corp. 5.2%
Royal Bank of Scotland plc 5.2%
Bank of America 4.9%
Lehman Brothers 4.8%
Calyon N.Y. 4.7%
Citigroup 4.7%
FCAR Owner Trust, Series I 4.6%
Natixis 4.5%
US Bank, NA 4.0%
Toyota Motor Credit Corp. 3.8%
** Percent of net assets of American Beacon Master Money Market Portfolio.
ASSET ALLOCATION AS OF JUNE 30, 2007
% OF
NET ASSETS**
------------
Bank CDs, TDs and Notes 36.8%
Corporate Notes 34.8%
Commercial Paper 20.2%
Repurchase Agreements 8.6%
Funding Agreements 0.9%
Liabilities, Net of Other Assets -1.3%
** Percent of net assets of American Beacon Master Money Market Portfolio.
4
PERFORMANCE OVERVIEW
AMERICAN BEACON MONEY MARKET FUND(SM)
JUNE 30, 2007 (Unaudited)
FUND EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees, administrative service
fees, 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 and held for the entire period from January 1, 2007 through June 30,
2007.
ACTUAL EXPENSES
The "Actual" lines of the table provide information about actual account
values and actual expenses. You may use the information in these lines, 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 "Actual" line under the heading "Expenses Paid During Period" for the
applicable Class to estimate the expenses you paid on your account during this
period. Shareholders of the PlanAhead Class 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 Class that invest in the Fund through an IRA may be subject to
a custodial IRA fee of $12 that is typically deducted each December. If your
account was subject to a custodial IRA fee during the period, your costs would
have been $12 higher.
You should also be aware that the expenses shown in the table highlight
only your ongoing costs and do not reflect any transaction costs charged by the
Fund. Similarly, the expense examples for other funds do not reflect any
transaction costs charged by those funds, such as sales charges (loads),
redemption fees or exchange fees. Therefore, the "Hypothetical" lines of the
table are useful in comparing ongoing costs only and will not help you determine
the relative total costs of owning different funds. If you were subject to any
transaction costs during the period, your costs would have been higher.
Beginning Ending Expenses Paid
Account Account During Period*
Value Value 1/1/07-
1/1/07 06/30/07 06/30/07
--------- --------- --------------
CASH MANAGEMENT CLASS
Actual ..................... $1,000.00 $1,026.20 $0.75
Hypothetical (5% return
before expenses) ........... $1,000.00 $1,024.05 $0.75
INSTITUTIONAL CLASS
Actua ...................... $1,000.00 $1,025.99 $0.95
Hypothetical (5% return
before expenses) ........... $1,000.00 $1,023.85 $0.95
PLANAHEAD CLASS
Actual ..................... $1,000.00 $1,024.62 $2.26
Hypothetical (5% return
before expenses) ........... $1,000.00 $1,022.56 $2.26
Beginning Ending Expenses Paid
Account Account During Period**
Value Value 4/2/07-
4/2/07 06/30/07 06/30/07
--------- --------- ---------------
BBH COMSET CLASS
Actual .................... $1,000.00 $1,012.93 $0.37
Hypothetical (5% return
before expenses) .......... $1,000.00 $1,011.96 $0.37
* Expenses are equal to the Fund's annualized expense ratios for the
six-month period of 0.15%, 0.19%, 0.45% for the Cash Management,
Institutional and PlanAhead 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.
** Expenses are equal to the Fund's annualized expense ratios for the period
of 0.15% for the BBH ComSet Class 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 (90) by days in the year (365) to
reflect the half-year period.
5
PERFORMANCE OVERVIEW
AMERICAN BEACON U.S. GOVERNMENT MONEY MARKET FUND(SM)
JUNE 30, 2007 (Unaudited)
The U.S. Government Money Market Fund will maintain the strategy of
primarily transacting overnight repurchase agreements until it becomes more
apparent that the Fed is on the verge of lowering interest rates. We remain
conservative on credit risk given the volatile credit spread environment and
effects of the subprime mortgage difficulties.
For the year ended June 30, 2007, the total return of the Cash Management
Class of the American Beacon U.S. Government Money Market Fund was 2.59%. The
Fund outperformed the Lipper Institutional U.S. Government Money Market Average
return of 2.46% by 13 basis points (0.13%). Lipper Inc. ranked the Cash
Management Class of the Fund 8th among 148, 8th among 106 and 7th among 66
Institutional U.S. Government Money Market Funds for the one-year, five-year and
ten-year periods ended June 30, 2007, respectively. The Lipper Institutional
U.S. Government Money Market Average is calculated by taking an arithmetic
average of the returns of the mutual funds in the Lipper Institutional U.S.
Government Money Market Funds category. Lipper is an independent mutual fund
research and ranking service that ranks mutual funds in various categories by
making comparative calculations using total returns.
Cash Management Class Total Returns as of June 30, 2007
(PERFORMANCE GRAPH)
1year 5 Years* 10 Years*
----- -------- ---------
American Beacon U.S.
Government Money Market Fund 5.29% 2.74% 3.81%
Lipper Institutional U.S.
Government Money Market FundS
Average 5.02% 2.50% 3.62%
* Annualized
ANNUALIZED TOTAL RETURNS
AS OF 6/30/2007
---------------------------
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
Cash Management Class
(1,2,4)................. 5.29% 2.74% 3.81%
PlanAhead Class (1,3,4).... 4.82% 2.31% 3.43%
1 Performance shown is historical and may not be indicative of future
returns. Investment returns will vary, and shares may be worth more or less
at redemption than at original purchase. An investment in this Fund is
neither insured nor guaranteed by the Federal Deposit Insurance Corporation
or any other government agency. Although the Fund seeks to preserve the
value of an investment at $1.00 per share it is possible to lose money by
investing in the Fund. 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 Prior to December 1, 2001, the Cash Management Class of the Fund was known
as the Institutional Class. A portion of the fees charged to the Cash
Management Class of the Fund has been waived since 2002. Performance prior
to waiving fees was lower than actual returns shown for periods since 2002.
3 A portion of the fees charged to the PlanAhead Class of the Fund has been
waived since 2003. Performance prior to waiving fees was lower than the
actual returns shown for periods since 2003.
4 The total annual Fund operating expense ratio set forth in the most recent
Fund prospectus for the Cash Management and the PlanAhead Class shares was
0.64% and 1.02%, respectively. After expense reimbursement, the net expense
ratio set forth in the most recent Fund prospectus for the Cash Management,
Institutional and BBH Comset Class shares was 0.15% and 0.63%,
respectively. The expense ratios above may vary from the expense ratios
presented in other sections of this report that are based on expenses
incurred during the period covered by this report.
PORTFOLIO STATISTICS AS OF JUNE 30, 2007
CASH
MANAGEMENT PLANAHEAD
CLASS CLASS
---------- ---------
7-day Current Yield* 5.23% 4.73%
7-day Effective Yield* 5.37% 4.85%
30-day Yield* 5.19% 4.69%
Weighted Avg. Maturity 13 Days 13 Days
Moody's Rating Aaa N/A
S&P Rating AAAm N/A
* Annualized. You may call 1-800-388-3344 to obtain the Fund's current seven
day yield. Yield is a more accurate reflection of the Fund's current
earnings than total returns.
6
PERFORMANCE OVERVIEW
AMERICAN BEACON U.S. GOVERNMENT MONEY MARKET FUND(SM)
JUNE 30, 2007 (Unaudited)
ASSET ALLOCATION AS OF JUNE 30, 2007
% OF
NET ASSETS**
------------
Repurchase Agreements 94.7%
Government Securities 5.2%
Net Other Assets 0.1%
** Percent of net assets of the American Beacon Master U.S. Government Money
Market Portfolio.
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, 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 and held for the entire period from January 1, 2007 through June 30,
2007.
ACTUAL EXPENSES
The "Actual" lines of the table provide information about actual account
values and actual expenses. You may use the information in these lines, 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 "Actual" line under the heading "Expenses Paid During Period" for the
applicable Class to estimate the expenses you paid on your account during this
period. Shareholders of the PlanAhead Class 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 Class that invest in the Fund through an IRA may be subject to
a custodial IRA fee of $12 that is typically deducted each December. If your
account was subject to a custodial IRA fee during the period, your costs would
have been $12 higher.
You should also be aware that the expenses shown in the table highlight
only your ongoing costs and do not reflect any transaction costs charged by the
Fund. Similarly, the expense examples for other funds do not reflect any
transaction costs charged by those funds, such as sales charges (loads),
redemption fees or exchange fees. Therefore, the "Hypothetical" lines of the
table are useful in comparing ongoing costs only and will not help you determine
the relative total costs of owning different funds. If you were subject to any
transaction costs during the period, your costs would have been higher.
Beginning Ending Expenses Paid
Account Account During Period*
Value Value 1/1/07-
1/1/07 06/30/07 06/30/07
--------- --------- --------------
CASH MANAGEMENT CLASS
Actual . . . . . . . . . . $1,000.00 $1,025.93 $0.83
Hypothetical (5% return
before expenses) . . . . . $1,000.00 $1,023.85 $0.82
PLANAHEAD CLASS
Actual . . . . . . . . . . $1,000.00 $1,023.46 $3.26
Hypothetical (5% return
before expenses) . . . . . $1,000.00 $1,021.77 $3.26
* Expenses are equal to the Fund's annualized expense ratios for the
six-month period of 0.19% and 0.65% for the Cash Management and PlanAhead
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.
7
AMERICAN BEACON FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2007 (UNAUDITED) (IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
------------ ---------------
ASSETS:
Investment in Portfolio, at value ........................ $ 927,269 $ 22,174
Receivable for fund shares sold .......................... 86 --
Receivable from Manager for expense reimbursement
(Note 2) .............................................. 155 1
Prepaid expenses ......................................... 78 11
------------ -----------
TOTAL ASSETS .......................................... 927,588 22,186
------------ -----------
LIABILITIES:
Payable for fund shares redeemed ......................... 88 --
Dividends payable ........................................ 754 29
Administrative service and service fees payable
(Note 2) .............................................. 72 1
Distribution fees payable (Note 2) ....................... 1 --
Other liabilities ........................................ 5 9
------------ -----------
TOTAL LIABILITIES ..................................... 920 39
------------ -----------
NET ASSETS .................................................. $ 926,668 $ 22,147
============ ===========
ANALYSIS OF NET ASSETS:
Paid-in-capital .......................................... 926,668 22,147
============ ===========
NET ASSETS .................................................. $ 926,668 $ 22,147
SHARES OUTSTANDING (NO PAR VALUE):
Cash Management Class .................................... 622,413,677 20,478,365
============ ===========
Institutional Class ...................................... 224,681,036 N/A
============ ===========
PlanAhead Class .......................................... 59,105,741 1,669,039
============ ===========
BBH ComSet Class ......................................... 20,467,642 N/A
============ ===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Cash Management Class .................................... $ 1.00 $ 1.00
============ ===========
Institutional Class ...................................... $ 1.00 N/A
============ ===========
PlanAhead Class .......................................... $ 1.00 $ 1.00
============ ===========
BBH ComSet Class ......................................... $ 1.00 N/A
============ ===========
See accompanying notes
8
AMERICAN BEACON FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2007 (UNAUDITED) (IN THOUSANDS)
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
------------ ---------------
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Interest income ................................. $31,526 $246
Portfolio expenses .............................. (632) (5)
------- ----
NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO 30,894 241
------- ----
FUND EXPENSES:
Administrative service fees (Note 2):
Cash Management Class ........................ 240 1
Institutional Class .......................... 151 --
PlanAhead Class .............................. 76 1
Platinum Class ............................... 81 10
BBH ComSet Class ............................. 3 --
Transfer agent fees:
Cash Management Class ........................ 11 --
Institutional Class .......................... 5 --
PlanAhead Class .............................. 4 3
BBH ComSet Class ............................. 2 --
Professional fees ............................... 9 7
Registration fees and expenses .................. 42 29
Service fees - PlanAhead Class (Note 2) ......... 191 2
Distribution fees - Platinum Class (Note 2) ..... 31 4
Prospectus and shareholder reports .............. 26 1
Other expenses .................................. -- 4
------- ----
TOTAL FUND EXPENSES .......................... 872 62
------- ----
Less waiver and reimbursement of expenses (Note 2) . (230) (42)
------- ----
NET FUND EXPENSES ............................... 642 20
------- ----
NET INVESTMENT INCOME .............................. 30,252 221
------- ----
REALIZED GAIN ALLOCATED FROM PORTFOLIO:
Net realized gain on investments ................ 10 --
------- ----
NET GAIN ON INVESTMENTS ...................... 10 --
------- ----
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $30,262 $221
------- ----
See accompanying notes
9
AMERICAN BEACON FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
JUNE 30, 2007 (UNAUDITED)(IN THOUSANDS)
MONEY MARKET U.S. GOVERNMENT MONEY MARKET
------------------------------- -------------------------------
Year ended Year ended
Six Months ended December 31, Six Months ended December 31,
June 30, 2007 2006 June 30, 2007 2006
---------------- ------------ ---------------- ------------
(unaudited) (unaudited)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income ....................... $ 30,252 $ 36,739 $ 221 $ 607
Net realized gain on investments ............ 10 1 -- --
NET INCREASE IN NET ASSETS RESULTING FROM
----------- ----------- -------- --------
OPERATIONS ............................ 30,262 36,740 221 607
----------- ----------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Cash Management Class .................... (17,905) (21,235) (109) (304)
Institutional Class ...................... (7,833) (4,754) -- --
PlanAhead Class .......................... (3,757) (9,290) (45) (114)
Platinum Class ........................... (544) (1,460) (67) (189)
BBH ComSet Class ......................... (212) -- -- --
Net realized gain on investments:
Cash Management Class .................... (6) -- -- --
Institutional Class ...................... (3) -- -- --
PlanAhead Class .......................... (2) (1) -- --
Platinum Class ........................... -- -- -- --
BBH ComSet Class ......................... -- -- -- --
----------- ----------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS ......... (30,262) (36,740) (221) (607)
----------- ----------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares ............... 3,817,043 5,755,911 31,546 39,131
Reinvestment of dividends and distributions . 25,802 32,640 79 225
Cost of shares redeemed ..................... (4,126,659) (5,091,891) (19,116) (58,084)
----------- ----------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS ............ (283,814) 696,660 12,509 (18,728)
----------- ----------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS .......... (283,814) 696,660 12,509 (18,728)
----------- ----------- -------- --------
NET ASSETS:
Beginning of period ......................... 1,210,482 513,822 9,638 28,366
----------- ----------- -------- --------
END OF PERIOD ............................... $ 926,668 $ 1,210,482 $ 22,147 $ 9,638
=========== =========== ======== ========
See accompanying notes
10
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2007 (UNAUDITED)(IN THOUSANDS)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American Beacon Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940 (the
"Act"), as amended, as a diversified, no-load, open-end management investment
company with separate series. The following series are included in this report:
American Beacon Money Market and American Beacon U.S. Government Money Market
Funds (each a "Fund" and collectively, the "Funds").
The BBH Comset Class of the Money Market Fund commenced operations on April
2, 2007. The Platinum Class of the Funds was fully liquidated effective May 31,
2007.
Each Fund invests all of its investable assets in the corresponding
portfolio of the American Beacon Master Trust, an open-end diversified
management investment company, as follows:
AMERICAN BEACON: (ARROW) invests assets in (ARROW) AMERICAN BEACON MASTER TRUST:
Money Market Fund Money Market Portfolio
U.S. Government Money Market Fund U.S. Government Money Market Portfolio
Each Fund has the same investment objectives as its corresponding American
Beacon Master Trust Portfolio. The value of such investment reflects each Fund's
proportionate interest in the net assets of the corresponding portfolio (5.5%
and 2.8% at June 30, 2007 of the American Beacon Master Trust Money Market and
U.S. Government Money Market Portfolios, respectively) (each a "Portfolio" and
collectively the "Portfolios"). The financial statements of the Portfolios are
included elsewhere in this report and should be read in conjunction with the
Funds' financial statements.
American Beacon Advisors, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation and was organized in 1986 to provide business management,
advisory, administrative and asset management consulting services to the Trust
and other investors.
The following is a summary of the significant accounting policies followed
by the Funds.
Class Disclosure
Each 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:
CLASS: OFFERED TO: SERVICE AND DISTRIBUTION FEES:
- ------ ------------------------------------ ----------------------------------
CASH MANAGEMENT CLASS Investors making an initial Administrative Service Fee - 0.07%
investment of $10 million for Money
Market and $2 million for U.S.
Government Money Market, or
investors investing through an
intermediary
INSTITUTIONAL CLASS Investors making an initial Administrative Service Fee - 0.10%
investment of $2 million
PLANAHEAD CLASS General public and investors Administrative Service Fee - 0.10%
investing through an intermediary Service Fee - 0.25%
BBH COMSET Investors making an initial Administrative Service Fee - 0.08%
investment of at least $10 million
in BBH ComSet(SM) who meet the
eligibility requirements established
by Brown Brothers Harriman & Co.
Valuation of Investments
The Funds record their investment in the Portfolios at fair value.
Valuation of securities by the Portfolios is discussed in Note 1 of the
Portfolios' Notes to Financial Statements, which are included elsewhere in this
report.
11
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
JUNE 30, 2007 (UNAUDITED)(IN THOUSANDS)
Investment Income and Dividends to Shareholders
Each Fund records its share of net investment income (loss) and realized
gain (loss) in the Portfolio each day. All net investment income (loss) and
realized gain (loss) of each Portfolio are allocated pro rata among the
corresponding Fund and other investors in each Portfolio at the time of such
determination. The Funds generally declare dividends daily from net investment
income and net short-term capital gain, if any, payable monthly.
Dividends to shareholders are determined in accordance with federal income
tax principles that may treat certain transactions differently than U.S.
generally accepted accounting principles.
Allocation of Income, Expenses, Gains and Losses
Income, expenses (other than those attributable to a specific class), gains
and losses are allocated daily to each class of shares based upon the relative
proportion of net assets represented by such class. Operating expenses directly
attributable to a specific class are charged against the operations of that
class.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
Recently Issued Accounting Pronouncements
On July 13, 2006, the Financial Accounting Standards Board ("FASB")
released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes"
("FIN 48"). FIN 48 provides guidance on how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements. FIN
48 requires the evaluation of tax positions taken or expected to be taken in the
course of preparing each Fund's tax returns to determine whether the tax
positions are "more-likely-than-not" of being sustained by the applicable tax
authority. Tax positions not deemed to meet the more-likely-than-not threshold
would be recorded as a tax benefit or expense in the current year. The Funds
adopted the provisions of FIN 48 effective January 1, 2007. Tax positions taken
by the Funds have been deemed to meet the more likely than not threshold, and
therefore, there have been no adjustments to the Funds' net asset value per
share.
In September 2006, the FASB issued Statement on Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"). This standard
clarifies the definition of fair value for financial reporting, establishes a
framework for measuring fair value and requires additional disclosures about the
use of fair value measurements. FAS 157 is effective for financial statements
issued for fiscal years beginning after November 15, 2007 and interim periods
within those fiscal years. The Manager is evaluating the impact of FAS 157;
however, it is not expected to have a material impact on the Funds' net assets
or results of operations.
Other
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liability arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that provide indemnification to the other party or parties against
potential costs or liabilities. The Trust's maximum exposure under these
arrangements is dependent on claims that may be made in the future and,
therefore, cannot be estimated. The Trust has had no prior claims or losses
pursuant to any such agreement.
12
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
JUNE 30, 2007 (UNAUDITED)(IN THOUSANDS)
2. TRANSACTIONS WITH AFFILIATES
Administrative Services Agreement
As compensation for providing administrative services to the Funds, the
Manager receives an annualized fee of 0.10% of the average daily net assets of
each of the Institutional and PlanAhead Classes of the Funds, 0.08% of the
average daily net assets of the BBH Class of the Money Market Fund and 0.07% of
the Cash Management Class of the Funds.
Distribution Plan
The Trust has adopted a "defensive" Distribution Plan (the "Plan") in
accordance with Rule 12b-1 under the Act, pursuant to which no fees may be
charged to the Funds for distribution purposes. However, the Plan authorizes the
fees received 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.
Service Agreement
The Manager and the Trust entered into a Service Agreement which obligates
the Manager to oversee additional shareholder servicing of the PlanAhead Class.
As compensation for performing the duties required under the Service Agreement,
the Manager receives 0.25% based on the daily net assets of the PlanAhead Class.
Reimbursement and Waiver of Expenses
The Manager contractually agreed to reimburse the following Funds for
distribution and other expenses through February 29, 2008 to the extent total
annual fund operating expenses exceed the following amounts:
FUND CLASS EXPENSE CAP AMOUNT
- ---- --------------- ----------- -------
Money Market Fund Institutional 0.18%** $50,430
Money Market Fund Cash Management 0.15% 163,573
U.S. Government Money Market Fund Cash Management 0.15%* 1,290
U.S. Government Money Market Fund PlanAhead 0.65% 1,312
* Prior to March 1, 2007, the expense cap was 0.19%.
** Prior to March 1, 2007, fees were voluntarily waived by the Manager to
arrive at expense cap.
The Manager voluntarily agreed to reimburse the BBH ComSet Class of the
Money Market Fund for other expenses through February 29, 2008 to the extent
total annual fund operating expenses exceeded 0.15%. The Manager reimbursed
expenses totaling $6,494 to the BBH ComSet Class of the Money Market Fund during
the six months ended June 30, 2007.
Expense Reimbursement Plan
The Funds have adopted an Expense Reimbursement Plan whereby the Manager
may seek recoupment of fees waived or expenses reimbursed for a period of up to
three years. However, recoupment will occur only if the Class' average net
assets have grown or expenses have declined sufficiently to allow recoupment
without causing its expense ratio to exceed the previously agreed upon expense
limit. The following waived fees or reimbursed expenses are subject to potential
recovery expiring in:
13
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
JUNE 30, 2007 (UNAUDITED)(IN THOUSANDS)
U.S. GOVERNMENT
YEAR MONEY MARKET MONEY MARKET*
- ---- ------------ ---------------
2007 .. $140,252 $13,955
2008 .. 293,487 40,129
2009 .. 260,591 23,815
2010 .. 230,471 2,602
* Excludes waived fees or reimbursed expenses related to the Platinum class,
which was closed May 14, 2007
The Funds have not recorded a liability for this potential reimbursement
due to the current assessment that a reimbursement is unlikely.
3. FEDERAL INCOME 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 tax provision is required.
Net investment income and net realized gains (losses) may differ for
financial statement and tax purposes because of temporary or permanent
book-to-tax differences. To the extent these differences are permanent,
reclassifications are made to the appropriate equity accounts in the period that
the differences arise. Temporary differences are not reflected in the financial
records.
Dividends are categorized in accordance with federal income tax regulations
which may treat certain transactions differently than U. S. generally accepted
accounting principles. Accordingly, the character of distributions and
composition of net assets for tax purposes may differ from those reflected in
the accompanying financial statements.
The tax character of distributions paid for the six months ended June 30,
2007 and the year ended December 31, 2006 were as follows (in thousands):
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
----------------------------- -------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE DECEMBER 31,
2007 2006 30, 2007 2006
-------------- ------------ ---------- ------------
DISTRIBUTIONS PAID FROM
ORDINARY INCOME:*
Cash Management Class .. $17,912 $21,235 $109 $304
Institutional Class .... 7,836 4,754 -- --
PlanAhead Class ........ 3,759 9,291 45 114
Platinum Class ......... 543 1,460 67 189
BBH ComSet Class ....... 212 -- -- --
------- ------- ---- ----
TOTAL DISTRIBUTIONS PAID .. $30,262 $36,740 $221 $607
======= ======= ==== ====
* For tax purposes short-term capital gains distributions are considered
ordinary income distributions.
As of June 30, 2007, the components of distributable earnings on a tax
basis were the same as book. The cost basis of investments for federal income
tax purposes was also the same as the book basis.
The Funds do not have capital loss carry forwards as of June 30, 2007.
14
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
JUNE 30, 2007 (UNAUDITED)(IN THOUSANDS)
4. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each class of
the Funds (in thousands). Each share is valued at $1.00:
Six Months Ended June 30, 2007
Cash
Management Institutional PlanAhead Platinum
Class Class Class Class
---------- ------------- --------- --------
Money Market Fund
Shares sold ........................................ 2,886,591 523,291 328,658 14,014
Reinvestment of dividends .......................... 15,172 7,108 3,019 502
Shares redeemed .................................... (2,781,254) (810,121) (443,088) (48,173)
---------- -------- -------- -------
Net increase (decrease) in shares outstanding ...... 120,509 (279,722) (111,411) (33,657)
========== ======== ======== =======
BBH
ComSet Class
------------
Money Market Fund
Shares sold ........................................ 64,489
Reinvestment of dividends .......................... 1
Shares redeemed .................................... (44,023)
-------
Net increase in shares outstanding ................. 20,467
=======
Cash
Management PlanAhead Platinum
Class Class Class
---------- --------- --------
U.S. Government Money Market Fund
Shares sold ........................................ 24,185 3,062 4,299
Reinvestment of dividends .......................... 5 12 62
Shares redeemed .................................... (7,280) (3,463) (8,373)
------ ---- ------
Net increase (decrease) in shares outstanding ...... 16,910 (389) (4,012)
====== ==== ======
Year Ended December 31, 2006
Cash
Management Institutional PlanAhead Platinum
Class Class Class Class
---------- ------------- --------- --------
Money Market Fund
Shares sold ........................................ 3,868,924 1,325,652 515,551 45,785
Reinvestment of dividends .......................... 19,760 3,586 7,834 1,460
Shares redeemed .................................... (3,586,788) (861,256) (589,770) (54,077)
---------- --------- -------- -------
Net increase (decrease) in shares outstanding ...... 301,896 467,982 (66,385) (6,832)
========== ========= ======== =======
Cash
Management PlanAhead Platinum
Class Class Class
---------- --------- --------
U.S. Government Money Market Fund
Shares sold ........................................ 20,648 8,290 10,194
Reinvestment of dividends .......................... 0 36 189
Shares redeemed .................................... (39,597) (8,201) (10,286)
------- ------ -------
Net increase (decrease) in shares outstanding ...... (18,949) 125 97
======= ====== =======
15
AMERICAN BEACON MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
Cash Management Class
----------------------------------------------------------------
Six Months Year Ended December 31,
Ended June --------------------------------------------------
30, 2007 2006 2005 2004 2003 2002
----------- -------- -------- -------- -------- ------
(Unaudited)
Net asset value, beginning of period ........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- ------
Income from investment operations:
Net investment income(A) ................................. 0 .03 0 .05 0 .03 0 .01 0 .01 0 .02
Net realized gain on investments(B) ...................... -- -- -- -- -- --
-------- -------- -------- -------- -------- ------
Total income from investment operations ..................... 0.03 0.05 0.03 0.01 0.01 0.02
-------- -------- -------- -------- -------- ------
Less distributions:
Less Dividends from net investment income ................ (0.03) (0.05) (0.03) (0.01) (0.01) (0.02)
Distributions from net realized gains on investments(B) .. -- -- -- -- -- --
-------- -------- -------- -------- -------- ------
Total distributions ......................................... (0.03) (0.05) (0.03) (0.01) (0.01) (0.02)
-------- -------- -------- -------- -------- ------
Net asset value, end of period .............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======
Total return ................................................ 2.62%(C) 5.05% 3.19% 1.30% 1.08% 1.73%
======== ======== ======== ======== ======== ======
Ratios and supplemental data:
Net assets, end of period (in thousands) ................. $622,414 $501,905 $200,010 $434,587 $117,395 $6,641
Ratios to average net assets (annualized):(A)
Expenses, net of waivers .............................. 0.15% 0.15% 0.15% 0.15% 0.16% 0.19%
Expenses, before waivers .............................. 0.20% 0.20% 0.23% 0.23% 0.24% 0.22%
Net investment income, net of waivers ................. 5.23% 5.04% 3.08% 1.34% 1.03% 1.73%
Net investment income, before waivers ................. 5.18% 4.99% 3.00% 1.26% 0.95% 1.70%
- ----------
(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 American Beacon Master Money Market Portfolio.
(B) Amount is less than $0.01 per share.
(C) Not annualized.
16
AMERICAN BEACON MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
Institutional Class
----------------------------------------------------------------
Six Months Year Ended December 31,
Ended June --------------------------------------------------
30, 2007 2006 2005 2004 2003 2002
----------- -------- ------- ------- -------- --------
(Unaudited)
Net asset value, beginning of period ........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- ------- ------- -------- --------
Income from investment operations:
Net investment income(A) ................................. 0.03 0.05 0.03 0.01 0.01 0.02
Net realized gain on investments(B) ...................... -- -- -- -- -- --
-------- -------- ------- ------- -------- --------
Total income from investment operations ..................... 0.03 0.05 0.03 0.01 0.01 0.02
-------- -------- ------- ------- -------- --------
Less distributions:
Less Dividends from net investment income ................ (0.03) (0.05) (0.03) (0.01) (0.01) (0.02)
Distributions from net realized gains on investments(B) .. -- -- -- -- -- --
-------- -------- ------- ------- -------- --------
Total distributions ......................................... (0.03) (0.05) (0.03) (0.01) (0.01) (0.02)
-------- -------- ------- ------- -------- --------
Net asset value, end of period .............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======= ======= ======== ========
Total return ................................................ 2.60%(C) 4.99% 3.06% 1.20% 0.97% 1.67%
======== ======== ======= ======= ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands) ................. $224,681 $504,403 $36,421 $34,146 $159,092 $474,922
Ratios to average net assets (annualized):(A)
Expenses, net of waivers .............................. 0.19% 0.19% 0.28% 0.24% 0.27% 0.24%
Expenses, before waivers .............................. 0.22% 0.23% 0.28% 0.24% 0.27% 0.24%
Net investment income, net of waivers ................. 5.19% 5.06% 3.07% 1.05% 1.00% 1.68%
Net investment income, before waivers ................. 5.15% 5.02% 3.07% 1.05% 1.00% 1.68%
- ----------
(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 American Beacon Master Money Market Portfolio.
(B) Amount is less than $0.01 per share.
(C) Not annualized.
17
AMERICAN BEACON MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PlanAhead Class
------------------------------------------------------------------
Six Months Year Ended December 31,
Ended June ----------------------------------------------------
30, 2007 2006 2005 2004 2003 2002
----------- -------- -------- -------- -------- --------
(Unaudited)
Net asset value, beginning of period ........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income(A) ................................. 0.02 0.05 0.03 0.01 0.01 0.01
Net realized gain on investments(B) ...................... -- -- -- -- -- --
------- -------- -------- -------- -------- --------
Total income from investment operations ..................... 0.02 0.05 0.03 0.01 0.01 0.01
------- -------- -------- -------- -------- --------
Less distributions:
Less Dividends from net investment income ................ (0.02) (0.05) (0.03) (0.01) (0.01) (0.01)
Distributions from net realized gains on investments(B) .. -- -- -- -- -- --
------- -------- -------- -------- -------- --------
Total distributions ......................................... (0.02) (0.05) (0.03) (0.01) (0.01) (0.01)
------- -------- -------- -------- -------- --------
Net asset value, end of period .............................. $ 1.00 $1 .00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======== ======== ======== ======== ========
Total return ................................................ 2.46%(C) 4.69% 2.82% 0.93% 0.70% 1.37%
======= ======== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands) ................. $59,106 $170,518 $236,903 $132,438 $126,972 $155,535
Ratios to average net assets (annualized):(A)
Expenses, net of waivers .............................. 0.45% 0.49% 0.51% 0.51% 0.54% 0.54%
Expenses, before waivers .............................. 0.46% 0.49% 0.51% 0.51% 0.54% 0.54%
Net investment income, net of waivers ................. 4.92% 4.59% 2.83% 0.94% 0.71% 1.36%
Net investment income, before waivers ................. 4.91% 4.59% 2.83% 0.94% 0.71% 1.36%
(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 American Beacon Master Money Market Portfolio.
(B) Amount is less than $0.01 per share.
(C) Not annualized.
See accompanying notes
18
AMERICAN BEACON MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
BBH
ComSet Class
------------
April 02 to
June 30,
2007
------------
(Unaudited)
Net asset value, beginning of period ........................ $ 1.00
-------
Income from investment operations:
Net investment income(A) ................................. 0.01
Net realized gain on investments(B) ...................... --
-------
Total income from investment operations ..................... 0.01
-------
Less distributions:
Less Dividends from net investment income ................ (0.01)
Distributions from net realized gains on investments(B) .. --
-------
Total distributions ......................................... (0.01)
-------
Net asset value, end of period .............................. $ 1.00
=======
Total return ................................................ 1.29%(C)
=======
Ratios and supplemental data:
Net assets, end of period (in thousands) ................. $20,467
Ratios to average net assets (annualized):(A)
Expenses, net of waivers .............................. 0.15%
Expenses, before waivers .............................. 0.31%
Net investment income, net of waivers ................. 5.22%
Net investment income, before waivers ................. 5.06%
- ----------
(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 American Beacon Master Money Market Portfolio.
(B) Amount is less than $0.01 per share.
(C) Not annualized.
See accompanying notes
19
AMERICAN BEACON U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
Cash Management Class
-------------------------------------------------------------
Six
Months
Ended Year Ended December 31,
June 30, ----------------------------------------------
2007 2006 2005 2004 2003 2002
----------- ------ ------- ------- ------- -------
(Unaudited)
Net asset value, beginning of period ........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------ ------- ------- ------- -------
Income from investment operations:
Net investment income(A).................................. 0.03 0.05 0.03 0.01 0.01 0.02
Net realized gain on investments(B)....................... -- -- -- -- -- --
------- ------ ------- ------- ------- -------
Total income from investment operations ..................... 0.03 0.05 0.03 0.01 0.01 0.02
------- ------ ------- ------- ------- -------
Less distributions:
Less Dividends from net investment income ................ (0.03) (0.05) (0.03) (0.01) (0.01) (0.02)
Distributions from net realized gains on investments(B)... -- -- -- -- -- --
------- ------ ------- ------- ------- -------
Total distributions ......................................... (0.03) (0.05) (0.03) (0.01) (0.01) (0.02)
------- ------ ------- ------- ------- -------
Net asset value, end of period .............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ====== ======= ======= ======= =======
Total return ................................................ 2.59%(C) 4.97% 3.12% 1.22% 1.04% 1.67%
======= ====== ======= ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands) ................. $20,478 $3,568 $22,518 $28,591 $22,060 $38,310
Ratios to average net assets (annualized):(A)
Expenses, net of waivers .............................. 0.16% 0.19% 0.19% 0.19% 0.19% 0.19%
Expenses, before waivers .............................. 1.20% 0.64% 0.38% 0.29% 0.37% 0.23%
Net investment income, net of waivers ................. 5.17% 4.60% 2.99% 1.21% 1.04% 1.69%
Net investment income, before waivers ................. 4.14% 4.16% 2.80% 1.11% 0.86% 1.65%
(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 American Beacon Master U.S. Government Money Market Portfolio.
(B) Amount is less than $0.01 per share.
(C) Not annualized.
See accompanying notes
20
AMERICAN BEACON U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PlanAhead Class
--------------------------------------------------------------
Six
Months
Ended Year Ended December 31,
June 30, -----------------------------------------------
2007 2006 2005 2004 2003 2002
----------- ------ ------ ------- ------- --------
(Unaudited)
Net asset value, beginning of period ........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------ ------ ------- --------
Income from investment operations:
Net investment income(A).................................. 0.02 0.04 0.03 0.00(B) 0.01 0.01
Net realized gain on investments(B)....................... -- -- -- -- -- --
------ ------ ------ ------ ------- --------
Total income from investment operations...................... 0.02 0.04 0.03 -- 0.01 0.01
------ ------ ------ ------ ------- --------
Less distributions:
Less Dividends from net investment income................. (0.02) (0.04) (0.03) 0.00(B) (0.01) (0.01)
Distributions from net realized gains on investments(B)... -- -- -- -- -- --
------ ------ ------ ------ ------- --------
Total distributions.......................................... (0.02) (0.04) (0.03) -- (0.01) (0.01)
------ ------ ------ ------ ------- --------
Net asset value, end of period............................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ====== ====== ======= ========
Total return................................................. 2.35%(C) 4.51% 2.71% 0.85% 0.61% 1.30%
====== ====== ====== ====== ======= ========
Ratios and supplemental data:
Net assets, end of period (in thousands).................. $1,669 $2,058 $1,933 $5,370 $26,785 $175,115
Ratios to average net assets (annualized):(A)
Expenses, net of waivers............................... 0.65% 0.63% 0.58% 0.56% 0.58% 0.55%
Expenses, before waivers............................... 1.75% 1.02% 0.61% 0.57% 0.62% 0.55%
Net investment income, net of waivers.................. 4.68% 4.39% 2.47% 0.68% 0.72% 1.25%
Net investment income, before waivers.................. 3.59% 4.00% 2.44% 0.67% 0.68% 1.25%
(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 American Beacon Master U.S. Government Money Market Portfolio.
(B) Amount is less than $0.01 per share.
(C) Not annualized.
See accompanying notes
21
AMERICAN BEACON MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2007 (Unaudited)
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
FUNDING AGREEMENTS - 0.89%
Metropolitan Life Insurance Co., 5.41%, Due 11/21/2007 ++ ......... $150,000 $ 150,000
----------
MEDIUM-TERM NOTES - 32.06%
ABN Amro Bank NV, 5.409%, Due 4/18/2008 ++ # ...................... 132,050 132,133
American Honda Finance Corp.,
5.31%, Due 7/10/2007 ++ # ...................................... 33,040 33,040
5.385%, Due 7/23/2007 ++ # ..................................... 10,000 10,000
5.38%, Due 8/23/2007 ++ # ...................................... 20,000 20,002
5.47%, Due 8/23/2007 ++ # ...................................... 5,500 5,501
5.38%, Due 9/19/2007 ++ # ...................................... 25,000 25,003
5.465%, Due 10/22/2007 ++ # .................................... 10,000 10,004
5.39%, Due 11/15/2007 ++ # ..................................... 42,000 42,009
5.375%, Due 1/23/2008 ++ ....................................... 40,000 40,011
5.42%, Due 2/22/2008 ++ # ...................................... 33,200 33,219
5.327%, Due 5/9/2008 ++ # ...................................... 15,000 15,000
ASIF Global Financing XXI, 5.71%, Due 3/14/2008 ++ # .............. 32,650 32,736
ASIF Global Financing XXXII, 5.41%, Due 2/25/2008 ++ # ............ 206,600 206,713
Bank of America Corp.,
5.46%, Due 9/7/2007 ++ # ....................................... 183,180 183,223
5.786%, Due 5/5/2008 ++ ........................................ 32,000 32,125
Berkshire Hathaway Finance Corp.,
5.40%, Due 1/11/2008 ++ # ...................................... 128,085 128,147
5.42%, Due 5/16/2008 ++ # ...................................... 23,750 23,772
Citigroup Global Markets Holdings, Inc., 5.43%, Due 8/16/2007 ++ .. 58,800 58,808
Citigroup, Inc.,
5.416%, Due 11/1/2007 ++ ....................................... 130,115 130,162
5.405%, Due 5/2/2008 ++ ........................................ 199,700 199,838
Commonwealth Bank of Australia, 5.355%, Due 1/31/2008 ++ # ........ 175,000 175,035
Credit Suisse USA, Inc., 5.47%, Due 6/2/2008 ++ ................... 25,053 25,084
General Electric Capital Corp.,
5.445%, Due 10/17/2007 ++ ...................................... 180,000 180,000
5.41%, Due 1/3/2008 ++ ......................................... 211,500 211,608
5.406%, Due 1/15/2008 ++ ....................................... 324,455 324,604
5.40%, Due 3/4/2008 ++ ......................................... 40,886 40,907
5.416%, Due 4/15/2008 ++ ....................................... 65,000 65,050
5.41%, Due 5/19/2008 ++ ........................................ 20,000 20,016
Goldman Sachs Group, Inc.,
5.474%, Due 7/2/2007 ++ ........................................ 64,350 64,350
5.475%, Due 10/5/2007 ++ ....................................... 12,700 12,705
HBOS Treasury Services plc, 5.357%, Due 7/17/2008 ++ # ............ 59,500 59,515
HSBC Finance Corp.,
5.505%, Due 7/27/2007 ++ ....................................... 97,525 97,538
5.39%, Due 10/4/2007 ++ ........................................ 115,000 115,022
5.36%, Due 5/21/2008 ++ ........................................ 162,770 162,803
22
AMERICAN BEACON MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2007 (Unaudited)
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
JPMorgan Chase & Co., 5.425%, Due 1/25/2008 ++ .................... $220,000 $ 220,129
Merrill Lynch & Co., Inc.,
5.39%, Due 8/24/2007 ++ ........................................ 39,830 39,833
5.47%, Due 8/27/2007 ++ ........................................ 77,000 77,017
5.485%, Due 10/19/2007 ++ ...................................... 83,000 83,037
5.39%, Due 2/14/2008 ++ ........................................ 61,300 61,324
5.46%, Due 6/16/2008 ++ ........................................ 93,350 93,463
Monumental Global Funding II, 5.39%, Due 9/13/2007 ++ # ........... 21,500 21,502
Morgan Stanley,
5.48%, Due 7/27/2007 ++ ........................................ 58,595 58,602
5.484%, Due 1/18/2008 ++ ....................................... 68,900 68,958
Royal Bank of Scotland plc,
5.36%, Due 12/21/2007 ++ # ..................................... 230,000 230,044
5.36%, Due 4/11/2008 ++ # ...................................... 435,500 435,638
5.365%, Due 4/21/2008 ++ # ..................................... 50,000 50,017
5.33%, Due 7/18/2008 ++ # ...................................... 150,000 150,000
Toyota Motor Credit Corp.,
5.327%, Due 8/10/2007 ++ ....................................... 60,000 60,002
5.33%, Due 9/14/2007 ++ ........................................ 95,000 95,005
5.33%, Due 10/12/2007 ++ ....................................... 4,800 4,800
5.346%, Due 4/15/2008 ++ ....................................... 100,000 100,022
5.33%, Due 6/17/2008 ++ ........................................ 24,000 24,004
Wachovia Corp., 5.435%, Due 7/20/2007 ++ .......................... 179,152 179,163
Wells Fargo & Co.,
5.42%, Due 9/28/2007 ++ ........................................ 269,901 269,971
5.33%, Due 7/14/2008 ++ # ...................................... 150,000 150,000
----------
TOTAL MEDIUM-TERM NOTES ........................................... 5,388,214
----------
PROMISSORY NOTES - 2.68%
Goldman Sachs Group, Inc., 5.36%, Due 5/9/2008 ++ ................. 450,000 450,000
----------
CERTIFICATES OF DEPOSIT AND BANK NOTES - 25.94%
Allied Irish Banks N.Y., 5.336%, Due 8/8/2007 ++ .................. 15,000 15,000
Bank of New York,
5.335%, Due 11/16/2007 ++ ...................................... 77,500 77,505
5.335%, Due 11/19/2007 ++ ...................................... 5,000 5,000
Bank of Nova Scotia N.Y., 5.335%, Due 10/31/2007 ++ ............... 64,860 64,863
Barclays Bank N.Y.,
5.32%, Due 8/24/2007 ........................................... 250,000 250,000
5.35%, Due 10/2/2007 ........................................... 250,000 250,000
BNP Paribas N.Y., 5.29%, Due 10/3/2007 ++ ......................... 100,000 99,994
Branch Banking & Trust,
5.307%, Due 8/10/2007 ++ ....................................... 50,000 49,999
5.36%, Due 11/16/2007 ++ ....................................... 100,000 100,017
Caylon N.Y.,
5.327%, Due 8/10/2007 ++ ....................................... 542,000 541,999
23
AMERICAN BEACON MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2007 (Unaudited)
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
Caylon N.Y.,
5.28%, Due 9/13/2007 ++ ........................................ $185,700 $ 185,690
5.29%, Due 10/3/2007 ++ ........................................ 67,500 67,497
Credit Suisse N.Y.,
5.338%, Due 8/13/2007 ++ ....................................... 125,000 125,001
5.33%, Due 2/26/2008 ++ ........................................ 250,000 250,000
Deutsche Bank N.Y., 5.36%, Due 6/19/2008 ++ ....................... 280,000 280,084
HSBC Bank USA, 5.43%, Due 9/21/2007 ++ ............................ 203,550 203,600
M&I Marshall & Ilsley Bank,
5.341%, Due 8/1/2007 ++ ........................................ 50,000 50,000
5.33%, Due 2/15/2008 ++ ........................................ 196,500 196,504
National City Bank,
5.30%, Due 10/4/2007 ++ ........................................ 135,000 134,994
5.40%, Due 1/10/2008 ++ ........................................ 6,925 6,928
Nordea Bank Finland N.Y., 5.298%, Due 5/28/2008 ++ ................ 21,600 21,592
Suntrust Bank, 5.429%, Due 4/2/2008 ++ ............................ 53,020 53,064
US Bank, NA,
5.39%, Due 9/10/2007 ++ ........................................ 250,000 250,037
5.39%, Due 9/28/2007 ++ ........................................ 60,000 60,011
5.379%, Due 10/1/2007 ++ ....................................... 135,450 135,474
5.32%, Due 1/3/2008 ++ ......................................... 221,500 221,503
Wachovia Bank, 5.35%, Due 9/28/2007 ++ ............................ 50,000 50,003
Westpac Bank N.Y., 5.316%, Due 1/15/2008 ++ ....................... 46,000 45,999
World Savings Bank FSB,
5.36%, Due 10/19/2007 ++ ....................................... 400,000 400,050
5.42%, Due 12/7/2007 ++ ........................................ 117,400 117,446
5.41%, Due 6/20/2008 ++ ........................................ 50,000 50,041
----------
TOTAL CERTIFICATES OF DEPOSIT AND BANK NOTES ...................... 4,359,895
----------
COMMERCIAL PAPER - 20.20%
Barton Capital LLC,
5.28%, Due 7/2/2007 ............................................ 50,000 49,993
5.29%, Due 7/13/2007 # ......................................... 37,856 37,789
Beta Finance Corp., 5.26%, Due 9/12/2007 .......................... 40,000 39,573
Citigroup Funding, Inc.,
5.26%, Due 8/23/2007 ........................................... 200,000 198,451
5.26%, Due 8/29/2007 ........................................... 150,000 148,707
Falcon Asset Securitization LLC, 5.26%, Due 9/28/2007 ............. 77,749 76,738
FCAR Owner Trust, Series I,
5.27%, Due 8/15/2007 ........................................... 300,000 298,018
5.285%, Due 9/17/2007 .......................................... 475,000 469,566
Fountain Square Commercial Funding Corp.,
5.26%, Due 8/21/2007 # ......................................... 10,000 9,926
5.275%, Due 9/19/2007 # ........................................ 90,378 89,319
General Electric Capital Corp., 5.04%, Due 11/9/2007 .............. 40,000 39,266
Golden Funding Corp., 5.375%, Due 7/16/2007 ....................... 150,000 149,664
24
AMERICAN BEACON MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2007 (Unaudited)
PAR
AMOUNT VALUE
--------- -----------
(DOLLARS IN THOUSANDS)
K2 USA LLC, 5.26%, Due 9/18/2007 # ............... $ 36,100 $ 35,683
Kitty Hawk Funding Corp., 5.32%, Due 7/31/2007 ... 30,000 29,867
Lexington Parker Capital Co. LLC, 5.26%,
Due 10/18/2007 ................................ 25,000 24,602
Long Lane Master Trust IV,
5.32%, Due 7/23/2007 # ........................ 24,101 24,023
5.34%, Due 7/26/2007 # ........................ 414,549 413,414
Park Avenue Receivables Co. LLC,
5.30%, Due 7/20/2007 .......................... 250,000 249,301
5.265%, Due 8/22/2007 ......................... 60,000 59,544
Sheffield Receivables Corp., 5.29%,
Due 7/23/2007 # ............................... 42,850 42,712
Stanfield Victoria Funding LLC,
5.26%, Due 8/21/2007 # ........................ 45,000 44,665
5.26%, Due 8/28/2007 # ........................ 25,000 24,788
5.265%, Due 9/4/2007 # ........................ 25,000 24,762
5.27%, Due 9/6/2007 # ......................... 115,000 113,873
Three Rivers Funding Corp., 5.28%,
Due 7/11/2007 # ............................... 87,156 87,028
Toyota Motor Credit Corp.,
5.20%, Due 7/30/2007 .......................... 100,000 99,581
5.20%, Due 7/31/2007 .......................... 200,000 199,133
5.20%, Due 8/1/2007 ........................... 50,000 49,776
UBS Finance Delaware LLC,
5.20%, Due 8/6/2007 ........................... 140,000 139,272
5.20%, Due 8/10/2007 .......................... 100,000 99,422
Yorktown Capital LLC, 5.28%, Due 7/5/2007 ........ 25,249 25,234
-----------
TOTAL COMMERCIAL PAPER ........................... 3,393,690
-----------
TIME DEPOSITS - 10.92%
ING Bank, NV, 5.344%, Due 7/2/2007 ............... 620,000 620,000
Natixis, 5.375%, Due 7/2/2007 .................... 750,000 750,000
Rabobank Nederland, 5.34%, Due 12/1/2006 ......... 464,487 464,487
-----------
TOTAL TIME DEPOSITS .............................. 1,834,487
-----------
REPURCHASE AGREEMENTS - 8.63%
Bank of America, NA, 5.475%, Due 7/2/2007
(Held at Bank of New York, Collateralized by
Whole Loan Mortgages valued at $618,000, 0.00%,
2/23/2036) .................................... 600,000 600,000
Citigroup, Inc., 5.475%, Due 7/2/2007 (Held at
JPMorgan Chase, NYC, Collateralized by Whole
Loan Mortgages valued at $53,028, 0.00%,
4/24/2037 - 6/25/2037) ........................ 50,000 50,000
Lehman Brothers Holdings, Inc., 5.41%,
Due 7/2/2007 (Held at JPMorgan Chase, NYC,
Collateralized by Asset Backed Securities
valued at $662,937, 0.00% - 8.9%, 9/17/2007 -
2/25/2047) .................................... 650,000 650,000
5.445%, Due 7/2/2007 (Held at JPMorgan Chase,
NYC, Collateralized by Corporate Obligations
valued at $115,908, 0.00% - 8.25%,
9/15/2010 - 8/1/2037; and Medium-Term Notes
valued at $37,081, 5.9%, 12/21/2035) ....... 150,000 150,000
-----------
TOTAL REPURCHASE AGREEMENTS ...................... 1,450,000
-----------
TOTAL INVESTMENTS - 101.32% (COST $17,026,286) ...... $17,026,286
LIABILITIES, NET OF OTHER ASSETS - (1.32%) .......... (222,280)
-----------
TOTAL NET ASSETS - 100.00% .......................... $16,804,006
===========
25
AMERICAN BEACON MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2007 (Unaudited)
Percentages are stated as a percent of net assets.
++ The coupon rate shown on floating or adjustable rate securities represents
the rate at period end. The due date on these types of securities reflects
the final maturity date.
# Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $3,120,235 or 18.57% of net
assets. The Fund has no right to demand registration of these securities.
26
AMERICAN BEACON U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2007 (Unaudited)
PAR
AMOUNT VALUE
---------- -----------
(DOLLARS IN THOUSANDS)
U.S. AGENCY OBLIGATIONS - 5.17%
FEDERAL FARM CREDIT BANK - 1.34%
5.10%, Due 8/14/2007 ++ .......................... $ 10,851 $ 10,783
--------
FEDERAL HOME LOAN BANK - 3.73%
5.30%, Due 2/22/2008 ++ .......................... 15,000 14,999
5.30%, Due 5/7/2008 ++ ........................... 15,000 14,999
--------
29,998
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.10%
5.05%, Due 12/31/2007 ++ ......................... 793 773
--------
TOTAL U.S. AGENCY OBLIGATIONS ....................... 41,554
--------
REPURCHASE AGREEMENTS - 94.75%
Banc of America Securities, LLC, 5.375%,
Due 7/2/2007 (Held at Bank of New York,
Collateralized by U.S. Government Obligations
valued at $255,000, 5.5%, 6/1/2033) ........... 250,000 250,000
Barclays Capital, Inc., 5.35%, Due 7/2/2007
(Held at Bank of New York, Collateralized by
U.S. Government Obligations valued at $224,400,
3.998% - 6.277%, 6/1/2035 - 7/1/2037) ......... 220,000 220,000
Goldman Sachs, 5.35%, Due 7/2/2007 (Held at Bank
of New York, Collateralized by U.S. Government
Obligations valued at $297,745, 4.0% - 7.5%,
1/1/2009 - 4/1/2037) .......................... 291,907 291,907
--------
TOTAL REPURCHASE AGREEMENTS ...................... 761,907
--------
TOTAL INVESTMENTS - 99.92% (COST $803,461) .......... $803,461
OTHER ASSETS, NET OF LIABILITIES - 0.08% ............ 604
--------
TOTAL NET ASSETS - 100.00% .......................... $804,065
========
Percentages are stated as a percent of net assets.
++ The coupon rate shown on floating or adjustable rate securities represents
the rate at period end. The due date on these types of securities reflects
the final maturity date.
27
AMERICAN BEACON MASTER TRUST PORTFOLIOS
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2007 (UNAUDITED) (IN THOUSANDS)
U.S.
GOVERNMENT
MONEY MONEY
MARKET MARKET
----------- -----------
ASSETS:
Investment in securities at value
(cost - $15,576,286 and $41,554,
respectively) ................................ $15,576,286 $ 41,554
Repurchase agreement (cost - $1,450,000 and
$761,907, respectively) ...................... 1,450,000 761,907
Dividends and interest receivable ............... 75,748 680
Prepaid expenses ................................ 164 7
----------- --------
TOTAL ASSETS ................................. 17,102,198 804,148
----------- --------
LIABILITIES:
Management and investment advisory fees payable
(Note 2) ........................................ 1,435 61
Other liabilities ............................... 296,757 22
----------- --------
TOTAL LIABILITIES ............................ 298,192 83
----------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL
INTERESTS $16,804,006 $804,065
=========== ========
See accompanying notes
28
AMERICAN BEACON MASTER TRUST PORTFOLIOS
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2007 (UNAUDITED) (IN THOUSANDS)
U.S.
Government
Money Money
Market Market
-------- ----------
INVESTMENT INCOME:
Interest income ..................................... $433,809 $19,778
-------- -------
TOTAL INVESTMENT INCOME .......................... 433,809 19,778
-------- -------
EXPENSES:
Management and investment advisory fees (Note 2) .... 8,087 371
Custodian fees ...................................... 291 12
Professional fees ................................... 66 16
Other expenses ...................................... 235 6
-------- -------
TOTAL EXPENSES ................................... 8,679 405
-------- -------
NET INVESTMENT INCOME .................................. 425,130 19,373
-------- -------
REALIZED GAIN ON INVESTMENTS:
Net realized gain on investments .................... 128 1
-------- -------
NET GAIN ON INVESTMENTS .......................... 128 1
-------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ... $425,258 $19,374
======== =======
See accompanying notes
29
AMERICAN BEACON MASTER TRUST PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
U.S. GOVERNMENT MONEY
MONEY MARKET MARKET
------------------------------ ---------------------------
Six Months Year Ended Six Months Year Ended
Ended June 30, December 31, Ended June December 31,
2007 2006 30, 2007 2006
-------------- ------------- ------------ ------------
(unaudited) (unaudited)
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income ........................... $ 425,130 $ 530,893 $ 19,373 $ 17,196
Net realized gain on investments ................ 128 12 1 1
------------ ------------- ----------- ------------
TOTAL INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................ 425,258 530,905 19,374 17,197
------------ ------------- ----------- ------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Contributions ................................... 18,498,503 131,682,048 1,960,272 3,002,185
Withdrawals ..................................... (14,847,924) (126,270,825) (1,738,977) (2,695,546)
------------ ------------- ----------- ------------
NET INCREASE IN NET ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS ................................. 3,650,579 5,411,223 221,295 306,639
------------ ------------- ----------- ------------
NET INCREASE IN NET ASSETS ................... 4,075,837 5,942,128 240,669 323,836
------------ ------------- ----------- ------------
NET ASSETS:
Beginning of period ............................. 12,728,169 6,786,041 563,396 239,560
------------ ------------- ----------- ------------
END OF PERIOD ................................... $ 16,804,006 $ 12,728,169 $ 804,065 $ 563,396
============ ============= =========== ============
See accompanying notes
30
AMERICAN BEACON MASTER TRUST PORTFOLIOS
FINANCIAL HIGHLIGHTS
Money Market
---------------------------------------------------
Six Months Year Ended December 31,
Ended June -------------------------------------
30, 2007 2006 2005 2004 2003 2002
----------- ----- ----- ----- ----- -----
(unaudited)
Total return ................................ 2.64%(A) 5.09% 3.25% 1.34% 1.13% 1.81%
Ratios to average net assets (annualized):
Expenses ................................. 0.11% 0.11% 0.11% 0.11% 0.11% 0.11%
Net investment income .................... 5.26% 5.03% 3.20% 1.30% 1.14% 1.81%
U.S. Government Money Market
---------------------------------------------------
Six Months Year Ended December 31,
Ended June -------------------------------------
30, 2007 2006 2005 2004 2003 2002
----------- ----- ----- ----- ----- -----
(unaudited)
Total return ................................ 2.61%(A) 5.04% 3.19% 1.30% 1.11% 1.74%
Ratios to average net assets (annualized):
Expenses ................................. 0.11% 0.12% 0.12% 0.11% 0.12% 0.12%
Net investment income .................... 5.22% 4.97% 3.15% 1.30% 1.13% 1.71%
- ----------
(A) Not annualized
31
AMERICAN BEACON MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2007 (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American Beacon Master Trust (the "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. Beneficial interests in the Trust are
divided into separate series, each having distinct investment objectives and
policies. These financial statements relate to the American Beacon Master Money
Market Portfolio and American Beacon Master U.S. Government Money Market
Portfolio (each a "Portfolio" and collectively the "Portfolios"). The objective
of each Portfolio is current income, liquidity and the maintenance of a stable
price of $1.00 per share. The assets of each Portfolio belong only to that
Portfolio, and the liabilities of each Portfolio are borne solely by that
Portfolio and no other.
American Beacon Advisors, Inc. (the "Manager") is a wholly owned subsidiary
of AMR Corporation 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 Portfolios.
Security Valuation
Securities of the Portfolios are valued at amortized cost, which
approximates fair value. In the event that a deviation of 1/2 of 1% or more
exists between the $1.00 per share price of the Portfolios, calculated at
amortized cost, and the price per share calculated by reference to market
quotations, or if there is any other deviation that the Trust's Board of
Trustees (the "Board") believes would result in a material dilution to
shareholders or purchasers, the Board will promptly consider the appropriate
action that should be initiated.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale. Interest income is earned from settlement date, recorded on
the accrual basis, and adjusted, if necessary, for amortization of premiums or
accretion of discounts on investment grade short-term securities and zero coupon
instruments. For financial and tax reporting purposes, realized gains and losses
are determined on the basis of specific lot identification.
Federal Income Taxes
The Portfolios will be treated as partnerships for federal income tax
purposes. As such, each investor in a Portfolio will be taxed on its share of
the Portfolio's ordinary income and capital gains. It is intended that each
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.
Repurchase Agreements
Under the terms of a repurchase agreement, securities are acquired by a
Portfolio from a securities dealer or a bank that are subject to resale at a
later date. Repurchase agreements are fully collateralized by U.S. Treasury or
U.S. Government agency securities and are valued at cost, which approximates
market value. All collateral is held at the custodian bank. The collateral is
monitored daily by the Manager so that the collateral's market value exceeds the
carrying value of the repurchase agreement plus accrued interest.
32
AMERICAN BEACON MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2007 (UNAUDITED)
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
Recently Issued Accounting Pronouncements
On July 13, 2006, the Financial Accounting Standards Board ("FASB")
released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes"
("FIN 48"). FIN 48 provides guidance on how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements. FIN
48 requires the evaluation of tax positions taken or expected to be taken in the
course of preparing each Portfolio's tax returns to determine whether the tax
positions are "more-likely-than-not" of being sustained by the applicable tax
authority. Tax positions not deemed to meet the more-likely-than-not threshold
would be recorded as a tax benefit or expense in the current year. The Portolios
adopted the provisions of FIN 48 effective January 1, 2007. Tax positions taken
by the Portfolios have been deemed to meet the more likely than not threshold,
and therefore, there have been no adjustments to the Portfolios' net asset value
per share.
In September 2006, the FASB issued Statement on Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"). This standard
clarifies the definition of fair value for financial reporting, establishes a
framework for measuring fair value and requires additional disclosures about the
use of fair value measurements. FAS 157 is effective for financial statements
issued for fiscal years beginning after November 15, 2007 and interim periods
within those fiscal years. The Manager is evaluating the impact of FAS 157;
however, it is not expected to have a material impact on the Portfolios' net
assets or results of operations.
Other
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liability arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that provide indemnification to the other party or parties against
potential costs or liabilities. The Trust's maximum exposure under these
arrangements is dependent on claims that may be made in the future and,
therefore, cannot be estimated. The Trust has had no prior claims or losses
pursuant to any such agreement.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement that
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory and portfolio management services. The Manager serves as the
sole investment advisor to each of the Portfolios. As compensation for
performing the duties required under the Management Agreement, the Manager
receives from the Portfolios 0.10% of the average daily net assets of each of
the Portfolios.
33
AMERICAN BEACON MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2007 (UNAUDITED)
Interfund Lending Program
Pursuant to an exemptive order by the Securities and Exchange Commission,
the Portfolios, 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 Money
Market Portfolio to lend money to other participating series managed by the
Manager. For the six months ended June 30, 2007, the Money Market Portfolio
earned $8,708 under the credit facility. This amount is included in interest
income on the financial statements.
34
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENTS OF THE FUNDS AND THE PORTFOLIOS
(UNAUDITED)
INTERIM RENEWAL
In prior years, the Board of Trustees ("Board" or "Trustees") typically has
considered the annual renewal of the existing Management Agreements between
American Beacon Advisors, Inc. (the "Manager") and the American Beacon Funds
(the "Trust"), on behalf of the Money Market and U.S. Government Money Market
Funds (each, a "Fund" and collectively, the "Funds"), and between the Manager
and the American Beacon Master Trust, on behalf of the Money Market and U.S.
Government Money Market Portfolios (collectively, the "Portfolios"), at the
Board meeting held in the first quarter of each year. (The term "Funds" is used
throughout this section to refer to both the Funds and the Portfolios.) At the
November 15, 2006 meeting, the Board decided to conduct these annual renewals at
their second quarter meeting each year to enable the Trustees to consider more
year-end data in their deliberations. At the March 8, 2007 Board meeting, the
Board considered renewal of the Management Agreements on an interim basis until
the Board meeting scheduled for the second quarter, at which meeting the Board
would perform a comprehensive review of factors relevant to an annual renewal.
In connection with the interim renewal, the Board, with the assistance of
independent legal counsel, requested and received certain relevant information
from the Manager. Further, the Board took into consideration information
furnished for the Board's review and consideration throughout the year at
regular Board and Investment Committee meetings. The Board considered several
factors at its March 2007 meeting.but did not identify any particular
information that was most relevant to its consideration to renew the Management
Agreement, and each Trustee may have afforded different weight to these factors.
The Board determined that certain factors typically considered in connection
with an annual renewal were not material with respect to an interim renewal.
In determining whether to renew the Management Agreement on an interim basis,
the Trustees considered the best interests of each Fund separately. The
following considerations and conclusions are applicable to all Funds.
Cost of Services. With respect to the Management Agreement, the Board noted that
the Manager proposed to continue most of the expense waivers and reimbursements
that were in place for each applicable Fund's 2006 fiscal year as well as
implement additional waivers and/or reimbursements.
Nature, Extent and Quality of Services. With respect to the renewal of the
Management Agreement, the Trustees considered that the Manager continues to
provide high-quality services to each Fund at a low cost to investors and
provides a comprehensive compliance program for each Fund. Based on this
information, the Board concluded that the nature, extent and quality of the
management and advisory services provided by the Manager were appropriate for
each Fund and, thus, supported a decision to renew the Management Agreement on
an interim basis.
Investment Performance. The Board considered the performance reports and
discussions with management at Board and Committee meetings throughout the year.
In considering the renewal of the Management Agreement with the Manager for the
Funds, the Trustees considered that 1) each Fund outperformed its respective
benchmark index for the 2006 calendar year, and 2) the fee rate schedules for
the Manager had not changed since the last contract renewal.
Based on, among others, considerations and those noted above with respect to all
Funds, the Trustees determined that the Funds and their shareholders would
benefit from the Manager's continued management of the Funds until the next
regular Board meeting and approved the renewal of the Agreement with respect to
each of the Funds on an interim basis until the next regular Board meeting.
35
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENTS OF THE FUNDS AND THE PORTFOLIOS - CONTINUED
(UNAUDITED)
ANNUAL RENEWAL
At its May 25, 2007 meeting, the Board considered the renewal of the Management
Agreements. In preparation for the Board's consideration to renew the
Agreements, the Board and its Investment Committee undertook steps to gather and
consider information furnished by the Manager and Lipper, Inc. ("Lipper"). The
Board, with the assistance of independent legal counsel, requested and received
certain relevant information from the Manager.
In addition, the Board's Investment Committee worked with Lipper to obtain
relevant comparative information regarding the performance, fees and expenses of
the Funds. The Investment Committee held a separate meeting on May 4, 2007 to
consider the information provided by Lipper. Further, the Board took into
consideration information furnished for the Board's review and consideration
throughout the year at regular Board and Investment Committee meetings, as well
as information specifically prepared in connection with the renewal process.
The Trustees considered, among other materials, responses by the Manager 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 Manager's SEC Form ADV registration statement;
- a summary of any material past, pending or anticipated litigation or
regulatory proceedings involving the Manager or its personnel,
including the results of any recent regulatory examination or
independent audit;
- a comparison of performance of each Fund to comparable investment
companies and appropriate indices, including comments on the relative
performance of each Fund versus the respective peer group average;
- a profit/loss analysis of the Manager and any actual or anticipated
economies of scale in relation to the services it provides to each
Fund;
- 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 other benefits to the Manager or Funds as a result of
their relationship, if any;
- confirmation that the Manager's financial condition does not raise
concerns that the Manager would be unable to continue providing the
same scope and quality of services to the Funds;
- a description of the scope of portfolio management services provided
to the Funds and other clients, including other registered investment
companies, whether such services differ, and any advantages or
disadvantages that might accrue to the Funds due to the manager's
involvement in other activities;
- a description of the personnel who are assigned primary responsibility
for managing the Funds, including any changes during the past year and
a discussion of the adequacy of current and projected staffing levels
to service the Funds;
- a description of the basis upon which portfolio managers are
compensated, including any "incentive" arrangements;
- a discussion regarding the Manager's participation in "soft dollar"
arrangements, if any, or other brokerage allocation policies with
respect to Fund transactions, including the Manager'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 description of trade allocation procedures among accounts managed by
the Manager;
36
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENTS OF THE FUNDS AND THE PORTFOLIOS - CONTINUED
(UNAUDITED)
- a summary of any material changes to the Manager's compliance program
with regard to federal, state, corporate and Fund requirements and a
certification to the reasonable design of the compliance program;
- a discussion of any material compliance problems and remedial actions;
- information regarding the Manager's code of ethics, insider trading
policy and disaster recovery plan, including a description of any
material changes thereto;
- a description of the Manager's affiliation with any broker-dealer;
- a discussion of any anticipated change in the Manager's controlling
persons;
- verification of the Manager's insurance coverage with regards to the
services provided to the Funds.
- a comparison of advisory fees and expense ratios for comparable mutual
funds;
- an analysis of any material complaints received from Fund
shareholders;
- a description of any revenue sharing activities with respect to the
Funds;
- a discussion of any rebate arrangements between the Manager and
service providers to the Funds pursuant to which the Manager receives
direct or indirect benefits from the service provider;
- a discussion of whether the Manager receives, with respect to the
Funds, other compensation; and
- a description of how expenses that are not readily identifiable to a
particular Fund are allocated.
The Board also obtained an analysis provided by Lipper that 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. For each Fund, the class used for comparative purposes was the
class with the longest performance history, which in most cases is the
Institutional Class. References below to each Fund's Lipper peer group are to
the group of comparable mutual funds included in the analysis provided by
Lipper.
The Trustees also received a memorandum from their legal counsel detailing the
Board's responsibilities pertaining to the renewal of the Management Agreements.
This memorandum explained the regulatory requirements surrounding the Trustees'
process for evaluating investment advisors and the terms of the contracts.
Provided below is an overview of the primary factors the Board considered at its
May 25, 2007 meeting. The Board did not identify any particular information that
was most relevant to its consideration to renew the Management and Investment
Advisory Agreements, and each Trustee may have afforded different weight to the
various factors.
CONSIDERATIONS WITH RESPECT TO ALL FUNDS
In determining whether to approve the continuance of the Management Agreements,
the Trustees considered the best interests of each Fund separately. In addition,
while the Management Agreements for all of the Funds were considered at the same
Board meeting, the Board considered each Fund's investment management
relationships separately. In each instance, the Board 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 cost for providing the services and the profitability of the
advisory business to the Manager; (4) the extent to which economies of scale
have been taken into account in setting the fee schedule; (5) whether fee levels
reflect these economies of scale for the benefit of Fund investors; (6)
comparisons of services and fees with contracts entered into by the Manager with
other clients (such as pension funds and other institutional funds); and (7) any
other benefits derived or anticipated to be derived by the Manager from its
relationship with a Fund. The Trustees posed questions to various management
personnel of the Manager regarding certain key aspects of the material submitted
in support of the renewal.
37
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENTS OF THE FUNDS AND THE PORTFOLIOS - CONTINUED
(UNAUDITED)
Nature, Extent and Quality of Services. With respect to the renewal of each
Management Agreement the Board considered: the background and experience of key
investment personnel and the Manager's ability to retain them; the Manager's
disciplined investment approach and goal to provide consistent above average
long-term performance at a low cost; the Manager's continuing efforts to add new
series and share classes to enhance the Funds' 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, including the addition of a separate new information
technology department at the Manager; and the high rankings received by the
Funds in service surveys.
Based on the foregoing information, the Board concluded that the nature, extent
and quality of the management services provided by the Manager were appropriate
for each Fund and, thus, supported a decision to renew each Management
Agreement.
Investment Performance. The Board evaluated the comparative information provided
by Lipper and the Manager regarding each Fund's investment performance relative
to its benchmark index(es) and peer group. With respect to Lipper data, the
Board considered the information provided by Lipper regarding its independent
peer selection methodology to select all peer groups and universes. The Board
also considered the performance reports and discussions with management at Board
and Committee meetings throughout the year. A discussion regarding the Board's
considerations with respect to each Fund's performance appears below under
"Additional Considerations and Conclusions with Respect to Each Fund."
Cost of Services and Profits Realized. In analyzing the cost of services and
profitability of the Manager by Fund, the Board considered the revenues earned
and the expenses incurred by the Manager. The profitability levels were noted at
both an individual Fund level and at an aggregate level for all Funds. The Board
also considered that the Management Agreement for the Trust stipulates that to
the extent that a Fund invests all of its investable assets in another
registered investment company, the Fund will not pay the Manager a management
fee. Each Fund operates under a master-feeder structure whereby each Fund
invests all of its assets in a corresponding portfolio of the American Beacon
Master Trust. As such, the Manager receives a management fee from the master
portfolio. The Board also considered the Manager's advisory fees for services
provided by the Manager to institutional separate accounts with similar
investment strategies. Although the Board noted that, in certain cases, the fee
rates paid by other clients is lower than the fee rates paid by the Funds, the
difference reflects the greater level of responsibility and regulatory
requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense waivers
and reimbursements for certain Funds and Classes that were in place during the
last fiscal year. The Board considered that the Manager receives service and
administrative fees to compensate the Manager for providing administrative
services to the Funds and to compensate third-party administrators and
broker-dealers for services to Fund shareholders. The Board also noted that the
non-Institutional Classes of the Funds maintain higher expense ratios in order
to compensate third party distributors but the net fee to the Manager is
generally the same for all Classes.
Based on the foregoing information, the Board concluded that the profitability
levels were reasonable in light of the services performed by the Manager. A
discussion regarding the Board's considerations with respect to each Fund's fee
rates is set forth below under "Additional Considerations and Conclusions with
Respect to Each Fund."
Economies of Scale. In considering the reasonableness of the management fees,
the Board considered whether economies of scale will be realized as the Funds
grow and whether fee levels reflect these economies of scale for the benefit of
Fund shareholders. The Board noted that the Funds have experienced substantial
recent
38
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENTS OF THE FUNDS AND THE PORTFOLIOS - CONTINUED
(UNAUDITED)
asset growth. With respect to the Funds, the Board noted that, although the fee
schedules for these Funds do not have breakpoints, the effective advisory fee
rates are low by industry standards and the performance of these Funds has been
highly competitive and, in many cases, among the top performers among similar
funds.
The Board also considered the Manager's representations that its costs have
increased due primarily to greater service provider and regulatory costs. The
Manager also represented that it anticipates further economies of scale would be
largely offset by higher costs of adding and retaining qualified personnel,
improving technology and increasing demands on its advisory business.
Based on the foregoing information, the Board concluded that the Manager fee
schedule provides for a reasonable sharing of benefits from any economies of
scale with each Fund.
Benefits Derived from the Relationship with the Funds. The Board considered the
"fall-out" or ancillary benefits that accrue to the Manager as a result of the
advisory relationships with the Funds, including greater exposure in the
marketplace with respect to the Manager's investment process and expanding the
level of assets under management by the Manager. The Board also considered that
the Funds permit institutional investors access to such investments at a more
favorable cost and that the Manager's relationship with the Funds continues to
be a significant factor in attracting separate account assets for the Manager.
In addition, the Board noted that the Manager provides services to the Trust at
a relatively low cost.
Based on the foregoing information, the Board concluded that the potential
benefits accruing to the Manager by virtue of its relationship with the Funds
appear to be fair and reasonable.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO EACH FUND
The performance of each Fund was compared to the respective Lipper Average,
which includes all comparable funds in the Lipper category, and the Lipper
Index, which includes the 30 largest funds in the Lipper category. References to
the Lipper expense group below are to the group of comparable mutual funds
included in the analysis provided to the Trustees by Lipper. All performance
comparisons are for periods ended March 31, 2007, unless otherwise noted.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE MONEY MARKET FUND
In considering the renewal of the Management Agreement with the Fund, the
Trustees considered the following additional factors: (1) the Money Market Fund
underperformed the Lipper Index for all reported periods except the one-year,
but outperformed the Lipper Average for all reported periods; (2) the actual
management fee and total expense ratio of the Money Market Fund were both lower
than its Lipper expense group median; (3) the Manager is subject to a risk of
financial responsibility should the Fund be unable to maintain a stable $1.00
per share net asset value; (4) the Manager's explanation that fee schedule
"breakpoints" were not warranted due to, among other factors, the low base
management fee charged to the Fund; and (5) the Manager has contractually agreed
to waive fees and/or reimburse Fund expenses to the extent necessary to maintain
a competitive total expense ratio for the Institutional and Cash Management
Classes of the Money Market 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 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 Fund.
39
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENTS OF THE FUNDS AND THE PORTFOLIOS - CONTINUED
(UNAUDITED)
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE U.S. GOVERNMENT
MONEY MARKET FUND
In considering the renewal of the Management Agreement with respect to the Fund,
the Trustees considered the following additional factors: (1) the Cash
Management Class of the U.S. Government Money Market Fund ("Cash Management
Class") outperformed the Lipper Index and Average for all reported periods; (2)
the actual management fee (including administrative fees) and the total expense
ratio of the Cash Management Class was lower than its Lipper expense group
median; (3) the Manager is subject to a risk of financial responsibility should
the Fund be unable to maintain a stable $1.00 per share net asset value; (4) the
Manager's explanation that fee schedule "breakpoints" were not warranted due to,
among other factors, the low, base management fee charged to the Fund; and (5)
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 all Classes of the U.S. Government Money Market 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 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 Fund.
40
(THIS PAGE INTENTIONALLY LEFT BLANK)
41
(AMERICAN BEACON FUNDS(SM) LOGO)
DELIVERY OF DOCUMENT
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:
(KEYBOARD GRAPHIC) (MOUSE GRAPHIC)
BY E-MAIL: ON THE INTERNET:
Visit our website at
american_beacon.funds@ambeacon.com www.americanbeaconfunds.com
(TELEPHONE GRAPHIC) (MAILBOX GRAPHIC)
BY TELEPHONE: BY MAIL:
Institutional Class American Beacon Funds
Call (800)658-5811 4151 Amon Carter Blvd., MD 2450
PlanAhead Class Fort Worth, TX 76155
Call (800) 388-3344
AVAILABILITY OF QUARTERLY PORTFOLIO AVAILABILITY OF PROXY VOTING POLICY AND
SCHEDULES RECORDS
In addition to the Schedule of A description of the policies and
Investments provided in each procedures the Fund uses to determine
semi-annual and annual report, the how to vote proxies relating to
Fund files a complete schedule of its portfolio securities is available in the
portfolio holdings with the Fund's Statement of Additional
Securities and Exchange Commission Information, is available free of charge
("SEC") on Form N-Q as of the first on the Fund's website
and third fiscal quarters. The Fund's (www.americanbeaconfunds.com) and by
Forms N-Q are available on the SEC's calling 1-800-967-9009 or by accessing
website at www.sec.gov. The Forms N-Q the SEC's website at www.sec.gov. The
may also be reviewed and copied at Fund's proxy voting record for the most
the SEC's Public Reference Room, 450 recent year ended June 30 is filed
Fifth Street, NW, Washington, DC annually with the SEC on Form N-PX. The
20549. Information regarding the Fund's Forms N-PX are available on the
operation of the SEC's Public SEC's website at www.sec.gov. The Fund's
Reference Room may be obtained by proxy voting record may also be obtained
calling 1-800-SEC-0330. A complete by calling 1-800-967-9009.
schedule of the Fund's portfolio
holdings is also available on the
Funds' website
(www.americanbeaconfunds.com)
approximately thirty days after the
end of each month.
FUND SERVICE PROVIDERS:
CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED DISTRIBUTOR
STATE STREET BANK AND BOSTON FINANCIAL DATA PUBLIC ACCOUNTING FORESIDE FUND SERVICES
TRUST SERVICES FIRM Portland, Maine
Boston, Massachusetts Kansas City, Missouri ERNST & YOUNG LLP
Dallas, Texas
This report is prepared for shareholders of the American Beacon Funds and may be
distributed to others only if preceded or accompanied by a current prospectus.
American Beacon Funds is a service mark of AMR Corporation. PlanAhead Class is a
registered service mark of American Beacon Advisors, Inc. American Beacon Money
Market Fund and American Beacon U.S. Government Money Market Fund are service
marks of American Beacon Advisors, Inc.
SAR 6/07
540291
42
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 report
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 the Money Market Portfolio and U.S. Government
Money Market Portfolio of the American Beacon Master Trust are included in the
American Beacon Funds shareholder report 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 Master Trust
By /s/ Douglas G. Herring
--------------------
Douglas G. Herring
President
Date: September 7, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By /s/ Douglas G. Herring
--------------------
Douglas G. Herring
President
Date: September 7, 2007
By /s/ Rebecca L. Harris
---------------------
Rebecca L. Harris
Treasurer
Date: September 7, 2007