<PAGE> 1
ANNUAL
REPORT
OCTOBER 31,1996
AMERICAN AADVANTAGE
MILEAGE FUNDS (SM)
-PLATINUM CLASS-(SM)
P.O. Box 619003
Dallas/Fort Worth Airport, Texas [AMERICAN LOGO]
75261-9003 AADVANTAGE
(800)967-9009 MILEAGE
FUNDS (SM)
-MILEAGE CLASS-(R)
P.O. Box 4580
Chicago, Illinois 60680-4580 BALANCED MILEAGE FUND
(800) 388-3344
GROWTH AND INCOME MILEAGE FUND
INTERNATIONAL EQUITY MILEAGE FUND
LIMITED-TERM INCOME MILEAGE FUND
MONEY MARKET MILEAGE FUND
MUNICIPAL MONEY MARKET
MILEAGE FUND
U.S. TREASURY MONEY MARKET
MILEAGE FUND
<PAGE> 2
Dear Fellow Shareholder:
We are pleased to report to you on the performance of the American
AAdvantage Mileage Funds and to provide you with a copy of the Annual Report for
the year ended October 31, 1996.
Balanced Mileage Fund
The Balanced Mileage Fund's total return for the year ending October 31,
1996 was 15.97%. This return exceeded the Lipper Balanced Index total return
average of 14.49%.
Both the stock and bond portions of the Fund performed well on a relative
basis. The stock segment posted a 25.47% return, beating the S&P 500 Index's
24.02% return for the twelve month period. The bond segment's 5.82% return
outpaced the 5.39% return of the Lehman Government/Corporate Index. The Fund
maintained a relatively low cash position throughout the year which also aided
overall returns.
During the year, the Fund modestly reduced its stock exposure from 60% to
57%, shifting in favor of bonds. The gradual reduction in stocks resulted from
the combination of exceptionally strong stock market returns and relatively weak
bond market returns during the period. Early in 1996, the yields on bonds rose
and the price for bonds fell which made them more attractive. At the same time,
the equity markets continued to climb due to low inflation, record M&A activity,
and record mutual fund inflows. This combination of events led to boosting the
level of the Fund's bond investments from 37% to 42% at October 31, 1996.
The Fund's discipline of purchasing stocks that are perceived to be
undervalued in the market and which offer better than average growth
expectations led to the Fund's largest overweightings in financial and energy
stocks. As these sectors were the top performers in the S&P 500 Index for the
twelve month period, these weightings assisted the Fund's performance. Financial
stocks, especially banks, outperformed due to industry consolidations and the
lack of any interest rate increases by the Federal Reserve. Energy stocks did
exceptionally well as oil and gas prices rose steadily over the year. The
utility sector was the poorest performer in the S&P 500 Index, and the only
sector with negative returns, as changes in the legal and regulatory
environments suppressed earnings. However, the Fund's decision to underweight
utilities in favor of other sectors and its superior utility stock selection
also aided performance relative to the S&P 500 Index.
The bond component of the Fund outpaced the Lehman Brothers
Government/Corporate Index by 0.43%. As the Presidential election approached,
the bond market reacted with great uncertainty. During the year ended October
31, 1996, the yield on the 30-year Treasury began at 6.33%, dropped to a
December 1995 low of 5.95%, rose to a high of 7.19% in July and dropped again to
end at 6.64%. As interest rates were rising early in 1996, the Fund began to
purchase bonds with a longer average maturity than the Lehman Govt/Corp Index.
Later, when the market began its rally and bond yields began to fall, the Fund
benefited from the longer maturity. The Fund then chose to shorten the average
maturity of its bond holdings to protect the Fund should interest rates rise
again.
Looking ahead, the Fund will continue to look for undervalued stocks with
higher than average expected growth rates as this value approach to investing
should provide downside protection without foregoing the opportunity for upside
participation in any continued market gains.
Growth and Income Mileage Fund
The Growth and Income Mileage Fund also performed well for the year ending
October 31, 1996. The Fund's total return was 22.77%. This return exceeded the
Lipper Growth and Income Index total return average of 21.39%.
<PAGE> 3
Since the Fund utilizes the same investment managers and the same approach
to stock selection as the Balanced Mileage Fund, it also benefited from
overweighted positions in financial and energy stocks and good stock selection
in utilities. The consistent application of the Fund's value style continues to
benefit its shareholders.
International Equity Mileage Fund
The International Equity Mileage Fund continued to post strong results on
an absolute and relative basis for the twelve months ended October 31, 1996. The
Fund's total return for the one year period was 16.58%, compared to a 12.65%
return for the Lipper International Index.
Relative to the EAFE Index (the Morgan Stanley Capital International
Europe, Australia and Far East Index) which returned 10.77% for the twelve month
period, the Fund added value by holding a higher concentration of stocks based
in the better performing countries and a lower concentration of stocks based in
countries which were among the poorer performers. In addition, the Fund
benefited from selecting stocks which performed better than their respective
country's market average.
The underweighting of the Japanese market, which had an average EAFE
weighting of 40% during the period and an average Fund weighting of 14%,
continues to be the most significant departure from EAFE. Over the last twelve
months, Japan's return of minus 0.7% ranked second worst among the 20 markets
that comprise the EAFE Index. Although the situation in Japan is slowly
improving, overall market valuations are expected to remain unattractive and
growth should be subdued throughout 1997. In addition, the banking and real
estate sectors remain troubled and Japanese exporters are facing intense
competition from the developing Asian economies. Until the current environment
improves, the Fund will continue to underweight the market.
In Europe, conditions are more favorable. Although the recovery has been
sluggish as countries have been unable to use fiscal stimulus due to the
impending European Monetary Union, with low inflation and high unemployment,
monetary policy should remain accommodative. The Fund continues to underweight
the stocks in the United Kingdom due to concerns of rising interest rates while
overweighting the stocks based in the smaller markets. The Fund was helped by
successful overweighting of the Dutch, Swedish and Spanish markets and positive
stock selection in Germany.
Limited-Term Income Mileage Fund
For the twelve months ended October 31, 1996, the total return of the
Limited-Term Income Mileage Fund was 4.55%. For the five years ended October 31,
1996, the total return was 5.55%. These results represent an outperformance of
the fund's benchmark which was 4.54% for the twelve months and 5.41% for the
five years. For a description of the benchmark for the Limited-Term Income
Mileage Fund, please see the graph on page 7.
1996 was notable for the very rapid rise in rates that occurred from
February through July. The two year Treasury note increased by approximately 160
basis points, in response to above average GDP growth in the first and second
quarters. The Fund's duration was reduced significantly in this period. From the
high yields reached in July, the two year Treasury note rallied back
approximately half way (or 80 basis points) as GDP growth became more subdued
and inflation remained low, allowing for a stable Fed policy. In this period,
the duration of the Fund was returned to a more neutral posture. On October 31,
the portfolio's weighted average duration was 2.1 years.
The Fund was responsive to the rapid shifts in both economic fundamentals
and market psychology, actively managing its duration. This contributed to
achieving superior performance relative to our
2
<PAGE> 4
benchmark. The Fund also benefited from spread tightening in many of the sectors
the Fund invests in, as there was good investor demand for securities with
incremental yield to Treasuries.
Money Market Mileage Fund
For the twelve months ended October 31, 1996, the Mileage Class of the
Money Market Mileage Fund outperformed its Lipper benchmark, the Money Market
Instrument Average, achieving a total return of 5.12%. During the same period,
the Platinum Class underperformed this benchmark achieving a total return of
4.78%.
After the Federal Reserve lowered interest rates on January 31, 1996 by 25
basis points, the economy grew in the first and second quarter by 2.0% and 4.2%,
respectively. During this period of economic expansion, our expectations were
that the Fed would adhere to a neutral to restrictive monetary policy.
Consequently, the weighted average maturity of the portfolio was maintained at
or near a neutral posture.
The Fund achieved its competitive performance during this period of
relatively stable monetary policy by investing in variable rate securities that
were indexed to the London Interbank Offering Rate, reset on a quarterly basis
and had final maturities of 397 days or less. During this period of improving
economic momentum, we established a strategy of overweighting stable to
improving credits to increase yield. This strategy proved to be successful.
Municipal Money Market Mileage Fund
For the twelve months ended October 31, 1996, the Municipal Money Market
Mileage Fund achieved annualized total return of 3.19%, and outperformed its
benchmark, the Lipper Tax-Exempt Money Market Funds' Average. Since its
inception, the Municipal Money Market Mileage Fund has invested exclusively in
high credit worthy municipal issuers that have been further credit enhanced by
either a bank letter of credit or bond insurance.
U.S. Treasury Money Market Mileage Fund
The U.S. Treasury Money Market Mileage Fund strengthened its relative
performance for the twelve months ended October 31, 1996 versus the same period
last year. The Fund had an annualized total return for the period of 4.98%, and
outperformed its Lipper benchmark, the U.S. Treasury Money Market Funds Average.
The Fund continues to be rated "AAAm" by Standard & Poor's Corporation.
As always, we appreciate your confidence and support and we will continue
to strive to provide you with above average returns.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Mileage Funds
3
<PAGE> 5
AMERICAN AADVANTAGE BALANCED MILEAGE FUND
PERFORMANCE SUMMARY THROUGH OCTOBER 31, 1996
COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT IN THE FUND, THE STANDARD
& POORS 500 INDEX, THE SHEARSON LEHMAN GOVERNMENT/CORPORATE
AND THE LIPPER BALANCED INDEX*
<TABLE>
<CAPTION>
Annualized Returns Inception
1 Year 5 Year to Date*
------ ------ ---------
<S> <C> <C> <C>
Mileage Fund** 15.97% 12.32% 10.60%
S&P 500 24.02% 15.53% 12.47%
SLGC 5.39% 7.96% 9.03%
Lipper Balanced Index 14.49% 11.10% 9.78%
</TABLE>
Past performance is not predictive of future performance.
[GRAPH]
<TABLE>
<CAPTION>
Jul-87 Oct-87 Oct-88 Oct-89 Oct-90 Oct-91 Oct-92 Oct-93 Oct-94 Oct-95 Oct-96
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mileage
Fund **... $10,000 $ 9,076 $10,404 $12,015 $11,385 $14,271 $15,521 $18,500 $18,470 $21,994 $25,507
S&P 500.... $10,000 $ 8,082 $ 9,275 $11,719 $10,841 $14,476 $15,917 $18,290 $19,009 $24,021 $29,790
SLGC....... $10,000 $10,084 $11,156 $12,510 $13,199 $15,227 $16,828 $19,126 $18,239 $21,186 $22,329
Lipper
Balanced
Index..... $10,000 $ 8,624 $ 9,758 $11,408 $10,974 $14,066 $15,326 $17,793 $17,683 $20,793 $23,806
</TABLE>
- ---------------
* Inception date of the American AAdvantage Balanced Fund was 7/17/87. Changes
in value for indices have a starting date of 7/15/87.
** Fund performance represents the total returns achieved by the Institutional
Class of the American AAdvantage Balanced Fund from 7/17/87, the returns of
the Mileage Class of the American AAdvantage Balanced Fund from 8/1/94 and
the returns of the American AAdvantage Balanced Mileage Fund since its
11/1/95 inception. Expenses of the Mileage Class and Mileage Fund are higher
than those of the Institutional Class. Therefore, total returns shown may be
higher than they would have been had the Mileage Fund been in operation since
7/17/87.
4
<PAGE> 6
AMERICAN AADVANTAGE GROWTH AND INCOME MILEAGE FUND
PERFORMANCE SUMMARY THROUGH OCTOBER 31, 1996
COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT IN THE FUND, THE STANDARD
& POORS 500 INDEX, AND THE LIPPER GROWTH & INCOME INDEX*
<TABLE>
<CAPTION>
Annualized Returns Inception
1 Year 5 Year to Date*
------ ------ ---------
<S> <C> <C> <C>
Mileage Fund** 22.77% 15.31% 12.12%
S&P 500 24.02% 15.53% 12.47%
Lipper Growth & Income Index 21.39% 14.41% 11.38%
</TABLE>
Past performance is not predictive of future performance.
[GRAPH]
<TABLE>
<CAPTION>
Jul-87 Oct-87 Oct-88 Oct-89 Oct-90 Oct-91 Oct-92 Oct-93 Oct-94 Oct-95 Oct-96
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mileage
Fund
**....... $10,000 $ 8,301 $10,144 $12,269 $10,610 $14,200 $15,619 $18,976 $19,585 $23,572 $28,941
S&P 500... $10,000 $ 8,082 $ 9,275 $11,719 $10,841 $14,476 $15,917 $18,290 $19,009 $24,021 $29,790
Lipper
Growth &
Income
Index.... $10,000 $ 8,227 $ 9,722 $11,746 $10,388 $13,886 $15,123 $18,071 $18,642 $22,422 $27,220
</TABLE>
- ---------------
* Inception date of the American AAdvantage Growth and Income Fund was 7/17/87.
Changes in value for indices have a starting date of 7/15/87.
** Fund performance represents the total returns achieved by the Institutional
Class of the American AAdvantage Growth and Income Fund from 7/17/87, the
returns of the Mileage Class of the American AAdvantage Growth and Income
Fund from 8/1/94 and the returns of the American AAdvantage Growth and Income
Mileage Fund since its 11/1/95 inception. Expenses of the Mileage Class and
Mileage Fund are higher than those of the Institutional Class. Therefore,
total returns shown may be higher than they would have been had the Mileage
Fund been in operation since 7/17/87.
5
<PAGE> 7
AMERICAN AADVANTAGE INTERNATIONAL EQUITY MILEAGE FUND
PERFORMANCE SUMMARY THROUGH OCTOBER 31, 1996
COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT IN THE FUND, THE EAFE
(EUROPE, AUSTRALIA, AND FAR EAST) INDEX, AND THE LIPPER INTERNATIONAL INDEX*
<TABLE>
<CAPTION>
Annualized Returns Inception
1 Year 5 Year to Date*
------ ------ ---------
<S> <C> <C> <C>
Mileage Fund** 16.58% 10.89% 10.66%
EAFE Index 10.77% 7.94% 8.90%
Lipper International Index 12.65% 9.73% 9.90%
</TABLE>
Past performance is not predictive of future performance.
[GRAPH]
<TABLE>
<CAPTION>
Aug-91 Oct-91 Oct-92 Oct-93 Oct-94 Oct-95 Oct-96
------- ------- ------ ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Mileage Fund **........................................ $10,000 $10,133 $8,910 $12,168 $13,580 $14,579 $16,995
EAFE Index............................................. $10,000 $10,760 $9,360 $12,905 $14,244 $14,235 $15,769
Lipper International Index............................. $10,000 $10,314 $9,792 $13,127 $14,638 $14,569 $16,412
</TABLE>
- ---------------
* Inception date of American AAdvantage International Equity Fund was 8/7/91.
Changes in value for indices have a starting date of 8/7/91.
** Fund performance represents the total returns achieved by the Institutional
Class of the American AAdvantage International Equity Fund from 8/7/91, the
returns of the Mileage Class of the American AAdvantage International
Equity Fund from 8/1/94 and the returns of the American AAdvantage
International Equity Fund since its 11/1/95 inception. Expenses of the
Mileage Class and Mileage Fund are higher than those of the Institutional
Class. Therefore, total returns shown may be higher than they would have
been had the Mileage Fund been in place since the inception of the Fund.
6
<PAGE> 8
AMERICAN AADVANTAGE LIMITED-TERM INCOME MILEAGE FUND
PERFORMANCE SUMMARY THROUGH OCTOBER 31, 1996
COMPARISON OF CHANGE IN VALUE $10,000 INVESTMENT IN THE FUND, THE LINKED LIPPER
AVERAGE, AND THE SHEARSON LEHMAN GOVERNMENT/CORPORATE 1 TO 5 YEAR INDEX*
<TABLE>
<CAPTION>
Annualized Returns Inception
1 Year 5 Year to Date*
------ ------ ---------
<S> <C> <C> <C>
Mileage Fund** 4.55% 5.55% 6.88%
Linked Lipper Average*** 6.97% 5.72% 6.97%
Shearson Lehman G/C 1-5 Year Index 5.99% 6.55% 7.87%
</TABLE>
Past performance is not predictive of future performance.
[GRAPH]
<TABLE>
<CAPTION>
Nov-87 Oct-88 Oct-89 Oct-90 Oct-91 Oct-92 Oct-93 Oct-94 Oct-95 Oct-96
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mileage Fund **...... $10,000 $10,670 $11,482 $12,345 $13,810 $14,906 $15,979 $16,051 $17,308 $18,095
Linked Lipper
Average............. $10,000 $10,730 $11,696 $12,614 $14,027 $15,077 $16,048 $16,070 $17,459 $18,243
Shearson Lehman G/C
1-5 Year Index...... $10,000 $10,675 $11,723 $12,715 $14,310 $15,622 $16,833 $16,795 $18,545 $19,655
</TABLE>
- ---------------
* Inception date of the American AAdvantage Limited-Term Income Fund was
12/3/87. Changes in value for indices have a starting date of 12/3/87.
** Fund performance represents the total returns achieved by the Institutional
Class of the American AAdvantage Limited-Term Income Fund from 12/3/87, the
returns of the Mileage Class of the American AAdvantage Limited-Term Income
Fund from 8/1/94 and the returns of the American AAdvantage Limited-Term
Income Mileage Fund since its 11/1/95 inception. Expenses of the Mileage
Class and Mileage Fund are higher than those of the Institutional Class.
Therefore, total returns shown may be higher than they would have been had
the Mileage Fund been in place since inception of the Fund.
*** The Linked Lipper Average is created by linking the Lipper Short-Term (1-5
Year) Investment Grade Debt Average from 11/30/87 through 12/31/95, the
Lipper Short-Intermediate Investment Grade Debt Average from 1/1/96 through
7/31/96 and the Lipper Short-Term (1-3 Year) Investment Grade Debt Average
since 8/1/96.
7
<PAGE> 9
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
American AAdvantage Balanced Mileage Fund
American AAdvantage Growth and Income Mileage Fund
American AAdvantage International Equity Mileage Fund
American AAdvantage Limited-Term Income Mileage Fund
American AAdvantage Money Market Mileage Fund
American AAdvantage Municipal Money Market Mileage Fund
American AAdvantage U.S. Treasury Money Market Mileage Fund
We have audited the accompanying statements of assets and liabilities of
the American AAdvantage Balanced Mileage Fund, the American AAdvantage Growth
and Income Mileage Fund, the American AAdvantage International Equity Mileage
Fund, the American AAdvantage Limited-Term Income Mileage Fund, the American
AAdvantage Money Market Mileage Fund, the American AAdvantage Municipal Money
Market Mileage Fund, and the American AAdvantage U.S. Treasury Money Market
Mileage Fund (collectively, "the Funds") (separate funds comprising the American
AAdvantage Mileage Funds) as of October 31, 1996, and the related statements of
operations, the statements of changes in net assets, and the financial
highlights for the year then ended. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective American AAdvantage Mileage Funds at October 31, 1996,
the results of their operations, the changes in their net assets, and the
financial highlights for the year then ended, in conformity with generally
accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 20, 1996
8
<PAGE> 10
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Fund Fund Fund Fund
-------- ---------- ------------- ------------
(in thousands, except share and per share amounts)
<S> <C> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value....................... $ 2,489 $ 6,236 $ 3,389 $ 1,166
Receivable for expense reimbursement (Note 2)........... 7 - - 1
Deferred organization costs............................. 8 8 8 8
Other................................................... 9 9 8 9
-------- -------- --------- --------
TOTAL ASSETS........................................ 2,513 6,253 3,405 1,184
-------- -------- --------- --------
LIABILITIES:
Accrued organization costs.............................. 10 10 10 10
Management fees payable (Note 2)........................ - 1 1 -
Other liabilities....................................... 8 8 7 6
-------- -------- --------- --------
TOTAL LIABILITIES................................... 18 19 18 16
-------- -------- --------- --------
NET ASSETS.................................................. $ 2,495 $ 6,234 $ 3,387 $ 1,168
======== ======== ========= ========
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 2,254 5,439 3,085 1,201
Accumulated undistributed investment income............. 60 84 29 -
Accumulated net realized gain (loss).................... 154 371 79 (22)
Unrealized appreciation (depreciation) of investments... 27 340 194 (11)
-------- -------- --------- --------
NET ASSETS.................................................. $ 2,495 $ 6,234 $ 3,387 $ 1,168
======== ======== ========= ========
Shares outstanding (no par value)........................... 155,886 322,195 221,188 121,004
======== ======== ========= ========
Net asset value, offering and redemption price per share.... $ 16.01 $ 19.35 $ 15.31 $ 9.65
======== ======== ========= ========
</TABLE>
See accompanying notes
9
<PAGE> 11
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Money Municipal Treasury
Market Money Market Money Market
Fund Fund Fund
-------- ------------ ------------
(in thousands, except share
and per share amounts)
<S> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value.................................. $122,742 $ 28,825 $ 10,687
Receivable for expense reimbursement (Note 2)...................... 61 13 11
Deferred organization costs........................................ 8 8 8
-------- ----------- -----------
TOTAL ASSETS................................................... 122,811 28,846 10,706
-------- ----------- -----------
LIABILITIES:
Accrued organization costs......................................... 10 10 10
Dividends payable.................................................. 491 71 42
Management and administrative services fees payable (Note 2)....... 13 1 9
Other liabilities.................................................. 159 38 7
-------- ----------- -----------
TOTAL LIABILITIES.............................................. 673 120 68
-------- ----------- -----------
ANALYSIS OF NET ASSETS:
Paid-in-capital.................................................... 122,138 28,726 10,638
-------- ----------- -----------
NET ASSETS............................................................. $122,138 $ 28,726 $ 10,638
========= =========== ===========
Shares outstanding (no par value)...................................... N/A 28,725,574 10,637,562
=========== ===========
Net asset value, offering and redemption price per share............... $ 1.00 $ 1.00
=========== ===========
MILEAGE CLASS:
Net asset value, offering and redemption price per share
(106,708,747 shares outstanding)................................. $ 1.00 N/A N/A
=========
PLATINUM CLASS:
Net asset value, offering and redemption price per share
(15,428,949 shares outstanding).................................. $ 1.00 N/A N/A
=========
</TABLE>
See accompanying notes
10
<PAGE> 12
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF OPERATIONS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal U.S. Treasury
Growth and International Limited-Term Money Money Money
Balanced Income Equity Income Market Market Market
Fund Fund Fund Fund Fund Fund Fund
-------- ---------- ------------- ------------ ------ --------- -------------
(in thousands)
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO:
Allocated interest income.......... $ 54 $ 12 $ 11 $ 85 $6,215 $ 881 $ 455
Allocated dividend income (net of
foreign taxes of $5 in
International Equity Fund)....... 34 133 60 - - - -
Allocated Portfolio expenses (net
of reimbursement of $18 for the
Municipal Money Market Fund)..... (7) (16) (13) (4) (198) (32) (17)
---- ---- ----- ---- ------ ----- -----
NET INVESTMENT INCOME ALLOCATED
FROM PORTFOLIO............... 81 129 58 81 6,017 849 438
---- ---- ----- ---- ------ ----- -----
FUND EXPENSES:
Management fees (Note 2)........... 5 12 6 3 55 12 4
Administrative service fees --
Platinum Class (Note 2).......... - - - - 48 - -
Transfer agent fees................ 5 7 4 2 - 26 10
Transfer agent fees -- Mileage
Class............................ - - - - 122 - -
Professional fees.................. 6 7 4 4 54 10 8
Registration fees and expenses..... 26 30 26 20 114 38 29
Distribution fees.................. 5 12 6 3 - 58 21
Distribution fees -- Mileage
Class............................ - - - - 252 - -
Distribution fees -- Platinum
Class............................ - - - - 22 - -
Other expenses..................... 3 3 3 3 31 8 4
---- ---- ----- ---- ------ ----- -----
TOTAL FUND EXPENSES............ 50 71 49 35 698 152 76
---- ---- ----- ---- ------ ----- -----
Less reimbursement of expenses
(Note 2)..................... 37 41 28 29 128 32 41
---- ---- ----- ---- ------ ----- -----
NET FUND EXPENSES.............. 13 30 21 6 570 120 35
---- ---- ----- ---- ------ ----- -----
NET INVESTMENT INCOME.................. 68 99 37 75 5,447 729 403
---- ---- ----- ---- ------ ----- -----
REALIZED AND UNREALIZED GAIN (LOSS)
ALLOCATED FROM PORTFOLIO:
Net realized gain (loss) on
investments and foreign currency
transactions..................... 154 371 79 (22) 4 - 3
Change in net unrealized
appreciation (depreciation) of
investments and foreign currency
translations..................... 27 340 194 (11) - - -
---- ---- ----- ---- ------ ----- -----
NET GAIN (LOSS) ON
INVESTMENTS.................. 181 711 273 (33) 4 - 3
---- ---- ----- ---- ------ ----- -----
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS...................... $249 $810 $ 310 $ 42 $5,451 $ 729 $ 406
==== ==== ===== ==== ====== ===== =====
</TABLE>
See accompanying notes
11
<PAGE> 13
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal U.S. Treasury
Growth and International Limited-Term Money Money Money
Balanced Income Equity Income Market Market Market
Fund Fund Fund Fund Fund Fund Fund
-------- ---------- ------------- ------------ --------- --------- -------------
(in thousands)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income.... $ 68 $ 99 $ 37 $ 75 $ 5,447 $ 729 $ 403
Net realized gain (loss)
on investments and
foreign currency
transactions........... 154 371 79 (22) 4 - 3
Change in net unrealized
appreciation
(depreciation) of
investments and foreign
currency
translations........... 27 340 194 (11) - - -
------ ------ ------- ------ --------- -------- -------
NET INCREASE IN NET
ASSETS RESULTING
FROM OPERATIONS..... 249 810 310 42 5,451 729 406
------ ------ ------- ------ --------- -------- -------
DISTRIBUTIONS TO
SHAREHOLDERS:
Net investment income.... (8) (15) (8) (75) - (729) (403)
Net investment
income - Mileage
Class.................. - - - - (5,054) - -
Net investment
income - Platinum
Class.................. - - - - (393) - -
Net realized gain on
investments............ - - - - - - (3)
Net realized gain on
investments - Mileage
Class.................. - - - - (4) - -
------ ------ ------- ------ --------- -------- -------
NET DISTRIBUTIONS TO
SHAREHOLDERS........ (8) (15) (8) (75) (5,451) (729) (406)
------ ------ ------- ------ --------- -------- -------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares................. 2,652 8,945 3,953 1,752 240,656 47,645 16,949
Reinvestment of dividends
and
distributions.......... 8 14 7 64 4,724 638 347
Cost of shares
redeemed............... (407) (3,521) (876) (616) (123,336) (19,558) (6,659)
------ ------ ------- ------ --------- -------- -------
NET INCREASE IN NET
ASSETS FROM CAPITAL
SHARE
TRANSACTIONS........ 2,253 5,438 3,084 1,200 122,044 28,725 10,637
------ ------ ------- ------ --------- -------- -------
NET INCREASE IN NET
ASSETS..................... 2,494 6,233 3,386 1,167 122,044 28,725 10,637
NET ASSETS:
Beginning of year........ 1 1 1 1 94 1 1
------ ------ ------- ------ --------- -------- -------
END OF YEAR*............. $2,495 $6,234 $ 3,387 $1,168 $ 122,138 $ 28,726 $10,638
====== ====== ======= ====== ========= ======== =======
*Includes undistributed
net investment income
of..................... $ 60 $ 84 $ 29 $ - $ - $ - $ -
====== ====== ======= ====== ========= ======== =======
</TABLE>
See accompanying notes
12
<PAGE> 14
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American AAdvantage Mileage Funds (the "Trust") is organized as a
Massachusetts business trust under a Declaration of Trust dated February 14,
1995 and is registered under the Investment Company Act of 1940 (the "Act"), as
amended, as a no-load, open-end, management investment company. On July 19,
1995, the Trust's Board of Trustees (the "Board") created seven separate series
as follows: American AAdvantage Balanced Mileage Fund, American AAdvantage
Growth and Income Mileage Fund, American AAdvantage International Equity Mileage
Fund, American AAdvantage Limited-Term Income Mileage Fund, American AAdvantage
Money Market Mileage Fund, American AAdvantage Municipal Money Market Mileage
Fund and American AAdvantage U.S. Treasury Money Market Mileage Fund (each a
"Fund" and collectively the "Funds"). The Funds commenced active operations on
November 1, 1995. The Money Market Mileage Fund commenced sales of a second
class of shares designated as "Platinum Class" on January 29, 1996. At the same
time, the existing shares of the Money Market Mileage Fund were redesignated as
"Mileage Class" shares.
Each Fund invests all of its investable assets in the corresponding
portfolio of the AMR Investment Services Trust, an open-end diversified
management investment company, as follows:
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE: -) INVESTS ASSETS IN -) AMR INVESTMENT SERVICES TRUST:
-------------------- ----------------------- ------------------------------
<S> <C>
Balanced Mileage Fund Balanced Portfolio
Growth and Income Mileage Fund Growth and Income Portfolio
International Equity Mileage Fund International Equity Portfolio
Limited-Term Income Mileage Fund Limited-Term Income Portfolio
Money Market Mileage Fund Money Market Portfolio
Municipal Money Market Mileage Fund Municipal Money Market Portfolio
U.S. Treasury Money Market Mileage Fund U.S. Treasury Money Market Portfolio
</TABLE>
Each AMR Investment Services Portfolio has the same investment objectives
as its corresponding Fund. The value of such investment reflects each Fund's
proportionate interest in the net assets of the corresponding portfolio (0.28%,
0.56%, 0.84%, 0.67%, 6.95%, 35.47% and 11.78% at October 31, 1996 of the AMR
Investment Services Trust Balanced, Growth and Income, International Equity,
Limited-Term Income, Money Market, Municipal Money Market, and U.S. Treasury
Money Market Portfolios) (each a "Portfolio" and collectively the "Portfolios",
respectively). The financial statements of the Portfolios are included elsewhere
in this report and should be read in conjunction with the Funds' financial
statements.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services.
The following is a summary of the significant accounting policies followed
by the Funds.
Valuation of Investments
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.
13
<PAGE> 15
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
Investment Income and Dividends to Shareholders
Each Fund records its share of net investment income, and realized and
unrealized gain and loss in the Portfolio each day. All net investment income
and realized and unrealized gain and loss of each Portfolio are allocated pro
rata among the corresponding Fund and other investors in each Portfolio at the
time of such determination. Dividends from net investment income of the
Balanced, Growth and Income, and International Equity Mileage Funds normally
will be declared and paid annually. The Limited-Term Income Mileage Fund
generally declares dividends from net investment income daily, payable monthly.
Distributions, if any, of net realized capital gains normally will be paid
annually after the close of the fiscal year in which realized.
The Money Market, Municipal Money Market and U.S. Treasury Money Market
Mileage Funds (the "Money Market Funds") generally declare dividends daily from
net investment income and net short-term capital gain, if any, payable monthly.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles.
Federal Income and Excise Taxes
It is the policy of each of the Funds to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all net investment income as well as any net realized
capital gains on the sale of investments. Therefore, no federal income or excise
tax provision is required. At October 31, 1996, the Limited-Term Income Mileage
Fund had a capital loss carryforward for federal income tax purposes of
approximately $37,000 expiring in 2004.
All dividends paid by the Municipal Money Market Mileage Fund were
"exempt -- interest dividends", and therefore 100% free of any regular Federal
income tax. Approximately 35% of interest earned was derived from investments in
certain private activity bonds for purposes of the Federal alternative minimum
tax calculation.
Deferred Organization Expenses
Expenses incurred by a Fund in connection with its organization are being
amortized on a straight-line basis over a five-year period.
Expenses
Expenses directly attributable to a Fund are charged to that Fund's
operations. Expenses directly attributable to a Class of shares are charged to
that Class. Expenses incurred by the Trust with respect to any two or more of
the Funds are allocated in proportion to the net assets of each Fund, except
where allocations of direct expenses to each Fund can otherwise be made fairly.
Each share of each Fund, regardless of class, bears equally those expenses that
are allocated to the Fund as a whole.
14
<PAGE> 16
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
Valuation of Shares
The price per share is calculated separately for each Fund on each day on
which shares are offered for sale and orders accepted or upon receipt of a
redemption request. Net asset value per share is computed by dividing the value
of a Fund's total assets (which includes the value of the Fund's investment in
its corresponding Portfolio), less liabilities, by the number of Fund shares
outstanding. With respect to a class of the Money Market Mileage Fund, price per
share is computed by dividing the value of the Class's pro rata allocation of
the Fund's investments and other assets, less liabilities, by the number of
Class shares outstanding.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Manager and the Trust entered into a Management Agreement which
obligates the Manager to provide or oversee administrative and management
services to the Funds. As compensation for performing the duties required under
the Management Agreement, the Manager receives an annualized fee of .25% of the
average daily net assets of the Balanced, Growth and Income, International
Equity, and Limited-Term Income Mileage Funds and .05% of the net assets of each
of the Money Market Funds.
Administrative Services Plan
The Trust has adopted an Administrative Services Plan with respect to the
Platinum Class of the Money Market Mileage Fund. As compensation for providing
administrative services, the Manager receives an annual fee of .55% of the
average daily net assets of the Money Market Mileage Fund -- Platinum Class.
Distribution Plan
The Trust has adopted a Distribution Plan (the "Plan") pursuant to Rule
12b-1 under the Act. A separate plan has been adopted by the Mileage Class and
Platinum Class of the Money Market Mileage Fund. Under the Plan, as compensation
for distribution assistance, the Manager receives an annual fee of .25% of the
average daily net assets of each Class or Fund. The fee will be payable without
regard to whether the amount of the fee is more or less than the actual expenses
incurred in a particular month by the Manager for distribution assistance.
During the year ended October 31, 1996, the Manager waived distribution fees
totaling $4,787, $11,637, $5,668, $3,087, $32,373 and $13,188 for the Balanced,
Growth and Income, International Equity, Limited-Term Income, Municipal Money
Market and U.S. Treasury Money Market Mileage Funds, respectively. During the
same period, the Manager waived $115,712 and $12,083 for the Money Market
Mileage Fund -- Mileage Class and the Money Market Mileage Fund -- Platinum
Class, respectively.
Other
Certain officers or trustees of the Trust are also officers of the Manager
or American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided free unlimited air
15
<PAGE> 17
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
transportation on American. However, the Trust compensates each Trustee with
payments in an amount equal to the Trustee's income tax on the value of this
free airline travel. For the year ended October 31, 1996, the cost of air
transportation was not material to any of the Funds.
Reimbursement of Expenses
For the year ending October 31, 1996, the Manager reimbursed expenses
totaling $31,951, $28,894, $22,256, $25,594 and $27,535 for the Balanced, Growth
and Income, International Equity, Limited-Term Income and U.S. Treasury Money
Market Mileage Funds, respectively.
3. CAPITAL SHARE TRANSACTIONS
The tables below summarizes the activity in capital shares for the year
ended October 31, 1996 (in thousands):
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Mileage Fund Mileage Fund Mileage Fund Mileage Fund
--------------- ---------------- --------------- ---------------
Shares Amount Shares Amount Shares Amount Shares Amount
------ ------ ------ ------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold..................................... 182 $2,652 514 $ 8,945 281 $3,953 178 $1,752
Reinvestment of dividends....................... 1 8 1 14 1 7 7 64
Shares redeemed................................. (27) (407) (193) (3,521) (61) (876) (64) (616)
--- ------ ---- ------- ---- ------ --- ------
Net increase in capital share transactions...... 156 $2,253 322 $ 5,438 221 $3,084 121 $1,200
=== ====== ==== ======= === ====== === ======
</TABLE>
The tables below summarizes the activity in capital shares for the year
ended October 31, 1996 for each of the Money Market Mileage Funds (in
thousands). Each share is valued at $1.00.
<TABLE>
<CAPTION>
Money Market U.S.
Mileage Fund Municipal Treasury
------------------------------ Money Market Money Market
Mileage Class Platinum Class Mileage Fund Mileage Fund
------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Shares sold............................................. 214,459 26,197 47,645 16,949
Reinvestment of dividends............................... 4,392 332 638 347
Shares redeemed......................................... (112,236) (11,100) (19,558) (6,659)
-------- -------- ------- -------
Net increase in capital share transactions.............. 106,615 15,429 28,725 10,637
======== ======== ======= =======
</TABLE>
16
<PAGE> 18
(This page intentionally left blank)
17
<PAGE> 19
AMERICAN AADVANTAGE MILEAGE FUNDS
FINANCIAL HIGHLIGHTS
Year Ended October 31, 1996
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Limited-
Growth and International Term
Balanced Income Equity Income
Fund(2) Fund(2) Fund Fund
------- ---------- ------------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period (4).................... $13.97 $15.94 $ 13.15 $ 9.83
------ ------ ------- ------
Income from investment operations:
Net investment income(5)................................ 0.49 0.34 0.20 0.59
Net gains (losses) on securities (both realized
and unrealized)(5).................................... 1.65 3.16 2.03 (0.18)
------ ------ ------- ------
TOTAL FROM INVESTMENT OPERATIONS................... 2.14 3.50 2.23 0.41
------ ------ ------- ------
Less distributions:
Dividends from net investment income.................... (0.10) (0.09) (0.07) (0.59)
------ ------ ------- ------
TOTAL DISTRIBUTIONS................................ (0.10) (0.09) (0.07) (0.59)
------ ------ ------- ------
NET ASSET VALUE, END OF PERIOD.............................. $16.01 $19.35 $ 15.31 $ 9.65
====== ====== ======= ======
Total return(1)(6).......................................... 15.97% 22.77% 16.58% 4.55%
====== ====== ======= ======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands)................ $2,495 $6,234 $3,387 $1,168
Ratios to average net assets (annualized)(5)(6):
Expenses........................................... 1.01% 1.00% 1.48% 0.86%
Net investment income.............................. 3.58% 2.13% 1.63% 6.08%
<CAPTION>
Money Market Fund(3) Municipal U.S. Treasury
-------------------- Money Money
Mileage Platinum Market Market
Class Class Fund Fund
-------- -------- --------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period (4).................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- --------- -------------
Income from investment operations:
Net investment income(5)................................ 0.05 0.03 0.03 0.05
Net gains (losses) on securities (both realized
and unrealized)(5).................................... - - - -
-------- -------- --------- -------------
TOTAL FROM INVESTMENT OPERATIONS................... 0.05 0.03 0.03 0.05
-------- -------- --------- -------------
Less distributions:
Dividends from net investment income.................... (0.05) (0.03) (0.03) (0.05)
-------- -------- --------- -------------
TOTAL DISTRIBUTIONS................................ (0.05) (0.03) (0.03) (0.05)
-------- -------- --------- -------------
NET ASSET VALUE, END OF PERIOD.............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======= ======= ==========
Total return(1)(6).......................................... 5.12% 4.78% 3.19% 4.98%
======== ======= ======= ==========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands)................ $106,709 $ 15,429 $28,726 $10,638
Ratios to average net assets (annualized)(5)(6):
Expenses........................................... 0.67% 1.09% 0.66% 0.62%
Net investment income.............................. 5.02% 4.48% 3.14% 4.82%
</TABLE>
- ---------------
(1) Total return is calculated assuming an initial investment is made at the net
asset value last calculated on the business day before the first day of each
period reported, reinvestment of all dividends and capital gains
distributions on the payable date and a sale at net asset value on the last
day of each period reported.
(2) Capital Guardian Trust Company was replaced by Brandywine Asset Management
as an investment adviser to the Balanced and the Growth and Income Mileage
Funds on April 1, 1996.
(3) The Platinum Class of the Money Market Mileage Fund commenced active
operations on January 29, 1996 and at that time the existing shares of the
Fund were designated as Mileage Class shares.
(4) The net asset value per share for the Balanced, Growth and Income,
International Equity and Limited Term Income Mileage Funds has been adjusted
for a stock split which occurred on November 1, 1995 in the ratio of
1.43169, 1.254705, 1.520913 and 2.034588, respectively.
18
<PAGE> 20
AMERICAN AADVANTAGE MILEAGE FUNDS
FINANCIAL HIGHLIGHTS
Year Ended October 31, 1996
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
(5) The per share amounts and ratios reflect income and expenses assuming
inclusion of each Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Trust Portfolio.
(6) Operating results exclude expenses reimbursed by the Manager. Results prior
to expense reimbursements were as follows for the year ended October 31,
1996:
<TABLE>
<CAPTION>
Growth Limited- Money Market Fund Municipal
and International Term ------------------- Money U.S. Treasury
Balanced Income Equity Income Mileage Platinum Market Money
Fund Fund Fund Fund Class Class Fund Market Fund
-------- ------ ------------- -------- ------- -------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratio of expenses to
average net assets
(annualized).............. 2.93% 1.88% 2.71% 3.19% 0.78% 1.24% 0.80% 1.11%
Ratio of net investment
income to average net
assets (annualized)....... 1.66% 1.25% 0.40% 3.75% 4.91% 4.33% 3.00% 4.33%
</TABLE>
19
<PAGE> 21
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
AMR Investment Services Balanced Portfolio
AMR Investment Services Growth and Income Portfolio
AMR Investment Services International Equity Portfolio
AMR Investment Services Limited-Term Income Portfolio
AMR Investment Services Money Market Portfolio
AMR Investment Services Municipal Money Market Portfolio
AMR Investment Services U.S. Treasury Money Market Portfolio
We have audited the accompanying statements of assets and liabilities of
the AMR Investment Services Balanced Portfolio, the AMR Investment Services
Growth and Income Portfolio, the AMR Investment Services International Equity
Portfolio, the AMR Investment Services Limited-Term Income Portfolio, the AMR
Investment Services Money Market Portfolio, the AMR Investment Services
Municipal Money Market Portfolio, and the AMR Investment Services U.S. Treasury
Money Market Portfolio (collectively, "the Portfolios") (separate portfolios
comprising the AMR Investment Services Trust), including the schedules of
investments as of October 31, 1996, and the related statements of operations,
the statements of changes in net assets, and the financial highlights for the
year then ended. These financial statements and financial highlights are the
responsibility of the Portfolios' management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
October 31, 1996, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the portfolios of the AMR Investment Services Trust at October 31, 1996,
the results of their operations, the changes in their net assets, and the
financial highlights for the year then ended, in conformity with generally
accepted accounting principles.
/s/ ERNST & YOUNG
Dallas, Texas
December 20, 1996
20
<PAGE> 22
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 21.14%
U.S. TREASURY BILLS - 0.78%
Due 11/21/1996................... $ 4,000 $ 3,989
Due 12/26/1996................... 3,000 2,978
--------
TOTAL U.S. TREASURY BILLS.... 6,967
--------
U.S. TREASURY BONDS - 5.42%
8.75%, Due 8/15/2020............. 7,500 9,237
11.625%, Due 11/15/2004.......... 8,370 11,109
13.875%, Due 5/15/2011........... 1,230 1,868
10.375%, Due 11/15/2012.......... 2,000 2,585
8.75%, Due 5/15/2017............. 4,630 5,647
8.125%, Due 8/15/2019............ 10,035 11,594
8.125%, Due 8/15/2021............ 1,045 1,213
7.25%, Due 8/15/2022............. 5,000 5,291
--------
TOTAL U.S. TREASURY BONDS.... 48,544
--------
U.S. TREASURY COUPON STRIPS - 1.04%
Due 11/15/2008................... 796 362
Due 5/15/2011.................... 4,000 1,517
Due 8/15/2018.................... 4,000 901
Due 11/15/2018................... 13,000 2,872
Due 8/15/2019.................... 11,500 2,413
Due 11/15/2019................... 6,000 1,238
--------
TOTAL U.S. TREASURY COUPON
STRIPS..................... 9,303
--------
U.S. TREASURY NOTES - 13.90%
7.375%, Due 11/15/1997........... 1,000 1,018
5.125%, Due 3/31/1998............ 7,500 7,444
5.125%, Due 6/30/1998............ 1,000 991
5.875%, Due 3/31/1999............ 2,750 2,753
6.375%, Due 7/15/1999............ 3,000 3,036
7.125%, Due 9/30/1999............ 12,390 12,777
7.125%, Due 2/29/2000............ 8,190 8,466
5.50%, Due 4/15/2000............. 3,000 2,953
6.125%, Due 7/31/2000............ 2,000 2,006
6.125%, Due 9/30/2000............ 11,950 11,984
8.50%, Due 11/15/2000............ 5,500 5,976
5.625%, Due 11/30/2000........... 3,000 2,953
6.375%, Due 3/31/2001............ 7,500 7,587
7.50%, Due 11/15/2001............ 3,000 3,176
7.50%, Due 5/15/2002............. 1,000 1,063
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
6.375%, Due 8/15/2002............ $ 8,250 $ 8,339
6.25%, Due 2/15/2003............. 9,190 9,222
5.75%, Due 8/15/2003............. 3,000 2,921
5.875%, Due 2/15/2004............ 2,000 1,953
7.25%, Due 5/15/2004............. 1,500 1,584
7.875%, Due 11/15/2004........... 1,500 1,646
7.50%, Due 2/15/2005............. 5,785 6,215
6.50%, Due 5/15/2005............. 7,000 7,075
6.50%, Due 8/15/2005............. 2,000 2,021
5.875%, Due 11/15/2005........... 3,000 2,903
5.625%, Due 2/15/2006............ 3,000 2,854
7.875%, Due 2/15/2021............ 325 367
6.25%, Due 8/15/2023............. 3,450 3,237
--------
TOTAL U.S. TREASURY NOTES.... 124,520
--------
TOTAL U.S. GOVERNMENT &
AGENCY OBLIGATIONS......... 189,334
--------
U.S. AGENCY MORTGAGE-BACKED
OBLIGATIONS - 6.49%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 1.78%
7.15%, Due 6/27/2000............. 2,115 2,133
7.83%, Due 8/11/2004............. 1,130 1,140
7.75%, Due 5/22/2006............. 2,300 2,341
7.61%, Due 5/24/2006............. 3,000 3,057
Series 1194G, 6.50%,
Due 10/15/2006................. 1,500 1,488
Series 1250F, 7.00%,
Due 4/15/2019.................. 887 893
Pool #C00436, 7.50%,
Due 12/1/2025.................. 4,894 4,910
--------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION....... 15,962
--------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 3.15%
6.36%, Due 8/16/2000............. 2,090 2,101
7.78%, Due 5/22/2006............. 1,000 1,013
Pool #297492, 6.50%,
Due 10/1/2010.................. 26 25
Pool #338030, 6.50%,
Due 4/1/2011................... 311 305
Pool #341332, 6.50%,
Due 4/1/2011................... 676 664
Pool #341382, 6.50%,
Due 4/1/2011................... 270 264
</TABLE>
See accompanying notes
21
<PAGE> 23
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Pool #342743, 6.50%,
Due 4/1/2011................... $ 721 $ 708
Pool #337195, 6.50%,
Due 5/1/2011................... 1,356 1,332
Pool #344287, 6.50%,
Due 5/1/2011................... 493 485
Pool #344429, 6.50%,
Due 5/1/2011................... 129 127
Series 1349PG, 6.50%,
Due 5/15/2014.................. 400 401
Pool #66185, 6.059%,
Due 7/1/2018................... 1,737 1,702
Series 1992-143G, 6.75%,
Due 10/25/2018................. 500 502
Series 1989-21G, 10.45%,
Due 4/25/2019.................. 209 228
Pool #218949, 7.50%,
Due 12/1/2023.................. 936 950
Pool #266196, 7.114%,
Due 1/1/2024................... 1,581 1,597
TBA, 7.50% Due 9/23/2024......... 1,670 1,673
Pool #306505, 8.00%,
Due 3/1/2025................... 1,411 1,439
Pool #308798, 7.32%,
Due 4/1/2025................... 371 382
Pool #303585, 7.00%,
Due 10/1/2025.................. 733 719
Pool #250414, 7.00%,
Due 12/1/2025.................. 2,421 2,374
Pool #339141, 7.00%,
Due 3/1/2026................... 5,488 5,381
Pool #341041, 7.00%,
Due 4/1/2026................... 29 28
TBA, 8.00%, Due 11/13/2026....... 3,700 3,774
--------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION....... 28,174
--------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION-1.56%
Pool #102932, 10.50%,
Due 9/15/1998.................. 12 12
Series 1994-2 Cl O, 7.99125%,
Due 4/16/2010.................. 1,488 1,527
Pool #180220, 9.00%,
Due 10/15/2016................. 887 938
TBA, 8.00%, Due 2/1/2020......... 1,640 1,677
Pool #340063, 7.50%,
Due 12/15/2022................. 20 21
Pool #339886, 7.50%,
Due 1/15/2023.................. 463 465
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Pool #349306, 8.00%,
Due 2/15/2023.................. $ 2,525 $ 2,581
Pool #345300, 7.00%,
Due 3/15/2023.................. 878 861
Pool #344261, 7.50%,
Due 4/15/2023.................. 505 507
Pool #336950, 7.50%,
Due 4/15/2023.................. 783 786
Pool #355479, 8.00%,
Due 5/15/2023.................. 1,518 1,552
Pool #320073, 7.00%,
Due 6/15/2023.................. 20 20
Pool #341926, 8.00%,
Due 6/15/2023.................. 17 18
Pool #352117, 8.00%,
Due 7/15/2023.................. 1,131 1,157
Pool #355721, 7.50%,
Due 7/15/2023.................. 157 158
Pool #344979, 7.50%,
Due 8/15/2023.................. 451 453
Pool #1849, 8.50%,
Due 8/20/2024.................. 563 580
TBA, 7.50%, Due 6/1/2025......... 630 632
--------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION....... 13,945
--------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS................ 58,081
--------
ASSET-BACKED SECURITIES - 2.21%
American Express Master Trust
1992-1 A, 6.05%,
Due 6/15/1998.................. 2,250 2,256
AT&T Universal Card Master Trust,
1995-2A, 5.95%,
Due 10/17/2002................. 550 545
Boatmen's Auto Trust,
1996-A A2, 6.35%,
Due 1/15/2003.................. 850 856
Chase Manhattan Credit Card
Master Trust, 1996-4A, 6.73%,
Due 2/15/2003.................. 1,550 1,576
Chemical Master Credit Card
Trust 1, 1996-1A, 5.55%,
Due 9/15/2003.................. 810 789
Chemical Master Credit Card
Trust 1, 1995-3A, 6.23%,
Due 4/15/2005.................. 990 980
</TABLE>
See accompanying notes
22
<PAGE> 24
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Citibank Credit Card Master
Trust I, 1996-1A, Zero Coupon,
Due 2/7/2003................... $ 1,410 $ 1,075
ContiMortgage Home Equity
Loan Trust, 1994-4 A2, 7.96%,
Due 9/15/2009.................. 2,003 2,046
Discover Card Master Trust I,
1996-3A, 6.05%,
Due 8/18/2008.................. 1,010 958
General Electric Railcar Trust,
1992-1A, 7.75%,
Due 6/1/2004................... 601 629
NationsBank Auto Owner
Trust, 1996-A A3, 6.375%,
Due 7/15/2000.................. 2,550 2,567
NationsBank Credit Card
Master Trust, 1993-2A, 6.00%,
Due 12/15/2005................. 1,060 1,027
Olympic Automobile Receivables
Trust, 1993-CA, 4.50%,
Due 2/15/2000.................. 173 172
Prime Credit Card Master
Trust, 1996-1A, 6.70%,
Due 7/15/2004.................. 500 508
Sears Credit Account Master
Trust, 1995-5A, 6.05%,
Due 1/16/2008.................. 720 704
Sears Credit Account Master
Trust, 1996-4A, 6.45%,
Due 10/16/2006................. 440 442
Signet Credit Card Master
Trust, 1994-4A, 6.80%,
Due 12/15/2000................. 1,800 1,817
UCFC Home Equity Loan,
1994-C1 A2, 7.275%,
Due 6/10/2007.................. 380 382
Western Financial Grantor
Trust,1994-3 A2, 6.65%,
Due 12/1/1999.................. 471 475
--------
TOTAL ASSET-BACKED
SECURITIES................. 19,804
--------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.24%
Citicorp Mortgage Securities,
Incorporated, 1987-14 A1,
9.50%, Due 9/25/2002........... 608 619
Citicorp Mortgage Securities,
Incorporated, 1987-5 A1, 8.50%,
Due 4/25/2017.................. 646 644
Citicorp Mortgage Securities,
Incorporated, 1990-4 A5, 9.50%,
Due 3/25/2005.................. 836 833
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
DLJ Mortgage Acceptance
Corporation, 1994-Q1 2A1,
4.56029%, Due 3/25/2024........ $ 498 $ 490
General Electric Capital Mortgage
Services, Incorporated, 1992-4A
A4, 8.00%, Due 4/25/2022....... 614 625
Green Tree Financial Corporation,
1993-3 A5, 5.75%, Due
10/15/2018..................... 990 969
Green Tree Financial Corporation,
1994-5 A2, 7.30%, Due
11/15/2019..................... 690 701
Green Tree Financial Corporation,
1996-8 A4, 7.00%, Due
10/15/2027..................... 1,300 1,327
Independent National Mortgage
Corporation, 1995-F A5, 8.25%,
Due 5/25/2010.................. 600 623
Independent National Mortgage
Corporation, 1995W A2, 7.25%
Due 2/25/2026.................. 1,500 1,435
The Money Store Home Equity
Trust, 7.66%, Due 8/15/2026.... 1,500 1,508
Residential Asset Securitization
Trust, 1996-A3 A11, 7.50%,
Due 7/25/2011.................. 976 994
Residential Funding Mortgage 1,
1993-S28 A4, 6.35%,
Due 8/25/2023.................. 300 296
--------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS................ 11,064
--------
CORPORATE BONDS - 10.13%
FINANCIAL - 5.12%
American General Financial,
7.25%, Due 5/15/2005........... 410 418
Associates Corporation of
North America 7.50%,
Due 5/15/1999.................. 80 82
BankAmerica Corporation, 7.50%,
Due 3/15/1997.................. 960 966
BankAmerica Corporation, 9.75%,
Due 7/1/2000................... 600 664
BankAmerica Corporation, 7.20%,
Due 4/15/2006.................. 1,280 1,294
Bankers Trust New York, 8.25%,
Due 5/1/2005................... 740 795
BanPonce, 7.30%,
Due 6/5/2002................... 640 657
Capital One Bank, 6.73%,
Due 6/4/1998................... 2,500 2,516
</TABLE>
See accompanying notes
23
<PAGE> 25
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Chase Manhattan Corporation,
7.625%, Due 1/15/2003.......... $ 200 $ 209
Chase Manhattan Corporation,
8.625%, Due 5/1/2002........... 700 763
Chemical Banking Corporation,
FRN, 6.2125%, Due 6/15/2000.... 2,300 2,309
Chemical New York Corporation,
9.75%, Due 6/15/2099........... 900 975
Countrywide Funding Corporation,
7.20%, Due 1/15/2006........... 2,190 2,218
Dean Witter Discover, 6.875%,
Due 3/1/2003................... 1,290 1,298
First Union Corporation, 7.05%,
Due 8/1/2005................... 840 841
Fleet Mortgage Group,
Incorporated, 6.125%,
Due 8/15/1997.................. 930 932
Ford Motor Credit Company, 9.25%,
Due 6/15/1998.................. 1,000 1,048
Ford Motor Credit Company, 7.95%,
Due 5/17/1999.................. 2,000 2,080
Ford Motor Credit Company, 8.20%,
Due 2/15/2002.................. 1,510 1,611
General Motors Acceptance
Corporation, 6.65%,
Due 5/24/2000.................. 2,700 2,719
General Motors Acceptance
Corporation, 6.75%,
Due 6/17/2002.................. 1,140 1,146
Health & Rehab, FRN, 6.9875%, Due
7/13/1999...................... 1,000 997
International Business Machines,
Incorporated, 7.00%,
Due 10/30/2025................. 1,290 1,242
Lehman Brothers Holding,
Incorporated, 7.41%,
Due 5/25/1999.................. 500 510
Lehman Brothers, 6.625%,
Due 2/15/2000.................. 570 568
Lehman Brothers, Incorporated,
5.04%, Due 12/15/2003.......... 1,000 1,004
National Bank Of Detroit, 7.125%,
Due 5/15/2007.................. 700 701
NationsBank Corporation, 7.00%,
Due 9/15/2001.................. 750 764
Paine Webber, 7.625%, Due
10/15/2008..................... 2,200 2,227
PNC Funding Corporation, 6.125%,
Due 9/1/2003................... 1,000 961
Salomon Incorporated, 7.05%,
Due 1/15/1998.................. 800 807
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Salomon Incorporated, 7.00%,
Due 1/20/1998.................. $ 390 $ 394
Salomon Incorporated, 5.53%,
Due 1/30/1998.................. 1,500 1,487
Salomon Incorporated, 6.04%,
Due 7/9/1998................... 625 622
Salomon Incorporated, 6.70%,
Due 12/1/1998.................. 390 393
Salomon Incorporated, 5.395%, Due
4/5/1999....................... 500 497
Society National Bank, 7.25%, Due
6/1/2005....................... 800 813
St. Paul Companies, 9.375%, Due
6/15/1997...................... 600 613
Taubman Realty Group, 8.00%, Due
6/15/1999...................... 2,000 2,038
Taubman Realty Group, 5.75%, Due
11/3/1997...................... 1,500 1,498
Travelers/Aetna P & C, 6.75%, Due
4/15/2001...................... 1,300 1,312
Westpac Banking Corporation,
7.875%, Due 10/15/2002......... 800 847
--------
TOTAL FINANCIAL.............. 45,836
--------
INDUSTRIAL - 3.17%
American Home Products, 7.70%,
Due 2/15/2000.................. 450 469
Atlantic Richfield Corporation,
8.50%, Due 4/1/2012............ 870 999
Atlantic Richfield Corporation,
8.75%, Due 3/1/2032............ 610 714
The Boeing Company, 8.625%, Due
11/15/2031..................... 620 724
Capital Cities/ABC, 8.875%, Due
12/15/2000..................... 1,000 1,086
CIT Group Holdings, 6.375%, Due
5/21/1999...................... 750 755
Coca-Cola Company, 6.625%, Due
10/1/2002...................... 1,000 1,007
Columbia/HCA Health, 7.69%, Due
6/15/2025...................... 730 756
Dresser Industries, 6.25%, Due
6/1/2000....................... 2,000 1,996
E.I. DuPont de Nemours &
Company, 6.75%,
Due 10/15/2002................. 1,000 1,013
Exxon Capital Corporation, 7.45%,
Due 12/15/2001................. 1,000 1,046
Heinz H.J. Company, 5.50%, Due
9/15/1997...................... 520 519
</TABLE>
See accompanying notes
24
<PAGE> 26
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Legrand, 8.50%,
Due 2/15/2025.................. $ 820 $ 917
Lockheed Martin Corporation,
7.45%, Due 6/15/2004........... 1,390 1,442
The May Department Store Company,
9.75%,
Due 2/15/2021.................. 400 468
News America Holdings, 9.25%, Due
2/1/2013....................... 710 800
Occidential Petroleum
Corporation, 8.50%, Due
9/15/2004...................... 2,000 2,109
Pepsico Incorporated, 7.00%, Due
11/15/1996..................... 550 550
Philip Morris Companies,
Incorporated, 8.25%, Due
10/15/2003..................... 640 685
Philip Morris Companies,
Incorporated, 8.375%, Due
1/15/2017...................... 625 640
Pohang Iron & Steel, 7.375%, Due
5/15/2005...................... 750 763
RJR Nabisco, 8.75%, Due
8/15/2005...................... 1,000 996
RJR Nabisco, 8.00%, Due
7/15/2001...................... 1,750 1,761
Sears Roebuck Acceptance, 6.82%,
Due 10/17/2002................. 2,710 2,724
Sysco Corporation, 7.00%, Due
5/1/2006....................... 1,000 1,012
Tenneco, Incorporated, 10.00%,
Due 8/1/1998................... 1,000 1,063
Texaco Cap, MTN, 6.19%, Due
7/9/2003....................... 750 727
WMX Technologies, 6.22%, Due
4/30/2004...................... 590 631
--------
TOTAL INDUSTRIAL............. 28,372
--------
UTILITY - 0.32%
General Telephone Southwest,
Incorporated, 8.50%, Due
11/15/2031..................... 600 677
Pacific Bell Telephone, 8.70%,
Due 6/15/2001.................. 670 727
Southern California Edison
Company, 8.25%, Due
2/1/2000....................... 1,425 1,501
--------
TOTAL UTILITY................ 2,905
--------
FOREIGN BONDS - 1.52%
ABN AMRO, 7.27%, Due 5/31/2005... 690 704
ANZ Banking, 6.25%, Due
2/1/2004....................... 770 737
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
BCH Cayman Islands Limited,
7.70%, Due 7/15/2006........... $ 850 $ 875
Hanson Overseas, 7.375%, Due
1/15/2003...................... 600 617
Hydro-Quebec, 7.375%, Due
2/1/2003....................... 400 414
Hydro-Quebec, 9.40%, Due
2/1/2021....................... 1,800 2,160
Hydro-Quebec, 8.875%, Due
3/1/2026....................... 1,200 1,376
Kansallis-Osake-Pankki Bank,
10.00%, Due 5/1/2002........... 810 924
Korea Development Bank, 5.875%,
Due 12/1/1998.................. 100 99
Korea Development Bank, 6.25%,
Due 5/1/2000................... 770 765
Midland Bank PLC, 7.625%, Due
6/15/2006...................... 910 946
Province of Newfoundland, 9.875%,
Due 6/1/2020................... 250 314
Province of Quebec, 8.80%, Due
4/15/2003...................... 335 371
Province of Quebec, 5.735%, Due
3/2/2026....................... 890 864
Santander Financial Issuance
Limited, 7.75%, Due
5/15/2005...................... 250 260
Santander Financial Issuance
Limited, 7.00%, Due 4/1/2006... 460 457
Svenska Handelsbanken, 8.35%, Due
7/15/2004...................... 740 804
Swiss Bank Corporation, 7.50%,
Due 7/15/2025.................. 950 957
--------
TOTAL FOREIGN BONDS.......... 13,644
--------
TOTAL CORPORATE BONDS........ 90,757
--------
Shares
--------
COMMON STOCK - 56.85%
FOREIGN STOCKS - 1.19%
Arthur Guinness & Sons, ADR...... 24,700 885
British Petroleum PLC, ADR....... 10,000 1,286
British Telecom PLC, ADR......... 22,300 1,285
Ciba-Geigy AG.................... 30,000 1,855
Elf Aquitane SA.................. 36,100 1,449
Hanson PLC, ADR.................. 301,300 1,921
Imperial Tobacco Group PLC....... 30,000 350
Royal Dutch Petroleum Company,
New York Registry.............. 10,000 1,654
--------
TOTAL FOREIGN STOCKS......... 10,685
--------
</TABLE>
See accompanying notes
25
<PAGE> 27
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
CONSUMER STAPLES - 9.05%
<S> <C> <C>
DEPARTMENT AND MAIL ORDER - 1.37%
J.C. Penney Company,
Incorporated................... 96,075 $ 5,044
K Mart Corporation............... 359,600 3,506
The May Department Store
Company........................ 32,500 1,540
Sears Roebuck & Company.......... 45,000 2,177
--------
TOTAL DEPARTMENT AND MAIL
ORDER...................... 12,267
--------
DISTILLERS AND BREWERS - 0.66%
Anheuser-Busch Companies,
Incorporated................... 123,000 4,736
Brown-Foreman, Incorporated...... 26,700 1,155
--------
TOTAL DISTILLERS AND
BREWERS.................... 5,891
--------
DRUGS AND HOSPITAL SUPPLY - 2.50%
American Home Products
Corporation.................... 82,100 5,029
Baxter International,
Incorporated................... 55,000 2,289
Bristol-Myers Squibb Company..... 48,600 5,139
Horizon / CMS Healthcare
Corporation.................... 120,675 1,252
Merck & Company, Incorporated.... 35,000 2,594
Pharmacia & Upjohn,
Incorporated................... 47,300 1,703
Warner Lambert, Incorporated..... 68,700 4,371
--------
TOTAL DRUGS AND HOSPITAL
SUPPLY..................... 22,377
--------
FOOD PROCESSING - 0.23%
Archer Daniels Midland Company... 94,500 2,055
--------
TOTAL FOOD PROCESSING........ 2,055
--------
FOODS - 0.16%
Nabisco Holdings Corporation,
Class A........................ 37,900 1,412
--------
TOTAL FOODS.................. 1,412
--------
LEISURE - 0.36%
Hasbro, Incorporated............. 35,200 1,368
King World Productions,
Incorporated (non-income
producing)..................... 11,200 403
Toys R Us, Incorporated.......... 44,500 1,507
--------
TOTAL LEISURE................ 3,278
--------
PHOTOGRAPHY - 1.14%
Eastman Kodak Company............ 127,900 10,200
--------
TOTAL PHOTOGRAPHY............ 10,200
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
PUBLISHING - 0.26%
A.H. Belo, Incorporated, Class
A.............................. 60,700 $ 2,367
--------
TOTAL PUBLISHING............. 2,367
--------
TOBACCO - 2.37%
American Brands, Incorporated.... 91,400 4,364
Philip Morris Companies,
Incorporated................... 152,389 14,115
RJR Nabisco Holdings............. 95,700 2,763
--------
TOTAL TOBACCO................ 21,242
--------
TOTAL CONSUMER STAPLES....... 81,089
--------
INTEREST SENSITIVE - 21.77%
BANKS - 7.37%
Bank America Corporation......... 152,000 13,908
Bank of Boston Corporation....... 40,000 2,560
Bankers Trust Company New York... 19,400 1,639
Chase Manhattan Corporation...... 196,200 16,824
Corestates Financial
Corporation.................... 16,000 778
First Chicago NBD................ 130,681 6,665
First of America Bank
Corporation.................... 50,000 2,719
First Security Corporation....... 60,000 1,763
First Union Corporation.......... 20,000 1,455
Fleet Financial Group,
Incorporated................... 25,000 1,247
J.P. Morgan & Company,
Incorporated................... 33,000 2,850
Norwest Corporation.............. 183,900 8,069
PNC Bank Corporation............. 115,000 4,169
Wells Fargo and Company.......... 5,000 1,336
--------
TOTAL BANKS.................. 65,982
--------
BUILDING AND MATERIALS - 0.42%
PPG Industries, Incorporated..... 66,500 3,791
--------
TOTAL BUILDING AND
MATERIALS.................. 3,791
--------
FINANCE - 0.68%
Beneficial Corporation........... 35,000 2,048
Household International,
Incorporated................... 30,000 2,655
Paine Webber Group,
Incorporated................... 58,900 1,384
--------
TOTAL FINANCE................ 6,087
--------
</TABLE>
See accompanying notes
26
<PAGE> 28
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
INSURANCE - LIFE AND
MULTI-LINE - 2.58%
Aetna Incorporated............... 75,600 $ 5,056
American Financial Group,
Incorporated................... 12,600 452
American General Corporation..... 26,000 969
Aon Corporation.................. 114,300 6,601
Lincoln National Corporation..... 45,000 2,183
Old Republic International
Corporation.................... 121,000 2,995
Travelers Corporation............ 89,503 4,856
--------
TOTAL INSURANCE - LIFE AND
MULTI-LINE................. 23,112
--------
INSURANCE - PROPERTY AND
CASUALTY - 1.32%
Allstate Corporation............. 113,300 6,359
Chubb Corporation................ 20,000 1,000
St. Paul Companies............... 60,000 3,263
TIG Holdings, Incorporated....... 42,000 1,213
--------
TOTAL INSURANCE - PROPERTY
AND CASUALTY............... 11,835
--------
SAVINGS AND LOAN - 0.48%
Great Western Financial
Corporation.................... 75,000 2,100
H.F. Ahmanson & Company.......... 70,000 2,196
--------
TOTAL SAVINGS AND LOAN....... 4,296
--------
UTILITIES - ELECTRIC - 3.56%
Central and Southwest
Corporation.................... 48,500 1,285
CMS Energy Corporation........... 60,000 1,898
DTE Energy Company............... 83,700 2,521
Edison International............. 80,000 1,580
Entergy Corporation.............. 383,000 10,724
Illinova Corporation............. 60,000 1,635
Northeast Utilities.............. 287,400 3,090
Potomac Electric Power........... 23,900 612
PP&L Resources, Incorporated..... 25,000 584
Public Service Enterprise Group,
Incorporated................... 45,400 1,220
Rochester Gas and Electric,
Incorporated................... 30,000 559
Unicom Corporation............... 238,100 6,191
--------
TOTAL UTILITIES - ELECTRIC... 31,899
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
UTILITIES - NATURAL GAS - 1.95%
Consolidated Natural Gas
Company........................ 149,200 $ 7,926
Panenergy Corporation............ 193,500 7,450
Peoples Energy Corporation....... 58,000 2,045
--------
TOTAL UTILITIES - NATURAL
GAS........................ 17,421
--------
UTILITIES - TELEPHONE - 1.35%
AT&T Corporation................. 30,000 1,046
NYNEX Corporation................ 32,000 1,424
Pacific Telesis Group,
Incorporated................... 96,500 3,281
SBC Communications............... 14,400 700
US West, Incorporated............ 184,200 5,595
--------
TOTAL UTILITIES -
TELEPHONE.................. 12,046
--------
MISCELLANEOUS - INTEREST
SENSITIVE - 2.06%
American Express Company......... 205,600 9,663
Dean Witter Discover & Company... 22,600 1,331
Federal Home Loan Mortgage
Corporation.................... 20,800 2,101
Federal National Mortgage
Association.................... 117,200 4,585
Fund American Enterprises,
Incorporated................... 8,800 789
--------
TOTAL MISCELLANEOUS -
INTEREST SENSITIVE......... 18,469
--------
TOTAL INTEREST
SENSITIVE.................. 194,938
--------
CONSUMER CYCLICALS - 3.55%
AUTOMOBILE AND TRUCK - 3.27%
Dana Corporation................. 208,200 6,168
Eaton Corporation................ 25,000 1,494
Ford Motor Company............... 408,200 12,756
General Motors Corporation....... 164,800 8,879
--------
TOTAL AUTOMOBILE AND TRUCK... 29,297
--------
ELECTRICAL HOUSEHOLD
EQUIPMENT - 0.13%
Whirlpool Corporation............ 24,400 1,153
--------
TOTAL ELECTRICAL HOUSEHOLD
EQUIPMENT.................. 1,153
--------
</TABLE>
See accompanying notes
27
<PAGE> 29
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
TIRE AND RUBBER - 0.15%
Goodyear Tire & Rubber
Company........................ 28,800 $ 1,321
--------
TOTAL TIRE AND RUBBER........ 1,321
--------
TOTAL CONSUMER CYCLICALS..... 31,771
--------
INTERMEDIATE GOODS & SERVICES - 13.37%
CHEMICALS - 1.60%
ARCO Chemical Company............ 35,000 1,671
Dow Chemical..................... 27,000 2,099
E.I. DuPont de Nemours &
Company........................ 27,000 2,504
Eastman Chemical Company......... 38,900 2,052
FMC Corporation (non-income
producing)..................... 58,300 4,292
Olin Corporation................. 40,000 1,700
--------
TOTAL CHEMICALS.............. 14,318
--------
FOREST PRODUCTS - 1.28%
Boise Cascade Corporation........ 46,700 1,448
Georgia-Pacific Corporation...... 15,000 1,125
International Paper Company...... 55,000 2,351
Louisiana Pacific Corporation.... 59,200 1,236
Mead Corporation................. 12,000 681
Millenium Chemicals,
Incorporated................... 31,172 631
Union Camp Corporation........... 40,000 1,950
Weyerhaeuser Company............. 45,000 2,064
--------
TOTAL FOREST
PRODUCTS................... 11,486
--------
METALS - ALUMINUM - 0.39%
Alumax, Incorporated............. 43,000 1,381
Aluminum Company of America...... 36,000 2,111
--------
TOTAL METALS - ALUMINUM...... 3,492
--------
NATURAL GAS TRANSMISSION - 0.20%
Coastal Corporation.............. 40,700 1,750
--------
TOTAL NATURAL GAS
TRANSMISSION............... 1,750
--------
OIL - 6.40%
Amoco Corporation................ 120,500 9,128
Ashland, Incorporated............ 50,000 2,125
Atlantic Richfield Corporation... 15,000 1,988
Chevron Corporation.............. 30,000 1,973
Exxon Corporation................ 62,600 5,548
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Louisiana Land and Exploration
Company........................ 25,400 $ 1,445
Mobil Corporation................ 10,000 1,168
Phillips Petroleum Company....... 217,300 8,909
Tenneco, Incorporated............ 205,000 10,148
Texaco, Incorporated............. 82,900 8,425
Ultramar Corporation............. 70,000 2,004
Union Pacific Resources Group,
Incorporated................... 78,600 2,162
Union Texas Petroleum Holdings,
Incorporated................... 105,700 2,259
--------
TOTAL OIL.................... 57,282
--------
OIL SERVICE - 0.45%
Baker Hughes, Incorporated....... 113,200 4,033
--------
TOTAL OIL SERVICE............ 4,033
--------
TRANSPORTATION - 1.71%
Conrail, Incorporated............ 17,500 1,665
CSX Corporation.................. 120,300 5,188
Norfolk Southern Corporation..... 77,100 6,872
Ryder Systems, Incorporated...... 55,000 1,636
--------
TOTAL TRANSPORTATION......... 15,361
--------
MISCELLANEOUS - INTERMEDIATE
GOODS & SERVICES - 1.34%
Browning-Ferris Industries....... 71,500 1,877
Dresser Industries,
Incorporated................... 146,700 4,823
Federal-Mogul Corporation........ 46,200 1,034
GATX Corporation................. 40,000 1,910
LTV Corporation.................. 30,200 310
Mapco, Incorporated.............. 33,800 1,052
USX-US Steel Group............... 35,400 965
--------
TOTAL MISCELLANEOUS -
INTERMEDIATE GOODS &
SERVICES................... 11,971
--------
TOTAL INTERMEDIATE GOODS &
SERVICES................... 119,693
--------
CAPITAL GOODS - 7.92%
AEROSPACE - 4.27%
Allegheny Teledyne,
Incorporated................... 23,100 494
Coltec Industries, Incorporated
(non-income producing)......... 120,700 2,082
Harsco Corporation............... 30,000 1,916
Lockheed Martin Corporation...... 102,299 9,169
Northrop Corporation............. 25,000 2,019
Raytheon Company................. 209,300 10,308
Rockwell International
Corporation.................... 40,000 2,200
</TABLE>
See accompanying notes
28
<PAGE> 30
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Textron, Incorporated............ 70,100 $ 6,221
Thiokol Corporation.............. 45,400 1,901
United Technologies
Corporation.................... 15,000 1,931
--------
TOTAL AEROSPACE.............. 38,241
--------
ELECTRICAL EQUIPMENT - 1.32%
General Electric Corporation..... 25,000 2,419
Honeywell, Incorporated.......... 40,300 2,504
ITT Industries, Incorporated..... 119,500 2,778
Sunbeam-Oster Company............ 57,500 1,416
Westinghouse Electric
Corporation.................... 157,400 2,695
--------
TOTAL ELECTRICAL EQUIPMENT... 11,812
--------
ELECTRONICS - INDUSTRIAL - 0.29%
Advanced Micro Devices........... 72,700 1,290
Lam Research Corporation......... 25,000 609
Teradyne, Incorporated........... 43,400 689
--------
TOTAL ELECTRONICS -
INDUSTRIAL................. 2,588
--------
MACHINERY - 0.37%
Caterpillar Tractor Company...... 8,600 590
Deere and Company................ 42,000 1,754
Tecumseh Products Company........ 17,900 1,007
--------
TOTAL MACHINERY.............. 3,351
--------
NEWSPAPERS-PUBLISHING & PRINTING - 0.15%
Gannett Company.................. 17,800 1,351
--------
TOTAL NEWSPAPERS-PUBLISHING &
PRINTING................... 1,351
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
OFFICE EQUIPMENT - 1.52%
Apple Computer, Incorporated..... 23,400 $ 538
International Business Machines
Corporation.................... 26,900 3,470
Storage Tech Group............... 45,200 1,927
Xerox Corporation................ 164,700 7,638
--------
TOTAL OFFICE
EQUIPMENT.................. 13,573
--------
TOTAL CAPITAL GOODS.......... 70,916
--------
TOTAL COMMON STOCK........... 509,092
--------
<CAPTION>
Par
Amount
--------
<S> <C> <C>
SHORT-TERM INVESTMENTS (NOTE A) - 2.53%
Bank Brussells Lambert Euro TD,
6.00%, Due 11/1/1996........... $8,453 8,453
Bank of Tokyo Mitsubishi,
Limited, YCD, 5.60%, Due
11/14/1996..................... 1,000 10,000
Dai-Ichi Kangyo Bank, Limited,
BA, 5.45%, Due 11/20/1996...... 4,200 4,200
--------
TOTAL SHORT-TERM
INVESTMENTS................ 22,653
--------
TOTAL INVESTMENTS - 100.59%
(COST $764,769)................ 900,785
--------
LIABILITIES, NET OF OTHER
ASSETS - (0.59%)............... (5,303)
--------
TOTAL NET ASSETS - 100%.......... $895,482
=========
</TABLE>
- ---------------
Based on the cost of investments of $766,140 for federal income tax purposes at
October 31, 1996, the aggregate gross unrealized appreciation was $143,793, the
aggregate gross unrealized depreciation was $9,148 and the net unrealized
appreciation of investments was $134,645.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
ADR - American Depositary Receipt
AG - Company
BA - Bankers Acceptance
FRN - Floating Rate Note
MTN - Medium Term Note
PLC - Public Limited Corporation
SA - Company
TBA - To Be Announced
TD - Time Deposit
YCD - Yankee Certificate of Deposit
See accompanying notes
29
<PAGE> 31
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
COMMON STOCK - 97.08%
FOREIGN STOCKS - 3.20%
Arthur Guinness & Sons, ADR... 197,000 $ 7,057
British Petroleum PLC, ADR.... 33,000 4,244
British Telecom PLC, ADR...... 40,100 2,310
Ciba-Geigy AG................. 35,000 2,164
Elf Aquitane SA............... 48,100 1,930
Exel Limited.................. 150,000 5,700
Hanson PLC, ADR............... 1,021,400 6,511
Imperial Tobacco Group PLC.... 108,400 1,265
Royal Dutch Petroleum Company,
New York
Registry.................... 27,000 4,465
----------
TOTAL FOREIGN STOCKS...... 35,646
----------
CONSUMER STAPLES - 16.67%
DEPARTMENT AND MAIL ORDER - 2.12%
J.C. Penney Company,
Incorporated................ 272,600 14,312
K Mart Corporation............ 359,400 3,504
The May Department Store
Company..................... 60,000 2,843
Sears Roebuck & Company....... 60,000 2,903
----------
TOTAL DEPARTMENT AND MAIL
ORDER................... 23,562
----------
DISTILLERS AND BREWERS - 1.35%
Anheuser-Busch Companies,
Incorporated................ 197,200 7,592
Brown-Foreman, Incorporated... 171,400 7,413
----------
TOTAL DISTILLERS AND
BREWERS................. 15,005
----------
DRUGS AND HOSPITAL SUPPLY - 4.19%
American Home Products
Corporation................. 109,300 6,694
Baxter International,
Incorporated................ 65,000 2,705
Bristol-Myers Squibb
Company..................... 159,700 16,888
Horizon / CMS Healthcare
Corporation................. 509,700 5,288
Merck & Company,
Incorporated................ 60,000 4,447
Pharmacia & Upjohn,
Incorporated................ 87,800 3,160
Warner Lambert,
Incorporated................ 116,300 7,400
----------
TOTAL DRUGS AND HOSPITAL
SUPPLY.................. 46,582
----------
FOOD PROCESSING - 0.18%
Archer Daniels Midland
Company..................... 81,900 1,781
Heinz H.J. Company............ 5,000 178
----------
TOTAL FOOD PROCESSING..... 1,959
----------
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
FOODS - 0.71%
Nabisco Holdings Corporation,
Class A..................... 212,900 $ 7,931
----------
TOTAL FOODS............... 7,931
----------
LEISURE - 1.28%
Hasbro, Incorporated.......... 203,400 7,907
King World Productions,
Incorporated (non-income
producing).................. 66,900 2,408
Toys R Us, Incorporated....... 116,700 3,953
----------
TOTAL LEISURE............. 14,268
----------
PHOTOGRAPHY - 1.57%
Eastman Kodak Company......... 218,600 17,433
----------
TOTAL PHOTOGRAPHY......... 17,433
----------
PUBLISHING - 0.82%
A.H. Belo, Incorporated, Class
A........................... 235,600 9,188
----------
TOTAL PUBLISHING.......... 9,188
----------
TOBACCO - 4.32%
American Brands,
Incorporated................ 138,900 6,632
Philip Morris Companies,
Incorporated................ 346,600 32,104
RJR Nabisco Holdings.......... 322,520 9,313
----------
TOTAL TOBACCO............. 48,049
----------
MISCELLANEOUS - CONSUMER STAPLES - 0.13%
Gibson Greetings,
Incorporated................ 90,550 1,415
----------
TOTAL MISCELLANEOUS -
CONSUMER STAPLES........ 1,415
----------
TOTAL CONSUMER STAPLES.... 185,392
----------
INTEREST SENSITIVE - 33.40%
BANKS - 10.35%
Bank America Corporation...... 272,700 24,952
Bank of Boston Corporation.... 52,000 3,328
Bankers Trust Company New
York........................ 92,000 7,774
Chase Manhattan Corporation... 290,614 24,920
Corestates Financial
Corporation................. 33,000 1,605
First Chicago NBD............. 227,965 11,626
First of America Bank
Corporation................. 70,000 3,806
First Security Corporation.... 120,500 3,540
First Union Corporation....... 17,000 1,237
Fleet Financial Group,
Incorporated................ 55,000 2,743
J.P. Morgan & Company,
Incorporated................ 92,600 7,998
NationsBank Corporation....... 130,000 12,253
</TABLE>
See accompanying notes
30
<PAGE> 32
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
PNC Bank Corporation.......... 219,600 $ 7,961
Wells Fargo and Company....... 5,000 1,336
----------
TOTAL BANKS............... 115,079
----------
BUILDING AND MATERIALS - 0.58%
PPG Industries,
Incorporated................ 113,100 6,447
----------
TOTAL BUILDING AND
MATERIALS............... 6,447
----------
FINANCE - 0.84%
Beneficial Corporation........ 60,000 3,510
Household International,
Incorporated................ 45,000 3,983
Paine Webber Group,
Incorporated................ 79,300 1,864
----------
TOTAL FINANCE............. 9,357
----------
INSURANCE - LIFE AND MULTI-LINE - 4.42%
Aetna, Incorporated........... 170,400 11,396
American Financial Group,
Incorporated................ 47,950 1,720
American General
Corporation................. 61,000 2,272
Aon, Corporation.............. 181,400 10,476
Lincoln National
Corporation................. 80,000 3,880
Old Republic International
Corporation................. 370,900 9,180
TransAmerica Corporation...... 50,000 3,794
Travelers Corporation......... 118,344 6,420
----------
TOTAL INSURANCE - LIFE AND
MULTI-LINE.............. 49,138
----------
INSURANCE - PROPERTY AND CASUALTY - 1.55%
Allstate Corporation.......... 182,825 10,261
Chubb Corporation............. 5,000 250
St. Paul Companies............ 76,500 4,160
TIG Holdings, Incorporated.... 88,000 2,541
----------
TOTAL INSURANCE - PROPERTY
AND CASUALTY............ 17,212
----------
SAVINGS AND LOAN - 0.52%
Great Western Financial
Corporation................. 100,000 2,800
H.F. Ahmanson & Company....... 95,000 2,981
----------
TOTAL SAVINGS AND LOAN.... 5,781
----------
UTILITIES - ELECTRIC - 6.33%
Central And Southwest
Corporation................. 175,000 4,638
CMS Energy Corporation........ 130,000 4,111
DTE Energy Company............ 233,800 7,043
Edison International.......... 187,500 3,703
Entergy Corporation........... 774,600 21,689
Illinova Corporation.......... 90,000 2,453
New York State Electric & Gas
Corporation................. 70,000 1,461
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
Northeast Utilities........... 480,900 $ 5,170
Peco Energy Company........... 100,000 2,525
Potomac Electric Power........ 48,500 1,243
PP&L Resources,
Incorporated................ 65,000 1,519
Public Service Enterprise
Group, Incorporated......... 172,100 4,625
Rochester Gas and Electric,
Incorporated................ 45,000 838
Unicom Corporation............ 359,300 9,342
----------
TOTAL UTILITIES -
ELECTRIC................ 70,360
----------
UTILITIES - NATURAL GAS - 2.89%
Consolidated Natural Gas
Company..................... 273,300 14,519
Panenergy Corporation......... 399,500 15,381
Peoples Energy Corporation.... 65,000 2,291
----------
TOTAL UTILITIES - NATURAL
GAS..................... 32,191
----------
UTILITIES - TELEPHONE - 1.99%
AT&T Corporation.............. 47,500 1,657
NYNEX Corporation............. 100,000 4,450
Pacific Telesis Group,
Incorporated................ 160,200 5,447
SBC Communications............ 19,400 943
US West, Incorporated......... 318,900 9,687
----------
TOTAL UTILITIES -
TELEPHONE............... 22,184
----------
MISCELLANEOUS - INTEREST SENSITIVE - 3.93%
American Express Company...... 347,000 16,309
Dean Witter Discover &
Company..................... 56,200 3,309
Federal Home Loan Mortgage
Corporation................. 78,600 7,939
Federal National Mortgage
Association................. 317,900 12,438
Fund American Enterprises,
Incorporated................ 41,375 3,708
----------
TOTAL MISCELLANEOUS -
INTEREST SENSITIVE...... 43,703
----------
TOTAL INTEREST
SENSITIVE............... 371,452
----------
CONSUMER CYCLICALS - 5.64%
AUTOMOBILE AND TRUCK - 5.05%
Dana Corporation.............. 414,800 12,288
Eaton Corporation............. 76,800 4,589
Ford Motor Company............ 739,100 23,097
General Motors Corporation.... 300,800 16,206
----------
TOTAL AUTOMOBILE AND
TRUCK................... 56,180
----------
</TABLE>
See accompanying notes
31
<PAGE> 33
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
ELECTRICAL HOUSEHOLD EQUIPMENT - 0.23%
Whirlpool Corporation......... 55,000 $ 2,599
----------
TOTAL ELECTRICAL HOUSEHOLD
EQUIPMENT............... 2,599
----------
TIRE AND RUBBER - 0.36%
Goodyear Tire & Rubber
Company..................... 87,000 3,991
----------
TOTAL TIRE AND RUBBER..... 3,991
----------
TOTAL CONSUMER
CYCLICALS............... 62,770
----------
INTERMEDIATE GOODS & SERVICES - 23.90%
CHEMICALS - 2.82%
ARCO Chemical Company......... 60,000 2,865
Dow Chemical.................. 40,000 3,110
E.I. DuPont de Nemours &
Company..................... 47,000 4,359
Eastman Chemical Company...... 101,775 5,369
FMC Corporation (non-income
producing).................. 178,200 13,120
Olin Corporation.............. 60,000 2,550
----------
TOTAL CHEMICALS........... 31,373
----------
FOREST PRODUCTS - 2.10%
Boise Cascade Corporation..... 110,000 3,410
Georgia-Pacific Corporation... 50,000 3,750
International Paper Company... 80,000 3,420
Louisiana Pacific
Corporation................. 111,400 2,325
Mead Corporation.............. 24,000 1,362
Millenium Chemicals,
Incorporated................ 82,672 1,674
Union Camp Corporation........ 77,300 3,768
Weyerhaeuser Company.......... 80,000 3,670
----------
TOTAL FOREST PRODUCTS..... 23,379
----------
METALS - ALUMINUM - 0.49%
Alumax, Incorporated.......... 74,800 2,403
Aluminum Company of America... 52,000 3,049
----------
TOTAL METALS - ALUMINUM... 5,452
----------
NATURAL GAS TRANSMISSION -
0.43%
Coastal Corporation........... 111,200 4,782
----------
TOTAL NATURAL GAS
TRANSMISSION............ 4,782
----------
OIL - 12.58%
Amoco Corporation............. 207,700 15,733
Ashland, Incorporated......... 90,000 3,825
Atlantic Richfield
Corporation................. 145,400 19,266
Chevron Corporation........... 55,000 3,616
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
Exxon Corporation............. 117,100 $ 10,378
Louisiana Land and Exploration
Company..................... 113,325 6,445
Mobil Corporation............. 21,500 2,510
Phillips Petroleum Company.... 399,300 16,371
Tenneco, Incorporated......... 375,700 18,597
Texaco, Incorporated.......... 210,000 21,341
Ultramar Corporation.......... 120,000 3,435
Union Pacific Resources Group,
Incorporated................ 267,700 7,362
Union Texas Petroleum
Holdings, Incorporated...... 360,800 7,712
USX-Marathon Group............ 150,000 3,281
----------
TOTAL OIL................. 139,872
----------
OIL SERVICE - 0.59%
Baker Hughes, Incorporated.... 185,200 6,598
----------
TOTAL OIL SERVICE......... 6,598
----------
TRANSPORTATION - 2.53%
Conrail, Incorporated......... 35,000 3,329
CSX Corporation............... 209,100 9,017
Norfolk Southern
Corporation................. 145,600 12,977
Ryder Systems, Incorporated... 93,000 2,767
----------
TOTAL TRANSPORTATION...... 28,090
----------
MISCELLANEOUS - INTERMEDIATE GOODS & SERVICES - 2.36%
Browning-Ferris Industries.... 129,300 3,394
Dresser Industries,
Incorporated................ 229,800 7,555
Federal-Mogul Corporation..... 96,100 2,150
GATX Corporation.............. 70,000 3,343
Mapco, Incorporated........... 224,600 6,991
LTV Corporation............... 67,400 691
USX-US Steel Group............ 76,200 2,076
----------
TOTAL MISCELLANEOUS -
INTERMEDIATE GOODS &
SERVICES................ 26,200
----------
TOTAL INTERMEDIATE GOODS &
SERVICES................ 265,746
----------
CAPITAL GOODS - 14.27%
AEROSPACE - 8.46%
Allegheny Teledyne,
Incorporated................ 266,323 5,693
Coltec Industries,
Incorporated (non-income
producing).................. 465,700 8,033
Harsco Corporation............ 55,000 3,513
Lockheed Martin Corporation... 231,994 20,792
Northrop Corporation.......... 45,000 3,634
Raytheon Company.............. 484,200 23,847
Rockwell International
Corporation................. 60,000 3,300
</TABLE>
See accompanying notes
32
<PAGE> 34
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
Textron, Incorporated......... 170,900 $ 15,167
Thiokol Corporation........... 149,200 6,248
United Technologies
Corporation................. 30,000 3,863
----------
TOTAL AEROSPACE........... 94,090
----------
ELECTRICAL EQUIPMENT - 1.86%
General Electric
Corporation................. 7,700 745
Honeywell, Incorporated....... 91,200 5,666
ITT Industries,
Incorporated................ 208,800 4,855
Sunbeam-Oster Company......... 201,100 4,952
Westinghouse Electric
Corporation................. 260,700 4,464
----------
TOTAL ELECTRICAL
EQUIPMENT............... 20,682
----------
ELECTRONICS - INDUSTRIAL - 0.40%
Advanced Micro Devices........ 135,000 2,396
Lam Research Corporation...... 30,000 731
Teradyne, Incorporated........ 85,200 1,353
----------
TOTAL ELECTRONICS -
INDUSTRIAL.............. 4,480
----------
MACHINERY - 0.93%
Caterpillar Tractor Company... 17,900 1,228
Deere and Company............. 90,000 3,758
Tecumseh Products Company..... 94,400 5,310
----------
TOTAL MACHINERY........... 10,296
----------
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
OFFICE EQUIPMENT - 2.62%
Apple Computer,
Incorporated................ 47,700 $ 1,097
International Business
Machines Corporation........ 54,400 7,018
Storage Tech Group............ 92,400 3,939
Xerox Corporation............. 369,200 17,122
----------
TOTAL OFFICE EQUIPMENT.... 29,176
----------
TOTAL CAPITAL GOODS....... 158,724
----------
TOTAL COMMON
STOCK................... 1,079,730
----------
<CAPTION>
Par
Amount
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (NOTE A) - 3.07%
Bank Brussells Lambert
Eurodollar TD, 6.00%, Due
11/1/1996................... $ 14,112 14,112
Bank of Tokyo-Mitsubishi,
Limited, YCD, 5.60%, Due
11/14/1996.................. 20,000 20,000
----------
TOTAL SHORT-TERM
INVESTMENTS............. 34,112
----------
TOTAL INVESTMENTS - 100.15%
(COST $880,481)............. 1,113,842
----------
LIABILITIES, NET OF OTHER
ASSETS - (0.15%)............ (1,685)
----------
TOTAL NET ASSETS - 100%....... $1,112,157
==========
</TABLE>
- ---------------
Based on the cost of investments of $882,056 for federal income tax purposes at
October 31, 1996, the aggregate gross unrealized appreciation was $250,652, the
aggregate gross unrealized depreciation was $18,866, and the net unrealized
appreciation of investments was $231,786.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
ADR - American Depositary Receipt
AG - Company
PLC - Public Limited Corporation
SA - Company
TD - Time Deposit
YCD - Yankee Certificate of Deposit
See accompanying notes
33
<PAGE> 35
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
AUSTRALIA COMMON STOCK - 5.25%
Australia & New Zealand
Banking Group.............. 799,577 $ 4,673
Brambles Industries,
Limited.................... 192,200 3,186
Burns Philip & Company,
Limited.................... 400,000 634
CSR, Limited................. 460,000 1,547
Coles Myer Limited
Australian................. 361,000 1,320
GIO Australia Holdings,
Limited.................... 470,271 1,212
Goodman Fielder Limited...... 1,150,000 1,350
News Corporation, Limited.... 210,000 1,196
News Corporation Preferred
Rights..................... 155,000 682
Pacific Dunlop, Limited...... 401,000 890
Pioneer International,
Limited.................... 860,000 2,292
QBE Insurance Group,
Limited.................... 429,197 2,274
--------
TOTAL AUSTRALIA COMMON
STOCKS................. 21,256
--------
AUSTRIA COMMON STOCKS - 1.22%
Boehler-Uddeholm............. 27,500 2,057
Evn Energie-Versorgung
Niederroesterreich AG...... 3,960 537
Mayr-Melnhof Karton AG....... 16,000 786
VA Technologie AG............ 11,000 1,539
--------
TOTAL AUSTRIA COMMON
STOCKS................. 4,919
--------
BELGIUM COMMON STOCKS - 0.88%
Arbed, SA (non-income
producing)................. 2,200 258
GIB Holdings, Limited, NPV... 14,800 624
Groupe Bruxelles Lambert,
SA......................... 11,759 1,461
Solvay Et Cie, NPV........... 2,000 1,197
--------
TOTAL BELGIUM COMMON
STOCKS................. 3,540
--------
CANADA COMMON STOCKS - 2.61%
Anderson Exploration
Limited.................... 115,000 1,338
Bank of Nova Scotia.......... 62,439 1,967
Canadian Imperial Bank of
Commerce................... 60,000 2,494
IMASCO, Limited.............. 119,000 2,764
Noranda, Incorporated........ 62,500 1,375
Wascana Energy, Incorporated
(non-income producing)..... 60,000 631
--------
TOTAL CANADA COMMON
STOCKS................. 10,569
--------
DENMARK COMMON STOCKS - 1.07%
Den Danske Bank.............. 16,000 1,148
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
Novo Nordisk AS "B".......... 8,000 $ 1,332
Unidanmark AS, "A"........... 40,000 1,845
--------
TOTAL DENMARK COMMON
STOCKS................. 4,325
--------
FINLAND COMMON STOCKS - 2.78%
Enso-Gutzeit OY.............. 170,000 1,332
Huhtamaki Group I Free....... 28,100 1,222
Merita Bank, Limited......... 785,000 2,321
Metsa-Serla OY............... 100,000 695
Nokia OY "A"................. 55,700 2,574
UPM-Kymmene OY............... 152,500 3,096
--------
TOTAL FINLAND COMMON
STOCKS................. 11,240
--------
FRANCE COMMON STOCKS - 8.20%
Adecco SA.................... 3,855 1,093
Alcatel Alsthom CG........... 20,000 1,707
Assurances Generales de
France..................... 11,850 350
Axa SA....................... 18,542 1,159
Banque Nationale de Paris.... 66,213 2,480
Bongrain SA.................. 1,870 758
Credit Lyonnais-CDI (non-
income producing).......... 9,100 249
Elf Aquitaine SA............. 67,300 5,386
Groupe Danone................ 8,950 1,226
La Farge-Coppee SA........... 63,323 3,803
La France SA................. 9,000 2,229
Pechiney SA.................. 18,800 808
Peugot SA.................... 11,000 1,148
Rhone-Poulenc "A"............ 50,000 1,483
Sa Des Galeries Lafayette.... 162 58
Saint Gobain................. 11,234 1,517
Thomson CSF.................. 10,900 340
Total Petroleum Company "B".. 43,954 3,441
Usinor Sacilor............... 170,000 2,524
Valeo SA..................... 23,600 1,417
--------
TOTAL FRANCE COMMON
STOCKS................. 33,176
--------
GERMANY - 5.73%
PREFERRED STOCK - 1.18%
Herlitz AG................... 8,947 984
RWE AG....................... 42,000 1,420
Spar Handels AG.............. 25,600 316
Volkswagen AG................ 6,800 2,065
--------
TOTAL GERMANY PREFERRED
STOCKS................. 4,785
--------
COMMON STOCKS - 4.55%
BASF AG...................... 49,000 1,567
BAYER AG..................... 150,625 5,694
Commerzbank AG............... 40,000 897
Deutsche Bank AG............. 30,000 1,395
</TABLE>
See accompanying notes
34
<PAGE> 36
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
Hoechst AG................... 16,000 $ 603
Karstadt AG.................. 6,500 2,371
Mannesmann AG................ 1,840 717
Muenchener Rueckversicherungs
AG......................... 300 585
Muenchener Rueckversicherungs
AG - Reg................... 137 332
Muenchener Rueckversicherungs
AG - Warrants.............. 37 8
Varta AG (non-income
producing)................. 1,520 277
Veba AG...................... 54,200 2,895
Volkswagen AG................ 2,650 1,050
--------
TOTAL GERMANY COMMON
STOCKS................. 18,391
--------
TOTAL GERMANY............ 23,176
--------
HONG KONG COMMON STOCK - 5.60%
Cheung Kong Holdings,
Limited.................... 235,000 1,884
Dickson Concepts
(International) Limited.... 360,000 1,201
Hang Lung Development
Company, Limited........... 710,000 1,405
Hong Kong Electric
Holdings................... 292,900 938
Hong Kong Land (SGD)......... 515,000 1,148
Hong Kong Telecommunications,
Limited.................... 1,432,400 2,529
HSBC Holdings, Limited....... 114,500 2,332
Hutchinson Whampoa, Limited.. 200,000 1,397
Jardine Matheson Holdings,
Limited.................... 575,800 3,253
National Mutual Of Asia,
Limited.................... 1,700,000 1,429
New World Development
Company, Limited........... 507,000 2,951
Peregrine Investments
Holdings, Limited.......... 550,000 886
Peregrine Investmens
Holdings, Limited
Warrants................... 55,000 10
South China Morning Post
(Holdings), Limted......... 1,100,000 939
Sun Hung Kai Properties,
Limited.................... 100 1
Swire Pacific Limited "A".... 40,000 353
--------
TOTAL HONG KONG COMMON
STOCKS................. 22,656
--------
IRELAND COMMON STOCKS - 0.57%
Jefferson Smurfit............ 851,542 2,301
--------
TOTAL IRELAND COMMON
STOCKS................. 2,301
--------
ITALY - 2.55%
PREFERRED STOCK - 0.19%
Concessioni E Costruzioni
Autostrade................. 525,000 777
--------
TOTAL ITALY PREFERRED
STOCK.................. 777
--------
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
COMMON STOCKS - 2.36%
Danieli Group Risp........... 473,960 $ 1,507
Fiat SPA..................... 600,000 1,605
Olivetti Ing C, & Co......... 940,000 273
Sasib SPA.................... 500,000 866
STET Risp Non Convertible.... 550,000 1,901
Telecom Italia, SPA.......... 250,000 557
Telecom Italia, SPA Non
Convertible Risp........... 100,000 191
Sta Finanziaria Telefonica
Torino..................... 1,000,000 2,664
--------
TOTAL ITALY COMMON
STOCKS................. 9,564
--------
TOTAL ITALY.............. 10,341
--------
JAPAN COMMON STOCKS - 11.74%
Aisin Seiki Company,
Limited.................... 87,000 1,262
Bridgestone Corporation...... 54,000 912
Canon, Incorporated.......... 70,000 1,342
Chudenko Corporation......... 19,000 583
Daibiru Corporation.......... 100,000 1,134
Daicel Chemical.............. 120,000 608
Daikin Industries............ 70,000 665
Dainippon Ink & Chemical..... 57,000 244
Daiwa House Industry Company,
Limited.................... 103,000 1,431
East Japan Railway Company... 270 1,242
Fuji Photo Film.............. 150,000 4,312
Hitachi Koki Company,
Limited.................... 70,000 588
Hitachi, Limited............. 305,000 2,708
KAO Corporation.............. 146,000 1,720
Kirin Brewery Company,
Limited.................... 37,000 381
Matsushita Electric
Industrial Company......... 75,000 1,200
MOS Food Services............ 79,000 1,653
Nichicon Corporation......... 114,000 1,423
Nichido Fire & Marine
Insurance.................. 240,000 1,498
Nintendo Company, Limited.... 37,300 2,387
Nippon Fire And Marine
Insurance.................. 287,000 1,514
Nippon Telegraph & Telephone
Corporation................ 143 1,000
Promise Company, Limited..... 39,000 1,821
Ryosan Company............... 12,000 273
Sekisui Chemical Company,
Limited.................... 227,000 2,535
Sony Corporation............. 51,800 3,111
Sumitomo Marine & Fire
Insurance.................. 255,000 1,829
</TABLE>
See accompanying notes
35
<PAGE> 37
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
Sumitomo Rubber Industries... 220,000 $ 1,559
Suzuki Motor Company,
Limited.................... 167,000 1,703
TDK Corporation.............. 21,000 1,233
Toyo Seikan Kaisha........... 58,000 1,836
Yodogawa Steel Works......... 274,000 1,783
--------
TOTAL JAPAN COMMON
STOCKS................. 47,490
--------
MEXICO COMMON STOCKS - 0.13%
Alfa, SA..................... 125,000 513
--------
TOTAL MEXICO COMMON
STOCKS................. 513
--------
MALAYSIA COMMON STOCKS - 1.19%
Arab Malaysian Finance....... 390,000 2,099
Golden Hope Plantations
BHD........................ 17,000 29
Kedah Cement Holdings BHD.... 636,000 1,178
Malaysian International
Shipping Corporation BHD... 505,666 1,511
--------
TOTAL MALAYSIA COMMON
STOCKS................. 4,817
--------
NETHERLANDS COMMON STOCKS - 7.91%
ABN AMRO Holdings NV......... 79,145 4,476
Aegon NV..................... 40,000 2,036
Akzo Nobel NV................ 44,775 5,645
Fortis Amev NV............... 76,054 2,274
Hollandsche Beton Groep NV... 17,104 3,176
Internationale Nederlanden
Groep NV................... 214,570 6,693
Koninklijke Bijenkorf Beheer
NV......................... 14,000 978
Phillips Electronics......... 96,500 3,403
Royal PTT Nederland NV....... 49,480 1,791
Unilever NV.................. 10,000 1,521
--------
TOTAL NETHERLANDS COMMON
STOCKS................. 31,993
--------
<CAPTION>
Par
Amount
---------
<S> <C> <C>
NEW ZEALAND - 1.21%
FOREIGN BONDS - 0.01%
Brierley Investments Limited
Subordinated Convertible
9%, Due 6/30/1998.......... $ 63 53
--------
TOTAL NEW ZEALAND
BONDS.................. 53
--------
COMMON STOCK - 1.20%
<CAPTION>
Shares
---------
<S> <C> <C>
Brierley Investments,
Limited.................... 1,400,000 1,277
Fisher & Paykel, Limited..... 210,000 768
Fletcher Challenge Paper..... 382,500 693
Fletcher Challenge
Building................... 775,250 2,100
--------
TOTAL NEW ZEALAND COMMON
STOCKS................. 4,838
--------
TOTAL NEW ZEALAND........ 4,891
--------
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
NORWAY COMMON STOCKS - 3.07%
Den Norsk Bank Series A...... 565,000 $ 1,879
Hafslund AS, Series B........ 99,500 734
Kvaerner Industries AS....... 49,789 1,882
Norsk Hydro AS............... 40,000 1,845
Nycomed AS, Series B......... 270,500 3,649
Saga Petroleum, Series B
Free....................... 100,000 1,569
Unitor AS.................... 80,000 878
--------
TOTAL NORWAY COMMON
STOCKS................. 12,436
--------
SINGAPORE COMMON STOCKS - 0.48%
Inchcape Berhad.............. 175,000 569
Neptune Orient Lines......... 300,000 251
Sembawang Corporation........ 258,000 1,108
--------
TOTAL SINGAPORE COMMON
STOCKS................. 1,928
--------
SPAIN COMMON STOCKS - 4.15%
Banco Espana Credito SA...... 7,000 44
Banco Popular Espanol........ 7,000 1,339
Banco Santander SA........... 50,000 2,569
Iberdrola SA................. 350,357 3,724
Repsol SA (BR)............... 77,000 2,516
Telefonica de Espana......... 297,000 5,964
Uralita (non-income
producing)................. 79,250 622
--------
TOTAL SPAIN COMMON
STOCKS................. 16,778
--------
SWEDEN COMMON STOCKS - 4.10%
Assidoman AB................. 48,000 1,188
Astra AB, "B" Free........... 48,000 2,194
Electrolux AB "B"............ 43,000 2,397
Esselte AB, Class "A"........ 2,000 44
Esselte AB, Class "B"........ 17,000 381
Fastighets AB Tornet......... 9,170 117
Marieberg Tidnings........... 77,267 1,883
Nordbanken AS................ 28,500 751
Skandia Forsakrings AB....... 23,100 649
SKF AB, "B" Free............. 55,000 1,219
Sparbanken Sverige AB "A".... 91,700 1,453
Stora Kopparsbergs Bergslags,
"A"........................ 42,100 552
Stora Kopparsbergs Bergslags,
"B"........................ 25,800 332
Svedala Industries, "A"
Free....................... 80,000 1,255
Svenska Cellulosa, "B"
Free....................... 59,000 1,240
Svenska Handelsbanken, "A"... 3,200 79
</TABLE>
See accompanying notes
36
<PAGE> 38
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
Volvo AB..................... 40,000 $ 832
--------
TOTAL SWEDEN COMMON
STOCKS................. 16,566
--------
SWITZERLAND COMMON STOCKS - 6.69%
BBC AG Series "A"............ 1,100 1,365
Ciba-Geigy AG................ 5,000 6,185
Distefora Holding AG......... 16,400 216
Forbo Holding AG-R........... 2,000 798
Gerbrueder Sulzer AG......... 1,800 1,028
Holderbank Financial
Glarus-B................... 1,350 938
Nestle SA.................... 3,800 4,145
Schindler Holding AG......... 840 860
Schindler Holding AG
Warrants................... 300 1
SGS Holding SA (Reg)......... 4,200 1,792
SIG AG....................... 1,540 3,707
SGS Holding SA (BR).......... 240 547
Sulzer AG.................... 4,365 2,323
Swiss Reinsurance Company.... 2,925 3,151
--------
TOTAL SWITZERLAND COMMON
STOCKS................. 27,056
--------
UNITED KINGDOM COMMON STOCKS - 11.80%
Albert Fisher Group, PLC..... 262,500 171
Associated British Foods
Group, PLC................. 62,000 426
Barclays, PLC................ 27,900 438
Barratt Developments, PLC.... 350,000 1,456
BAT Industries, PLC.......... 490,000 3,415
British Gas.................. 550,000 1,715
British Telecommunications... 409,000 2,368
BTR, PLC..................... 450,000 1,887
Burton Group, PLC............ 335,000 814
Coats Viyella, PLC........... 700,000 1,744
Commercial Union, PLC........ 172,500 1,822
English China Claylord
Group...................... 134,022 410
Grand Metropolitan, PLC...... 303,742 2,293
Hanson, PLC.................. 620,000 815
Hillsdown Holdings, PLC...... 830,000 2,372
Hyder, PLC................... 164,000 1,891
Imperial Tobacco Group....... 62,000 362
Kwik Save Group, PLC......... 136,200 706
London Pacific Group, PLC.... 130,000 494
National Power, PLC.......... 50,000 331
National Westminster Bank,
PLC........................ 119,100 1,361
Northern Foods, PLC.......... 300,000 972
Peninsular & Orient Steam
Company.................... 41,800 411
PowerGen, PLC................ 249,990 2,076
Reckitt & Coleman, PLC....... 171,679 1,988
Redland, PLC................. 220,000 1,508
Rolls Royce, PLC............. 107,600 445
Royal & Sun Alliance
Insurance Group............ 205,000 1,407
<CAPTION>
Shares Value
--------- --------
(dollars in thousands)
<S> <C> <C>
Safeway, PLC................. 309,677 $ 1,838
Salvesen, (Christian), PLC... 290,000 1,504
Shell Transportation &
Trading, PLC............... 45,000 738
Southern Electric, PLC....... 55,900 586
Tate & Lyle, PLC............. 105,000 816
Tesco, PLC................... 340,173 1,842
Thames Water Group, PLC...... 129,800 1,172
Unilever, PLC................ 120,000 2,523
WPP Group, PLC............... 169,500 629
--------
TOTAL UNITED KINGDOM
COMMON STOCKS.......... 47,746
--------
FOREIGN SECURITIES DENOMINATED IN U.S. DOLLARS - 1.15%
Dairy Farm International..... 908,000 549
G P Batteries International
Limited.................... 137,000 397
G P Batteries Warrants
Expiration 11/15/2000...... 34,250 26
Jardine Strategic............ 920,000 2,999
Millenium Chemicals
Incorporated............... 8,857 179
Telmex ADR................... 17,000 519
--------
TOTAL FOREIGN SECURITIES
DENOMINATED IN U.S.
DOLLARS................ 4,669
--------
UNITED STATES - 6.14%
FOREIGN BONDS - 0.12%
<CAPTION>
Par
Amount
---------
<S> <C> <C>
New World China Convertible
Bond, 4.00%, Due
12/31/1999................. $ 481 481
--------
TOTAL UNITED STATES
FOREIGN BONDS.......... 481
--------
UNITED STATES GOVERNMENT OBLIGATIONS (NOTE B) - 6.02%
U. S. Treasury Bill, 5.01%,
Due 11/7/1996.............. 5,011 5,006
U. S. Treasury Bill, 5.02%,
Due 11/14/1996............. 6,411 6,398
U. S. Treasury Bill, 5.05%,
Due 11/21/1996............. 581 579
U. S. Treasury Bill, 5.16%,
Due 11/29/1996............. 4,587 4,569
U. S. Treasury Bill, 4.92%,
Due 12/5/1996.............. 962 957
U. S. Treasury Bill, 5.12%,
Due 12/12/1996............. 401 399
U. S. Treasury Bill, 4.83%,
Due 12/26/1996............. 302 300
</TABLE>
See accompanying notes
37
<PAGE> 39
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
U. S. Treasury Bill, 4.92%,
Due 1/2/1997............... $ 10 $ 10
U. S. Treasury Bill, 4.94%,
Due 1/9/1997............... 6,174 6,114
-----------
TOTAL UNITED STATES U S
GOVERNMENT BONDS....... 24,332
-----------
TOTAL UNITED STATES.......... 24,813
-----------
TOTAL INVESTMENTS -
96.22% (COST $335,924)..... 389,195
-----------
OTHER ASSETS, NET OF
LIABILITIES - 3.78%........ 15,301
-----------
TOTAL NET ASSETS - 100%...... $ 404,496
===========
</TABLE>
- ---------------
(A) Based on the cost of investments of $336,065 for federal income tax purposes
at October 31, 1996, the aggregate gross unrealized appreciation was $66,481,
the aggregate gross unrealized depreciation was $13,351, and the net unrealized
appreciation of investments was $53,130.
(B) Rates associated with United States Government Bonds represent yield to
maturity from time of purchase.
ABBREVIATIONS:
ADR - American Depository Receipt
AB - Company (Sweden)
AG - Company (Switzerland, Germany)
AS - Company (Denmark, Norway)
BHD - Berhard (Malaysia)
BR - Bearer (Spain, Switzerland)
CG - Company General (France)
HG - Holding (Switzerland)
NPV - No Par Value (Belgium)
NV - Company (Netherlands)
ORD - Ordinary (Netherlands, France, Australia)
OY - Company (Sweden)
PLC - Public Limited Corporation (UK, Hong Kong)
SA - Company (Switzerland, Spain, Mexico, France, Belgium)
SGD - Singapore Dollars (Hong Kong)
SPA - Company (Italy)
VZA - Vorzugsaktie - Preferred (Germany)
See accompanying notes
38
<PAGE> 40
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
INDUSTRY DIVERSIFICATION
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Percent of
Net Assets
----------
<S> <C>
Basic Industry.................................................................... 31.49%
Capital Goods..................................................................... 9.60%
Consumer Goods & Services......................................................... 19.59%
Energy............................................................................ 4.42%
Financing, Insurance & Real Estate................................................ 20.13%
Short Term Investments............................................................ 6.02%
Transportation.................................................................... 0.85%
Utilities......................................................................... 4.23%
Other Assets/Liabilities................................................ 3.67%
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
See accompanying notes
39
<PAGE> 41
AMR INVESTMENT SERVICES TRUST LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
---------- --------
(dollars in thousands)
<S> <C> <C>
CERTIFICATES OF DEPOSIT - 5.24%
Advanta National Bank CD,
6.43%, Dated 4/30/1996, Due
4/30/1998.................... $ 9,000 $ 9,078
--------
TOTAL CERTIFICATES OF
DEPOSIT.................. 9,078
--------
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 54.20%
Federal Home Loan Mortgage
Corporation, 1647 PE, 6.00%,
Due 8/15/2006................ 7,535 7,470
Federal Home Loan Mortgage
Corporation, M H-1 A REMIC,
10.15%, Due 4/15/2006........ 173 174
Government National Mortgage
Association, Pool #780285,
9.50%, Due 12/15/2017........ 24,250 26,367
Government National Mortgage
Association, Pool #780426,
9.50%, Due 11/15/2017........ 26,257 28,549
Government National Mortgage
Association, Pool #780173,
9.50%, Due 12/15/2019........ 12,324 13,386
Government National Mortgage
Association, Pool #780010,
9.50%, Due 3/15/2023......... 12,001 13,040
U.S. Treasury Notes, 5.75%, Due
8/15/2003.................... 5,000 4,869
--------
TOTAL U.S. GOVERNMENT &
AGENCY OBLIGATIONS....... 93,855
--------
CORPORATE OBLIGATIONS - 20.60%
INDUSTRIAL - 9.39%
Cox Communications,
Incorporated 6.94%, Due
10/1/2001.................... 8,000 8,096
Philip Morris, Incorporated
7.25%, Due 9/15/2001......... 8,000 8,168
--------
TOTAL INDUSTRIAL........... 16,264
--------
BANK FUNDING - 11.21%
Ford Motor Credit Corporation,
5.75%, Due 1/25/2001......... 8,000 7,775
Smith Barney Holdings, 5.875%,
Due 2/01/2001................ 5,000 4,874
<CAPTION>
Par
Amount Value
---------- --------
(dollars in thousands)
<S> <C> <C>
Southtrust Bank Of Alabama,
5.58%, Due 2/6/2006, Puttable
2001, Dated 2/6/1996......... $ 7,000 $ 6,768
--------
TOTAL BANK FUNDING......... 19,417
--------
TOTAL CORPORATE
OBLIGATIONS.............. 35,681
--------
ASSET-BACKED SECURITIES - 5.94%
Case Equipment Loan Trust,
Series 1993-B, 5.10%, Due
5/15/1999.................... 2,241 2,221
Corestates 1996-1, 6.75%, Due
2/15/2005.................... 8,000 8,065
--------
TOTAL ASSET-BACKED
SECURITIES............... 10,286
--------
NON-AGENCY MORTGAGE BACKED OBLIGATIONS - 13.37%
Collateralized Mortgage
Obligation Trust, 56 A,
9.00%, Due 5/1/2014.......... 194 200
Residential Funding Securities
Corporation, 1995-1 KS1,
6.7125%, Due 6/25/2025....... 3,872 3,892
Resolution Trust Corporation,
1992-MH3 B1, 7.25%, Due
12/15/2011................... 7,301 7,347
Resolution Trust Corporation,
1992-7 A3, 6.97312%, Due
3/25/2022.................... 2,784 2,755
Resolution Trust Corporation,
1992-6 A 3, 6.97312%, Due
3/25/2022.................... 2,767 2,806
Resolution Trust Corporation,
1992-1 A1, 6.3860%, Due
5/25/2028.................... 2,983 3,017
Resolution Trust Corporation,
1992-4 A2, 6.2696%, Due
7/25/2028.................... 3,086 3,132
--------
TOTAL NON-AGENCY MORTGAGE
BACKED OBLIGATIONS....... 23,149
--------
SHORT-TERM INVESTMENTS
(NOTE A) - 1.40%
Bank Brussels Lambert, Euro TD,
5.5625%, Due 11/1/1996....... 2,430 2,430
--------
TOTAL SHORT-TERM
INVESTMENTS.............. 2,430
--------
TOTAL INVESTMENTS - 100.75%
(COST $173,958).............. 174,479
--------
LIABILITIES, NET OF OTHER
ASSETS - (0.75%)............. (1,302)
--------
TOTAL NET ASSETS - 100%........ $173,177
=========
</TABLE>
See accompanying notes
40
<PAGE> 42
AMR INVESTMENT SERVICES TRUST LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
Based on the cost of investments of $173,958 for federal income tax purposes at
October 31, 1996, the aggregate gross unrealized appreciation was $927, the
unrealized depreciation was $406, and the net unrealized appreciation of
investments was $521.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
CD - Certificate of Deposit
REMIC - Real Estate Mortgage Investment Conduit
TD - Time Deposit
See accompanying notes
41
<PAGE> 43
AMR INVESTMENT SERVICES TRUST MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
EURODOLLAR TIME DEPOSITS (NOTE A) - 9.16%
Bank Brussels Lambert, 6.00%,
Due 11/1/1996.............. $ 85,000 $ 85,000
Fuji Bank, 5.84375%, Due
11/1/1996.................. 57,000 57,000
Skandinaviska Enskilda
Banken, 5.75%, Due
11/1/1996.................. 19,662 19,662
----------
TOTAL EURODOLLAR TIME
DEPOSITS............... 161,662
----------
CERTIFICATES OF DEPOSIT (NOTE A) - 22.61%
FOREIGN BANKS - 21.25%
Banca CRT S.p.A., New York,
Variable Rate, 5.65625%,
Due 3/10/1997.............. 75,000 75,000
Industrial Bank of Japan, New
York, Variable Rate,
5.50219%, Due 8/27/1997 ... 25,000 25,000
Industrial Bank of Japan, New
York, Variable Rate, 5.54%,
Due 8/5/1997............... 80,000 80,000
Postipankki, Limited, New
York, Variable Rate Demand,
5.5225%, Due 9/26/1997
(Note C)................... 90,000 90,000
Sanwa Bank, Limited, New
York, Variable Rate,
5.59594%, Due 2/6/1997..... 72,000 72,000
Sanwa Bank, Limited, New
York, Variable Rate,
5.49219%, Due 2/27/1997.... 33,000 33,000
----------
TOTAL FOREIGN BANKS...... 375,000
----------
DOMESTIC BANKS - 1.36%
Banco Popular de Puerto Rico,
Variable Rate, 5.725%, Due
4/4/1997 (Note B).......... 24,000 24,000
----------
TOTAL DOMESTIC BANKS..... 24,000
----------
TOTAL CERTIFICATES OF
DEPOSIT................ 399,000
----------
PROMISSORY NOTES (NOTES A AND C) - 16.71%
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.57547%, Due 4/4/1997..... 18,000 18,000
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.50516%, Due 4/18/1997.... 50,000 50,000
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.50516%, Due
4/18/1997.................. 12,000 12,000
<CAPTION>
Par
Amount Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.46219%, Due
5/19/1997.................. $ 25,000 $ 25,000
Heller Financial,
Incorporated, Variable Rate
Demand, 5.75%, Due
12/20/1996................. 65,000 65,000
Heller Financial,
Incorporated, Variable Rate
Demand, 5.63125%, Due
1/27/1997.................. 10,000 10,000
Heller Financial,
Incorporated, Variable Rate
Demand, 5.705%, Due
3/11/1997.................. 25,000 25,000
Jackson National Life
Insurance FA #F-1041-1,
Variable Rate Demand,
5.57078%, Due 9/2/1997..... 90,000 90,000
----------
TOTAL PROMISSORY NOTES... 295,000
----------
BANK NOTES (NOTE A) - 5.44%
Advanta Bank USA, Variable
Rate, 5.66125%, Due
1/9/1997................... 25,000 25,000
Advanta Bank USA, Variable
Rate, 5.65625%, Due
7/15/1997.................. 25,000 24,999
Advanta National Bank,
Variable Rate, 5.825%, Due
4/4/1997 .................. 11,000 11,000
Advanta National Bank,
Variable Rate, 5.73125%,
Due 4/10/1997.............. 10,000 10,001
Advanta National Bank,
Variable Rate, 5.825%, Due
10/1/1997.................. 25,000 25,000
----------
TOTAL BANK NOTES......... 96,000
----------
COMMERCIAL PAPER (NOTE A) - 7.70%
Aristar, Incorporated, 5.42%,
Due 11/14/1996............. 9,175 9,157
Aristar, Incorporated, 5.44%,
Due 11/14/1996............. 35,000 34,932
BanPonce Financial
Corporation, 5.52%, Due
11/14/1996................. 12,000 11,976
Finova Capital Corporation,
5.33%, Due 11/14/1996...... 10,000 9,981
Finova Capital Corporation,
5.33%, Due 11/14/1996...... 50,000 49,904
Finova Capital Corporation,
5.34%, Due 11/14/1996...... 20,000 19,962
----------
TOTAL COMMERCIAL PAPER... 135,912
----------
</TABLE>
See accompanying notes
42
<PAGE> 44
AMR INVESTMENT SERVICES TRUST MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
VARIABLE RATE MEDIUM-TERM NOTES
(NOTE A) - 37.85%
American Honda Finance
Corporation, 144A,
5.53125%, Due 1/27/1997.... $ 70,000 $ 69,992
American Honda Finance
Corporation, 144A,
5.58078%, Due 2/7/1997..... 10,000 10,000
Bank of Boston Corporation,
5.56125%, Due 1/24/1997.... 50,000 50,000
Bank of Boston Corporation,
5.55125%, Due 1/24/1997.... 15,000 15,000
Bank of Boston Corporation,
5.55125%, Due 1/29/1997.... 5,000 5,000
BanPonce Corporation,
5.91250%, Due 2/3/1997..... 40,000 40,019
BanPonce Financial
Corporation, 6.0125%, Due
11/25/1996................. 5,000 5,001
BanPonce Financial
Corporation, 6.0625%, Due
1/7/1997................... 10,000 10,007
Bear Stearns Companies,
Incorporated, 5.55469%, Due
1/17/1997.................. 25,000 25,000
CS First Boston,
Incorporated, 144A,
5.53906%, Due 5/11/1997.... 58,000 58,000
General Motors Acceptance
Corporation, Variable Rate
Demand, 5.50%, Due
2/23/1998 (Note D)......... 70,000 70,000
<CAPTION>
Par
Amount Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
General Motors Acceptance
Corporation, Variable Rate
Demand, 5.48734%, Due
10/22/1998 (Note D)........ $ 25,000 $ 25,000
Merrill Lynch & Company,
Incorporated, 5.50906%, Due
2/12/1997.................. 30,000 30,000
Salomon Incorporated,
5.73125%, Due 10/31/1997... 95,000 95,000
Sanwa Business Credit
Corporation, 144A,
5.62125%, Due 1/10/1997.... 25,000 25,000
Sanwa Business Credit
Corporation, 144A,
5.62125%, Due 1/10/1997.... 25,000 25,000
Sanwa Business Credit
Corporation, 144A,
5.61906%, Due 2/10/1997.... 10,000 9,999
Sanwa Business Credit
Corporation, 144A,
5.65203%, Due 3/4/1997..... 20,000 19,996
Sears Roebuck Acceptance
Corporation, 5.51078%, Due
10/2/1997.................. 80,000 80,000
----------
TOTAL VARIABLE RATE
MEDIUM-TERM NOTES...... 668,014
----------
TOTAL INVESTMENTS - 99.47%
(COST $1,755,588).......... 1,755,588
----------
OTHER ASSETS, NET OF
LIABILITIES - 0.53%........ 9,334
----------
TOTAL NET ASSETS - 100%...... $1,764,922
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,755,588 for federal income tax purposes
at October 31, 1996, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity or
yield to next reset date.
(B) Obligation is subject to a same day credit quality put back to issuer.
(C) Obligation is subject to an unconditional put back to the issuer with seven
calendar days notice.
(D) Obligation is subject to an unconditional put back to the issuer with thirty
calendar days notice.
ABBREVIATION:
L.P. - Limited Partnership
See accompanying notes
43
<PAGE> 45
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
COMMERCIAL PAPER (NOTE A) - 4.25%
City of Burlington, Kansas
Customized Purchase Pollution
Control Refunding and
Improvement Revenue Bonds
Series 1985B, 3.60%, Due
9/1/2015, LOC Societe
Generale..................... $ 1,400 $ 1,400
Carbon County Industrial
Developement Authority
Resource Recovery Bonds
(Panther Creek Project)
Series 1991A, 3.60%, Due
12/1/2017, LOC National
Westminster Bank, PLC........ 750 750
Toledo, Lucas County, Ohio Port
Authority Port Facility
Refunding Revenue Bonds (CSX
Transportation, Incorporated
Project) Series 1992, 3.55%,
Due 12/15/2021, LOC Bank of
Nova Scotia.................. 1,300 1,300
----------
TOTAL COMMERCIAL PAPER..... 3,450
----------
MUNICIPAL BONDS (NOTE A) - 92.24%
ALABAMA - 4.52%
Birmingham Baptist Medical
Centers - Alabama Special
Care Facilities Financing
Authority Revenue Bonds
(Senior Living Communities,
Incorporated Project) Series
1990A, 3.70%, Due 9/1/2020,
LOC Fuji Bank, Limited,
VRDO......................... 3,190 3,190
Birmingham Baptist Medical
Centers - Alabama Medical
Clinic Board Revenue Bonds
(Western Medical System, Inc.
Project), Series 1990A,
3.70%, Due 6/1/2028, LOC Fuji
Bank, Limited, VRDO.......... 480 480
----------
TOTAL ALABAMA.............. 3,670
----------
ARIZONA - 2.95%
Industrial Development
Authority of Apache County,
Arizona Pollution Control
Revenue (Tucson Electric
Power Company) Series 1981B,
3.65%, Due 10/1/2021, LOC
Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 2,400 2,400
----------
TOTAL ARIZONA.............. 2,400
----------
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
ARKANSAS - 1.48%
Little River County, Arkansas
Solid Waste Disposal Revenue
Bonds (Georgia-Pacific
Corporation Project) Series
1991, 3.70%, Due 11/1/2026,
LOC Sumitomo Bank, Limited,
VRDO......................... $ 1,200 $ 1,200
----------
TOTAL ARKANSAS............. 1,200
----------
CALIFORNIA - 7.93%
California Pollution Control
Financing Authority Solid
Waste Disposal Revenue
Bonds(Taormina Industries,
Incorporated Project) Series
1994B, 3.70%, Due 8/1/2014,
LOC Sanwa Bank, Limited,
VRDO......................... 1,000 1,000
California Statewide Community
Development Authority
Industrial Development
Revenue Bonds (Nichirin-Flex
U.S.A., Incorporated Project)
Series 1989, 3.55%, Due
10/1/2004, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 2,500 2,500
County of Sacramento,
California Revenue Bonds
Series 1985A, 3.60%, Due
4/15/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 200 200
County of Sacramento,
California Revenue Bonds
Series 1985B, 3.60%, Due
4/15/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 100 100
Los Angeles County Industrial
Development Authority (Gary
A. Bandy), 4.10%, Due
12/1/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 345 345
Los Angeles County Industrial
Development Authority
(Bicara, Limited Project)
Series 1987A-II, 4.10%, Due
12/1/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 600 600
Southeast Resource Recovery
Facilities Authority
California Lease Revenue
Bonds Series 1995A, 3.55%,
Due 12/1/2018, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 1,700 1,700
----------
TOTAL CALIFORNIA........... 6,445
----------
</TABLE>
See accompanying notes
44
<PAGE> 46
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
<S> <C> <C>
(dollars in thousands)
COLORADO - 2.22%
Adams County, Colorado
Industrial Development
Revenue Bonds (City View Park
Project) Series 1985, 3.60%,
Due 12/1/2015, LOC Barclays
Bank PLC, VRDO............... $ 1,800 $ 1,800
----------
TOTAL COLORADO............. 1,800
----------
CONNECTICUT - 0.25%
Connecticut Development
Authority Solid Waste
Disposal Facility Revenue
Bonds (Exeter Energy Project)
Series 1989A, 3.60%, Due
12/1/2019, LOC Sanwa Bank,
Limited, VRDO................ 200 200
----------
TOTAL CONNECTICUT.......... 200
----------
FLORIDA - 6.52%
Broward County, Florida Housing
Finance Authority Multifamily
Housing Revenue
Bonds(Parkview Partnership
Limited), 3.75%, Due
12/1/2010, LOC Fuji Bank,
Limited, VRDO................ 1,000 1,000
City of Naples, Florida
Hospital Revenue Bonds
(Naples Community Hospital,
Incorporated Project) Series
1992, 3.70%, Due 11/1/2022,
LOC Mellon Bank, N.A.,
VRDO......................... 100 100
Dade County, Florida Capital
Asset Acquisition Special
Obligation Bonds Series 1990,
3.90%, Due 10/1/2010, LOC
Sanwa Bank, Limited, VRDO.... 1,700 1,700
Lee County, Florida Industrial
Development Authority Revenue
Bonds (Christian & Missionary
Alliance Foundation - Shell
Point Village Project),
Series 1985, 3.625%, Due
4/1/2010, LOC Banque Paribas,
VRDO......................... 2,500 2,500
----------
TOTAL FLORIDA.............. 5,300
----------
GEORGIA - 6.36%
Clayton County, Georgia Housing
Authority Multifamily Housing
Revenue Refunding Bonds
(Chateau Forest Apartments
Project) Series 1990E, 3.55%,
Due 1/1/2021, Bond
Insurance - Financial
Security Assurance, VRDO..... 570 570
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Industrial Development
Authority of Cartersville
(Sekisui Jushi America
Incorporated Project) Series
1992, 4.05%, Due 6/1/2012,
LOC Sanwa Bank, Limited,
VRDO......................... $ 1,100 $ 1,100
Thomaston-Upson County
Industrial Development
Revenue Authority (Yamaha
Music Manufacturing,
Incorporated) Series 1988,
4.05%, Due 8/1/2018, LOC Bank
of Tokyo-Mitsubishi, Limited,
VRDO......................... 3,500 3,500
----------
TOTAL GEORGIA.............. 5,170
----------
HAWAII - 0.74%
Hawaii Housing Finance &
Development Corporation
(Pohulani Rental Housing
Development Project) Rental
Housing System Revenue Bonds
Series 1990B, 3.60%, Due
7/1/2025, LOC Industrial Bank
of Japan, Limited,
VRDO......................... 500 500
Hawaii State Housing Finance &
Development Corporation
Revenue Rental Housing System
(Kamakee Vista Rental Housing
Development Project) Series
1990A, 3.60%, Due 7/1/2025,
LOC Industrial Bank of Japan,
Limited, VRDO................ 100 100
----------
TOTAL HAWAII............... 600
----------
ILLINOIS - 3.19%
Illinois Development Finance
Authority (Illinois Power
Project) Series 1987D, 3.55%,
Due 3/1/2017, LOC Bank of
Tokyo-Mitsubishi, Limited,
VRDO......................... 900 900
Illinois Housing Development
Authority Multi-Family
Mortgage - Revenue Bonds
(Hyde Park Project) Series
1989, 4.05%, Due 2/1/2024,
LOC Sumitomo Bank, Limited,
VRDO......................... 1,265 1,265
Oswego, Illinois Industrial
Development Revenue Bonds
(Griffith Laboratories World
Wide, Incorporated Project)
Series 1995, 3.65%, Due
7/1/2025, LOC ABN AMRO Bank,
N.V., VRDO................... 430 430
----------
TOTAL ILLINOIS............. 2,595
----------
</TABLE>
See accompanying notes
45
<PAGE> 47
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
INDIANA - 4.01%
Fort Wayne Industrial Economic
Development Revenue Bonds
(ND-Tech Corporation Project)
Series 1989, 3.65%, Due
7/1/2009, LOC Societe
Generale, VRDO............... $ 600 $ 600
Indianapolis, Indiana Resource
Recovery Revenue Bonds (Ogden
Martin System) Series 1987,
3.65%, Due 12/1/2016, LOC
Swiss Bank Corporation,
VRDO......................... 400 400
Princeton Industrial
Development Revenue Bonds
(Orion Electric America,
Incorporated Project) Series
1987, 3.80%, Due 4/30/2017,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 455 455
Seymour Economic Development
Revenue Bonds (Kobelco Metal
Powder of America,
Incorporated Project) Series
1987, 4.05%, Due 12/15/1997,
LOC Industrial Bank of Japan,
Limited,
VRDO......................... 600 600
Shelbyville, Indiana Economic
Development Revenue Bonds
(Nippisun Indiana Corporation
Project) Series 1991, 4.25%,
Due 9/1/2006, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 1,200 1,200
----------
TOTAL INDIANA.............. 3,255
----------
IOWA - 0.95%
Dubuque, Iowa Industrial
Development Revenue Bonds
(Swiss Valley Farms Company
Project Series 1987), 3.90%,
Due 12/1/2001, LOC Rabobank
Nederland, VRDO.............. 770 770
----------
TOTAL IOWA................. 770
----------
KENTUCKY - 3.44%
Bowling Green Industrial
Building Revenue Bonds (TWN
Fastener, Incorporated
Project) Series 1988, 4.05%,
Due 3/1/2008, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 900 900
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Georgetown, Kentucky Public
Project Revenue Bond Series
1986, 4.00%, Due 12/1/2006,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ $ 300 $ 300
Hopkinsville Industrial
Development Revenue Bonds
(American Precision
Machinery, Incorporated
Project) Series 1990, 3.75%,
Due 5/1/2000, LOC Bank of
Tokyo-Mitsubishi, Limited,
VRDO......................... 1,400 1,400
Hopkinsville, Kentucky
Industrial Building Revenue
Refunding Bonds (Co Par,
Incorporated Project) Series
1994A, 4.05%, Due 4/1/2004,
LOC Dai-Ichi Kangyo Bank,
Limited, VRDO................ 100 100
Shelbyville, Kentucky
Industrial Building Revenue
Bonds (Ichikoh Manufacturing,
Incorporated Project) Series
1987, 4.05%, Due 10/1/1997
LOC Industrial Bank of Japan,
Limited, VRDO................ 100 100
----------
TOTAL KENTUCKY............. 2,800
----------
LOUISIANA - 4.20%
Louisiana Public Facilities
Authority Capital Facilities
Revenue Bonds Series 1985A,
3.90%, Due 12/1/2005, LOC
Sumitomo Bank, Limited,
VRDO......................... 1,210 1,210
Louisiana Public Facilities
Authority Revenue
Bonds(College & University
Equipment & Capital
Facilities) Series 1985A,
3.55%, Due 9/1/2010, Bond
Insurance - Financial
Guaranty Insurance Company,
VRDO......................... 2,200 2,200
----------
TOTAL LOUISIANA............ 3,410
----------
MICHIGAN - 0.25%
Kent Hospital Finance Authority
(Butterworth Hospital
Project) Series 1991A, 3.85%,
Due 1/15/2020, LOC Sanwa
Bank, Limited, VRDO.......... 200 200
----------
TOTAL MICHIGAN............. 200
----------
</TABLE>
See accompanying notes
46
<PAGE> 48
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
MISSOURI - 4.43%
Barry County, Missouri
Industrial Development
Authority, Industrial Revenue
Bonds (George's Processing,
Incorporated Project) Series
1987, 3.60%, Due 4/1/2000,
LOC Sumitomo Bank, Limited,
VRDO......................... $ 2,200 $ 2,200
Missouri Higher Education Loan
Authority Revenue Bonds
Series 1988A, 3.60%, Due
6/1/2017, LOC National
Westminster Bank, PLC,
VRDO......................... 1,400 1,400
----------
TOTAL MISSOURI............. 3,600
----------
NEBRASKA - 1.11%
Lancaster County, Nebraska
Industrial Revenue Bonds
(Sun-Husker Foods,
Incorporated Project), Series
1989, 4.05%, Due 8/15/2009,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 900 900
----------
TOTAL NEBRASKA............. 900
----------
NEVADA - 4.55%
Clark County, Nevada Industrial
Development Revenue Bonds
Pollution Control Refunding
Revenue Bonds (Nevada Power
Company Project) Series
1995A, 3.75%, Due 10/1/2030,
LOC Barclays Bank, PLC,
VRDO......................... 700 700
Clark County, Nevada Industrial
Development Revenue Bonds
Pollution Control Refunding
Revenue Bonds (Nevada Power
Company Project) Series
1995C, 3.60%, Due 10/1/2030,
LOC Barclays Bank, PLC,
VRDO......................... 3,000 3,000
----------
TOTAL NEVADA............... 3,700
----------
NEW JERSEY - 3.33%
New Jersey Health Care
Facilities Financing
Authority Revenue
Bonds(Carrier Foundation
Project)Series 1985C, 3.80%,
Due 7/1/2005, Bond Insurance
Financial Guaranty Insurance
Corporation, VRDO............ 2,705 2,705
----------
TOTAL NEW JERSEY........... 2,705
----------
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
OHIO - 1.84%
Saint Mary's, Ohio Industrial
Development Revenue
Bonds(Setex Incorporated
Project), Series 1988, 4.05%,
Due 12/1/2001, LOC Industrial
Bank of Japan Limited,
VRDO......................... $ 1,500 $ 1,500
----------
TOTAL OHIO................. 1,500
----------
PENNSYLVANIA - 7.53%
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds(Cambria Cogen Company
Project) Series 1989 V-1,
3.65%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ 1,000 1,000
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds(Cambria Cogen Company
Project) Series 1989 V-2,
3.65%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ 900 900
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds(Cambria Cogen Company
Project) Series 1991 V-1,
3.65%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ 1,150 1,150
Emmaus, Pennsylvania General
Authority Revenue Bonds
(Saucon Valley School
District) Series 1989 D,
Subseries D-12, 3.60%, Due
3/1/2024, LOC Canadian
Imperial Bank of Commerce,
VRDO......................... 400 400
Emmaus, Pennsylvania General
Authority Local Government
Revenue Bonds, (Bond Pod
Program) Series 1989H
Subseries H-8, 3.60%, Due
3/1/2024, LOC Canadian
Imperial Bank of Commerce,
VRDO......................... 400 400
Gettysburg Area Industrial
Development Authority
Industrial Development
Refunding Bonds (Dal-Tile
Corporation) Series 1987B,
3.75%, Due 3/1/2004, LOC
Credit Suisse, VRDO.......... 1,670 1,670
</TABLE>
See accompanying notes
47
<PAGE> 49
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Northumberland County
Industrial Development
Authority Resource Recovery
Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated
Project) Series 1987A, 3.70%,
Due 2/1/2010, LOC Union Bank
of Switzerland, VRDO......... $ 600 $ 600
----------
TOTAL PENNSYLVANIA......... 6,120
----------
TENNESSEE - 0.98%
Blount County Industrial
Development Revenue Bonds
(Advanced Crystal Technology,
Incorporated Project) Series
1988, 4.05%, Due 8/1/2008,
LOC Industrial Bank of Japan,
Limited, VRDO................ 500 500
Covington, Tennessee Industrial
Development Board Industrial
Development Revenue Bonds
(Charms Company Project)
Series 1992, 3.65%, Due
6/1/2027, LOC Societe
Generale, VRDO............... 300 300
----------
TOTAL TENNESSEE............ 800
----------
TEXAS - 4.92%
Brazos River Authority, Texas
Pollution Control Revenue
Refunding Bonds (Coll.
Utility Company Project)
Series 1996B, 3.70%, Due
6/1/2030, Bond Insurance
AMBAC, VRDO.................. 2,600 2,600
Brazos River Authority, Texas
Pollution Control Revenue
Refunding Bonds (Texas
Utilities Electric Company)
Series 1995 B, 3.70%, Due
6/1/2030, LOC Union Bank of
Switzerland, VRDO............ 400 400
Harris County, Texas Industrial
Development Revenue Bonds
(Zeon Chemicals Project)
Series 1989, 4.05%, Due
2/1/2009, LOC Industrial Bank
of Japan, Limited, VRDO...... 600 600
Harris County, Texas Industrial
Development Revenue Bonds
(Chusei "USA" Project) Series
1991C, 4.05%, Due 8/1/2001,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 100 100
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Montgomery County, Texas
Industrial Development
Revenue Bonds(Dal-Tile
Corporation Project) Series
1986B, 3.75%, Due 12/1/2003,
LOC Credit Suisse, VRDO...... $ 300 $ 300
----------
TOTAL TEXAS................ 4,000
----------
UTAH - 3.57%
Housing Authority of Provo
City, Utah Multifamily Rental
Housing Revenue Refunding
Bonds(Branbury Park Project)
Series 1987A, 3.75%, Due
12/15/2010, LOC Dai-Ichi
Kangyo Bank, Limited VRDO.... 1,600 1,600
Housing Authority of Provo
City, Utah Multifamily Rental
Housing Revenue Refunding
Bonds(Branbury Park Project)
Series 1987B, 3.956%, Due
12/15/2010, LOC Dai-Ichi
Kangyo, Bank, Limited,
VRDO......................... 300 300
Utah State Board of Regents
Student Loan Revenue
Bonds(Bond Insurance-AMBAC
Indemnity Corporation) Series
1988C, 3.60%, Due 11/1/2013,
Dresdner Bank A.G., VRDO..... 1,000 1,000
----------
TOTAL UTAH................. 2,900
----------
VIRGINIA - 1.11%
Alexandria Industrial
Development Authority
Resource Recovery Revenue
Bonds (Alexandria/ Arlington
Waste-To-Energy Facility)
Series 1986A, 3.65%, Due
12/1/2016, LOC Swiss Bank
Corporation, VRDO............ 700 700
Virginia Housing Development
Authority (AHC Service
Corporation) Series 1987A,
3.60%, Due 9/1/2017, LOC Bank
of Tokyo-Mitsubishi, Limited,
VRDO......................... 200 200
----------
TOTAL VIRGINIA............. 900
----------
WASHINGTON - 6.15%
Port Angeles Industrial
Development Corporation
(Daishowa America Project)
Series 1992, 4.05%, Due
8/1/2007, LOC Industrial Bank
of Japan, Limited, VRDO...... 200 200
</TABLE>
See accompanying notes
48
<PAGE> 50
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
Port Angeles Industrial
Development Corporation
Revenue Bonds Series 1992B,
4.05%, Due 12/1/2007, LOC
Industrial Bank Of Japan,
Limited, VRDO................ $ 200 $ 200
Port Everett Revenue Bonds
Series 1986, 4.05%, Due
12/1/2006, LOC Sumitomo Bank,
Limited, VRDO................ 1,200 1,200
Washington Student Loan Finance
Association Revenue Bonds
Series 1987A, 3.70%, Due
12/1/2002, LOC Sanwa Bank,
Limited, VRDO................ 2,400 2,400
Washington Student Loan Finance
Association Revenue Bonds
Series 1987B, 3.70%, Due
12/1/2002, LOC Sanwa Bank,
Limited, VRDO................ 1,000 1,000
----------
TOTAL WASHINGTON........... 5,000
----------
WEST VIRGINIA - 1.37%
Marion County, West Virginia
Solid Waste Disposal Facility
(Grant Town Cogeneration
Project) Series 1990B, 3.60%,
Due 10/1/2017, LOC National
Westminster Bank, PLC,
VRDO......................... 115 115
Marion County, West Virginia
Solid Waste Disposal Facility
(Grant Town Cogeneration
Project) Series 1990C, 3.60%,
Due 10/1/2017, LOC National
Westminster Bank, PLC,
VRDO......................... 1,000 1,000
----------
TOTAL WEST VIRGINIA........ 1,115
<CAPTION>
Par
Amount Value
------- ----------
(dollars in thousands)
<S> <C> <C>
WISCONSIN - 2.34%
Lacrosse, Wisconsin Industrial
Development Revenue Bonds
(Dairyland Power Cooperative
Project) Series 1984B, 3.70%,
Due 2/1/2015, LOC Rabobank
Nederland, VRDO.............. $ 1,900 $ 1,900
----------
TOTAL WISCONSIN............ 1,900
----------
TOTAL MUNICIPAL
BONDS.................... 74,955
----------
OTHER INVESTMENTS - 3.24%
Lehman Municipal Money Market
Fund......................... 2,630 2,630
----------
TOTAL OTHER INVESTMENTS.... 2,630
----------
TOTAL INVESTMENTS - 99.73%
(COST $81,035)............... 81,035
----------
OTHER ASSETS, NET OF
LIABILITIES - 0.27%.......... 223
----------
TOTAL NET ASSETS - 100%........ $ 81,258
==========
</TABLE>
- ---------------
Based on the cost of investments of $81,035 for federal income tax purposes at
October 31, 1996, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity or
yield to next reset date.
ABBREVIATIONS:
LOC - Letter of Credit
PLC - Public Limited Corporation
VRDO - Variable Rate Demand Obligation
See accompanying notes
49
<PAGE> 51
AMR INVESTMENT SERVICES TRUST U.S. TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- -------
(dollars in
thousands)
<S> <C> <C>
REPURCHASE AGREEMENTS
(NOTES A AND B) - 100.02%
BA Securities, 5.52%, Dated
10/31/1996, Due 11/1/1996 with
a maturing value of $20,003.
(Collateralized by $18,120 U.S.
Treasury Notes, due 2/15/2025,
market value - $20,416)........ $20,000 $20,000
Goldman Sachs Tri-Party Treasury
Repo, 5.54%, Dated 10/31/1996,
Due 11/1/1996. (Collateral held
at The Bank of New York
Company, Incorporated by
$38,656 U.S. Treasury Notes,
due 11/30/1999, market value -
$41,820)....................... 41,000 41,000
Morgan Stanley Tri-Party
Government National Mortgage
Association Repo, 5.58%, Dated
10/31/1996, Due 11/1/1996
(Collateral held at The Bank of
New York Company, Incorporated,
by $30,275 Government National
Mortgage Association, 6.00%,
due 10/20/2026, market value -
$30,474)....................... 29,714 29,714
<CAPTION>
Par
Amount Value
------- -------
(dollars in
thousands)
<S> <C> <C>
-------
TOTAL U S TREASURY REPURCHASE
AGREEMENTS................. $90,714
-------
TOTAL INVESTMENTS -
100.02% - (COST - $90,714)..... 90,714
-------
LIABILITIES, NET OF OTHER
ASSETS - (0.02%)............... (22)
-------
TOTAL NET ASSETS - 100%.......... $90,692
========
</TABLE>
- ---------------
Based on the cost of investments of $90,714 for federal income tax purposes at
October 31, 1996, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with Money Market securities represent yield to maturity.
(B) Repurchase agreements are fully collateralized by U.S. Treasury or
Government agency securities. All collateral is held at the Portfolio's
custodian bank, NationsBank of Texas, N.A., or at subcustodian banks, as
indicated. The collateral is monitored daily by the Portfolio so that its
market value exceeds the carrying value of the repurchase agreement.
See accompanying notes
50
<PAGE> 52
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Portfolio Portfolio Portfolio Portfolio
-------- ---------- ------------- ------------
(in thousands)
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities at value (cost - $764,769;
$880,481; $335,924; $173,958, respectively)........... $900,785 $1,113,842 $ 389,195 $174,479
Cash, including foreign currency........................ - - 14,651 -
Unrealized appreciation on foreign currency contracts... - - 484 -
Dividends and interest receivable....................... 6,586 2,193 993 1,278
Reclaims receivable..................................... - - 566 -
Receivable for investments sold......................... 120 241 235 -
Deferred organization costs............................. 34 34 34 34
Other assets............................................ 1 - - -
-------- ---------- --------- --------
TOTAL ASSETS........................................ 907,526 1,116,310 406,158 175,791
-------- ---------- --------- --------
LIABILITIES:
Payable for investments purchased....................... 10,606 3,040 678 2,508
Payable for portfolio redemptions....................... 538 126 43 -
Management and investment advisory fees payable
(Note 2).............................................. 803 904 496 37
Accrued organization costs.............................. 43 43 35 43
Other liabilities....................................... 54 40 410 26
-------- ---------- --------- --------
TOTAL LIABILITIES................................... 12,044 4,153 1,662 2,614
-------- ---------- --------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $895,482 $1,112,157 $ 404,496 $173,177
======== ========== ========= ========
</TABLE>
See accompanying notes
51
<PAGE> 53
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Money Municipal Treasury
Market Money Market Money Market
Portfolio Portfolio Portfolio
---------- ------------ ------------
(in thousands)
<S> <C> <C> <C>
ASSETS:
Investments in securities at value (cost - $1,755,588; $81,035;
$90,714, respectively)*...................................... $1,755,588 $ 81,035 $ 90,714
Cash........................................................... - - 17
Dividends and interest receivable.............................. 9,671 274 14
Deferred organization costs.................................... 34 34 34
---------- -------- --------
TOTAL ASSETS............................................... 1,765,293 81,343 90,779
---------- -------- --------
LIABILITIES:
Management and investment advisory fees payable (Note 2)....... 237 4 11
Accrued organization costs..................................... 43 43 43
Other liabilities.............................................. 91 38 33
---------- -------- --------
TOTAL LIABILITIES.......................................... 371 85 87
---------- -------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS........... $1,764,922 $ 81,258 $ 90,692
========== ======== ========
</TABLE>
- ---------------
* Includes repurchase agreements of $90,714 for the U.S. Treasury Money Market
Portfolio.
See accompanying notes
52
<PAGE> 54
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF OPERATIONS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Limited- Municipal U.S. Treasury
Growth and International Term Money Money Money
Balanced Income Equity Income Market Market Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-------- ---------- ------------- -------- --------- --------- -------------
(in thousands)
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income..................... $ 24,184 $ 2,577 $ 1,389 $ 12,656 $ 89,923 $ 2,275 $ 4,915
Dividend income (net of foreign
taxes of $762 in International
Equity Portfolio)................. 15,597 28,031 8,527 - - - -
Income derived from securities
lending,
net................................. 89 60 54 7 - - -
-------- -------- ------- -------- -------- ------- -------
TOTAL INVESTMENT INCOME......... 39,870 30,668 9,970 12,663 89,923 2,275 4,915
-------- -------- ------- -------- -------- ------- -------
EXPENSES:
Management and investment advisory
fees (Note 2)..................... 2,845 3,154 1,458 454 2,393 92 137
Custodian fees...................... 121 93 317 46 193 7 11
Professional fees................... 59 57 20 19 84 2 6
Organization costs.................. - - - - 8 8 8
Other expenses...................... 80 80 40 42 107 17 19
-------- -------- ------- -------- -------- ------- -------
TOTAL EXPENSES.................. 3,105 3,384 1,835 561 2,785 126 181
-------- -------- ------- -------- -------- ------- -------
Less fees waived (Note 2)....... - - - - - 47 -
-------- -------- ------- -------- -------- ------- -------
NET EXPENSES.................... 3,105 3,384 1,835 561 2,785 79 181
-------- -------- ------- -------- -------- ------- -------
NET INVESTMENT INCOME................... 36,765 27,284 8,135 12,102 87,138 2,196 4,734
-------- -------- ------- -------- -------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on
investments....................... 67,731 77,846 9,600 (3,216) 73 - 39
Net realized gain on foreign
currency transactions............. - - 1,572 - - - -
Change in net unrealized
appreciation of investments....... 27,670 94,294 38,592 458 - - -
Change in net unrealized
depreciation of foreign currency
contracts and translations........ - - (7,840) - - - -
-------- -------- ------- -------- -------- ------- -------
NET GAIN (LOSS) ON
INVESTMENTS................... 95,401 172,140 41,924 (2,758) 73 - 39
-------- -------- ------- -------- -------- ------- -------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS....................... $132,166 $199,424 $50,059 $ 9,344 $ 87,211 $ 2,196 $ 4,773
======== ======== ======= ======== ======== ======= =======
</TABLE>
See accompanying notes
53
<PAGE> 55
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal
Growth and International Limited-Term Money Money U.S. Treasury
Balanced Income Equity Income Market Market Money Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
---------- ---------- ------------- ------------ ------------ --------- -------------
(in thousands)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income..... $ 36,765 $ 27,284 $ 8,135 $ 12,102 $ 87,138 $ 2,196 $ 4,734
Net realized gain (loss)
on investments and
foreign currency
transactions............ 67,731 77,846 11,172 (3,216) 73 - 39
Change in net unrealized
appreciation of
investments and foreign
currency translations... 27,670 94,294 30,752 458 - - -
---------- ---------- -------- --------- ------------ --------- ---------
NET INCREASE IN NET
ASSETS RESULTING
FROM OPERATIONS..... 132,166 199,424 50,059 9,344 87,211 2,196 4,773
---------- ---------- -------- --------- ------------ --------- ---------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions............. 1,029,398 1,053,593 397,164 292,820 14,620,176 189,085 275,202
Withdrawals............... (266,082) (140,860) (42,727) (128,987) (12,942,465) (110,023) (189,283)
---------- ---------- -------- --------- ------------ --------- ---------
NET INCREASE IN NET
ASSETS RESULTING
FROM TRANSACTIONS IN
INVESTORS'
BENEFICIAL
INTERESTS........... 763,316 912,733 354,437 163,833 1,677,711 79,062 85,919
---------- ---------- -------- --------- ------------ --------- ---------
NET INCREASE IN NET ASSETS.... 895,482 1,112,157 404,496 173,177 1,764,922 81,258 90,692
---------- ---------- -------- --------- ------------ --------- ---------
NET ASSETS:
Beginning of year......... - - - - - - -
---------- ---------- -------- --------- ------------ --------- ---------
END OF YEAR............... $ 895,482 $1,112,157 $ 404,496 $ 173,177 $ 1,764,922 $ 81,258 $ 90,692
========== ========== ========= ========== ============ ========= =========
- --------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS:
Net investment income to
average net assets*..... 4.26% 2.81% 2.50% 6.67% 5.45% 3.59% 5.18%
Expenses to average net
assets*................. 0.36% 0.35% 0.56% 0.31% 0.17% 0.13% 0.20%
Portfolio turnover rate... 76% 40% 19% 304% - - -
Average commission rate
paid.................... $ 0.0409 $ 0.0412 $ 0.0192 - - - -
</TABLE>
- ---------------
* Ratios to average net assets exclude fees waived by the Manager. Had the
Municipal Money Market Portfolio paid such fees, the ratios of net investment
income and expenses to average net assets would have been 3.51% and .21%,
respectively.
See accompanying notes
54
<PAGE> 56
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
AMR Investment Services Trust (the "Trust") is registered under the
Investment Company Act of 1940, as amended, as a no-load, open-end, management
investment company which was organized as a trust under the laws of the State of
New York pursuant to a Declaration of Trust dated as of June 27, 1995 and
amended on August 11, 1995. Beneficial interests in the Trust are divided into
seven separate series, each having distinct investment objectives and policies,
as follows: AMR Investment Services Balanced Portfolio, AMR Investment Services
Growth and Income Portfolio, AMR Investment Services International Equity
Portfolio, AMR Investment Services Limited-Term Income Portfolio, AMR Investment
Services Money Market Portfolio, AMR Investment Services Municipal Money Market
Portfolio, and AMR Investment Services U.S. Treasury Money Market Portfolio
(each a "Portfolio" and collectively the "Portfolios"). 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. The Trust commenced active
operations on November 1, 1995.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services.
The following is a summary of the significant accounting policies followed
by the Portfolios.
Security Valuation
Equity securities that are primarily traded on domestic securities
exchanges are valued at the last quoted sales price on a designated exchange
prior to the close of trading on the New York Stock Exchange (the "Exchange")
or, lacking any current sales, on the basis of the last current bid price prior
to the close of trading on the Exchange. Portfolio securities that are primarily
traded on foreign securities exchanges are generally valued at the preceding
closing values of such securities on their respective exchanges where primarily
traded. Over-the-counter equity securities are valued on the basis of the last
bid price on that date prior to the close of trading. Debt securities (other
than short-term securities) normally will be valued on the basis of prices
provided by a pricing service and may take into account appropriate factors such
as institution-size trading in similar groups of securities, yield, quality,
coupon rate, maturity, type of issue, trading characteristics and other market
data. In some cases, the prices of debt securities may be determined using
quotes obtained from brokers. Securities for which market quotations are not
readily available are valued at fair value, as determined in good faith and
pursuant to procedures approved by the Board. Investment grade short-term
obligations with 60 days or less to maturity and securities of the Money Market,
Municipal Money Market and U.S. Treasury Money Market Portfolios (the "Money
Market Portfolios") are valued using the amortized cost method. In the event
that a deviation of 1/2 of 1% or more exists between the $1.00 per share price
of the Money Market Portfolios, calculated at amortized cost, and the price per
share calculated by reference to market quotations, or if there is any other
deviation which the Board believes would result in a material dilution to
shareholders or purchasers, the Board will promptly consider the appropriate
action which should be initiated.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale. Dividend income is recorded on the ex-dividend date except
certain dividends from foreign securities which are
55
<PAGE> 57
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
recorded as soon as the information is available to the Portfolios. 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.
Currency Translation
All assets and liabilities initially expressed in foreign currency values
are converted into U.S. dollar values at the bid price of such currencies
against U.S. dollars as last quoted by a recognized dealer. Income, expenses and
purchases and sales of investments are translated into U.S. dollars at the rate
of exchange prevailing on the respective dates of such transactions. The
Portfolios include that portion of the results of operations resulting from
changes in foreign exchange rates with net realized and unrealized gain on
investments, as appropriate.
Forward Foreign Currency Contracts
The International Equity Portfolio may enter into forward foreign currency
contracts to hedge the exchange rate risk on investment transactions or to hedge
the value of portfolio securities denominated in foreign currencies. Forward
foreign currency contracts are valued at the forward exchange rate prevailing on
the day of valuation.
Federal Income and Excise 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 sub-chapter M of the
Internal Revenue Code. Accordingly, no provision for United States federal
income or excise tax is necessary.
Repurchase Agreements
Under the terms of a repurchase agreement, securities are acquired by a
Portfolio from a securities dealer or a bank which are subject to resale at a
later date. Repurchase agreements are fully collateralized by U.S. Treasury or
Government agency securities. All collateral is monitored daily by each
Portfolio so that the collateral's market value exceeds the carrying value of
the repurchase agreement.
Deferred Organization Expenses
Expenses incurred by a Portfolio in connection with its organization are
being amortized on a straight-line basis over a five-year period.
56
<PAGE> 58
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement which
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory and portfolio management services. Investment assets of the
Balanced, Growth and Income, and International Equity Portfolios ("Variable NAV
Portfolios") are managed by multiple investment advisers which have entered into
separate investment advisory agreements with the Manager. As compensation for
performing the duties required under the Management Agreement, the Manager
receives from the Portfolios an annualized fee equal to .10% of the average
daily net assets of the Variable NAV Portfolios plus amounts paid by the Manager
to the investment advisors hired by the Manager to direct investment activities
of the Portfolios. Management fees are paid as follows (dollars in thousands):
<TABLE>
<CAPTION>
Amount paid to Net Amount
Management Management Investment Paid to
Fee Rate Fee Advisors Manager
---------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
Balanced Portfolio.......................................... .225%-.70% $2,845 $2,005 $840
Growth and Income Portfolio................................. .225%-.70% 3,154 2,182 972
International Equity Portfolio.............................. .50%-.90% 1,458 1,132 326
</TABLE>
The Manager serves as the sole investment adviser to the Limited-Term
Income Portfolio, and each of the Money Market Portfolios. Pursuant to the
Management Agreement, the Manager receives from the Portfolios an annualized fee
equal to .25% of the average daily net assets of the Limited-Term Income
Portfolio and .15% of the average daily net assets of each of the Money Market
Portfolios. During the year ended October 31, 1996, the Manager waived
management fees totaling $47,000 for the Municipal Money Market Portfolio.
Other
Certain officers or trustees of the Trust are also officers of the Manager
or American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided free unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an amount
equal to the Trustee's income tax on the value of this free airline travel. For
the year ended October 31, 1996, the cost of air transportation was not material
to any of the Portfolios.
3. INVESTMENT TRANSACTIONS
Investment transactions for the year ended October 31, 1996 (excluding
short-term investments) are as follows (in thousands):
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Portfolio Portfolio Portfolio Portfolio
-------- ---------- ------------- ------------
<S> <C> <C> <C> <C>
Purchases.............................................. $647,086 $536,001 $ 139,871 $523,969
Proceeds from sales.................................... $632,770 $365,851 $ 57,351 $547,409
</TABLE>
57
<PAGE> 59
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
(Continued)
- --------------------------------------------------------------------------------
4. COMMITMENTS
In order to protect itself against a decline in the value of particular
foreign currencies against the U.S. dollar, the International Equity Portfolio
has entered into forward contracts to deliver or receive foreign currency in
exchange for U.S. dollars as described below. The Portfolio bears the market
risk that arises from changes in foreign exchange rates, and accordingly, the
unrealized gain (loss) on these contracts is reflected in the accompanying
financial statements. The Portfolio also bears the credit risk if the
counterparty fails to perform under the contract. At October 31, 1996, the
Portfolio had outstanding forward foreign currency contracts as follows:
<TABLE>
<CAPTION>
Settlement Unrealized
Contracts to Deliver Date Value Gain/(Loss)
- ----------------------------------------------------------------------- ---------- ------- -----------
(amounts in thousands)
<S> <C> <C> <C> <C>
2,900 AUD.......................................................... 1/10/97 $ 2,291 $ (8)
10,000 DEM.......................................................... 6/19/97 6,681 190
300,000 ESP.......................................................... 12/2/96 2,349 15
34,000 FRF.......................................................... 6/19/97 6,715 83
21,700 FRF.......................................................... 6/19/97 4,286 (29)
195,000 JPY.......................................................... 12/20/96 1,721 290
2,750 NLG.......................................................... 11/14/96 1,623 145
3,900 NLG.......................................................... 11/14/96 2,302 219
18,500 SEK.......................................................... 9/16/97 2,828 (36)
------ -----
Total contracts to deliver
(Receivable amount $31,665)............................................ $30,796 $ 869
====== =====
Contracts to Receive
- -----------------------------------------------------------------------
(amounts in thousands)
10,000 DEM.......................................................... 6/19/97 $ 6,681 $(228)
195,000 JPY.......................................................... 12/24/96 1,721 (101)
6,650 NLG.......................................................... 11/14/96 3,925 (56)
------ -----
Total contracts to receive
(Payable amount $12,712)............................................... $12,327 $(385)
====== =====
</TABLE>
5. SECURITIES LENDING
The Portfolios participate in a securities lending program under which
securities are loaned to selected institutional investors for a fee. All such
loans require collateralization with cash, securities of the U.S. Government and
its agencies or letters of credit that at all times equal at least 100% of the
market value of the loaned securities plus accrued interest. At October 31, 1996
there were no outstanding securities loans for any of the Portfolios.
58
