American Beacon Funds

N-Q 1 d290484dnq.htm AMERICAN BEACON FUNDS - N-Q American Beacon Funds - N-Q

United States

Securities and Exchange Commission

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-04984

AMERICAN BEACON FUNDS

(Exact name of registrant as specified in charter)

4151 Amon Carter Boulevard, MD 2450

Fort Worth, Texas 76155

(Address of principal executive offices) (Zip code)

Gene L. Needles, Jr., PRESIDENT

4151 Amon Carter Boulevard, MD 2450

Fort Worth, Texas 76155

(Name and address of agent for service)

Registrant’s telephone number, including area code: (817) 391-6100

Date of fiscal year end: August 31, 2012

Date of reporting period: November 30, 2011

ITEM 1. SCHEDULE OF INVESTMENTS.

The following is a copy of the registrant’s schedule of investments pursuant to Rule 30b1-5 under the Investment Company Act of 1940 as amended (the “1940 Act”) as of the close of the reporting period as set forth in Sections 210.12-12 – 12-14 of Regulation S-X:

American Beacon Zebra Small Cap Equity Fund

Portfolio of Investments

November 30, 2011 (Unaudited)


	Shares		Fair Value
			(000’s)
COMMON STOCK - 94.36%
CONSUMER DISCRETIONARY - 11.39%
Auto Components - 1.30%
China Automotive Systems, Inc.^A		1,354		$5
Cooper Tire & Rubber Co.		110		1
Dorman Products, Inc.^A		462		18
Federal-Mogul Corp.^A		2,512		37
Standard Motor Products, Inc.		656		13
Superior Industries International, Inc.		880		14
				88
Automobiles - 0.10%
Thor Industries, Inc.		288		7
Distributors - 0.43%
Audiovox Corp.^A		335		2
DXP Enterprises, Inc.^A		297		9
Lincoln Educational Services Corp.		1,382		10
Pool Corp.		249		8
				29
Hotels, Restaurants & Leisure - 1.30%
AFC Enterprises, Inc.		511		8
Caribou Coffee Co. Inc^A		365		5
Churchill Downs, Inc.		285		14
Domino’s Pizza, Inc.		109		4
Interval Leisure Group, Inc.^A		990		14
Life Time Fitness, Inc.^A		218		9
Papa John’s International, Inc.^A		443		16
Speedway Motorsports, Inc.		951		13
Texas Roadhouse, Inc.		368		5
				88
Household Durables - 1.82%
Blyth, Inc.		65		4
Brookfield Residential Properties, Inc.^A		558		4
Helen of Troy Ltd.^A		949		28
Lancaster Colony Corp.		528		37
Matthews International Corp., Class A		624		21
National Presto Industries, Inc.		178		17
Sealy Corp.		838		2
The Toro Co.		160		9
				122
Internet & Catalog Retail - 0.87%
Global Sources Ltd.^A		995		6
Insight Enterprises, Inc.^A		1,410		21
SS&C Technologies Holdings, Inc.^A		864		14
Systemax, Inc.		1,228		18
				59


	Shares		Fair Value
			(000’s)
Leisure Equipment & Products - 0.76%
M&F Worldwide Corp.^A		2,035		$51
Media - 1.21%
Belo Corp., Series A		2,099		12
Cumulus Media, Inc.^A		3,811		12
DreamWorks Animation SKG, Inc.^A		128		2
Entercom Communications Corp., Class A		1,241		7
Harte-Hanks, Inc.		1,697		14
Journal Communications, Inc., Class A		461		2
Knology, Inc.^A		903		13
LIN TV Corp., Class A^A		512		2
Lions Gate Entertainment Corp.^A		996		9
The New York Times Co.		756		6
Valassis Communications, Inc.		161		3
				82
Multiline Retail - 0.44%
99 Cents Only Stores^A		240		5
Pricesmart, Inc.		53		4
Stein Mart, Inc.		1,201		8
Suburban Propane Partners LP^B		276		13
				30
Specialty Retail - 2.32%
American Greetings Corp., Class A		1,267		22
America’s Car-Mart, Inc.^A		263		9
Big 5 Sporting Goods Corp.		731		7
Cabela’s, Inc.^A		357		8
Destination Maternity Corp.		433		6
DSW, Inc., Class A		69		3
Genesco, Inc.A		81		5
Interline Brands, Inc.^A		694		11
JOS A Bank Clothiers, Inc.^A		95		5
Monro Muffler Brake, Inc.		104		4
PC Connection, Inc.		1,021		10
Penske Automotive Group, Inc.		476		10
Pier 1 Imports, Inc.		396		5
Rent-A-Center, Inc.		321		12
Shoe Carnival, Inc.^A		106		3
Susser Holdings Corp.^A		511		12
The Buckle, Inc.		84		3
The Cato Corp., Class A		683		17
The Finish Line Inc, Class A		179		4
				156
Textiles & Apparel - 0.84%
Carter’s, Inc.^A		102		4
Columbia Sportswear Co.		116		6
Delta Apparel, Inc.		208		4
Kid Brands, Inc.		2,517		7
Steven Madden Ltd.		244		9
Unifi, Inc.		640		5
Unifirst Corp.		320		19
Wolverine World Wide, Inc.		87		3
				57
Total Consumer Discretionary				769


	Shares		Fair Value
			(000’s)
CONSUMER STAPLES - 4.49%
Beverages - 0.36%
Coca-Cola Bottling Co. Consolidated		138		$8
National Beverage Corp.		995		16
				24
Food & Drug Retailing - 0.89%
Arden Group, Inc., Class A		73		7
Ingles Markets, Inc., Class A		368		6
Nash Finch Co.		416		12
Spartan Stores, Inc.		553		10
Weis Markets, Inc.		649		25
				60
Food Products - 1.82%
Cal-Maine Foods, Inc.		253		9
Diamond Foods, Inc.		44		1
Fresh Del Monte Produce, Inc.		1,507		38
J&J Snack Foods Corp.		340		18
Snyders-Lance, Inc.		1,042		22
The Hain Celestial Group, Inc.^A		225		8
Tootsie Roll Industries, Inc.		424		10
USANA Health Sciences, Inc.^A		496		17
				123
Household Products - 0.10%
Prestige Brands Holdings, Inc.^A		665		7
Personal Products - 0.64%
Revlon, Inc., Class A^A		1,688		26
Steiner Leisure Ltd.^A		362		17
				43
Tobacco - 0.68%
Alliance One International, Inc.		1,360		4
Universal Corp.		732		35
Vector Group Ltd.		409		7
				46
Total Consumer Staples				303
ENERGY - 3.58%
Energy Equipment & Services - 0.36%
Atlas Energy LP^B		265		6
Bristow Group, Inc.		188		9
Teekay Offshore Partners LP^B		322		9
				24
Oil & Gas - 3.22%
Crestwood Midstream Partners LP^B		558		17
Delek US Holdings, Inc.		695		8
Endeavour International Corp.^A		2,214		15
Ferrellgas Partners LP^B		133		3
Genesis Energy LP^B		113		3
Gran Tierra Energy, Inc.^A		1,347		9
Holly Energy Partners LP^B		124		7
Hugoton Royalty Trust^C		450		10
North European Oil Royalty Trust^C		248		8
NuStar GP Holdings LLC^D		723		20
Permian Basin Royalty Trust^C		853		17
Pioneer Southwest Energy Partners LP^B		641		19
Sabine Royalty Trust^C		313		21
San Juan Basin Royalty Trust^C		857		20
Stone Energy Corp.^A		253		7
Transmontaigne Partners LP^B		120		4
Vaalco Energy, Inc.		1,685		11
W&T Offshore, Inc.		384		8


	Shares		Fair Value
			(000’s)
Oil & Gas (concluded)
Western Gas Partners LP^B		291		$11
				218
Total Energy				242
FINANCIALS - 27.15%
Banks - 10.46%
1st Source Corp.		507		13
Arrow Financial Corp.		252		6
Astoria Financial Corp.		146		1
Bancfirst Corp.		337		13
Banco Latinoamericano de Comercio Exterior S.A.		645		11
Bank of the Ozarks, Inc.		166		5
Berkshire Hills Bancorp, Inc.		158		3
BofI Holding, Inc.^A		330		5
Bryn Mawr Bank Corp.		246		5
Camden National Corp.		231		7
Cardinal Financial Corp.		595		6
Cathay General Bancorp		117		2
Center Financial Corp.^A		493		4
Chemical Financial Corp.		524		11
Citizens & Northern Corp.		366		6
City Holding Co.		293		10
Community Bank System, Inc.		670		18
Community Trust Bancorp, Inc.		371		10
CVB Financial Corp.		1,084		11
Dime Community Bancshares, Inc.		923		11
Eagle Bancorp, Inc.		415		6
Enterprise Financial Services Corp.		488		7
Financial Institutions, Inc.		354		6
First Busey Corp.		1,602		8
First Citizens BancShares, Inc., Class A		157		28
First Community Bancshares, Inc.		513		6
First Financial Bancorp		1,030		16
First Financial Bankshares, Inc.		578		19
First Financial Corp.		289		10
FirstMerit Corp.		445		7
Flushing Financial Corp.		860		11
FNB Corp.		515		5
Fulton Financial Corp.		518		5
German American Bancorp, Inc.		302		5
Great Southern Bancorp, Inc.		331		7
Hancock Holding Co.		64		2
Heartland Financial USA, Inc.		443		7
Hudson Valley Holding Corp.		221		4
Iberiabank Corp.		118		6
Independent Bank Corp.		456		12
International Bancshares Corp.		1,918		35
Investors Bancorp, Inc.^A		1,489		20
Kearny Financial Corp.		332		3
Lakeland Bancorp, Inc.		539		5
Lakeland Financial Corp.		302		7
MainSource Financial Group, Inc.		328		3
Meridian Interstate Bancorp, Inc.^A		385		5
National Bankshares, Inc.		180		5
National Penn Bancshares, Inc.		393		3
NBT Bancorp, Inc.		780		17
Northfield Bancorp, Inc.		449		6
Northwest Bancshares, Inc.		425		5
OceanFirst Financial Corp.		476		6
Ocwen Financial Corp.A		411		5
Orrstown Financial Services, Inc.		76		1
Park National Corp.		313		19
Prosperity Bancshares, Inc.		192		8
Provident Financial Services, Inc.		949		12


	Shares		Fair Value
			(000’s)
Banks (concluded)
Provident New York Bancorp		721		$5
S&T Bancorp, Inc.		500		9
Sandy Spring Bancorp, Inc.		444		8
Simmons First National Corp., Class A		307		8
Southside Bancshares, Inc.		477		10
SY Bancorp, Inc.		315		7
TCF Financial Corp.		413		4
The First of Long Island Corp.		210		5
Tompkins Financial Corp.		255		10
TowneBank		490		6
Trustco Bank Corp. NY		1,538		8
Trustmark Corp.		1,029		23
UMB Financial Corp.		649		24
Umpqua Holdings Corp.		468		6
Union First Market Bankshares Corp.		600		8
United Bankshares, Inc.		760		20
Univest Corp. of Pennsylvania		329		5
Virginia Commerce Bancorp, Inc.^A		500		3
Washington Federal, Inc.		450		6
Washington Trust Bancorp, Inc.		354		8
Webster Financial Corp.		357		7
WesBanco, Inc.		577		11
Westamerica Bancorporation		117		5
				706
Diversified Financials - 4.24%
Advance America Cash Advance Centers, Inc.		1,772		15
Advent Software, Inc.^A		270		7
Capital Southwest Corp.		120		10
Cardtronics, Inc.^A		148		4
Cash America International, Inc.		120		6
Cass Information Systems, Inc.		206		8
CBIZ, Inc.^A		725		4
Cohen & Steers, Inc.		286		8
CoreLogic, Inc.		484		6
Credit Acceptance Corp.^A		243		20
Encore Capital Group, Inc.^A		461		10
Epoch Holding Corp.		109		3
ExlService Holdings, Inc.^A		449		12
Ezcorp, Inc., Class A		192		6
Federal Agricultural Mortgage Corp.		386		7
First Cash Financial Services, Inc.^A		126		5
GAMCO Investors, Inc., Class A		116		5
Harris & Harris Group, Inc.^A		935		3
INTL. FCStone, Inc.^A		322		8
Janus Capital Group, Inc.		484		3
Knight Capital Group, Inc., Class A^A		258		3
MarketAxess Holdings, Inc.		93		3
Nelnet, Inc., Class A		1,938		45
NewStar Financial, Inc.^A		512		5
Nicholas Financial, Inc.		263		3
Och-Ziff Capital Management Group LLC^D		2,279		18
Oppenheimer Holdings, Inc., Class A		303		5
Portfolio Recovery Associates, Inc.		69		5
Safeguard Scientifics, Inc.^A		901		15
Stifel Financial Corp.		217		7
Texas Pacific Land Trust^C		64		3
TICC Capital Corp.		1,283		11
Westwood Holdings Group, Inc.		78		3
Wright Express Corp.^A		199		10
				286
Insurance - 11.10%
American Equity Investment Life Holding Co.		1,225		14


	Shares		Fair Value
			(000’s)
Insurance (concluded)
American Safety Insurance Holdings Ltd.		405		$9
AMERISAFE, Inc.^A		288		7
Amtrust Financial Services, Inc.		1,727		46
Citizens, Inc.^A		687		6
CNO Financial Group, Inc.^A		10,581		66
Crawford & Co.		877		6
Delphi Financial Group, Inc., Class ^A		1,856		50
EMC Insurance Group, Inc.		149		3
Employers Holdings, Inc.		767		13
Endurance Specialty Holdings Ltd.		165		6
Enstar Group Ltd.^A		432		44
FBL Financial Group, Inc., Class A		1,270		43
Greenlight Capital Re Ltd.^A		186		4
Harleysville Group, Inc.		563		33
Horace Mann Educators Corp.		1,008		12
Infinity Property & Casualty Corp.		384		22
Kansas City Life Insurance Co.		249		8
Kemper Corp.		1,747		48
Maiden Holdings Ltd.		2,072		18
MBIA, Inc.		296		3
Meadowbrook Insurance Group, Inc.		1,347		14
Montpelier Re Holdings Ltd.		160		3
National Interstate Corp.		421		10
National Western Life Insurance Co., Class A		119		17
OneBeacon Insurance Group Ltd., Class A		697		11
Presidential Life Corp.		943		10
Protective Life Corp.		1,895		42
RLI Corp.		520		37
Safety Insurance Group, Inc.		206		9
Selective Insurance Group, Inc.		1,225		20
StanCorp Financial Group, Inc.		898		32
State Auto Financial Corp.		198		2
Symetra Financial Corp.		3,291		31
The Hanover Insurance Group, Inc.		185		7
The Navigators Group, Inc.^A		204		10
Tower Group, Inc.		1,071		22
United Fire & Casualty Co.		224		4
Universal Insurance Holdings, Inc.		2,303		8
				750
Real Estate - 1.35%
Avis Budget Group, Inc.^A		356		4
FirstService Corp.^A		129		3
KKR Financial Holdings LLC		6,353		54
WP Carey & Co. LLC^D		756		30
				91
Total Financials				1,833
HEALTH CARE - 5.98%
Biotechnology - 0.41%
Maxygen, Inc.		431		2
Myriad Genetics, Inc.^A		289		6
Rigel Pharmaceuticals, Inc.^A		535		4
Sciclone Pharmaceuticals, Inc.^A		1,383		6
Viropharma, Inc.^A		392		10
				28
Health Care Equipment & Supplies - 2.00%
Atrion Corp.		45		11
CONMED Corp.^A		295		8
Haemonetics Corp.^A		133		8
Hillenbrand, Inc.		1,538		34
Integra LifeSciences Holdings Corp.^A		144		5
Invacare Corp.		669		14
Masimo Corp.		204		4


	Shares		Fair Value
			(000’s)
Health Care Equipment & Supplies (concluded)
Mine Safety Appliances Co.		713		$25
Nordion, Inc.		560		5
West Pharmaceutical Services, Inc.		537		21
				135
Health Care Providers & Services - 3.29%
Amsurg Corp.^A		652		17
Assisted Living Concepts, Inc.		307		4
Cantel Medical Corp.		165		4
Centene Corp.^A		259		10
Corvel Corp.^A		220		10
Five Star Quality Care, Inc.^A		2,002		5
Gentiva Health Services, Inc.		1,698		10
Kindred Healthcare, Inc.^A		92		1
Magellan Health Services, Inc.^A		162		8
MAXIMUS, Inc.		180		7
Metropolitan Health Networks, Inc.^A		1,793		13
Molina Healthcare, Inc.^A		80		2
National Healthcare Corp.		468		20
PAREXEL International Corp.^A		104		2
PSS World Medical, Inc.^A		181		4
The Advisory Board Co.^A		55		4
The Ensign Group, Inc.		512		12
Triple-S Management Corp., Class B^A		808		16
Universal American Corp.		5,000		67
VCA Antech, Inc.^A		294		6
				222
Pharmaceuticals - 0.28%
China Biologic Products, Inc.^A		853		7
Depomed, Inc.^A		781		4
Par Pharmaceutical Cos., Inc.		188		6
Pozen, Inc.^A		424		2
				19
Total Health Care				404

INDUSTRIALS - 18.28%
Aerospace & Defense - 1.79%
Cubic Corp.		556		24
Curtiss-Wright Corp.		1,069		35
Hexcel Corp.		173		4
Kaman Corp.		469		15
Moog, Inc., Class A		1,045		43
				121
Air Freight & Couriers - 0.30%
Air Transport Services Group, Inc.^A		1,852		9
HUB Group, Inc., Class A^A		190		6
UTi Worldwide, Inc.		349		5
				20
Airlines - 0.87%
Aircastle Ltd.		1,973		23
Hawaiian Holdings, Inc.^A		5,749		34
Pinnacle Airlines Corp.^A		503		1
US Airways Group, Inc.^A		285		1
				59
Building Products - 0.55%
AAON, Inc.		355		8
Drew Industries, Inc.		413		9
Lennox International, Inc.		181		6
Simpson Manufacturing Co. Inc		252		8
Watsco, Inc.		96		6
				37
Commercial Services & Supplies - 4.63%
ABM Industries, Inc.		275		6


	Shares		Fair Value
			(000’s)
Commercial Services & Supplies (concluded)
Atlas Air Worldwide Holdings, Inc.^A		136		$6
Bridgepoint Education, Inc.^A		1,771		39
Career Education Corp.^A		397		3
Convergys Corp.^A		3,188		42
CSG Systems International, Inc.^A		315		5
Deluxe Corp.		1,755		40
Electro Rent Corp.		554		9
Ennis, Inc.		814		12
FTI Consulting, Inc.^A		141		6
G&K Services, Inc., Class A		329		10
Healthcare Services Group, Inc.		226		4
Herman Miller, Inc.		301		6
Iconix Brand Group, Inc.^A		377		7
Intersections, Inc.		411		4
McGrath Rentcorp		561		16
Multi-Color Corp.		361		9
NAM TAI Electronics, Inc.		709		4
PHH Corp.^A		146		2
Schawk, Inc.		525		7
Standard Parking Corp.^A		373		7
TeleTech Holdings, Inc.^A		1,124		20
Tetra Tech, Inc.^A		322		7
The Brink’s Co.		242		6
The Corporate Executive Board Co.		178		7
The Geo Group, Inc.^A		335		6
The Providence Service Corp.^A		192		2
United Stationers, Inc.		268		9
Universal Technical Institute, Inc.		321		4
VSE Corp.		274		7
				312
Construction & Engineering - 0.37%
EMCOR Group, Inc.		346		9
MasTec, Inc.^A		140		2
Primoris Services Corp.		970		14
				25
Diversified Manufacturing - 0.10%
Barnes Group, Inc.		284		7
Electrical Equipment - 1.57%
A.O. Smith Corp.		68		3
Belden, Inc.		246		8
Brady Corp., Class A		527		16
Encore Wire Corp.		391		10
EnerSys^A		258		6
Franklin Electric Co. Inc		244		11
II-VI, Inc.		323		6
Jinpan International Ltd.		351		3
Kemet Corp.^A		4,074		34
Preformed Line Products Co.		167		9
				106
Industrial Conglomerates - 1.14%
Chemed Corp.		110		6
China Yida Holding Co.^A		502		1
GATX Corp.		241		10
ICF International, Inc.^A		261		7
Park-Ohio Holdings Corp.		451		9
Raven Industries, Inc.		297		18
Standex International Corp.		291		9
Tredegar Corp.		575		13
US Ecology, Inc.		204		4
				77
Machinery - 3.16%
Actuant Corp., Class A		354		8
Alamo Group, Inc.		354		10
Albany International Corp.		533		13


	Shares		Fair Value
			(000’s)
Machinery (concluded)
Ampco-Pittsburgh Corp.		414		$9
Applied Industrial Technologies, Inc.		219		8
Blount International, Inc.^A		1,087		17
Cascade Corp.		287		12
Colfax Corp.A		705		21
ESCO Technologies, Inc.		544		15
John Bean Technologies Corp.		777		13
Kaydon Corp.		109		3
Middleby Corp.		98		9
Miller Industries, Inc.		321		5
Mueller Industries, Inc.		398		15
NACCO Industries, Inc., Class A		306		25
Oshkosh Corp.		310		6
Robbins & Myers, Inc.		80		4
Sun Hydraulics Corp.		363		9
The Gorman-Rupp Co.		384		11
				213
Marine - 1.95%
Alexander & Baldwin, Inc.		73		3
CAI International, Inc.^A		724		11
Diana Shipping, Inc.		3,186		24
Excel Maritime Carriers Ltd.		6,880		13
Navios Maritime Holdings, Inc.		8,849		30
Paragon Shipping, Inc., Class A		986		1
Safe Bulkers, Inc.		4,696		29
Ship Finance International Ltd.		2,051		21
				132
Road & Rail - 1.08%
Amerco, Inc.		728		57
Heartland Express, Inc.		469		6
Marten Transport Ltd.		218		4
Werner Enterprises, Inc.		247		6
				73
Trading Companies & Distributors - 0.71%
Textainer Group Holdings Ltd.		1,776		48
Transportation Infrastructure - 0.06%
Macquarie Infrastructure Co. LLC^D		157		4

Total Industrials				1,234

INFORMATION TECHNOLOGY - 9.88%
Communications Equipment - 1.20%
Bel Fuse, Inc.		151		3
Black Box Corp.		572		16
Mitel Networks Corp.^A		6,643		17
NeuStar, Inc., Class A^A		664		23
Plantronics, Inc.		244		8
Verint Systems, Inc.^A		130		4
Viasat, Inc.^A		217		10
				81
Computers & Peripherals - 0.43%
Cray, Inc.^A		1,400		9
Super Micro Computer, Inc.^A		525		7
Xyratex Ltd.		959		13
				29
Electronic Equipment & Instruments - 3.54%
Benchmark Electronics, Inc.^A		1,474		20
Celestica, Inc.^A		4,763		40
Coherent, Inc.^A		129		7
CTS Corp.		727		6
ePlus, Inc.^A		330		9
Hittite Microwave Corp.^A		162		9


	Shares		Fair Value
			(000’s)
Electronic Equipment & Instruments (concluded)
Littelfuse, Inc.		536		$25
Methode Electronics, Inc.		273		2
MTS Systems Corp.		353		14
Multi-Fineline Electronix, Inc.^A		729		15
Orbotech Ltd.		1,720		18
Park Electrochemical Corp.		412		11
Plexus Corp.^A		66		2
Scansource, Inc.^A		679		24
Teledyne Technologies, Inc.^A		315		18
TTM Technologies, Inc.^A		143		2
Vishay Intertechnology, Inc.^A		489		5
X-Rite, Inc.^A		1,058		5
Zygo Corp.^A		455		7
				239
Internet Software & Services - 0.55%
EasyLink Services International Corp., Series A^A		538		2
j2 Global Communications, Inc.		488		13
K12, Inc.^A		63		2
Netgear, Inc.^A		127		5
United Online, Inc.		1,697		9
ValueClick, Inc.^A		408		6
				37
IT Consulting & Services - 0.70%
CACI International, Inc., Class A^A		157		9
Exponent, Inc.^A		211		10
Lender Processing Services, Inc.		287		5
MoneyGram International, Inc.^A		87		1
Sapient Corp.		473		6
Sykes Enterprises, Inc.^A		691		12
Telvent GIT S.A.		117		4
				47
Semiconductor Equipment & Products - 2.84%
Amkor Technology, Inc.^A		10,689		46
Brooks Automation, Inc.		2,719		26
Cohu, Inc.		757		8
Cymer, Inc.^A		158		7
Diodes, Inc.^A		80		2
Entegris, Inc.^A		237		2
Fairchild Semiconductor International, Inc.^A		434		6
FEI Co.^A		202		8
International Rectifier Corp.^A		362		8
IXYS Corp.		864		10
MKS Instruments, Inc.		1,601		43
Nova Measuring Instruments Ltd.^A		725		5
QLogic Corp.^A		353		5
Rudolph Technologies, Inc.^A		1,042		8
Semtech Corp.^A		337		8
				192
Software - 0.62%
Blackbaud, Inc.		229		7
Cognex Corp.		217		8
JDA Software Group, Inc.^A		219		7
Mentor Graphics Corp.		377		5
Net 1 UEPS Technologies, Inc.^A		1,359		8
Progress Software Corp.^A		346		7
				42
Total Information Technology				667

MATERIALS - 6.31%
Chemicals - 2.63%
American Vanguard Corp.		293		4
Balchem Corp.		98		4
China XD Plastics Co. Ltd^A		1,700		8


	Shares		Fair Value
			(000’s)
Chemicals (concluded)
HB Fuller Co.		167		$4
Innophos Holdings, Inc.		518		26
Innospec, Inc.		1,044		30
Minerals Technologies, Inc.		33		2
NL Industries, Inc.		1,016		14
Olin Corp.		412		8
PolyOne Corp.		3,546		37
Sensient Technologies Corp.		88		3
Stepan Co.		288		23
Yongye International, Inc.^A		1,635		8
Zep, Inc.		408		6
				177
Construction Materials - 0.13%
United States Lime & Minerals, Inc.		164		9
Containers & Packaging - 1.14%
Graphic Packaging Holding Co.^A		8,268		37
Greif, Inc., Class A		605		28
KapStone Paper and Packaging Corp.^A		707		12
				77
Metals & Mining - 1.51%
AMCOL International Corp.		533		18
China Gerui Advanced Materials Group Ltd.^A		2,790		11
China Natural Resources, Inc.^A		831		8
China Valves Technology, Inc.^A		2,331		6
Harry Winston Diamond Corp.		435		5
Impax Laboratories, Inc.^A		339		7
MFC Industrial Ltd.		2,128		14
Noranda Aluminum Holding Corp.		2,248		18
Schnitzer Steel Industries, Inc.		42		2
Vista Gold Corp.^A		1,794		6
Worthington Industries, Inc.		378		7
				102
Paper & Forest Products - 0.90%
Buckeye Technologies, Inc.		134		4
Mercer International, Inc.		5,727		34
Neenah Paper, Inc.		242		5
PH Glatfelter Co.		977		14
Schweitzer-Mauduit International, Inc.		55		4
				61
Total Materials				426

TELECOMMUNICATION SERVICES - 3.08%
Diversified Telecommunication - 0.07%
Lumos Networks Corp.		360		5
Diversified Telecommunication Services - 2.21%
AboveNet, Inc.		133		8
Cincinnati Bell, Inc.		1,768		5
EchoStar Corp., Class A^A		650		14
Loral Space & Communications, Inc.^A		1,916		120
Shenandoah Telecommunications Co.		143		2
				149
Wireless Telecommunication Services - 0.80%
NTELOS Holdings Corp.		383		8
Pendrell Corp.^A		10,256		28
Telephone & Data Systems, Inc.		258		7
USA Mobility, Inc.		807		11
				54
Total Telecommunication Services				208


	Shares		Fair Value
			(000’s)
UTILITIES - 4.22%
Electric Utilities - 2.09%
Allete, Inc.		734		$29
Black Hills Corp.		205		7
CH Energy Group, Inc.		261		15
El Paso Electric Co.		217		7
IDACORP, Inc.		87		4
MGE Energy, Inc.		500		22
NorthWestern Corp.		187		7
PNM Resources, Inc.		447		9
Portland General Electric Co.		133		3
UIL Holdings Corp.		261		9
Unisource Energy Corp.		801		29
				141
Gas Utilities - 1.63%
Chesapeake Utilities Corp.		197		8
New Jersey Resources Corp.		72		3
Northwest Natural Gas Co.		139		7
South Jersey Industries, Inc.		501		28
Southwest Gas Corp.		894		37
Star Gas Partners LP^B		846		4
The Laclede Group, Inc.		485		19
WGL Holdings, Inc.		90		4
				110
Multi-Utilities - 0.44%
Avista Corp.		1,185		30

Water Utilities - 0.06%
SJW Corp.		165		4

Total Utilities				285
Total Common Stock (Cost $6,431)				6,371
SHORT-TERM INVESTMENTS - 3.63% (Cost $245)
JPMorgan U.S. Government Money Market Fund		245,067		245

TOTAL INVESTMENTS - 97.99% (Cost $6,676)				6,616
OTHER ASSETS, NET OF LIABILITIES - 2.01%				136
TOTAL NET ASSETS - 100.00%				$6,752

Percentages are stated as a percent of net assets.

^A	Non-income producing security.

^B	Limited Partnership.

^C	Royalty Trust.

^D	Limited Liability Company.


Futures Contracts Open at November 30, 2011 (000’s)
	Number of Contracts	Expiration Date		Contract Value	Unrealized Appreciation
Russell 2000 Mini Index Future	3		December, 2011	221	$ 7
				221	$ 7

American Beacon Zebra Large Cap Equity Fund

Portfolio of Investments

November 30, 2011 (Unaudited)


	Shares		Fair Value
			(000’s)
COMMON STOCK - 93.07%
CONSUMER DISCRETIONARY - 9.86%
Auto Components - 1.37%
Federal-Mogul Corp.^A		401		$6
Johnson Controls, Inc.		1,042		33
Lear Corp.		735		31
Magna International, Inc.		2,321		82
Sauer-Danfoss, Inc.		679		26
TRW Automotive Holdings Corp.^A		1,323		43
				221
Distributors - 0.25%
Genuine Parts Co.		703		41
Hotels, Restaurants & Leisure - 1.23%
Chipotle Mexican Grill, Inc.^A		28		9
Icahn Enterprises LP^B		1,106		42
Las Vegas Sands Corp.^A		463		22
Marriott International, Inc., Class A		228		7
Marriott Vacations Worldwide Corp.^A		23		0
Starbucks Corp.		1,146		49
Starwood Hotels & Resorts Worldwide, Inc.		126		6
Wynn Resorts Ltd.		189		23
Yum! Brands, Inc.		710		40
				198
Household Durables - 0.46%
Garmin Ltd.		1,094		40
Snap-On, Inc.		326		17
Stanley Black & Decker, Inc.		256		17
				74
Internet & Catalog Retail - 0.87%
Liberty Capital, Series A ^A		1,367		105
priceline.com, Inc.^A		75		36
				141
Media - 3.31%
CBS Corp., Class B^C		958		25
CTC Media, Inc.		623		6
Gannett Co. Inc.		1,526		17
John Wiley & Sons, Inc., Class A		162		8
Liberty Interactive Corp.^A		3,183		52
Netflix, Inc.^A		81		5
Omnicom Group, Inc.		429		19
Shaw Communications, Inc., Class B^C		3,451		70
The McGraw-Hill Cos., Inc.		1,525		65
The Washington Post Co., Class B		16		6
Thomson Reuters Corp.		2,585		69
Time Warner Cable, Inc.		1,019		62
Viacom, Inc., Class B		2,944		131
				535
Multiline Retail - 0.68%
Dollar General Corp.^A		1,607		66
Kohl’s Corp.		431		23
Macy’s, Inc.		654		21
				110
Specialty Retail - 1.18%
AutoZone, Inc.^A		64		21
Bed Bath & Beyond, Inc.^A		384		23
Best Buy Co. Inc.		247		7
Lowe’s Cos., Inc.		1,957		47


	Shares		Fair Value
			(000’s)
Specialty Retail (concluded)
Ltd Brands, Inc.		471		$20
Signet Jewelers Ltd.		454		20
Staples, Inc.		1,088		16
TJX Cos., Inc.		587		36
				190
Textiles & Apparel - 0.51%
Coach, Inc.		450		29
Gildan Activewear, Inc.		684		16
NIKE, Inc.		244		23
VF Corp.		99		14
				82
Total Consumer Discretionary				1,592

CONSUMER STAPLES - 7.50%
Beverages - 0.75%
Brown-Forman Corp., Class B		434		35
Constellation Brands, Inc.^A		2,097		41
Molson Coors Brewing Co., Class B		1,125		45
				121
Food & Drug Retailing - 0.67%
Mead Johnson Nutrition Co.		312		23
Sysco Corp.		1,879		53
The Kroger Co.		928		22
Whole Foods Market, Inc.		159		11
				109
Food Products - 3.87%
Archer-Daniels-Midland Co.		4,362		132
Bunge Ltd.		1,205		75
Campbell Soup Co.		921		30
ConAgra Foods, Inc.		370		9
Corn Products International, Inc.		393		20
General Mills, Inc.		2,174		87
Green Mountain Coffee Roasters, Inc.^A		232		12
HJ Heinz Co.		494		26
Hormel Foods Corp.		1,575		47
Kellogg Co.		1,131		56
McCormick & Co, Inc.^C		587		29
Sara Lee Corp.		527		10
Seaboard Corp.		16		32
Smithfield Foods, Inc.^A		697		17
The JM Smucker Co.		552		42
				624
Household Products - 0.89%
Church & Dwight Co. Inc.		294		13
Kimberly-Clark Corp.		1,827		131
				144
Personal Products - 0.28%
Avon Products, Inc.		273		5
Sally Beauty Holdings, Inc.^A		990		20
The Estee Lauder Cos., Inc., Class A		182		21
				46
Tobacco - 1.04%
Lorillard, Inc.		216		24
Reynolds American, Inc.		3,412		143
				167
Total Consumer Staples				1,211

ENERGY - 7.69%
Energy Equipment & Services - 1.08%
Baker Hughes, Inc.		391		21
Boardwalk Pipeline Partners LP^B		486		13


	Shares		Fair Value
			(000’s)
Energy Equipment & Services (concluded)
Cameron International Corp.^A		377		$20
FMC Technologies, Inc.^A		213		11
National Oilwell Varco, Inc.		649		47
Precision Drilling Corp.^A		1,391		16
SEACOR Holdings, Inc.		91		8
Transocean Ltd.		491		21
Weatherford International Ltd.^A		1,146		17
				174
Metals & Mining - 0.03%
Cameco Corp.		251		5
Oil & Gas - 6.58%
Alliance Holdings GP LP^B		459		23
Chesapeake Energy Corp.		1,013		26
Consol Energy, Inc.		346		14
Continental Resources, Inc.^A		115		8
Devon Energy Corp.		372		24
El Paso Corp.		1,178		29
El Paso Pipeline Partners LP^B		413		14
Enbridge, Inc.		1,846		65
Encana Corp.		1,128		23
Energy Transfer Equity LP^B		712		25
Enerplus Corp.		446		12
EOG Resources, Inc.		412		43
Hess Corp.		3,049		184
Magellan Midstream Partners LP^B		604		39
Marathon Oil Corp.		638		18
Murphy Oil Corp.		298		17
Nexen, Inc.		810		13
Noble Energy, Inc.		272		27
NuStar Energy LP^B		358		20
ONEOK Partners LP^B		315		16
Peabody Energy Corp.		414		16
Plains All American Pipeline LP^B		710		46
Range Resources Corp.		143		10
Southwestern Energy Co.		533		20
Spectra Energy Corp.		3,464		102
Spectra Energy Partners LP^B		246		7
Sunoco Logistics Partners LP^B		253		26
Talisman Energy, Inc.		1,576		21
The Williams Cos., Inc.		904		29
TransCanada Corp.		1,892		79
Valero Energy Corp.		879		20
Williams Partners LP^B		803		47
				1,063
Total Energy				1,242

FINANCIALS - 22.22%
Banks - 2.61%
BB&T Corp.		1,067		25
BOK Financial Corp.		525		29
Commerce Bancshares, Inc.		513		19
Fifth Third Bancorp		588		7
Hudson City Bancorp, Inc.		2,369		13
New York Community Bancorp, Inc.		911		11
Northern Trust Corp.		154		6
PNC Financial Services Group, Inc.		3,870		210
SunTrust Banks, Inc.		822		15
The Bank of New York Mellon Corp.		4,436		86
				421
Diversified Financials - 5.67%
American Capital Ltd.		12,277		86
Ameriprise Financial, Inc.		1,447		66
Apollo Investment Corp.		1,052		8


	Shares		Fair Value
			(000’s)
Diversified Financials (concluded)
Ares Capital Corp.		2,443		$38
BlackRock, Inc.		205		35
Capital One Financial Corp.		4,738		211
CME Group, Inc.		104		26
Discover Financial Services		3,861		92
Franklin Resources, Inc.		1,147		115
Jefferies Group, Inc.		330		4
Lazard Ltd., Class A^C		218		6
Natural Resource Partners LP^B		272		7
Raymond James Financial, Inc.		725		22
SEI Investments Co.		944		16
SLM Corp.		1,705		22
State Street Corp.		2,787		110
T. Rowe Price Group, Inc.		397		23
TD Ameritrade Holding Corp.		367		6
The Charles Schwab Corp.		1,904		23
				916
Insurance - 12.11%
ACE Ltd.		2,826		197
Aflac, Inc.		1,545		67
Alleghany Corp.		58		17
Allied World Assurance Co. Holdings, AG		587		35
American Financial Group, Inc.		1,075		39
American National Insurance Co.		220		16
Aon Corp.		490		23
Arch Capital Group Ltd.^A		1,066		40
Assurant, Inc.		899		35
Cincinnati Financial Corp.		367		11
CNA Financial Corp.		3,370		88
Erie Indemnity Co., Class A		259		19
Fidelity National Financial, Inc.		1,458		23
Hartford Financial Services Group, Inc.		4,504		80
HCC Insurance Holdings, Inc.		765		21
Leucadia National Corp.		2,108		49
Lincoln National Corp.		1,566		32
Loews Corp.		2,445		94
Manulife Financial Corp.		11,697		126
Markel Corp.^A		56		22
Marsh & McLennan Cos., Inc.		2,038		62
Principal Financial Group, Inc.		1,010		24
ProAssurance Corp.		286		23
Protective Life Corp.		312		7
Prudential Financial, Inc.		3,088		156
Reinsurance Group of America, Inc.		816		42
Sun Life Financial, Inc.		6,038		109
The Allstate Corp.		777		21
The Chubb Corp.		2,235		151
The Progressive Corp.		3,740		71
The Travelers Cos., Inc.		1,802		101
Torchmark Corp.		714		30
Unum Group		2,299		52
Validus Holdings Ltd.		272		8
Willis Group Holdings plc		916		32
WR Berkley Corp.		977		33
				1,956
Real Estate - 1.83%
Brookfield Asset Management, Inc., Class A		6,310		175
Brookfield Office Properties, Inc.^D		8,208		121
				296
Total Financials				3,589


	Shares		Fair Value
			(000’s)
HEALTH CARE - 8.36%
Biotechnology - 0.80%
Agilent Technologies, Inc.^A		531		$20
Alexion Pharmaceuticals, Inc.^A		165		11
Biogen Idec, Inc.^A		371		43
Celgene Corp.^A		706		44
Mettler-Toledo International, Inc.^A		48		8
Vertex Pharmaceuticals, Inc.^A		131		4
				130
Health Care Equipment & Supplies - 1.89%
Becton Dickinson and Co.		1,068		79
Bio-Rad Laboratories, Inc.^A		72		7
Boston Scientific Corp.^A		1,368		8
Covidien plc		760		35
Intuitive Surgical, Inc.^A		61		26
St. Jude Medical, Inc.		503		19
Stryker Corp.		1,827		89
Thermo Fisher Scientific, Inc.		586		28
Zimmer Holdings, Inc.^A		293		15
				306
Health Care Providers & Services - 4.70%
Aetna, Inc.		2,786		117
AmerisourceBergen Corp.		241		9
Cardinal Health, Inc.		531		23
Cerner Corp.^A		150		9
Cigna Corp.		2,052		91
Coventry Health Care, Inc.^A		1,425		46
Express Scripts, Inc.^A		775		35
HealthSouth Corp.^A		3,784		65
Healthspring, Inc.^A		182		10
Henry Schein, Inc.^A		405		26
Humana, Inc.		1,091		97
McKesson Corp.		383		31
WellPoint, Inc.		2,832		199
				758
Pharmaceuticals - 0.97%
Allergan Inc.		468		39
Forest Laboratories, Inc.^A		2,177		65
Medco Health Solutions, Inc.^A		542		31
Valeant Pharmaceuticals International, Inc.		460		21
				156
Total Health Care				1,350

INDUSTRIALS - 10.40%
Aerospace & Defense - 5.21%
Alliant Techsystems, Inc.		320		19
General Dynamics Corp.		3,329		220
Goodrich Corp.		96		12
L-3 Communications Holdings, Inc.		894		59
Lockheed Martin Corp.		2,653		207
Northrop Grumman Corp.		2,606		149
Precision Castparts Corp.		220		36
Raytheon Co.		2,997		137
				839
Air Freight & Couriers - 0.35%
CH Robinson Worldwide, Inc.		251		17
FedEx Corp.		483		40
				57
Airlines - 0.28%
Alaska Air Group, Inc.		403		28
Copa Holdings S.A., Class A		280		18
				46


	Shares		Fair Value
			(000’s)
Commercial Services & Supplies - 0.58%
Equifax, Inc.		206		$8
Genpact Ltd.^A		559		9
Republic Services, Inc.		580		16
RR Donnelley & Sons Co.		469		7
The Dun & Bradstreet Corp.		251		18
Waste Management, Inc.		1,184		36
				94
Construction & Engineering - 0.25%
AECOM Technology Corp.^A		798		16
Fluor Corp.		267		15
URS Corp.		268		10
				41
Electrical Equipment - 0.32%
AMETEK, Inc.		686		29
Hubbell, Inc., Class B		337		22
				51
Electronic Equipment & Instruments - 0.04%
Rockwell Automation, Inc.		92		7
Industrial Conglomerates - 0.21%
Tyco International Ltd.		713		34
Machinery - 2.01%
CNH Global N.V.		2,241		90
Cummins, Inc.		300		29
Donaldson Co, Inc.		360		25
Dover Corp.		286		16
Eaton Corp.		523		23
IDEX Corp.		254		9
Illinois Tool Works, Inc.		757		34
Ingersoll-Rand plc		506		17
Lincoln Electric Holdings, Inc.		278		11
Nordson Corp.		143		7
Oshkosh Corp.		509		10
PACCAR, Inc.		561		23
Parker Hannifin Corp.		243		20
Pentair, Inc.		272		10
				324
Road & Rail - 1.08%
Canadian Pacific Railway Ltd.		912		55
CSX Corp.		1,684		37
Norfolk Southern Corp.		1,109		83
				175
Trading Companies & Distributors - 0.07%
WW Grainger, Inc.		63		12
Total Industrials				1,680

INFORMATION TECHNOLOGY - 8.11%
Communications Equipment - 1.63%
Corning, Inc.		12,915		172
Harris Corp.		981		35
Juniper Networks, Inc.^A		818		19
Motorola Solutions, Inc.		523		24
Research In Motion Ltd.^A		803		14
				264
Computers & Peripherals - 1.42%
Dell, Inc.^A		12,885		203
NetApp, Inc.^A		564		21
NVIDIA Corp.^A		383		6
				230


	Shares		Fair Value
			(000’s)
Electronic Equipment & Instruments - 1.76%
Arrow Electronics, Inc.		1,225		$45
Avnet, Inc.		1,734		51
AVX Corp.		2,099		27
Flextronics International Ltd.^A		6,470		39
Ingram Micro, Inc., Class A^A		1,004		18
TE Connectivity Ltd.		3,298		104
				284
Internet Software & Services - 0.19%
Yahoo! Inc.^A		1,958		31
IT Consulting & Services - 1.29%
Automatic Data Processing, Inc.		756		39
CGI Group, Inc., Class A^A		2,137		39
Cognizant Technology Solutions Corp.^A		465		31
Computer Sciences Corp.		1,315		32
Fidelity National Information Services, Inc.		768		19
SAIC, Inc.^A		2,573		31
The Western Union Co.		965		17
				208
Office Electronics - 0.11%
Xerox Corp.		2,149		18
Semiconductor Equipment & Products - 0.43%
Altera Corp.		496		19
Analog Devices, Inc.		191		7
Applied Materials, Inc.		2,017		22
Broadcom Corp., Class A		737		21
				69
Software - 1.28 %
Activision Blizzard, Inc.		1,749		22
Adobe Systems, Inc.		763		21
CA, Inc.		771		16
Check Point Software Technologies Ltd.^A		319		18
Citrix Systems, Inc.^A		288		21
DST Systems, Inc.		489		23
Intuit, Inc.		466		24
Salesforce.com, Inc.^A		204		24
Symantec Corp.^A		1,144		19
VMware, Inc., Class A^A		184		18
				206
Total Information Technology				1,310

MATERIALS - 4.60%
Chemicals - 2.26%
Agrium, Inc.		241		17
Air Products & Chemicals, Inc.		991		84
Cabot Corp.		496		16
CF Industries Holdings, Inc.		64		9
Ecolab, Inc.		357		20
Kronos Worldwide, Inc.		814		16
NewMarket Corp.		56		11
PPG Industries, Inc.		243		21
Praxair, Inc.		498		51
Sigma-Aldrich Corp.		488		32
Terra Nitrogen Co. LP^B		138		22
The Mosaic Co.		423		22
Valhi, Inc.		208		13
Westlake Chemical Corp.		560		24
WR Grace & Co.^A		163		7
				365
Containers & Packaging - 0.61%
Aptargroup, Inc.		383		19


	Shares		Fair Value
			(000’s)
Containers & Packaging - 0.61% (concluded)
Ball Corp.		945		$33
Jarden Corp.		604		19
Sealed Air Corp.		369		7
Sonoco Products Co.		656		21
				99
Metals & Mining - 1.48%
Agnico-Eagle Mines Ltd.		151		7
Alcoa, Inc.		1,627		16
Cliffs Natural Resources, Inc.		216		15
Kinross Gold Corp.		3,323		46
Newmont Mining Corp.		314		22
Nucor Corp.		482		19
Silver Standard Resources, Inc.^A		805		12
Southern Copper Corp.		3,301		102
				239
Paper & Forest Products - 0.25%
Brookfield Infrastructure Partners LP^B		415		11
Domtar Corp.		131		10
International Paper Co.		670		19
				40
Total Materials				743

TELECOMMUNICATION SERVICES - 2.19%
Diversified Telecommunication Services - 1.78%
BCE, Inc.		2,936		115
CenturyLink, Inc.		933		35
Rogers Communications, Inc., Class B		3,683		136
				286
Wireless Telecommunication Services - 0.41%
American Tower Corp., Class A		605		36
Crown Castle International Corp.^A		442		19
Sprint Nextel Corp.		4,584		12
				67
Total Telecommunication Services				353

UTILITIES - 12.14%
Electric Utilities - 8.91%
Alliant Energy Corp.		692		29
Ameren Corp.		1,444		49
American Electric Power Co, Inc.		2,794		111
American Water Works Co, Inc.		299		9
Consolidated Edison, Inc.		1,491		89
Dominion Resources, Inc.		3,192		165
DTE Energy Co.		839		44
Edison International		1,941		76
Entergy Corp.		1,210		85
Exelon Corp.		4,364		193
FirstEnergy Corp.		1,327		59
NextEra Energy, Inc.		2,868		159
NSTAR		322		15
OGE Energy Corp.		535		28
PG&E Corp.		2,147		83
PPL Corp.		2,396		72
Progress Energy, Inc.		788		43
Public Service Enterprise Group, Inc.		3,957		130
				1,439
Gas Utilities - 1.24%
AGL Resources, Inc.		488		20
Atmos Energy Corp.		513		18
Energen Corp.		396		20
Kinder Morgan Energy Partners LP^B		141		11
MDU Resources Group, Inc.		1,017		22
Sempra Energy		1,267		67


	Shares		Fair Value
			(000’s)
Southern Union Co.		210		$9
TC Pipelines LP^B		228		11
UGI Corp.		747		22
				200
Multi-Utilities - 1.99%
Duke Energy Corp.		8,599		180
SCANA Corp.		725		32
Wisconsin Energy Corp.		1,215		40
Xcel Energy, Inc.		2,673		70
				322
Total Utilities				1,961
Total Common Stock (Cost $15,503)				15,031

RIGHTS/WARRANTS - 0% (Cost $1)
American International Group, Inc., Exp. 1/19/21		51		0

SHORT-TERM INVESTMENTS - 5.42% (Cost $875)
JPMorgan U.S. Government Money Market Fund		874,849		875
TOTAL INVESTMENTS - 98.49% (Cost $16,379)				15,906
OTHER ASSETS, NET OF LIABILITIES - 1.51%				244
TOTAL NET ASSETS - 100.00%				$16,150

Percentages are stated as a percent of net assets.

^A	Non-income producing security.

^B	Limited Partnership.

^C	Non-voting participating shares.

REIT.


Futures Contracts Open at November 30, 2011 (000’s)
	Number of Contracts	Expiration Date	Contract Value	Unrealized Appreciation
S&P 500 Mini E Index Future	14	December, 2011	$ 872	$ 2

			$ 872	$ 2

American Beacon Evercore Small Cap Equity Fund

Porfolio of Investments

November 30, 2011 (Unaudited)


	Shares		Fair Value
			(000’s)
SHORT-TERM INVESTMENTS - 98.30% (Cost $693)
JPMorgan U.S. Government Money Market Fund		693,382	$	693
TOTAL INVESTMENTS - 98.30% (Cost $693)				693
OTHER ASSETS, NET OF LIABILITIES - 1.70%				7
TOTAL NET ASSETS - 100.00%				$700

Percentages are stated as a percent of net assets.

American Beacon SiM High Yield Opportunities Fund

Portfolio of Investments

November 30, 2011 (Unaudited)


	Shares		Fair Value
			(000’s)
COMMON STOCKS - 3.34%
FINANCIALS - 1.85%
Real Estate - 1.85%
Annaly Capital Management, Inc.^A		19,840		$319
Omega Healthcare Investors, Inc.^A		18,400		330
Total Financials				649
TELECOMMUNICATION SERVICES - 1.49%
Diversified Telecommunication Services - 1.49%
Telekom Austria AG		28,200		327
Telekomunikacja Polska S.A.		35,000		193
Total Telecommunication Services				520
Total Common Stocks (Cost $1,207)				1,169

PREFERRED STOCKS - 2.52% (Cost $1,095)
INDUSTRIALS - 2.52%
Airlines - 2.52%
Continental Airlines Finance Trust II		32,250		883

	Par Amount
	(000’s)
CONVERTIBLE OBLIGATIONS - 5.01%
Live Nation Entertainment, Inc., 2.875%, Due 7/15/2027		$1,000		893
TeleCommunication Systems, Inc., 4.50%, Due 11/1/2014^B		1,025		860
Total Convertible Obligations (Cost $1,865)				1,753

CORPORATE OBLIGATIONS - 78.29%
Commercial Paper - 8.81%
Cirsa Funding Luxembourg S.A., 8.75%, Due 5/15/2018^B		EUR 850		874
Moto Finance plc, 10.25%, Due 3/15/2017^B		EUR 500		639
Obrascon Huarte Lain S.A., 8.75%, Due 3/15/2018		EUR 600		774
Ono Finance II plc, 11.125%, Due 7/15/2019^B		EUR 750		796
				3,083
Energy - 5.36%
Forbes Energy Services Ltd., 9.00%, Due 6/15/2019		1,000		930
Saratoga Resources, Inc., 12.50%, Due 7/1/2016		950		945
				1,875
Finance - 6.56%
CIT Group, Inc., 7.00%, Due 5/1/2016		400		396
Multiplan, Inc., 9.875%, Due 9/1/2018^B		850		848
Nuveen Investments, Inc., 10.50%, Due 11/15/2015		1,100		1,050
				2,294
Industrials - 52.33%
Alliance HealthCare Services, Inc., 8.00%, Due 12/1/2016		800		544
American Seafoods Group LLC, 10.75%, Due 5/15/2016^B ^C		450		441
ARAMARK Holdings Corp., 8.625%, Due 5/1/2016^B		1,000		1,015
Asbury Automotive Group, Inc., 7.625%, Due 3/15/2017		1,100		1,066
Avis Budget Car Rental LLC, 9.625%, Due 3/15/2018^C		495		499
Avis Budget Car Rental LLC / 8.25%, Due 1/15/2019^C		500		481
CoreLogic Inc., 7.25%, Due 6/1/2021^B		850		816
Entravision Communications Corp., 8.75%, Due 8/1/2017		900		880
Exopack Holding Corp., 10.00%, Due 6/1/2018^B		900		891
Goodman Networks, Inc., 12.125%, Due 7/1/2018^B		850		812
Harmony Foods Corp., 10.00%, Due 5/1/2016^B		700		672
HCA, Inc., 7.50%, Due 2/15/2022		900		887
Healthsouth Corp., 7.75%, Due 9/15/2022		900		873
IMS Health, Inc., 12.50%, Due 3/1/2018^B		775		864
Interactive Network Inc., 14.00%, Due 9/30/2013^B		786		772
Kindred Healthcare, Inc., 8.25%, Due 6/1/2019		1,000		830
MDC Partners, Inc., 11.00%, Due 11/1/2016		550		586
Merge Healthcare, Inc., 11.75%, Due 5/1/2015		650		673


	Par Amount		Fair Value
	(000’s)		(000’s)
MGM Resorts International, 7.50%, Due 6/1/2016		$1,000		$954
Omnicare, Inc., 7.75%, Due 6/1/2020		400		422
Quality Distribution LLC, 9.875%, Due 11/1/2018^C		900		902
Seagate HDD Cayman, 7.75%, Due 12/15/2018^B		600		618
Tenet Healthcare Corp., 8.00%, Due 8/1/2020		900		873
Univision Communications, Inc.,
7.875%, Due 11/1/2020^B		300		284
8.50%, Due 5/15/2021^B		800		660
				18,315
Other Yankee - 2.73%
Satmex Escrow SA de CV, 9.50%, Due 5/15/2017		945		954

Utilities - 2.50%
Energy Future Intermediate Holding Co. LLC, 10.00%, Due 12/1/2020 ^C		850		876
Total Corporate Obligations (Cost $28,641)				27,397

SOVEREIGN OBLIGATIONS - 3.68%
Soverign/Government - 3.68%
Mexican Bonos, 7.25%, Due 12/15/2016		MXP 6,000		478
National Bank of Greece S.A., 3.875%, Due 10/7/2016		EUR 1,100		809
Total Sovereign Obligations (Cost $1,454)				1,287

U.S. AGENCY OBLIGATIONS - 2.85% (Cost $1,007)
Federal National Mortgage Association, 1.375%, Due 11/15/2016		1,000		999

	Shares
SHORT-TERM INVESTMENTS - 1.92% (Cost $672)
JPMorgan U.S. Government Money Market Fund		672,324		672
TOTAL INVESTMENTS - 97.62% (Cost $35,942)				34,160
LIABILITIES, NET OF OTHER ASSETS – 2.38%				834
TOTAL NET ASSETS - 100.00%				$34,994

Percentages are stated as a percent of net assets.

REIT.

Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $11,862 or 33.90% of net assets. The Fund has no right to demand registration of these securities.

C	Limited Liability Company.


Futures Contracts Open at November 30, 2011 (000's)
	Number of Contracts		Expiration Date		Contract Value		Unrealized Appreciation/ (Depreciation)
GBP Currency Futures		7		December, 2011	$	687	$	(3)
EUR Currency Futures		23		December, 2011		3,863		98

					$	4,550	$	95


Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection ⁽¹⁾ (000’s)
Index/Tranches	(Receive) Counterparty		Fixed Deal Rate			Maturity Date		Implied Credit Spread at 11/30/2011⁽²⁾			Notional Amount ⁽³⁾		Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Delta Airline		GSI		5.000	%		12/20/2016		1.396	%		$100		$(234)		$(217)		$(17)

														$(234)		$(217)		$(17)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽²⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

American Beacon Flexible Bond Fund

Portfolio of Investments

November 30, 2011 (Unaudited)


	Par Amount		Fair Value

	(000’s)		(000’s)
CONVERTIBLE OBLIGATIONS - 1.34%
ArcelorMittal, 5.00%, Due 5/15/2014		$100		$107
Glencore Finance Europe S.A., 5.00%, Due 12/31/2014	EUR	100		125
Lukoil International Finance BV, 2.625%, Due 6/16/2015	GBP	100		103
Seadrill Ltd., 3.375%, Due 10/27/2017	NOK	100		114
Shire plc, 2.75%, Due 5/9/2014		100		116
Total Convertible Obligations (Cost $595)				565

CORPORATE OBLIGATIONS - 13.00%
Commercial Paper - 0.36%
Citigroup, Inc., 2.84%, Due 5/18/2012^A	NZD	200		154

Energy - 0.27%
Transocean, Inc., 7.35%, Due 12/15/2041		115		115

Financials - 7.81%
Asian Development Bank, 2.75%, Due 5/21/2014		500		525
Bank of America Corp.,
6.50%, Due 8/1/2016		80		77
5.75%, Due 12/1/2017		60		55
BNP Paribas S.A., 1.291%, Due 1/10/2014^A		100		92
CB Richard Ellis Services, Inc., 6.625%, Due 10/15/2020		50		50
Citigroup, Inc., 6.125%, Due 5/15/2018		60		63
Danske Bank A/S, 1.451%, Due 4/14/2014^{A B}		200		192
Eksportfinans ASA, 5.00%, Due 2/14/2012		200		198
General Electric Capital Corp., 0.957%, Due 6/2/2014^A		120		115
ING Bank N.V., 1.737%, Due 6/9/2014^A ^B		100		95
JPMorgan Chase & Co., 1.216%, Due 1/24/2014^A		200		197
Metinvest BV, 10.25%, Due 5/20/2015^B		100		96
Metropolitan Life Global Funding I, 2.625%, Due 12/3/2012	EUR	200		197
Morgan Stanley,
5.55%, Due 4/27/2017		60		55
5.50%, Due 7/28/2021		105		92
Petronas Global Sukuk Ltd., 4.25%, Due 8/12/2014		100		105
Santander US Debt SAU, 3.724%, Due 1/20/2015^B		200		184
Standard Chartered plc,
5.50%, Due 11/18/2014^B		100		106
3.85%, Due 4/27/2015^B		300		302
The Goldman Sachs Group, Inc.,
7.50%, Due 2/15/2019		60		64
5.25%, Due 7/27/2021		135		125
UBS AG, 5.875%, Due 12/20/2017		300		311
				3,296
Health Care - 0.46%
Amgen, Inc., 5.15%, Due 11/15/2041		200		193

Industrials - 3.26%
CSN Islands XII Corp., 7.00%, Due 9/29/2049^B		100		96
Eli Lilly & Co., 3.55%, Due 3/6/2012		170		171
Ford Motor Credit Co. LLC,
3.148%, Due 1/13/2012^A		100		100
7.50%, Due 8/1/2012^D		300		311
Gibraltar Industries, Inc., 8.00%, Due 12/1/2015		50		50
HCA, Inc., 6.95%, Due 5/1/2012		200		202
MGM Resorts International, 10.375%, Due 5/15/2014		100		112
Mohawk Industries, Inc., 7.20%, Due 4/15/2012		230		233
Reynolds Group Issuer Inc., 7.875%, Due 8/15/2019^B		100		101
				1,376
Manufacturing - 0.13%
American Axle & Manufacturing Holdings, Inc., 9.25%, Due 1/15/2017^B		50		53


	Par Amount		Fair Value

	(000’s)		(000’s)
Other Yankee - 0.71%
Cie de Financement Foncier, 2.25%, Due 3/7/2014^B		$200		$199
Noble Group Ltd., 8.50%, Due 5/30/2013		100		101
				300
Total Corporate Obligations (Cost $5,617)				5,487

SOVEREIGN OBLIGATIONS - 16.40%
Australia Government Bond, 5.50%, Due 4/21/2023	AUD	1,000		1,157
Canadian Government International Bond, 2.00%, Due 9/1/2012	CAD	330		326
Hungary Government Bond, 5.50%, Due 2/12/2016	HUF	92,500		364
Indonesia Treasury Bond, 10.00%, Due 9/15/2024	IDR	2,400,000		329
Italy Buoni Poliennali Del Tesoro, 2.55%, Due 9/15/2041	EUR	105		91
Malaysia Government Bond, 3.702%, Due 2/25/2013	MYR	1,860		591
Mexican Bonos,
10.00%, Due 12/5/2024	MXN	900		86
8.50%, Due 5/31/2029	MXN	10,500		866
New Zealand Government Bond, 6.00%, Due 5/15/2021	NZD	370		332
Norway Government Bond, 6.50%, Due 5/15/2013	NOK	2,395		446
Poland Government Bond, 5.25%, Due 10/25/2020	PLZ	2,285		651
Republic of Italy,
5.625%, Due 6/15/2012	EUR	300		298
2.125%, Due 10/5/2012	EUR	200		192
South Africa Government Bond,
6.75%, Due 3/31/2021	ZAR	2,955		338
6.50%, Due 2/28/2041	ZAR	1,175		106
United Kingdom Gilt, 4.50%, Due 3/7/2013	GBP	390		643
Uruguay Government International Bond, 5.00%, Due 9/14/2018	UYU	1,979		105
Total Sovereign Obligations (Cost $7,203)				6,921

ASSET-BACKED SECURITIES - 0.69%
Citibank Omni Master Trust, 2.349%, Due 5/16/2016, 2009 A8 A8 ^A B		100		101
Residential Asset Securities Corp., 0.837%, Due 7/25/2033, 2003 KS5 A118 ^A		11		7
Westlake Automobile Receivables Trust, 1.75%, Due 12/17/2012, 2010 1A A ^B		185		185
Total Asset-Backed Securities (Cost $292)				293

NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 4.00%
Adjustable Rate Mortgage Trust, 2.842%, Due 9/25/2035, 2005 5 2A1		111		76
Banc of America Mortgage Securities, Inc., 3.433%, Due 7/20/2032, 2002 G1A3^A		26		24
Bear Stearns Adjustable Rate Mortgage Trust,
2.598%, Due 8/25/2033, 2003 5 2A1^A		30		28
2.788%, Due 8/25/2033, 2003 5 1A1^A		73		62
3.208%, Due 11/25/2034, 2004 9 22A1^A		21		19
2.40%, Due 10/25/2035, 2005 9 A1^A		89		70
Bear Stearns Alt-A Trust,
2.658%, Due 9/25/2034, 2004 9 2A1^A		26		18
2.833%, Due 11/25/2036, 2006 6 32A1		147		72
Chase Mortgage Finance Corp.,
2.748%, Due 2/25/2037, 2007 A1 7A1		79		73
2.753%, Due 2/25/2037, 2007 A1 1A5		84		75
Citigroup Mortgage Loan Trust, Inc.,
2.10%, Due 8/25/2035, 2005 6 A3^A		42		37
2.693%, Due 8/25/2035, 2005 3 2A2A		77		68
Countrywide Alternative Loan Trust,
0.707%, Due 8/25/2033, 2003 15T2 A2^A		29		28
6.00%, Due 10/25/2033, 2003 J2 A1		47		46
Countrywide Home Loan Mortgage Pass Through Trust, 2.746%, Due 6/25/2033, 2003 27 A1^A		79		69
Credit Suisse First Boston Mortgage Securities Corp.,
2.655%, Due 9/25/2034, 2004 AR8 2A1		69		65
5.00%, Due 11/25/2034, 2004 7 1A1		96		97
First Horizon Asset Securities, Inc., 2.673%, Due 2/25/2034, 2004 AR1 2A1^A		93		87
GSR Mortgage Loan Trust,
6.00%, Due 3/25/2032, 2003 2F 3A1		5		5
2.257%, Due 6/25/2034, 2004 7 3A1		73		62
5.149%, Due 11/25/2035, 2005 AR7 6A1^A		87		76


	Par Amount		Fair Value

	(000’s)		(000’s)
Residential Asset Securitization Trust, 2.604%, Due 12/25/2034,		$130		$110
Structured Adjustable Rate Mortgage Loan Trust,
2.505%, Due 5/25/2034, 2004 5 3A2		97		81
2.533%, Due 7/25/2034, 2004 8 3A^A		96		82
Structured Asset Mortgage Investments, Inc., 0.487%, Due 5/25/2045, 2005 AR2 2A1^A		140		76
WaMu Mortgage Pass Through Certificates,
2.579%, Due 3/25/2035, 2005 AR3 A1		72		59
1.994%, Due 12/19/2039, 2001 AR5 1^A		141		121
Total Non-Agency Mortgage-Backed Obligations (Cost $1,663)				1,686

U.S. TREASURY OBLIGATIONS - 8.03%
U.S. Treasury Bonds - 1.42%
4.375%, Due 5/15/2040		100		126
4.375%, Due 5/15/2041		200		252
3.75%, Due 8/15/2041		195		222
				600
U.S. Treasury Notes - 6.61%
1.125%, Due 1/15/2012		500		501
1.375%, Due 5/15/2012		220		221
3.00%, Due 7/15/2012 ^C		315		323
1.375%, Due 2/15/2013		500		507
0.75%, Due 9/15/2013		500		504
2.00%, Due 7/15/2014 ^C		361		391
1.625%, Due 1/15/2015 ^C		119		129
2.625%, Due 8/15/2020		200		212
				2,788
Total U.S. Treasury Obligations (Cost $3,288)				3,388

	Shares
SHORT-TERM INVESTMENTS - 55.02%
Investment Company – 23.42%
JPMorgan U.S. Government Money Market Fund		9,881,838		9,882

	Par Amount

	(000’s)
U.S. Treasury Bills – 28.52%
0.04%, Due 1/12/2012		$3,600		3,600
0.04%, Due 3/8/2012		130		130
0.07%, Due 9/20/2012		335		335
0.03%, Due 3/1/2012		2		2
0.06%, Due 5/3/2012		200		200
0.05%, Due 3/15/2012		970		970
0.03%, Due 3/22/2012		500		500
0.03%, Due 3/29/2012		600		600
0.07%, Due 4/19/2012		4,100		4,099
0.06%, Due 4/26/2012		1,600		1,600
				12,036
Repurchase Agreement – 3.08%
Barclays Capital, Inc., 0.15%, Due 12/1/2011 (Collateralized by a FNMA security valued at $1,343, 4.00%, Due 9/1/2041)		1,300		1,300
Total Short-Term Investments (Cost $23,216)				23,218

TOTAL INVESTMENTS - 98.48% (Cost $41,875)				41,558
OTHER ASSETS, NET OF OTHER LIABILITIES - 1.52%				642
TOTAL NET ASSETS - 100.00%				$42,200

Percentages are stated as a percent of net assets.

^A	The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due date on these types of securities reflects the final maturity date.

^B Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $1,710 or 4.05% of net assets. The Fund has no right to demand registration of these securities.

^C Inflation-Indexed Note.

^D Limited Liability Corporation.

^E Futures Cash Collateral.

Futures Contracts Open on November 30, 2011


	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation/ (Depreciation)
German Euro Schatz Futures	6	December, 2011		$1,260		$403
German Euro Bond Futures	18	December, 2011		2,408,760		46,916
German Euro Schatz Futures	18	December, 2011		18		1,185
30 Day Interbank Cash Rate Futures	2	January, 2012		472,683		102
90 Day Australia March Futures	8	March, 2012		7,928,642		(7,615)
U.S. Treasury 5 Year Note March Futures	4	March, 2012		490,563		820
U.S. Treasury 10 Year Note March Futures	5	March, 2012		646,719		1,344
Canadian Bankers Acceptance 3 Month Futures	12	June, 2012		2,968,200		(2,304)
90 Day Australia June Futures	8	June, 2012		7,934,071		(8,969)
Canadian Bankers Acceptance 3 Month Futures	12	December, 2012		2,967,900		2,304
90 Day Eurodollar March Futures	31	March, 2016		7,562,450		6,551

				$33,381,265		$40,534

Centrally cleared swap agreements outstanding on November 30, 2011:

Interest Rate Swaps


Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate			Maturity Date		Notional Amount		Fair Value		Unrealized Appreciation/Depreciation
Receive	3-Month USD-LIBOR		4.000	%	12/21/2021	USD		1,900,000		$69,747		$(8,757)
Receive	3-Month USD-LIBOR		1.000	%	12/21/2031	USD		150,000		(32,814)		(2,514)

										$36,933		$(11,271)

Credit Default Swaps on Credit Indices- Buy Protection ⁽¹⁾


Index/Tranches	Fixed Deal Receive Rate	Maturity Date		Notional Amount⁽ ³⁾		Value ⁽⁴⁾		Unrealized Appreciation
CDX.IG-16 5-Year Index	1.000%	6/20/2016	USD		$200,000		$2,238		$241

							$2,238		$241

OTC Swap Agreements Outstanding on November 30, 2011:

Interest Rate Swaps


Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate			Maturity Date		Counterparty	Curr	Notional Amount		Fair Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ Depreciation
Receive	1-Day BRL-CDI		12.16	%		1/2/2014	FBF	BRL		1,700,000		$35,747	$	-		$35,747
Receive	1-Day BRL-CDI		12.485	%		1/2/2014	BOA	BRL		3,300,000		79,514		(1,906)		81,420
Receive	1-Day BRL-CDI		11.600	%		1/2/2014	BOA	BRL		1,000,000		15,852		-		15,852
Receive	6-Month AUD-BBSW		5.750	%		12/15/2021	CBK	AUD		200,000		16,082		1,319		14,763
Pay	3-Month USD-LIBOR		4.000	%		12/21/2021	GSI	USD		1,900,000		-		425		(425)
Receive	6-Month GBP-LIBOR		3.000	%		3/21/2022	BOA	GBP		300,000		16,929		(4,808)		21,737
Pay	3-Month USD-LIBOR		4.000	%		12/21/2031	FBF	USD		300,000		(65,739)		(42,750)		(22,989)

												$98,384	$	(47,720)		$146,105

Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection ⁽¹⁾


Index/Tranches	(Receive) Counterparty	Fixed Deal Rate			Maturity Date		Implied Credit Spread at 11/30/2011	Notional Amount ⁽⁴⁾		Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ Depreciation
Credit Agricole SA	GSI		-1.000	%		12/20/2016	3.017%		$50,000	$	5,472		$4,991		$482
Credit Agricole SA	GSI		-1.000	%		12/20/2016	3.017%		150,000		17,697		16,460		1,237

										$	23,169		$21,451		$1,719

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection ⁽²⁾


Index/Tranches	(Receive) Counterparty	Fixed Deal Rate			Maturity Date		Implied Credit Spread at 11/30/2011	Notional Amount ⁽³⁾		Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ Depreciation
France Government Bond	GSI		0.250	%		9/20/2016	1.969%		$100,000		$(7,648)		$(5,679)		$(1,969)
France Government Bond	CSI		0.250	%		9/20/2016	1.969%		100,000		(7,648)		(5,657)		(1,991)

											$(15,296)		$(11,336)		$(3,960)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund

will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swaps agreements on corporate issues and sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Purchased options outstanding on November 30, 2011:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Exercise
Rate

Expiration

Date

Notional Amount

Cost

Fair Value

Put-OTC 30-Year Interest Rate Swap

FBF

3-Month USD-LIBOR

3.273%

9/24/2012

USD

$600,000

$49,500

$29,017

Put-OTC 30-Year Interest Rate Swap

BRC

3-Month USD-LIBOR

3.273%

9/24/2012

USD

500,000

25,667

24,181

$75,167

$53,198

Credit Default Swaptions on Credit Indices


Description	Counterparty	Buy/Sell Protection	Exercise Rate			Expiration Date		Notional Amount		Cost		Value
Put - OTC CDX.HY-17 5-year Index	BOA	Receive		5.000	%		1/18/2012		$100,000	$	4,150		$4,486
Put - OTC CDX.IG-16 5-year Index	BOA	Receive		1.000	%		1/18/2012		100,000		4,040		4,486
Put - OTC CDX.HY-17 5-year Index	BOA	Receive		5.000	%		1/18/2012		200,000		7,800		5,529

										$	15,990		$14,501

Written options outstanding on November 30, 2011:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Exercise Rate			Expiration Date		Notional Amount		Premium		Fair Value
Put - OTC 10-Year Interest Rate Swap	FBF	3-Month USD-LIBOR		2.850	%		1/24/2012	$	1,100,000	$	24,420	$	(23,463)
Put - OTC 10-Year Interest Rate Swap	MYC	3-Month USD-LIBOR		2.850	%		1/24/2012		1,200,000		40,200		(25,596)

										$	64,620	$	(49,059)

Credit Default Swaptions on Credit Indices


Description	Counterparty	Buy/Sell Protection	Exercise Rate			Expiration Date		Notional Amount		Cost		Fair Value
Put - OTC CDX.IG-16 5-year Index	BOA	Receive		1.800	%		12/21/2011		$200,000	$	800	$	(27)
Put - OTC CDX.IG-17 5-year Index	BOA	Receive		1.150	%		1/18/2012		500,000		4,250		(5,061)
Put - OTC CDX.IG-17 5-year Index	BOA	Receive		1.150	%		1/18/2012		500,000		4,150		(5,061)
Put - OTC CDX.IG-17 5-year Index	BOA	Receive		1.300	%		1/18/2012		1,000,000		7,800		(6,348)

										$	17,000	$	(16,497)

Foreign Currency Contracts Open at November 30, 2011


Type	Currency		Principal Amount Covered by Contract		Settlement Date		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy		AUD		64,000		2/14/2012		UBS		-		(68)		(68)
Buy		AUD		64,000		2/14/2012		UBS		259		-		259
Buy		AUD		51,000		2/14/2012		UBS		2,611		-		2,611
Buy		AUD		64,000		1/24/2012		UBS		-		(516)		(516)
Buy		AUD		90,000		2/14/2012		UBS		1,808		-		1,808
Buy		AUD		77,000		2/14/2012		UBS		1,461		-		1,461
Buy		AUD		205,000		2/14/2012		UBS		4,816		-		4,816
Buy		AUD		65,000		2/14/2012		UBS		3,562		-
Buy		AUD		65,000		2/14/2012		UBS		2,671		-		2,671
Sell		AUD		92,000		1/13/2012		HSBC		-		(6,064)		(6,064)
Sell		AUD		989,000		1/13/2012		HSBC		-		(67,266)		(67,266)
Sell		AUD		142,000		1/13/2012		HSBC		-		(3,545)		(3,545)
Sell		AUD		1,330,000		12/22/2011		DUB		7,728		-		7,728
Sell		AUD		404,418		12/1/2011		DUB		-		(9,844)		(9,844)
Sell		AUD		404,418		2/2/2012		DUB		-		(14,765)		(14,765)
Sell		AUD		51,000		2/14/2012		UBS		624		-		624
Sell		AUD		32,000		2/14/2012		UBS		256		-		256
Sell		AUD		64,000		2/14/2012		UBS		511		-		511
Sell		AUD		64,000		2/14/2012		UBS		511		-		511
Sell		AUD		64,000		2/14/2012		UBS		127		-		127
Sell		AUD		64,000		2/14/2012		UBS		511		-		511
Sell		AUD		96,000		2/14/2012		UBS		1,555		-		1,555
Sell		AUD		65,000		2/14/2012		UBS		-		(2,262)		(2,262)
Sell		AUD		65,000		2/14/2012		UBS		-		(2,815)		(2,815)
Sell		AUD		77,000		2/14/2012		UBS		617		-		617
Sell		AUD		64,000		1/24/2012		UBS		-		(85)		(85)
Sell		AUD		77,000		2/14/2012		UBS		617		-		617
Sell		AUD		128,000		2/14/2012		UBS		1,025		-		1,025
Sell		AUD		90,000		2/14/2012		UBS		721		-		721
Sell		AUD		131,000		2/14/2012		UBS		-		(121)		(121)
Sell		BRL		155,134		1/4/2012		CBK		-		(1,073)		(1,073)
Buy		CAD		135,652		2/14/2012		UBS		-		(491)		(491)
Buy		CAD		36,400		2/14/2012		UBS		-		(324)		(324)
Buy		CAD		89,779		2/14/2012		UBS		-		(325)		(325)
Buy		CAD		89,619		1/24/2012		UBS		-		(279)		(279)
Buy		CAD		100,733		2/14/2012		UBS		-		(873)		(873)
Buy		CAD		97,507		2/14/2012		UBS		-		(575)		(575)


Type	Currency		Principal Amount Covered by Contract		Settlement Date		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy		CAD		130,691		2/14/2012		UBS		-		(100)		(100)
Buy		CAD		65,216		2/14/2012		UBS		-		(176)		(176)
Buy		CAD		65,203		2/14/2012		UBS		-		(189)		(189)
Buy		CAD		98,726		2/14/2012		UBS		619		-		619
Buy		CAD		65,280		2/14/2012		UBS		-		(114)		(114)
Buy		CAD		130,691		2/14/2012		UBS		-		(100)		(100)
Buy		CAD		182,763		2/14/2012		UBS		-		(139)		(139)
Buy		CAD		130,691		2/14/2012		UBS		-		(100)		(100)
Sell		CAD		54,000		2/14/2012		UBS		-		(262)		(262)
Sell		CAD		64,000		2/14/2012		UBS		585		-		585
Sell		CAD		90,332		2/14/2012		UBS		-		(448)		(448)
Sell		CAD		135,652		2/14/2012		UBS		-		(669)		(669)
Sell		CAD		36,077		2/14/2012		UBS		15		-		15
Sell		CAD		65,242		2/14/2012		UBS		151		-		151
Sell		CAD		97,733		2/14/2012		UBS		354		-		354
Sell		CAD		315,842		2/14/2012		UBS		-		(2,098)		(2,098)
Sell		CAD		98,823		2/14/2012		UBS		-		(713)		(713)
Sell		CAD		131,392		2/14/2012		UBS		-		(587)		(587)
Sell		CAD		131,021		2/14/2012		UBS		-		(223)		(223)
Sell		CAD		65,345		2/14/2012		UBS		50		-		50
Sell		CAD		111,291		2/14/2012		UBS		85		-		85
Sell		CAD		195,734		2/14/2012		UBS		445		-		445
Sell		CHF		984,000		1/18/2012		CBK		12,417		-		12,417
Sell		CHF		125,000		1/18/2012		HSBC		-		(511)		(511)
Buy		CLP		63,920,000		1/26/2012		HSBC		-		(1,429)		(1,429)
Buy		CLP		115,180,000		1/26/2012		HSBC		-		(4,192)		(4,192)
Buy		CLP		20,710,000		1/26/2012		HSBC		-		(374)		(374)
Buy		CNY		252,000		1/17/2012		CBK		-		(30)		(30)
Buy		CNY		2,587,000		1/17/2012		CBK		3,199		-		3,199
Buy		CNY		115,000		1/17/2012		CBK		57		-		57
Buy		CNY		178,136		6/1/2012		BRC		-		(59)		(59)
Buy		CNY		303,000		1/17/2012		CBK		-		(208)		(208)
Buy		CNY		843,500		4/7/2016		CBK		-		(1,543)		(1,543)
Buy		CZK		1,639,360		2/14/2012		UBS		512		-		512
Buy		EUR		64,000		2/14/2012		UBS		-		(1,896)		(1,896)
Buy		EUR		96,000		2/14/2012		UBS		-		(2,998)		(2,998)
Buy		EUR		32,000		2/14/2012		UBS		-		(948)		(948)
Buy		EUR		32,000		2/14/2012		UBS		-		(974)		(974)
Buy		EUR		64,000		2/14/2012		UBS		-		(898)		(898)
Buy		EUR		32,000		2/14/2012		UBS		-		(449)		(449)
Buy		EUR		32,000		2/14/2012		UBS		-		(449)		(449)
Buy		EUR		32,000		2/14/2012		UBS		-		(449)		(449)
Buy		EUR		64,000		2/14/2012		UBS		-		(488)		(488)
Buy		EUR		26,000		2/14/2012		UBS		-		(361)		(361)
Buy		EUR		32,000		2/14/2012		UBS		-		(948)		(948)
Buy		EUR		32,000		1/24/2012		UBS		-		(224)		(224)
Buy		EUR		32,000		2/14/2012		UBS		-		(155)		(155)
Buy		EUR		52,000		2/14/2012		UBS		665		-		665
Buy		EUR		128,000		1/24/2012		UBS		-		(4,723)		(4,723)
Sell		EUR		2,005,000		2/3/2012		CBK		109,245		-		109,245
Sell		EUR		240,000		2/3/2012		HSBC		2,016		-		2,016
Sell		EUR		525,000		12/2/2011		BRC		33,259		-		33,259
Sell		EUR		12,000		1/17/2012		BRC		210		-		210
Sell		EUR		4,000		1/17/2012		CBK		153		-		153
Sell		EUR		284,000		1/4/2012		CBK		-		-		-
Sell		EUR		308,000		1/4/2012		BRC		-		-		-
Sell		EUR		32,000		2/14/2012		UBS		260		-		260
Sell		EUR		64,000		2/14/2012		UBS		354		-		354
Sell		EUR		96,000		2/14/2012		UBS		4,159		-		4,159
Sell		EUR		32,000		1/24/2012		UBS		1,446		-		1,446
Sell		EUR		36,324		2/8/2012		UBS		2,288		-		2,288
Sell		EUR		26,000		2/14/2012		UBS		986		-		986
Sell		EUR		64,000		2/14/2012		UBS		2,129		-		2,129
Sell		EUR		32,000		2/14/2012		UBS		767		-		767
Sell		EUR		64,000		1/24/2012		UBS		1,989		-		1,989
Sell		EUR		32,000		2/14/2012		UBS		730		-		730


Type	Currency		Principal Amount Covered by Contract		Settlement Date		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell		EUR		64,000		2/14/2012		UBS		674		-			674
Sell		EUR		32,000		1/24/2012		UBS		1,201		-			1,201
Sell		EUR		32,000		2/14/2012		UBS		1,302		-			1,302
Sell		EUR		32,000		2/14/2012		UBS		1,301		-			1,301
Sell		EUR		32,000		2/14/2012		UBS		410		-			410
Sell		EUR		32,000		2/14/2012		UBS		-		(220	)		(220	)
Sell		EUR		150,000		2/3/2012		UBS		7,095		-			7,095
Sell		EUR		128,000		1/24/2012		UBS		3,291		-			3,291
Sell		EUR		52,000		2/14/2012		UBS		360		-			360
Buy		GBP		33,000		12/1/2011		HSBC		927		-			927
Buy		GBP		329,000		12/1/2011		HSBC		-		(21,253	)		(21,253	)
Buy		GBP		21,000		12/1/2011		HSBC		316		-			316
Buy		GBP		27,000		12/8/2011		CBK		-		(886	)		(886	)
Buy		GBP		41,000		12/1/2011		HSBC		-		(294	)		(294	)
Buy		GBP		424,000		3/1/2012		HSBC		6,613		-			6,613
Buy		GBP		54,930		2/14/2012		UBS		-		(610	)		(610	)
Buy		GBP		64,000		2/14/2012		UBS		-		(1,520	)		(1,520	)
Sell		GBP		424,000		12/1/2011		HSBC		-		(6,661	)		(6,661	)
Sell		GBP		33,000		12/8/2011		CBK		-		(179	)		(179	)
Sell		GBP		54,756		2/14/2012		UBS		697		-			697
Sell		GBP		64,000		2/14/2012		UBS		2,477		-			2,477
Buy		HKD		2,331,165		3/28/2012		UBS		280		-			280
Buy		HUF		9,845,696		1/24/2012		UBS		-		(1,265	)		(1,265	)
Buy		HUF		9,791,424		1/24/2012		UBS		-		(1,258	)		(1,258	)
Buy		HUF		8,609,536		2/14/2012		UBS		-		(1,199	)		(1,199	)
Buy		HUF		7,558,400		2/14/2012		UBS		1,084		-			1,084
Sell		HUF		9,968,176		1/24/2012		UBS		-		(494	)		(494	)
Sell		HUF		7,363,200		2/14/2012		UBS		-		(229	)		(229	)
Buy		IDR		1,399,540,000		1/31/2012		CBK		-		(1,233	)		(1,233	)
Buy		INR		7,359,280		7/12/2012		CBK		-		(4,155	)		(4,155	)
Buy		INR		3,206,500		2/14/2012		UBS		-		(3,023	)		(3,023	)
Sell		INR		1,603,000		2/14/2012		UBS		-		(157	)		(157	)
Buy		JPY		14,900,000		1/13/2012		BRC		-		(1,608	)		(1,608	)
Buy		JPY		3,424,000		2/14/2012		UBS		420		-			420
Buy		JPY		3,421,120		2/14/2012		UBS		420		-			420
Buy		JPY		4,990,720		2/14/2012		UBS		448		-			448
Buy		JPY		4,988,800		2/14/2012		UBS		424		-			424
Buy		JPY		2,952,600		2/14/2012		UBS		129		-			129
Buy		JPY		7,478,640		2/14/2012		UBS		576		-			576
Sell		JPY		234,000,000		2/8/2012		CBK		-		(15,948	)		(15,948	)
Sell		JPY		25,000,000		2/8/2012		MYC		2,464		-			2,464
Sell		JPY		33,156,000		1/13/2012		DUB		4,025		-			4,025
Sell		JPY		3,441,999		2/14/2012		UBS		-		(446	)		(446	)
Sell		JPY		3,374,720		2/14/2012		UBS		-		(102	)		(102	)
Sell		JPY		4,943,200		2/14/2012		UBS		165		-			165
Sell		JPY		4,931,200		2/14/2012		UBS		320		-			320
Sell		JPY		2,924,822		2/14/2012		UBS		230		-			230
Sell		JPY		2,465,472		2/14/2012		UBS		162		-			162
Buy		KRW		617,000,000		2/29/2012		HSBC		9,114		-			9,114
Buy		KRW		208,376,000		2/27/2012		CBK		-		(4,786	)		(4,786	)
Buy		KRW		36,019,200		2/9/2012		UBS		-		(730	)		(730	)
Buy		KRW		71,808,000		1/3/2012		UBS		-		(1,228	)		(1,228	)
Buy		KRW		36,329,600		2/17/2012		UBS		-		(304	)		(304	)
Buy		KRW		36,096,000		2/9/2012		UBS		175		-			175
Buy		KRW		36,329,600		2/17/2012		UBS		-		(253	)		(253	)
Sell		KRW		71,808,000		1/3/2012		UBS		1,299		-			1,299
Sell		KRW		36,019,200		2/9/2012		UBS		613		-			613
Sell		KRW		36,096,000		2/9/2012		UBS		546		-			546
Sell		KRW		36,329,600		2/17/2012		UBS		357		-			357
Sell		KRW		36,329,600		2/17/2012		UBS		357		-			357
Buy		MXN		737,694		2/14/2012		UBS		1,202		-			1,202
Buy		MXN		849,178		2/14/2012		UBS		-		(1,304	)		(1,304	)
Buy		MXN		706,986		2/14/2012		UBS		-		(1,085	)		(1,085	)
Buy		MXN		595,466		2/14/2012		UBS		-		(914	)		(914	)
Buy		MXN		609,890		2/14/2012		UBS				(532	)		(532	)
Buy		MXN		1,043,589		2/14/2012		UBS		-		(910	)		(910	)


Type	Currency		Principal Amount Covered by Contract		Settlement Date		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy		MXN		867,398		2/14/2012		UBS		-		(756	)		(756	)
Buy		MXN		433,699		2/14/2012		UBS		-		(378	)		(378	)
Buy		MXN		691,208		2/14/2012		UBS		-		(603	)		(603	)
Buy		MXN		433,699		2/14/2012		UBS		-		(378	)		(378	)
Buy		MXN		433,699		2/14/2012		UBS		-		(378	)		(378	)
Buy		MXN		1,734,797		2/14/2012		UBS		-		(1,513	)		(1,513	)
Sell		MXN		1,000		3/15/2012		CBK		1		-			1
Sell		MXN		41,688		3/15/2012		CBK		22		-			22
Sell		MXN		695,589		2/14/2012		UBS		-		(1,318	)		(1,318	)
Buy		MYR		588,110		4/23/2012		CBK		-		(5,671	)		(5,671	)
Sell		NOK		2,225,000		1/11/2012		CBK		-		(7,107	)		(7,107	)
Sell		NOK		293,000		1/11/2012		HSBC		-		(60	)		(60	)
Sell		NOK		315,000		2/14/2012		UBS		2,322		-			2,322
Sell		NOK		749,215		2/14/2012		UBS		3,888		-			3,888
Buy		NZD		41,706		2/14/2012		UBS		-		(490	)		(490	)
Buy		NZD		83,411		2/14/2012		UBS		-		(980	)		(980	)
Buy		NZD		83,411		2/14/2012		UBS		-		(980	)		(980	)
Buy		NZD		79,000		2/14/2012		UBS		178		-			178
Buy		NZD		42,000		2/14/2012		UBS		95		-			95
Buy		NZD		83,405		2/14/2012		UBS		-		(600	)		(600	)
Buy		NZD		83,411		2/14/2012		UBS		-		(980	)		(980	)
Buy		NZD		65,000		2/14/2012		UBS		2,038		-			2,038
Sell		NZD		820,000		12/9/2011		CBK		36,499		-			36,499
Sell		NZD		200,000		5/18/2012		MYC		1,793		-			1,793
Sell		NZD		68,000		12/9/2011		MYC		-		(952	)		(952	)
Sell		NZD		83,000		12/9/2011		HSBC		-		(1,319	)		(1,319	)
Sell		NZD		83,949		2/14/2012		UBS		119		-			119
Sell		NZD		84,205		2/14/2012		UBS		-		(407	)		(407	)
Sell		NZD		65,000		2/14/2012		UBS		-		(2,688	)		(2,688	)
Buy		PHP		1,228,150		3/15/2012		CBK		-		(1,055	)		(1,055	)
Buy		PHP		5,936,000		3/15/2012		BOA		-		(4,932	)		(4,932	)
Buy		PHP		1,271,400		3/15/2012		CBK		-		(1,071	)		(1,071	)
Buy		PLN		422,000		2/14/2012		UBS		-		(8,218	)		(8,218	)
Buy		PLN		140,464		2/14/2012		UBS		-		(2,735	)		(2,735	)
Buy		PLN		112,778		2/14/2012		UBS		397		-			397
Sell		PLN		144,416		2/14/2012		UBS		418		-			418
Sell		PLN		110,675		2/14/2012		UBS		225		-			225
Buy		SEK		295,648		2/14/2012		UBS		255		-			255
Buy		SEK		1,226,000		12/9/2011		CBK		3,460		-			3,460
Buy		SEK		296,672		2/14/2012		UBS		256		-			256
Buy		SEK		297,617		2/14/2012		UBS		1,025		-			1,025
Buy		SEK		220,560		2/14/2012		UBS		485		-			485
Sell		SEK		292,347		2/14/2012		UBS		920		-			920
Sell		SEK		410,050		2/14/2012		UBS		800		-			800
Sell		SEK		583,216		2/14/2012		UBS		1,058		-			1,058
Sell		SEK		291,608		2/14/2012		UBS		529		-			529
Sell		SEK		291,608		2/14/2012		UBS		529		-			529
Sell		SEK		218,001		2/14/2012		UBS		425		-			425
Sell		SEK		292,347		2/14/2012		UBS		920		-			920
Sell		SEK		258,636		2/14/2012		UBS		1,528		-			1,528
Sell		SEK		221,688		2/14/2012		UBS		1,310		-			1,310
Sell		SEK		256,000		2/14/2012		UBS		1,179		-			1,179
Sell		SEK		422,938		2/14/2012		UBS		1,708		-			1,708
Sell		SEK		845,875		2/14/2012		UBS		3,416		-			3,416
Sell		SEK		779,791		2/14/2012		UBS		3,149		-			3,149
Sell		SEK		634,406		2/14/2012		UBS		2,562		-			2,562
Buy		SGD		219,000		12/23/2011		HSBC		762		-			762
Buy		SGD		34,000		12/23/2011		HSBC		381		-			381
Buy		SGD		244,000		12/23/2011		HSBC		-		(1,140	)		(1,140	)
Buy		SGD		203,282		12/9/2011		CBK		-		(10,004	)		(10,004	)
Buy		SGD		35,305		12/9/2011		CBK		-		(1,454	)		(1,454	)
Buy		SGD		238,587		2/10/2012		GSI		-		-			-
Sell		SGD		238,587		12/9/2011		GSI		-		(2,586	)		(2,586	)
Buy		TRY		766,000		2/10/2012		HSBC		-		(8,649	)		(8,649	)
Buy		TRY		80,000		2/10/2012		HSBC		-		(322	)		(322	)
Buy		TRY		70,000		2/14/2012		UBS		-		(1,921	)		(1,921	)


Type	Currency		Principal Amount Covered by Contract		Settlement Date		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy		TRY		60,000		2/14/2012		UBS		-		(1,646	)		(1,646	)
Buy		TRY		100,000		2/14/2012		UBS		-		(2,827	)		(2,827	)
Buy		TRY		121,940		2/14/2012		UBS		673		-			673
Sell		TRY		120,575		2/14/2012		UBS		62		-			62
Buy		TWD		810,320		1/11/2012		CBK		-		(1,257	)		(1,257	)
Buy		TWD		3,981,600		1/11/2012		BOA		-		(8,597	)		(8,597	)
Buy		TWD		826,790		1/11/2012		CBK		-		(1,714	)		(1,714	)
Buy		ZAR		400,000		2/8/2012		UBS		-		(2,329	)		(2,329	)
Buy		ZAR		508,960		1/24/2012		UBS		-		(1,774	)		(1,774	)
Buy		ZAR		508,960		1/24/2012		UBS		-		(1,774	)		(1,774	)
Sell		ZAR		524,397		1/24/2012		UBS		-		(113	)		(113	)
Sell		ZAR		524,397		1/24/2012		UBS		-		(113	)		(113	)

										337,992		(310,091	)		27,901


Counterparty Abbreviations:
BRC	Barclays Capital	GSI	Goldman Sach International
BOA	Bank of America, N.A.	HSBC	HSBC Bank USA
CBK	Citibank, N.A.	MYC	Morgan Stanley Capital
DUB	Deusche Bank AG	UBS	UBS AG London
FBF	Credit Suisse International

Currency Abbreviations:		IDR	Indonesian Rupiah	PHP	Philippine Peso
AUD	Australian Dollar	INR	Indian Rupee	PLN	Polish Zloty
BRL	Brazilian Real	JPY	Japanese Yen	SEK	Swedish Krona
CHF	Swiss Franc	KRW	South Korean Won	SGD	Singapore Dollar
EUR	Euro	MXN	Mexico Peso	TRY	Turkish New Lira
GBP	British Pound	MYR	Malaysian Ringgit	TWD	Taiwanese Dollar
HKD	Hong Kong Dollar	NOK	Norwegian Krone	UYU	Uruguayan Peso
HUF	Hungarian Forint	NZD	New Zealand Dollar	ZAR	South African Rand

Other Abbreviations:
BBSW

AMERICAN BEACON FUNDS

SUPPLEMENTARY NOTES TO SCHEDULES OF INVESTMENTS

Security Valuation and Fair Value Measurements

Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.

Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. The prices of debt securities may be determined using quotes obtained from brokers.

Investments in mutual funds are valued at the closing net asset value (“NAV”) per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.

Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at a fair value following procedures approved by the Trust’s Board of Trustees (the “Board”).

Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.

Other investments, including restricted securities and those financial instruments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee, established by the Fund’s Board.

For valuation purposes, the last quoted price of non U.S. equity securities may be adjusted under the circumstances described below. If the Fund determines that developments between the close of a foreign market and the close of the NYSE will, in its judgment, materially affect the value of some or all of its portfolio securities, the Fund will adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the NYSE. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Fund reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. A Fund may also fair value securities in other situations, such as when a particular foreign market is closed but the Fund is open. Adjustments to closing prices to reflect fair value on affected foreign securities may be provided by an independent pricing service.

Valuation Inputs

Various inputs may be used to determine the value of the Funds’ investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities are fixed-income securities that are valued using observable inputs as stated above.

Level 3 - Prices determined using significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Level 1 and Level 2 trading assets and trading liabilities, at fair value

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities, and non-U.S. bonds are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates, and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date are categorized as Level 2 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows, and market-based yield spreads for each tranche, and incorporates deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the Exchange. These securities are valued using pricing service providers that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as foreign currency contracts, options contracts, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends, and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Level 3 trading assets and trading liabilities, at fair value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction and are categorized as Level 3 of the fair value hierarchy.

Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the Exchange close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade, do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the fair values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events.

The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the Manager. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to guidelines established by the Board, with reference to other securities or indices. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the fair value of the security or asset will be determined in good faith by the Valuation Committee of the Board, generally based upon recommendations provided by the Manager.

When a Fund uses fair valuation methods applied by the Manager that use significant unobservable inputs to determine its NAV, securities will be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in and out of the Level 3 category during the period. The end of period timing recognition is used for the significant transfers between Levels of the Funds’ assets and liabilities. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund.

The Funds’ investments are summarized by level based on the inputs used to determine their values. As of November 30, 2011, the investments were classified as described below (in thousands):


Zebra Small Cap Equity Fund	Level 1		Level 2		Level 3		Total
Common Stock	$	6,371	$	-	$	-	$	6,371
Short-Term Investments		245		-		-		245

Total Investments in Securities	$	6,616		-	$	-	$	6,616

Futures Contracts	$	7	$	-		-	$	7


Zebra Large Cap Equity Fund	Level 1		Level 2		Level 3		Total
Common Stock	$	15,031	$	-	$	-	$	15,031
Rights/Warrants		-		-		-		-
Short-Term Investments		875		-		-		875

Total Investments in Securities	$	15,906	$	-	$	-	$	15,906

Futures Contracts	$	2		-		-	$	2

Evercore Small Cap Equity Fund	Level 1		Level 2		Level 3		Total
Short-Term Investments	$	693	$	-	$	-	$	693

Total Investments in Securities	$	693	$	-	$	-	$	693


SiM High Yield Opportunities Fund	Level 1		Level 2		Level 3		Total
Common Stock	$	842	$	327	$	-	$	1,169
Preferred Stock		-		883		-		883
Convertible Obligations		-		1,753		-		1,753
Corporate Obligations		-		27,397		-		27,397
Sovereign Obligations		-		1,287		-		1,287
U.S. Agency Obligations		-		999		-		999
Short-Term Investments		672		-		-		672

Total Investments in Securities	$	1,514	$	32,646	$	-	$	34,160


Financial derivative instruments-assets*	Level 1		Level 2		Level 3		Total
Futures Contracts	$	98	$	-	$	-	$	98

	$	98	$	-	$	-	$	98


Financial derivative instruments-liabilities*	Level 1		Level 2		Level 3		Total
Futures Contracts	$	(3)	$	-	$	-	$	(3)
Credit contracts		-		(17)		-		(17)

	$	(3)	$	(17)	$	-	$	(20)


*Financial derivative instruments may include open futures contracts, swaps agreements, written swaptions, and foreign currency contracts.

Flexible Bond Fund	Level 1		Level 2		Level 3		Total
Convertible Obligations	$	-	$	565	$	-	$	565
Corporate Obligations		-		5,487		-		5,487
Sovereign Obligations		-		6,921		-		6,921
Asset-Backed Securities		-		293		-		293
Non-Agency Mortgage-Backed Obligations		-		1,686		-		1,686
U.S. Treasury Obligations		-		3,388		-		3,388
Short-Term Investments		9,882		13,336		-		23,218

Total Investments in Securities	$	9,882	$	31,676	$	-	$	41,558


Financial derivative instruments-assets*	Level 1		Level 2		Level 3		Total
Futures Contracts	$	60	$	-	$	-	$	60
Credit Contracts		-		2		-		2
Foreign exchange contracts		338		-		-		338
Interest rate contracts		-		170		-		170

	$	398	$	172	$	-	$	570


Financial derivative instruments-liabilities*	Level 1		Level 2		Level 3		Total
Futures Contracts	$	(19)	$	-	$	-	$	(19)
Credit Contracts		-		(4)		-		(4)
Foreign exchange contracts		(310)		-		-		(310)
Interest rate contracts		-		(35)		-		(35)

	$	(329)	$	(39)	$	-	$	(368)


*Financial derivative instruments may include open futures contracts, swaps agreements, written swaptions, and foreign currency contracts.

As of November 30, 2011, there were no significant transfers into or out of any level for the Funds.

Currency Translation

All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices of such currencies against U.S. dollars as last quoted by a recognized dealer.

Futures Contracts

Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Funds may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.

Upon entering into a futures contract, the Funds are required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents 5% of the face value of the futures contract. The initial margin amount is reflected as a Deposit with broker for futures contracts on the Statements of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.

Cost of Investments for Federal Income Tax Purposes

As of November 30, 2011, the cost of investments for federal income tax purposes was as follows:


	Cost of Investments for Federal Income Tax Purposes		Unrealized Appreciation		Unrealized Depreciation		Net Unrealized Appreciation / (Depreciation)
Zebra Small Cap Equity	$	6,731	$	411	$	(526)	$	(115)
Zebra Large Cap Equity		16,376		615		(1,085)		(470)
Evercore Small Cap Equity		693		-		-		-
SiM High Yield Opportunities		35,721		19		(1,580)		(1,561)
Flexible Bond		41,928		232		(602)		(370)

ITEM 2. CONTROLS AND PROCEDURES.

(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.

(b) There were no changes in the Trust’s internal control over financial reporting during the Trust’s last fiscal quarter that materially affected, or were reasonably likely to materially affect, the Trust’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AMERICAN BEACON FUNDS



By:		/s/ Gene L. Needles, Jr.
		Gene L. Needles, Jr. President

Date: January 27, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:		/s/ Gene L. Needles, Jr.
		Gene L. Needles, Jr. President

Date: January 27, 2012



By:		/s/ Melinda G. Heika
		Melinda G. Heika Treasurer

Date: January 27, 2012

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