<PAGE> 1
AMERICAN AADVANTAGE
MILEAGE FUNDS--REGISTERED TRADEMARK--
--------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 2000
[AMR LOGO]
MONEY MARKET FUNDS
MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
MUNICIPAL MONEY MARKET FUND
MANAGED BY AMR INVESTMENTS
<PAGE> 2
ABOUT AMR INVESTMENTS
--------------------------------------------------------------------------------
AMR Investments is an experienced provider of investment advisory services to
institutional and retail markets. We act as manager of the American AAdvantage
Funds, a family of diversified mutual funds, and offer customized fixed income
portfolio management services.
Our clients include defined benefit plans, defined contribution plans,
foundations, endowments, corporations, and other institutional investors.
AMR Investments is a wholly owned subsidiary of AMR Corporation, the parent
company of American Airlines, Inc.
Incorporated in 1986, we are directly responsible for the investment management
and oversight of AMR Corporation's defined benefit and defined contribution
plans, as well as its fixed income investments.
CONTENTS
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President's Message................................................1
Financial Highlights
Money Market Mileage Fund......................................14
U.S. Government Money Market Mileage Fund......................16
Municipal Money Market Mileage Fund............................17
Schedules of Investments
Money Market Portfolio.........................................18
U.S. Government Money Market Portfolio.........................20
Municipal Money Market Portfolio...............................21
Additional Information.............................Inside Back Cover
American AAdvantage Mileage Funds June 30, 2000
<PAGE> 3
[BILL QUINN PICTURE]
DEAR FELLOW SHAREHOLDER:
We are pleased to present you with the Semi-Annual Report for the American
AAdvantage Money Market Mileage Funds for the six months ended June 30, 2000. It
gives us great pleasure to mention that all of our Funds exceeded their
benchmarks for the 1-year, 3-year, 5-year and since inception time periods.
We hope you take the opportunity to visit our newly enhanced web site,
aafunds.com. We now offer investors access to their account information,
portfolio listings, and the ability to trade fund shares. These are just a few
of the enhancements you will be seeing, along with a more user-friendly format,
which will include market tickers, Fund factors and yields each evening..
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Mileage Funds
1
<PAGE> 4
ECONOMIC OVERVIEW
--------------------------------------------------------------------------------
Over the past six months, the U.S. economy grew rapidly and the
unemployment rate hovered around its 30-year low of 4 percent.
Historically, these conditions would have caused inflation to accelerate,
causing the Federal Reserve Board to tighten monetary policy. This time it was
no different. To implement this policy, the Fed responded with three rate
increases -- 25 basis points in February, 25 basis points in March and 50 basis
points at the May 16th Federal Open Market Committee meeting. At this time, it
appears that the Fed's actions are beginning to have the desired effect, with
market sentiment reflecting the transition to a possible slowdown in economic
growth.
The shift in market sentiment follows a stream of economic reports that
evidence slowing in various sectors of the economy. Housing sales and
construction, while still robust, have fallen from peak levels. This is not
surprising as higher interest rates have had a direct impact on housing costs.
The moderation in housing activity also affects the demand for furniture and
other household goods, contributing to a slowing in the manufacturing sector.
However, oil prices continue to remain high, even as OPEC promises to raise
production quotas. As a result, although the inflation indicators are ticking up
at the headline level, producer and consumer prices at the core level remain
benign.
Due to the market conditions over the last six months, the Money Market
Mileage Funds maintained a short weighted-average maturity during most of the
period. However, when the market sentiment began to shift, the Funds began to
extend the weighted-average maturity in order to establish a more neutral
posture toward the end of June.
2
<PAGE> 5
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE MONEY MARKET MILEAGE FUND(SM)
--------------------------------------------------------------------------------
For the six months ended June 30, 2000, the total return of the Money
Market Mileage Fund Mileage Class was 2.85%. The Fund outperformed the Lipper
Money Market Instrument Average return of 2.66% by 19 basis points. Lipper
Analytical Services ranked the Mileage Fund in the 16th percentile out of its
universe of 375 money market funds for the six month period ending June 30,
2000.
MILEAGE FUND TOTAL RETURNS AS OF JUNE 30, 2000(1)
<TABLE>
<S> <C> <C>
1 Year 5.44 5.06
3 Years* 5.16 4.88
5 Years* 5.17 4.92
10 Years* 5.03 4.69
</TABLE>
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE
MONEY MARKET LIPPER MONEY
MILEAGE FUND - MARKET INSTRUMENT
MILEAGE CLASS AVERAGE
<S> <C> <C>
1 Year............... 5.44 5.06
3 Years*............. 5.16 4.88
5 Years*............. 5.17 4.92
10 Years*............ 5.03 4.69
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
---------------------------
AS OF 6/30/00
---------------------------
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
<S> <C> <C> <C>
Mileage Class(1,2)............ 5.44% 5.17% 5.03%
Platinum Class(1,3)........... 4.91% 4.76% 4.82%
</TABLE>
1 Past performance is not indicative of future performance. An investment in
this Fund is neither insured nor guaranteed by the Federal Deposit Insurance
Corporation or any other government agency. Although the Fund seeks to
preserve the value of an investment at $1.00 per share, it is possible to
lose money by investing in this Fund.
2 The Fund's performance is derived from a combination of the Fund's
performance and that of another fund (the "Companion Fund") not included in
this report. The Companion Fund has been managed by AMR Investments since
its inception on September 1, 1987. Like the Fund, the Companion Fund
invests all of its investable assets in a corresponding Portfolio of the AMR
Investment Services Trust. The performance results from inception through
October 31, 1995 are those of the Companion Fund. (Results through October
31, 1991 are for the Companion Fund's Institutional Class of shares and from
November 1, 1991 through October 31, 1995 are for the Companion Fund's
Mileage Class of shares.) The Fund began offering it shares on November 1,
1995. Thus, performance results shown from that date through June 30, 2000
are for the Fund. Because the Companion Fund had lower expenses, its
performance was better than the Fund would have realized in the same period.
3 The Fund's performance is derived from a combination of the Fund's
performance and that of another fund (the "Companion Fund") not included in
this report. The Companion Fund has been managed by AMR Investments since
its inception on September 1, 1987. Like the Fund, the Companion Fund
invests all of its investable assets in a corresponding Portfolio of the AMR
Investment Services Trust. The performance results from inception through
October 31, 1995 are those of the Companion Fund. (Results through October
31, 1991 are for the Companion Fund's Institutional Class of shares and from
November 1, 1991 through October 31, 1995 are for the Companion Fund's
Mileage Class of shares.) The Fund began offering it shares on November 1,
1995. Performance results shown from that date through January 28, 1996 are
for the initial class of Fund shares. The Platinum Class of the Fund began
offering its shares on January 29, 1996. Thus, performance results from that
date through June 30, 2000 are for the Platinum Class of Fund shares.
Because the Companion Fund and the Fund's initial class had lower expenses,
their performance was better than the Fund would have realized in the same
period.
PORTFOLIO STATISTICS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
MILEAGE CLASS PLATINUM CLASS
------------- --------------
<S> <C> <C>
7-day Current Yield* 6.02% 5.59%
7-day Effective Yield* 6.20% 5.75%
30-day Yield* 5.97% 5.52%
Weighted Average Maturity 43 Days 43 Days
Fitch Rating AAA AAA
</TABLE>
*Annualized. You may call 1-800-388-3344 to obtain the Fund's current seven day
yield.
TOP TEN HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<S> <C>
National City Bank 5.6%
Merrill Lynch & Company 5.4%
General Electric Capital Corp 5.4%
Goldman Sachs Group LP 5.0%
First Union National Bank 4.9%
General Motors Acceptance Corp 4.7%
GTE Corporation 4.7%
AB Spintab 4.1%
American Honda Finance Corp 4.1%
Banco Popular de Puerto Rico 4.1%
</TABLE>
3
<PAGE> 6
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE U.S. GOVERNMENT MONEY MARKET MILEAGE FUND (SM)
--------------------------------------------------------------------------------
For the six months ended June 30, 2000, the total return of the U.S.
Government Money Market Mileage Fund Mileage Class was 2.77%. The Fund
outperformed the Lipper U.S. Government Money Market Average return of 2.66% by
11 basis points. Lipper Analytical Services ranked the Mileage Fund in the 29th
percentile out of its universe of 130 U.S. Government Money Market Funds for the
six-month period ending June 30, 2000.
MILEAGE CLASS TOTAL RETURNS AS OF JUNE 30, 2000
<TABLE>
<S> <C> <C>
1 Year 5.26 5.05
3 Years* 5.02 4.90
5 Years* 5.02 4.92
Since Inception* 4.50 4.32
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
----------------------------
AS OF 6/30/00
----------------------------
SINCE
1 YEAR 5 YEARS INCEP.
------ ------- ---------
<S> <C> <C> <C>
Mileage Class(1,2)........... 5.26% 5.02% 4.50%
Platinum Class(1,3).......... 4.98% 4.96% 4.47%
</TABLE>
1 Past performance is not indicative of future performance.
An investment in this Fund is neither insured nor guaranteed by the Federal
Deposit Insurance Corporation or any other government agency. Although the
Fund seeks to preserve the value of an investment at $1.00 per share, it is
possible to lose money by investing in this Fund.
2 The Fund's performance is derived from a combination of
the Fund's performance and that of another fund (the "Companion Fund") not
included in this report. The Companion Fund has been managed by AMR
Investments since its inception on March 2, 1992. Like the Fund, the
Companion Fund invests all of its investable assets in a corresponding
Portfolio of the AMR Investment Services Trust. The performance results from
inception through October 31, 1995 are those of the Companion Fund. (Results
through October 31, 1993 are for the Companion Fund's Institutional Class of
shares and from November 1, 1993 through October 31, 1995 are for the
Companion Fund's Mileage Class of shares.) The Fund began offering it shares
on November 1, 1995. Thus, performance results shown from that date through
June 30, 2000 are for the Fund. Because the Companion Fund had lower
expenses, its performance was better than the Fund would have realized in
the same period.
3 The Fund's performance is derived from a combination of
the Fund's performance and that of another fund (the "Companion Fund") not
offered in this prospectus. The Companion Fund has been managed by AMR
Investments since its inception on March 2, 1992. Like the Fund, the
Companion Fund invests all of its investable assets in a corresponding
Portfolio of the AMR Investment Services Trust. The performance results from
inception through October 31, 1995 are those of the Companion Fund. (Results
through October 31, 1993 are for the Companion Fund's Institutional Class of
shares and from November 1, 1993 through October 31, 1995 are for the
Companion Fund's Mileage Class of shares.) The Fund began offering it shares
on November 1, 1995. Performance results shown from that date through
October 31, 1999 are for the initial class of Fund shares. The Platinum
Class of the Fund began offering its shares on November 1, 1999. Thus,
performance results from that date through June 30, 2000 are for the
Platinum Class of Fund shares. Because the Companion Fund and the Fund's
initial class had lower expenses, their performance was better than the Fund
would have realized in the same period.
PORTFOLIO STATISTICS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
MILEAGE CLASS PLATINUM CLASS
------------- --------------
<S> <C> <C>
7-day Current Yield* 6.07% 5.69%
7-day Effective Yield* 6.25% 5.85%
30-day Yield* 6.01% 5.60%
Weighted Average Maturity 41 Days 41 Days
Fitch Rating AAA AAA
</TABLE>
*Annualized. You may call 1-800-388-3344 to obtain the Fund's current seven day
yield.
4
<PAGE> 7
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET MILEAGE FUND (SM)
--------------------------------------------------------------------------------
For the six months ended June 30, 2000, the total return of the Municipal
Money Market Mileage Fund Mileage Class was 1.72%. The Fund outperformed the
Lipper Tax-Exempt Money Market Average return of 1.66% by 6 basis points. Lipper
Analytical Services ranked the Fund in the 28th percentile out of its universe
of 136 Tax Exempt Money Market Funds for the six-month period ending June 30,
2000.
MILEAGE CLASS TOTAL RETURNS AS OF JUNE 30, 2000
<TABLE>
<S> <C> <C>
1 Year 3.23 3.09
3 Years* 3.07 2.96
5 Years* 3.13 3.01
Since Inception* 3.01 2.91
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
-------------------------------
AS OF 6/30/00
-------------------------------
SINCE
1 YEAR 5 YEARS INCEP.
-------- -------- -------
<S> <C> <C> <C>
Mileage Class(1,2)............. 3.23% 3.13% 3.01%
Platinum Class(1,3)............ 2.84% 3.05% 2.95%
</TABLE>
1 Past performance is not indicative of future performance. An investment in
this Fund is neither insured nor guaranteed by the Federal Deposit
Insurance Corporation or any other government agency. Although the Fund
seeks to preserve the value of an investment at $1.00 per share, it is
possible to lose money by investing in this Fund.
2 The Fund's performance is derived from a combination of the Fund's
performance and that of another fund (the "Companion Fund") not included in
this report. The Companion Fund has been managed by AMR Investments since
its inception on November 10, 1993. Like the Fund, the Companion Fund
invests all of its investable assets in a corresponding Portfolio of the
AMR Investment Services Trust. The performance results from inception
through October 31, 1995 are those of the Companion Fund's Mileage Class of
shares. The Fund began offering it shares on
November 1, 1995. Thus, performance results shown from that date through
June 30, 2000 are for the Fund. Because the Companion Fund had lower
expenses, its performance was better than the Fund would have realized in
the same period.
3 The Fund's performance is derived from a combination of the Fund's
performance and that of another fund (the "Companion Fund") not included in
this report. The Companion Fund has been managed by AMR Investments since
its inception on November 10, 1993. Like the Fund, the Companion Fund
invests all of its investable assets in a corresponding Portfolio of the
AMR Investment Services Trust. The performance results from inception
through October 31, 1995 are those of the Companion Fund's Mileage Class of
shares. The Fund began offering it shares on November 1, 1995. Performance
results shown from that date through October 31, 1999 are for the initial
class of Fund shares. The Platinum Class of the Fund began offering its
shares on November 1, 1999. Thus, performance results from that date
through June 30, 2000 are for the Platinum Class of Fund shares. Because
the Companion Fund and the Fund's initial class had lower expenses, their
performance was better than the Fund would have realized in the same
period.
PORTFOLIO STATISTICS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
MILEAGE PLATINUM
CLASS CLASS
------- --------
<S> <C> <C>
7-day Current Yield* 4.04% 3.34%
7-day Effective Yield* 4.12% 3.40%
30-day Yield* 3.71% 3.23%
Weighted Average Maturity 6 Days 6 Days
Fitch Rating AAA AAA
</TABLE>
*Annualized. You may call 1-800-388-3344 to obtain the Fund's current seven day
yield.
TOP TEN HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<S> <C>
Wisconsin Health Facilities 4.8%
Federated Municipal Obligations Fund 4.7%
Thomaston-Upson County, GA 4.1%
Montgomery County, PA 3.9%
Palm Beach County, FL Hlth Facs 3.9%
Cornell Twp, MI Economic Dev Corp 3.4%
Florida Municipal Power Agency 3.4%
Delaware County, PA Industrial Dev 3.3%
Pierce County, WA Economic Dev Corp 2.9%
Ohio State Air Quality Dev 2.7%
</TABLE>
5
<PAGE> 8
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY U.S. GOVERNMENT MUNICIPAL
MARKET MONEY MARKET MONEY MARKET
-------- --------------- ------------
(IN THOUSANDS, EXCEPT SHARE
AND PER SHARE AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value....................... $658,139 $18,061 $28,582
Receivable for shares of beneficial interest sold....... 80 4 -
Receivable for expense reimbursement (Note 2)........... - 9 1
-------- ------- -------
TOTAL ASSETS........................................ 658,219 18,074 28,583
-------- ------- -------
LIABILITIES:
Payable for shares of beneficial interest redeemed...... 9 - 11
Accrued organization costs.............................. 3 2 3
Dividends payable....................................... 5 - 1
Management and administrative services fees payable
(Note 2).............................................. 310 1 2
Other liabilities....................................... 225 9 12
-------- ------- -------
TOTAL LIABILITIES................................... 552 12 29
-------- ------- -------
NET ASSETS.................................................. $657,667 $18,062 $28,554
======== ======= =======
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 657,667 18,062 28,554
-------- ------- -------
NET ASSETS.................................................. $657,667 $18,062 $28,554
======== ======= =======
MILEAGE CLASS:
Net asset value, offering and redemption price per share
(Shares outstanding - 99,107,861; 18,060,564;
28,553,310, respectively)............................. $ 1.00 $ 1.00 $ 1.00
======== ======= =======
PLATINUM CLASS:
Net asset value, offering and redemption price per share
(Shares outstanding - 558,558,981; 1,084; 1,069,
respectively)......................................... $ 1.00 $ 1.00 $ 1.00
======== ======= =======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
6
<PAGE> 9
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF OPERATIONS
Six Months Ended June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
------------ --------------- ------------
(IN THOUSANDS)
<S> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Interest income......................................... $19,484 $796 $618
Portfolio expenses...................................... (347) (17) (20)
------- ---- ----
NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO...... 19,137 779 598
------- ---- ----
FUND EXPENSES:
Management fees (Note 2)................................ 312 13 15
Administrative service fees - Platinum Class (Note 2)... 1,407 - -
Transfer agent fees - Mileage Class..................... 39 22 3
Transfer agent fees - Platinum Class.................... 20 - -
Professional fees....................................... 41 4 2
Registration fees and expenses.......................... 65 17 10
Distribution fees - Mileage Class (Note 2).............. 140 33 38
Distribution fees - Platinum Class (Note 2)............. 639 - -
Other expenses.......................................... 98 7 5
------- ---- ----
TOTAL FUND EXPENSES................................. 2,761 96 73
------- ---- ----
LESS REIMBURSEMENT OF FUND EXPENSES (NOTE 2)................ 1 31 2
------- ---- ----
NET FUND EXPENSES................................... 2,760 65 71
------- ---- ----
NET INVESTMENT INCOME....................................... 16,377 714 527
------- ---- ----
REALIZED GAIN ALLOCATED FROM PORTFOLIO:
Net realized gain on investments........................ 6 - -
------- ---- ----
NET GAIN ON INVESTMENTS............................. 6 - -
------- ---- ----
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $16,383 $714 $527
======= ==== ====
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
7
<PAGE> 10
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET
------------------------------------------
SIX MONTHS TWO MONTHS
ENDED ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31, OCTOBER 31,
(UNAUDITED) 1999 1999
------------- ------------ -----------
(IN THOUSANDS)
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 16,377 $ 4,251 $ 12,508
Net realized gain on investments........................ 6 - 2
--------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ 16,383 4,251 12,510
--------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income................................... - - -
Net investment income - Mileage Class................... (3,154) (1,053) (5,568)
Net investment income - Platinum Class.................. (13,223) (3,198) (6,940)
Net realized gain on investments........................ - - -
Net realized gain on investments - Mileage Class........ (1) - (1)
Net realized gain on investments - Platinum Class....... (5) - (1)
--------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS....................... (16,383) (4,251) (12,510)
--------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........................... 489,336 146,351 765,543
Reinvestment of dividends and distributions............. 16,337 4,242 11,967
Cost of shares redeemed................................. (402,877) (62,618) (499,332)
--------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS................................ 102,796 87,975 278,178
--------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS....................... 102,796 87,975 278,178
NET ASSETS:
Beginning of period..................................... 554,871 466,896 188,718
--------- --------- ---------
END OF PERIOD........................................... $ 657,667 $ 554,871 $ 466,896
========= ========= =========
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
8
<PAGE> 11
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET MUNICIPAL MONEY MARKET
---------------------------------------- ----------------------------------------
SIX MONTHS SIX MONTHS
ENDED TWO MONTHS ENDED TWO MONTHS
JUNE 30, ENDED YEAR ENDED JUNE 30, ENDED YEAR ENDED
2000 DECEMBER 31, OCTOBER 31, 2000 DECEMBER 31, OCTOBER 31,
(UNAUDITED) 1999 1999 (UNAUDITED) 1999 1999
----------- ------------ ----------- ----------- ------------ -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C>
$ 714 $ 274 $ 1,381 $ 527 $ 149 $ 723
- - 1 - - -
-------- ------- -------- -------- ------- --------
714 274 1,382 527 149 723
-------- ------- -------- -------- ------- --------
- - (1,381) - - (723)
(714) (274) - (527) (149) -
- - - - - -
- - (1) - - -
- - - - - -
- - - - - -
-------- ------- -------- -------- ------- --------
(714) (274) (1,382) (527) (149) (723)
-------- ------- -------- -------- ------- --------
16,858 5,041 31,739 18,537 6,277 66,264
714 274 1,342 515 146 668
(28,918) (9,966) (32,735) (19,192) (6,067) (63,336)
-------- ------- -------- -------- ------- --------
(11,346) (4,651) 346 (140) 356 3,596
-------- ------- -------- -------- ------- --------
(11,346) (4,651) 346 (140) 356 3,596
29,408 34,059 33,713 28,694 28,338 24,742
-------- ------- -------- -------- ------- --------
$ 18,062 $29,408 $ 34,059 $ 28,554 $28,694 $ 28,338
======== ======= ======== ======== ======= ========
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
9
<PAGE> 12
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
June 30, 2000 (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 with ten separate
series. The following series are included in this report: American AAdvantage
Money Market Mileage Fund, American AAdvantage U.S. Government Money Market
Mileage Fund and American AAdvantage Municipal 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. The U.S. Government Money Market and Municipal Money
Market Mileage Funds commenced sales of a second class of shares designated as
"Platinum Class" on November 1, 1999. At the same time, the existing shares of
the U.S. Government Money Market and Municipal Money Market Mileage Funds 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:
Money Market Mileage Fund Money Market Portfolio
U.S. Government Money Market Mileage Fund U.S. Government Money Market Portfolio
Municipal Money Market Mileage Fund Municipal Money Market Portfolio
</TABLE>
Each AMR Investment Services Trust 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
(17.84%, 10.51% and 23.40% at June 30, 2000 of the AMR Investment Services Money
Market, U.S. Government Money Market and Municipal Money Market Portfolios,
respectively) (each a "Portfolio" and collectively the "Portfolios"). The
financial statements of the Portfolios are included elsewhere in this report and
should be read in conjunction with the Funds' financial statements.
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 to the Trust and other
investors.
--------------------------------------------------------------------------------
10
<PAGE> 13
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
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.
Investment Income and Dividends to Shareholders
Each Fund records its share of net investment income (loss) and realized
gain (loss) in the Portfolio each day. All net investment income (loss) and
realized gain (loss) of each Portfolio are allocated pro rata among the
corresponding Fund and other investors in each Portfolio at the time of such
determination. The Funds generally declare dividends daily from net investment
income and net short-term capital gain, if any, payable monthly.
Dividends 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.
All dividends paid by the Municipal Money Market Mileage Fund were
"exempt - interest dividends", and therefore are 100% free of any regular
federal income tax. Approximately 44% of interest earned was derived from
investments in certain private activity bonds for purposes of the federal
alternative minimum tax calculation.
Deferred Organization Costs
Expenses incurred by the Funds in connection with their 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 class of each Fund on
each day on which shares are offered for sale and orders accepted or upon
receipt of a redemption request. With respect to a class of a Fund, price per
share is computed by dividing the value of the Class' pro rata allocation of the
Fund's investments and other assets, less liabilities, by the number of Class
shares outstanding.
--------------------------------------------------------------------------------
11
<PAGE> 14
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
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 .10% of the
net assets of each of the Funds.
Administrative Services Plan
The Trust has adopted an Administrative Services Plan with respect to the
Platinum Class of the Funds. As compensation for providing administrative
services, the Manager receives an annual fee of .55% of the average daily net
assets of each of the Platinum Classes of the Funds.
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 Funds. Under each 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 six
months ended June 30, 2000, the Manager waived distribution fees totaling
$31,460 and $1,572, respectively for the U.S. Government Money Market Mileage
Fund and the Municipal Money Market Mileage Fund. During the same period, the
Manager waived $1,387 for the Money Market Mileage Fund - Platinum Class.
Other
Certain officers or trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. 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. One trustee, as a retiree of American,
already receives flight benefits. Prior to March 1, 2000, the Trust compensated
this trustee up to $10,000 annually to cover his personal flight service charges
and the charges for his three adult children, as well as the income tax charged
on the value of these benefits. Beginning March 1, 2000, the trustee will
receive an annual retainer of $20,000 plus $1,250 for each Board meeting
attended. For the six months ended June 30, 2000, the cost of air transportation
for the trustees was not material to any of the Funds.
--------------------------------------------------------------------------------
12
<PAGE> 15
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
3. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares of the Funds (in
thousands). Each share of the Funds is valued at $1.00:
Six Months Ended June 30, 2000
<TABLE>
<CAPTION>
U.S. GOVERNMENT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
MILEAGE FUND MILEAGE FUND MILEAGE FUND
------------------------------ ------------------------------ ------------------------------
MILEAGE CLASS PLATINUM CLASS MILEAGE CLASS PLATINUM CLASS MILEAGE CLASS PLATINUM CLASS
------------- -------------- ------------- -------------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold.................... 139,354 349,982 16,858 - 18,537 -
Reinvestment of
dividends.................... 3,109 13,228 714 - 515 -
Shares redeemed................ (156,008) (246,869) (28,918) - (19,192) -
-------- -------- ------- ------- ------- -------
Net increase (decrease) in
capital shares outstanding... (13,545) 116,341 (11,346) - (140) -
======== ======== ======= ======= ======= =======
</TABLE>
Two Months Ended December 31, 1999
<TABLE>
<CAPTION>
U.S. GOVERNMENT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
MILEAGE FUND MILEAGE FUND MILEAGE FUND
------------------------------ ------------------------------ ------------------------------
MILEAGE CLASS PLATINUM CLASS MILEAGE CLASS PLATINUM CLASS MILEAGE CLASS PLATINUM CLASS
------------- -------------- ------------- -------------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold.................... 25,586 120,765 5,041 - 6,277 -
Reinvestment of
dividends.................... 1,045 3,197 274 - 146 -
Shares redeemed................ (38,682) (23,936) (9,966) - (6,067) -
-------- -------- ------- ------- ------- -------
Net increase (decrease) in
capital shares outstanding... (12,051) 100,026 (4,651) - 356 -
======== ======== ======= ======= ======= =======
</TABLE>
Year Ended October 31, 1999
<TABLE>
<CAPTION>
MONEY MARKET
MILEAGE FUND U.S. GOVERNMENT MUNICIPAL
------------------------------ MONEY MARKET MONEY MARKET
MILEAGE CLASS PLATINUM CLASS MILEAGE FUND MILEAGE FUND
------------- -------------- --------------- ------------
<S> <C> <C> <C> <C>
Shares sold............................................. 301,471 464,072 31,739 66,264
Reinvestment of dividends............................... 5,206 6,761 1,342 668
Shares redeemed......................................... (296,817) (202,515) (32,735) (63,336)
-------- -------- ------- -------
Net increase in capital shares outstanding.............. 9,860 268,318 346 3,596
======== ======== ======= =======
</TABLE>
--------------------------------------------------------------------------------
13
<PAGE> 16
AMERICAN AADVANTAGE MONEY MARKET MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MILEAGE CLASS
----------------------------------------------------------------------
SIX MONTHS
ENDED TWO MONTHS YEAR ENDED
JUNE 30, ENDED OCTOBER 31,
2000 DECEMBER 31, -----------------------------------------
(UNAUDITED) 1999 1999 1998 1997 1996
----------- ------------ -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income(B)................. 0.03 0.01 0.05 0.05 0.05 0.05
Dividends from net investment income..... (0.03) (0.01) (0.05) (0.05) (0.05) (0.05)
------- -------- -------- -------- -------- --------
Net asset value, end of period............... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======== ======== ======== ======== ========
Total return................................. 2.85%(C) 0.89%(C) 4.74% 5.18% 5.14% 5.12%
======= ======== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in
thousands)............................. $99,108 $112,653 $124,703 $114,844 $104,947 $106,709
Ratios to average net assets
(annualized)(B):
Expenses............................ 0.59% 0.57% 0.59% 0.66% 0.67% 0.67%
Net investment
income............................ 5.64% 5.30% 4.63% 5.07% 5.02% 5.02%
Decrease reflected in above expense ratio
due to absorption of expenses by the
Manager................................ - - - 0.03% 0.07% 0.11%
</TABLE>
---------------
(A) 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.
(B) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
(C) Not annualized.
--------------------------------------------------------------------------------
14
<PAGE> 17
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
PLATINUM CLASS(A)
-----------------------------------------------------------------------
SIX MONTHS
ENDED TWO MONTHS YEAR ENDED JANUARY 29,
JUNE 30, ENDED OCTOBER 31, TO
2000 DECEMBER 31, ---------------------------- OCTOBER 31,
(UNAUDITED) 1999 1999 1998 1997 1996
----------- ------------ -------- ------- ------- -----------
<S> <C> <C> <C> <C> <C>
1.00
$ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- ------- ------- -------
0.03 0.01 0.04 0.05 0.05 0.03
(0.03) (0.01) (0.04) (0.05) (0.05) (0.03)
-------- -------- -------- ------- ------- -------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======= ======= =======
2.59% (C) 0.80%(C) 4.22% 4.74% 4.71% 4.78%(C)
======== ======== ======== ======= ======= =======
$558,559 $442,218 $342,192 $73,875 $49,184 $15,429
1.09% 1.09% 1.09% 1.09% 1.09% 1.09%
5.17% 4.80% 4.17% 4.64% 4.64% 4.48%
- 0.01% - 0.03% 0.05% 0.15%
</TABLE>
-----------------------------------------------------------------------
15
<PAGE> 18
AMERICAN AADVANTAGE U.S. GOVERNMENT MONEY MARKET MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MILEAGE CLASS PLATINUM CLASS(C)
------------------------------------------------------------------ --------------------------
SIX MONTHS SIX MONTHS
ENDED TWO MONTHS YEAR ENDED ENDED TWO MONTHS
JUNE 30, ENDED OCTOBER 31, JUNE 30, ENDED
2000 DECEMBER 31, ------------------------------------- 2000 DECEMBER 31,
(UNAUDITED) 1999 1999 1998 1997(A) 1996 (UNAUDITED) 1999
----------- ------------ ------- ------- ------- ------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------- ------- ------- ------
Income from investment
operations:
Net investment income(B)... 0.03 0.01 0.04 0.05 0.05 0.05 0.03 0.01
Dividends from net
investment income........ (0.03) (0.01) (0.04) (0.05) (0.05) (0.05) (0.03) (0.01)
------- ------- ------- ------- ------- ------- ------- ------
Net asset value, end of
period....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= ======= ======= ======
Total return................... 2.77%(D) 0.87%(D) 4.50% 5.13% 5.00% 4.98% 2.56%(D) 0.80%(D)
======= ======= ======= ======= ======= ======= ======= ======
Ratios and supplemental data:
Net assets, end of period
(in thousands)........... $18,061 $29,407 $34,059 $33,713 $28,791 $10,638 $ 1 $ 1
Ratios to average net
assets (annualized)(B):
Expenses.............. 0.62% 0.62% 0.62% 0.62% 0.62% 0.62% 0.79% 1.10%
Net investment
income.............. 5.45% 5.17% 4.41% 5.02% 4.91% 4.82% 5.23% 4.69%
Decrease reflected in above
expense ratio due to
absorption of expenses by
the Manager.............. 0.24% 0.16% 0.10% 0.04% 0.16% 0.49% 0.34% 0.20%
</TABLE>
---------------
(A) Prior to March 1, 1997, the American AAdvantage U.S. Government Money
Market Mileage Fund was known as the American AAdvantage U.S. Treasury
Money Market Mileage Fund and operated under different investment policies.
(B) The per share amounts and ratios reflect income and expenses assuming
inclusion of each Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
(C) The Platinum Class of the U.S. Government Money Market Mileage Fund
commenced active operations on November 1, 1999 and at that time the
existing shares of the Fund were designated as Mileage Class shares.
(D) Not annualized.
--------------------------------------------------------------------------------
16
<PAGE> 19
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MILEAGE CLASS PLATINUM CLASS(B)
------------------------------------------------------------------ --------------------------
SIX MONTHS SIX MONTHS
ENDED TWO MONTHS YEAR ENDED ENDED TWO MONTHS
JUNE 30, ENDED OCTOBER 31, JUNE 30, ENDED
2000 DECEMBER 31, ------------------------------------- 2000 DECEMBER 31,
(UNAUDITED) 1999 1999 1998 1997 1996 (UNAUDITED) 1999
----------- ------------ ------- ------- ------- ------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period....................... $ 1.00 1.$00..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------- ------- ------- ------
Income from investment
operations:
Net investment income(A)... 0.02 0.01 0.03 0.03 0.03 0.03 0.02 0.01
Dividends from net
investment income........ (0.02) (0.01) (0.03) (0.03) (0.03) (0.03) (0.02) (0.01)
------- ------- ------- ------- ------- ------- ------- ------
Net asset value, end of
period....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= ======= ======= ======
Total return................... 1.72%(C) 0.55%(C) 2.69% 3.16% 3.18% 3.19% 1.42%(C) 0.45%(C)
======= ======= ======= ======= ======= ======= ======= ======
Ratios and supplemental data:
Net assets, end of period
(in thousands)........... $28,553 $28,693 $28,338 $24,742 $26,564 $28,726 $ 1 $ 1
Ratios to average net
assets (annualized)(A):
Expenses.............. 0.60% 0.57% 0.64% 0.65% 0.65% 0.66% 0.95% 1.10%
Net investment
income.............. 3.46% 3.27% 2.64% 3.12% 3.13% 3.14% 3.12% 2.74%
Decrease reflected in above
expense ratio due to
absorption of expenses by
the Manager.............. 0.01% - 0.08% 0.18% 0.13% 0.14% - 0.17%
</TABLE>
---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
(B) The Platinum Class of the Municipal Money Market Mileage Fund commenced
active operations on November 1, 1999 and at that time the existing shares
of the Fund were designated as Mileage Class shares.
(C) Not annualized.
--------------------------------------------------------------------------------
17
<PAGE> 20
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
TIME DEPOSITS - 1.61%
Den Danske Bank, 7.06%, Due 7/3/2000........................ $ 21,000 $ 21,000
Societe Generale, 7.00%, Due 7/3/2000....................... 38,426 38,426
----------
TOTAL TIME DEPOSITS..................................... 59,426
----------
VARIABLE RATE CERTIFICATES OF DEPOSIT AND BANK NOTES - 34.60%
FOREIGN BANKS - 10.71%
Landesbank Hessen Thuringen, 6.28%, Due 10/2/2000........... 125,000 124,979
Merita Bank, PLC, 6.23%, Due 1/22/2001...................... 150,000 149,958
Svenska Handelsbanken, 6.28%, Due 10/13/2000................ 120,000 119,968
----------
TOTAL FOREIGN BANKS..................................... 394,905
----------
DOMESTIC BANKS - 23.89%
Banco Popular de Puerto Rico, 6.92%, Due 5/25/2001 (Note
D)........................................................ 150,000 150,000
Bank of America, NA, 6.87%, Due 2/26/2001................... 10,000 10,005
Bank One, NA, 6.25%, Due 10/20/2000......................... 100,000 99,973
Branch Banking & Trust Company, 6.88%, Due 3/9/2001......... 100,000 99,963
First Union National Bank,
6.86%, Due 9/25/2000...................................... 10,000 10,000
6.96%, Due 11/13/2000..................................... 70,000 70,049
6.25%, Due 4/20/2001...................................... 100,000 100,000
Key Bank, NA,
6.64%, Due 11/2/2000...................................... 20,000 20,018
6.94%, Due 12/21/2000..................................... 20,000 20,023
Mellon Bank, NA, 6.82%, Due 8/30/2000....................... 96,000 95,996
National City Bank,
6.82%, Due 8/30/2000...................................... 130,000 129,989
6.97%, Due 12/14/2000..................................... 25,000 25,026
6.79%, Due 3/23/2001...................................... 50,000 50,028
----------
TOTAL DOMESTIC BANKS.................................... 881,070
----------
TOTAL VARIABLE RATE CERTIFICATES OF DEPOSIT AND BANK
NOTES.................................................. 1,275,975
----------
PROMISSORY NOTES - 2.71%
Jackson National Life Insurance Company, Variable Rate,
7.18%, Due 9/1/2000 (Note B).............................. 100,000 100,000
----------
TOTAL PROMISSORY NOTES.................................. 100,000
----------
ASSET-BACKED COMMERCIAL PAPER (NOTE A) - 5.31%
Atlantis One Funding Corporation, 6.62%, Due 10/3/2000...... 28,710 28,214
Enterprise Funding Corporation, 6.69%, Due 8/23/2000........ 20,345 20,145
Govco, Incorporated, 6.65%, Due 9/15/2000................... 50,000 49,298
Moat Funding, LLC, 6.63%, Due 9/28/2000..................... 100,000 98,361
----------
TOTAL ASSET-BACKED COMMERCIAL PAPER..................... 196,018
----------
VARIABLE RATE COMMERCIAL PAPER - 5.42%
General Electric Capital Corporation,
6.74%, Due 9/5/2000....................................... 160,000 160,000
6.58%, Due 11/3/2000...................................... 40,000 40,000
----------
TOTAL VARIABLE RATE COMMERCIAL PAPER.................... 200,000
----------
VARIABLE RATE MEDIUM-TERM NOTES - 49.56%
AB Spintab, 6.81%, Due 9/19/2000............................ 150,000 150,011
Abbey National Treasury Services, 6.44%, Due 8/3/2000....... 25,000 24,998
American Honda Finance Corporation, 144a, (Note E)
6.85%, Due 11/20/2000..................................... 15,000 15,003
6.26%, Due 1/10/2001...................................... 60,000 59,997
6.80%, Due 6/12/2001...................................... 50,000 50,000
6.81%, Due 6/14/2001...................................... 25,000 25,000
AT&T Capital Corporation, 6.44%, Due 4/9/2001............... 81,500 81,627
Bankers Trust Corporation, 6.72%, Due 8/6/2000.............. 28,000 28,000
Caterpillar Financial Services,
6.30%, Due 1/19/2001...................................... 30,000 30,007
6.34%, Due 4/2/2001....................................... 20,000 20,011
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
18
<PAGE> 21
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Chase Manhattan Corporation,
6.53%, Due 10/13/2000..................................... $ 20,000 $ 20,017
7.07%, Due 11/24/2000..................................... 30,500 30,535
7.08%, Due 11/30/2000..................................... 10,000 10,009
6.35%, Due 4/26/2001...................................... 61,500 61,533
Citicorp Incorporated, 6.76%, Due 11/10/2000................ 15,000 15,000
Commerzbk Overseas Finance, NV, 6.27%, Due 1/30/2001........ 20,000 19,982
Fleet National Bank,
6.67%, Due 8/10/2000...................................... 30,000 29,999
6.37%, Due 10/10/2000..................................... 25,000 25,007
6.88%, Due 11/9/2000...................................... 15,000 15,011
6.41%, Due 1/22/2001...................................... 30,000 30,020
6.47%, Due 2/1/2001....................................... 25,000 25,014
Ford Motor Credit Company,
6.77%, Due 10/2/2000...................................... 105,000 104,978
6.53%, Due 4/12/2001...................................... 10,000 10,022
General Motors Acceptance Corporation,
7.10%, Due 12/11/2000..................................... 25,000 25,032
6.79%, Due 2/11/2002 (Note C)............................. 150,000 150,000
Goldman Sachs Group, L.P.,
6.47%, Due 11/1/2000...................................... 50,000 50,000
7.00%, Due 11/28/2000, 144a, (Note E)..................... 45,000 45,036
6.73%, Due 1/16/2001, 144a, (Note E)...................... 10,000 10,026
6.49%, Due 1/25/2001, 144a, (Note E)...................... 75,000 75,078
7.22%, Due 2/26/2001, 144a, (Note E)...................... 5,000 5,012
GTE Corporation,
6.82%, Due 12/11/2000..................................... 150,000 149,948
6.30%, Due 1/5/2001....................................... 25,000 24,998
Huntington National Bank, 6.44%, Due 2/2/2001............... 64,000 64,030
Merrill Lynch & Company, Incorporated,
6.34%, Due 7/3/2000....................................... 20,000 20,000
6.72%, Due 8/14/2000...................................... 30,000 29,999
6.93%, Due 2/16/2001...................................... 50,000 50,072
6.35%, Due 4/9/2001....................................... 25,000 25,025
6.24%, Due 4/12/2001...................................... 75,000 74,989
Morgan Stanley Dean Witter Company,
7.32%, Due 11/13/2000..................................... 67,000 67,130
6.43%, Due 1/22/2001...................................... 10,000 10,008
6.75%, Due 3/16/2001...................................... 50,000 50,000
Royal Bank of Canada, 6.38%, Due 7/28/2000.................. 10,000 10,000
Sanwa Business Credit Corporation, 6.54%, Due 4/3/2001...... 10,000 10,018
----------
TOTAL VARIABLE RATE MEDIUM-TERM NOTES................... 1,828,182
----------
TOTAL INVESTMENTS - 99.21% (COST $3,659,601)................ 3,659,601
----------
OTHER ASSETS, NET OF LIABILITIES - 0.79%.................... 29,059
----------
TOTAL NET ASSETS - 100%..................................... $3,688,660
==========
</TABLE>
---------------
Based on the cost of investments of $3,659,601 for federal income tax purposes
at June 30, 2000, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent discount rate at
time of purchase.
(B) Obligation is subject to an unconditional put back to the issuer with seven
calendar days notice.
(C) Obligation is subject to an unconditional put back to the issuer with ninety
calendar days notice.
(D) Obligation is subject to a credit quality put back to the issuer with seven
calendar days notice.
(E) Security exempt from registration under Rule 144a of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $285,152 or 7.73% of net assets.
ABBREVIATION:
LLC - Limited Liability Company
L.P. - Limited Partnership
NA - National Association
NV - Company
PLC - Public Limited Corporation
See accompanying notes
--------------------------------------------------------------------------------
19
<PAGE> 22
AMR INVESTMENT SERVICES U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
REPURCHASE AGREEMENTS (NOTES A AND B) - 2.45%
Goldman Sachs Tri-Party Government Repurchase Agreement,
6.85%, Due 7/3/2000 (Collateral held at The Bank of New
York by Federal Home Loan Mortgage Corporation, 7.50%, Due
4/1/2020 - Market Value - $4,270)......................... $ 4,212 $ 4,212
---------
TOTAL REPURCHASE AGREEMENTS............................. 4,212
---------
U.S. GOVERNMENT AGENCY INSTRUMENTS (NOTE A) - 111.49%
Federal Home Loan Bank,
Discount Note, 6.6%, Due 9/15/2000........................ 10,000 9,863
Variable Rate MTN, 6.13%, Due 10/4/2000................... 8,000 8,000
Variable Rate MTN, 6.72%, Due 10/6/2000................... 15,000 14,998
Federal Home Loan Mortgage Corporation
Discount Note, 6.47%, Due 7/11/2000....................... 20,000 19,964
Discount Note, 6.63%, Due 8/17/2000....................... 15,000 14,872
Discount Note, 6.61%, Due 9/21/2000....................... 5,000 4,926
Discount Note, 6.62%, Due 9/28/2000....................... 25,000 24,615
Federal National Mortgage Association,
Discount Note, 6.47%, Due 7/6/2000........................ 1,800 1,798
Variable Rate MTN, 6.47%, Due 8/2/2000.................... 15,000 14,999
Variable Rate MTN, 6.66%, Due 9/6/2000.................... 12,720 12,719
Discount Note, 6.55%, Due 9/7/2000........................ 15,000 14,817
Variable Rate MTN, 6.89%, Due 9/18/2000................... 15,000 14,999
Variable Rate MTN, 6.43%, Due 12/8/2000................... 10,000 9,996
Variable Rate MTN, 6.59%, Due 3/1/2001.................... 25,000 24,987
---------
TOTAL U.S. GOVERNMENT AGENCY INSTRUMENTS................ 191,553
---------
TOTAL INVESTMENTS - 113.94% (COST $195,765)................. 195,765
---------
LIABILITIES, NET OF OTHER ASSETS - (13.94%)................. (23,957)
---------
TOTAL NET ASSETS - 100%..................................... $ 171,808
=========
</TABLE>
---------------
Based on the cost of investments of $195,765 for federal income tax purposes at
June 30, 2000, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity,
or coupon to next reset date.
(B) Repurchase agreements are fully collateralized by U.S. Treasury or
Government agency securities. All collateral is held at the Portfolio's
custodian bank, State Street Bank and Trust Company, or at subcustodian
banks, as indicated. The collateral is monitored daily by the Portfolio so
that its market value exceeds the carrying value of the repurchase
agreement.
ABBREVIATIONS:
MTN - Medium Term Note
See accompanying notes
--------------------------------------------------------------------------------
20
<PAGE> 23
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MUNICIPAL OBLIGATIONS - 93.09%
COMMERCIAL PAPER (NOTE A) - 22.10%
City of Brownsville, Texas Pollution Control Revenue Bonds
(Texas Utilities Electric Company Project), 4.45%, Due
7/12/2000, LOC Toronto Dominion........................... $ 1,500 $ 1,500
Delaware County, Pennsylvania, Industrial Development
Authority Pollution Control Bonds (Philadelphia Electric
Project), Series 1998A, 4.50%, Due 7/10/2000, Bonds
Insurance FGIC............................................ 4,000 4,000
The Economic Development Corporation of the Township of
Cornell Michigan Environmental Improvement Revenue Bonds,
(Mead-Escanala Paper Company Project), Series 1986, 3.85%,
Due 7/6/2000, LOC Credit Suisse........................... 4,200 4,200
Florida Municipal Power Agency, (Initial Pooled Loan
Project,), Series A, 4.05%, Due 7/12/2000, LOC ABN-Amro... 4,200 4,200
Montgomery County, Pennsylvania Industrial Development
Pollution Control Revenue Bonds (Peco Energy Project),
Series 1996, 4.30%, Due 7/11/2000, LOC Canadian Imperial
Bank of Commerce.......................................... 4,800 4,800
Palm Beach County, Florida Health Facilities Authority
Pooled Hospital Loan Program, 4.45%, Due 7/10/2000, Bond
Insurance MBIA, SPA Credit Suisse......................... 4,800 4,800
Phenix City, Alabama Industrial Development Board
Environmental Improvements (Mead Board Project), Series
1988, 4.10%, Due 7/12/2000, LOC ABN-Amro.................. 1,000 1,000
Sweetwater County, Wyoming Customized Purchase Pollution
Control Revenue Refunding Bonds (PacifiCorp Project),
Series 1988A, 4.15%, Due 8/1/2000, LOC UBS A.G............ 2,500 2,500
----------
TOTAL COMMERCIAL PAPER.................................. 27,000
----------
VARIABLE RATE DEMAND OBLIGATIONS (NOTE A) - 70.99%
ARIZONA - 6.44%
Arizona Health Facilities Authority Revenue Bonds (Pooled
Loan Program), Bond Insurance - FGIC, 4.95%, Due
10/1/2015, LOC Chase Manhattan Bank....................... 2,660 2,660
Maricopa County, Arizona Pollution Control Corporation
Pollution Control Revenue Bonds (El Paso Electric Company
Project, Palo Verde), 4.90%, Due 12/1/2014, LOC Barclays
Bank...................................................... 2,200 2,200
Mesa, Arizona Industrial Development Authority Variable Rate
Revenue Bonds (Discovery Health Systems Project), Series
1999 B, 4.95%, Due 1/1/2029, MBIA Insured, Chase
Liquidity................................................. 3,000 3,000
----------
TOTAL ARIZONA........................................... 7,860
----------
CALIFORNIA - 1.31%
California Pollution Control Finance Authority Resource
Recovery Revenue Bonds (Wadham Energy Limited
Partnership), Series 1987A, 4.80%, Due 1/11/2017, LOC
Banque Paribas............................................ 1,600 1,600
----------
TOTAL CALIFORNIA........................................ 1,600
----------
COLORADO - 1.56%
Moffat County, Colorado Pollution Control Revenue Bonds (Ute
Electric Company Project), Bond Insurance - AMBAC
Indemnity Corporation, Series 1984, 4.70%, Due 7/1/2010,
SPA Societe Generale...................................... 1,900 1,900
----------
TOTAL COLORADO.......................................... 1,900
----------
FLORIDA - 5.19%
Citrus Park, Florida Community Development District Variable
Rate Demand Bonds, Series 1996, 4.85%, Due 11/1/2016, LOC
Dieschner Bank AG......................................... 1,035 1,035
Florida Housing Financial Agency Housing Revenue Bonds
(Heron Park Project), Series 1996 U, 5.00%, Due 7/12/2000,
LOC Bank of America....................................... 2,400 2,400
Florida Housing Finance Corporation Housing Revenue Bonds
(Club at Vero Apartments Project), Series E, 5.00%, Due
6/1/2017, LOC Bank of America............................. 2,900 2,900
----------
TOTAL FLORIDA........................................... 6,335
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
21
<PAGE> 24
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
GEORGIA - 6.83%
Clayton County, Georgia Housing Authority (Kimberly Forest
Apartments Project), Series B, Bond Insurance - Financial
Security Assurance, 4.80%, Due 1/1/2021, SPA Societe
Generale.................................................. $ 1,015 $ 1,015
Monroe County, Georgia Industrial Development Revenue Bonds
(Forsyth Inc. Project), Series 1995, 4.95%, Due 11/1/2015,
LOC Bank One.............................................. 2,325 2,325
Thomaston-Upson County Industrial Development Revenue
Authority (Yamaha Music Manufacturing, Incorporated
Project), Series 1988, 5.20%, Due 8/1/2018, LOC Bank of
Tokyo-Mitsubishi, Limited................................. 5,000 5,000
----------
TOTAL GEORGIA........................................... 8,340
----------
ILLINOIS - 2.05%
City of Chicago, Illinois Multi-Family Housing Revenue Bonds
(Waveland Associates Project), Series 1985 A, 4.85%, Due
11/1/2010, LOC Union Bank of Switzerland.................. 1,500 1,500
Illinois Development Finance Authority Pollution Control
Revenue Bonds (Illinois Power Project), Series 1987 D,
5.10%, Due 3/1/2017, LOC Morgan Guaranty.................. 1,000 1,000
----------
TOTAL ILLINOIS.......................................... 2,500
----------
INDIANA - 0.82%
Fort Wayne, Indiana Industrial Economic Development Revenue
Bonds (ND-Tech Corporation Project), Series 1989, 4.80%,
Due 7/1/2009, LOC Societe Generale........................ 1,000 1,000
----------
TOTAL INDIANA........................................... 1,000
----------
IOWA - 2.30%
Dubuque, Iowa Industrial Development Revenue Bonds (Swiss
Valley Farms Company Project), Series 1987, 4.90%, Due
12/1/2001, LOC Rabobank Nederland Bank.................... 750 750
Polk County, Iowa Hospital Equipment and Improvement, Bond
Insurance - MBIA, 4.80%, Due 12/1/2005, SPA Bank of New
York Company, Incorporated................................ 2,065 2,065
----------
TOTAL IOWA.............................................. 2,815
----------
LOUISIANA - 1.72%
Ascension Parish, Louisiana Variable Rate Demand Pollution
Control Revenue Bonds (Borden Incorporated Project),
Series 1992, 4.95%, Due 12/1/2009, LOC Credit Suisse First
Boston.................................................... 2,100 2,100
----------
TOTAL LOUISIANA......................................... 2,100
----------
MARYLAND - 2.46%
Montgomery County, Maryland Housing Opportunities Community
(Draper Lane Apartments), Bond Insurance - FGIC, Series I,
5.05%, Due 2/16/2026, SPA Barclays Bank................... 3,000 3,000
----------
TOTAL MARYLAND.......................................... 3,000
----------
MICHIGAN - 2.58%
City of Detroit, Michigan Sewer Disposal Revenue Bonds, Bond
Insurance - MBIA, Series 1998 B, 4.95%, Due 7/1/2023, SPA
Morgan Guaranty........................................... 1,855 1,855
City of Detroit, Michigan Water Supply System Revenue Bonds,
Bond Insurance - MBIA, Series 1998 B, 5.70%, Due 7/1/2023,
SPA Morgan Guaranty....................................... 1,300 1,300
----------
TOTAL MICHIGAN.......................................... 3,155
----------
NEBRASKA - 0.82%
Lancaster County, Nebraska Industrial Development Revenue
Bonds (Sun Husker Foods, Incorporated Project), Series
1989, 5.20%, Due 8/15/2009, LOC Bank of Tokyo-Mitsubishi,
Limited................................................... 1,000 1,000
----------
TOTAL NEBRASKA.......................................... 1,000
----------
NORTH CAROLINA - 0.82%
Burke County, North Carolina Industrial Facilities &
Pollution Control Authority Industrial Revenue Bonds
(Jobst Institute Incorporated Project), Series 1992,
4.85%, Due 6/1/2002, LOC Wachovia Bank.................... 1,000 1,000
----------
TOTAL NORTH CAROLINA.................................... 1,000
----------
OHIO - 2.70%
Ohio State Air Quality Development Authority Revenue Bonds
(JMG-Funding Limited Partnership Project), Series 1994A,
5.00%, Due 4/01/2029, LOC Societe Generale................ 3,300 3,300
----------
TOTAL OHIO.............................................. 3,300
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
22
<PAGE> 25
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
OREGON - 2.46%
State of Oregon (Toyo Tanso USA), Series CXLVII, 5.18%, Due
2/1/2012, LOC Bank of Tokyo - Mitsubishi, Limited......... $ 3,000 $ 3,000
----------
TOTAL OREGON............................................ 3,000
----------
PENNSYLVANIA - 7.79%
Chartiers Valley, Pennsylvania Industrial & Commercial
Development Authority Commercial Development Bonds
(William Penn Plaza Project), 4.50%, Due 12/1/2016, LOC
PNC Bank.................................................. 1,100 1,100
Gettysburg Area Industrial Development Authority Refunding
Bonds (Dal-Tile Corporation), Series 1987A, 4.85%, Due
3/1/2004, LOC Credit Suisse............................... 300 300
Gettysburg Area Industrial Development Authority Refunding
Bonds (Dal-Tile Corporation), Series 1987B, 4.95%, Due
3/1/2004, LOC Credit Suisse............................... 855 855
Lehigh County, Pennsylvania General Purpose Authority
Adjustable Rate Hospital Revenue Bonds, Lehigh Valley
Hospital Project), Series 1997 A, 4.50%, Due 7/1/2028,
AMBAC Insured Chase Liquidity............................. 2,700 2,700
Northumberland County, Pennsylvania Industrial Development
Authority Resource Recovery Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated Project), Series 1987A, 4.90%,
Due 2/1/2010, LOC Union Bank of Switzerland............... 1,000 1,000
Northumberland County, Pennsylvania Industrial Development
Authority Resource Recovery Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated Project), Series 1987B, 4.90%,
Due 2/1/2010, LOC Union Bank of Switzerland............... 1,165 1,165
Schuykill County, Pennsylvania Industrial Development
Authority Revenue Bonds, 4.75%, Due 12/1/2002, LOC Mellon
Bank, N.A. ............................................... 2,400 2,400
----------
TOTAL PENNSYLVANIA...................................... 9,520
----------
SOUTH CAROLINA - 1.23%
Florence County, South Carolina, Solid Waste Disposal and
Wastewater Treatment Bonds (Roche Carolina, Incorporated
Project), 4.70%, Due 4/1/2028, LOC Deutsche Bank.......... 1,500 1,500
----------
TOTAL SOUTH CAROLINA.................................... 1,500
----------
TEXAS - 4.24%
City of Midlothian, Texas Industrial Development
Corporation, Exempt Facilities Revenue Bonds (Texas
Industries, Incorporated Project), 4.70%, Due 5/1/2029,
LOC Bank of America....................................... 2,700 2,700
Hunt County, Texas Industrial Development Corporation (Trico
Industries Project), Series 1987, 5.05%, Due 9/1/2006, LOC
ABN-Amro.................................................. 1,930 1,930
Trinity River Industrial Development Authority Industrial
Development Revenue Bonds (Radiation Sterilizers
Incorporated Project), Series B, 4.50%, Due 11/1/2005, LOC
Comerica.................................................. 550 550
----------
TOTAL TEXAS............................................. 5,180
----------
UTAH - 0.82%
Utah State Board of Regents Student Loan Revenue Bonds, Bond
Insurance-AMBAC Indemnity Corporation, Series 1988C,
4.70%, Due 11/1/2013, SPA Dresdner Bank AG................ 1,000 1,000
----------
TOTAL UTAH.............................................. 1,000
----------
VERMONT - 1.23%
Vermont, Industrial Development Authority (Ryegate Project),
Series 1990, 4.90%, Due 12/1/2015, LOC ABN/AMRO Holding,
N.V. ..................................................... 1,500 1,500
----------
TOTAL VERMONT........................................... 1,500
----------
VIRGINIA - 1.88%
King George County, Virginia Industrial Development
Authority ( Birchwood Partners Project), Series B, 4.70%,
Due 12/1/2024, LOC Credit Suisse First Boston............. 2,300 2,300
----------
TOTAL VIRGINIA.......................................... 2,300
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
23
<PAGE> 26
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
WASHINGTON - 7.16%
Pierce County, Washington Economic Development Corporation
Dock & Wharf Facilities Revenue Bonds (SCS Industries
Project), Series 1995, 4.80%, Due 7/1/2030, LOC Bank of
Nova Scotia............................................... $ 3,585 $ 3,585
Pierce County, Washington Economic Development Corporation
Variable Rate Demand Revenue Bonds (T.C. Products
Incorporated Project), Series 1994, 4.90%, Due 10/1/2014,
LOC First Union........................................... 1,160 1,160
Port Kalama, Washington Public Corp Port Facility Revenue
Bonds (Con Agra Incorporated Project), 4.85%, Due
1/1/2004, LOC Morgan Guaranty Trust....................... 1,005 1,005
Washington State Housing Finance Authority, Community
Nonprofit Housing Revenue Bonds (Nikkei Manor Project),
4.95%, Due 10/1/2021, LOC Bank of America................. 3,000 3,000
----------
TOTAL WASHINGTON........................................ 8,750
----------
WISCONSIN - 6.58%
City of Whitewater, Wisconsin Industrial Development Revenue
Bonds (MacLean-Fogg Company Project), Series 1989, 5.00%,
Due 12/1/2009, LOC Bank of America........................ 525 525
Wisconsin State Health and Education Facilities Authority
Revenue Bonds (Felician Services Project), Bond
Insurance - AMBAC Indemnity Corporation, Series A, 5.60%,
Due 1/1/2020, SPA First Chicago NBD Corporation........... 1,600 1,600
Wisconsin Health Facilities Authority Variable Rate Demand
Bonds (Franciscan Health Care Incorporated - System
Financing), Series 1985-2, 4.95%, Due 1/1/2016, LOC
Dominion.................................................. 5,910 5,910
----------
TOTAL WISCONSIN......................................... 8,035
----------
TOTAL VARIABLE RATE DEMAND OBLIGATIONS.................. 86,690
----------
TOTAL MUNICIPAL OBLIGATIONS............................. 113,690
----------
SHARES
---------
OTHER INVESTMENTS - 6.42%
Federated Municipal Obligations Fund........................ 5,686,217 5,686
Provident Institutional Funds Municipal Cash................ 2,000,178 2,000
Dreyfus Municipal Cash Management Plus...................... 164,613 165
----------
TOTAL OTHER INVESTMENTS................................. 7,851
----------
TOTAL INVESTMENTS - 99.51% (COST $121,541).................. 121,541
----------
OTHER ASSETS, NET OF LIABILITIES - 0.49%.................... 596
----------
TOTAL NET ASSETS - 100%..................................... $ 122,137
==========
</TABLE>
---------------
Based on the cost of investments of $121,541 for federal income tax purposes at
June 30, 2000, 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:
AG - Company
FGIC - Financial Guaranty Insurance Company
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
NV - Company
PLC - Public Limited Corporation
SPA - Support Agreement
See accompanying notes
--------------------------------------------------------------------------------
24
<PAGE> 27
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
------------ --------------- ------------
(IN THOUSANDS)
<S> <C> <C> <C>
ASSETS:
Investments in securities at value (cost - $3,659,601;
$191,553; $121,541, respectively)...................... $3,659,601 $191,553 $121,541
Repurchase agreements (cost - $0, $4,212, $0,
respectively).......................................... - 4,212 -
Dividends and interest receivable........................ 29,377 700 615
---------- -------- --------
TOTAL ASSETS......................................... 3,688,978 196,465 122,156
---------- -------- --------
LIABILITIES:
Payable for investments purchased........................ - 24,615 -
Management and investment advisory fees payable (Note
2)..................................................... 305 14 8
Accrued organization costs............................... 4 14 10
Other liabilities........................................ 9 14 1
---------- -------- --------
TOTAL LIABILITIES.................................... 318 24,657 19
---------- -------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $3,688,660 $171,808 $122,137
========== ======== ========
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
25
<PAGE> 28
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS
Six Months Ended June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
------------ --------------- ------------
(IN THOUSANDS)
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income.......................................... $134,502 $5,544 $2,592
-------- ------ ------
TOTAL INVESTMENT INCOME.............................. 134,502 5,544 2,592
-------- ------ ------
EXPENSES:
Management and investment advisory fees (Note 2)......... 2,160 91 64
Custodian fees........................................... 109 17 14
Professional fees........................................ 54 4 3
Other expenses........................................... 77 6 4
-------- ------ ------
TOTAL EXPENSES....................................... 2,400 118 85
-------- ------ ------
NET INVESTMENT INCOME....................................... 132,102 5,426 2,507
-------- ------ ------
REALIZED GAIN ON INVESTMENTS:
Net realized gain on investments......................... 35 - -
-------- ------ ------
NET GAIN ON INVESTMENTS.............................. 35 - -
-------- ------ ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $132,137 $5,426 $2,507
======== ====== ======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
26
<PAGE> 29
[AMERICAN EAGLE LOGO]
--------------------------------------------------------------------------------
27
<PAGE> 30
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET
------------------------------------------
SIX MONTHS
ENDED TWO MONTHS
JUNE 30, ENDED YEAR ENDED
2000 DECEMBER 31, OCTOBER 31,
(UNAUDITED) 1999 1999
------------ ------------ ------------
(IN THOUSANDS)
<S> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 132,102 $ 34,541 $ 132,222
Net realized gain on investments........................ 35 - 23
------------ ----------- ------------
TOTAL INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ 132,137 34,541 132,245
------------ ----------- ------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions........................................... 15,118,339 3,797,759 13,198,063
Withdrawals............................................. (15,213,487) (3,489,471) (12,487,660)
------------ ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS... (95,148) 308,288 710,403
------------ ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS....................... 36,989 342,829 842,648
------------ ----------- ------------
NET ASSETS:
BEGINNING OF PERIOD..................................... 3,651,671 3,308,842 2,466,194
------------ ----------- ------------
END OF PERIOD........................................... $ 3,688,660 $ 3,651,671 $ 3,308,842
============ =========== ============
--------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
--------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets (annualized)............. 0.11% 0.11% 0.11%
Net investment income to average net assets
(annualized).......................................... 6.12% 5.77% 5.11%
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
28
<PAGE> 31
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET MUNICIPAL MONEY MARKET
---------------------------------------- ----------------------------------------
SIX MONTHS SIX MONTHS
ENDED TWO MONTHS ENDED TWO MONTHS
JUNE 30, ENDED YEAR ENDED JUNE 30, ENDED YEAR ENDED
2000 DECEMBER 31, OCTOBER 31, 2000 DECEMBER 31, OCTOBER 31,
(UNAUDITED) 1999 1999 (UNAUDITED) 1999 1999
----------- ------------ ----------- ----------- ------------ -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
$ 5,426 $ 1,873 $ 11,639 $ 2,507 $ 731 $ 4,086
- - 5 - - -
--------- --------- --------- --------- -------- ---------
5,426 1,873 11,644 2,507 731 4,086
--------- --------- --------- --------- -------- ---------
293,470 121,197 567,268 127,413 39,079 284,110
(332,327) (128,994) (619,812) (120,860) (46,877) (295,057)
--------- --------- --------- --------- -------- ---------
(38,857) (7,797) (52,544) 6,553 (7,798) (10,947)
--------- --------- --------- --------- -------- ---------
(33,431) (5,924) (40,900) 9,060 (7,067) (6,861)
--------- --------- --------- --------- -------- ---------
205,239 211,163 252,063 113,077 120,144 127,005
--------- --------- --------- --------- -------- ---------
$ 171,808 $ 205,239 $ 211,163 $ 122,137 $113,077 $ 120,144
========= ========= ========= ========= ======== =========
----------------------------------------------------------------------------------
----------------------------------------------------------------------------------
0.13% 0.12% 0.12% 0.14% 0.14% 0.15%
5.98% 5.67% 4.89% 4.25% 3.69% 3.13%
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
29
<PAGE> 32
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2000 (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
ten separate series, each having distinct investment objectives and policies.
These financial statements relate to the AMR Investment Services Money Market
Portfolio, the AMR Investment Services U.S. Government Money Market Portfolio
and the AMR Investment Services Municipal 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
Securities of the 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 Portfolios, calculated at amortized cost, and the price per
share calculated by reference to market quotations, or if there is any other
deviation which the Board believes would result in a material dilution to
shareholders or purchasers, the Board will promptly consider the appropriate
action which should be initiated.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale. Interest income is earned from settlement date, recorded on
the accrual basis, and adjusted, if necessary, for amortization of premiums or
accretion of discounts on investment grade short-term securities and zero coupon
instruments. For financial and tax reporting purposes, realized gains and losses
are determined on the basis of specific lot identification.
Federal Income 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.
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 at the Portfolio's
custodian bank, State Street Bank and Trust Company, or at subcustodian banks.
The collateral is monitored daily by each Portfolio so that the collateral's
market value exceeds the carrying value of the repurchase agreement.
--------------------------------------------------------------------------------
30
<PAGE> 33
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
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. The Manager serves as the
sole investment adviser to each of the Portfolios. Pursuant to the Management
Agreement, the Manager receives from the Portfolios an annualized fee equal to
.10% of the average daily net assets of each of the Portfolios.
Other
Certain officers or trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. 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. One trustee, as a retiree of American,
already receives flight benefits. Prior to March 1, 2000, the Trust compensated
this trustee up to $10,000 annually to cover his personal flight service charges
and the charges for his three adult children, as well as the income tax charged
on the value of these benefits. Beginning March 1, 2000, the trustee will
receive an annual retainer of $20,000 plus $1,250 for each Board meeting
attended. For the six months ended June 30, 2000, the cost of air transportation
for the trustees was not material to any of the Portfolios.
--------------------------------------------------------------------------------
31
<PAGE> 34
AMERICAN EAGLE LOGO
<PAGE> 35
AMERICAN AADVANTAGE
MILEAGE FUNDS --REGISTERED TRADEMARK--
--------------------------------------------------------------------------------
TO OBTAIN MORE INFORMATION ABOUT THE FUNDS:
BY E-MAIL: ON THE INTERNET:
American [email protected] Visit our website at www.aafunds.com
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BY TELEPHONE: BY MAIL:
<S> <C> <C> <C> <C> <C>
Mileage Class(R) Platinum Class(SM) Mileage Class(R) Platinum Class(SM)
------------- -------------- ------------- ----------------
Call (800) 388-3344 Call (800) 967-9009 American AAdvantage Funds American AAdvantage Funds
P.O. BOX 219643 P.O. Box 619003 MD 5645
Kansas City, MO 64121-9643 DFW Airport, TX 75261-9003
</TABLE>
FUND SERVICE PROVIDERS:
<TABLE>
<S> <C> <C> <C>
CUSTODIAN TRANSFER AGENT INDEPENDENT AUDITORS DISTRIBUTOR
STATE STREET BANK AND TRUST NATIONAL FINANCIAL DATA SERVICES ERNST & YOUNG LLP SWS FINANCIAL SERVICES
Boston, Massachusetts Kansas City, Missouri Dallas, Texas Dallas, Texas
</TABLE>
This report is prepared for shareholders of the American AAdvantage Mileage
Funds and may be distributed to others only if preceded or accompanied by a
current prospectus.
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American Airlines is not responsible for investments made in the American
AAdvantage Mileage Funds. American AAdvantage Mileage Funds and Mileage Class
are registered service marks of AMR Corporation. Platinum Class, American
AAdvantage Money Market Mileage Fund, American AAdvantage U.S. Government Money
Market Mileage Fund, and American AAdvantage Municipal Money Market Mileage Fund
are service marks of AMR Investment Services, Inc.
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