UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number811-23015
SEI Catholic Values Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, Pennsylvania 19456
(Address of principal executive offices) (Zip code)
Timothy D. Barto, Esq.
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
Registrant’s telephone number, including area code:1-610-676-1000
Date of fiscal year end: February 29, 2020
Date of reporting period: February 29, 2020
| Item 1. | Reports to Stockholders. |
February 29, 2020
ANNUAL REPORT
SEI Catholic Values Trust
| › | Catholic Values Equity Fund |
| › | Catholic Values Fixed Income Fund |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling1-800-DIAL-SEI. Your election to receive reports in paper will apply to all funds held with the SEI Funds or your financial intermediary.
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Board of Trustees Considerations in Approving the Advisory andSub-Advisory Agreements | 62 | |
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The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on FormN-PORT. The Trust’s FormsN-PORT are available on the Commission’s website at http://www.sec.gov.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent12-month period ended June 30, is available (i) without charge, upon request, by calling1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
February 29, 2020 (Unaudited)
To our Shareholders:
Equity markets remained generally strong for much of the fiscal year ending February 29, 2020; the S&P 500 Index hit itsall-time high in February before concerns about the international spread of a novel coronavirus(COVID-19) began to dominate financial markets, sending the index into correction territory before the end of the reporting period. Trade war fears, Brexit uncertainty and central-bank easing also weighed on investor expectations at different points through the 12 months ending February 29, 2020.
The Federal Reserve (Fed) cut interest rates three times during the fiscal year; the Fed’s accommodative turn in monetary policy midway through the reporting period included an early conclusion in August to its balance-sheet reduction program, which was initially scheduled to end in September. These actions came amid below-target inflation and uncertainty about trade developments. An emergency rate cut just after the period ended was designed to bolster the economy in response to the economic threat posed by the coronavirus outbreak; it was the first emergency move by the Fed since the global financial crisis.
The European Central Bank (ECB) sought to provide fresh stimulus following itsmid-September meeting by reducing its deposit rate from-0.40% to a record low of-0.50%—and adopting a new system to offset possible consequent bank-reserve losses. Christine Lagarde succeeded Mario Draghi as ECB President in November and seemed to maintain her predecessor’s dovish views at her first policy meetings in December and January.
The Japanese yen, typically viewed as a safe-haven asset in“risk-off” environments, finished the period 2.5% higher against the U.S. dollar, while the Bank of Japan (BOJ) held monetary policy stable. The Chinese yuan finished the year down 4.4% against the U.S. dollar as trade-related tensions initially drove the exchange rate to an11-year low in September. The currency rebounded some after confidence grew that a limited U.S.-China trade agreement would be reached; however, it faltered again asCOVID-19 worries grew over the final month of the period.
Crude-oil prices gained more than 15% at the start of the fiscal year. From May onward, the commodity became a victim of the U.S.-China tariff war and general sluggishness in global economic growth, although it remained 6% higher at the start of 2020. Over the final two months of the period, the impact of the coronavirus on travel restrictions sapped demand; oil finished the 12 months down almost 22% and off over 30% from its period highs.
Geopolitical Events
Market volatility accelerated over the final two months of the period following concerns aboutCOVID-19 and its eventual economic effect: A deadly strain originated in Wuhan, China, and began spreading at a faster pace as the months progressed. The outbreak spread to other countries, prompting Mongolia and Russia to close their borders with China and other countries to erect transportation and quarantine barriers to Chinese trade and travel. Beyond the threat to public health, the outbreak and resulting containment measures evoked concerns about the potential dampening of economic activity at the same time that China has struggled to navigate an economic soft patch.
The United States-Mexico-Canada trade agreement was approved by the Congress and signed by President Donald Trump near the end of the fiscal year, officially replacing the North American Free Trade Agreement. President Trump and France’s President Emmanuel Macron successfully walked back threats of tariffs that originated with French plans for a digital tax that would have targetedUS-based multi-national technology companies. The prospect of a digital taxre-surfaced in other countries—including the U.K., Italy, Austria and Turkey—which prompted more threats of retailiatory tariffs by Treasury Secretary Steven Mnuchin. Sajid Javid, the UK’s former Chancellor of the Exchequer, disappointed Secretary Mnuchin by explaining during a joint interview in late January at the World Economic Forum that the U.K. would prioritize trade negotiations with the EU over a deal with the U.S.
China and the U.S. formalized a “phase one” trade deal inmid-January that offered tariff relief to China (via the reduction of existing tariffs and the delay of additional scheduled tariffs). In exchange, China committed to purchasing $200 billion in U.S. products over atwo-year period; addressing its long-standing practice of forcing the transfer of intellectual property and technology to Chinese counterparts in exchange for access to the Chinese market; and promising to continue opening its financial-services industry to foreign investors.
President Trump’s impeachment trial ended with an acquittal by the U.S. Senate toward the end of the reporting period—even as the U.S. media surfaced corroborating first-hand accounts of President Trump directing underlying events central to the articles of impeachment.
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 1 |
LETTER TO SHAREHOLDERS (Continued)
February 29, 2020 (Unaudited)
U.K. Prime Minister Theresa May announced on May 24 her intention to resign following a poor showing for Conservatives in European Parliamentary elections. May’s inability to establish sufficient support for her Brexit deal or a viable alternative had become an impasse, and her recent overtures for a second referendum alienated a large subset of her party’s leadership. Boris Johnson, her successor as prime minister, faced sharp resistance from the outset of his tenure; however, the UK’s Conservative Party consolidated its power in amid-December election—winning a majority of seats in the House of Commons and gaining approval for Prime Minister Boris Johnson’s EU departure deal. The country officially left the EU at the end of January 2020, giving way to an11-month transition period to negotiate terms of the futureU.K.-EU relationship.
Elsewhere, after months of demonstrations, protesters in Hong Kong saw some success when a proposed law that would have allowed for extradition to mainland China was withdrawn. Protests continued, however, amid a reported increase in China’s police presence and undercover activity, although coronavirus concerns eventually put an end to most large-scale demonstrations.
Economic Performance
The U.S. economy grew by a seasonally-adjusted annualized 3.1% in the first quarter of 2019, driven by increases in inventories and trade; however, GDP expanded just 2.0% in the second quarter as a decline in exports and inventory builds countered robust consumer spending. The third quarter saw a slight increase in annualized growth at 2.1%, as the robust U.S. labor market helped to support the moderate pace of activity, allowing the10-year expansion to continue despite decelerating global trends. Economic growth again registered 2.1% in the fourth quarter, driven by an increase in net trade but weakened by a sharp slowdown in consumer spending.
The U.S. labor market remained robust throughout the fiscal year: the unemployment rate fell, finishing the period at a50-year low of 3.5%; the labor-force participation rate ended at 63.4%, slightly higher from a year earlier. Average hourly earnings gained 3.0% over the year, although a modest increase in price pressures weighed on real (inflation-adjusted) personal income growth. The historically strong labor market and improving wage growth helped boost the debt profile of the U.S. consumer.
Broad economic growth in the eurozone slowed to its weakest pace in seven years at the end of the fourth quarter of 2019, as slumping exports in Germany and declining industrial production in France and Italy hampered expansion; the slowdown strengthened the case for continued accommodative policy by the ECB for some time.
The Bank of England (BoE) held its official bank rate unchanged during the reporting period. Committee guidance in July noted a bias toward higher rates, in contrast to the looser monetary policy shifts of the Fed and ECB; however, toward the end of the period, the BoE indicated a willingness to cut if global growth remained slow or Brexit uncertainties continued. The U.K. economy grew just 1.1% seasonally-adjusted at annual rates through the fourth quarter of 2019, its weakest level since 2010.
Japanese GDP contracted 7.1% in seasonally-adjusted annualized terms in the fourth quarter of 2019 as the country’s sales tax hike weakened consumer and business spending; the Bank of Japan maintained monetary stimulus in an attempt to counter slowing growth and weak productivity gains. Meanwhile, GDP in China expanded by just 6.0%year-on-year and seasonally-adjusted in the fourth quarter of 2019, matching the third quarter for its weakest pace in 28 years, as a lack of consumer confidence due to the U.S. trade war pressured economic growth.
Market Developments
The S&P 500 Index returned 8.19%, as the modest U.S. economic expansion continued, corporate profitability was reasonably strong and the Fed eased monetary policy;mega-large-cap stocks, a narrow group of companies with unusually large weights in the broad equity index, outperformed, and growth companies in the information technology sector generally led. Although many value stocks underperformed, the utilities sector was an area of strength among traditional value industries. Commodity-sensitive stocks, particularly those within the materials and energy sectors, lagged.
U.S.large-cap stocks (Russell 1000 Index) finished the reporting period up 7.82%;small-cap stocks (Russell 2000 Index) were hit harder in the coronavirus-driven selloff toward the end of the year, as investors tended to avoid smaller companies with lesser financial strength, and finished the period off 4.92%.
| 2 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
Despite continued accommodative monetary policy from the ECB, European equities lagged, as fears over trade wars andCOVID-19 grew. The MSCI Europe Index (Net) finished off 0.64% in U.S. dollar terms but 3.00% higher in euros; the euro finished down 3.62% versus the U.S. dollar for the period. The MSCI ACWI Index (Net), a proxy for global equities in both developed and emerging markets, rose 3.89% in U.S. dollar terms.
The FTSE UK SeriesAll-Share Index gave up itsfiscal-year-to-date gains over the final two months; the index lost 5.18% in U.S. dollar terms over the full reporting period, while it fell 1.43% in sterling.
Emerging-market equities were lower. The MSCI Emerging Markets Index (Net) also gave up all of itsfiscal-year-to-date gains over the final two months to finish the reporting period down 1.88% in U.S. dollar terms. U.S.-China trade news generally drove performance for most of the year; however, amid-period rally after the U.S. and China agreed to a“phase-one” trade deal was wiped out afterCOVID-19 concerns accelerated before the end of the fiscal year.
Led by the dovish tone of global central banks and lukewarm economic data in the U.S. and Europe, global high-yield bonds outperformed global government bonds. A continuing theme for U.S.fixed-income markets was the inverted yield curve. In August, the spread between2-year and5-year Treasurys inverted, as did the spread between3-year and5-year Treasurys. Notably, the spread between3-month and10-year rates inverted for the first time in about 12 years during March, a signal of impending recession to some market watchers. After this differential first inverted early in 2019, it reverted again for a short time in May and then again in October, before turning negative again in February.
In July, the Federal Open Market Committee cut rates for the first time in 11 years and did so again in September and October. Yields for10-year U.S. government bonds ended the period down 160 basis points at an all–time low of 1.13%, as investors rushed to safe-have securities in February;2-year yields declined during the fiscal year to finish down 166 basis points at 0.86%.
Inflation-sensitive assets, such as commodities and Treasury inflation-protected securities, were mixed. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) gave up all itsfiscal-year-to-date gains in the final two months to finish down 11.05% over the fullone-year period, primarily due to coronavirus-related concerns that travel restrictions would destroy demand in China; the Bloomberg Barclays1-10 Year US TIPS Index (USD) moved 7.86% higher during the reporting period.
The high-yield market, as measured by the ICE BofA US High Yield Constrained Index, was up 5.91% during the reporting period, while global fixed income, as measured by the Bloomberg Barclays Global Aggregate Index, did better and climbed 7.92%.
U.S. investment-grade corporate debt performed well, as the Bloomberg Barclays US Corporate Investment Grade Index returned 15.81%, as investors remained eager to buy higher-yielding securities. U.S. asset- and mortgage-backed securities also managed gains during the fiscal year, benefiting from favorablesupply-and-demand dynamics and continued improvement in collateral.
Emerging-market debt (EMD) delivered strong performance due to the improving growth outlook in the region relative to developed markets. The J.P. Morgan Global Bond Index-Emerging Markets(GBI-EM) Global Diversified Index, which tracks local-currency-denominated EM bonds, gained 3.73% in U.S. dollar terms. The J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index, which tracks EMD denominated in external currencies (such as the U.S. dollar), was up 9.68%.
Our View
At the beginning of 2019, many investors were licking their wounds following a sharp global stock-market correction. Today we are confronted with a notably different market backdrop as share prices generally ended 2019 near their highs of the year. The spread ofCOVID-19—first within China’s mainland borders and then to the rest of the world—has introduced a significant headwind to the global economy, which financial markets have acknowledged in the rapid downward repricing of assets through late January and February.
With regard to the U.S. economy, our expectations turned out to be mildly optimistic. But we think it’s worth pointing out thatquarter-to-quarter fluctuations in the country’s seasonally-adjusted gross domestic product (GDP) growth have remained on a relatively narrow path compared to their far more volatile historical range. One reason for the lower volatility was steady growth in U.S. household spending. By contrast, the contribution to real U.S. GDP growth
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 3 |
LETTER TO SHAREHOLDERS (Concluded)
February 29, 2020 (Unaudited)
from investment, both residential andnon-residential, has been in a slowing trend; the pace of business spending in the country has eased dramatically since early 2018. On the positive side, the absence of an investment boom means there should be little to no side effect; even if a recession were to develop in the next year or so, we believe it almost certainly will not be especially painful.
On the other side of the pond, Prime Minister Boris Johnson’s decision to hold a snap election in the fourth quarter paid off. He now enjoys the largest Tory majority in Parliament since 1987, when Margaret Thatcher wasre-elected Prime Minister for a third term. The victory eliminated the possibility of a dramatic remaking of the British economy as envisioned by the Labour party—and decreased the likelihood of a hung Parliament, which could have prolonged the uncertainty surrounding Brexit.
Of course, uncertainty still remains. While the U.K. formally left the EU in January, the two parties still must negotiate their future trading relationship by the end of 2020. Ano-deal Brexit would provide a substantial negative shock to merchandise trade because dealings with the EU would revert to the most-favored-nation rules of the World Trade Organization. Trade in financial services, a category critical to the U.K.’s economic well-being, would be saddled with increased regulations, paperwork and costs.
It continues to be our working assumption that ano-deal Brexit will be avoided, although it may take an extension of the transition period to effect a deal that minimizes the disruption. With that said, Boris Johnson already announced his intention to exit the transition period at the December 31, 2020 deadline.
For Europe, we accurately anticipated a further slowdown in economic growth over 2019. We think it may now make sense to look past the current gloom when it comes to Europe. The lessening of trade tensions should provide export-dependent Europe with a moderate boost in 2020.
Government policy also is geared toward encouraging growth. There are signs that ECB policy is having some positive impact. The banking system is slowly recuperating. Lending to households and businesses has been in a modestly accelerating trend over the past few years. There also is more serious discussion nowadays about easing fiscal policy. Even Jens Weidman, President of the Deutsche Bundesbank, member of the Governing Council of the ECB, and a long-time hawk, has recently felt comfortable backing calls for government spending. Perhaps there’s hope that fiscal policy will turn into a tailwind for eurozone growth instead of a steady headwind.
Our expectation that emerging-market economies would enjoy a decent 2019 didn’t pan out. First, we thought an economic turnaround in China was just around the corner. The country had been pushing through various monetary, fiscal and structural reform measures aimed at jumpstarting economic growth, and we assumed that the Chinese government would go back to the debt well if needed. This happened only to a limited extent.
We have frequently made the argument that anall-encompassing trade war between China and the U.S. would be in neither countries’ interest. The economic and political reverberations would simply be too painful. And so, the agreement on a“phase-one” deal at least helps lower the temperature and halts thetit-for-tat tariff escalations. We expect the truce will hold through the 2020 U.S. presidential election.
Looking at the big picture for the year ahead, we anticipate continued growth for the U.S. and global economies, but at a sluggish pace. This should keep inflation under control and encourage central banks to remain accommodative. Quantitative easing also should help keepfixed-income yields relatively steady even as government deficit spending picks up. Altogether, this scenario should be positive for risk assets.
We’ve summarized the major themes and outstanding questions that could cause markets to behave in ways that run counter to our positioning in 2020:
• The U.S. is converging with the rest of the world as U.S. economic and profits growth decline. Given the disparity in stock-market valuations, international markets are expected to outperform U.S. equities.
• The partial U.S./Chinatrade-war truce and a steady progression of fiscal and monetary stimulus measures over the past two years should pay off in 2020. Early signs of improvement are already apparent, which should boost the prospects of trade-dependent economies, notwithstanding the pressures created by efforts to contain theCOVID-19 outbreak.
| 4 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
• The U.S. dollar should reverse convincingly by losing value relative to other currencies. The Fed’s pivot toward an aggressive approach to supporting the overnight lending market has the potential to significantly increase the global supply of dollars, and its emergency rate cut in early March should also put downward pressure on the dollar’s value relative to other currencies. Since we believe the dollar is overvalued on a fundamental basis, its depreciation is a high-conviction call. This would be a tailwind fornon-U.S. economies and financial markets.
• The value style should prevail. Modest improvement in global economic growth, a tendency for inflation and interest rates to move higher and the record disparity in valuation between the most- and least-expensive stocks should lead to a stronger result for value-oriented active managers.
• We foresee less Brexit uncertainty, assuming a trade deal can be reached between the EU and U.K. We expect rationality to prevail, but ano-deal Brexit remains a residual risk. As theyear-end 2020 transition deadline nears, U.K. and European markets could experience renewed volatility if the negotiations appear to be foundering on irreconcilable differences.
• Presidential politics could roil equity markets in the U.S. and elsewhere. A sense of which Democratic nominee will face Donald Trump in the coming U.S. presidential election should get clearer in March, when 25 states and Puerto Rico go to the polls; California and Texas, plus 12 other states, will have held their primary elections on Super Tuesday, March 3.
In our view, another stellar year for U.S. equities in 2020 would be a source of concern rather than celebration. Equities and other risky assets are not well-correlated with the fundamentals in the short run. Investor expectations can change much more quickly and far more dramatically than the fundamentals. Indeed, as seen in the past two years, changes in investor expectations can sometimes completely negate the change in the fundamentals.
With that in mind, we will retain our emphasis on strategic investing over tactical moves. We will also continue to take stock of the economic and financial developments around the globe and provide our thoughts on where global growth and interest rates are headed. That’s actually the easy part, as the experience of the last few years illustrates. Figuring out how investors might react to the shifts in macroeconomic conditions is almost always the much harder exercise.
On behalf of SEI, I want to thank you for your continued confidence. We are working every day to maintain that trust, and we look forward to serving your investment needs in the future.
Sincerely,
Bill Lawrence, CFA
Head and Chief Investment Officer of Traditional Asset Management
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 5 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
February 29, 2020 (Unaudited)
Catholic Values Equity Fund
I. Objective
The Catholic Values Equity Fund (the “Fund”) seeks long-term capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number ofsub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the followingsub-advisors as of February 29, 2020: Brandywine Global Investment Management, LLC; Coho Partners, Ltd.; Copeland Capital Management, LLC; EARNEST Partners, LLC; Fred Alger Management, Inc.; Parametric Portfolio Associates LLC; and Snow Capital Management L.P. During the fiscal year, EAM Investors, LLC, was terminated from the Fund, while Copeland Capital Management, LLC, was added to the Fund.
III. Returns
For the period from March 1, 2019, through February 29, 2020, the Fund’s F class shares returned 2.09%. The Fund’s primary benchmark—the Russell 3000 Index (USD)—returned 6.90%.
IV. Performance Discussion
For the full fiscal year, U.S.large-cap equities finished positive. As noted in the shareholder letter, strong corporate earnings, an accommodative monetary policy by the Federal Reserve and the eventual cooling of trade tensions between the U.S. and China propelled markets higher for most of the reporting period. This trend reversed during the final month of the fiscal year, as markets declined sharply due to concerns around the potential effects of the coronavirus on the global economy.
Growth sectors—notably information technology and communication services—were the best performers, as also mentioned in the shareholder letter. Utilities and consumer staples stocks also performed well due to an increase in demand for bond proxies as interest rates declined. Traditional value sectors such as energy, materials and industrials were the worst performers as investors continued to favor their growth counterparts.
Fund performance was hurt most by its exposure tonon-U.S. stocks, which significantly underperformed U.S. equities. Within the U.S., the Fund was hurt by its tilt toward the less-expensive portions of the market and itsmid-cap exposure, both of which underperformed the broad U.S. market during the period.
EAM Investors was terminated from the Fund in September and was replaced by Copeland Capital Management, a small- and medium-capitalization stability manager. This change reduced the beta of thesmaller-cap portion of the Fund.
EARNEST Partners was the largest detractor due to the manager’s exposure tonon-U.S. stocks, which underperformed. Among the other managers, Snow Capital Management and Brandywine Global Investment Management both detracted due to their value exposure, while Coho Partners and Copeland Capital Management detracted due to their lower-beta exposure and underweights tolarge-cap growth stocks. Prior to its termination, EAM Investors detracted due to itssmall-cap exposure.
Fred Alger Management was the only manager that contributed to relative Fund performance during the fiscal year due to its exposure to U.S.large-cap growth stocks, the best-performing category during the reporting period.
| AVERAGE ANNUAL TOTAL RETURN1 | ||||||
One-Year Return | Three-Year Return | Annualized Inception to Date | ||||
Class F | 2.09% | 6.90% | 5.89% | |||
Class Y | 2.28% | 7.04% | 6.02% | |||
Russell 3000 Index | 6.90% | 9.28% | 9.15% | |||
| 6 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
Comparison of Change in the Value of a $10,000 Investment in the Catholic Values Equity Fund, Class F, versus the Russell 3000 Index
| 1 | For the year ended 2/29/2020. Past performance is no indication of future performance. Class F shares were offered beginning on 4/30/2015 and Class Y share were offered beginning 5/31/2015. The graph is based on only the Class F; performance for Class Y would be different due to differences in fee structures. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
Comparison of Change in the Value of a $10,000 Investment in the Catholic Values Equity Fund, Class Y, versus the Russell 3000 Index
| 1 | For the year ended 2/29/2020. Past performance is no indication of future performance. Class Y shares were offered beginning on 5/31/2015 and Class F share were offered beginning 4/30/2015. The graph is based on only the Class Y; performance for Class F would be different due to differences in fee structures. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 7 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
February 29, 2020 (Unaudited)
Catholic Values Fixed Income Fund
I. Objective
The Catholic Values Fixed Income Fund (the Fund) seeks a high level of current income with preservation of capital.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number ofsub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the followingsub-advisors as of February 29, 2020: Income Research & Management; Western Asset Management Company; and Western Asset Management Company Limited. There were no manager changes during the period.
III. Returns
For the period from March 1, 2019, through February 29, 2020, the Fund’s F class shares returned 11.28%. The Fund’s benchmark—the Bloomberg Barclays US Aggregate Bond Index (USD)—returned 11.68%.
IV. Performance Discussion
The fiscal year began with U.S.-China trade war concerns, Brexit uncertainty and heightened geopolitical tensions; however, accommodative policy responses by the Federal Reserve—which lowered rates three times during the12-month period—helped assuage those fears until late in the reporting period. As noted in the shareholder letter, concerns about the spread of the coronavirus beyond China late in the fiscal year caused market participants to adjust their outlook for a possible U.S. recession. As also addressed in the shareholder letter, yields moved lower on global growth concerns, especially in January and February, when coronavirus fears resulted in a flight to safety. Risk assets and spread sectors enjoyed outperformance until the end of the period.
2-year Treasury yields declined 160 basis points to yield 0.91%, while10-year Treasury yields declined 157 basis points to yield 1.15%, anall-time low.30-year Treasury yields declined 141 basis points to yield 1.68%, also anall-time low, with the majority of the decline occurring over the final two months of the fiscal year. Corporate bonds and the securitized sectors generated positive absolute and excess returns against comparable Treasury bonds.
A slightly long duration posture enhanced Fund performance and an overweight to the30-year segment of the yield curve was also beneficial. While
corporate spreads ended the year close to unchanged, they narrowed for a majority of the fiscal year, before widening in the first two months of 2020. Demand for corporate credit was robust during the year as low global yields attracted investors to the additional yield provided by corporate credit. An overweight to corporates enhanced returns and selection within financials was also additive. Declining yields and continued house price appreciation, as well as improving wages, resulted in strong fundamentals for housing and housing-related sectors; combined with limited new issuance that provided support fornon-agency mortgages, the Fund’s overweight was additive. The Fund’s overweight in the securitized sectors of asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) also benefited, as both U.S. consumer and commercial properties were supported by improving wages and an expanding economy. The Fund moved to an overweight in agency mortgage-backed securities (MBS) during the year, which slightly detracted given the area’s underperformance.
Both managers contributed during the fiscal year. Income Research benefited from overweights to CMBS and ABS, as well as an underweight to agency MBS. Western’s longer duration posture, as well as its overweight to the30-year segment of the curve, enhanced returns. An overweight to investment-grade corporate credit was positive, as was security selection within the financials sector. A small allocation to high-yield and emerging-markets debt generated positive returns, but both allocations underperformed the investment-grade market.
The Fund used Treasury futures, eurodollar futures andto-be-announced (TBA) forward contracts to efficiently manage duration, yield-curve and market exposures. (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie Mae.) None of these had a meaningful impact on performance.
| AVERAGE ANNUAL TOTAL RETURN1 | ||||||
One-Year Return | Three-Year Return | Annualized Inception to Date | ||||
Class F | 11.28% | 5.06% | 3.88% | |||
Class Y | 11.28% | 5.12% | 4.13% | |||
Bloomberg Barclays U.S. Aggregate Bond Index | 11.68% | 5.01% | 3.68% | |||
| 8 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
Comparison of Change in the Value of a $10,000 Investment in the Fixed Income Fund, Class F, versus the Bloomberg Barclays U.S. Aggregate Bond Index
| 1 | For the year ended 2/29/2020. Past performance is no indication of future performance. Class F shares were offered beginning on 4/30/2015 and Class Y share were offered beginning 5/31/2015. The graph is based on only the Class F; performance for Class Y would be different due to differences in fee structures. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
Comparison of Change in the Value of a $10,000 Investment in the Fixed Income Fund, Class Y, versus the Bloomberg Barclays U.S. Aggregate Bond Index
| 1 | For the year ended 2/29/2020. Past performance is no indication of future performance. Class Y shares were offered beginning on 5/31/2015 and Class F share were offered beginning 4/30/2015. The graph is based on only the Class Y; performance for Class F would be different due to differences in fee structures. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 9 |
February 29, 2020
Catholic Values Equity Fund
†Percentages based on total investments.
|
| |||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 75.1% | ||||||||
Communication Services — 6.5% |
| |||||||
Activision Blizzard Inc | 1,536 | $ | 89 | |||||
Alphabet Inc, Cl A * | 1,737 | 2,326 | ||||||
Alphabet Inc, Cl C * | 600 | 804 | ||||||
AT&T Inc | 71,309 | 2,511 | ||||||
Cable One Inc | 159 | 250 | ||||||
Charter Communications Inc, Cl A * | 128 | 63 | ||||||
Cogent Communications Holdings Inc | 825 | 60 | ||||||
Comcast Corp, Cl A | 14,311 | 579 | ||||||
Electronic Arts Inc * | 1,255 | 127 | ||||||
Facebook Inc, Cl A * | 14,219 | 2,737 | ||||||
Fox Corp | 2,882 | 88 | ||||||
Interpublic Group of Cos Inc/The | 2,450 | 52 | ||||||
John Wiley & Sons Inc, Cl A | 1,163 | 43 | ||||||
Live Nation Entertainment Inc * | 9,784 | 595 | ||||||
Madison Square Garden Co/The * | 191 | 51 | ||||||
Netflix Inc * | 639 | 236 | ||||||
Omnicom Group Inc | 21,567 | 1,494 | ||||||
Pinterest Inc, Cl A * | 13,499 | 263 | ||||||
Spotify Technology SA * | 360 | 49 | ||||||
Sprint Corp * | 8,319 | 77 | ||||||
Take-Two Interactive Software Inc * | 734 | 79 | ||||||
T-Mobile US Inc * | 1,965 | 177 | ||||||
Twitter Inc * | 1,626 | 54 | ||||||
Verizon Communications Inc | 38,472 | 2,084 | ||||||
ViacomCBS Inc, Cl B | 2,018 | 50 | ||||||
Walt Disney Co/The | 6,703 | 789 | ||||||
| 15,727 | ||||||||
Consumer Discretionary — 9.5% |
| |||||||
Aaron’s Inc | 1,952 | 77 | ||||||
Amazon.com Inc * | 2,127 | 4,007 | ||||||
American Eagle Outfitters Inc | 3,622 | 47 | ||||||
Aptiv PLC | 6,678 | 522 | ||||||
AutoZone Inc * | 44 | 45 | ||||||
Best Buy Co Inc | 2,027 | 153 | ||||||
Bloomin’ Brands Inc | 12,279 | 221 | ||||||
Booking Holdings Inc * | 27 | 46 | ||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
BorgWarner Inc | 537 | $ | 17 | |||||
Carnival Corp | 25,197 | 843 | ||||||
Cheesecake Factory Inc/The | 4,938 | 176 | ||||||
Cinemark Holdings Inc | 7,063 | 183 | ||||||
Columbia Sportswear Co | 602 | 49 | ||||||
Cooper Tire & Rubber Co | 1,766 | 45 | ||||||
Core-Mark Holding Co Inc | 1,662 | 38 | ||||||
Darden Restaurants Inc | 434 | 42 | ||||||
Dave & Buster’s Entertainment Inc | 6,395 | 211 | ||||||
Designer Brands Inc, Cl A | 6,986 | 94 | ||||||
Dollar General Corp | 12,945 | 1,946 | ||||||
Dollar Tree Inc * | 565 | 47 | ||||||
Domino’s Pizza Inc | 494 | 168 | ||||||
DR Horton Inc | 1,823 | 97 | ||||||
Dunkin’ Brands Group Inc | 777 | 52 | ||||||
eBay Inc | 16,090 | 557 | ||||||
Ford Motor Co | 6,427 | 45 | ||||||
frontdoor Inc * | 1,095 | 46 | ||||||
Gap Inc/The | 2,620 | 37 | ||||||
Garmin Ltd | 814 | 72 | ||||||
General Motors Co | 23,895 | 729 | ||||||
Goodyear Tire & Rubber Co/The | 3,742 | 36 | ||||||
Hanesbrands Inc | 1,600 | 21 | ||||||
Hasbro Inc | 526 | 41 | ||||||
Hilton Worldwide Holdings Inc | 1,519 | 148 | ||||||
Home Depot Inc/The | 4,929 | 1,074 | ||||||
Hyatt Hotels Corp, Cl A | 774 | 59 | ||||||
International Game Technology PLC | 3,712 | 40 | ||||||
Kohl’s Corp | 839 | 33 | ||||||
L Brands Inc | 1,140 | 25 | ||||||
Las Vegas Sands Corp | 4,137 | 241 | ||||||
Lear Corp | 411 | 46 | ||||||
Lowe’s Cos Inc | 20,401 | 2,174 | ||||||
Macy’s Inc | 1,472 | 19 | ||||||
Magna International Inc | 15,024 | 688 | ||||||
Marriott International Inc/MD, Cl A | 679 | 84 | ||||||
McDonald’s Corp | 4,615 | 896 | ||||||
Modine Manufacturing Co * | 56,146 | 419 | ||||||
Mohawk Industries Inc * | 3,343 | 405 | ||||||
Monro Inc | 1,767 | 99 | ||||||
NIKE Inc, Cl B | 7,479 | 669 | ||||||
Nordstrom Inc | 1,516 | 53 | ||||||
Norwegian Cruise Line Holdings Ltd * | 1,053 | 39 | ||||||
O’Reilly Automotive Inc * | 141 | 52 | ||||||
Polaris Inc | 549 | 45 | ||||||
PulteGroup Inc | 17,585 | 707 | ||||||
Ross Stores Inc | 16,509 | 1,796 | ||||||
Royal Caribbean Cruises Ltd | 2,285 | 184 | ||||||
Service Corp International/US | 1,137 | 54 | ||||||
Starbucks Corp | 5,909 | 464 | ||||||
Target Corp | 585 | 60 | ||||||
Tesla Inc * | 308 | 206 | ||||||
| 10 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
TJX Cos Inc/The | 6,986 | $ | 418 | |||||
Tractor Supply Co | 1,428 | 126 | ||||||
Ulta Beauty Inc * | 235 | 60 | ||||||
Urban Outfitters Inc * | 10,226 | 240 | ||||||
Vail Resorts Inc | 213 | 45 | ||||||
VF Corp | 1,652 | 119 | ||||||
Wendy’s Co/The | 2,626 | 50 | ||||||
Williams-Sonoma Inc | 723 | 45 | ||||||
Wyndham Destinations Inc | 1,185 | 47 | ||||||
Wyndham Hotels & Resorts Inc | 874 | 45 | ||||||
Yum China Holdings Inc | 3,981 | 174 | ||||||
Yum! Brands Inc | 560 | 50 | ||||||
| 22,908 | ||||||||
Consumer Staples — 6.5% | ||||||||
Altria Group Inc | 30,349 | 1,225 | ||||||
Andersons Inc/The | 2,352 | 43 | ||||||
Archer-Daniels-Midland Co | 1,290 | 49 | ||||||
Brown-Forman Corp, Cl B | 1,103 | 68 | ||||||
Bunge Ltd | 963 | 45 | ||||||
Calavo Growers Inc | 598 | 43 | ||||||
Campbell Soup Co | 3,192 | 144 | ||||||
Casey’s General Stores Inc | 338 | 55 | ||||||
Clorox Co/The | 1,567 | 250 | ||||||
Coca-Cola Co/The | 17,527 | 938 | ||||||
Colgate-Palmolive Co | 7,862 | 531 | ||||||
Conagra Brands Inc | 42,655 | 1,139 | ||||||
Constellation Brands Inc, Cl A | 832 | 144 | ||||||
Costco Wholesale Corp | 1,758 | 494 | ||||||
Flowers Foods Inc | 2,694 | 58 | ||||||
General Mills Inc | 1,001 | 49 | ||||||
Hain Celestial Group Inc/The * | 2,713 | 64 | ||||||
Hershey Co/The | 1,957 | 282 | ||||||
Hormel Foods Corp | 1,199 | 50 | ||||||
Ingredion Inc | 2,018 | 168 | ||||||
J&J Snack Foods Corp | 282 | 45 | ||||||
JM Smucker Co/The | 14,572 | 1,501 | ||||||
Kellogg Co | 3,231 | 195 | ||||||
Keurig Dr Pepper Inc | 1,806 | 50 | ||||||
Kimberly-Clark Corp | 3,984 | 523 | ||||||
Kraft Heinz Co/The | 1,549 | 38 | ||||||
Kroger Co/The | 53,078 | 1,493 | ||||||
McCormick & Co Inc/MD | 941 | 138 | ||||||
Medifast Inc | 1,600 | 133 | ||||||
Molson Coors Beverage Co, Cl B | 16,232 | 805 | ||||||
Mondelez International Inc, Cl A | 3,900 | 206 | ||||||
Monster Beverage Corp * | 884 | 55 | ||||||
PepsiCo Inc | 7,058 | 932 | ||||||
Philip Morris International Inc | 15,125 | 1,238 | ||||||
Pilgrim’s Pride Corp * | 1,903 | 40 | ||||||
Sprouts Farmers Market Inc * | 6,447 | 103 | ||||||
Sysco Corp | 5,470 | 365 | ||||||
Tyson Foods Inc, Cl A | 7,722 | 524 | ||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Unilever NV | 24,134 | $ | 1,273 | |||||
US Foods Holding Corp * | 1,326 | 45 | ||||||
Walgreens Boots Alliance Inc | 4,725 | 216 | ||||||
| 15,757 | ||||||||
Energy — 2.4% | ||||||||
Antero Resources Corp * | 14,903 | 24 | ||||||
Apache Corp | 1,840 | 46 | ||||||
Baker Hughes Co, Cl A | 1,514 | 24 | ||||||
Cabot Oil & Gas Corp | 3,226 | 45 | ||||||
Chevron Corp | 17,769 | 1,659 | ||||||
ConocoPhillips | 14,292 | 692 | ||||||
Core Laboratories NV | 9,374 | 252 | ||||||
Delek US Holdings Inc | 3,314 | 71 | ||||||
Devon Energy Corp | 1,691 | 27 | ||||||
EOG Resources Inc | 556 | 35 | ||||||
EQT Corp | 4,686 | 28 | ||||||
Exxon Mobil Corp | 5,995 | 308 | ||||||
Gulfport Energy Corp * | 22,131 | 18 | ||||||
Halliburton Co | 15,463 | 262 | ||||||
Helmerich & Payne Inc | 1,311 | 48 | ||||||
Hess Corp | 853 | 48 | ||||||
Kinder Morgan Inc/DE | 20,643 | 396 | ||||||
Kosmos Energy Ltd | 8,047 | 25 | ||||||
Marathon Petroleum Corp | 850 | 40 | ||||||
Occidental Petroleum Corp | 24,687 | 808 | ||||||
ONEOK Inc | 921 | 61 | ||||||
Phillips 66 | 555 | 42 | ||||||
Phillips 66 Partners LP (A) | 994 | 54 | ||||||
Range Resources Corp | 5,600 | 16 | ||||||
Schlumberger Ltd | 26,212 | 710 | ||||||
| 5,739 | ||||||||
Financials — 10.9% | ||||||||
Affiliated Managers Group Inc | 631 | 48 | ||||||
Aflac Inc | 31,869 | 1,366 | ||||||
AGNC Investment Corp ‡ | 2,829 | 48 | ||||||
Allstate Corp/The | 1,314 | 138 | ||||||
Ally Financial Inc | 1,718 | 43 | ||||||
American Equity Investment Life Holding Co | 7,458 | 189 | ||||||
American Express Co | 2,157 | 237 | ||||||
American International Group Inc | 1,158 | 49 | ||||||
Annaly Capital Management Inc ‡ | 44,804 | 397 | ||||||
Aon PLC | 352 | 73 | ||||||
Bancorp Inc/The * | 5,099 | 62 | ||||||
Bank of America Corp | 61,307 | 1,747 | ||||||
Bank of Hawaii Corp | 618 | 46 | ||||||
Bank of New York Mellon Corp/The | 7,482 | 299 | ||||||
Bank OZK | 3,712 | 94 | ||||||
BankUnited Inc | 11,232 | 334 | ||||||
BlackRock Inc, Cl A | 522 | 242 | ||||||
Capital One Financial Corp | 657 | 58 | ||||||
Cboe Global Markets Inc | 459 | 52 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 11 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Equity Fund(Continued)
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Charles Schwab Corp/The | 1,647 | $ | 67 | |||||
Chimera Investment Corp ‡ | 2,685 | 53 | ||||||
Chubb Ltd | 1,561 | 226 | ||||||
Citigroup Inc | 36,340 | 2,306 | ||||||
CME Group Inc, Cl A | 2,621 | 521 | ||||||
CNA Financial Corp | 1,170 | 49 | ||||||
CNO Financial Group Inc | 3,333 | 53 | ||||||
Cohen & Steers Inc | 2,433 | 152 | ||||||
Cowen Inc, Cl A | 9,917 | 148 | ||||||
Credit Acceptance Corp * | 122 | 49 | ||||||
Cullen/Frost Bankers Inc | 599 | 47 | ||||||
Discover Financial Services | 857 | 56 | ||||||
E*TRADE Financial Corp | 6,681 | 306 | ||||||
Equitable Holdings Inc | 2,436 | 52 | ||||||
Essent Group Ltd | 2,911 | 127 | ||||||
Evercore Inc, Cl A | 1,057 | 70 | ||||||
Everest Re Group Ltd | 2,339 | 580 | ||||||
FactSet Research Systems Inc | 513 | 136 | ||||||
Fifth Third Bancorp | 1,877 | 46 | ||||||
First Commonwealth Financial Corp | 17,417 | 206 | ||||||
First Hawaiian Inc | 1,924 | 46 | ||||||
First Republic Bank/CA | 491 | 49 | ||||||
FNB Corp/PA | 24,890 | 251 | ||||||
Franklin Resources Inc | 1,707 | 37 | ||||||
Great Western Bancorp Inc | 7,760 | 209 | ||||||
Green Dot Corp, Cl A * | 2,003 | 68 | ||||||
Hartford Financial Services Group Inc/The | 4,339 | 217 | ||||||
Home BancShares Inc/AR | 4,338 | 73 | ||||||
Huntington Bancshares Inc/OH | 3,797 | 47 | ||||||
Intercontinental Exchange Inc | 9,530 | 850 | ||||||
Invesco Ltd | 3,179 | 46 | ||||||
Janus Henderson Group PLC | 2,462 | 52 | ||||||
JPMorgan Chase & Co | 13,583 | 1,577 | ||||||
KeyCorp | 3,317 | 54 | ||||||
Legg Mason Inc | 1,747 | 87 | ||||||
Lincoln National Corp | 881 | 40 | ||||||
MarketAxess Holdings Inc | 419 | 136 | ||||||
Marsh & McLennan Cos Inc | 24,009 | 2,510 | ||||||
MetLife Inc | 4,026 | 172 | ||||||
MFA Financial Inc ‡ | 7,145 | 52 | ||||||
Moody’s Corp | 599 | 144 | ||||||
Morgan Stanley | 21,240 | 956 | ||||||
Morningstar Inc | 695 | 102 | ||||||
MSCI Inc, Cl A | 753 | 223 | ||||||
Nasdaq Inc | 587 | 60 | ||||||
National General Holdings Corp | 2,508 | 49 | ||||||
Navient Corp | 3,923 | 44 | ||||||
Northern Trust Corp | 2,684 | 236 | ||||||
PNC Financial Services Group Inc/The | 2,121 | 268 | ||||||
Principal Financial Group Inc | 1,152 | 51 | ||||||
Progressive Corp/The | 15,046 | 1,101 | ||||||
Prosperity Bancshares Inc | 1,900 | 123 | ||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Prudential Financial Inc | 5,745 | $ | 434 | |||||
Regions Financial Corp | 5,506 | 74 | ||||||
S&P Global Inc | 5,433 | 1,445 | ||||||
Santander Consumer USA Holdings Inc | 2,144 | 52 | ||||||
SLM Corp | 33,402 | 346 | ||||||
State Street Corp | 28,794 | 1,961 | ||||||
Synchrony Financial | 2,528 | 74 | ||||||
T Rowe Price Group Inc | 1,349 | 159 | ||||||
TD Ameritrade Holding Corp | 1,020 | 43 | ||||||
Travelers Cos Inc/The | 433 | 52 | ||||||
Truist Financial Corp | 2,659 | 123 | ||||||
Two Harbors Investment Corp ‡ | 12,558 | 170 | ||||||
Umpqua Holdings Corp | 19,773 | 304 | ||||||
US Bancorp | 2,210 | 103 | ||||||
Virtu Financial Inc, Cl A | 2,754 | 52 | ||||||
Voya Financial Inc | 1,992 | 105 | ||||||
Willis Towers Watson PLC | 290 | 55 | ||||||
Zions Bancorp NA | 1,209 | 48 | ||||||
| 26,302 | ||||||||
Health Care — 12.4% | ||||||||
Abbott Laboratories | 27,179 | 2,094 | ||||||
ABIOMED Inc * | 297 | 45 | ||||||
Acadia Healthcare Co Inc * | 1,743 | 52 | ||||||
Adaptive Biotechnologies Corp * | 21,754 | 611 | ||||||
Agios Pharmaceuticals Inc * | 5,241 | 249 | ||||||
Alcon Inc * | 10,489 | 643 | ||||||
Alexion Pharmaceuticals Inc * | 6,483 | 610 | ||||||
Align Technology Inc * | 178 | 39 | ||||||
Alkermes PLC * | 8,748 | 182 | ||||||
Alnylam Pharmaceuticals Inc * | 2,438 | 287 | ||||||
AmerisourceBergen Corp, Cl A | 14,468 | 1,220 | ||||||
Anthem Inc | 969 | 249 | ||||||
Avantor Inc * | 39,503 | 622 | ||||||
Baxter International Inc | 8,300 | 693 | ||||||
BioMarin Pharmaceutical Inc * | 5,384 | 487 | ||||||
Boston Scientific Corp * | 31,408 | 1,174 | ||||||
Bruker Corp | 13,975 | 609 | ||||||
Cantel Medical Corp | 1,430 | 90 | ||||||
Cardinal Health Inc | 3,870 | 202 | ||||||
Centene Corp * | 812 | 43 | ||||||
Cerner Corp | 4,557 | 316 | ||||||
Change Healthcare Inc * | 2,000 | 27 | ||||||
Chemed Corp | 330 | 138 | ||||||
Cigna Corp | 2,288 | 419 | ||||||
Covetrus Inc * | 987 | 11 | ||||||
CVS Health Corp | 50,541 | 2,991 | ||||||
DaVita Inc * | 1,288 | 100 | ||||||
DENTSPLY SIRONA Inc | 1,719 | 85 | ||||||
DexCom Inc * | 914 | 252 | ||||||
Edwards Lifesciences Corp * | 2,783 | 570 | ||||||
Elanco Animal Health Inc * | 22,354 | 612 | ||||||
Encompass Health Corp | 1,566 | 117 | ||||||
| 12 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Ensign Group Inc/The | 3,095 | $ | 138 | |||||
Exact Sciences Corp * | 2,022 | 164 | ||||||
Exelixis Inc * | 15,274 | 284 | ||||||
Guardant Health Inc * | 1,334 | 116 | ||||||
Healthpeak Properties Inc ‡ | 7,017 | 222 | ||||||
Henry Schein Inc * | 2,467 | 150 | ||||||
Hill-Rom Holdings Inc | 495 | 48 | ||||||
Hologic Inc * | 1,306 | 62 | ||||||
Horizon Therapeutics Plc * | 31,836 | 1,089 | ||||||
Humana Inc * | 1,123 | 359 | ||||||
ICU Medical Inc * | 171 | 33 | ||||||
IDEXX Laboratories Inc * | 489 | 124 | ||||||
Incyte Corp * | 8,026 | 605 | ||||||
Integra LifeSciences Holdings Corp * | 1,163 | 61 | ||||||
Intuitive Surgical Inc * | 693 | 370 | ||||||
Ionis Pharmaceuticals Inc * | 2,668 | 135 | ||||||
IQVIA Holdings Inc * | 4,622 | 645 | ||||||
Laboratory Corp of America Holdings * | 513 | 90 | ||||||
Magellan Health Inc * | 3,153 | 189 | ||||||
Masimo Corp * | 357 | 58 | ||||||
McKesson Corp | 370 | 52 | ||||||
Mettler-Toledo International Inc * | 959 | 673 | ||||||
Moderna Inc * | 6,336 | 164 | ||||||
Nektar Therapeutics, Cl A * | 30,410 | 633 | ||||||
Neurocrine Biosciences Inc * | 1,794 | 170 | ||||||
Penumbra Inc * | 330 | 55 | ||||||
PRA Health Sciences Inc * | 6,960 | 656 | ||||||
Premier Inc, Cl A * | 1,272 | 37 | ||||||
Quest Diagnostics Inc | 2,735 | 290 | ||||||
ResMed Inc | 2,570 | 408 | ||||||
Sage Therapeutics Inc * | 1,048 | 49 | ||||||
Sarepta Therapeutics Inc * | 2,080 | 238 | ||||||
Seattle Genetics Inc * | 1,982 | 226 | ||||||
STERIS PLC | 1,076 | 171 | ||||||
Stryker Corp | 2,405 | 458 | ||||||
Teleflex Inc | 473 | 158 | ||||||
Tivity Health Inc * | 14,847 | 188 | ||||||
United Therapeutics Corp * | 4,865 | 501 | ||||||
Varian Medical Systems Inc * | 2,254 | 277 | ||||||
Veeva Systems Inc, Cl A * | 378 | 54 | ||||||
Vertex Pharmaceuticals Inc * | 6,085 | 1,363 | ||||||
Waters Corp * | 3,288 | 641 | ||||||
West Pharmaceutical Services Inc | 999 | 150 | ||||||
Zimmer Biomet Holdings Inc | 5,327 | 725 | ||||||
Zoetis Inc, Cl A | 5,540 | 738 | ||||||
| 29,856 | ||||||||
Industrials — 6.4% | ||||||||
3M Co | 8,358 | 1,247 | ||||||
ACCO Brands Corp | 6,870 | 55 | ||||||
ADT Inc | 6,874 | 44 | ||||||
AGCO Corp | 675 | 41 | ||||||
Alaska Air Group Inc | 775 | 39 | ||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Allegion plc | 536 | $ | 62 | |||||
Allison Transmission Holdings Inc | 400 | 16 | ||||||
AMERCO | 140 | 45 | ||||||
American Airlines Group Inc | 21,513 | 410 | ||||||
AMETEK Inc | 605 | 52 | ||||||
AO Smith Corp | 943 | 37 | ||||||
Apogee Enterprises Inc | 11,422 | 345 | ||||||
Armstrong World Industries Inc | 200 | 20 | ||||||
ASGN Inc * | 744 | 38 | ||||||
Astec Industries Inc | 2,843 | 107 | ||||||
Atlas Air Worldwide Holdings Inc * | 2,238 | 60 | ||||||
Caterpillar Inc | 357 | 44 | ||||||
Chart Industries Inc * | 2,499 | 142 | ||||||
Cintas Corp | 3,204 | 855 | ||||||
Clean Harbors Inc * | 646 | 45 | ||||||
Colfax Corp * | 1,869 | 63 | ||||||
CoStar Group Inc * | 101 | 67 | ||||||
CSX Corp | 1,508 | 106 | ||||||
Cummins Inc | 1,667 | 252 | ||||||
Deere & Co | 1,422 | 223 | ||||||
Delta Air Lines Inc | 6,659 | 307 | ||||||
Donaldson Co Inc | 397 | 18 | ||||||
Dover Corp | 1,366 | 140 | ||||||
Eaton Corp PLC | 7,424 | 674 | ||||||
Emerson Electric Co | 1,607 | 103 | ||||||
Equifax Inc | 375 | 53 | ||||||
Fastenal Co | 1,480 | 51 | ||||||
FedEx Corp | 1,376 | 194 | ||||||
Flowserve Corp | 1,306 | 52 | ||||||
Fortive Corp | 627 | 43 | ||||||
Gates Industrial Corp PLC * | 5,238 | 55 | ||||||
Graco Inc | 401 | 20 | ||||||
GrafTech International Ltd | 3,996 | 33 | ||||||
HD Supply Holdings Inc * | 1,156 | 44 | ||||||
HEICO Corp | 674 | 73 | ||||||
Hexcel Corp | 889 | 57 | ||||||
Hubbell Inc, Cl B | 100 | 13 | ||||||
IAA Inc * | 500 | 21 | ||||||
IHS Markit Ltd | 1,072 | 76 | ||||||
Illinois Tool Works Inc | 9,041 | 1,517 | ||||||
Ingersoll-Rand PLC | 3,308 | 427 | ||||||
JB Hunt Transport Services Inc | 477 | 46 | ||||||
JetBlue Airways Corp * | 2,913 | 46 | ||||||
Johnson Controls International plc | 8,766 | 321 | ||||||
Kansas City Southern | 423 | 64 | ||||||
KAR Auction Services Inc | 3,646 | 70 | ||||||
Landstar System Inc | 477 | 48 | ||||||
LB Foster Co, Cl A * | 2,646 | 42 | ||||||
Lennox International Inc | 194 | 44 | ||||||
Macquarie Infrastructure Corp | 1,159 | 45 | ||||||
ManpowerGroup Inc | 944 | 72 | ||||||
Masco Corp | 1,719 | 71 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 13 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Equity Fund(Continued)
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
MSC Industrial Direct Co Inc, Cl A | 923 | $ | 57 | |||||
Nielsen Holdings PLC | 2,443 | 44 | ||||||
Nordson Corp | 843 | 122 | ||||||
nVent Electric PLC | 2,436 | 58 | ||||||
Oshkosh Corp | 837 | 60 | ||||||
Owens Corning | 2,456 | 139 | ||||||
PACCAR Inc | 771 | 52 | ||||||
Parker-Hannifin Corp | 356 | 66 | ||||||
Pentair PLC | 1,364 | 54 | ||||||
Regal Beloit Corp | 733 | 57 | ||||||
Republic Services Inc, Cl A | 700 | 63 | ||||||
Resideo Technologies Inc * | 2,553 | 27 | ||||||
Robert Half International Inc | 846 | 43 | ||||||
Rockwell Automation Inc | 1,053 | 193 | ||||||
Rollins Inc | 1,349 | 51 | ||||||
Roper Technologies Inc | 173 | 61 | ||||||
Ryder System Inc | 1,027 | 39 | ||||||
Schneider National Inc, Cl B | 2,470 | 44 | ||||||
Sensata Technologies Holding PLC * | 1,149 | 47 | ||||||
Snap-on Inc | 657 | 95 | ||||||
Southwest Airlines Co | 1,122 | 52 | ||||||
Spirit AeroSystems Holdings Inc, Cl A | 1,276 | 67 | ||||||
Stanley Black & Decker Inc | 4,507 | 648 | ||||||
Tetra Tech Inc | 604 | 49 | ||||||
Timken Co/The | 1,209 | 54 | ||||||
Toro Co/The | 721 | 52 | ||||||
TransDigm Group Inc | 1,140 | 636 | ||||||
Trinity Industries Inc | 2,541 | 52 | ||||||
Uber Technologies Inc * | 1,225 | 42 | ||||||
United Airlines Holdings Inc * | 1,139 | 70 | ||||||
United Parcel Service Inc, Cl B | 2,273 | 206 | ||||||
United Rentals Inc * | 402 | 53 | ||||||
Univar Solutions Inc * | 2,330 | 40 | ||||||
Valmont Industries Inc | 383 | 45 | ||||||
Verisk Analytics Inc, Cl A | 474 | 74 | ||||||
WABCO Holdings Inc * | 401 | 54 | ||||||
Waste Management Inc | 3,911 | 433 | ||||||
Watsco Inc | 331 | 52 | ||||||
WESCO International Inc * | 1,999 | 81 | ||||||
Westinghouse Air Brake Technologies Corp | 720 | 49 | ||||||
Woodward Inc | 485 | 50 | ||||||
WW Grainger Inc | 5,535 | 1,536 | ||||||
Xylem Inc/NY | 6,247 | 483 | ||||||
| 15,505 | ||||||||
Information Technology — 14.4% |
| |||||||
Accenture PLC, Cl A | 3,770 | 681 | ||||||
Adobe Inc * | 6,489 | 2,239 | ||||||
Advanced Micro Devices Inc * | 1,592 | 72 | ||||||
Akamai Technologies Inc * | 623 | 54 | ||||||
Alliance Data Systems Corp | 550 | 47 | ||||||
Amdocs Ltd | 2,854 | 182 | ||||||
Analog Devices Inc | 1,648 | 180 | ||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
ANSYS Inc * | 247 | $ | 60 | |||||
Apple Inc | 16,799 | 4,592 | ||||||
Applied Materials Inc | 8,190 | 476 | ||||||
Arista Networks Inc * | 1,035 | 200 | ||||||
Atlassian Corp PLC, Cl A * | 391 | 57 | ||||||
Autodesk Inc * | 816 | 156 | ||||||
Automatic Data Processing Inc | 3,388 | 524 | ||||||
Avalara Inc * | 580 | 49 | ||||||
Badger Meter Inc | 1,861 | 112 | ||||||
Broadcom Inc | 1,407 | 384 | ||||||
Broadridge Financial Solutions Inc | 422 | 44 | ||||||
Cabot Microelectronics Corp | 872 | 121 | ||||||
Cadence Design Systems Inc * | 832 | 55 | ||||||
Cerence Inc * | 2,304 | 50 | ||||||
Cisco Systems Inc | 17,608 | 703 | ||||||
Cognex Corp | 1,339 | 60 | ||||||
Cognizant Technology Solutions Corp, Cl A | 621 | 38 | ||||||
CommScope Holding Co Inc * | 4,486 | 49 | ||||||
Cree Inc * | 500 | 22 | ||||||
Crowdstrike Holdings Inc, Cl A * | 3,869 | 231 | ||||||
Dell Technologies Inc, Cl C * | 1,116 | 45 | ||||||
DXC Technology Co | 691 | 17 | ||||||
EPAM Systems Inc * | 306 | 68 | ||||||
Fidelity National Information Services Inc | 10,000 | 1,397 | ||||||
First Solar Inc * | 343 | 16 | ||||||
Fiserv Inc * | 509 | 56 | ||||||
Genpact Ltd | 1,364 | 52 | ||||||
Global Payments Inc | 2,827 | 520 | ||||||
GoDaddy Inc, Cl A * | 834 | 58 | ||||||
Hewlett Packard Enterprise Co | 12,502 | 160 | ||||||
HP Inc | 15,698 | 326 | ||||||
II-VI Inc * | 3,451 | 102 | ||||||
Intuit Inc | 1,427 | 379 | ||||||
IPG Photonics Corp * | 399 | 51 | ||||||
Jabil Inc | 1,463 | 47 | ||||||
Jack Henry & Associates Inc | 558 | 85 | ||||||
Juniper Networks Inc | 2,222 | 47 | ||||||
Keysight Technologies Inc * | 2,242 | 212 | ||||||
KLA Corp | 445 | 68 | ||||||
Lam Research Corp | 1,246 | 366 | ||||||
Littelfuse Inc | 331 | 53 | ||||||
LogMeIn Inc | 1,178 | 100 | ||||||
Mastercard Inc, Cl A | 3,434 | 997 | ||||||
Maxim Integrated Products Inc | 912 | 51 | ||||||
Microchip Technology Inc | 11,543 | 1,047 | ||||||
Micron Technology Inc * | 3,474 | 183 | ||||||
Microsoft Corp | 40,199 | 6,513 | ||||||
Motorola Solutions Inc | 302 | 50 | ||||||
National Instruments Corp | 400 | 16 | ||||||
NCR Corp * | 4,554 | 115 | ||||||
NetApp Inc | 980 | 46 | ||||||
NortonLifeLock Inc | 1,997 | 38 | ||||||
| 14 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
NVIDIA Corp | 4,762 | $ | 1,286 | |||||
Okta Inc, Cl A * | 490 | 63 | ||||||
ON Semiconductor Corp * | 2,294 | 43 | ||||||
PayPal Holdings Inc * | 10,264 | 1,108 | ||||||
QUALCOMM Inc | 4,917 | 385 | ||||||
salesforce.com Inc * | 14,309 | 2,438 | ||||||
Skyworks Solutions Inc | 606 | 61 | ||||||
Super Micro Computer Inc * | 23,511 | 597 | ||||||
SYNNEX Corp | 404 | 51 | ||||||
Teradata Corp * | 1,351 | 27 | ||||||
Texas Instruments Inc | 4,800 | 548 | ||||||
Universal Display Corp | 324 | 51 | ||||||
VeriSign Inc * | 270 | 51 | ||||||
Visa Inc, Cl A | 16,706 | 3,036 | ||||||
VMware Inc, Cl A * | 382 | 46 | ||||||
Workday Inc, Cl A * | 251 | 44 | ||||||
Xerox Holdings Corp | 737 | 24 | ||||||
Xilinx Inc | 598 | 50 | ||||||
| 34,628 | ||||||||
Materials — 3.1% | ||||||||
Air Products & Chemicals Inc | 3,688 | 810 | ||||||
Alcoa Corp * | 2,528 | 35 | ||||||
AptarGroup Inc | 1,090 | 110 | ||||||
Avery Dennison Corp | 400 | 46 | ||||||
Axalta Coating Systems Ltd * | 700 | 17 | ||||||
B2Gold Corp | 22,920 | 91 | ||||||
Ball Corp | 5,045 | 356 | ||||||
Berry Global Group Inc * | 1,067 | 41 | ||||||
Cabot Corp | 1,164 | 44 | ||||||
Century Aluminum Co * | 9,125 | 53 | ||||||
Commercial Metals Co | 13,873 | 253 | ||||||
Corteva Inc | 14,578 | 397 | ||||||
Crown Holdings Inc * | 11,818 | 833 | ||||||
Domtar Corp | 1,435 | 41 | ||||||
Dow Inc | 975 | 39 | ||||||
DuPont de Nemours Inc | 4,840 | 208 | ||||||
Eastman Chemical Co | 5,513 | 339 | ||||||
Ecolab Inc | 466 | 84 | ||||||
FMC Corp | 524 | 49 | ||||||
Freeport-McMoRan Inc | 28,122 | 280 | ||||||
Huntsman Corp | 7,027 | 133 | ||||||
International Flavors & Fragrances Inc | 737 | 88 | ||||||
International Paper Co | 1,238 | 46 | ||||||
Linde PLC | 2,709 | 517 | ||||||
Livent Corp * | 9,157 | 82 | ||||||
LyondellBasell Industries NV, Cl A | 607 | 43 | ||||||
Newmont Corp | 28,149 | 1,256 | ||||||
Nucor Corp | 870 | 36 | ||||||
O-I Glass Inc, Cl I | 5,327 | 58 | ||||||
PPG Industries Inc | 510 | 53 | ||||||
Quaker Chemical Corp | 350 | 55 | ||||||
Royal Gold Inc | 466 | 45 | ||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Sherwin-Williams Co/The | 1,291 | $ | 667 | |||||
Sonoco Products Co | 903 | 44 | ||||||
Steel Dynamics Inc | 1,777 | 47 | ||||||
United States Steel Corp | 3,984 | 32 | ||||||
Valvoline Inc | 2,446 | 48 | ||||||
Vulcan Materials Co | 363 | 44 | ||||||
Westrock Co | 1,448 | 48 | ||||||
| 7,468 | ||||||||
Real Estate — 1.6% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 885 | 134 | ||||||
American Campus Communities Inc ‡ | 1,095 | 48 | ||||||
American Tower Corp ‡ | 1,117 | 253 | ||||||
AvalonBay Communities Inc ‡ | 909 | 182 | ||||||
Brandywine Realty Trust ‡ | 3,873 | 53 | ||||||
CBRE Group Inc, Cl A *‡ | 6,783 | 381 | ||||||
Colony Capital Inc ‡ | 9,970 | 39 | ||||||
CoreSite Realty Corp ‡ | 699 | 73 | ||||||
Corporate Office Properties Trust ‡ | 2,505 | 63 | ||||||
Crown Castle International Corp ‡ | 1,420 | 203 | ||||||
CubeSmart ‡ | 1,472 | 45 | ||||||
Digital Realty Trust Inc ‡ | 437 | 52 | ||||||
Equinix Inc ‡ | 145 | 83 | ||||||
Equity Residential ‡ | 780 | 59 | ||||||
Essex Property Trust Inc ‡ | 187 | 53 | ||||||
Extra Space Storage Inc ‡ | 438 | 44 | ||||||
Federal Realty Investment Trust ‡ | 402 | 47 | ||||||
Gaming and Leisure Properties Inc ‡ | 1,375 | 61 | ||||||
Host Hotels & Resorts Inc ‡ | 7,990 | 116 | ||||||
Howard Hughes Corp/The *‡ | 411 | 44 | ||||||
Iron Mountain Inc ‡ | 1,533 | 47 | ||||||
Jones Lang LaSalle Inc ‡ | 410 | 61 | ||||||
Kennedy-Wilson Holdings Inc ‡ | 2,346 | 47 | ||||||
Kilroy Realty Corp ‡ | 811 | 59 | ||||||
Kimco Realty Corp ‡ | 2,506 | 43 | ||||||
Life Storage Inc ‡ | 520 | 56 | ||||||
National Retail Properties Inc ‡ | 993 | 51 | ||||||
Prologis Inc ‡ | 7,761 | 654 | ||||||
Public Storage ‡ | 298 | 62 | ||||||
Realty Income Corp ‡ | 747 | 54 | ||||||
Regency Centers Corp ‡ | 826 | 47 | ||||||
Ryman Hospitality Properties Inc ‡ | 610 | 42 | ||||||
Simon Property Group Inc ‡ | 566 | 70 | ||||||
SL Green Realty Corp ‡ | 586 | 46 | ||||||
STORE Capital Corp ‡ | 1,477 | 49 | ||||||
Ventas Inc ‡ | 1,890 | 102 | ||||||
VEREIT Inc ‡ | 6,295 | 55 | ||||||
Vornado Realty Trust ‡ | 765 | 41 | ||||||
Welltower Inc ‡ | 1,829 | 137 | ||||||
Weyerhaeuser Co ‡ | 5,915 | 154 | ||||||
| 3,910 | ||||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 15 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Equity Fund(Continued)
| Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Utilities — 1.4% | ||||||||
Algonquin Power & Utilities Corp | 10,124 | $ | 151 | |||||
Ameren Corp | 786 | 62 | ||||||
American Electric Power Co Inc | 675 | 60 | ||||||
American States Water Co | 596 | 46 | ||||||
American Water Works Co Inc | 1,550 | 192 | ||||||
Avangrid Inc | 1,034 | 51 | ||||||
CMS Energy Corp | 6,772 | 409 | ||||||
Consolidated Edison Inc | 664 | 52 | ||||||
Dominion Energy Inc | 694 | 54 | ||||||
DTE Energy Co | 416 | 46 | ||||||
Duke Energy Corp | 1,264 | 116 | ||||||
Edison International | 839 | 56 | ||||||
Entergy Corp | 595 | 70 | ||||||
Eversource Energy | 3,118 | 270 | ||||||
Exelon Corp | 6,186 | 267 | ||||||
FirstEnergy Corp | 1,272 | 57 | ||||||
NextEra Energy Inc | 1,489 | 376 | ||||||
NiSource Inc | 1,898 | 51 | ||||||
Pinnacle West Capital Corp | 566 | 51 | ||||||
PPL Corp | 1,714 | 51 | ||||||
Public Service Enterprise Group Inc | 1,789 | 92 | ||||||
Sempra Energy | 466 | 65 | ||||||
Southern Co/The | 1,127 | 68 | ||||||
UGI Corp | 1,182 | 43 | ||||||
WEC Energy Group Inc | 737 | 68 | ||||||
Xcel Energy Inc | 6,735 | 420 | ||||||
| 3,244 | ||||||||
Total Common Stock | 181,044 | |||||||
FOREIGN COMMON STOCK — 22.9% |
| |||||||
Australia — 0.4% | ||||||||
BHP Group Ltd ADR | 22,006 | 953 | ||||||
South32 Ltd ADR | 5,251 | 37 | ||||||
| 990 | ||||||||
Austria — 0.7% | ||||||||
Erste Group Bank AG | 28,543 | 973 | ||||||
Schoeller-Bleckmann Oilfield Equipment AG | 4,496 | 183 | ||||||
voestalpine AG | 21,904 | 476 | ||||||
| 1,632 | ||||||||
Bermuda — 0.2% | ||||||||
Marvell Technology Group Ltd | 20,966 | 447 | ||||||
Brazil — 0.3% | ||||||||
Banco Bradesco SA ADR | 83,269 | 565 | ||||||
Banco Santander SA ADR | 18,970 | 69 | ||||||
| 634 | ||||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) |
| |||||||
Canada — 1.1% | ||||||||
Canadian Natural Resources Ltd | 54,520 | $ | 1,407 | |||||
Magna International Inc | 17,257 | 785 | ||||||
Rogers Communications Inc, Cl B | 9,788 | 449 | ||||||
| 2,641 | ||||||||
Chile — 0.1% | ||||||||
Sociedad Quimica y Minera de Chile SA ADR | 5,090 | 139 | ||||||
China — 1.7% | ||||||||
Alibaba Group Holding Ltd ADR * | 9,602 | 1,997 | ||||||
Anhui Conch Cement Co Ltd, Cl H | 176,500 | 1,294 | ||||||
Baidu Inc ADR * | 2,280 | 274 | ||||||
BYD Co Ltd, Cl H | 102,000 | 624 | ||||||
| 4,189 | ||||||||
Colombia — 0.4% | ||||||||
Bancolombia SA ADR | 21,447 | 1,018 | ||||||
Czech Republic — 0.2% | ||||||||
Komercni banka as | 18,993 | 579 | ||||||
France — 1.4% | ||||||||
Capgemini SE | 11,367 | 1,239 | ||||||
Societe Generale SA | 29,345 | 825 | ||||||
Sodexo SA | 13,340 | 1,271 | ||||||
| 3,335 | ||||||||
Germany — 1.0% | ||||||||
BASF SE | 10,767 | 628 | ||||||
Continental AG | 8,173 | 912 | ||||||
Vonovia SE ‡ | 18,319 | 978 | ||||||
| 2,518 | ||||||||
Hong Kong — 1.0% | ||||||||
ANTA Sports Products Ltd | 60,000 | 482 | ||||||
China Life Insurance Co Ltd, Cl H | 544,000 | 1,275 | ||||||
Sinopharm Group Co Ltd, Cl H | 206,000 | 636 | ||||||
| 2,393 | ||||||||
India — 0.8% | ||||||||
HDFC Bank Ltd ADR | 16,647 | 913 | ||||||
ICICI Bank Ltd ADR | 72,838 | 1,010 | ||||||
| 1,923 | ||||||||
Ireland — 1.9% | ||||||||
ICON PLC * | 15,594 | 2,433 | ||||||
Jazz Pharmaceuticals PLC * | 8,971 | 1,028 | ||||||
Medtronic PLC | 11,729 | 1,181 | ||||||
| 4,642 | ||||||||
Israel — 0.4% | ||||||||
Check Point Software Technologies Ltd * | 8,209 | 852 | ||||||
Italy — 0.4% | ||||||||
Prysmian SpA | 36,774 | 864 | ||||||
| 16 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) |
| |||||||
Japan — 1.3% | ||||||||
Denso Corp | 35,200 | $ | 1,377 | |||||
Hitachi Ltd | 29,500 | 995 | ||||||
Toray Industries Inc | 129,300 | 749 | ||||||
| 3,121 | ||||||||
Mexico — 0.3% | ||||||||
Grupo Financiero Banorte SAB de CV, Cl O | 132,600 | 721 | ||||||
Netherlands — 2.3% | ||||||||
Heineken NV | 13,435 | 1,332 | ||||||
NXP Semiconductors NV | 7,872 | 895 | ||||||
RELX PLC | 51,732 | 1,231 | ||||||
Royal Dutch Shell PLC, Cl A | 28,974 | 618 | ||||||
Royal Dutch Shell PLC ADR, Cl A | 31,237 | 1,375 | ||||||
Royal Dutch Shell PLC ADR, Cl B | 3,500 | 156 | ||||||
| 5,607 | ||||||||
Norway — 1.2% | ||||||||
DNB ASA | 87,206 | 1,435 | ||||||
Equinor ASA ADR | 71,816 | 1,117 | ||||||
Norsk Hydro ASA | 100,136 | 282 | ||||||
| 2,834 | ||||||||
Puerto Rico — 0.0% | ||||||||
OFG Bancorp | 2,668 | 45 | ||||||
Popular Inc | 1,000 | 48 | ||||||
| 93 | ||||||||
Singapore — 0.6% | ||||||||
DBS Group Holdings Ltd | 81,100 | 1,401 | ||||||
South Korea — 0.5% | ||||||||
Samsung Electronics Co Ltd | 25,496 | 1,138 | ||||||
| Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) |
| |||||||
Spain — 0.5% | ||||||||
Amadeus IT Group SA, Cl A | 16,922 | $ | 1,180 | |||||
Switzerland — 0.4% | ||||||||
Credit Suisse Group AG ADR | 87,452 | 986 | ||||||
Taiwan — 1.3% | ||||||||
ASE Technology Holding Co Ltd | 337,700 | 795 | ||||||
Hon Hai Precision Industry Co Ltd | 136,960 | 363 | ||||||
Taiwan Semiconductor Manufacturing Co Ltd | 194,000 | 2,025 | ||||||
| 3,183 | ||||||||
United Kingdom — 2.5% | ||||||||
Barclays PLC | 214,845 | 408 | ||||||
BP PLC ADR | 36,318 | 1,137 | ||||||
Diageo PLC | 43,013 | 1,519 | ||||||
GVC Holdings PLC | 51,777 | 522 | ||||||
GW Pharmaceuticals PLC | 7,561 | 774 | ||||||
HSBC Holdings PLC | 28,248 | 189 | ||||||
ITV PLC | 436,426 | 650 | ||||||
Rio Tinto PLC ADR | 16,584 | 778 | ||||||
| 5,977 | ||||||||
Total Foreign Common Stock | 55,037 | |||||||
CASH EQUIVALENT — 1.5% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
1.430%**† | 3,619,757 | 3,620 | ||||||
Total Cash Equivalent (Cost $3,620) ($ Thousands) | 3,620 | |||||||
Total Investments in Securities — 99.5% |
| $ | 239,701 | |||||
A list of the open futures contracts held by the Fund at February 29, 2020, is as follows:
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||||
Russell 2000 Index E-MINI | 7 | Mar-2020 | $ | 562 | $ | 516 | $ | (46) | ||||||||||||
S&P 500 Index E-MINI | 22 | Mar-2020 | 3,628 | 3,246 | (382) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
| 4,190 | $ | 3,762 | $ | (428) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Percentages are based on Net Assets of $240,952 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of February 29, 2020. |
| ‡ | Real Estate Investment Trust. |
| † | Investment in Affiliate. |
| (A) | Security is a Master Limited Partnership. At February 29, 2020, such securities amounted to $54 ($ Thousands), or 0.0% of the net assets of the Fund (See Note 2). |
ADR — American Depositary Receipt
Cl — Class
LP — Limited Partnership
PLC — Public Limited Company
S&P— Standard & Poor’s
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 17 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Equity Fund(Concluded)
As of February 29, 2020, all of the Fund’s investments and other financial instruments were considered For the year ended February 29, 2020, there were no transfers in or out of Level 3 securities. Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
The following is a summary of the Fund’s transactions with affiliates for the year ended February 29, 2020 ($ Thousands):
| Security Description | Value at 2/28/2019 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 2/29/2020 | Shares | Income | Capital Gains | ||||||||||||||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | $5,352 | $51,154 | $(52,886) | $— | $— | $3,620 | 3,619,757 | $132 | $— | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||
Amounts designated as “-” are $0.
The accompanying notes are an integral part of the financial statements.
| 18 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund
Sector Weightings (Unaudited)†:
†Percentages based on total investments.
|
| |||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 37.3% |
| |||||||
Agency Mortgage-Backed Obligations — 29.5% |
| |||||||
FHLMC | ||||||||
6.000%, 03/01/2035 to 07/01/2040 | $ | 563 | $ | 659 | ||||
5.500%, 04/01/2030 | 203 | 222 | ||||||
5.000%, 06/01/2041 to 01/01/2049 | 893 | 987 | ||||||
4.500%, 06/01/2038 to 02/01/2050 | 1,101 | 1,198 | ||||||
4.000%, 07/01/2037 to 11/01/2049 | 2,365 | 2,522 | ||||||
3.500%, 03/01/2043 to 03/31/2050 | 2,703 | 2,854 | ||||||
3.000%, 09/01/2036 to 03/01/2050 | 6,823 | 7,122 | ||||||
2.500%, 12/01/2049 to 02/01/2050 | 496 | 507 | ||||||
FHLMC CMO, Ser 2012-4057, Cl CS, IO | ||||||||
4.392%, VAR ICE LIBOR USD 1 | 16 | 1 | ||||||
FHLMC CMO, Ser 2014-328, Cl S4, IO | ||||||||
2.287%, 02/15/2038 (A) | 49 | 3 | ||||||
FHLMC CMO, Ser 2014-4415, Cl IO, IO | ||||||||
2.257%, 04/15/2041 (A) | 234 | 12 | ||||||
FHLMC CMO, Ser 2015-4494, Cl AI, IO | ||||||||
2.383%, 11/15/2038 (A) | 235 | 13 | ||||||
FHLMC CMO, Ser 2018-4813, Cl CJ | ||||||||
3.000%, 08/15/2048 | 95 | 97 | ||||||
FNMA | ||||||||
5.000%, 10/01/2033 to 08/01/2049 | 3,257 | 3,645 | ||||||
4.500%, 07/01/2033 to 09/01/2057 | 3,885 | 4,220 | ||||||
4.000%, 04/01/2036 to 06/01/2057 | 3,121 | 3,370 | ||||||
3.525%, 02/01/2029 | 300 | 341 | ||||||
3.500%, 10/01/2037 to 03/01/2057 | 8,900 | 9,433 | ||||||
3.350%, 05/01/2029 | 10 | 11 | ||||||
3.260%, 05/01/2029 | 10 | 11 | ||||||
3.240%, 05/01/2029 | 40 | 45 | ||||||
3.160%, 05/01/2029 | 20 | 22 | ||||||
3.000%, 12/01/2037 to 03/01/2050 | 5,442 | 5,689 | ||||||
2.810%, 04/01/2025 | 40 | 43 | ||||||
2.790%, 08/01/2029 | 100 | 109 | ||||||
2.765%, 08/01/2031 | 100 | 109 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA TBA | ||||||||
4.500%, 03/01/2045 to 04/15/2045 | $ | 1,400 | $ | 1,494 | ||||
4.000%, 03/01/2039 | 300 | 316 | ||||||
3.500%, 03/15/2045 | 500 | 519 | ||||||
FNMA, Ser 2015-55, Cl IO, IO | ||||||||
1.884%, 08/25/2055 (A) | 204 | 11 | ||||||
FNMA, Ser 2015-56, Cl AS, IO | ||||||||
4.523%, VAR ICE LIBOR USD 1 | 231 | 55 | ||||||
FNMA, Ser 2019-M1, Cl A2 | ||||||||
3.555%, 09/25/2028 (A) | 210 | 241 | ||||||
FNMA, Ser 2019-M4, Cl A2 | ||||||||
3.610%, 02/25/2031 | 40 | 46 | ||||||
FNMA, Ser 2019-M5, Cl A2 | ||||||||
3.273%, 01/25/2029 | 70 | 79 | ||||||
FNMA, Ser 2019-M6, Cl A2 | ||||||||
3.450%, 01/01/2029 | 70 | 79 | ||||||
GNMA | ||||||||
5.000%, 04/15/2048 to 01/20/2049 | 466 | 502 | ||||||
4.500%, 01/15/2042 to 04/20/2049 | 2,187 | 2,351 | ||||||
4.000%, 08/15/2045 to 12/20/2047 | 817 | 875 | ||||||
3.500%, 01/20/2047 to 10/20/2049 | 557 | 587 | ||||||
3.000%, 09/15/2042 to 01/20/2050 | 800 | 830 | ||||||
GNMA CMBS, Ser 2018-130, Cl A | ||||||||
3.250%, 05/16/2059 | 85 | 88 | ||||||
GNMA CMO, Ser 2007-51, Cl SG, IO | ||||||||
4.933%, VAR ICE LIBOR USD 1 | 13 | 2 | ||||||
GNMA CMO, Ser 2012-34, Cl SA, IO | ||||||||
4.403%, VAR ICE LIBOR USD 1 | 133 | 30 | ||||||
GNMA CMO, Ser 2012-43, Cl SN, IO | ||||||||
4.942%, VAR ICE LIBOR USD 1 | 112 | 27 | ||||||
GNMA CMO, Ser 2012-H27, Cl AI, IO | ||||||||
1.759%, VAR ICE LIBOR USD 1 | 88 | 4 | ||||||
GNMA CMO, Ser 2014-118, Cl HS, IO | ||||||||
4.553%, VAR ICE LIBOR USD 1 | 244 | 56 | ||||||
GNMA TBA | ||||||||
2.500%, 03/23/2169 | 100 | 103 | ||||||
| 51,540 | ||||||||
Non-Agency Mortgage-Backed Obligations — 7.8% |
| |||||||
BANK, Ser 2017-BNK8, Cl XA, IO | ||||||||
0.742%, 11/15/2050 (A) | 1,645 | 81 | ||||||
BBCCRE Trust, Ser 2015-GTP, Cl D | ||||||||
4.563%, 08/10/2033 (A)(B) | 140 | 145 | ||||||
Bear Stearns Asset Backed Securities I Trust, Ser 2004-AC6, Cl A1 | ||||||||
5.750%, 11/25/2034 | 79 | 80 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 19 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Continued)
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Benchmark Mortgage Trust, Ser 2019-B15, Cl A5 | ||||||||
2.928%, 12/15/2072 | $ | 183 | $ | 198 | ||||
BX Commercial Mortgage Trust, Ser XL, Cl A | ||||||||
2.579%, VAR ICE LIBOR USD 1 Month+0.920%, 10/15/2036 (B) | 471 | 473 | ||||||
BXP Trust, Ser 2017-CQHP, Cl A | ||||||||
2.509%, VAR ICE LIBOR USD 1 Month+0.850%, 11/15/2034 (B) | 190 | 190 | ||||||
Chevy Chase Funding Mortgage-Backed Certificates, Ser 2004-2A, Cl A1 | ||||||||
1.897%, VAR ICE LIBOR USD 1 Month+0.270%, 05/25/2035 (B) | 105 | 104 | ||||||
Chevy Chase Funding Mortgage-Backed Certificates, Ser 2004-2A, Cl B1 | ||||||||
2.271%, 05/25/2035 (A)(B) | 214 | 175 | ||||||
COMM Mortgage Trust, Ser 2013-CR6, Cl B | ||||||||
3.397%, 03/10/2046 (B) | 100 | 104 | ||||||
COMM Mortgage Trust, Ser 2013-CR8, Cl A4 | ||||||||
3.334%, 06/10/2046 | 329 | 346 | ||||||
COMM Mortgage Trust, Ser 2015-CR24, Cl AM | ||||||||
4.028%, 08/10/2048 (A) | 90 | 99 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl F | ||||||||
4.309%, VAR ICE LIBOR USD 1 Month+2.650%, 05/15/2036 (B) | 190 | 190 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2015- C2, Cl AS | ||||||||
3.849%, 06/15/2057 (A) | 210 | 227 | ||||||
CSMC Trust, Ser 2017-HL1, Cl A3 | ||||||||
3.500%, 06/25/2047 (A)(B) | 183 | 187 | ||||||
CSMC Trust, Ser 2017-TIME, Cl A | ||||||||
3.646%, 11/13/2039 (B) | 100 | 112 | ||||||
CSMC Trust, Ser 2018-J1, Cl A2 | ||||||||
3.500%, 02/25/2048 (A)(B) | 496 | 511 | ||||||
EverBank Mortgage Loan Trust, Ser 2018-1, Cl A22 | ||||||||
3.500%, 02/25/2048 (A)(B) | 200 | 206 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA2, Cl M3 | ||||||||
6.277%, VAR ICE LIBOR USD 1 Month+4.650%, 10/25/2028 | 303 | 323 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA4, Cl M2 | ||||||||
2.927%, VAR ICE LIBOR USD 1 Month+1.300%, 03/25/2029 | 80 | 80 | ||||||
FNMA Connecticut Avenue Securities, Ser 2016-C04, Cl 1M2 | ||||||||
5.877%, VAR ICE LIBOR USD 1 Month+4.250%, 01/25/2029 | 48 | 50 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA Connecticut Avenue Securities, Ser 2018-C05, Cl 1M2 | ||||||||
3.977%, VAR ICE LIBOR USD 1 Month+2.350%, 01/25/2031 | $ | 250 | $ | 253 | ||||
GS Mortgage Securities Trust, Ser 2006-GG8, Cl AJ | ||||||||
5.622%, 11/10/2039 | 94 | 72 | ||||||
GS Mortgage Securities Trust, Ser 2010-C1, Cl A2 | ||||||||
4.592%, 08/10/2043 (B) | 543 | 545 | ||||||
GS Mortgage Securities Trust, Ser 2012-GC6, Cl AS | ||||||||
4.948%, 01/10/2045 (B) | 200 | 210 | ||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A4 | ||||||||
3.377%, 05/10/2045 | 365 | 372 | ||||||
GS Mortgage Securities Trust, Ser 2018- SRP5, Cl A | ||||||||
3.281%, 06/09/2021 | 190 | 189 | ||||||
GS Mortgage Securities Trust, Ser 2018- SRP5, Cl B | ||||||||
4.481%, 06/09/2021 | 190 | 187 | ||||||
Impac CMB Trust, Ser 2005-4, Cl 1M1 | ||||||||
2.272%, VAR ICE LIBOR USD 1 Month+0.645%, 05/25/2035 | 50 | 49 | ||||||
Impac Secured Assets Trust, Ser 2006-2, Cl 2M3 | ||||||||
2.727%, VAR ICE LIBOR USD 1 Month+1.100%, 08/25/2036 | 173 | 175 | ||||||
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C7, Cl XA, IO | ||||||||
0.902%, 10/15/2050 (A) | 1,460 | 78 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser MKST, Cl F | ||||||||
4.590%, VAR ICE LIBOR USD 1 Month+2.850%, 12/15/2036 (B) | 270 | 270 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-C6, Cl A3 | ||||||||
3.507%, 05/15/2045 | 165 | 172 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-CIBX, Cl A4 | ||||||||
3.483%, 06/15/2045 | 431 | 442 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser PHH, Cl F | ||||||||
4.669%, VAR ICE LIBOR USD 1 Month+3.010%, 06/15/2035 (B) | 250 | 249 | ||||||
JPMorgan Mortgage Trust, Ser 2005-S2, Cl 2A15 | ||||||||
6.000%, 09/25/2035 | 149 | 146 | ||||||
JPMorgan Mortgage Trust, Ser 2016-1, Cl A5 | ||||||||
3.500%, 05/25/2046 (A)(B) | 173 | 174 | ||||||
JPMorgan Mortgage Trust, Ser 2016-4, Cl A5 | ||||||||
3.500%, 10/25/2046 (A)(B) | 66 | 68 | ||||||
| 20 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
JPMorgan Mortgage Trust, Ser 2018-4, Cl A1 | ||||||||
3.500%, 10/25/2048 (A)(B) | $ | 22 | $ | 23 | ||||
JPMorgan Mortgage Trust, Ser 2018-5, Cl A1 | ||||||||
3.500%, 10/25/2048 (A)(B) | 115 | 118 | ||||||
JPMorgan Mortgage Trust, Ser 2018-6, Cl 1A4 | ||||||||
3.500%, 12/25/2048 (A)(B) | 176 | 177 | ||||||
Lone Star Portfolio Trust, Ser 2015-LSP, Cl E | ||||||||
7.509%, VAR ICE LIBOR USD 1 Month+5.850%, 09/15/2028 (B) | 87 | 87 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C23, Cl B | ||||||||
4.155%, 07/15/2050 (A) | 100 | 109 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C32, Cl ASB | ||||||||
3.514%, 12/15/2049 | 283 | 304 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C17, Cl A4 | ||||||||
3.443%, 08/15/2047 | 430 | 460 | ||||||
Morgan Stanley Capital I Trust, Ser 2007- IQ16, Cl AJ | ||||||||
6.354%, 12/12/2049 (A) | 27 | 17 | ||||||
Morgan Stanley Capital I Trust, Ser 2019- BPR, Cl A | ||||||||
3.059%, VAR ICE LIBOR USD 1 Month+1.400%, 05/15/2036 (B) | 140 | 140 | ||||||
MSCG Trust, Ser 2015-ALDR, Cl A2 | ||||||||
3.462%, 06/07/2035 (A)(B) | 110 | 116 | ||||||
Natixis Commercial Mortgage Securities Trust, Ser 2019-FAME, Cl A | ||||||||
3.047%, 08/15/2034 (B) | 110 | 115 | ||||||
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1 | ||||||||
2.492%, 09/25/2059 (A)(B) | 231 | 234 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A4 | ||||||||
6.138%, 03/25/2047 | 166 | 174 | ||||||
Rosslyn Portfolio Trust, Ser 2017-R17, Cl A | ||||||||
2.609%, VAR ICE LIBOR USD 1 Month+0.950%, 06/15/2033 (B) | 100 | 100 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-3, Cl MA | ||||||||
3.500%, 08/25/2057 | 375 | 398 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-4, Cl MA | ||||||||
3.500%, 03/25/2058 | 491 | 522 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-2, Cl MA | ||||||||
3.500%, 08/25/2058 | 212 | 226 | ||||||
Sequoia Mortgage Trust, Ser 2017-1, Cl A4 | ||||||||
3.500%, 02/25/2047 (A)(B) | 243 | 249 | ||||||
Sequoia Mortgage Trust, Ser 2017-4, Cl A4 | ||||||||
3.500%, 07/25/2047 (A)(B) | 117 | 120 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Sequoia Mortgage Trust, Ser 2017-6, Cl A4 | ||||||||
3.500%, 09/25/2047 (A)(B) | $ | 132 | $ | 136 | ||||
Sequoia Mortgage Trust, Ser 2020-1, Cl A4 | ||||||||
3.500%, 02/25/2050 (A)(B) | 243 | 250 | ||||||
UBS Commercial Mortgage Trust, Ser 2012- C1, Cl A3 | ||||||||
3.400%, 05/10/2045 | 586 | 602 | ||||||
UBS Commercial Mortgage Trust, Ser 2018- C13, Cl ASB | ||||||||
4.241%, 10/15/2051 | 532 | 608 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Ser 2005-AR6, Cl 2A1A | ||||||||
2.087%, VAR ICE LIBOR USD 1 Month+0.460%, 04/25/2045 | 244 | 243 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2015-C28, Cl AS | ||||||||
3.872%, 05/15/2048 (A) | 270 | 296 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C4, Cl A4 | ||||||||
4.902%, 06/15/2044 (A)(B) | 359 | 369 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-UBSS1, Cl A2 | ||||||||
2.927%, 03/15/2046 | 4 | 4 | ||||||
| 13,729 | ||||||||
Total Mortgage-Backed Securities |
| 65,269 | ||||||
CORPORATE OBLIGATIONS — 30.1% |
| |||||||
Communication Services — 3.0% |
| |||||||
AT&T | ||||||||
5.350%, 09/01/2040 | 1 | 1 | ||||||
4.500%, 03/09/2048 | 80 | 92 | ||||||
4.350%, 06/15/2045 | 20 | 22 | ||||||
4.125%, 02/17/2026 | 250 | 278 | ||||||
3.600%, 07/15/2025 | 135 | 145 | ||||||
3.400%, 05/15/2025 | 154 | 164 | ||||||
3.067%, VAR ICE LIBOR USD 3 Month+1.180%, 06/12/2024 | 462 | 467 | ||||||
Charter Communications Operating | ||||||||
6.484%, 10/23/2045 | 20 | 26 | ||||||
6.384%, 10/23/2035 | 580 | 766 | ||||||
5.750%, 04/01/2048 | 120 | 143 | ||||||
5.375%, 04/01/2038 | 20 | 23 | ||||||
5.050%, 03/30/2029 | 60 | 70 | ||||||
3.579%, 07/23/2020 | 50 | 50 | ||||||
Comcast | ||||||||
6.400%, 05/15/2038 | 170 | 252 | ||||||
4.250%, 10/15/2030 | 60 | 71 | ||||||
4.150%, 10/15/2028 | 210 | 244 | ||||||
3.950%, 10/15/2025 | 70 | 78 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 21 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Continued)
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
3.375%, 08/15/2025 | $ | 140 | $ | 152 | ||||
3.150%, 03/01/2026 | 20 | 22 | ||||||
2.350%, 01/15/2027 | 260 | 269 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 270 | 328 | ||||||
Fox | ||||||||
5.476%, 01/25/2039 (B) | 70 | 90 | ||||||
Sprint Spectrum | ||||||||
4.738%, 03/20/2025 (B) | 230 | 246 | ||||||
Telefonica Emisiones SAU | ||||||||
5.213%, 03/08/2047 | 150 | 184 | ||||||
Verizon Communications | ||||||||
5.500%, 03/16/2047 | 6 | 9 | ||||||
5.250%, 03/16/2037 | 20 | 27 | ||||||
4.862%, 08/21/2046 | 20 | 26 | ||||||
4.522%, 09/15/2048 | 311 | 402 | ||||||
4.500%, 08/10/2033 | 170 | 208 | ||||||
4.329%, 09/21/2028 | 100 | 118 | ||||||
3.500%, 11/01/2024 | 20 | 22 | ||||||
3.376%, 02/15/2025 | 19 | 21 | ||||||
2.625%, 08/15/2026 | 10 | 10 | ||||||
Vodafone Group | ||||||||
4.375%, 05/30/2028 | 60 | 69 | ||||||
| 5,095 | ||||||||
Consumer Discretionary — 1.4% |
| |||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 30 | 42 | ||||||
4.050%, 08/22/2047 | 30 | 39 | ||||||
3.875%, 08/22/2037 | 20 | 24 | ||||||
3.150%, 08/22/2027 | 50 | 55 | ||||||
American Honda Finance MTN | ||||||||
2.050%, 01/10/2023 | 263 | 267 | ||||||
BMW US Capital | ||||||||
1.850%, 09/15/2021 (B) | 10 | 10 | ||||||
Cox Communications | ||||||||
3.350%, 09/15/2026 (B) | 231 | 247 | ||||||
3.250%, 12/15/2022 (B) | 385 | 400 | ||||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 30 | 26 | ||||||
General Motors | ||||||||
6.250%, 10/02/2043 | 50 | 56 | ||||||
5.150%, 04/01/2038 | 20 | 21 | ||||||
General Motors Financial | ||||||||
5.100%, 01/17/2024 | 200 | 219 | ||||||
4.150%, 06/19/2023 | 353 | 375 | ||||||
3.450%, 04/10/2022 | 10 | 10 | ||||||
2.450%, 11/06/2020 | 20 | 20 | ||||||
Las Vegas Sands | ||||||||
3.200%, 08/08/2024 | 10 | 11 | ||||||
Lennar | ||||||||
5.000%, 06/15/2027 | 10 | 11 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
4.750%, 11/29/2027 | $ | 20 | $ | 22 | ||||
4.500%, 04/30/2024 | 20 | 21 | ||||||
McDonald’s MTN | ||||||||
3.800%, 04/01/2028 | 10 | 11 | ||||||
3.500%, 03/01/2027 | 90 | 98 | ||||||
Sands China | ||||||||
5.125%, 08/08/2025 | 200 | 224 | ||||||
Time Warner Cable | ||||||||
7.300%, 07/01/2038 | 90 | 123 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 120 | 177 | ||||||
Toll Brothers Finance | ||||||||
4.375%, 04/15/2023 | 20 | 21 | ||||||
VOC Escrow | ||||||||
5.000%, 02/15/2028 (B) | 30 | 27 | ||||||
| 2,557 | ||||||||
Consumer Staples — 2.0% |
| |||||||
Altria Group | ||||||||
6.200%, 02/14/2059 | 10 | 13 | ||||||
5.950%, 02/14/2049 | 20 | 25 | ||||||
5.800%, 02/14/2039 | 130 | 160 | ||||||
4.800%, 02/14/2029 | 180 | 206 | ||||||
4.750%, 05/05/2021 | 50 | 52 | ||||||
4.400%, 02/14/2026 | 70 | 78 | ||||||
3.800%, 02/14/2024 | 10 | 11 | ||||||
3.490%, 02/14/2022 | 20 | 21 | ||||||
2.850%, 08/09/2022 | 20 | 21 | ||||||
Anheuser-Busch | ||||||||
4.900%, 02/01/2046 | 378 | 466 | ||||||
3.650%, 02/01/2026 | 60 | 66 | ||||||
Anheuser-Busch InBev Finance | ||||||||
3.300%, 02/01/2023 | 120 | 126 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
5.550%, 01/23/2049 | 20 | 27 | ||||||
4.150%, 01/23/2025 | 20 | 22 | ||||||
4.000%, 04/13/2028 | 20 | 23 | ||||||
3.500%, 01/12/2024 | 100 | 107 | ||||||
2.500%, 07/15/2022 | 16 | 16 | ||||||
BAT Capital | ||||||||
4.540%, 08/15/2047 | 110 | 115 | ||||||
3.557%, 08/15/2027 | 140 | 147 | ||||||
Constellation Brands | ||||||||
4.750%, 11/15/2024 | 80 | 91 | ||||||
CVS Health | ||||||||
5.125%, 07/20/2045 | 60 | 73 | ||||||
3.875%, 07/20/2025 | 18 | 20 | ||||||
CVS Pass-Through Trust | ||||||||
7.507%, 01/10/2032 (B) | 394 | 509 | ||||||
6.036%, 12/10/2028 | 214 | 247 | ||||||
Danone | ||||||||
2.077%, 11/02/2021 (B) | 200 | 202 | ||||||
| 22 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Diageo Capital | ||||||||
4.828%, 07/15/2020 | $ | 110 | $ | 111 | ||||
Kraft Heinz Foods | ||||||||
3.950%, 07/15/2025 | 70 | 73 | ||||||
Kroger | ||||||||
4.000%, 02/01/2024 | 258 | 280 | ||||||
Mars | ||||||||
3.200%, 04/01/2030 (B) | 10 | 11 | ||||||
2.700%, 04/01/2025 (B) | 30 | 32 | ||||||
PepsiCo | ||||||||
4.600%, 07/17/2045 | 40 | 53 | ||||||
Philip Morris International | ||||||||
2.900%, 11/15/2021 | 10 | 10 | ||||||
2.500%, 08/22/2022 | 50 | 51 | ||||||
2.500%, 11/02/2022 | 50 | 52 | ||||||
Reynolds American | ||||||||
5.850%, 08/15/2045 | 20 | 24 | ||||||
3.250%, 06/12/2020 | 11 | 11 | ||||||
Walgreens Boots Alliance | ||||||||
3.450%, 06/01/2026 | 30 | 32 | ||||||
Wm Wrigley Jr | ||||||||
3.375%, 10/21/2020 (B) | 30 | 30 | ||||||
| 3,614 | ||||||||
Energy — 5.0% | ||||||||
Apache | ||||||||
4.375%, 10/15/2028 | 140 | 147 | ||||||
4.250%, 01/15/2044 | 150 | 133 | ||||||
Blue Racer Midstream | ||||||||
6.125%, 11/15/2022 (B) | 20 | 18 | ||||||
BP Capital Markets | ||||||||
3.535%, 11/04/2024 | 10 | 11 | ||||||
3.506%, 03/17/2025 | 100 | 108 | ||||||
BP Capital Markets America | ||||||||
3.588%, 04/14/2027 | 10 | 11 | ||||||
3.216%, 11/28/2023 | 200 | 210 | ||||||
Cameron LNG | ||||||||
3.302%, 01/15/2035 (B) | 40 | 43 | ||||||
2.902%, 07/15/2031 (B) | 60 | 63 | ||||||
Chevron | ||||||||
2.954%, 05/16/2026 | 30 | 32 | ||||||
Cimarex Energy | ||||||||
4.375%, 03/15/2029 | 160 | 168 | ||||||
3.900%, 05/15/2027 | 80 | 83 | ||||||
Concho Resources | ||||||||
4.300%, 08/15/2028 | 130 | 141 | ||||||
3.750%, 10/01/2027 | 20 | 21 | ||||||
Continental Resources | ||||||||
4.500%, 04/15/2023 | 70 | 73 | ||||||
4.375%, 01/15/2028 | 120 | 117 | ||||||
3.800%, 06/01/2024 | 10 | 10 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
DCP Midstream Operating | ||||||||
6.450%, 11/03/2036 (B) | $ | 10 | $ | 10 | ||||
Devon Energy | ||||||||
5.850%, 12/15/2025 | 30 | 36 | ||||||
5.600%, 07/15/2041 | 50 | 57 | ||||||
5.000%, 06/15/2045 | 120 | 129 | ||||||
Diamondback Energy | ||||||||
5.375%, 05/31/2025 | 10 | 10 | ||||||
3.500%, 12/01/2029 | 10 | 10 | ||||||
3.250%, 12/01/2026 | 10 | 10 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 | 100 | 120 | ||||||
Energy Transfer Operating | ||||||||
6.250%, 04/15/2049 | 10 | 12 | ||||||
5.250%, 04/15/2029 | 30 | 34 | ||||||
4.950%, 06/15/2028 | 20 | 22 | ||||||
3.750%, 05/15/2030 | 110 | 112 | ||||||
2.900%, 05/15/2025 | 10 | 10 | ||||||
Enterprise Products Operating | ||||||||
4.150%, 10/16/2028 | 340 | 382 | ||||||
4.050%, 02/15/2022 | 123 | 129 | ||||||
EOG Resources | ||||||||
4.150%, 01/15/2026 | 20 | 22 | ||||||
3.900%, 04/01/2035 | 40 | 47 | ||||||
ExxonMobil | ||||||||
4.114%, 03/01/2046 | 70 | 85 | ||||||
3.043%, 03/01/2026 | 40 | 43 | ||||||
Halliburton | ||||||||
5.000%, 11/15/2045 | 40 | 43 | ||||||
3.800%, 11/15/2025 | 50 | 55 | ||||||
Kinder Morgan | ||||||||
5.300%, 12/01/2034 | 20 | 24 | ||||||
4.300%, 06/01/2025 | 30 | 33 | ||||||
4.300%, 03/01/2028 | 110 | 123 | ||||||
Kinder Morgan Energy Partners | ||||||||
4.250%, 09/01/2024 | 40 | 43 | ||||||
3.500%, 03/01/2021 | 20 | 20 | ||||||
3.500%, 09/01/2023 | 30 | 31 | ||||||
MPLX | ||||||||
5.500%, 02/15/2049 | 30 | 34 | ||||||
4.875%, 06/01/2025 | 110 | 123 | ||||||
4.800%, 02/15/2029 | 60 | 67 | ||||||
4.700%, 04/15/2048 | 60 | 61 | ||||||
4.500%, 04/15/2038 | 10 | 10 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 10 | 11 | ||||||
4.950%, 08/15/2047 | 10 | 11 | ||||||
3.850%, 01/15/2028 | 60 | 62 | ||||||
Oasis Petroleum | ||||||||
6.875%, 03/15/2022 | 10 | 8 | ||||||
6.875%, 01/15/2023 | 9 | 7 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 23 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Continued)
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Occidental Petroleum | ||||||||
7.875%, 09/15/2031 | $ | 10 | $ | 13 | ||||
7.500%, 05/01/2031 | 60 | 76 | ||||||
6.950%, 07/01/2024 | 10 | 12 | ||||||
6.200%, 03/15/2040 | 75 | 88 | ||||||
5.550%, 03/15/2026 | 60 | 68 | ||||||
4.850%, 03/15/2021 | 16 | 16 | ||||||
4.625%, 06/15/2045 | 20 | 19 | ||||||
4.400%, 04/15/2046 | 10 | 9 | ||||||
4.400%, 08/15/2049 | 70 | 67 | ||||||
4.304%, 10/10/2036 (C) | 1,450 | 714 | ||||||
4.100%, 02/15/2047 | 70 | 64 | ||||||
3.500%, 08/15/2029 | 50 | 50 | ||||||
3.400%, 04/15/2026 | 20 | 21 | ||||||
3.200%, 08/15/2026 | 30 | 31 | ||||||
3.125%, 02/15/2022 | 19 | 19 | ||||||
3.000%, 02/15/2027 | 20 | 20 | ||||||
2.900%, 08/15/2024 | 60 | 61 | ||||||
2.700%, 08/15/2022 | 30 | 31 | ||||||
2.600%, 08/13/2021 | 20 | 20 | ||||||
Pertamina Persero | ||||||||
6.000%, 05/03/2042 (B) | 200 | 249 | ||||||
Petrobras Global Finance BV | ||||||||
7.375%, 01/17/2027 | 210 | 255 | ||||||
6.850%, 06/05/2115 | 50 | 59 | ||||||
5.750%, 02/01/2029 | 50 | 56 | ||||||
5.299%, 01/27/2025 | 255 | 278 | ||||||
Petroleos Mexicanos | ||||||||
6.625%, 06/15/2035 | 100 | 100 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.875%, 08/04/2026 | 20 | 22 | ||||||
Phillips 66 Partners | ||||||||
3.605%, 02/15/2025 | 300 | 320 | ||||||
3.550%, 10/01/2026 | 232 | 247 | ||||||
Range Resources | ||||||||
5.875%, 07/01/2022 | 4 | 3 | ||||||
5.000%, 03/15/2023 | 10 | 7 | ||||||
4.875%, 05/15/2025 | 30 | 19 | ||||||
Schlumberger Holdings | ||||||||
4.000%, 12/21/2025 (B) | 30 | 33 | ||||||
3.900%, 05/17/2028 (B) | 471 | 508 | ||||||
Shell International Finance BV | ||||||||
4.375%, 05/11/2045 | 50 | 62 | ||||||
4.000%, 05/10/2046 | 50 | 59 | ||||||
2.875%, 05/10/2026 | 80 | 85 | ||||||
Sinopec Group Overseas Development | ||||||||
4.375%, 04/10/2024 (B) | 200 | 220 | ||||||
Sunoco Logistics Partners Operations | ||||||||
3.450%, 01/15/2023 | 381 | 394 | ||||||
Targa Resources Partners | ||||||||
5.500%, 03/01/2030 (B) | 20 | 20 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Tennessee Gas Pipeline | ||||||||
2.900%, 03/01/2030 (B) | $ | 30 | $ | 30 | ||||
Transcontinental Gas Pipe Line | ||||||||
7.850%, 02/01/2026 | 30 | 39 | ||||||
Western Midstream Operating | ||||||||
5.250%, 02/01/2050 | 20 | 19 | ||||||
4.500%, 03/01/2028 | 10 | 10 | ||||||
4.050%, 02/01/2030 | 130 | 128 | ||||||
3.100%, 02/01/2025 | 30 | 30 | ||||||
2.698%, VAR ICE LIBOR USD 3 Month+0.850%, 01/13/2023 | 10 | 10 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 30 | 33 | ||||||
7.750%, 06/15/2031 | 140 | 194 | ||||||
7.500%, 01/15/2031 | 10 | 13 | ||||||
3.700%, 01/15/2023 | 20 | 21 | ||||||
Williams Partners | ||||||||
5.250%, 03/15/2020 | 20 | 20 | ||||||
WPX Energy | ||||||||
8.250%, 08/01/2023 | 30 | 33 | ||||||
| 8,410 | ||||||||
Financials — 10.1% | ||||||||
Ambac Assurance | ||||||||
5.100%, 06/07/2020 (B) | – | 1 | ||||||
Ambac LSNI | ||||||||
6.945%, VAR ICE LIBOR USD 3 Month+5.000%, 02/12/2023 (B) | 1 | 2 | ||||||
American Express | ||||||||
3.400%, 02/27/2023 | 412 | 434 | ||||||
2.650%, 12/02/2022 | 140 | 145 | ||||||
American Express Credit MTN | ||||||||
2.375%, 05/26/2020 | 40 | 40 | ||||||
American International Group | ||||||||
3.750%, 07/10/2025 | 40 | 44 | ||||||
Banco Santander | ||||||||
4.379%, 04/12/2028 | 200 | 226 | ||||||
Bank of America | ||||||||
3.419%, VAR ICE LIBOR USD 3 Month+1.040%, 12/20/2028 | 42 | 45 | ||||||
3.004%, VAR ICE LIBOR USD 3 Month+0.790%, 12/20/2023 | 419 | 434 | ||||||
Bank of America MTN | ||||||||
5.000%, 01/21/2044 | 20 | 27 | ||||||
4.450%, 03/03/2026 | 10 | 11 | ||||||
4.330%, VAR ICE LIBOR USD 3 Month+1.520%, 03/15/2050 | 328 | 419 | ||||||
4.000%, 01/22/2025 | 300 | 327 | ||||||
3.970%, VAR ICE LIBOR USD 3 Month+1.070%, 03/05/2029 | 150 | 168 | ||||||
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028 | 160 | 175 | ||||||
| 24 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
3.550%, VAR ICE LIBOR USD 3 | $ | 70 | $ | 74 | ||||
3.500%, 04/19/2026 | 224 | 245 | ||||||
Barclays | ||||||||
5.088%, VAR ICE LIBOR USD 3 Month+3.054%, 06/20/2030 | 200 | 227 | ||||||
Barclays MTN | ||||||||
4.972%, VAR ICE LIBOR USD 3 Month+1.902%, 05/16/2029 | 200 | 231 | ||||||
Blackstone Holdings Finance | ||||||||
6.250%, 08/15/2042 (B) | 118 | 175 | ||||||
5.000%, 06/15/2044 (B) | 200 | 262 | ||||||
BNP Paribas | ||||||||
4.705%, VAR ICE LIBOR USD 3 Month+2.235%, 01/10/2025 (B) | 200 | 220 | ||||||
4.400%, 08/14/2028 (B) | 200 | 228 | ||||||
Brighthouse Financial | ||||||||
4.700%, 06/22/2047 | 10 | 10 | ||||||
Capital One Financial | ||||||||
3.900%, 01/29/2024 | 400 | 429 | ||||||
Chubb INA Holdings | ||||||||
2.300%, 11/03/2020 | 10 | 10 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 110 | 190 | ||||||
4.650%, 07/23/2048 | 80 | 106 | ||||||
4.450%, 09/29/2027 | 260 | 294 | ||||||
4.125%, 07/25/2028 | 90 | 100 | ||||||
3.980%, VAR ICE LIBOR USD 3 Month+1.338%, 03/20/2030 | 160 | 181 | ||||||
3.700%, 01/12/2026 | 170 | 186 | ||||||
3.400%, 05/01/2026 | 510 | 552 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.375%, 08/04/2025 | 250 | 277 | ||||||
3.875%, 09/26/2023 (B) | 392 | 423 | ||||||
3.125%, 04/26/2021 | 250 | 256 | ||||||
Credit Agricole | ||||||||
8.125%, VAR USD Swap Semi 30/360 5 Yr Curr+6.185% (B)(D) | 260 | 307 | ||||||
Credit Suisse Group Funding Guernsey | ||||||||
4.550%, 04/17/2026 | 250 | 282 | ||||||
Danske Bank | ||||||||
5.000%, 01/12/2022 (B) | 200 | 212 | ||||||
Five Corners Funding Trust | ||||||||
4.419%, 11/15/2023 (B) | 390 | 428 | ||||||
HSBC Holdings | ||||||||
4.583%, VAR ICE LIBOR USD 3 Month+1.535%, 06/19/2029 | 400 | 454 | ||||||
4.250%, 03/14/2024 | 200 | 214 | ||||||
4.041%, VAR ICE LIBOR USD 3 Month+1.546%, 03/13/2028 | 200 | 219 | ||||||
3.973%, VAR ICE LIBOR USD 3 Month+1.610%, 05/22/2030 | 200 | 219 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Intesa Sanpaolo | ||||||||
3.125%, 07/14/2022 (B) | $ | 200 | $ | 205 | ||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (B) | 200 | 210 | ||||||
JPMorgan Chase | ||||||||
4.950%, 06/01/2045 | 100 | 133 | ||||||
4.203%, VAR ICE LIBOR USD 3 Month+1.260%, 07/23/2029 | 590 | 680 | ||||||
4.023%, VAR ICE LIBOR USD 3 Month+1.000%, 12/05/2024 | 200 | 217 | ||||||
3.509%, VAR ICE LIBOR USD 3 Month+0.945%, 01/23/2029 | 400 | 437 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (B) | 208 | 274 | ||||||
KKR Group Finance III | ||||||||
5.125%, 06/01/2044 (B) | 215 | 272 | ||||||
Liberty Mutual Group | ||||||||
4.569%, 02/01/2029 (B) | 349 | 411 | ||||||
4.250%, 06/15/2023 (B) | 15 | 16 | ||||||
Lloyds Banking Group | ||||||||
4.375%, 03/22/2028 | 200 | 224 | ||||||
2.858%, VAR ICE LIBOR USD 3 Month+1.249%, 03/17/2023 | 200 | 204 | ||||||
Macquarie Group MTN | ||||||||
4.150%, VAR ICE LIBOR USD 3 Month+1.330%, 03/27/2024 (B) | 374 | 401 | ||||||
Metropolitan Life Insurance | ||||||||
7.800%, 11/01/2025 (B) | 267 | 346 | ||||||
Mitsubishi UFJ Financial Group | ||||||||
2.998%, 02/22/2022 | 20 | 21 | ||||||
Morgan Stanley | ||||||||
3.737%, VAR ICE LIBOR USD 3 Month+0.847%, 04/24/2024 | 120 | 127 | ||||||
Morgan Stanley MTN | ||||||||
3.875%, 04/29/2024 | 346 | 376 | ||||||
3.772%, VAR ICE LIBOR USD 3 Month+1.140%, 01/24/2029 | 90 | 100 | ||||||
3.125%, 07/27/2026 | 450 | 480 | ||||||
2.699%, VAR United States Secured Overnight Financing Rate+1.143%, 01/22/2031 | 40 | 41 | ||||||
Park Aerospace Holdings | ||||||||
5.250%, 08/15/2022 (B) | 50 | 53 | ||||||
Peachtree Corners Funding Trust | ||||||||
3.976%, 02/15/2025 (B) | 225 | 248 | ||||||
Royal Bank of Canada MTN | ||||||||
3.200%, 04/30/2021 | 40 | 41 | ||||||
2.150%, 10/26/2020 | 30 | 30 | ||||||
Royal Bank of Scotland Group | ||||||||
5.125%, 05/28/2024 | 200 | 219 | ||||||
4.519%, VAR ICE LIBOR USD 3 Month+1.550%, 06/25/2024 | 200 | 215 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 25 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Continued)
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Santander Holdings USA | ||||||||
4.500%, 07/17/2025 | $ | 10 | $ | 11 | ||||
Santander UK | ||||||||
2.375%, 03/16/2020 | 20 | 20 | ||||||
Sumitomo Mitsui Financial Group | ||||||||
2.058%, 07/14/2021 | 30 | 30 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.900%, 09/15/2044 (B) | 150 | 198 | ||||||
Toronto-Dominion Bank MTN | ||||||||
3.250%, 06/11/2021 | 50 | 51 | ||||||
UBS MTN | ||||||||
4.500%, 06/26/2048 (B) | 200 | 267 | ||||||
UBS Group Funding Jersey | ||||||||
4.125%, 04/15/2026 (B) | 449 | 501 | ||||||
UBS Group Funding Switzerland | ||||||||
4.253%, 03/23/2028 (B) | 200 | 226 | ||||||
US Bank | ||||||||
3.150%, 04/26/2021 | 250 | 255 | ||||||
Voya Financial | ||||||||
3.125%, 07/15/2024 | 258 | 273 | ||||||
WEA Finance | ||||||||
3.750%, 09/17/2024 (B) | 200 | 217 | ||||||
Westpac Banking | ||||||||
2.600%, 11/23/2020 | 40 | 40 | ||||||
2.300%, 05/26/2020 | 10 | 10 | ||||||
| 17,589 | ||||||||
Health Care — 1.2% |
| |||||||
Abbott Laboratories | ||||||||
4.900%, 11/30/2046 | 40 | 56 | ||||||
4.750%, 11/30/2036 | 10 | 13 | ||||||
3.750%, 11/30/2026 | 23 | 26 | ||||||
Aetna | ||||||||
2.800%, 06/15/2023 | 10 | 10 | ||||||
Anthem | ||||||||
3.650%, 12/01/2027 | 30 | 33 | ||||||
3.350%, 12/01/2024 | 20 | 21 | ||||||
2.950%, 12/01/2022 | 50 | 52 | ||||||
Cigna | ||||||||
4.375%, 10/15/2028 | 170 | 194 | ||||||
4.125%, 11/15/2025 | 397 | 442 | ||||||
3.750%, 07/15/2023 | 80 | 85 | ||||||
3.400%, 09/17/2021 | 30 | 31 | ||||||
3.400%, 03/01/2027 (B) | 441 | 472 | ||||||
CVS Health | ||||||||
5.050%, 03/25/2048 | 20 | 25 | ||||||
4.300%, 03/25/2028 | 310 | 347 | ||||||
4.100%, 03/25/2025 | 110 | 121 | ||||||
3.700%, 03/09/2023 | 180 | 190 | ||||||
3.350%, 03/09/2021 | 16 | 16 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Fresenius Medical Care US Finance II | ||||||||
4.750%, 10/15/2024 (B) | $ | 50 | $ | 56 | ||||
Medtronic | ||||||||
3.500%, 03/15/2025 | 22 | 24 | ||||||
| 2,214 | ||||||||
Industrials — 2.8% |
| |||||||
3M | ||||||||
2.375%, 08/26/2029 | 30 | 31 | ||||||
AerCap Ireland Capital DAC | ||||||||
4.625%, 10/30/2020 | 278 | 282 | ||||||
Air Canada Pass-Through Trust, Ser 2015-1, Cl A | ||||||||
3.600%, 03/15/2027 (B) | 251 | 271 | ||||||
American Airlines Pass-Through Trust, Ser 2013-1, Cl B | ||||||||
5.625%, 01/15/2021 (B) | 81 | 83 | ||||||
American Airlines Pass-Through Trust, Ser 2013-2, Cl A | ||||||||
4.950%, 01/15/2023 | 528 | 556 | ||||||
Canadian Pacific Railway | ||||||||
6.125%, 09/15/2115 | 167 | 271 | ||||||
Cintas No. 2 | ||||||||
3.700%, 04/01/2027 | 30 | 34 | ||||||
2.900%, 04/01/2022 | 20 | 20 | ||||||
Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.000%, 10/29/2024 | 166 | 180 | ||||||
DAE Funding | ||||||||
5.750%, 11/15/2023 (B) | 10 | 10 | ||||||
Delta Air Lines | ||||||||
2.900%, 10/28/2024 | 30 | 30 | ||||||
Eaton | ||||||||
4.150%, 11/02/2042 | 70 | 87 | ||||||
FedEx | ||||||||
4.050%, 02/15/2048 | 237 | 241 | ||||||
Ferguson Finance | ||||||||
4.500%, 10/24/2028 (B) | 394 | 451 | ||||||
International Lease Finance | ||||||||
8.625%, 01/15/2022 | 20 | 22 | ||||||
5.875%, 08/15/2022 | 50 | 55 | ||||||
Norfolk Southern | ||||||||
4.837%, 10/01/2041 | 200 | 259 | ||||||
Penske Truck Leasing LP | ||||||||
3.900%, 02/01/2024 (B) | 457 | 492 | ||||||
Republic Services | ||||||||
2.500%, 08/15/2024 | 20 | 21 | ||||||
Ryder System MTN | ||||||||
3.875%, 12/01/2023 | 432 | 464 | ||||||
Spirit Airlines Pass-Through Trust, Ser 2017-1AA | ||||||||
3.375%, 02/15/2030 | 185 | 199 | ||||||
| 26 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
United Airlines Pass-Through Trust, Ser 2014- 1, Cl A | ||||||||
4.000%, 04/11/2026 | $ | 629 | $ | 689 | ||||
Waste Management | ||||||||
4.150%, 07/15/2049 | 20 | 25 | ||||||
3.500%, 05/15/2024 | 60 | 65 | ||||||
3.450%, 06/15/2029 | 10 | 11 | ||||||
3.200%, 06/15/2026 | 20 | 22 | ||||||
| 4,871 | ||||||||
Information Technology — 1.0% |
| |||||||
Apple | ||||||||
3.200%, 05/13/2025 | 80 | 87 | ||||||
2.000%, 11/13/2020 | 30 | 30 | ||||||
1.550%, 08/04/2021 | 50 | 50 | ||||||
Broadcom | ||||||||
3.625%, 10/15/2024 (B) | 224 | 236 | ||||||
Diamond 1 Finance | ||||||||
4.420%, 06/15/2021 (B) | 170 | 175 | ||||||
Hewlett Packard Enterprise | ||||||||
4.400%, 10/15/2022 | 69 | 74 | ||||||
Microsoft | ||||||||
4.450%, 11/03/2045 | 40 | 54 | ||||||
4.100%, 02/06/2037 | 10 | 12 | ||||||
3.300%, 02/06/2027 | 130 | 144 | ||||||
2.875%, 02/06/2024 | 60 | 63 | ||||||
2.700%, 02/12/2025 | 20 | 21 | ||||||
2.400%, 02/06/2022 | 70 | 72 | ||||||
2.400%, 08/08/2026 | 160 | 168 | ||||||
1.550%, 08/08/2021 | 50 | 50 | ||||||
NXP BV | ||||||||
4.625%, 06/01/2023 (B) | 215 | 232 | ||||||
Prosus | ||||||||
4.850%, 07/06/2027 (B) | 200 | 221 | ||||||
salesforce.com | ||||||||
3.700%, 04/11/2028 | 10 | 11 | ||||||
3.250%, 04/11/2023 | 40 | 42 | ||||||
Visa | ||||||||
4.300%, 12/14/2045 | 50 | 65 | ||||||
3.150%, 12/14/2025 | 70 | 76 | ||||||
| 1,883 | ||||||||
Materials — 0.8% |
| |||||||
Anglo American Capital | ||||||||
3.625%, 09/11/2024 (B) | 200 | 214 | ||||||
ArcelorMittal | ||||||||
6.125%, 06/01/2025 | 100 | 116 | ||||||
4.550%, 03/11/2026 | 50 | 54 | ||||||
3.600%, 07/16/2024 | 80 | 83 | ||||||
Barrick North America Finance | ||||||||
5.700%, 05/30/2041 | 60 | 81 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
BHP Billiton Finance USA | ||||||||
6.750%, VAR USD Swap Semi 30/360 5 Yr Curr+5.093%, 10/19/2075 (B) | $ | 200 | $ | 232 | ||||
Equate Petrochemical BV MTN | ||||||||
4.250%, 11/03/2026 (B) | 200 | 216 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 50 | 49 | ||||||
4.550%, 11/14/2024 | 10 | 10 | ||||||
3.550%, 03/01/2022 | 30 | 30 | ||||||
Glencore Funding | ||||||||
4.125%, 05/30/2023 (B) | 70 | 74 | ||||||
4.000%, 03/27/2027 (B) | 140 | 151 | ||||||
2.875%, 04/16/2020 (B) | 10 | 10 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 80 | 93 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 10 | 13 | ||||||
WestRock RKT | ||||||||
4.000%, 03/01/2023 | 10 | 11 | ||||||
| 1,437 | ||||||||
Real Estate — 1.0% |
| |||||||
Boston Properties | ||||||||
3.850%, 02/01/2023 | 200 | 212 | ||||||
Digital Realty Trust | ||||||||
4.750%, 10/01/2025 | 145 | 166 | ||||||
3.700%, 08/15/2027 | 317 | 348 | ||||||
HCP | ||||||||
4.000%, 06/01/2025 | 150 | 167 | ||||||
Healthpeak Properties | ||||||||
3.250%, 07/15/2026 | 250 | 270 | ||||||
Ventas Realty | ||||||||
4.125%, 01/15/2026 | 136 | 151 | ||||||
Welltower | ||||||||
4.500%, 01/15/2024 | 144 | 158 | ||||||
4.000%, 06/01/2025 | 231 | 255 | ||||||
| 1,727 | ||||||||
Utilities — 1.8% |
| |||||||
Aquarion | ||||||||
4.000%, 08/15/2024 (B) | 103 | 111 | ||||||
Duke Energy Ohio | ||||||||
3.650%, 02/01/2029 | 50 | 57 | ||||||
Eversource Energy | ||||||||
3.150%, 01/15/2025 | 111 | 117 | ||||||
2.500%, 03/15/2021 | 305 | 307 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 60 | 79 | ||||||
5.100%, 06/15/2045 | 328 | 424 | ||||||
FirstEnergy | ||||||||
7.375%, 11/15/2031 | 270 | 395 | ||||||
4.850%, 07/15/2047 | 100 | 123 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 27 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Continued)
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
3.900%, 07/15/2027 | $ | 50 | $ | 55 | ||||
NextEra Energy Capital Holdings | ||||||||
3.550%, 05/01/2027 | 292 | 318 | ||||||
2.403%, 09/01/2021 | 227 | 231 | ||||||
Public Service Enterprise Group | ||||||||
2.875%, 06/15/2024 | 409 | 429 | ||||||
Southern | �� | |||||||
3.250%, 07/01/2026 | 415 | 445 | ||||||
Virginia Electric & Power | ||||||||
3.150%, 01/15/2026 | 124 | 133 | ||||||
| 3,224 | ||||||||
Total Corporate Obligations | 52,621 | |||||||
U.S. TREASURY OBLIGATIONS — 18.0% |
| |||||||
U.S. Treasury Bond STRIPS | ||||||||
2.287%, 05/15/2049 (C) | 410 | 249 | ||||||
U.S. Treasury Bonds | ||||||||
4.500%, 05/15/2038 | 1,463 | 2,191 | ||||||
3.750%, 11/15/2043 | 1,250 | 1,769 | ||||||
3.500%, 02/15/2039 | 1,436 | 1,926 | ||||||
3.125%, 05/15/2048 | 950 | 1,261 | ||||||
3.000%, 02/15/2048 | 341 | 442 | ||||||
3.000%, 08/15/2048 | 1,763 | 2,295 | ||||||
3.000%, 02/15/2049 | 10 | 13 | ||||||
2.875%, 08/15/2045 | 70 | 87 | ||||||
2.875%, 05/15/2049 | 20 | 26 | ||||||
2.750%, 08/15/2047 | 970 | 1,199 | ||||||
2.750%, 11/15/2047 | 964 | 1,193 | ||||||
2.500%, 05/15/2046 | 644 | 755 | ||||||
2.250%, 08/15/2049 | 1,857 | 2,108 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
1.750%, 01/15/2028 | 147 | 171 | ||||||
1.375%, 02/15/2044 | 397 | 519 | ||||||
1.000%, 02/15/2046 | 174 | 214 | ||||||
1.000%, 02/15/2048 | 219 | 274 | ||||||
1.000%, 02/15/2049 | 1,136 | 1,399 | ||||||
0.750%, 02/15/2042 | 46 | 52 | ||||||
0.250%, 02/15/2050 | 350 | 367 | ||||||
U.S. Treasury Notes | ||||||||
3.125%, 11/15/2028 | 110 | 129 | ||||||
2.875%, 08/15/2028 | 80 | 91 | ||||||
1.750%, 05/31/2022 | 1,253 | 1,277 | ||||||
1.750%, 06/30/2024 | 4,991 | 5,167 | ||||||
1.750%, 12/31/2024 | 120 | 125 | ||||||
1.750%, 11/15/2029 | 1,259 | 1,330 | ||||||
1.625%, 12/15/2022 | 870 | 888 | ||||||
1.625%, 10/31/2026 | 10 | 10 | ||||||
1.625%, 11/30/2026 | 1,560 | 1,620 | ||||||
1.500%, 11/30/2024 | 30 | 31 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
1.375%, 01/31/2025 | $ | 822 | $ | 841 | ||||
U.S. Treasury Bills | ||||||||
1.488%, 03/05/2020 (C) | 1,347 | 1,347 | ||||||
Total U.S. Treasury Obligations | 31,366 | |||||||
ASSET-BACKED SECURITIES — 7.8% |
| |||||||
Automotive — 1.2% |
| |||||||
Avis Budget Rental Car Funding AESOP, Ser 2019-2A, Cl A | ||||||||
3.350%, 09/22/2025 (B) | 100 | 107 | ||||||
Ford Credit Auto Lease Trust, Ser 2020-A, Cl A3 | ||||||||
1.850%, 03/15/2023 | 367 | 370 | ||||||
Ford Credit Auto Owner Trust, Ser 2020-1, Cl A | ||||||||
2.040%, 08/15/2031 (B) | 400 | 409 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2018-3, Cl A1 | ||||||||
3.520%, 10/15/2023 | 585 | 607 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2018-4, Cl A | ||||||||
4.060%, 11/15/2030 | 150 | 172 | ||||||
World Omni Auto Receivables Trust, Ser 2020-A, Cl A3 | ||||||||
1.700%, 01/17/2023 | 463 | 467 | ||||||
| 2,132 | ||||||||
Mortgage Related Securities — 0.5% |
| |||||||
Asset Backed Securities Home Equity Loan Trust, Ser 2007-HE1, Cl A4 | ||||||||
1.767%, VAR ICE LIBOR USD 1 Month+0.140%, 12/25/2036 | 227 | 220 | ||||||
Bear Stearns Asset Backed Securities I Trust, Ser 2004-HE6, Cl M1 | ||||||||
2.482%, VAR ICE LIBOR USD 1 Month+0.855%, 08/25/2034 | 253 | 255 | ||||||
Bear Stearns Asset Backed Securities I Trust, Ser 2004-HE7, Cl M1 | ||||||||
2.527%, VAR ICE LIBOR USD 1 Month+0.900%, 08/25/2034 | 217 | 213 | ||||||
Option One Mortgage Loan Trust, Ser 2007- FXD1, Cl 3A4 | ||||||||
5.860%, 01/25/2037 | 109 | 111 | ||||||
| 799 | ||||||||
Other Asset-Backed Securities — 6.1% |
| |||||||
Applebee’s Funding, Ser 2019-1A, Cl A2I | ||||||||
4.194%, 06/07/2049 (B) | 140 | 144 | ||||||
| 28 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Ascentium Equipment Receivables Trust, Ser 2018-2A, Cl A2 | ||||||||
3.270%, 10/12/2021 (B) | $ | 222 | $ | 224 | ||||
BankAmerica Manufactured Housing Contract Trust, Ser 1996-1, Cl B1 | ||||||||
7.875%, 10/10/2026 | 510 | 101 | ||||||
CCG Receivables Trust, Ser 2017-1, Cl A2 | ||||||||
1.840%, 11/14/2023 (B) | 25 | 25 | ||||||
CCG Receivables Trust, Ser 2018-1, Cl A2 | ||||||||
2.500%, 06/16/2025 (B) | 224 | 225 | ||||||
CCG Receivables Trust, Ser 2019-1, Cl A2 | ||||||||
2.800%, 09/14/2026 (B) | 219 | 222 | ||||||
CIT Mortgage Loan Trust, Ser 2007-1, Cl 1M1 | ||||||||
3.127%, VAR ICE LIBOR USD 1 Month+1.500%, 10/25/2037 (B) | 120 | 120 | ||||||
DB Master Finance, Ser 2017-1A, Cl A2I | ||||||||
3.629%, 11/20/2047 (B) | 247 | 254 | ||||||
Domino’s Pizza Master Issuer, Ser 2017-1A, Cl A2I | ||||||||
3.044%, VAR ICE LIBOR USD 3 Month+1.250%, 07/25/2047 (B) | 221 | 220 | ||||||
Domino’s Pizza Master Issuer, Ser 2019-1A, Cl A2 | ||||||||
3.668%, 10/25/2049 (B) | 80 | 84 | ||||||
First Franklin Mortgage Loan Trust, Ser 2006-FF15, Cl A5 | ||||||||
1.787%, VAR ICE LIBOR USD 1 Month+0.160%, 11/25/2036 | 209 | 205 | ||||||
GMF Floorplan Owner Revolving Trust, Ser 2018-4, Cl A1 | ||||||||
3.500%, 09/15/2023 (B) | 255 | 264 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-WMC5, Cl M1 | ||||||||
2.557%, VAR ICE LIBOR USD 1 Month+0.930%, 07/25/2035 | 352 | 351 | ||||||
Navient Private Education Refi Loan Trust, Ser 2019-CA, Cl A2 | ||||||||
3.130%, 02/15/2068 (B) | 180 | 188 | ||||||
NextGear Floorplan Master Owner Trust, Ser 2018-1A, Cl A2 | ||||||||
3.220%, 02/15/2023 (B) | 354 | 360 | ||||||
NextGear Floorplan Master Owner Trust, Ser 2018-2A, Cl A2 | ||||||||
3.690%, 10/15/2023 (B) | 377 | 391 | ||||||
NextGear Floorplan Master Owner Trust, Ser 2019-1A, Cl A2 | ||||||||
3.210%, 02/15/2024 (B) | 347 | 360 | ||||||
Progress Residential Trust, Ser 2018-SFR3, Cl A | ||||||||
3.880%, 10/17/2035 (B) | 408 | 421 | ||||||
Progress Residential Trust, Ser 2019-SFR3, Cl A | ||||||||
2.271%, 09/17/2036 (B) | 353 | 359 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
RAMP Trust, Ser 2006-RZ3, Cl M1 | ||||||||
1.977%, VAR ICE LIBOR USD 1 Month+0.350%, 08/25/2036 | $ | 470 | $ | 457 | ||||
Sofi Professional Loan Program Trust, Ser 2018-B, Cl A2FX | ||||||||
3.340%, 08/25/2047 (B) | 100 | 104 | ||||||
Sofi Professional Loan Program Trust, Ser 2018-D, Cl A2FX | ||||||||
3.600%, 02/25/2048 (B) | 180 | 190 | ||||||
Sofi Professional Loan Program Trust, Ser 2020-A, Cl A1FX | ||||||||
2.060%, 05/15/2046 (B) | 413 | 416 | ||||||
Stack Infrastructure Issuer, Ser 2019-2A, Cl A2 | ||||||||
3.080%, 10/25/2044 (B) | 159 | 163 | ||||||
Store Master Funding I, Ser 2015-1A, Cl A1 | ||||||||
3.750%, 04/20/2045 (B) | 328 | 337 | ||||||
Structured Asset Investment Loan Trust, Ser 2003-BC12, Cl 2A | ||||||||
2.347%, VAR ICE LIBOR USD 1 Month+0.720%, 11/25/2033 | 224 | 224 | ||||||
U.S. Small Business Administration, Ser 2010-20B, Cl 1 | ||||||||
4.140%, 02/01/2030 | 83 | 90 | ||||||
U.S. Small Business Administration, Ser 2011- 20H, Cl 1 | ||||||||
3.290%, 08/01/2031 | 154 | 165 | ||||||
U.S. Small Business Administration, Ser 2013-20G, Cl 1 | ||||||||
3.150%, 07/01/2033 | 639 | 679 | ||||||
U.S. Small Business Administration, Ser 2014-20C, Cl 1 | ||||||||
3.210%, 03/01/2034 | 578 | 623 | ||||||
U.S. Small Business Administration, Ser 2015-20F, Cl 1 | ||||||||
2.980%, 06/01/2035 | 159 | 171 | ||||||
U.S. Small Business Administration, Ser 2017-20H, Cl 1 | ||||||||
2.750%, 08/01/2037 | 252 | 268 | ||||||
U.S. Small Business Administration, Ser 2018-20A, Cl 1 | ||||||||
2.920%, 01/01/2038 | 269 | 289 | ||||||
U.S. Small Business Administration, Ser 2018-20B, Cl 1 | ||||||||
3.220%, 02/01/2038 | 420 | 460 | ||||||
U.S. Small Business Administration, Ser 2018-20E, Cl 1 | ||||||||
3.500%, 05/01/2038 | 271 | 301 | ||||||
U.S. Small Business Administration, Ser 2019-20D, Cl 1 | ||||||||
2.980%, 04/01/2039 | 29 | 31 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 29 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Continued)
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
U.S. Small Business Administration, Ser 2019-25G, Cl 1 | ||||||||
2.690%, 07/01/2044 | $ | 30 | $ | 32 | ||||
Vantage Data Centers Issuer, Ser 2018-1A, Cl A2 | ||||||||
4.072%, 02/16/2043 (B) | 254 | 265 | ||||||
Vantage Data Centers Issuer, Ser 2019-1A, Cl A2 | ||||||||
3.188%, 07/15/2044 (B) | 119 | 123 | ||||||
Verizon Owner Trust, Ser 2017-2A, Cl A | ||||||||
1.920%, 12/20/2021 (B) | 85 | 85 | ||||||
Verizon Owner Trust, Ser 2017-3A, Cl A1A | ||||||||
2.060%, 04/20/2022 (B) | 193 | 193 | ||||||
Verizon Owner Trust, Ser 2019-B, Cl A1A | ||||||||
2.330%, 12/20/2023 | 285 | 290 | ||||||
Volvo Financial Equipment LLC, Ser 2017-1A, Cl A3 | ||||||||
1.920%, 03/15/2021 (B) | 36 | 36 | ||||||
Wendy’s Funding, Ser 2019-1A, Cl A2I | ||||||||
3.783%, 06/15/2049 (B) | 152 | 159 | ||||||
| 10,669 | ||||||||
Total Asset-Backed Securities | 13,600 | |||||||
LOAN PARTICIPATIONS — 2.4% |
| |||||||
1011778 B.C. Unlimited Liability Company (New Red Finance, Inc.) (aka Burger King/ Tim Hortons), Term B-4 Loan, 1st Lien | ||||||||
3.353%, VAR LIBOR+1.750%, 11/19/2026 | 101 | 99 | ||||||
Air Medical Group Holdings, Inc., 2018 Term Loan, 1st Lien | ||||||||
4.932%, VAR LIBOR+3.250%, 04/28/2022 (E) | 69 | 65 | ||||||
Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), Initial Term Loan, 1st Lien | ||||||||
5.853%, VAR LIBOR+4.250%, 07/10/2026 | 69 | 68 | ||||||
AMC Entertainment Holdings, Inc. (fka AMC Entertainment Inc.), Term B-1 Loan, 1st Lien | ||||||||
4.650%, 04/22/2026 | 20 | 19 | ||||||
American Airlines Inc, Term Loan B | ||||||||
3.603%, VAR LIBOR+2.000%, 04/28/2023 | 80 | 77 | ||||||
American Airlines, Inc., 2017 Class B Term Loan, 1st Lien | ||||||||
3.659%, VAR LIBOR+2.000%, 12/15/2023 | 20 | 19 | ||||||
APi Group Term Loan B | ||||||||
4.103%, 10/01/2026 | 100 | 99 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Aramark Services B4 Cov-LiteLien1 | ||||||||
3.353%, VAR LIBOR+1.750%, 01/15/2027 | $ | 50 | $ | 50 | ||||
Asurion, LLC (fka Asurion Corporation), Amendment No. 14 Replacement B-4 Term Loan, 1st Lien | ||||||||
4.603%, VAR LIBOR+3.000%, 08/04/2022 | 45 | 45 | ||||||
Asurion, LLC (fka Asurion Corporation), New B-7 Term Loan, 1st Lien | ||||||||
4.603%, VAR LIBOR+3.000%, 11/03/2024 | 50 | 49 | ||||||
athenahealth, Inc., Term B Loan, 1st Lien | ||||||||
6.158%, VAR LIBOR+4.500%, 02/11/2026 | 129 | 128 | ||||||
Atlantic Aviation FBO Inc., Term Loan, 1st Lien | ||||||||
5.360%, VAR LIBOR+3.750%, 12/06/2025 | 10 | 10 | ||||||
Avolon TLB Borrower 1 (US) LLC, Term B-3 Loan, 1st Lien | ||||||||
3.397%, VAR LIBOR+1.750%, 01/15/2025 | 22 | 21 | ||||||
Berry Plastics, Term Loan, 1st Lien | ||||||||
3.671%, 10/01/2022 | 30 | 30 | ||||||
Brightview Landscapes, LLC, Initial Term Loan (2018), 1st Lien | ||||||||
4.188%, VAR LIBOR+2.500%, 08/15/2025 | 20 | 20 | ||||||
Brookfield WEC Holdings Inc., Initial Term Loan (2020), 1st Lien | ||||||||
4.603%, VAR LIBOR+3.000%, 08/01/2025 | 20 | 20 | ||||||
Caesars Entertainment Op Co Inc, Term Loan B | ||||||||
3.603%, VAR LIBOR+2.000%, 10/07/2024 | 40 | 40 | ||||||
Caesars Resort Collection, LLC (fka Caesars Growth Properties Holdings, LLC), Term B Loan, 1st Lien | ||||||||
4.353%, VAR LIBOR+2.750%, 12/23/2024 | 47 | 45 | ||||||
Change Healthcare Holdings, Inc. (fka Emdeon Inc.), Closing Date Term Loan, 1st Lien | ||||||||
4.103%, VAR LIBOR+2.500%, 03/01/2024 | 118 | 115 | ||||||
Charter Communications, Term Loan, 1st Lien | ||||||||
3.360%, 04/30/2025 | 97 | 96 | ||||||
| 30 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Citadel Securities LP, 2020 Repriced Term Loan, 1st Lien | ||||||||
4.353%, VAR LIBOR+2.750%, 02/27/2026 | $ | 10 | $ | 10 | ||||
CityCenter Holdings, LLC , Term B Loan, 1st Lien | ||||||||
3.853%, VAR LIBOR+2.250%, 04/18/2024 | 18 | 18 | ||||||
CSC Holdings, LLC, September 2019 Initial Term Loan, 1st Lien | ||||||||
4.159%, VAR LIBOR+2.500%, 04/15/2027 | 10 | 10 | ||||||
DCert Buyer, Inc., Initial Term Loan, 1st Lien | ||||||||
5.603%, VAR LIBOR+4.000%, 10/16/2026 (E) | 100 | 99 | ||||||
Dell International L.L.C. (EMC Corporation), Refinancing Term B-1 Loan, 1st Lien | ||||||||
3.610%, VAR LIBOR+2.000%, 09/19/2025 | 67 | 66 | ||||||
Edelman Financial Center, Term Loan B | ||||||||
4.879%, VAR LIBOR+3.250%, 07/21/2025 | 30 | 29 | ||||||
Elanco Animal Health Inc., Term Loan 1st Lien | ||||||||
0.000%, 02/04/2027 (E) | 100 | 99 | ||||||
Entercom Media Corp., Term B-2 Loan, 1st Lien | ||||||||
4.103%, VAR LIBOR+2.500%, 11/18/2024 | 29 | 28 | ||||||
Eyecare Partners, LLC, Term Loan, First Lien | ||||||||
5.418%, 02/05/2027 | 16 | 16 | ||||||
0.000%, 02/05/2027 (E) | 4 | 4 | ||||||
First Eagles Holdings, Inc., Term Loan | ||||||||
4.262%, 02/01/2027 | 20 | 19 | ||||||
Focus Financial Partners, LLC, Term Loan 1st Lien | ||||||||
3.645%, 07/03/2024 | 50 | 49 | ||||||
Four Seasons Holdings, Inc., 1st Lien | ||||||||
3.603%, 11/30/2023 | 29 | 29 | ||||||
Froneri International Limited, Facility B2, 1st Lien | ||||||||
3.853%, VAR LIBOR+2.250%, 01/29/2027 | 40 | 39 | ||||||
Garda World Security Corporation, Initial Term Loan, 1st Lien | ||||||||
6.390%, VAR LIBOR+4.750%, 10/30/2026 | 14 | 14 | ||||||
Genesee & Wyoming Inc., Initial Term Loan, 1st Lien | ||||||||
3.961%, VAR LIBOR+2.000%, 12/30/2026 (E) | 100 | 99 | ||||||
GFL Environmental, Incremental Term Loan | ||||||||
4.603%, 05/30/2025 | 10 | 10 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Golden Nugget, Inc., Initial Term Loan B, 1st Lien | ||||||||
4.898%, VAR LIBOR+0.070%, 10/04/2023 | $ | 1 | $ | 1 | ||||
4.139%, VAR LIBOR+0.070%, 10/04/2023 | 28 | 28 | ||||||
4.103%, VAR LIBOR+0.070%, 10/04/2023 | 34 | 33 | ||||||
Grifols Worldwide Operations Limited, Dollar Tranche B Term Loan, 1st Lien | ||||||||
3.579%, VAR LIBOR+2.000%, 11/15/2027 | 100 | 99 | ||||||
Hilton Worldwide Finance LLC, Refinanced Series B-2 Term Loan, 1st Lien | ||||||||
3.377%, VAR LIBOR+1.750%, 06/22/2026 | 92 | 91 | ||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan, 1st Lien | ||||||||
4.655%, VAR LIBOR+3.000%, 05/01/2026 | 26 | 25 | ||||||
Intrawest, Term Loan B-1 | ||||||||
4.353%, VAR LIBOR+2.750%, 07/31/2024 | 40 | 39 | ||||||
Jaguar Holding Company I, LLC (fka Jaguar Holding Company I), 2018 Term Loan, 1st Lien | ||||||||
4.103%, VAR LIBOR+2.500%, 08/18/2022 | 102 | 101 | ||||||
Jane Street Group, LLC, New Dollar Term Loan, 1st Lien | ||||||||
4.613%, VAR LIBOR+3.000%, 01/31/2025 | 60 | 59 | ||||||
Level 3 Financing, Inc. 3/1/2027 Lien1 | ||||||||
3.353%, 03/01/2027 | 65 | 63 | ||||||
LifePoint Health, Term Loan, 1st Lien | ||||||||
5.353%, 11/16/2025 | 98 | 97 | ||||||
LPL Holdings, Inc., Term Loan | ||||||||
3.363%, 11/12/2026 | — | — | ||||||
MA Financeco., LLC, Tranche B-3 Term Loan, 1st Lien | ||||||||
4.103%, VAR LIBOR+2.500%, 06/21/2024 | 1 | 1 | ||||||
McAfee, LLC, Term B USD Loan | ||||||||
5.353%, 09/30/2024 | 89 | 89 | ||||||
Michaels Stores, Inc., 2018 New Replacement Term B Loan | ||||||||
4.150%, 01/30/2023 | 22 | 19 | ||||||
4.113%, 01/30/2023 | 8 | 7 | ||||||
MPH Acquisition Holdings LLC, Initial Term Loan, 1st Lien | ||||||||
4.695%, VAR LIBOR+2.750%, 06/07/2023 | 77 | 73 | ||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 31 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Continued)
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Nexstar Broadcasting, Inc., Term B-4 Loan, 1st Lien | ||||||||
4.405%, VAR LIBOR+2.750%, 09/18/2026 | $ | 100 | $ | 99 | ||||
Numericable U.S. LLC, USD TLB-[12] Term Loan, 1st Lien | ||||||||
5.346%, VAR LIBOR+3.688%, 01/31/2026 | 50 | 48 | ||||||
Option Care Health, Inc., Term B Loan, 1st Lien | ||||||||
6.103%, VAR LIBOR+4.500%, 08/06/2026 | 40 | 40 | ||||||
Panther BF Aggregator 2 L P, Initial Dollar Term Loan, 1st Lien | ||||||||
5.103%, VAR LIBOR+3.500%, 04/30/2026 | 50 | 49 | ||||||
Party City Holdings Inc., 2018 Replacement Term Loan | ||||||||
4.150%, 08/19/2022 | 12 | 10 | ||||||
PCI Gaming Authority, Term B Facility Loan, 1st Lien | ||||||||
4.103%, VAR LIBOR+2.500%, 05/29/2026 | 35 | 35 | ||||||
Phoenix Guarantor Inc., Tranche B-1 Term Loan, 1st Lien | ||||||||
4.921%, VAR LIBOR+3.250%, 03/05/2026 | 60 | 58 | ||||||
Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions) , 2019 Refinancing Term B-1 Loan, 1st Lien | ||||||||
4.912%, VAR LIBOR+3.250%, 09/23/2026 | 104 | 101 | ||||||
Reynolds Consumer Products LLC, Initial Term Loan, 1st Lien | ||||||||
3.501%, VAR LIBOR+1.750%, 02/04/2027 | 36 | 36 | ||||||
Reynolds Group Holdings Inc., Incremental U.S. Term Loan, 1st Lien | ||||||||
4.353%, VAR LIBOR+2.750%, 02/05/2023 | 58 | 57 | ||||||
RPI 2019 Intermediate Finance Trust, Term Loan B, 1st Lien | ||||||||
3.415%, VAR LIBOR+1.750%, 02/11/2027 | 90 | 90 | ||||||
Scientific Games International, Inc., Initial Term B-5 Loan, 1st Lien | ||||||||
4.353%, VAR LIBOR+2.750%, 08/14/2024 | 83 | 80 | ||||||
Seattle SpinCo, Inc., Initial Term Loan, 1st Lien | ||||||||
4.103%, VAR LIBOR+2.500%, 06/21/2024 | 9 | 9 | ||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Sotera Health Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
6.103%, VAR LIBOR+4.500%, 12/11/2026 (E) | $ | 100 | $ | 99 | ||||
Sprint Communications, Inc., Initial Term Loan, 1st Lien | ||||||||
4.125%, VAR LIBOR+2.500%, 02/02/2024 | 99 | 98 | ||||||
Station Casinos, LLC, Term Loan B-1 | ||||||||
3.860%, 02/08/2027 | 10 | 10 | ||||||
Terrier Media Bu Lien1 | ||||||||
6.148%, VAR LIBOR+4.250%, 12/17/2026 | 60 | 60 | ||||||
TKC Holdings, Inc. Term Loan B | ||||||||
5.360%, VAR LIBOR+3.750%, 02/01/2023 | 20 | 19 | ||||||
Trans Union LLC, 2019 Replacement Term B-5 Loan, 1st Lien | ||||||||
3.353%, VAR LIBOR+1.750%, 11/16/2026 | 26 | 25 | ||||||
UFC Holdings, LLC, Term Loan, 1st Lien | ||||||||
4.860%, VAR LIBOR+3.250%, 04/29/2026 | 60 | 59 | ||||||
Univision Communications Inc., 2017 Replacement Repriced First-Lien Term Loan, 1st Lien | ||||||||
4.353%, VAR LIBOR+2.750%, 03/15/2024 | 52 | 50 | ||||||
VFH Parent LLC, Initial Term Loan, 1st Lien | ||||||||
5.171%, VAR LIBOR+3.500%, 03/01/2026 (E) | 100 | 99 | ||||||
VICI Properties 1 LLC, Term B Loan, 1st Lien | ||||||||
3.379%, VAR LIBOR+1.750%, 12/20/2024 | 100 | 98 | ||||||
Virgin Media Bristol LLC, N Facility, 1st Lien | ||||||||
4.159%, VAR LIBOR+2.500%, 01/31/2028 | 105 | 103 | ||||||
Western Digital Corporation, U.S. Term B-4 Loan, 1st Lien | ||||||||
3.353%, VAR LIBOR+1.750%, 04/29/2023 | 22 | 22 | ||||||
Ziggo Financing Partnership, Term Loan I Facility, 1st Lien | ||||||||
4.159%, VAR LIBOR+2.500%, 04/30/2028 | 90 | 88 | ||||||
Total Loan Participations | 4,120 | |||||||
| 32 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT — 2.0% |
| |||||||
Abu Dhabi Government International Bond | ||||||||
2.500%, 10/11/2022 (B) | $ | 200 | $ | 203 | ||||
Argentine Republic Government International Bond | ||||||||
6.875%, 01/11/2048 | 140 | 55 | ||||||
5.625%, 01/26/2022 | 210 | 98 | ||||||
3.75%, 5.250%, 03/31/2029, 12/31/2038 (F) | 20 | 8 | ||||||
Brazilian Government International Bond | ||||||||
5.625%, 01/07/2041 | 120 | 141 | ||||||
4.625%, 01/13/2028 | 290 | 319 | ||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | 200 | 257 | ||||||
Egypt Government International Bond | ||||||||
5.577%, 02/21/2023 (B) | 200 | 207 | ||||||
Indonesia Government International Bond | ||||||||
4.350%, 01/11/2048 | 600 | 676 | ||||||
Mexico Government International Bond | ||||||||
4.600%, 02/10/2048 | 230 | 263 | ||||||
Nigeria Government International Bond MTN | ||||||||
6.500%, 11/28/2027 (B) | 200 | 199 | ||||||
Peruvian Government International Bond | ||||||||
6.550%, 03/14/2037 | 10 | 15 | ||||||
5.625%, 11/18/2050 | 300 | 462 | ||||||
Poland Government International Bond | ||||||||
4.000%, 01/22/2024 | 110 | 120 | ||||||
Provincia de Buenos Aires | ||||||||
6.500%, 02/15/2023 (B) | 200 | 79 | ||||||
Republic of South Africa Government International Bond | ||||||||
4.300%, 10/12/2028 | 200 | 197 | ||||||
Uruguay Government International Bond | ||||||||
4.375%, 01/23/2031 | 200 | 230 | ||||||
Total Sovereign Debt | 3,529 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8% |
| |||||||
FHLB | ||||||||
1.700%, VAR United States Secured Overnight Financing Rate+0.120%, 10/07/2020 | 180 | 180 | ||||||
FHLB DN | ||||||||
1.579%, 05/01/2020 (C) | 390 | 389 | ||||||
1.572%, 04/24/2020 (C) | 470 | 469 | ||||||
1.539%, 04/13/2020 (C) | 380 | 379 | ||||||
Total U.S. Government Agency Obligations | 1,417 | |||||||
| Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS — 0.8% |
| |||||||
California — 0.3% | ||||||||
California State, GO | ||||||||
7.500%, 04/01/2034 | $ | 280 | $ | 464 | ||||
Florida — 0.0% | ||||||||
Florida State, Board of Administration Finance, Ser A, RB | ||||||||
2.638%, 07/01/2021 | 100 | 102 | ||||||
Illinois — 0.3% | ||||||||
Chicago, Metropolitan Water Reclamation District, GO | ||||||||
5.720%, 12/01/2038 | 345 | 498 | ||||||
New York — 0.2% | ||||||||
New York State, Urban Development, RB | ||||||||
5.770%, 03/15/2039 | 275 | 351 | ||||||
Total Municipal Bonds | 1,415 | |||||||
| Shares | ||||||||
CASH EQUIVALENT — 3.2% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
1.430%**† | 5,583,583 | 5,584 | ||||||
Total Cash Equivalent | 5,584 | |||||||
Total Investments in Securities — 102.4% | $ | 178,921 | ||||||
| Contracts | ||||||||
PURCHASED OPTIONS*(G) — 0.0% |
| |||||||
Total Purchased Options | 3,430,029 | $ | 17 | |||||
WRITTEN OPTION*(G) — 0.0% |
| |||||||
Total Written Option | (6 | ) | $ | — | ||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 33 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Continued)
A list of the open options held by the Fund at February 29, 2020, is as follows:
| Description | Number of Contracts | Notional Amount (Thousands) | Exercise Price | Expiration Date | Value (Thousands) | |||||||||||||||
PURCHASED OPTIONS — 0.0% |
| |||||||||||||||||||
Put Options | ||||||||||||||||||||
April 2020, U.S. 10 Year Future Option* | 11 | $ | 1,430 | $ | 130.00 | 3/21/2020 | $ | 1 | ||||||||||||
April 2020, U.S. Bond Future Option* | 18 | 2,736 | 152.00 | 3/21/2020 | – | |||||||||||||||
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| 4,166 | 1 | |||||||||||||||||||
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Call Options | ||||||||||||||||||||
April 2020, USD Call, EUR Put* | 650,000 | $ | 720 | 1.11 | 4/18/2020 | 7 | ||||||||||||||
April 2020, USD Call, EUR Put* | 1,460,000 | 1,590 | 1.09 | 4/18/2020 | 5 | |||||||||||||||
April 2020, USD Call, EUR Put* | 1,320,000 | 1,432 | 1.08 | 4/18/2020 | 4 | |||||||||||||||
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| 3,742 | 16 | |||||||||||||||||||
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Total Purchased Options | $ | 7,908 | $ | 17 | ||||||||||||||||
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WRITTEN OPTION — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
April 2020, U.S. Bond Future Option* | (6 | ) | $ | (930 | ) | 155.00 | 03/21/20 | $ | – | |||||||||||
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Total Written Option | $ | (930 | ) | $ | – | |||||||||||||||
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A list of the open futures contracts held by the Fund at February 29, 2020, is as follows:
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||||
90-Day Euro$ | 5 | Mar-2021 | $ | 1,218 | $ | 1,240 | $ | 22 | ||||||||||||
U.S. 10-Year Treasury Note | 33 | Jun-2020 | 4,370 | 4,447 | 77 | |||||||||||||||
U.S. 2-Year Treasury Note | (3 | ) | Jul-2020 | (653 | ) | (655 | ) | (2 | ) | |||||||||||
U.S. 5-Year Treasury Note | (82 | ) | Jul-2020 | (9,961 | ) | (10,065 | ) | (104 | ) | |||||||||||
U.S. Long Treasury Bond | 5 | Jun-2020 | 830 | 851 | 21 | |||||||||||||||
U.S. Ultra Long Treasury Bond | 4 | Jun-2020 | 781 | 830 | 49 | |||||||||||||||
| (3,415 | ) | $ | (3,352 | ) | $ | 63 | ||||||||||||||
| 34 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
A list of the open forward foreign currency contracts held by the Fund at February 29, 2020, is as follows:
| Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||
Citigroup | 04/17/20 | USD | 163 | ZAR | 2,370 | $ | (14 | ) | ||||||||||||||||
Citigroup | 04/17/20 | USD | 175 | AUD | 254 | (12 | ) | |||||||||||||||||
Citigroup | 04/17/20 | USD | 506 | GBP | 385 | (13 | ) | |||||||||||||||||
Citigroup | 04/17/20 | USD | 725 | INR | 51,986 | (14 | ) | |||||||||||||||||
Citigroup | 04/17/20 | USD | 946 | RUB | 58,693 | (80 | ) | |||||||||||||||||
Citigroup | 04/17/20 | EUR | 981 | USD | 1,097 | 17 | ||||||||||||||||||
Citigroup | 04/17/20 | USD | 1,137 | IDR | 15,760,196 | (61 | ) | |||||||||||||||||
Citigroup | 04/17/20 | USD | 1,202 | BRL | 4,920 | (114 | ) | |||||||||||||||||
Citigroup | 04/17/20 | USD | 16 | EUR | 14 | — | ||||||||||||||||||
Citigroup | 04/17/20 -04/28/20 | USD | 1,508 | EUR | 1,353 | (16 | ) | |||||||||||||||||
Citigroup | 04/17/20 | USD | 2,275 | CAD | 2,954 | (75 | ) | |||||||||||||||||
Citigroup | 04/17/20 | CNY | 2,862 | USD | 413 | 3 | ||||||||||||||||||
Citigroup | 04/17/20 | PHP | 32,016 | USD | 631 | 7 | ||||||||||||||||||
| $ | (372 | ) | ||||||||||||||||||||||
A list of open centrally cleared swap agreements held by the Fund at February 29, 2020, is as follows:
| Credit Default Swaps | ||||||||||||||||||||||||||||||||||||
| Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Payment Frequency | Termination Date | Notional Amount (Thousands) | Value (Thousands) | Upfront Payments/ Receipts (Thousands) | Net Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||||||||||
CDX.NA.IG.3312 | Sell | 1.00% | Quarterly | 12/20/2024 | (2,625 | ) | $ | 43 | $ | 47 | $ | (4 | ) | |||||||||||||||||||||||
CDX.NA.HY.3312 | Sell | 5.00% | Quarterly | 12/20/2024 | (658 | ) | 33 | 46 | (13 | ) | ||||||||||||||||||||||||||
| $ | 76 | $ | 93 | $ | (17 | ) | ||||||||||||||||||||||||||||||
| Interest Rate Swaps | ||||||||||||||||||||||||||||||||||||
| Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value (Thousands) | Upfront Payments/ Receipts | Net Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||||||||||
1.55% | 3-MONTH USD - LIBOR | Quarterly | 06/30/2026 | USD | 1,091 | $ | (38 | ) | $ | 3 | $ | (41 | ) | |||||||||||||||||||||||
1.55% | | U.S. FEDERAL FUNDS EFFECTIVE RATE | | Annually | 11/15/2026 | USD | 2,704 | (140 | ) | 4 | (144 | ) | ||||||||||||||||||||||||
2.875% | 3-MONTH USD - LIBOR | Quarterly | 05/15/2044 | USD | 945 | (322 | ) | 11 | (333 | ) | ||||||||||||||||||||||||||
1.85% | 3-MONTH USD - LIBOR | Quarterly | 11/15/2044 | USD | 1,329 | (163 | ) | 3 | (166 | ) | ||||||||||||||||||||||||||
1.81% | 3-MONTH USD - LIBOR | Quarterly | 11/15/2044 | USD | 164 | (19 | ) | – | (19 | ) | ||||||||||||||||||||||||||
1.65% | 3-MONTH USD - LIBOR | Quarterly | 08/23/2049 | USD | 580 | (53 | ) | (2 | ) | (51 | ) | |||||||||||||||||||||||||
| $ | (735 | ) | $ | 19 | $ | (754 | ) | |||||||||||||||||||||||||||||
Percentages are based on Net Assets of $174,769 ($ Thousands).
| * | Non-income producing security. |
| ** | The rate reported is the 7-day effective yield as of February 29, 2020. |
| † | Investment in Affiliated Security (see Note 5). |
| (A) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
| (B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. |
On February 29, 2020, the value of these securities amounted to $26,091 ($ Thousands), representing 14.9% of the Net Assets of the Fund. |
| (C) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
| (D) | Perpetual security with no stated maturity date. |
| (E) | Unsettled bank loan. Interest rate may not be available. |
| (F) | Step Bonds – Represents the current rate, the step rate, the step date and the final maturity date. |
| (G) | Refer to table below for details on Options Contracts. |
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 35 |
SCHEDULE OF INVESTMENTS
February 29, 2020
Catholic Values Fixed Income Fund(Concluded)
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
Cl — Class
CMO — Collateralized Mortgage Obligation
CNY — Chinese Yuan Onshore
DN — Discount Note
EUR — Euro
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
GO — General Obligation
ICE— Intercontinental Exchange
IDR — Indonesian Rupiah
INR — Indian Rupee
IO — Interest Only — face amount represents notional amount.
LIBOR— London Interbank Offered Rate
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
PHP – Philippine Peso
RB — Revenue Bond
RUB — Russian Ruble
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
USD — United States Dollar
VAR — Variable Rate
ZAR — South African Rand
The following is a list of the inputs used as of February 29, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
| Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Mortgage-Backed Securities | – | 65,269 | – | 65,269 | ||||||||||||
Corporate Obligations | – | 52,621 | – | 52,621 | ||||||||||||
U.S. Treasury Obligations | – | 31,366 | – | 31,366 | ||||||||||||
Asset-Backed Securities | – | 13,600 | – | 13,600 | ||||||||||||
Loan Participations | – | 4,120 | – | 4,120 | ||||||||||||
Sovereign Debt | – | 3,529 | – | 3,529 | ||||||||||||
U.S. Government Agency Obligations | – | 1,417 | – | 1,417 | ||||||||||||
Municipal Bonds | – | 1,415 | – | 1,415 | ||||||||||||
Cash Equivalent | 5,584 | – | – | 5,584 | ||||||||||||
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Total Investments in Securities | 5,584 | 173,337 | – | 178,921 | ||||||||||||
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| Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Purchased Options | 17 | – | – | 17 | ||||||||||||
Written Options | – | – | – | – | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 169 | – | – | 169 | ||||||||||||
Unrealized Depreciation | (106 | ) | – | – | (106 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 27 | – | 27 | ||||||||||||
Unrealized Depreciation | – | (399 | ) | – | (399 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (17 | ) | – | (17 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (754 | ) | – | (754 | ) | ||||||||||
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Total Other Financial Instruments | 80 | (1,143 | ) | – | (1,063 | ) | ||||||||||
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*Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
Amounts designated as “—” are $0 or have been rounded to $0.
For the year ended February 29, 2020, there were no transfers in or out of Level 3 investments.
The following is a summary of the transactions with affiliates for the year ended February 29, 2020 ($ Thousands):
| Security Description | Value at 2/28/2019 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 2/29/2020 | Shares | Income | Capital Gains | |||||||||
SEI Daily Income Trust, Government Fund, Cl F | $6,772 | $88,561 | $(89,749) | $— | $— | $5,584 | 5,583,583 | $87 | $— | |||||||||
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Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
| 36 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
February 29, 2020
Catholic Values Equity Fund | Catholic Values Fixed Income Fund | |||||||
Assets: | ||||||||
Investments, at Value† | $ | 236,081 | $ | 173,337 | ||||
Affiliated Investments, at Value†† | 3,620 | 5,584 | ||||||
Cash | 942 | 358 | ||||||
Cash Collateral on Futures | 168 | 67 | ||||||
Cash Collateral on Swap Contracts | – | 277 | ||||||
Foreign Currency, at Value††† | 106 | 92 | ||||||
Receivable for Fund Shares Sold | 6 | 2 | ||||||
Receivable for Investment Securities Sold | 1,808 | 5,784 | ||||||
Dividends and Interest Receivable | 384 | 866 | ||||||
Unrealized Appreciation on Forward Foreign Currency Contracts | – | 27 | ||||||
Options Purchased, at Value†††† | – | 17 | ||||||
Foreign Tax Reclaim Receivable | 5 | – | ||||||
Receivable for Variation Margin on Futures Contracts | 1 | 96 | ||||||
Prepaid Expenses | 10 | 6 | ||||||
Total Assets | 243,131 | 186,513 | ||||||
Liabilities: | ||||||||
Payable for Investment Securities Purchased | 1,969 | 10,984 | ||||||
Payable for Fund Shares Redeemed | 2 | 3 | ||||||
Income Distribution Payable | – | 1 | ||||||
Payable for Variation Margin on Futures Contracts | 9 | 80 | ||||||
Payable for Variation Margin on Swap Contracts | – | 151 | ||||||
Administration Fees Payable | 50 | 26 | ||||||
Shareholder Servicing Fees Payable, Class F | 18 | 8 | ||||||
Unrealized Depreciation on Forward Foreign Currency Contracts | – | 399 | ||||||
Written Options, at Value # | – | – | ||||||
Trustees Fees Payable | 1 | – | ||||||
Investment Advisory Fees Payable | 88 | 41 | ||||||
Accrued Expense Payable | 42 | 51 | ||||||
Total Liabilities | 2,179 | 11,744 | ||||||
Net Assets | $ | 240,952 | $ | 174,769 | ||||
† Cost of Investments | $ | 203,358 | $ | 163,191 | ||||
†† Cost of Affiliated Investments | 3,620 | 5,584 | ||||||
††† Cost of Foreign Currency | 106 | 88 | ||||||
†††† Cost of Purchased Options | – | 40 | ||||||
# Premiums Received on Written Options | – | 5 | ||||||
Net Assets: | ||||||||
Paid-in Capital — (Unlimited Authorization — No Par Value) | $ | 204,863 | $ | 166,086 | ||||
Total Distributable Earnings | 36,089 | 8,683 | ||||||
Net Assets | $ | 240,952 | $ | 174,769 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class F | $ | 11.71 | $ | 10.56 | ||||
| ($218,925,706 | ÷ | ($115,970,426 | ÷ | |||||
| 18,687,784 shares | ) | 10,985,782 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $ | 11.69 | $ | 10.56 | ||||
| ($22,026,546 | ÷ | ($58,798,134 | ÷ | |||||
| 1,884,871 shares | ) | 5,565,769 shares | ) | |||||
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 37 |
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended February 29, 2020
| Catholic Values Equity Fund | Catholic Values Fixed Income Fund | |||||||
Investment Income: | ||||||||
Dividends | $ | 5,653 | $ | – | ||||
Income from Affiliated Registered Investment Company(1) | 132 | 87 | ||||||
Interest Income | 39 | 4,861 | ||||||
Less: Foreign Taxes Withheld | (241 | ) | – | |||||
Total Investment Income | 5,583 | 4,948 | ||||||
Expenses: | ||||||||
Investment Advisory Fees | 1,640 | 535 | ||||||
Administration Fees | 820 | 306 | ||||||
Shareholder Servicing Fees, Class F Shares | 593 | 278 | ||||||
Professional Fees | 63 | 39 | ||||||
Registration Fees | 56 | 34 | ||||||
Printing Fees | 26 | 14 | ||||||
Custodian/Wire Agent Fees | 26 | 32 | ||||||
Pricing Fees | 17 | 94 | ||||||
Trustees’ Fees | 5 | 3 | ||||||
Chief Compliance Officer Fees | 1 | – | ||||||
Other Expenses | 31 | 16 | ||||||
Total Expenses | 3,278 | 1,351 | ||||||
Less: | ||||||||
Waiver of Investment Advisory Fees | (500 | ) | (76 | ) | ||||
Waiver of Shareholder Servicing Fees, Class F Shares | (356 | ) | (167 | ) | ||||
Waiver of Administration Fees | (102 | ) | (61 | ) | ||||
Net Expenses | 2,320 | 1,047 | ||||||
Net Investment Income | 3,263 | 3,901 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Investments | 9,558 | 1,979 | ||||||
Futures Contracts | 1,459 | 860 | ||||||
Forward Foreign Currency Contracts | (2 | ) | 136 | |||||
Foreign Currency Transactions | (7 | ) | 33 | |||||
Purchased and Written Options | – | 81 | ||||||
Swap Contracts | – | (260 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Investments | (5,161 | ) | 11,032 | |||||
Futures Contracts | (998 | ) | 34 | |||||
Forward Foreign Currency Contracts | – | (386 | ) | |||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | – | 1 | ||||||
Purchased and Written Options | – | (18 | ) | |||||
Swap Contracts | – | (866 | ) | |||||
Net Increase in Net Assets Resulting from Operations | $ | 8,112 | $ | 16,527 | ||||
| (1) | See Note 5 in the Notes to the Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| 38 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended February
| Catholic Values Equity Fund | Catholic Values Fixed Income Fund | |||||||||||||||
| 2/29/2020 | 2/28/2019 | 2/29/2020 | 2/28/2019 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 3,263 | $ | 3,257 | $ | 3,901 | $ | 4,077 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Options and Swap Contracts | 11,017 | 6,056 | 2,660 | (262 | ) | |||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions and Forward Foreign Currency Contracts | (9 | ) | (5 | ) | 169 | 1 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Options and Swap Contracts | (6,159 | ) | (6,360 | ) | 10,182 | 929 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | — | 1 | (385 | ) | — | |||||||||||
Net Increase in Net Assets Resulting from Operations | 8,112 | 2,949 | 16,527 | 4,745 | ||||||||||||
Distributions: | ||||||||||||||||
Class F | (9,268 | ) | (10,898 | ) | (3,891 | ) | (3,328 | ) | ||||||||
Class Y | (1,641 | ) | (1,790 | ) | (1,488 | ) | (1,039 | ) | ||||||||
Total Distributions | (10,909 | ) | (12,688 | ) | (5,379 | ) | (4,367 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Class F: | ||||||||||||||||
Proceeds from Shares Issued | 13,498 | 23,862 | 14,313 | 14,015 | ||||||||||||
Reinvestment of Dividends & Distributions | 9,259 | 10,878 | 3,874 | 3,317 | ||||||||||||
Cost of Shares Redeemed | (29,851 | ) | (22,076 | ) | (17,916 | ) | (25,977 | ) | ||||||||
Net Increase (Decrease) in Net Assets from Class F Transactions | (7,094 | ) | 12,664 | 271 | (8,645 | ) | ||||||||||
Class Y: | ||||||||||||||||
Proceeds from Shares Issued | 7,293 | 10,927 | 20,069 | 10,078 | ||||||||||||
Reinvestment of Dividends & Distributions | 1,642 | 1,790 | 1,484 | 1,037 | ||||||||||||
Cost of Shares Redeemed | (22,848 | ) | (10,573 | ) | (1,604 | ) | (10,762 | ) | ||||||||
Net Increase (Decrease) in Net Assets from Class Y Transactions | (13,913 | ) | 2,144 | 19,949 | 353 | |||||||||||
Net Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (21,007 | ) | 14,808 | 20,220 | (8,292 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | (23,804 | ) | 5,069 | 31,368 | (7,914 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Year | 264,756 | 259,687 | 143,401 | 151,315 | ||||||||||||
End of Year | $ | 240,952 | $ | 264,756 | $ | 174,769 | $ | 143,401 | ||||||||
Capital Share Transactions: | ||||||||||||||||
Class F: | ||||||||||||||||
Shares Issued | 1,081 | 2,057 | 1,402 | 1,445 | ||||||||||||
Shares Issued in Lieu of Dividends & Distributions | 729 | 994 | 377 | 341 | ||||||||||||
Shares Redeemed | (2,368 | ) | (1,779 | ) | (1,749 | ) | (2,687 | ) | ||||||||
Net Increase (Decrease) in Shares Outstanding from Share Transactions | (558 | ) | 1,272 | 30 | (901 | ) | ||||||||||
Capital Share Transactions: | ||||||||||||||||
Class Y: | ||||||||||||||||
Shares Issued | 585 | 879 | 1,953 | 1,036 | ||||||||||||
Shares Issued in Lieu of Dividends & Distributions | 130 | 164 | 144 | 106 | ||||||||||||
Shares Redeemed | (1,790 | ) | (845 | ) | (158 | ) | (1,104 | ) | ||||||||
Net Increase (Decrease) in Shares Outstanding from Share Transactions | (1,075 | ) | 198 | 1,939 | 38 | |||||||||||
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 39 |
For the year ended February 29, 2020 and the years or periods ended February 28,
For a share outstanding throughout the year or period
| Net Asset Value, Beginning of Year | Net Investment Income(1) | Net Realized and Gains (Losses) on Investments(1) | Total from | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Dividends and Distributions | Net Asset Value, End of Year | Total Return† | Net Assets Year | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses Net Assets | Ratio of Net to Average | Portfolio Turnover Rate† | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Catholic Values Equity Fund |
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Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | $ | 11.93 | $ | 0.15 | $ | 0.14 | $ | 0.29 | $ | (0.15 | ) | $ | (0.36 | ) | $ | (0.51 | ) | $ | 11.71 | 2.09 | % | $ | 218,926 | 0.86 | % | 1.24 | % | 1.19 | % | 34 | % | |||||||||||||||||||||||||||||||||||||||
2019 | 12.53 | 0.15 | (0.13 | ) | 0.02 | (0.15 | ) | (0.47 | ) | (0.62 | ) | 11.93 | 0.62 | 229,548 | 0.82 | 1.24 | 1.26 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 10.61 | 0.11 | 1.90 | 2.01 | (0.09 | ) | — | (0.09 | ) | 12.53 | 18.93 | 225,146 | 0.86 | 1.24 | 0.94 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | 8.57 | 0.09 | 2.05 | 2.14 | (0.10 | ) | — | (0.10 | ) | 10.61 | 25.03 | 185,908 | 0.86 | 1.25 | 0.88 | 63 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(2) | 10.00 | 0.08 | (1.44 | ) | (1.36 | ) | (0.07 | ) | — | (0.07 | ) | 8.57 | (13.66 | ) | 142,564 | 0.86 | 1.32 | 0.96 | 84 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | $ | 11.90 | $ | 0.16 | $ | 0.15 | $ | 0.31 | $ | (0.16 | ) | $ | (0.36 | ) | $ | (0.52 | ) | $ | 11.69 | 2.28 | % | $ | 22,026 | 0.76 | % | 0.99 | % | 1.31 | % | 34 | % | |||||||||||||||||||||||||||||||||||||||
2019 | 12.51 | 0.16 | (0.13 | ) | 0.03 | (0.17 | ) | (0.47 | ) | (0.64 | ) | 11.90 | 0.71 | 35,207 | 0.76 | 0.99 | 1.31 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 10.60 | 0.12 | 1.90 | 2.02 | (0.11 | ) | — | (0.11 | ) | 12.51 | 19.05 | 34,541 | 0.76 | 0.99 | 1.06 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | 8.56 | 0.10 | 2.06 | 2.16 | (0.12 | ) | — | (0.12 | ) | 10.60 | 25.28 | 11,516 | 0.76 | 1.00 | 0.98 | 63 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(3) | 10.04 | 0.07 | (1.47 | ) | (1.40 | ) | (0.08 | ) | — | (0.08 | ) | 8.56 | (14.05 | ) | 9,308 | 0.76 | 1.07 | 1.01 | 84 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Catholic Values Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | $ | 9.83 | $ | 0.25 | $ | 0.84 | $ | 1.09 | $ | (0.28 | ) | $ | (0.08 | ) | $ | (0.36 | ) | $ | 10.56 | 11.28 | % | $ | 115,971 | 0.71 | % | 0.95 | % | 2.54 | % | 128 | % | |||||||||||||||||||||||||||||||||||||||
2019 | 9.79 | 0.25 | 0.07 | 0.32 | (0.28 | ) | — | (0.28 | ) | 9.83 | 3.29 | 107,715 | 0.67 | 0.96 | 2.66 | 159 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 9.93 | 0.20 | (0.11 | ) | 0.09 | (0.23 | ) | — | (0.23 | ) | 9.79 | 0.87 | 116,124 | 0.71 | 0.96 | 2.06 | 194 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | 9.89 | 0.19 | 0.11 | 0.30 | (0.23 | ) | (0.03 | ) | (0.26 | ) | 9.93 | 3.11 | 111,465 | 0.71 | 1.04 | 1.87 | 124 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(2) | 10.00 | 0.14 | (0.09 | ) | 0.05 | (0.16 | ) | — | (0.16 | ) | 9.89 | 0.54 | 86,406 | 0.71 | 1.09 | 1.77 | 216 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | $ | 9.84 | $ | 0.27 | $ | 0.82 | $ | 1.09 | $ | (0.29 | ) | $ | (0.08 | ) | $ | (0.37 | ) | $ | 10.56 | 11.28 | % | $ | 58,798 | 0.61 | % | 0.70 | % | 2.62 | % | 128 | % | |||||||||||||||||||||||||||||||||||||||
2019 | 9.81 | 0.26 | 0.06 | 0.32 | (0.29 | ) | — | (0.29 | ) | 9.84 | 3.29 | 35,686 | 0.61 | 0.71 | 2.72 | 159 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 9.94 | 0.23 | (0.12 | ) | 0.11 | (0.24 | ) | — | (0.24 | ) | 9.81 | 1.07 | 35,191 | 0.61 | 0.74 | 2.35 | 194 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | 9.89 | 0.20 | 0.15 | 0.35 | (0.24 | ) | (0.03 | ) | (0.27 | ) | 9.94 | 3.32 | 1,170 | 0.61 | 0.79 | 1.97 | 124 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(3) | 9.95 | 0.14 | (0.04 | ) | 0.10 | (0.16 | ) | — | (0.16 | ) | 9.89 | 1.00 | 1,185 | 0.61 | 0.84 | 1.97 | 216 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| † | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
| (1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
| (2) | Commenced operations on April 30, 2015. All ratios for the period have been annualized. |
| (3) | Commenced operations on May 31, 2015. All ratios for the period have been annualized. |
Amounts designated as “—” are either $0 or have been rounded to $0. |
The accompanying notes are an integral part of the financial statements. |
| 40 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
February 29, 2020
1. ORGANIZATION
SEI Catholic Values Trust (the “Trust”) is organized as a Delaware statutory trust under a Declaration of Trust dated December 8, 2014.
The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified,open-end investment company with two operational Funds: Catholic Values Equity Fund (“Equity Fund”) and Catholic Values Fixed Income Fund (“Fixed Income Fund”) (each a “Fund,” collectively, the “Funds”), both of which are diversified Funds. The Trust is registered to offer: Class F and Class Y shares of the Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Funds’ prospectuses provide a description of each Fund’s investment objective and strategies.
In addition to its objective and strategies, each of the Funds makes investment decisions consistent with Catholic values on a range of social and moral concerns that may include: protecting human life; promoting human dignity; reducing arms production; pursuing economic justice; protecting the environment, and encouraging corporate responsibility. Potential investments for the Funds are first selected for financial soundness and then evaluated according to the Funds’ social criteria. The Adviser has engaged an independent compliance support organization that has identified a list of issuers that do not align with Catholic values. The Funds will not invest in issuers identified through this process. The Adviser reserves the right to modify the criteria from time to time to maintain alignment with evolving Catholic social and moral positions.
2. SIGNIFICANT POLICIES
The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).
Use of Estimates— The preparation of financial statements, in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation— Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (other than securities traded on National Association of Securities Dealers Automated Quotations (“NASDAQ”) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. The Funds value securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations or other methodologies designed to identify the market value for such securities. Redeemable securities issued byopen-end investment companies are valued at the investment company’s applicable net asset value, with the exception of ETFs, which are priced as equity securities. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above, the Funds will value the securities using a bid price from at least one independent broker. If such prices are not readily available or cannot be valued using the methodologies described above, the Funds will value the security using the Funds’ Fair Value Pricing Policies and Procedures (“Fair Value Procedures”), as described below.
On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Funds’ Fair Value Procedures until a price from an independent source can be secured. Securities held by a Fund with remaining maturities of 60 days or less may be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument. Further, the value of securities in the Fund can be
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 41 |
NOTES TO FINANCIAL STATEMENTS (Continued)
February 29, 2020
expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer-specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.
Options and warrants are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.
Futures and swaps cleared through a central clearing house (“Centrally Cleared swaps”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures or centrally cleared swaps position.
Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety andone-hundred eighty day forward rates provided by an independent source.
Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SEI Investments Management Corporation (“SIMC”) or aSub-Adviser(“Sub-Adviser”), as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or aSub-Adviser, as applicable, monitors the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, notifies the Fair Value Pricing Committee (the “Committee”) if it receives such notification from SIMC or aSub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.
The Funds’ Fair Value Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board of Trustees (“Board”) or its designatedsub-committee. However, when the change would not materially affect valuation of a Fund’s net assets or involve a material
departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, approval may be obtained at the next regularly scheduled meeting of the Board.
Securities for which market prices are not readily available, for which market prices are determined to be unreliable, or which cannot be valued using the methodologies described above are valued in accordance with the Fair Value Procedures established by the Board. The Funds’ Fair Value Procedures are implemented through the Committee designated by the Board. The Committee is currently composed of two members of the Board, as well as representatives from SIMC and its affiliates. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: (i) the security’s trading has been halted or suspended, (ii) the security has been delisted from a national exchange, (iii) the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open, or (iv) the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Examples of factors the Committee may consider include: (i) the facts giving rise to the need to fair value, (ii) the last trade price, (iii) the performance of the market or the issuer’s industry, (iv) the liquidity of the security, (v) the size of the holding in a Fund, or (vi) any other appropriate information.
The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its Net Asset Value (“NAV”). The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a “Significant Event”), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price
| 42 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.
A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or aSub-Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Funds calculate NAV, it may request that a Committee meeting be called. In addition, the Funds use several processes, with respect to certain securities to monitor the pricing data supplied by various sources, including price comparisons and price movements. Any identified discrepancies are researched and subject to the procedures described above.
The Equity Fund and Fixed Income Fund, which may hold international securities, use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the Funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and eachnon-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these Funds will value thenon-U.S. securities in their portfolios that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants
would use in pricing the asset or liability based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts.
The valuation techniques used by the Funds to measure fair value during the year ended February 29, 2020 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the year ended February 29, 2020, there have been no significant changes to the Trust’s fair valuation methodologies. For details of the investment classifications reference the Schedules of Investments.
Security Transactions and Investment Income— Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on theex-dividend date, and interest income is recognized using the accrual basis of accounting. Income frompayment-in-kind securities is recorded daily based on the effective interest method of accrual.
Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 43 |
NOTES TO FINANCIAL STATEMENTS (Continued)
February 29, 2020
Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security, which is not materially different from the effective interest method. Amortization of premiums and discounts is included in interest income.
Foreign Currency Translation— The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis:
(i) market value of investment securities, assets and liabilities at the current rate of exchange; and
(ii) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Futures Contracts— To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts aremarket-to-market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When contracts are closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, futures contracts involve the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.
It is the Funds’ policy to present the gross variation margin payable and the gross variation margin receivable of the future contracts separately on the Statements of Assets and Liabilities as the Funds do not have a master netting agreement with the counter party to the future contracts.
Refer to each Fund’s Schedule of Investments for details regarding open futures contracts as of February 29, 2020, if applicable.
Master Limited Partnerships— Investments in units of master limited partnerships (“MLPs”) involve risks that differ from an investment in common stock. Holders of the units of master limited partnerships have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of master limited partnerships. In addition, conflicts of interest may exist between common unit holders, subordinated unit holders and the general partner of a master limited partnership, including a conflict arising as a result of incentive distribution payments. The benefit a Fund derives from investment in MLP units is largely dependent on the MLPs being treated as partnerships and not as corporations for federal income tax purposes. If an MLP were classified as a corporation for federal income tax purposes, there would be reduction in theafter-tax return to a Fund of distributions from the MLP, likely causing a reduction in the value of a Fund’s shares. MLP entities are typically focused in the energy, natural resources and real estate sectors of the economy. A downturn in the energy, natural resources or real estate sectors of the economy could have an adverse impact on a Fund. At times, the performance of securities of companies in the energy, natural resources and real estate sectors of the economy may lag the performance of other sectors or the broader market as a whole.
Inflation-Indexed Bonds— Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included in interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-
| 44 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
Options Written/Purchased— To the extent consistent with its investment objective and strategies, a Fund may invest in financial options contracts to add return or to hedge their existing portfolio securities. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. In connection with option agreement securities may be set aside as collateral by a Fund’s custodian.
The cost of purchased options and the premiums received for written options that are presented in the Schedule of Investments are representative of the volume of activity during the year ended February 29, 2020.
Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments for details regarding open options contracts as of February 29, 2020, if applicable.
Securities Sold Short— To the extent consistent with its Investment Objective and Strategies, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. A Fund then is obligated to replace the security borrowed by
purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.
Refer to each Fund’s Schedule of Investments for details regarding securities sold short as of February 29, 2020, if applicable.
Swap Agreements— To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. A swap agreement is atwo-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “Basket” of securities representing a particular index. Swap agreements are privately negotiated in theover-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 45 |
NOTES TO FINANCIAL STATEMENTS (Continued)
February 29, 2020
(i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian.
Swaps are“marked-to-market” daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statements of Operations. Centrally Cleared swaps are valued at the settlement price established each day by the board on exchange on which they are traded. The daily settlement prices for centrally cleared swaps are provided by an independent source. Net payments of interest are recorded as realized gains or losses. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“Variation Margin”) on the Statements of Assets and Liabilities.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.
It is the Funds’ policy to present the gross variation margin payable and the gross variation margin receivable of the swap contracts separately on the Statements of Assets and Liabilities as the Funds do not have a master netting agreement with the counter party to the swap contracts. See Note 3 for further details. Refer to each Fund’s Schedule of Investments, for details regarding open swap agreements as of February 29, 2020, if applicable.
Delayed Delivery Transactions— To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Collateralized Debt Obligations— To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (���CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “Equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches
| 46 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Illiquid Securities— A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Restricted Securities— Throughout the period, the Funds may own private placement investments that were purchased through private offerings or acquired through initial public offerings that could not be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there from. In addition, the Funds had generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of those investments. These investments were valued at amortized cost, which approximates fair value, as determined in accordance with the procedures approved by the Board of Trustees. At February 29, 2020, the Funds did not own any restricted securities.
Classes— Class-specific expenses are borne by that class of shares. Income, expenses, and realized and unrealized gains/losses andnon- class-specific expenses are allocated to the respective class on the basis of relative daily net assets.
Expenses— Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.
Cash and Cash Equivalents— Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash equivalents on the Statement of Assets and Liabilities. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.
Dividends and Distributions to Shareholders— The Equity Fund will distribute its net investment income annually. The Fixed Income Fund declares its net investment income daily and distributes monthly. The Funds make distributions of capital gains, if any, at least annually.
Investments in Real Estate Investment Trusts (“REITs”)— Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscalyear-end, and may differ from the estimated amounts.
3. CREDIT DERIVATIVES
A Fund may use credit default swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 47 |
NOTES TO FINANCIAL STATEMENTS (Continued)
February 29, 2020
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a 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 a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a 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, other deliverable obligations 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. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
As of February 29, 2020, the Fixed Income Fund is the seller (“Providing Protection”) on a total notional amount of $3.3 million. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund were the seller of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at balance sheet date are summarized as follows:
| FIXED INCOME FUND | ||||||||||||||||||||
| WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CREDIT DEFAULT SWAPS | CREDIT DEFAULT SWAP INDEX | ||||||||||||||||||
| REFERENCE ASSET | CORPORATE DEBT | SOVERIGN DEBT | ASSET BACKED | CORPORATE DEBT | Total | |||||||||||||||
Fair value of written credit derivatives | $— | $— | $— | $75,610 | $75,610 | |||||||||||||||
Maximum potential amount of future payments | — | — | — | 3,283,350 | 3,283,350 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event | — | — | — | — | — | |||||||||||||||
| 1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
| MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
| FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
| 0-100 | $— | $— | $2,625,000 | $— | $— | $2,625,000 | ||||||||||||||||||
> than 100 | — | — | 658,350 | — | — | 658,350 | ||||||||||||||||||
Total | $— | $— | $3,283,350 | $— | $— | $3,283,350 | ||||||||||||||||||
| * | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
| 48 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
4. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the period. For Funds that held derivatives throughout the period with only one type of risk exposure, additional information can be found on the Schedule of Investments and the Statements of Operations.
The fair value of derivative instruments as of February 29, 2020 was as follows ($ Thousands):
| Asset Derivatives | Liability Derivatives | |||||||||||
| Statements of Assets and Liabilities Location | Fair Value | Statements of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: |
| |||||||||||
Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $169 | * | Net Assets — Unrealized depreciation on futures contracts | $106 | * | ||||||
| Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 754 | † | |||||||
| Options purchased, at value | 1 | Options written, at value | — | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 27 | Unrealized loss on forward foreign currency contracts | 399 | ||||||||
| Options purchased, at value | 16 | Options written, at value | — | |||||||||
Credit Contracts | Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 17 | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $213 | $1,276 | ||||||||||
|
|
|
| |||||||||
* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities.
† Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets &Liabilities for swap contracts that have paid premiums.
The effect of derivative instruments on the Statements of Operations for the year ended February 29, 2020.
Amount of realized gain or (loss) on derivatives recognized in income ($Thousands):
| Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Equity Fund | ||||||||||||||||||||
Equity Contracts | $— | $1,459 | $— | $— | $1,459 | |||||||||||||||
Foreign Exchange Contracts | — | — | (2) | — | (2) | |||||||||||||||
Total | $— | $1,459 | $(2) | $— | $1,457 | |||||||||||||||
Fixed Income Fund | ||||||||||||||||||||
Interest Rates | $82 | $860 | $— | $(439) | $503 | |||||||||||||||
Foreign exchange contracts | (1) | — | 136 | — | 135 | |||||||||||||||
Credit contracts | — | — | — | 179 | 179 | |||||||||||||||
Total | $81 | $860 | $136 | $(260) | $817 | |||||||||||||||
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($Thousands):
|
| |||||||||||||||||||
| Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Equity Fund | ||||||||||||||||||||
Equity Contracts | $— | $(998) | $— | $— | $(998) | |||||||||||||||
Total | $— | $(998) | $— | $— | $(998) | |||||||||||||||
Fixed Income Fund | ||||||||||||||||||||
Interest Rates | $(18 | ) | $34 | $— | $(789) | $(773) | ||||||||||||||
Foreign exchange contracts | — | — | (386) | — | (386) | |||||||||||||||
Credit contracts | — | — | — | (77) | (77) | |||||||||||||||
Total | $(18 | ) | $34 | $(386) | $(866) | $(1,236) | ||||||||||||||
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 49 |
NOTES TO FINANCIAL STATEMENTS (Continued)
February 29, 2020
The following table discloses the volume of the Fund’s futures contracts, forward foreign currency contracts and swap activity during the year ended February 29, 2020 ($ Thousands):
| Equity Fund | Fixed Income Fund | |||||||
Futures Contracts: | ||||||||
Equity Contracts | ||||||||
Average Notional Balance Long | $ 7,907 | $ – | ||||||
Ending Notional Balance Long | 4,190 | – | ||||||
Interest Contracts | ||||||||
Average Notional Balance Long | – | 17,282 | ||||||
Average Notional Balance Short | – | 16,048 | ||||||
Ending Notional Balance Long | – | 7,199 | ||||||
Ending Notional Balance Short | – | 10,614 | ||||||
Forward Foreign Currency | ||||||||
Contracts: | ||||||||
Average Notional Balance Long | – | 10,347 | ||||||
Average Notional Balance Short | – | 10,503 | ||||||
Ending Notional Balance Long | – | 10,396 | ||||||
Ending Notional Balance Short | – | 10,767 | ||||||
Swaps: | ||||||||
Credit Contracts | ||||||||
Average Notional Balance Short | – | 4,389 | ||||||
Ending Notional Balance Short | – | 3,283 | ||||||
Interest Contracts | ||||||||
Average Notional Balance | – | 8,270 | ||||||
Ending Notional Balance | – | 6,813 | ||||||
Options: | ||||||||
Interest | ||||||||
Average Notional Balance Long† | – | 10 | ||||||
Average Notional Balance Short† | – | 10 | ||||||
Ending Notional Balance Long† | – | 12 | ||||||
Ending Notional Balance Short† | – | 5 | ||||||
Currency | ||||||||
Average Notional Balance Long† | – | 22 | ||||||
Ending Notional Balance Long† | – | 28 | ||||||
| † | Represents cost. |
5. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENTSUB-ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration, Distribution and Custodian Agreements—SIMC serves as each Fund’s investment adviser (the “Adviser”) and “Manager of Managers” under an investment advisory agreement approved by the shareholders of each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.
SEI Investments Global Funds Services (the “Administrator”) provides the Trust with administrative
and transfer agency services. For its services, the Administrator is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.
The Fund has adopted a shareholder servicing plan (the “Shareholder Servicing Plan”) under which a shareholder servicing fee of up to 0.25% of the average daily net assets of Class F shares of the Funds will be paid to other service providers. Under the Shareholder Servicing Plan, other service providers may perform, or may compensate other service providers for performing, certain shareholder and administrative services.
The Adviser, Administrator and/or Distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Funds’ business) at a specified level.
The waivers by the Funds’ Adviser, Administrator and/ or Distributor are limited to the Funds’ direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntary and the Funds’ Adviser, Administrator and/or Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of the commissions paid on those trades are then used to pay the Funds’ expenses.
The following is a summary of annual fees payable to the Adviser and Distributor and the voluntary expense limitations for each Fund:
| Advisory Fee | Shareholder Servicing Fee | Voluntary Expense | ||||||||||
Equity Fund | ||||||||||||
Class F | 0.60% | 0.25% | 0.86% | |||||||||
Class Y | 0.60% | 0.00% | 0.76% | |||||||||
Fixed Income Fund | ||||||||||||
Class F | 0.35% | 0.25% | 0.71% | |||||||||
Class Y | 0.35% | 0.00% | 0.61% | |||||||||
| 50 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
The following is a summary of annual fees payable to the Administrator:
| First $1.5 Billion | Next $500 Million | Next $500 Million | Next $500 Million | Over $3 Billion | ||||||||
Equity Fund | 0.300 | % | 0.260% | 0.210% | 0.1700% | 0.120% | ||||||
Fixed Income Fund | 0.200 | % | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||
InvestmentSub-Advisory Agreements— As of February 29, 2020, SIMC has entered into InvestmentSub-Advisory Agreements with the following parties:
InvestmentSub-Adviser
Equity Fund
Brandywine Global Investment Management, LLC
Coho Partners, Ltd.
Copeland Capital Management, LLC
EARNEST Partners, LLC
Fred Alger Management, Inc
Parametric Portfolio Associates LLC
Snow Capital Management, L.P.
Fixed Income Fund
Income Research & Management
Western Asset Management Company
Western Asset Management Company Limited
Under the investmentsub-advisory agreements, eachsub-adviser receives an annual fee, paid by SIMC.
U.S. Bank, N.A. serves as the custodian of the Fixed Income Fund. Brown Brothers Harriman & Co. serves as the custodian of the Equity Fund. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds.
Investment in Affiliated Securities— The Funds may invest in the SEI Daily Income Trust Government Fund, an affiliated money market fund to manage excess cash or to serve as margin or collateral for derivative positions. Refer to the Fund’s Schedule of Investments for details regarding transactions with affiliates for the year ended February 29, 2020, if applicable.
Payment to Affiliates— Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator, Adviser, or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator, Adviser and/or the Distributor pays compensation of Officers and affiliated Trustees.
A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the administrator, are paid for by the Trust as incurred.
Interfund Lending— The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (the “Program”) with existing or future investment companies registered under the 1940 Act
that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes.
Participation in the Program is voluntary for both borrowing and lending funds.
Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula reviewed annually by the Trust’s Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate. As of February 29, 2020 and for the year then ended, the Trust has not participated in the Program.
6. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale and maturities of securities other than temporary cash investments, during the year ended February 29, 2020, were as follows:
| U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Equity Fund | ||||||||||||
Purchases | $ | — | $ | 88,576 | $ | 88,576 | ||||||
Sales | — | 112,503 | 112,503 | |||||||||
Fixed Income Fund | ||||||||||||
Purchases | 175,881 | 24,679 | 200,560 | |||||||||
Sales | 165,075 | 25,155 | 190,230 | |||||||||
7. FEDERAL TAX INFORMATION
It is each Fund’s intention to continue to qualify as a regulated investment company for Federal income tax purposes and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.
Reclassification of Components of Net Assets— The timing and characterization of certain income and capital gain distributions are determined annually in accordance with Federal tax regulations which may differ from accounting principles generally accepted in the United States. As a result, net investment income (loss) and net realized gain (loss) on investment transactions
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 51 |
NOTES TO FINANCIAL STATEMENTS (Continued)
February 29, 2020
for the reporting period may differ from distributions during such period. These book/tax differences may be temporary or permanent in nature.
The permanent differences primarily consist of foreign currency translations, reclassification of long term capital gain distribution on REITs, investments in publicly traded partnerships, investments in PFICs, gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, and investments in swaps and distribution reclassification.
The permanent difference that is credited or charged toPaid-in Capital and Distributable Earnings as of February 29, 2020 is primarily related to excise tax paid:
Distributable
Earnings (Loss)
($ Thousands) | Paid-in- Capital
($ Thousands) | |||||||
Equity Fund | $ | 5 | $ | (5 | ) | |||
These reclassifications had no impact on net assets or net asset value per share.
The tax character of dividends and distributions during the last two fiscal years was as follows:
Ordinary
Income
($ Thousands) | Long-term
Capital Gain
($ Thousands) | Total
($ Thousands) | ||||||||||
Equity Fund | ||||||||||||
2020 | $ | 3,242 | $ | 7,667 | $ | 10,909 | ||||||
2019 | 4,437 | 8,251 | 12,688 | |||||||||
Fixed Income Fund | ||||||||||||
2020 | 5,379 | $ | — | $ | 5,379 | |||||||
2019 | 4,367 | — | 4,367 | |||||||||
As of February 29, 2020, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
Undistributed
Ordinary
Income
($ Thousands) | Undistributed
Long-Term
Capital Gain
($ Thousands) | Capital
Loss
Carryforwards
($ Thousands) | Post-
October
Losses
($ Thousands) | Late Year
Ordinary
Losses
($ Thousands) | Unrealized
Appreciation
(Depreciation)
($ Thousands) | Other
Temporary
Differences
($ Thousands) | Total
Distributable
Earnings/
(Accumulated
Losses)
($ Thousands) | |||||||||||||||||||||||||
Equity Fund | $ | 1,257 | $ | 3,428 | $ | — | $ | — | $ | — | $ | 31,429 | $ | (25 | ) | $ | 36,089 | |||||||||||||||
Fixed Income Fund | 1,318 | 844 | — | — | — | 9,290 | (2,769 | ) | 8,683 | |||||||||||||||||||||||
During the fiscal year ended February 29, 2020, Fixed Income Fund utilized $1,406 in capital loss carryforward to offset capital gains.
Other temporary differences primarily consist of straddle loss deferral and deferredstart-up costs.
For Federal income tax purposes, the cost of securities owned at February 29, 2020, and net realized gains or
losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales, PFIC MTM, and MLP basis adjustments, which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years.
The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at February 29, 2020, were as follows:
Federal Tax Cost
($ Thousands) | Aggregate Gross
Unrealized
Appreciation
($ Thousands) | Aggregate Gross
Unrealized
Depreciation
($ Thousands) | Net Unrealized
Appreciation/
(Depreciation)
($ Thousands) |
| ||||||||||||||||
Equity Fund | $ | 208,271 | $ | 49,950 | $ | (18,521 | ) | $ | 31,429 | |||||||||||
Fixed Income Fund | 168,798 | 10,805 | (1,515 | ) | 9,290 | |||||||||||||||
Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of February 29, 2020, no provision for income tax would be required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax returns for tax years
for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
| 52 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
8. CONCENTRATION/RISKS
In the normal course of business, a Fund may enter into contracts that provide general indemnifications by a Fund to the counterparty to the contract. A Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against a Fund and, therefore, cannot be established; however, based on experience, management believes the risk of loss from such claim is considered remote.
The market values of the Fixed Income Fund’s investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.
The following descriptions provide additional information about some of the risks of investing in the Funds:
Asset-Backed Securities Risk— Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.
Bank Loans Risk— With respect to bank loans, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation in the loan. The Fund may also have difficulty disposing of bank loans because, in certain cases, the market for such instruments is not highly liquid.
Below Investment Grade Securities (Junk Bonds) Risk— Fixed income securities rated below investment grade ( junk bonds) involve greater risks of default or downgrade and are generally more volatile than investment grade securities because the prospect for repayment of principal and interest of many of these securities is speculative. Because these securities typically offer a higher rate of return to compensate investors for these risks, they are sometimes referred to as “high yield bonds,” but there is no guarantee that an investment in these securities will result in a high rate of return. These risks may be increased in foreign and emerging markets.
Commercial Paper Risk— Commercial paper is a short-term obligation with a maturity generally ranging from one to 270 days and is issued by U.S. or foreign companies or other entities in order to finance their current operations. Such investments are unsecured and usually discounted from their value at maturity. The
value of commercial paper may be affected by changes in the credit rating or financial condition of the issuing entities and will tend to fall when interest rates rise and rise when interest rates fall. Asset-backed commercial paper may be issued by structured investment vehicles or other conduits that are organized to issue the commercial paper and to purchase trade receivables or other financial assets. The repayment of asset-backed commercial paper depends primarily on the cash collections received from such issuer’s underlying asset portfolio and the issuer’s ability to issue new asset-backed commercial paper.
Corporate Fixed Income Securities Risk— Corporate fixed income securities respond to economic developments, especially changes in interest rates, as well as perceptions of the creditworthiness and business prospects of individual issuers.
Catholic Values Investing Risk— The Funds consider the United States Conference of Catholic Bishops’ Socially Responsible Investing Guidelines (“Guidelines”) in its investment process and may choose not to purchase, or may sell, otherwise profitable investments in companies which have been identified as being in conflict with the Guidelines. This means that the Funds may underperform other similar mutual funds that do not consider the Guidelines when making investment decisions.
Currency Risk— To the extent a Fund takes positions in currencies, it will be subject to the risk that currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention (or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.
Credit Risk— The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Depositary Receipts Risk— Depositary receipts, such as American Depositary Receipts (ADRs), are certificates evidencing ownership of shares of a foreign issuer that are issued by depositary banks and generally trade on an established market. Depositary receipts are subject to many of the risks associated with investing directly in foreign securities, including, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory and tax environments.
Derivatives Risk— The Fund’s use of swaps is subject to market risk, leverage risk, correlation risk, credit risk, valuation risk and liquidity risk. Credit risk is described above. Leverage risk and liquidity risk are described below. Manyover-the-counter (OTC)
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 53 |
NOTES TO FINANCIAL STATEMENTS (Continued)
February 29, 2020
derivative instruments will not have liquidity beyond the counterparty to the investment. Market risk is the risk that the market value of an investment may move up and down, sometimes rapidly and unpredictably. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Valuation risk is the risk that the derivative may be difficult to value and/or valued incorrectly. Each of these risks could cause the Fund to lose more than the principal amount invested in a swap. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. The other parties to certain derivative contracts present the same types of credit risk as issuers of fixed income securities. The Fund’s use of derivatives may also increase the amount of taxes payable by some shareholders. Both U.S. andnon-U.S. regulators are in the process of adopting and implementing regulations governing derivatives markets, the ultimate impact of which remains unclear.
Duration Risk— The longer-term securities in which the Fund may invest are more volatile. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio duration.
Exchange-Traded Funds Risk— The risks of owning shares of an ETF generally reflect the risks of owning the underlying securities the ETF is designed to track, although lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities. When the Fund invests in an ETF, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the ETF’s expenses.
Extension Risk— The risk that rising interest rates may extend the duration of a fixed income security, typically reducing the security’s value.
Foreign Investment/Emerging Markets Risk— The risk thatnon-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements, and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market countries since political turmoil and rapid changes in economic conditions are more likely to occur in these countries.
Foreign Sovereign Debt Securities Risk— The risk that (i) the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or interest when it becomes due, because of factors such as debt service burden, political constraints, cash flow problems and other national economic factors; (ii) governments may default
on their debt securities, which may require holders of such securities to participate in debt rescheduling or additional lending to defaulting governments; and (iii) there is no bankruptcy proceeding by which defaulted sovereign debt may be collected in whole or in part.
Interest Rate Risk— The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government Securities, in which the Fund invests. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.
Investment Style Risk— The risk that the equity securities in which the Fund invests may underperform other segments of the equity markets or the equity markets as a whole.
Leverage Risk— The Fund’s use of equity swaps may result in the Fund’s total investment exposure substantially exceeding the value of its portfolio securities and the Fund’s investment returns depending substantially on the performance of securities that the Fund may not directly own. The use of leverage can amplify the effects of market volatility on the Fund’s share price and may also cause the Fund to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations. The Fund’s use of leverage may result in a heightened risk of investment loss.
Liquidity Risk— The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance.
Market Risk— The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity or bond market as a whole. The prices of fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the
| 54 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
fixed income markets. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar. Markets may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning these developments, and adverse investor sentiment or publicity. Similarly, environmental and public health risks, such as natural disasters or epidemics, or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both the short- and long-term. In response to these events, the Fund’s value may fluctuate and/or the Fund may experience increased redemptions from shareholders, which may impact the Fund’s liquidity or force the Fund to sell securities into a declining or illiquid market.
Manager Risk— The success of the Fund’s investment strategy depends both on SIMC’s selection of theSub-Advisers and allocating assets to suchSub-Advisers, as well as theSub-Advisers’ success or failure in implementing the Fund’s investment strategies. SIMC or aSub-Adviser may be incorrect in assessing market trends, the value or growth capability of particular securities or asset classes.
Mortgage-Backed Securities Risk— Mortgage-backed securities are affected by, among other things, interest rate changes and the possibility of prepayment of the underlying mortgage loans. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations.
Participation Notes(P-Notes) Risk— Participation notes(P-Notes) are participation interest notes that are issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying equity, debt, currency or market. Investments inP-Notes involve the same risks associated with a direct investment in the underlying foreign companies or foreign securities markets that they seek to replicate. However, there can be no assurance that the trading price ofP-Notes will equal the underlying value of the foreign companies or foreign securities markets that they seek to replicate.
Portfolio Turnover Risk— Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher transaction costs and additional capital gains tax liabilities, which may affect the Fund’s performance.
Prepayment Risk— The risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than
expected, requiring the Fund to invest the proceeds at generally lower interest rates.
Small and Medium Capitalization Risk— The risk that small and medium capitalization companies in which the Fund may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, small and medium capitalization companies may have limited product lines, markets and financial resources and may depend upon a relatively small management group. Therefore, small capitalization and medium capitalization stocks may be more volatile than those of larger companies. Small capitalization and medium capitalization stocks may be tradedover-the-counter or listed on an exchange.
U.S. Government Securities Risk— Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources.
Warrants Risk— Warrants are instruments that entitle the holder to buy an equity security at a specific price for a specific period of time. Warrants may be more speculative than other types of investments. The price of a warrant may be more volatile than the price of its underlying security, and a warrant may offer greater potential for capital appreciation as well as capital loss. A warrant ceases to have value if it is not exercised prior to its expiration date.
Please refer to each Fund’s current prospectus for additional disclosure regarding the risks associated with investing in the Funds. The foregoing is not intended to be a complete discussion of the risks associated with the investment strategies of the Funds.
9. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of February 29, 2020, SPTC held of record the following:
Equity Fund | ||||
Class F | 99.17% | |||
Class Y | 52.37% | |||
Fixed Income Fund | ||||
Class F | 99.47% | |||
Class Y | 76.66% |
SPTC is not a direct service provider to the Funds. However, SPTC performs a key role in the comprehensive investment solution that SEI provides to investors. SPTC holds the vast majority of shares in the Funds as custodian for shareholders that are clients
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 55 |
NOTES TO FINANCIAL STATEMENTS (Concluded)
February 29, 2020
of the advisors and financial planners. SPTC maintains accounts at SEI Institutional Transfer Agency (“SITA”), and operates in an omnibus fund account environment.
10. REGULATORY MATTERS
In July 2017, the Financial Conduct Authority, the United Kingdom’s financial regulatory body, announced that after 2021 it will cease its active encouragement of banks to provide the quotations needed to sustain LIBOR. That announcement suggests that LIBOR very likely will cease to be published after that time. Various financial industry groups have begun planning for that transition, whether through market wide protocols, fallback contractual provisions, bespoke negotiations or amendments or otherwise, but there are obstacles to converting certain securities and transactions to a new benchmark. Transition planning is at an early stage, and neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate setting methodology and/or increased costs for certain LIBOR-related instruments or financing transactions, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies, resulting in prolonged adverse market conditions for a fund. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. There also remains uncertainty and risk regarding the willingness and ability of issuers to include enhanced provisions in new and existing contracts or instruments. All of the aforementioned may adversely affect a fund’s performance or NAV.
11. NEW ACCOUNTING PRONOUNCEMENT
In August 2018, The FASB issued Accounting Standards Update2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. At this time, management is currently evaluating the impact of this new guidance on the financial statements and disclosures.
12. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of February 29, 2020. However, the following are details related to subsequent events that have occurred since February 29, 2020.
The spread ofCOVID-19 around the world in the first quarter of 2020 has caused significant volatility in U.S. and international markets, including the municipal bond market. Subsequent to the reporting period of this shareholder report, a substantial number of states implemented social distancing measures, quarantines, and the shutdown ofnon-essential businesses and governmental services.COVID-19 is having an unprecedented impact on the economies of many nations, states, individual companies and the market in general and could cause disruptions that cannot necessarily be foreseen. The impact of the outbreak may be short term or may last for an extended period of time.
| 56 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Funds and Board of Trustees
SEI Catholic Values Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of SEI Catholic Values Trust, comprised of the Catholic Values Equity Fund and Catholic Values Fixed Income Fund (collectively, the Funds), including the schedules of investments, as of February 29, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in thetwo-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in thefive-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of February 29, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in thetwo-year period then ended, and the financial highlights for each of the years or periods in thefive-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of February 29, 2020, by correspondence with custodians, transfer agent and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more SEI Funds investment companies since 2005.
Philadelphia, Pennsylvania
April 28, 2020
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 57 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of February 29, 2020.
Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of positions in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling1-800-342-5734.
Name, Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
INTERESTED TRUSTEES | ||||||||||
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 73 yrs. old | Chairman of the Board of Trustees* | since 1995 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | 98 | President and Director of SEI Structured Credit Fund, LP. Director of SEI Global Master Fund plc, SEI Global Assets Fund plc, SEI Global Investments Fund plc, SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Multi-Strategy Funds PLC, SEI Global Nominee Ltd and SEI Investments—Unit Trust Management (UK) Limited. President, Director and Chief Executive Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1989 to 2016. Vice Chairman of O’Connor EQUUS(closed-end investment company) from 2014 to 2016. Vice Chairman of Winton Series Trust from 2014 to 2017. Vice Chairman of The Advisors’ Inner Circle Fund III and Winton Diversified Opportunities Fund(closed-end investment company) from 2014 to 2018. Vice Chairman of Gallery Trust, Schroder Series Trust and Schroder Global Series Trust from 2015 to 2018. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, and the KP Funds. President, Chief Executive Officer and Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The New Covenant Funds and SEI Catholic Values Trust. | |||||
William M. Doran One Freedom Valley Drive Oaks, PA 19456 79 yrs. old | Trustee* | since 1995 | Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, Counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. | 98 | Director of SEI since 1974; Secretary of SEI since 1978. Director of SEI Investments Distribution Co. since 2003. Director of SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia) Limited, SEI Global Nominee Ltd. and SEI Investments—Unit Trust Management (UK) Limited. Trustee of SEI Liquid Asset Trust from 1982 to 2016. Trustee of O’Connor EQUUS from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of Winton Series Trust from 2014 to 2017. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II and Bishop Street Funds from 1991 to 2018. Trustee of The KP Funds from 2013 to 2018. Trustee of Winton Diversified Opportunities Fund from 2014 to 2018. Trustee of The Advisors’ Inner Circle Fund III, Gallery Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, Schroder Series Trust, Schroder Global Series Trust and SEI Catholic Values Trust. | |||||
TRUSTEES | ||||||||||
George J. Sullivan Jr. One Freedom Valley Drive, Oaks, PA 19456 77 yrs. old | Trustee | since 1996 | Retired since January 2012. Self-Employed Consultant, Newfound Consultants Inc. April 1997-December 2011. | 98 | Member of the independent review committee for SEI’s Canadian-registered mutual funds from 2011 to 2017. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1996 to 2016. Trustee/Director of State Street Navigator Securities Lending Trust from 1996 to 2017. Trustee/Director of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, The KP Funds and SEI Catholic Values Trust. |
| * | Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor. |
| 1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| 2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Catholic Values Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
| 58 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Fund Complex by Trustee2 | Other Directorships Held by Trustee | |||||
TRUSTEES (continued) | ||||||||||
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 62 yrs. old | Trustee | since 2003 | Founder and Managing Director, Avec Capital (strategic fundraising firm) since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008. | 98 | Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee/Director of SEI Structured Credit Fund, L.P., SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 72 yrs. old | Trustee | since 2004 | Vice President and Chief Investment Officer, J. Paul Getty Trust,Non-Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. | 98 | Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013, Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee/Director of Ariel Mutual Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, New Covenant Funds, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 77 yrs. old | Trustee | since 2007 | Retired Private Investor since 1994. | 98 | Director, Federal Agricultural Mortgage Corporation (Farmer Mac) since 1997. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2007 to 2016. Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds, New Covenant Funds and SEI Catholic Values Trust. | |||||
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 76 yrs. old | Trustee | since 2008 | Retired since December 2005. Owner of Harris Plantation, Inc. since 1995. Chief Executive Officer of Harris CAPM, a consulting asset and property management entity. Chief Executive Officer, INVESCO North America, August 2003-December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., January 1998- August 2003. | 98 | Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aaron’s Inc., 2012-present. President and CEO of Oasis Ornamentals LLC since 2011. Member of the Board of Councilors of the Carter Center (nonprofit corporation) and served on the board of othernon-profit organizations. Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of Liquid Asset Trust from 2008 to 2016. Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
Susan C. Cote One Freedom Valley Drive Oaks, PA 19456 65 yrs. old | Trustee | since 2016 | Retired since July 2015. Treasurer and Chair of Finance, Investment and Audit Committee of the New York Women’s Foundation from 2009 to 2017. Americas Director of Asset Management, Ernst & Young LLP from 2006-2013. Global Asset Management Assurance Leader, Ernst & Young LLP from 2006-2015. Partner Ernst & Young LLP from 1997-2015. Prudential, 1983- 1997.Member of the Ernst & Young LLP Retirement Investment Committee. | 98 | Trustee of SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
James B. Taylor One Freedom Valley Drive Oaks, PA 19456 69 yrs. old | Trustee | since 2018 | Retired since December 2017. Chief Investment Officer at Georgia Teach Foundation from 2008 to 2017. Chief Investment Officer at Delta Air Lines from 1983 to 2007. Member of the Investment Committee at the Institute of Electrical and Electronic Engineers from 1999 to 2004. President, Vice President and Treasurer at Southern Benefits Conference from 1998 to 2000. | 98 | Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. | |||||
Christine Reynolds One Freedom Valley Drive Oaks, PA 19456 61 years old | Trustee | since 2019 | Retired since December 2016. Executive Vice President, Fidelity Investments from 2014-2016. President, Fidelity Pricing and Cash Management Services and Chief Financial Officer of Fidelity Funds from 2008-2014. Chief Operating Officer, Fidelity Pricing and Cash Management Services from 2007-2018. President and Treasurer, Fidelity Funds from 2004-2007. Anti-Money Laundering Officer, Fidelity Funds in 2004. Executive Vice President, Fidelity Funds from 2002-2004. Audit Partner, PricewaterhouseCoopers from 1992-2002. | 98 | Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. | |||||
| 1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| 2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Catholic Values Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 59 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of | Principal Occupation(s) During Past Five Years | Number of Fund Complex by Trustee2 | Other Directorships Held by Trustee | |||||
OFFICERS | ||||||||||
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 73 yrs. Old | President and CEO | since 2005 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | N/A | N/A | |||||
James J. Hoffmayer One Freedom Valley Drive Oaks, PA 19456 46 yrs. old | Controller and Chief Financial Officer | since 2016 | Senior Director, Funds Accounting and Fund Administration, SEI Investments Global Funds Services (since September 2016); Senior Director of Fund Administration, SEI Investments Global Funds Services (since October 2014). Director of Financial Reporting, SEI Investments Global Funds Services (November 2004 – October 2014). | N/A | N/A | |||||
Glenn R. Kurdziel One Freedom Valley Drive Oaks, PA 19456 46 yrs. old | Assistant Controller | since 2017 | Assistant Controller, Funds Accounting, SEI Investments Global Funds Services (March 2017); Senior Manager, Funds Accounting, SEI Investments Global Funds Services since 2005. | N/A | N/A | |||||
Russell Emery One Freedom Valley Drive Oaks, PA 19456 57 yrs. old | Chief Compliance Officer | since 2006 | Chief Compliance Officer of SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Tax Exempt Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II and Bishop Street Funds since March 2006. Chief Compliance Officer of SEI Liquid Asset Trust from 2006 to 2016. Chief Compliance Officer of SEI Structured Credit Fund, LP June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Chief Compliance Officer of New Covenant Funds since February 2012.Chief Compliance Officer of SEI Insurance Products Trust and The KP Funds since 2013. Chief Compliance Officer of New Covenant Funds since February 2012. Chief Compliance Officer of O’Connor EQUUS from 2014 to 2016. Chief Compliance Officer of The Advisors’ Inner Circle Fund III, Winton Series Trust and Winton Diversified Opportunities Fund since 2014. Chief Compliance Officer of SEI Catholic Values Trust and Gallery Trust since 2015. | N/A | N/A | |||||
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 51 yrs. old | Vice President and Secretary | since 2002 | Vice President and Secretary of SEI Institutional Transfer Agent, Inc. since 2009. General Counsel and Secretary of SIMC and the Administrator since 2004. Vice President of SIMC and the Administrator since 1999. Vice President and Assistant Secretary of SEI since 2001. | N/A | N/A | |||||
Aaron Buser One Freedom Valley Drive, Oaks, PA 19456 49 yrs. old | Vice President and Assistant Secretary | since 2008 | Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005 – October 2008. | N/A | N/A | |||||
David F. McCann One Freedom Valley Drive, Oaks, PA 19456 43 yrs. old | Vice President and Assistant Secretary | since 2009 | Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005 – October 2008. | N/A | N/A | |||||
Stephen G. MacRae One Freedom Valley Drive, Oaks, PA 19456 52 yrs. old | Vice President | since 2012 | Director of Global Investment Product Management, January 2004 – to present. | N/A | N/A | |||||
Bridget E. Sudall One Freedom Valley Drive Oaks, PA 19456 39 yrs. old | Anti-Money Laundering Compliance Officer and Privacy Officer | since 2015 | Anti-Money Laundering Compliance Officer and Privacy Officer (since 2015), Senior Associate and AML Officer, Morgan Stanley Alternative Investment Partners, April 2011-March 2015, Investor Services Team Lead, Morgan Stanley Alternative Investment Partners, July 2007-April 2011. | N/A | N/A | |||||
| 1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| 2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Catholic Values Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
| 60 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
DISCLOSURE OF FUND EXPENSES (Unaudited)
February 29, 2020
All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (September 1, 2019 through February 29, 2020).
The table on this page illustrates your fund’s costs in two ways:
Actual fund return: This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
Hypothetical 5% return: This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.
| Beginning Account Value 9/1/19 | Ending Account Value 2/29/20 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Catholic Values Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F | $1,000.00 | $1,001.60 | 0.86 | % | $4.28 | |||||||||||
Class Y | 1,000.00 | 1,002.50 | 0.76 | 3.78 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F | $1,000.00 | $1,020.59 | 0.86 | % | $4.32 | |||||||||||
Class Y | 1,000.00 | 1,021.08 | 0.76 | 3.82 | ||||||||||||
| Beginning Account Value 9/1/19 | Ending Account Value 2/29/20 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Catholic Values Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F | $1,000.00 | $1,030.90 | 0.71 | % | $3.59 | |||||||||||
Class Y | 1,000.00 | 1,030.40 | 0.61 | 3.08 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F | $1,000.00 | $1,021.33 | 0.71 | % | $3.57 | |||||||||||
Class Y | 1,000.00 | 1,021.83 | 0.61 | 3.07 | ||||||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/366 (to reflect theone-half year period shown). |
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 61 |
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY ANDSUB-ADVISORY AGREEMENTS (Unaudited)
SEI Catholic Values Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”), pursuant to which SIMC provides investment advisory services to the series of the Trust (the “Funds”). Pursuant to separatesub-advisory agreements with SIMC (the“Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), thesub-advisers (each, a“Sub-Adviser” and collectively, the“Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. TheSub-Advisers are also responsible for managing their employees who provide services to the Funds. TheSub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively theSub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Funds and the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”) cast in person at a meeting called for such purpose. In addition, the 1940 Act requires that the continuation or renewal of any Investment Advisory Agreement be approved at least annually (after an initial period of up to two years), which also requires the vote of a majority of the Board, including a majority of the Independent Trustees. In the case of the initial approval of aSub-Advisory Agreement, only the approval of a majority of the Board, including a majority of the Independent Trustees, is required, pursuant to an exemptive order that has been granted to the Trust by the Securities and Exchange Commission. In connection with their consideration of such initial approvals and renewals, the Funds’ Trustees must request and evaluate, and SIMC and theSub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement.
Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and theSub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and theSub-Advisers, including information about SIMC’s and theSub-Advisers’ affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and theSub-Advisers.
Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and theSub-Advisers regarding: (i) the quality of SIMC’s and theSub-Advisers’ investment management and other services; (ii) SIMC’s and theSub-Advisers’ investment management personnel; (iii) SIMC’s and theSub-Advisers’ operations and financial condition; (iv) SIMC’s and theSub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of thesub-advisory fees that SIMC pays theSub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the level of SIMC’s and theSub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and theSub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and theSub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and theSub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.
At the December4-5, 2018 meeting of the Board, the Trustees approved a brief extension of the Advisory Agreement and theSub-Advisory Agreements already in effect to accommodate a revised meeting schedule.
| 62 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
Accordingly, at the April2-3, 2019 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, eachSub-Advisory Agreement was either initially approved or, if theSub-Advisory Agreement was already in effect (unless operating under an initialtwo-year term), renewed at meetings of the Board held during the course of the Trust’s fiscal year on June25-26, 2019, September
10-11, 2019 and December3-4, 2019. In each case, the Board’s approval (or renewal) was based on its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.
Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and theSub-Advisers to the Funds and the resources of SIMC and theSub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and eachSub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and theSub-Advisers to the Funds and the resources of SIMC and theSub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and othernon-investment advisory services provided to the Funds by SIMC and/or its affiliates.
Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Broadridge, an independent third-party that was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Broadridge Report”). The Broadridge Report included metrics on risk analysis, volatility versus total return, net total return and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal ofSub-Advisory Agreements, the Board considered the performance of theSub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of eachSub-Adviser was sufficient to support approval or renewal of theSub-Advisory Agreement.
Fees. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratios in comparison to those of the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various asset levels, actual management fees (including transfer agent expenses), and actual total expenses for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s and its affiliates voluntary waivers of management and other fees to prevent total Fund operating expenses from exceeding certain amounts and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates fornon-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid toSub-Advisers, the Board took into account the fact that theSub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliatedSub-Adviser reflects an arms-length negotiation between theSub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. The Board
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 63 |
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Concluded)
also considered whether theSub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and theSub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of theSub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliatedSub-Adviser reflects an arms-length negotiation between theSub-Adviser and SIMC. In connection with the approval or renewal of eachSub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to theSub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and theSub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and its affiliates and, if so, whether the benefits of such economies of scale were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on afund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, approved the approval or renewal, as applicable, of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that wasall-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
| 64 | SEI Catholic Values Trust / Annual Report / February 29, 2020 |
NOTICE TO SHAREHOLDERS (Unaudited)
For shareholders who do not have a February 29, 2020, taxable year end, this notice is for informational purposes only. For shareholders with a February 29, 2020, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended February 29, 2020, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
| (A) Return of Capital | (B) Long Term | (C) Ordinary | (D) Total | (E) Dividends | (F) Qualifying | Qualifying Business Income (3) | (G) U.S. | (H) Interest | (I) Short-Term | |||||||||||||||||||||||||||||||
Equity Fund* | 0.00 | % | 70.28 | % | 29.72 | % | 100.00 | % | 76.57 | % | 100.00 | % | 0.00 | % | 0.00 | % | 0.70 | % | 100.00 | % | ||||||||||||||||||||
Fixed Income Fund* | 0.00 | % | 0.00 | % | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 9.87 | % | 71.24 | % | 100.00 | % | ||||||||||||||||||||
| (1) | “Dividends Received Deduction” represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary Income distributions (the total of short term capital gain and net investment income distributions). |
| (2) | “Qualifying Dividend Income” represent qualifying dividends as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003. It is the intention of the Fund to designate the max amount permitted by law. |
| (3) | The percentage of this column represents that amount of ordinary dividend income that qualified for 20% Business Income Deduction. |
| (4) | “U.S. Government Interest” represent the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of ordinary income. Generally, interest from direct U.S. Government obligations is exempt from state income tax. |
| (5) | The percentage in this column represents the amount of “Interest Related Dividend” and is reflected as a percentage of ordinary income distribution. Interest related dividends are exempted from U.S. withholding tax when paid to foreign investors. |
| (6) | The percentage of this column represents the amount of “Short Term Capital Gain Dividend” and is reflected as a percentage of short term capital gain distribution that is exempted from U.S. withholding tax when paid to foreign investors. |
* Shareholders who are residents of California, Connecticut and New York, these funds have not met the statutory threshold requirements to permit exemption of these amounts from state income tax.
Items (A), (B), (C) and (D) are based on the percentage of each fund’s total distribution.
Items (E) and (F) are based on the percentage of “Ordinary Income Distributions”.
Item (G) is based on the percentage of gross income of each Fund.
Item (H) is based on the percentage of net investment income distributions.
Item (I) is based on the percentage of short-term capital gains distributions.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
| SEI Catholic Values Trust / Annual Report / February 29, 2020 | 65 |
SEI CATHOLIC VALUES TRUST / ANNUAL REPORT / FEBRUARY 29, 2020
Robert A. Nesher,Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Susan C. Cote
James B. Taylor
Christine Reynolds
Officers
Robert A. Nesher
President and Chief Executive Officer
James J. Hoffmayer
Controller and Chief Financial Officer
Glenn R. Kurdziel
Assistant Controller
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
Aaron Buser
Vice President, Assistant Secretary
David F. McCann
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Bridget E. Sudall
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
SEI-F-198 (2/20)
| Item 2. | Code of Ethics. |
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
| Item 3. | Audit Committee Financial Expert. |
(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has three audit committee financial experts serving on the audit committee.
(a) (2) The audit committee financial experts are Susan C. Cote, George J. Sullivan, Jr. and Hubert L. Harris, Jr. Ms. Cote and Messrs. Sullivan and Harris are independent as defined in FormN-CSR Item 3 (a) (2).
| Item 4. | Principal Accountant Fees and Services. |
Fees billed by KPMG LLP (“KPMG”) related to the Registrant.
KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2020 and 2019 as follows:
Fiscal Year 2020
| Fiscal Year 2019
| |||||||||||||
All fees and approved | All fees and approved | All other fees and services to service affiliates that did not require pre-approval | All fees and approved | All fees and approved | All other fees and services to service affiliates that did not require pre-approval | |||||||||
(a) | Audit Fees(1) | $57,095 | $0 | N/A | $56,535 | $0 | N/A | |||||||
(b) | Audit-Related Fees | $0 | $0 | $0 | $0 | $0 | $0 | |||||||
(c) | Tax Fees | $0 | $0 | $0 | $0 | $0 | $0 | |||||||
(d) | All Other Fees(2) | $0 | $412,463 | $0 | $0 | $408,741 | $0 | |||||||
Notes:
| (1) | Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
| (2) | See Item 4(g) for a description of the services comprising the fees disclosed under this category. |
(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit andNon-Audit ServicesPre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may bepre-approved. In any instance where services requirepre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules on auditor independence and whether the provision of such services would compromise the auditor’s independence.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specificpre-approval; (2) are included within the list of services that have received the generalpre-approval of the Audit Committee pursuant to the Policy; or (3) have been previouslypre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise.
Requests or applications to provide services that require specificpre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee has delegated specificpre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposedpre-approved service does not exceed $100,000 and anypre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.
Services that have received the generalpre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received generalpre-approval. The Audit Committee will annually review andpre-approve the services that may be provided by the independent auditor during the following twelve months without obtaining specificpre-approval from the Audit Committee.
The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor.
All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees (or the manner of their determination) to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable tonon-audit services pursuant to waiver ofpre-approval requirement were as follows:
| Fiscal 2020 | Fiscal 2019 | |||
Audit-Related Fees | 0% | 0% | ||
Tax Fees | 0% | 0% | ||
All Other Fees | 0% | 0% |
(f) Not Applicable.
(g)(1) The aggregatenon-audit fees billed by KPMG for the fiscal years 2020 and 2019 were $412,463 and $408,741, respectively.Non-audit fees consist of a service organization controls report review of fund accounting and administration operations and an attestation report in accordance with Rule 17Ad-13.
(h) During the past fiscal year, Registrant’s principal accountant provided certainnon-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject topre-approval pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered thesenon-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of thesenon-audit services is compatible with maintaining the principal accountant’s independence.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
| Item 6. | Schedule of Investments. |
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Catholic Values Equity Fund and the Catholic Values Fixed Income Fund are included as part of the report to shareholders filed under Item 1 of this form.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities byClosed-End Management Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the “Board”). The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the independent trustees. The Committee is responsible for evaluating and recommending nominees for election to the Board.
Pursuant to the Committee’s Charter, adopted on June 18, 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
| Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”) (17 CFR270.30a-3(c))) are effective based on the evaluation of these controls and procedures required by Rule30a-3(b) under the Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934 (17 CFR240.13a-15(b) or240.15d-15(b)) as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3d(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
| Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable.
| Item 13. | Exhibits. |
(a)(1) Code of Ethics attached hereto.
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.
| SEI Catholic Values Trust | ||||||
| By | /s/ Robert A. Nesher | |||||
Robert A. Nesher, President & CEO | ||||||
Date: May 8, 2020
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/ Robert A. Nesher | |||||
Robert A. Nesher, President & CEO | ||||||
| Date: May 8, 2020 | ||||||
| By | /s/ Peter A. Rodriguez | |||||
Peter A. Rodriguez, Controller & CFO | ||||||
| Date: May 8, 2020 | ||||||