<PAGE> 1
SEMI-ANNUAL
REPORT
APRIL 30, 1996
[AMERICAN AADVANTAGE MILEAGE FUNDS(SM) LOGO]
BALANCED FUND
GROWTH AND INCOME FUND
INTERNATIONAL EQUITY FUND
LIMITED-TERM INCOME FUND
MONEY MARKET FUND
MUNICIPAL MONEY MARKET FUND
U.S. TREASURY MONEY MARKET 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 Semi-Annual
Report for the six months ended April 30, 1996.
Balanced Mileage Fund
The Balanced Mileage Fund's total return for the six months ending April
30, 1996 was 9.38%. This return exceeded the Lipper Balanced Index total return
average of 7.78%.
The economy appeared sluggish going into 1996 due to the federal government
shutdown, snow storms in the Northeast and weak consumer spending. However,
after the Federal Reserve lowered interest rates by .25% in January, the market
began to show signs of strong growth. As a result, longer term interest rates
began to rise, lowering the value of the bonds held in the Balanced Fund.
Returns on the bond portion of the Fund were barely positive for the six month
period. However, the Fund's average holdings of 60% in stocks and positive
sector and stock selection contributed to the overall positive results of the
Fund.
Growth and Income Mileage Fund
The Growth and Income Mileage Fund's total return for the six months ending
April 30, 1996 was 14.97%. This return exceeded the Lipper Growth and Income
Index total return average of 13.82%.
The Growth and Income Fund maintained an average equity weighting of
approximately 94% throughout the period. The Fund benefited from overweighted
positions in financials, consumer durables and energy and the underweightings in
consumer non-durables and utilities. The consistent application of the Fund's
value style continues to benefit its shareholders.
International Equity Mileage Fund
For the six months ended April 30, 1996, the International Equity Mileage
Fund's total return was 12.99%. This return exceeded the Lipper International
Index total return average of 12.09%.
Superior stock selection over the past six months, particularly in Canada,
Finland and Sweden, contributed to most of the Fund's excess return. The Fund
continues to overweight these markets along with Australia, France, the
Netherlands, Norway, Spain and Switzerland. Stocks in these countries,
particularly continental Europe, appear attractive due to the combination of
lower interest rates and continued low inflation. The Fund continues to
significantly underweight Japan (relative to the Morgan Stanley Capital
International Europe, Australia and Far East ("EAFE") Index) due to perceived
overvaluation of that market and limited long-term growth prospects. The Fund
has also continued to underweight the UK market due to political uncertainties.
Limited-Term Income Mileage Fund
The Limited-Term Income Fund's prior benchmark, the Lipper Short-Term (1-5
Year) Investment Grade Debt Average, was split as of January 1, 1996 into two
separate categories, the Short Investment Grade Debt Average, with 1 to 3 Year
Maturity/Durations, and the Short-Intermediate Investment Grade Debt Average,
with 1 to 5 Year Maturity/Durations.
The Limited-Term Income Mileage Fund's total return for the six months
ending April 30, 1996 was 0.83%. This return can be compared to a benchmark
created by linking the Lipper Short-Term (1-5 Year) Investment Grade Debt
Average through 12/31/95 with the Lipper Short-Intermediate
<PAGE> 3
Investment Grade Debt Average through 4/30/96. The six month total return
through 4/30/96 of this benchmark was 1.08%. In general, performance was
affected by the rise in market rates after mid February as unforeseen strength
in the economy renewed inflationary concerns and a steepening yield curve
suggested that the Federal Reserve may have to raise interest rates. The Fund
has reduced its duration, with intermediate treasuries and corporate bonds sold
to raise cash. On April 30th, the Fund's weighted average maturity was 3.4 years
with a weighted average duration of 2.6 years.
Money Market Mileage Fund
For the six months ended April 30, 1996, the Mileage and Platinum Classes
outperformed their Lipper benchmark, the Money Market Instrument Funds' Average,
achieving annualized total returns of 5.13% and 4.91%, respectively.
Toward the end of 1995, the economy began to show signs of faltering while
the fear of inflation remained contained. In response, the Federal Reserve
lowered the Fed Funds rate 25 basis points on December 19, 1995 and again on
January 31, 1996. The fund achieved its solid relative performance during this
period by maintaining a longer average maturity. On December 19th and January
31st, the Fund's average maturity was 63 days and 71 days, respectively.
However, as a result of lower interest rates, the economy started to exhibit
indications of economic expansion and market sentiment soon shifted from an
easing bias to a more neutral directive. As a result, a shift in portfolio
strategy was implemented which included shortening the Fund's average maturity
to a more neutral investment posture. On April 30, 1996, the Fund's average
maturity was 43 days.
U.S. Treasury Money Market Mileage Fund
The U.S. Treasury Money Market Mileage Fund strengthened its relative
performance for the six months ended April 30, 1996 versus the same period last
year. The Fund had an annualized total return for the period of 5.03% and
outperformed its Lipper benchmark, the U.S. Treasury Money Funds' Average. The
Fund continues to be rated "AAAm" by Standard & Poor's Corporation.
Municipal Money Market Mileage Fund
For the six months ended April 30, 1996, the Fund achieved annualized total
returns of 3.23% for the six month period ended April 30, 1996 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.
As always, we appreciate your confidence and support and we will continue
to strive to provide you with above average long-term returns.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Mileage Funds
2
<PAGE> 4
RESULTS OF SHAREHOLDER MEETING:
A special meeting of shareholders of the American AAdvantage Balanced
Mileage Fund ("Balanced Fund"), American AAdvantage Growth and Income Mileage
Fund, ("Growth and Income Fund") and the American AAdvantage International
Equity Mileage Fund ("International Fund"), (the "Mileage Funds") was held on
April 16, 1996. The following matters were voted on at the meeting.
(1) The shareholders of the Balanced Fund and the Growth and Income Fund
approved a new Investment Subadvisory Agreement between the Manager and
Brandywine Asset Management, Inc. (Balanced Fund and Growth and Income Fund
only).
<TABLE>
<CAPTION>
VOTED: FOR AGAINST ABSTAIN NON- VOTING
- ------------------------------------------------------------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
Balanced Fund................................................ 67,294.409 0.000 3,654.500 31,769.276
Growth and Income Fund....................................... 141,362.749 3,446.153 15,929.721 51,822.514
</TABLE>
(2) The shareholders of the Balanced Fund and the Growth and Income Fund
approved a new Investment Subadvisory Agreement between the Manager and
Boatmen's Trust Company (Balanced Fund and Growth and Income Fund only).
<TABLE>
<CAPTION>
VOTED: FOR AGAINST ABSTAIN NON- VOTING
- ------------------------------------------------------------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
Balanced Fund................................................ 67,294.409 0.000 3,654.500 31,769.276
Growth and Income Fund....................................... 141,362.749 3,446.153 15,929.721 51,822.514
</TABLE>
(3) The shareholders of the International Fund approved a new Investment
Subadvisory Agreement between the Manager and Rowe Price -- Fleming
International, Inc. (International Fund only).
<TABLE>
<CAPTION>
VOTED: FOR AGAINST ABSTAIN NON- VOTING
- ------------------------------------------------------------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
International Fund........................................... 87,049.661 5,520.206 7,184.173 34,895.639
</TABLE>
(4) The shareholders of the Balanced Fund, Growth and Income Fund and the
International Fund approved a proposal to permit the Manager to hire new
subadvisers or modify the subadvisory agreements of the Funds without
shareholder approval (Each Fund).
<TABLE>
<CAPTION>
VOTED: FOR AGAINST ABSTAIN NON- VOTING
- ------------------------------------------------------------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
Balanced Fund................................................ 61,577.825 5,006.028 4,365.056 31,769.276
Growth and Income Fund....................................... 130,918.353 13,890.549 15,929.721 51,822.514
International Fund........................................... 76,177.374 15,527.314 8,049.352 34,895.639
</TABLE>
3
<PAGE> 5
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International Limited-Term
Growth and Equity Income
Balanced Fund Income Fund Fund Fund
------------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value...................... $ 2,079,288 $4,913,288 $2,415,885 $1,230,667
Receivable for expense reimbursement (Note 2).......... 18,410 19,062 16,335 16,230
Deferred organization costs............................ 8,513 8,513 8,513 8,513
Other.................................................. 15,745 - 13,912 12,045
----------- ---------- ---------- ----------
TOTAL ASSETS....................................... 2,121,956 4,940,863 2,454,645 1,267,455
----------- ---------- ---------- ----------
LIABILITIES:
Accrued organization costs............................. 9,524 9,523 9,514 9,523
Dividends payable...................................... - - - 6,014
Management fees payable (Note 2)....................... 1,456 3,420 1,641 1,236
Other liabilities...................................... 7,721 - 8,088 7,248
----------- ---------- ---------- ----------
TOTAL LIABILITIES.................................. 18,701 12,943 19,243 24,021
----------- ---------- ---------- ----------
ANALYSIS OF NET ASSETS:
Paid-in-capital........................................ 1,999,223 4,502,888 2,221,999 1,283,614
Accumulated undistributed income:
Net investment income................................ 18,429 23,153 4,209 -
Net realized gain (loss) on investments.............. 62,015 189,012 34,609 (1,539)
Unrealized appreciation (depreciation) of
investments........................................ 23,588 212,867 174,585 (38,641)
----------- ---------- ---------- ----------
NET ASSETS......................................... $ 2,103,255 $4,927,920 $2,435,402 $1,243,434
=========== ========== ========== ==========
NET ASSETS:
Applicable to 139,289; 272,359; 164,143; and 129,556
shares of beneficial interest outstanding (no par
value), respectively................................. $ 2,103,255 $4,927,920 $2,435,402 $1,243,434
=========== ========== ========== ==========
Net asset value, offering and redemption price per
share................................................ $ 15.10 $ 18.09 $ 14.84 $ 9.60
=========== ========== ========== ==========
</TABLE>
See accompanying notes
4
<PAGE> 6
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Money Municipal Treasury
Market Money Market Money Market
Fund Fund Fund
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value............................ $105,821,045 $23,413,388 $7,975,556
Receivable for expense reimbursement (Note 2)................ 18,397 6,041 18,217
Deferred organization costs.................................. 8,513 8,513 8,513
------------ ----------- ----------
TOTAL ASSETS............................................. 105,847,955 23,427,942 8,002,286
------------ ----------- ----------
LIABILITIES:
Accrued organization costs................................... 9,512 9,523 9,523
Dividends payable............................................ 406,450 54,433 29,884
Management and administrative services fees payable (Note
2)......................................................... 26,969 3,784 1,175
Other liabilities............................................ 86,472 23,969 150
------------ ----------- ----------
TOTAL LIABILITIES........................................ 529,403 91,709 40,732
------------ ----------- ----------
ANALYSIS OF NET ASSETS:
Paid-in-capital.............................................. $105,318,552 $23,336,233 $7,961,554
============ =========== ==========
NET ASSETS:
Applicable to 105,318,552; 23,336,233; and 7,961,554 shares
of beneficial interest outstanding (no par value),
respectively............................................... $105,318,552 $23,336,233 $7,961,554
============ =========== ==========
Net asset value, offering and redemption price per share......... $ 1.00 $ 1.00
=========== ==========
MILEAGE CLASS:
Net asset value, offering and redemption price per share
(93,833,453 shares outstanding)............................ $ 1.00 N/A N/A
============
PLATINUM CLASS:
Net asset value, offering and redemption price per share
(11,485,099 shares outstanding)............................ $ 1.00 N/A N/A
============
</TABLE>
See accompanying notes
5
<PAGE> 7
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<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
-------- ---------- ------------- ------------ ---------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO:
Allocated interest income...... $ 20,829 $ 6,250 $ 3,598 $ 45,196 $2,977,449 $417,297 $ 195,682
Allocated dividend income (net
of foreign taxes of $2,699 in
International Equity Fund)... 13,873 50,113 21,593 - - - -
Allocated income from
securities lending, net...... 37 34 97 8 - - -
Allocated Portfolio expenses
(net of reimbursement of
$10,573 for the Municipal
Money Market Fund)........... (2,703) (6,058) (5,033) (1,954) (93,459) (15,182 ) (7,735)
-------- -------- --------- -------- ---------- -------- ---------
TOTAL INVESTMENT INCOME.... 32,036 50,339 20,255 43,250 2,883,990 402,115 187,947
-------- -------- --------- -------- ---------- -------- ---------
FUND EXPENSES:
Management fees (Note 2)....... 1,955 4,572 2,230 1,609 25,908 5,445 1,767
Administrative service fees --
Platinum Class (Note 2)...... - - - - 9,783 - -
Transfer agent fees............ 2,266 2,632 2,355 2,111 - 8,843 4,313
Transfer agent fees -- Mileage
Class........................ - - - - 46,025 - -
Professional fees.............. 3,187 3,280 3,214 3,140 16,391 5,183 3,812
Registration fees and
expenses..................... 13,339 15,710 13,592 10,383 43,033 19,130 14,555
Distribution fees.............. 1,955 4,572 2,230 1,609 - 27,227 8,832
Distribution fees -- Mileage
Class........................ - - - - 123,954 - -
Distribution fees -- Platinum
Class........................ - - - - 4,447 - -
Other.......................... 1,349 1,491 1,373 1,289 13,343 3,475 2,050
-------- -------- --------- -------- ---------- -------- ---------
TOTAL FUND EXPENSES........ 24,051 32,257 24,994 20,141 282,884 69,303 35,329
-------- -------- --------- -------- ---------- -------- ---------
Less reimbursement of expenses
(Note 2)..................... 18,909 20,214 16,924 16,603 27,576 13,246 21,156
-------- -------- --------- -------- ---------- -------- ---------
NET FUND EXPENSES.......... 5,142 12,043 8,070 3,538 255,308 56,057 14,173
-------- -------- --------- -------- ---------- -------- ---------
NET INVESTMENT INCOME...... 26,894 38,296 12,185 39,712 2,628,682 346,058 173,774
-------- -------- --------- -------- ---------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
FROM PORTFOLIO:
Net realized gain (loss) on
investments and foreign
currency transactions........ 62,015 189,012 34,609 (1,539) 2,556 - 2,005
Net unrealized appreciation
(depreciation) of investments
and foreign currency
translations................. 23,588 212,867 174,585 (38,641) - - -
-------- -------- --------- -------- ---------- -------- ---------
NET GAIN (LOSS) ON
INVESTMENTS.............. 85,603 401,879 209,194 (40,180) 2,556 - 2,005
-------- -------- --------- -------- ---------- -------- ---------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........ $112,497 $440,175 $ 221,379 $ (468) $2,631,238 $346,058 $ 175,779
======== ======== ========= ======== ========== ======== =========
</TABLE>
See accompanying notes
6
<PAGE> 8
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Limited- Municipal U.S. Treasury
Growth and International Term Money Money Money
Balanced Income Equity Income Market Market Market
Fund Fund Fund Fund Fund Fund Fund
---------- ---------- ------------- ---------- ------------ ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income....... $ 26,894 $ 38,296 $ 12,185 $ 39,712 $ 2,628,682 $ 346,058 $ 173,774
Net realized gain (loss) on
investments and foreign
currency transactions
allocated from
Portfolio................. 62,015 189,012 34,609 (1,539) 2,556 - 2,005
Net unrealized appreciation
(depreciation) of
investments and foreign
currency translations
allocated from
Portfolio................. 23,588 212,867 174,585 (38,641) - - -
---------- ---------- ------------ ---------- ------------ ----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS................ 112,497 440,175 221,379 (468) 2,631,238 346,058 175,779
---------- ---------- ------------ ---------- ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income....... (8,465) (15,143) (7,976) (39,712) - (346,058) (173,774)
Net investment
income -- Mileage Class... - - - - (2,550,141) - -
Net investment
income -- Platinum
Class..................... - - - - (78,541) - -
Net realized gain on
investments............... - - - - - - (2,005)
Net realized gain on
investments --
Mileage Class............. - - - - (2,467) - -
Net realized gain on
investments -- Platinum
Class..................... - - - - (89) - -
---------- ---------- ------------ ---------- ------------ ----------- -----------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS.............. (8,465) (15,143) (7,976) (39,712) (2,631,238) (346,058) (175,779)
---------- ---------- ------------ ---------- ------------ ----------- -----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares.................... 2,092,657 4,750,725 2,658,486 1,676,656 160,465,225 32,252,252 10,779,735
Reinvestment of dividends
and distributions......... 7,794 14,246 7,432 30,484 2,092,392 282,244 138,258
Cost of shares redeemed..... (102,228) (263,083) (444,919) (424,526) (57,333,065) (9,199,263) (2,957,439)
---------- ---------- ------------ ---------- ------------ ----------- -----------
NET INCREASE IN NET ASSETS
FROM CAPITAL SHARE
TRANSACTIONS.............. 1,998,223 4,501,888 2,220,999 1,282,614 105,224,552 23,335,233 7,960,554
---------- ---------- ------------ ---------- ------------ ----------- -----------
TOTAL INCREASE IN NET
ASSETS.................... 2,102,255 4,926,920 2,434,402 1,242,434 105,224,552 23,335,233 7,960,554
NET ASSETS:
Beginning of period......... 1,000 1,000 1,000 1,000 94,000 1,000 1,000
---------- ---------- ------------ ---------- ------------ ----------- -----------
END OF PERIOD*.............. $2,103,255 $4,927,920 $ 2,435,402 $1,243,434 $105,318,552 $23,336,233 $ 7,961,554
========== ========== ============ ============ ============ =========== ===========
* Includes undistributed net
investment income of...... $ 18,429 $ 23,153 $ 4,209 $ - $ - $ - $ -
========== ========== ============ ============ ============ =========== ===========
</TABLE>
See accompanying notes
7
<PAGE> 9
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
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>
<S> <C> <C>
AMERICAN AADVANTAGE: INVESTS ASSETS IN AMR INVESTMENT SERVICES TRUST:
-------------------- ------------------------------
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 (0.24%,
0.49%, 0.74%, 0.66%, 6.55%, 35.30% and 7.48% at April 30, 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.
8
<PAGE> 10
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1996
(Unaudited) (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.
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.
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.
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
9
<PAGE> 11
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1996
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
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 period ended April 30, 1996, the Manager waived distribution fees
totaling $1,993, $4,656, $2,264, $1,636, $13,355 and $8,857 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 $26,264 and $966 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 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 period
ended April 30, 1996, the cost of air transportation was not material to any of
the Funds. At April 30, 1996, Trustees and officers of the trust as a group
owned 1% of the Money Market Mileage Fund.
10
<PAGE> 12
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1996
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
Reimbursement of Expenses
For the period ending April 30, 1996, the Manager will reimburse expenses
totaling $16,916, $15,558, $14,660, $14,967 and $12,299 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 period
ended April 30, 1996.
<TABLE>
<CAPTION>
Balanced Growth and Income International Equity Limited-Term 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.................. 145,608 $2,092,657 286,510 $4,750,725 195,289 $2,658,486 170,311 $1,676,656
Reinvestment of Shares....... 535 7,794 846 14,246 540 7,432 3,099 30,484
Shares redeemed.............. (6,904) (102,228) (15,047) (263,083) (31,736) (444,919) (43,904) (424,526)
------- ---------- ------- ---------- ------- ---------- ------- ----------
Net increase in shares
outstanding................ 139,239 $1,998,223 272,309 $4,501,888 164,093 $2,220,999 129,506 $1,282,614
======= ========== ======= ========== ======= ========== ======= ==========
</TABLE>
The tables below summarizes the activity in capital shares for the period
ended April 30, 1996 for each of the Money Market Mileage Funds. 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............................ 147,405,017 13,060,208 32,252,252 10,779,735
Reinvestment of dividends.............. 2,049,470 42,922 282,244 138,258
Shares redeemed........................ (55,715,034) (1,618,031) (9,199,263) (2,957,439)
----------- ---------- ---------- ----------
Net increase in shares outstanding..... 93,739,453 11,485,099 23,335,233 7,960,554
=========== ========== ========== ==========
</TABLE>
11
<PAGE> 13
AMERICAN AADVANTAGE MILEAGE FUNDS
FINANCIAL HIGHLIGHTS
Six Months Ended April 30, 1996
(Unaudited)
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Limited-
Growth and International Term
Balanced Income Equity Income
Fund(1)(2) Fund(1)(2) Fund(1) Fund(1)
---------- ---------- ------------- ----------
<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.................................... 0.23 0.17 0.10 0.30
Net gain (loss) on securities (both realized and
unrealized)............................................ 1.00 2.07 1.66 (0.23)
---------- ---------- ------------ ----------
TOTAL FROM INVESTMENT OPERATIONS..................... 1.23 2.24 1.76 0.07
---------- ---------- ------------ ----------
LESS DISTRIBUTIONS:
Dividends from net investment income..................... (0.10) (0.09) (0.07) (0.30)
Distributions from net realized gains on securities...... - - - -
---------- ---------- ------------ ----------
TOTAL DISTRIBUTIONS.................................. (0.10) (0.09) (0.07) (0.30)
---------- ---------- ------------ ----------
NET ASSET VALUE, END OF PERIOD............................... $ 15.10 $ 18.09 $ 14.84 $ 9.60
========== ========== ============ ==========
Total return (annualized)(5)................................. 17.19% 26.11% 23.07% 1.64%
========== ========== ============ ==========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period................................ $2,103,255 $4,927,920 $ 2,435,402 $1,243,434
Ratios to average net assets (annualized)(5):
Expenses............................................. 1.00% 0.99% 1.47% 0.85%
Net investment income................................ 3.44% 2.10% 1.37% 6.14%
</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,
Inc. as an investment adviser to the Balanced and Growth and Income 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.
(5) Operating results exclude expenses reimbursed by the Manager. Results prior
to expense reimbursements were as follows for the period ended April 30,
1996:
<TABLE>
<CAPTION>
Money
Limited- Market Fund Municipal U.S. Treasury
Growth and International Term ------------------ Money Money
Balanced Income Equity Income Mileage Platinum Market Market
Fund Fund Fund Fund Class Class Fund Fund
-------- ---------- ------------- -------- ------- -------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratio of expenses to
average net assets
(annualized)........... 3.42% 2.10% 3.38% 3.42% 0.72% 1.18% 0.87% 1.22%
Ratio of net investment
income to average net
assets (annualized).... 1.02% 0.99% (0.53)% 3.56% 5.08% 4.36% 3.00% 4.34%
</TABLE>
12
<PAGE> 14
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market Fund(3) Municipal U.S. Treasury
- --------------------------- Money Money
Mileage Platinum Market Market
Class Class Fund Fund
- ----------- ----------- ----------- -------------
<S> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------- ----------- ----------- -----------
0.03 0.01 0.02 0.03
- - - -
- ----------- ----------- ----------- -----------
0.03 0.01 0.02 0.03
- ----------- ----------- ----------- -----------
(0.03) (0.01) (0.02) (0.03)
- - - -
- ----------- ----------- ----------- -----------
(0.03) (0.01) (0.02) (0.03)
- ----------- ----------- ----------- -----------
$ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== =========== =========== ===========
5.00% 4.79% 3.18% 4.91%
=========== =========== =========== ===========
$93,833,453 $11,485,099 $23,336,233 $ 7,961,554
0.66% 1.09% 0.66% 0.62%
5.14% 4.45% 3.21% 4.94%
</TABLE>
13
<PAGE> 15
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 20.64%
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - .24%
MTN, 6.36%, Due 8/16/2000....... $ 2,090 $ 2,073
--------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION...... 2,073
--------
U.S. TREASURY BILL - .51%
4.98%, Due 8/8/1996............. 4,500 4,438
--------
TOTAL U.S. TREASURY BILL.... 4,438
--------
U.S. TREASURY BONDS - 5.47%
11.625%, Due 11/15/2004......... 8,370 11,022
13.875%, Due 5/15/2011.......... 1,230 1,852
10.375%, Due 11/15/2012......... 1,500 1,905
8.75%, Due 5/15/2017............ 4,905 5,794
8.125%, Due 8/15/2019........... 8,550 9,539
8.75%, Due 8/15/2020............ 4,300 5,114
8.125%, Due 8/15/2021........... 2,675 2,994
7.25%, Due 8/15/2022............ 9,000 9,180
--------
TOTAL U.S. TREASURY BONDS... 47,400
--------
U.S. TREASURY COUPON STRIPS - .96%
Due 11/15/2008.................. 796 334
Due 5/15/2011................... 4,000 1,383
Due 5/15/2018................... 4,000 800
Due 11/15/2018.................. 13,000 2,555
Due 8/15/2019................... 11,500 2,141
Due 11/15/2019.................. 6,000 1,097
--------
TOTAL U.S. TREASURY COUPON
STRIPS.................... 8,310
--------
U.S. TREASURY NOTES - 13.46%
5.50%, Due 7/31/1997............ 2,500 2,491
7.375%, Due 11/15/1997.......... 1,000 1,021
7.25%, Due 2/15/1998............ 400 4,080
6.125%, Due 5/15/1998........... 5,330 5,335
5.125%, Due 6/30/1998........... 1,000 981
5.875%, Due 3/31/1999........... 2,750 2,725
7.00%, Due 4/15/1999............ 1,800 1,837
6.75%, Due 6/30/1999............ 5,000 5,069
6.375%, Due 7/15/1999........... 3,000 3,008
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
6.875%, Due 8/31/1999........... $ 3,800 $ 3,864
7.125%, Due 9/30/1999........... 4,680 4,796
7.75%, Due 1/31/2000............ 2,000 2,092
5.50%, Due 4/15/2000............ 3,000 2,913
6.125%, Due 7/31/2000........... 2,000 1,981
6.25%, Due 8/31/2000............ 1,500 1,492
6.125%, Due 9/30/2000........... 5,770 5,712
5.625%, Due 11/30/2000.......... 3,000 2,907
8.50%, Due 11/15/2000........... 5,500 5,949
6.375%, Due 3/31/2001........... 2,000 1,997
7.50%, Due 11/15/2001........... 3,000 3,141
7.50%, Due 5/15/2002............ 1,000 1,049
6.375%, Due 8/15/2002........... 8,250 8,183
6.25%, Due 2/15/2003............ 5,690 5,589
5.75%, Due 8/15/2003............ 3,000 2,852
5.875%, Due 2/15/2004........... 2,000 1,908
7.25%, Due 5/15/2004............ 1,500 1,553
7.25%, Due 8/15/2004............ 1,800 1,864
7.875%, Due 11/15/2004.......... 1,500 1,614
7.50%, Due 2/15/2005............ 4,615 4,857
6.50%, Due 5/15/2005............ 6,000 5,919
6.50%, Due 8/15/2005............ 2,000 1,974
5.875%, Due 11/15/2005.......... 3,000 2,831
5.625%, Due 2/15/2006........... 3,000 2,781
8.875%, Due 2/15/2019........... 5,020 6,024
7.875%, Due 2/15/2021........... 1,000 1,090
6.25%, Due 8/15/2023............ 3,450 3,114
--------
TOTAL U.S. TREASURY NOTES... 116,593
--------
TOTAL U.S. GOVERNMENT &
AGENCY OBLIGATIONS........ 178,814
--------
U.S. AGENCY MORTGAGE-BACKED
OBLIGATIONS - 4.91%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 1.54%
Series 1194, 6.50%,
Due 10/15/2006................ 1,500 1,446
Series 1349, 6.50%,
Due 5/15/2014................. 400 396
Series 1250, 7.00%,
Due 4/15/2019................. 1,000 1,002
Pool C00436, 7.50%, Due
12/1/2025..................... 5,076 5,022
</TABLE>
See accompanying notes
14
<PAGE> 16
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Pool C80372, 7.00%, Due
1/1/2026...................... $ 5,630 $ 5,431
--------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION
OBLIGATIONS............... 13,297
--------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 1.86%
TBA, 6.50%, Due 3/28/2008....... 4,050 3,924
ARM, Pool 66185, 6.366%,
Due 7/1/2018.................. 1,754 1,754
Series 1992-143, 6.75%,
Due 10/25/2018................ 500 498
Series 1989-21, 10.45%,
Due 4/25/2019................. 246 265
TBA, 7.00%, Due 1/1/2023........ 770 743
ARM, Pool 218949, 7.50%,
Due 2/1/2023.................. 1,238 1,258
ARM, Pool 266196, 7.345%,
Due 1/1/2024.................. 1,707 1,719
TBA, 7.50%, Due 9/23/2024....... 1,670 1,647
Pool 306505, 8.00%,
Due 3/1/2025.................. 1,551 1,566
ARM, Pool 308798, 7.277%,
Due 4/1/2025.................. 394 404
Pool 250414, 7.00%,
Due 12/1/2025................. 2,471 2,381
--------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION
OBLIGATIONS............... 16,159
--------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 1.51%
Pool 102932, 10.50%,
Due 9/15/1998................. 14 15
Pool 180220, 9.00%,
Due 10/15/2016................ 1,007 1,058
TBA, 8.00%, Due 2/1/2020........ 2,860 2,898
Pool 349306, 8.00%,
Due 2/1/2023.................. 2,799 2,834
Pool 336950, 7.50%,
Due 4/15/2023................. 835 825
Pool 355479, 8.00%,
Due 5/15/2023................. 1,617 1,637
Pool 1849, 8.50%,
Due 8/20/2024................. 636 651
TBA, 7.50%, Due 6/1/2025........ 2,290 2,264
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
TBA, 7.00%, Due 3/28/2026....... $ 940 $ 905
--------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION
OBLIGATIONS............... 13,087
--------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
SECURITIES................ 42,543
--------
NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS - 1.24%
Citicorp Mortgage Securities,
Incorporated, 9.50%,
Due 8/1/2002.................. 695 710
Citicorp Mortgage Securities,
Incorporated, 9.50%,
Due 8/25/2005................. 14 14
Citicorp Mortgage Securities,
Incorporated, 8.50%,
Due 4/25/2017................. 695 699
Citicorp Mortgage Securities,
Incorporated, 9.00%,
Due 4/1/2018.................. 785 805
Citicorp Mortgage Securities,
Incorporated, 9.50%,
Due 3/25/2005................. 1,107 1,105
DLJ Mortgage Acceptance
Corporation, 4.56029%,
Due 3/25/2024................. 638 614
General Electric Capital
Mortgage Services,
Incorporated, 1992-4 A A4,
8.00%, Due 4/25/2022.......... 677 684
Green Tree Financial
Corporation, 1993-3 A5, 5.75%,
Due 10/15/2018................ 990 946
Green Tree Financial
Corporation, 1994-5 A2, 7.30%,
Due 11/15/2019................ 690 701
Green Tree Financial
Corporation, 1995-8 A4, 6.60%,
Due 12/15/2002................ 1,400 1,350
INMC 1995-W A2, 7.25%,
Due 2/25/2026................. 1,500 1,388
Residential Funding Corporation,
1993-S28 A4, 6.35%,
Due 8/25/2023................. 300 291
The Money Store, 7.66%,
Due 8/15/2026................. 1,500 1,436
--------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS............... 10,743
--------
</TABLE>
See accompanying notes
15
<PAGE> 17
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
ASSET-BACKED SECURITIES - 2.61%
American Express Master Trust
1992-1 A, 6.05%,
Due 6/15/1998................. $ 2,250 $ 2,252
AT&T Universal Card Master
Trust, 5.95%, Due
10/17/2002.................... 990 965
Banc One Auto Trust, 1995-A A5,
7.05%, Due 8/15/1998.......... 390 395
Chemical Master Credit Card
Trust, 5.55% Due 9/15/2003.... 810 774
Chemical Master Credit
Card Trust, 6.23%,
Due 10/15/2005................ 990 960
Citibank Credit Card Master
Trust I, 0% Coupon,
Due 2/7/2001.................. 1,410 1,025
ContiMortgage Home Equity Loan
Trust, 7.96%, Due 9/15/2009... 2,500 2,551
Discover Card Master Trust I,
6.05%, Due 2/15/2006.......... 1,010 930
First Chicago Master II, 1992-E
A, 6.25%, Due 8/15/1999....... 750 751
General Electric Railcar Trust,
7.75%, Due 6/1/2004........... 629 648
NationsBank Credit Card Master
Trust, 6.00%, Due 12/15/2005.. 1,060 1,001
Olympic Automobile Receivables
Trust, 1993-C A, 4.50%,
Due 2/15/2000................. 256 253
PaineWebber Mortgage Acceptance
Corporation, 7.00%, Due
10/25/2023.................... 757 715
Premier Auto Trust, 6.00%,
Due 10/6/1999................. 2,000 1,983
Premier Auto Trust, 6.00%,
Due 5/2/2000.................. 960 959
Prime Credit Card Master Trust,
1992-1 A1, 7.05%,
Due 2/15/2001................. 1,010 1,025
Signet Credit Card Master Trust,
1994-4 A, 6.80%,
Due 12/15/2000................ 1,800 1,819
Sears Credit Account Master
Trust, 6.05%, Due 1/15/2008... 720 688
Standard Credit Card Master
Trust, 5.90%, Due 2/7/2001.... 1,000 986
UCFC Home Equity, 1994-C1 A2,
7.275%, Due 6/10/2007......... 502 507
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Western Financial Grantor Trust,
1993-2 A2, 4.70%,
Due 10/1/1998................. $ 812 $ 804
Western Financial Grantor
Trust,1994-3 A2, 6.65%,
Due 12/1/1999................. 643 647
--------
TOTAL ASSET-BACKED
SECURITIES................ 22,638
--------
CORPORATE BONDS - 9.26%
FINANCIAL - 4.13%
American General Financial,
7.25%, Due 5/15/2005.......... 410 408
Associates Corporation of North
America 7.50%,
Due 5/15/1999................. 80 82
BankAmerica Corporation, 7.50%,
Due 3/15/1997................. 960 972
BankAmerica Corporation, 9.75%,
Due 7/1/2000.................. 600 661
BanPonce, 7.30%, Due 6/5/2002... 640 643
Chase Manhattan, Corporation,
7.625%, Due 1/15/2003......... 200 205
Chase Manhattan, Corporation,
8.625%, Due 5/1/2002.......... 700 754
Chemical Banking Corporation,
FRN, 6.2125%, Due 6/15/2000... 2,300 2,307
Chemical New York Corporation,
9.75%, Due 6/15/1999.......... 900 977
Countrywide Funding Corporation,
6.05%, Due 3/1/2001........... 1,200 1,152
Fleet Mortgage Group,
Incorporated, 6.125%,
Due 8/15/1997................. 930 929
Ford Motor Credit Company,
9.25%, Due 6/15/1998.......... 1,000 1,055
Ford Motor Credit Company,
7.95%, Due 5/17/1999.......... 2,700 2,795
Ford Motor Credit Company,
8.20%, Due 2/15/2002.......... 1,510 1,590
General Motors Acceptance
Corporation, 7.375%,
Due 4/25/2000................. 2,000 2,034
General Motors Acceptance
Corporation, 6.75%,
Due 6/17/2002................. 1,140 1,120
Health & Rehab, FRN, 6.9875%,
Due 7/13/1999................. 1,000 997
</TABLE>
See accompanying notes
16
<PAGE> 18
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
International Business Machines,
Incorporated, 7.00%,
Due 10/30/2025................ $ 1,290 $ 1,184
Lehman Brothers Holding,
Incorporated, 6.625%,
Due 2/15/2000................. 570 559
Lehman Brothers Holding,
Incorporated, 7.41%,
Due 5/25/1999................. 500 507
Lehman Brothers, Incorporated,
5.04%,
Due 12/15/2003................ 1,000 996
National Bank of Detroit,
7.125%, Due 5/15/2007......... 700 686
NationsBank Corporation, 7.625%,
Due 4/27/2005................. 1,000 1,018
PNC Funding Corporation, 6.125%,
Due 9/1/2003.................. 1,000 937
Salomon Incorporated, 7.05%,
Due 1/15/1998................. 800 803
Salomon Incorporated, 7.00%,
Due 1/20/1998................. 390 391
Salomon Incorporated, 5.53%,
Due 1/30/1998................. 1,500 1,468
Salomon Incorporated, 6.04%,
Due 7/9/1998.................. 625 613
Salomon Incorporated, 6.70%,
Due 12/1/1998................. 390 387
Salomon Incorporated, 5.395%,
Due 4/5/1999.................. 500 493
Society National Bank, 7.25%,
Due 6/1/2005.................. 800 795
St. Paul Companies, 9.375%,
Due 6/15/1997................. 600 621
Taubman Realty Group, 8.00%, Due
6/15/1999..................... 2,000 2,017
Taubman Realty, 5.75%,
Due 11/3/1997................. 1,500 1,496
Travelers/Aetna P & C, 6.75%,
Due 4/15/2001................. 1,300 1,298
Westpac Banking Corporation,
7.875%, Due 10/15/2002........ 800 833
--------
TOTAL FINANCIAL............. 35,783
--------
INDUSTRIAL - 2.58%
Atlantic Richfield Corporation,
8.50%, Due 4/1/2012........... 870 941
Atlantic Richfield Corporation,
8.75%, Due 3/1/2032........... 610 681
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
The Boeing Company, 8.625%, Due
11/15/2031.................... $ 620 $ 695
BP America Incorporated, 9.875%,
Due 3/15/2004................. 650 758
Columbia/HCA Health, 7.69%, Due
6/15/2025..................... 730 713
Dresser Industries, 6.25%,
Due 6/1/2000.................. 800 785
E.I. Du Pont De Nemours &
Company, 8.45%,
Due 10/15/1996................ 200 202
Heinz (H.J.) Company, 5.50%, Due
9/15/1997..................... 520 516
International Business Machines,
Incorporated, 6.375%,
Due 11/1/1997................. 750 753
Legrand, 8.50%, Due 2/15/2025... 820 880
News America Holdings, 9.25%,
Due 2/1/2013.................. 370 404
News America Holdings, 9.25%,
Due 2/1/2013.................. 340 370
Occidental Petroleum
Corporation, 8.50%, Due
9/15/2004..................... 2,000 2,098
Pepsico Incorporated, 7.00%,
Due 11/15/1996................ 550 553
Philip Morris Companies,
Incorporated, 8.875%,
Due 7/1/1996.................. 520 522
Philip Morris Companies,
Incorporated, 9.25%,
Due 12/1/1997................. 1,500 1,563
Philip Morris Companies,
Incorporated, 8.25%,
Due 10/15/2003................ 640 672
Philip Morris Companies,
Incorporated, 8.375%,
Due 1/15/2017................. 625 655
Pohang Iron & Steel, 7.375%,
Due 5/15/2005................. 750 738
RJR Nabisco, 8.75%,
Due 8/15/2005................. 2,750 2,723
Sears Roebuck Acceptance, 6.41%,
Due 3/28/2001................. 1,275 1,251
Sears Roebuck, 9.375%,
Due 11/1/2011................. 635 741
Telecommunications,
Incorporated, 9.80%, Due
2/1/2012...................... 320 341
Texaco Cap MTN, 6.19%,
Due 7/9/2003.................. 750 709
</TABLE>
See accompanying notes
17
<PAGE> 19
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
The May Department Store
Company, 9.75%,
Due 2/15/2021................. $ 400 $ 477
WMX Technologies, 6.22%,
Due 4/30/2004................. 590 610
Xerox Corporation, 7.15%,
Due 8/1/2004.................. 1,000 1,001
--------
TOTAL INDUSTRIAL............ 22,352
--------
UTILITY - 0.62%
Baltimore Gas & Electric, FRN,
5.775%, Due 4/15/1999......... 2,500 2,499
General Telephone Southwest,
Incorporated, 8.50%,
Due 11/15/2031................ 600 637
Pacific Bell Telephone, 8.70%,
Due 6/15/2001................. 670 723
Southern California Edison
Company, 8.25%,
Due 2/1/2000.................. 1,425 1,486
--------
TOTAL UTILITY............... 5,345
--------
FOREIGN BONDS - 1.93%
ABN-AMRO, 7.27%,
Due 5/31/2005................. 690 688
ANZ Banking, 6.25%,
Due 2/1/2004.................. 770 722
Hanson Overseas, 7.375%,
Due 1/15/2003................. 380 382
Hanson Overseas, 7.375%,
Due 1/15/2003................. 220 221
Hydro-Quebec, 7.375%,
Due 2/1/2003.................. 400 406
Hydro-Quebec, 9.40%,
Due 2/1/2021.................. 1,800 2,078
Hydro-Quebec, 8.875%,
Due 3/1/2026.................. 1,200 1,320
Korea Development Bank, 5.875%,
Due 12/1/1998................. 100 98
Korea Development Bank, 6.25%,
Due 5/1/2000.................. 770 751
Province of Newfoundland,
9.875%, Due 6/1/2020.......... 250 302
Province of Quebec, 8.80%,
Due 4/15/2003................. 335 366
Province of Quebec, 5.735%,
Due 3/2/2026.................. 890 850
Republic of Italy, 6.875%,
Due 9/27/2023................. 1,850 1,619
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Svenska Handelsbanken, 8.35%,
Due 7/15/2004................. $ 740 $ 786
SwedBank FRN, Due 10/29/2049.... 2,500 2,564
Swedish Export Credit, 9.875%,
Due 3/15/2038................. 2,410 2,621
Swiss Bank Corporation, 7.50%,
Due 7/15/2025................. 950 918
--------
TOTAL FOREIGN BONDS......... 16,692
--------
TOTAL CORPORATE BONDS....... 80,172
--------
Shares
--------
PREFERRED STOCK - 0.01%
RJR Nabisco, Convertible PERC... 14,800 89
Teledyne, Incorporated Class E.. 600 9
--------
TOTAL PREFERRED STOCK....... 98
--------
COMMON STOCK - 59.85%
FOREIGN STOCKS - 1.30%
Arthur Guinness & Sons, ADR..... 24,700 887
British Petroleum PLC, ADR...... 9,000 983
British Telecom PLC, ADR........ 11,300 622
Ciba-Geigy AG................... 30,000 1,737
Elf Aquitane SA................. 21,100 794
Hanson PLC, ADR................. 125,900 1,904
Royal Dutch Petroleum Company,
New York Registry............. 30,000 4,298
--------
TOTAL FOREIGN STOCKS........ 11,225
--------
CONSUMER STAPLES - 10.82%
DEPARTMENT AND MAIL ORDER - 2.00%
Dayton-Hudson Corporation....... 13,600 1,299
J.C. Penney Company,
Incorporated.................. 87,075 4,310
K Mart Corporation.............. 251,100 2,542
Sears Roebuck & Company......... 45,000 2,244
The May Department Store
Company....................... 108,800 5,549
Woolworth Corporation........... 70,000 1,339
--------
TOTAL DEPARTMENT AND MAIL
ORDER..................... 17,283
--------
DISTILLERS AND BREWERS - 0.71%
Anheuser-Busch Companies,
Incorporated.................. 76,300 5,122
</TABLE>
See accompanying notes
18
<PAGE> 20
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Brown-Foreman, Incorporated..... 26,700 $ 1,055
--------
TOTAL DISTILLERS AND
BREWERS................... 6,177
--------
DRUGS AND HOSPITAL SUPPLY - 3.23%
American Home Products
Corporation................... 62,800 6,625
Baxter International,
Incorporated.................. 171,400 7,584
Bristol-Myers Squibb Company.... 61,200 5,034
Horizon/CMS Healthcare
Corporation................... 70,675 936
Merck & Company, Incorporated... 45,000 2,723
Pharmacia & Upjohn,
Incorporated.................. 28,300 1,082
Warner Lambert, Incorporated.... 36,200 4,045
--------
TOTAL DRUGS AND HOSPITAL
SUPPLY.................... 28,029
--------
FOOD PROCESSING - 0.20%
Archer Daniels Midland Company.. 90,000 1,699
--------
TOTAL FOOD
PROCESSING................ 1,699
--------
FOODS - 0.09%
Nabisco Holdings Corporation,
Class A....................... 26,500 812
--------
TOTAL FOODS................. 812
--------
LEISURE - 0.41%
Hasbro, Incorporated............ 35,200 1,294
King World Productions,
Incorporated (non-income
producing).................... 25,700 1,118
Toys R Us, Incorporated......... 41,500 1,157
--------
TOTAL LEISURE............... 3,569
--------
PHOTOGRAPHY - 1.23%
Eastman Kodak Company........... 138,900 10,626
--------
TOTAL PHOTOGRAPHY........... 10,626
--------
PUBLISHING - 0.15%
A.H. Belo, Incorporated, Class
A............................. 35,800 1,334
--------
TOTAL PUBLISHING............ 1,334
--------
RETAIL - OTHER - 0.17%
Melville Corporation............ 37,000 1,438
--------
TOTAL RETAIL - OTHER........ 1,438
--------
TOBACCO - 2.63%
American Brands, Incorporated... 86,400 3,596
Philip Morris Companies,
Incorporated.................. 164,389 14,816
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
RJR Nabisco Holdings............ 147,340 $ 4,402
--------
TOTAL TOBACCO............... 22,814
--------
TOTAL CONSUMER STAPLES...... 93,781
--------
INTEREST SENSITIVE - 21.71%
BANKS - 7.26%
Bank America Corporation........ 168,200 12,741
Bank of Boston Corporation...... 37,000 1,790
Bankers Trust Company New York.. 19,400 1,346
Chase Manhatten Corporation..... 259,996 17,907
First Chicago NBD............... 127,681 5,267
First of America Bank
Corporation................... 50,000 2,263
First Security Corporation...... 60,000 1,515
First Union Corporation......... 20,000 1,230
Fleet Financial Group,
Incorporated.................. 40,000 1,720
J.P. Morgan & Company,
Incorporated.................. 33,000 2,776
NationsBank Corporation......... 52,700 4,203
Norwest Corporation............. 214,800 7,760
US Bancorp...................... 35,100 1,136
Wells Fargo and Company......... 5,000 1,213
--------
TOTAL BANKS................. 62,867
--------
BUILDING AND MATERIALS - 0.41%
PPG Industries, Incorporated.... 69,500 3,518
--------
TOTAL BUILDING AND
MATERIALS................. 3,518
--------
FINANCE - 0.62%
Beneficial Corporation.......... 40,000 2,210
Household International,
Incorporated.................. 35,000 2,419
Paine Webber Group,
Incorporated.................. 33,900 708
--------
TOTAL FINANCE............... 5,337
--------
INSURANCE - LIFE AND MULTI-
LINE - 2.79%
Aetna Life & Casualty Company... 75,600 5,387
American General Corporation.... 130,000 4,566
Aon, Incorporated............... 124,300 6,666
Lincoln National Corporation.... 45,000 2,171
Old Republic International
Corporation................... 52,300 1,726
Travelers Corporation........... 59,669 3,670
--------
TOTAL INSURANCE - LIFE AND
MULTI-LINE................ 24,186
--------
</TABLE>
See accompanying notes
19
<PAGE> 21
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
INSURANCE - PROPERTY AND
CASUALTY - 2.17%
Allstate Corporation............ 282,257 $ 10,973
St. Paul Companies.............. 135,600 7,204
TIG Holdings, Incorporated...... 21,000 638
--------
TOTAL INSURANCE - PROPERTY
AND CASUALTY.............. 18,815
--------
SAVINGS AND LOAN - 0.92%
Great Western Financial
Corporation................... 260,400 5,989
H.F. Ahmanson & Company......... 85,000 2,019
--------
TOTAL SAVINGS AND LOAN...... 8,008
--------
UTILITIES - ELECTRIC - 2.90%
Central and Southwest
Corporation................... 48,500 1,322
CMS Energy Corporation.......... 60,000 1,748
DTE Energy Company.............. 75,700 2,347
Edison International............ 80,000 1,280
Entergy Corporation............. 261,700 6,935
Illinova Corporation............ 60,000 1,530
Potomac Electric Power.......... 18,900 470
PP&L Resources, Incorporated.... 20,000 453
Public Service Enterprise Group,
Incorporated.................. 93,400 2,440
Rochester Gas and Electric,
Incorporated.................. 15,000 308
Unicom Corporation.............. 229,100 6,300
--------
TOTAL UTILITIES -
ELECTRIC.................. 25,133
--------
UTILITIES - NATURAL GAS - 1.20%
Panenergy Corporation........... 263,100 8,584
Peoples Energy Corporation...... 58,000 1,827
--------
TOTAL UTILITIES - NATURAL
GAS....................... 10,411
--------
UTILITIES - TELEPHONE - 1.35%
NYNEX Corporation............... 13,000 639
Pacific Telesis Group,
Incorporated.................. 137,500 4,709
SBC Communications.............. 9,400 470
US West, Incorporated........... 180,200 5,902
--------
TOTAL UTILITIES -
TELEPHONE................. 11,720
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
MISCELLANEOUS - INTEREST
SENSITIVE - 2.08%
American Express Company........ 234,600 $ 11,378
Dean Witter Discover
& Company..................... 22,600 1,232
Federal Home Loan Mortgage
Corporation................... 14,800 1,234
Federal National Mortgage
Association................... 118,000 3,614
Fund American Enterprises,
Incorporated.................. 8,800 673
--------
TOTAL MISCELLANEOUS -
INTEREST SENSITIVE........ 18,131
--------
TOTAL INTEREST SENSITIVE.... 188,126
--------
CONSUMER CYCLICALS - 4.55%
AUTOMOBILE AND TRUCK - 4.30%
Dana Corporation................ 215,900 7,179
Eaton Corporation............... 133,500 8,077
Ford Motor Company.............. 317,700 11,397
General Motors Corporation...... 195,600 10,611
--------
TOTAL AUTOMOBILE AND
TRUCK..................... 37,264
--------
ELECTRICAL HOUSEHOLD
EQUIPMENT - 0.14%
Whirlpool Corporation........... 20,000 1,203
--------
TOTAL ELECTRICAL HOUSEHOLD
EQUIPMENT................. 1,203
--------
TIRE AND RUBBER - 0.11%
Goodyear Tire & Rubber Company.. 18,800 980
--------
TOTAL TIRE AND RUBBER....... 980
--------
TOTAL CONSUMER CYCLICALS.... 39,447
--------
INTERMEDIATE GOODS & SERVICES - 12.63%
CHEMICALS - 1.33%
Dow Chemical.................... 30,000 2,666
E.I. Du Pont De Nemours &
Company....................... 30,000 2,411
Eastman Chemical Company........ 37,100 2,495
FMC Corporation (non-income
producing).................... 24,500 1,700
Olin Corporation................ 25,000 2,213
--------
TOTAL CHEMICALS............. 11,485
--------
FOREST PRODUCTS - 1.30%
Boise Cascade Corporation....... 37,700 1,753
</TABLE>
See accompanying notes
20
<PAGE> 22
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Georgia-Pacific Corporation..... 15,000 $ 1,166
International Paper Company..... 60,000 2,393
Louisiana Pacific Corporation... 45,200 1,136
Mead Corporation................ 8,000 445
Union Camp Corporation.......... 40,000 2,175
Weyerhaeuser Company............ 45,000 2,228
--------
TOTAL FOREST PRODUCTS....... 11,296
--------
METALS - ALUMINUM - 0.55%
Aluminum Company of America..... 64,000 3,992
Reynolds Metals Company......... 15,000 806
--------
TOTAL METALS - ALUMINUM..... 4,798
--------
NATURAL GAS TRANSMISSION - 0.06%
Coastal Corporation............. 14,000 555
--------
TOTAL NATURAL GAS
TRANSMISSION.............. 555
--------
OIL - 5.38%
Amoco Corporation............... 56,400 4,117
Ashland, Incorporated........... 24,000 987
Atlantic Richfield
Corporation................... 13,000 1,531
Chevron Corporation............. 35,000 2,030
Exxon Corporation............... 62,600 5,321
Louisiana Land and Exploration
Company....................... 25,400 1,375
Mobil Corporation............... 20,000 2,300
Phillips Petroleum Company...... 260,800 10,823
Tenneco, Incorporated........... 183,000 10,042
Texaco, Incorporated............ 33,600 2,873
USX-Marathon Group.............. 50,000 1,100
Ultramar Corporation............ 70,000 2,196
Union Texas Petroleum Holdings,
Incorporated.................. 98,500 1,908
--------
TOTAL OIL................... 46,603
--------
OIL SERVICE - 0.49%
Baker Hughes, Incorporated...... 131,100 4,162
Ensco International (non-income
producing).................... 4,100 123
--------
TOTAL OIL SERVICE........... 4,285
--------
TRANSPORTATION - 1.47%
CSX Corporation................. 133,000 6,816
Conrail, Incorporated........... 30,000 2,093
Norfolk Southern Corporation.... 25,000 2,100
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Ryder Systems, Incorporated..... 60,000 $ 1,748
--------
TOTAL TRANSPORTATION........ 12,757
--------
MISCELLANEOUS - INTERMEDIATE
GOODS & SERVICES - 2.05%
Browning-Ferris Industries...... 20,400 658
Dresser Industries.............. 146,700 4,676
Federal-Mogul Corporation....... 30,200 574
GATX Corporation................ 40,000 1,800
Mapco, Incorporated............. 16,900 984
Phelps Dodge Corporation........ 105,900 7,784
USX-US Steel Group.............. 35,400 1,168
--------
TOTAL MISCELLANEOUS -
INTERMEDIATE GOODS &
SERVICES.................. 17,644
--------
TOTAL INTERMEDIATE GOODS &
SERVICES.................. 109,423
--------
CAPITAL GOODS - 8.84%
AEROSPACE - 3.81%
The Boeing Company.............. 34,900 2,866
Coltec Industries, Incorporated
(non-income producing)........ 98,700 1,283
Lockheed Martin Corporation..... 108,499 8,748
Northrop Corporation............ 30,000 1,856
Raytheon Company................ 228,600 11,573
Rockwell International
Corporation................... 45,000 2,633
Thiokol Corporation............. 18,100 774
United Technologies
Corporation................... 30,000 3,315
--------
TOTAL AEROSPACE............. 33,048
--------
CONGLOMERATES - 1.12%
Harsco Corporation.............. 39,000 2,686
Teledyne, Incorporated.......... 12,000 446
Textron, Incorporated........... 76,900 6,594
--------
TOTAL CONGLOMERATES......... 9,726
--------
ELECTRICAL EQUIPMENT - 1.16%
General Electric Corporation.... 25,000 1,938
Honeywell, Incorporated......... 40,300 2,121
ITT Industries, Incorporated.... 80,300 2,208
Sunbeam-Oster Company........... 58,000 805
Westinghouse Electric
Corporation................... 157,400 2,971
--------
TOTAL ELECTRICAL
EQUIPMENT................. 10,043
--------
ELECTRONICS - INDUSTRIAL - 0.17%
Advanced Micro Devices.......... 42,700 801
</TABLE>
See accompanying notes
21
<PAGE> 23
AMR INVESTMENT SERVICES TRUST BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Teradyne, Incorporated.......... 34,400 $ 705
--------
TOTAL ELECTRONICS -
INDUSTRIAL................ 1,506
--------
MACHINERY - 0.43%
Caterpillar Tractor Company..... 16,600 1,062
Deere & Company................. 42,000 1,633
Tecumseh Products Company....... 17,900 1,011
--------
TOTAL MACHINERY............. 3,706
--------
METAL MINING - 0.21%
Alumax, Incorporated............ 35,000 1,173
LTV Corporation................. 45,200 622
--------
TOTAL METAL MINING.......... 1,795
--------
NEWSPAPERS-PUBLISHING/PRINTING - 0.14%
Gannett Company................. 17,800 1,217
--------
TOTAL NEWSPAPERS-
PUBLISHING/PRINTING....... 1,217
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
OFFICE EQUIPMENT - 1.80%
Apple Computer, Incorporated.... 23,400 $ 570
International Business Machines
Corporation................... 26,400 2,838
Storage Tech Group.............. 45,200 1,390
Xerox Corporation............... 73,500 10,768
--------
TOTAL OFFICE EQUIPMENT...... 15,566
--------
TOTAL CAPITAL GOODS......... 76,607
--------
TOTAL COMMON STOCK.......... 518,609
--------
Par
Amount
--------
SHORT-TERM INVESTMENTS (NOTE A) - 3.88%
Bank of Tokyo, New York BA,
5.25%, Due 7/15/1996.......... $ 8,000 7,915
CIBC Euro TD, 5.25%, Due
5/1/1996...................... 25,693 25,693
--------
TOTAL SHORT-TERM
INVESTMENTS............... 33,608
--------
TOTAL INVESTMENTS - 102.39%
(COST $750,976)............... 887,225
--------
LIABILITIES, NET OF OTHER
ASSETS - (2.39%).............. (20,744)
--------
TOTAL NET ASSETS - 100%......... $866,481
========
</TABLE>
- ---------------
Based on the cost of investments of $751,330 for federal income tax purposes at
April 30, 1996 the aggregate gross unrealized appreciation was $146,399, the
aggregate gross unrealized depreciation was $10,504, and the net unrealized
appreciation of investments was $135,895.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
ADR - American Depositary Receipt
AG - Company
ARM - Adjustable Rate Mortgage
BA - Bankers Acceptance
FRN - Floating Rate Note
MTN - Medium Term Note
PERC - Preferred Equity Redemption Certificate
PLC - Public Limited Corporation
SA - Company
TBA - To Be Announced
TD - Time Deposit
See accompanying notes
22
<PAGE> 24
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
PREFERRED STOCK - 0.03%
RJR Nabisco, Convertible PERC... 35,500 $ 212
Teledyne, Incorporated Series
E............................. 7,040 101
--------
TOTAL PREFERRED STOCK....... 313
--------
COMMON STOCK - 95.14%
FOREIGN STOCKS - 3.06%
Arthur Guinness & Sons, ADR..... 141,100 5,065
British Petroleum PLC, ADR...... 18,000 1,966
British Telecom PLC, ADR........ 23,100 1,270
Ciba-Geigy AG................... 35,000 2,025
Elf Aquitane SA................. 43,100 1,621
Exel Limited.................... 75,000 5,399
Hanson PLC, ADR................. 520,000 7,864
Royal Dutch Petroleum Company,
New York Registry............. 37,000 5,300
--------
TOTAL FOREIGN STOCKS........ 30,510
--------
CONSUMER STAPLES - 18.80%
DEPARTMENT AND MAIL ORDER - 3.06%
Dayton-Hudson Corporation....... 27,700 2,645
J.C. Penney Company,
Incorporated.................. 243,600 12,058
K Mart Corporation.............. 352,900 3,573
Sears Roebuck & Company......... 60,000 2,993
The May Department Store
Company....................... 149,000 7,599
Woolworth Corporation........... 90,000 1,721
--------
TOTAL DEPARTMENT AND MAIL
ORDER..................... 30,589
--------
DISTILLERS AND BREWERS - 1.40%
Anheuser-Busch Companies,
Incorporated.................. 115,000 7,719
Brown-Foreman, Incorporated..... 157,400 6,217
--------
TOTAL DISTILLERS AND
BREWERS................... 13,936
--------
DRUGS AND HOSPITAL SUPPLY - 4.93%
American Home Products
Corporation................... 83,100 8,767
Baxter International,
Incorporated.................. 256,700 11,359
Bristol-Myers Squibb Company.... 153,500 12,625
Horizon/CMS Healthcare
Corporation................... 303,400 4,020
Merck & Company, Incorporated... 60,000 3,630
Pharmacia & Upjohn,
Incorporated.................. 57,800 2,211
Warner Lambert, Incorporated.... 59,100 6,604
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
TOTAL DRUGS AND HOSPITAL
SUPPLY.................... $ 49,216
--------
FOOD PROCESSING - 0.15%
Archer Daniels Midland Company.. 78,000 1,472
--------
TOTAL FOOD PROCESSING....... 1,472
--------
FOODS - 0.56%
Nabisco Holdings Corporation,
Class A....................... 182,400 5,586
--------
TOTAL FOODS................. 5,586
--------
LEISURE - 1.50%
Hasbro, Incorporated............ 188,400 6,924
King World Productions,
Incorporated (non-income
producing..................... 130,300 5,668
Toys R Us, Incorporated......... 84,700 2,361
--------
TOTAL LEISURE................... 14,953
--------
PHOTOGRAPHY - 1.73%
Eastman Kodak Company........... 226,100 17,297
--------
TOTAL PHOTOGRAPHY........... 17,297
--------
PUBLISHING - 0.63%
A.H. Belo, Incorporated, Class
A............................. 168,600 6,280
--------
TOTAL PUBLISHING............ 6,280
--------
RETAIL - OTHER - 0.28%
Melville Corporation............ 73,100 2,842
--------
TOTAL RETAIL - OTHER........ 2,842
--------
TOBACCO - 4.43%
American Brands, Incorporated... 118,900 4,949
Philip Morris Companies,
Incorporated.................. 317,900 28,651
RJR Nabisco Holdings............ 354,520 10,591
--------
TOTAL TOBACCO............... 44,191
--------
MISCELLANEOUS - CONSUMER STAPLES - 0.13%
Gibson Greetings,
Incorporated.................. 90,550 1,279
--------
TOTAL MISCELLANEOUS -
CONSUMER STAPLES.......... 1,279
--------
TOTAL CONSUMER STAPLES.......... 187,641
--------
INTEREST SENSITIVE - 30.96%
BANKS - 9.80%
Bank America Corporation........ 272,700 20,657
Bank of Boston Corporation...... 63,600 3,077
Bankers Trust Company New York.. 92,000 6,383
Chase Manhattan Corporation..... 389,014 26,793
</TABLE>
See accompanying notes
23
<PAGE> 25
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
First Chicago NBD............... 206,965 $ 8,537
First of America Bank
Corporation................... 60,000 2,715
First Security Corporation...... 97,500 2,462
First Union Corporation......... 17,000 1,046
Fleet Financial Group,
Incorporated.................. 60,000 2,580
J.P. Morgan & Company,
Incorporated.................. 72,900 6,133
NationsBank Corporation......... 90,000 7,178
PNC Bank Corporation............ 219,600 6,643
US Bancorp...................... 71,600 2,318
Wells Fargo and Company......... 5,000 1,213
--------
TOTAL BANKS................. 97,735
--------
BUILDING AND MATERIALS - 0.48%
PPG Industries, Incorporated.... 95,100 4,814
--------
TOTAL BUILDING AND
MATERIALS................. 4,814
--------
FINANCE - 0.79%
Beneficial Corporation.......... 60,000 3,315
Household International,
Incorporated.................. 45,000 3,111
PaineWebber Group,
Incorporated.................. 69,300 1,447
--------
TOTAL FINANCE............... 7,873
--------
INSURANCE - LIFE AND MULTI-LINE - 4.07%
Aetna Life & Casualty Company... 151,000 10,759
American General Corporation.... 190,000 6,674
Aon, Incorporated............... 171,400 9,191
Lincoln National Corporation.... 60,000 2,895
Old Republic International
Corporation................... 188,700 6,227
Travelers Corporation........... 78,896 4,852
--------
TOTAL INSURANCE - LIFE AND
MULTI-LINE................ 40,598
--------
INSURANCE - PROPERTY AND CASUALTY - 2.82%
Allstate Corporation............ 436,080 16,953
St. Paul Companies.............. 187,300 9,950
TIG Holdings, Incorporated...... 41,000 1,245
--------
TOTAL INSURANCE - PROPERTY
AND CASUALTY.............. 28,148
--------
SAVINGS AND LOAN - 1.05%
Great Western Financial
Corporation................... 357,200 8,216
H.F. Ahmanson & Company......... 95,000 2,256
--------
TOTAL SAVINGS AND LOAN...... 10,472
--------
UTILITIES - ELECTRIC - 4.83%
Central and Southwest
Corporation................... 75,000 2,044
CMS Energy Corporation.......... 100,000 2,913
DTE Energy Company.............. 143,800 4,458
Edison International............ 160,000 2,560
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
Entergy Corporation............. 472,600 $ 12,524
Illinova Corporation............ 90,000 2,295
New York State Electric & Gas
Corporation................... 70,000 1,601
Peco Energy Company............. 100,000 2,488
Potomac Electric Power.......... 43,500 1,082
PP&L Resources, Incorporated.... 50,000 1,131
Public Service Enterprise Group,
Incorporated.................. 172,800 4,514
Rochester Gas and Electric,
Incorporated.................. 45,000 923
Unicom Corporation.............. 351,300 9,661
--------
TOTAL UTILITIES -
ELECTRIC.................. 48,194
--------
UTILITIES - NATURAL GAS - 1.62%
Panenergy Corporation........... 434,000 14,159
Peoples Energy Corporation...... 65,000 2,048
--------
TOTAL UTILITIES - NATURAL
GAS....................... 16,207
--------
UTILITIES - TELEPHONE - 1.86%
NYNEX Corporation............... 27,500 1,351
Pacific Telesis Group,
Incorporated.................. 213,200 7,302
SBC Communications.............. 9,400 470
US West, Incorporated........... 287,900 9,429
--------
TOTAL UTILITIES -
TELEPHONE................. 18,552
--------
MISCELLANEOUS - INTEREST SENSITIVE - 3.64%
American Express Company........ 340,200 16,500
Dean Witter Discover & Company.. 46,200 2,518
Federal Home Loan Mortgage
Corporation................... 65,000 5,419
Federal National Mortgage
Association................... 284,800 8,722
Fund American Enterprises,
Incorporated.................. 41,375 3,165
--------
TOTAL MISCELLANEOUS -
INTEREST SENSITIVE........ 36,324
--------
TOTAL INTEREST SENSITIVE.... 308,917
--------
CONSUMER CYCLICALS - 6.06%
AUTOMOBILE AND TRUCK - 5.52%
Dana Corporation................ 370,600 12,322
Eaton Corporation............... 189,400 11,459
Ford Motor Company.............. 429,200 15,398
General Motors Corporation...... 293,500 15,922
--------
TOTAL AUTOMOBILE AND
TRUCK..................... 55,101
--------
</TABLE>
See accompanying notes
24
<PAGE> 26
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
ELECTRICAL HOUSEHOLD EQUIPMENT - 0.30%
Whirlpool Corporation........... 50,000 $ 3,006
--------
TOTAL ELECTRICAL HOUSEHOLD
EQUIPMENT................. 3,006
--------
TIRE AND RUBBER - 0.24%
Goodyear Tire & Rubber Company.. 45,000 2,346
--------
TOTAL TIRE AND RUBBER....... 2,346
--------
TOTAL CONSUMER CYCLICALS.... 60,453
--------
INTERMEDIATE GOODS & SERVICES - 21.75%
CHEMICALS - 2.16%
Dow Chemical.................... 40,000 3,555
E.I. Du Pont De Nemours &
Company....................... 47,000 3,778
Eastman Chemical Company........ 51,775 3,482
FMC Corporation (non-income
producing).................... 116,900 8,110
Olin Corporation................ 30,000 2,655
--------
TOTAL CHEMICALS............. 21,580
--------
FOREST PRODUCTS - 2.07%
Boise Cascade Corporation....... 77,000 3,581
Georgia-Pacific Corporation..... 50,000 3,888
International Paper Company..... 70,000 2,791
Louisiana Pacific Corporation... 92,400 2,322
Mead Corporation................ 15,000 834
Union Camp Corporation.......... 70,000 3,806
Weyerhaeuser Company............ 70,000 3,465
--------
TOTAL FOREST
PRODUCTS.................. 20,687
--------
METALS - ALUMINUM - 0.74%
Aluminum Company of America..... 97,000 6,050
Reynolds Metals Company......... 25,000 1,344
--------
TOTAL METALS - ALUMINUM..... 7,394
--------
NATURAL GAS TRANSMISSION - 0.44%
Coastal Corporation............. 111,200 4,406
--------
TOTAL NATURAL GAS
TRANSMISSION.............. 4,406
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
OIL - 10.45%
Amoco Corporation............... 87,200 $ 6,366
Ashland, Incorporated........... 80,000 3,290
Atlantic Richfield
Corporation................... 132,900 15,649
Chevron Corporation............. 55,000 3,190
Exxon Corporation............... 117,100 9,954
Louisiana Land and Exploration
Company....................... 131,325 7,108
Mobil Corporation............... 31,500 3,623
Phillips Petroleum Company...... 399,300 16,571
Tenneco, Incorporated........... 302,100 16,578
Texaco, Incorporated............ 110,000 9,405
USX-Marathon Group.............. 150,000 3,300
Ultramar Corporation............ 100,000 3,138
Union Texas Petroleum Holdings,
Incorporated.................. 312,000 6,045
--------
TOTAL OIL................... 104,217
--------
OIL SERVICE - 0.67%
Baker Hughes, Incorporated...... 185,200 5,880
Ensco International (non-income
producing).................... 26,900 807
--------
TOTAL OIL SERVICE........... 6,687
--------
TRANSPORTATION - 2.05%
CSX Corporation................. 209,100 10,716
Conrail, Incorporated........... 50,000 3,488
Norfolk Southern Corporation.... 40,000 3,360
Ryder Systems, Incorporated..... 100,000 2,913
--------
TOTAL TRANSPORTATION........ 20,477
--------
MISCELLANEOUS - INTERMEDIATE GOODS &
SERVICES - 3.17%
Browning-Ferris Industries...... 32,800 1,058
Dresser Industries,
Incorporated.................. 189,800 6,050
Federal-Mogul Corporation....... 61,600 1,170
GATX Corporation................ 60,000 2,700
Mapco, Incorporated............. 105,800 6,163
Phelps Dodge Corporation........ 162,400 11,936
USX-US Steel Group.............. 76,200 2,515
--------
TOTAL MISCELLANEOUS -
INTERMEDIATE GOODS &
SERVICES.................. 31,592
--------
TOTAL INTERMEDIATE GOODS &
SERVICES.................. 217,040
--------
</TABLE>
See accompanying notes
25
<PAGE> 27
AMR INVESTMENT SERVICES TRUST GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
CAPITAL GOODS - 14.51%
AEROSPACE - 6.11%
The Boeing Company.............. 43,900 $ 3,605
Coltec Industries, Incorporated
(non-income producing......... 388,700 5,053
Lockheed Martin Corporation..... 225,994 18,221
Northrop Corporation............ 45,000 2,784
Raytheon Company................ 395,200 20,007
Rockwell International
Corporation................... 60,000 3,510
Thiokol Corporation............. 103,700 4,433
United Technologies
Corporation................... 30,000 3,315
--------
TOTAL AEROSPACE............. 60,928
--------
CONGLOMERATES - 2.36%
Harsco Corporation.............. 55,000 3,788
Teledyne, Incorporated.......... 138,350 5,136
Textron, Incorporated........... 170,900 14,655
--------
TOTAL CONGLOMERATES......... 23,579
--------
ELECTRICAL EQUIPMENT - 1.41%
General Electric Corporation.... 7,700 597
Honeywell, Incorporated......... 46,000 2,421
ITT Industries, Incorporated.... 164,200 4,516
Sunbeam-Oster Company........... 220,800 3,064
Westinghouse Electric
Corporation................... 180,700 3,411
--------
TOTAL ELECTRICAL
EQUIPMENT................. 14,009
--------
ELECTRONICS - INDUSTRIAL - 0.30%
Advanced Micro Devices.......... 84,000 1,575
Teradyne, Incorporated.......... 70,200 1,439
--------
TOTAL ELECTRONICS -
INDUSTRIAL................ 3,014
--------
MACHINERY - 1.10%
Caterpillar Tractor Company..... 33,900 2,170
Deere & Company................. 90,000 3,499
Tecumseh Products Company....... 94,400 5,334
--------
TOTAL MACHINERY............. 11,003
--------
<CAPTION>
Shares Value
-------- --------
(dollars in thousands)
<S> <C> <C>
METAL MINING - 0.36%
Alumax, Incorporated............ 70,800 $ 2,372
LTV Corporation................. 92,400 1,271
---------
TOTAL METAL MINING.......... 3,643
---------
OFFICE EQUIPMENT - 2.87%
Apple Computer, Incorporated.... 47,700 1,163
International Business Machines
Corporation................... 42,400 4,558
Storage Tech Group.............. 92,400 2,841
Xerox Corporation............... 137,000 20,071
---------
TOTAL OFFICE EQUIPMENT...... 28,633
---------
TOTAL CAPITAL GOODS......... 144,809
---------
TOTAL COMMON STOCK.......... 949,370
---------
Par
Amount
--------
SHORT-TERM INVESTMENTS (NOTE A) - 6.24%
Bank of Tokyo, New York BA,
5.69%, Due 5/6/1996........... $ 10,000 9,992
Bank of Tokyo, New York BA,
5.25%, Due 7/15/1996.......... 7,000 6,925
CIBC Eurodollar TD, 5.25%,
Due 5/1/1996.................. 43,349 43,349
Dai-Ichi Kangyo Bank, New York
BA, 5.51%, Due 7/9/1996....... 2,000 1,979
---------
TOTAL SHORT-TERM
INVESTMENTS............... 62,245
---------
TOTAL INVESTMENTS - 101.41%
(COST $803,268)............... 1,011,928
---------
LIABILITIES, NET OF OTHER
ASSETS - (1.41%).............. (14,029)
---------
TOTAL NET ASSETS - 100%......... $ 997,899
=========
</TABLE>
- ---------------
Based on the cost of investments of $803,794 for federal income tax purposes at
April 30, 1996, the aggregate gross unrealized appreciation was $219,084, the
aggregate gross unrealized depreciation was $10,950, and the net unrealized
appreciation of investments was $208,134.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
ADR - American Depository Receipt
AG - Company
BA - Bankers Acceptance
PERC - Preferred Equity Redemption Certificate
PLC - Public Limited Corporation
SA - Company
TD - Time Deposit
See accompanying notes
26
<PAGE> 28
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
AUSTRALIA COMMON STOCK - 6.72%
Australia & New Zealand Banking
Group........................ 926,577 $ 4,429
Brambles Industries, Limited... 349,500 4,795
Burns, Philip & Co., Limited... 400,000 821
CSR, Limited................... 310,000 1,119
Coles Myer, Limited............ 190,400 689
GIO Australia Holdings,
Limited...................... 470,271 1,091
Goodman Fielder, Limited....... 800,000 792
News Corporation, Limited...... 210,000 1,232
News Corporation Preferred
Rights....................... 105,000 541
Pacific Dunlop, Limited........ 401,000 977
Pioneer International,
Limited...................... 860,000 2,617
QBE Insurance Group, Limited... 443,358 2,329
Westpac Banking Corporation.... 86,000 418
--------
TOTAL AUSTRALIA COMMON
STOCK.................... 21,850
--------
AUSTRIA COMMON STOCK - 1.07%
Boehler-Uddeholm............... 8,689 708
EVN Energie-Versorgung
Niederoesterreich AG......... 3,960 578
Mayr-Melnhof Karton AG......... 16,000 733
VA Technologie AG.............. 11,000 1,459
--------
TOTAL AUSTRIA COMMON
STOCK.................... 3,478
--------
BELGIUM COMMON STOCK - 1.02%
Arbed, SA (non-income
producing)................... 3,000 329
G.I.B. Holdings, Limited,
NPV.......................... 14,200 628
Groupe Bruxelles Lambert, SA... 11,550 1,517
Groupe Bruxelles Lambert,
NPV.......................... 209 27
Solvay Et Cie.................. 1,400 822
--------
TOTAL BELGIUM COMMON
STOCK.................... 3,323
--------
CANADA COMMON STOCK - 2.30%
Anderson Exploration Limited... 75,000 796
Bank of Nova Scotia............ 62,439 1,415
Canadian Imperial Bank of
Commerce..................... 60,000 1,867
IMASCO, Limited................ 75,000 1,432
Noranda, Incorporated.......... 62,500 1,398
Wascana Energy, Incorporated
(non-income producing)....... 60,000 571
--------
TOTAL CANADA COMMON
STOCK.................... 7,479
--------
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
DENMARK COMMON STOCK - 0.72%
Den Danske Bank................ 3,200 $ 208
Novo Nordisk AS, "B"........... 8,000 1,038
Unidanmark AS, "A"............. 24,000 1,068
--------
TOTAL DENMARK COMMON
STOCK.................... 2,314
--------
FINLAND COMMON STOCK - 2.30%
Enso-Gutzeit OY................ 170,000 1,342
Huhtamaki Group I Free......... 36,000 1,187
Merita Limited................. 412,200 884
Metsa-Serla OY................. 100,000 728
Nokia OY, "A".................. 45,100 1,607
Repola OY...................... 90,000 1,736
--------
TOTAL FINLAND COMMON
STOCK.................... 7,484
--------
FRANCE COMMON STOCK - 8.16%
Alcatel Alsthom CG............. 17,000 1,596
Assurances Generales De
France....................... 8,650 236
Axa SA......................... 12,542 746
Banque Nationale De Paris...... 29,000 1,209
Bongrain SA.................... 1,700 942
Credit Foncier De France....... 36,000 438
Credit Lyonnais-CDI (non-income
producing)................... 9,100 303
ECCO SA........................ 3,750 841
Groupe Danone.................. 5,400 815
La France SA................... 9,000 2,399
Lafarge Coppee................. 38,850 2,484
Pechiney SA.................... 12,800 602
PSA Peugeot.................... 7,000 976
Rhone-Poulenc "A".............. 50,000 1,198
Saint Gobain................... 11,000 1,315
Sa Des Galeries Lafayette...... 162 51
Societe Elf Aquitaine SA....... 62,676 4,653
Thomson CSF.................... 19,500 518
Total Petroleum Company "B".... 43,954 2,977
Usinor Sacilor................. 72,000 1,112
Valeo SA....................... 20,000 1,108
--------
TOTAL FRANCE COMMON
STOCK.................... 26,519
--------
GERMANY - 5.84%
PREFERRED STOCK - 1.20%
Herlitz AG..................... 5,947 642
RWE AG......................... 42,000 1,216
Spar Handels AG................ 1,700 341
Volkswagen AG.................. 6,800 1,705
--------
TOTAL GERMANY PREFERRED
STOCK.................... 3,904
--------
</TABLE>
See accompanying notes
27
<PAGE> 29
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
COMMON STOCK - 4.64%
BASF AG........................ 3,900 $ 1,060
BAYER AG....................... 12,350 3,967
Commerzbank AG................. 4,000 867
Deutsche Bank AG............... 30,000 1,434
Hoechst AG..................... 1,600 537
Karstadt AG.................... 5,500 2,052
Mannesmann AG.................. 2,550 871
Muenchener Rueckversicherung
AG........................... 300 491
Muenchener Rueckversicherung
AG -- Reg.................... 137 246
Muenchener Rueckversicherung
AG -- Warrants............... 37 4
Varta AG (non-income
producing)................... 1,520 289
Veba AG........................ 63,200 3,118
Volkswagen AG.................. 460 157
--------
TOTAL GERMANY COMMON
STOCK.................... 15,093
--------
TOTAL GERMANY.............. 18,997
--------
HONG KONG COMMON STOCK - 4.78%
Cheung Kong Holdings,
Limited...................... 235,000 1,678
Dickson Concepts
(International), Limited..... 900 1,041
Hang Lung Development Company,
Limited...................... 710,000 1,345
Hong Kong Telecommunications,
Limited...................... 831,600 1,586
HSBC Holdings, Limited......... 93,700 1,399
Hutchison Whampoa, Limited..... 200,000 1,241
National Mutual of Asia,
Limited...................... 1,700,000 1,439
New World Development Company,
Limited...................... 320,000 1,435
Oriental Press Group,
Limited...................... 3,005,000 1,399
Peregrine Investments Holdings,
Limited...................... 550,000 850
South China Morning Post
(Holdings), Limited.......... 1,100,000 747
Sun Hung Kai Properties,
Limited...................... 110,100 1,050
Swire Pacific, Limited "A"..... 40,000 341
--------
TOTAL HONG KONG COMMON
STOCK.................... 15,551
--------
IRELAND COMMON STOCK - .61%
Jefferson Smurfit.............. 740,000 1,964
--------
TOTAL IRELAND COMMON
STOCK.................... 1,964
--------
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
ITALY - 2.99%
PREFERRED STOCK - .21%
Concessioni E Costruzioni
Autostrade................... 525,000 $ 673
--------
TOTAL ITALY PREFERRED
STOCK.................... 673
--------
ITALY COMMON STOCK - 2.78%
Danieli Group Risp............. 473,960 1,702
Fiat, SPA...................... 290,000 987
Olivetti Ing C, & Co........... 534,000 341
Sasib, SPA..................... 400,000 777
STET Risp (non convertible).... 550,000 1,856
STET Societa Finanziaria
Telefonica................... 840,000 2,199
Telecom Italia, SPA............ 500,000 1,018
Telecom Italia, SPA Non
Convertible Risp............. 100,000 166
--------
TOTAL ITALY COMMON STOCK... 9,046
--------
TOTAL ITALY................ 9,719
--------
JAPAN COMMON STOCK - 12.96%
Aisin Seiki Company, Limited... 56,000 882
Bridgestone Corporation........ 54,000 1,000
Canon, Incorporated............ 70,000 1,390
Chudenko Corporation........... 9,000 317
Daibiru Corporation............ 90,000 1,211
Daicel Chemical................ 110,000 733
Daikin Industries.............. 34,000 377
Dainippon Ink & Chemical....... 57,000 310
Daiwa House Industry Company,
Limited...................... 103,000 1,642
East Japan Railway Company..... 250 1,334
Fuji Photo Film................ 112,000 3,486
Hitachi Koki Co., Limited...... 70,000 742
Hitachi, Limited............... 120,000 1,295
KAO Corporation................ 110,000 1,470
Kirin Brewery Company,
Limited...................... 37,000 480
Matsushita Electric Industrial
Company...................... 93,000 1,642
Nichicon Corporation........... 114,000 1,894
Nichido Fire & Marine
Insurance.................... 231,000 1,941
Nintendo Company, Limited...... 32,000 2,468
Nippon Fire & Marine
Insurance.................... 118,000 862
Nippon Telegraph & Telephone
Corporation.................. 143 1,107
Promise Co., Limited........... 21,000 892
Ryosan Company................. 12,000 341
Sekisui Chemical Company,
Limited...................... 127,000 1,600
Sony Corporation............... 41,800 2,714
Stanley Electric Company,
Limited...................... 35,000 258
</TABLE>
See accompanying notes
28
<PAGE> 30
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
Sumitomo Marine & Fire......... 115,000 $ 1,093
Sumitomo Rubber Industries..... 190,000 1,725
Suzuki Motor Company,
Limited...................... 167,000 2,120
TDK Corporation................ 16,000 915
Toyo Seikan Kaisha............. 65,000 2,302
Yodogawa Steel Works........... 192,000 1,571
--------
TOTAL JAPAN COMMON STOCK... 42,114
--------
MALAYSIA COMMON STOCK - .59%
Arab Malaysian Finance......... 109,000 503
Kedah Cement Holdings BHD...... 350,000 696
Malaysian International
Shipping Corporation BHD..... 226,666 727
--------
TOTAL MALAYSIA COMMON
STOCK.................... 1,926
--------
NETHERLANDS COMMON STOCK - 8.68%
ABN/AMRO Holdings NV........... 80,000 4,136
Aegon NV....................... 45,000 1,902
Akzo Nobel NV.................. 43,975 5,100
Fortis Amev NV................. 29,460 2,102
Hollandsche Beton Groep NV..... 11,428 1,958
Internationale Nederlanden
Groep NV..................... 91,766 7,075
Koninklijke Bijenkorf Beheer
NV........................... 14,000 934
Nedlloyd Groep NV.............. 12,000 263
Philips Electronics............ 55,000 1,939
Royal PTT Nederland NV......... 38,468 1,442
Unilever NV.................... 10,000 1,363
--------
TOTAL NETHERLANDS COMMON
STOCK.................... 28,214
--------
Par
Amount
----------
NEW ZEALAND - 1.12%
BONDS - 0.02%
Brierley Investments, Limited
Subordinated Convertible,
9.00%, Due 6-30-1998........ $ 63 55
--------
TOTAL NEW ZEALAND BONDS... 55
--------
Shares
----------
COMMON STOCK - 1.10%
Brierley Investments,
Limited..................... 1,400,000 1,317
Fisher & Paykel, Limited...... 140,000 460
Fletcher Challenge, Limited... 826,200 1,796
--------
TOTAL NEW ZEALAND COMMON
STOCK................... 3,573
--------
TOTAL NEW ZEALAND......... 3,628
--------
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
NORWAY COMMON STOCK - 2.95%
Den Norske Bank, Series A
Free........................ 506,000 $ 1,453
Hafslund Nycomed, Series B
Free........................ 99,500 2,774
Kvaener Industries AS......... 20,789 853
Norsk Hydro AS................ 40,000 1,820
Saga Petroleum, Series B
Free........................ 100,000 1,352
Unitor AS..................... 80,000 1,349
--------
TOTAL NORWAY COMMON
STOCK................... 9,601
--------
SINGAPORE COMMON STOCK - 0.79%
Hong Kong Land (SGD).......... 420,000 899
Neptune Orient Lines.......... 300,000 333
Sembawang Corporation......... 258,000 1,340
--------
TOTAL SINGAPORE COMMON
STOCK................... 2,572
--------
SPAIN COMMON STOCK - 4.29%
Banco Espana Credito SA....... 7,000 45
Banco Popular Espanol......... 5,500 910
Banco Santander SA............ 35,300 1,638
Iberdrola SA.................. 300,357 2,936
Repsol SA..................... 50,500 1,850
Telefonica de Espana SA....... 336,500 5,984
Uralita (non-income
producing).................. 59,250 582
--------
TOTAL SPAIN COMMON
STOCK................... 13,945
--------
SWEDEN COMMON STOCK - 4.96%
Assidomaen AB................. 48,000 1,102
Astra AB, "B" Free............ 48,000 2,115
Celsius Industrier AB, "B".... 72,000 1,949
Electrolux AB................. 41,000 2,063
Esselte AB, "A" Free.......... 2,000 40
Esselte AB, "B" Free.......... 17,000 340
Fastighets AB Tornet.......... 91,700 95
Marieberg Tidnings............ 46,000 1,076
Nordbanken AS................. 28,500 486
Skandia Forsakrings AB........ 33,800 771
Skandinaviska Enskilda
Banken "A".................. 95,200 714
SKF AB, "B" Free.............. 50,000 1,162
Sparbanken Sverige AB......... 91,700 1,032
Stora Kopparsbergs "A"........ 21,100 284
Stora Kopparsbergs "B"........ 25,800 345
Svedala Industries "A" Free... 40,000 1,430
Svenska Cellulosa "B" Free.... 59,000 1,111
--------
TOTAL SWEDEN COMMON
STOCK................... 16,115
--------
</TABLE>
See accompanying notes
29
<PAGE> 31
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
SWITZERLAND COMMON STOCK - 6.96%
ABB AG-R Series "A"........... 1,100 $ 1,322
Ciba-Geigy AG-R............... 5,000 5,789
Forbo Holding AG-R............ 2,000 834
Interdiscount Holding
Limited-BR.................. 8,400 202
Nestle SA-R................... 3,700 4,105
Schindler Holdings AG-PC...... 350 382
Schindler Holdings AG-PC
Warrants.................... 300 1
SGS Holding SA-BR............. 240 540
SGS Holding SA-R.............. 4,200 1,670
SIG AG-BR..................... 1,140 2,693
Sulzer AG-PC.................. 3,450 2,218
Sulzer AG-R................... 1,500 1,010
Swiss Reinsurance
Company-R................... 1,765 1,844
--------
TOTAL SWITZERLAND COMMON
STOCK................... 22,610
--------
UNITED KINGDOM COMMON STOCK - 8.61%
Albert Fisher Group, PLC...... 262,500 201
Argyll Group, PLC............. 309,677 1,543
Associated British Foods
Group, PLC.................. 72,000 430
Barclays, PLC................. 27,900 308
Barratt Developments, PLC..... 280,000 1,132
Barratt Developments Nil Paid
Rights...................... 70,000 71
BAT Industries, PLC........... 270,700 2,041
Burton Group, PLC............. 335,000 787
Commercial Union, PLC......... 110,000 952
English China Clays, PLC...... 77,000 337
GKN, PLC...................... 60,000 885
Grand Metropolitan, PLC....... 179,255 1,175
Hanson, PLC................... 346,000 1,023
Hillsdown Holdings, PLC....... 526,961 1,415
Hyder, PLC.................... 131,250 1,444
Kwik Save Group, PLC.......... 138,500 983
London Pacific Group, PLC..... 130,000 496
National Power, PLC........... 50,000 421
National Westminster Bank,
PLC......................... 175,000 1,608
PowerGen, PLC................. 127,000 1,063
Reckitt & Colman, PLC......... 125,210 1,368
Redland, PLC.................. 220,000 1,420
Rolls Royce, PLC.............. 107,600 383
Royal Insurance Holdings,
PLC......................... 96,136 525
Salvesen, (Christian), PLC.... 290,000 1,158
Shell Transportation and
Trading, PLC................ 45,000 592
Tesco, PLC.................... 340,173 1,432
Thames Water Group, PLC....... 64,800 558
<CAPTION>
Shares Value
---------- --------
(dollars in thousands)
<S> <C> <C>
Unilever, PLC................. 95,000 $ 1,734
WPP Group, PLC................ 169,500 519
--------
TOTAL UNITED KINGDOM
COMMON STOCK............ 28,004
--------
FOREIGN SECURITIES DENOMINATED IN U.S. DOLLARS - 2.19%
Dairy Farm International...... 908,000 844
GP Batteries International
Limited..................... 137,000 338
GP Batteries Warrants Expires
11/15/2000.................. 34,250 25
Jardine Matheson Holdings..... 451,400 3,611
Jardine Strategic............. 700,000 2,296
--------
TOTAL FOREIGN SECURITIES
DENOMINATED IN U.S.
DOLLARS................. 7,114
--------
</TABLE>
<TABLE>
<CAPTION>
Par Amount Value
---------- --------
(dollars in thousands)
<S> <C> <C>
UNITED STATES GOVERNMENT OBLIGATIONS (NOTE B) - 5.51%
U. S. Treasury Bill, 4.86%,
Due 5/2/1996................ $ 1,571 $ 1,571
U. S. Treasury Bill, 4.89%,
Due 5/9/1996................ 1,357 1,355
U. S. Treasury Bill, 4.86%,
Due 5/30/1996............... 319 318
U. S. Treasury Bill, 4.89%,
Due 6/6/1996................ 5,130 5,104
U. S. Treasury Bill, 4.95%,
Due 6/13/1996............... 3,452 3,432
U. S. Treasury Bill, 4.99%,
Due 6/27/1996............... 492 488
U. S. Treasury Bill, 5.07%,
Due 7/5/1996................ 763 756
U. S. Treasury Bill, 5.03%,
Due 7/11/1996............... 4,949 4,900
--------
TOTAL UNITED STATES
GOVERNMENT
OBLIGATIONS............. 17,924
--------
TOTAL INVESTMENTS -
96.12% (COST - $262,478).... 312,445
--------
OTHER ASSETS, NET OF
LIABILITIES - 3.88%......... 12,620
--------
TOTAL NET ASSETS - 100%....... $325,065
========
</TABLE>
See accompanying notes
30
<PAGE> 32
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
(A) Based on the cost of investments of $262,617 for federal income tax purposes
at April 30, 1996, the aggregate gross unrealized appreciation was $54,958,
the aggregate gross unrealized depreciation was $5,130, and the net
unrealized appreciation of investments was $49,828.
(B) Rates associated with United States Government Obligations represent yield
to maturity from time of purchase.
ABBREVIATIONS:
AB - Company (Sweden)
AG - Company (Austria, Germany, Switzerland)
AS - Company (Denmark, Norway, Switzerland)
BHD - Berhard (Malaysia)
BR - Bearer (Switzerland)
CDI - Certificate of Investment (France)
CG - Company General (France)
NPV - No Par Value (Belgium)
NV - Company (Netherlands)
OY - Company (Finland)
PC - Participating Certificates (Switzerland)
PLC - Public Limited Corporation (United Kingdom)
R - Registered (Switzerland)
SA - Company (Belgium, France, Spain, Switzerland)
SGD - Singapore Registered (Singapore)
SPA - Company (Italy)
See accompanying notes
31
<PAGE> 33
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
INDUSTRY DIVERSIFICATION
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Percent of
Net Assets
----------
<S> <C>
Basic Industry................................................................... 30.07%
Capital Goods.................................................................... 9.18
Consumer Goods & Services........................................................ 20.50
Energy........................................................................... 4.38
Financing, Insurance & Real Estate............................................... 20.83
Transportation................................................................... 0.92
Utilities........................................................................ 4.71
Short Term Investments........................................................... 5.51
Other Assets/Liabilities......................................................... 3.90
------
NET ASSETS............................................................. 100.00%
======
</TABLE>
32
<PAGE> 34
AMR INVESTMENT SERVICES TRUST LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------- --------
(dollars in thousands)
<S> <C> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 46.46%
Federal Home Loan Mortgage
Corporation, MH-1 A REMIC,
10.15%, Due 4/15/2006.......... $ 218 $ 220
Federal National Mortgage
Association, 1993-135 Z, 5.85%,
Due 7/25/2005.................. 18,785 18,109
Federal National Mortgage
Association, 1992-203 EB,
6.25%, Due 6/25/2005........... 5,000 4,929
Federal National Mortgage
Association, G1992-13 PH,
7.00%, Due 11/25/2020.......... 7,400 7,262
Federal National Mortgage
Association, 1992-131 H, 7.50%,
Due 6/25/2021.................. 15,000 14,931
Federal National Mortgage
Association, 1995-W1 A1, 8.40%,
Due 4/25/2025.................. 2,589 2,557
U.S. Treasury Notes, 6.875%,
Due 10/31/1999................. 30,000 31,078
U.S. Treasury Notes, 6.875%,
Due 3/31/2000.................. 7,000 7,123
--------
TOTAL U.S. GOVERNMENT &
AGENCY OBLIGATIONS......... 86,209
--------
CORPORATE OBLIGATIONS - 35.78%
BANK FUNDING - 21.50%
Advanta National Bank, CD, 6.43%,
Due 4/30/1998, Dated
4/30/1996...................... 9,000 8,999
Capital One Bank Note, 8.125%,
Due 2/27/1998.................. 5,000 5,130
Capital One Bank Note, 8.125%,
Due 3/1/2000................... 5,000 5,177
First USA Bank Note, 5.75%,
Due 1/15/1999.................. 9,000 8,765
Midland Bank PLC, 7.65%,
Due 5/1/2025, Puttable 2007,
Dated 5/10/1995................ 5,000 5,142
Southtrust Bank of Alabama,
5.58%, Due 2/6/2006, Puttable
2001, Dated 2/6/1996........... 7,000 6,676
--------
TOTAL BANK FUNDING........... 39,889
--------
PERSONAL CREDIT - 8.75%
Chrysler Financial Corporation,
12.75%, Due 11/1/1999.......... 8,000 9,415
Ford Motor Credit, Global Bond,
6.25%, Due 11/8/2000........... 7,000 6,821
--------
TOTAL PERSONAL CREDIT........ 16,236
--------
<CAPTION>
Par
Amount Value
------- --------
(dollars in thousands)
<S> <C> <C>
SECURITIES FIRMS - 2.69%
Lehman Brothers, MTN, 6.90%,
Due 7/15/1999.................. $ 5,000 $ 4,995
--------
TOTAL SECURITIES FIRMS....... 4,995
--------
UTILITIES - 2.84%
Great Lakes Power Incorporated,
8.90%, Due 12/1/1999........... 5,000 5,264
--------
TOTAL UTILITIES.............. 5,264
--------
TOTAL CORPORATE
OBLIGATIONS................ 66,384
--------
NON-AGENCY MORTGAGE BACKED OBLIGATIONS - 14.78%
Collateralized Mortgage
Obligation Trust, 56 A, 9.00%,
Due 5/1/2014................... 249 257
Residential Funding Securities
Corporation, 6.7125%,
Due 6/25/2025.................. 5,602 5,614
Resolution Trust Corporation,
1992-MH3 B1, 7.25%,
Due 12/15/2011................. 8,397 8,447
Resolution Trust Corporation,
1992-7 A3, 7.5181%,
Due 3/25/2022.................. 3,178 3,129
Resolution Trust Corporation,
1992-6 A3, 7.7889%,
Due 3/25/2022.................. 3,095 3,111
Resolution Trust Corporation,
1992-1 A1, 7.6948%,
Due 5/25/2028.................. 3,429 3,439
Resolution Trust Corporation,
1992-4 A2, 7.7229%,
Due 7/25/2028.................. 3,415 3,440
--------
TOTAL NON-AGENCY MORTGAGE
BACKED OBLIGATIONS......... 27,437
--------
SHORT-TERM INVESTMENTS (NOTE A) - 1.29%
Bank Brussels Lambert, Eurodollar
TD, 5.375%, Due 5/1/1996....... 2,395 2,395
--------
TOTAL SHORT-TERM
INVESTMENTS................ 2,395
--------
TOTAL INVESTMENTS - 98.31%
(COST $186,023)................ 182,425
--------
OTHER ASSETS, NET OF
LIABILITIES - 1.69%............ 3,133
--------
TOTAL NET ASSETS - 100%.......... $185,558
========
</TABLE>
See accompanying notes
33
<PAGE> 35
AMR INVESTMENT SERVICES TRUST LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
Based on the cost of investments of $186,023 for federal income tax purposes at
April 30, 1996, the aggregate gross unrealized appreciation was $22, the
aggregate gross unrealized depreciation was $3,620, and the net unrealized
depreciation of investments was $3,598.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
CD -- Certificate of Deposit
MTN -- Medium Term Note
PLC -- Public Limited Corporation
REMIC -- Real Estate Mortgage Investment Conduit
TD -- Time Deposit
See accompanying notes
34
<PAGE> 36
AMR INVESTMENT SERVICES TRUST MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
EURODOLLAR TIME DEPOSITS (NOTE A) - 7.99%
Bank Brussells Lambert,
5.375%, Due 5/1/1996........ $ 67,000 $ 67,000
CIBC, 5.25%, Due 5/1/1996..... 22,189 22,189
Fuji Bank, 5.40625%, Due
5/1/1996.................... 40,000 40,000
----------
TOTAL EURODOLLAR TIME
DEPOSITS................ 129,189
----------
CERTIFICATES OF DEPOSIT (NOTE A) - 12.56%
YANKEE DOLLAR, FOREIGN
BANKS - 11.07%
Banca CRT S.P.A., Variable
Rate, 5.25%, Due 3/10/1997.. 75,000 75,000
Mitsubishi Bank, New York,
5.80%, Due 5/31/1996........ 35,000 35,000
Postipankki Bank, Limited, New
York, 5.31%, Variable Rate
Demand, Due 9/5/1996 (Note
C).......................... 69,000 69,000
----------
TOTAL YANKEE CERTIFICATES
OF DEPOSIT.............. 179,000
----------
DOMESTIC BANKS - 1.49%
Banco Popular De Puerto Rico,
Variable Rate, 5.57%, Due
4/4/1997 (Note B)........... 24,000 24,000
----------
TOTAL DOMESTIC BANKS...... 24,000
----------
TOTAL CERTIFICATES OF
DEPOSIT................. 203,000
----------
YANKEE BANKERS' ACCEPTANCES
(NOTE A) - 18.02%
Bank of Tokyo, Los Angeles,
5.40%, Due 7/15/1996........ 10,500 10,385
Bank of Tokyo, New York,
5.14%, Due 8/1/1996......... 8,500 8,391
Dai-Ichi Kangyo Bank, Los
Angeles, 5.23%, Due
5/20/1996................... 5,000 4,986
Dai-Ichi Kangyo Bank, Los
Angeles, 5.16%, Due
8/7/1996.................... 5,000 4,932
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Dai-Ichi Kangyo Bank, New
York, 5.26%, Due 5/3/1996... $ 5,000 $ 4,999
Dai-Ichi Kangyo Bank, New
York, 5.27%, Due 5/7/1996... 9,100 9,092
Dai-Ichi Kangyo Bank, New
York, 5.90%, Due
5/15/1996................... 5,400 5,388
Dai-Ichi Kangyo Bank, New
York, 5.39%, Due
5/22/1996................... 30,000 29,906
Industrial Bank of Japan, Los
Angeles, 5.23%, Due
5/15/1996................... 6,300 6,287
Industrial Bank of Japan, Los
Angeles, 5.35%, Due
5/28/1996................... 47,000 46,814
Industrial Bank of Japan, New
York, 5.22%, Due 5/20/1996.. 5,950 5,934
Industrial Bank of Japan, New
York, 5.46%, Due 6/3/1996... 8,200 8,160
Industrial Bank of Japan, New
York, 5.45%, Due 6/17/1996.. 7,850 7,795
Industrial Bank of Japan, New
York, 5.24%, Due 7/15/1996.. 9,100 9,003
Mitsubishi Bank, New York,
5.79%, Due 5/17/1996........ 5,000 4,987
Mitsubishi Bank, New York,
5.80%, Due 5/22/1996........ 20,000 19,934
Mitsubishi Bank, New York,
5.24%, Due 6/5/1996......... 6,850 6,816
Mitsubishi Bank, New York,
5.45%, Due 6/11/1996........ 5,000 4,970
Sanwa Bank, Limited, New York,
6.05%, Due 5/2/1996......... 10,000 9,998
Sanwa Bank, Limited, New York,
5.25%, Due 5/7/1996......... 7,000 6,994
Sanwa Bank, Limited, New York,
5.24%, Due 5/13/1996........ 10,000 9,983
Sanwa Bank, Limited, New York,
5.25%, Due 5/13/1996........ 5,000 4,991
Sanwa Bank, Limited, New York,
5.83%, Due 5/17/1996........ 11,000 10,972
</TABLE>
See accompanying notes
35
<PAGE> 37
AMR INVESTMENT SERVICES TRUST MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Sanwa Bank, Limited, New York,
5.88%, Due 5/20/1996........ $ 2,000 $ 1,994
Sanwa Bank, Limited, New York,
5.23%, Due 5/24/1996........ 9,000 8,970
Sanwa Bank, Limited, New York,
5.22%, Due 6/10/1996........ 5,000 4,972
Sanwa Bank, Limited, New York,
5.23%, Due 6/26/1996........ 26,000 25,792
Sanwa Bank, Limited, New York,
5.18%, Due 8/5/1996......... 8,000 7,892
----------
TOTAL YANKEE BANKERS'
ACCEPTANCES............. 291,337
----------
PROMISSORY NOTES (NOTE A) - 0.80%
Goldman Sachs Group, L.P.,
5.25%, Due 7/3/1996......... 13,000 13,000
----------
TOTAL PROMISSORY NOTES.... 13,000
----------
COMMERCIAL PAPER (NOTE A) - 6.53%
Chrysler Financial
Corporation, 5.25%, Due
5/31/1996................... 60,000 59,741
Chrysler Financial
Corporation, 5.25%, Due
5/31/1996................... 46,000 45,801
----------
TOTAL COMMERCIAL PAPER.... 105,542
----------
VARIABLE RATE MEDIUM-TERM NOTES
(NOTE A) - 47.32%
American Honda Finance
Corporation, 5.49%, Due
1/27/1997................... 70,000 69,983
American Honda Finance
Corporation, 5.34%, Due
2/7/1997.................... 10,000 10,000
American Honda Finance
Corporation, 5.31% Due
3/14/1997................... 20,000 20,000
Bank of Boston, 5.41%, Due
1/24/1997................... 50,000 50,000
Bank of Boston, 5.50%, Due
1/24/1997................... 15,000 15,000
Bank of Boston, 5.51%, Due
1/29/1997................... 5,000 5,000
BanPonce Corporation, 5.79%,
Due 2/3/1997................ 40,000 40,057
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
BanPonce Financial
Corporation, 5.89%, Due
11/25/1996.................. $ 5,000 $ 5,010
BanPonce Financial
Corporation, 5.94%, Due
1/7/1997.................... 10,000 10,026
Bear Stearns Companies,
Incorporated, 5.52%, Due
1/17/1997................... 60,000 60,000
Bear Stearns Companies,
Incorporated, 5.31%, Due
3/5/1997.................... 15,000 15,000
Bear Stearns Companies,
Incorporated, 5.30%, Due
3/11/1997................... 25,000 25,000
CS First Boston, Incorporated,
5.59%, Due 2/11/1997........ 58,000 58,000
CS First Boston, Incorporated,
5.27%, Due 3/11/1997........ 42,000 42,000
General Electric Capital
Corporation, 5.47%, Due
10/3/1996................... 20,000 20,005
General Motors Acceptance
Corporation, 5.56%, Due
5/6/1996.................... 10,000 10,000
General Motors Acceptance
Corporation, 5.50%, Due
12/9/1996................... 25,000 25,034
General Motors Acceptance
Corporation, 5.27%, Due
2/23/1998................... 70,000 70,000
Lehman Brothers Holdings,
Incorporated, 5.75%, Due
8/30/1996................... 5,000 5,005
Lehman Brothers Holdings,
Incorporated, Euro 5.62%,
Due 10/16/1996.............. 10,000 9,999
Merrill Lynch & Company,
Incorporated, 5.52%, Due
1/14/1997................... 65,000 64,991
Merrill Lynch & Company,
Incorporated, 5.27%, Due
2/12/1997................... 30,000 30,000
Norwest Corporation, 5.49%,
Due 9/18/1996............... 25,000 25,010
Sanwa Business Credit
Corporation, 5.38%, Due
2/10/1997................... 10,000 9,997
</TABLE>
See accompanying notes
36
<PAGE> 38
AMR INVESTMENT SERVICES TRUST MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Sanwa Business Credit
Corporation, 5.37%, Due
3/4/1997.................... $ 20,000 $ 19,990
Sanwa Business Credit
Corporation, 5.63%, Due
1/10/1997................... 25,000 24,998
Sanwa Business Credit
Corporation, 5.63%, Due
1/10/1997................... 25,000 25,000
----------
TOTAL VARIABLE RATE
MEDIUM-TERM
NOTES................... 765,105
----------
MASTER NOTES (NOTE C) - 6.19%
Heller Financial,
Incorporated, Variable Rate
Demand, 5.81%, Due
12/20/1996.................. 65,000 65,000
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Heller Financial,
Incorporated, Variable Rate
Demand, 5.59%, Due
1/27/1997................... $ 10,000 $ 10,000
Heller Financial,
Incorporated, Variable Rate
Demand, 5.38%, Due
3/11/1997................... 25,000 25,000
----------
TOTAL MASTER NOTES........ 100,000
----------
TOTAL INVESTMENTS - 99.41%
(COST 1,607,173)............ 1,607,173
----------
OTHER ASSETS, NET OF
LIABILITIES - .59%.......... 9,600
----------
TOTAL NET ASSETS - 100%....... $1,616,773
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,607,173 for federal income tax purposes
at April 30, 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.
ABBREVIATION:
L.P. -- Limited Partnership
See accompanying notes
37
<PAGE> 39
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------ --------
(dollars in thousands)
<S> <C> <C>
MUNICIPAL BONDS - 92.03%
ALABAMA - 2.53%
Birmingham Baptist Medical
Centers - Alabama Special Care
Facilities Financing Authority
Revenue Bonds Series 1990A,
(Senior Living Communities,
Inc. Project), 4.50%, Due
9/1/2020, LOC Fuji Bank,
Limited, VRDO................. $1,200 $ 1,200
Birmingham Baptist Medical
Centers - Alabama Medical
Clinic Board Revenue Bonds
Series 1990A, (Western Medical
System, Inc. Project), 4.50%,
Due 6/1/2028, LOC Fuji Bank,
Limited, VRDO................. 480 480
-------
TOTAL ALABAMA............... 1,680
-------
ARIZONA - 5.73%
Industrial Development Authority
of Apache County Arizona
Series 1981B (Tucson Electric
Power Co. - Pollution Control
Project), 4.20%, Due
10/1/2021, LOC Bank of Tokyo-
Mitsubishi, Limited........... 2,400 2,400
Industrial Development Authority
of Apache County Arizona
Series 1985A (Tucson Electric
Power Co. - Springerville
Project), 4.15%, Due
12/1/2020, LOC Barclays Bank,
PLC VRDO...................... 500 500
Industrial Development Authority
of Pima County Arizona Series
1982A (Tucson Electric Power
Co. Gen. Project), 4.05%, Due
7/1/2022, LOC Bank of America,
NT & SA, VRDO................. 900 900
-------
TOTAL ARIZONA............... 3,800
-------
ARKANSAS - 1.81%
Little River County, Arkansas
Solid Waste Disposal Revenue
Bonds Series 1991,
(Georgia-Pacific Corp.
Project) 4.70%, Due 11/1/2026,
LOC Sumitomo Bank, Limited,
VRDO.......................... 1,200 1,200
-------
TOTAL ARKANSAS.............. 1,200
-------
<CAPTION>
Par
Amount Value
------ -------
(dollars in thousands)
<S> <C> <C>
CALIFORNIA - 3.16%
County of Sacramento, California
Revenue Bonds Series 1985A,
4.25%, Due 4/15/2007, LOC
Dai-Ichi Kangyo Bank, Limited,
VRDO.......................... $ 200 $ 200
County of Sacramento, California
Revenue Bonds Series 1985B,
4.25%, Due 4/15/2007, LOC
Dai-Ichi Kangyo Bank, Limited,
VRDO.......................... 100 100
Los Angeles County Housing
Authority (Sand Canyon Villas
Project) Series 1989A, 4.20%,
Due 11/1/2009, LOC Industrial
Bank of Japan, Limited,
VRDO.......................... 1,000 1,000
Los Angeles County Industrial
Development Authority Series
1987A-II, (Bicara, Limited
Project) 4.50%, Due 12/1/2007,
LOC Dai-Ichi Kangyo Bank,
Limited, VRDO................. 450 450
Los Angeles County Industrial
Development Authority (Gary A.
Brandy), 4.50%, Due 12/1/2007,
LOC Dai-Ichi Kangyo Bank,
Limited, VRDO................. 345 345
-------
TOTAL CALIFORNIA............ 2,095
-------
COLORADO - 1.66%
Adams County Colorado Industrial
Development Revenue Bonds
Series 1985, (City View Park
Project) 4.15%, Due 12/1/2015,
LOC Barclays Bank, PLC, VRDO.. 1,100 1,100
-------
TOTAL COLORADO.............. 1,100
-------
CONNECTICUT - 2.11%
Connecticut Development
Authority Solid Waste Disposal
Facility Revenue Bonds Series
1989A, (Exeter Energy Project)
4.30%, Due 12/1/2019, LOC
Sanwa Bank, Limited, VRDO..... 200 200
State of Connecticut
Unemployment Revenue Bond
Series 1993B, (Connecticut
Unemployment Revenue Bonds
"CURB") 4.35%, Due 11/1/2001,
LOC Bank of Tokyo-Mitsubishi,
Limited VRDO.................. 1,200 1,200
-------
TOTAL CONNECTICUT........... 1,400
-------
</TABLE>
See accompanying notes
38
<PAGE> 40
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------ --------
(dollars in thousands)
<S> <C> <C>
FLORIDA - 8.75%
Broward County, Florida Housing
Finance Authority Multifamily
Housing Revenue Bonds Series
1985 (Parkview Partnership,
Limited Project), 4.35%, Due
12/1/2010, LOC Fuji Bank,
Limited....................... $1,000 $ 1,000
City of Naples, Florida Hospital
Revenue Bonds Series 1992,
(Naples Community Hospital,
Inc. Project), 4.40%, Due
11/1/2022, LOC Mellon Bank,
N.A., VRDO.................... 100 100
Dade County, Florida Capital
Asset Acquisition Special
Obligation Bonds Series 1990,
4.60%, Due 10/1/2010, LOC
Sanwa Bank, Limited, VRDO..... 2,100 2,100
Indian River, Florida Hospital
District Hospital Revenue
Bonds Series 1985, 4.15%, Due
10/1/2015, LOC Kredietbank
N.V., VRDO.................... 100 100
Lee County, Florida Industrial
Development Authority Revenue
Bonds (Christian & Missionary
Alliance Foundation-Shell
Point Village Project) Series
1985, 4.35%, Due 4/1/2010, LOC
Banque Paribas, VRDO.......... 2,500 2,500
-------
TOTAL FLORIDA............... 5,800
-------
GEORGIA - 8.29%
Gainesville Redevelopment
Authority Series 1986, (Hotel
of Gainesville Assoc. Project)
Series 1986, 4.25%, Due
12/1/2007, LOC Sun Trust Bank,
Atlanta, VRDO................. 900 900
Industrial Development Authority
of Cartersville Series 1992,
(Sekisui Jushi America, Inc.
Project) 4.75%, Due 6/1/2012,
LOC Sanwa Bank, Limited,
VRDO.......................... 1,100 1,100
Thomaston-Upson County
Industrial Development Revenue
Authority (Yamaha Music
Manufacturing, Inc.), Series
1988, 4.75%, Due 8/1/2018, LOC
Bank of Tokyo-Mitsubishi,
Limited, VRDO................. 3,500 3,500
-------
TOTAL GEORGIA............... 5,500
-------
<CAPTION>
Par
Amount Value
------ -------
(dollars in thousands)
<S> <C> <C>
HAWAII - 0.75%
Hawaii Housing Finance &
Development Corporation Rental
Housing System Revenue Bonds
Series 1990B, 4.35%, Due
7/1/2025, LOC Industrial Bank
of Japan, Limited, VRDO....... $ 500 $ 500
-------
TOTAL HAWAII................ 500
-------
ILLINOIS - 3.99%
Illinois Development Finance
Authority (Illinois Power
Project) Series 1987D, 4.25%,
Due 3/1/2017, LOC Bank of
Tokyo-Mitsubishi, Limited..... 900 900
Illinois Educational Facilities
Authority (The Art Institute
of Chicago) Series 1987,
4.40%, Due 3/1/2027, LOC Bank
of Tokyo-Mitsubishi, Limited,
VRDO.......................... 350 350
Illinois Housing Development
Authority Multi-Family
Mortgage - Revenue Bonds (Hyde
Park Project) Series 1989,
4.55%, Due 2/1/2024, LOC
Sumitomo Bank, Limited,
VRDO.......................... 965 965
Oswego Illinois Industrial
Development Revenue Bonds
(Griffith Laboratories World
Wide, Inc. Project) Series
1995, 4.15%, Due 7/1/2025, LOC
ABN/AMRO Bank, VRDO........... 430 430
-------
TOTAL ILLINOIS.............. 2,645
-------
INDIANA - 3.10%
Fort Wayne Industrial Economic
Development Revenue Bonds
(ND-Tech Corporation Project)
Series 1989, 4.15%, Due
7/1/2009, LOC Societe
Generale, VRDO................ 600 600
Indianapolis, Indiana Resource
Recovery Revenue Bonds (Ogden
Martin System) Series 1987,
4.20%, Due 12/1/2016, LOC
Swiss Bank Corporation,
VRDO.......................... 400 400
</TABLE>
See accompanying notes
39
<PAGE> 41
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------ --------
(dollars in thousands)
<S> <C> <C>
Princeton Industrial Development
Revenue Bonds (Orion Electric
America, Inc. Project) Series
1987, 4.50%, Due 4/30/2017,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................. $ 455 $ 455
Seymour Economic Development
Revenue Bonds (Kobelco Metal
Powder of America, Inc.
Project) Series 1987, 4.75%,
Due 12/15/1997, LOC Industrial
Bank of Japan, Limited,
VRDO.......................... 600 600
-------
TOTAL INDIANA............... 2,055
-------
IOWA - 1.46%
Dubuque, Iowa Industrial
Development Revenue Bonds
(Swiss Valley Farms Company
Project) Series 1987, 4.55%,
Due 12/1/2001, LOC Rabobank
Nederland, VRDO............... 770 770
Polk County, Iowa Hospital
Equipment & Improvement
Revenue Bonds Series 1985A,
4.10%, Due 12/1/2005, Bond
Insurance-Municipal Bond
Investors Assurance
Corporation (MBIA), VRDO...... 200 200
-------
TOTAL IOWA.................. 970
-------
KENTUCKY - 6.48%
Bowling Green Industrial
Building Revenue Bonds (TWN
Fastener, Inc. Project) Series
1988, 4.75%, Due 3/1/2008, LOC
Industrial Bank of Japan,
Limited, VRDO................. 900 900
Georgetown Kentucky Public
Project Revenue Bond Series
1986, 4.60%, Due 12/1/2006,
LOC Bank of Tokyo-Mitsubishi
Limited, VRDO................. 600 600
Hopkinsville Industrial
Development Revenue Bonds
(American Precision Machinery
Inc., Project) Series 1990,
3.90%, Due 5/1/2000, LOC Bank
of Tokyo-Mitsubishi, Limited,
VRDO.......................... 1,400 1,400
Hopkinsville Kentucky Industrial
Building Revenue Refunding
Bonds (Co Par, Inc. Project)
Series 1994A, 4.55%, Due
4/1/2004, LOC Dai-Ichi Kangyo
Bank, Limited, VRDO........... 100 100
<CAPTION>
Par
Amount Value
------ -------
(dollars in thousands)
<S> <C> <C>
Shelbyville, Indiana Economic
Development Revenue Bonds
(Nippisun Indiana Corp.
Project) Series 1991, 4.55%,
Due 9/1/2006, LOC Industrial
Bank of Japan, Limited,
VRDO.......................... $1,200 $ 1,200
Shelbyville, Kentucky Industrial
Building Revenue Bonds
(Ichikoh Manufacturing, Inc.
Project) Series 1987, 4.75%,
Due 10/1/1997 LOC Industrial
Bank of Japan, Limited,
VRDO.......................... 100 100
-------
TOTAL KENTUCKY.............. 4,300
-------
LOUISIANA - 4.09%
Louisiana Public Facilities
Authority Capital Facilities
Revenue Bonds Series 1985A,
4.60%, Due 12/1/2005, LOC
Sumitomo Bank, Limited,
VRDO.......................... 1,210 1,210
Louisiana Public Facilities
Authority Hospital Revenue
Bonds (Willis Knighton Medical
Center Project), Series 1995,
4.10%, Due 9/1/2025, Bond
Insurance-AMBAC Indemnity
Corporation, VRDO............. 1,000 1,000
Louisiana Public Facilities
College & University Equipment
and Capital Facilities Revenue
Bonds Series 1985A, 4.10%, Due
9/1/2010, Bond Insurance-
Financial Guaranty Insurance
Company (FGIC), VRDO.......... 500 500
-------
TOTAL LOUISIANA............. 2,710
-------
MARYLAND -- 2.71%
Baltimore County Maryland
Hospital Revenue Bonds
(Sheppard and Enoch Pratt
Hospital Facility Project)
Series 1992, 4.10%, Due
7/1/2021, LOC Societe
Generale, VRDO................ 1,800 1,800
-------
TOTAL MARYLAND.............. 1,800
-------
MICHIGAN -- 0.30%
Kent Hospital Finance Authority
(Butterworth Hospital Project)
Series 1991A, 4.55%, Due
1/15/2020, LOC Sanwa Bank,
Limited, VRDO................. 200 200
-------
TOTAL MICHIGAN.............. 200
-------
</TABLE>
See accompanying notes
40
<PAGE> 42
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------ --------
(dollars in thousands)
<S> <C> <C>
MINNESOTA - 3.77%
St Paul, Minnesota Housing and
Redevelopment Authority
District Heating Revenue Bonds
Series 1982A, 4.25%, Due
12/1/2012, LOC Sumitomo Bank,
Limited, VRDO................. $2,500 $ 2,500
-------
TOTAL MINNESOTA............. 2,500
-------
MISSOURI - 2.11%
Missouri Higher Education Loan
Authority Revenue Bonds Series
1988A, 4.15%, Due 6/1/2017,
LOC National Westminster Bank,
PLC, VRDO..................... 1,400 1,400
-------
TOTAL MISSOURI.............. 1,400
-------
NEBRASKA - 1.36%
Lancaster County, Nebraska
Industrial Revenue Bonds (Sun-
Husker Foods, Incorporated
Project) Series 1989, 4.75%,
Due 8/15/2009, LOC Bank of
Tokyo-Mitsubishi, Limited,
VRDO.......................... 900 900
-------
TOTAL NEBRASKA.............. 900
-------
OHIO - 2.26%
Saint Mary's, Ohio Industrial
Development Revenue Bonds
(Setex Inc. Project) Series
1988, 4.75%, Due 12/1/2001,
LOC Industrial Bank of Japan,
Limited, VRDO................. 1,500 1,500
-------
TOTAL OHIO.................. 1,500
-------
PENNSYLVANIA - 6.59%
Cambria County Industrial
Development Authority Resource
Recovery Revenue Bonds
(Cambria Cogen Project) Series
1989V-1, 4.35%, Due 9/1/2019,
LOC Fuji Bank, Limited,
VRDO.......................... 700 700
Cambria County Industrial
Development Authority Resource
Recovery Revenue Bonds
(Cambria Cogen Project) Series
1989V-2, 4.35%, Due 9/1/2019,
LOC Fuji Bank, Limited,
VRDO.......................... 700 700
Cambria County Industrial
Development Authority Resource
Recovery Revenue Bonds
(Cambria Cogen Project) Series
1991V-1, 4.35%, Due 9/1/2019,
LOC Fuji Bank, Limited,
VRDO.......................... 200 200
<CAPTION>
Par
Amount Value
------ -------
(dollars in thousands)
<S> <C> <C>
Gettysburg Area Industrial
Development Authority
Industrial Development
Refunding Bonds (Dal-Tile
Corporation) Series 1987B,
4.30%, Due 3/1/2004, LOC
Credit Suisse, VRDO........... $1,670 $ 1,670
Northumberland County Industrial
Development Authority Resource
Recovery Revenue Bonds (Foster
Wheeler Mt. Carmel, Inc.
Project) Series 1987B, 4.25%
Due 2/1/2010, LOC Union Bank
of Switzerland, VRDO.......... 500 500
Northumberland County Industrial
Development Authority Resource
Recovery Revenue Bonds (Foster
Wheeler Mt. Carmel, Inc.
Project) Series 1987A, 4.25%,
Due 2/1/2010, LOC Union Bank
of Switzerland VRDO........... 600 600
-------
TOTAL PENNSYLVANIA.......... 4,370
-------
TENNESSEE - 1.21%
Blount County Industrial
Development Revenue Bonds
(Advanced Crystal Technology,
Inc. Project) Series 1988,
4.75%, Due 8/1/2008, LOC
Industrial Bank of Japan,
Limited, VRDO................. 500 500
Covington, Tennessee Industrial
Development Board Industrial
Development Revenue Bonds
(Charms Co. Project) Series
1992, 4.10%, Due 6/1/2027, LOC
Societe Generale, VRDO........ 300 300
-------
TOTAL TENNESSEE............. 800
-------
TEXAS - 4.22%
Brazos River Authority, Texas
Collateralized Pollution
Control Revenue Refunding
Bonds (Texas Utilities
Electric Company Project),
Series 1995B, 4.20%, Due
6/1/2030, LOC Union Bank of
Switzerland, VRDO............. 800 800
Harris County Industrial
Developement Revenue Bonds
(Zeon Chemicals Project)
Series 1989, 4.75%, Due
2/1/2009, LOC Industrial Bank
of Japan, Limited, VRDO....... 600 600
</TABLE>
See accompanying notes
41
<PAGE> 43
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------ --------
(dollars in thousands)
<S> <C> <C>
Harris County, Texas Industrial
Development Revenue Bonds
(Chusei "USA" Project), Series
1991C, 4.55%, Due 8/1/2001,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................. $ 100 $ 100
Montgomery County, Texas
Industrial Development
Corporation (Dal-Tile
Corporation Project), Series
1986B, 4.30%, Due 12/1/2003,
LOC Credit Suisse, VRDO....... 300 300
Sabine River Authority of Texas
Collateralized Pollution
Control Revenue Bonds, (Texas
Utilities Electric Company
Project) Series 1995C, 4.20%,
Due 6/1/2030, LOC Union Bank
of Switzerland, VRDO.......... 1,000 1,000
-------
TOTAL TEXAS................. 2,800
-------
UTAH - 1.51%
State Board of Regents Utah
Student Loan Revenue Bonds
Series 1988C, 4.15%, Due
11/1/2013, Bond Insurance-
AMBAC Indemnity Corporation,
VRDO.......................... 1,000 1,000
-------
TOTAL UTAH.................. 1,000
-------
VIRGINIA - 0.75%
Alexandria Industrial
Development Authority Resource
Recovery Revenue Bonds
(Alexandria/ Arlington
Waste-To-Energy Facility)
Series 1986A, 4.20%, Due
12/1/2016, LOC Swiss Bank
Corporation, VRDO............. 300 300
Virginia Housing Development
Authority Revenue Bonds (AHC
Service Corporation) Series
1987A, 4.25%, Due 9/1/2017,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................. 200 200
-------
TOTAL VIRGINIA.............. 500
-------
<CAPTION>
Par
Amount Value
------ -------
(dollars in thousands)
<S> <C> <C>
WASHINGTON - 9.65%
Port Angeles Industrial
Development Corporation
(Daishowa America Project)
Series 1992, 4.75%, Due
8/1/2007, LOC Industrial Bank
of Japan, Limited, VRDO....... $ 200 $ 200
Port Angeles Industrial
Development Corporation
(Daishowa America Project)
Series 1992B, 4.75%, Due
12/1/2007, LOC Industrial Bank
of Japan, Limited, VRDO....... 200 200
Port Everett Revenue Bonds
Series 1986, 4.75%, Due
12/1/2006, LOC Sumitomo Bank,
Limited, VRDO................. 1,200 1,200
Washington State Public Power
Supply Series 3A-1, 4.05%, Due
7/1/2018, LOC Bank of America,
NT & SA, VRDO................. 1,400 1,400
Washington Student Loan Finance
Association Revenue Bonds
Series 1987A, 4.40%, Due
12/1/2002, LOC Sanwa Bank,
Limited, VRDO................. 2,400 2,400
Washington Student Loan Finance
Association Revenue Bonds
Series 1987B, 4.40%, Due
12/1/2002, LOC Sanwa Bank,
Limited, VRDO................. 1,000 1,000
-------
TOTAL WASHINGTON............ 6,400
-------
WEST VIRGINIA - 1.68%
Marion County, West Virginia
Solid Waste Disposal Facility
(Grant Town Cogeneration
Project) Series 1990B, 4.15%,
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, 4.15%,
Due 10/1/2017, LOC National
Westminster Bank, PLC, VRDO... 1,000 1,000
-------
TOTAL WEST VIRGINIA......... 1,115
-------
TOTAL MUNICIPAL BONDS....... 61,040
-------
</TABLE>
See accompanying notes
42
<PAGE> 44
AMR INVESTMENT SERVICES TRUST MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
------ --------
(dollars in thousands)
<S> <C> <C>
MUNICIPAL COMMERCIAL PAPER (NOTE A) -- 1.13%
Carbon County Industrial
Development Authority Resource
Recovery Bonds (Panther Creek
Project) Series 1991A, 3.60%,
Due 4/10/1996, LOC National
Westminster Bank, PLC......... $ 750 $ 750
-------
TOTAL MUNICIPAL COMMERCIAL
PAPER..................... 750
-------
<CAPTION>
Par
Amount Value
------ -------
(dollars in thousands)
<S> <C> <C>
OTHER INVESTMENTS -- 6.55%
Lehman Municipal Money Market
Fund.......................... $3,146 $ 3,146
Provident Institutional Funds
Municipal Cash Fund........... 1,201 1,201
-------
TOTAL OTHER INVESTMENTS..... 4,347
-------
TOTAL INVESTMENTS -- 99.71%
(COST $66,137)................ 66,137
-------
OTHER ASSETS, NET OF
LIABILITIES -- 0.29%.......... 190
-------
TOTAL NET ASSETS -- 100%........ $66,327
=======
</TABLE>
- ---------------
Based on the cost of investments of $66,137 for federal income tax purposes at
April 30, 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
43
<PAGE> 45
AMR INVESTMENT SERVICES TRUST U.S. TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
REPURCHASE AGREEMENTS (NOTE A) - 86.62%
BA Securities, 5.30%, Dated
4/30/1996, Due 5/1/1996 with a
maturing value of $22,420.
(Collateralized by $22,695
U.S. Treasury Notes, due
4/30/1997, market value --
$22,865)...................... $ 22,416 $ 22,416
CS First Boston Corporation,
5.30%, Dated 4/30/1996, Due
5/1/1996 with a maturing value
of $35,005. (Collateralized by
$77,640 U.S. Treasury Strips,
Due 8/15/2007, market value -
$35,780)...................... 35,000 35,000
Nomura Securities International,
5.30%, Dated 4/30/1996 Due
5/1/1996 with a maturing value
of $35,005. (Collateralized by
$30,190 and $4,920 U.S.
Treasury Notes, Due 11/15/1996
and 5/15/1997, market
value - $30,621 and $5,104)... 35,000 35,000
--------
TOTAL REPURCHASE
AGREEMENTS................ 92,416
<CAPTION>
Par
Amount Value
-------- --------
(dollars in thousands)
<S> <C> <C>
--------
UNITED STATES TREASURY
BILLS - 19.83%
U.S. Treasury Bills, 5.24%, Due
11/7/1996..................... $ 7,000 $ 6,820
U.S. Treasury Bills, 5.40%, Due
3/6/1997...................... 15,000 14,338
--------
TOTAL UNITED STATES TREASURY
BILLS..................... 21,158
--------
TOTAL INVESTMENTS - 106.45%
(COST - $113, 574)............ 113,574
--------
LIABILITIES, NET OF OTHER
ASSETS - (6.45%).............. (6,885)
--------
TOTAL NET ASSETS - 100%......... $106,689
========
</TABLE>
- ---------------
Based on the cost of investments of $113,574 for federal income tax purposes at
April 30, 1996, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity.
See accompanying notes
44
<PAGE> 46
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Portfolio Portfolio Portfolio Portfolio
-------- ---------- ------------- ------------
<S> <C> <C> <C> <C>
(in thousands)
ASSETS:
Investments in securities at value (cost -- $750,976;
$803,268; $262,478; $186,023, respectively)........... $887,225 $1,011,928 $ 312,445 $182,425
Cash, including foreign currency........................ - - 11,274 1,954
Unrealized appreciation on foreign currency contracts... - - 1,082 -
Dividends and interest receivable....................... 6,055 1,276 1,305 1,876
Reclaims receivable..................................... - - 251 -
Receivable for investments sold......................... 14,292 1,251 2,010 8,324
Deferred organization costs............................. 39 39 39 39
Other................................................... 304 64 - 156
-------- --------- --------- --------
TOTAL ASSETS........................................ 907,915 1,014,558 328,406 194,774
-------- --------- --------- --------
LIABILITIES:
Payable for investments purchased....................... 18,692 15,511 2,168 8,804
Payable for portfolio redemptions....................... 21,401 279 130 51
Management and investment advisory fees
payable (Note 2)...................................... 937 810 603 150
Accrued organization costs.............................. 43 43 39 43
Other liabilities....................................... 361 16 401 168
-------- --------- --------- --------
TOTAL LIABILITIES................................... 41,434 16,659 3,341 9,216
-------- --------- --------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $866,481 $ 997,899 $ 325,065 $185,558
======== ========= ========= ========
</TABLE>
See accompanying notes
45
<PAGE> 47
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<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 - $1,607,173;
$66,137; $113,574, respectively)*........................... $ 1,607,173 $ 66,137 $ 113,574
Cash.......................................................... - - 6
Dividends and interest receivable............................. 10,405 225 14
Deferred organization costs................................... 39 39 39
Other......................................................... 117 - -
----------- -------- ----------
TOTAL ASSETS.............................................. 1,617,734 66,401 113,633
----------- -------- ----------
LIABILITIES:
Payable for investments purchased............................. - - 6,820
Management and investment advisory fees payable (Note 2)...... 819 6 52
Accrued organization costs.................................... 43 43 43
Other liabilities............................................. 99 25 29
----------- -------- ----------
TOTAL LIABILITIES......................................... 961 74 6,944
----------- -------- ----------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.......... $ 1,616,773 $ 66,327 $ 106,689
=========== ======== ==========
</TABLE>
- ---------------
* Includes repurchase agreements of $92,416 for the U.S. Treasury Money Market
Portfolio.
See accompanying notes
46
<PAGE> 48
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<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
-------- ---------- ------------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income.................... $ 11,396 $ 1,539 $ 558 $ 6,489 $ 43,113 $ 855 $ 2,345
Dividend income (net of foreign
taxes of $415 in International
Equity Portfolio)................ 7,873 12,700 3,348 - - - -
Income derived from securities
lending, net..................... 20 8 15 1 - - -
-------- -------- ------- ------- -------- ----- -------
TOTAL INVESTMENT INCOME........ 19,289 14,247 3,921 6,490 43,113 855 2,345
-------- -------- ------- ------- -------- ----- -------
EXPENSES:
Management and investment advisory
fees (Note 2).................... 1,383 1,414 641 230 1,133 26 65
Custodian fees..................... 60 46 145 23 91 3 5
Professional fees.................. 12 10 9 8 15 6 6
Other.............................. 34 33 18 20 47 13 14
-------- -------- ------- ------- -------- ----- -------
1,489 1,503 813 281 1,286 48 90
-------- -------- ------- ------- -------- ----- -------
Less fees waived (Note 2).......... - - - - - 20 -
-------- -------- ------- ------- -------- ----- -------
NET EXPENSES................... 1,489 1,503 813 281 1,286 28 90
-------- -------- ------- ------- -------- ----- -------
NET INVESTMENT INCOME.......... 17,800 12,744 3,108 6,209 41,827 827 2,255
-------- -------- ------- ------- -------- ----- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on
investments...................... 32,893 44,500 4,997 (87) 42 - 33
Net realized gain on foreign
currency transactions............ - - 332 - - - -
Unrealized appreciation
(depreciation) of investments.... 27,895 69,593 37,110 (3,662) - - -
Unrealized depreciation of foreign
currency contracts and
translations..................... - - (9,278) - - - -
-------- -------- ------- ------- -------- ----- -------
NET GAIN (LOSS) ON
INVESTMENTS.................. 60,788 114,093 33,161 (3,749) 42 - 33
-------- -------- ------- ------- -------- ----- -------
INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................... $ 78,588 $126,837 $36,269 $ 2,460 $ 41,869 $ 827 $ 2,288
======== ======== ======= ======= ======== ===== =======
</TABLE>
See accompanying notes
47
<PAGE> 49
AMR INVESTMENT SERVICES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal U.S. Treasury
Growth and International Limited-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>
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment
income.............. $ 17,800 $ 12,744 $ 3,108 $ 6,209 $ 41,827 $ 827 $ 2,255
Net realized gain
(loss) on
investments and
foreign currency
transactions........ 32,893 44,500 5,329 (87) 42 - 33
Net unrealized
appreciation
(depreciation) of
investments and
foreign currency
translations........ 27,895 69,593 27,832 (3,662) - - -
--------- -------- --------- -------- ----------- -------- ---------
NET INCREASE IN NET
ASSETS RESULTING
FROM OPERATIONS..... 78,588 126,837 36,269 2,460 41,869 827 2,288
--------- -------- --------- -------- ----------- -------- ---------
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS:
Additions............. 949,639 957,398 317,562 240,462 6,779,135 127,607 228,937
Reductions............ (161,746) (86,336) (28,766) (57,364) (5,204,231) (62,107) (124,536)
--------- -------- --------- -------- ----------- -------- ---------
NET INCREASE IN NET
ASSETS RESULTING
FROM TRANSACTIONS IN
INVESTORS'
BENEFICIAL
INTERESTS........... 787,893 871,062 288,796 183,098 1,574,904 65,500 104,401
--------- -------- --------- -------- ----------- -------- ---------
NET INCREASE IN NET
ASSETS.............. 866,481 997,899 325,065 185,558 1,616,773 66,327 106,689
--------- -------- --------- -------- ----------- -------- ---------
NET ASSETS:
Beginning of period... - - - - - - -
--------- -------- --------- -------- ----------- -------- ---------
END OF PERIOD......... $ 866,481 $997,899 $ 325,065 $185,558 $ 1,616,773 $ 66,327 $ 106,689
========= ======== ========= ======== =========== ======== =========
- -------------------------------------------------------------------------------------------------------------------------------
SUPPLEMENTARY DATA:
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS:
Net investment income
to average net
assets
(annualized)........ 4.18% 2.83% 2.23% 6.76% 5.53% 3.58% 5.22%
Expenses to average
net assets
(annualized)*....... 0.35% 0.33% 0.58% 0.31% 0.17% 0.12% 0.21%
Portfolio turnover
rate................ 47% 33% 14% 121% - - -
Average commission
rate paid........... $ 0.0400 $ 0.0398 $ 0.0187 - - - -
</TABLE>
* Ratios to average net assets exclude fees waived by the Manager. Had the
Municipal Money Market Portfolio paid such fees the ratio of net
investment income and expenses to average net assets would have been 3.49%
and .21%, respectively.
See accompanying notes
48
<PAGE> 50
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
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. However, events may occur which affect the values of such securities and
the exchange rates between the time of valuation and the close of the Exchange.
Should events materially affect the value of such securities during this period,
the securities are priced at fair value, as determined in good faith and
pursuant to procedures approved by the Board of Trustees (the "Board").
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
49
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AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1996
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
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 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 and 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 held through the Portfolios'
custodian bank and is monitored daily by each Portfolio so that the collateral's
market value exceeds the carrying value of the repurchase agreement.
50
<PAGE> 52
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1996
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
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.
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 are managed by
multiple investment advisers which have entered into separate investment
advisory agreements with the Manager. The Manager serves as the sole investment
adviser to the Limited-Term Income Portfolio, and each of the Money Market
Portfolios. As compensation for performing the duties required under 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, .15% of the average daily net assets of each of the Money Market
Portfolios, and .10% of the average daily net assets of the Balanced, Growth and
Income, and International Equity Portfolios. In addition, the Manager is
reimbursed by the Portfolios for fees paid to investment advisers hired by the
Manager to direct investment activities of the Balanced, Growth and Income and
International Equity Portfolios. During the period ended April 30, 1996, the
Manager waived management fees totaling $20,000 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 period ended April 30, 1996, the cost of air transportation was not material
to any of the Portfolios.
3. INVESTMENT TRANSACTIONS
Investment transactions for the period ended April 30, 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................................................ $414,722 $376,577 $57,524 $219,080
Proceeds from sales...................................... $390,234 $278,427 $36,049 $231,039
</TABLE>
51
<PAGE> 53
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1996
(Unaudited) (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 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 April 30, 1996, the Portfolio had outstanding forward
foreign currency contracts as follows:
<TABLE>
<CAPTION>
Contracts to Sell
- ---------------------- Settlement Unrealized
(amounts in thousands) Date Value Gain (Loss)
---------- ------- -----------
<C> <S> <C> <C> <C>
1,800 DEM............................................................ 8/9/96 1,183 110
7,000 DEM............................................................ 8/9/96 4,601 239
13,000 SEK............................................................ 9/16/96 1,910 (13)
8,000 FRF............................................................ 10/11/96 1,560 35
303,456 JPY............................................................ 10/11/96 2,962 238
2,750 NLG............................................................ 11/14/96 1,630 139
3,900 NLG............................................................ 11/14/96 2,312 209
300,000 ESP............................................................ 12/2/96 2,332 32
195,000 JPY............................................................ 12/20/96 1,917 93
------- -------
Total contracts to sell
(Receivable amount $21,489).......................................... $20,407 $ 1,082
======= =======
</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 April 30, 1996,
securities with a market value of approximately $73,747,000 $132,361,000,
$6,209,000 and $9,860,000 were loaned by the Balanced, Growth and Income,
International Equity and Limited-Term Income Portfolios, respectively. The
non-cash collateral for these loans totaled $24,462,000, $15,329,000,
$6,896,000, and $3,876,000, respectively and the cash collateral for these loans
totaled $51,888,000, $121,353,000, and $6,220,000, for the Balanced, Growth and
Income and Limited-Term Income Portfolios, respectively.
52
<PAGE> 54
[AMERICAN AADVANTAGE MILEAGE FUNDS(SM) LOGO]
- Platinum Class -(sm)
P.O. Box 619003
Dallas/Fort Worth Airport, Texas
75261-9003
(800) 967-9009
- Mileage Class -(R)
P.O. Box 4580
Chicago, Illinois 60680-4580
(800) 231-4252
