<PAGE> 1
[AMERICAN AADVANTAGE MILEAGE FUNDS LOGO]
[AMR LOGO]
ANNUAL REPORT
DECEMBER 31, 1999
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
<TABLE>
<S> <C>
President's Message................................................1
Financial Highlights
Money Market Mileage Fund......................................16
U.S. Government
Money Market Mileage Fund......................................17
Municipal Money Market Mileage Fund............................18
Schedules of Investments
Money Market Portfolio.........................................20
U.S. Government
Money Market Portfolio.........................................22
Municipal Money Market Portfolio...............................23
Additional Information............................Inside Back Cover
</TABLE>
American AAdvantage Mileage Funds December 31, 1999
<PAGE> 3
[BILL QUINN PICTURE]
DEAR FELLOW SHAREHOLDER:
We are pleased to present you with the Annual Report for the American
AAdvantage Money Market Mileage Funds for the two month period ended
December 31, 1999. This short period is due to the fact that the Funds'
fiscal year end has changed from October 31st to December 31st.
We would like to encourage shareholders to take advantage of our new client
service initiatives designed to keep you better informed. In addition to
increasing our staff, we have been diligently refining our website to provide
you with the most up-to-date information possible. You can locate us at
WWW.AAFUNDS.COM.
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Mileage Funds
1
<PAGE> 4
MONEY MARKET OVERVIEW
- --------------------------------------------------------------------------------
A
year ago the Fed had just completed the last of three 25 basis point
eases, decreasing the Fed Funds rate to 4.75%. There were many concerns
over which direction the U.S. economy was headed and how the U.S. economy would
be affected by the global liquidity crunch caused by the collapse of several
emerging economies and several hedge funds. Global market uncertainty caused
premiums (the yield difference between Treasury and non-Treasury securities) to
increase and it appeared as if U.S. Treasuries were the only safe haven. The
ensuing flight to quality drove the 30-year Treasury Bond yield to 4.70% during
the fourth quarter of 1998, the lowest level in almost thirty years. However, it
didn't take long for the economy to show signs of continued solid growth, with
moderate inflation pressures and a significant global economic recovery. This
scenario of strong growth and low inflation continued its course throughout
1999. The Federal Reserve Bank responded to this renewed global economic
expansion by gradually reversing its 75 basis points of Fed Funds easing in
1998. As of December 31, 1999, the Fed had reversed all 75 basis points,
bringing the Funds target to 5.50%.
The Money Market Mileage Funds have been well positioned during this time
of rising rates by maintaining shorter weighted average maturities than their
respective benchmarks. The Funds continued their strategy of investing in three
month LIBOR variable rate securities that reset quarterly, while also
maintaining liquidity going into the end of the year. Y2K proved to be a
non-event for the financial markets and the question now is how much will the
Fed tighten monetary policy in 2000.
2
<PAGE> 5
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE MONEY MARKET MILEAGE FUND (SM)
- --------------------------------------------------------------------------------
For the two months ended December 31, 1999, the total return of the Money
Market Mileage Fund Mileage Class was 0.89%. The Fund outperformed the Lipper
Money Market Instrument Average return of 0.82% by 7 basis points. Lipper
Analytical Services ranked the Mileage Fund in the 16th percentile out of its
universe of 337 money market funds for the twelve month period ending December
31, 1999.
MILEAGE FUND TOTAL RETURNS AS OF OCTOBER 31, 1999(1)
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE
MONEY MARKET LIPPER MONEY
MILEAGE FUND - MARKET INSTRUMENT
MILEAGE CLASS AVERAGE
<S> <C> <C>
1 Year............... 4.84 4.49
3 Years*............. 5.04 4.78
5 Years*............. 5.17 4.95
10 Years*............ 5.16 4.80
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
---------------------------
AS OF 12/31/99
---------------------------
1 YEAR 5 YEARS 10 YEARS
------ ------- --------
<S> <C> <C> <C>
Platinum Class(1,2)........... 4.30% 4.80% 4.97%
</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. 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 December 31, 1999 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.
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. 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 December 31, 1999 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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
MILEAGE CLASS PLATINUM CLASS
------------- --------------
<S> <C> <C>
7-day Current Yield* 5.28% 4.76%
7-day Effective Yield* 5.42% 4.88%
30-day Yield* 5.38% 4.86%
Weighted Average Maturity 34 Days
Fitch Rating AAA
</TABLE>
*Annualized. You may call 1-800-388-3344 to obtain the Fund's current seven day
yield.
TOP TEN HOLDINGS AS OF DECEMBER 31, 1999
<TABLE>
<S> <C>
State Street Tri-Party Repo 10.7%
General Electric Capital Corp 5.1%
Banque Paribas 4.8%
First Union National Bank 4.7%
Morgan Stanley Dean Witter 4.2%
Fleet National Bank 4.1%
GTE Corporation 4.1%
Banco Popular de Puerto Rico 3.9%
Wells Fargo & Company 3.7%
American Express Centurion Bank 3.6%
</TABLE>
3
<PAGE> 6
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE U.S. GOVERNMENT MONEY MARKET MILEAGE FUND (SM)
- --------------------------------------------------------------------------------
For the two months ended December 31, 1999, the total return of the U.S.
Government Money Market Mileage Fund Mileage Class was 0.87%. The Fund
outperformed the Lipper U.S. Government Money Market Average by 7 basis points,
which returned 0.80%. Lipper Analytical Services ranked the Mileage Fund in the
36th percentile out of its universe of 122 U.S. Government Money Market Funds
for the twelve-month period ending December 31, 1999.
MILEAGE CLASS TOTAL RETURNS AS OF OCTOBER 31, 1999
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE
MONEY MARKET LIPPER MONEY
MILEAGE FUND - MARKET INSTRUMENT
MILEAGE CLASS AVERAGE
<S> <C> <C>
1 Year............. 4.62 4.47
3 Years*........... 4.90 4.80
5 Years*........... 5.00 4.92
Since Inception*... 4.43 4.25
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
----------------------------
AS OF 12/31/99
----------------------------
SINCE
1 YEAR 5 YEARS INCEP.
------ ------- ---------
<S> <C> <C> <C>
Platinum Class(1,2).......... 4.55% 4.98% 4.42%
</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. 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 December 31, 1999 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.
2 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 December 31, 1999 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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
MILEAGE CLASS PLATINUM CLASS
------------- --------------
<S> <C> <C>
7-day Current Yield* 5.15% 4.82%
7-day Effective Yield* 5.28% 4.93%
30-day Yield* 5.27% 4.89%
Weighted Average Maturity 21 Days
Fitch Rating 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 two months ended December 31, 1999, the total return of the
Municipal Money Market Mileage Fund Mileage Class was 0.55%. The Fund
outperformed the Lipper Tax-Exempt Money Market Average by 4 basis points, which
returned 0.51%. Lipper Analytical Services ranked the Fund in the 25th
percentile out of its universe of 133 Tax Exempt Money Market Funds for the
twelve-month period ending December 31, 1999.
MILEAGE CLASS TOTAL RETURNS AS OF DECEMBER 31, 1999(1)
<TABLE>
<CAPTION>
AMERICAN AADVANTAGE
MONEY MARKET LIPPER MONEY
MILEAGE FUND - MARKET INSTRUMENT
MILEAGE CLASS AVERAGE
<S> <C> <C>
1 Year............. 2.78 2.68
3 Years*........... 3.02 2.92
5 Years*........... 3.13 3.03
Since Inception*... 2.98 2.88
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
-------------------------------
AS OF 12/31/99
-------------------------------
SINCE
1 YEAR 5 YEARS INCEP.
-------- -------- -------
<S> <C> <C> <C>
Platinum Class(1,2)............ 2.69% 3.11% 2.96%
</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. 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
December 31, 1999 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.
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. 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 December
31, 1999 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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
MILEAGE PLATINUM
CLASS CLASS
------- --------
<S> <C> <C>
7-day Current Yield* 4.13% 3.45%
7-day Effective Yield* 4.21% 3.51%
30-day Yield* 3.40% 2.74%
Weighted Average Maturity 15 Days
Fitch Rating AAA
</TABLE>
*Annualized. You may call 1-800-388-3344 to obtain the Fund's current seven day
yield.
TOP TEN HOLDINGS AS OF DECEMBER 31, 1999
<TABLE>
<S> <C>
Montgomery County, PA 5.1%
Missouri Higher Ed Student Loan 4.9%
Austin TX Utility Systems 4.6%
Thomaston-Upson County, GA 4.4%
Palm Beach County, FL Hlth Facs 4.2%
Wake County, NC Industrial Facs 3.8%
Cornell Twp, MI Economic Dev Corp 3.7%
Delaware County, PA Industrial Dev 3.5%
Texas Small Bus Industrial Dev 3.5%
Alliance Capital Mgmt. Inst'l. Reserves
Tax Free Portfolio 3.4%
</TABLE>
5
<PAGE> 8
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
American AAdvantage Money Market Mileage Fund
American AAdvantage U.S. Government Money Market Mileage Fund
American AAdvantage Municipal Money Market Mileage Fund
We have audited the accompanying statements of assets and liabilities of
the American AAdvantage Money Market Mileage Fund, the American AAdvantage U.S.
Government Money Market Mileage Fund, and the American AAdvantage Municipal
Money Market Mileage Fund (collectively, "the Funds") (separate funds comprising
the American AAdvantage Mileage Funds) as of December 31, 1999, and the related
statements of operations, the statements of changes in net assets, and the
financial highlights for each of the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of investments
owned as of December 31, 1999, by correspondence with the custodian. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective American AAdvantage Mileage Funds at December 31, 1999,
the results of their operations, the changes in their net assets, and the
financial highlights for each of the periods indicated therein, in conformity
with accounting principles generally accepted in the United States.
/s/ ERNST & YOUNG LLP
Dallas, Texas
February 11, 2000
6
<PAGE> 9
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1999
- --------------------------------------------------------------------------------
<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....................... $555,401 $29,419 $28,706
Receivable for shares of beneficial interest sold....... 52 - 50
Receivable for expense reimbursement (Note 2)........... 4 7 3
Deferred organization costs, net........................ 1 1 1
-------- ------- -------
TOTAL ASSETS........................................ 555,458 29,427 28,760
-------- ------- -------
LIABILITIES:
Payable for shares of beneficial interest redeemed...... 95 - 16
Accrued organization costs.............................. 4 4 4
Dividends payable....................................... 4 - 1
Management and administrative services fees payable
(Note 2).............................................. 247 2 2
Other liabilities....................................... 237 13 43
-------- ------- -------
TOTAL LIABILITIES................................... 587 19 66
-------- ------- -------
NET ASSETS.................................................. $554,871 $29,408 $28,694
======== ======= =======
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 554,871 29,408 28,694
-------- ------- -------
NET ASSETS.................................................. $554,871 $29,408 $28,694
======== ======= =======
MILEAGE CLASS:
Net asset value, offering and redemption price per share
(Shares outstanding - 112,652,576; 29,406,871;
28,692,890, respectively)............................. $ 1.00 $ 1.00 $ 1.00
======== ======= =======
PLATINUM CLASS:
Net asset value, offering and redemption price per share
(Shares outstanding - 442,218,444; 1,108; 1,105,
respectively)......................................... $ 1.00 $ 1.00 $ 1.00
======== ======= =======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
7
<PAGE> 10
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET MUNICIPAL MONEY MARKET
-------------------------- -------------------------- --------------------------
TWO MONTHS TWO MONTHS TWO MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
DECEMBER 31, OCTOBER 31, DECEMBER 31, OCTOBER 31, DECEMBER 31, OCTOBER 31,
1999 1999 1999 1999 1999 1999
------------ ----------- ------------ ----------- ------------ -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Interest income......................... $ 5,090 $15,022 $306 $1,575 $175 $900
Portfolio expenses...................... (98) (330) (6) (38) (6) (40)
------- ------- ---- ------ ---- ----
NET INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO.......................... 4,992 14,692 300 1,537 169 860
------- ------- ---- ------ ---- ----
FUND EXPENSES:
Management fees (Note 2)................ 87 287 5 31 5 27
Administrative service fees - Platinum
Class (Note 2)........................ 366 917 - - - -
Transfer agent fees..................... - - 7 35 - 28
Transfer agent fees - Mileage Class..... 9 85 - - - -
Transfer agent fees - Platinum Class.... 8 22 - - - -
Professional fees....................... 10 56 1 8 1 7
Registration fees and expenses.......... 25 36 6 18 2 17
Distribution fees (Note 2).............. - - 13 78 11 69
Distribution fees - Mileage Class (Note
2).................................... 50 300 - - - -
Distribution fees - Platinum Class (Note
2).................................... 166 413 - - - -
Other expenses.......................... 28 73 2 18 1 10
------- ------- ---- ------ ---- ----
TOTAL FUND EXPENSES................. 749 2,189 34 188 20 158
------- ------- ---- ------ ---- ----
LESS REIMBURSEMENT OF FUND EXPENSES (NOTE
2)........................................ 8 5 8 32 - 21
------- ------- ---- ------ ---- ----
NET FUND EXPENSES................... 741 2,184 26 156 20 137
------- ------- ---- ------ ---- ----
NET INVESTMENT INCOME...................... 4,251 12,508 274 1,381 149 723
------- ------- ---- ------ ---- ----
REALIZED GAIN ALLOCATED FROM PORTFOLIO:
Net realized gain on investments........ - 2 - 1 - -
------- ------- ---- ------ ---- ----
NET GAIN ON INVESTMENTS............. - 2 - 1 - -
------- ------- ---- ------ ---- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................ $ 4,251 $12,510 $274 $1,382 $149 $723
======= ======= ==== ====== ==== ====
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
8
<PAGE> 11
AMERICAN EAGLE LOGO
- --------------------------------------------------------------------------------
9
<PAGE> 12
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET
------------------------------------
TWO MONTHS YEAR ENDED
ENDED OCTOBER 31,
DECEMBER 31, ---------------------
1999 1999 1998
------------ --------- ---------
(IN THOUSANDS)
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 4,251 $ 12,508 $ 8,449
Net realized gain on investments........................ - 2 3
-------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ 4,251 12,510 8,452
-------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income................................... - - -
Net investment income - Mileage Class................... (1,053) (5,568) (5,460)
Net investment income - Platinum Class.................. (3,198) (6,940) (2,989)
Net realized gain on investments........................ - - -
Net realized gain on investments - Mileage Class........ - (1) (2)
Net realized gain on investments - Platinum Class....... - (1) (1)
-------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS....................... (4,251) (12,510) (8,452)
-------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........................... 146,351 765,543 459,879
Reinvestment of dividends and distributions............. 4,242 11,967 8,293
Cost of shares redeemed................................. (62,618) (499,332) (433,585)
-------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS................................ 87,975 278,178 34,587
-------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS....................... 87,975 278,178 34,587
NET ASSETS:
Beginning of period..................................... 466,896 188,718 154,131
-------- --------- ---------
END OF PERIOD........................................... $554,871 $ 466,896 $ 188,718
======== ========= =========
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
10
<PAGE> 13
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT MONEY MARKET MUNICIPAL MONEY MARKET
- ------------------------------------------- --------------------------------------
TWO MONTHS TWO MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31,
DECEMBER 31, ----------------------- DECEMBER 31, -----------------------
1999 1999 1998 1999 1999 1998
- ----------------- ---------- ---------- ------------ ---------- ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C>
$ 274 $ 1,381 $ 1,627 $ 149 $ 723 $ 825
- 1 - - - 2
------- -------- -------- ------- -------- --------
274 1,382 1,627 149 723 827
------- -------- -------- ------- -------- --------
- (1,381) (1,627) - (723) (825)
(274) - - (149) - -
- - - - - -
- (1) - - - (2)
- - - - - -
- - - - - -
------- -------- -------- ------- -------- --------
(274) (1,382) (1,627) (149) (723) (827)
------- -------- -------- ------- -------- --------
5,041 31,739 26,451 6,277 66,264 53,818
274 1,342 1,481 146 668 782
(9,966) (32,735) (23,010) (6,067) (63,336) (56,422)
------- -------- -------- ------- -------- --------
(4,651) 346 4,922 356 3,596 (1,822)
------- -------- -------- ------- -------- --------
(4,651) 346 4,922 356 3,596 (1,822)
34,059 33,713 28,791 28,338 24,742 26,564
------- -------- -------- ------- -------- --------
$29,408 $ 34,059 $ 33,713 $28,694 $ 28,338 $ 24,742
======= ======== ======== ======= ======== ========
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
11
<PAGE> 14
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
December 31, 1999
- --------------------------------------------------------------------------------
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
(15.21%, 14.33% and 25.39% at December 31, 1999 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.
- --------------------------------------------------------------------------------
12
<PAGE> 15
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
December 31, 1999
- --------------------------------------------------------------------------------
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 39% 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.
- --------------------------------------------------------------------------------
13
<PAGE> 16
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
December 31, 1999
- --------------------------------------------------------------------------------
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 two
months ended December 31, 1999 and the year ended October 31, 1999, the Manager
waived distribution fees totaling $8,445 and $31,792, respectively for the U.S.
Government Money Market Mileage Fund. During the same periods, the Manager
waived $7,650 and $5,254, respectively 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. The Trust compensates 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. For the two months ended December 31, 1999 and the year ended
October 31, 1999, the cost of air transportation for the trustees was not
material to any of the Funds.
- --------------------------------------------------------------------------------
14
<PAGE> 17
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
December 31, 1999
- --------------------------------------------------------------------------------
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:
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>
Year Ended October 31, 1998
<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................................. 235,466 224,413 26,451 53,818
Reinvestment of dividends................... 5,369 2,924 1,481 782
Shares redeemed............................. (230,939) (202,646) (23,010) (56,422)
-------- -------- ------- -------
Net increase (decrease) in capital shares
outstanding............................... 9,896 24,691 4,922 (1,822)
======== ======== ======= =======
</TABLE>
- --------------------------------------------------------------------------------
15
<PAGE> 18
AMERICAN AADVANTAGE MONEY MARKET MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MILEAGE CLASS
--------------------------------------------------------
TWO MONTHS YEAR ENDED
ENDED OCTOBER 31,
DECEMBER 31, -----------------------------------------
1999 1999 1998 1997 1996
------------ -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income from investment
operations:
Net investment income(B).... 0.01 0.05 0.05 0.05 0.05
Dividends from net
investment income.......... (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
======== ======== ======== ======== ========
Total return................... 0.89%(C) 4.74% 5.18% 5.14% 5.12%
======== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period
(in thousands)............. $112,653 $124,703 $114,844 $104,947 $106,709
Ratios to average net assets
(annualized)(B):
Expenses................. 0.57% 0.59% 0.66% 0.67% 0.67%
Net investment
income................. 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%
<CAPTION>
PLATINUM CLASS(A)
---------------------------------------------------------
TWO MONTHS YEAR ENDED JANUARY 29,
ENDED OCTOBER 31, TO
DECEMBER 31, ---------------------------- OCTOBER 31,
1999 1999 1998 1997 1996
------------ -------- ------- ------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- ------- ------- -------
Income from investment
operations:
Net investment income(B).... 0.01 0.04 0.05 0.05 0.03
Dividends from net
investment income.......... (0.01) (0.04) (0.05) (0.05) (0.03)
-------- -------- ------- ------- -------
Net asset value, end of
period........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======= ======= =======
Total return................... 0.80%(C) 4.22% 4.74% 4.71% 4.78%(C)
======== ======== ======= ======= =======
Ratios and supplemental data:
Net assets, end of period
(in thousands)............. $442,218 $342,192 $73,875 $49,184 $15,429
Ratios to average net assets
(annualized)(B):
Expenses................. 1.09% 1.09% 1.09% 1.09% 1.09%
Net investment
income................. 4.80% 4.17% 4.64% 4.64% 4.48%
Decrease reflected in above
expense ratio due to
absorption of expenses by
the Manager................ 0.01% - 0.03% 0.05% 0.15%
</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.
- --------------------------------------------------------------------------------
16
<PAGE> 19
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)
YEAR ENDED -----------------
TWO MONTHS ENDED OCTOBER 31, TWO MONTHS ENDED
DECEMBER 31, ------------------------------------- DECEMBER 31,
1999 1999 1998 1997(A) 1996 1999
---------------- ------- ------- ------- ------- -----------------
<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)........... 0.01 0.04 0.05 0.05 0.05 0.01
Dividends from net
investment income... (0.01) (0.04) (0.05) (0.05) (0.05) (0.01)
------- ------- ------- ------- ------- -------
Net asset value, end of
period.................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= =======
Total return.............. 0.87%(D) 4.50% 5.13% 5.00% 4.98% 0.80%(D)
======= ======= ======= ======= ======= =======
Ratios and supplemental
data:
Net assets, end of
period (in
thousands).......... $29,407 $34,059 $33,713 $28,791 $10,638 $ 1
Ratios to average net
assets
(annualized)(B):
Expenses......... 0.62% 0.62% 0.62% 0.62% 0.62% 1.10%
Net investment
income......... 5.17% 4.41% 5.02% 4.91% 4.82% 4.69%
Decrease reflected in
above expense ratio
due to absorption of
expenses by the
Manager............. 0.16% 0.10% 0.04% 0.16% 0.49% 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.
- --------------------------------------------------------------------------------
17
<PAGE> 20
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MILEAGE CLASS
-------------------------------------------------------- PLATINUM CLASS(B)
YEAR ENDED -----------------
TWO MONTHS ENDED OCTOBER 31, TWO MONTHS ENDED
DECEMBER 31, ------------------------------------- DECEMBER 31,
1999 1999 1998 1997 1996 1999
---------------- ------- ------- ------- ------- -----------------
<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(A)........... 0.01 0.03 0.03 0.03 0.03 0.01
Dividends from net
investment income... (0.01) (0.03) (0.03) (0.03) (0.03) (0.01)
------- ------- ------- ------- ------- ------
Net asset value, end of
period.................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= ======
Total return.............. 0.55%(C) 2.69% 3.16% 3.18% 3.19% 0.45%(C)
======= ======= ======= ======= ======= ======
Ratios and supplemental
data:
Net assets, end of
period (in
thousands).......... $28,693 $28,338 $24,742 $26,564 $28,726 $ 1
Ratios to average net
assets (annualized)(A):
Expenses......... 0.57% 0.64% 0.65% 0.65% 0.66% 1.10%
Net investment
income......... 3.27% 2.64% 3.12% 3.13% 3.14% 2.74%
Decrease reflected in
above expense ratio
due to absorption of
expenses by the
Manager............. - 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.
- --------------------------------------------------------------------------------
18
<PAGE> 21
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
AMR Investment Services Money Market Portfolio
AMR Investment Services U.S. Government Money Market Portfolio
AMR Investment Services Municipal Money Market Portfolio
We have audited the accompanying statements of assets and liabilities of
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 (collectively, "the Portfolios") (separate
portfolios comprising the AMR Investment Services Trust), including the
schedules of investments, as of December 31, 1999, and the related statements of
operations, the statements of changes in net assets, and the financial
highlights for each of the periods indicated therein. These financial statements
and financial highlights are the responsibility of the Portfolios' management.
Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of investments
owned as of December 31, 1999, by correspondence with the custodian. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the portfolios of the AMR Investment Services Trust at December 31,
1999, the results of their operations, the changes in their net assets, and the
financial highlights for each of the periods indicated therein, in conformity
with accounting principles generally accepted in the United States.
/s/ ERNST & YOUNG
Dallas, Texas
February 11, 2000
- --------------------------------------------------------------------------------
19
<PAGE> 22
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
REPURCHASE AGREEMENTS (NOTE A) - 10.66%
State Street Bank Tri-Party Government Repurchase Agreement,
3.00%, Due 1/3/2000 (Collateral held at State Street Bank
and Trust by Federal National Mortgage Association, Due
12/21/2001 - Market Value $401,113)....................... $389,428 $ 389,428
----------
TOTAL REPURCHASE AGREEMENTS............................. 389,428
----------
TIME DEPOSITS (NOTE A) - 10.54%
Banque Paribas, 5.00%, Due 1/3/2000......................... 175,000 175,000
Canadian Imperial Bank of Commerce, 4.50%, Due 1/3/2000..... 85,000 85,000
Chase Manhattan Bank, 5.50%, Due 1/3/2000................... 125,000 125,000
----------
TOTAL TIME DEPOSITS..................................... 385,000
----------
VARIABLE RATE CERTIFICATES OF DEPOSIT AND BANK NOTES - 32.87%
FOREIGN BANKS - 8.01%
Canadian Imperial Bank, 6.076%, Due 6/5/2000................ 47,520 47,499
Landesbank Hessen Thuringen, 6.069%, Due 10/2/2000.......... 125,000 124,937
Svenska Handelsbanken, 6.174%, Due 10/13/2000............... 120,000 119,912
----------
TOTAL FOREIGN BANKS..................................... 292,348
----------
DOMESTIC BANKS - 24.86%
American Express Centurion Bank, 5.19%, Due 5/19/2000....... 132,000 132,000
Banco Popular de Puerto Rico, 6.175%, Due 5/10/2000 (Note
D)........................................................ 143,000 143,000
Bank One, NA, 6.157%, Due 10/20/2000........................ 100,000 99,928
Branch Banking & Trust Company, 6.264%, Due 4/28/2000....... 9,000 9,003
First Union National Bank,
6.127%, Due 4/19/2000..................................... 130,000 130,000
6.271%, Due 9/25/2000..................................... 10,000 10,000
6.27%, Due 11/13/2000..................................... 30,000 30,040
Key Bank, NA,
6.189%, Due 1/28/2000..................................... 50,000 50,001
6.04%, Due 2/18/2000...................................... 38,000 38,001
6.197%, Due 4/20/2000..................................... 40,000 40,007
Mellon Bank, NA, 6.096%, Due 8/30/2000...................... 96,000 95,982
National City Bank, 6.096%, Due 8/30/2000................... 130,000 129,958
----------
TOTAL DOMESTIC BANKS.................................... 907,920
----------
TOTAL VARIABLE RATE CERTIFICATES OF DEPOSIT AND BANK
NOTES.................................................. 1,200,268
----------
PROMISSORY NOTES - 5.10%
Goldman Sachs Group, L.P., Variable Rate, 6.121%, Due
3/15/2000 (Note B)........................................ 86,000 86,000
Jackson National Life Insurance Company, Variable Rate,
5.30%, Due 9/1/2000 (Note B).............................. 100,000 100,000
----------
TOTAL PROMISSORY NOTES.................................. 186,000
----------
COMMERCIAL PAPER - 5.06%
General Electric Capital Corporation,
5.90%, Due 2/4/2000 (Note A).............................. 25,000 24,981
Variable Rate, 6.06%, Due 9/5/2000........................ 160,000 159,881
----------
TOTAL COMMERCIAL PAPER.................................. 184,862
----------
VARIABLE RATE MEDIUM-TERM NOTES - 35.43%
Abbey National Treasury Services, 6.099%, Due 8/3/2000...... 25,000 24,985
American Honda Finance Corporation, 144a, (Note E)
6.101%, Due 2/23/2000..................................... 20,000 20,000
6.136%, Due 4/17/2000..................................... 65,000 64,994
6.07%, Due 6/12/2000...................................... 30,000 29,994
Bank One Corporation,
6.14%, Due 6/20/2000...................................... 23,945 23,944
6.322%, Due 11/24/2000.................................... 17,000 17,026
Bankers Trust Corporation, 6.195%, Due 8/6/2000............. 28,000 28,002
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
20
<PAGE> 23
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Chase Manhattan Corporation,
6.397%, Due 4/20/2000..................................... $ 25,000 $ 25,019
6.188%, Due 5/31/2000..................................... 12,000 12,005
6.352%, Due 11/24/2000.................................... 10,500 10,524
6.356%, Due 11/30/2000.................................... 10,000 10,020
Citicorp Incorporated, 6.129%, Due 11/10/2000............... 15,000 15,001
Citigroup, Incorporated, 6.261%, Due 2/3/2000............... 10,000 10,001
Fleet National Bank,
6.339%, Due 4/26/2000..................................... 30,000 30,016
6.22%, Due 5/15/2000...................................... 50,000 50,038
6.031%, Due 8/10/2000..................................... 30,000 29,994
6.276%, Due 10/10/2000.................................... 25,000 25,019
6.335%, Due 11/9/2000..................................... 15,000 15,026
Ford Motor Credit Company, 6.174%, Due 10/2/2000............ 105,000 104,934
General Motors Acceptance Corporation,
6.235%, Due 2/2/2000 (Note C)............................. 115,000 115,000
6.072%, Due 2/24/2000..................................... 10,000 10,000
Goldman Sachs Group, L.P.,
6.291%, Due 1/31/2000, 144a, (Note E)..................... 16,000 16,001
6.259%, Due 2/4/2000, 144a, (Note E)...................... 9,000 9,001
6.285%, Due 11/1/2000..................................... 50,000 50,000
GTE Corporation, 6.14%, Due 12/11/2000...................... 150,000 149,890
J.P. Morgan & Company, Incorporated,
6.065%, Due 3/2/2000...................................... 25,000 25,001
6.074%, Due 4/6/2000...................................... 25,000 25,001
Merrill Lynch & Company, Incorporated,
6.134%, Due 7/3/2000...................................... 20,000 20,010
6.07%, Due 8/14/2000...................................... 30,000 29,997
Morgan Stanley Dean Witter Company,
6.161%, Due 2/23/2000..................................... 25,000 25,004
6.171%, Due 2/28/2000..................................... 50,000 50,009
6.484%, Due 6/27/2000..................................... 10,120 10,136
6.67%, Due 11/13/2000..................................... 67,000 67,305
Royal Bank of Canada, 6.204%, Due 7/28/2000................. 10,000 9,997
Wells Fargo & Company, 6.01%, Due 3/10/2000................. 135,000 134,986
----------
TOTAL VARIABLE RATE MEDIUM-TERM NOTES................... 1,293,880
----------
TOTAL INVESTMENTS - 99.66% (COST $3,639,438)................ 3,639,438
----------
OTHER ASSETS, NET OF LIABILITIES - 0.34%.................... 12,233
----------
TOTAL NET ASSETS - 100%..................................... $3,651,671
==========
</TABLE>
- ---------------
Based on the cost of investments of $3,639,438 for federal income tax purposes
at December 31, 1999, 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 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 $139,990 or 3.83% of net assets.
ABBREVIATIONS:
L.P. - Limited Partnership
NA - National Association
See accompanying notes
- --------------------------------------------------------------------------------
21
<PAGE> 24
AMR INVESTMENT SERVICES U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
REPURCHASE AGREEMENTS (NOTE A) - 13.02%
State Street Bank Tri-Party Government Repurchase Agreement,
3.00%, Due 1/3/2000 (Collateral held at State Street Bank
and Trust by Federal National Mortgage Association
Discount Note, Due 1/18/2000 - Market Value - $27,533).... $26,720 $ 26,720
---------
TOTAL REPURCHASE AGREEMENTS............................. 26,720
---------
U.S. GOVERNMENT AGENCY INSTRUMENTS (NOTE A) - 86.47%
Federal Home Loan Bank,
Discount Note, 5.61%, Due 1/21/2000....................... 15,000 14,954
Variable Rate MTN, 5.95%, Due 2/3/2000.................... 25,000 24,999
Variable Rate MTN, 4.95%, Due 10/6/2000................... 15,000 14,993
Federal Home Loan Mortgage Corporation
Discount Note, 5.66%, Due 1/10/2000....................... 10,000 9,986
Discount Note, 5.65%, Due 2/4/2000........................ 15,000 14,921
Federal National Mortgage Association,
Variable Rate MTN, 5.94%, Due 5/5/2000.................... 25,000 24,996
Variable Rate MTN, 6.30%, Due 8/2/2000.................... 15,000 14,991
Variable Rate MTN, 5.93%, Due 9/6/2000.................... 7,650 7,646
Variable Rate MTN, 5.01%, Due 9/18/2000................... 15,000 14,998
Variable Rate MTN, 6.27%, Due 12/8/2000................... 10,000 9,991
Student Loan Marketing Association, Variable Rate MTN,
5.92%, Due 2/7/2000....................................... 25,000 24,999
---------
TOTAL U.S. GOVERNMENT AGENCY INSTRUMENTS................ 177,474
---------
TOTAL INVESTMENTS - 99.49% (COST $204,194).................. 204,194
---------
OTHER ASSETS, NET OF LIABILITIES - 0.51%.................... 1,045
---------
TOTAL NET ASSETS - 100%..................................... $ 205,239
=========
</TABLE>
- ---------------
Based on the cost of investments of $204,194 for federal income tax purposes at
December 31, 1999, 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.
ABBREVIATION:
MTN - Medium Term Note
See accompanying notes
- --------------------------------------------------------------------------------
22
<PAGE> 25
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MUNICIPAL OBLIGATIONS - 90.77%
COMMERCIAL PAPER (NOTE A) - 24.31%
Brazos River, Texas Pollution Control Revenue Refunding
Bonds (Texas Utilities Electric Company Project), Series
1995A, 3.65%, Due 3/9/2000, LOC Canadian Imperial Bank of
Commerce.................................................. $ 2,000 $ 2,000
City of Austin, Texas Combined Utility Systems Commercial
Paper Notes (Travis and Williamson Counties Project),
3.65%, Due 1/11/2000, LOC Morgan Guaranty Trust........... 5,200 5,200
City of Brownsville, Texas Pollution Control Revenue Bonds
(Texas Utilities Electric Company Project), 3.70%, Due
4/7/2000, LOC Toronto Dominion............................ 1,500 1,500
Delaware County, Pennsylvania, Industrial Development
Authority Pollution Control Bonds (Philadelphia Electric
Project), Series 1998A, 3.80%, Due 2/10/2000, 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, 3.65%,
Due 3/6/2000, LOC Credit Suisse........................... 4,200.... 4,200
Montgomery County, Pennsylvania Industrial Development
Pollution Control Revenue Bonds (Peco Energy Project),
Series 1996, 5.60%, Due 2/28/2000, LOC Canadian Imperial
Bank of Commerce.......................................... 5,800 5,800
Palm Beach County, Florida Health Facilities Authority
Pooled Hospital Loan Program, 3.70%, Due 2/9/2000, Bond
Insurance MBIA, SPA Credit Suisse......................... 4,800 4,800
---------
TOTAL COMMERCIAL PAPER.................................. 27,500
---------
VARIABLE RATE DEMAND OBLIGATIONS (NOTE A) - 66.46%
ARIZONA - 5.04%
Arizona Health Facilities Authority Revenue Bonds (Pooled
Loan Program), Bond Insurance - FGIC, 5.60%, Due
10/1/2015, LOC Chase Manhattan Bank....................... 3,495 3,495
Maricopa County, Arizona Pollution Control Corporation
Pollution Control Revenue Bonds (El Paso Electric Company
Project, Palo Verde), 5.25%, Due 12/1/2014, LOC Barclays
Bank...................................................... 2,200 2,200
---------
TOTAL ARIZONA........................................... 5,695
---------
CALIFORNIA - 1.86%
California Pollution Control Finance Authority Resource
Recovery Revenue Bonds (Wadham Energy Limited
Partnership), Series 1987A, 5.75%, Due 1/11/2017, LOC
Banque Paribas............................................ 1,800 1,800
San Francisco, California City and County Redevelopment
Finance Authority (Yerba Gardens Project), Series 1995,
4.70%, Due 9/1/2006, LOC Bank of Tokyo-Mitsubishi,
Limited................................................... 300 300
---------
TOTAL CALIFORNIA........................................ 2,100
---------
COLORADO - 1.68%
Moffat County, Colorado Pollution Control Revenue Bonds (Ute
Electric Company Project), Bond Insurance - AMBAC
Indemnity Corporation, Series 1984, 4.80%, Due 7/1/2010,
SPA Societe Generale...................................... 1,900 1,900
---------
TOTAL COLORADO.......................................... 1,900
---------
GEORGIA - 6.12%
Clayton County, Georgia Housing Authority (Kimberly Forest
Apartments Project), Series B, Bond Insurance - Financial
Security Assurance, 5.50%, Due 1/1/2021, SPA Societe
Generale.................................................. 1,015 1,015
Savannah Georgia Port Authority Revenue Bonds (ACES Pier One
Imports Project), Southeast Series 1986, 5.70%, Due
12/1/2026, LOC Bank One................................... 900 900
Thomaston-Upson County Industrial Development Revenue
Authority (Yamaha Music Manufacturing, Incorporated
Project), Series 1988, 5.90%, Due 8/1/2018, LOC Bank of
Tokyo-Mitsubishi, Limited................................. 5,000 5,000
---------
TOTAL GEORGIA........................................... 6,915
---------
ILLINOIS - 1.33%
City of Chicago, Illinois Multi-Family Housing Revenue Bonds
(Waveland Associates Project), Series 1985 A, 5.55%, Due
11/1/2010, LOC Union Bank of Switzerland.................. 1,500 1,500
---------
TOTAL ILLINOIS.......................................... 1,500
---------
INDIANA - 0.88%
Fort Wayne, Indiana Industrial Economic Development Revenue
Bonds (ND-Tech Corporation Project), Series 1989, 5.50%,
Due 7/1/2009, LOC Societe Generale........................ 1,000 1,000
---------
TOTAL INDIANA........................................... 1,000
---------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
23
<PAGE> 26
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
IOWA - 2.62%
Dubuque, Iowa Industrial Development Revenue Bonds (Swiss
Valley Farms Company Project), Series 1987, 5.65%, Due
12/1/2001, LOC Rabobank Nederland Bank.................... $ 750 $ 750
Polk County, Iowa Hospital Equipment and Improvement, Bond
Insurance - MBIA, 5.50%, Due 12/1/2005, SPA Bank of New
York Company, Incorporated................................ 2,210 2,210
---------
TOTAL IOWA.............................................. 2,960
---------
MARYLAND - 2.65%
Montgomery County, Maryland Housing Opportunities Community
(Draper Lane Apartments), Bond Insurance - FGIC, Series I,
5.60%, Due 2/16/2026, SPA Barclays Bank................... 3,000 3,000
---------
TOTAL MARYLAND.......................................... 3,000
---------
MICHIGAN - 1.20%
City of Detroit, Michigan Sewer Disposal Revenue Bonds, Bond
Insurance - MBIA, Series 1998 B, 5.60%, Due 7/1/2023, SPA
Morgan Guaranty........................................... 1,355 1,355
---------
TOTAL MICHIGAN.......................................... 1,355
---------
MISSOURI - 4.86%
Missouri Higher Education Loan Authority Revenue Bonds,
Series 1988A, 5.65%, Due 6/1/2017, LOC National
Westminster Bank, PLC..................................... 5,500 5,500
---------
TOTAL MISSOURI.......................................... 5,500
---------
NEBRASKA - 0.88%
Lancaster County, Nebraska Industrial Development Revenue
Bonds (Sun Husker Foods, Incorporated Project), Series
1989, 5.90%, Due 8/15/2009, LOC Bank of Tokyo-Mitsubishi,
Limited................................................... 1,000 1,000
---------
TOTAL NEBRASKA.......................................... 1,000
---------
NEW JERSEY - 3.10%
New Jersey Economic Development Authority, Natural Gas
Facilities Revenue Bonds (New Jersey Natural Gas Company
Project), Series 1995A, 4.75%, Due 8/1/2030, Bond
Insurance FGIC, SPA Societe Generale...................... 3,500 3,500
---------
TOTAL NEW JERSEY........................................ 3,500
---------
NORTH CAROLINA - 3.78%
Wake County, North Carolina Industrial Facilities &
Pollution Control Financing Authority Revenue Bonds,
(Carolina Power and Light Company Project), 4.85%, Due
3/1/2017, LOC First Union................................. 4,270 4,270
---------
TOTAL NORTH CAROLINA.................................... 4,270
---------
OHIO - 2.92%
Ohio State Air Quality Development Authority Revenue Bonds
(JMG-Funding Limited Partnership Project), Series 1994A,
5.55%, Due 4/01/2029, LOC Societe Generale................ 3,300 3,300
---------
TOTAL OHIO.............................................. 3,300
---------
OREGON - 2.65%
State of Oregon (Toyo Tanso USA), Series CXLVII, 5.38%, Due
2/1/2012, LOC Bank of Tokyo - Mitsubishi, Limited......... 3,000 3,000
---------
TOTAL OREGON............................................ 3,000
---------
PENNSYLVANIA - 5.75%
Gettysburg Area Industrial Development Authority Refunding
Bonds (Dal-Tile Corporation), Series 1987A, 5.55%, Due
3/1/2004, LOC Credit Suisse............................... 300 300
Gettysburg Area Industrial Development Authority Refunding
Bonds (Dal-Tile Corporation), Series 1987B, 5.70%, Due
3/1/2004, LOC Credit Suisse............................... 1,155 1,155
Northumberland County, Pennsylvania Industrial Development
Authority Resource Recovery Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated Project), Series 1987A, 5.65%,
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, 5.65%,
Due 2/1/2010, LOC Union Bank of Switzerland............... 1,245 1,245
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
24
<PAGE> 27
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Schuykill County, Pennsylvania Industrial Development
Authority Revenue Bonds, 5.20%, Due 12/1/2002, LOC Mellon
Bank, N.A................................................. $ 2,800 $ 2,800
---------
TOTAL PENNSYLVANIA...................................... 6,500
---------
SOUTH CAROLINA - 1.33%
Florence County, South Carolina, Solid Waste Disposal and
Wastewater Treatment Bonds (Roche Carolina, Incorporated
Project), 5.40%, Due 4/1/2028, LOC Deutsche Bank.......... 1,500 1,500
---------
TOTAL SOUTH CAROLINA.................................... 1,500
---------
TEXAS - 4.78%
City of Midlothian, Texas Industrial Development
Corporation, Exempt Facilities Revenue Bonds (Texas
Industries, Incorporated Project), 5.40%, Due 5/1/2029,
LOC Bank of America....................................... 1,400 1,400
Texas Small Business Industrial Development Corporation
Revenue Bond (Texas Public Facilities Capital Access),
5.55%, Due 7/1/2026, LOC National Westminster Bank, PLC... 4,000 4,000
---------
TOTAL TEXAS............................................. 5,400
---------
UTAH - 0.88%
Utah State Board of Regents Student Loan Revenue Bonds, Bond
Insurance - AMBAC Indemnity Corporation, Series 1988C,
5.65%, Due 11/1/2013, SPA Dresdner Bank AG................ 1,000 1,000
---------
TOTAL UTAH.............................................. 1,000
---------
VERMONT - 1.33%
Vermont, Industrial Development Authority (Ryegate Project),
Series 1990, 5.85%, Due 12/1/2015, LOC ABN/AMRO Holding,
N.V....................................................... 1,500 1,500
---------
TOTAL VERMONT........................................... 1,500
---------
VIRGINIA - 2.65%
King George County, Virginia Industrial Development
Authority Facilities Revenue Bonds (Birchwood Partners
Project), 4.90%, Due 10/1/2024, LOC Credit Suisse......... 3,000 3,000
---------
TOTAL VIRGINIA.......................................... 3,000
---------
WASHINGTON - 6.84%
Pierce County, Washington Economic Development Corporation
Dock & Wharf Facilities Revenue Bonds (SCS Industries
Project), Series 1995, 5.50%, Due 7/1/2030, LOC Bank of
Nova Scotia............................................... 3,585 3,585
Port Kalama, Washington Public Corp Port Facility Revenue
Bonds (Con Agra Incorporated Project), 5.55%, Due
1/1/2004, LOC Morgan Guaranty Trust....................... 1,155 1,155
Washington State Housing Finance Authority, Community
Nonprofit Housing Revenue Bonds (Nikkei Manor Project),
5.15%, Due 10/1/2021, LOC Bank of America................. 3,000 3,000
---------
TOTAL WASHINGTON........................................ 7,740
---------
WISCONSIN - 1.33%
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........... 1,500 1,500
---------
TOTAL WISCONSIN......................................... 1,500
---------
TOTAL VARIABLE RATE DEMAND OBLIGATIONS.................. 75,135
---------
TOTAL MUNICIPAL OBLIGATIONS............................. 102,635
---------
SHARES
---------
OTHER INVESTMENTS - 4.12%
Alliance Capital Management Institutional Reserves Tax-Free
Portfolio................................................. 3,883,579 3,884
Federated Municipal Obligations Fund........................ 781,011 781
---------
TOTAL OTHER INVESTMENTS................................. 4,665
---------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
25
<PAGE> 28
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
TOTAL INVESTMENTS - 94.89% (COST $107,300).................. $ 107,300
---------
OTHER ASSETS, NET OF LIABILITIES - 5.11%.................... 5,777
---------
TOTAL NET ASSETS - 100%..................................... $ 113,077
=========
</TABLE>
- ---------------
Based on the cost of investments of $107,300 for federal income tax purposes at
December 31, 1999, 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
N.V. - Company
PLC - Public Limited Corporation
SPA - Support Agreement
See accompanying notes
- --------------------------------------------------------------------------------
26
<PAGE> 29
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1999
- --------------------------------------------------------------------------------
<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 - $3,250,010;
$177,474; $107,300, respectively)...................... $3,250,010 $177,474 $107,300
Repurchase agreements (cost - $389,428, $26,720, $0,
respectively).......................................... 389,428 26,720 -
Dividends and interest receivable........................ 22,583 1,085 548
Receivable for investments sold.......................... - - 5,245
Other assets............................................. - - 2
---------- -------- --------
TOTAL ASSETS......................................... 3,662,021 205,279 113,095
---------- -------- --------
LIABILITIES:
Payable for investments purchased........................ 10,011 - -
Management and investment advisory fees payable (Note
2)..................................................... 309 16 7
Accrued organization costs............................... 11 15 11
Other liabilities........................................ 19 9 -
---------- -------- --------
TOTAL LIABILITIES.................................... 10,350 40 18
---------- -------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $3,651,671 $205,239 $113,077
========== ======== ========
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
27
<PAGE> 30
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
-------------------------- -------------------------- --------------------------
TWO MONTHS TWO MONTHS TWO MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
DECEMBER 31, OCTOBER 31, DECEMBER 31, OCTOBER 31, DECEMBER 31, OCTOBER 31,
1999 1999 1999 1999 1999 1999
------------ ----------- ------------ ----------- ------------ -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income............ $35,218 $135,171 $1,914 $11,929 $758 $4,277
------- -------- ------ ------- ---- ------
TOTAL INVESTMENT
INCOME................ 35,218 135,171 1,914 11,929 758 4,277
------- -------- ------ ------- ---- ------
EXPENSES:
Management and investment
advisory fees (Note 2)... 598 2,587 33 238 20 130
Custodian fees............. 31 116 5 28 4 50
Professional fees.......... 16 86 1 8 1 6
Other expenses............. 32 160 2 16 2 5
------- -------- ------ ------- ---- ------
TOTAL EXPENSES......... 677 2,949 41 290 27 191
------- -------- ------ ------- ---- ------
NET INVESTMENT INCOME......... 34,541 132,222 1,873 11,639 731 4,086
------- -------- ------ ------- ---- ------
REALIZED GAIN ON INVESTMENTS:
Net realized gain on
investments.............. - 23 - 5 - -
------- -------- ------ ------- ---- ------
NET GAIN ON
INVESTMENTS........... - 23 - 5 - -
------- -------- ------ ------- ---- ------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.... $34,541 $132,245 $1,873 $11,644 $731 $4,086
======= ======== ====== ======= ==== ======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
28
<PAGE> 31
[AMERICAN EAGLE LOGO]
- --------------------------------------------------------------------------------
29
<PAGE> 32
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET
-----------------------------------------
TWO MONTHS
ENDED YEAR ENDED OCTOBER 31,
DECEMBER 31, --------------------------
1999 1999 1998
------------ ------------ -----------
(IN THOUSANDS)
<S> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 34,541 $ 132,222 $ 118,252
Net realized gain on investments........................ - 23 41
----------- ------------ -----------
TOTAL INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ 34,541 132,245 118,293
----------- ------------ -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions........................................... 3,797,759 13,198,063 5,610,180
Withdrawals............................................. (3,489,471) (12,487,660) (5,233,609)
----------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS... 308,288 710,403 376,571
----------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS....................... 342,829 842,648 494,864
----------- ------------ -----------
NET ASSETS:
BEGINNING OF PERIOD..................................... 3,308,842 2,466,194 1,971,330
----------- ------------ -----------
END OF PERIOD........................................... $ 3,651,671 $ 3,308,842 $ 2,466,194
=========== ============ ===========
- -------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- -------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets (annualized)............. 0.11% 0.11% 0.16%
Net investment income to average net assets
(annualized).......................................... 5.77% 5.11% 5.56%
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
30
<PAGE> 33
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT MONEY MARKET MUNICIPAL MONEY MARKET
-------------------------------------- --------------------------------------
TWO MONTHS TWO MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31,
DECEMBER 31, ----------------------- DECEMBER 31, -----------------------
1999 1999 1998 1999 1999 1998
------------ ---------- ---------- ------------ ---------- ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
$ 1,873 $ 11,639 $ 9,710 $ 731 $ 4,086 $ 4,395
- 5 - - - 12
-------- --------- --------- -------- --------- ---------
1,873 11,644 9,710 731 4,086 4,407
-------- --------- --------- -------- --------- ---------
121,197 567,268 319,177 39,079 284,110 168,434
(128,994) (619,812) (208,604) (46,877) (295,057) (146,527)
-------- --------- --------- -------- --------- ---------
(7,797) (52,544) 110,573 (7,798) (10,947) 21,907
-------- --------- --------- -------- --------- ---------
(5,924) (40,900) 120,283 (7,067) (6,861) 26,314
-------- --------- --------- -------- --------- ---------
211,163 252,063 131,780 120,144 127,005 100,691
-------- --------- --------- -------- --------- ---------
$205,239 $ 211,163 $ 252,063 $113,077 $ 120,144 $ 127,005
======== ========= ========= ======== ========= =========
- -----------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------
0.12% 0.12% 0.17% 0.14% 0.15% 0.19%
5.67% 4.89% 5.45% 3.69% 3.13% 3.55%
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
31
<PAGE> 34
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 1999
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
32
<PAGE> 35
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
December 31, 1999
- --------------------------------------------------------------------------------
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. The Trust compensates 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. For the two months ended December 31, 1999, and the year ended
October 31, 1999, the cost of air transportation for the trustees was not
material to any of the Portfolios.
- --------------------------------------------------------------------------------
33
<PAGE> 36
AMERICAN EAGLE LOGO
<PAGE> 37
AMERICAN EAGLE LOGO
<PAGE> 38
AMERICAN EAGLE LOGO
<PAGE> 39
To Obtain More Information About the Funds:
by e-mail:
[email protected]
on the internet:
Visit our website at www.aafunds.com
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.
BY TELEPHONE:
Platinum Classsm Mileage Class(R)
Call (800) 967-9009 Call (800) 388-3344
BY MAIL:
Mileage Class(r) Platinum Classsm
American AAdvantage Funds American AAdvantage Funds
P.O. Box 219643 P.O. Box 619003
Kansas City, MO 64121-9643 DFW Airport, TX 75261-9033
TRANSFER AGENT
National Financial Data Services
Kansas City, Missouri
DISTRIBUTOR
SWS Financial Services
Dallas, Texas
CUSTODIAN
State Street Bank and Trust
Boston, Massachusetts
INDEPENDENT AUDITORS
Ernst & Young LLP
Dallas, Texas
FUND SERVICE PROVIDERS:
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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