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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04878
SEI Institutional Managed Trust
(Exact name of Registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
CT Corporation
101 Federal Street
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-342-5734
Date of fiscal year end: September 30, 2010
Date of reporting period: September 30, 2010
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Item 1. | Reports to Stockholders. |
Table of Contents
SEI Institutional Managed Trust
Annual Report as of September 30, 2010
Large Cap Fund
Large Cap Value Fund
Large Cap Growth Fund
Tax-Managed Large Cap Fund
S&P 500 Index Fund
Small Cap Fund
Small Cap Value Fund
Small Cap Growth Fund
Tax-Managed Small Cap Fund
Mid-Cap Fund
U.S. Managed Volatility Fund
Global Managed Volatility Fund
Tax-Managed Managed Volatility Fund
Real Estate Fund
Enhanced Income Fund
Core Fixed Income Fund
U.S. Fixed Income Fund
High Yield Bond Fund
Real Return Fund
Multi-Strategy Alternative Fund
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Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements | 175 | |||
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179 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. The Trust’s Form N-Q is available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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 recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Large Cap Fund
I. Objective
The Large Cap Fund (the “Fund”) seeks to provide long-term growth of capital and income.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2010: Analytic Investors LLC, Aronson + Johnson + Ortiz, L.P., Brown Investment Advisory Incorporated, Delaware Management Company, Legg Mason Capital Management, Inc., LSV Asset Management, Neuberger Berman LLC, and Quantitative Management Associates, LLC. During the fiscal year, Brown Investment Advisory Incorporated was added to the Fund and Intech Investment Management was terminated.
III. Market Commentary
The markets gained 10.75% for the year ended September 30, 2010, as measured by the Russell 1000 Index (the “Index”). It was a difficult market environment for stocks, driven by macroeconomic factors and accompanied by high correlations and volatility. Gains were established in the latter portion of calendar year 2009 and in the first few months of 2010, but were punctuated by steep declines in late January and early May. The market returned to its October 2009 levels by July. Volatility continued throughout the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the fiscal year.
From a style perspective, value and growth stocks tracked each other closely until September, at which point growth outperformed value by more than 3%. Small-cap stocks beat their large-cap counterparts by a few percentage points, again with most of the divergence in the month of September.
IV. Return vs. Benchmark
For the period ended September 30, 2010, the Large Cap Fund, Class A, underperformed the Index, returning 9.00% versus the Index return of 10.75%.
V. Fund Attribution
The Fund’s underperformance was driven largely by negative stock selection across several sectors. More specifically, a sizeable holding in Utility name AES Corp. lagged during the year, as investors sold shares after the company issued poor guidance for the coming quarters. Poor stock selection in the Information Technology sector also proved to be a challenge for the Fund during the year. The portfolio maintained underweights to rallying names such as NetApp and Oracle, while holding overweights to underperformers Yahoo! Inc. and Nokia. Online travel site priceline.com was a positive spot for the Fund, as the company reported much stronger-than-expected profits, which drove the share price significantly higher.
Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
Cumulative Inception to Date | ||||
Large Cap Fund, Class A | 9.00% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000 Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. 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 the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 1 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Large Cap Value Fund
I. Objective
The Large Cap Value Fund (the “Fund”) seeks to provide long-term growth of capital and income.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Aronson + Johnson + Ortiz, LP, INTECH Investment Management, LLC, Lazard Asset Management LLC, Legg Mason Capital Management, Inc. and LSV Asset Management. During the fiscal year ended September 30, 2010, the Fund added Lazard Asset Management LLC.
III. Market Commentary
The markets gained 8.90% for the year ended September 30, 2010, as measured by the Russell 1000 Value Index (the “Index”). It was a difficult market environment for stocks, driven by macroeconomic factors and accompanied by high correlations and volatility. Gains were established in the latter portion of calendar year 2009 and in the first few months of 2010, but were punctuated by steep declines in late January and early May. The market returned to its October 2009 levels by July. Volatility continued throughout the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the one-year period.
From a style perspective, value and growth stocks tracked each other closely until September, at which point growth outperformed value by more than 3%. Small-cap stocks beat their large-cap counterparts by a few percentage points, again with most of the divergence in the month of September.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Large Cap Value Fund, Class A, underperformed the Index, returning 8.43% versus the Index return of 8.90%.
V. Fund Attribution:
The Fund’s underperformance was driven by a combination of prudent allocation decisions and poor stock selection. A series of
underweights to money center banks such as Citigroup, Bank of America and JPMorgan Chase were contributors to the Fund, as investors sold those shares due to regulatory concerns. Positions within the Consumer Discretionary sector, particularly in retailing stocks, were also contributors to alpha. The Fund maintained a sizeable underweight to the Industrials sector, which was a headwind during a cyclical-oriented rally off the market bottom in 2009. More specifically, underweights to capital goods companies, such as Boeing, hurt performance during the year.
Large Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Since Inception | ||||||||||||||||
Large Cap Value Fund, Class A | 8.43% | (10.22)% | (1.34)% | 2.14% | 7.61% | |||||||||||||||
Large Cap Value Fund, Class I | 8.23% | (10.41)% | (1.55)% | 1.89% | 7.30% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000 Value Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. The performance indicated above for Class A Shares begins on 10/3/94 at which time Mellon Equity Associates acted as investment adviser to the Fund. Previous periods during which the Fund was advised by another investment adviser are not shown. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. 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. |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Large Cap Growth Fund
I. Objective
The Large Cap Growth Fund (the “Fund”) seeks to provide capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Brown Investment Advisory Incorporated, Delaware Management Company, INTECH Investment Management, LLC, Legg Mason Capital Management Inc. and Neuberger Berman LLC. During the year ended September 30, 2010, the Fund added Brown Investment Advisory Incorporated and terminated Goldman Sachs Asset Management, L.P. and Quantitative Management Associates LLC.
III. Market Commentary
The markets gained 12.65% for the year ended September 30, 2010, as measured by the Russell 1000 Growth Index (the “Index”). It was a difficult market environment for stocks, driven by macroeconomic factors and accompanied by high correlations and volatility. Gains were established in the latter portion of calendar year 2009 and in the first few months of 2010, but were punctuated by steep declines in late January and early May. The market returned to its October 2009 levels by July. Volatility continued throughout the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the fiscal year.
From a style perspective, value and growth stocks tracked each other closely until September, at which point growth outperformed value by more than 3%. Small-cap stocks beat their large-cap counterparts by a few percentage points, again with most of the divergence in the month of September.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Large Cap Growth Fund, Class A, underperformed the Index, returning 12.29% versus the Index return of 12.65%.
V. Fund Attribution
The Fund’s underperformance was driven by poor stock selection across multiple sectors; however, holdings in Information Technology added to performance. Avoiding the semiconductor names in favor of software and services companies (such as virtual desktop company Citrix) also added significantly to the Fund. In addition, within the Consumer Discretionary sector, online travel site priceline.com was a strong performer after posting a significantly better-than-expected earnings report. Holdings in the Financials sector weighed on the Fund, as regulation worries provided a reason for investors to sell shares. Underweights to mining and chemical companies, including Praxair Inc. and Newmont Mining, were a headwind during the period, as Materials names performed very well.
Large Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Large Cap Growth Fund, Class A | 12.29% | (5.55)% | 0.87% | (5.14)% | 6.17% | |||||||||||||||
Large Cap Growth Fund, Class I | 12.06% | (5.75)% | 0.64% | (5.38)% | 5.84% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is the performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. 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 Institutional Managed Trust / Annual Report / September 30, 2010 | 3 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Tax-Managed Large Cap Fund
I. Objective
The Tax-Managed Large Cap Fund (the “Fund”) aims to provide high long-term after-tax returns.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisors as of September 30, 2010: Aronson+Johnson+Ortiz, LP, Brown Investment Advisory Incorporated, Delaware Management Company, Legg Mason Capital Management Inc., LSV Asset Management, Neuberger Berman Management LLC, Parametric Portfolio Associates and Quantitative Management Associates LLC. During the year ended September 30, 2010, the Fund added Brown Investment Advisory Incorporated and terminated Goldman Sachs Asset Management, L.P.
III. Market Commentary
The markets gained 10.75% for the year ended September 30, 2010, as measured by the Russell 1000 Index (the “Index”). It was a difficult market environment for stocks, driven by macroeconomic factors and accompanied by high correlations and volatility. Gains were established in the latter portion of calendar year 2009 and in the first few months of 2010, but were punctuated by steep declines in late January and early May. The market returned to its October 2009 levels by July. Volatility continued throughout the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over fiscal year.
From a style perspective, value and growth stocks tracked each other closely until September, at which point growth outperformed value by more than 3%. Small-cap stocks beat their large-cap counterparts by a few percentage points, again with most of the divergence in the month of September.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Tax-Managed Large Cap Fund, Class A, underperformed the Index, returning 9.26% versus the Index return of 10.75%.
V. Fund Attribution
During the period, the Fund’s underperformance was driven by a combination of allocation and stock selection decisions. The Fund maintained an underweight to the Industrials sector, which performed well during the year. More specifically, an underweight to capital goods companies, such as Caterpillar Inc. and Deere & Co., hurt portfolio performance. Stock selection decisions in the Materials sector also posed a challenge, as an underweight to mining companies weighed on performance. Selections in the Healthcare sector offset further negative attribution. Biotech firm Genzyme received a takeout offer from rival Sanofi-Aventis, which lifted shares higher. Positions in UnitedHealth Group and Novo Nordisk also contributed to alpha.
Tax-Managed Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Tax-Managed Large Cap Fund, Class A | 9.26% | (7.98)% | (0.19)% | (1.13)% | 1.70% | |||||||||||||||
Tax-Managed Large Cap Fund, Class Y | 9.54% | (7.69)% | 0.10% | (0.88)% | �� | 1.91% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class Y Shares performance for the period prior to 4/8/02 is performance derived from the performance of the Class A Shares. The performance of Class Y Shares may be different from the performance of Class A Shares because of different distribution fees paid by Class Y shareholders. Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered beginning 4/8/02. 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. |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
S&P 500 Index Fund
I. Objective
The S&P 500 Index Fund (the “Fund”) seeks to achieve investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index (the “Index”).
II. Multi-Manager Approach Statement
The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corp. Currently, the sub-adviser is SSgA Funds Management, Inc. No manager changes were made during the fiscal year.
III. Market Commentary
The markets gained 12.65% for the year ended September 30, 2010, as measured by the Russell 1000 Growth Index. Stocks wrestled with a market driven by macroeconomic factors and accompanied by high correlations and volatility. Gains established in the latter portion of calendar year 2009 and in the first few months of 2010 were punctuated by steep declines in late January and early May. By July, the market was back at October 2009 levels. Volatility continued through the summer, and in September the market rallied once again, as concerns over a double-dip recession receded. The month of September provided nearly all of the gains realized over the fiscal year.
From a style perspective, value and growth stocks tracked each other closely until September, at which point growth outperformed value by more than 3%. Small cap beat large cap by a few percentage points, again with most of the divergence coming in the month of September.
IV. Return vs. Benchmark:
For the year ended September 30, 2010, the S&P 500 Index Fund, Class A, underperformed the Index, returning 9.93% versus the Index return of 10.16%. Please note that one cannot invest directly in an index. Unlike a mutual fund, an index does not have an investment adviser and does not pay any commissions or expenses; therefore, its performance is higher than that of a mutual fund that passively invests in the same index.
V. Fund Attribution
The Fund’s performance followed a pattern similar to the performance of the Index, since it invested in the same securities with generally the
same weights. Cyclical-oriented companies led during the period, as investors sought riskier assets and market sentiment improved relative to the prior twelve months. Consumer Discretionary and Industrials stocks led performance during the period, while Financials and Energy stocks lagged. The overhang of pending regulation in the Financials sector kept investors at bay. In Energy, doubts about final demand in light of tepid economic recovery kept shares lower. Energy shares also fell, as the oil spill in the Gulf region brought negative sentiment to the sector. During the fiscal year, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps.
S&P 500 Index Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
S&P 500 Index Fund, Class A | 9.93% | (7.50)% | 0.28% | (0.82)% | 5.44% | |||||||||||||||
S&P 500 Index Fund, Class E | 10.10% | (7.35)% | 0.43% | (0.66)% | 9.58% | |||||||||||||||
S&P 500 Index Fund, Class I | 9.66% | (7.71)% | 0.03% | (1.06)% | 5.14% |
Comparison of Change in the Value of a $10,000 Investment in the S&P 500 Index Fund, Class A, Class E, and Class I, versus the S&P 500 Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/96. Class E shares were offered beginning 7/31/85. Class I shares were offered beginning 6/28/02. Class I shares performance for the period prior to 6/28/02 is performance derived from performance of the Class A shares. The performance of the Class A and Class I shares may be lower than the performance of Class E shares because of different distribution fees paid by Class A and Class I shareholders. Effective 7/31/97, the Board of Trustees approved the renaming of Class A and Class E shares to Class E and Class A shares, respectively. In addition, returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 5 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Small Cap Fund
I. Objective
The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Allianz Global Investors Capital, LLC, AQR Capital Management, LLC, Integrity Asset Management, LLC, Los Angeles Capital Management and Equity Research, Inc., Robeco Investment Management, Inc. and Wellington Management Company, LLP. No manager changes were made in the Fund, since its inception on October 1, 2009.
III. Market Commentary
The markets gained 13.35% for the year ended September 30, 2010, as measured by the Russell 2000 Index (“Index”). Small-cap stocks, which had gained 33% in the prior twelve months, wrestled with a market driven by macroeconomic factors and accompanied by high correlations and volatility. Gains established in the latter portion of calendar year 2009 and in the first few months of 2010 were punctuated by steep declines in late January and early May, but the market returned to its October 2009 levels by July. Volatility continued through the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the fiscal year.
Real estate securities performed well over the period, as investors searched for yield, with the Wilshire Real Estate Securities Index returning 30.02%. The upward movement in this area was more consistent through the year as compared to the broader market.
From a factor perspective, value and growth stocks tracked closely through the period until September, when growth outperformed value by more than 3%. Small-cap stocks outperformed their large-cap counterparts by a few percentage points, but most of the divergence came in September. Momentum became a positive factor through the period, but many quantitative investors had difficulty with the severe inflection points caused by market volatility.
IV. Return vs. Benchmark
For the period ended September 30, 2010, the Small Cap Fund, Class A, underperformed the Index, returning 11.64% versus the Index return of 13.35%.
V. Fund Attribution
The Fund underperformed the Index due to a combination of poor stock selection and unfavorable asset allocation. The major performance detractor in the period was the Energy sector, where the Fund’s holdings in the oil, gas and consumable fuels industry struggled as natural gas prices plummeted in the early part of the calendar year. Information Technology was also a significant detractor during the period, led by communications equipment, computers and peripherals. On the positive side, the Fund’s underweight to Financials provided relief, as that sector continued to work through challenges.
Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
Cumulative Inception to Date | ||||
Small Cap Fund, Class A | 11.64% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000 Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. 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 the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Small Cap Value Fund
I. Objective
The Small Cap Value Fund (the “Fund”) seeks to provide capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Artisan Partners Limited Partnership, Lee Munder Capital Group, LLC, LSV Asset Management, Martingale Asset Management, L.P., Robeco Investment Management and Wellington Management Company, LLP. During the fiscal year, Panagora Asset Management, Inc, was terminated.
III. Market Commentary
The markets gained 13.35% for the year ended September 30, 2010, as measured by the Russell 2000 Index. Small-cap stocks, which had gained 33% in the prior twelve months, wrestled with a market driven by macroeconomic factors and accompanied by high correlations and volatility. Gains established in the latter portion of calendar year 2009 and in the first few months of 2010 were punctuated by steep declines in late January and early May, but the market returned to its October 2009 levels by July. Volatility continued through the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the fiscal year.
Real estate securities performed well over the period, as investors searched for yield, with the Wilshire Real Estate Securities Index returning 30.02%. The upward movement in this area was more consistent through the year as compared to the broader market.
From a factor perspective, value and growth stocks tracked closely through the period until September, when growth outperformed value by more than 3%. Small-cap stocks outperformed their large-cap counterparts by a few percentage points, but most of the divergence came in September. Momentum became a positive factor through the period, but many quantitative investors had difficulty with the severe inflection points caused by market volatility.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Small Cap Value Fund, Class A, outperformed the Russell 2000 Value Index (the “Index”), returning 13.93% versus the Index return of 11.84%.
V. Fund Attribution
Positive stock selection was the primary driver behind the Fund’s outperformance in the fiscal year. The Financials sector was the largest contributor to performance, driven primarily by stock picking in the real estate and insurance industries. The Fund also benefited from security decisions in the Information Technology sector (particularly in software) and the Materials sector (in chemicals). The only sector that meaningfully detracted from performance during the fiscal year was Energy, particularly in the oil, gas and consumable fuels segment.
Small Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Small Cap Value Fund, Class A | 13.93% | (4.62)% | 1.17% | 7.73% | 9.81% | |||||||||||||||
Small Cap Value Fund, Class I | 13.73% | (4.85)% | 0.93% | 7.44% | 9.46% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000 Value Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 2/11/02 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. 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 Institutional Managed Trust / Annual Report / September 30, 2010 | 7 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Small Cap Growth Fund
I. Objective
The Small Growth Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Allianz Global Investors Capital, LLC, AQR Capital Management, LLC, Janus Capital Management, LLC, Lee Munder Capital Group, LLC and Los Angeles Capital Management and Equity Research Inc. During the fiscal year, Allianz Global Investors Capital, LLC was added to the Fund and Oppenheimer Capital LLC was terminated.
III. Market Commentary
The markets gained 13.35% for the year ended September 30, 2010, as measured by the Russell 2000 Index. Small-cap stocks, which had gained 33% in the prior twelve months, wrestled with a market driven by macroeconomic factors and accompanied by high correlations and volatility. Gains established in the latter portion of calendar year 2009 and in the first few months of 2010 were punctuated by steep declines in late January and early May, but the market returned to its October 2009 levels by July. Volatility continued through the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the fiscal year.
Real estate securities performed well over the period, as investors searched for yield, with the Wilshire Real Estate Securities Index returning 30.02%. The upward movement in this area was more consistent through the year as compared to the broader market.
From a factor perspective, value and growth stocks tracked closely through the period until September, when growth outperformed value by more than 3%. Small-cap stocks outperformed their large-cap counterparts by a few percentage points, but most of the divergence came in September. Momentum became a positive factor through the period, but many quantitative investors had difficulty with the severe inflection points caused by market volatility.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Small Cap Growth Fund, Class A, underperformed the Russell 2000 Growth Index (the “Index”), returning 13.36% versus the Index return of 14.79%.
V. Fund Attribution
The Fund underperformed the Index through the period due to poor stock selection, primarily in the Energy and Information Technology (“IT”) sectors. In Energy, the Fund’s holdings in the fuels segment performed poorly due to substantial declines in natural gas prices. Security selection in the IT sector was particularly challenging in software and services, as well as in hardware. On the positive side, the Fund saw favorable stock decisions in the Financials and Consumer Discretionary sectors. Healthcare contributed as well, driven by the Fund’s underweight position, as well as beneficial stock picks.
Small Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Small Cap Growth Fund, Class A | 13.36% | (9.87)% | (2.13)% | (2.93)% | 7.90% | |||||||||||||||
Small Cap Growth Fund, Class I | 13.09% | (10.11)% | (2.38)% | (3.20)% | 7.57% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. 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. |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Tax-Managed Small Cap Fund
I. Objective
The Tax-Managed Small Cap Fund (the “Fund”) seeks to provide high long-term after-tax returns.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Century Capital Management, LLC, Lee Munder Capital Group, LLC, Los Angeles Capital Management and Equity Research Inc., LSV Asset Management, Parametric Portfolio Associates, Wellington Management Company, LLP and Wells Capital Management Inc. During the fiscal year, Century Capital Management, LLC was added to the Fund.
III. Market Commentary
The markets gained 13.35% for the year ended September 30, 2010, as measured by the Russell 2000 Index. Small-cap stocks, which had gained 33% in the prior 12 months, wrestled with a market driven by macroeconomic factors and accompanied by high correlations and volatility. Gains established in the latter portion of calendar year 2009 and in the first few months of 2010 were punctuated by steep declines in late January and early May, but the market returned to its October 2009 levels by July. Volatility continued through the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the fiscal year.
Real estate securities performed well over the period, as investors searched for yield, with the Wilshire Real Estate Securities Index returning just over 30%. The upward movement in this area was more consistent through the year as compared to the broader market.
From a factor perspective, value and growth stocks tracked closely through the period until September, when growth outperformed value by more than 3%. Small-cap stocks outperformed their large-cap counterparts by a few percentage points, but most of the divergence came in September. Momentum became a positive factor through the period, but many quantitative investors had difficulty with the severe inflection points caused by market volatility.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Tax-Managed Small Cap Fund, Class A, underperformed the Russell 2500 Index (the “Index”), returning 15.05% versus the Index return of 15.92%.
V. Fund Attribution
Unfavorable stock selection contributed to the Funds underperformance of the Index. Securities selection in Telecommunication Services, Materials and Industrials provided a performance tailwind. The main performance detractors in the period were the Financials and Information Technology (“IT”) sectors. In Financials, the Fund was hurt by its underweight to real estate securities, as well as lackluster stock picks within that segment. In IT, security selection was weak in the semiconductors and Internet software & services industries.
Tax-Managed Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Tax-Managed Small Cap Fund, Class A | 15.05% | (6.26)% | 0.16% | 3.58% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small Cap Fund, versus the Russell 2500 Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. 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 Institutional Managed Trust / Annual Report / September 30, 2010 | 9 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Mid-Cap Fund
I. Objective
The Mid-Cap Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Lee Munder Capital Group, LLC, Quantitative Management Associates LLC and Wells Capital Management Inc.
Wells Capital Management Inc. and Lee Munder Capital Group, LLC were added to the Fund over the fiscal year, while Martingale Asset Management was terminated.
III. Market Commentary
The markets gained 13.35% for the year ended September 30, 2010, as measured by the Russell 2000 Index. Small-cap stocks, which had gained 33% in the prior twelve months, wrestled with a market driven by macroeconomic factors and accompanied by high correlations and volatility. Gains established in the latter portion of calendar year 2009 and in the first few months of 2010 were punctuated by steep declines in late January and early May, but the market returned to its October 2009 levels by July. Volatility continued through the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the fiscal year.
Real estate securities performed well over the period, as investors searched for yield, with the Wilshire Real Estate Securities Index returning 30.02%. The upward movement in this area was more consistent through the year as compared to the broader market.
From a factor perspective, value and growth stocks tracked closely through the period until September, when growth outperformed value by more than 3%. Small-cap stocks outperformed their large-cap counterparts by a few percentage points, but most of the divergence came in September. Momentum became a positive factor through the period, but many quantitative investors had difficulty with the severe inflection points caused by market volatility.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Mid-Cap Fund, Class A, underperformed the Russell Midcap Index (the “Index”), returning 14.13% versus the Index return of 17.54%.
V. Fund Attribution
The Fund underperformed the Index due to poor stock selection, especially in the Information Technology, Financials and Consumer Discretionary sectors. In Information Technology, the Fund’s managers struggled in the software and services segment. Real estate investment trusts and banks were problematic in Financials, while hospitality and specialty retail were challenging in Consumer Discretionary. Some offsetting benefit was provided through stock selection in Energy (oil, gas and consumable fuels) and Healthcare (equipment and services).
Mid-Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Mid-Cap Fund, Class A | 14.13% | (6.96)% | 0.53% | 4.89% | 8.87% | |||||||||||||||
Mid-Cap Fund, Class I | 13.91% | (7.16)% | 0.29% | 4.62% | 8.57% |
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A and Class I, versus the Russell Midcap Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 2/16/93 and Class I Shares were offered beginning 10/01/07. 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. |
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
U.S. Managed Volatility Fund
I. Objective
The U.S. Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad U.S. equity markets.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Analytic Investors, LLC and Aronson + Johnson + Ortiz, LP. For the fiscal year ended September 30, 2010, no manager changes were made in the Fund.
III. Market Commentary
After a nine-month market rally favoring lower-quality companies in 2009 (which is characteristic of an early recovery), the markets paused in 2010. Although economic indicators continued to improve, high unemployment and the housing decline proved to be more persistent than many had anticipated.
Unable to see the sources of further economic and earnings growth for 2011, investors became increasingly uncertain over the sustainability of global economic recovery. With so much hanging on the economy and policy decisions, the company specifics yielded to macroeconomic themes in their importance for stock returns, driving inter-stock correlations to historic highs.
Large swings between risk appetite and risk aversion created sharp movements throughout the year, without a sustained direction. In the beginning of 2010, investors expressed their lack of enthusiasm about Chinese monetary tightening and proposed U.S. financial regulations, causing market volatility to spike and markets to sell off. However, American corporations continued to deliver good earnings results, driving the markets forward. By the end of the first quarter, investors’ sentiment reached euphoric levels. Improving macroeconomic data, robust earnings and subsiding worries about Greece and China propelled the equity markets upwards with an almost daily stream of positive returns. Cyclical, high-beta stocks were rewarded, while quality and defensiveness were ignored.
The markets hastily retreated in May and June, erasing all of the prior gains year to date. In spite of strong economic indicators coming out of most major economies, the pace of improvement has slowed. Investors also focused their attention on European sovereign debt problems and Chinese central-bank tightening, with heightened anxiety about how both situations would affect the global economy. As worries about a potential double-dip recession intensified, market participants became increasingly confident about the prospects of a second round of quantitative easing in the U.S., purchasing Treasuries with the intention of selling them back to the Federal Reserve at a higher price, and buying up risky assets in anticipation of an influx of liquidity.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the U.S. Managed Volatility Fund, Class A, outperformed the Russell 3000 Index (the “Index”), returning 13.61% versus the Index return of 10.96%.
V. Fund Attribution
For the fiscal year, the Fund successfully achieved its primary objective of lowering volatility, with the realized annualized standard deviation of 15.1% (daily frequency), compared to the Index’s results of 19.7%, constituting a 23% relative reduction.
With high-beta names lagging the broad market, the Fund benefited from its low-volatility profile. Amid range-bound markets, the Fund was able to provide downside protection, preserving more capital that allowed further compounding of returns during the positive months.
Industry positioning was also beneficial. In particular, the Fund’s strong underweight to the Diversified Financials industry added 1.45% at the total portfolio level, as worries about increased capital requirements, further write-downs and regulatory concerns drove big banking shares down. Underweighting Energy in an environment of stalling oil prices and broader repercussions of BP’s oil spill added another 0.43%. Overweighting the Food, Beverage and Tobacco industry was also helpful, as the industry proved to be more resilient during periods of increased uncertainty over future economic growth. The effects were partially mitigated by underweight to Capital Goods, as the industry continued improving on the back of increased overseas demand and a recovery in domestic business activity.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 11 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
U.S. Managed Volatility Fund (Concluded)
U.S. Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
U.S. Managed Volatility Fund, Class A | 13.61% | (4.63)% | 1.62% | 3.78% | ||||||||||||
U.S. Managed Volatility Fund, Class I | 13.38% | (4.88)% | 1.29% | 3.42% |
Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed Volatility Fund, Class A and Class I, versus the Russell 3000 Index*
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/28/04 and Class I Shares were offered beginning 6/29/07. 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. |
* | The Fund has changed its benchmark from the S&P 500 Index to the Russell 3000 Index (“Index”), as the Index is more closely aligned with the strategy and investments of the Fund. |
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Global Managed Volatility Fund
I. Objective
The Global Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad global equity markets.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Acadian Asset Management LLC and Analytic Investors, LLC. For the fiscal year ending September 30, 2010, no manager changes were made in the Fund.
III. Market Commentary
After a nine-month market rally favoring lower-quality companies in 2009 (which is characteristic of an early recovery), the markets paused in 2010. Although economic indicators continued to improve, high unemployment and the housing decline proved to be more persistent than many had anticipated.
Unable to see the sources of further economic and earnings growth for 2011, investors became increasingly uncertain over the sustainability of global economic recovery. With so much hanging on the economy and policy decisions, the company specifics yielded to macroeconomic themes in their importance for stock returns, driving inter-stock correlations to historic highs.
Large swings between risk appetite and risk aversion created sharp movements throughout the year, without a sustained direction. In the beginning of 2010, investors expressed their lack of enthusiasm about Chinese monetary tightening and proposed U.S. financial regulations, causing market volatility to spike and markets to sell off. However, American corporations continued to deliver good earnings results, driving the markets forward. By the end of the first quarter, investors’ sentiment reached euphoric levels. Improving macroeconomic data, robust earnings and subsiding worries about Greece and China propelled the equity markets upwards with an almost daily stream of positive returns. Cyclical, high-beta stocks were rewarded, while quality and defensiveness were ignored.
The markets hastily retreated in May and June, erasing all of the prior gains year to date. In spite of strong economic indicators coming out of most major economies, the pace of improvement has slowed. Investors also focused their attention on European sovereign debt problems and Chinese central-bank tightening, with heightened anxiety about how both situations would affect the global economy. As worries about a potential double-dip recession intensified, market participants became increasingly confident about the prospects of a second round of quantitative easing in the U.S., purchasing Treasuries with the intention of selling them back to the Federal Reserve at a higher price, and buying up risky assets in anticipation of an influx of liquidity.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Global Managed Volatility Fund, Class A, underperformed the MSCI World Index, Hedged (the “Index”), returning 5.37% versus the Index return of 6.34%.
V. Fund Attribution
For the fiscal year, the Fund successfully reached its objective of smoothing market volatility. In local terms, it realized an annualized intra-year standard deviation more than a third lower than that of the Index. With range-bound markets over the last year, the strategy was able to provide downside protection and keep up with the overall market.
Targeting lower-volatility securities, a majority of the Fund’s holdings are in the lowest 20% of stocks ranked by market beta. For the fiscal year, low-beta names outperformed their high-beta counterparts, markedly helping the Fund’s performance. The Fund’s strong underweight to Financials added 1.8% at the total portfolio level, as worries about increased capital requirements, further write-downs and regulatory concerns drove big banking shares down, particularly in the U.S. Overweighting Consumer Staples was also beneficial, as the sector proved to be more resilient during periods of increased uncertainty over future economic growth. The effects were partially mitigated by an underweight to Materials, which continued its rally on the back of strong commodity prices, and Industrials, as the sector showed strong signs of improvement on the back of increased emerging-market demand and some recovery in domestic business activity.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 13 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Global Managed Volatility Fund (Concluded)
After adjusting for the low-volatility effects and sector positioning, stock selection was disappointing. The Fund suffered from a number of stocks in Japanese Industrials, such as Yamato Holdings Co., Kamigumi Co. and Japan Airlines. In Energy, BP alone detracted 0.30% at the Fund level.
Global Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Global Managed Volatility Fund, Class A | 5.37% | (8.80)% | (3.43)% | |||||||||
Global Managed Volatility Fund, Class I | 5.32% | (9.01)% | (3.72)% |
Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A and Class I, versus the MSCI World Index, Hedged
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. 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. |
14 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Tax-Managed Managed Volatility Fund
I. Objective
The Tax-Managed Managed Volatility Fund (the “Fund”) seeks to maximize after-tax returns, but with a lower level of volatility than the broad U.S. equity markets.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Analytic Investors, LLC, Aronson + Johnson + Ortiz, LP and Parametric Portfolio Associates. For the fiscal year ended September 30, 2010, no manager changes were made in the Fund.
III. Market Commentary
After a nine-month market rally favoring lower-quality companies in 2009 (which is characteristic of an early recovery), the markets paused in 2010. Although economic indicators continued to improve, high unemployment and the housing decline proved to be more persistent than many had anticipated.
Unable to see the sources of further economic and earnings growth for 2011, investors became increasingly uncertain over the sustainability of global economic recovery. With so much hanging on the economy and policy decisions, the company specifics yielded to macroeconomic themes in their importance for stock returns, driving inter-stock correlations to historic highs.
Large swings between risk appetite and risk aversion created sharp movements throughout the year, without a sustained direction. In the beginning of 2010, investors expressed their lack of enthusiasm about Chinese monetary tightening and proposed U.S. financial regulations, causing market volatility to spike and markets to sell off. However, American corporations continued to deliver good earnings results, driving the markets forward. By the end of the first quarter, investors’ sentiment reached euphoric levels. Improving macroeconomic data, robust earnings and subsiding worries about Greece and China propelled the equity markets upwards with an almost daily stream of positive returns. Cyclical, high-beta stocks were rewarded, while quality and defensiveness were ignored.
The markets hastily retreated in May and June, erasing all of the prior gains year to date. In spite of strong economic indicators coming out of most major economies, the pace of improvement has slowed. Investors also focused their attention on European sovereign debt problems and Chinese central-bank tightening, with heightened anxiety about how both situations would affect the global economy. As worries about a potential double-dip recession intensified, market participants became increasingly confident about the prospects of a second round of quantitative easing in the U.S., purchasing Treasuries with the intention of selling them back to the Federal Reserve at a higher price, and buying up risky assets in anticipation of an influx of liquidity.
IV. Return vs. Benchmark:
For the year ended September 30, 2010, the Tax-Managed Managed Volatility Fund, Class A, outperformed the Russell 3000 Index (the “Index”), returning 15.17% versus the Index return of 10.96%.
V. Fund Attribution
For the fiscal year, the Fund successfully achieved its primary objective of lowering volatility, with the realized annualized standard deviation of 15.1% (daily frequency), compared to the Index’s results of 19.7%, constituting a 23% relative reduction.
With high-beta names lagging the broad market, the Fund benefited from its low-volatility profile. Amid range-bound markets, the Fund was able to provide downside protection, preserving more capital that allowed further compounding of returns during the positive months.
Industry positioning was also beneficial. In particular, the Fund’s strong underweight to the Diversified Financials industry added 1.45% at the total portfolio level, as worries about increased capital requirements, further write-downs and regulatory concerns drove big banking shares down. Underweighting Energy in an environment of stalling oil prices and broader repercussions of BP’s oil spill added another 0.43%. Overweighting the Food, Beverage and Tobacco industry was also helpful, as the industry proved to be more resilient during periods of increased uncertainty over future economic growth. The effects were partially mitigated by underweight to Capital Goods, as the industry continued improving on the back of increased overseas demand and a recovery in domestic business activity.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 15 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Tax-Managed Managed Volatility Fund (Concluded)
Tax-Managed Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
Tax-Managed Managed Volatility Fund, Class A | 15.17% | (1.50)% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, Class A versus the Russell 3000 Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Fund shares were offered beginning 12/20/07. 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. |
16 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Real Estate Fund
I. Objective
The Real Estate Fund (the “Fund”) seeks to provide total return, including current income and capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Security Capital Research and Management Inc. and Wellington Management Company, LLP. No manager changes were made during the fiscal year.
III. Market Commentary
The markets gained 13.35% for the year ended September 30, 2010, as measured by the Russell 2000 Index. Small-cap stocks, which had gained 33% in the prior twelve months, wrestled with a market driven by macroeconomic factors and accompanied by high correlations and volatility. Gains established in the latter portion of calendar year 2009 and in the first few months of 2010 were punctuated by steep declines in late January and early May, but the market returned to its October 2009 levels by July. Volatility continued through the summer, and in September the market rallied once again, as concerns over a double-dip recession subsided. The month of September provided nearly all of the gains realized over the fiscal year.
Real estate securities performed well over the period, as investors searched for yield, with the Wilshire Real Estate Securities Index (the “Index”) returning 30.02%. The upward movement in this area was more consistent through the year as compared to the broader market.
From a factor perspective, value and growth stocks tracked closely through the period until September, when growth outperformed value by more than 3%. Small-cap stocks outperformed their large-cap counterparts by a few percentage points, but most of the divergence came in September. Momentum became a positive factor through the period, but many quantitative investors had difficulty with the severe inflection points caused by market volatility.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Real Estate Fund, Class A, underperformed the Index, returning 27.37% versus the Index return of 30.02%.
V. Fund Attribution
The Fund was advantageously positioned from an industry allocation standpoint, but struggled with stock selection. The Fund benefited from its overweight to Apartments, as well the managers’ security choices. Industrials also contributed nicely, as stock-picking more than offset a headwind from the underweight position. The Office segment was the largest performance detractor, as weak stock picks more than offset the benefit of being underweight in this area.
Real Estate Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Real Estate Fund, Class A | 27.37% | (9.04)% | 0.70% | 7.32% | ||||||||||||
Real Estate Fund, Class I | 27.12% | (9.23)% | 0.47% | 7.07% |
Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A and Class I, versus the Wilshire U.S. Real Estate Securities Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 11/13/03 and Class I Shares were offered beginning 10/01/07. 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 Institutional Managed Trust / Annual Report / September 30, 2010 | 17 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Enhanced Income Fund
I. Objective
Using multiple sub-advisers, the Enhanced Income Fund (the “Fund”) seeks to provide an enhanced return above 3-month LIBOR (London InterBank Offering Rate).
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with different investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Ares Management LLC and Wellington Management Company, LLP. During the fiscal year, UBS Global Asset Management (Americas) Inc. was terminated.
III. Market Commentary
The fixed income market conditions for the year ended September 30, 2010 reflected a dramatic recovery from the crisis conditions of 2008 and the post Lehman bankruptcy. The period was characterized by an increased investor appetite for risk that drove powerful rallies in most of the non-Treasury sectors of the market. The catalyst for the market recovery was a series of government programs designed to improve credit availability. These programs included the Term Asset-backed Lending Facility (“TALF”), the Public Private Investment Program (“PPIP”) and a $1.25 trillion purchase program of agency mortgage-backed securities (“MBS”) by the U.S. Federal Reserve (the “Fed”). The Fed’s purchase program brought MBS spreads and mortgage rates to historic lows. The TALF and PPIP programs helped drive strong performance in the non-agency MBS market, commercial MBS market, and the asset-backed securities market. The corporate market was supported by a stabilizing economic condition, lower default rates and improved market liquidity. The strong market recovery was interrupted in the spring of 2010 as the European sovereign credit crisis triggered a modest flight to quality that served to bring Treasury yields back to the lower end of their trading range. News surrounding financial reform legislation, the housing sector, and unemployment continued to weigh on the economy. In response, the Federal Reserve signaled further quantitative easing in September to help stimulate the economy, which led Treasury yields even lower.
Despite this more recent market caution, rallies in the non-Treasury sectors provided very strong performance for the fixed income markets for the fiscal year.
IV . Return vs. Benchmark
For the year ended September 30, 2010, the Enhanced Income Fund, Class A, outperformed BofA Merrill Lynch 3-month Constant Maturity LIBOR Index (the “Index”), returning 6.78% versus the Index return of 0.34%.
V. Fund Attribution
During the fiscal year, the Fund’s exposure to non-agency MBS, commercial MBS, investment-grade corporate securities, and bank loans were the key drivers of the performance. Treasury futures were utilized to efficiently assist in managing the Fund’s duration and yield curve exposure. The implementation of PPIP restored confidence in the non-agency MBS market thereby allowing private capital to flow back into the securitized markets. In addition, the sector continued to experience price momentum as a result of the stabilizing collateral performance, the negative net supply, and the relatively attractive loss-adjusted yields. Commercial MBS also benefited from the favorable technical environment although the economic conditions remained uncertain. The investment grade corporate positions, especially financials, also helped performance. The steep yield curve combined with improved access to the capital markets allowed the largest of the U.S. banking institutions to repair their balance sheets and return to profitability throughout the year. Corporate issuance was very robust as issuers took the opportunity to issue paper as interest rates were at historic lows. Bank loans delivered strong performance for the period, as the fundamental credit conditions and market liquidity significantly improved. According to Moody’s, the default rate (by principal amount) of bank loans peaked in Nov 2009 at 14.9%, and since then fell to 3.99% by the end of the fiscal year-end. It is expected to drop further as companies continue to report better financial results, including improving cash flow growth.
18 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Enhanced Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Enhanced Income Fund, Class A | 6.78% | (5.43)% | (3.01)% | |||||||||
Enhanced Income Fund, Class I | 6.35% | (5.70)% | (3.39)% |
Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A and Class I, versus the BofA Merrill Lynch 3-Month Constant Maturity LIBOR Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. 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 Institutional Managed Trust / Annual Report / September 30, 2010 | 19 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Core Fixed Income Fund
I. Objective
The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital. The Fund’s investment strategy focuses on sector rotation, both among and within sectors, and issue selection. Risk is principally controlled by explicitly limiting the Fund’s interest rate exposure relative to the Barclays Capital U.S. Aggregate Bond Index (the “Index”). The Fund’s sub-advisers focus on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation, and issue selection. While the duration and term structure decision underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may use derivatives for tactical hedging purposes and to implement portfolio strategies more efficiently.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Jennison Associates LLC, J.P. Morgan Investment Management, Inc., Metropolitan West Asset Management LLC, Wells Capital Management, Inc., Western Asset Management Company and Western Asset Management Company Limited. Jennison Associates LLC was added during the fiscal year.
III. Market Commentary
The fixed income market conditions for the fiscal year ended September 30, 2010 reflected a dramatic recovery from the crisis conditions of 2008 and the post Lehman bankruptcy. The period was characterized by an increased investor appetite for risk that drove powerful rallies in most of the non-Treasury sectors of the market. The catalyst for the market recovery was a series of government programs designed to improve credit availability. These programs included the Term Asset-backed Lending Facility (“TALF”), the Public Private Investment Program (“PPIP”) and a $1.25 trillion purchase program of agency mortgage-backed securities (“MBS”) by the U.S. Federal Reserve (the “Fed”). The Fed’s purchase program brought MBS spreads and mortgage rates to historic lows. The TALF and PPIP
programs helped drive strong performance in the non-agency MBS market, including commercial MBS, and the asset-backed securities market. The corporate market was supported by a stabilizing economic condition, improving corporate fundamentals, and better market liquidity. The strong market recovery was interrupted in the spring of 2010 as the European sovereign credit crisis triggered a flight to quality that served to bring Treasury yields back to the lower end of their trading range. News surrounding financial reform legislation, the housing sector, and unemployment continued to weigh on the economy. In addition, the Federal Reserve signaled further quantitative easing in September to help stimulate the economy, which led Treasury yields even lower. Despite the decline, rallies in the non-Treasury sectors provided very strong performance for the fixed income markets for the fiscal year.
IV. Return vs. Benchmark
For year ended September 30, 2010 the Core Fixed Income Fund, Class A, outperformed the Barclays Capital U.S. Aggregate Bond Index (the “Index), returning 14.25% versus the Index return of 8.16%.
V. Fund Attribution
The Fund’s overweight position in Corporate Bonds, Non-Agency MBS and Commercial Mortgage Backed Securities were the key drivers of performance. In addition, the Fund entered the year with a positive bias towards Agency MBS due to the Federal Reserve’s purchase program, but as prices relative to treasuries continued to climb, managers moved to an increasingly underweight position. As the Fed discontinued these purchases, prices relative to treasuries weakened modestly and the Fund gradually added exposure toward the end of the measurement period. Duration exposure did not have a meaningful impact on performance as managers chose to utilize their risk budgets on securities within the non-treasury sectors. Treasury futures were utilized to efficiently assist in managing the Fund’s duration and yield curve exposure. Specifically in the fund, an overweight to Corporate Bonds, especially large cap Financials, generated significant outperformance relative to treasuries. The steep yield curve combined with improved access to the capital markets allowed the largest of the U.S. banking institutions to repair their balance sheets and return to
20 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
profitability throughout the year. The Fund utilized credit default swaps to synthetically and efficiently gain exposure to specific corporate issuers. Credit default swaps were also used to buy credit protection on specific companies in order to moderately hedge the portfolio’s broad corporate exposure. A tactical allocation to high yield bonds also helped as expected default rates continued to decline. Non-Agency mortgages recovered dramatically as the forced selling resulting from ratings downgrades and the unwinding of large levered positions abated. The implementation of PPIP restored confidence in the market thereby allowing private capital to flow back into the securitized markets. In addition, the sector continued to experience price improvement as a result of principal paydowns and negative net supply. The Fund did modestly use credit default swaps to synthetically gain exposure to a basket of non-agency mortgage backed securities. Finally the Fund’s overweight to the Commercial MBS market contributed to performance, as Commercial MBS posted the largest outperformance versus treasuries of any sector within the Barclay’s Aggregate index. The Fund bought credit protection via credit default swaps on a basket of commercial mortgage backed securities, which assisted in partially hedging systematic risk associated with the portfolio’s Commercial MBA exposure. Looking forward, although economic conditions remain uncertain, the portfolio offers attractive value. Given a large portion of the capital appreciation versus treasuries has been captured, the Fund is unlikely to experience the same absolute or relative performance in the year ahead as it did in the current period . However, the yield advantage of the Fund should provide investors with a buffer against a possible rise in interest rates in the upcoming year.
Core Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Core Fixed Income Fund, Class A | 14.25% | 7.55% | 6.04% | 6.26% | 6.96% | |||||||||||||||
Core Fixed Income Fund, Class I | 14.01% | 7.28% | 5.79% | 5.98% | 6.52% |
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I, versus the Barclays Capital U.S. Aggregate Bond Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 5/1/87 and Class I Shares were offered beginning 8/6/01. 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 Institutional Managed Trust / Annual Report / September 30, 2010 | 21 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
U.S. Fixed Income Fund
I. Objective
The U.S. Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital. The Fund’s investment strategy focuses on sector rotation, both among and within sectors, and issue selection. Risk is principally controlled by explicitly limiting the Fund’s interest rate exposure relative to the Barclays Capital U.S. Aggregate Bond Index (the “Index”). The Fund’s sub-advisers focus on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation, and issue selection. While the duration and term structure decision underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may use derivatives for tactical hedging purposes and to implement portfolio strategies more efficiently.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2010: Jennison Associates LLC, J.P. Morgan Investment Management, Inc., Metropolitan West Asset Management LLC, Wells Capital Management, Inc., Western Asset Management Company and Western Asset Management Company Limited. Jennison Associates LLC was added during the fiscal year.
III. Market Commentary
The fixed income market conditions for the year ended September 30, 2010 reflected a dramatic recovery from the crisis conditions of 2008 and the post Lehman bankruptcy. The period was characterized by an increased investor appetite for risk that drove powerful rallies in most of the non-Treasury sectors of the market. The catalyst for the market recovery was a series of government programs designed to improve credit availability. These programs included the Term Asset-backed Lending Facility (“TALF”), the Public Private Investment Program (“PPIP”) and a $1.25 trillion purchase program of agency mortgage-backed securities (“MBS”) by the U.S. Federal Reserve (the “Fed”). The Fed’s purchase program brought MBS spreads and mortgage rates to historic lows. The TALF and PPIP programs helped drive strong performance in the non-agency MBS market, including
commercial MBS, and the asset-backed securities market. The corporate market was supported by a stabilizing economic condition, improving corporate fundamentals, and better market liquidity. The strong market recovery was interrupted in the spring of 2010 as the European sovereign credit crisis triggered a flight to quality that served to bring Treasury yields back to the lower end of their trading range. News surrounding financial reform legislation, the housing sector, and unemployment continued to weigh on the economy. In addition, the Federal Reserve signaled further quantitative easing in September to help stimulate the economy, which led Treasury yields even lower. Despite the decline, rallies in the non-Treasury sectors provided very strong performance for the fixed income markets for the fiscal year.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the U.S. Fixed Income Fund, Class A, outperformed the Index, returning 9.22% versus the Index return of 8.16%.
V. Fund Attribution
The Fund’s overweight position in corporate bonds, non-agency MBS and commercial MBS were the key drivers of performance. In addition, the Fund entered the year with a positive bias towards agency MBS due to the Federal Reserve’s purchase program, but as prices relative to treasuries continued to climb, managers moved to reduce their allocation. As the Fed discontinued these purchases, prices relative to treasuries weakened modestly and the Fund gradually added exposure toward the end of the measurement period. Duration exposure did not have a meaningful impact on performance as managers chose to utilize their risk budgets on securities within the non-treasury sectors. Treasury futures were utilized to efficiently assist in managing the Fund’s duration and yield curve exposure. Specifically in the fund, an overweight to Corporate Bonds, especially large cap Financials, generated significant outperformance relative to treasuries. The steep yield curve combined with improved access to the capital markets allowed the largest of the U.S. banking institutions to repair their balance sheets and return to profitability throughout the year. Non-Agency mortgages recovered dramatically as the forced selling resulting from ratings downgrades and the unwinding of large levered positions abated. The implementation of PPIP restored confidence in the market thereby allowing private capital to flow back
22 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
into the securitized markets. In addition, the sector continued to experience price improvement as a result of principal paydowns and negative net supply. Finally the Fund’s overweight to the commercial MBS market contributed to performance, as commercial MBS posted the largest outperformance versus treasuries of any sector within the Index. The Fund bought credit protection by utilizing credit default swaps on a basket of commercial mortgage backed securities, which assisted in partially hedging systematic risk associated with the portfolio’s commercial MBS exposure. Looking forward, although economic conditions remain uncertain, the portfolio offers attractive value. Given a large portion of the capital appreciation versus treasuries has been captured, the Fund is unlikely to experience the same absolute or relative performance in the year ahead as it did in the current period . However, the yield advantage of the Fund should provide investors with a buffer against a possible rise in interest rates in the upcoming year.
U.S. Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
U.S. Fixed Income Fund, Class A | 9.22% | 10.40% |
Comparison of Change in the Value of a $100,000 Investment in the U.S. Fixed Income Fund, Class A and Class I, versus the Barclays Capital U.S. Aggregate Bond Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class A shares were offered beginning 7/2/09. 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 Institutional Managed Trust / Annual Report / September 30, 2010 | 23 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
High Yield Bond Fund
I. Objective
The High Yield Bond Fund (the “Fund”) seeks to maximize total return.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2010: Ares Management LLC, Brigade Capital Management, LLC, Delaware Management Company, Guggenheim Investment Management, LLC and J.P. Morgan Investment Management, Inc. No manager changes were made during the fiscal year.
III. Market Commentary
For the year ended September 30, 2010, the high-yield market, as measured by the BofA Merrill Lynch U.S. High Yield Master II Constrained Index (the “Index”), returned 18.38%. This strong return for the fiscal year followed a record calendar-year return of 58.10% in 2009, further confirming the movement of investors away from risk aversion. Returns were broad-based, with only one of the 72 Index sub-sectors generating a negative return for the fiscal year. Credit-quality spreads tightened 190 basis points to finish the period at 605 basis points, down 1,563 basis points from the peak of 2,168 basis points reached in December 2008. With the improved liquidity in the market, high-yield issuers came to market with record amounts of issuance, primarily for refinancing purposes, which was well-received by investors. Mutual fund cash flows were at or above record paces, except for two brief periods in February 2010 and May 2010 because of risk avoidance during the sovereign debt crisis. Ample access to capital markets, combined with improved operations, enabled the Moody’s global high-yield issuer default rate to decline to 3.99% by the end of September, down from 14.06% at the beginning of the reporting period. With U.S. Treasury yields near record lows and an increase in investor risk appetite, CCC-rated securities generated the highest returns at 24.88%, followed by BBs at 17.94% and Bs at 15.46%.
The best-performing sector, on a contribution-to-return basis, was the Basic Industry sector, which returned 17.57%. On an absolute-return
basis, financial-related sectors produced the highest returns, as credit conditions improved and the fear of insolvency dissipated. The Insurance sector produced the highest sector return, returning 45.08%. The worst-performing sector on a contribution-to-return basis was the Utility sector, which returned 7.92%, as regulatory and economic growth concerns weighed on the sector.
IV. Return vs. Benchmark:
For the year ended September 30, 2010, the High Yield Bond Fund, Class A, outperformed the BofA Merrill Lynch U.S. High Yield Master II Constrained Index (the “Index”), returning 21.98% versus the Index return of 18.38%.
V. Fund Attribution
A major contributor for the Fund during the period was the Fund’s allocation to Structured Credit (collateralized loan obligations), which rebounded from sharply distressed levels, given the improved fundamentals and ample access to capital markets for many loan issuers. Declining default rates and increased investor risk appetite also served as a tailwind for leveraged finance investments, including both loans and bonds. Security selection in the Services sector enhanced performance, particularly to the underperforming building and construction issuers that struggled with the sluggish housing market. Within the Financial Services sector, an overweight to Nuveen Investments, which outperformed due to improved operations, added to returns. An underweight to First Data, which underperformed due to declining credit and debit card usage, benefited returns. With the outperformance of CCC-rated securities, the Fund’s overweight was helpful.
Detracting from performance was the Fund’s underweight to the Insurance sector, particularly AIG. The worst fears of insolvency for AIG abated and, combined with improved financial market performance, enabled the company to begin a successful restructuring, propelling its bond prices higher. An underweight to the Banking sector, which also produced strong returns, subtracted form performance. Liquid capital markets, along with steep yield curves, buffered bank earnings. This reversed the negative tone that pushed several of these investment-grade companies into the high-yield universe in the prior year. Security selection in the Energy sector,
24 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
especially in ethanol producer Aventine Renewable Energy, diminished returns. An overweight to B-rated issuers, which underperformed, also served as a slight drag on relative performance.
High Yield Bond Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
High Yield Bond Fund, Class A | 21.98% | 6.26% | 6.40% | 6.86% | 7.40% | |||||||||||||||
High Yield Bond Fund, Class I | 21.76% | 6.08% | 6.25% | 6.73% | 7.28% |
Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A and Class I, versus the BofA Merrill Lynch U.S. High Yield Master II Constrained Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 1/11/95 and Class I Shares were offered beginning 10/01/07. 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 Institutional Managed Trust / Annual Report / September 30, 2010 | 25 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Real Return Fund
I. Objective
The Real Return Fund’s (the “Fund”) objective is to provide return characteristics similar to Treasury Inflation Protected Securities (“TIPS”) with a maturity range of 1 to 5 years.
II. Multi-Manage Approach Statement
The Fund currently relies on a single sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-adviser as of September 30, 2010: Wellington Management Company, LLP. No manager changes were made during the fiscal year.
III. Market Commentary
The fixed income market conditions for the fiscal year ended September 30, 2010 reflected a dramatic recovery from the crisis conditions of 2008 and the post Lehman bankruptcy. The period was characterized by an increased investor appetite for risk that drove powerful rallies in most of the non-Treasury sectors of the market. The catalyst for the market recovery was a series of government programs designed to improve credit availability. These programs included the Term Asset-backed Lending Facility (“TALF”), the Public Private Investment Program (“PPIP”) and a $1.25 trillion purchase program of agency mortgage-backed securities (“MBS”) by the U.S. Federal Reserve (the “Fed”). The Fed’s purchase program brought MBS spreads and mortgage rates to historic lows. The TALF and PPIP programs helped drive strong performance in the non-agency MBS market, including commercial MBS, and the asset-backed securities market. The corporate market was supported by a stabilizing economic condition, improving corporate fundamentals, and better market liquidity. The strong market recovery was interrupted in the spring of 2010 as the European sovereign credit crisis triggered a flight to quality that served to bring Treasury yields back to the lower end of their trading range. News surrounding financial reform legislation, the housing sector, and unemployment continued to weigh on the economy. In addition, the Federal Reserve signaled further quantitative easing in September to help stimulate the economy, which led Treasury yields even lower. Despite the decline, the rally in TIPS and higher long-term inflation expectations provided strong performance for the fiscal year.
IV. Return vs. Benchmark
For the year ended September 30, 2010, the Fund underperformed the Barclays 1-5 Year U.S. TIPS Index (the “Index”) returning 5.20% versus the Index return of 5.26%.
V. Fund Attribution
Tactical and timely allocation to nominal Treasuries helped the Fund’s performance due to the decline in Treasury yields during the year. The Fund’s yield curve positioning favoring longer dated TIPS was a positive contributor. In addition, the drop in TIPS yields served to support the absolute return of the Fund. Treasury futures were utilized to efficiently assist in managing the Fund’s duration, yield curve, and Treasury exposure.
Real Return Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
Real Return Fund, Class A | 5.20% | 5.75% |
Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class A, versus the Barclays 1-5 Year U.S. TIPS Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class A shares were offered beginning 7/2/09. 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 for waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
26 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2010
Multi-Strategy Alternative Fund
I. Objective
The Multi-Strategy Alternative Fund (the “Fund”) allocates its assets among a variety of investment strategies to seek to generate an absolute return with reduced correlation to the stock and bond markets.
II. Multi-Manager Approach Statement
The Fund uses a fund-of-funds approach, investing in a number of funds managed by different sub-advisors with differing investment approaches. The fund selection and portfolio construction are conducted by SEI Investments Management Corp.
The Multi-Strategy Alternative Fund had investments in the following 11 funds as of September 30, 2010: Aberdeen Equity Long Short Fund, Institutional Class (GGUIX), AQR Diversified Arbitrage Fund, Class I (ADAIX), AQR Managed Futures Strategy Fund, Class I (AQMIX), Driehaus Active Income Fund (LCMAX), DWS Disciplined Market Neutral Fund, Institutional Class (DDMAX), Eaton Vance Global Macro Absolute Return Fund, Class I (EIGMX), JPMorgan Research Market Neutral Fund, Institutional Class (JPMNX), Managers AMG FW Alternative Fund, Institutional Class (MGAIX), Merger Fund (MERFX), TFS Market Neutral Fund (TFSMX) and Turner Spectrum Fund, Institutional Class (TSPEX).
From the Funds inception on March 31, 2010 through the Fund’s fiscal year end on September 30, 2010, Turner Spectrum Fund, Institutional Class and AQR Managed Futures Strategy Fund, Class I, were added to the Fund, while Rydex Managed Futures Fund and Highbridge Statistical Market Neutral Select Fund were terminated.
III. Market Commentary
Markets were highly volatile during the first six months of the Fund’s inception. The second quarter saw a significant sell-off in risk assets, while the third quarter reversed those losses as most risk assets rallied strongly. Fears of sovereign defaults and the slowing pace of economic recovery drove markets down during the second quarter. In the third quarter, abatement of those concerns, combined with the prospect of continued dovish action by the U.S. Federal Reserve in the form of further quantitative easing, caused risk assets to rally. Throughout this volatility, the Fund achieved its main objective to protect investor capital, experiencing only a modest drawdown during the second quarter. However, the recovery during the third quarter was not as robust as had been hoped, as the choppy market conditions presented challenges for several investment strategies.
IV. Return vs. Benchmark
For the six-month period ended September 30, 2010, the Multi-Strategy Alternative Fund, Class A, underperformed the BofA Merrill Lynch 3-Month U.S Treasury Bill Index (the “Index), returning (0.70)% versus 0.13% for the Index.
V. Fund Attribution
The largest contributor to Fund returns was the Long/Short Equity strategy, followed by Multi-Strategy Arbitrage. Merger Arbitrage delivered a small gain. Losses came from the Tactical Trading and Market-Neutral Equity strategies. The environment proved challenging for tactical managers, as the market oscillated between pessimism and enthusiasm. Market-Neutral managers, which rely on capturing relative stock performance, also struggled, as equity prices were driven by broad macroeconomic concerns rather than stock-specific data.
Multi-Strategy Alternative Fund:
AVERAGE ANNUAL TOTAL RETURN1
Since Inception | ||||
Multi-Strategy Alternative Fund, Class A | (0.70)% |
Comparison of Change in the Value of a $10,000 Investment in the Multi-Strategy Alternative Fund, Class A, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
1 | For the period ended 9/30/10. Past performance is no indication of future performance. Class A shares were offered beginning 3/31/10. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 27 |
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SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.4% |
| |||||||||||
Consumer Discretionary — 11.8% |
| |||||||||||
Amazon.com* | 1.2 | % | 106,740 | $ | 16,764 | |||||||
Comcast, Cl A | 0.5 | 367,186 | 6,639 | |||||||||
Nike, Cl B (A) | 0.5 | 87,900 | 7,044 | |||||||||
priceline.com* | 0.6 | 26,135 | 9,104 | |||||||||
Time Warner | 1.0 | 474,704 | 14,550 | |||||||||
Other Securities | 8.0 | 110,236 | ||||||||||
164,337 | ||||||||||||
Consumer Staples — 8.7% |
| |||||||||||
Coca-Cola | 0.7 | 179,395 | 10,498 | |||||||||
PepsiCo | 0.7 | 139,190 | 9,248 | |||||||||
Philip Morris International | 0.5 | 134,229 | 7,520 | |||||||||
Procter & Gamble | 1.7 | 387,679 | 23,249 | |||||||||
Walgreen | 0.5 | 211,605 | 7,089 | |||||||||
Wal-Mart Stores | 0.5 | 125,372 | 6,710 | |||||||||
Other Securities | 4.1 | 56,865 | ||||||||||
121,179 | ||||||||||||
Energy — 8.6% |
| |||||||||||
Chevron | 1.6 | 283,069 | 22,943 | |||||||||
ConocoPhillips | 1.1 | 278,447 | 15,991 | |||||||||
Exxon Mobil | 0.8 | 176,724 | 10,920 | |||||||||
Transocean* | 0.5 | 117,200 | 7,535 | |||||||||
Other Securities | 4.6 | 63,122 | ||||||||||
120,511 | ||||||||||||
Financials — 15.0% |
| |||||||||||
American Express | 0.7 | 228,800 | 9,617 | |||||||||
Bank of America | 1.1 | 1,175,212 | 15,407 | |||||||||
Berkshire Hathaway, Cl B* | 0.6 | 106,700 | 8,822 | |||||||||
Citigroup* | 0.8 | 2,726,500 | 10,633 | |||||||||
Goldman Sachs Group | 1.0 | 100,265 | 14,496 | |||||||||
JPMorgan Chase | 1.5 | 565,585 | 21,532 | |||||||||
PNC Financial Services Group | 0.6 | 155,809 | 8,088 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo | 1.2 | % | 664,100 | $ | 16,689 | |||||||
Other Securities | 7.5 | 103,666 | ||||||||||
208,950 | ||||||||||||
Health Care — 13.2% |
| |||||||||||
Abbott Laboratories | 0.5 | 140,706 | 7,351 | |||||||||
Allergan | 0.7 | 135,417 | 9,009 | |||||||||
Amgen* | 1.1 | 276,647 | 15,246 | |||||||||
Johnson & Johnson | 1.3 | 287,939 | 17,841 | |||||||||
Medco Health Solutions* | 0.5 | 133,300 | 6,940 | |||||||||
Medtronic | 0.6 | 249,100 | 8,365 | |||||||||
Merck | 0.7 | 252,182 | 9,283 | |||||||||
Pfizer | 1.1 | 884,763 | 15,191 | |||||||||
UnitedHealth Group | 1.0 | 389,983 | 13,692 | |||||||||
Other Securities | 5.7 | 81,841 | ||||||||||
184,759 | ||||||||||||
Industrials — 9.1% |
| |||||||||||
3M (A) | 0.8 | 136,672 | 11,851 | |||||||||
General Electric | 1.3 | 1,080,501 | 17,558 | |||||||||
United Technologies | 0.5 | 103,057 | 7,341 | |||||||||
Other Securities | 6.5 | 90,631 | ||||||||||
127,381 | ||||||||||||
Information Technology — 20.6% |
| |||||||||||
Apple* | 2.7 | 131,135 | 37,210 | |||||||||
Cisco Systems* | 1.3 | 815,772 | 17,865 | |||||||||
Citrix Systems* | 0.5 | 103,903 | 7,090 | |||||||||
EMC* (A) | 0.8 | 587,613 | 11,934 | |||||||||
Intel | 0.6 | 428,964 | 8,249 | |||||||||
International Business Machines | 1.1 | 114,133 | 15,310 | |||||||||
Intuit* | 0.5 | 158,200 | 6,931 | |||||||||
Microsoft | 1.9 | 1,071,454 | 26,240 | |||||||||
Oracle | 0.6 | 294,940 | 7,919 | |||||||||
Qualcomm | 1.1 | 329,600 | 14,872 | |||||||||
Texas Instruments (A) | 1.0 | 505,000 | 13,706 | |||||||||
Visa, Cl A | 0.8 | 158,207 | 11,748 | |||||||||
Other Securities | 7.7 | 108,037 | ||||||||||
287,111 | ||||||||||||
Materials — 3.0% |
| |||||||||||
Other Securities | 3.0 | 41,653 | ||||||||||
Telecommunication Services — 3.4% |
| |||||||||||
AT&T | 1.5 | 711,170 | 20,340 | |||||||||
Verizon Communications | 0.7 | 306,671 | 9,994 | |||||||||
Other Securities | 1.2 | 16,820 | ||||||||||
47,154 | ||||||||||||
28 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.0% |
| |||||||||||
Exelon | 0.6 | % | 206,972 | $ | 8,812 | |||||||
Other Securities | 2.4 | 32,983 | ||||||||||
41,795 | ||||||||||||
Total Common Stock |
| 1,344,830 | ||||||||||
AFFILIATED PARTNERSHIP — 7.0% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.230%**† (B) | 7.0 | 97,897,411 | 97,897 | |||||||||
Total Affiliated Partnership |
| 97,897 | ||||||||||
CASH EQUIVALENT — 3.1% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.150%**† | 3.1 | 42,847,864 | 42,848 | |||||||||
Total Cash Equivalent |
| 42,848 | ||||||||||
U.S. TREASURY OBLIGATION (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 4,680 | ||||||||||
Total U.S. Treasury Obligation |
| 4,680 | ||||||||||
Total Investments — 106.8% |
| $ | 1,490,255 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 47 | Dec-2010 | $ | 49 | ||||||||
S&P Composite Index | 104 | Dec-2010 | 651 | |||||||||
S&P Mid 400 Index E-MINI | 60 | Dec-2010 | 190 | |||||||||
$ | 890 | |||||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,395,899 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $94,814 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $97,897 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,344,830 | $ | — | $ | — | $ | 1,344,830 | ||||||||
Affiliated Partnership | — | 97,897 | — | 97,897 | ||||||||||||
Cash Equivalent | 42,848 | — | — | 42,848 | ||||||||||||
U.S. Treasury Obligation | — | 4,680 | — | 4,680 | ||||||||||||
Total Investments in Securities | $ | 1,387,678 | $ | 102,577 | $ | — | $ | 1,490,255 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 890 | $ | — | $ | — | $ | 890 | ||||||||
* | Futures contracts are valued at unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 29 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.1%‡ |
| |||||||||||
Consumer Discretionary — 7.4% |
| |||||||||||
Comcast, Cl A | 1.2 | % | 1,001,400 | $ | 17,752 | |||||||
Time Warner | 0.6 | 308,933 | 9,469 | |||||||||
Viacom, Cl B | 0.4 | 171,400 | 6,203 | |||||||||
Walt Disney | 0.6 | 274,000 | 9,072 | |||||||||
Other Securities | 4.6 | 69,399 | ||||||||||
111,895 | ||||||||||||
Consumer Staples — 9.8% |
| |||||||||||
Coca-Cola | 0.4 | 104,300 | 6,104 | |||||||||
CVS Caremark | 0.9 | 429,100 | 13,504 | |||||||||
PepsiCo | 0.5 | 109,800 | 7,295 | |||||||||
Procter & Gamble | 2.1 | 517,500 | 31,035 | |||||||||
Wal-Mart Stores | 1.0 | 283,700 | 15,184 | |||||||||
Other Securities | 4.9 | 74,797 | ||||||||||
147,919 | ||||||||||||
Energy — 11.8% |
| |||||||||||
Apache (A) | 0.7 | 113,700 | 11,115 | |||||||||
Chevron | 3.2 | 600,800 | 48,695 | |||||||||
ConocoPhillips | 1.6 | 426,086 | 24,470 | |||||||||
Devon Energy | 0.4 | 99,800 | 6,461 | |||||||||
Exxon Mobil | 1.0 | 245,294 | 15,157 | |||||||||
Marathon Oil | 0.6 | 277,700 | 9,192 | |||||||||
Occidental Petroleum | 1.0 | 193,600 | 15,159 | |||||||||
Other Securities | 3.3 | 48,776 | ||||||||||
179,025 | ||||||||||||
Financials — 25.5% |
| |||||||||||
Allstate | 0.4 | 216,200 | 6,821 | |||||||||
Ameriprise Financial (A) | 0.4 | 128,900 | 6,101 | |||||||||
Bank of America | 2.1 | 2,482,269 | 32,543 | |||||||||
Bank of New York Mellon | 0.5 | 306,422 | 8,007 | |||||||||
Berkshire Hathaway, Cl B* | 1.5 | 272,600 | 22,539 | |||||||||
Chubb | 0.6 | 148,400 | 8,457 | |||||||||
Citigroup* | 1.0 | 3,809,800 | 14,858 | |||||||||
Everest Re Group | 0.5 | 81,800 | 7,073 | |||||||||
Goldman Sachs Group | 1.2 | 121,000 | 17,494 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 2.7 | % | 1,087,400 | $ | 41,397 | |||||||
MetLife (A) | 0.4 | 162,200 | 6,237 | |||||||||
Morgan Stanley | 0.4 | 269,900 | 6,661 | |||||||||
PNC Financial Services Group | 0.7 | 210,455 | 10,925 | |||||||||
Prudential Financial | 0.5 | 136,700 | 7,406 | |||||||||
Travelers (A) | 0.8 | 224,900 | 11,717 | |||||||||
US Bancorp | 0.5 | 316,300 | 6,838 | |||||||||
Wells Fargo | 2.1 | 1,255,395 | 31,548 | |||||||||
Other Securities | 9.2 | 139,270 | ||||||||||
385,892 | ||||||||||||
Health Care — 14.8% |
| |||||||||||
Amgen* | 1.2 | 319,400 | 17,602 | |||||||||
Eli Lilly | 0.4 | 178,700 | 6,528 | |||||||||
Johnson & Johnson | 2.0 | 487,600 | 30,212 | |||||||||
Merck | 1.6 | 667,057 | 24,554 | |||||||||
Pfizer | 3.0 | 2,639,398 | 45,319 | |||||||||
UnitedHealth Group | 0.9 | 398,100 | 13,977 | |||||||||
WellPoint* | 0.8 | 220,300 | 12,478 | |||||||||
Other Securities | 4.9 | 73,753 | ||||||||||
224,423 | ||||||||||||
Industrials — 8.4% |
| |||||||||||
General Dynamics | 0.7 | 155,100 | 9,742 | |||||||||
General Electric | 2.5 | 2,334,600 | 37,937 | |||||||||
Northrop Grumman | 0.6 | 145,900 | 8,846 | |||||||||
Raytheon | 0.6 | 199,100 | 9,101 | |||||||||
Other Securities | 4.0 | 60,901 | ||||||||||
126,527 | ||||||||||||
Information Technology — 6.2% |
| |||||||||||
Intel | 0.8 | 593,100 | 11,405 | |||||||||
Microsoft | 1.5 | 929,200 | 22,756 | |||||||||
Texas Instruments | 0.5 | 258,500 | 7,016 | |||||||||
Other Securities | 3.4 | 52,571 | ||||||||||
93,748 | ||||||||||||
Materials — 3.2% |
| |||||||||||
Other Securities | 3.2 | 48,604 | ||||||||||
Telecommunication Services — 5.2% |
| |||||||||||
AT&T | 3.4 | 1,794,095 | 51,311 | |||||||||
Verizon Communications (A) | 1.1 | 524,100 | 17,080 | |||||||||
Other Securities | 0.7 | 10,531 | ||||||||||
78,922 | ||||||||||||
Utilities — 5.8% |
| |||||||||||
American Electric Power | 0.6 | 259,400 | 9,398 | |||||||||
Other Securities | 5.2 | 78,766 | ||||||||||
88,164 | ||||||||||||
Total Common Stock |
| 1,485,119 | ||||||||||
30 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 8.5% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.230% (B)**† | 8.5 | % | 134,650,092 | $ | 129,626 | |||||||
Total Affiliated Partnership |
| 129,626 | ||||||||||
CASH EQUIVALENT — 1.9% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**† | 1.9 | 28,513,155 | 28,513 | |||||||||
Total Cash Equivalent |
| 28,513 | ||||||||||
U.S. TREASURY OBLIGATION (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 5,520 | ||||||||||
Total U.S. Treasury Obligation |
| 5,520 | ||||||||||
Total Investments — 108.9% |
| $ | 1,648,778 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Composite Index | 80 | Dec-2010 | $ | 636 | ||||||||
For the period ended September 30, 2010, the total number of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,514,440 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $130,963 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $129,626 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,485,119 | $ | — | $ | — | $ | 1,485,119 | ||||||||
Affiliated Partnership | — | 129,626 | — | 129,626 | ||||||||||||
Cash Equivalent | 28,513 | — | — | 28,513 | ||||||||||||
U.S. Treasury Obligation | — | 5,520 | — | 5,520 | ||||||||||||
Total Investments in Securities | $ | 1,513,632 | $ | 135,146 | $ | — | $ | 1,648,778 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 636 | $ | — | $ | — | $ | 636 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 31 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 92.3%‡ |
| |||||||||||
Consumer Discretionary — 13.9% |
| |||||||||||
Amazon.com* | 1.3 | % | 129,216 | $ | 20,295 | |||||||
Lowe’s | 0.6 | 450,916 | 10,051 | |||||||||
McDonald’s | 1.1 | 240,925 | 17,951 | |||||||||
NetFlix* (A) | 0.6 | 57,421 | 9,311 | |||||||||
Nike, Cl B (A) | 1.0 | 207,040 | 16,592 | |||||||||
priceline.com (A) | 1.2 | 57,300 | 19,960 | |||||||||
Staples | 0.6 | 451,700 | 9,450 | |||||||||
Starbucks | 0.5 | 347,326 | 8,885 | |||||||||
Target | 0.8 | 236,747 | 12,652 | |||||||||
Other Securities | 6.2 | 98,890 | ||||||||||
224,037 | ||||||||||||
Consumer Staples — 11.3% |
| |||||||||||
Coca-Cola | 1.3 | 358,845 | 21,000 | |||||||||
Kellogg | 0.8 | 257,300 | 12,996 | |||||||||
PepsiCo | 1.7 | 398,391 | 26,469 | |||||||||
Procter & Gamble | 1.7 | 471,306 | 28,264 | |||||||||
Walgreen (A) | 0.8 | 409,877 | 13,731 | |||||||||
Other Securities | 5.0 | 79,341 | ||||||||||
181,801 | ||||||||||||
Energy — 5.2% |
| |||||||||||
EOG Resources (A) | 0.7 | 118,500 | 11,017 | |||||||||
Exxon Mobil | 0.9 | 238,600 | 14,743 | |||||||||
Halliburton | 0.7 | 322,910 | 10,679 | |||||||||
Schlumberger | 0.6 | 141,553 | 8,721 | |||||||||
Other Securities | 2.3 | 39,166 | ||||||||||
84,326 | ||||||||||||
Financials — 4.5% |
| |||||||||||
American Express | 0.9 | 332,333 | 13,968 | |||||||||
CME Group | 0.6 | 35,855 | 9,338 | |||||||||
Other Securities | 3.0 | 49,628 | ||||||||||
72,934 | ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 13.1% |
| |||||||||||
Abbott Laboratories | 1.1 | % | 354,844 | $ | 18,537 | |||||||
Allergan | 0.9 | 220,503 | 14,670 | |||||||||
Johnson & Johnson | 1.2 | 325,578 | 20,173 | |||||||||
Medco Health Solutions* | 0.9 | 269,082 | 14,008 | |||||||||
Medtronic | 0.8 | 396,291 | 13,308 | |||||||||
Other Securities | 8.2 | 129,945 | ||||||||||
210,641 | ||||||||||||
Industrials — 9.3% |
| |||||||||||
3M | 1.7 | 309,145 | 26,806 | |||||||||
Boeing | 0.8 | 192,693 | 12,822 | |||||||||
Cummins | 0.6 | 101,662 | 9,208 | |||||||||
United Technologies | 1.0 | 220,031 | 15,673 | |||||||||
Other Securities | 5.2 | 84,695 | ||||||||||
149,204 | ||||||||||||
Information Technology — 30.2% |
| |||||||||||
Adobe Systems* (A) | 0.6 | 386,453 | 10,106 | |||||||||
Apple* | 4.2 | 238,955 | 67,804 | |||||||||
Cisco Systems* | 2.5 | 1,814,669 | 39,741 | |||||||||
Citrix Systems* | 1.0 | 235,585 | 16,076 | |||||||||
EMC* | 1.2 | 928,107 | 18,850 | |||||||||
F5 Networks* (A) | 0.6 | 89,900 | 9,333 | |||||||||
Google, Cl A* | 1.4 | 41,116 | 21,618 | |||||||||
Hewlett-Packard | 0.6 | 212,600 | 8,944 | |||||||||
International Business Machines | 1.0 | 120,174 | 16,120 | |||||||||
Intuit* | 0.7 | 254,600 | 11,154 | |||||||||
Mastercard, Cl A | 0.7 | 52,510 | 11,762 | |||||||||
Microsoft | 2.4 | 1,566,969 | 38,375 | |||||||||
NetApp* (A) | 0.6 | 199,405 | 9,928 | |||||||||
Oracle | 1.4 | 854,118 | 22,933 | |||||||||
Qualcomm | 1.7 | 625,595 | 28,227 | |||||||||
Texas Instruments | 0.9 | 515,310 | 13,985 | |||||||||
Visa, Cl A | 1.4 | 299,153 | 22,215 | |||||||||
Other Securities | 7.3 | 119,718 | ||||||||||
486,889 | ||||||||||||
Materials — 2.8% |
| |||||||||||
Monsanto (A) | 0.6 | 180,270 | 8,640 | |||||||||
Other Securities | 2.2 | 35,829 | ||||||||||
44,469 | ||||||||||||
Telecommunication Services — 1.9% |
| |||||||||||
American Tower, Cl A* | 0.8 | 262,523 | 13,457 | |||||||||
Crown Castle International* | 0.9 | 322,367 | 14,233 | |||||||||
Other Securities | 0.2 | 2,463 | ||||||||||
30,153 | ||||||||||||
32 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Utilities — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | $ | 1,094 | ||||||||
Total Common Stock |
| 1,485,548 | ||||||||||
CASH EQUIVALENT — 7.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, | 7.5 | 121,376,915 | 121,377 | |||||||||
Total Cash Equivalent |
| 121,377 | ||||||||||
AFFILIATED PARTNERSHIP — 6.2% |
| |||||||||||
SEI Liquidity Fund, L.P. | 6.2 | 102,417,029 | 98,938 | |||||||||
Total Affiliated Partnership |
| 98,938 | ||||||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.5% |
| |||||||||||
U.S. Treasury Bills, 0.166%, 12/16/2010 | 0.5 | $ | 8,696 | 8,694 | ||||||||
Total U.S. Treasury Obligation |
| 8,694 | ||||||||||
Total Investments — 106.5% |
| $ | 1,714,557 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Composite Index | 356 | Dec-2010 | $ | 1,643 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,610,083 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $99,295 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $98,938 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,485,548 | $ | — | $ | — | $ | 1,485,548 | ||||||||
Cash Equivalent | 121,377 | — | — | 121,377 | ||||||||||||
Affiliated Partnership | — | 98,938 | — | 98,938 | ||||||||||||
U.S. Treasury Obligation | — | 8,694 | — | 8,694 | ||||||||||||
Total Investments in Securities | $ | 1,606,925 | $ | 107,632 | $ | — | $ | 1,714,557 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,643 | $ | — | $ | — | $ | 1,643 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 33 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.5% |
| |||||||||||
Consumer Discretionary — 11.3% |
| |||||||||||
Amazon.com* (A) | 1.0 | % | 94,583 | $ | 14,855 | |||||||
Comcast, Cl A | 0.5 | 441,800 | 7,988 | |||||||||
DIRECTV, Cl A* | 0.6 | 201,007 | 8,368 | |||||||||
McDonald’s | 0.6 | 126,839 | 9,451 | |||||||||
Nike, Cl B (A) | 0.5 | 96,300 | 7,718 | |||||||||
priceline.com* (A) | 0.7 | 28,983 | 10,096 | |||||||||
Time Warner | 0.7 | 341,219 | 10,458 | |||||||||
Other Securities | 6.7 | 105,027 | ||||||||||
173,961 | ||||||||||||
Consumer Staples — 9.1% |
| |||||||||||
Coca-Cola | 0.9 | 228,679 | 13,382 | |||||||||
PepsiCo | 0.7 | 154,373 | 10,257 | |||||||||
Procter & Gamble | 1.9 | 495,500 | 29,715 | |||||||||
Walgreen | 0.6 | 251,422 | 8,423 | |||||||||
Wal-Mart Stores | 0.5 | 144,748 | 7,747 | |||||||||
Other Securities | 4.5 | 70,498 | ||||||||||
140,022 | ||||||||||||
Energy — 8.8% |
| |||||||||||
Chevron | 1.6 | 304,809 | 24,705 | |||||||||
ConocoPhillips | 0.9 | 240,107 | 13,789 | |||||||||
Exxon Mobil | 1.0 | 248,749 | 15,370 | |||||||||
Other Securities | 5.3 | 81,695 | ||||||||||
135,559 | ||||||||||||
Financials — 16.3% |
| |||||||||||
American Express | 0.7 | 244,727 | 10,286 | |||||||||
Bank of America | 1.3 | 1,549,724 | 20,317 | |||||||||
Berkshire Hathaway, Cl B* | 0.8 | 155,800 | 12,882 | |||||||||
Citigroup* | 0.8 | 3,347,900 | 13,057 | |||||||||
Goldman Sachs Group | 1.0 | 101,399 | 14,660 | |||||||||
JPMorgan Chase | 1.7 | 688,107 | 26,196 | |||||||||
Wells Fargo | 1.4 | 841,467 | 21,146 | |||||||||
Other Securities | 8.6 | 132,462 | ||||||||||
251,006 | ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 13.3% |
| |||||||||||
Abbott Laboratories | 0.6 | % | 171,458 | $ | 8,957 | |||||||
Allergan | 0.6 | 145,100 | 9,653 | |||||||||
Amgen* | 0.8 | 232,448 | 12,810 | |||||||||
Johnson & Johnson | 1.4 | 354,742 | 21,980 | |||||||||
Medco Health Solutions* | 0.5 | 144,986 | 7,548 | |||||||||
Merck | 0.8 | 334,372 | 12,308 | |||||||||
Pfizer | 1.2 | 1,095,576 | 18,811 | |||||||||
UnitedHealth Group | 1.1 | 462,399 | 16,235 | |||||||||
Other Securities | 6.3 | 95,965 | ||||||||||
204,267 | ||||||||||||
Industrials — 9.5% |
| |||||||||||
3M | 0.8 | 148,869 | 12,908 | |||||||||
Boeing (A) | 0.5 | 116,139 | 7,728 | |||||||||
General Electric | 1.3 | 1,227,955 | 19,954 | |||||||||
United Technologies | 0.7 | 146,007 | 10,400 | |||||||||
Other Securities | 6.2 | 94,897 | ||||||||||
145,887 | ||||||||||||
Information Technology — 19.5% |
| |||||||||||
Apple* | 2.3 | 126,037 | 35,763 | |||||||||
Cisco Systems* | 1.4 | 964,199 | 21,116 | |||||||||
Citrix Systems* (A) | 0.5 | 121,305 | 8,278 | |||||||||
EMC* | 0.8 | 647,303 | 13,147 | |||||||||
Google, Cl A* | 0.6 | 18,638 | 9,800 | |||||||||
Hewlett-Packard | 0.5 | 191,073 | 8,038 | |||||||||
Intel (A) | 0.8 | 577,736 | 11,110 | |||||||||
International Business Machines | 0.8 | 88,008 | 11,805 | |||||||||
Microsoft | 1.5 | 909,624 | 22,277 | |||||||||
Oracle | 0.7 | 381,802 | 10,251 | |||||||||
Qualcomm | 1.1 | 371,963 | 16,783 | |||||||||
Texas Instruments (A) | 1.0 | 566,700 | 15,380 | |||||||||
Visa, Cl A | 0.7 | 145,514 | 10,806 | |||||||||
Other Securities | 6.8 | 104,410 | ||||||||||
298,964 | ||||||||||||
Materials — 2.7% |
| |||||||||||
Other Securities | 2.7 | 41,990 | ||||||||||
Telecommunication Services — 3.5% |
| |||||||||||
AT&T | 1.5 | 809,646 | 23,156 | |||||||||
Verizon Communications | 0.8 | 350,459 | 11,421 | |||||||||
Other Securities | 1.2 | 19,147 | ||||||||||
53,724 | ||||||||||||
Utilities — 3.5% |
| |||||||||||
AES* | 0.5 | 760,450 | 8,631 | |||||||||
Other Securities | 3.0 | 44,638 | ||||||||||
53,269 | ||||||||||||
Total Common Stock |
| 1,498,649 | ||||||||||
34 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 8.3% |
| |||||||||||
SEI Liquidity Fund, L.P., 0.230%**† (B) | 8.3 | % | 131,826,378 | $ | 127,731 | |||||||
Total Affiliated Partnership |
| 127,731 | ||||||||||
CASH EQUIVALENT — 2.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**† | 2.3 | 35,702,053 | 35,702 | |||||||||
Total Cash Equivalent |
| 35,702 | ||||||||||
U.S. TREASURY OBLIGATION (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 6,210 | ||||||||||
Total U.S. Treasury Obligation |
| 6,210 | ||||||||||
Total Investments — 108.5% |
| $ | 1,668,292 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 3 | Dec-2010 | $ | 6 | ||||||||
S&P Composite Index | 101 | Dec-2010 | 556 | |||||||||
S&P Mid 400 Index E-MINI | 58 | Dec-2010 | 160 | |||||||||
$ | 722 | |||||||||||
For the period ended September 30, 2010, the total number of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,537,777 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $127,992 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $127,731 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,498,649 | $ | — | $ | — | $ | 1,498,649 | ||||||||
Affiliated Partnership | — | 127,731 | — | 127,731 | ||||||||||||
Cash Equivalent | 35,702 | — | — | 35,702 | ||||||||||||
U.S. Treasury Obligation | — | 6,210 | — | 6,210 | ||||||||||||
Total Investments in Securities | $ | 1,534,351 | $ | 133,941 | $ | — | $ | 1,668,292 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures* | $ | 722 | $ | — | $ | — | $ | 722 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 35 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.9% |
| |||||||||||
Consumer Discretionary — 10.2% |
| |||||||||||
Amazon.com* | 0.5 | % | 46,300 | $ | 7,272 | |||||||
Comcast, Cl A | 0.5 | 367,222 | 6,639 | |||||||||
Ford Motor* (A) | 0.4 | 447,580 | 5,478 | |||||||||
Home Depot (A) | 0.5 | 218,696 | 6,928 | |||||||||
McDonald’s | 0.7 | 139,170 | 10,370 | |||||||||
Walt Disney | 0.6 | 250,027 | 8,278 | |||||||||
Other Securities | 7.0 | 96,541 | ||||||||||
141,506 | ||||||||||||
Consumer Staples — 11.1% |
| |||||||||||
Altria Group | 0.5 | 271,856 | 6,530 | |||||||||
Coca-Cola | 1.3 | 301,553 | 17,647 | |||||||||
CVS Caremark | 0.4 | 178,835 | 5,628 | |||||||||
Kraft Foods, Cl A | 0.5 | 226,898 | 7,002 | |||||||||
PepsiCo | 1.0 | 207,985 | 13,819 | |||||||||
Philip Morris International | 1.0 | 239,665 | 13,426 | |||||||||
Procter & Gamble | 1.6 | 371,101 | 22,255 | |||||||||
Wal-Mart Stores | 1.0 | 261,544 | 13,998 | |||||||||
Other Securities | 3.8 | 52,619 | ||||||||||
152,924 | ||||||||||||
Energy — 10.7% |
| |||||||||||
Chevron | 1.5 | 262,478 | 21,274 | |||||||||
ConocoPhillips | 0.8 | 194,943 | 11,196 | |||||||||
Exxon Mobil | 3.0 | 667,298 | 41,232 | |||||||||
Occidental Petroleum | 0.6 | 105,659 | 8,273 | |||||||||
Schlumberger | 0.8 | 178,843 | 11,019 | |||||||||
Other Securities | 4.0 | 54,961 | ||||||||||
147,955 | ||||||||||||
Financials — 15.3% |
| |||||||||||
American Express | 0.4 | 136,815 | 5,750 | |||||||||
Bank of America | 1.2 | 1,311,228 | 17,190 | |||||||||
Berkshire Hathaway, | 1.4 | 226,147 | 18,698 | |||||||||
Citigroup* | 0.9 | 3,106,185 | 12,114 | |||||||||
Goldman Sachs Group | 0.7 | 67,456 | 9,753 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 1.4 | % | 519,857 | $ | 19,791 | |||||||
Wells Fargo | 1.2 | 680,963 | 17,113 | |||||||||
Other Securities | 8.1 | 110,434 | ||||||||||
210,843 | ||||||||||||
Health Care — 11.4% |
| |||||||||||
Abbott Laboratories | 0.8 | 202,146 | 10,560 | |||||||||
Amgen* | 0.5 | 124,718 | 6,873 | |||||||||
Bristol-Myers Squibb | 0.4 | 225,775 | 6,121 | |||||||||
Johnson & Johnson | 1.6 | 360,282 | 22,323 | |||||||||
Merck | 1.1 | 402,344 | 14,810 | |||||||||
Pfizer | 1.3 | 1,054,176 | 18,100 | |||||||||
Other Securities | 5.7 | 78,839 | ||||||||||
157,626 | ||||||||||||
Industrials — 10.5% |
| |||||||||||
3M | 0.6 | 92,782 | 8,045 | |||||||||
Boeing | 0.4 | 95,632 | 6,363 | |||||||||
Caterpillar (A) | 0.5 | 81,897 | 6,444 | |||||||||
General Electric | 1.6 | 1,394,674 | 22,664 | |||||||||
United Parcel Service, Cl B | 0.6 | 128,811 | 8,590 | |||||||||
United Technologies | 0.6 | 121,432 | 8,650 | |||||||||
Other Securities | 6.2 | 84,603 | ||||||||||
145,359 | ||||||||||||
Information Technology — 18.5% |
| |||||||||||
Apple* | 2.4 | 119,431 | 33,888 | |||||||||
Cisco Systems* | 1.2 | 746,604 | 16,351 | |||||||||
EMC* | 0.4 | 268,040 | 5,444 | |||||||||
Google, Cl A* | 1.2 | 32,491 | 17,084 | |||||||||
Hewlett-Packard | 0.9 | 296,465 | 12,472 | |||||||||
Intel | 1.0 | 728,315 | 14,006 | |||||||||
International Business Machines | 1.6 | 164,937 | 22,125 | |||||||||
Microsoft | 1.8 | 995,893 | 24,390 | |||||||||
Oracle | 1.0 | 505,988 | 13,586 | |||||||||
Qualcomm | 0.7 | 209,832 | 9,467 | |||||||||
Other Securities | 6.3 | 86,204 | ||||||||||
255,017 | ||||||||||||
Materials — 3.5% |
| |||||||||||
Other Securities | 3.5 | 47,779 | ||||||||||
Telecommunication Services — 3.2% |
| |||||||||||
AT&T | 1.6 | 771,940 | 22,077 | |||||||||
Verizon Communications | 0.9 | 370,098 | 12,062 | |||||||||
Other Securities | 0.7 | 9,660 | ||||||||||
43,799 | ||||||||||||
Utilities — 3.5% |
| |||||||||||
Other Securities | 3.5 | 48,998 | ||||||||||
Total Common Stock |
| 1,351,806 | ||||||||||
36 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 13.4% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.230% (B)**† | 13.4 | % | 187,500,597 | $ | 184,420 | |||||||
Total Affiliated Partnership |
| 184,420 | ||||||||||
CASH EQUIVALENT — 2.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**† | 2.6 | 35,344,525 | 35,345 | |||||||||
Total Cash Equivalent |
| 35,345 | ||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,145 | ||||||||||
Total U.S. Treasury Obligations |
| 3,145 | ||||||||||
Total Investments — 114.1% |
| $ | 1,574,716 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 687 | Dec-2010 | $ | 1,154 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,380,547 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $182,445 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $184,420 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,351,806 | $ | — | $ | — | $ | 1,351,806 | ||||||||
Affiliated Partnership | — | 184,420 | — | 184,420 | ||||||||||||
Cash Equivalent | 35,345 | — | — | 35,345 | ||||||||||||
U.S. Treasury Obligations | — | 3,145 | — | 3,145 | ||||||||||||
Total Investments in Securities | $ | 1,387,151 | $ | 187,565 | $ | — | $ | 1,574,716 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,154 | $ | — | $ | — | $ | 1,154 | ||||||||
* | Futures contracts are valued at unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 37 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.8% |
| |||||||||||
Consumer Discretionary — 15.6% |
| |||||||||||
American Public Education* (A) | 0.4 | % | 30,193 | $ | 992 | |||||||
Capella Education* (A) | 0.4 | 11,400 | 885 | |||||||||
Cato, Cl A | 0.3 | 27,494 | 736 | |||||||||
Dana Holding* (A) | 0.3 | 61,300 | 755 | |||||||||
Deckers Outdoor* (A) | 0.3 | 14,600 | 729 | |||||||||
Finish Line, Cl A | 0.4 | 59,500 | 828 | |||||||||
HSN* | 0.3 | 24,155 | 722 | |||||||||
Iconix Brand Group* | 0.4 | 49,375 | 864 | |||||||||
MDC Partners, Cl A | 0.4 | 69,000 | 923 | |||||||||
Tempur-Pedic International* | 0.4 | 29,202 | 905 | |||||||||
Tenneco* | 0.5 | 36,148 | 1,047 | |||||||||
Other Securities | 11.5 | 25,530 | ||||||||||
34,916 | ||||||||||||
Consumer Staples — 3.1% |
| |||||||||||
Ruddick (A) | 0.4 | 24,465 | 848 | |||||||||
Other Securities | 2.7 | 6,094 | ||||||||||
6,942 | ||||||||||||
Energy — 6.2% |
| |||||||||||
Comstock Resources* (A) | 0.4 | 42,750 | 961 | |||||||||
Energy XXI Bermuda* (A) | 0.3 | 30,645 | 708 | |||||||||
Goodrich Petroleum* (A) | 0.4 | 65,530 | 955 | |||||||||
PetroHawk Energy* | 0.4 | 59,353 | 958 | |||||||||
Scorpio Tankers* | 0.4 | 72,174 | 815 | |||||||||
Other Securities | 4.3 | 9,598 | ||||||||||
13,995 | ||||||||||||
Financials — 16.1% |
| |||||||||||
First Financial Bancorp | 0.3 | 44,490 | 742 | |||||||||
Highwoods Properties† | 0.4 | 25,437 | 826 | |||||||||
MGIC Investment* (A) | 0.3 | 78,585 | 725 | |||||||||
Radian Group (A) | 0.3 | 90,431 | 707 | |||||||||
World Acceptance* (A) | 0.4 | 20,991 | 927 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 14.4 | % | $ | 32,255 | ||||||||
36,182 | ||||||||||||
Health Care — 12.8% |
| |||||||||||
Align Technology* | 0.3 | 36,260 | 710 | |||||||||
AMERIGROUP* | 0.3 | 17,706 | 752 | |||||||||
Chemed | 0.4 | 14,708 | 838 | |||||||||
ICU Medical* | 0.5 | 28,043 | 1,046 | |||||||||
Medicis Pharmaceutical, Cl A | 0.4 | 29,813 | 884 | |||||||||
NuVasive* (A) | 0.4 | 27,874 | 980 | |||||||||
Questcor Pharmaceuticals* (A) | 0.4 | 85,625 | 849 | |||||||||
Savient Pharmaceuticals* (A) | 0.4 | 36,771 | 841 | |||||||||
STERIS | 0.4 | 28,848 | 958 | |||||||||
Other Securities | 9.3 | 20,781 | ||||||||||
28,639 | ||||||||||||
Industrials — 13.6% |
| |||||||||||
Aegean Marine Petroleum Network | 0.5 | 64,034 | 1,066 | |||||||||
Geo Group* | 0.4 | 36,250 | 846 | |||||||||
Wabash National* (A) | 0.4 | 103,217 | 835 | |||||||||
Other Securities | 12.3 | 27,666 | ||||||||||
30,413 | ||||||||||||
Information Technology — 20.4% |
| |||||||||||
Acme Packet* (A) | 0.5 | 30,420 | 1,154 | |||||||||
Atheros Communications* | 0.3 | 28,244 | 744 | |||||||||
MicroStrategy, Cl A* | 0.4 | 9,509 | 824 | |||||||||
Parametric Technology* | 0.4 | 43,300 | 846 | |||||||||
Plantronics | 0.4 | 24,900 | 841 | |||||||||
Quality Systems (A) | 0.3 | 10,796 | 716 | |||||||||
Quest Software* | 0.5 | 44,938 | 1,105 | |||||||||
Riverbed Technology* (A) | 0.4 | 17,786 | 811 | |||||||||
Teradyne* (A) | 0.5 | 103,078 | 1,148 | |||||||||
TIBCO Software* (A) | 0.5 | 62,900 | 1,116 | |||||||||
Unisys* | 0.4 | 30,250 | 844 | |||||||||
Valueclick* | 0.3 | 56,822 | 743 | |||||||||
VistaPrint* (A) | 0.4 | 20,448 | 790 | |||||||||
Other Securities | 15.1 | 33,965 | ||||||||||
45,647 | ||||||||||||
Materials — 5.8% |
| |||||||||||
Carpenter Technology | 0.5 | 31,740 | 1,070 | |||||||||
NewMarket | 0.6 | 12,572 | 1,429 | |||||||||
WR Grace* | 0.6 | 46,928 | 1,311 | |||||||||
Other Securities | 4.1 | 9,135 | ||||||||||
12,945 | ||||||||||||
Telecommunication Services — 0.9% |
| |||||||||||
Other Securities | 0.9 | 1,950 | ||||||||||
Utilities — 2.3% |
| |||||||||||
Other Securities | 2.3 | 5,123 | ||||||||||
Total Common Stock |
| 216,752 | ||||||||||
38 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
PREFERRED STOCK — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | $ | 284 | ||||||||
Total Preferred Stock |
| 284 | ||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
Total Warrants |
| — | ||||||||||
CONVERTIBLE BOND — 0.1% |
| |||||||||||
Energy — 0.1% |
| |||||||||||
Other Securities | 0.1 | 118 | ||||||||||
Total Convertible Bond |
| 118 | ||||||||||
CORPORATE OBLIGATION — 0.0% |
| |||||||||||
Financials — 0.0% |
| |||||||||||
Other Securities | 0.0 | 19 | ||||||||||
Total Corporate Obligation |
| 19 | ||||||||||
AFFILIATED PARTNERSHIP — 20.0% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.230%**†† (B) | 20.0 | 44,868,654 | 44,869 | |||||||||
Total Affiliated Partnership |
| 44,869 | ||||||||||
CASH EQUIVALENT — 2.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation | 2.5 | 5,592,067 | 5,592 | |||||||||
Total Cash Equivalent |
| 5,592 | ||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 240 | ||||||||||
Total U.S. Treasury Obligation |
| 240 | ||||||||||
Total Investments — 119.6% |
| $ | 267,874 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 39 | Dec-2010 | $ | 12 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $223,978 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $43,356 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $44,869 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
Amounts designated as “—” are $0 or has been rounded to $0.
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 216,734 | $ | 12 | $ | 6 | $ | 216,752 | ||||||||
Preferred Stock | — | 284 | — | 284 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Convertible Bond | — | 118 | — | 118 | ||||||||||||
Corporate Obligation | — | — | 19 | 19 | ||||||||||||
Affiliated Partnership | — | 44,869 | — | 44,869 | ||||||||||||
Cash Equivalent | 5,592 | — | — | 5,592 | ||||||||||||
U.S. Treasury Obligation | — | 240 | — | 240 | ||||||||||||
Total Investments in Securities | $ | 222,326 | $ | 45,523 | $ | 25 | $ | 267,874 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 12 | $ | — | $ | — | $ | 12 | ||||||||
* | Futures contracts are valued at unrealized appreciation on the instrument. |
The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | Corporate Obligation | |||||||
Beginning balance as of October 1, 2009 | $ | — | $ | — | ||||
Accrued discounts/premiums | — | 1 | ||||||
Realized gain/(loss) | (53 | ) | (9 | ) | ||||
Change in unrealized appreciation/(depreciation) | (2 | ) | — | |||||
Net purchases/sales | 61 | 27 | ||||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of September 30, 2010 | $ | 6 | $ | 19 | ||||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | — | $ | — | ||||
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 39 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.4%‡ |
| |||||||||||
Consumer Discretionary — 8.3% |
| |||||||||||
Cooper Tire & Rubber (A) | 0.5 | % | 141,048 | $ | 2,769 | |||||||
MDC Partners, Cl A | 0.5 | 225,800 | 3,019 | |||||||||
Rent-A-Center (A) | 0.4 | 103,500 | 2,316 | |||||||||
Other Securities | 6.9 | 36,709 | ||||||||||
44,813 | ||||||||||||
Consumer Staples — 3.9% |
| |||||||||||
Chiquita Brands International* (A) | 0.5 | 186,300 | 2,467 | |||||||||
Del Monte Foods | 0.5 | 205,887 | 2,699 | |||||||||
Universal | 0.4 | 53,300 | 2,137 | |||||||||
Other Securities | 2.5 | 13,888 | ||||||||||
21,191 | ||||||||||||
Energy — 5.3% |
| |||||||||||
Goodrich Petroleum* (A) | 0.4 | 160,285 | 2,335 | |||||||||
Other Securities | 4.9 | 26,711 | ||||||||||
29,046 | ||||||||||||
Financials — 36.4% |
| |||||||||||
AMB Property† (A) | 0.6 | 125,100 | 3,311 | |||||||||
Boston Properties† (A) | 0.4 | 26,600 | 2,211 | |||||||||
Brookfield Asset Management, Cl A | 0.4 | 81,900 | 2,323 | |||||||||
Douglas Emmett† (A) | 0.6 | 188,900 | 3,308 | |||||||||
Employers Holdings | 0.4 | 135,321 | 2,134 | |||||||||
Endurance Specialty Holdings | 0.6 | 79,508 | 3,164 | |||||||||
First Financial Bancorp | 0.4 | 142,429 | 2,376 | |||||||||
Forest City Enterprises, Cl A* (A) | 0.4 | 170,779 | 2,191 | |||||||||
Host Hotels & Resorts† (A) | 0.4 | 141,010 | 2,042 | |||||||||
Infinity Property & Casualty (A) | 0.5 | 54,896 | 2,677 | |||||||||
Kimco Realty† | 0.6 | 207,000 | 3,260 | |||||||||
Meadowbrook Insurance Group | 0.4 | 234,300 | 2,102 | |||||||||
Nelnet, Cl A | 0.4 | 104,300 | 2,387 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Platinum Underwriters Holdings | 0.7 | % | 86,534 | $ | 3,766 | |||||||
Plum Creek Timber† (A) | 0.6 | 94,400 | 3,332 | |||||||||
ProAssurance* | 0.4 | 38,105 | 2,194 | |||||||||
Public Storage† | 0.5 | 29,700 | 2,882 | |||||||||
Regency Centers† (A) | 0.5 | 68,600 | 2,708 | |||||||||
Simon Property Group† | 0.4 | 25,418 | 2,357 | |||||||||
UDR† (A) | 0.4 | 113,000 | 2,387 | |||||||||
Vornado Realty Trust† (A) | 0.7 | 42,097 | 3,601 | |||||||||
Zions Bancorporation (A) | 0.4 | 99,137 | 2,118 | |||||||||
Other Securities | 25.7 | 138,937 | ||||||||||
197,768 | ||||||||||||
Health Care — 4.7% |
| |||||||||||
ICU Medical* | 0.4 | 59,800 | 2,230 | |||||||||
Other Securities | 4.3 | 23,454 | ||||||||||
25,684 | ||||||||||||
Industrials — 14.9% |
| |||||||||||
EMCOR Group* | 0.4 | 90,700 | 2,230 | |||||||||
FTI Consulting* (A) | 0.5 | 84,900 | 2,945 | |||||||||
Geo Group* | 0.5 | 118,800 | 2,774 | |||||||||
IDEX (A) | 0.4 | 63,223 | 2,245 | |||||||||
Kaydon (A) | 0.4 | 56,953 | 1,970 | |||||||||
Teledyne Technologies* | 0.6 | 75,829 | 3,019 | |||||||||
Teleflex (A) | 0.4 | 41,781 | 2,372 | |||||||||
Towers Watson, Cl A | 0.7 | 75,411 | 3,709 | |||||||||
Other Securities | 11.0 | 59,704 | ||||||||||
80,968 | ||||||||||||
Information Technology — 13.4% |
| |||||||||||
CACI International, Cl A* (A) | 0.5 | 61,799 | 2,797 | |||||||||
Diebold (A) | 0.5 | 93,837 | 2,917 | |||||||||
Digital River* (A) | 0.7 | 104,533 | 3,558 | |||||||||
Intermec* (A) | 0.5 | 205,290 | 2,517 | |||||||||
Lawson Software* | 0.6 | 383,686 | 3,250 | |||||||||
Zebra Technologies, | 0.3 | 58,325 | 1,962 | |||||||||
Other Securities | 10.3 | 55,819 | ||||||||||
72,820 | ||||||||||||
Materials — 4.8% |
| |||||||||||
OM Group* (A) | 0.4 | 73,029 | 2,200 | |||||||||
Other Securities | 4.4 | 23,623 | ||||||||||
25,823 | ||||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,372 | ||||||||||
Utilities — 5.4% | ||||||||||||
AGL Resources | 0.4 | 57,490 | 2,205 | |||||||||
Great Plains Energy (A) | 0.6 | 161,122 | 3,045 | |||||||||
NorthWestern (A) | 0.4 | 75,500 | 2,152 |
40 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Portland General Electric | 1.0 | % | 265,504 | $ | 5,384 | |||||||
Other Securities | 3.0 | 16,360 | ||||||||||
29,146 | ||||||||||||
Total Common Stock |
| 528,631 | ||||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Other Securities | 0.0 | 171 | ||||||||||
Total Preferred Stock |
| 171 | ||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 12 | ||||||||||
Total Warrants |
| 12 | ||||||||||
AFFILIATED PARTNERSHIP — 24.9% |
| |||||||||||
SEI Liquidity Fund, L.P. | 24.9 | 139,060,084 | 135,061 | |||||||||
Total Affiliated Partnership |
| 135,061 | ||||||||||
CASH EQUIVALENT — 2.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**†† | 2.2 | 12,211,958 | 12,212 | |||||||||
Total Cash Equivalent |
| 12,212 | ||||||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.9% |
| |||||||||||
U.S. Treasury Bills, |
| |||||||||||
0.200%, 12/16/2010 | 0.9 | $ 4,755 | 4,753 | |||||||||
Total U.S. Treasury Obligation |
| 4,753 | ||||||||||
Total Investments — 125.4% |
| $ | 680,840 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 128 | Dec-2010 | $ | 502 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $542,871 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $135,142 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $135,061 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl | — Class |
L.P. | — Limited Partnership |
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 528,233 | $ | — | $ | 398 | $ | 528,631 | ||||||||
Preferred Stock | — | 171 | — | 171 | ||||||||||||
Warrants | 12 | — | — | 12 | ||||||||||||
Affiliated Partnership | — | 135,061 | — | 135,061 | ||||||||||||
Cash Equivalent | 12,212 | — | — | 12,212 | ||||||||||||
U.S. Treasury Obligation | — | 4,753 | — | 4,753 | ||||||||||||
Total Investments in Securities | $ | 540,457 | $ | 139,985 | $ | 398 | $ | 680,840 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 502 | $ | — | $ | — | $ | 502 | ||||||||
* | Futures contracts are value at unrealized appreciation on the instrument. |
The following is reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2009 | $ | 445 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (47 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | — | |||
Ending balance as of September 30, 2010 | $ | 398 | ||
Changes in unrealized gains (losses) included in earnings to securities still held at reporting date | $ | (47 | ) | |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 41 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Growth Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.2%‡ |
| |||||||||||
Consumer Discretionary — 17.7% |
| |||||||||||
American Public Education* (A) | 0.6 | % | 75,470 | $ | 2,480 | |||||||
Capella Education* (A) | 0.5 | 27,161 | 2,108 | |||||||||
Finish Line, Cl A (A) | 0.4 | 121,239 | 1,686 | |||||||||
J Crew Group* | 0.4 | 44,795 | 1,506 | |||||||||
Life Time Fitness* (A) | 0.5 | 47,896 | 1,890 | |||||||||
Saks* | 0.4 | 177,435 | 1,526 | |||||||||
Sotheby’s (A) | 0.5 | 47,185 | 1,737 | |||||||||
Talbots* | 0.7 | 198,870 | 2,605 | |||||||||
Tempur-Pedic International* | 0.5 | 69,030 | 2,140 | |||||||||
Tractor Supply (A) | 0.4 | 37,937 | 1,505 | |||||||||
Other Securities | 12.8 | 49,033 | ||||||||||
68,216 | ||||||||||||
Consumer Staples — 2.4% |
| |||||||||||
Other Securities | 2.4 | 9,130 | ||||||||||
Energy — 5.5% |
| |||||||||||
CARBO Ceramics (A) | 0.4 | 19,500 | 1,579 | |||||||||
Comstock Resources* (A) | 0.7 | 110,822 | 2,492 | |||||||||
Energy XXI Bermuda* (A) | 0.4 | 70,710 | 1,634 | |||||||||
Goodrich Petroleum* (A) | 0.6 | 153,488 | 2,236 | |||||||||
PetroHawk Energy* | 0.6 | 142,109 | 2,294 | |||||||||
World Fuel Services | 0.5 | 68,297 | 1,776 | |||||||||
Other Securities | 2.3 | 9,028 | ||||||||||
21,039 | ||||||||||||
Financials — 6.4% |
| |||||||||||
Affiliated Managers Group* | 0.4 | 19,686 | 1,536 | |||||||||
MarketAxess Holdings | 0.5 | 111,808 | 1,899 | |||||||||
MGIC Investment* | 0.5 | 187,894 | 1,734 | |||||||||
Other Securities | 5.0 | 19,325 | ||||||||||
24,494 | ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 16.6% |
| |||||||||||
Abaxis* | 0.4 | % | 73,692 | $ | 1,702 | |||||||
Acorda Therapeutics* | 0.6 | 62,199 | 2,054 | |||||||||
Align Technology* (A) | 0.5 | 101,274 | 1,983 | |||||||||
Healthsouth* (A) | 0.4 | 86,656 | 1,664 | |||||||||
NuVasive* (A) | 0.6 | 69,934 | 2,458 | |||||||||
PDL BioPharma (A) | 0.4 | 291,037 | 1,531 | |||||||||
PSS World Medical* (A) | 0.4 | 70,485 | 1,507 | |||||||||
STERIS | 0.5 | 59,720 | 1,984 | |||||||||
Other Securities | 12.8 | 49,115 | ||||||||||
63,998 | ||||||||||||
Industrials — 16.5% |
| |||||||||||
Aegean Marine Petroleum Network | 0.7 | 160,822 | 2,676 | |||||||||
AerCap Holdings* | 0.4 | 139,360 | 1,649 | |||||||||
CoStar Group* (A) | 0.6 | 48,988 | 2,386 | |||||||||
Innerworkings* (A) | 0.4 | 243,246 | 1,598 | |||||||||
Nordson | 0.6 | 29,610 | 2,182 | |||||||||
WESCO International* | 0.5 | 43,615 | 1,714 | |||||||||
Other Securities | 13.3 | 51,092 | ||||||||||
63,297 | ||||||||||||
Information Technology — 28.0% |
| |||||||||||
Acme Packet* (A) | 0.7 | 65,801 | 2,497 | |||||||||
Atheros Communications* | 0.6 | 88,796 | 2,340 | |||||||||
DTS* | 0.6 | 59,270 | 2,262 | |||||||||
MicroStrategy, Cl A* | 0.5 | 23,278 | 2,016 | |||||||||
Netlogic Microsystems* (A) | 0.5 | 66,329 | 1,829 | |||||||||
Quality Systems (A) | 0.4 | 23,663 | 1,569 | |||||||||
Quest Software* (A) | 0.7 | 111,282 | 2,736 | |||||||||
Riverbed Technology* (A) | 0.5 | 41,103 | 1,873 | |||||||||
SS&C Technologies Holdings* | 0.4 | 94,980 | 1,501 | |||||||||
Syntel | 0.5 | 40,589 | 1,806 | |||||||||
Teradyne* | 0.6 | 217,250 | 2,420 | |||||||||
TIBCO Software* (A) | 0.6 | 134,800 | 2,391 | |||||||||
Unisys* (A) | 0.4 | 60,999 | 1,702 | |||||||||
Veeco Instruments* (A) | 0.5 | 56,168 | 1,959 | |||||||||
VistaPrint* (A) | 1.1 | 111,180 | 4,297 | |||||||||
Other Securities | 19.4 | 74,633 | ||||||||||
107,831 | ||||||||||||
Materials — 3.6% |
| |||||||||||
NewMarket | 0.4 | 14,028 | 1,595 | |||||||||
WR Grace* | 0.5 | 75,431 | 2,108 | |||||||||
Other Securities | 2.7 | 9,985 | ||||||||||
13,688 | ||||||||||||
Telecommunication Services — 1.2% |
| |||||||||||
Other Securities | 1.2 | 4,728 | ||||||||||
42 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 0.3% |
| |||||||||||
Other Securities | 0.3 | % | $ | 1,355 | ||||||||
Total Common Stock |
| 377,776 | ||||||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||||||
Other Securities | 0.1 | 489 | ||||||||||
Total Exchange Traded Fund |
| 489 | ||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
Total Warrants |
| — | ||||||||||
AFFILIATED PARTNERSHIP — 26.2% |
| |||||||||||
SEI Liquidity Fund, L.P., | 26.2 | 103,678,869 | 100,628 | |||||||||
Total Affiliated Partnership |
| 100,628 | ||||||||||
CASH EQUIVALENT — 2.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, | 2.5 | 9,691,169 | 9,691 | |||||||||
Total Cash Equivalent |
| 9,691 | ||||||||||
U.S. TREASURY OBLIGATION (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 803 | ||||||||||
Total U.S. Treasury Obligation |
| 803 | ||||||||||
Total Investments — 127.2% |
| $ | 489,387 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 74 | Dec-2010 | $ | 290 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $384,613 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $100,287 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $100,628 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 377,231 | $ | 142 | $ | 403 | $ | 377,776 | ||||||||
Exchange Traded Fund | 489 | — | — | 489 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 100,628 | — | 100,628 | ||||||||||||
Cash Equivalent | 9,691 | — | — | 9,691 | ||||||||||||
U.S. Treasury Obligation | — | 803 | — | 803 | ||||||||||||
Total Investments in Securities | $ | 387,411 | $ | 101,573 | $ | 403 | $ | 489,387 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 290 | $ | — | $ | — | $ | 290 | ||||||||
* | Futures contracts are valued at unrealized appreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2009 | $ | 571 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (156 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | (12 | ) | ||
Ending balance as of September 30, 2010 | $ | 403 | ||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (156 | ) | |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 43 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.7% |
| |||||||||||
Consumer Discretionary — 17.1% |
| |||||||||||
American Eagle Outfitters | 0.3 | % | 62,219 | $ | 931 | |||||||
Bridgepoint Education* (A) | 0.3 | 58,700 | 908 | |||||||||
Dick’s Sporting Goods* (A) | 0.4 | 36,750 | 1,030 | |||||||||
Hanesbrands* | 0.4 | 43,910 | 1,135 | |||||||||
Interpublic Group* (A) | 0.4 | 128,286 | 1,287 | |||||||||
Jarden | 0.3 | 30,520 | 950 | |||||||||
LKQ* | 0.3 | 44,700 | 930 | |||||||||
National CineMedia | 0.3 | 57,963 | 1,038 | |||||||||
Phillips-Van Heusen | 0.4 | 17,880 | 1,076 | |||||||||
Polaris Industries (A) | 0.3 | 13,535 | 881 | |||||||||
Scientific Games, Cl A* | 0.4 | 137,253 | 1,331 | |||||||||
Tempur-Pedic | 0.3 | 32,040 | 993 | |||||||||
Other Securities | 13.0 | 38,722 | ||||||||||
51,212 | ||||||||||||
Consumer Staples — 3.8% |
| |||||||||||
Del Monte Foods | 0.4 | 87,443 | 1,146 | |||||||||
Green Mountain Coffee Roasters* (A) | 0.4 | 37,247 | 1,162 | |||||||||
Herbalife | 0.3 | 16,030 | 968 | |||||||||
Other Securities | 2.7 | 8,082 | ||||||||||
11,358 | ||||||||||||
Energy — 5.3% |
| |||||||||||
Overseas Shipholding Group (A) | 0.3 | 26,220 | 900 | |||||||||
Other Securities | 5.0 | 15,045 | ||||||||||
15,945 | ||||||||||||
Financials — 15.5% |
| |||||||||||
Endurance Specialty Holdings | 0.3 | 24,378 | 970 | |||||||||
MFA Financial† (A) | 0.3 | 128,122 | 978 | |||||||||
ProAssurance* (A) | 0.3 | 16,781 | 966 | |||||||||
Unum Group | 0.3 | 40,763 | 903 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Zions Bancorporation (A) | 0.4 | % | 54,948 | $ | 1,174 | |||||||
Other Securities | 13.9 | 41,558 | ||||||||||
46,549 | ||||||||||||
Health Care — 10.8% |
| |||||||||||
Onyx Pharmaceuticals* (A) | 0.3 | 37,250 | 983 | |||||||||
Pharmaceutical Product Development | 0.3 | 38,170 | 946 | |||||||||
Valeant Pharmaceuticals International* (A) | 0.3 | 37,748 | 946 | |||||||||
Other Securities | 9.9 | 29,554 | ||||||||||
32,429 | ||||||||||||
Industrials — 15.0% |
| |||||||||||
ArvinMeritor* (A) | 0.4 | 68,680 | 1,067 | |||||||||
Corrections Corp of America* | 0.4 | 52,330 | 1,292 | |||||||||
Gardner Denver | 0.4 | 20,429 | 1,097 | |||||||||
Regal-Beloit | 0.4 | 17,760 | 1,042 | |||||||||
SYKES Enterprises* (A) | 0.3 | 76,617 | 1,040 | |||||||||
Timken | 0.3 | 23,300 | 894 | |||||||||
Towers Watson, Cl A | 0.3 | 17,815 | 876 | |||||||||
Other Securities | 12.5 | 37,715 | ||||||||||
45,023 | ||||||||||||
Information Technology — 17.1% |
| |||||||||||
Alliance Data Systems* (A) | 0.4 | 19,300 | 1,260 | |||||||||
Equinix* (A) | 0.4 | 11,810 | 1,209 | |||||||||
GSI Commerce* (A) | 0.7 | 88,240 | 2,179 | |||||||||
Informatica* (A) | 0.3 | 24,450 | 939 | |||||||||
Lexmark International, Cl A* | 0.4 | 24,300 | 1,084 | |||||||||
Microsemi* (A) | 0.4 | 67,972 | 1,166 | |||||||||
Parametric Technology* (A) | 0.3 | 49,859 | 974 | |||||||||
PMC - Sierra* | 0.3 | 131,900 | 971 | |||||||||
Skyworks Solutions* | 0.3 | 48,140 | 996 | |||||||||
VistaPrint* (A) | 0.3 | 25,759 | 996 | |||||||||
Wright Express* (A) | 0.3 | 25,395 | 907 | |||||||||
Other Securities | 13.0 | 38,788 | ||||||||||
51,469 | ||||||||||||
Materials — 5.4% |
| |||||||||||
Silgan Holdings | 0.3 | 32,230 | 1,022 | |||||||||
Other Securities | 5.1 | 15,032 | ||||||||||
16,054 | ||||||||||||
Telecommunication Services — 2.3% |
| |||||||||||
Frontier Communications | 0.3 | 109,460 | 894 | |||||||||
MetroPCS Communications* | 0.5 | 140,060 | 1,465 | |||||||||
NII Holdings* (A) | 0.5 | 40,500 | 1,664 | |||||||||
SBA Communications, Cl A* | 0.4 | 29,500 | 1,189 | |||||||||
Other Securities | 0.6 | 1,831 | ||||||||||
7,043 | ||||||||||||
44 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 4.4% |
| |||||||||||
AGL Resources | 0.3 | % | 24,982 | $ | 958 | |||||||
Great Plains Energy (A) | 0.4 | 56,292 | 1,064 | |||||||||
Portland General Electric (A) | 0.5 | 65,881 | 1,336 | |||||||||
Other Securities | 3.2 | 9,866 | ||||||||||
13,224 | ||||||||||||
Total Common Stock |
| 290,306 | ||||||||||
CLOSED-END FUND — 0.0% |
| |||||||||||
Other Securities | 0.0 | 13 | ||||||||||
Total Closed-End Fund |
| 13 | ||||||||||
AFFILIATED PARTNERSHIP — 38.8% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.230% (B)**†† | 38.8 | 117,278,838 | 116,670 | |||||||||
Total Affiliated Partnership |
| 116,670 | ||||||||||
CASH EQUIVALENT — 3.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%,**†† | 3.3 | 9,908,999 | 9,909 | |||||||||
Total Cash Equivalent |
| 9,909 | ||||||||||
U.S. TREASURY OBLIGATION (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 702 | ||||||||||
Total U.S. Treasury Obligation |
| 702 | ||||||||||
Total Investments — 139.0% |
| $ | 417,600 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 79 | Dec-2010 | $ | 245 | ||||||||
S&P Mid 400 Index E-MINI | 44 | Dec-2010 | 129 | |||||||||
$ | 374 | |||||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2010, is as follows:
Counterparty | Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||||
Westpac Banking | 10/5/10 | USD | 13 | AUD | 16 | $ | 3 | |||||||||||||||||
JP Morgan Chase | 10/5/10 | USD | 19 | AUD | 23 | 3 | ||||||||||||||||||
Deutsche Bank AG | 10/5/10 | USD | 24 | AUD | 28 | 3 | ||||||||||||||||||
Westpac Banking | 10/5/10 | USD | 18 | AUD | 19 | — | ||||||||||||||||||
Deutsche Bank AG | 10/5/10 | AUD | 297 | USD | 246 | (41 | ) | |||||||||||||||||
Barclays Capital | 10/5/10 | AUD | 33 | USD | 28 | (4 | ) | |||||||||||||||||
Barclays Capital | 10/5/10 | AUD | 16 | USD | 15 | (1 | ) | |||||||||||||||||
$ | (37 | ) | ||||||||||||||||||||||
Percentages are based on Net Assets of $300,343 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $114,123 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $116,670 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
AUD — Australian Dollar
Cl — Class
L.P. — Limited Partnership
USD — U.S. Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 290,306 | $ | — | $ | — | $ | 290,306 | ||||||||
Closed-End Fund | 13 | — | — | 13 | ||||||||||||
Cash Equivalent | 9,909 | — | — | 9,909 | ||||||||||||
U.S. Treasury Obligation | — | 702 | — | 702 | ||||||||||||
Affiliated Partnership | — | 116,670 | — | 116,670 | ||||||||||||
Total Investments in Securities | $ | 300,228 | $ | 117,372 | $ | — | $ | 417,600 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 374 | $ | — | $ | — | $ | 374 | ||||||||
Forwards* | — | (37 | ) | — | (37 | ) | ||||||||||
$ | 374 | $ | (37 | ) | $ | — | $ | 337 | ||||||||
* | Futures contracts and Forwards are valued at unrealized appreciation (depreciation) on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 45 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.1% |
| |||||||||||
Consumer Discretionary — 17.0% |
| |||||||||||
American Eagle Outfitters | 0.6 | % | 50,615 | $ | 757 | |||||||
Darden Restaurants | 0.5 | 15,914 | 681 | |||||||||
Interpublic Group* | 0.9 | 112,401 | 1,127 | |||||||||
National CineMedia | 0.6 | 40,857 | 731 | |||||||||
Phillips-Van Heusen | 0.7 | 14,619 | 879 | |||||||||
Scientific Games, Cl A* (A) | 0.7 | 88,173 | 855 | |||||||||
Other Securities | 13.0 | 16,215 | ||||||||||
21,245 | ||||||||||||
Consumer Staples — 4.5% |
| |||||||||||
Molson Coors Brewing, Cl B | 0.8 | 21,044 | 994 | |||||||||
Other Securities | 3.7 | 4,709 | ||||||||||
5,703 | ||||||||||||
Energy — 7.4% |
| |||||||||||
Murphy Oil | 0.7 | 14,230 | 881 | |||||||||
Nabors Industries* | 0.6 | 39,785 | 719 | |||||||||
Newfield Exploration* | 0.7 | 14,986 | 861 | |||||||||
Range Resources | 0.9 | 27,533 | 1,050 | |||||||||
Spectra Energy | 0.6 | 33,461 | 755 | |||||||||
Other Securities | 3.9 | 4,962 | ||||||||||
9,228 | ||||||||||||
Financials — 15.0% |
| |||||||||||
Ameriprise Financial | 0.6 | 16,974 | 803 | |||||||||
Comerica | 0.5 | 17,764 | 660 | |||||||||
Endurance Specialty Holdings | 0.5 | 16,676 | 664 | |||||||||
Federated Investors, Cl B (A) | 0.5 | 29,640 | 675 | |||||||||
Fifth Third Bancorp | 0.7 | 68,630 | 826 | |||||||||
Host Hotels & Resorts† (A) | 0.5 | 46,695 | 676 | |||||||||
Liberty Property Trust† (A) | 0.7 | 26,638 | 850 | |||||||||
PartnerRe | 0.6 | 8,785 | 704 | |||||||||
People’s United Financial | 0.6 | 62,547 | 819 | |||||||||
Reinsurance Group of America, Cl A | 0.6 | 15,284 | 738 | |||||||||
Unum Group | 0.7 | 40,688 | 901 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Zions Bancorporation (A) | 0.6 | % | 35,450 | $ | 757 | |||||||
Other Securities | 7.9 | 9,685 | ||||||||||
18,758 | ||||||||||||
Health Care — 10.8% |
| |||||||||||
AmerisourceBergen | 0.5 | 21,586 | 662 | |||||||||
Henry Schein* | 0.5 | 11,319 | 663 | |||||||||
Hologic* | 0.6 | 46,875 | 750 | |||||||||
Shire ADR | 0.8 | 15,637 | 1,052 | |||||||||
Other Securities | 8.4 | 10,396 | ||||||||||
13,523 | ||||||||||||
Industrials — 13.9% |
| |||||||||||
Avery Dennison | 0.5 | 19,102 | 709 | |||||||||
Cintas (A) | 0.6 | 27,323 | 753 | |||||||||
Dover | 0.8 | 19,575 | 1,022 | |||||||||
ITT | 0.6 | 15,965 | 748 | |||||||||
Timken | 0.6 | 18,493 | 709 | |||||||||
Other Securities | 10.8 | 13,524 | ||||||||||
17,465 | ||||||||||||
Information Technology — 14.8% |
| |||||||||||
Alliance Data Systems* (A) | 0.7 | 13,490 | 880 | |||||||||
Analog Devices | 0.5 | 21,474 | 674 | |||||||||
GSI Commerce* (A) | 1.0 | 50,966 | 1,259 | |||||||||
Marvell Technology Group* | 0.7 | 46,670 | 817 | |||||||||
Microsemi* (A) | 0.6 | 42,950 | 737 | |||||||||
Molex (A) | 0.6 | 32,599 | 682 | |||||||||
PMC - Sierra* | 0.6 | 102,765 | 756 | |||||||||
Synopsys* | 0.7 | 36,818 | 912 | |||||||||
Other Securities | 9.4 | 11,794 | ||||||||||
18,511 | ||||||||||||
Materials — 5.7% |
| |||||||||||
Allegheny Technologies (A) | 0.6 | 15,613 | 725 | |||||||||
Celanese, Ser A | 0.6 | 21,662 | 695 | |||||||||
Owens-Illinois* | 0.7 | 32,432 | 910 | |||||||||
Other Securities | 3.8 | 4,798 | ||||||||||
7,128 | ||||||||||||
Telecommunication Services — 2.4% |
| |||||||||||
NII Holdings* (A) | 1.1 | 31,301 | 1,287 | |||||||||
SBA Communications, Cl A* | 0.7 | 22,314 | 899 | |||||||||
Other Securities | 0.6 | 780 | ||||||||||
2,966 | ||||||||||||
Utilities — 5.6% |
| |||||||||||
AGL Resources | 0.6 | 20,280 | 778 | |||||||||
American Water Works | 0.6 | 35,447 | 825 | |||||||||
Edison International | 0.6 | 23,110 | 795 |
46 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Xcel Energy (A) | 0.6 | % | 29,784 | $ | 684 | |||||||
Other Securities | 3.2 | 3,938 | ||||||||||
7,020 | ||||||||||||
Total Common Stock |
| 121,547 | ||||||||||
AFFILIATED PARTNERSHIP — 20.4% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.230%, (B)**†† | 20.4 | 25,976,868 | 25,599 | |||||||||
Total Affiliated Partnership |
| 25,599 | ||||||||||
CASH EQUIVALENT — 2.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**†† | 2.5 | 3,119, 529 | 3,120 | |||||||||
Total Cash Equivalent |
| 3,120 | ||||||||||
U.S. TREASURY OBLIGATION (C) — 0.5% |
| |||||||||||
Other Securities | 0.5 | 621 | ||||||||||
Total U.S. Treasury Obligation |
| 621 | ||||||||||
Total Investments — 120.5% |
| $ | 150,887 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 40 | Dec-2010 | $ | 109 | ||||||||
For the year ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages | are based on Net Assets of $125,192 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $25,217 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $25,599 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR | — American Depositary Receipt |
Cl — Class
L.P. — Limited Partnership
Ser — Series
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 121,547 | $ | — | $ | — | $ | 121,547 | ||||||||
Affiliated Partnership | — | 25,599 | — | 25,599 | ||||||||||||
Cash Equivalent | 3,120 | — | — | 3,120 | ||||||||||||
U.S. Treasury Obligation | — | 621 | — | 621 | ||||||||||||
Total Investments in Securities | $ | 124,667 | $ | 26,220 | $ | — | $ | 150,887 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 109 | $ | — | $ | — | $ | 109 | ||||||||
* | Futures contracts are valued at unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 47 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.7% |
| |||||||||||
Consumer Discretionary — 9.4% |
| |||||||||||
Amazon.com* | 1.4 | % | 36,240 | $ | 5,692 | |||||||
priceline.com* | 1.2 | 14,044 | 4,892 | |||||||||
Other Securities | 6.8 | 28,372 | ||||||||||
�� | 38,956 | |||||||||||
Consumer Staples — 19.1% |
| |||||||||||
Altria Group | 1.3 | 230,976 | 5,548 | |||||||||
Brown-Forman, Cl B | 1.2 | 80,022 | 4,933 | |||||||||
Campbell Soup | 0.6 | 63,608 | 2,274 | |||||||||
Clorox | 0.9 | 56,943 | 3,801 | |||||||||
Hershey | 1.6 | 139,290 | 6,629 | |||||||||
Hormel Foods | 1.7 | 155,318 | 6,927 | |||||||||
Kellogg | 1.2 | 95,312 | 4,814 | |||||||||
Kimberly-Clark | 1.5 | 94,312 | 6,135 | |||||||||
Lorillard | 1.3 | 67,425 | 5,415 | |||||||||
McCormick | 1.1 | 103,307 | 4,343 | |||||||||
Philip Morris International | 1.3 | 98,663 | 5,527 | |||||||||
Reynolds American | 1.3 | 86,629 | 5,145 | |||||||||
SYSCO | 0.9 | 138,645 | 3,954 | |||||||||
Other Securities | 3.2 | 13,866 | ||||||||||
79,311 | ||||||||||||
Energy — 3.4% |
| |||||||||||
Other Securities | 3.4 | 14,028 | ||||||||||
Financials — 12.7% |
| |||||||||||
Allied World Assurance Holdings | 0.6 | 47,656 | 2,697 | |||||||||
Arch Capital Group* | 0.7 | 34,728 | 2,910 | |||||||||
Bank of Hawaii | 0.9 | 86,415 | 3,882 | |||||||||
Commerce Bancshares | 1.2 | 133,173 | 5,006 | |||||||||
Cullen/Frost Bankers | 0.9 | 66,031 | 3,557 | |||||||||
RenaissanceRe Holdings | 0.8 | 55,048 | 3,301 | |||||||||
Other Securities | 7.6 | 31,639 | ||||||||||
52,992 | ||||||||||||
Health Care — 20.6% |
| |||||||||||
Abbott Laboratories | 1.5 | 117,780 | 6,153 | |||||||||
Alexion Pharmaceuticals* | 0.6 | 37,161 | 2,392 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AmerisourceBergen | 1.6 | % | 215,872 | $ | 6,619 | |||||||
Amgen* | 1.4 | 105,780 | 5,829 | |||||||||
Becton Dickinson | 1.2 | 65,560 | 4,858 | |||||||||
Biogen Idec* | 1.1 | 78,674 | 4,415 | |||||||||
C.R. Bard | 1.6 | 80,915 | 6,589 | |||||||||
Cardinal Health | 1.3 | 165,843 | 5,479 | |||||||||
Eli Lilly | 1.2 | 135,736 | 4,958 | |||||||||
Forest Laboratories* | 0.9 | 123,040 | 3,806 | |||||||||
Genzyme* | 0.6 | 35,274 | 2,497 | |||||||||
Johnson & Johnson | 1.0 | 68,537 | 4,246 | |||||||||
McKesson | 1.7 | 112,345 | 6,941 | |||||||||
Techne | 1.0 | 63,609 | 3,927 | |||||||||
Other Securities | 3.9 | 16,789 | ||||||||||
85,498 | ||||||||||||
Industrials — 3.7% |
| |||||||||||
Other Securities | 3.7 | 15,575 | ||||||||||
Information Technology — 10.1% |
| |||||||||||
Analog Devices | 0.9 | 114,926 | 3,607 | |||||||||
Cognizant Technology Solutions, Cl A* | 1.3 | 84,579 | 5,453 | |||||||||
International Business Machines | 1.4 | 42,655 | 5,722 | |||||||||
Tech Data* | 0.9 | 94,708 | 3,817 | |||||||||
Texas Instruments | 1.1 | 169,858 | 4,610 | |||||||||
Other Securities | 4.5 | 18,878 | ||||||||||
42,087 | ||||||||||||
Materials — 3.0% |
| |||||||||||
Newmont Mining | 1.3 | 85,706 | 5,383 | |||||||||
Other Securities | 1.7 | 7,044 | ||||||||||
12,427 | ||||||||||||
Telecommunication Services — 2.2% |
| |||||||||||
AT&T | 0.5 | 79,900 | 2,285 | |||||||||
Other Securities | 1.7 | 6,953 | ||||||||||
9,238 | ||||||||||||
Utilities — 12.5% |
| |||||||||||
AGL Resources | 0.7 | 82,355 | 3,159 | |||||||||
Atmos Energy | 0.8 | 111,335 | 3,257 | |||||||||
Nicor | 0.7 | 59,996 | 2,749 | |||||||||
NSTAR | 1.2 | 124,608 | 4,903 | |||||||||
SCANA | 0.7 | 75,402 | 3,040 | |||||||||
UGI | 0.6 | 92,584 | 2,649 | |||||||||
Vectren | 0.7 | 105,405 | 2,727 | |||||||||
Wisconsin Energy | 1.2 | 88,024 | 5,088 | |||||||||
Other Securities | 5.9 | 24,198 | ||||||||||
51,770 | ||||||||||||
Total Common Stock |
| 401,882 | ||||||||||
48 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 2.7% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**† | 2.7 | % | 11,261,888 | $ | 11,262 | |||||||
Total Cash Equivalent |
| 11,262 | ||||||||||
U.S. TREASURY OBLIGATION (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 876 | ||||||||||
Total U.S. Treasury Obligation |
| 876 | ||||||||||
Total Investments — 99.6% |
| $ | 414,020 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 124 | Dec-2010 | $ | 161 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $415,706 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 401,882 | $ | — | $ | — | $ | 401,882 | ||||||||
Cash Equivalent | 11,262 | — | — | 11,262 | ||||||||||||
U.S. Treasury Obligation | — | 876 | — | 876 | ||||||||||||
Total Investments in Securities | $ | 413,144 | $ | 876 | $ | — | $ | 414,020 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 161 | $ | — | $ | — | $ | 161 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 49 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 93.5% |
| |||||||||||
Australia — 7.8% |
| |||||||||||
Coca-Cola Amatil | 0.8 | % | 215,260 | $ | 2,497 | |||||||
CSL | 0.9 | 89,418 | 2,861 | |||||||||
Foster’s Group | 0.9 | 516,364 | 3,065 | |||||||||
Metcash | 1.0 | 765,054 | 3,237 | |||||||||
TABCORP Holdings | 1.4 | 690,995 | 4,683 | |||||||||
Tatts Group | 0.9 | 1,251,801 | 2,897 | |||||||||
Other Securities | 1.9 | 6,426 | ||||||||||
25,666 | ||||||||||||
Belgium — 2.9% |
| |||||||||||
Colruyt | 1.0 | 12,410 | 3,285 | |||||||||
Mobistar | 1.0 | 54,060 | 3,315 | |||||||||
Other Securities | 0.9 | 3,060 | ||||||||||
9,660 | ||||||||||||
Canada — 11.0% |
| |||||||||||
Alimentation Couche Tard, Cl B | 0.5 | 82,500 | 1,850 | |||||||||
BCE | 1.8 | 187,100 | 6,100 | |||||||||
Empire, Cl A | 0.8 | 46,800 | 2,512 | |||||||||
George Weston | 0.6 | 25,800 | 1,986 | |||||||||
Metro, Cl A | 1.0 | 73,500 | 3,198 | |||||||||
Rogers Communications, Cl B | 1.5 | 135,800 | 5,098 | |||||||||
Saputo | 1.2 | 114,600 | 3,923 | |||||||||
Other Securities | 3.6 | 11,667 | ||||||||||
36,334 | ||||||||||||
Cayman Islands — 0.0% |
| |||||||||||
Other Securities | 0.0 | 12 | ||||||||||
Denmark — 1.9% |
| |||||||||||
Coloplast, Cl B | 0.9 | 24,716 | 2,959 | |||||||||
Novo Nordisk, Cl B | 0.9 | 29,483 | 2,930 | |||||||||
Other Securities | 0.1 | 402 | ||||||||||
6,291 | ||||||||||||
European Currency Union — 0.0% |
| |||||||||||
Other Securities | 0.0 | 28 | ||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Finland — 0.7% |
| |||||||||||
Other Securities | 0.7 | % | $ | 2,144 | ||||||||
France — 1.6% |
| |||||||||||
France Telecom | 0.5 | 70,588 | 1,527 | |||||||||
Societe BIC | 0.6 | 26,344 | 2,118 | |||||||||
Other Securities | 0.5 | 1,639 | ||||||||||
5,284 | ||||||||||||
Germany — 1.4% |
| |||||||||||
Other Securities | 1.4 | 4,497 | ||||||||||
Greece — 0.0% |
| |||||||||||
Other Securities | 0.0 | 143 | ||||||||||
Guernsey — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,467 | ||||||||||
Hong Kong — 3.9% |
| |||||||||||
CLP Holdings | 1.1 | 470,500 | 3,754 | |||||||||
HongKong Electric Holdings | 1.2 | 620,000 | 3,766 | |||||||||
Link† | 0.9 | 1,051,500 | 3,115 | |||||||||
Other Securities | 0.7 | 2,205 | ||||||||||
12,840 | ||||||||||||
Ireland — 0.1% |
| |||||||||||
Other Securities | 0.1 | 483 | ||||||||||
Israel — 0.8% |
| |||||||||||
Other Securities | 0.8 | 2,562 | ||||||||||
Italy — 2.0% |
| |||||||||||
Snam Rete Gas | 1.2 | 769,471 | 3,903 | |||||||||
Other Securities | 0.8 | 2,649 | ||||||||||
6,552 | ||||||||||||
Japan — 23.6% |
| |||||||||||
Asahi Breweries | 0.8 | 133,700 | 2,673 | |||||||||
Chubu Electric Power | 1.1 | 147,300 | 3,638 | |||||||||
Idemitsu Kosan | 0.7 | 27,800 | 2,383 | |||||||||
Kansai Electric Power | 0.8 | 108,000 | 2,621 | |||||||||
Kyushu Electric Power | 0.8 | 113,400 | 2,587 | |||||||||
Lawson | 0.8 | 60,200 | 2,756 | |||||||||
Nippon Telegraph & Telephone | 0.4 | 28,100 | 1,226 | |||||||||
NTT DoCoMo | 1.3 | 2,647 | 4,404 | |||||||||
Oriental Land | 1.1 | 38,600 | 3,595 | |||||||||
Takeda Pharmaceutical | 0.9 | 61,400 | 2,819 | |||||||||
Tokyo Electric Power | 0.7 | 98,900 | 2,410 | |||||||||
Tokyo Gas | 1.2 | 895,000 | 4,061 | |||||||||
Unicharm | 1.0 | 82,800 | 3,330 | |||||||||
Other Securities | 12.0 | 39,650 | ||||||||||
78,153 | ||||||||||||
50 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Jersey — 0.3% |
| |||||||||||
Other Securities | 0.3 | % | $ | 1,068 | ||||||||
Netherlands — 1.5% |
| |||||||||||
Other Securities | 1.5 | 4,809 | ||||||||||
New Zealand — 0.1% |
| |||||||||||
Other Securities | 0.1 | 171 | ||||||||||
Portugal — 0.0% |
| |||||||||||
Other Securities | 0.0 | 73 | ||||||||||
Singapore — 0.1% |
| |||||||||||
Other Securities | 0.1 | 311 | ||||||||||
Spain — 0.8% |
| |||||||||||
Other Securities | 0.8 | 2,729 | ||||||||||
Sweden — 0.6% |
| |||||||||||
Other Securities | 0.6 | 1,973 | ||||||||||
Switzerland — 1.9% |
| |||||||||||
Swisscom | 0.6 | 4,878 | 1,979 | |||||||||
Other Securities | 1.3 | 4,352 | ||||||||||
6,331 | ||||||||||||
United Kingdom — 3.7% |
| |||||||||||
AstraZeneca | 1.7 | 111,785 | 5,696 | |||||||||
Other Securities | 2.0 | 6,426 | ||||||||||
12,122 | ||||||||||||
United States — 26.4% |
| |||||||||||
Abbott Laboratories | 0.8 | 49,000 | 2,560 | |||||||||
AmerisourceBergen | 1.2 | 124,800 | 3,826 | |||||||||
Annaly Capital Management† | 1.4 | 253,000 | 4,453 | |||||||||
C.R. Bard | 0.8 | 30,700 | 2,500 | |||||||||
Campbell Soup | 1.1 | 99,337 | 3,551 | |||||||||
Cephalon* | 1.5 | 76,108 | 4,752 | |||||||||
Clorox | 0.8 | 40,200 | 2,684 | |||||||||
Family Dollar Stores | 1.1 | 80,949 | 3,575 | |||||||||
General Mills | 1.0 | 91,800 | 3,354 | |||||||||
Hormel Foods | 0.9 | 64,281 | 2,867 | |||||||||
Kimberly-Clark | 1.4 | 72,426 | 4,711 | |||||||||
Lorillard | 0.6 | 25,590 | 2,055 | |||||||||
Raytheon | 0.7 | 50,800 | 2,322 | |||||||||
TJX | 1.1 | 79,144 | 3,532 | |||||||||
Other Securities | 12.0 | 40,448 | ||||||||||
87,190 | ||||||||||||
Total Common Stock |
| 308,893 | ||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 4.8% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**†† | 4.8 | % | 15,950,954 | $ | 15,951 | |||||||
Total Cash Equivalent |
| 15,951 | ||||||||||
U.S. TREASURY OBLIGATION (A) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,401 | ||||||||||
Total U.S. Treasury Obligation |
| 1,401 | ||||||||||
Total Investments — 98.7% |
| $ | 326,245 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 56 | Dec-2010 | $ | (30 | ) | |||||||
FTSE Index | 18 | Dec-2010 | (6 | ) | ||||||||
Hang Seng Index | 6 | Oct-2010 | — | |||||||||
S&P 500 Index E-MINI | 124 | Dec-2010 | 190 | |||||||||
SPI 200 Index | 7 | Dec-2010 | (11 | ) | ||||||||
$ | 143 | |||||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2010, is as follows:
Counterparty | Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||
Brown Brother Harriman | 10/28/10 | AUD | 25,446 | USD | 24,385 | $ | (174 | ) | ||||||||||||||
Brown Brother Harriman | 10/28/10 | CAD | 39,659 | USD | 38,612 | (34 | ) | |||||||||||||||
Brown Brother Harriman | 10/28/10 | EUR | 32,695 | USD | 44,044 | (577 | ) | |||||||||||||||
Brown Brother Harriman | 10/28/10 | GBP | 9,438 | USD | 14,945 | 76 | ||||||||||||||||
Brown Brother Harriman | 10/28/10 | JPY | 7,517,496 | USD | 89,259 | (764 | ) | |||||||||||||||
Brown Brother Harriman | 10/28/10 | USD | 139 | AUD | 145 | — | ||||||||||||||||
Brown Brother Harriman | 10/28/10 | USD | 73 | CAD | 75 | — | ||||||||||||||||
Brown Brother Harriman | 10/28/10 | USD | 377 | EUR | 278 | 2 | ||||||||||||||||
Brown Brother Harriman | 10/28/10 | USD | 651 | JPY | 54,579 | 2 | ||||||||||||||||
$ | (1,469 | ) | ||||||||||||||||||||
Percentages are based on Net Assets of $330,590 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
AUD — Australia Dollar
CAD — Canadian Dollar
Cl — Class
EUR — Euro
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 51 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2010
GBP — British Pound
JPY — Japanese Yen
USD — U.S. Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 308,893 | $ | — | $ | — | $ | 308,893 | ||||||||
Cash Equivalent | 15,951 | — | — | 15,951 | ||||||||||||
U.S. Treasury Obligation | — | 1,401 | — | 1,401 | ||||||||||||
Total Investments in Securities | $ | 324,844 | $ | 1,401 | $ | — | $ | 326,245 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 143 | $ | — | $ | — | $ | 143 | ||||||||
Forwards* | — | (1,469 | ) | — | (1,469 | ) | ||||||||||
Total Other Financial Instruments | $ | 143 | $ | (1,469 | ) | $ | — | $ | (1,326 | ) | ||||||
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
52 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.8% |
| |||||||||||
Consumer Discretionary — 10.1% |
| |||||||||||
Discovery Communications, Cl C* | 1.6 | % | 100,967 | $ | 3,856 | |||||||
Discovery Communications, Cl A* | 0.5 | 24,600 | 1,071 | |||||||||
priceline.com* | 2.0 | 13,419 | 4,674 | |||||||||
Other Securities | 6.0 | 14,212 | ||||||||||
23,813 | ||||||||||||
Consumer Staples — 24.9% |
| |||||||||||
Altria Group | 1.5 | 146,060 | 3,508 | |||||||||
Brown-Forman, Cl B | 0.9 | 34,571 | 2,131 | |||||||||
Church & Dwight | 1.4 | 52,657 | 3,420 | |||||||||
Clorox | 0.7 | 24,049 | 1,605 | |||||||||
Coca-Cola | 1.1 | 44,799 | 2,622 | |||||||||
Colgate-Palmolive | 1.2 | 37,890 | 2,912 | |||||||||
General Mills | 1.6 | 102,638 | 3,750 | |||||||||
Hershey | 0.6 | 29,694 | 1,413 | |||||||||
HJ Heinz | 0.6 | 30,420 | 1,441 | |||||||||
Hormel Foods | 1.4 | 72,027 | 3,213 | |||||||||
JM Smucker | 0.9 | 33,729 | 2,042 | |||||||||
Kellogg | 1.4 | 66,226 | 3,345 | |||||||||
Kimberly-Clark | 1.4 | 49,057 | 3,191 | |||||||||
Lorillard | 1.3 | 39,781 | 3,195 | |||||||||
McCormick | 1.0 | 56,064 | 2,357 | |||||||||
PepsiCo | 0.7 | 26,231 | 1,743 | |||||||||
Philip Morris International | 1.5 | 65,353 | 3,661 | |||||||||
Procter & Gamble | 1.0 | 38,153 | 2,288 | |||||||||
Reynolds American | 1.5 | 58,175 | 3,455 | |||||||||
Wal-Mart Stores | 1.3 | 57,884 | 3,098 | |||||||||
Other Securities | 1.9 | 4,529 | ||||||||||
58,919 | ||||||||||||
Energy — 3.2% |
| |||||||||||
Other Securities | 3.2 | 7,667 | ||||||||||
Financials — 11.6% |
| |||||||||||
Capitol Federal Financial | 1.1 | 106,124 | 2,621 | |||||||||
Commerce Bancshares | 0.9 | 57,523 | 2,162 | |||||||||
People’s United Financial | 1.2 | 211,032 | 2,762 | |||||||||
TFS Financial | 0.9 | 224,667 | 2,065 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wesco Financial | 0.9 | % | 5,938 | $ | 2,127 | |||||||
Other Securities | 6.6 | 15,602 | ||||||||||
27,339 | ||||||||||||
Health Care — 16.4% |
| |||||||||||
Abbott Laboratories | 1.2 | 53,396 | 2,789 | |||||||||
Alexion Pharmaceuticals* | 1.4 | 49,940 | 3,214 | |||||||||
Allscripts Healthcare Solutions* | 1.0 | 133,383 | 2,464 | |||||||||
AmerisourceBergen | 1.3 | 101,478 | 3,111 | |||||||||
C.R. Bard | 0.9 | 26,277 | 2,140 | |||||||||
Dentsply International | 0.9 | 63,758 | 2,038 | |||||||||
Edwards Lifesciences* | 0.8 | 28,788 | 1,930 | |||||||||
Henry Schein* | 1.2 | 48,387 | 2,835 | |||||||||
Johnson & Johnson | 1.2 | 47,946 | 2,971 | |||||||||
Laboratory Corp of America Holdings* | 0.8 | 23,899 | 1,874 | |||||||||
Techne | 0.9 | 33,624 | 2,076 | |||||||||
Other Securities | 4.8 | 11,286 | ||||||||||
38,728 | ||||||||||||
Industrials — 4.6% |
| |||||||||||
Stericycle* | 1.3 | 43,078 | 2,993 | |||||||||
Other Securities | 3.3 | 8,006 | ||||||||||
10,999 | ||||||||||||
Information Technology — 9.2% |
| |||||||||||
Google, Cl A* | 1.4 | 6,136 | 3,226 | |||||||||
IAC* | 1.5 | 135,677 | 3,564 | |||||||||
International Business Machines | 1.5 | 26,347 | 3,534 | |||||||||
WebMD Health, Cl A* | 0.6 | 28,403 | 1,417 | |||||||||
Zebra Technologies, Cl A* | 0.7 | 48,247 | 1,623 | |||||||||
Other Securities | 3.5 | 8,342 | ||||||||||
21,706 | ||||||||||||
Materials — 2.8% |
| |||||||||||
Newmont Mining | 0.8 | 31,443 | 1,975 | |||||||||
Other Securities | 2.0 | 4,631 | ||||||||||
6,606 | ||||||||||||
Telecommunication Services — 2.3% |
| |||||||||||
Other Securities | 2.3 | 5,448 | ||||||||||
Utilities — 10.7% |
| |||||||||||
NSTAR | 1.5 | 92,552 | 3,642 | |||||||||
OGE Energy | 1.1 | 64,112 | 2,556 | |||||||||
SCANA | 0.8 | 45,750 | 1,845 | |||||||||
Vectren | 0.8 | 69,471 | 1,797 | |||||||||
Wisconsin Energy | 0.9 | 35,013 | 2,024 | |||||||||
Other Securities | 5.6 | 13,378 | ||||||||||
25,242 | ||||||||||||
Total Common Stock |
| 226,467 | ||||||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 53 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund (Concluded)
September 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 5.9% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**† | 5.9 | % | 13,946,906 | $ | 13,947 | |||||||
Total Cash Equivalent |
| 13,947 | ||||||||||
U.S. TREASURY OBLIGATION (A) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 622 | ||||||||||
Total U.S. Treasury Obligation |
| 622 | ||||||||||
Total Investments — 102.0% |
| $ | 241,036 | |||||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 71 | Dec-2010 | $ | 101 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $236,402 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all other securities owned by the Fund. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 226,467 | $ | — | $ | — | $ | 226,467 | ||||||||
Cash Equivalent | 13,947 | — | — | 13,947 | ||||||||||||
U.S. Treasury Obligation | — | 622 | — | 622 | ||||||||||||
Total Investments in Securities | $ | 240,414 | $ | 622 | $ | — | $ | 241,036 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 101 | $ | — | $ | — | $ | 101 | ||||||||
* | Futures contracts are valued at unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
54 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS
Real Estate Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.5% |
| |||||||
Financials — 94.1% |
| |||||||
Alexandria Real Estate Equities† (A) | 40,600 | $ | 2,842 | |||||
AMB Property† (A) | 440,450 | 11,659 | ||||||
Apartment Investment & Management, Cl A† (A) | 200,784 | 4,293 | ||||||
AvalonBay Communities† (A) | 58,298 | 6,059 | ||||||
Boston Properties† (A) | 117,983 | 9,807 | ||||||
Brandywine Realty Trust† | 186,200 | 2,281 | ||||||
Brookfield Asset Management, Cl A | 147,800 | 4,193 | ||||||
Camden Property Trust† (A) | 69,300 | 3,324 | ||||||
CommonWealth REIT† | 101,113 | 2,588 | ||||||
Corporate Office Properties Trust† (A) | 87,750 | 3,274 | ||||||
CreXus Investment† | 55,100 | 663 | ||||||
Dexus Property Group† | 724,906 | 600 | ||||||
Douglas Emmett† (A) | 462,549 | 8,099 | ||||||
Duke Realty† (A) | 282,400 | 3,273 | ||||||
Equity Residential† | 238,500 | 11,345 | ||||||
Essex Property Trust† (A) | 50,900 | 5,571 | ||||||
Federal Realty Investment Trust† (A) | 28,300 | 2,311 | ||||||
Forest City Enterprises, Cl A* (A) | 301,500 | 3,868 | ||||||
Hammerson (United Kingdom)† | 173,784 | 1,080 | ||||||
HCP† (A) | 219,050 | 7,881 | ||||||
Host Hotels & Resorts† (A) | 613,629 | 8,885 | ||||||
Hudson Pacific Properties† | 35,525 | 582 | ||||||
Kimco Realty† (A) | 374,300 | 5,895 | ||||||
Land Securities Group (United Kingdom)† | 160,915 | 1,624 | ||||||
Liberty Property Trust† (A) | 57,700 | 1,841 | ||||||
Macerich† (A) | 124,482 | 5,347 | ||||||
Mack-Cali Realty† | 65,700 | 2,149 | ||||||
Pebblebrook Hotel Trust*† | 29,100 | 524 | ||||||
Plum Creek Timber† (A) | 170,200 | 6,008 | ||||||
Prologis† (A) | 289,450 | 3,410 | ||||||
Public Storage† (A) | 143,004 | 13,877 | ||||||
Regency Centers† (A) | 221,150 | 8,729 | ||||||
RioCan Real Estate Investment Trust† | 52,800 | 1,180 | ||||||
Saul Centers† | 62,100 | 2,605 | ||||||
Senior Housing Properties Trust† | 125,550 | 2,950 | ||||||
Simon Property Group† (A) | 146,963 | 13,629 | ||||||
SL Green Realty† (A) | 53,300 | 3,376 | ||||||
Sunstone Hotel Investors*† | 172,309 | 1,563 | ||||||
Taubman Centers† (A) | 65,900 | 2,940 | ||||||
Terreno Realty*† (A) | 30,900 | 563 | ||||||
UDR† (A) | 199,500 | 4,213 | ||||||
Unibail (France)† | 13,452 | 2,987 | ||||||
Ventas† (A) | 123,700 | 6,379 |
Description | Shares | Market Value ($ Thousands) | ||||||
Verde Realty PIPE* (B) (C) | 21,400 | $ | 404 | |||||
Vornado Realty Trust† (A) | 106,231 | 9,086 | ||||||
Westfield Group† | 203,584 | 2,416 | ||||||
208,173 | ||||||||
Health Care — 1.4% |
| |||||||
Brookdale Senior Living* | 130,800 | 2,133 | ||||||
Sun Healthcare Group* | 95,700 | 811 | ||||||
2,944 | ||||||||
Total Common Stock |
| 211,117 | ||||||
AFFILIATED PARTNERSHIP — 39.9% |
| |||||||
SEI Liquidity Fund, L.P., | 89,831,482 | 88,228 | ||||||
Total Affiliated Partnership |
| 88,228 | ||||||
CASH EQUIVALENT — 4.9% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%**†† | 10,931,925 | 10,932 | ||||||
Total Cash Equivalent |
| 10,932 | ||||||
Total Investments — 140.3% |
| $ | 310,277 | |||||
Percentages are based on Net Assets of $221,172 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $88,062 ($ Thousands). |
(B) | Securities considered restricted. The total market value of such securities as of September 30, 2010 was $404 ($ Thousands) and represented 0.18% of Net Assets. |
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2010 was $404 ($ Thousands) and represented 0.18% of Net Assets. |
(D) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $88,228 ($ Thousands). |
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS
Real Estate Fund (Concluded)
September 30, 2010
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 210,713 | $ | — | $ | 404 | $ | 211,117 | ||||||||
Affiliated Partnership | — | 88,228 | — | 88,228 | ||||||||||||
Cash Equivalent | 10,932 | — | — | 10,932 | ||||||||||||
Total Investments in Securities | $ | 221,645 | $ | 88,228 | $ | 404 | $ | 310,277 | ||||||||
The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2009 | $ | 451 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (47 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | — | |||
Ending balance as of September 30, 2010 | $ | 404 | ||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (47 | ) | |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
56 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 23.6% |
| |||||||
Consumer Discretionary — 0.8% | ||||||||
President and Fellows of Harvard College 3.700%, 04/01/13 | $ | 1,060 | $ | 1,133 | ||||
Financials — 19.0% | ||||||||
Ally Financial | ||||||||
0.291%, 12/19/12 (A) | 1,250 | 1,251 | ||||||
Bank of America MTN | ||||||||
0.490%, 06/22/12 (A) | 1,500 | 1,506 | ||||||
Citigroup | ||||||||
0.867%, 08/25/36 (A) | 1,500 | 954 | ||||||
Citigroup Funding | ||||||||
0.805%, 04/30/12 (A) | 375 | 377 | ||||||
0.246%, 06/03/11 (A) | 375 | 375 | ||||||
General Electric Capital MTN | ||||||||
1.800%, 03/11/11 | 2,500 | 2,517 | ||||||
0.292%, 12/21/12 (A) | 5,150 | 5,152 | ||||||
Goldman Sachs Group | ||||||||
1.700%, 03/15/11 | 3,180 | 3,201 | ||||||
ILFC E-Capital Trust I | ||||||||
5.900%, 12/21/65 (A) (B) | 1,000 | 655 | ||||||
JPMorgan Chase Capital XXI, Ser U | ||||||||
1.416%, 02/02/37 (A) | 1,300 | 930 | ||||||
Liberty Property L.P. | ||||||||
7.250%, 03/15/11‡ | 1,000 | 1,023 | ||||||
Mellon Funding | ||||||||
0.526%, 05/15/14 (A) | 900 | 886 | ||||||
Merrill Lynch | ||||||||
1.052%, 09/15/36 (A) | 700 | 490 | ||||||
Monumental Global Funding III | ||||||||
0.726%, 01/15/14 (A) (B) | 900 | 862 | ||||||
Morgan Stanley | ||||||||
0.691%, 02/10/12 (A) | 1,150 | 1,155 | ||||||
State Street | ||||||||
0.575%, 04/30/12 (A) | 615 | 615 | ||||||
State Street Bank and Trust | ||||||||
0.492%, 09/15/11 (A) | 960 | 963 | ||||||
State Street Capital Trust IV | ||||||||
1.292%, 06/15/37 (A) | 375 | 270 | ||||||
Unitrin | ||||||||
6.000%, 05/15/17 | 670 | 690 | ||||||
4.875%, 11/01/10 | 1,000 | 1,002 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Western Union | ||||||||
5.400%, 11/17/11 | $ | 1,175 | $ | 1,227 | ||||
26,101 | ||||||||
Health Care — 0.7% | ||||||||
UnitedHealth Group | ||||||||
1.718%, 02/07/11 (A) | 1,000 | 1,005 | ||||||
Industrials — 0.4% | ||||||||
Continental Airlines, Ser 061G | ||||||||
0.646%, 06/02/13 (A) | 569 | 518 | ||||||
Materials — 1.0% | ||||||||
Berry Plastics | ||||||||
5.276%, 02/15/15 (A) | 540 | 509 | ||||||
NewPage | ||||||||
11.375%, 12/31/14 | 480 | 434 | ||||||
Verso Paper Holdings | ||||||||
11.500%, 07/01/14 | 400 | 438 | �� | |||||
1,381 | ||||||||
Telecommunication Services — 1.2% | ||||||||
Corning | ||||||||
6.050%, 06/15/15 | 400 | 403 | ||||||
Telecom Italia Capital | ||||||||
1.135%, 07/18/11 (A) | 550 | 548 | ||||||
Vodafone Group PLC | ||||||||
0.584%, 02/27/12 (A) | 650 | 650 | ||||||
1,601 | ||||||||
Utilities — 0.5% | ||||||||
Southern, Ser A | ||||||||
5.300%, 01/15/12 | 665 | 701 | ||||||
Total Corporate Obligations | 32,440 | |||||||
LOAN PARTICIPATIONS — 23.5% |
| |||||||
Affinion Group Holdings | ||||||||
5.000%, 10/08/16 | 498 | 487 | ||||||
Allison Transmission | ||||||||
3.050%, 08/07/14 | 224 | 210 | ||||||
3.010%, 08/07/14 | 639 | 598 | ||||||
Aramark | ||||||||
2.164%, 01/26/14 | 445 | 423 | ||||||
Aramark LC-1 Facility Deposits | ||||||||
0.106%, 01/26/14 | 32 | 31 | ||||||
Asurion, 1st Lien Term Loan | ||||||||
3.398%, 07/03/14 | 96 | 92 | ||||||
3.258%, 07/03/14 | 262 | 251 | ||||||
3.257%, 07/03/14 | 310 | 297 | ||||||
BBN Acquisitions | ||||||||
5.000%, 09/14/15 | 456 | 457 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Biomet | ||||||||
3.262%, 03/25/15 | $ | 57 | $ | 55 | ||||
3.260%, 03/25/15 | 470 | 456 | ||||||
3.260%, 03/25/15 | 24 | 23 | ||||||
Blount International | ||||||||
6.250%, 07/29/16 | 350 | 349 | ||||||
Booz Allen Hamilton, Tranche B | ||||||||
7.500%, 07/31/15 | 136 | 136 | ||||||
Burlington Coat Factory | ||||||||
2.540%, 05/28/13 | 394 | 378 | ||||||
2.530%, 05/28/13 | 390 | 374 | ||||||
Calpine Corporation | ||||||||
3.415%, 03/29/14 | 467 | 456 | ||||||
CDW Corporation | ||||||||
4.257%, 10/12/14 | 349 | 321 | ||||||
Cedar Fair | ||||||||
5.500%, 12/15/16 | 439 | 442 | ||||||
Celanese Holdings | ||||||||
2.284%, 04/02/14 | 377 | 370 | ||||||
Cengage Learning Holdings | ||||||||
3.030%, 06/28/14 | 739 | 662 | ||||||
Ceridian | ||||||||
3.260%, 11/08/14 | 500 | 449 | ||||||
CF Industries Holdings, Term Loan B-1 | ||||||||
4.500%, 04/05/15 | 145 | 146 | ||||||
Charter Communications Holding, Term B Loan | ||||||||
2.260%, 03/15/14 | 76 | 74 | ||||||
Charter Communications Holding, Term C Loan | ||||||||
3.540%, 09/06/16 | 614 | 598 | ||||||
Cinemark | ||||||||
2.150%, 10/05/13 | 152 | 147 | ||||||
2.050%, 10/05/13 | 295 | 287 | ||||||
2.010%, 10/05/13 | 87 | 85 | ||||||
CIT Group, Term Loan 2-A | ||||||||
0.000%, 08/11/15 (H) | 200 | 201 | ||||||
Clear Channel | ||||||||
3.910%, 01/29/16 | 466 | 366 | ||||||
Community Health Systems | ||||||||
2.549%, 07/25/14 | 671 | 637 | ||||||
Community Health Systems, Delayed Draw | ||||||||
2.549%, 07/25/14 | 23 | 22 | ||||||
Dana Corporation | ||||||||
4.790%, 01/31/15 | 8 | 8 | ||||||
4.780%, 01/31/15 | 117 | 116 | ||||||
4.740%, 01/31/15 | 69 | 68 | ||||||
4.700%, 01/31/15 | 146 | 144 | ||||||
4.510%, 01/31/15 | 87 | 86 | ||||||
Dynegy Holdings | ||||||||
4.020%, 04/02/13 | 814 | 804 | ||||||
Federal Mogul | ||||||||
2.198%, 12/29/14 | 588 | 517 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Federal Mogul, Term C Loan | ||||||||
2.198%, 12/28/15 | $ | 300 | $ | 264 | ||||
Fidelity National Information Services | ||||||||
5.250%, 07/18/16 | 420 | 423 | ||||||
Flextronics International, Term Loan A-2 | ||||||||
2.510%, 10/01/14 | 330 | 310 | ||||||
Flextronics International, Term Loan A-3 | ||||||||
2.509%, 10/01/14 | 384 | 362 | ||||||
Graham Packaging | ||||||||
6.000%, 08/09/16 | 250 | 252 | ||||||
Graphic Packaging International, Incremental Term Loan | ||||||||
3.283%, 05/16/14 | 281 | 276 | ||||||
3.278%, 05/16/14 | 170 | 168 | ||||||
3.276%, 05/16/14 | 47 | 47 | ||||||
Hanesbrands, Term B Loan | ||||||||
5.250%, 12/10/15 | 232 | 234 | ||||||
Harrah’s Operation, Tranche B-2 | ||||||||
3.498%, 01/28/15 | 807 | 694 | ||||||
HCA, Tranche B | ||||||||
2.783%, 11/18/13 | 564 | 542 | ||||||
Hertz LOC | ||||||||
2.020%, 12/21/12 | 85 | 83 | ||||||
Hertz, Term B Loan | ||||||||
2.020%, 12/21/12 | 109 | 106 | ||||||
2.010%, 12/21/12 | 351 | 344 | ||||||
Hexion Specialty Chemical, | ||||||||
2.813%, 05/05/13 | 317 | 303 | ||||||
Hexion Specialty Chemical, | ||||||||
2.813%, 05/05/13 | 140 | 134 | ||||||
Hub International Ltd., Delayed Draw | ||||||||
3.033%, 06/13/14 | 131 | 124 | ||||||
Hub International Ltd., Initial Term Loan | ||||||||
3.033%, 06/13/14 | 583 | 549 | ||||||
Iasis Healthcare LOC | ||||||||
2.347%, 03/15/14 | 15 | 15 | ||||||
Iasis Healthcare, Delayed Draw | ||||||||
2.256%, 03/15/14 | 56 | 54 | ||||||
Iasis Healthcare, Term B Loan | ||||||||
2.256%, 03/15/14 | 162 | 156 | ||||||
IMS Health, Term B Loan | ||||||||
5.250%, 02/26/16 | 198 | 199 | ||||||
Infor Enterprise Solutions | ||||||||
6.020%, 07/28/12 | 324 | 290 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.510%, 03/02/14 | 33 | 21 | ||||||
Infor Global Enterprise Solutions, Tranche 1 | ||||||||
6.510%, 03/02/14 | 169 | 109 | ||||||
Infor Global Solutions | ||||||||
6.020%, 07/28/15 | 169 | 151 |
58 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Infor Global Solutions, 2nd Lien | ||||||||
6.510%, 03/02/14 | $ | 329 | $ | 213 | ||||
Integra Telecom, Term B Loan | ||||||||
9.250%, 04/07/15 | 678 | 678 | ||||||
Intelsat Bermuda | ||||||||
3.533%, 02/01/14 | 500 | 469 | ||||||
Intersil, Term B Loan | ||||||||
4.750%, 04/26/16 | 250 | 251 | ||||||
Inventiv Health | ||||||||
6.500%, 05/07/16 | 249 | 249 | ||||||
Inverness Medical | ||||||||
4.510%, 06/26/15 | 560 | 540 | ||||||
JHT Holding, 2nd Lien | ||||||||
12.500%, 12/21/12 (C) (D) | 39 | 38 | ||||||
Lamar Media | ||||||||
4.250%, 10/01/16 | 448 | 449 | ||||||
Live Nation, Term B Loan | ||||||||
4.500%, 10/20/16 | 249 | 246 | ||||||
Meg Energy | ||||||||
6.000%, 04/03/16 | 553 | 554 | ||||||
Nalco, Term B Loan | ||||||||
6.500%, 05/06/16 | 553 | 551 | ||||||
Nielson Finance | ||||||||
2.258%, 12/31/17 | 778 | 744 | ||||||
NRG Holdings LOC | ||||||||
0.433%, 02/01/13 | 195 | 189 | ||||||
NRG Holdings, Term B Loan | ||||||||
2.033%, 02/01/13 | 293 | 285 | ||||||
Reable Therapeutics, Term B Loan | ||||||||
3.260%, 05/20/14 | 497 | 474 | ||||||
Regal Cinemas | ||||||||
3.789%, 11/19/16 | 406 | 404 | ||||||
Re/Max International, LLC | ||||||||
5.500%, 04/16/16 | 499 | 496 | ||||||
Reynolds Group | ||||||||
5.750%, 05/16/16 | 497 | 498 | ||||||
Sally Holdings, Term B Loan | ||||||||
2.510%, 11/16/13 | 488 | 478 | ||||||
Sensata Technology | ||||||||
2.231%, 04/27/13 | 534 | 516 | ||||||
Sirva Revolving Credit Loan Exit Finance | ||||||||
13.000%, 05/12/12 | 79 | 53 | ||||||
10.530%, 05/12/12 | 201 | 134 | ||||||
Sirva Worldwide | ||||||||
0.500%, 05/12/12 (E) | 506 | 167 | ||||||
Solutia, 1st Lien Term Loan | ||||||||
4.750%, 03/02/17 | 164 | 164 | ||||||
Styron | ||||||||
7.500%, 05/21/16 | 494 | 500 | ||||||
Sungard Data Systems | ||||||||
4.043%, 02/28/16 | 498 | 488 | ||||||
3.970%, 02/28/16 | 35 | 34 | ||||||
Supervalu | ||||||||
1.510%, 06/02/12 | 349 | 337 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telesat Canada U.S., Term I Loan | ||||||||
3.260%, 10/31/14 | $ | 321 | $ | 312 | ||||
Telesat Canada U.S., Term II Loan | ||||||||
3.260%, 10/31/14 | 28 | 27 | ||||||
Texas Competitive Electric Holdings, Tranche B-2 | ||||||||
4.066%, 10/10/14 | 386 | 300 | ||||||
3.789%, 10/10/14 | 2 | 1 | ||||||
3.758%, 10/10/14 | 330 | 256 | ||||||
Travelport LLC, LOC | ||||||||
3.033%, 08/23/13 | 57 | 55 | ||||||
Travelport LLC, Term B Loan | ||||||||
2.760%, 08/23/13 | 500 | 480 | ||||||
Universal Health Services, Term B Loan | ||||||||
0.000%, 05/16/16 (H) | 350 | 351 | ||||||
Univision Communications | ||||||||
2.506%, 09/29/14 | 391 | 344 | ||||||
UPC Broadband Holding B.V. | ||||||||
4.250%, 12/31/17 | 250 | 242 | ||||||
Valeant Pharmaceuticals, Term B Loan | ||||||||
0.000%, 06/21/16 (H) | 100 | 101 | ||||||
Vanguard Health | ||||||||
5.000%, 01/15/16 | 399 | 396 | ||||||
Verint Systems | ||||||||
5.250%, 05/25/14 | 639 | 626 | ||||||
Waiccs Las Vegas 3 LLC, 2nd Lien | ||||||||
0.000%, 07/30/10 (H) (I) | 2,000 | — | ||||||
Warner Chilcott, Term Loan A-1 | ||||||||
6.000%, 10/30/14 | 125 | 124 | ||||||
Warner Chilcott, Term Loan B-1 | ||||||||
6.250%, 04/30/15 | 61 | 61 | ||||||
Warner Chilcott, Term Loan B-2 | ||||||||
6.250%, 04/30/15 | 101 | 101 | ||||||
WideOpenWest Finance, 1st Lien | ||||||||
2.757%, 06/30/14 | 435 | 393 | ||||||
Total Loan Participations (Cost $33,245) ($ Thousands) | 32,202 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 22.2% |
| |||||||
FHLB | ||||||||
5.375%, 08/19/11 | 3,575 | 3,733 | ||||||
1.375%, 05/16/11 | 7,000 | 7,047 | ||||||
0.760%, 07/19/11 | 5,000 | 5,017 | ||||||
0.750%, 03/18/11 | 2,000 | 2,005 | ||||||
FNMA | ||||||||
5.125%, 04/15/11 | 750 | 770 | ||||||
1.750%, 03/23/11 | 7,500 | 7,554 | ||||||
1.375%, 04/28/11 | 1,560 | 1,570 | ||||||
0.422%, 07/12/11 (F) | 2,750 | 2,741 | ||||||
Total U.S. Government Agency Obligations | 30,437 | |||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 14.9% |
| |||||||
Agency Mortgage-Backed Obligations — 8.8% |
| |||||||
FHLMC | ||||||||
6.000%, 09/01/26 | $ | 499 | $ | 539 | ||||
5.625%, 03/15/11 | 2,000 | 2,049 | ||||||
2.750%, 04/11/11 | 1,813 | 1,837 | ||||||
FNMA | ||||||||
6.500%, 09/01/26 | 311 | 341 | ||||||
6.000%, 01/01/27 | 1,354 | 1,467 | ||||||
FNMA TBA | ||||||||
6.500%, 10/01/37 | 2,500 | 2,726 | ||||||
6.000%, 11/01/14 to 11/01/26 | 2,938 | 3,176 | ||||||
12,135 | ||||||||
Non-Agency Mortgage-Backed Obligations — 6.1% |
| |||||||
American Tower Trust, Ser 1A, Cl D | ||||||||
5.957%, 04/15/37 (B) | 625 | 666 | ||||||
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 | ||||||||
3.580%, 11/25/34 (A) | 217 | 206 | ||||||
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 | ||||||||
2.992%, 04/25/35 (A) | 664 | 521 | ||||||
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 | ||||||||
4.780%, 10/25/35 (A) | 483 | 403 | ||||||
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2 | ||||||||
0.530%, 12/25/36 (A) (B) | 430 | 287 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A | ||||||||
2.987%, 09/25/34 (A) | 151 | 133 | ||||||
Commercial Mortgage Pass—Through Certificates, Ser 2006-FL12, Cl A2 | ||||||||
0.357%, 12/15/20 (A) (B) | 944 | 898 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C | ||||||||
0.488%, 11/15/21 (A) (B) | 810 | 584 | ||||||
Impac CMB Trust, Ser 2005-1, Cl 1A1 | ||||||||
0.780%, 04/25/35 (A) | 311 | 239 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1 | ||||||||
4.540%, 10/25/36 (A) | 815 | 647 | ||||||
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A | ||||||||
3.147%, 12/25/34 (A) | 310 | 260 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.516%, 12/25/35 (A) | 1,008 | 721 | ||||||
Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1 | ||||||||
3.669%, 02/11/36 | 452 | 455 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sequoia Mortgage Trust, Ser 2004-10, Cl A2 | ||||||||
0.577%, 11/20/34 (A) | $ | 228 | $ | 196 | ||||
Sequoia Mortgage Trust, Ser 2004-11, Cl A1 | ||||||||
0.557%, 12/20/34 (A) | 188 | 162 | ||||||
Sequoia Mortgage Trust, Ser 2005-2, Cl A1 | ||||||||
0.477%, 03/20/35 (A) | 101 | 84 | ||||||
Washington Mutual Mortgage Pass—Through Certificates, Ser 2006-AR2, Cl 1A1 | ||||||||
5.231%, 03/25/37 (A) | 466 | 382 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 | ||||||||
2.897%, 01/25/35 (A) | 479 | 456 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1 | ||||||||
2.867%, 02/25/35 (A) | 598 | 553 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR2, Cl 2A2 | ||||||||
2.875%, 03/25/35 (A) | 512 | 474 | ||||||
8,327 | ||||||||
Total Mortgage-Backed Securities (Cost $21,459) ($ Thousands) | 20,462 | |||||||
ASSET-BACKED SECURITIES — 10.9% |
| |||||||
Automotive — 3.5% |
| |||||||
Americredit Prime Automobile Receivable, Ser 2007-1, Cl D | ||||||||
5.620%, 09/08/14 | 775 | 778 | ||||||
Carmax Auto Owner Trust, Ser 2007-1, Cl C | ||||||||
5.530%, 07/15/13 | 190 | 194 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A2 | ||||||||
0.690%, 01/08/13 | 345 | 345 | ||||||
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A3A | ||||||||
5.000%, 02/08/12 | 107 | 107 | ||||||
Ford Credit Auto Owner Trust, Ser 2007-A, Cl C | ||||||||
5.800%, 02/15/13 | 515 | 542 | ||||||
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3 | ||||||||
2.790%, 08/15/13 | 500 | 509 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2006-1, Cl B | ||||||||
5.240%, 11/15/13 (B) | 1,550 | 1,560 | ||||||
Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A | ||||||||
5.040%, 01/17/12 | 30 | 30 |
60 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Merrill Auto Trust Securitization, Ser 2007-1, Cl C | ||||||||
5.960%, 12/15/13 | $ | 203 | $ | 204 | ||||
World Omni Automobile Lease Securitization Trust, Ser 2009-A, Cl A2 | ||||||||
1.020%, 01/16/12 | 540 | 541 | ||||||
4,810 | ||||||||
Credit Cards — 3.1% | ||||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A10, Cl A10 | ||||||||
5.150%, 06/16/14 | 490 | 510 | ||||||
Chase Issuance Trust, Ser 2009-A3, Cl A3 | ||||||||
2.400%, 06/17/13 | 480 | 486 | ||||||
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 | ||||||||
0.878%, 11/07/14 (A) | 1,100 | 1,093 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B | ||||||||
0.457%, 06/15/15 (A) | 1,150 | 1,105 | ||||||
MBNA Master Credit Card Trust, Ser 1997-B, Cl B | ||||||||
0.607%, 08/15/14 (A) | 1,000 | 986 | ||||||
4,180 | ||||||||
Mortgage Related Securities — 0.1% | ||||||||
New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ | ||||||||
0.550%, 03/25/35 (A) | 35 | 32 | ||||||
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 | ||||||||
5.611%, 01/25/37 (A) | 285 | 120 | ||||||
152 | ||||||||
Other Asset-Backed Securities — 4.2% | ||||||||
Ally Master Owner Trust, Ser 2010-1, Cl A | ||||||||
2.007%, 01/15/15 (A) (B) | 500 | 510 | ||||||
Babson CLO, Ser 2007-1A, Cl A1 | ||||||||
0.750%, 01/18/21 (A) (B) | 1,060 | 961 | ||||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||||
5.261%, 04/25/37 (B) | 2,200 | 2,200 | ||||||
GE Business Loan Trust, | ||||||||
1.257%, 11/15/31 (A) (B) | 77 | 62 | ||||||
GE Business Loan Trust, | ||||||||
0.477%, 12/15/32 (A) (B) | 115 | 99 | ||||||
GE Business Loan Trust, | ||||||||
0.737%, 12/15/32 (A) (B) | 86 | 53 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
GE Dealer Floorplan Master Note Trust, Ser 09-2A, Cl A | ||||||||
1.807%, 10/20/14 | $ | 500 | $ | 508 | ||||
Katonah, Ser 2005-7A, Cl B | ||||||||
0.796%, 11/15/17 (A) (B) | 700 | 509 | ||||||
Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A | ||||||||
5.362%, 10/20/28 (B) | 73 | 76 | ||||||
Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D | ||||||||
6.135%, 05/20/29 (B) | 447 | 364 | ||||||
Triton Container Finance LLC, Ser 2006-1A, Cl N | ||||||||
0.426%, 11/26/21 (A) (B) | 462 | 416 | ||||||
5,758 | ||||||||
Total Asset-Backed Securities (Cost $15,573) ($ Thousands) | 14,900 | |||||||
U.S. TREASURY OBLIGATION — 2.2% |
| |||||||
U.S. Treasury Notes | ||||||||
0.875%, 03/31/11 | 3,000 | 3,010 | ||||||
Total U.S. Treasury Obligation (Cost $3,006) ($ Thousands) | 3,010 | |||||||
COMMON STOCK — 0.0% | ||||||||
JHT Holding* | 4,002 | — | ||||||
Total Common Stock | — | |||||||
CASH EQUIVALENT — 4.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%†** | 5,615,858 | 5,616 | ||||||
Total Cash Equivalent | 5,616 | |||||||
REPURCHASE AGREEMENT — 0.9% |
| |||||||
Bank of America (G) | 1,300 | 1,300 | ||||||
Total Repurchase Agreement | 1,300 | |||||||
Total Investments — 102.3% | $ | 140,367 | ||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2010
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (23 | ) | Dec-2010 | $ | (4 | ) | ||||||
U.S. 2-Year Treasury Note | (40 | ) | Dec-2010 | (19 | ) | |||||||
U.S. 5-Year Treasury Note | 9 | Dec-2010 | — | |||||||||
U.S. Long Treasury Bond | (1 | ) | Dec-2010 | — | ||||||||
$ | (23 | ) | ||||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages are based on a Net Assets of $137,239 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2010. The date reported on the Schedule of Investments is the next reset date. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(C) | Securities considered restricted. The total value of such securities as of September 30, 2010 was $38 ($ Thousands) and represented 0.03% of Net Assets. |
(D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2010 was $38 ($ Thousands) and represented 0.03% of Net Assets. |
(E) | Unfunded bank loan. Interest rate not available. |
(F) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(G) | Tri-Party Repurchase Agreement |
(H) | Unsettled bank loan. |
(I) | Security in default on interest payments. |
Cl — Class
CLO — Collateralized Loan Obligation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FMAC — Freddie Mac
FNMA — Federal National Mortgage Association
Ltd. — Limited
LLC — Limited Liability Company
LOC — Letter of Credit
L.P. — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
Ser — Series
TBA — To Be Announced
Amounts designated as “—” are $O or have been rounded to $O
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 32,440 | $ | — | $ | 32,440 | ||||||||
Loan Participations | — | 31,863 | 339 | 32,202 | ||||||||||||
U.S. Government Agency Obligations | — | 30,437 | — | 30,437 | ||||||||||||
Mortgage-Backed Securities | — | 20,462 | — | 20,462 | ||||||||||||
Asset-Backed Securities | — | 14,391 | 509 | 14,900 | ||||||||||||
U.S. Treasury Obligation | 3,010 | — | — | 3,010 | ||||||||||||
Cash Equivalent | 5,616 | — | — | 5,616 | ||||||||||||
Repurchase Agreement | — | 1,300 | — | 1,300 | ||||||||||||
Total Investments in Securities | $ | 8,626 | $ | 130,893 | $ | 848 | $ | 140,367 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (23 | ) | $ | — | $ | — | $ | (23 | ) | ||||||
* | Futures contracts are valued at unrealized depreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Loan Participations | Asset- Backed Securities | |||||||
Beginning balance as of October 1, 2009 | $ | 29 | $ | 425 | ||||
Accrued discounts/premiums | (3 | ) | — | |||||
Realized gain/(loss) | 623 | (501 | ) | |||||
Change in unrealized appreciation/(depreciation) | (56 | ) | 604 | |||||
Net purchases/sales | (254 | ) | (19 | ) | ||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of September 30, 2010 | $ | 339 | $ | 509 | ||||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | 16 | $ | 110 | ||||
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
62 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 46.4% |
| |||||||
Agency Mortgage-Backed Obligations — 33.7% |
| |||||||
FHLMC | ||||||||
7.500%, 11/01/29 to 09/01/32 | $ | 1,432 | $ | 1,635 | ||||
7.000%, 01/01/11 to 01/01/32 | 293 | 330 | ||||||
6.500%, 06/01/17 to 09/01/38 | 13,294 | 14,594 | ||||||
6.000%, 03/01/20 to 09/01/38 | 40,495 | 44,008 | ||||||
5.500%, 02/01/14 to 04/01/38 | 34,877 | 37,382 | ||||||
5.000%, 10/01/18 to 02/01/39 | 57,085 | 60,521 | ||||||
4.500%, 04/01/35 to 11/01/35 | 2,079 | 2,177 | ||||||
4.000%, 04/01/19 to 10/01/33 | 1,581 | 1,627 | ||||||
FHLMC ARM (A) | ||||||||
6.429%, 11/01/37 | 5 | 5 | ||||||
6.143%, 06/01/37 | 145 | 156 | ||||||
5.967%, 06/01/38 | 933 | 1,004 | ||||||
5.953%, 01/01/37 | 942 | 1,013 | ||||||
5.902%, 03/01/37 | 126 | 136 | ||||||
5.768%, 07/01/38 | 1,984 | 2,131 | ||||||
5.717%, 03/01/36 | 309 | 332 | ||||||
5.691%, 03/01/36 | 231 | 248 | ||||||
5.642%, 10/01/38 | 245 | 262 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/19 | 95 | 116 | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/23 | 1,772 | 2,000 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/28 | 1,123 | 1,257 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/31 | 320 | 343 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/32 | 2,989 | 3,279 | ||||||
FHLMC CMO, Ser 2002-2479, Cl PG | ||||||||
6.000%, 08/15/32 | 856 | 933 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2002-2542, Cl ES | ||||||||
5.000%, 12/15/17 | $ | 79 | $ | 86 | ||||
FHLMC CMO, Ser 2003-2558, Cl BD | ||||||||
5.000%, 01/15/18 | 612 | 681 | ||||||
FHLMC CMO, Ser 2003-2590, Cl BY | ||||||||
5.000%, 03/15/18 | 251 | 280 | ||||||
FHLMC CMO, Ser 2003-2676, Cl NG | ||||||||
5.500%, 09/15/31 | 387 | 405 | ||||||
FHLMC CMO, Ser 2003-2676, Cl CY | ||||||||
4.000%, 09/15/18 | 716 | 770 | ||||||
FHLMC CMO, Ser 2003-2694, Cl QG | ||||||||
4.500%, 01/15/29 | 95 | 99 | ||||||
FHLMC CMO, Ser 2004-2727, Cl PW | ||||||||
3.570%, 06/15/29 | 96 | 98 | ||||||
FHLMC CMO, Ser 2004-2765, Cl CT | ||||||||
4.000%, 03/15/19 | 414 | 451 | ||||||
FHLMC CMO, Ser 2004-2843, Cl BC | ||||||||
5.000%, 08/15/19 | 921 | 1,029 | ||||||
FHLMC CMO, Ser 2004-2875, Cl HB | ||||||||
4.000%, 10/15/19 | 163 | 179 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.665%, 03/15/20 (A) | 2,641 | 3,090 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/35 | 1,236 | 1,349 | ||||||
FHLMC CMO, Ser 2005-3028, Cl PG | ||||||||
5.500%, 09/15/35 | 554 | 598 | ||||||
FHLMC CMO, Ser 2005-3035, Cl PA | ||||||||
5.500%, 09/15/35 | 250 | 280 | ||||||
FHLMC CMO, Ser 2008-3473, Cl DH | ||||||||
5.500%, 07/15/38 | 2,051 | 2,267 | ||||||
FHLMC CMO, Ser 2009-3598, Cl MA | ||||||||
4.500%, 11/15/38 | 797 | 845 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CA | ||||||||
4.000%, 12/15/36 | 473 | 505 | ||||||
FHLMC CMO, Ser 2957, Cl PT | ||||||||
5.500%, 11/15/33 | 4,051 | 4,342 | ||||||
FHLMC CMO, Ser 3631, Cl PA | ||||||||
4.000%, 02/15/40 | 1,784 | 1,902 | ||||||
FHLMC CMO, Ser 3652, Cl AP | ||||||||
4.500%, 03/15/40 | 3,615 | 3,868 | ||||||
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2009-K003, Cl AAB | ||||||||
4.768%, 05/25/18 | 857 | 943 | ||||||
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2010-K005, Cl A2 | ||||||||
4.317%, 11/25/19 | 569 | 618 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2010-K007, Cl A1 | ||||||||
3.342%, 12/25/19 | $ | 904 | $ | 954 | ||||
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2010-K008, Cl A1 | ||||||||
2.746%, 12/25/19 | 1,625 | 1,659 | ||||||
FHLMC TBA | ||||||||
5.500%, 10/15/37 | 2,500 | 2,652 | ||||||
4.500%, 11/14/35 to 10/11/37 | 21,500 | 22,339 | ||||||
4.000%, 10/14/40 | 5,400 | 5,537 | ||||||
FNMA | ||||||||
7.000%, 09/01/26 to 01/01/39 | 4,640 | 5,247 | ||||||
6.500%, 05/01/17 to 09/01/38 | 6,126 | 6,699 | ||||||
6.000%, 10/01/19 to 12/01/37 | 89,922 | 98,198 | ||||||
5.500%, 06/01/14 to 10/25/40 | 108,587 | 116,866 | ||||||
5.000%, 01/01/20 to 02/01/39 | 22,114 | 23,415 | ||||||
4.500%, 05/01/24 to 04/01/38 | 21,850 | 22,989 | ||||||
4.000%, 08/01/20 | 1,704 | 1,797 | ||||||
3.500%, 07/01/25 to 11/20/40 | 2,088 | 2,150 | ||||||
3.000%, 10/20/40 | 578 | 598 | ||||||
FNMA ARM (A) | ||||||||
6.266%, 09/01/37 | 222 | 240 | ||||||
6.257%, 10/01/36 | 185 | 199 | ||||||
6.124%, 12/01/36 | 224 | 241 | ||||||
6.074%, 11/01/37 | 215 | 232 | ||||||
6.042%, 09/01/37 | 112 | 120 | ||||||
6.028%, 01/01/37 | 357 | 384 | ||||||
6.013%, 10/01/37 | 147 | 158 | ||||||
5.979%, 07/01/37 | 291 | 313 | ||||||
5.977%, 04/01/37 | 334 | 359 | ||||||
5.962%, 10/01/37 | 601 | 646 | ||||||
5.957%, 01/01/37 | 483 | 519 | ||||||
5.920%, 07/01/37 | 473 | 509 | ||||||
5.910%, 03/01/37 | 269 | 289 | ||||||
5.906%, 09/01/37 | 228 | 246 | ||||||
5.878%, 02/01/37 | 272 | 292 | ||||||
5.837%, 09/01/37 | 445 | 478 | ||||||
5.681%, 10/01/37 | 243 | 261 | ||||||
5.610%, 02/01/39 | 640 | 686 | ||||||
2.441%, 11/01/35 | 914 | 937 | ||||||
2.440%, 10/01/35 | 5,831 | 5,980 | ||||||
2.428%, 11/01/35 | 826 | 847 | ||||||
2.425%, 11/01/35 | 896 | 918 | ||||||
2.419%, 11/01/35 | 811 | 831 | ||||||
2.415%, 11/01/35 | 3,062 | 3,135 | ||||||
2.411%, 10/01/35 | 505 | 520 | ||||||
2.404%, 10/01/35 to 11/01/35 | 5,219 | 5,337 | ||||||
FNMA CMO STRIPS, Ser 360, Cl 2, IO | ||||||||
5.000%, 08/01/35 | 14,631 | 1,954 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/29 | 2,298 | 2,466 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2001-81, Cl HE | ||||||||
6.500%, 01/25/32 | $ | 5,020 | $ | 5,661 | ||||
FNMA CMO, Ser 2001-T2, Cl B | ||||||||
6.022%, 11/25/10 | 4,500 | 4,518 | ||||||
FNMA CMO, Ser 2002-94, Cl HQ | ||||||||
4.500%, 01/25/18 | 782 | 842 | ||||||
FNMA CMO, Ser 2003-108, Cl BE | ||||||||
4.000%, 11/25/18 | 554 | 599 | ||||||
FNMA CMO, Ser 2003-125, Cl AY | ||||||||
4.000%, 12/25/18 | 178 | 193 | ||||||
FNMA CMO, Ser 2003-3, Cl HJ | ||||||||
5.000%, 02/25/18 | 6 | 7 | ||||||
FNMA CMO, Ser 2004-3, Cl HT | ||||||||
4.000%, 02/25/19 | 3 | 3 | ||||||
FNMA CMO, Ser 2004-60, Cl PA | ||||||||
5.500%, 04/25/34 | 490 | 527 | ||||||
FNMA CMO, Ser 2004-81, Cl KE | ||||||||
4.500%, 11/25/19 | 177 | 198 | ||||||
FNMA CMO, Ser 2005-58, Cl MA | ||||||||
5.500%, 07/25/35 | 435 | 490 | ||||||
FNMA CMO, Ser 2006-10, Cl FD | ||||||||
0.693%, 03/25/36 (A) | 1,041 | 1,038 | ||||||
FNMA CMO, Ser 2006-112, Cl ST, IO | ||||||||
6.357%, 11/25/36 (A) | 11,431 | 1,355 | ||||||
FNMA CMO, Ser 2007-113, Cl DB | ||||||||
4.500%, 12/25/22 | 1,197 | 1,340 | ||||||
FNMA CMO, Ser 2007-30, Cl MA | ||||||||
4.250%, 02/25/37 | 3 | 3 | ||||||
FNMA CMO, Ser 2007-39, Cl NA | ||||||||
4.250%, 01/25/37 | 10 | 10 | ||||||
FNMA CMO, Ser 2007-74, Cl A | ||||||||
5.000%, 04/25/34 | 463 | 480 | ||||||
FNMA CMO, Ser 2007-77, Cl MH | ||||||||
6.000%, 12/25/36 | 1,910 | 2,052 | ||||||
FNMA CMO, Ser 2008-22, Cl SI, IO | ||||||||
6.174%, 03/25/37 (A) | 13,715 | 1,787 | ||||||
FNMA CMO, Ser 2009-110, Cl DA | ||||||||
4.500%, 01/25/40 | 957 | 1,038 | ||||||
FNMA CMO, Ser 2009-31, Cl A2 | ||||||||
4.287%, 07/25/19 | 1,339 | 1,451 | ||||||
FNMA CMO, Ser 2009-71, Cl JT | ||||||||
6.000%, 06/25/36 | 584 | 636 | ||||||
FNMA CMO, Ser 2009-78, Cl J | ||||||||
5.000%, 09/25/19 | 1,677 | 1,795 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/37 (B) | 8,370 | 7,307 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/39 | 1,049 | 1,127 | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/19 | 1,437 | 1,519 | ||||||
FNMA CMO, Ser 2010-15, Cl KA | ||||||||
4.000%, 03/25/39 | 1,145 | 1,212 |
64 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2010-54, Cl EA | ||||||||
4.500%, 06/25/40 | $ | 2,834 | $ | 2,977 | ||||
FNMA CMO, Ser 2010-58, Cl MA | ||||||||
5.500%, 12/25/38 | 2,735 | 3,003 | ||||||
FNMA CMO, Ser 2010-M3, Cl A2 | ||||||||
4.450%, 09/25/19 | 467 | 509 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/20 (A) | 3,359 | 3,630 | ||||||
FNMA TBA | ||||||||
6.000%, 10/01/37 | 23,100 | 24,811 | ||||||
5.500%, 10/01/38 | 6,000 | 6,378 | ||||||
5.000%, 10/01/38 | 500 | 526 | ||||||
4.500%, 10/20/21 to 10/01/39 | 17,250 | 18,020 | ||||||
3.500%, 10/25/25 to 11/01/40 | 51,375 | 52,921 | ||||||
GNMA | ||||||||
8.000%, 11/15/29 to 09/15/30 | 113 | 133 | ||||||
7.500%, 03/15/29 to 01/15/32 | 274 | 314 | ||||||
7.000%, 08/15/13 | 41 | 43 | ||||||
6.500%, 04/15/26 to 09/15/35 | 10,506 | 11,817 | ||||||
6.000%, 03/15/14 to 10/15/35 | 16,126 | 17,669 | ||||||
5.000%, 07/20/40 to 09/20/40 | 17,760 | 18,975 | ||||||
3.000%, 11/20/40 to 01/20/41 | 739 | 760 | ||||||
GNMA ARM (A) | ||||||||
4.000%, 07/20/40 | 1,154 | 1,220 | ||||||
3.000%, 08/20/40 | 1,086 | 1,123 | ||||||
GNMA CMO, Ser 2006-37, Cl JG | ||||||||
5.000%, 07/20/36 | 685 | 750 | ||||||
GNMA CMO, Ser 2009-61, Cl WQ | ||||||||
5.993%, 11/16/35 (A) | 1,482 | 226 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.133%, 01/16/40 (A) | 24,817 | 3,580 | ||||||
GNMA CMO, Ser 2010-47, Cl VS | ||||||||
5.993%, 11/16/37 (A) | 1,048 | 144 | ||||||
GNMA CMO, Ser 2010-87, Cl SK | ||||||||
6.243%, 07/16/40 (A) | 2,029 | 313 | ||||||
GNMA TBA | ||||||||
6.000%, 12/01/33 | 100 | 108 | ||||||
5.000%, 10/01/40 | 100 | 106 | ||||||
4.500%, 10/15/39 to 12/15/39 | 12,500 | 13,129 | ||||||
4.000%, 11/01/35 to 10/15/40 | 31,025 | 32,050 | ||||||
3.500%, 11/15/40 | 600 | 604 | ||||||
793,398 | ||||||||
Non-Agency Mortgage-Backed Obligations — 12.7% |
| |||||||
American Home Mortgage Assets, Ser 2007-2, Cl A1 | ||||||||
0.472%, 03/25/47 (A) | 8,698 | 4,732 | ||||||
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A | ||||||||
2.696%, 06/25/45 (A) | 4,143 | 3,541 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | ||||||||
5.350%, 11/25/45 (A) | $ | 3,835 | $ | 2,995 | ||||
Asset Securitization, Ser 1996-D3, Cl A2 | ||||||||
7.778%, 10/13/26 (A) | 682 | 703 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B | ||||||||
6.309%, 06/11/35 | 414 | 435 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 | ||||||||
4.668%, 07/10/43 | 4,000 | 4,201 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4 | ||||||||
5.350%, 09/10/47 (A) | 410 | 451 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2006-2, Cl A1 | ||||||||
5.611%, 05/10/45 | 641 | 648 | ||||||
Banc of America Commercial Mortgage, Ser 2002-2, Cl B | ||||||||
5.271%, 07/11/43 | 225 | 233 | ||||||
Banc of America Commercial Mortgage, Ser 2002-2, Cl E | ||||||||
7.634%, 09/15/32 (A) | 263 | 262 | ||||||
Banc of America Commercial Mortgage, Ser 2004-6, Cl A3 | ||||||||
4.512%, 12/10/42 | 315 | 325 | ||||||
Banc of America Commercial Mortgage, Ser 2005-4, Cl A5A | ||||||||
4.933%, 07/10/45 | 764 | 811 | ||||||
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4 | ||||||||
5.115%, 10/10/45 (A) | 380 | 417 | ||||||
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4 | ||||||||
5.414%, 09/10/47 | 1,359 | 1,448 | ||||||
Banc of America Commercial Mortgage, Ser 2007-3, Cl A3 | ||||||||
5.837%, 06/10/49 (A) | 1,360 | 1,439 | ||||||
Banc of America Funding, Ser 2003-1, Cl A1 | ||||||||
6.000%, 05/20/33 | 38 | 40 | ||||||
Banc of America Funding, Ser 2005-B, Cl 2A1 | ||||||||
3.018%, 04/20/35 (A) | 4,202 | 3,091 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A | ||||||||
5.268%, 05/25/34 (A) | 2,841 | 2,808 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 | ||||||||
6.480%, 02/15/35 | $ | 76 | $ | 77 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-PBW1, Cl A2 | ||||||||
4.720%, 11/11/35 (A) | 537 | 564 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | 129 | 136 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||||
4.240%, 08/13/39 (A) | 146 | 150 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR4, Cl A3 | ||||||||
5.468%, 06/11/41 (A) | 1,133 | 1,245 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/41 | 390 | 399 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A3 | ||||||||
5.116%, 02/11/41 (A) | 823 | 888 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.149%, 10/12/42 (A) | 3,250 | 3,593 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW16, Cl A1 | ||||||||
5.593%, 06/11/40 | 219 | 225 | ||||||
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 | ||||||||
5.229%, 12/25/35 (A) | 12,400 | 11,037 | ||||||
Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3 | ||||||||
4.900%, 12/25/35 (A) | 6,706 | 6,244 | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/32 (A) | 1,267 | 1,383 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/34 (C) | 82 | 85 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B | ||||||||
6.304%, 07/16/34 (C) | 826 | 918 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2004-LB2A, Cl A4 | ||||||||
4.715%, 03/10/39 | 479 | 506 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 | ||||||||
5.500%, 10/25/33 | 1,256 | 1,310 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/34 | 390 | 407 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.521%, 08/25/35 (A) | 487 | 258 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 | ||||||||
0.657%, 11/25/35 (A) | $ | 6,441 | $ | 3,620 | ||||
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 | ||||||||
0.670%, 11/20/35 (A) | 8,861 | 5,035 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF | ||||||||
0.747%, 09/25/35 (A) (C) | 4,056 | 3,433 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B | ||||||||
5.253%, 08/15/36 (A) | 518 | 545 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 1,850 | 1,924 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2007-C1, Cl AAB | ||||||||
5.336%, 02/15/40 | 306 | 318 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2007-C2, Cl A2 | ||||||||
5.448%, 01/15/49 (A) | 450 | 462 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2007-C5, Cl A3 | ||||||||
5.694%, 09/15/40 (A) | 688 | 718 | ||||||
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||||
5.183%, 11/15/36 | 1,008 | 1,066 | ||||||
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1 | ||||||||
4.485%, 11/15/36 | 10 | 11 | ||||||
CS First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
3.030%, 10/25/33 (A) | 3,088 | 2,883 | ||||||
CS First Boston Mortgage Securities, Ser 2003-CPN1, Cl A2 | ||||||||
4.597%, 03/15/35 | 509 | 538 | ||||||
CS First Boston Mortgage Securities, Ser 2005-C1, Cl A4 | ||||||||
5.014%, 02/15/38 (A) | 576 | 619 | ||||||
CS First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/38 | 106 | 110 | ||||||
CS First Boston Mortgage Securities, Ser C2, Cl A4 | ||||||||
4.832%, 04/15/37 | 703 | 736 | ||||||
Deutsche Mortgage Securities, Ser 2004-4, Cl 7AR2 | ||||||||
0.793%, 06/20/34 (A) | 856 | 693 | ||||||
Developers Diversified Realty, Ser 2009-DDR1, Cl A | ||||||||
3.807%, 10/14/22 (C) | 985 | 1,045 | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | ||||||||
0.748%, 11/19/44 (A) | 2,227 | 849 |
66 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FFCA Secured Lending, Ser 1999-1A, Cl M18, IO | ||||||||
1.190%, 09/18/25 (A) (C) | $ | 863 | $ | 8 | ||||
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B | ||||||||
6.417%, 12/12/33 | 540 | 562 | ||||||
Fund America Investors II, Ser 1993-A, Cl A2 | ||||||||
5.481%, 06/25/23 (A) | 160 | 155 | ||||||
GE Capital Assurance, Ser 1, Cl A4 | ||||||||
5.254%, 05/12/35 (A) (C) | 5,280 | 5,650 | ||||||
GE Capital Commercial Mortgage, Ser 2001-3, Cl A1 | ||||||||
5.560%, 06/10/38 | 38 | 38 | ||||||
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 | ||||||||
6.269%, 12/10/35 | 4,791 | 5,057 | ||||||
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 | ||||||||
4.996%, 12/10/37 | 10,500 | 11,150 | ||||||
GE Capital Commercial Mortgage, Ser 2006-C1, Cl A3 | ||||||||
5.335%, 03/10/44 (A) | 2,845 | 3,078 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/34 | 136 | 140 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2 | ||||||||
5.658%, 05/10/40 (A) | 357 | 392 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl B | ||||||||
5.675%, 05/10/40 | 531 | 566 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D | ||||||||
5.675%, 05/10/40 (A) | 233 | 237 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/40 | 352 | 382 | ||||||
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A4 | ||||||||
5.301%, 08/10/38 (A) | 442 | 483 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/36 (A) | 579 | 622 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/36 (A) | 3,600 | 3,946 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||||
4.619%, 08/10/42 | 4,689 | 4,898 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/37 (A) | 974 | 1,050 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
5.888%, 07/10/38 (A) | $ | 7,600 | $ | 8,327 | ||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 8,645 | 9,113 | ||||||
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2 | ||||||||
6.449%, 08/15/18 (A) (C) | 215 | 223 | ||||||
GS Mortgage Securities II, Ser 2004-C1, Cl A2 | ||||||||
4.319%, 10/10/28 | 306 | 306 | ||||||
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA | ||||||||
4.680%, 07/10/39 | 307 | 322 | ||||||
GS Mortgage Securities II, Ser 2006-GG8, Cl A4 | ||||||||
5.560%, 11/10/39 | 833 | 887 | ||||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||||
8.000%, 09/19/27 (A) (C) | 62 | 64 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
4.461%, 10/25/33 (A) | 2,602 | 2,665 | ||||||
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 3A5 | ||||||||
3.253%, 07/25/35 (A) | 7,000 | 5,226 | ||||||
Impac Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/51 (C) | 1,558 | 1,633 | ||||||
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.697%, 08/25/36 (A) | 779 | 683 | ||||||
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 | ||||||||
6.127%, 11/01/37 (A) | 1,388 | 1,194 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2007-AR15, Cl 2A1 | ||||||||
5.996%, 08/25/37 (A) | 7,553 | 4,810 | ||||||
JP Morgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6 | ||||||||
5.750%, 12/25/36 (A) | 12,253 | 4,940 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D | ||||||||
6.847%, 04/15/35 (A) | 306 | 311 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl A3 | ||||||||
6.429%, 04/15/35 | 3,634 | 3,717 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/34 (A) | 144 | 151 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C | ||||||||
6.450%, 05/12/34 (A) | $ | 403 | $ | 421 | ||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2 | ||||||||
5.161%, 10/12/37 | 394 | 420 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2004-C2, Cl A3 | ||||||||
5.407%, 05/15/41 (A) | 712 | 770 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A4 | ||||||||
5.371%, 06/12/41 (A) | 230 | 247 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/42 | 231 | 241 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4 | ||||||||
4.918%, 10/15/42 (A) | 215 | 232 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2005-LDP5, Cl A4 | ||||||||
5.363%, 12/15/44 (A) | 2,018 | 2,222 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2006-CB16, Cl A4 | ||||||||
5.552%, 05/12/45 | 311 | 337 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/47 | 832 | 880 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | 599 | 623 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl ASB | ||||||||
6.006%, 06/15/49 (A) | 452 | 488 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||||
5.882%, 02/15/51 (A) | 1,375 | 1,442 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A3 | ||||||||
6.188%, 02/15/51 (A) | 1,875 | 1,992 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2008-C2, Cl A1 | ||||||||
5.017%, 02/12/51 | $ | 4 | $ | 4 | ||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2 | ||||||||
5.633%, 12/05/27 (C) | 1,562 | 1,780 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/43 (C) | 1,182 | 1,237 | ||||||
JP Morgan Chase Commercial Mortgage, Ser 2006-CB17, Cl A4 | ||||||||
5.429%, 12/12/43 | 1,650 | 1,757 | ||||||
JP Morgan Commercial Mortgage Finance, Ser 2000-C10, Cl C | ||||||||
7.911%, 08/15/32 (A) | 248 | 248 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4 | ||||||||
4.879%, 01/12/38 (A) | 540 | 579 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
6.142%, 07/15/44 (A) | 303 | 326 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2 | ||||||||
6.653%, 11/15/27 | 295 | 299 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||||
5.594%, 06/15/31 | 1,009 | 1,071 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4 | ||||||||
4.563%, 09/15/26 | 214 | 219 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 | ||||||||
5.124%, 11/15/32 (A) | 176 | 192 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C1, Cl A4 | ||||||||
4.568%, 01/15/31 | 304 | 323 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C2, Cl A4 | ||||||||
4.367%, 03/15/36 | 603 | 629 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/29 | 294 | 309 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C1, Cl A4 | ||||||||
4.742%, 02/15/30 | 297 | 317 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB | ||||||||
5.403%, 02/15/40 | 138 | 148 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/40 | 80 | 85 |
68 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl AAB | ||||||||
6.324%, 04/15/41 (A) | $ | 362 | $ | 402 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2 | ||||||||
6.324%, 04/15/41 (A) | 1,957 | 2,169 | ||||||
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/34 (C) | 3,458 | 3,418 | ||||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||||
6.500%, 08/25/32 | 1,517 | 1,577 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.261%, 02/25/34 (A) | 3,135 | 3,051 | ||||||
Merrill Lynch Mortgage Trust, Ser 2003-KEY1, Cl A4 | ||||||||
5.236%, 11/12/35 (A) | 949 | 1,026 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A | ||||||||
4.949%, 07/12/38 (A) | 371 | 394 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 | ||||||||
4.747%, 06/12/43 (A) | 2,594 | 2,799 | ||||||
Merrill Lynch Mortgage Trust, Ser KEY2, Cl A4 | ||||||||
4.864%, 08/12/39 (A) | 928 | 975 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/49 (A) | 7,556 | 7,827 | ||||||
MLCC Mortgage Investors, Ser 2004-B, Cl A3 | ||||||||
2.009%, 05/25/29 (A) | 775 | 771 | ||||||
Morgan Stanley Capital I, Ser 2003-IQ6, Cl A4 | ||||||||
4.970%, 12/15/41 | 596 | 643 | ||||||
Morgan Stanley Capital I, Ser 2003-T11, Cl A4 | ||||||||
5.150%, 06/13/41 | 426 | 460 | ||||||
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4 | ||||||||
4.900%, 06/15/40 | 886 | 923 | ||||||
Morgan Stanley Capital I, Ser 2004-T15, Cl A4 | ||||||||
5.270%, 06/13/41 (A) | 377 | 411 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A4 | ||||||||
5.168%, 01/14/42 | 475 | 513 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB | ||||||||
5.037%, 01/14/42 | 197 | 207 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A | ||||||||
4.989%, 08/13/42 | 3,793 | 4,116 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB | ||||||||
5.185%, 11/14/42 (A) | $ | 116 | $ | 123 | ||||
Morgan Stanley Capital I, Ser 2005-HQ7, Cl A4 | ||||||||
5.376%, 11/14/42 (A) | 927 | 1,023 | ||||||
Morgan Stanley Capital I, Ser 2005-IQ9, Cl A5 | ||||||||
4.700%, 07/15/56 | 577 | 615 | ||||||
Morgan Stanley Capital I, Ser 2005-T17, Cl A4 | ||||||||
4.520%, 12/13/41 | 72 | 74 | ||||||
Morgan Stanley Capital I, Ser 2006-T21, Cl A4 | ||||||||
5.162%, 10/12/52 (A) | 2,500 | 2,717 | ||||||
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A1 | ||||||||
5.357%, 12/15/44 | 305 | 313 | ||||||
Morgan Stanley Capital I, Ser 2007-IQ14, Cl A4 | ||||||||
5.692%, 04/15/49 (A) | 4,200 | 4,360 | ||||||
Morgan Stanley Capital I, Ser HQ3, Cl A4 | ||||||||
4.800%, 01/13/41 | 312 | 335 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl B | ||||||||
6.550%, 07/15/33 | 325 | 338 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B | ||||||||
6.640%, 04/15/34 | 226 | 240 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/35 | 248 | 257 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/35 | 208 | 222 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.457%, 02/25/47 (A) | 223 | 177 | ||||||
Nomura Asset Securities, Ser 1998-D6, Cl A2 | ||||||||
7.287%, 03/15/30 (A) | 921 | 1,034 | ||||||
PNC Mortgage Acceptance, Ser 2001-C1, Cl A2 | ||||||||
6.360%, 03/12/34 | 290 | 294 | ||||||
Prudential Mortgage Capital Funding, Ser 2001-ROCK, Cl B | ||||||||
6.760%, 05/10/34 | 295 | 303 | ||||||
RBS Greenwhich Capital Mortgage Pass-Through Certificates, Ser 2007-B, Cl 1A4 | ||||||||
0.797%, 01/25/37 (A) | 4,212 | 2,464 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/31 | 474 | 472 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 | ||||||||
5.000%, 08/25/19 | $ | 685 | $ | 680 | ||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.897%, 12/25/34 (A) | 1,011 | 965 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2000-C2, Cl C | ||||||||
7.727%, 07/18/33 (A) | 107 | 107 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3 | ||||||||
6.499%, 10/13/11 | 4,681 | 4,849 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 | ||||||||
4.467%, 03/18/36 | 56 | 58 | ||||||
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1 | ||||||||
3.750%, 02/25/40 (A) | 455 | 460 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19, Cl 1A1 | ||||||||
0.667%, 10/25/35 (A) | 1,539 | 1,027 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2 | ||||||||
5.433%, 08/25/15 (A) | 9,468 | 5,899 | ||||||
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A | ||||||||
0.547%, 10/25/36 (A) | 4,359 | 2,582 | ||||||
Structured Asset Securities, Ser 2005-17, Cl 5A1 | ||||||||
5.500%, 10/25/35 | 2,770 | 2,376 | ||||||
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1 | ||||||||
6.205%, 09/25/37 (A) | 2,146 | 2,089 | ||||||
US Bank, Ser 2007-1, Cl A | ||||||||
5.920%, 05/25/12 | 1,681 | 1,758 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4 | ||||||||
6.287%, 04/15/34 | 174 | 184 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||||
4.241%, 10/15/35 (C) | 127 | 128 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||||
4.445%, 11/15/35 | 583 | 601 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A | ||||||||
5.000%, 02/25/18 | 775 | 789 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 | ||||||||
0.637%, 10/25/47 (A) | $ | 3,811 | $ | 3,090 | ||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 | ||||||||
0.627%, 11/25/47 (A) | 5,733 | 4,202 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A | ||||||||
5.070%, 12/25/35 (A) | 12,955 | 10,281 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 | ||||||||
0.637%, 12/25/45 (A) | 5,401 | 4,135 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR5, Cl A6 | ||||||||
2.700%, 05/25/35 (A) | 9,220 | 7,187 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 1A | ||||||||
1.321%, 10/25/46 (A) | 3,722 | 2,326 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1 | ||||||||
5.610%, 02/25/37 (A) | 3,087 | 2,277 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A | ||||||||
1.251%, 07/25/47 (A) | 8,245 | 5,118 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||||
4.534%, 06/25/34 (A) | 2,901 | 2,859 | ||||||
298,504 | ||||||||
Total Mortgage-Backed Securities (Cost $1,079,702) ($ Thousands) |
| 1,091,902 | ||||||
CORPORATE OBLIGATIONS — 31.9% |
| |||||||
Consumer Discretionary — 1.8% | ||||||||
Boyd Gaming | ||||||||
7.125%, 02/01/16 (D) | 350 | 292 | ||||||
British Sky Broadcasting Group | ||||||||
9.500%, 11/15/18 (C) | 652 | 890 | ||||||
Comcast | ||||||||
6.500%, 01/15/15 | 985 | 1,155 | ||||||
6.500%, 01/15/17 | 2,695 | 3,206 | ||||||
6.400%, 03/01/40 | 550 | 611 | ||||||
5.450%, 11/15/10 | 525 | 528 | ||||||
5.300%, 01/15/14 | 2,340 | 2,615 | ||||||
5.150%, 03/01/20 | 145 | 158 |
70 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Comcast Cable Communications | ||||||||
8.375%, 03/15/13 | $ | 1,154 | $ | 1,340 | ||||
6.750%, 01/30/11 (D) | 2,310 | 2,355 | ||||||
COX Communications | ||||||||
5.450%, 12/15/14 | 660 | 747 | ||||||
Daimler Finance LLC | ||||||||
7.300%, 01/15/12 | 1,400 | 1,506 | ||||||
6.500%, 11/15/13 | 1,320 | 1,510 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/40 | 1,527 | 1,577 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/19 | 690 | 743 | ||||||
Eastman Kodak | ||||||||
7.250%, 11/15/13 | 1,080 | 1,037 | ||||||
Echostar DBS | ||||||||
7.750%, 05/31/15 | 220 | 235 | ||||||
General Motors | ||||||||
8.250%, 07/15/23 (D) (E) | 3,100 | 1,000 | ||||||
Grupo Televisa | ||||||||
6.625%, 01/15/40 | 289 | 329 | ||||||
Inn of the Mountain Gods Resort & Casino | ||||||||
12.000%, 11/15/10 (E) | 1,010 | 414 | ||||||
Mattel | ||||||||
6.200%, 10/01/40 | 595 | 604 | ||||||
4.350%, 10/01/20 | 385 | 389 | ||||||
MGM Mirage | ||||||||
7.625%, 01/15/17 (D) | 440 | 371 | ||||||
NBC Universal | ||||||||
5.950%, 04/01/41 | 785 | 807 | ||||||
4.375%, 04/01/21 | 1,205 | 1,220 | ||||||
2.875%, 04/01/16 | 949 | 949 | ||||||
News America | ||||||||
6.650%, 11/15/37 | 180 | 207 | ||||||
6.200%, 12/15/34 | 65 | 70 | ||||||
6.150%, 03/01/37 | 1,215 | 1,308 | ||||||
Omnicom Group | ||||||||
4.450%, 08/15/20 | 699 | 719 | ||||||
Sears Holdings | ||||||||
6.625%, 10/15/18 | 340 | 340 | ||||||
Station Casinos | ||||||||
7.750%, 08/15/16 (E) | 1,495 | — | ||||||
Sun Media | ||||||||
7.625%, 02/15/13 | 470 | 472 | ||||||
Thomson Reuters | ||||||||
5.950%, 07/15/13 | 477 | 535 | ||||||
Time Warner | ||||||||
6.100%, 07/15/40 | 360 | 388 | ||||||
4.700%, 01/15/21 | 1,450 | 1,536 | ||||||
3.150%, 07/15/15 | 1,100 | 1,140 | ||||||
Time Warner Cable | ||||||||
8.750%, 02/14/19 | 210 | 278 | ||||||
8.250%, 04/01/19 (D) | 4,895 | 6,320 | ||||||
6.750%, 06/15/39 (D) | 920 | 1,062 | ||||||
6.550%, 05/01/37 | 1,645 | 1,855 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/33 | $ | 60 | $ | 78 | ||||
42,896 | ||||||||
Consumer Staples — 1.6% | ||||||||
Altria Group | ||||||||
10.200%, 02/06/39 | 300 | 443 | ||||||
9.700%, 11/10/18 | 712 | 965 | ||||||
9.250%, 08/06/19 | 1,250 | 1,676 | ||||||
Anheuser-Busch | ||||||||
5.050%, 10/15/16 | 940 | 1,061 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/19 (C) | 2,570 | 3,334 | ||||||
5.375%, 11/15/14 (C) | 255 | 286 | ||||||
5.375%, 01/15/20 | 1,580 | 1,783 | ||||||
5.000%, 04/15/20 | 560 | 617 | ||||||
4.125%, 01/15/15 | 1,305 | 1,405 | ||||||
CVS Caremark | ||||||||
9.350%, 01/10/23 (C) | 4,300 | 4,534 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/20 | 2,430 | 2,729 | ||||||
Dr Pepper Snapple Group | ||||||||
6.820%, 05/01/18 | 2,505 | 3,099 | ||||||
HJ Heinz | ||||||||
5.350%, 07/15/13 | 510 | 563 | ||||||
Kraft Foods | ||||||||
6.500%, 02/09/40 | 2,745 | 3,214 | ||||||
5.375%, 02/10/20 | 2,820 | 3,150 | ||||||
PepsiCo | ||||||||
5.500%, 01/15/40 | 361 | 414 | ||||||
Reynolds American | ||||||||
6.750%, 06/15/17 | 1,260 | 1,417 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/01/40 | 1,350 | 1,529 | ||||||
5.250%, 09/01/35 | 520 | 557 | ||||||
4.875%, 07/08/40 | 965 | 986 | ||||||
WM Wrigley Jr | ||||||||
3.700%, 06/30/14 (C) | 535 | 554 | ||||||
Woolworths | ||||||||
4.000%, 09/22/20 | 1,140 | 1,162 | ||||||
2.550%, 09/22/15 | 810 | 820 | ||||||
36,298 | ||||||||
Energy — 3.6% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/31 | 370 | 400 | ||||||
Anadarko Petroleum | ||||||||
6.450%, 09/15/36 | 1,300 | 1,302 | ||||||
6.375%, 09/15/17 (D) | 1,227 | 1,352 | ||||||
Apache | ||||||||
6.000%, 09/15/13 | 2,570 | 2,886 | ||||||
5.100%, 09/01/40 | 640 | 644 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/18 | 2,530 | 3,229 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BP Capital Markets | ||||||||
5.250%, 11/07/13 | $ | 1,790 | $ | 1,950 | ||||
3.875%, 03/10/15 | 210 | 219 | ||||||
3.125%, 03/10/12 | 240 | 245 | ||||||
Chesapeake Energy | ||||||||
7.250%, 12/15/18 | 660 | 711 | ||||||
6.625%, 08/15/20 | 130 | 136 | ||||||
6.500%, 08/15/17 | 275 | 285 | ||||||
Cie Generale de Geophysique-Veritas | ||||||||
7.750%, 05/15/17 | 110 | 113 | ||||||
7.500%, 05/15/15 | 1,205 | 1,226 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/31 | 50 | 64 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/32 | 10 | 11 | ||||||
5.900%, 05/15/38 | 2,640 | 3,068 | ||||||
ConocoPhillips Holding | ||||||||
6.950%, 04/15/29 | 190 | 244 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/20 (C) | 660 | 721 | ||||||
El Paso | ||||||||
6.950%, 06/01/28 | 6,750 | 6,365 | ||||||
EnCana | ||||||||
6.500%, 02/01/38 | 1,345 | 1,568 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/19 | 505 | 647 | ||||||
6.700%, 07/01/18 | 1,250 | 1,456 | ||||||
ENI SPA (C) | ||||||||
4.150%, 10/01/20 | 1,315 | 1,333 | ||||||
Enterprise Products Operating | ||||||||
9.750%, 01/31/14 | 1,910 | 2,339 | ||||||
GAZ Capital | ||||||||
6.212%, 11/22/16 (C) | 220 | 235 | ||||||
Hess | ||||||||
7.875%, 10/01/29 | 1,070 | 1,385 | ||||||
7.300%, 08/15/31 | 1,220 | 1,501 | ||||||
5.600%, 02/15/41 | 386 | 403 | ||||||
Husky Energy | ||||||||
5.900%, 06/15/14 | 567 | 631 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/31 | 460 | 523 | ||||||
6.950%, 07/01/24 | 450 | 491 | ||||||
Kinder Morgan Energy Partners | ||||||||
7.125%, 03/15/12 | 90 | 97 | ||||||
6.750%, 03/15/11 | 450 | 461 | ||||||
6.550%, 09/15/40 | 277 | 303 | ||||||
6.000%, 02/01/17 | 505 | 570 | ||||||
5.850%, 09/15/12 | 130 | 140 | ||||||
5.000%, 12/15/13 | 720 | 786 | ||||||
Motiva Enterprises | ||||||||
6.850%, 01/15/40 (C) | 1,100 | 1,318 | ||||||
Noble Holding International | ||||||||
6.200%, 08/01/40 | 561 | 620 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Occidental Petroleum | ||||||||
7.000%, 11/01/13 | $ | 1,330 | $ | 1,565 | ||||
OPTI Canada | ||||||||
7.875%, 12/15/14 | 70 | 52 | ||||||
Peabody Energy | ||||||||
6.500%, 09/15/20 | 610 | 657 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/35 | 1,667 | 1,821 | ||||||
Petrobras International Finance | ||||||||
6.875%, 01/20/40 | 562 | 643 | ||||||
6.125%, 10/06/16 | 655 | 733 | ||||||
5.750%, 01/20/20 | 574 | 636 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | 1,925 | 2,282 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 01/21/21 | 175 | 186 | ||||||
Plains all American Pipeline | ||||||||
3.950%, 09/15/15 | 716 | 751 | ||||||
QEP Resources | ||||||||
6.875%, 03/01/21 | 650 | 704 | ||||||
Range Resources | ||||||||
6.750%, 08/01/20 | 620 | 645 | ||||||
Ras Laffan Liquefied Natural Gas III | ||||||||
5.500%, 09/30/14 (C) | 250 | 274 | ||||||
Rockies Express Pipeline | ||||||||
3.900%, 04/15/15 (C) | 1,533 | 1,534 | ||||||
SandRidge Energy | ||||||||
9.875%, 05/15/16 (C) | 870 | 898 | ||||||
Shell International Finance BV | ||||||||
4.375%, 03/25/20 | 1,980 | 2,180 | ||||||
3.100%, 06/28/15 | 1,268 | 1,335 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/32 | 170 | 200 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 1,315 | 1,527 | ||||||
Statoil ASA | ||||||||
3.125%, 08/17/17 | 530 | 551 | ||||||
Suncor Energy | ||||||||
6.500%, 06/15/38 | 725 | 832 | ||||||
Tennessee Gas Pipeline | ||||||||
7.625%, 04/01/37 | 830 | 955 | ||||||
Tosco | ||||||||
8.125%, 02/15/30 | 400 | 548 | ||||||
Total Capital | ||||||||
3.000%, 06/24/15 | 1,085 | 1,138 | ||||||
TransCanada PipeLines | ||||||||
3.800%, 10/01/20 | 1,050 | 1,073 | ||||||
Transocean | ||||||||
4.950%, 11/15/15 | 1,720 | 1,789 | ||||||
Valero Energy | ||||||||
10.500%, 03/15/39 | 1,750 | 2,366 | ||||||
9.375%, 03/15/19 | 2,656 | 3,392 | ||||||
Williams | ||||||||
8.750%, 03/15/32 | 1,732 | 2,170 | ||||||
7.875%, 09/01/21 | 3,480 | 4,226 | ||||||
7.750%, 06/15/31 | 1,392 | 1,590 |
72 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Williams, Ser A | ||||||||
7.500%, 01/15/31 | $ | 808 | $ | 914 | ||||
XTO Energy | ||||||||
7.500%, 04/15/12 | 850 | 937 | ||||||
5.500%, 06/15/18 | 2,030 | 2,432 | ||||||
85,514 | ||||||||
Financials — 16.6% | ||||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/14 (C) | 2,310 | 2,455 | ||||||
AEP Texas Central Transition Funding | ||||||||
5.090%, 07/01/15 | 3,600 | 4,082 | ||||||
4.980%, 07/01/13 | 2,282 | 2,415 | ||||||
Allstate | ||||||||
7.450%, 05/16/19 | 1,085 | 1,356 | ||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/13 | 100 | 111 | ||||||
Ally Financial | ||||||||
8.300%, 02/12/15 (C) | 180 | 196 | ||||||
8.000%, 03/15/20 | 740 | 808 | ||||||
6.875%, 09/15/11 | 2,325 | 2,398 | ||||||
2.497%, 12/01/14 (A) | 2,234 | 1,997 | ||||||
American Express | ||||||||
7.250%, 05/20/14 | 120 | 141 | ||||||
6.800%, 09/01/66 (A) | 2,010 | 2,010 | ||||||
American Express Credit MTN | ||||||||
5.125%, 08/25/14 | 1,670 | 1,850 | ||||||
2.750%, 09/15/15 | 1,280 | 1,288 | ||||||
American General Finance MTN | ||||||||
6.900%, 12/15/17 | 520 | 434 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/20 (C) | 1,065 | 1,079 | ||||||
American International Group | ||||||||
6.250%, 03/15/37 | 2,560 | 2,195 | ||||||
5.850%, 01/16/18 (D) | 3,460 | 3,581 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/13 (C) | 390 | 399 | ||||||
Australia & New Zealand Banking Group | ||||||||
3.700%, 01/13/15 (C) | 1,445 | 1,522 | ||||||
BAC Capital Trust XIV | ||||||||
5.630%, 03/15/12 (A) | 130 | 93 | ||||||
BAC Capital Trust XV | ||||||||
1.338%, 06/01/56 (A) | 5,715 | 3,605 | ||||||
Bank of America | ||||||||
7.375%, 05/15/14 | 1,090 | 1,253 | ||||||
6.500%, 08/01/16 | 3,375 | 3,795 | ||||||
6.000%, 09/01/17 | 740 | 801 | ||||||
5.750%, 12/01/17 | 2,880 | 3,079 | ||||||
5.625%, 07/01/20 | 1,290 | 1,363 | ||||||
5.420%, 03/15/17 | 4,400 | 4,506 | ||||||
4.500%, 04/01/15 | 180 | 189 | ||||||
3.700%, 09/01/15 | 890 | 899 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/15 (C) | $ | 690 | $ | 744 | ||||
Barclays Bank | ||||||||
6.050%, 12/04/17 (C) | 1,230 | 1,334 | ||||||
5.200%, 07/10/14 | 630 | 698 | ||||||
5.125%, 01/08/20 | 1,310 | 1,416 | ||||||
5.000%, 09/22/16 | 170 | 186 | ||||||
Barnett Capital III | ||||||||
0.969%, 02/01/27 (A) | 425 | 296 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/18 | 1,120 | 1,364 | ||||||
6.400%, 10/02/17 | 70 | 81 | ||||||
5.350%, 02/01/12 | 3,280 | 3,467 | ||||||
4.650%, 07/02/18 | 995 | 1,047 | ||||||
4.500%, 10/28/10 | 1,470 | 1,474 | ||||||
Berkshire Hathaway | ||||||||
3.200%, 02/11/15 | 1,610 | 1,708 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/18 | 830 | 949 | ||||||
Boeing Capital | ||||||||
4.700%, 10/27/19 | 490 | 547 | ||||||
BPCE | ||||||||
2.375%, 10/04/13 (C) | 1,118 | 1,117 | ||||||
Capital One Bank USA | ||||||||
8.800%, 07/15/19 | 855 | 1,093 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (C) | 2,450 | 2,544 | ||||||
Chase Capital VI | ||||||||
0.969%, 08/01/28 (A) | 2,500 | 1,898 | ||||||
Cie de Financement Foncier | ||||||||
2.500%, 09/16/15 (C) | 800 | 805 | ||||||
2.125%, 04/22/13 (C) | 700 | 713 | ||||||
Citigroup | ||||||||
6.875%, 03/05/38 | 2,626 | 2,933 | ||||||
6.375%, 08/12/14 | 781 | 867 | ||||||
6.125%, 05/15/18 | 3,970 | 4,331 | ||||||
6.010%, 01/15/15 | 660 | 726 | ||||||
6.000%, 12/13/13 | 2,250 | 2,467 | ||||||
6.000%, 08/15/17 | 750 | 810 | ||||||
5.875%, 02/22/33 | 4,485 | 4,294 | ||||||
5.500%, 02/15/17 | 2,350 | 2,427 | ||||||
5.375%, 08/09/20 (D) | 1,205 | 1,247 | ||||||
5.000%, 09/15/14 | 3,245 | 3,370 | ||||||
4.750%, 05/19/15 | 672 | 707 | ||||||
0.807%, 06/09/16 (A) | 3,650 | 3,093 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/36 | 1,500 | 1,599 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/12 | 2,165 | 2,220 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
5.000%, 10/15/19 (C) | 450 | 488 | ||||||
3.750%, 10/15/14 (C) | 1,060 | 1,133 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/16 | $ | 1,080 | $ | 1,162 | ||||
5.800%, 06/07/12 | 2,745 | 2,916 | ||||||
Countrywide Financial, Ser 2002-E, Cl A | ||||||||
0.597%, 10/15/28 (A) | 82 | 73 | ||||||
Countrywide Home Loans MTN | ||||||||
4.000%, 03/22/11 | 2,100 | 2,133 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/49 (A) (C) | 2,460 | 2,632 | ||||||
Credit Suisse New York | ||||||||
6.000%, 02/15/18 | 3,258 | 3,598 | ||||||
Depfa ACS Bank | ||||||||
5.125%, 03/16/37 (C) | 890 | 657 | ||||||
Deutsche Bank MTN | ||||||||
4.875%, 05/20/13 | 1,830 | 1,988 | ||||||
Deutsche Bank Capital Funding Trust VII | ||||||||
5.628%, 01/19/49 (A) (C) | 2,760 | 2,387 | ||||||
Dexia Credit Local | ||||||||
2.750%, 04/29/14 (C) | 4,895 | 5,031 | ||||||
East Lane Re | ||||||||
6.344%, 05/06/11 (A) (C) | 650 | 653 | ||||||
Export-Import Bank of Korea | ||||||||
5.500%, 10/17/12 | 542 | 580 | ||||||
Farmer Mac Guaranteed Notes Trust 2007-1 | ||||||||
5.125%, 04/19/17 (C) | 3,540 | 3,983 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/28 (C) | 1,434 | 1,417 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/24 (C) | 3,017 | 3,495 | ||||||
FIH Erhvervsbank | ||||||||
2.000%, 06/12/13 (C) | 1,320 | 1,350 | ||||||
First Industrial L.P. MTN | ||||||||
7.500%, 12/01/17 | 970 | 817 | ||||||
Fleet Capital Trust II | ||||||||
7.920%, 12/11/26 | 1,050 | 1,079 | ||||||
Ford Motor Credit LLC | ||||||||
8.000%, 12/15/16 | 480 | 543 | ||||||
General Electric Capital MTN | ||||||||
6.375%, 11/15/19 (A) | 5,870 | 5,855 | ||||||
6.000%, 08/07/19 | 710 | 799 | ||||||
5.900%, 05/13/14 | 2,800 | 3,171 | ||||||
5.875%, 01/14/38 | 1,300 | 1,320 | ||||||
5.625%, 05/01/18 | 6,135 | 6,820 | ||||||
5.500%, 01/08/20 (D) | 220 | 241 | ||||||
5.450%, 01/15/13 | 20 | 22 | ||||||
4.375%, 09/16/20 | 2,460 | 2,469 | ||||||
2.625%, 12/28/12 | 3,780 | 3,941 | ||||||
2.000%, 09/28/12 | 7,640 | 7,850 | ||||||
0.727%, 05/05/26 (A) | 3,500 | 2,731 | ||||||
0.595%, 03/20/14 (A) | 1,900 | 1,798 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Glitnir Banki HF | ||||||||
7.451%, 09/14/16 (C) (E) | $ | 400 | $ | — | ||||
6.693%, 06/15/16 (C) (E) | 3,960 | — | ||||||
6.375%, 09/25/12 (C) (E) | 2,330 | 710 | ||||||
6.330%, 07/28/11 (C) (E) | 1,980 | �� | 604 | |||||
Goldman Sachs Capital II | ||||||||
5.793%, 12/29/49 (A) | 200 | 170 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/19 | 2,329 | 2,771 | ||||||
6.750%, 10/01/37 | 541 | 562 | ||||||
6.600%, 01/15/12 | 180 | 192 | ||||||
6.150%, 04/01/18 | 3,780 | 4,193 | ||||||
6.000%, 06/15/20 | 2,733 | 3,006 | ||||||
5.950%, 01/18/18 | 260 | 285 | ||||||
5.450%, 11/01/12 | 4,040 | 4,357 | ||||||
5.375%, 03/15/20 | 3,230 | 3,404 | ||||||
5.350%, 01/15/16 | 660 | 726 | ||||||
5.300%, 02/14/12 | 80 | 84 | ||||||
5.250%, 10/15/13 (D) | 390 | 424 | ||||||
4.750%, 07/15/13 | 130 | 140 | ||||||
3.700%, 08/01/15 | 845 | 865 | ||||||
3.625%, 08/01/12 | 270 | 281 | ||||||
0.794%, 01/12/15 (A) | 1,750 | 1,674 | ||||||
0.707%, 07/22/15 (A) | 500 | 470 | ||||||
Hartford Financial Services Group | ||||||||
5.500%, 03/30/20 | 1,020 | 1,037 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (A) (C) | 1,330 | 1,170 | ||||||
HBOS PLC | ||||||||
6.750%, 05/21/18 (C) | 2,100 | 2,110 | ||||||
HCP MTN | ||||||||
6.700%, 01/30/18‡ | 316 | 348 | ||||||
6.300%, 09/15/16‡ | 1,191 | 1,294 | ||||||
6.000%, 01/30/17‡ | 4,186 | 4,468 | ||||||
5.650%, 12/15/13‡ | 934 | 1,004 | ||||||
Highwoods Properties | ||||||||
7.500%, 04/15/18‡ | 1,142 | 1,279 | ||||||
HSBC Bank USA, N.A. | ||||||||
4.875%, 08/24/20 | 1,075 | 1,121 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/38 | 1,040 | 1,206 | ||||||
ICICI Bank | ||||||||
6.375%, 04/30/22 (A) (C) | 1,260 | 1,267 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (A) (C) | 900 | 607 | ||||||
International Lease Finance | ||||||||
6.500%, 09/01/14 | 2,530 | 2,713 | ||||||
Intesa Sanpaolo SPA | ||||||||
3.625%, 08/12/15 | 900 | 911 | ||||||
Itau Unibanco Holding MTN | ||||||||
6.200%, 04/15/20 (C) (D) | 935 | 974 | ||||||
JP Morgan Chase Capital XIII | ||||||||
1.239%, 09/30/34 (A) | 1,000 | 755 | ||||||
JP Morgan Chase Capital XXIII | ||||||||
1.376%, 05/15/47 (A) | 1,900 | 1,368 |
74 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JP Morgan Chase Capital XXV | ||||||||
6.800%, 10/01/37 | $ | 909 | $ | 927 | ||||
JPMorgan Chase | ||||||||
6.000%, 01/15/18 | 225 | 257 | ||||||
5.750%, 01/02/13 | 1,710 | 1,861 | ||||||
4.950%, 03/25/20 | 150 | 160 | ||||||
4.750%, 05/01/13 | 510 | 554 | ||||||
3.700%, 01/20/15 | 125 | 132 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/17 | 1,323 | 1,502 | ||||||
6.000%, 07/05/17 | 2,250 | 2,547 | ||||||
0.866%, 06/13/16 (A) | 1,300 | 1,232 | ||||||
Kaupthing Bank MTN | ||||||||
7.625%, 02/28/15 (C) (E) | 8,810 | 2,357 | ||||||
7.125%, 05/19/16 (C) (E) | 1,350 | — | ||||||
5.750%, 10/04/11 (C) (E) | 960 | 257 | ||||||
Kilroy Realty | ||||||||
6.625%, 06/01/20‡ (C) | 455 | 462 | ||||||
Korea Development Bank | ||||||||
4.375%, 08/10/15 (D) | 725 | 769 | ||||||
3.250%, 03/09/16 (D) | 1,192 | 1,193 | ||||||
Landsbanki Islands | ||||||||
6.100%, 08/25/11 (C) (E) | 5,570 | 599 | ||||||
Lazard Group | ||||||||
7.125%, 05/15/15 | 967 | 1,055 | ||||||
6.850%, 06/15/17 | 1,332 | 1,426 | ||||||
LBG Capital No.1 MTN | ||||||||
8.000%, 12/15/49 (A) | 2,090 | 1,923 | ||||||
Lehman Brothers Holdings MTN | ||||||||
14.500%, 06/20/16 (A) (E) | 3,977 | 795 | ||||||
11.000%, 11/07/16 (A) (E) | 4,283 | 857 | ||||||
8.910%, 02/16/17 (E) | 2,370 | 474 | ||||||
6.750%, 12/28/17 (E) | 4,320 | — | ||||||
6.200%, 09/26/14 (E) | 1,160 | 257 | ||||||
5.250%, 02/06/12 (E) | 1,220 | 270 | ||||||
Lehman Brothers Holdings Capital Trust V MTN | ||||||||
5.857%, 11/29/49 (E) | 4,280 | — | ||||||
Liberty Mutual Group | ||||||||
7.500%, 08/15/36 (C) | 549 | 558 | ||||||
Lloyds TSB Bank MTN | ||||||||
6.500%, 09/14/20 | 635 | 641 | ||||||
5.800%, 01/13/20 (C) | 240 | 251 | ||||||
4.375%, 01/12/15 (C) | 1,070 | 1,096 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (C) | 1,825 | 2,494 | ||||||
MBNA Capital A | ||||||||
8.278%, 12/01/26 | 1,450 | 1,486 | ||||||
Merrill Lynch MTN | ||||||||
8.950%, 05/18/17 (A) | 1,790 | 1,980 | ||||||
8.680%, 05/02/17 (A) | 3,160 | 3,468 | ||||||
7.430%, 09/01/22 | 3 | 3 | ||||||
6.050%, 05/16/16 | 350 | 372 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.700%, 05/02/17 | $ | 1,300 | $ | 1,344 | ||||
5.450%, 02/05/13 | 2,080 | 2,234 | ||||||
MetLife | ||||||||
7.717%, 02/15/19 | 210 | 267 | ||||||
6.750%, 06/01/16 | 1,060 | 1,265 | ||||||
6.400%, 12/15/36 | 570 | 533 | ||||||
5.875%, 02/06/41 | 60 | 65 | ||||||
4.750%, 02/08/21 | 540 | 573 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/37 (C) | 800 | 840 | ||||||
MetLife Capital Trust X | ||||||||
9.250%, 04/08/38 (A) (C) | 1,800 | 2,124 | ||||||
Metropolitan Life Global Funding I | ||||||||
5.125%, 04/10/13 (C) | 110 | 120 | ||||||
5.125%, 06/10/14 (C) | 2,750 | 3,051 | ||||||
2.500%, 09/29/15 | 1,090 | 1,092 | ||||||
Morgan Stanley | ||||||||
7.300%, 05/13/19 | 100 | 115 | ||||||
6.750%, 04/15/11 | 30 | 31 | ||||||
6.625%, 04/01/18 | 3,570 | 3,958 | ||||||
6.000%, 05/13/14 | 5,710 | 6,269 | ||||||
6.000%, 04/28/15 | 630 | 693 | ||||||
5.950%, 12/28/17 | 605 | 650 | ||||||
5.625%, 09/23/19 | 160 | 167 | ||||||
5.550%, 04/27/17 | 2,415 | 2,559 | ||||||
5.500%, 07/24/20 | 1,570 | 1,617 | ||||||
0.754%, 10/18/16 (A) | 5,020 | 4,412 | ||||||
0.595%, 01/09/14 (A) | 3,120 | 2,949 | ||||||
MUFG Capital Finance 1 | ||||||||
6.346%, 07/25/49 (A) | 870 | 872 | ||||||
National Australia Bank | ||||||||
5.350%, 06/12/13 (C) | 2,500 | 2,739 | ||||||
National Capital Trust II | ||||||||
5.486%, 12/29/49 (A) (C) | 2,231 | 2,153 | ||||||
Nationwide Mutual Insurance | ||||||||
6.600%, 04/15/34 (C) | 2,440 | 2,177 | ||||||
5.810%, 06/15/09 (A) (C) | 1,975 | 1,709 | ||||||
NB Capital Trust IV | ||||||||
8.250%, 04/15/27 | 1,055 | 1,081 | ||||||
New York Life Global Funding | ||||||||
3.000%, 05/04/15 (C) | 1,840 | 1,919 | ||||||
NIBC Bank MTN | ||||||||
2.800%, 12/02/14 (C) | 1,475 | 1,539 | ||||||
Nordea Bank | ||||||||
4.875%, 01/27/20 (C) (D) | 140 | 152 | ||||||
3.700%, 11/13/14 (C) | 2,400 | 2,535 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (C) | 955 | 1,109 | ||||||
Power Receivables Financial | ||||||||
6.290%, 01/01/12 | 1,275 | 1,301 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/14 (C) | 3,400 | 3,791 | ||||||
Prime Property Fund | ||||||||
5.600%, 06/15/11 (C) | 1,384 | 1,410 | ||||||
5.500%, 01/15/14‡ (C) | 1,850 | 1,874 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/23 (C) | $ | 1,300 | $ | 1,648 | ||||
Qatari Diar Finance QSC | ||||||||
5.000%, 07/21/20 | 1,220 | 1,281 | ||||||
Rabobank Nederland | ||||||||
11.000%, 12/31/49 (A) (C) | 1,810 | 2,353 | ||||||
Reckson Operating Partnership | ||||||||
7.750%, 03/15/20‡ (C) | 506 | 512 | ||||||
Residential Capital | ||||||||
9.625%, 05/15/15 | 15 | 15 | ||||||
Resona Preferred Global Securities | ||||||||
7.191%, 07/30/49 (A) (C) | 580 | 568 | ||||||
Royal Bank of Scotland Group | ||||||||
7.640%, 09/29/17 | 1,000 | 742 | ||||||
6.400%, 10/21/19 | 2,230 | 2,427 | ||||||
5.000%, 11/12/13 | 250 | 252 | ||||||
5.000%, 10/01/14 | 990 | 992 | ||||||
4.875%, 03/16/15 | 400 | 421 | ||||||
3.950%, 09/21/15 | 400 | 404 | ||||||
Santander US Debt Unipersonal | ||||||||
3.724%, 01/20/15 (C) | 1,600 | 1,623 | ||||||
Shinsei Finance Cayman | ||||||||
6.418%, 01/25/49 (A) (C) (D) | 2,710 | 1,778 | ||||||
Simon Property Group L.P. | ||||||||
5.750%, 12/01/15‡ | 910 | 1,036 | ||||||
SLM MTN | ||||||||
5.625%, 08/01/33 | 695 | 534 | ||||||
5.375%, 05/15/14 (D) | 2,655 | 2,584 | ||||||
5.050%, 11/14/14 | 690 | 657 | ||||||
5.000%, 10/01/13 | 1,840 | 1,803 | ||||||
5.000%, 04/15/15 | 120 | 115 | ||||||
Sumitomo Mitsui Banking | ||||||||
3.150%, 07/22/15 | 1,360 | 1,427 | ||||||
SunTrust Preferred Capital I | ||||||||
5.853%, 12/15/11 (A) | 259 | 193 | ||||||
Svensk Exportkredit | ||||||||
3.250%, 09/16/14 | 1,489 | 1,587 | ||||||
Tanger Properties | ||||||||
6.125%, 06/01/20‡ | 455 | 497 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/39 (C) | 2,160 | 2,658 | ||||||
TNK-BP Finance | ||||||||
7.500%, 07/18/16 (C) | 230 | 255 | ||||||
Travelers | ||||||||
6.250%, 03/15/37 (A) | 1,470 | 1,411 | ||||||
5.375%, 06/15/12 | 370 | 395 | ||||||
UBS MTN | ||||||||
4.875%, 08/04/20 | 320 | 337 | ||||||
3.875%, 01/15/15 | 1,320 | 1,378 | ||||||
UDR MTN | ||||||||
5.000%, 01/15/12‡ | 2,000 | 2,035 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wachovia MTN | ||||||||
5.500%, 05/01/13 | $ | 2,100 | $ | 2,310 | ||||
5.250%, 08/01/14 | 2,570 | 2,794 | ||||||
4.875%, 02/15/14 | 875 | 935 | ||||||
Wachovia Bank | ||||||||
6.600%, 01/15/38 | 705 | 800 | ||||||
Wachovia Capital Trust III | ||||||||
5.800%, 03/15/11 (A) | 1,930 | 1,694 | ||||||
WEA Finance | ||||||||
7.500%, 06/02/14 (C) | 490 | 570 | ||||||
7.125%, 04/15/18 (C) | 3,321 | 3,906 | ||||||
6.750%, 09/02/19 (C) | 1,230 | 1,457 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/36 | 760 | 740 | ||||||
Wells Fargo Capital XV | ||||||||
9.750%, 12/31/49 (A) | 3,790 | 4,169 | ||||||
Westfield Capital | ||||||||
4.375%, 11/15/10 (C) | 2,103 | 2,111 | ||||||
Westfield Group | ||||||||
5.400%, 10/01/12 (C) | 703 | 750 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/19 | 755 | 809 | ||||||
3.000%, 08/04/15 | 1,627 | 1,662 | ||||||
2.250%, 11/19/12 | 1,715 | 1,748 | ||||||
Woodbourne Capital Trust II | ||||||||
1.328%, 04/08/49 (A) (C) | 625 | 269 | ||||||
Woodbourne Capital Trust III | ||||||||
1.328%, 04/08/49 (A) (C) | 625 | 269 | ||||||
Woodbourne Capital Trust IV | ||||||||
1.328%, 04/08/49 (A) (C) | 625 | 269 | ||||||
WR Berkley | ||||||||
5.375%, 09/15/20 | 415 | 424 | ||||||
ZFS Finance USA Trust I | ||||||||
6.150%, 12/15/65 (A) (C) | 4,272 | 4,208 | ||||||
391,470 | ||||||||
Government — 0.2% |
| |||||||
Chile Government International Bond | ||||||||
3.875%, 08/05/20 | 1,175 | 1,219 | ||||||
Kommunalbanken AS | ||||||||
1.750%, 10/05/15 | 1,138 | 1,137 | ||||||
Poland Government International Bond | ||||||||
3.875%, 07/16/15 | 575 | 598 | ||||||
Province of Quebec | ||||||||
3.500%, 07/29/20 | 436 | 447 | ||||||
3,401 | ||||||||
Health Care — 1.0% |
| |||||||
Abbott Laboratories | ||||||||
5.300%, 05/27/40 | 1,195 | 1,297 | ||||||
Allergan | ||||||||
3.375%, 09/15/20 | 1,300 | 1,299 |
76 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Amgen | ||||||||
5.750%, 03/15/40 | $ | 150 | $ | 170 | ||||
3.450%, 10/01/20 | 1,205 | 1,213 | ||||||
CareFusion | ||||||||
4.125%, 08/01/12 | 550 | 575 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/17 | 914 | 914 | ||||||
FMC Finance III | ||||||||
6.875%, 07/15/17 | 600 | 642 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/18 | 1,870 | 2,222 | ||||||
HCA | ||||||||
9.625%, 11/15/16 | 1 | 1 | ||||||
7.500%, 11/15/95 | 3,800 | 3,002 | ||||||
Hospira | ||||||||
5.600%, 09/15/40 | 385 | 399 | ||||||
Humana | ||||||||
7.200%, 06/15/18 | 1,150 | 1,331 | ||||||
Life Technologies | ||||||||
6.000%, 03/01/20 | 368 | 417 | ||||||
4.400%, 03/01/15 | 506 | 540 | ||||||
Medtronic | ||||||||
4.450%, 03/15/20 | 730 | 800 | ||||||
Pfizer | ||||||||
5.350%, 03/15/15 | 140 | 162 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/19 (C) | 1,410 | 1,708 | ||||||
Tenet Healthcare | ||||||||
8.875%, 07/01/19 | 1,695 | 1,871 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/38 | 170 | 203 | ||||||
6.000%, 06/15/17 | 51 | 60 | ||||||
WellPoint | ||||||||
6.800%, 08/01/12 | 1,000 | 1,097 | ||||||
6.375%, 06/15/37 | 535 | 597 | ||||||
5.875%, 06/15/17 | 2,190 | 2,524 | ||||||
Wyeth | ||||||||
5.950%, 04/01/37 | 1,100 | 1,298 | ||||||
24,342 | ||||||||
Industrials — 1.2% |
| |||||||
Allied Waste North America | ||||||||
6.875%, 06/01/17 | 260 | 287 | ||||||
Boeing | ||||||||
4.875%, 02/15/20 | 1,380 | 1,576 | ||||||
Burlington Northern Santa Fe | ||||||||
5.750%, 05/01/40 | 997 | 1,100 | ||||||
Cedar Brakes I LLC | ||||||||
8.500%, 02/15/14 (C) | 941 | 972 | ||||||
Complete Production Services | ||||||||
8.000%, 12/15/16 | 1,005 | 1,035 | ||||||
Continental Airlines | ||||||||
9.000%, 07/08/16 (D) | 2,879 | 3,282 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Continental Airlines, Ser 1999-2 | ||||||||
7.256%, 03/15/20 | $ | 2,805 | $ | 2,938 | ||||
Continental Airlines, Ser A | ||||||||
5.983%, 04/19/22 (D) | 2,000 | 2,065 | ||||||
Delta Air Lines | ||||||||
6.821%, 08/10/22 (D) | 1,544 | 1,619 | ||||||
Delta Air Lines, Ser 2001-1 | ||||||||
7.111%, 09/18/11 | 1,575 | 1,646 | ||||||
General Electric | ||||||||
5.000%, 02/01/13 | 140 | 152 | ||||||
Hutchison Whampoa International 09 | ||||||||
4.625%, 09/11/15 (C) | 1,805 | 1,930 | ||||||
JetBlue Airways 2004-2 G-1 Pass Through Trust | ||||||||
0.811%, 08/15/16 (A) | 3,270 | 2,955 | ||||||
Kansas City Southern de Mexico | ||||||||
12.500%, 04/01/16 | 522 | 625 | ||||||
L-3 Communications | ||||||||
5.875%, 01/15/15 | 300 | 307 | ||||||
RailAmerica | ||||||||
9.250%, 07/01/17 | 1,008 | 1,105 | ||||||
Reynolds Group Issuer | ||||||||
7.750%, 10/15/16 (C) (D) | 1,720 | 1,750 | ||||||
Systems 2001 Asset Trust | ||||||||
6.664%, 09/15/13 (C) | 956 | 1,055 | ||||||
United Air Lines | ||||||||
9.750%, 01/15/17 | 609 | 672 | ||||||
United Parcel Service | ||||||||
4.500%, 01/15/13 | 980 | 1,061 | ||||||
28,132 | ||||||||
Information Technology — 0.3% |
| |||||||
Adobe Systems | ||||||||
4.750%, 02/01/20 | 402 | 433 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/39 | 205 | 237 | ||||||
5.500%, 01/15/40 | 570 | 626 | ||||||
4.450%, 01/15/20 | 1,295 | 1,423 | ||||||
Freescale Semiconductor | ||||||||
10.125%, 12/15/16 | 60 | 55 | ||||||
Hewlett-Packard | ||||||||
2.125%, 09/13/15 | 1,580 | 1,594 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/17 | 170 | 198 | ||||||
Oracle | ||||||||
5.375%, 07/15/40 (C) | 2,014 | 2,166 | ||||||
6,732 | ||||||||
Materials — 0.9% |
| |||||||
Alcoa | ||||||||
6.000%, 07/15/13 | 170 | 185 | ||||||
Ball | ||||||||
6.750%, 09/15/20 | 1,060 | 1,124 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CodelCo | ||||||||
4.750%, 10/15/14 (C) | $ | 470 | $ | 512 | ||||
Dow Chemical | ||||||||
8.550%, 05/15/19 | 2,235 | 2,822 | ||||||
5.900%, 02/15/15 | 625 | 697 | ||||||
4.850%, 08/15/12 | 1,140 | 1,207 | ||||||
Freeport-McMoRan Copper & Gold | ||||||||
8.375%, 04/01/17 | 4,790 | 5,347 | ||||||
PPG Industries | ||||||||
6.650%, 03/15/18 | 435 | 527 | ||||||
5.750%, 03/15/13 | 435 | 476 | ||||||
Rio Tinto Finance USA | ||||||||
6.500%, 07/15/18 | 3,480 | 4,197 | ||||||
5.875%, 07/15/13 | 813 | 906 | ||||||
Steel Dynamics | ||||||||
6.750%, 04/01/15 | 810 | 828 | ||||||
Teck Resources | ||||||||
10.750%, 05/15/19 | 83 | 105 | ||||||
10.250%, 05/15/16 | 52 | 63 | ||||||
Vale Overseas | ||||||||
8.250%, 01/17/34 | 195 | 248 | ||||||
6.875%, 11/21/36 | 1,300 | 1,485 | ||||||
6.875%, 11/10/39 | 327 | 375 | ||||||
4.625%, 09/15/20 | 600 | 620 | ||||||
21,724 | ||||||||
Sovereign — 0.3% |
| |||||||
Province of Ontario Canada | ||||||||
4.400%, 04/14/20 | 115 | 127 | ||||||
4.100%, 06/16/14 | 270 | 297 | ||||||
2.950%, 02/05/15 | 2,080 | 2,202 | ||||||
Qatar Govt International Bond | ||||||||
4.000%, 01/20/15 (C) | 1,940 | 2,047 | ||||||
RSHB Capital | ||||||||
6.299%, 05/15/17 (C) | 700 | 730 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
7.500%, 03/31/30 | 152 | 182 | ||||||
3.625%, 04/29/15 (C) | 600 | 604 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/40 | 248 | 284 | ||||||
United Mexican States MTN, Ser A | ||||||||
7.500%, 04/08/33 | 176 | 233 | ||||||
6.750%, 09/27/34 | 748 | 930 | ||||||
7,636 | ||||||||
Telecommunication Services — 1.9% |
| |||||||
America Movil | ||||||||
6.125%, 03/30/40 | 159 | 177 | ||||||
5.625%, 11/15/17 | 440 | 496 | ||||||
5.000%, 10/16/19 | 849 | 910 | ||||||
5.000%, 03/30/20 | 750 | 809 | ||||||
American Tower | ||||||||
5.050%, 09/01/20 | 304 | 312 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AT&T | ||||||||
6.500%, 09/01/37 | $ | 1,380 | $ | 1,597 | ||||
6.450%, 06/15/34 | 625 | 704 | ||||||
6.300%, 01/15/38 | 1,190 | 1,344 | ||||||
5.500%, 02/01/18 | 1,360 | 1,577 | ||||||
5.100%, 09/15/14 | 2,200 | 2,470 | ||||||
AT&T Mobility LLC | ||||||||
6.500%, 12/15/11 | 1,455 | 1,552 | ||||||
BellSouth | ||||||||
4.750%, 11/15/12 (D) | 170 | 183 | ||||||
British Telecommunications PLC | ||||||||
9.625%, 12/15/30 | 357 | 497 | ||||||
9.125%, 12/15/10 | 1,250 | 1,270 | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/18 | 610 | 831 | ||||||
7.375%, 11/15/13 | 275 | 325 | ||||||
3.750%, 05/20/11 | 1,300 | 1,326 | ||||||
Cricket Communications | ||||||||
7.750%, 05/15/16 | 840 | 891 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/16 | 1,920 | 2,215 | ||||||
France Telecom | ||||||||
7.750%, 03/01/11 | 554 | 570 | ||||||
Frontier Communications | ||||||||
8.500%, 04/15/20 | 520 | 574 | ||||||
8.250%, 04/15/17 | 585 | 640 | ||||||
8.125%, 10/01/18 | 355 | 388 | ||||||
Intelsat Jackson Holdings | ||||||||
9.500%, 06/15/16 | 180 | 192 | ||||||
8.500%, 11/01/19 (C) | 250 | 271 | ||||||
Koninklijke | ||||||||
8.000%, 10/01/10 | 650 | 650 | ||||||
New Cingular Wireless Services | ||||||||
8.125%, 05/01/12 | 1,595 | 1,772 | ||||||
Qwest | ||||||||
7.500%, 10/01/14 | 741 | 837 | ||||||
Rogers Communications | ||||||||
7.875%, 05/01/12 | 550 | 607 | ||||||
6.800%, 08/15/18 | 450 | 557 | ||||||
6.750%, 03/15/15 | 1,015 | 1,207 | ||||||
6.375%, 03/01/14 | 1,476 | 1,700 | ||||||
5.500%, 03/15/14 | 201 | 225 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 660 | 693 | ||||||
8.375%, 03/15/12 | 245 | 263 | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/18 | 370 | 425 | ||||||
6.200%, 07/18/11 | 1,730 | 1,792 | ||||||
5.250%, 11/15/13 | 790 | 849 | ||||||
5.250%, 10/01/15 | 90 | 97 | ||||||
4.950%, 09/30/14 | 1,250 | 1,331 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/17 | 110 | 129 | ||||||
5.984%, 06/20/11 | 720 | 747 | ||||||
5.134%, 04/27/20 | 2,177 | 2,368 |
78 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telemar Norte Leste SA | ||||||||
5.500%, 10/23/20 (C) | $ | 1,135 | $ | 1,149 | ||||
Verizon Communications | ||||||||
6.400%, 02/15/38 | 540 | 627 | ||||||
6.250%, 04/01/37 | 335 | 379 | ||||||
6.100%, 04/15/18 | 465 | 553 | ||||||
5.500%, 02/15/18 | 1,920 | 2,209 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/30 | 1,060 | 1,369 | ||||||
Verizon New York, Ser A | ||||||||
6.875%, 04/01/12 | 660 | 712 | ||||||
Virgin Media Finance PLC | ||||||||
9.125%, 08/15/16 | 70 | 75 | ||||||
45,443 | ||||||||
Utilities — 2.5% |
| |||||||
Aquila | ||||||||
11.875%, 07/01/12 | 2,535 | 2,917 | ||||||
Calpine Construction Finance | ||||||||
8.000%, 06/01/16 (C) | 975 | 1,043 | ||||||
Cedar Brakes II LLC | ||||||||
9.875%, 09/01/13 (C) | 1,394 | 1,455 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/19 | 1,635 | 2,224 | ||||||
4.750%, 12/15/10 | 935 | 943 | ||||||
DPL | ||||||||
6.875%, 09/01/11 | 1,098 | 1,156 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 978 | 1,117 | ||||||
Duke Energy Carolinas | ||||||||
5.625%, 11/30/12 | 1,470 | 1,607 | ||||||
Edison Mission Energy | ||||||||
7.625%, 05/15/27 | 420 | 282 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (C) | 1,740 | 1,799 | ||||||
Energy Future Holdings | ||||||||
10.000%, 12/01/20 | 4,766 | 4,730 | ||||||
11.250%, 11/01/17 | 1,990 | 950 | ||||||
Exelon | ||||||||
5.625%, 06/15/35 | 1,100 | 1,113 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/39 | 360 | 386 | ||||||
5.750%, 10/01/41 | 295 | 296 | ||||||
5.200%, 10/01/19 | 40 | 44 | ||||||
4.000%, 10/01/20 | 945 | 946 | ||||||
FirstEnergy Solutions | ||||||||
6.800%, 08/15/39 | 430 | 433 | ||||||
6.050%, 08/15/21 | 795 | 849 | ||||||
FirstEnergy, Ser B | ||||||||
6.450%, 11/15/11 | 23 | 24 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/31 | 3,255 | 3,537 | ||||||
Florida Power | ||||||||
6.400%, 06/15/38 | 240 | 297 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/21 | $ | 2,700 | $ | 3,163 | ||||
Korea Hydro & Nuclear Power | ||||||||
3.125%, 09/16/15 (D) | 720 | 719 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 1,575 | 1,891 | ||||||
Nevada Power, Ser A | ||||||||
8.250%, 06/01/11 | 1,655 | 1,731 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/19 | 2,261 | 2,682 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/18 | 1,075 | 1,317 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/18 | 210 | 279 | ||||||
6.050%, 03/01/34 | 660 | 748 | ||||||
5.800%, 03/01/37 | 800 | 888 | ||||||
3.500%, 10/01/20 | 655 | 649 | ||||||
Pacificorp | ||||||||
6.250%, 10/15/37 | 300 | 363 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/19 | 2,500 | 3,030 | ||||||
Progress Energy | ||||||||
6.850%, 04/15/12 | 516 | 559 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 1,805 | 1,992 | ||||||
PVNGS II Funding | ||||||||
8.000%, 12/30/15 | 2,188 | 2,306 | ||||||
South Carolina Electric & Gas | ||||||||
6.500%, 11/01/18 | 215 | 267 | ||||||
Southern California Edison | ||||||||
4.500%, 09/01/40 | 485 | 474 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/39 | 880 | 1,021 | ||||||
4.625%, 09/15/60 | 1,370 | 1,427 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (C) | 2,880 | 3,787 | ||||||
57,441 | ||||||||
Total Corporate Obligations (Cost $734,566) ($ Thousands) | 751,029 | |||||||
ASSET-BACKED SECURITIES — 6.9% |
| |||||||
Automotive — 0.2% |
| |||||||
Avis Budget Rental Car Funding AESOP, Ser 2010-3A, Cl A | ||||||||
4.640%, 05/20/16 (C) | 860 | 916 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4 | ||||||||
3.320%, 02/15/17 | 102 | 106 | ||||||
Hertz Vehicle Financing, Ser 2009-2A, Cl A2 | ||||||||
5.290%, 03/25/16 (C) | 1,470 | 1,622 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A3 | ||||||||
2.310%, 05/15/13 | $ | 1,055 | $ | 1,071 | ||||
3,715 | ||||||||
Credit Cards — 0.8% |
| |||||||
BA Credit Card Trust, Ser 2006-A14, Cl A14 | ||||||||
0.317%, 04/15/16 (A) | 788 | 781 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.337%, 09/15/15 (A) | 505 | 502 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A12, Cl A | ||||||||
0.317%, 07/15/16 (A) | 1,466 | 1,449 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A4, Cl A4 | ||||||||
0.297%, 12/16/13 (A) | 1,938 | 1,937 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 | ||||||||
0.616%, 01/15/16 (A) | 602 | 596 | ||||||
Chase Issuance Trust, Ser 2007-A17, Cl A | ||||||||
5.120%, 10/15/14 | 2,510 | 2,731 | ||||||
Citibank Credit Card Issuance Trust, Ser 2005-A2, Cl A2 | ||||||||
4.850%, 03/10/17 | 200 | 226 | ||||||
Citibank Credit Card Issuance Trust, Ser 2009-A5, Cl A5 | ||||||||
2.250%, 12/23/14 | 2,520 | 2,593 | ||||||
Discover Card Master Trust, Ser 2009-A2, Cl A | ||||||||
1.557%, 02/17/15 (A) | 4,551 | 4,631 | ||||||
Discover Card Master Trust, Ser 2010-A2, Cl A2 | ||||||||
0.837%, 03/15/18 (A) | 838 | 838 | ||||||
MBNA Credit Card Master Note Trust, Ser 2006-A5, Cl A5 | ||||||||
0.317%, 10/15/15 (A) | 2,043 | 2,027 | ||||||
18,311 | ||||||||
Mortgage Related Securities — 1.2% |
| |||||||
ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 | ||||||||
0.890%, 11/25/31 (A) | 356 | 306 | ||||||
AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 | ||||||||
0.613%, 04/25/28 (A) | 70 | 50 | ||||||
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A | ||||||||
0.587%, 03/25/30 (A) | 3,339 | 1,066 | ||||||
Asset-Backed Securities Home Equity, Ser 2003-HE4, Cl M2 | ||||||||
3.337%, 08/15/33 (A) | 150 | 62 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2000-2, Cl M2 | ||||||||
8.280%, 08/25/30 | $ | 3,824 | $ | 3,725 | ||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||||
0.443%, 03/25/37 (A) | 2,549 | 2,353 | ||||||
BNC Mortgage Loan Trust, Ser 2007-1, Cl M1 | ||||||||
0.583%, 03/25/37 (A) | 6,300 | 235 | ||||||
Centex Home Equity, Ser 2006-A, Cl AV4 | ||||||||
0.593%, 06/25/36 (A) | 4,917 | 3,089 | ||||||
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A | ||||||||
0.387%, 12/25/36 (A) | 208 | 195 | ||||||
Conseco Finance, Ser 2001-D, Cl A5 | ||||||||
6.190%, 11/15/32 (A) | 1,053 | 1,081 | ||||||
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9 | ||||||||
7.050%, 03/15/28 | 4 | 4 | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/28 | 8 | 8 | ||||||
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 | ||||||||
0.817%, 05/25/39 (A) (C) | 1,474 | 1,204 | ||||||
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A | ||||||||
0.387%, 01/25/37 (A) | 88 | 87 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-NC4, Cl M2 | ||||||||
3.347%, 04/25/33 (A) | 75 | 34 | ||||||
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 | ||||||||
0.397%, 12/25/36 (A) | 76 | 74 | ||||||
Nationstar Home Equity Loan Trust, Ser 2007-C, Cl 2AV2 | ||||||||
0.473%, 06/25/37 (A) | 5,500 | 4,139 | ||||||
Option One Mortgage Loan Trust, Ser 2001-4, Cl A | ||||||||
0.947%, 01/25/32 (A) | 309 | 266 | ||||||
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3 | ||||||||
0.487%, 01/25/37 (A) | 9,500 | 3,929 | ||||||
Option One Mortgage Loan Trust, Ser 2007-6, Cl 2A4 | ||||||||
0.593%, 07/25/37 (A) | 4,574 | 1,933 | ||||||
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 | ||||||||
8.790%, 02/25/25 | 1,168 | 1,095 | ||||||
Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3 | ||||||||
0.503%, 01/25/37 (A) | 6,450 | 2,794 |
80 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Terwin Mortgage Trust, Ser 2005-9HG3, Cl A1 | ||||||||
4.000%, 08/25/35 (A) (C) | $ | 375 | $ | 364 | ||||
Truman Capital Mortgage Loan Trust, Ser 2006-1, Cl A | ||||||||
0.603%, 03/25/36 (A) (C) | 413 | 248 | ||||||
Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8B | ||||||||
5.000%, 05/25/34 (A) (C) | 290 | 87 | ||||||
28,428 | ||||||||
Other Asset-Backed Securities — 4.7% |
| |||||||
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1 | ||||||||
0.517%, 06/14/37 (A) (C) | 2,792 | 2,359 | ||||||
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1 | ||||||||
0.650%, 11/14/33 (A) (C) | 3,438 | 2,849 | ||||||
Bank America Manufactured Housing Contract Trust, Ser 1997-1, Cl M | ||||||||
6.800%, 01/10/28 | 3,310 | 4,152 | ||||||
CenterPoint Energy Transition Bond, Ser 2001-1, Cl A4 | ||||||||
5.630%, 09/15/15 | 1,878 | 2,048 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2002-1, Cl 2A2 | ||||||||
0.847%, 03/25/32 (A) | 1,276 | 853 | ||||||
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5 | ||||||||
6.046%, 03/25/37 | 1,970 | 1,640 | ||||||
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 | ||||||||
8.130%, 08/15/31 (A) | 834 | 823 | ||||||
Conseco Finance Securitizations, Ser 2000-4, Cl A6 | ||||||||
8.310%, 05/01/32 (A) | 1,177 | 965 | ||||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||||
0.947%, 06/25/33 (A) | 38 | 34 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3 | ||||||||
5.711%, 05/25/36 (A) | 6,450 | 2,652 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.803%, 10/25/35 (A) | 5,026 | 4,878 | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-10, Cl MV1 | ||||||||
0.603%, 09/25/46 (A) | 10,450 | 500 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
1.143%, 10/25/47 (A) | 5,134 | 3,724 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-S2, Cl A2 | ||||||||
5.649%, 05/25/37 (A) | $ | 1,789 | $ | 1,190 | ||||
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 | ||||||||
1.136%, 02/15/34 (A) | 985 | 466 | ||||||
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A | ||||||||
0.590%, 12/15/35 (A) | 1,836 | 501 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B | ||||||||
0.404%, 11/15/36 (A) | 245 | 178 | ||||||
Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A | ||||||||
0.887%, 11/15/28 (A) | 9,897 | 7,946 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||||
5.600%, 09/25/31 | 571 | 584 | ||||||
Credit-Based Asset Servicing and Securitization, Ser 2007-CB4, Cl A1A | ||||||||
0.437%, 04/25/37 (A) | 1,490 | 1,190 | ||||||
EFS Volunteer, Ser 2010-1, Cl A2 | ||||||||
1.389%, 10/25/35 (A) (C) | 900 | 885 | ||||||
Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1 | ||||||||
0.817%, 08/15/25 (A) (C) | 2,578 | 1,289 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF10, Cl A4 | ||||||||
0.663%, 11/25/35 (A) | 5,287 | 4,469 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FFA, Cl A3 | ||||||||
0.467%, 09/25/26 (A) | 4,148 | 527 | ||||||
First Horizon ABS Trust, Ser 2004-HE2, Cl A | ||||||||
0.567%, 02/25/34 (A) | 1,165 | 699 | ||||||
GE Seaco Finance Srl, Ser 2005-1A, Cl A | ||||||||
0.600%, 11/17/20 (A) (C) | 4,069 | 3,789 | ||||||
Genesis Funding, Ser 2006-1A, Cl G1 | ||||||||
0.497%, 12/19/32 (A) (C) | 2,983 | 2,513 | ||||||
Green Tree Financial, Ser 1993-4, Cl A5 | ||||||||
7.050%, 01/15/19 | 196 | 201 | ||||||
Green Tree Financial, Ser 1996-5, Cl A6 | ||||||||
7.750%, 07/15/27 | 614 | 631 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
0.747%, 02/25/33 (A) | 2,722 | 2,031 | ||||||
GSAMP Trust, Ser 2006-SEA1, Cl A | ||||||||
0.643%, 05/25/36 (A) (C) | 579 | 480 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 | ||||||||
0.637%, 11/25/35 (A) | $ | 4,571 | $ | 3,326 | ||||
Lehman XS Trust, Ser 2005-5N, Cl 1A1 | ||||||||
0.647%, 11/25/35 (A) | 1,745 | 1,236 | ||||||
Lehman XS Trust, Ser 2006-GP1, Cl A4A | ||||||||
0.677%, 05/25/46 (A) | 5,488 | 1,818 | ||||||
Lehman XS Trust, Ser 2007-1, Cl WF1 | ||||||||
7.000%, 01/25/37 | 2,199 | 1,293 | ||||||
Lehman XS Trust, Ser 2007-9, Cl 1A1 | ||||||||
0.463%, 05/25/37 (A) | 6,443 | 3,756 | ||||||
Master Specialized Loan Trust, Ser 2007-2, Cl A | ||||||||
0.693%, 05/25/37 (A) (C) | 7,532 | 3,712 | ||||||
Merrill Lynch Mortgage Investors, Ser 2005-SL3, Cl A1 | ||||||||
0.573%, 07/25/36 (A) | 115 | 111 | ||||||
Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D | ||||||||
5.895%, 03/25/37 | 4,927 | 2,239 | ||||||
Merrill Lynch Mortgage Investors, Ser 2007-MLN1, Cl M1 | ||||||||
0.743%, 03/25/37 (A) | 3,010 | 29 | ||||||
Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1 | ||||||||
0.643%, 02/25/37 (A) | 6,022 | 185 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/38 | 3,262 | 3,284 | ||||||
Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A | ||||||||
0.537%, 07/25/17 (A) | 492 | 347 | ||||||
Nelnet Student Loan Trust, Ser 2008-3, Cl A4 | ||||||||
1.968%, 11/25/24 (A) | 3,013 | 3,126 | ||||||
Nelnet Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
1.796%, 04/25/24 (A) | 2,740 | 2,824 | ||||||
PG&E Energy Recovery Funding, Ser 2005-1, Cl A5 | ||||||||
4.470%, 12/25/14 | 830 | 889 | ||||||
PG&E Energy Recovery Funding, Ser 2005-1, Cl A4 | ||||||||
4.370%, 06/25/14 | 580 | 601 | ||||||
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 | ||||||||
1.438%, 12/25/33 (A) | 188 | 143 | ||||||
Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII | ||||||||
1.023%, 03/25/33 (A) | 53 | 33 | ||||||
Saco I, Ser 2005-9, Cl A1 | ||||||||
0.597%, 12/25/35 (A) | 731 | 248 | ||||||
Saco I, Ser 2005-WM3, Cl A1 | ||||||||
0.867%, 09/25/35 (A) | 759 | 322 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Saco I, Ser 2006-6, Cl A1 | ||||||||
0.477%, 06/25/36 (A) | $ | 1,895 | $ | 426 | ||||
SLC Student Loan Trust, Ser 2008-1, Cl A4A | ||||||||
2.137%, 12/15/32 (A) | 4,348 | 4,518 | ||||||
SLM Student Loan Trust, Ser 2003-11, Cl A6 | ||||||||
0.582%, 12/15/25 (A) (C) | 1,100 | 1,096 | ||||||
SLM Student Loan Trust, Ser 2005-10, Cl A4 | ||||||||
0.608%, 10/25/19 (A) | 1,489 | 1,478 | ||||||
SLM Student Loan Trust, Ser 2006-5, Cl A5 | ||||||||
0.608%, 01/25/27 (A) | 1,540 | 1,455 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
1.966%, 07/25/22 (A) | 620 | 648 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
2.016%, 07/25/23 (A) | 1,803 | 1,889 | ||||||
Small Business Administration, Ser 2003-P10A, Cl 1 | ||||||||
4.524%, 02/01/13 | 479 | 502 | ||||||
Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 | ||||||||
3.343%, 06/25/33 (A) | 79 | 55 | ||||||
Structured Asset Securities, Ser 2007-BC2, Cl A2 | ||||||||
0.433%, 03/25/37 (A) | 2,487 | 2,425 | ||||||
Structured Asset Securities, Ser 2007-TC1, Cl A | ||||||||
0.643%, 04/25/31 (A) (C) | 390 | 284 | ||||||
Structured Asset Securities, Ser 2008-BC4, Cl A3 | ||||||||
0.512%, 11/25/37 (A) | 3,477 | 3,322 | ||||||
Student Loan Consolidation Center, Ser 2002-2, Cl A13 | ||||||||
0.000%, 07/01/42 (A) (C) | 1,000 | 915 | ||||||
Textainer Marine Containers, Ser 2005-1A, Cl A | ||||||||
0.507%, 05/15/20 (A) (C) | 2,112 | 1,954 | ||||||
Triton Container Finance, Ser 2006-1A, Cl N | ||||||||
0.517%, 11/26/21 (A) (C) | 2,713 | 2,441 | ||||||
Triton Container Finance, Ser 2007-1A, Cl N | ||||||||
0.396%, 02/26/19 (A) (C) | 1,711 | 1,581 | ||||||
111,557 | ||||||||
Total Asset-Backed Securities (Cost $216,532) ($ Thousands) | 162,011 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.9% |
| |||||||
FICO | ||||||||
9.800%, 04/06/18 | 850 | 1,276 | ||||||
9.700%, 04/05/19 | 1,050 | 1,596 | ||||||
8.600%, 09/26/19 | 2,490 | 3,599 |
82 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FICO STRIPS | ||||||||
2.598%, 12/27/15 (B) | $ | 1,745 | $ | 1,583 | ||||
1.847%, 02/08/13 (B) | 2,225 | 2,176 | ||||||
0.000%, 02/08/18 to 09/26/19 (B) | 11,780 | 9,604 | ||||||
FNMA | ||||||||
7.918%, 10/09/19 (B) | 1,520 | 1,004 | ||||||
7.250%, 05/15/30 | 2,372 | 3,452 | ||||||
7.125%, 01/15/30 | 2,100 | 3,004 | ||||||
6.250%, 05/15/29 | 2,949 | 3,855 | ||||||
5.500%, 11/01/37 | 9,000 | 9,558 | ||||||
5.250%, 08/01/12 | 1,860 | 2,007 | ||||||
0.240%, 05/09/11 (B) | 400 | 400 | ||||||
Resolution Funding STRIPS | ||||||||
3.235%, 01/15/16 (B) | 2,730 | 2,485 | ||||||
Total U.S. Government Agency Obligations (Cost $42,472) ($ Thousands) | 45,599 | |||||||
LOAN PARTICIPATIONS — 0.9% |
| |||||||
Allison Transmission | ||||||||
3.110%, 08/07/14 | 901 | 844 | ||||||
3.050%, 08/07/14 | 34 | 32 | ||||||
Aramark | ||||||||
2.164%, 01/26/14 | 135 | 128 | ||||||
0.192%, 01/26/14 | 17 | 16 | ||||||
Aramark LOC | ||||||||
0.106%, 01/26/14 | 12 | 11 | ||||||
Aramark, Term B Loan | ||||||||
3.783%, 07/26/16 | 267 | 262 | ||||||
Charter Communications, | ||||||||
3.790%, 09/06/16 | 1,302 | 1,269 | ||||||
DAE Aviation, Tranche B-1 | ||||||||
4.090%, 07/31/14 | 287 | 268 | ||||||
DAE Aviation, Tranche B-2 | ||||||||
4.090%, 09/27/14 | 278 | 260 | ||||||
3.990%, 09/27/14 | 1 | 1 | ||||||
Enterprise GP Holdings | ||||||||
2.600%, 11/10/14 | 392 | 389 | ||||||
2.545%, 11/10/14 | 588 | 584 | ||||||
First Data, Term Loan B-2 | ||||||||
3.097%, 09/24/14 | 3,580 | 3,149 | ||||||
Harrah’s Operating, Term Loan B-2 | ||||||||
3.316%, 01/28/15 | 605 | 521 | ||||||
HCR Healthcare, Initial Term Loan | ||||||||
2.756%, 12/22/14 | 854 | 820 | ||||||
IASIS, Delayed Draw | ||||||||
2.256%, 03/15/14 | 234 | 225 | ||||||
IASIS, Sythentic LOC | ||||||||
2.347%, 03/15/14 | 64 | 61 | ||||||
IASIS, Term B Loan | ||||||||
2.256%, 03/15/14 | 676 | 650 | ||||||
Insight Midwest | ||||||||
2.280%, 04/07/14 | 204 | 196 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Insight Midwest Holdings, Term B Loan | ||||||||
2.010%, 04/07/14 | $ | 416 | $ | 399 | ||||
Las Vegas Sands, Delayed Draw | ||||||||
2.100%, 05/17/14 | 236 | 218 | ||||||
Las Vegas Sands, Term B Loan | ||||||||
2.100%, 05/17/14 | 1,042 | 965 | ||||||
Regal Cinemas | ||||||||
3.789%, 11/19/16 | 376 | 374 | ||||||
Sunguard | ||||||||
4.060%, 02/28/16 | 80 | 78 | ||||||
3.999%, 02/28/16 | 1,094 | 1,073 | ||||||
SuperMedia | ||||||||
11.000%, 12/31/15 | 363 | 283 | ||||||
Telesat Canada, U.S. Term I Loan | ||||||||
3.260%, 10/31/14 | 1,041 | 1,012 | ||||||
Telesat Canada, U.S. Term II Loan | ||||||||
3.260%, 10/31/14 | 89 | 87 | ||||||
Texas Competitive | ||||||||
3.850%, 10/10/14 | 164 | 127 | ||||||
3.758%, 10/10/14 | 729 | 566 | ||||||
Texas Competitive, Term Loan B-2 | ||||||||
4.066%, 10/10/14 | 1,043 | 810 | ||||||
4.033%, 10/10/14 | 10 | 8 | ||||||
Tomkins PLC, Term B Loan | ||||||||
0.000%, 09/07/16 (G) | 500 | 504 | ||||||
Tribune | ||||||||
0.000%, 06/04/10 (G) | 366 | 232 | ||||||
United Air Lines, Tranche B | ||||||||
2.312%, 02/01/14 | 691 | 648 | ||||||
Univision Communications | ||||||||
2.597%, 09/29/14 | 2,468 | 2,168 | ||||||
UPC Financing Partnership | ||||||||
4.251%, 12/30/16 | 352 | 341 | ||||||
2.501%, 12/31/14 | 648 | 621 | ||||||
Total Loan Participations (Cost $21,747) ($ Thousands) | 20,200 | |||||||
MUNICIPAL BONDS — 0.7% | ||||||||
Brazos Higher Education Authority, Ser 2006-2, RB | ||||||||
1.757%, 06/25/42 (A) | 1,250 | 1,075 | ||||||
County of Clark Nevada, Ser C-BUILD, RB | ||||||||
6.820%, 07/01/45 | 710 | 787 | ||||||
Kentucky Higher Education Student Loan, Ser 1-CL, RB | ||||||||
1.450%, 05/01/34 (A) | 1,100 | 1,104 | ||||||
Los Angeles Community College District, GO | ||||||||
6.750%, 08/01/49 | 600 | 671 | ||||||
Municipal Electric Authority of Georgia, RB | ||||||||
6.655%, 04/01/57 | 320 | 339 | ||||||
6.637%, 04/01/57 | 570 | 613 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousand)/Shares | Market Value ($ Thousands) | ||||||
North Texas Tollway Authority, RB | ||||||||
6.718%, 01/01/49 | $ | 660 | $ | 721 | ||||
Pennsylvania Higher Education Assistance Agency, Sub-Ser, RB | ||||||||
1.130%, 05/01/46 (A) | 5,375 | 4,757 | ||||||
State of California, GO | ||||||||
7.300%, 10/01/39 | 4,110 | 4,350 | ||||||
State of Illinois, GO | ||||||||
7.350%, 07/01/35 | 2,500 | 2,624 | ||||||
Total Municipal Bonds (Cost $16,461) ($ Thousands) | 17,041 | |||||||
PREFERRED STOCK — 0.1% | ||||||||
Citigroup Capital XII | 53 | 1,402 | ||||||
Citigroup Capital XIII | 20 | 502 | ||||||
Total Preferred Stock | 1,904 | |||||||
Number of | ||||||||
WARRANT — 0.0% | ||||||||
Semgroup Warrants, Expires 2014* | 1 | 7 | ||||||
Total Warrant | 7 | |||||||
COMMON STOCK — 0.0% | ||||||||
SemGroup, Cl A* | 1,294 | 30 | ||||||
SuperMedia* (D) | 1,802 | 19 | ||||||
Total Common Stock | 49 | |||||||
U.S. TREASURY OBLIGATIONS — 14.7% |
| |||||||
U.S. Treasury Bills | ||||||||
0.179%, 02/10/11 | 890 | 890 | ||||||
U.S. Treasury Bonds | ||||||||
8.000%, 11/15/21 | 11,105 | 16,749 | ||||||
7.625%, 02/15/25 | 4,515 | 6,931 | ||||||
7.125%, 02/15/23 (D) | 534 | 770 | ||||||
6.250%, 08/15/23 | 1,640 | 2,221 | ||||||
5.375%, 02/15/31 | 3,466 | 4,462 | ||||||
4.625%, 02/15/40 | 2,818 | 3,293 | ||||||
4.500%, 02/15/36 | 4,573 | 5,258 | ||||||
4.375%, 11/15/39 to 05/15/40 (D) | 30,185 | 33,892 | ||||||
4.250%, 05/15/39 | 1,418 | 1,559 | ||||||
3.875%, 08/15/40 (D) | 15,696 | 16,226 | ||||||
U.S. Treasury Bond TIPS | ||||||||
3.875%, 04/15/29 | 504 | 701 | ||||||
3.625%, 04/15/28 | 2,331 | 2,717 | ||||||
3.500%, 01/15/11 | 3,883 | 3,918 | ||||||
2.375%, 01/15/25 to 01/15/27 | 16,343 | 18,795 | ||||||
2.125%, 02/15/40 | 6,319 | 7,061 |
Description | Face Amount ($ Thousand)/ Shares/Contracts | Market Value ($ Thousands) | ||||||
2.000%, 01/15/16 to 01/15/26 | $ | 5,867 | $ | 6,431 | ||||
1.750%, 01/15/28 | 52 | 55 | ||||||
U.S. Treasury Note | ||||||||
4.875%, 08/15/16 | 1,726 | 2,049 | ||||||
3.500%, 05/15/20 (D) | 7,339 | 7,966 | ||||||
2.625%, 08/15/20 (D) | 6,883 | 6,948 | ||||||
2.125%, 11/30/14 | 30,085 | 31,443 | ||||||
1.875%, 06/30/15 to 09/30/17 | 40,764 | 41,698 | ||||||
1.750%, 07/31/15 | 3,020 | 3,093 | ||||||
1.375%, 01/15/13 | 5,850 | 5,966 | ||||||
1.250%, 08/31/15 to 09/30/15 (D) | 33,608 | 33,562 | ||||||
1.000%, 08/31/11 to 04/30/12 | 41,025 | 41,388 | ||||||
0.875%, 04/30/11 | 11,605 | 11,649 | ||||||
0.750%, 05/31/12 to 09/15/13 | 11,036 | 11,096 | ||||||
U.S. Treasury STRIPS | ||||||||
4.712%, 11/15/27 (B) | 16,990 | 9,317 | ||||||
4.610%, 02/15/25 (B) | 11,400 | 7,050 | ||||||
Total U.S. Treasury Obligations (Cost $331,225) ($ Thousands) | 345,154 | |||||||
CASH EQUIVALENT — 5.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% †** | 127,107,961 | 127,108 | ||||||
Total Cash Equivalent (Cost $127,108) ($ Thousands) | 127,108 | |||||||
AFFILIATED PARTNERSHIP — 1.7% |
| |||||||
SEI Liquidity Fund, L.P., 0.230%†** (F) | 43,589,328 | 40,213 | ||||||
Total Affiliated Partnership (Cost $43,589) ($ Thousands) | 40,213 | |||||||
Total Investments — 110.6% (Cost $2,615,329) ($ Thousands) | $ | 2,602,217 | ||||||
WRITTEN OPTIONS — 0.0% | ||||||||
December 2010 U.S. 10 Year Note Call, Expires 11/27/10, Strike Price $127.00* | (210 | ) | $ | (200 | ) | |||
December 2010 U.S. 10 Year Note Future Put, Expires 11/29/10, Strike Price $122.00* | (72 | ) | (16 | ) | ||||
December 2010 U.S. 10 Year Note Future Put, Expires 11/29/10, Strike Price 121.00* | (55 | ) | (7 | ) | ||||
December 2010 U.S. Long Bond Future Call, Expires 11/29/10, Strike Price $134.00* | (80 | ) | (216 | ) | ||||
November 2010 U.S. Bond Future Call, Expires 10/25/10, Strike Price 134.00* | (30 | ) | (45 | ) | ||||
Total Written Options (Premiums Received $(401)) ($ Thousands) | $ | (484 | ) | |||||
84 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | (17 | ) | Dec-2010 | $ | (183 | ) | ||||||
90-Day Euro$ | 139 | Dec-2011 | 60 | |||||||||
90-Day Euro$ | (139 | ) | Dec-2012 | (119 | ) | |||||||
90-Day Euro$ | (17 | ) | Jun-2011 | (183 | ) | |||||||
90-Day Euro$ | (17 | ) | Mar-2011 | (183 | ) | |||||||
U.S. 10-Year Treasury Note | (543 | ) | Dec-2010 | (289 | ) | |||||||
U.S. 2-Year Treasury Note | (78 | ) | Dec-2010 | (18 | ) | |||||||
U.S. 5-Year Treasury Note | 651 | Dec-2010 | 698 | |||||||||
U.S. Long Treasury Bond | (174 | ) | Dec-2010 | (382 | ) | |||||||
U.S. Ultra Long Treasury Bond | 298 | Jan-2011 | 436 | |||||||||
$ | (163 | ) | ||||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2010, is as follows:
Counterparty | Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Depreciation ($ Thousands) | ||||||||||||||||||||
UBS Securities | 11/24/10 | EUR | 2,027 | USD | 2,683 | $ | (82 | ) | ||||||||||||||||
Citigroup Global Markets | 11/24/10 | EUR | 14,780 | USD | 19,420 | (746 | ) | |||||||||||||||||
$ | (828 | ) | ||||||||||||||||||||||
A summary of outstanding swap agreements held by the Fund at September 30, 2010, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 245 | $ | (115 | ) | |||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 2,750 | (1,313 | ) | ||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 2,900 | (1,385 | ) | ||||||||||||
Barclays Bank PLC | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 2,590 | (1,251 | ) | ||||||||||||
Citigroup | Darden Restaurants Inc., 6.000% 08/15/35 | BUY | (2.73 | ) | 03/20/14 | 440 | (28 | ) | ||||||||||||
Citigroup | Darden Restaurants Inc., 7.125% 02/01/16 | BUY | (2.40 | ) | 03/20/15 | 800 | (46 | ) | ||||||||||||
Citigroup | DR Horton Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 520 | 32 | |||||||||||||
Citigroup | DR Horton Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 480 | 30 | |||||||||||||
Citigroup | Home Depot, 5.875% 12/16/36 | BUY | (2.67 | ) | 03/20/14 | 2,900 | (210 | ) | ||||||||||||
Citigroup | Lowes Cos. Inc., 8.250% 06/01/10 | BUY | (1.20 | ) | 03/20/14 | 3,025 | (64 | ) | ||||||||||||
Credit Suisse | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 7,735 | (3,643 | ) | ||||||||||||
Credit Suisse | General Electric Corp., 5.625% 09/15/17 | SELL | 6.55 | 12/20/10 | (1,480 | ) | 21 | |||||||||||||
Credit Suisse | Pulte Homes, Inc., 5.250% 1/15/14 | BUY | (1.00 | ) | 09/20/16 | 1,500 | 119 | |||||||||||||
Credit Suisse | Toll Brothers Inc., 5.150% 05/15/15 | BUY | (1.00 | ) | 09/20/16 | 1,210 | 81 | |||||||||||||
Credit Suisse | Toll Brothers Inc., 5.150% 05/15/15 | BUY | (1.00 | ) | 09/20/16 | 4,885 | 325 | |||||||||||||
Deutsche Bank | Centex Corporation, 5.250% 06/15/15 | BUY | (4.40 | ) | 12/20/13 | 125 | (11 | ) | ||||||||||||
Deutsche Bank | Darden Restaurants Inc., 6.000% 08/15/35 | BUY | (2.25 | ) | 03/20/14 | 1,075 | (50 | ) | ||||||||||||
Deutsche Bank | Darden Restaurants Inc., 7.125% 02/01/16 | BUY | (2.25 | ) | 03/20/13 | 400 | (15 | ) | ||||||||||||
Deutsche Bank | DR Horton Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 410 | 20 | |||||||||||||
Deutsche Bank | DR Horton Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 375 | 18 | |||||||||||||
Deutsche Bank | Pulte Homes, Inc., 5.250% 1/15/14 | BUY | (1.00 | ) | 09/20/16 | 2,200 | 178 | |||||||||||||
Deutsche Bank | Pulte Homes, Inc., 5.250% 1/15/14 | BUY | (1.00 | ) | 09/20/16 | 1,500 | 143 | |||||||||||||
Deutsche Bank | Target Corporation, 4.000% 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 655 | (5 | ) | ||||||||||||
Deutsche Bank | Target Corporation, 4.000% 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 655 | (5 | ) | ||||||||||||
Deutsche Bank | Target Corporation, 4.000% 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 600 | (4 | ) | ||||||||||||
Deutsche Bank | Target Corporation, 4.000% 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 600 | (4 | ) | ||||||||||||
Goldman Sachs | DR Horton, Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 405 | 20 | |||||||||||||
Goldman Sachs | DR Horton, Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 370 | 18 | |||||||||||||
Goldman Sachs | Pulte Homes, Inc., 5.250% 1/15/14 | BUY | (1.00 | ) | 09/20/16 | 1,150 | 96 | |||||||||||||
Merrill Lynch | Centex Corporation, 5.250% 06/15/15 | BUY | (3.56 | ) | 12/20/12 | 1,350 | (70 | ) | ||||||||||||
Merrill Lynch | Centex Corporation, 5.250% 06/15/15 | BUY | (3.65 | ) | 12/20/12 | 925 | (50 | ) | ||||||||||||
Morgan Stanley | Berkshire Hathaway Inc., 4.625% 10/15/13 | SELL | 4.00 | 03/20/11 | (2,800 | ) | 45 | |||||||||||||
Morgan Stanley | CMBX 1 2006-1 AAA | SELL | 0.10 | 10/12/52 | (522 | ) | 19 | |||||||||||||
Morgan Stanley | CMBX 1 2006-1 AAA | BUY | 0.10 | 10/12/52 | 880 | (22 | ) | |||||||||||||
Morgan Stanley | CMBX 2 2006-1 AAA | BUY | (0.07 | ) | 03/15/49 | 512 | (16 | ) | ||||||||||||
Morgan Stanley | CMBX 4 2007-2 AAA | SELL | 0.35 | 02/17/51 | (500 | ) | 26 | |||||||||||||
Morgan Stanley | Darden Restaurants Inc., 7.125% 02/01/16 | BUY | (2.25 | ) | 03/20/13 | 400 | (15 | ) | ||||||||||||
$ | (7,131 | ) | ||||||||||||||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
September 30, 2010
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($Thousands) | |||||||||
Morgan Stanley | 0.00% | 3MLIBOR (PAYMENT AT MATURITY) | 11/15/27 | 16,210 | $ | (1,954 | ) | |||||||
Morgan Stanley | 0.00% | 3MLIBOR (PAYMENT AT MATURITY) | 02/15/25 | 10,530 | (1,295 | ) | ||||||||
$ | (3,249 | ) | ||||||||||||
Percentages are based on a Net Assets of $2,352,759 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | Variable Rate Security—The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2010. The date reported on the Schedule of Investments is the next reset date. |
(B) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(C) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(D) | This security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total market value of securities on loan at September 30, 2010 was $42,281 ($ Thousands). |
(E) | Security in default on interest payments. |
(F) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2010 was $40,213 ($ Thousands). |
(G) | Unsettled bank loan. Interest not available. |
ABS — Asset-Based Security
ARM — Adjustable Rate Mortgage
Cl — Class
CMO — Collateralized Mortgage Obligation
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only—face amount represents notional amount
LLC — Limited Liability Company
LOC — Line of Credit
L.P. — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
TIPS — Treasury Inflation Protected Security
USD — United States Dollar
Amounts designated as “—” are $O or have been rounded to $O
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 1,086,784 | $ | 5,118 | $ | 1,091,902 | ||||||||
Corporate Obligations | — | 747,744 | 3,285 | 751,029 | ||||||||||||
Asset-Backed Securities | — | 162,011 | — | 162,011 | ||||||||||||
U.S. Government Agency Obligations | — | 45,599 | — | 45,599 | ||||||||||||
Loan Participations | — | 19,382 | 818 | 20,200 | ||||||||||||
Municipal Bonds | — | 17,041 | — | 17,041 | ||||||||||||
Preferred Stock | 1,402 | 502 | — | 1,904 | ||||||||||||
Warrant | — | 7 | — | 7 | ||||||||||||
Common Stock | 49 | — | — | 49 | ||||||||||||
U.S. Treasury Obligations | — | 345,154 | — | 345,154 | ||||||||||||
Cash Equivalent | 127,108 | — | — | 127,108 | ||||||||||||
Affiliated Partnership | — | 40,213 | — | 40,213 | ||||||||||||
Total Investments in Securities | $ | 128,559 | $ | 2,464,437 | $ | 9,221 | $ | 2,602,217 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (163 | ) | $ | — | $ | — | $ | (163 | ) | ||||||
Forwards* | — | (828 | ) | — | (828 | ) | ||||||||||
Written Options | (484 | ) | — | — | (484 | ) | ||||||||||
Credit Default Swaps* | — | (7,131 | ) | — | (7,131 | ) | ||||||||||
Interest Rate Swaps* | — | (3,249 | ) | — | (3,249 | ) | ||||||||||
Total Other Financial Instruments | $ | (647 | ) | $ | (11,208 | ) | $ | — | $ | (11,855 | ) | |||||
* | Futures contracts, forwards and swaps are valued at the unrealized depreciation on the instruments. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Mortgage-Backed Securities | Corporate Obligations | Loan Participations | Swaptions | |||||||||||||
Beginning balance as of October 1, 2009 | $ | 4,779 | $ | 3,150 | $ | — | $ | (2,359 | ) | |||||||
Accrued discounts/premiums | 76 | — | 1 | — | ||||||||||||
Realized gain/(loss) | 220 | — | 1,065 | 448 | ||||||||||||
Change in unrealized appreciation/(depreciation) | 711 | 256 | (233 | ) | (112 | ) | ||||||||||
Net purchases/ | (668 | ) | (121 | ) | (15 | ) | 2,023 | |||||||||
Net transfer in and/or out of Level 3 | — | — | — | — | ||||||||||||
Ending balance as of September 30, 2010 | $ | 5,118 | $ | 3,285 | $ | 818 | $ | — | ||||||||
Changes in unrealized gains (losses) included in earnings related to securities held at reporting date | $ | (442 | ) | $ | 403 | $ | — | $ | — | |||||||
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
86 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 51.5% |
| |||||||
Agency Mortgage-Backed Obligations — 40.4% |
| |||||||
FHLB | ||||||||
0.750%, 10/05/11 | $ | 4,040 | $ | 4,040 | ||||
FHLB CMO, Ser 2007-1067, Cl 1 | ||||||||
5.300%, 06/15/12 | 261 | 280 | ||||||
FHLMC | ||||||||
11.000%, 02/17/21 | 557 | 618 | ||||||
10.000%, 03/17/26 to 10/01/30 | 1,620 | 1,915 | ||||||
7.500%, 01/01/32 to 09/01/38 | 2,075 | 2,341 | ||||||
6.500%, 10/01/31 to 09/01/38 | 3,873 | 4,261 | ||||||
6.000%, 08/01/15 to 09/01/38 | 9,650 | 10,486 | ||||||
5.500%, 08/23/17 to 04/01/38 | 14,573 | 15,665 | ||||||
5.000%, 09/01/23 to 02/01/39 | 9,572 | 10,133 | ||||||
4.500%, 04/01/35 to 04/01/39 | 3,880 | 4,081 | ||||||
4.000%, 10/01/33 | 668 | 687 | ||||||
1.250%, 01/26/12 | 2,940 | 2,947 | ||||||
0.469%, 02/03/12 (A) | 6,485 | 6,488 | ||||||
0.180%, 10/25/10 (B) | 3,050 | 3,050 | ||||||
0.177%, 10/13/10 (B) | 9,060 | 9,060 | ||||||
0.050%, 03/16/11 | 2,230 | 2,229 | ||||||
FHLMC ARM (A) | ||||||||
6.455%, 02/01/37 | 419 | 450 | ||||||
6.365%, 10/01/37 | 764 | 820 | ||||||
6.364%, 12/01/36 | 614 | 656 | ||||||
6.306%, 10/01/36 | 567 | 603 | ||||||
6.247%, 10/01/36 | 1,623 | 1,717 | ||||||
6.183%, 12/01/36 | 810 | 859 | ||||||
6.143%, 06/01/37 | 71 | 76 | ||||||
6.040%, 10/01/37 | 213 | 227 | ||||||
6.012%, 04/01/37 | 175 | 188 | ||||||
5.992%, 04/01/37 | 285 | 304 | ||||||
5.967%, 06/01/38 | 412 | 443 | ||||||
5.965%, 11/01/36 | 103 | 110 | ||||||
5.956%, 03/01/37 | 643 | 684 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.953%, 01/01/37 | $ | 989 | $ | 1,064 | ||||
5.902%, 03/01/37 | 38 | 41 | ||||||
5.874%, 11/01/36 | 901 | 959 | ||||||
5.794%, 05/01/37 | 470 | 502 | ||||||
5.768%, 07/01/38 | 359 | 385 | ||||||
5.765%, 05/01/37 | 856 | 910 | ||||||
5.739%, 05/01/37 | 604 | 642 | ||||||
5.717%, 03/01/36 | 152 | 164 | ||||||
5.693%, 04/01/37 | 176 | 188 | ||||||
5.688%, 03/01/36 | 141 | 151 | ||||||
5.686%, 06/01/37 | 528 | 567 | ||||||
5.642%, 10/01/38 | 117 | 125 | ||||||
5.322%, 05/01/38 | 443 | 471 | ||||||
5.243%, 03/01/36 | 1,058 | 1,116 | ||||||
FHLMC CMO, Ser 1591, Cl PV | ||||||||
6.250%, 10/15/23 | 1,572 | 1,675 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/28 | 749 | 838 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/32 | 748 | 821 | ||||||
FHLMC CMO, Ser 2002-2479, Cl PG | ||||||||
6.000%, 08/15/32 | 383 | 418 | ||||||
FHLMC CMO, Ser 2002-2542, Cl ES | ||||||||
5.000%, 12/15/17 | 39 | 42 | ||||||
FHLMC CMO, Ser 2003-2558, Cl BD | ||||||||
5.000%, 01/15/18 | 173 | 192 | ||||||
FHLMC CMO, Ser 2003-2590, Cl BY | ||||||||
5.000%, 03/15/18 | 71 | 79 | ||||||
FHLMC CMO, Ser 2003-2676, Cl CY | ||||||||
4.000%, 09/15/18 | 202 | 217 | ||||||
FHLMC CMO, Ser 2003-2694, Cl QG | ||||||||
4.500%, 01/15/29 | 46 | 48 | ||||||
FHLMC CMO, Ser 2004-2727, Cl PW | ||||||||
3.570%, 06/15/29 | 27 | 28 | ||||||
FHLMC CMO, Ser 2004-2765, Cl CT | ||||||||
4.000%, 03/15/19 | 117 | 127 | ||||||
FHLMC CMO, Ser 2004-2843, Cl BC | ||||||||
5.000%, 08/15/19 | 261 | 291 | ||||||
FHLMC CMO, Ser 2004-2875, Cl HB | ||||||||
4.000%, 10/15/19 | 45 | 49 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.665%, 03/15/20 (A) | 140 | 164 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/35 | 245 | 268 | ||||||
FHLMC CMO, Ser 2005-3028, Cl PG | ||||||||
5.500%, 09/15/35 | 167 | 181 | ||||||
FHLMC CMO, Ser 2005-3035, Cl PA | ||||||||
5.500%, 09/15/35 | 71 | 79 | ||||||
FHLMC CMO, | ||||||||
0.000%, 07/15/37 | 206 | 206 | ||||||
FHLMC CMO, | ||||||||
5.743%, 11/15/37 (A) | 537 | 57 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
5.793%, 05/15/38 (A) | $ | 615 | $ | 77 | ||||
FHLMC CMO, Ser 2008-3455, Cl AC | ||||||||
5.000%, 06/15/38 | 620 | 669 | ||||||
FHLMC CMO, Ser 2008-3461, Cl LZ | ||||||||
6.000%, 06/15/38 | 229 | 253 | ||||||
FHLMC CMO, Ser 2009-3598, Cl MA | ||||||||
4.500%, 11/15/38 | 358 | 379 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/39 | 272 | 253 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CA | ||||||||
4.000%, 12/15/36 | 2,470 | 2,637 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CT | ||||||||
7.000%, 12/15/36 | 985 | 1,091 | ||||||
FHLMC CMO, Ser 2010-K005, Cl A2 | ||||||||
4.317%, 11/25/19 | 528 | 574 | ||||||
FHLMC CMO, Ser 2010-K007, Cl A1 | ||||||||
3.342%, 12/25/19 | 413 | 435 | ||||||
FHLMC CMO, Ser 2033, Cl HC | ||||||||
6.500%, 02/15/28 | 263 | 274 | ||||||
FHLMC CMO, Ser 2075, Cl D | ||||||||
6.500%, 08/15/28 | 541 | 576 | ||||||
FHLMC CMO, Ser 239, Cl S30, IO | ||||||||
7.443%, 08/15/36 (A) | 1,242 | 183 | ||||||
FHLMC CMO, Ser 2434, Cl ZA | ||||||||
6.500%, 04/15/32 | 593 | 670 | ||||||
FHLMC CMO, Ser 2458, Cl ZM | ||||||||
6.500%, 06/15/32 | 468 | 517 | ||||||
FHLMC CMO, Ser 2587, Cl CO, PO | ||||||||
0.000%, 03/15/32 | 348 | 342 | ||||||
FHLMC CMO, Ser 2591, Cl QO | ||||||||
4.500%, 03/15/18 | 300 | 328 | ||||||
FHLMC CMO, Ser 2631, Cl SA | ||||||||
14.209%, 06/15/33 (A) | 317 | 371 | ||||||
FHLMC CMO, Ser 2691, Cl SE | ||||||||
9.065%, 12/15/28 (A) | 173 | 190 | ||||||
FHLMC CMO, Ser 2695, Cl SX | ||||||||
15.665%, 10/15/33 (A) | 85 | 99 | ||||||
FHLMC CMO, Ser 2695, Cl OB, PO | ||||||||
0.000%, 10/15/33 | 115 | 106 | ||||||
FHLMC CMO, Ser 2698, Cl SV | ||||||||
8.475%, 11/15/33 (A) | 159 | 164 | ||||||
FHLMC CMO, Ser 2725, Cl SC | ||||||||
8.544%, 11/15/33 (A) | 81 | 85 | ||||||
FHLMC CMO, Ser 2754, Cl JG | ||||||||
4.500%, 03/15/33 | 150 | 153 | ||||||
FHLMC CMO, Ser 2812, Cl NO, PO | ||||||||
0.000%, 10/15/33 | 131 | 111 | ||||||
FHLMC CMO, Ser 2833, Cl KO, PO | ||||||||
0.000%, 08/15/34 | 43 | 43 | ||||||
FHLMC CMO, Ser 2864, Cl NB | ||||||||
5.500%, 07/15/33 | 1,007 | 1,122 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2865, Cl GO, PO | ||||||||
0.000%, 10/15/33 | $ | 72 | $ | 70 | ||||
FHLMC CMO, Ser 2897, Cl EO, PO | ||||||||
0.000%, 10/15/31 | 144 | 140 | ||||||
FHLMC CMO, Ser 2903, Cl UZ | ||||||||
5.500%, 07/15/31 | 123 | 127 | ||||||
FHLMC CMO, Ser 2934, Cl CI | ||||||||
5.000%, 01/15/34 | 2,510 | 2,712 | ||||||
FHLMC CMO, Ser 2950, Cl JO, PO | ||||||||
0.000%, 03/15/20 | 207 | 196 | ||||||
FHLMC CMO, Ser 2990, Cl LK | ||||||||
0.720%, 10/15/34 (A) | 494 | 494 | ||||||
FHLMC CMO, Ser 3001, Cl HP | ||||||||
20.601%, 05/15/35 (A) | 129 | 178 | ||||||
FHLMC CMO, Ser 3006, Cl QS | ||||||||
19.171%, 07/15/35 (A) | 354 | 473 | ||||||
FHLMC CMO, Ser 3012, Cl GK | ||||||||
23.176%, 06/15/35 (A) | 134 | 217 | ||||||
FHLMC CMO, Ser 3137, Cl XP | ||||||||
6.000%, 04/15/36 | 286 | 316 | ||||||
FHLMC CMO, Ser 3217, Cl CX, IO | ||||||||
6.240%, 09/15/36 (A) | 1,051 | 155 | ||||||
FHLMC CMO, Ser 3225, Cl EO, PO | ||||||||
0.000%, 10/15/36 | 436 | 383 | ||||||
FHLMC CMO, Ser 3262, Cl SG, IO | ||||||||
6.143%, 01/15/37 (A) | 1,014 | 139 | ||||||
FHLMC CMO, Ser 3342, Cl VG | ||||||||
6.000%, 11/15/23 | 300 | 334 | ||||||
FHLMC CMO, Ser 3346, Cl FA | ||||||||
0.580%, 02/15/19 (A) | 3,733 | 3,728 | ||||||
FHLMC CMO, Ser 3373, Cl TO, PO | ||||||||
0.000%, 04/15/37 | 149 | 136 | ||||||
FHLMC CMO, Ser 3383, Cl SA, IO | ||||||||
6.100%, 11/15/37 (A) | 1,095 | 147 | ||||||
FHLMC CMO, Ser 3422, Cl SE | ||||||||
16.576%, 02/15/38 (A) | 105 | 131 | ||||||
FHLMC CMO, Ser 3515, Cl PI, IO | ||||||||
5.500%, 07/15/37 | 415 | 54 | ||||||
FHLMC CMO, Ser 3607, Cl BO, PO | ||||||||
0.000%, 04/15/36 | 100 | 88 | ||||||
FHLMC CMO, Ser 3611, Cl PO, PO | ||||||||
0.000%, 07/15/34 | 242 | 223 | ||||||
FHLMC CMO, Ser 3626, Cl MA | ||||||||
5.000%, 02/15/30 | 3,211 | 3,408 | ||||||
FHLMC CMO, Ser 3631, Cl PA | ||||||||
4.000%, 02/15/40 | 758 | 808 | ||||||
FHLMC CMO, Ser 3632, Cl BS | ||||||||
16.334%, 02/15/40 (A) | 100 | 144 | ||||||
FHLMC CMO, Ser 3652, Cl AP | ||||||||
4.500%, 03/15/40 | 1,536 | 1,643 | ||||||
FHLMC CMO, Ser 3688, Cl NI, IO | ||||||||
5.000%, 04/15/32 | 982 | 121 | ||||||
FHLMC CMO, Ser 6960, Cl SJ | ||||||||
8.625%, 10/15/33 (A) | 326 | 340 |
88 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser T-42, Cl A5 | ||||||||
7.500%, 02/25/42 | $ | 946 | $ | 1,108 | ||||
FHLMC CMO, Ser T-51, Cl 1A | ||||||||
6.500%, 09/25/43 (A) | 230 | 260 | ||||||
FHLMC CMO, Ser T-54, Cl 2A | ||||||||
6.500%, 02/25/43 | 158 | 178 | ||||||
FHLMC CMO, Ser T-54, Cl 3A | ||||||||
7.000%, 02/25/43 | 506 | 580 | ||||||
FHLMC CMO, Ser T-57, Cl 1A2 | ||||||||
7.000%, 07/25/43 | 566 | 656 | ||||||
FHLMC CMO, Ser T-58, Cl 4A | ||||||||
7.500%, 09/25/43 | 749 | 878 | ||||||
FHLMC CMO, Ser T-60, Cl 1A2 | ||||||||
7.000%, 03/25/44 | 244 | 283 | ||||||
FHLMC CMO, Ser T-76, Cl 2A | ||||||||
4.822%, 10/25/37 (A) | 371 | 384 | ||||||
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2009-K003, Cl AAB | ||||||||
4.768%, 05/25/18 | 342 | 376 | ||||||
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2010-K008, Cl A1 | ||||||||
2.746%, 12/25/19 | 737 | 753 | ||||||
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/36 | 324 | 367 | ||||||
FHLMC-GNMA CMO, Ser 1993-21, Cl L | ||||||||
6.250%, 10/25/23 | 512 | 541 | ||||||
FHLMC TBA | ||||||||
5.500%, 10/15/37 | 2,500 | 2,652 | ||||||
4.500%, 11/14/35 to 10/11/37 | 7,500 | 7,791 | ||||||
FNMA | ||||||||
7.500%, 10/01/37 to 04/01/39 | 1,560 | 1,745 | ||||||
7.000%, 04/01/32 to 01/01/39 | 1,745 | 1,966 | ||||||
6.500%, 05/01/27 to 10/01/38 | 5,026 | 5,524 | ||||||
6.000%, 03/01/19 to 08/01/37 | 34,561 | 37,826 | ||||||
5.500%, 01/01/19 to 10/25/40 | 39,824 | 42,925 | ||||||
5.000%, 01/01/20 to 02/01/39 | 7,118 | 7,536 | ||||||
4.500%, 04/01/25 to 06/01/35 | 3,991 | 4,205 | ||||||
3.500%, 07/01/25 to 11/20/40 | 631 | 657 | ||||||
3.000%, 10/20/40 | 264 | 273 | ||||||
FNMA ARM (A) | ||||||||
6.526%, 09/01/36 | 375 | 399 | ||||||
6.308%, 09/01/37 | 43 | 46 | ||||||
6.274%, 09/01/37 | 109 | 117 | ||||||
6.257%, 10/01/36 | 73 | 79 | ||||||
6.237%, 09/01/36 | 502 | 535 | ||||||
6.227%, 11/01/37 | 394 | 416 | ||||||
6.200%, 08/01/36 | 161 | 173 | ||||||
6.195%, 06/01/36 | 761 | 806 | ||||||
6.150%, 02/01/37 | 890 | 943 | ||||||
6.138%, 07/01/37 | 629 | 671 | ||||||
6.124%, 12/01/36 | 69 | 75 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.042%, 09/01/37 | $ | 54 | $ | 58 | ||||
6.028%, 01/01/37 | 110 | 118 | ||||||
6.021%, 10/01/37 | 71 | 77 | ||||||
6.000%, 11/01/37 | 105 | 113 | ||||||
5.993%, 05/01/36 | 678 | 716 | ||||||
5.986%, 09/01/37 | 419 | 450 | ||||||
5.977%, 04/01/37 | 103 | 111 | ||||||
5.962%, 07/01/37 to 10/01/37 | 317 | 341 | ||||||
5.957%, 01/01/37 | 148 | 159 | ||||||
5.922%, 04/01/37 | 174 | 185 | ||||||
5.921%, 07/01/37 | 298 | 317 | ||||||
5.910%, 03/01/37 | 85 | 92 | ||||||
5.904%, 04/01/36 | 533 | 570 | ||||||
5.900%, 07/01/37 | 231 | 249 | ||||||
5.896%, 09/01/37 | 112 | 120 | ||||||
5.882%, 11/01/36 | 320 | 341 | ||||||
5.878%, 02/01/37 | 84 | 90 | ||||||
5.845%, 12/01/36 | 317 | 337 | ||||||
5.841%, 09/01/37 | 203 | 218 | ||||||
5.831%, 10/01/37 | 72 | 77 | ||||||
5.686%, 01/01/23 | 283 | 303 | ||||||
5.679%, 11/01/36 | 456 | 484 | ||||||
5.659%, 10/01/37 | 119 | 128 | ||||||
5.656%, 09/01/36 | 223 | 236 | ||||||
5.612%, 12/01/36 | 639 | 678 | ||||||
5.610%, 02/01/39 | 313 | 336 | ||||||
5.601%, 11/01/37 | 712 | 757 | ||||||
5.500%, 07/01/37 | 698 | 743 | ||||||
5.213%, 03/01/36 | 396 | 416 | ||||||
FNMA CMO STRIPS, Ser 2005-360, Cl 2, IO | ||||||||
5.000%, 08/01/35 | 1,626 | 217 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/29 | 575 | 617 | ||||||
FNMA CMO, Ser 2000-18, Cl EC, PO | ||||||||
0.000%, 10/25/23 | 161 | 144 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/45 | 266 | 298 | ||||||
FNMA CMO, Ser 2001-81, Cl HE | ||||||||
6.500%, 01/25/32 | 2,517 | 2,838 | ||||||
FNMA CMO, Ser 2002-81, Cl JO, PO | ||||||||
0.000%, 04/25/32 | 202 | 196 | ||||||
FNMA CMO, Ser 2002-94, Cl HQ | ||||||||
4.500%, 01/25/18 | 222 | 239 | ||||||
FNMA CMO, Ser 2003-108, Cl BE | ||||||||
4.000%, 11/25/18 | 158 | 171 | ||||||
FNMA CMO, Ser 2003-125, Cl AY | ||||||||
4.000%, 12/25/18 | 50 | 54 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.506%, 01/25/34 (A) | 290 | 356 | ||||||
FNMA CMO, Ser 2003-3, Cl HJ | ||||||||
5.000%, 02/25/18 | 3 | 3 | ||||||
FNMA CMO, Ser 2003-35, Cl EA, PO | ||||||||
0.000%, 05/25/33 | 228 | 219 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2003-91, Cl XT | ||||||||
4.500%, 12/25/17 | $ | 630 | $ | 638 | ||||
FNMA CMO, Ser 2004-3, Cl HT | ||||||||
4.000%, 02/25/19 | 1 | 1 | ||||||
FNMA CMO, Ser 2004-46, Cl EP, PO | ||||||||
0.000%, 03/25/34 | 245 | 218 | ||||||
FNMA CMO, Ser 2004-52, Cl PX, PO | ||||||||
0.000%, 09/25/32 | 173 | 166 | ||||||
FNMA CMO, Ser 2004-60, Cl PA | ||||||||
5.500%, 04/25/34 | 139 | 150 | ||||||
FNMA CMO, Ser 2004-61, Cl CO, PO | ||||||||
0.000%, 10/25/31 | 200 | 198 | ||||||
FNMA CMO, Ser 2004-81, Cl KE | ||||||||
4.500%, 11/25/19 | 49 | 55 | ||||||
FNMA CMO, Ser 2004-89, Cl SM | ||||||||
16.932%, 09/25/24 (A) | 568 | 854 | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.294%, 11/25/35 (A) | 1,013 | 1,496 | ||||||
FNMA CMO, Ser 2005-38, Cl DP | ||||||||
5.000%, 06/25/19 | 1,000 | 1,064 | ||||||
FNMA CMO, Ser 2005-58, Cl MA | ||||||||
5.500%, 07/25/35 | 129 | 145 | ||||||
FNMA CMO, Ser 2005-68, Cl BA | ||||||||
5.250%, 11/25/33 | 331 | 341 | ||||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.007%, 08/25/35 (A) | 336 | 417 | ||||||
FNMA CMO, Ser 2005-88, Cl QO, PO | ||||||||
0.000%, 11/25/33 | 72 | 69 | ||||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.007%, 10/25/35 (A) | 247 | 309 | ||||||
FNMA CMO, Ser 2005-96, Cl BP | ||||||||
5.900%, 02/25/15 | 794 | 798 | ||||||
FNMA CMO, Ser 2006-117, Cl GS, IO | ||||||||
6.394%, 12/25/36 (A) | 429 | 39 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.407%, 12/25/36 (A) | 311 | 306 | ||||||
FNMA CMO, Ser 2006-15, Cl OP, PO | ||||||||
0.000%, 03/25/36 | 162 | 141 | ||||||
FNMA CMO, Ser 2006-27, Cl OH, PO | ||||||||
0.000%, 04/25/36 | 198 | 178 | ||||||
FNMA CMO, Ser 2006-43, Cl VB | ||||||||
6.500%, 10/25/17 | 350 | 376 | ||||||
FNMA CMO, Ser 2006-59, Cl CO, PO | ||||||||
0.000%, 08/25/35 | 57 | 56 | ||||||
FNMA CMO, Ser 2006-59, Cl QO, PO | ||||||||
0.000%, 01/25/33 | 171 | 162 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/36 | 527 | 616 | ||||||
FNMA CMO, Ser 2006-75, Cl VD | ||||||||
6.500%, 05/25/17 | 690 | 724 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/36 | 131 | 145 | ||||||
FNMA CMO, Ser 2007-100, Cl SM, IO | ||||||||
6.103%, 10/25/37 (A) | 808 | 101 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.506%, 06/27/36 (A) | $ | 282 | $ | 281 | ||||
FNMA CMO, Ser 2007-112, Cl SA, IO | ||||||||
6.103%, 12/25/37 (A) | 630 | 86 | ||||||
FNMA CMO, Ser 2007-113, Cl DB | ||||||||
4.500%, 12/25/22 | 341 | 382 | ||||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.547%, 10/27/37 (A) | 500 | 499 | ||||||
FNMA CMO, Ser 2007-116, Cl PB | ||||||||
5.500%, 08/25/35 | 1,000 | 1,118 | ||||||
FNMA CMO, Ser 2007-116, Cl HI, IO | ||||||||
6.209%, 01/25/38 (A) | 485 | 32 | ||||||
FNMA CMO, Ser 2007-27, Cl MA | ||||||||
5.500%, 11/25/29 | 113 | 116 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
21.509%, 04/25/37 (A) | 97 | 135 | ||||||
FNMA CMO, Ser 2007-30, Cl MA | ||||||||
4.250%, 02/25/37 | 1,419 | 1,522 | ||||||
FNMA CMO, Ser 2007-39, Cl NA | ||||||||
4.250%, 01/25/37 | 4 | 4 | ||||||
FNMA CMO, Ser 2007-54, Cl FA | ||||||||
0.747%, 06/25/37 (A) | 542 | 543 | ||||||
FNMA CMO, Ser 2007-65, Cl KI, IO | ||||||||
6.273%, 07/25/37 (A) | 854 | 75 | ||||||
FNMA CMO, Ser 2007-72, Cl EK, IO | ||||||||
6.144%, 07/25/37 (A) | 727 | 79 | ||||||
FNMA CMO, Ser 2007-75, Cl EO, PO | ||||||||
0.000%, 01/25/36 | 354 | 344 | ||||||
FNMA CMO, Ser 2007-77, Cl MH | ||||||||
6.000%, 12/25/36 | 542 | 582 | ||||||
FNMA CMO, Ser 2007-77, Cl PD | ||||||||
6.000%, 10/25/36 | 1,000 | 1,126 | ||||||
FNMA CMO, Ser 2007-83, Cl PC | ||||||||
6.000%, 10/25/33 | 1,000 | 1,070 | ||||||
FNMA CMO, Ser 2008-35, Cl IM, IO | ||||||||
0.642%, 10/25/16 (A) | 1,203 | 13 | ||||||
FNMA CMO, Ser 2008-4, Cl SD, IO | ||||||||
5.653%, 02/25/38 (A) | 1,215 | 143 | ||||||
FNMA CMO, Ser 2008-95, Cl BA | ||||||||
5.000%, 01/25/24 | 250 | 288 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
4.000%, 12/25/39 | 566 | 600 | ||||||
FNMA CMO, Ser 2009-31, Cl A2 | ||||||||
4.287%, 07/25/19 | 651 | 706 | ||||||
FNMA CMO, Ser 2009-52, Cl PI, IO | ||||||||
5.000%, 07/25/39 | 613 | 100 | ||||||
FNMA CMO, Ser 2009-71, Cl JT | ||||||||
6.000%, 06/25/36 | 261 | 284 | ||||||
FNMA CMO, Ser 2009-78, Cl J | ||||||||
5.000%, 09/25/19 | 841 | 901 | ||||||
FNMA CMO, Ser 2009-84, Cl WS, IO | ||||||||
5.553%, 10/25/39 (A) | 568 | 46 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/37 | 2,979 | 2,600 |
90 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/39 | $ | 341 | $ | 366 | ||||
FNMA CMO, Ser 2009-99, Cl SC, IO | ||||||||
5.833%, 12/25/39 (A) | 647 | 58 | ||||||
FNMA CMO, Ser 2009-99, Cl WA | ||||||||
6.286%, 12/25/39 (A) | 457 | 498 | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/19 | 680 | 719 | ||||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.130%, 02/25/40 (A) | 226 | 249 | ||||||
FNMA CMO, Ser 2010-15, Cl KA | ||||||||
4.000%, 03/25/39 | 517 | 547 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/40 | 231 | 253 | ||||||
FNMA CMO, Ser 2010-23, Cl KS, IO | ||||||||
6.753%, 02/25/40 (A) | 905 | 124 | ||||||
FNMA CMO, Ser 2010-35, Cl SB, IO | ||||||||
6.164%, 04/25/40 (A) | 821 | 78 | ||||||
FNMA CMO, Ser 2010-39, Cl OT, PO | ||||||||
0.000%, 10/25/35 | 219 | 195 | ||||||
FNMA CMO, Ser 2010-64, Cl DM | ||||||||
5.000%, 06/25/40 | 478 | 517 | ||||||
FNMA CMO, Ser 2010-68, Cl SA, IO | ||||||||
4.650%, 07/25/40 (A) | 1,486 | 162 | ||||||
FNMA CMO, Ser 2010-M1, Cl A2 | ||||||||
4.450%, 09/25/19 | 228 | 249 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/20 (A) | 1,049 | 1,133 | ||||||
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A1 | ||||||||
7.000%, 12/25/41 | 800 | 929 | ||||||
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2 | ||||||||
7.500%, 12/25/41 | 497 | 566 | ||||||
FNMA Grantor Trust CMO, Ser 2002-T1, Cl A1 | ||||||||
6.500%, 11/25/31 | 610 | 688 | ||||||
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2 | ||||||||
7.000%, 07/25/42 | 507 | 589 | ||||||
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3 | ||||||||
7.000%, 02/25/44 | 482 | 560 | ||||||
FNMA Whole Loan CMO, Ser 2002-W6, Cl 2SI, IO | ||||||||
7.757%, 06/25/42 (A) | 601 | 97 | ||||||
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A | ||||||||
7.500%, 12/25/42 (A) | 314 | 370 | ||||||
FNMA Whole Loan CMO, Ser 2003-W12, Cl 1A8 | ||||||||
4.550%, 06/25/43 | 389 | 410 | ||||||
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A | ||||||||
7.000%, 10/25/42 | 424 | 492 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2 | ||||||||
7.000%, 12/25/33 | $ | 652 | $ | 757 | ||||
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2 | ||||||||
7.000%, 02/25/44 | 830 | 964 | ||||||
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF | ||||||||
0.563%, 03/25/45 (A) | 391 | 390 | ||||||
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3 | ||||||||
7.500%, 12/25/45 | 412 | 493 | ||||||
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1 | ||||||||
0.567%, 02/25/36 (A) | 422 | 418 | ||||||
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1 | ||||||||
0.607%, 11/25/46 (A) | 648 | 646 | ||||||
FNMA TBA | ||||||||
5.000%, 10/01/38 | 500 | 526 | ||||||
4.500%, 11/15/34 to 10/01/39 | 2,650 | 2,701 | ||||||
3.500%, 10/25/25 to 11/25/25 | 13,215 | 13,625 | ||||||
GNMA | ||||||||
7.500%, 10/15/37 | 495 | 550 | ||||||
7.000%, 09/15/31 | 129 | 147 | ||||||
6.500%, 12/15/32 to 12/15/35 | 2,095 | 2,342 | ||||||
4.500%, 11/15/39 | 3,785 | 3,990 | ||||||
3.000%, 11/20/40 to 01/20/41 | 325 | 334 | ||||||
GNMA ARM (A) | ||||||||
4.000%, 07/20/40 | 528 | 558 | ||||||
3.500%, 02/20/34 | 676 | 704 | ||||||
3.000%, 08/20/40 | 497 | 514 | ||||||
GNMA CMO, Ser 1999-47, Cl Z | ||||||||
7.500%, 12/20/29 | 659 | 771 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/31 | 882 | 965 | ||||||
GNMA CMO, Ser 2003-97, Cl SA, IO | ||||||||
6.200%, 11/16/33 (A) | 727 | 128 | ||||||
GNMA CMO, Ser 2004-11, Cl SX | ||||||||
16.490%, 02/20/34 (A) | 37 | 47 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.652%, 04/20/34 (A) | 464 | 497 | ||||||
GNMA CMO, Ser 2004-34, Cl JO, PO | ||||||||
0.000%, 02/20/34 | 141 | 134 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/34 (A) | 235 | 251 | ||||||
GNMA CMO, Ser 2004-85, Cl PO, PO | ||||||||
0.000%, 01/17/33 | 87 | 81 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.270%, 03/17/33 (A) | 378 | 394 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/35 | 400 | 454 | ||||||
GNMA CMO, Ser 2006-34, Cl PO, PO | ||||||||
0.000%, 07/20/36 | 132 | 117 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2006-37, Cl JG | ||||||||
5.000%, 07/20/36 | $ | 194 | $ | 212 | ||||
GNMA CMO, Ser 2007-17, Cl AF | ||||||||
0.550%, 04/16/37 (A) | 612 | 610 | ||||||
GNMA CMO, Ser 2007-26, Cl SW, IO | ||||||||
5.853%, 05/20/37 (A) | 1,148 | 118 | ||||||
GNMA CMO, Ser 2007-27, Cl SD, IO | ||||||||
5.852%, 05/20/37 (A) | 633 | 63 | ||||||
GNMA CMO, Ser 2007-72, Cl US, IO | ||||||||
6.203%, 11/20/37 (A) | 431 | 47 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.273%, 12/16/37 (A) | 3,688 | 514 | ||||||
GNMA CMO, Ser 2007-82, Cl SA, IO | ||||||||
6.182%, 12/20/37 (A) | 578 | 66 | ||||||
GNMA CMO, Ser 2007-9, Cl CI, IO | ||||||||
5.852%, 03/20/37 (A) | 887 | 87 | ||||||
GNMA CMO, Ser 2008-10, Cl S, IO | ||||||||
5.483%, 02/20/38 (A) | 894 | 72 | ||||||
GNMA CMO, Ser 2008-29, Cl PO, PO | ||||||||
0.000%, 02/17/33 | 196 | 179 | ||||||
GNMA CMO, Ser 2008-33, Cl XS, IO | ||||||||
7.350%, 04/16/38 (A) | 429 | 46 | ||||||
GNMA CMO, Ser 2008-55, Cl SA, IO | ||||||||
5.852%, 06/20/38 (A) | 1,025 | 98 | ||||||
GNMA CMO, Ser 2009-106, Cl AS, IO | ||||||||
6.050%, 11/16/39 (A) | 921 | 75 | ||||||
GNMA CMO, Ser 2009-14, Cl KI, IO | ||||||||
6.500%, 03/20/39 | 582 | 76 | ||||||
GNMA CMO, Ser 2009-24, Cl DS, IO | ||||||||
5.952%, 03/20/39 (A) | 1,599 | 147 | ||||||
GNMA CMO, Ser 2009-25, Cl SE, IO | ||||||||
7.252%, 09/20/38 (A) | 729 | 89 | ||||||
GNMA CMO, Ser 2009-43, Cl SA, IO | ||||||||
5.603%, 06/20/39 (A) | 864 | 82 | ||||||
GNMA CMO, Ser 2009-44, Cl MV | ||||||||
6.000%, 04/20/20 | 1,829 | 2,081 | ||||||
GNMA CMO, Ser 2009-6, Cl SH, IO | ||||||||
5.693%, 02/20/39 (A) | 717 | 70 | ||||||
GNMA CMO, Ser 2009-65, Cl TS, IO | ||||||||
6.053%, 12/20/38 (A) | 1,422 | 132 | ||||||
GNMA CMO, Ser 2009-65, Cl IQ, IO | ||||||||
6.000%, 12/20/38 | 356 | 40 | ||||||
GNMA CMO, Ser 2009-67, Cl SA, IO | ||||||||
5.793%, 08/16/39 (A) | 606 | 58 | ||||||
GNMA CMO, Ser 2009-75, Cl MN | ||||||||
5.500%, 09/20/39 | 500 | 562 | ||||||
GNMA CMO, Ser 2009-79, Cl OK, PO | ||||||||
0.000%, 11/16/37 | 674 | 622 | ||||||
GNMA CMO, Ser 2009-83, Cl TS, IO | ||||||||
5.843%, 08/20/39 (A) | 1,063 | 110 | ||||||
GNMA CMO, Ser 2010-14, Cl CO, PO | ||||||||
0.000%, 08/20/35 | 125 | 103 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.040%, 01/16/40 (A) | 8,066 | 1,163 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA TBA | ||||||||
4.500%, 11/15/39 to 12/15/39 | $ | 4,000 | $ | 4,198 | ||||
4.000%, 10/15/40 | 11,330 | 11,713 | ||||||
355,204 | ||||||||
Non-Agency Mortgage-Backed Obligations — 11.1% |
| |||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A5 | ||||||||
5.750%, 09/25/48 (A) (D) | 200 | 209 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A4 | ||||||||
5.750%, 09/25/48 (A) (D) | 325 | 338 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/48 (A) (D) | 300 | 300 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.650%, 03/25/58 (A) (D) | 270 | 277 | ||||||
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A | ||||||||
2.442%, 02/25/45 (A) | 1,331 | 1,153 | ||||||
ASG Resecuritization Trust, Ser 2009-2, Cl A55 | ||||||||
5.755%, 05/24/36 (A) (D) | 339 | 341 | ||||||
ASG Resecuritization Trust, Ser 2009-3, Cl A65 | ||||||||
5.594%, 03/26/37 (A) (D) | 1,155 | 1,164 | ||||||
ASG Resecuritization Trust, Ser 2010-3, Cl 2A22 | ||||||||
0.523%, 10/28/36 (A) (D) | 233 | 227 | ||||||
Asset Securitization, Ser 1996-D3, Cl A2 | ||||||||
7.778%, 10/13/26 (A) | 268 | 276 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/34 | 465 | 487 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/34 | 201 | 210 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/18 | 235 | 242 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/33 | 276 | 282 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/19 | 127 | 127 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/19 | 172 | 178 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B | ||||||||
6.309%, 06/11/35 | 145 | 152 |
92 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 | ||||||||
4.668%, 07/10/43 | $ | 100 | $ | 105 | ||||
Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4 | ||||||||
5.179%, 09/10/47 (A) | 181 | 199 | ||||||
Banc of America Commercial Mortgage, Ser 2002-2, Cl B | ||||||||
5.271%, 07/11/43 | 111 | 115 | ||||||
Banc of America Commercial Mortgage, Ser 2002-2, Cl E | ||||||||
7.634%, 09/15/32 (A) | 128 | �� | 128 | |||||
Banc of America Commercial Mortgage, Ser 2002-PB2, Cl A4 | ||||||||
6.186%, 06/11/35 | 1,084 | 1,137 | ||||||
Banc of America Commercial Mortgage, Ser 2004-6, Cl A3 | ||||||||
4.512%, 12/10/42 | 149 | 154 | ||||||
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM | ||||||||
4.727%, 07/10/43 | 300 | 276 | ||||||
Banc of America Commercial Mortgage, Ser 2005-4, Cl A5A | ||||||||
4.933%, 07/10/45 | 364 | 386 | ||||||
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4 | ||||||||
5.115%, 10/10/45 (A) | 270 | 296 | ||||||
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4 | ||||||||
5.889%, 07/10/44 (A) | 215 | 229 | ||||||
Banc of America Commercial Mortgage, Ser 2006-4, Cl A4 | ||||||||
5.634%, 07/10/46 | 225 | 244 | ||||||
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4 | ||||||||
5.414%, 09/10/47 | 622 | 663 | ||||||
Banc of America Funding, Ser 2004-3, Cl 1A7 | ||||||||
5.500%, 10/25/34 | 158 | 162 | ||||||
Banc of America Funding, Ser 2004-C, Cl 1A1 | ||||||||
5.052%, 12/20/34 (A) | 164 | 169 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 | ||||||||
0.897%, 05/25/18 (A) | 205 | 198 | ||||||
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 | ||||||||
0.797%, 08/25/18 (A) | 89 | 87 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/19 | 144 | 148 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A23 | ||||||||
4.500%, 04/25/34 | 127 | 127 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/19 | $ | 221 | $ | 226 | ||||
BCAP Trust, Ser 2009-RR10, Cl 17A1 | ||||||||
5.750%, 06/26/37 (D) | 389 | 393 | ||||||
BCAP Trust, Ser 2009-RR13, Cl 11A1 | ||||||||
5.250%, 05/26/37 (A) (D) | 172 | 171 | ||||||
BCAP Trust, Ser 2009-RR5, Cl 8A1 | ||||||||
5.500%, 11/26/34 (D) | 849 | 841 | ||||||
BCAP Trust, Ser 2010-RR5, Cl 2A5 | ||||||||
5.183%, 04/26/37 (A) (D) | 400 | 397 | ||||||
BCAP Trust, Ser 2010-RR6, Cl 5A1 | ||||||||
5.500%, 11/26/37 (A) (D) | 199 | 200 | ||||||
BCAP Trust, Ser 2010-RR7, Cl 16A1 | ||||||||
1.086%, 02/26/47 (A) (D) | 96 | 89 | ||||||
BCAP Trust, Ser 2010-RR7, Cl 15A1 | ||||||||
1.056%, 01/26/36 (A) (D) | 446 | 411 | ||||||
BCAP Trust, Ser 2010-RR7, Cl 1A5 | ||||||||
5.025%, 04/26/35 (A) (D) | 250 | 251 | ||||||
BCAP Trust, Ser 2010-RR7, Cl 2A1 | ||||||||
5.105%, 07/26/45 (A) (D) | 489 | 494 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
5.130%, 05/25/34 (A) | 179 | 184 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
2.530%, 08/25/35 (A) | 244 | 234 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 | ||||||||
6.480%, 02/15/35 | 66 | 67 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-PBW1, Cl A2 | ||||||||
4.720%, 11/11/35 (A) | 132 | 139 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | 65 | 69 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||||
4.240%, 08/13/39 (A) | 55 | 56 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR4, Cl A3 | ||||||||
5.468%, 06/11/41 (A) | 120 | 132 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/41 | 159 | 162 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A3 | ||||||||
5.116%, 02/11/41 (A) | 371 | 400 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.149%, 10/12/42 (A) | 450 | 498 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A | ||||||||
5.624%, 03/11/39 (A) | 100 | 110 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW16, Cl A1 | ||||||||
5.593%, 06/11/40 | $ | 100 | $ | 103 | ||||
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10 | ||||||||
0.797%, 01/25/34 (A) | 182 | 181 | ||||||
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO | ||||||||
0.000%, 10/25/18 | 146 | 124 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
4.549%, 02/25/37 (A) | 108 | 110 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
3.815%, 02/25/37 (A) | 177 | 177 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
3.252%, 07/25/37 (A) | 202 | 200 | ||||||
Citicorp Mortgage Securities, Ser 2003-6, Cl 1A2 | ||||||||
4.500%, 05/25/33 | 74 | 76 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.830%, 05/15/43 (A) | 120 | 121 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1 | ||||||||
2.866%, 02/25/35 (A) (D) | 147 | 147 | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/32 (A) | 680 | 742 | ||||||
Commercial Mortgage Pass Through Certificates, Ser 2001-J2a, Cl B | ||||||||
6.304%, 07/16/34 (D) | 393 | 437 | ||||||
Commercial Mortgage Pass Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/34 (D) | 71 | 74 | ||||||
Commercial Mortgage Pass Through Certificates, Ser 2004-LB2A, Cl A4 | ||||||||
4.715%, 03/10/39 | 205 | 217 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A6 | ||||||||
5.250%, 09/25/33 | 350 | 361 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-39, Cl A6 | ||||||||
5.000%, 10/25/33 | 284 | 289 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J13, Cl 1A7 | ||||||||
5.250%, 01/25/34 | 498 | 511 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J7, Cl 4A3 | ||||||||
9.325%, 08/25/18 (A) | 95 | 99 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-8, Cl 2A1 | ||||||||
4.500%, 06/25/19 | 266 | 271 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/33 | $ | 356 | $ | 366 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/33 | 151 | 157 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B | ||||||||
5.253%, 08/15/36 (A) | 236 | 249 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.846%, 03/15/39 (A) | 215 | 228 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 1,500 | 1,560 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2007-C1, Cl AAB | ||||||||
5.336%, 02/15/40 | 140 | 146 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2007-C2, Cl A2 | ||||||||
5.448%, 01/15/49 (A) | 206 | 212 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2007-C5, Cl A3 | ||||||||
5.694%, 09/15/40 (A) | 284 | 296 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1 | ||||||||
5.500%, 10/27/35 (D) | 124 | 125 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1 | ||||||||
1.260%, 06/28/47 (A) (D) | 442 | 443 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1 | ||||||||
5.340%, 10/26/37 (A) (D) | 150 | 151 | ||||||
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1 | ||||||||
4.485%, 11/15/36 | 6 | 6 | ||||||
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||||
5.183%, 11/15/36 | 433 | 458 | ||||||
CS First Boston Mortgage Securities, Ser 2003-29, Cl 8A1 | ||||||||
6.000%, 11/25/18 | 213 | 220 | ||||||
CS First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
3.030%, 10/25/33 (A) | 1,323 | 1,235 | ||||||
CS First Boston Mortgage Securities, Ser 2003-CPN1, Cl A2 | ||||||||
4.597%, 03/15/35 | 213 | 225 | ||||||
CS First Boston Mortgage Securities, Ser 2005-C1, Cl A4 | ||||||||
5.014%, 02/15/38 (A) | 263 | 282 | ||||||
CS First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/38 | 758 | 785 |
94 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CS First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/37 | $ | 290 | $ | 304 | ||||
CW Capital Cobalt, Ser 2006-C1, Cl A4 | ||||||||
5.223%, 08/15/48 | 215 | 220 | ||||||
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.587%, 02/25/20 (A) | 138 | 139 | ||||||
Developers Diversified Realty, Ser 2009-DDR1, Cl A | ||||||||
3.807%, 10/14/22 (D) | 440 | 467 | ||||||
First Horizon Asset Securities, Ser 2003-8, Cl 2A1 | ||||||||
4.500%, 09/25/18 | 276 | 286 | ||||||
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B | ||||||||
6.417%, 12/12/33 | 132 | 137 | ||||||
GE Capital Assurance, Ser 2003-1, Cl A4 | ||||||||
5.254%, 05/12/35 (A) (D) | 1,081 | 1,157 | ||||||
GE Capital Commercial Mortgage, Ser 2001-3, Cl A1 | ||||||||
5.560%, 06/10/38 | 31 | 31 | ||||||
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 | ||||||||
6.269%, 12/10/35 | 1,512 | 1,597 | ||||||
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 | ||||||||
4.996%, 12/10/37 | 2,000 | 2,124 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/34 | 53 | 55 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D | ||||||||
5.675%, 05/10/40 (A) | 94 | 96 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl B | ||||||||
5.675%, 05/10/40 (A) | 241 | 257 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2 | ||||||||
5.485%, 05/10/40 (A) | 122 | 134 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/40 | 179 | 194 | ||||||
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A4 | ||||||||
5.301%, 08/10/38 (A) | 187 | 205 | ||||||
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4 | ||||||||
4.067%, 10/19/33 (A) | 294 | 292 | ||||||
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4 | ||||||||
5.000%, 10/25/33 | 230 | 229 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7 | ||||||||
5.000%, 11/25/33 | $ | 352 | $ | 338 | ||||
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7 | ||||||||
6.500%, 01/25/35 | 330 | 338 | ||||||
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1 | ||||||||
5.000%, 01/25/20 | 225 | 232 | ||||||
GMAC Mortgage Loan Trust, Ser 2010-1, Cl A | ||||||||
4.250%, 07/25/40 (D) | 158 | 161 | ||||||
Greenwich Capital Commercial Funding, Ser 2002-C1, Cl A4 | ||||||||
4.948%, 01/11/35 | 1,340 | 1,423 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/36 (A) | 1,460 | 1,600 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/36 (A) | 266 | 286 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||||
4.619%, 08/10/42 | 686 | 717 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/37 (A) | 441 | 476 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
5.888%, 07/10/38 (A) | 2,250 | 2,465 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 1,900 | 2,003 | ||||||
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2 | ||||||||
6.449%, 08/05/18 (A) (D) | 186 | 193 | ||||||
GS Mortgage Securities II, Ser 2004-C1, Cl A2 | ||||||||
4.319%, 10/10/28 | 155 | 155 | ||||||
GS Mortgage Securities II, Ser 2006-GG8, Cl A4 | ||||||||
5.560%, 11/10/39 | 367 | 391 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
4.461%, 10/25/33 (A) | 867 | 888 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/34 | 228 | 240 | ||||||
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3 | ||||||||
0.847%, 06/25/35 (A) | 243 | 219 | ||||||
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 2A3 | ||||||||
5.500%, 06/25/35 | 246 | 249 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | ||||||||
5.500%, 01/25/37 | $ | 50 | $ | 46 | ||||
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1 | ||||||||
0.793%, 10/25/34 (A) | 1,935 | 1,738 | ||||||
Impac Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/51 (D) | 749 | 785 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/33 | 179 | 186 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D | ||||||||
6.847%, 04/15/35 (A) | 134 | 136 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/34 (A) | 46 | 48 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C | ||||||||
6.450%, 05/12/34 (A) | 182 | 190 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2004-C2, Cl A3 | ||||||||
5.407%, 05/15/41 (A) | 314 | 340 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/42 | 201 | 209 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2005-LDP5, Cl A4 | ||||||||
5.363%, 12/15/44 (A) | 903 | 994 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2006-CB16, Cl A4 | ||||||||
5.552%, 05/12/45 | 140 | 152 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 | ||||||||
5.429%, 12/12/43 | 728 | 775 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/47 | 380 | 402 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl ASB | ||||||||
6.006%, 06/15/49 (A) | 207 | 223 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A3 | ||||||||
6.188%, 02/15/51 (A) | 840 | 893 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/43 (D) | $ | 561 | $ | 588 | ||||
JP Morgan Mortgage Trust, Ser 2005-A1, Cl 5A1 | ||||||||
4.485%, 02/25/35 (A) | 112 | 115 | ||||||
JP Morgan Reremic, Ser 2010-4, Cl 7A1 | ||||||||
4.337%, 08/26/35 (A) (D) | 214 | 214 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl A3 | ||||||||
6.429%, 04/15/35 | 1,063 | 1,087 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2 | ||||||||
5.161%, 10/12/37 | 97 | 103 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4 | ||||||||
4.879%, 01/12/38 (A) | 238 | 255 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A4 | ||||||||
5.371%, 06/12/41 (A) | 95 | 102 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4 | ||||||||
4.918%, 10/15/42 (A) | 103 | 111 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | 273 | 284 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 | ||||||||
5.440%, 06/12/47 | 1,200 | 1,258 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||||
5.882%, 02/15/51 (A) | 1,485 | 1,557 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3 | ||||||||
5.420%, 01/15/49 | 855 | 890 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2008-C2, Cl A1 | ||||||||
5.017%, 02/12/51 | 2 | 2 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2 | ||||||||
5.633%, 12/05/27 (D) | 649 | 740 | ||||||
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl C | ||||||||
7.918%, 08/15/32 (A) | 122 | 121 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1 | ||||||||
4.280%, 07/25/34 (A) | 90 | 92 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1 | ||||||||
4.609%, 09/25/34 (A) | 113 | 117 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | ||||||||
3.900%, 08/25/34 (A) | 718 | 710 |
96 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1 | ||||||||
3.894%, 08/25/34 (A) | $ | 377 | $ | 350 | ||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
6.132%, 07/15/44 (A) | 129 | 139 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2 | ||||||||
6.653%, 11/15/27 | 122 | 124 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||||
5.594%, 06/15/31 | 248 | 263 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4 | ||||||||
4.563%, 09/15/26 | 78 | 80 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 | ||||||||
5.124%, 11/15/32 (A) | 75 | 82 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C1, Cl A4 | ||||||||
4.568%, 01/15/31 | 146 | 155 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C2, Cl A4 | ||||||||
4.367%, 03/15/36 | 244 | 254 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/29 | 101 | 106 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C1, Cl A4 | ||||||||
4.742%, 02/15/30 | 133 | 142 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.156%, 02/15/31 | 200 | 218 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4 | ||||||||
6.080%, 06/15/38 (A) | 125 | 138 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/40 | 40 | 43 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB | ||||||||
5.403%, 02/15/40 | 64 | 69 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl AAB | ||||||||
6.324%, 04/15/41 (A) | 166 | 184 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2 | ||||||||
6.324%, 04/15/41 (A) | 877 | 972 | ||||||
LVII Resecuritization Trust, Ser 2009-1, Cl A1 | ||||||||
5.949%, 11/27/37 (A) (D) | 137 | 140 | ||||||
LVII Resecuritization Trust, Ser 2009-2, Cl A4 | ||||||||
3.000%, 09/27/37 (A) (D) | 246 | 246 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LVII Resecuritization Trust, Ser 2009-2, Cl A3 | ||||||||
3.000%, 09/27/37 (A) (D) | $ | 300 | $ | 299 | ||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6 | ||||||||
3.075%, 11/21/34 (A) | 466 | 468 | ||||||
Master Alternative Loans Trust, Ser 2003-9, Cl 2A1 | ||||||||
6.000%, 12/25/33 | 255 | 263 | ||||||
Master Asset Securitization Trust, Ser 2003-2, Cl 1A1 | ||||||||
5.000%, 03/25/18 | 89 | 91 | ||||||
Master Resecuritization Trust, Ser 2005, Cl PO, PO | ||||||||
0.000%, 05/28/35 (D) | 186 | 119 | ||||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||||
6.500%, 08/25/32 | 817 | 849 | ||||||
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18 | ||||||||
5.500%, 04/25/33 | 181 | 180 | ||||||
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A | ||||||||
2.876%, 07/25/33 (A) | 72 | 73 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.261%, 02/25/34 (A) | 1,044 | 1,016 | ||||||
Merrill Lynch Mortgage Trust, Ser 2004-KEY2, Cl A4 | ||||||||
4.864%, 08/12/39 (A) | 420 | 441 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A | ||||||||
4.949%, 07/12/38 (A) | 127 | 135 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-KEY, Cl A4 | ||||||||
5.236%, 11/12/35 (A) | 418 | 452 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ | ||||||||
5.500%, 01/12/44 (A) | 120 | 114 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 | ||||||||
4.747%, 06/12/43 (A) | 52 | 56 | ||||||
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.838%, 05/12/39 (A) | 150 | 164 | ||||||
Merrill Lynch, Ser 2007-7, Cl A4 | ||||||||
5.810%, 06/12/50 (A) | 810 | 826 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/49 (A) | 1,654 | 1,713 | ||||||
MLCC Mortgage Investors, Ser 2004-A, Cl A2 | ||||||||
0.684%, 04/25/29 (A) | 111 | 102 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, Ser 2003-IQ6, Cl A | ||||||||
4.970%, 12/15/41 | $ | 266 | $ | 287 | ||||
Morgan Stanley Capital I, Ser 2003-T11, Cl A4 | ||||||||
5.150%, 06/13/41 | 190 | 205 | ||||||
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4 | ||||||||
4.800%, 01/13/41 | 129 | 139 | ||||||
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4 | ||||||||
4.900%, 06/15/40 | 427 | 445 | ||||||
Morgan Stanley Capital I, Ser 2004-T15, Cl A4 | ||||||||
5.270%, 06/13/41 (A) | 156 | 170 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB | ||||||||
5.037%, 01/14/42 | 120 | 126 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A4 | ||||||||
5.168%, 01/14/42 | 215 | 232 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A | ||||||||
4.989%, 08/13/42 | 786 | 853 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB | ||||||||
5.185%, 11/14/42 (A) | 59 | 63 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ7, Cl A4 | ||||||||
5.376%, 11/14/42 (A) | 416 | 459 | ||||||
Morgan Stanley Capital I, Ser 2005-IQ9, Cl A5 | ||||||||
4.700%, 07/15/56 | 264 | 281 | ||||||
Morgan Stanley Capital I, Ser 2005-T17, Cl A4 | ||||||||
4.520%, 12/13/41 | 35 | 35 | ||||||
Morgan Stanley Capital I, Ser 2006-T21, Cl A4 | ||||||||
5.162%, 10/12/52 (A) | 300 | 326 | ||||||
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A1 | ||||||||
5.357%, 12/15/44 | 139 | 143 | ||||||
Morgan Stanley Capital I, Ser 2007-IQ16, Cl A4 | ||||||||
5.809%, 12/12/49 | 846 | 896 | ||||||
Morgan Stanley Capital I, Ser 2007-T27, Cl A4 | ||||||||
5.802%, 06/11/42 (A) (E) | 100 | 111 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl B | ||||||||
6.550%, 07/15/33 | 159 | 165 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B | ||||||||
6.640%, 04/15/34 | 111 | 118 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/35 | $ | 306 | $ | 327 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/35 | 111 | 115 | ||||||
Nomura Asset Securities, Ser 1998-D6, Cl A2 | ||||||||
7.319%, 03/15/30 (A) | 406 | 456 | ||||||
PNC Mortgage Acceptance, Ser 2001-C1, Cl A2 | ||||||||
6.360%, 03/12/34 | 132 | 134 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO | ||||||||
0.000%, 02/25/34 | 71 | 55 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 | ||||||||
6.000%, 02/25/34 | 152 | 158 | ||||||
Prudential Mortgage Capital Funding, Ser 2001-ROCK, Cl B | ||||||||
6.760%, 05/10/34 | 144 | 148 | ||||||
RBSSP Resecuritization Trust, Ser 2010-4, Cl 12A1 | ||||||||
4.500%, 03/26/21 (D) | 334 | 340 | ||||||
Residential Accredit Loans, Ser 2003-QS15, Cl A7 | ||||||||
5.500%, 08/25/33 | 210 | 217 | ||||||
Residential Accredit Loans, Ser 2003-QS18, Cl A1 | ||||||||
5.000%, 09/25/18 | 241 | 245 | ||||||
Residential Accredit Loans, Ser 2004-QA7, Cl A4 | ||||||||
5.500%, 05/25/34 | 282 | 242 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/31 | 880 | 876 | ||||||
Residential Asset Securitization Trust, Ser 2002-A13, Cl A4 | ||||||||
5.250%, 12/25/17 | 185 | 186 | ||||||
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1 | ||||||||
5.500%, 06/25/33 | 169 | 171 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.897%, 12/25/34 (A) | 1,011 | 965 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2000-C2, Cl C | ||||||||
7.727%, 07/18/33 (A) | 53 | 53 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 | ||||||||
4.467%, 03/18/36 | 45 | 46 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
3.690%, 09/25/33 (A) | 238 | 237 |
98 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1 | ||||||||
3.750%, 02/25/40 (A) | $ | 182 | $ | 185 | ||||
Station Place Securitization Trust, Ser 2009-1, Cl A | ||||||||
1.847%, 01/25/40 (A) (D) | 250 | 251 | ||||||
Structured Asset Securities, Ser 2003-16, Cl A3 | ||||||||
0.847%, 06/25/33 (A) | 234 | 214 | ||||||
Structured Asset Securities, Ser 2003-24A, Cl 3A2 | ||||||||
2.679%, 07/25/33 (A) | 376 | 371 | ||||||
Structured Asset Securities, Ser 2003-32, Cl 1A1 | ||||||||
5.147%, 11/25/33 (A) | 158 | 160 | ||||||
Structured Asset Securities, Ser 2003-33H, Cl 1A1 | ||||||||
5.500%, 10/25/33 | 283 | 284 | ||||||
Structured Asset Securities, Ser 2003-37A, Cl 2A | ||||||||
4.998%, 12/25/33 (A) | 172 | 179 | ||||||
Structured Asset Securities, Ser 2004-5H, Cl A4 | ||||||||
5.540%, 12/25/33 | 400 | 411 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3 | ||||||||
6.071%, 08/15/39 (A) | 1,000 | 1,118 | ||||||
US Bank, Ser 2007-1, Cl A | ||||||||
5.920%, 05/25/12 | 477 | 498 | ||||||
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB | ||||||||
7.250%, 02/15/23 | 1,034 | 1,209 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4 | ||||||||
6.287%, 04/15/34 | 88 | 93 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||||
4.241%, 10/15/35 (D) | 31 | 31 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||||
4.445%, 11/15/35 | 143 | 147 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
2.825%, 10/25/33 (A) | 320 | 310 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.831%, 08/25/33 (A) | 191 | 186 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.834%, 08/25/33 (A) | 84 | 85 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.829%, 09/25/33 (A) | 296 | 287 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-S13, Cl 21A1 | ||||||||
4.500%, 12/25/18 | $ | 181 | $ | 188 | ||||
WaMu Mortgage Pass Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.508%, 06/25/33 (A) | 80 | 80 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/33 | 718 | 712 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.712%, 06/25/34 (A) | 132 | 127 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
4.243%, 06/25/34 (A) | 198 | 197 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/19 | 277 | 288 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/34 | 699 | 720 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/34 | 225 | 234 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-15, Cl 1A1 | ||||||||
4.750%, 12/25/18 | 477 | 495 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-C, Cl A6 | ||||||||
3.292%, 02/25/33 (A) | 176 | 178 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-J, Cl 2A5 | ||||||||
4.438%, 10/25/33 (A) | 170 | 174 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-K, Cl 1A1 | ||||||||
4.472%, 11/25/33 (A) | 269 | 267 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
4.500%, 05/25/34 (A) | 107 | 108 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A8 | ||||||||
4.858%, 05/25/34 (A) | 250 | 253 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 2A2 | ||||||||
3.050%, 12/25/34 (A) | 327 | 323 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A1 | ||||||||
3.596%, 12/25/34 (A) | 154 | 151 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 2A1 | ||||||||
3.050%, 12/25/34 (A) | 327 | 319 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
3.322%, 07/25/34 (A) | 286 | 285 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-P, Cl 2A1 | ||||||||
3.060%, 09/25/34 (A) | $ | 160 | $ | 159 | ||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A2 | ||||||||
3.143%, 10/25/34 (A) | 341 | 343 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A1 | ||||||||
3.143%, 10/25/34 (A) | 171 | 169 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR8, Cl 2A1 | ||||||||
3.098%, 06/25/35 (A) | 286 | 279 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||||
4.534%, 06/25/34 (A) | 637 | 628 | ||||||
97,242 | ||||||||
Total Mortgage-Backed Securities (Cost $438,339) ($ Thousands) | 452,446 | |||||||
CORPORATE OBLIGATIONS — 24.8% |
| |||||||
Consumer Discretionary — 1.3% | ||||||||
British Sky Broadcasting Group | ||||||||
9.500%, 11/15/18 (D) | 298 | 407 | ||||||
CBS | ||||||||
7.875%, 07/30/30 | 50 | 60 | ||||||
5.750%, 04/15/20 | 25 | 28 | ||||||
Comcast | ||||||||
6.500%, 01/15/17 | 725 | 862 | ||||||
6.400%, 03/01/40 | 250 | 278 | ||||||
5.850%, 11/15/15 (E) | 465 | 539 | ||||||
5.150%, 03/01/20 | 125 | 137 | ||||||
Comcast Cable Communications | ||||||||
8.375%, 03/15/13 | 592 | 687 | ||||||
Comcast Cable Holdings | ||||||||
10.125%, 04/15/22 | 45 | 65 | ||||||
COX Communications | ||||||||
5.450%, 12/15/14 | 70 | 79 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/27 (D) | 50 | 59 | ||||||
Daimler Finance LLC | ||||||||
7.300%, 01/15/12 | 170 | 183 | ||||||
6.500%, 11/15/13 | 80 | 92 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/40 | 779 | 805 | ||||||
4.600%, 02/15/21 | 100 | 103 | ||||||
Grupo Televisa | ||||||||
6.625%, 01/15/40 (E) | 124 | 141 | ||||||
Historic TW | ||||||||
9.150%, 02/01/23 | 200 | 273 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/37 | 110 | 145 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mattel | ||||||||
6.200%, 10/01/40 | $ | 260 | $ | 264 | ||||
4.350%, 10/01/20 (E) | 170 | 172 | ||||||
NBC Universal | ||||||||
5.950%, 04/01/41 (D) | 396 | 407 | ||||||
4.375%, 04/01/21 (D) | 346 | 350 | ||||||
2.875%, 04/01/16 (D) | 417 | 417 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/20 | 47 | 49 | ||||||
News America | ||||||||
7.300%, 04/30/28 | 100 | 116 | ||||||
7.250%, 05/18/18 | 50 | 62 | ||||||
6.150%, 03/01/37 | 445 | 479 | ||||||
Omnicom Group | ||||||||
4.450%, 08/15/20 | 309 | 318 | ||||||
Staples | ||||||||
9.750%, 01/15/14 | 80 | 99 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/15 | 210 | 264 | ||||||
7.125%, 02/15/28 | 200 | 229 | ||||||
Thomson Reuters | ||||||||
5.950%, 07/15/13 (E) | 213 | 239 | ||||||
4.700%, 10/15/19 | 75 | 83 | ||||||
Time Warner | ||||||||
7.625%, 04/15/31 | 620 | 769 | ||||||
6.100%, 07/15/40 | 159 | 171 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/19 (E) | 200 | 258 | ||||||
7.300%, 07/01/38 (E) | 110 | 135 | ||||||
6.750%, 07/01/18 | 800 | 954 | ||||||
Viacom | ||||||||
6.250%, 04/30/16 | 100 | 117 | ||||||
10,895 | ||||||||
Consumer Staples — 1.0% | ||||||||
Altria Group | ||||||||
10.200%, 02/06/39 | 135 | 199 | ||||||
9.700%, 11/10/18 (E) | 315 | 427 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/19 (D) (E) | 1,095 | 1,421 | ||||||
7.200%, 01/15/14 (D) | 120 | 140 | ||||||
5.375%, 11/15/14 (D) | 220 | 247 | ||||||
4.125%, 01/15/15 | 590 | 635 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/19 (E) | 120 | 145 | ||||||
CVS Caremark | ||||||||
6.125%, 09/15/39 | 40 | 44 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/20 | 90 | 101 | ||||||
Diageo Finance BV | ||||||||
5.500%, 04/01/13 | 90 | 99 | ||||||
Dr Pepper Snapple Group | ||||||||
6.820%, 05/01/18 | 380 | 470 |
100 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
General Mills | ||||||||
5.250%, 08/15/13 | $ | 90 | $ | 100 | ||||
Kraft Foods | ||||||||
6.500%, 02/09/40 (E) | 960 | 1,124 | ||||||
6.125%, 08/23/18 | 225 | 266 | ||||||
5.375%, 02/10/20 | 546 | 610 | ||||||
Kroger | ||||||||
7.500%, 04/01/31 | 30 | 39 | ||||||
5.400%, 07/15/40 | 14 | 15 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/18 | 50 | 67 | ||||||
5.500%, 01/15/40 (E) | 234 | 268 | ||||||
SABMiller | ||||||||
5.500%, 08/15/13 (D) | 90 | 99 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/01/40 | 240 | 272 | ||||||
5.250%, 09/01/35 | 195 | 209 | ||||||
4.875%, 07/08/40 | 435 | 444 | ||||||
WM Wrigley Jr | ||||||||
3.700%, 06/30/14 (D) | 260 | 269 | ||||||
Woolworths | ||||||||
4.000%, 09/22/20 (D) | 510 | 520 | ||||||
2.550%, 09/22/15 (D) | 365 | 369 | ||||||
8,599 | ||||||||
Energy — 2.1% | ||||||||
Anadarko Petroleum | ||||||||
7.625%, 03/15/14 (E) | 180 | 204 | ||||||
Apache | ||||||||
5.100%, 09/01/40 | 240 | 241 | ||||||
BP Capital Markets | ||||||||
3.875%, 03/10/15 (E) | 185 | 193 | ||||||
Cenovus Energy | ||||||||
6.750%, 11/15/39 | 480 | 580 | ||||||
5.700%, 10/15/19 | 55 | 64 | ||||||
CenterPoint Energy Resources | ||||||||
7.875%, 04/01/13 | 25 | 29 | ||||||
5.950%, 01/15/14 | 70 | 78 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/20 (E) | 100 | 123 | ||||||
5.900%, 05/15/38 | 415 | 482 | ||||||
Encana | ||||||||
6.500%, 05/15/19 (E) | 150 | 184 | ||||||
6.500%, 02/01/38 | 675 | 787 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/19 | 225 | 288 | ||||||
ENI | ||||||||
5.700%, 10/01/40 (D) | 300 | 307 | ||||||
4.150%, 10/01/20 (D) | 600 | 608 | ||||||
Halliburton | ||||||||
6.150%, 09/15/19 | 80 | 95 | ||||||
Hess | ||||||||
5.600%, 02/15/41 (E) | 173 | 181 | ||||||
Husky Energy | ||||||||
5.900%, 06/15/14 | 293 | 326 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kinder Morgan Energy Partners | ||||||||
6.550%, 09/15/40 | $ | 133 | $ | 146 | ||||
Marathon Oil | ||||||||
7.500%, 02/15/19 (E) | 100 | 128 | ||||||
Motiva Enterprises | ||||||||
6.850%, 01/15/40 (D) | 400 | 480 | ||||||
Noble Holding International | ||||||||
6.200%, 08/01/40 | 255 | 282 | ||||||
Petrobras International Finance - Pifco | ||||||||
6.875%, 01/20/40 | 251 | 287 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | 595 | 705 | ||||||
6.050%, 05/15/18 | 115 | 134 | ||||||
Petroleos Mexicanos MTN | ||||||||
5.500%, 01/21/21 (D) | 80 | 85 | ||||||
Plains All American Pipeline | ||||||||
3.950%, 09/15/15 | 323 | 339 | ||||||
Ras Laffan Liquefied Natural Gas III | ||||||||
5.500%, 09/30/14 (D) | 250 | 274 | ||||||
Rockies Express Pipeline | ||||||||
3.900%, 04/15/15 (D) | 695 | 695 | ||||||
Shell International Finance BV | ||||||||
4.300%, 09/22/19 | 300 | 329 | ||||||
3.100%, 06/28/15 (E) | 636 | 670 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 875 | 1,016 | ||||||
Spectra Energy Capital | ||||||||
8.000%, 10/01/19 | 200 | 253 | ||||||
Statoil | ||||||||
3.125%, 08/17/17 | 205 | 213 | ||||||
Suncor Energy | ||||||||
6.500%, 06/15/38 (E) | 380 | 436 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/19 | 100 | 128 | ||||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/16 | 1,000 | 1,190 | ||||||
Tosco | ||||||||
7.800%, 01/01/27 | 65 | 84 | ||||||
Total Capital | ||||||||
3.000%, 06/24/15 | 370 | 388 | ||||||
TransCanada Pipelines | ||||||||
6.500%, 08/15/18 | 175 | 214 | ||||||
TransCanada PipeLines | ||||||||
7.125%, 01/15/19 | 50 | 63 | ||||||
3.800%, 10/01/20 | 470 | 480 | ||||||
Transocean | ||||||||
6.500%, 11/15/20 | 120 | 131 | ||||||
4.950%, 11/15/15 | 785 | 816 | ||||||
Union Pacific Resources Group | ||||||||
7.150%, 05/15/28 | 52 | 53 | ||||||
Valero Energy | ||||||||
9.375%, 03/15/19 | 404 | 516 | ||||||
6.625%, 06/15/37 | 935 | 939 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Williams | ||||||||
7.875%, 09/01/21 | $ | 1,022 | $ | 1,241 | ||||
7.750%, 06/15/31 | 550 | 628 | ||||||
XTO Energy | ||||||||
6.250%, 08/01/17 | 100 | 124 | ||||||
4.625%, 06/15/13 | 30 | 33 | ||||||
18,270 | ||||||||
Financials — 14.7% | ||||||||
ACE INA Holdings | ||||||||
5.600%, 05/15/15 | 100 | 113 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/14 (D) | 1,020 | 1,084 | ||||||
AEP Texas Central Transition Funding | ||||||||
5.090%, 07/01/15 | 1,300 | 1,474 | ||||||
4.980%, 07/01/13 | 332 | 351 | ||||||
Aflac | ||||||||
6.450%, 08/15/40 | 25 | 26 | ||||||
Allstate | ||||||||
5.000%, 08/15/14 | 70 | 78 | ||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/13 | 610 | 674 | ||||||
American Express | ||||||||
7.250%, 05/20/14 | 105 | 123 | ||||||
7.000%, 03/19/18 (E) | 170 | 205 | ||||||
American Express Credit MTN | ||||||||
7.300%, 08/20/13 | 680 | 781 | ||||||
2.750%, 09/15/15 (E) | 580 | 584 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/20 (D) | 495 | 501 | ||||||
ANZ National Int’l | ||||||||
2.375%, 12/21/12 (D) | 100 | 101 | ||||||
AON | ||||||||
6.250%, 09/30/40 | 19 | 20 | ||||||
3.500%, 09/30/15 | 11 | 11 | ||||||
Associates Corp of North America | ||||||||
6.950%, 11/01/18 | 200 | 221 | ||||||
Australia & New Zealand Banking Group | ||||||||
3.700%, 01/13/15 (D) | 530 | 558 | ||||||
AvalonBay Communities MTN | ||||||||
5.700%, 03/15/17‡ | 1,300 | 1,463 | ||||||
Bank of America | ||||||||
7.375%, 05/15/14 | 1,160 | 1,333 | ||||||
6.500%, 08/01/16 | 1,325 | 1,490 | ||||||
6.100%, 06/15/17 | 1,875 | 2,004 | ||||||
6.000%, 09/01/17 (E) | 375 | 406 | ||||||
5.750%, 12/01/17 | 110 | 118 | ||||||
5.650%, 05/01/18 | 1,370 | 1,452 | ||||||
5.625%, 07/01/20 | 570 | 602 | ||||||
5.420%, 03/15/17 | 100 | 102 | ||||||
4.500%, 04/01/15 | 150 | 157 | ||||||
3.700%, 09/01/15 (E) | 405 | 409 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/20 | $ | 40 | $ | 44 | ||||
2.950%, 06/18/15 (E) | 125 | 131 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/15 | 94 | 100 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/15 (D) (E) | 100 | 108 | ||||||
Barclays Bank | ||||||||
5.200%, 07/10/14 | 150 | 166 | ||||||
5.125%, 01/08/20 (E) | 515 | 557 | ||||||
5.000%, 09/22/16 (E) | 1,450 | 1,587 | ||||||
2.500%, 01/23/13 (E) | 150 | 153 | ||||||
BB&T | ||||||||
4.900%, 06/30/17 | 200 | 212 | ||||||
3.950%, 04/29/16 (E) | 160 | 169 | ||||||
3.850%, 07/27/12 | 150 | 157 | ||||||
3.375%, 09/25/13 | 195 | 205 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/18 | 1,500 | 1,827 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/18 (E) | 110 | 126 | ||||||
BlackRock | ||||||||
6.250%, 09/15/17 | 145 | 173 | ||||||
Blackstone Holdings Finance | ||||||||
5.875%, 03/15/21 (D) | 295 | 299 | ||||||
BPCE | ||||||||
2.375%, 10/04/13 (D) | 493 | 493 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.600%, 07/02/15 (D) | 250 | 260 | ||||||
Capital One Bank USA | ||||||||
8.800%, 07/15/19 | 325 | 415 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/14 | 225 | 263 | ||||||
6.750%, 09/15/17 | 70 | 84 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/19 (E) | 110 | 142 | ||||||
5.850%, 09/01/17 | 140 | 165 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (D) | 900 | 935 | ||||||
Charles Schwab | ||||||||
4.950%, 06/01/14 | 20 | 22 | ||||||
Chase Capital II | ||||||||
0.844%, 02/01/27 (A) | 560 | 426 | ||||||
Cie de Financement Foncier | ||||||||
2.500%, 09/16/15 (D) | 400 | 402 | ||||||
2.125%, 04/22/13 (D) | 300 | 305 | ||||||
Citigroup | ||||||||
8.500%, 05/22/19 | 364 | 450 | ||||||
8.125%, 07/15/39 | 2,361 | 2,982 | ||||||
6.500%, 08/19/13 | 250 | 276 | ||||||
6.375%, 08/12/14 (E) | 710 | 788 | ||||||
6.125%, 05/15/18 | 115 | 126 | ||||||
6.010%, 01/15/15 | 325 | 357 | ||||||
6.000%, 08/15/17 (E) | 620 | 670 |
102 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.875%, 02/22/33 | $ | 710 | $ | 680 | ||||
5.375%, 08/09/20 (E) | 535 | 554 | ||||||
5.300%, 01/07/16 | 775 | 826 | ||||||
4.750%, 05/19/15 (E) | 305 | 321 | ||||||
1.150%, 12/09/11 (A) | 885 | 894 | ||||||
1.047%, 08/25/36 (A) | 1,500 | 954 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/12 (E) | 915 | 938 | ||||||
City National Capital Trust I | ||||||||
9.625%, 02/01/40 | 1,300 | 1,350 | ||||||
CME Group | ||||||||
5.750%, 02/15/14 | 46 | 52 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/20 | 72 | 73 | ||||||
Comerica | ||||||||
3.000%, 09/16/15 | 35 | 35 | ||||||
CommonWealth REIT | ||||||||
6.650%, 01/15/18‡ | 60 | 65 | ||||||
6.250%, 08/15/16‡ | 100 | 107 | ||||||
Credit Suisse New York | ||||||||
6.000%, 02/15/18 | 370 | 409 | ||||||
Credit Suisse NY MTN | ||||||||
5.300%, 08/13/19 | 250 | 277 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/15 (E) | 170 | 191 | ||||||
Deutsche Bank MTN | ||||||||
4.875%, 05/20/13 | 750 | 815 | ||||||
3.875%, 08/18/14 (E) | 100 | 107 | ||||||
2.375%, 01/11/13 (E) | 1,355 | 1,386 | ||||||
Dexia Credit Local | ||||||||
2.750%, 04/29/14 (D) | 1,795 | 1,845 | ||||||
Discover Financial Services | ||||||||
6.450%, 06/12/17 | 250 | 269 | ||||||
ERP Operating | ||||||||
5.750%, 06/15/17‡ | 125 | 141 | ||||||
5.125%, 03/15/16‡ | 830 | 909 | ||||||
Export-Import Bank of Korea | ||||||||
5.500%, 10/17/12 | 233 | 249 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/48 (D) | 1,721 | 1,648 | ||||||
7.050%, 07/15/28 (D) | 480 | 474 | ||||||
FIH Erhvervsbank | ||||||||
2.000%, 06/12/13 (D) | 640 | 655 | ||||||
General Electric Capital MTN | ||||||||
6.750%, 03/15/32 | 1,665 | 1,851 | ||||||
6.000%, 08/07/19 | 645 | 726 | ||||||
5.900%, 05/13/14 | 850 | 963 | ||||||
5.875%, 01/14/38 | 1,950 | 1,980 | ||||||
5.625%, 09/15/17 | 700 | 783 | ||||||
5.500%, 01/08/20 (E) | 180 | 197 | ||||||
5.400%, 02/15/17 | 200 | 220 | ||||||
2.625%, 12/28/12 | 1,460 | 1,522 | ||||||
2.000%, 09/28/12 | 2,955 | 3,036 | ||||||
1.384%, 05/22/13 (A) | 760 | 758 | ||||||
0.414%, 04/10/12 (A) | 500 | 498 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Goldman Sachs Group MTN | ||||||||
7.500%, 02/15/19 | $ | 700 | $ | 833 | ||||
6.750%, 10/01/37 (E) | 305 | 317 | ||||||
6.250%, 09/01/17 | 650 | 730 | ||||||
6.150%, 04/01/18 | 780 | 865 | ||||||
6.000%, 05/01/14 | 2,800 | 3,124 | ||||||
6.000%, 06/15/20 (E) | 835 | 918 | ||||||
5.375%, 03/15/20 | 950 | 1,001 | ||||||
5.250%, 10/15/13 (E) | 140 | 152 | ||||||
3.700%, 08/01/15 (E) | 381 | 390 | ||||||
1.151%, 12/05/11 (A) | 2,030 | 2,049 | ||||||
Guardian Life Insurance of America | ||||||||
7.375%, 09/30/39 (D) | 1,250 | 1,483 | ||||||
Hartford Financial Services Group | ||||||||
5.500%, 03/30/20 (E) | 450 | 458 | ||||||
HCP MTN | ||||||||
6.700%, 01/30/18‡ | 1,119 | 1,231 | ||||||
6.300%, 09/15/16‡ | 430 | 467 | ||||||
6.000%, 01/30/17‡ | 89 | 95 | ||||||
5.950%, 09/15/11‡ | 1,155 | 1,201 | ||||||
5.650%, 12/15/13‡(E) | 401 | 431 | ||||||
Health Care REIT | ||||||||
6.125%, 04/15/20‡ | 1,775 | 1,900 | ||||||
Healthcare Realty Trust | ||||||||
6.500%, 01/17/17‡ | 1,400 | 1,516 | ||||||
HSBC Bank | ||||||||
4.125%, 08/12/20 (D) | 100 | 102 | ||||||
HSBC Bank USA | ||||||||
4.875%, 08/24/20 (E) | 360 | 376 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/14 | 175 | 188 | ||||||
HSBC Finance | ||||||||
5.500%, 01/19/16 | 140 | 154 | ||||||
4.750%, 07/15/13 | 160 | 170 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/38 | 465 | 539 | ||||||
International Lease Finance MTN | ||||||||
5.250%, 01/10/13 | 100 | 99 | ||||||
Itau Unibanco Holding MTN | ||||||||
6.200%, 04/15/20 (D) (E) | 380 | 396 | ||||||
Jackson National Life Global Funding MTN | ||||||||
5.375%, 05/08/13 (D) | 200 | 217 | ||||||
Jefferies Group | ||||||||
6.450%, 06/08/27 | 160 | 157 | ||||||
6.250%, 01/15/36 | 120 | 110 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/18 | 100 | 118 | ||||||
JP Morgan Chase Capital XIII | ||||||||
1.239%, 09/30/34 (A) | 500 | 377 | ||||||
JPMorgan Chase | ||||||||
4.950%, 03/25/20 | 130 | 139 | ||||||
3.700%, 01/20/15 | 110 | 116 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/17 (E) | $ | 2,634 | $ | 2,990 | ||||
JPMorgan Chase Capital XV | ||||||||
5.875%, 03/15/35 | 1,645 | 1,605 | ||||||
JPMorgan Chase Capital XXV | ||||||||
6.800%, 10/01/37 | 416 | 424 | ||||||
KeyBank | ||||||||
5.800%, 07/01/14 (E) | 250 | 273 | ||||||
Kilroy Realty | ||||||||
6.625%, 06/01/20‡(D) | 195 | 198 | ||||||
Korea Development Bank | ||||||||
4.375%, 08/10/15 (E) | 350 | 371 | ||||||
3.250%, 03/09/16 (E) | 534 | 535 | ||||||
Lazard Group | ||||||||
7.125%, 05/15/15 | 438 | 478 | ||||||
6.850%, 06/15/17 | 599 | 641 | ||||||
Liberty Mutual Group | ||||||||
7.500%, 08/15/36 (D) | 242 | 246 | ||||||
Lloyds TSB Bank MTN | ||||||||
6.500%, 09/14/20 (D) | 285 | 288 | ||||||
M&T Bank | ||||||||
5.375%, 05/24/12 | 80 | 85 | ||||||
Macquarie Group | ||||||||
7.300%, 08/01/14 | 1,475 | 1,668 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (D) | 890 | 1,216 | ||||||
MassMutual Global Funding II | ||||||||
2.875%, 04/21/14 (D) | 100 | 105 | ||||||
Merrill Lynch | ||||||||
6.875%, 04/25/18 | 100 | 112 | ||||||
6.400%, 08/28/17 | 150 | 164 | ||||||
6.150%, 04/25/13 | 140 | 153 | ||||||
6.050%, 05/16/16 | 920 | 979 | ||||||
MetLife | ||||||||
6.750%, 06/01/16 | 390 | 466 | ||||||
6.400%, 12/15/36 | 695 | 650 | ||||||
Metropolitan Life Global Funding I | ||||||||
5.125%, 06/10/14 (D) | 100 | 111 | ||||||
2.875%, 09/17/12 (D) | 200 | 206 | ||||||
2.500%, 01/11/13 (D) | 110 | 113 | ||||||
2.500%, 09/29/15 (D) | 520 | 521 | ||||||
Monumental Global Funding | ||||||||
5.500%, 04/22/13 (D) | 65 | 70 | ||||||
Morgan Stanley | ||||||||
7.300%, 05/13/19 | 100 | 115 | ||||||
6.625%, 04/01/18 | 1,770 | 1,962 | ||||||
6.250%, 08/28/17 (E) | 200 | 219 | ||||||
5.950%, 12/28/17 (E) | 297 | 319 | ||||||
5.750%, 08/31/12 (E) | 180 | 193 | ||||||
5.625%, 09/23/19 | 285 | 297 | ||||||
5.550%, 04/27/17 | 985 | 1,044 | ||||||
5.500%, 01/26/20 | 700 | 720 | ||||||
5.500%, 07/24/20 | 260 | 268 | ||||||
5.450%, 01/09/17 | 470 | 496 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.750%, 04/01/14 (E) | $ | 620 | $ | 648 | ||||
4.200%, 11/20/14 | 156 | 162 | ||||||
0.889%, 06/20/12 (A) | 2,385 | 2,404 | ||||||
0.554%, 01/18/11 (A) (E) | 325 | 325 | ||||||
National Australia Bank | ||||||||
3.750%, 03/02/15 (D) | 120 | 127 | ||||||
2.500%, 01/08/13 (D) | 150 | 153 | ||||||
National City | ||||||||
6.875%, 05/15/19 | 50 | 59 | ||||||
4.900%, 01/15/15 | 200 | 221 | ||||||
National City Bank | ||||||||
0.908%, 06/07/17 (A) | 1,300 | 1,167 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/18 | 60 | 86 | ||||||
2.625%, 09/16/12 | 25 | 26 | ||||||
New York Life Global Funding | ||||||||
4.650%, 05/09/13 (D) | 150 | 162 | ||||||
3.000%, 05/04/15 (D) | 720 | 751 | ||||||
NIBC Bank MTN | ||||||||
2.800%, 12/02/14 (D) | 615 | 642 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/20 (E) | 115 | 131 | ||||||
5.000%, 03/04/15 | 40 | 43 | ||||||
Nordea Bank | ||||||||
3.700%, 11/13/14 (D) | 630 | 666 | ||||||
Northern Trust | ||||||||
5.500%, 08/15/13 | 200 | 225 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (D) | 350 | 407 | ||||||
Pacific Life Global Funding MTN | ||||||||
5.150%, 04/15/13 (D) | 100 | 108 | ||||||
5.000%, 05/15/17 (D) | 50 | 53 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/30 (D) | 1,500 | 1,588 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/20 | 90 | 97 | ||||||
Power Receivables Financial | ||||||||
6.290%, 01/01/12 (D) | 105 | 105 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.300%, 12/14/12 | 125 | 134 | ||||||
5.300%, 04/24/13 (E) | 125 | 135 | ||||||
5.100%, 04/15/14 | 225 | 245 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/23 (D) | 1,200 | 1,521 | ||||||
1.414%, 12/18/17 (A) (D) | 750 | 648 | ||||||
Qatari Diar Finance QSC | ||||||||
5.000%, 07/21/20 (D) | 550 | 577 | ||||||
Rabobank Nederland MTN | ||||||||
3.200%, 03/11/15 (D) | 200 | 209 | ||||||
Simon Property Group | ||||||||
10.350%, 04/01/19‡ | 130 | 182 | ||||||
6.750%, 05/15/14‡ | 50 | 58 | ||||||
5.650%, 02/01/20‡ | 38 | 42 |
104 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Stadshypotek | ||||||||
1.450%, 09/30/13 (D) | $ | 349 | $ | 350 | ||||
Svensk Exportkredit | ||||||||
3.250%, 09/16/14 | 652 | 695 | ||||||
Tanger Properties | ||||||||
6.125%, 06/01/20‡ | 215 | 235 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/39 (D) | 315 | 388 | ||||||
Toronto-Dominion Bank | ||||||||
2.200%, 07/29/15 (D) (E) | 100 | 101 | ||||||
Toyota Motor Credit MTN | ||||||||
3.200%, 06/17/15 | 87 | 92 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/26 | 100 | 128 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/17 (E) | 120 | 136 | ||||||
US Bancorp MTN | ||||||||
2.875%, 11/20/14 | 138 | 144 | ||||||
2.000%, 06/14/13 | 75 | 77 | ||||||
Wachovia | ||||||||
5.750%, 06/15/17 (E) | 485 | 554 | ||||||
Wachovia Bank | ||||||||
6.600%, 01/15/38 | 380 | 431 | ||||||
6.000%, 11/15/17 | 875 | 1,000 | ||||||
0.867%, 03/15/16 (A) | 400 | 367 | ||||||
WEA Finance | ||||||||
7.500%, 06/02/14 (D) | 1,361 | 1,584 | ||||||
7.125%, 04/15/18 (D) (E) | 200 | 235 | ||||||
6.750%, 09/02/19 (D) | 70 | 83 | ||||||
Wells Fargo MTN | ||||||||
5.625%, 12/11/17 (E) | 180 | 205 | ||||||
3.750%, 10/01/14 | 390 | 413 | ||||||
Westfield Group | ||||||||
5.400%, 10/01/12 (D) | 319 | 340 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/19 (E) | 550 | 590 | ||||||
3.000%, 08/04/15 | 739 | 755 | ||||||
2.250%, 11/19/12 (E) | 880 | 897 | ||||||
WR Berkley | ||||||||
5.375%, 09/15/20 | 185 | 189 | ||||||
ZFS Finance USA Trust IV | ||||||||
5.875%, 05/09/32 (A) (D) | 1,750 | 1,642 | ||||||
129,232 | ||||||||
Government — 0.4% | ||||||||
Chile Government International Bond | ||||||||
3.875%, 08/05/20 | 595 | 617 | ||||||
Kommunalbanken | ||||||||
1.750%, 10/05/15 (D) | 502 | 501 | ||||||
Mexico Government International Bond MTN | ||||||||
6.375%, 01/16/13 | 200 | 223 | ||||||
Poland Government International Bond | ||||||||
3.875%, 07/16/15 | 265 | 276 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Province of Ontario Canada | ||||||||
4.400%, 04/14/20 | $ | 100 | $ | 110 | ||||
2.950%, 02/05/15 | 240 | 254 | ||||||
Province of Quebec Canada | ||||||||
6.350%, 01/30/26 | 70 | 95 | ||||||
3.500%, 07/29/20 | 191 | 196 | ||||||
Qatar Govt International Bond | ||||||||
4.000%, 01/20/15 (D) | 885 | 934 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
3.625%, 04/29/15 (D) | 300 | 302 | ||||||
3,508 | ||||||||
Health Care — 0.4% | ||||||||
Allergan | ||||||||
3.375%, 09/15/20 | 575 | 575 | ||||||
Amgen | ||||||||
5.750%, 03/15/40 | 192 | 218 | ||||||
4.500%, 03/15/20 | 22 | 24 | ||||||
3.450%, 10/01/20 | 585 | 589 | ||||||
Bristol-Myers Squibb | ||||||||
5.450%, 05/01/18 | 245 | 291 | ||||||
CareFusion | ||||||||
4.125%, 08/01/12 (E) | 205 | 215 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/17 (E) | 391 | 391 | ||||||
Hospira | ||||||||
5.600%, 09/15/40 | 175 | 181 | ||||||
5.550%, 03/30/12 | 100 | 107 | ||||||
Life Technologies | ||||||||
6.000%, 03/01/20 | 166 | 188 | ||||||
4.400%, 03/01/15 | 233 | 249 | ||||||
Medco Health Solutions | ||||||||
2.750%, 09/15/15 | 35 | 36 | ||||||
Pfizer | ||||||||
5.350%, 03/15/15 | 120 | 139 | ||||||
Pharmacia | ||||||||
6.500%, 12/01/18 | 120 | 150 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/38 | 150 | 179 | ||||||
WellPoint | ||||||||
6.375%, 06/15/37 (E) | 244 | 272 | ||||||
3,804 | ||||||||
Industrials — 0.8% | ||||||||
BAE Systems Holdings | ||||||||
5.200%, 08/15/15 (D) | 90 | 99 | ||||||
Browning-Ferris Industries | ||||||||
9.250%, 05/01/21 | 45 | 57 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/36 | 90 | 116 | ||||||
5.750%, 03/15/18 | 950 | 1,102 | ||||||
5.750%, 05/01/40 | 456 | 503 | ||||||
4.700%, 10/01/19 | 75 | 82 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/17 | $ | 50 | $ | 59 | ||||
Cargill | ||||||||
7.350%, 03/06/19 (D) | 250 | 317 | ||||||
Continental Airlines 2000-1 Class A-1 Pass Through Trust | ||||||||
8.048%, 11/01/20 | 373 | 403 | ||||||
Continental Airlines 2009-2 Class A Pass Through Trust | ||||||||
7.250%, 11/10/19 | 500 | 545 | ||||||
CSX | ||||||||
6.250%, 03/15/18 (E) | 155 | 184 | ||||||
Delta Air Lines 2010-1 Class A Pass Through Trust | ||||||||
6.200%, 07/02/18 (E) | 1,400 | 1,456 | ||||||
Hutchison Whampoa International 09 | ||||||||
4.625%, 09/11/15 (D) | 820 | 877 | ||||||
JetBlue Airways 2004-1 G-1 Pass Through Trust | ||||||||
0.912%, 12/15/13 (A) | 597 | 543 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/40 (D) | 82 | 94 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/16 | 35 | 36 | ||||||
Tyco International Finance | ||||||||
8.500%, 01/15/19 | 50 | 66 | ||||||
Union Pacific | ||||||||
7.000%, 02/01/16 | 150 | 183 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/20 | 50 | 71 | ||||||
United Technologies | ||||||||
8.875%, 11/15/19 | 110 | 156 | ||||||
Waste Management | ||||||||
4.750%, 06/30/20 | 93 | 100 | ||||||
7,049 | ||||||||
Information Technology — 0.5% | ||||||||
Adobe Systems | ||||||||
4.750%, 02/01/20 | 175 | 188 | ||||||
Arrow Electronics | ||||||||
6.875%, 07/01/13 | 25 | 28 | ||||||
6.875%, 06/01/18 | 95 | 109 | ||||||
6.000%, 04/01/20 | 45 | 48 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/39 (E) | 330 | 381 | ||||||
5.500%, 01/15/40 | 423 | 465 | ||||||
4.450%, 01/15/20 | 575 | 632 | ||||||
Dell | ||||||||
5.650%, 04/15/18 | 90 | 104 | ||||||
Hewlett-Packard | ||||||||
2.125%, 09/13/15 (E) | 715 | 721 | ||||||
HP Enterprise Services | ||||||||
7.450%, 10/15/29 | 125 | 167 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
International Business Machines | ||||||||
8.000%, 10/15/38 | $ | 100 | $ | 147 | ||||
Intuit | ||||||||
5.750%, 03/15/17 | 75 | 85 | ||||||
Microsoft | ||||||||
4.500%, 10/01/40 | 14 | 14 | ||||||
1.625%, 09/25/15 | 90 | 90 | ||||||
Oracle | ||||||||
5.375%, 07/15/40 (D) (E) | 514 | 553 | ||||||
5.000%, 07/08/19 | 200 | 230 | ||||||
Xerox | ||||||||
8.250%, 05/15/14 | 90 | 108 | ||||||
4,070 | ||||||||
Materials — 0.4% | ||||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/19 (E) | 125 | 153 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/19 (E) | 734 | 927 | ||||||
5.900%, 02/15/15 | 320 | 357 | ||||||
4.850%, 08/15/12 (E) | 745 | 788 | ||||||
EI du Pont de Nemours | ||||||||
4.900%, 01/15/41 | 25 | 25 | ||||||
1.950%, 01/15/16 | 40 | 40 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/21 | 145 | 192 | ||||||
Praxair | ||||||||
5.200%, 03/15/17 | 70 | 80 | ||||||
4.375%, 03/31/14 | 75 | 82 | ||||||
Rio Tinto Finance USA | ||||||||
5.875%, 07/15/13 | 367 | 409 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
8.950%, 05/01/14 | 80 | 99 | ||||||
Vale Overseas | ||||||||
6.875%, 11/10/39 | 144 | 165 | ||||||
4.625%, 09/15/20 | 265 | 274 | ||||||
3,591 | ||||||||
Sovereign — 0.0% | ||||||||
Province of Manitoba Canada | ||||||||
2.125%, 04/22/13 | 46 | 48 | ||||||
Province of Ontario Canada | ||||||||
4.100%, 06/16/14 | 235 | 258 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/39 | 40 | 46 | ||||||
352 | ||||||||
Telecommunication Services — 1.2% | ||||||||
America Movil | ||||||||
6.125%, 03/30/40 | 100 | 111 | ||||||
5.000%, 10/16/19 | 355 | 381 | ||||||
American Tower | ||||||||
5.050%, 09/01/20 (E) | 139 | 142 |
106 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AT&T | ||||||||
8.000%, 11/15/31 | $ | 13 | $ | 17 | ||||
6.300%, 01/15/38 | 435 | 491 | ||||||
5.875%, 02/01/12 | 200 | 213 | ||||||
5.500%, 02/01/18 | 100 | 116 | ||||||
5.350%, 09/01/40 (D) | 423 | 425 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/15 | 163 | 178 | ||||||
British Telecommunications | ||||||||
9.625%, 12/15/30 | 188 | 261 | ||||||
5.950%, 01/15/18 | 200 | 223 | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/18 (E) | 310 | 422 | ||||||
7.375%, 11/15/13 | 240 | 284 | ||||||
Deutsche Telekom International Finance BV | ||||||||
6.000%, 07/08/19 (E) | 175 | 208 | ||||||
France Telecom | ||||||||
8.500%, 03/01/31 | 50 | 72 | ||||||
7.750%, 03/01/11 | 236 | 243 | ||||||
GTE | ||||||||
8.750%, 11/01/21 | 300 | 423 | ||||||
6.840%, 04/15/18 | 150 | 178 | ||||||
Qwest | ||||||||
7.875%, 09/01/11 | 1,640 | 1,736 | ||||||
7.500%, 10/01/14 | 339 | 383 | ||||||
Rogers Communications | ||||||||
6.375%, 03/01/14 | 619 | 713 | ||||||
5.500%, 03/15/14 | 89 | 100 | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/18 (E) | 150 | 172 | ||||||
Telefonica Emisiones | ||||||||
5.984%, 06/20/11 | 260 | 270 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/17 | 145 | 169 | ||||||
5.134%, 04/27/20 | 251 | 273 | ||||||
2.582%, 04/26/13 | 695 | 708 | ||||||
Telemar Norte Leste | ||||||||
5.500%, 10/23/20 (D) | 510 | 517 | ||||||
Verizon Communications | ||||||||
8.950%, 03/01/39 | 50 | 74 | ||||||
6.400%, 02/15/38 | 95 | 110 | ||||||
6.250%, 04/01/37 | 145 | 164 | ||||||
5.850%, 09/15/35 | 40 | 43 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/30 | 610 | 788 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/19 | 75 | 87 | ||||||
10,695 | ||||||||
Utilities — 2.0% | ||||||||
AGL Capital | ||||||||
5.250%, 08/15/19 | 50 | 53 | ||||||
4.450%, 04/15/13 | 120 | 127 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Alabama Power | ||||||||
5.875%, 12/01/22 | $ | 95 | $ | 114 | ||||
Appalachian Power | ||||||||
5.950%, 05/15/33 | 100 | 107 | ||||||
Aquila | ||||||||
11.875%, 07/01/12 | 1,210 | 1,392 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/14 | 75 | 83 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/19 | 175 | 203 | ||||||
Cleveland Electric Illuminating | ||||||||
7.880%, 11/01/17 | 170 | 213 | ||||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/40 | 38 | 43 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/19 | 100 | 125 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/19 | 875 | 1,190 | ||||||
6.400%, 06/15/18 | 180 | 220 | ||||||
DPL | ||||||||
6.875%, 09/01/11 | 467 | 492 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 502 | 574 | ||||||
Duke Energy Carolinas | ||||||||
4.300%, 06/15/20 | 39 | 43 | ||||||
Duke Energy Indiana | ||||||||
3.750%, 07/15/20 | 52 | 54 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (D) | 730 | 755 | ||||||
5.125%, 10/07/19 (D) (E) | 100 | 106 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/39 | 175 | 188 | ||||||
5.750%, 10/01/41 | 130 | 130 | ||||||
5.200%, 10/01/19 | 35 | 39 | ||||||
4.000%, 10/01/20 | 535 | 536 | ||||||
FirstEnergy Solutions | ||||||||
6.800%, 08/15/39 (E) | 195 | 197 | ||||||
6.050%, 08/15/21 | 355 | 379 | ||||||
Georgia Power | ||||||||
4.750%, 09/01/40 | 18 | 18 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/19 | 100 | 124 | ||||||
Korea Hydro & Nuclear Power | ||||||||
3.125%, 09/16/15 (D) (E) | 245 | 245 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/39 (D) | 55 | 63 | ||||||
MidAmerican Energy | ||||||||
5.300%, 03/15/18 | 200 | 230 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 200 | 240 | ||||||
Nevada Power | ||||||||
7.125%, 03/15/19 | 110 | 137 | ||||||
5.375%, 09/15/40 | 12 | 12 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nevada Power, Ser A | ||||||||
8.250%, 06/01/11 | $ | 770 | $ | 805 | ||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/19 (D) | 80 | 88 | ||||||
Nisource Finance | ||||||||
10.750%, 03/15/16 | 165 | 218 | ||||||
6.125%, 03/01/22 | 1,400 | 1,585 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/36 | 100 | 122 | ||||||
5.350%, 11/01/39 | 19 | 21 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/18 | 460 | 563 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/18 | 60 | 80 | ||||||
5.625%, 11/30/17 | 525 | 609 | ||||||
5.400%, 01/15/40 | 42 | 44 | ||||||
3.500%, 10/01/20 | 295 | 292 | ||||||
Pacificorp | ||||||||
6.250%, 10/15/37 | 225 | 273 | ||||||
5.650%, 07/15/18 | 175 | 208 | ||||||
Panhandle Eastern Pipeline | ||||||||
6.200%, 11/01/17 | 625 | 694 | ||||||
Progress Energy | ||||||||
6.850%, 04/15/12 | 229 | 248 | ||||||
PSEG Power | ||||||||
5.500%, 12/01/15 | 100 | 113 | ||||||
5.320%, 09/15/16 | 40 | 45 | ||||||
5.125%, 04/15/20 | 45 | 50 | ||||||
Public Service Electric & Gas MTN | ||||||||
5.375%, 11/01/39 | 28 | 31 | ||||||
2.700%, 05/01/15 | 45 | 47 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/19 | 33 | 36 | ||||||
Sempra Energy | ||||||||
8.900%, 11/15/13 | 180 | 216 | ||||||
6.000%, 10/15/39 | 50 | 57 | ||||||
Southern California Edison | ||||||||
5.500%, 03/15/40 | 50 | 57 | ||||||
4.500%, 09/01/40 | 190 | 186 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/18 | 90 | 116 | ||||||
Tennessee Valley Authority | ||||||||
4.625%, 09/15/60 | 60 | 62 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (D) | 1,290 | 1,696 | ||||||
Virginia Electric and Power | ||||||||
5.400%, 04/30/18 | 545 | 635 | ||||||
17,629 | ||||||||
Total Corporate Obligations (Cost $202,997) ($ Thousands) | 217,694 | |||||||
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 5.0% |
| |||||||
Automotive — 0.4% | ||||||||
Ally Auto Receivables Trust, Ser 2009-A, Cl A3 | ||||||||
2.330%, 06/17/13 (D) | $ | 100 | $ | 102 | ||||
Ally Auto Receivables Trust, Ser 2010-1, Cl A3 | ||||||||
1.450%, 05/15/14 | 100 | 101 | ||||||
Ally Auto Receivables Trust, Ser 2010-3, Cl A4 | ||||||||
1.550%, 08/17/15 | 89 | 90 | ||||||
Ally Auto Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.110%, 10/15/14 | 225 | 226 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A2 | ||||||||
0.970%, 01/15/13 | 55 | 55 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A3 | ||||||||
1.660%, 03/17/14 | 40 | 41 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/15 | 110 | 110 | ||||||
Bank of America Auto Trust, Ser 2009-2A, Cl A3 | ||||||||
2.130%, 09/15/13 (D) | 100 | 101 | ||||||
Bank of America Auto Trust, Ser 2009-3A, Cl A3 | ||||||||
1.670%, 12/15/13 (D) | 105 | 106 | ||||||
Bank of America Auto Trust, Ser 2010-1A, Cl A4 | ||||||||
2.180%, 02/15/17 (D) | 100 | 103 | ||||||
Bank of America Auto Trust, Ser 2010-1A, Cl A3 | ||||||||
1.390%, 03/15/14 (D) | 130 | 131 | ||||||
Bank of America Auto Trust, Ser 2010-2, Cl A3 | ||||||||
1.310%, 07/15/14 | 25 | 25 | ||||||
CarMax Auto Owner Trust, Ser 2010-1, Cl A3 | ||||||||
1.560%, 07/15/14 | 80 | 81 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A3 | ||||||||
0.910%, 08/08/13 | 250 | 250 | ||||||
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3 | ||||||||
2.590%, 10/15/13 (D) | 235 | 239 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4 | ||||||||
3.320%, 02/15/17 | 100 | 104 | ||||||
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A3 | ||||||||
2.310%, 05/15/13 | 335 | 340 |
108 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3 | ||||||||
0.970%, 04/15/15 | $ | 80 | $ | 80 | ||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4 | ||||||||
1.630%, 03/15/17 | 90 | 91 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2010-1A, Cl A3 | ||||||||
1.420%, 08/15/14 | 180 | 182 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3 | ||||||||
0.870%, 07/15/14 | 95 | 95 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4 | ||||||||
1.310%, 09/15/16 | 75 | 75 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3 | ||||||||
0.770%, 04/15/14 | 190 | 190 | ||||||
USAA Auto Owner Trust, Ser 2009-2, Cl A3 | ||||||||
1.540%, 02/18/14 | 140 | 141 | ||||||
USAA Auto Owner Trust, Ser 2009-2, Cl A4 | ||||||||
2.530%, 07/15/15 | 145 | 150 | ||||||
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.210%, 05/15/15 | 135 | 139 | ||||||
3,348 | ||||||||
Credit Cards — 0.9% | ||||||||
BA Credit Card Trust, Ser 2006-A14, Cl A14 | ||||||||
0.317%, 04/15/16 (A) | 347 | 344 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.337%, 09/15/15 (A) | 243 | 241 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A12, Cl A | ||||||||
0.317%, 07/15/16 (A) | 666 | 658 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A4, Cl A4 | ||||||||
0.297%, 12/16/13 (A) | 848 | 847 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 | ||||||||
0.317%, 01/15/16 (A) | 265 | 263 | ||||||
Chase Issuance Trust, Ser 2007-A17, Cl A | ||||||||
5.120%, 10/15/14 | 915 | 996 | ||||||
Citibank Credit Card Issuance Trust, Ser 2005-A2, Cl A2 | ||||||||
4.850%, 03/10/17 | 175 | 198 | ||||||
Citibank Credit Card Issuance Trust, Ser 2009-A4, Cl A4 | ||||||||
4.900%, 06/23/16 | 220 | 247 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citibank Credit Card Issuance Trust, Ser 2009-A5, Cl A5 | ||||||||
2.250%, 12/23/14 | $ | 675 | $ | 695 | ||||
Discover Card Master Trust, Ser 2009-A2, Cl A | ||||||||
1.650%, 02/17/15 (A) | 1,939 | 1,973 | ||||||
Discover Card Master Trust, Ser 2010-A2, Cl A2 | ||||||||
0.837%, 03/15/18 (A) | 369 | 369 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A | ||||||||
3.690%, 07/15/15 | 150 | 157 | ||||||
MBNA Credit Card Master Note Trust, Ser 2006-A5, Cl A5 | ||||||||
0.317%, 10/15/15 (A) | 901 | 894 | ||||||
7,882 | ||||||||
Mortgage Related Securities — 1.7% | ||||||||
Aegis Asset Backed Securities Trust, Ser 2003-3, Cl M1 | ||||||||
1.393%, 01/25/34 (A) | 505 | 444 | ||||||
Aegis Asset Backed Securities Trust, Ser 2004-5, Cl M1 | ||||||||
0.993%, 12/25/34 (A) | 1,248 | 1,173 | ||||||
Aegis Asset Backed Securities Trust, Ser 2004-6, Cl M1 | ||||||||
0.883%, 03/25/35 (A) | 1,277 | 1,245 | ||||||
Argent Securities, Ser 2003-W5, Cl M1 | ||||||||
1.043%, 10/25/33 (A) | 498 | 379 | ||||||
Asset Backed Securities Home Equity, Ser 2005-HE6, Cl M1 | ||||||||
0.833%, 07/25/35 (A) | 1,235 | 1,208 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||||
0.443%, 03/25/37 (A) | 901 | 831 | ||||||
BNC Mortgage Loan Trust, Ser 2008-4, Cl A3A | ||||||||
0.506%, 11/25/37 (A) | 1,394 | 1,373 | ||||||
Citigroup Mortgage Loan Trust, Ser 2003-HE4, Cl A | ||||||||
0.753%, 12/25/33 (A) (D) | 1,112 | 916 | ||||||
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9 | ||||||||
7.050%, 03/15/28 | 1 | 1 | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/28 | 2 | 2 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1 | ||||||||
0.618%, 01/20/35 (A) | 106 | 93 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2 | ||||||||
0.838%, 01/20/35 (A) | 132 | 119 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1 | ||||||||
0.507%, 01/20/36 (A) | $ | 388 | $ | 352 | ||||
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1 | ||||||||
0.497%, 03/20/36 (A) | 118 | 110 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS | ||||||||
0.548%, 03/20/36 (A) | 129 | 120 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F | ||||||||
5.600%, 03/20/36 | 200 | 207 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl M2 | ||||||||
0.827%, 03/20/36 (A) | 2,000 | 967 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT | ||||||||
1.547%, 11/20/36 (A) | 302 | 275 | ||||||
IXIS Real Estate Capital Trust, Ser 2005-HE1, Cl M2 | ||||||||
1.078%, 06/25/35 (A) | 863 | 816 | ||||||
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1 | ||||||||
1.097%, 01/25/35 (A) | 79 | 78 | ||||||
Morgan Stanley Capital I, Ser 2003-NC8, Cl M1 | ||||||||
1.397%, 09/25/33 (A) | 1,602 | 1,224 | ||||||
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A | ||||||||
0.387%, 01/25/37 (A) | 25 | 24 | ||||||
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 | ||||||||
0.397%, 12/25/36 (A) | 21 | 21 | ||||||
Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 | ||||||||
1.318%, 08/25/33 (A) | 257 | 139 | ||||||
Residential Asset Securities, Ser 2005-EMX3, Cl AI4 | ||||||||
0.713%, 09/25/35 (A) | 823 | 806 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.450%, 04/25/32 (D) | 176 | 151 | ||||||
Saxon Asset Securities Trust, Ser 2004-1, Cl M1 | ||||||||
1.051%, 03/25/35 (A) | 1,975 | 1,620 | ||||||
14,694 | ||||||||
Other Asset-Backed Securities — 2.0% |
| |||||||
AH Mortgage Advance Trust, Ser 2010-ADV1, Cl A1 | ||||||||
3.968%, 08/15/22 (D) | 210 | 210 | ||||||
CenterPoint Energy Transition Bond, Ser 2001-1, Cl A4 | ||||||||
5.630%, 09/15/15 | 882 | 961 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 | ||||||||
5.350%, 11/25/34 | $ | 125 | $ | 114 | ||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4 | ||||||||
4.499%, 11/25/34 | 171 | 170 | ||||||
CNH Equipment Trust, Ser 2009-C, Cl A3 | ||||||||
1.850%, 12/16/13 | 40 | 40 | ||||||
CNH Equipment Trust, Ser 2010-A, Cl A3 | ||||||||
1.540%, 07/15/14 | 380 | 385 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.803%, 10/25/35 (A) | 1,074 | 1,042 | ||||||
Indymac Residential Asset Backed Trust, Ser 2007-B, Cl 2A1 | ||||||||
0.423%, 07/25/37 (A) | 304 | 303 | ||||||
JP Morgan Mortgage Acquisition, Ser 2007-CH1, Cl AV2 | ||||||||
0.403%, 10/25/36 (A) | 1,023 | 1,004 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/38 | 1,063 | 1,070 | ||||||
Nelnet Student Loan Trust, Ser 2008-3, Cl A4 | ||||||||
1.967%, 11/25/24 (A) | 1,318 | 1,367 | ||||||
Park Place Securities, Ser 200-MHQ1, Cl M1 | ||||||||
0.956%, 12/25/34 (A) | 1,515 | 1,493 | ||||||
PennyMac Loan Trust, Ser 2010-NPL1, Cl A | ||||||||
4.250%, 05/25/50 (A) (D) | 162 | 162 | ||||||
PG&E Energy Recovery Funding, Ser 2005-1, Cl A5 | ||||||||
4.470%, 12/25/14 | 305 | 327 | ||||||
PG&E Energy Recovery Funding, Ser 2005-1, Cl A4 | ||||||||
4.370%, 06/25/14 | 395 | 409 | ||||||
RSB Bondco, Ser 2007-A, Cl A1 | ||||||||
5.470%, 10/01/14 | 139 | 146 | ||||||
SLC Student Loan Trust, Ser 2008-1, Cl A4A | ||||||||
2.137%, 12/15/32 (A) | 2,016 | 2,095 | ||||||
SLM Student Loan Trust, Ser 2005-10, Cl A4 | ||||||||
0.608%, 10/25/19 (A) | 657 | 652 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
1.966%, 07/25/22 (A) | 245 | 256 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
2.016%, 07/25/23 (A) | 834 | 874 |
110 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Soundview Home Equity Loan Trust, Ser 2005-OPT3, Cl A4 | ||||||||
0.643%, 11/25/35 (A) | $ | 1,309 | $ | 1,244 | ||||
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9 | ||||||||
0.617%, 06/25/35 (A) | 100 | 92 | ||||||
Structured Asset Securities, Ser 2002-AL1, Cl A2 | ||||||||
3.450%, 02/25/32 | 102 | 97 | ||||||
Structured Asset Securities, Ser 2005-NC1, Cl A11 | ||||||||
4.690%, 02/25/35 | 187 | 190 | ||||||
Structured Asset Securities, Ser 2006-BC5, Cl A2 | ||||||||
0.306%, 12/25/36 (A) | 1,333 | 1,296 | ||||||
Structured Asset Securities, Ser 2006-GEL4, Cl A1 | ||||||||
0.467%, 10/25/36 (A) (D) | 865 | 850 | ||||||
Structured Asset Securities, Ser 2007-BC2, Cl A2 | ||||||||
0.433%, 03/25/37 (A) | 819 | 799 | ||||||
17,648 | ||||||||
Total Asset-Backed Securities (Cost $41,910) ($ Thousands) | 43,572 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.5% |
| |||||||
FICO | ||||||||
9.800%, 11/30/17 | 875 | 1,297 | ||||||
9.700%, 04/05/19 | 320 | 486 | ||||||
8.600%, 09/26/19 | 845 | 1,221 | ||||||
FICO STRIPS | ||||||||
3.208%, 12/06/17 (B) | 660 | 551 | ||||||
2.863%, 05/02/16 (B) | 515 | 461 | ||||||
1.847%, 02/08/13 (B) | 815 | 797 | ||||||
0.000%, 09/26/19 | 100 | 77 | ||||||
FNMA | ||||||||
7.250%, 05/15/30 | 618 | 1,096 | ||||||
6.250%, 05/15/29 | 375 | 490 | ||||||
5.375%, 06/12/17 | 50 | 60 | ||||||
0.291%, 07/01/11 (B) | 1,665 | 1,662 | ||||||
0.276%, 08/23/12 (A) | 5,970 | 5,968 | ||||||
0.245%, 01/19/11 (B) | 3,010 | 3,009 | ||||||
0.170%, 10/18/10 (B) | 2,005 | 2,005 | ||||||
0.000%, 10/14/11 | 2,900 | 2,900 | ||||||
Total U.S. Government Agency Obligations (Cost $21,797) ($ Thousands) |
| 22,080 | ||||||
MUNICIPAL BONDS — 0.5% | ||||||||
Bay Area Toll Authority, RB | ||||||||
6.263%, 04/01/49 | 1,330 | 1,484 | ||||||
County of Clark Nevada, Ser C-BUILD, RB | ||||||||
6.820%, 07/01/45 | 305 | 338 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Los Angeles Community College District, GO | ||||||||
6.750%, 08/01/49 | $ | 260 | $ | 291 | ||||
North Texas Tollway Authority, RB | ||||||||
6.718%, 01/01/49 | 300 | 328 | ||||||
State of California, GO | ||||||||
7.300%, 10/01/39 | 820 | 868 | ||||||
6.650%, 03/01/22 | 175 | 195 | ||||||
State of Illinois, GO | ||||||||
7.350%, 07/01/35 | 750 | 787 | ||||||
5.100%, 06/01/33 | 60 | 50 | ||||||
Total Municipal Bonds | 4,341 | |||||||
U.S. TREASURY OBLIGATIONS — 19.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.000%, 02/10/11 (B) | 212 | 212 | ||||||
U.S. Treasury Bonds | ||||||||
8.875%, 08/15/17 to 02/15/19 | 18,277 | 26,713 | ||||||
8.750%, 05/15/17 to 08/15/20 | 5,575 | 8,035 | ||||||
8.500%, 02/15/20 | 425 | 642 | ||||||
8.125%, 08/15/19 | 498 | 728 | ||||||
8.000%, 11/15/21 | 3,855 | 5,814 | ||||||
7.625%, 02/15/25 | 1,535 | 2,356 | ||||||
7.500%, 11/15/16 (E) | 1,300 | 1,741 | ||||||
7.125%, 02/15/23 | 131 | 189 | ||||||
6.750%, 08/15/26 | 250 | 364 | ||||||
6.500%, 11/15/26 | 200 | 285 | ||||||
6.375%, 08/15/27 | 50 | 71 | ||||||
6.250%, 08/15/23 | 295 | 400 | ||||||
6.125%, 11/15/27 | 500 | 690 | ||||||
5.500%, 08/15/28 | 100 | 130 | ||||||
5.375%, 02/15/31 | 91 | 117 | ||||||
4.917%, 05/15/26 (B) | 100 | 58 | ||||||
4.863%, 11/15/31 (B) | 50 | 22 | ||||||
4.625%, 02/15/40 | 1,907 | 2,228 | ||||||
4.500%, 02/15/36 | 2,071 | 2,381 | ||||||
4.375%, 11/15/39 to 05/15/40 | 3,220 | 3,615 | ||||||
4.250%, 05/15/39 | 4,079 | 4,484 | ||||||
3.875%, 08/15/40 | 5,617 | 5,807 | ||||||
3.375%, 11/15/19 | 2,590 | 2,790 | ||||||
3.235%, 01/15/16 (B) | 1,000 | 910 | ||||||
2.971%, 02/15/16 (B) | 100 | 92 | ||||||
2.375%, 10/31/14 | 500 | 528 | ||||||
U.S. Treasury Bond TIPS | ||||||||
3.500%, 01/15/11 | 1,459 | 1,472 | ||||||
2.375%, 01/15/25 | 2,198 | 2,527 | ||||||
2.125%, 02/15/40 | 1,311 | 1,465 | ||||||
2.000%, 01/15/16 | 2,197 | 2,408 | ||||||
U.S. Treasury Note | ||||||||
4.875%, 08/15/16 | 1,220 | 1,448 | ||||||
3.500%, 05/15/20 (E) | 1,454 | 1,578 | ||||||
3.250%, 12/31/16 | 100 | 109 | ||||||
3.125%, 10/31/16 | 550 | 597 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Concluded)
September 30, 2010
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
2.625%, 08/15/20 | $ | 5,323 | $ | 5,373 | ||||
2.125%, 11/30/14 | 12,970 | 13,556 | ||||||
1.875%, 09/30/17 | 1,824 | 1,819 | ||||||
1.750%, 07/31/15 | 6,725 | 6,887 | ||||||
1.375%, 01/15/13 | 350 | 357 | ||||||
1.250%, 09/30/15 | 10,634 | 10,617 | ||||||
1.000%, 08/31/11 to 04/30/12 | 21,985 | 22,185 | ||||||
0.875%, 04/30/11 | 5,380 | 5,400 | ||||||
0.750%, 05/31/12 to 09/15/13 | 5,496 | 5,528 | ||||||
U.S. Treasury STRIPS (B) | ||||||||
6.292%, 05/15/24 | 200 | 127 | ||||||
4.978%, 11/15/27 | 200 | 107 | ||||||
4.968%, 08/15/27 | 250 | 136 | ||||||
4.850%, 05/15/28 | 50 | 26 | ||||||
4.801%, 11/15/24 | 150 | 93 | ||||||
4.780%, 08/15/25 | 100 | 60 | ||||||
4.754%, 02/15/27 | 100 | 56 | ||||||
4.591%, 05/15/36 | 100 | 36 | ||||||
4.587%, 02/15/24 | 75 | 48 | ||||||
4.555%, 05/15/29 | 100 | 50 | ||||||
4.462%, 08/15/20 | 1,350 | 1,021 | ||||||
4.446%, 08/15/24 | 500 | 313 | ||||||
4.388%, 02/15/32 | 150 | 65 | ||||||
4.320%, 11/15/20 | 1,050 | 786 | ||||||
4.287%, 02/15/17 | 3,660 | 3,243 | ||||||
4.160%, 02/15/22 | 100 | 71 | ||||||
4.050%, 05/15/19 | 875 | 705 | ||||||
4.029%, 08/15/19 | 1,350 | 1,071 | ||||||
3.960%, 05/15/20 | 200 | 153 | ||||||
3.780%, 08/15/17 | 500 | 435 | ||||||
3.704%, 08/15/18 | 400 | 335 | ||||||
3.675%, 11/15/17 | 1,550 | 1,334 | ||||||
3.501%, 02/15/18 | 725 | 619 | ||||||
3.301%, 11/15/16 | 200 | 179 | ||||||
2.721%, 02/15/15 | 100 | 95 | ||||||
2.546%, 02/15/14 | 1,900 | 1,847 | ||||||
Total U.S. Treasury Obligations (Cost $160,315) ($ Thousands) | 167,739 | |||||||
CASH EQUIVALENT — 3.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%†* | 26,639,017 | 26,639 | ||||||
Total Cash Equivalent | 26,639 | |||||||
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 2.1% |
| |||||||
SEI Liquidity Fund, L.P., | 18,124,328 | $ | 18,124 | |||||
Total Affiliated Partnership (Cost $18,124) ($ Thousands) | 18,124 | |||||||
Total Investments — 108.5% | $ | 952,635 | ||||||
WRITTEN OPTIONS — 0.0% | ||||||||
December 2010 U.S. 10 Year Note Future Call, Expires 11/27/10, Strike Price $127.00* | (90 | ) | $ | (86 | ) | |||
December 2010 U.S. 10 Year Note Future Put, Expires 11/29/10, Strike Price $121.00* | (20 | ) | (2 | ) | ||||
Total Written Options |
| $ | (88 | ) | ||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (26 | ) | Dec-2010 | $ | (29 | ) | ||||||
U.S. 2-Year Treasury Note | (7 | ) | Dec-2010 | (2 | ) | |||||||
U.S. 5-Year Treasury Note | (14 | ) | Dec-2010 | (10 | ) | |||||||
U.S. 5-Year Treasury Note | 7 | Dec-2010 | 8 | |||||||||
U.S. Long Treasury Bond | (60 | ) | Dec-2010 | (66 | ) | |||||||
U.S. Ultra Long Treasury Bond | 3 | Jan-2011 | (1 | ) | ||||||||
$ | (100 | ) | ||||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of outstanding swap agreements held by the Fund at September 30, 2010, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($ Thousands) | ||||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | )% | 10/12/52 | 1,500 | $ | (451 | ) | |||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 3,030 | (475 | ) | ||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 1,050 | (137 | ) | ||||||||||||
$ | (1,063 | ) | ||||||||||||||||||
112 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Percentages are based on a Net Assets of $877,709 ($ Thousands).
* | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2010. The date reported on the Schedule of Investments is the maturity date. The effective date may be shorter. |
(B) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of September 30, 2010 was $18,124 ($ Thousands). |
(D) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(E) | This security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total value of securities on loan at September 30, 2010 was $17,499 ($ Thousands). |
ABS — Asset-Based Security
ARM — Adjustable Rate Mortgage
Cl — Class
CMO — Collateralized Mortgage Obligation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only — face amount represents notional amount
LTD — Limited
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
NY — New York
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
REIT — Real Estate Investment Trust
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
TIPS — Treasury Inflation Protected Security
Amounts designated as “—” are $O or have been rounded to $O.
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 452,446 | $ | — | $ | 452,446 | ||||||||
Corporate Obligations | — | 217,694 | — | 217,694 | ||||||||||||
Asset-Backed Securities | — | 43,572 | — | 43,572 | ||||||||||||
U.S. Government Agency Obligations | — | 22,080 | — | 22,080 | ||||||||||||
Municipal Bonds | — | 4,341 | — | 4,341 | ||||||||||||
U.S. Treasury Obligations | — | 167,739 | — | 167,739 | ||||||||||||
Cash Equivalent | 26,639 | — | — | 26,639 | ||||||||||||
Affiliated Partnership | — | 18,124 | — | 18,124 | ||||||||||||
Total Investments in Securities | $ | 26,639 | $ | 925,996 | $ | — | $ | 952,635 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (100 | ) | $ | — | $ | — | $ | (100 | ) | ||||||
Credit Default Swaps* | — | (1,063 | ) | — | (1,063 | ) | ||||||||||
Written Options | (88 | ) | — | — | (88 | ) | ||||||||||
Total Other Financial Instruments | $ | (188 | ) | $ | (1,063 | ) | $ | — | $ | (1,251 | ) | |||||
* | Future and Swap contracts are valued at unrealized depreciation on the instruments. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 81.5% |
| |||||||
Consumer Discretionary — 19.5% |
| |||||||
Adelphia Communications (Escrow Security) | ||||||||
10.250%, 06/15/11 (A) | $ | 150 | $ | 2 | ||||
0.000%, 01/15/09 (A) | 225 | 3 | ||||||
Adelphia Communications (Escrow Security), Ser B | ||||||||
0.000%, 02/15/04 (A) | 25 | — | ||||||
Affinion Group | ||||||||
11.500%, 10/15/15 | 420 | 444 | ||||||
10.125%, 10/15/13 | 1,050 | 1,077 | ||||||
Affinion Group Holdings | ||||||||
11.625%, 11/15/15 (B) | 520 | 512 | ||||||
Ameristar Casinos | ||||||||
9.250%, 06/01/14 | 790 | 843 | ||||||
Amscan Holdings | ||||||||
8.750%, 05/01/14 | 3,460 | 3,538 | ||||||
Applebee’s Enterprises, Ser 2007-1A | ||||||||
6.427%, 12/20/37 (B) | 3,845 | 3,791 | ||||||
Ashtead Capital | ||||||||
9.000%, 08/15/16 (B) | 1,665 | 1,723 | ||||||
Aventi Company (Escrow Security) | ||||||||
0.000%, 10/15/49 (A) | 2,750 | 159 | ||||||
Avis Budget Car Rental | ||||||||
9.625%, 03/15/18 | 435 | 460 | ||||||
7.750%, 05/15/16 | 955 | 938 | ||||||
Beazer Homes USA | ||||||||
12.000%, 10/15/17 | 1,260 | 1,449 | ||||||
9.125%, 06/15/18 | 450 | 421 | ||||||
8.125%, 06/15/16 | 680 | 627 | ||||||
Belo | ||||||||
8.000%, 11/15/16 | 2,080 | 2,223 | ||||||
7.750%, 06/01/27 | 1,675 | 1,478 | ||||||
Bon-Ton Department Stores | ||||||||
10.250%, 03/15/14 | 740 | 729 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Boyd Gaming | ||||||||
7.750%, 12/15/12 | $ | 1,150 | $ | 1,152 | ||||
7.125%, 02/01/16 | 735 | 615 | ||||||
Buffalo Thunder Development Authority | ||||||||
9.375%, 12/15/14 (A) (B) | 2,175 | 565 | ||||||
Burlington Coat Factory Investment Holdings | ||||||||
14.500%, 10/15/14 | 3,920 | 4,185 | ||||||
Burlington Coat Factory Warehouse | ||||||||
11.125%, 04/15/14 | 1,895 | 1,980 | ||||||
Cablevision Systems | ||||||||
8.625%, 09/15/17 | 880 | 968 | ||||||
8.000%, 04/15/20 | 472 | 508 | ||||||
7.750%, 04/15/18 | 792 | 838 | ||||||
CCH II | ||||||||
13.500%, 11/30/16 | 1,708 | 2,029 | ||||||
CCO Holdings | ||||||||
8.125%, 04/30/20 (B) | 953 | 1,010 | ||||||
7.875%, 04/30/18 (B) | 1,890 | 1,961 | ||||||
7.250%, 10/30/17 (B) | 1,110 | 1,125 | ||||||
Cedar Fair | ||||||||
9.125%, 08/01/18 (B) | 3,165 | 3,323 | ||||||
Cequel Communications Holdings I and Cequel Capital | ||||||||
8.625%, 11/15/17 (B) | 2,610 | 2,754 | ||||||
Charter Communications Operating | ||||||||
10.875%, 09/15/14 (B) | 475 | 538 | ||||||
Choctaw Resort Development Enterprise | ||||||||
7.250%, 11/15/19 (B) | 998 | 689 | ||||||
Chukchansi Economic Development Authority | ||||||||
4.024%, 11/15/12 (B) (C) | 1,945 | 1,118 | ||||||
CKE Restaurants | ||||||||
11.375%, 07/15/18 (B) | 5,175 | 5,304 | ||||||
Clear Channel Communications | ||||||||
10.750%, 08/01/16 | 575 | 448 | ||||||
Clear Channel Worldwide Holdings | ||||||||
9.250%, 12/15/17 | 2,510 | 2,677 | ||||||
Cleveland Unlimited | ||||||||
13.000%, 12/15/10 (B) (C) | 4,304 | 4,261 | ||||||
Columbus International | ||||||||
11.500%, 11/20/14 (B) | 1,295 | 1,431 | ||||||
Community Health Systems | ||||||||
8.875%, 07/15/15 | 1,215 | 1,291 | ||||||
Couche-Tard US | ||||||||
7.500%, 12/15/13 | 225 | 228 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/19 | 2,200 | 2,475 | ||||||
Dana (Escrow Security) (A) | ||||||||
7.000%, 03/01/09 | 350 | 9 | ||||||
7.000%, 03/01/29 | 850 | 21 | ||||||
6.500%, 03/15/08 | 100 | 2 | ||||||
6.500%, 03/15/28 | 200 | 5 |
114 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DCP | ||||||||
10.750%, 08/15/15 (B) | $ | 2,220 | $ | 2,242 | ||||
Dex One | ||||||||
12.000%, 01/29/17 | 489 | 384 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/19 | 1,530 | 1,647 | ||||||
Dollar General | ||||||||
11.875%, 07/15/17 | 1,505 | 1,761 | ||||||
Eastman Kodak | ||||||||
9.750%, 03/01/18 (B) | 1,730 | 1,678 | ||||||
7.250%, 11/15/13 | 1,510 | 1,450 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/16 | 2,240 | 2,433 | ||||||
Echostar DBS | ||||||||
7.750%, 05/31/15 | 4,300 | 4,585 | ||||||
7.125%, 02/01/16 | 1,640 | 1,724 | ||||||
El Dorado Casino Shreveport PIK | ||||||||
10.000%, 08/01/12 | 1,191 | 1,072 | ||||||
El Pollo Loco | ||||||||
11.750%, 12/01/12 | 2,000 | 2,030 | ||||||
Entravision Communications | ||||||||
8.750%, 08/01/17 (B) | 855 | 872 | ||||||
Equinox Holdings | ||||||||
9.500%, 02/01/16 (B) | 940 | 961 | ||||||
Ferrellgas | ||||||||
9.125%, 10/01/17 | 2,100 | 2,276 | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
11.000%, 06/15/15 (A) (B) | 3,125 | — | ||||||
Ford Motor | ||||||||
7.450%, 07/16/31 | 1,495 | 1,559 | ||||||
6.375%, 02/01/29 | 1,075 | 994 | ||||||
Games Merger | ||||||||
11.000%, 06/01/18 (B) | 4,810 | 5,195 | ||||||
Goodyear Tire & Rubber | ||||||||
10.500%, 05/15/16 | 215 | 244 | ||||||
8.750%, 08/15/20 | 205 | 219 | ||||||
8.250%, 08/15/20 | 1,345 | 1,416 | ||||||
Gray Television | ||||||||
10.500%, 06/29/15 | 1,157 | 1,156 | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/15 (B) | 2,250 | 2,422 | ||||||
GWR Operating Partnership LLP | ||||||||
10.875%, 04/01/17 (B) | 840 | 855 | ||||||
Hanesbrands | ||||||||
8.000%, 12/15/16 | 3,135 | 3,311 | ||||||
Harrah’s Operating | ||||||||
11.250%, 06/01/17 | 7,090 | 7,764 | ||||||
10.000%, 12/15/18 | 3,633 | 2,902 | ||||||
Hertz | ||||||||
8.875%, 01/01/14 | 500 | 513 | ||||||
7.500%, 10/15/18 (B) | 955 | 955 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/18 (B) | 660 | 696 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSN | ||||||||
11.250%, 08/01/16 | $ | 1,475 | $ | 1,681 | ||||
Inergy | ||||||||
7.000%, 10/01/18 (B) | 1,440 | 1,476 | ||||||
Inergy L.P. | ||||||||
8.750%, 03/01/15 | 845 | 912 | ||||||
8.250%, 03/01/16 | 345 | 362 | ||||||
inVentiv Health | ||||||||
10.000%, 08/15/18 (B) | 1,090 | 1,083 | ||||||
Isle of Capri Casinos | ||||||||
7.000%, 03/01/14 | 550 | 498 | ||||||
Jarden | ||||||||
8.000%, 05/01/16 | 260 | 277 | ||||||
7.500%, 05/01/17 | 1,480 | 1,532 | ||||||
Lamar Media | ||||||||
7.875%, 04/15/18 | 2,172 | 2,281 | ||||||
Landry’s Restaurants | ||||||||
11.625%, 12/01/15 (B) | 753 | 794 | ||||||
11.625%, 12/01/15 | 1,939 | 2,046 | ||||||
Laureate Education | ||||||||
11.750%, 08/15/17 (B) | 1,100 | 1,161 | ||||||
10.000%, 08/15/15 (B) | 525 | 535 | ||||||
Lear | ||||||||
8.125%, 03/15/20 | 758 | 810 | ||||||
7.875%, 03/15/18 | 855 | 906 | ||||||
Levi Strauss | ||||||||
7.625%, 05/15/20 | 885 | 918 | ||||||
Libbey Glass | ||||||||
10.000%, 02/15/15 (B) | 870 | 935 | ||||||
Liberty Media LLC | ||||||||
8.250%, 02/01/30 | 1,970 | 1,901 | ||||||
Lions Gate Entertainment | ||||||||
10.250%, 11/01/16 (B) | 3,890 | 3,948 | ||||||
M/I Homes | ||||||||
6.875%, 04/01/12 | 545 | 544 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/18 (B) | 910 | 878 | ||||||
9.500%, 10/15/15 (B) | 590 | 572 | ||||||
MCE Finance | ||||||||
10.250%, 05/15/18 (B) | 930 | 1,035 | ||||||
MDC Partners | ||||||||
11.000%, 11/01/16 (B) | 3,200 | 3,424 | ||||||
MGM Mirage | ||||||||
9.000%, 03/15/20 (B) | 4,015 | 4,226 | ||||||
7.500%, 06/01/16 | 1,950 | 1,648 | ||||||
6.875%, 04/01/16 | 1,870 | 1,571 | ||||||
5.875%, 02/27/14 | 1,485 | 1,270 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/18 | 4,920 | 4,686 | ||||||
11.125%, 11/15/17 | 1,990 | 2,266 | ||||||
10.375%, 05/15/14 | 260 | 289 | ||||||
Michaels Stores | ||||||||
13.000%, 11/01/11 (D) | 365 | 351 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 115 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/26 (A) | $ | 175 | $ | — | ||||
Mohegan Tribal Gaming Authority | ||||||||
7.125%, 08/15/14 | 765 | 448 | ||||||
6.875%, 02/15/15 | 265 | 146 | ||||||
MTR Gaming Group | ||||||||
12.625%, 07/15/14 | 2,215 | 2,248 | ||||||
NCL | ||||||||
11.750%, 11/15/16 | 1,075 | 1,204 | ||||||
Neiman-Marcus Group PIK | ||||||||
9.000%, 10/15/15 | 1,396 | 1,451 | ||||||
Nexstar Broadcasting | ||||||||
8.875%, 04/15/17 (B) | 1,875 | 1,955 | ||||||
Nielsen Finance | ||||||||
11.500%, 05/01/16 | 265 | 301 | ||||||
7.750%, 10/15/18 (B) | 3,295 | 3,271 | ||||||
Norcraft | ||||||||
10.500%, 12/15/15 | 550 | 575 | ||||||
Norcraft Holdings | ||||||||
9.750%, 09/01/12 | 821 | 770 | ||||||
OSI Restaurant Partners | ||||||||
10.000%, 06/15/15 | 3,185 | 3,233 | ||||||
Peninsula Gaming | ||||||||
10.750%, 08/15/17 | 1,535 | 1,621 | ||||||
8.375%, 08/15/15 | 2,100 | 2,184 | ||||||
Penn National Gaming | ||||||||
6.750%, 03/01/15 | 3,000 | 3,000 | ||||||
Phillips-Van Heusen | ||||||||
7.375%, 05/15/20 | 2,890 | 3,045 | ||||||
Pinnacle Entertainment | ||||||||
8.750%, 05/15/20 | 3,700 | 3,645 | ||||||
Quebecor Media | ||||||||
7.750%, 03/15/16 | 210 | 217 | ||||||
7.750%, 03/15/16 | 2,235 | 2,305 | ||||||
Quebecor Media (Escrow Security) | ||||||||
0.000%, 11/15/13 (A) (E) | 1,725 | — | ||||||
0.000%, 03/15/16 (F) | 1,915 | 115 | ||||||
Quiksilver | ||||||||
6.875%, 04/15/15 | 1,610 | 1,526 | ||||||
QVC | ||||||||
7.500%, 10/01/19 (B) | 2,755 | 2,879 | ||||||
7.375%, 10/15/20 (B) | 415 | 430 | ||||||
Regal Entertainment Group | ||||||||
9.125%, 08/15/18 | 1,660 | 1,741 | ||||||
Rental Services | ||||||||
9.500%, 12/01/14 | 1,335 | 1,383 | ||||||
Reynolds Group Issuer | ||||||||
8.500%, 05/15/18 (B) | 2,240 | 2,190 | ||||||
7.750%, 10/15/16 (B) | 4,825 | 4,909 | ||||||
River Rock Entertainment Authority | ||||||||
9.750%, 11/01/11 | 4,515 | 4,075 | ||||||
RJ Tower | ||||||||
12.000%, 06/01/13 (A) | 172 | 1 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Roadhouse Financing | ||||||||
10.750%, 10/15/17 (B) | $ | 2,245 | $ | 2,301 | ||||
Royal Caribbean Cruises | ||||||||
7.000%, 06/15/13 | 400 | 420 | ||||||
RSC Equipment Rental | ||||||||
10.000%, 07/15/17 (B) | 2,248 | 2,501 | ||||||
Salem Communications | ||||||||
9.625%, 12/15/16 | 994 | 1,056 | ||||||
Sally Holdings LLC | ||||||||
9.250%, 11/15/14 | 1,360 | 1,431 | ||||||
San Pasqual Casino | ||||||||
8.000%, 09/15/13 (B) | 1,670 | 1,639 | ||||||
Sbarro | ||||||||
10.375%, 02/01/15 | 674 | 404 | ||||||
Sealy Mattress | ||||||||
8.250%, 06/15/14 | 2,776 | 2,797 | ||||||
Sears Holdings | ||||||||
6.625%, 10/15/18 (B) | 825 | 825 | ||||||
Service International | ||||||||
7.000%, 06/15/17 | 775 | 819 | ||||||
6.750%, 04/01/15 | 245 | 255 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.375%, 06/15/15 (B) | 1,520 | 1,132 | ||||||
Simmons Bedding | ||||||||
11.250%, 07/15/15 (B) | 3,260 | 3,500 | ||||||
Sinclair Television Group | ||||||||
9.250%, 11/01/17 (B) | 725 | 778 | ||||||
8.375%, 10/15/18 (B) | 1,410 | 1,421 | ||||||
Sirius XM Radio | ||||||||
9.750%, 09/01/15 (B) | 2,105 | 2,318 | ||||||
8.750%, 04/01/15 (B) | 1,750 | 1,859 | ||||||
Sitel | ||||||||
11.500%, 04/01/18 (B) | 1,020 | 816 | ||||||
Speedway Motorsports | ||||||||
8.750%, 06/01/16 | 1,470 | 1,588 | ||||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/15 | 1,575 | 1,299 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/14 | 750 | 709 | ||||||
Standard Pacific | ||||||||
10.750%, 09/15/16 | 1,955 | 2,131 | ||||||
8.375%, 05/15/18 | 377 | 377 | ||||||
Steinway Musical Instruments | ||||||||
7.000%, 03/01/14 (B) | 1,990 | 1,995 | ||||||
Stoneridge | ||||||||
9.500%, 10/15/17 (B) | 930 | 953 | ||||||
TL Acquisitions | ||||||||
10.500%, 01/15/15 (B) | 1,280 | 1,272 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/16 | 4,030 | 4,312 | ||||||
4.877%, 09/01/14 (C) | 856 | 796 | ||||||
TRW Automotive | ||||||||
7.250%, 03/15/17 (B) | 745 | 792 |
116 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Turning Stone Resort Casino Enterprise | ||||||||
9.125%, 09/15/14 (B) | $ | 4,500 | $ | 4,562 | ||||
United Components | ||||||||
9.375%, 06/15/13 | 870 | 885 | ||||||
United Rentals North America | ||||||||
10.875%, 06/15/16 | 2,600 | 2,935 | ||||||
9.250%, 12/15/19 | 750 | 812 | ||||||
Univision Communications | ||||||||
9.750%, 03/15/15 (B) | 2,489 | 2,383 | ||||||
UPC Holding | ||||||||
9.875%, 04/15/18 (B) | 4,060 | 4,324 | ||||||
Vail Resorts | ||||||||
6.750%, 02/15/14 | 1,340 | 1,368 | ||||||
Videotron | ||||||||
9.125%, 04/15/18 | 800 | 900 | ||||||
6.875%, 01/15/14 | 900 | 913 | ||||||
Visant | ||||||||
10.000%, 10/01/17 (B) | 1,975 | 2,064 | ||||||
WMG Acquisition | ||||||||
9.500%, 06/15/16 | 2,460 | 2,632 | ||||||
Wynn Las Vegas | ||||||||
7.875%, 11/01/17 | 110 | 118 | ||||||
7.875%, 05/01/20 | 190 | 202 | ||||||
7.750%, 08/15/20 (B) | 4,410 | 4,653 | ||||||
XM Satellite Radio | ||||||||
13.000%, 08/01/13 (B) | 4,230 | 4,864 | ||||||
293,038 | ||||||||
Consumer Staples — 2.8% | ||||||||
Alliance One International | ||||||||
10.000%, 07/15/16 | 780 | 844 | ||||||
B&G Foods | ||||||||
7.625%, 01/15/18 | 310 | 323 | ||||||
Beverages & More | ||||||||
9.625%, 10/01/14 (B) | 3,900 | 3,900 | ||||||
Bumble Bee Foods | ||||||||
7.750%, 12/15/15 | 581 | 622 | ||||||
C&S Group Enterprises | ||||||||
8.375%, 05/01/17 (B) | 1,145 | 1,118 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/18 | 840 | 858 | ||||||
Chiquita Brands International | ||||||||
8.875%, 12/01/15 | 1,435 | 1,478 | ||||||
Constellation Brands | ||||||||
8.375%, 12/15/14 | 200 | 221 | ||||||
7.250%, 09/01/16 | 865 | 920 | ||||||
7.250%, 05/15/17 | 1,000 | 1,066 | ||||||
Cott Beverages | ||||||||
8.375%, 11/15/17 (B) | 2,165 | 2,295 | ||||||
Cott Beverages USA | ||||||||
8.125%, 09/01/18 (B) | 1,240 | 1,313 | ||||||
Dean Foods | ||||||||
7.000%, 06/01/16 | 610 | 599 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.900%, 10/15/17 | $ | 120 | $ | 113 | ||||
Diversey | ||||||||
8.250%, 11/15/19 | 1,075 | 1,150 | ||||||
Diversey Holdings | ||||||||
10.500%, 05/15/20 | 1,794 | 2,054 | ||||||
Dole Food | ||||||||
13.875%, 03/15/14 | 386 | 471 | ||||||
8.000%, 10/01/16 (B) | 205 | 214 | ||||||
Fleming | ||||||||
0.000%, 04/01/08 (A) | 1,053 | — | ||||||
Michael Foods | ||||||||
9.750%, 07/15/18 (B) | 280 | 300 | ||||||
NBTY | ||||||||
9.000%, 10/01/18 (B) | 2,130 | 2,236 | ||||||
Rite Aid | ||||||||
10.375%, 07/15/16 | 2,640 | 2,749 | ||||||
10.250%, 10/15/19 | 305 | 317 | ||||||
9.750%, 06/12/16 | 1,890 | 2,020 | ||||||
9.500%, 06/15/17 | 3,725 | 3,129 | ||||||
9.375%, 12/15/15 | 500 | 431 | ||||||
8.000%, 08/15/20 (B) | 2,935 | 2,979 | ||||||
7.500%, 03/01/17 | 790 | 728 | ||||||
Smithfield Foods | ||||||||
7.750%, 07/01/17 | 739 | 749 | ||||||
Spectrum Brands Holdings | ||||||||
12.000%, 08/28/19 | 1,787 | 1,988 | ||||||
9.500%, 06/15/18 (B) | 505 | 542 | ||||||
SuperValu | ||||||||
8.000%, 05/01/16 | 2,215 | 2,232 | ||||||
Tops Markets | ||||||||
10.125%, 10/15/15 (B) | 930 | 998 | ||||||
Viskase | ||||||||
9.875%, 01/15/18 (B) | 1,150 | 1,173 | ||||||
42,130 | ||||||||
Energy — 7.7% | ||||||||
American Petroleum Tankers | ||||||||
10.250%, 05/01/15 (B) | 970 | 992 | ||||||
Anadarko Petroleum | ||||||||
6.450%, 09/15/36 | 845 | 846 | ||||||
6.375%, 09/15/17 | 765 | 843 | ||||||
Antero Resources Finance | ||||||||
9.375%, 12/01/17 | 645 | 685 | ||||||
Aquilex Holdings | ||||||||
11.125%, 12/15/16 | 2,560 | 2,534 | ||||||
Arch Coal | ||||||||
8.750%, 08/01/16 | 1,975 | 2,177 | ||||||
7.250%, 10/01/20 | 65 | 69 | ||||||
Atlas Energy Operating | ||||||||
12.125%, 08/01/17 | 120 | 139 | ||||||
10.750%, 02/01/18 | 1,705 | 1,888 | ||||||
Aventine Renewable Energy Holdings | ||||||||
13.000%, 03/15/15 (B) (F) (G) | 986 | 1,035 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 117 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Basic Energy Services | ||||||||
11.625%, 08/01/14 | $ | 1,100 | $ | 1,210 | ||||
Brigham Exploration | ||||||||
8.750%, 10/01/18 (B) | 685 | 706 | ||||||
Bristow Group | ||||||||
7.500%, 09/15/17 | 1,680 | 1,722 | ||||||
Chaparral Energy | ||||||||
9.875%, 10/01/20 (B) | 695 | 705 | ||||||
Chesapeake Energy | ||||||||
6.875%, 08/15/18 | 3,090 | 3,237 | ||||||
6.625%, 08/15/20 | 225 | 235 | ||||||
6.500%, 08/15/17 | 950 | 986 | ||||||
Cloud Peak Energy Resources | ||||||||
8.250%, 12/15/17 | 920 | 972 | ||||||
Compton Petroleum Finance | ||||||||
7.625%, 12/01/13 | 375 | 326 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/20 (B) | 1,450 | 1,584 | ||||||
8.000%, 04/01/17 (B) | 1,550 | 1,678 | ||||||
Continental Resources | ||||||||
7.375%, 10/01/20 (B) | 2,200 | 2,321 | ||||||
Copano Energy | ||||||||
7.750%, 06/01/18 | 3,560 | 3,596 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/18 | 1,845 | 1,933 | ||||||
Denbury Resources | ||||||||
9.750%, 03/01/16 | 785 | 881 | ||||||
Drummond | ||||||||
9.000%, 10/15/14 (B) | 810 | 856 | ||||||
Dynegy Holdings | ||||||||
7.750%, 06/01/19 | 2,105 | 1,442 | ||||||
7.625%, 10/15/26 | 1,115 | 672 | ||||||
El Paso | ||||||||
8.250%, 02/15/16 | 585 | 651 | ||||||
7.420%, 02/15/37 | 950 | 906 | ||||||
7.250%, 06/01/18 | 2,240 | 2,414 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 2,993 | 3,150 | ||||||
EXCO Resources | ||||||||
7.500%, 09/15/18 | 500 | 497 | ||||||
Forbes Energy Services | ||||||||
11.000%, 02/15/15 | 1,662 | 1,512 | ||||||
Forest Oil | ||||||||
8.500%, 02/15/14 | 315 | 344 | ||||||
8.000%, 12/15/11 | 585 | 619 | ||||||
7.250%, 06/15/19 | 2,825 | 2,889 | ||||||
General Maritime | ||||||||
12.000%, 11/15/17 | 770 | 812 | ||||||
Global Geophysical Services | ||||||||
10.500%, 05/01/17 (B) | 480 | 488 | ||||||
Helix Energy Solutions Group | ||||||||
9.500%, 01/15/16 (B) | 2,845 | 2,881 | ||||||
Hercules Offshore | ||||||||
10.500%, 10/15/17 (B) | 905 | 751 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hilcorp Energy I | ||||||||
8.000%, 02/15/20 (B) | $ | 765 | $ | 786 | ||||
Holly | ||||||||
9.875%, 06/15/17 | 1,500 | 1,588 | ||||||
International Coal Group | ||||||||
9.125%, 04/01/18 | 995 | 1,060 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/24 | 390 | 425 | ||||||
Key Energy Services | ||||||||
8.375%, 12/01/14 | 820 | 865 | ||||||
Linn Energy | ||||||||
11.750%, 05/15/17 | 230 | 264 | ||||||
8.625%, 04/15/20 (B) | 1,960 | 2,078 | ||||||
7.750%, 02/01/21 (B) | 870 | 878 | ||||||
MarkWest Energy Partners | ||||||||
8.750%, 04/15/18 | 1,005 | 1,085 | ||||||
Murray Energy | ||||||||
10.250%, 10/15/15 (B) | 980 | 1,017 | ||||||
Newfield Exploration | ||||||||
7.125%, 05/15/18 | 3,040 | 3,245 | ||||||
6.875%, 02/01/20 | 1,850 | 1,966 | ||||||
NFR Energy | ||||||||
9.750%, 02/15/17 (B) | 1,745 | 1,745 | ||||||
OPTI Canada | ||||||||
9.750%, 08/15/13 (B) | 340 | 345 | ||||||
9.000%, 12/15/12 (B) | 350 | 354 | ||||||
8.250%, 12/15/14 | 3,105 | 2,360 | ||||||
7.875%, 12/15/14 | 1,420 | 1,069 | ||||||
Parker Drilling | ||||||||
9.125%, 04/01/18 (B) | 2,615 | 2,654 | ||||||
Penn Virginia | ||||||||
10.375%, 06/15/16 | 400 | 438 | ||||||
PetroHawk Energy | ||||||||
10.500%, 08/01/14 | 1,800 | 2,038 | ||||||
7.875%, 06/01/15 | 2,165 | 2,268 | ||||||
7.250%, 08/15/18 (B) | 1,945 | 1,984 | ||||||
Petroleum Development | ||||||||
12.000%, 02/15/18 | 2,000 | 2,220 | ||||||
Pioneer Drilling | ||||||||
9.875%, 03/15/18 (B) | 515 | 527 | ||||||
Plains Exploration & Production | ||||||||
10.000%, 03/01/16 | 85 | 97 | ||||||
7.750%, 06/15/15 | 290 | 304 | ||||||
7.625%, 06/01/18 | 550 | 577 | ||||||
7.625%, 04/01/20 | 325 | 341 | ||||||
7.000%, 03/15/17 | 1,250 | 1,281 | ||||||
Pride International | ||||||||
8.500%, 06/15/19 | 575 | 667 | ||||||
6.875%, 08/15/20 | 1,060 | 1,154 | ||||||
Quicksilver Resources | ||||||||
11.750%, 01/01/16 | 2,500 | 2,931 | ||||||
7.125%, 04/01/16 | 2,660 | 2,627 | ||||||
RAAM Global Energy | ||||||||
12.500%, 10/01/15 (B) | 1,120 | 1,110 |
118 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SandRidge Energy | ||||||||
9.875%, 05/15/16 (B) | $ | 1,185 | $ | 1,224 | ||||
8.750%, 01/15/20 (B) | 3,000 | 2,970 | ||||||
8.625%, 04/01/15 | 2,280 | 2,280 | ||||||
Southwestern Energy | ||||||||
7.500%, 02/01/18 | 900 | 1,017 | ||||||
Targa Resources Partners | ||||||||
11.250%, 07/15/17 | 3,000 | 3,465 | ||||||
7.875%, 10/15/18 (B) | 1,845 | 1,923 | ||||||
Tesoro | ||||||||
9.750%, 06/01/19 | 1,950 | 2,145 | ||||||
Thermon Industries | ||||||||
9.500%, 05/01/17 (B) | 1,600 | 1,672 | ||||||
Whiting Petroleum | ||||||||
6.500%, 10/01/18 | 275 | 281 | ||||||
115,509 | ||||||||
Financials — 12.7% | ||||||||
Alliant Holdings I | ||||||||
11.000%, 05/01/15 (B) | 2,900 | 2,994 | ||||||
Ally Financial | ||||||||
8.000%, 12/31/18 | 1,065 | 1,094 | ||||||
8.000%, 11/01/31 | 4,190 | 4,494 | ||||||
7.500%, 09/15/20 (B) | 1,715 | 1,827 | ||||||
6.750%, 12/01/14 | 4,828 | 5,030 | ||||||
American Capital | ||||||||
8.960%, 12/31/13 (B) | 966 | 970 | ||||||
American General Finance MTN | ||||||||
5.400%, 12/01/15 | 2,450 | 1,972 | ||||||
American International Group | ||||||||
8.175%, 05/15/58 (C) | 1,685 | 1,685 | ||||||
Bank of America | ||||||||
8.000%, 12/29/49 (C) | 580 | 599 | ||||||
Bankrate | ||||||||
11.750%, 07/15/15 (B) | 1,700 | 1,819 | ||||||
Calfrac Holdings | ||||||||
7.750%, 02/15/15 (B) | 2,850 | 2,879 | ||||||
Cardtronics | ||||||||
8.250%, 09/01/18 | 4,490 | 4,726 | ||||||
Cemex Finance | ||||||||
9.500%, 12/14/16 (B) | 5,045 | 5,076 | ||||||
CEVA Group | ||||||||
11.625%, 10/01/16 (B) | 2,925 | 3,086 | ||||||
11.500%, 04/01/18 (B) | 2,500 | 2,613 | ||||||
CIT Group | ||||||||
7.000%, 05/01/13 | 181 | 181 | ||||||
7.000%, 05/01/14 | 595 | 594 | ||||||
7.000%, 05/01/15 | 1,115 | 1,107 | ||||||
7.000%, 05/01/16 | 5,977 | 5,887 | ||||||
7.000%, 05/01/17 | 2,764 | 2,705 | ||||||
Citigroup Capital XXI | ||||||||
8.300%, 12/21/57 (C) | 580 | 609 | ||||||
City National Bank | ||||||||
9.000%, 08/12/19 | 3,384 | 3,384 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
City National Capital Trust I | ||||||||
9.625%, 02/01/40 | $ | 1,600 | $ | 1,662 | ||||
Credit Acceptance | ||||||||
9.125%, 02/01/17 (B) | 2,400 | 2,520 | ||||||
E*Trade Financial | ||||||||
7.375%, 09/15/13 | 3,669 | 3,586 | ||||||
E*Trade Financial PIK | ||||||||
12.500%, 11/30/17 | 1,726 | 1,968 | ||||||
Felcor Lodging | ||||||||
10.000%, 10/01/14‡ | 740 | 804 | ||||||
Fifth Third Capital Trust IV | ||||||||
6.500%, 04/15/37 (C) | 960 | 916 | ||||||
FireKeepers Development Authority | ||||||||
13.875%, 05/01/15 (B) | 3,450 | 4,019 | ||||||
Ford Motor Credit | ||||||||
7.000%, 04/15/15 | 1,695 | 1,811 | ||||||
6.625%, 08/15/17 | 1,565 | 1,667 | ||||||
5.625%, 09/15/15 | 375 | 386 | ||||||
Ford Motor Credit LLC | ||||||||
12.000%, 05/15/15 | 1,280 | 1,612 | ||||||
8.700%, 10/01/14 | 1,245 | 1,397 | ||||||
8.000%, 06/01/14 | 1,900 | 2,078 | ||||||
8.000%, 12/15/16 | 2,050 | 2,317 | ||||||
7.000%, 10/01/13 | 550 | 590 | ||||||
Fresenius US Finance II | ||||||||
9.000%, 07/15/15 (B) | 300 | 342 | ||||||
Genworth Financial | ||||||||
6.500%, 06/15/34 | 1,090 | 1,010 | ||||||
6.150%, 11/15/66 (C) | 5,355 | 4,063 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (B) (C) | 1,435 | 1,263 | ||||||
Hellas Telecommunications II | ||||||||
6.881%, 01/15/15 (A) (B) (C) | 2,250 | 45 | ||||||
Hexion US Finance | ||||||||
9.750%, 11/15/14 | 1,621 | 1,686 | ||||||
4.750%, 11/15/14 (C) | 500 | 440 | ||||||
Host Marriott LP, Ser O | ||||||||
6.375%, 03/15/15‡ | 240 | 246 | ||||||
Host Marriott LP, Ser Q | ||||||||
6.750%, 06/01/16‡ | 1,115 | 1,155 | ||||||
HUB International Holdings | ||||||||
10.250%, 06/15/15 (B) | 360 | 349 | ||||||
9.000%, 12/15/14 (B) | 1,440 | 1,422 | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/18 | 2,675 | 2,688 | ||||||
7.750%, 01/15/16 | 4,540 | 4,563 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (B) (C) | 2,040 | 1,377 | ||||||
Interactive Data | ||||||||
10.250%, 08/01/18 (B) | 1,015 | 1,076 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/17 (B) | 2,480 | 2,660 | ||||||
8.625%, 09/15/15 (B) | 2,360 | 2,525 | ||||||
7.125%, 09/01/18 (B) | 2,120 | 2,284 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 119 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.750%, 09/01/16 (B) | $ | 320 | $ | 342 | ||||
6.375%, 03/25/13 | 800 | 804 | ||||||
5.650%, 06/01/14 | 595 | 577 | ||||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/20 (B) | 4,600 | 4,660 | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/37 (B) (C) | 1,275 | 1,108 | ||||||
Lloyds Banking Group | ||||||||
6.267%, 11/14/16 (B) | 335 | 238 | ||||||
5.920%, 09/29/49 (B) (C) | 505 | 359 | ||||||
Lyondell Chemical | ||||||||
8.000%, 11/01/17 (B) | 6,085 | 6,648 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/03 (A) (B) | 4,200 | — | ||||||
MetLife Capital Trust X | ||||||||
9.250%, 04/08/38 (B) (C) | 3,550 | 4,189 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/39 (B) | 990 | 1,203 | ||||||
NCO Group | ||||||||
11.875%, 11/15/14 | 800 | 716 | ||||||
Nielsen Finance | ||||||||
0.000%, 08/01/16 (D) | 5,476 | 5,483 | ||||||
Novelis | ||||||||
7.250%, 02/15/15 | 1,465 | 1,491 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/25 (B) | 3,000 | 2,730 | ||||||
Nuveen Investments | ||||||||
10.500%, 11/15/15 | 10,690 | 10,623 | ||||||
5.500%, 09/15/15 | 1,055 | 836 | ||||||
Offshore Group Investments | ||||||||
11.500%, 08/01/15 (B) | 2,055 | 2,158 | ||||||
Ohio Casualty | ||||||||
7.300%, 06/15/14 | 905 | 1,000 | ||||||
Omega Healthcare Investors | ||||||||
7.500%, 02/15/20‡(B) | 3,495 | 3,665 | ||||||
Penson Worldwide | ||||||||
12.500%, 05/15/17 (B) | 1,125 | 1,122 | ||||||
PHH | ||||||||
9.250%, 03/01/16 (B) | 980 | 1,019 | ||||||
Pinafore | ||||||||
9.000%, 10/01/18 (B) | 1,650 | 1,733 | ||||||
Pinnacle Foods Finance | ||||||||
10.625%, 04/01/17 | 1,660 | 1,766 | ||||||
9.250%, 04/01/15 | 165 | 172 | ||||||
9.250%, 04/01/15 (B) | 310 | 322 | ||||||
8.250%, 09/01/17 (B) | 1,100 | 1,114 | ||||||
PNC Preferred Funding Trust II | ||||||||
6.113%, 03/29/49 (B) (C) | 2,170 | 1,585 | ||||||
Protective Life | ||||||||
8.450%, 10/15/39 | 2,800 | 3,070 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/18 (B) | 1,065 | 974 | ||||||
Realogy | ||||||||
10.500%, 04/15/14 | 1,070 | 910 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Regions Financing Trust II | ||||||||
6.625%, 05/15/47 (C) | $ | 469 | $ | 413 | ||||
Snoqualmie Entertainment Authority | ||||||||
9.125%, 02/01/15 (B) | 2,090 | 1,839 | ||||||
4.136%, 02/01/14 (B) (C) | 645 | 532 | ||||||
Susquehanna Capital II | ||||||||
11.000%, 03/23/40 | 1,300 | 1,347 | ||||||
Symetra Financial | ||||||||
6.125%, 04/01/16 (B) | 635 | 657 | ||||||
Unitrin | ||||||||
6.000%, 05/15/17 | 1,025 | 1,056 | ||||||
USI Holdings | ||||||||
9.750%, 05/15/15 (B) | 3,619 | 3,510 | ||||||
Ventas Realty L.P. | ||||||||
6.750%, 04/01/17‡ | 850 | 884 | ||||||
Wind Acquisition Holdings Finance | ||||||||
12.250%, 07/15/17 (B) | 964 | 1,033 | ||||||
XL Capital | ||||||||
6.500%, 12/31/49 (C) | 3,320 | 2,739 | ||||||
Yankee Acquisition, Ser B | ||||||||
9.750%, 02/15/17 | 1,830 | 1,903 | ||||||
8.500%, 02/15/15 | 1,370 | 1,415 | ||||||
Zions Bancorporation | ||||||||
5.650%, 05/15/14 | 200 | 198 | ||||||
192,001 | ||||||||
Health Care — 7.7% | ||||||||
Accellent | ||||||||
10.500%, 12/01/13 | 820 | 828 | ||||||
8.375%, 02/01/17 | 1,700 | 1,734 | ||||||
Alere | ||||||||
9.000%, 05/15/16 | 3,630 | 3,739 | ||||||
American Renal Holdings | ||||||||
8.375%, 05/15/18 (B) | 1,620 | 1,669 | ||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/14 | 5,680 | 6,319 | ||||||
Bausch & Lomb | ||||||||
9.875%, 11/01/15 | 1,560 | 1,659 | ||||||
Biomet | ||||||||
11.625%, 10/15/17 | 7,120 | 7,930 | ||||||
10.375%, 10/15/17 | 5,130 | 5,694 | ||||||
10.000%, 10/15/17 | 2,735 | 3,019 | ||||||
BioScrip | ||||||||
10.250%, 10/01/15 | 4,390 | 4,489 | ||||||
Catalent Pharma Solutions | ||||||||
9.500%, 04/15/15 | 6,060 | 6,120 | ||||||
Cooper | ||||||||
7.125%, 02/15/15 | 250 | 254 | ||||||
DJO Finance | ||||||||
10.875%, 11/15/14 | 2,720 | 2,958 | ||||||
HCA | ||||||||
9.875%, 02/15/17 | 160 | 177 | ||||||
9.625%, 11/15/16 | 7,306 | 7,927 | ||||||
9.250%, 11/15/16 | 4,720 | 5,121 | ||||||
8.500%, 04/15/19 | 2,160 | 2,408 |
120 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Management Associates | ||||||||
6.125%, 04/15/16 | $ | 1,055 | $ | 1,066 | ||||
Healthsouth | ||||||||
8.125%, 02/15/20 | 2,870 | 2,985 | ||||||
7.750%, 09/15/22 | 1,155 | 1,164 | ||||||
7.250%, 10/01/18 | 510 | 520 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/17 (B) | 3,380 | 3,481 | ||||||
Multiplan | ||||||||
9.875%, 09/01/18 (B) | 1,050 | 1,097 | ||||||
Mylan | ||||||||
7.875%, 07/15/20 (B) | 1,785 | 1,912 | ||||||
7.625%, 07/15/17 (B) | 3,130 | 3,330 | ||||||
Novasep Holding SAS | ||||||||
9.750%, 12/15/16 (B) | 780 | 601 | ||||||
Omnicare | ||||||||
6.125%, 06/01/13 | 350 | 350 | ||||||
PharmaNet Development Group | ||||||||
10.875%, 04/15/17 (B) | 2,490 | 2,571 | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/17 (B) | 1,600 | 1,580 | ||||||
ReAble Therapeutics Finance | ||||||||
11.750%, 11/15/14 | 2,817 | 2,951 | ||||||
Select Medical | ||||||||
7.625%, 02/01/15 | 4,435 | 4,330 | ||||||
Surgical Care Affiliates | ||||||||
8.875%, 07/15/15 (B) | 1,254 | 1,273 | ||||||
Talecris Biotherapeutics Holdings | ||||||||
7.750%, 11/15/16 | 1,435 | 1,578 | ||||||
Tenet Healthcare | ||||||||
10.000%, 05/01/18 | 95 | 108 | ||||||
9.250%, 02/01/15 | 1,630 | 1,750 | ||||||
8.875%, 07/01/19 | 370 | 408 | ||||||
UHS Escrow | ||||||||
7.000%, 10/01/18 (B) | 2,850 | 2,943 | ||||||
United Surgical Partners International PIK | ||||||||
9.250%, 05/01/17 | 1,390 | 1,432 | ||||||
Universal Hospital Services | ||||||||
8.500%, 06/01/15 | 225 | 226 | ||||||
US Oncology | ||||||||
9.125%, 08/15/17 | 1,525 | 1,617 | ||||||
US Oncology Holdings | ||||||||
6.904%, 03/15/12 (C) | 1,185 | 1,123 | ||||||
Valeant Pharmaceuticals International | ||||||||
7.000%, 10/01/20 (B) | 3,177 | 3,248 | ||||||
6.750%, 10/01/17 (B) | 1,072 | 1,093 | ||||||
Vanguard Health Holding II | ||||||||
8.000%, 02/01/18 | 2,640 | 2,680 | ||||||
VWR Funding PIK | ||||||||
10.250%, 07/15/15 | 5,555 | 5,763 | ||||||
Warner Chilcott | ||||||||
7.750%, 09/15/18 (B) | 855 | 879 | ||||||
116,104 | ||||||||
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 10.0% | ||||||||
ACCO Brands | ||||||||
10.625%, 03/15/15 | $ | 2,650 | $ | 2,961 | ||||
7.625%, 08/15/15 | 945 | 907 | ||||||
Accuride | ||||||||
9.500%, 08/01/18 (B) | 3,300 | 3,465 | ||||||
Actuant | ||||||||
6.875%, 06/15/17 | 2,000 | 2,040 | ||||||
Aircastle | ||||||||
9.750%, 08/01/18 (B) | 535 | 546 | ||||||
Aleris International | ||||||||
0.000%, 12/15/16 (A) | 1,800 | 1 | ||||||
Aleris International PIK | ||||||||
4.414%, 12/15/14 (A) | 725 | 2 | ||||||
Alion Science & Technology | ||||||||
12.000%, 11/01/14 | 2,606 | 2,593 | ||||||
Alliant Techsystems | ||||||||
6.875%, 09/15/20 | 575 | 584 | ||||||
6.750%, 04/01/16 | 3,440 | 3,586 | ||||||
Allison Transmission | ||||||||
11.000%, 11/01/15 (B) | 900 | 976 | ||||||
America West Airlines 2000-1 Pass Through Trust | ||||||||
8.057%, 07/02/20 | 2,195 | 2,293 | ||||||
American Airlines | ||||||||
13.000%, 08/01/16 | 2,064 | 2,441 | ||||||
American Axle & Manufacturing | ||||||||
7.875%, 03/01/17 | 1,020 | 1,011 | ||||||
American Tire Distributors | ||||||||
9.750%, 06/01/17 (B) | 515 | 548 | ||||||
Amsted Industries | ||||||||
8.125%, 03/15/18 (B) | 775 | 807 | ||||||
ArvinMeritor | ||||||||
10.625%, 03/15/18 | 445 | 493 | ||||||
8.125%, 09/15/15 | 675 | 683 | ||||||
Associated Materials | ||||||||
11.250%, 03/01/14 | 925 | 967 | ||||||
9.875%, 11/15/16 | 415 | 502 | ||||||
Atrium PIK | ||||||||
15.000%, 12/15/12 (A) (B) | 1,625 | 24 | ||||||
Baker & Taylor | ||||||||
11.500%, 07/01/13 (B) | 950 | 685 | ||||||
Baldor Electric | ||||||||
8.625%, 02/15/17 | 390 | 417 | ||||||
BE Aerospace | ||||||||
6.875%, 10/01/20 | 2,385 | 2,433 | ||||||
Belden | ||||||||
9.250%, 06/15/19 (B) | 610 | 659 | ||||||
Building Materials Corp of America | ||||||||
6.875%, 08/15/18 (B) | 2,693 | 2,646 | ||||||
Case New Holland | ||||||||
7.875%, 12/01/17 (B) | 1,470 | 1,597 | ||||||
7.750%, 09/01/13 | 360 | 391 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 121 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Casella Waste Systems | ||||||||
11.000%, 07/15/14 | $ | 170 | $ | 186 | ||||
9.750%, 02/01/13 | 1,185 | 1,194 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/20 (B) | 174 | 163 | ||||||
Chart Industries | ||||||||
9.125%, 10/15/15 | 1,600 | 1,630 | ||||||
Clean Harbors | ||||||||
7.625%, 08/15/16 | 482 | 501 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/18 | 4,965 | 5,076 | ||||||
Complete Production Services | ||||||||
8.000%, 12/15/16 | 350 | 361 | ||||||
Continental Airlines | ||||||||
7.339%, 04/19/14 | 1,682 | 1,748 | ||||||
Continental Airlines 2000-1 Class B Pass Through Trust | ||||||||
8.388%, 11/01/20 | 1,043 | 1,048 | ||||||
Corrections Corp of America | ||||||||
7.750%, 06/01/17 | 475 | 511 | ||||||
CPM Holdings | ||||||||
10.625%, 09/01/14 (B) | 655 | 706 | ||||||
DAE Aviation Holdings | ||||||||
11.250%, 08/01/15 (B) | 875 | 882 | ||||||
Delta Air Lines | ||||||||
12.250%, 03/15/15 (B) | 4,200 | 4,641 | ||||||
DynCorp International | ||||||||
10.375%, 07/01/17 (B) | 6,910 | 6,875 | ||||||
Esco | ||||||||
8.625%, 12/15/13 (B) | 95 | 97 | ||||||
4.129%, 12/15/13 (B) (C) | 635 | 581 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/20 (B) | 1,300 | 1,346 | ||||||
Express | ||||||||
8.750%, 03/01/18 | 700 | 738 | ||||||
FTI Consulting | ||||||||
6.750%, 10/01/20 (B) | 515 | 519 | ||||||
General Cable | ||||||||
7.125%, 04/01/17 | 1,050 | 1,066 | ||||||
Geo Group | ||||||||
7.750%, 10/15/17 (B) | 980 | 1,029 | ||||||
Global Aviation Holdings | ||||||||
14.000%, 08/15/13 (B) | 2,750 | 2,943 | ||||||
Goodman Global Group | ||||||||
0.000%, 12/15/14 (H) | 4,400 | 2,816 | ||||||
Harland Clarke Holdings | ||||||||
9.500%, 05/15/15 | 3,530 | 3,345 | ||||||
6.000%, 05/15/15 (C) | 865 | 727 | ||||||
Intcomex | ||||||||
13.250%, 12/15/14 (B) | 4,780 | 5,043 | ||||||
Interface | ||||||||
11.375%, 11/01/13 | 400 | 454 | ||||||
9.500%, 02/01/14 | 131 | 136 |
Description | Face Amount ($ Thousands) | �� | Market Value ($ Thousands) | |||||
Interline Brands | ||||||||
8.125%, 06/15/14 | $ | 570 | $ | 589 | ||||
International Wire Group | ||||||||
9.750%, 04/15/15 (B) | 975 | 996 | ||||||
Iron Mountain | ||||||||
8.375%, 08/15/21 | 1,070 | 1,157 | ||||||
K Hovnanian Enterprises | ||||||||
7.500%, 05/15/16 | 580 | 383 | ||||||
6.250%, 01/15/15 | 780 | 585 | ||||||
Kansas City Southern de Mexico | ||||||||
8.000%, 02/01/18 (B) | 750 | 806 | ||||||
Koppers | ||||||||
7.875%, 12/01/19 | 1,620 | 1,689 | ||||||
Kratos Defense & Security Solutions | ||||||||
10.000%, 06/01/17 | 1,250 | 1,325 | ||||||
Manitowoc | ||||||||
9.500%, 02/15/18 | 1,650 | 1,724 | ||||||
McJunkin Red Man | ||||||||
9.500%, 12/15/16 (B) | 380 | 334 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/20 (B) | 390 | 410 | ||||||
Neehah Foundry | ||||||||
15.000%, 07/29/15 | 89 | 84 | ||||||
Niska Gas Storage US | ||||||||
8.875%, 03/15/18 (B) | 1,085 | 1,161 | ||||||
Oshkosh | ||||||||
8.500%, 03/01/20 | 1,000 | 1,082 | ||||||
8.250%, 03/01/17 | 1,090 | 1,172 | ||||||
Ply Gem Industries | ||||||||
13.125%, 07/15/14 | 1,120 | 1,141 | ||||||
Quality Distribution | ||||||||
11.750%, 11/01/13 | 843 | 797 | ||||||
RailAmerica | ||||||||
9.250%, 07/01/17 | 740 | 811 | ||||||
RBS Global | ||||||||
8.500%, 05/01/18 | 1,925 | 1,956 | ||||||
RBS Global and Rexnord | ||||||||
11.750%, 08/01/16 | 860 | 920 | ||||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/16 | 4,560 | 4,161 | ||||||
7.500%, 11/30/16 (B) | 680 | 620 | ||||||
Sequa | ||||||||
13.500%, 12/01/15 (B) | 500 | 535 | ||||||
11.750%, 12/01/15 (B) | 3,175 | 3,350 | ||||||
ServiceMaster | ||||||||
10.750%, 07/15/15 (B) | 4,570 | 4,867 | ||||||
7.450%, 08/15/27 | 1,500 | 1,140 | ||||||
7.250%, 03/01/38 | 1,515 | 1,087 | ||||||
7.100%, 03/01/18 | 655 | 563 | ||||||
Spirit Aerosystems | ||||||||
7.500%, 10/01/17 | 745 | 769 | ||||||
SPX | ||||||||
7.625%, 12/15/14 | 1,190 | 1,297 |
122 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Susser Holdings | ||||||||
8.500%, 05/15/16 | $ | 990 | $ | 1,030 | ||||
Swift Transportation | ||||||||
12.500%, 05/15/17 (B) | 495 | 498 | ||||||
syncreon Global Ireland | ||||||||
9.500%, 05/01/18 (B) | 1,937 | 1,901 | ||||||
Terex | ||||||||
10.875%, 06/01/16 | 950 | 1,084 | ||||||
8.000%, 11/15/17 | 3,185 | 3,189 | ||||||
Thermadyne Holdings | ||||||||
9.500%, 02/01/14 | 860 | 873 | ||||||
Ticketmaster Entertainment | ||||||||
10.750%, 08/01/16 | 4,890 | 5,355 | ||||||
Titan International | ||||||||
7.875%, 10/01/17 (B) | 2,870 | 2,899 | ||||||
Trimas | ||||||||
9.750%, 12/15/17 (B) | 780 | 839 | ||||||
Triumph Group | ||||||||
8.625%, 07/15/18 | 310 | 333 | ||||||
8.000%, 11/15/17 | 200 | 205 | ||||||
UAL 2007-1 Pass Through Trust | ||||||||
6.636%, 07/02/22 | 348 | 347 | ||||||
UAL 2009-2B Pass Through Trust | ||||||||
12.000%, 01/15/16 (B) | 233 | 252 | ||||||
UAL Pass Through Trust Series 2000-1 | ||||||||
8.030%, 07/01/11 | 563 | 691 | ||||||
UCI Holdings | ||||||||
8.257%, 12/15/13 (C) | 1,204 | 1,168 | ||||||
United Air Lines | ||||||||
12.000%, 11/01/13 (B) | 1,290 | 1,425 | ||||||
9.125%, 01/15/12 (A) | 1,075 | — | ||||||
United Air Lines, Ser 95A1 | ||||||||
9.560%, 10/19/18 (A) | 552 | 226 | ||||||
9.020%, 04/19/12 (A) | 351 | 140 | ||||||
United Air Lines, Ser A | ||||||||
0.000%, 05/01/04 (A) | 525 | — | ||||||
United Maritime Group | ||||||||
11.750%, 06/15/15 | 4,200 | 4,211 | ||||||
USG | ||||||||
9.750%, 08/01/14 (B) | 225 | 235 | ||||||
6.300%, 11/15/16 | 1,485 | 1,288 | ||||||
Wyle Services | ||||||||
10.500%, 04/01/18 (B) | 1,745 | 1,728 | ||||||
150,048 | ||||||||
Information Technology — 5.9% | ||||||||
Activant Solutions | ||||||||
9.500%, 05/01/16 | 1,645 | 1,581 | ||||||
Aeroflex | ||||||||
11.750%, 02/15/15 | 1,465 | 1,582 | ||||||
Amkor Technology | ||||||||
9.250%, 06/01/16 | 1,725 | 1,850 | ||||||
7.375%, 05/01/18 (B) | 1,240 | 1,256 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aspect Software | ||||||||
10.625%, 05/15/17 (B) | $ | 2,035 | $ | 2,114 | ||||
Avaya | ||||||||
10.125%, 11/01/15 | 728 | 689 | ||||||
9.750%, 11/01/15 | 665 | 627 | ||||||
Brocade Communications Systems | ||||||||
6.875%, 01/15/20 (B) | 440 | 462 | ||||||
6.625%, 01/15/18 (B) | 440 | 458 | ||||||
Compucom Systems | ||||||||
12.500%, 10/01/15 (B) | 3,775 | 4,058 | ||||||
Equinix | ||||||||
8.125%, 03/01/18 | 2,900 | 3,096 | ||||||
Fidelity National Information Services | ||||||||
7.875%, 07/15/20 (B) | 710 | 765 | ||||||
7.625%, 07/15/17 (B) | 1,230 | 1,313 | ||||||
First Data | ||||||||
10.550%, 09/24/15 | 5,955 | 4,816 | ||||||
9.875%, 09/24/15 | 5,465 | 4,453 | ||||||
8.875%, 08/15/20 (B) | 830 | 861 | ||||||
Freescale Semiconductor | ||||||||
10.125%, 03/15/18 (B) | 535 | 570 | ||||||
10.125%, 12/15/16 | 810 | 737 | ||||||
9.250%, 04/15/18 (B) | 5,600 | 5,824 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/15 | 10,150 | 10,112 | ||||||
Iron Mountain | ||||||||
8.750%, 07/15/18 | 1,020 | 1,082 | ||||||
JDA Software Group | ||||||||
8.000%, 12/15/14 (B) | 915 | 970 | ||||||
MagnaChip Semiconductor | ||||||||
10.500%, 04/15/18 (B) | 3,155 | 3,336 | ||||||
NXP BV | ||||||||
9.750%, 08/01/18 (B) | 2,135 | 2,274 | ||||||
NXP Funding LLC | ||||||||
10.000%, 07/15/13 (B) | 489 | 533 | ||||||
9.500%, 10/15/15 | 2,235 | 2,291 | ||||||
7.875%, 10/15/14 | 1,112 | 1,151 | ||||||
Open Solutions | ||||||||
9.750%, 02/01/15 (B) | 4,200 | 2,961 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/16 | 1,675 | 1,708 | ||||||
Smart Modular Technologies | ||||||||
5.790%, 04/01/12 (C) | 670 | 670 | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/18 (B) | 755 | 829 | ||||||
STATS ChipPAC | ||||||||
7.500%, 08/12/15 (B) | 2,375 | 2,559 | ||||||
Stratus Technologies | ||||||||
12.000%, 03/29/15 (B) | 2,300 | 1,958 | ||||||
Sungard Data Systems | ||||||||
10.250%, 08/15/15 | 4,943 | 5,202 | ||||||
9.125%, 08/15/13 | 2,899 | 2,961 | ||||||
Terremark Worldwide | ||||||||
12.000%, 06/15/17 | 675 | 771 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Travelport | ||||||||
9.000%, 03/01/16 (B) | $ | 1,885 | $ | 1,876 | ||||
Unisys | ||||||||
14.250%, 09/15/15 (B) | 1,540 | 1,833 | ||||||
12.750%, 10/15/14 (B) | 4,585 | 5,456 | ||||||
Viasat | ||||||||
8.875%, 09/15/16 | 565 | 608 | ||||||
Zayo Group | ||||||||
10.250%, 03/15/17 (B) | 975 | 1,024 | ||||||
89,277 | ||||||||
Materials — 6.8% | ||||||||
AK Steel | ||||||||
7.625%, 05/15/20 | 1,283 | 1,299 | ||||||
Algoma Acquisition | ||||||||
9.875%, 06/15/15 (B) | 1,255 | 1,119 | ||||||
Appleton Papers | ||||||||
10.500%, 06/15/15 (B) | 940 | 881 | ||||||
Ashland | ||||||||
9.125%, 06/01/17 | 2,265 | 2,593 | ||||||
Berry Plastics | ||||||||
10.250%, 03/01/16 | 2,200 | 2,046 | ||||||
9.500%, 05/15/18 | 1,251 | 1,176 | ||||||
Boise Paper Holdings | ||||||||
9.000%, 11/01/17 | 2,270 | 2,435 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/18 (B) | 755 | 817 | ||||||
Cascades | ||||||||
7.875%, 01/15/20 | 1,320 | 1,376 | ||||||
Celanese US Holdings | ||||||||
6.625%, 10/15/18 (B) | 550 | 562 | ||||||
Century Aluminum | ||||||||
8.000%, 05/15/14 | 889 | 878 | ||||||
CF Industries | ||||||||
7.125%, 05/01/20 | 780 | 853 | ||||||
6.875%, 05/01/18 | 4,825 | 5,193 | ||||||
Chemtura | ||||||||
7.875%, 09/01/18 (B) | 1,305 | 1,364 | ||||||
Clearwater Paper | ||||||||
10.625%, 06/15/16 | 790 | 889 | ||||||
CPG International I | ||||||||
10.500%, 07/01/13 | 1,865 | 1,884 | ||||||
Domtar | ||||||||
10.750%, 06/01/17 | 2,700 | 3,362 | ||||||
9.500%, 08/01/16 | 275 | 319 | ||||||
Essar Steel Algoma | ||||||||
9.375%, 03/15/15 (B) | 115 | 116 | ||||||
Ferro | ||||||||
7.875%, 08/15/18 | 800 | 830 | ||||||
FMG Finance Property Ltd. | ||||||||
10.625%, 09/01/16 (B) | 3,180 | 3,915 | ||||||
Georgia-Pacific LLC | ||||||||
8.250%, 05/01/16 (B) | 1,665 | 1,850 | ||||||
8.000%, 01/15/24 | 1,690 | 1,897 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.125%, 01/15/17 (B) | $ | 4,730 | $ | 5,008 | ||||
7.000%, 01/15/15 (B) | 1,155 | 1,201 | ||||||
Graham Packaging | ||||||||
9.875%, 10/15/14 | 1,950 | 2,023 | ||||||
8.250%, 01/01/17 (B) | 95 | 97 | ||||||
8.250%, 10/01/18 (B) | 2,050 | 2,083 | ||||||
Graphic Packaging International | ||||||||
9.500%, 06/15/17 | 1,265 | 1,347 | ||||||
7.875%, 10/01/18 | 1,675 | 1,721 | ||||||
Headwaters | ||||||||
11.375%, 11/01/14 | 835 | 889 | ||||||
Hexion US Finance | ||||||||
8.875%, 02/01/18 | 1,725 | 1,691 | ||||||
Huntsman International | ||||||||
8.625%, 03/15/20 | 1,905 | 1,972 | ||||||
8.625%, 03/15/21 (B) | 675 | 699 | ||||||
7.875%, 11/15/14 | 1,690 | 1,753 | ||||||
7.375%, 01/01/15 | 560 | 568 | ||||||
5.500%, 06/30/16 | 485 | 464 | ||||||
Ineos Finance | ||||||||
9.000%, 05/15/15 (B) | 2,840 | 2,964 | ||||||
Intertape Polymer | ||||||||
8.500%, 08/01/14 | 710 | 605 | ||||||
Lyondell Chemical | ||||||||
11.000%, 05/01/18 | 3,011 | 3,331 | ||||||
MacDermid | ||||||||
9.500%, 04/15/17 (B) | 1,320 | 1,380 | ||||||
Millar Western Forest Products | ||||||||
7.750%, 11/15/13 | 1,040 | 928 | ||||||
Momentive Performance Materials | ||||||||
11.500%, 12/01/16 | 685 | 685 | ||||||
NewPage | ||||||||
11.375%, 12/31/14 | 1,755 | 1,588 | ||||||
Noranda Aluminium Acquisition PIK | ||||||||
4.524%, 05/15/15 (C) | 2,559 | 2,152 | ||||||
Nova Chemicals | ||||||||
8.625%, 11/01/19 | 420 | 446 | ||||||
Packaging Dynamics Finance | ||||||||
10.000%, 05/01/16 (B) | 1,020 | 964 | ||||||
PE Paper Escrow GmbH | ||||||||
12.000%, 08/01/14 (B) | 520 | 601 | ||||||
PH Glatfelter | ||||||||
7.125%, 05/01/16 | 1,155 | 1,179 | ||||||
Plastipak Holdings | ||||||||
10.625%, 08/15/19 (B) | 590 | 655 | ||||||
PolyOne | ||||||||
7.375%, 09/15/20 | 1,375 | 1,418 | ||||||
Pregis | ||||||||
12.375%, 10/15/13 | 1,421 | 1,428 | ||||||
Reichhold Industries | ||||||||
9.000%, 08/15/14 (B) | 1,969 | 1,698 | ||||||
Rhodia | ||||||||
6.875%, 09/15/20 (B) | 1,970 | 2,009 | ||||||
Ryerson | ||||||||
12.000%, 11/01/15 | 1,215 | 1,258 |
124 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Scotts Miracle-Gro | ||||||||
7.250%, 01/15/18 | $ | 295 | $ | 311 | ||||
Sealed Air | ||||||||
7.875%, 06/15/17 | 1,120 | 1,214 | ||||||
Solo Cup | ||||||||
10.500%, 11/01/13 | 715 | 740 | ||||||
8.500%, 02/15/14 | 1,000 | 860 | ||||||
Solutia | ||||||||
8.750%, 11/01/17 | 1,150 | 1,256 | ||||||
7.875%, 03/15/20 | 865 | 925 | ||||||
Standard Steel | ||||||||
12.000%, 05/01/15 (B) | 2,650 | 2,531 | ||||||
Steel Dynamics | ||||||||
7.750%, 04/15/16 | 800 | 832 | ||||||
7.625%, 03/15/20 (B) | 785 | 814 | ||||||
Teck Resources | ||||||||
10.250%, 05/15/16 | 63 | 77 | ||||||
TPC Group | ||||||||
8.250%, 10/01/17 (B) | 490 | 502 | ||||||
United States Steel | ||||||||
7.375%, 04/01/20 | 500 | 521 | ||||||
Verso Paper Holdings | ||||||||
11.500%, 07/01/14 | 1,280 | 1,402 | ||||||
11.375%, 08/01/16 | 960 | 863 | ||||||
9.125%, 08/01/14 | 1,335 | 1,338 | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/15 (B) | 3,235 | 3,356 | ||||||
102,001 | ||||||||
Telecommunication Services — 6.4% |
| |||||||
Angel Lux Common | ||||||||
8.875%, 05/01/16 (B) | 1,335 | 1,418 | ||||||
Citizens Communications | ||||||||
6.625%, 03/15/15 | 980 | 1,012 | ||||||
Clearwire Communications | ||||||||
12.000%, 12/01/15 (B) | 10,050 | 10,839 | ||||||
Cricket Communications | ||||||||
10.000%, 07/15/15 | 450 | 486 | ||||||
9.375%, 11/01/14 | 950 | 983 | ||||||
Crown Castle International | ||||||||
9.000%, 01/15/15 | 2,505 | 2,762 | ||||||
Digicel | ||||||||
12.000%, 04/01/14 (B) | 500 | 582 | ||||||
Digicel Group | ||||||||
10.500%, 04/15/18 (B) | 1,045 | 1,147 | ||||||
8.875%, 01/15/15 (B) | 455 | 464 | ||||||
8.250%, 09/01/17 (B) | 1,010 | 1,060 | ||||||
GCI | ||||||||
8.625%, 11/15/19 | 1,540 | 1,644 | ||||||
Global Crossing | ||||||||
12.000%, 09/15/15 | 1,370 | 1,548 | ||||||
Inmarsat Finance | ||||||||
7.375%, 12/01/17 (B) | 2,125 | 2,221 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Intelsat | ||||||||
9.250%, 06/15/16 | $ | 350 | $ | 373 | ||||
Intelsat Jackson Holding | ||||||||
11.250%, 06/15/16 | 3,475 | 3,779 | ||||||
9.500%, 06/15/16 | 1,270 | 1,354 | ||||||
8.500%, 11/01/19 (B) | 1,355 | 1,470 | ||||||
7.250%, 10/15/20 (B) | 1,305 | 1,312 | ||||||
Intelsat Luxembourg | ||||||||
11.500%, 02/04/17 | 2,968 | 3,216 | ||||||
11.250%, 02/04/17 | 2,150 | 2,303 | ||||||
Intelsat Subsidiary Holding | ||||||||
8.875%, 01/15/15 (B) | 320 | 330 | ||||||
8.875%, 01/15/15 | 1,775 | 1,837 | ||||||
ITC Deltacom | ||||||||
10.500%, 04/01/16 | 690 | 701 | ||||||
Level 3 Communications | ||||||||
6.500%, 10/01/16 | 495 | 506 | ||||||
Level 3 Financing | ||||||||
10.000%, 02/01/18 | 3,320 | 2,988 | ||||||
4.140%, 02/15/15 (C) | 125 | 101 | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/29 | 1,080 | 786 | ||||||
MetroPCS Wireless | ||||||||
9.250%, 11/01/14 | 860 | 901 | ||||||
7.875%, 09/01/18 | 2,650 | 2,730 | ||||||
NII Capital | ||||||||
10.000%, 08/15/16 | 1,390 | 1,581 | ||||||
Orascom Telecom Finance | ||||||||
7.875%, 02/08/14 (B) | 1,800 | 1,742 | ||||||
PAETEC Holding | ||||||||
9.500%, 07/15/15 | 2,235 | 2,280 | ||||||
8.875%, 06/30/17 | 1,040 | 1,087 | ||||||
Primus Telecommunications Holding | ||||||||
13.000%, 12/15/16 (B) | 818 | 851 | ||||||
Qwest | ||||||||
7.500%, 06/15/23 | 1,015 | 1,020 | ||||||
7.250%, 09/15/25 | 350 | 368 | ||||||
7.250%, 10/15/35 | 1,200 | 1,188 | ||||||
6.875%, 09/15/33 | 225 | 222 | ||||||
Qwest Communications International, Ser B | ||||||||
7.500%, 02/15/14 | 1,635 | 1,668 | ||||||
Sable International Finance MTN | ||||||||
7.750%, 02/15/17 (B) | 590 | 622 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 6,090 | 6,395 | ||||||
6.900%, 05/01/19 | 1,105 | 1,111 | ||||||
Telcordia Technologies | ||||||||
11.000%, 05/01/18 (B) | 6,295 | 6,177 | ||||||
Telesat Canada | ||||||||
12.500%, 11/01/17 | 760 | 897 | ||||||
11.000%, 11/01/15 | 830 | 938 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 125 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Trilogy International Partners | ||||||||
10.250%, 08/15/16 (B) | $ | 585 | $ | 544 | ||||
tw telecom holdings inc | ||||||||
8.000%, 03/01/18 | 1,585 | 1,660 | ||||||
Virgin Media Finance PLC | ||||||||
8.375%, 10/15/19 | 1,300 | 1,427 | ||||||
West | ||||||||
11.000%, 10/15/16 | 2,935 | 3,118 | ||||||
9.500%, 10/15/14 | 1,000 | 1,046 | ||||||
8.625%, 10/01/18 (B) | 1,952 | 1,952 | ||||||
Wind Acquisition Finance | ||||||||
11.750%, 07/15/17 (B) | 2,913 | 3,264 | ||||||
10.750%, 12/01/09 (B) | 2,335 | 2,472 | ||||||
Windstream | ||||||||
8.625%, 08/01/16 | 1,920 | 2,040 | ||||||
8.125%, 09/01/18 (B) | 275 | 284 | ||||||
96,807 | ||||||||
Utilities — 2.0% | ||||||||
AES | ||||||||
9.750%, 04/15/16 | 1,210 | 1,391 | ||||||
8.000%, 06/01/20 | 755 | 819 | ||||||
7.750%, 03/01/14 | 50 | 54 | ||||||
Calpine | ||||||||
7.875%, 07/31/20 (B) | 2,602 | 2,674 | ||||||
Calpine Generating | ||||||||
14.320%, 04/01/11 (A) (C) | 1,600 | 204 | ||||||
Edison Mission Energy | ||||||||
7.625%, 05/15/27 | 1,400 | 941 | ||||||
Elwood Energy | ||||||||
8.159%, 07/05/26 | 787 | 740 | ||||||
Energy Future Holdings | ||||||||
10.875%, 11/01/17 | 241 | 145 | ||||||
10.000%, 01/15/20 (B) | 395 | 392 | ||||||
6.500%, 11/15/24 | 1,055 | 404 | ||||||
Energy Future Intermediate Holding | ||||||||
10.000%, 12/01/20 | 1,864 | 1,850 | ||||||
Ferrellgas Partners | ||||||||
6.750%, 05/01/14 | 1,250 | 1,272 | ||||||
GenOn Escrow | ||||||||
9.500%, 10/15/18 (B) | 690 | 664 | ||||||
Mirant Americas Generation LLC | ||||||||
8.500%, 10/01/21 | 1,500 | 1,444 | ||||||
Mirant North America LLC | ||||||||
7.375%, 12/31/13 | 600 | 618 | ||||||
North American Energy Alliance | ||||||||
10.875%, 06/01/16 (B) | 1,100 | 1,202 | ||||||
NRG Energy | ||||||||
8.500%, 06/15/19 | 2,185 | 2,302 | ||||||
8.250%, 09/01/20 (B) | 1,555 | 1,604 | ||||||
7.375%, 02/01/16 | 1,360 | 1,399 | ||||||
7.375%, 01/15/17 | 3,525 | 3,613 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 2,600 | 2,870 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Puget Sound Energy | ||||||||
6.974%, 06/01/67 (C) | $ | 905 | $ | 844 | ||||
Southern Energy | ||||||||
0.000%, 07/15/04 (A) | 450 | 4 | ||||||
Texas Competitive Electric Holdings | ||||||||
10.250%, 11/01/15 | 1,680 | 1,100 | ||||||
TXU, Ser P | ||||||||
5.550%, 11/15/14 | 200 | 107 | ||||||
TXU, Ser R | ||||||||
6.550%, 11/15/34 | 2,210 | 840 | ||||||
29,497 | ||||||||
Total Corporate Obligations (Cost $1,165,601) ($ Thousands) | 1,226,412 | |||||||
LOAN PARTICIPATIONS — 6.2% |
| |||||||
Advantage Sales | ||||||||
8.500%, 04/15/17 | 1,600 | 1,594 | ||||||
Affinion | ||||||||
7.757%, 03/01/12 | 593 | 587 | ||||||
Affinion Group | ||||||||
7.641%, 03/01/12 | 4,300 | 4,257 | ||||||
Alliance Laundry Systems | ||||||||
0.000%, 09/23/16 (J) | 1,290 | 1,298 | ||||||
Allison Transmission | ||||||||
3.010%, 08/07/14 | 274 | 257 | ||||||
3.000%, 08/07/14 | 10 | 9 | ||||||
2.990%, 08/07/14 | 100 | 93 | ||||||
American General Finance | ||||||||
7.250%, 04/08/15 | 3,610 | 3,626 | ||||||
Asurion, 2nd Lien | ||||||||
6.734%, 07/03/15 | 2,700 | 2,560 | ||||||
Boston Generating, 2nd Lien | ||||||||
4.501%, 06/20/14 | 700 | 102 | ||||||
Boston Generating, Mezzanine | ||||||||
7.251%, 12/20/16 | 211 | 1 | ||||||
CDW | ||||||||
4.257%, 10/12/14 | 990 | 910 | ||||||
Central Parking | ||||||||
1.843%, 05/22/14 | 608 | 505 | ||||||
Central Parking, 1st Lien | ||||||||
2.563%, 05/22/14 | 1,433 | 1,179 | ||||||
CF Industries Holdings, Term Loan B-1 | ||||||||
4.500%, 04/05/15 | 899 | 905 | ||||||
Chester Downs | ||||||||
12.375%, 12/31/49 | 546 | 549 | ||||||
CIT Group | ||||||||
6.250%, 08/11/15 | 2,314 | 2,329 | ||||||
Claire’s Stores | ||||||||
3.010%, 05/27/14 | 3 | 2 | ||||||
3.001%, 05/27/14 | 1,054 | 919 | ||||||
Clear Channel | ||||||||
3.884%, 01/29/16 | 318 | 250 |
126 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Clopay Ames True Temper Holding, Term B Loan | ||||||||
0.000%, 09/28/16 (J) | $ | 1,700 | $ | 1,704 | ||||
DAE Aviation Holdings, Tranche B-1 | ||||||||
4.000%, 07/31/14 | 360 | 337 | ||||||
DAE Aviation Holdings, Tranche B-2 | ||||||||
4.000%, 09/27/14 | 349 | 326 | ||||||
3.990%, 09/27/14 | 1 | 1 | ||||||
Dex Media West, Term Loan D-2 | ||||||||
9.250%, 06/30/11 | 211 | 179 | ||||||
9.000%, 06/30/11 | 252 | 213 | ||||||
Federal Mogul | ||||||||
2.198%, 12/29/14 | 3 | 3 | ||||||
2.167%, 12/29/14 | 1,217 | 1,068 | ||||||
Federal Mogul, Term C Loan | ||||||||
2.198%, 12/28/15 | 2 | 1 | ||||||
2.167%, 12/28/15 | 621 | 546 | ||||||
First Data, Initial Tranche B-1 | ||||||||
3.001%, 09/24/14 | 43 | 38 | ||||||
2.999%, 09/24/14 | 27 | 24 | ||||||
2.982%, 09/24/14 | 885 | 779 | ||||||
First Data, Initial Tranche B-2 | ||||||||
3.001%, 09/24/14 | 14 | 12 | ||||||
2.999%, 09/24/14 | 298 | 262 | ||||||
Gambro Aktiebolag | ||||||||
5.186%, 11/24/16 | 1,040 | 848 | ||||||
5.119%, 05/24/16 | 922 | 766 | ||||||
Georgia Pacific | ||||||||
2.256%, 12/20/12 | 27 | 27 | ||||||
2.240%, 12/20/12 | 213 | 211 | ||||||
Green Valley Ranch Gaming, 2nd Lien | ||||||||
3.504%, 08/06/14 (A) | 2,000 | 41 | ||||||
Guitar Center | ||||||||
3.760%, 10/09/13 | 128 | 115 | ||||||
3.750%, 10/09/13 | 1,705 | 1,527 | ||||||
Harrah’s Operating | ||||||||
9.500%, 01/28/15 | 2,985 | 3,057 | ||||||
3.250%, 01/28/15 | 10 | 8 | ||||||
3.249%, 01/28/15 | 1,240 | 1,065 | ||||||
Hexion Specialty Chemicals, Term Loan C-1 | ||||||||
2.813%, 05/05/13 | 1,205 | 1,151 | ||||||
Hexion Specialty Chemicals, Term Loan C-2 | ||||||||
2.563%, 05/05/13 | 461 | 440 | ||||||
Iasis Healthcare | ||||||||
5.499%, 06/13/14 | 3,470 | 3,294 | ||||||
Ineos Group, Term Loan B-2 | ||||||||
7.500%, 12/16/13 | 1,298 | 1,295 | ||||||
Ineos Group, Term Loan C-2 | ||||||||
8.000%, 12/16/14 | 1,488 | 1,492 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.506%, 03/02/14 | 150 | 97 | ||||||
6.479%, 03/02/14 | 767 | 496 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Infor Global Solutions | ||||||||
8.260%, 08/29/14 | $ | 3,693 | $ | 1,159 | ||||
Infor Global Solutions, 2nd Lien | ||||||||
6.479%, 03/02/14 | 1,583 | 1,024 | ||||||
Intelsat Jackson Holding | ||||||||
2.734%, 02/01/14 | 2,100 | 1,901 | ||||||
Landry’s Restaurants | ||||||||
6.258%, 05/13/11 | 1,523 | 1,530 | ||||||
Medical Card | ||||||||
12.000%, 09/15/16 | 1,515 | 1,477 | ||||||
Merrill, Term B Loan 1st Lien | ||||||||
0.000%, 05/15/11 (J) | 1,100 | 1,049 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/09 (A) | 300 | — | ||||||
NBTY, Term B Loan | ||||||||
0.000%, 10/07/11 (J) | 1,450 | 1,464 | ||||||
NCO Group | ||||||||
7.500%, 05/15/13 | 727 | 685 | ||||||
7.250%, 05/15/13 | 261 | 246 | ||||||
Nuveen Investments, 2nd Lien | ||||||||
13.800%, 11/09/14 | 690 | 747 | ||||||
12.500%, 07/31/15 | 595 | 644 | ||||||
Open Link Financial | ||||||||
10.250%, 11/06/15 | 2,250 | 2,351 | ||||||
OSI Restaurant Partners | ||||||||
2.875%, 06/14/13 | 43 | 40 | ||||||
2.875%, 06/14/14 | 3,658 | 3,355 | ||||||
2.625%, 06/14/13 | 25 | 23 | ||||||
0.112%, 06/14/13 | 184 | 169 | ||||||
PQ | ||||||||
6.770%, 06/14/14 | 1,297 | 1,195 | ||||||
Realogy | ||||||||
13.500%, 10/15/17 | 545 | 580 | ||||||
3.250%, 10/13/13 | 1,020 | 905 | ||||||
Rexnord, Term B Loan | ||||||||
7.252%, 03/01/13 | 2,305 | 1,884 | ||||||
Reynold, 1st Lien | ||||||||
6.250%, 10/24/12 | 1,481 | 1,489 | ||||||
Reynolds Consumer Products, Term A Loan | ||||||||
0.000%, 08/05/15 (J) | 2,500 | 2,498 | ||||||
Sabre Holdings | ||||||||
2.475%, 09/30/14 | 441 | 407 | ||||||
Sabre, Initial Term Loan | ||||||||
2.256%, 09/30/14 | 778 | 719 | ||||||
Shield Finance | ||||||||
7.750%, 06/15/16 | 1,500 | 1,451 | ||||||
Simmons Holdco Unsecured | ||||||||
0.000%, 02/15/12 (J) | 1,697 | — | ||||||
Targa Resources | ||||||||
5.256%, 02/09/15 | 2,187 | 1,859 | ||||||
Texas Competitive Electric Holdings, Term Loan B-2 | ||||||||
3.758%, 10/10/14 | 4,284 | 3,326 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 127 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.751%, 10/10/14 | $ | 50 | $ | 39 | ||||
3.735%, 10/10/14 | 5,006 | 3,887 | ||||||
Texas Competitive Electric Holdings, Term Loan B-3 | ||||||||
3.758%, 10/10/14 | 379 | 293 | ||||||
3.751%, 10/10/14 | 2 | 2 | ||||||
Texas Competitive Electric Holdings, Tranche B-2 | ||||||||
3.716%, 10/10/14 | 255 | 198 | ||||||
Tomkins, Term B Loan | ||||||||
0.000%, 09/07/16 (J) | 1,000 | 1,008 | ||||||
Tronox DIP, Term Loan B-1 | ||||||||
11.250%, 10/06/11 | 682 | 681 | ||||||
Tronox DIP, Term Loan B-2 | ||||||||
11.250%, 10/06/11 | 183 | 183 | ||||||
Valeant Pharmaceuticals, Term B Loan | ||||||||
0.000%, 06/21/16 (J) | 4,405 | 4,442 | ||||||
Vertafore | ||||||||
7.250%, 08/06/16 | 55 | 55 | ||||||
6.750%, 08/06/16 | 1,945 | 1,949 | ||||||
Wide Open West Finance | ||||||||
8.500%, 06/27/15 | — | — | ||||||
6.507%, 06/27/15 | 2,079 | 1,809 | ||||||
Zuffa | ||||||||
7.500%, 06/18/15 | 1,733 | 1,748 | ||||||
Total Loan Participations (Cost $94,343) ($ Thousands) | 93,826 | |||||||
COLLATERALIZED DEBT OBLIGATIONS — 2.5% |
| |||||||
Financials — 1.7% | ||||||||
ACAS CLO, Ser 2007-1A, Cl A1J | ||||||||
0.559%, 04/20/21 (B) (C) | 5,207 | 4,062 | ||||||
ACAS Business Loan Trust, Ser 2007-2A, Cl A | ||||||||
0.650%, 11/18/09 (B) (C) | 9 | 809 | ||||||
CIFC Funding, Ser 2007-3A, Cl B | ||||||||
1.499%, 07/26/21 (B) (C) | 2,500 | 1,385 | ||||||
CIT CLO, Ser 2007-1A, Cl E | ||||||||
5.271%, 06/20/21 (C) | 800 | 344 | ||||||
CIT CLO, Ser 2007-1A, Cl D | ||||||||
2.271%, 06/20/21 (B) (C) | 2,800 | 1,428 | ||||||
Connecticut Valley Structured Credit CDO, Ser 2006-3A, Cl NOTE | ||||||||
0.000%, 03/23/23 (B) | 2,200 | 11 | ||||||
De Meer Middle Market CLO, Ser 2006-1A, Cl INC | ||||||||
0.000%, 10/20/18 (B) | 3,366 | 1,010 | ||||||
Duane Street CLO, Ser 2007-5A, Cl SN | ||||||||
0.000%, 10/14/21 (B) | 3,300 | 990 | ||||||
Emporia Preferred Funding, Ser 2007-3A, Cl C | ||||||||
1.149%, 04/23/21 (B) (C) | 1,708 | 1,110 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Gleneagles CLO, Ser AI | ||||||||
0.000%, 11/01/17 (C) | $ | 7,000 | $ | 325 | ||||
Peritus I CDO, Ser 2005-1A, Cl C | ||||||||
9.000%, 05/24/15 (B) | 12,517 | 8,386 | ||||||
Peritus I CDO, Ser 2007-1A | ||||||||
0.000%, 12/19/17 | 3,750 | 750 | ||||||
Rockwall Investors | ||||||||
0.000%, 08/01/21*(B) | 4,000 | 360 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A1LA | ||||||||
0.766%, 08/01/21 (B) (C) | 5,775 | 4,360 | ||||||
Waterfront CLO, Ser 2007-1A, Cl A2 | ||||||||
0.684%, 08/02/20 (B) (C) | 337 | 261 | ||||||
25,591 | ||||||||
Other Asset-Backed Securities — 0.8% |
| |||||||
FM Leveraged Capital Fund, Ser 2006-2A, Cl B | ||||||||
0.846%, 11/15/20 (B) (C) | 3,157 | 2,321 | ||||||
FM Leveraged Capital Fund, Ser 2006-2A, Cl D | ||||||||
1.976%, 11/15/20 (B) (C) | 694 | 364 | ||||||
Grayson CLO, Ser 2006-1A, Cl A1B | ||||||||
0.826%, 11/01/21 (B) (C) | 6,394 | 4,156 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.716%, 08/01/24 (B) (C) | 5,945 | 4,559 | ||||||
Stone Tower CDO, Ser 2004-1A, Cl A1LA | ||||||||
0.981%, 01/29/20 (B) (C) | 1,572 | 1,289 | ||||||
12,689 | ||||||||
Total Collateralized Debt Obligations (Cost $51,105) ($ Thousands) | 38,280 | |||||||
CONVERTIBLE BONDS — 0.4% |
| |||||||
DryShips | ||||||||
5.000%, 12/01/14 | 630 | 591 | ||||||
Hologic CV to 25.9110 | ||||||||
2.000%, 12/15/37 | 970 | 897 | ||||||
Leap Wireless International CV to 10.729 | ||||||||
4.500%, 07/15/14 | 627 | 557 | ||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/30 | 540 | 303 | ||||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/29 | 1,000 | 571 | ||||||
Lions Gate Entertainment CV to 86.9565 | ||||||||
2.938%, 10/15/24 | 1,124 | 1,108 | ||||||
Live Nation Entertainment | ||||||||
2.875%, 07/15/27 | 579 | 495 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/21 (A) | 2,200 | 4 | ||||||
Standard Pacific | ||||||||
6.000%, 10/01/12 | 790 | 797 |
128 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vector Group CV to 59.3618 | ||||||||
12.921%, 06/15/26 (C) | $ | 415 | $ | 494 | ||||
Total Convertible Bonds (Cost $5,264) ($ Thousands) | 5,817 | |||||||
PREFERRED STOCK — 0.5% | ||||||||
Ally Financial (B) | ||||||||
17.310% | 5 | 4,583 | ||||||
Axis Capital Holdings | ||||||||
1.875% | 13 | 1,118 | ||||||
Dana Holding (B) | ||||||||
4.000% | 5 | 598 | ||||||
SandRidge Energy | ||||||||
8.500% | 6 | 580 | ||||||
Total Preferred Stock (Cost $5,210) ($ Thousands) | 6,879 | |||||||
ASSET-BACKED SECURITIES — 0.2% |
| |||||||
Other Asset-Backed Securities — 0.2% |
| |||||||
Airplanes Pass Through Trust, Ser 2001-1A | ||||||||
0.807%, 03/15/19 (C) | 1,900 | 1,159 | ||||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||||
5.261%, 04/25/37 (B) | 1,169 | 1,169 | ||||||
Total Asset-Backed Securities (Cost $2,042) ($ Thousands) | 2,328 | |||||||
COMMON STOCK — 0.5% | ||||||||
Aventine Renewable Energy Holdings* (B) | 66,516 | 1,713 | ||||||
Core-Mark Holding* | 861 | 27 | ||||||
Dana Holding* | 64,570 | 795 | ||||||
Dex One* | 31,547 | 387 | ||||||
LyondellBasell Industries, Cl A* | 57,479 | 1,374 | ||||||
LyondellBasell Industries, Cl B* | 82,076 | 1,957 | ||||||
Neenah Enterprises* | 17,244 | 69 | ||||||
Quad* | 74 | 3 | ||||||
Shreveport Gaming Holdings | 13,948 | 102 | ||||||
Solutia* | 186 | 3 | ||||||
UAL* | 35 | 1 | ||||||
VSS AHC, Cl A*, (F) (G) | 38,453 | 459 | ||||||
Total Common Stock (Cost $6,683) ($ Thousands) | 6,890 | |||||||
Description | Shares | Market Value ($ Thousands) | ||||||
AUCTION RATE PREFERRED SECURITIES — 0.4% |
| |||||||
BlackRock Insured Municipal Income Trust | 14 | $ | 1,141 | |||||
BlackRock Municipal Income Trust | 42 | 3,444 | ||||||
BlackRock MuniVest Fund | 13 | 1,058 | ||||||
BlackRock MuniYield Insured Fund | 11 | 872 | ||||||
Total Auction Rate Preferred Securities (Cost $6,586) ($ Thousands) | 6,515 | |||||||
Number of | ||||||||
WARRANTS — 0.0% | ||||||||
Alion Science & Technology, | 2,600 | — | ||||||
Atrium, Expires 10/14/18* | 706 | — | ||||||
Grande Communications, Expires 04/01/11* | 850 | — | ||||||
Total Warrants | — | |||||||
CASH EQUIVALENT — 9.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 138,662,227 | 138,662 | ||||||
Total Cash Equivalent (Cost $138,662) ($ Thousands) | 138,662 | |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P., 0.230%†** (I) | 6,084 | 5 | ||||||
Total Affiliated Partnership (Cost $6) ($ Thousands) | 5 | |||||||
�� | ||||||||
Total Investments — 101.4% | $ | 1,525,614 | ||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 129 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2010
A summary of outstanding swap agreements held by the Fund at September 30, 2010, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($Thousands) | ||||||||||||||
Barclays Bank PLC | CDX.NA.HY.SERIES 13 12/14 | BUY | 5.00 | 12/20/14 | 14,355 | $ | (1,043 | ) | ||||||||||||
Percentages are based on a Net Assets of $1,504,916 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | Security in default on interest payments. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(C) | Variable Rate Security—The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2010. The date reported on the Schedule of Investments is the next reset date. |
(D) | Step Bonds—The rate reflected on the Schedule of Investments is the effective yield on September 30, 2010. The coupon on a step bond changes on a specified date. |
(E) | This security or a partial position of this security is on loan at September 30, 2010 (see Note 9). The total value of securities on loan at September 30, 2010 was $0 ($ Thousands). |
(F) | Securities considered restricted. The total value of such securities as of September 30, 2010 was $1,494 ($ Thousands) and represented 0.10% of Net Assets. |
(G) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2010 was $1,609 ($ Thousands) and represented 0.11% of Net Assets. |
(H) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(I) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of September 30, 2010 was $5 ($ Thousands). |
(J) | Unsettled bank loan. Interest rate not available. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
Ltd. — Limited
LLC — Limited Liability Company
LLP — Limited Liability Partnership
L.P. — Limited Partnership
MTN — Medium Term Note
PIK — Payment-in-Kind
PLC — Public Limited Company
Ser — Series
Amounts designated as “—” are $O or have been rounded to $O
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,212,600 | $ | 13,812 | $ | 1,226,412 | ||||||||
Loan Participations | — | 83,200 | 10,626 | 93,826 | ||||||||||||
Collateralized Debt Obligations | — | — | 38,280 | 38,280 | ||||||||||||
Convertible Bonds | — | 5,813 | 4 | 5,817 | ||||||||||||
Preferred Stock | — | 6,879 | — | 6,879 | ||||||||||||
Asset-Backed Securities | — | 2,328 | — | 2,328 | ||||||||||||
Common Stock | 4,548 | 69 | 2,273 | 6,890 | ||||||||||||
Auction Rate Preferred Securities | — | — | 6,515 | 6,515 | ||||||||||||
Cash Equivalent | 138,662 | — | — | 138,662 | ||||||||||||
Affiliated Partnership | — | 5 | — | 5 | ||||||||||||
Total Investments in Securities | $ | 143,210 | $ | 1,310,894 | $ | 71,510 | $ | 1,525,614 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps* | $ | — | $ | (1,043 | ) | $ | — | $ | (1,043 | ) | ||||||
* Swaps are valued at the unrealized depreciation on the instrument.
130 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Corporate Obligations | Loan Participations | Collateralized Debt Obligations | Convertible Bonds | Common Stock | Auction Rate Preferred Securities | |||||||||||||||||||
Beginning balance as of October 1, 2009 | $ | 3,544 | $ | 20,916 | $ | 36,616 | $ | 4 | $ | 279 | $ | — | ||||||||||||
Accrued discounts/premiums | 115 | 229 | (382 | ) | — | — | — | |||||||||||||||||
Realized gain/(loss) | 92 | 567 | (6,612 | ) | — | (35 | ) | — | ||||||||||||||||
Change in unrealized appreciation/(depreciation) | 483 | 2,016 | 48,827 | — | (143 | ) | (71 | ) | ||||||||||||||||
Net purchases/sales | (18 | ) | (11,563 | ) | (48,555 | ) | — | — | 6,586 | |||||||||||||||
Net transfer in and/or out of Level 3 | 9,596 | (1,539 | ) | 8,386 | — | 2,172 | — | |||||||||||||||||
Ending balance as of September 30, 2010 | $ | 13,812 | $ | 10,626 | $ | 38,280 | $ | 4 | $ | 2,273 | $ | 6,515 | ||||||||||||
Changes in unrealized gains (losses) included in earnings | $ | 376 | $ | 430 | $ | 2,847 | $ | — | $ | (143 | ) | $ | — | |||||||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 131 |
Table of Contents
SCHEDULE OF INVESTMENTS
Real Return Fund
September 30, 2010
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 98.2% |
| |||||||
U.S. Treasury Bond TIPS | ||||||||
3.000%, 07/15/12 | $ | 12,034 | $ | 12,779 | ||||
2.375%, 04/15/11 to 01/15/17 | 13,134 | 14,021 | ||||||
2.000%, 04/15/12 to 01/15/16 (C) | 98,435 | 105,195 | ||||||
1.875%, 07/15/13 to 07/15/15 | 21,479 | 22,951 | ||||||
1.625%, 01/15/15 | 37,878 | 40,479 | ||||||
1.250%, 04/15/14 | 16,431 | 17,287 | ||||||
0.625%, 04/15/13 (A) | 23,207 | 23,829 | ||||||
Total U.S. Treasury Obligations | 236,541 | |||||||
AFFILIATED PARTNERSHIP — 4.0% |
| |||||||
SEI Liquidity Fund, L.P., | 9,736,194 | 9,736 | ||||||
Total Affiliated Partnership | 9,736 | |||||||
CASH EQUIVALENT — 1.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, | 2,833,113 | 2,833 | ||||||
Total Cash Equivalent | 2,833 | |||||||
Total Investments — 103.4% | $ | 249,110 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
U.S. 5-Year Treasury Note | (93 | ) | Dec-2010 | $ | (93 | ) | ||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $240,925 ($ Thousands).
* | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at September 30, 2010. The total value of securities on loan at September 30, 2010 was $9,498 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of September 30, 2010 was $9,736 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
TIPS — Treasury Inflation Protected Security
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 236,541 | $ | — | $ | 236,541 | ||||||||
Affiliated Partnership | — | 9,736 | — | 9,736 | ||||||||||||
Cash Equivalent | 2,833 | — | — | 2,833 | ||||||||||||
Total Investments in Securities | $ | 2,833 | $ | 246,277 | $ | — | $ | 249,110 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (93 | ) | $ | — | $ | — | $ | (93 | ) | ||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between level 1 and level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between level 2 and level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements
The accompanying notes are an integral part of the financial statements.
132 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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SCHEDULE OF INVESTMENTS
Multi-Strategy Alternative Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
REGISTERED INVESTMENT COMPANIES — 96.6% |
| |||||||
Aberdeen Equity Long Short Fund, Institutional Class | 1,053,528 | $ | 11,968 | |||||
AQR Diversified Arbitrage Fund, Class I | 1,855,171 | 20,630 | ||||||
AQR Managed Futures Strategy Fund, Class I** | 1,084,621 | 10,900 | ||||||
Driehaus Active Income Fund | 2,365,711 | 26,212 | ||||||
DWS Disciplined Market Neutral Fund, Institutional Class | 996,092 | 9,682 | ||||||
Eaton Vance Global Macro Absolute Return Fund, Class I | 1,887,871 | 19,521 | ||||||
JPMorgan Research Market Neutral Fund, Institutional Class | 1,549,483 | 24,079 | ||||||
Manager AMG FW Alternative Fund, Institutional Class** | 982,643 | 10,052 | ||||||
Merger Fund | 1,751,149 | 27,896 | ||||||
TFS Market Neutral Fund | 1,294,808 | 20,264 | ||||||
Turner Spectrum Fund, Institutional Class | 308,896 | 3,342 | ||||||
Total Registered Investment Companies | 184,546 | |||||||
CASH EQUIVALENT — 4.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% * † | 7,758,452 | 7,758 | ||||||
Total Cash Equivalent | 7,758 | |||||||
Total Investments — 100.7% | $ | 192,304 | ||||||
Percentages are based on Net Assets of $191,055 ($ Thousands).
† | Investment in Affiliated Security (see Note 5). |
* | Rate shown is the 7-day effective yield as of September 30, 2010. |
** | Non-income producing security. |
Cl — Class
As of September 30, 2010, all of the Fund’s investments were considered level 1, in accordance with ASC-820.
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 133 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
September 30, 2010
Large Cap Fund(1) | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 1,349,510 | * | $ | 1,490,639 | * | $ | 1,494,242 | * | |||
Affiliated investment, at value†† | 140,745 | 158,139 | 220,315 | |||||||||
Cash | 19 | 46 | 574 | |||||||||
Receivable for investment securities sold | 12,336 | 6,290 | 18,027 | |||||||||
Receivable for fund shares sold | 3,537 | 399 | 337 | |||||||||
Dividends and interest receivable | 1,495 | 1,873 | 1,243 | |||||||||
Receivable for variation margin | 37,038 | 6 | 6 | |||||||||
Unrealized gain on forward foreign currency contracts | — | — | — | |||||||||
Unrealized gain on foreign spot currency contracts | — | — | — | |||||||||
Prepaid Expenses | 18 | 33 | 27 | |||||||||
Total Assets | 1,544,698 | 1,657,425 | 1,734,771 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 97,897 | 134,650 | 102,417 | |||||||||
Payable for investment securities purchased | 11,814 | 5,166 | 15,798 | |||||||||
Payable for fund shares redeemed | 911 | 1,896 | 4,851 | |||||||||
Payable for variation margin | 37,144 | 84 | 374 | |||||||||
Administration fees payable | 391 | 432 | 453 | |||||||||
Investment advisory fees payable | 405 | 374 | 454 | |||||||||
Shareholder servicing fees payable Class A | 118 | 246 | 199 | |||||||||
Shareholder servicing fees payable Class I | — | 2 | 2 | |||||||||
Chief Compliance Officer fees payable | 2 | 2 | 2 | |||||||||
Administration servicing fees payable Class I | — | 2 | 1 | |||||||||
Unrealized loss on forward foreign currency contracts | — | — | — | |||||||||
Unrealized loss on foreign spot currency contracts | — | — | — | |||||||||
Accrued expense payable | 117 | 131 | 137 | |||||||||
Total Liabilities | 148,799 | 142,985 | 124,688 | |||||||||
Net Assets | $ | 1,395,899 | $ | 1,514,440 | $ | 1,610,083 | ||||||
† Cost of investments and repurchase agreements | 1,267,485 | 1,395,203 | 1,198,976 | |||||||||
†† Cost of affiliated investments | 140,745 | 163,163 | 223,794 | |||||||||
* Includes market value of securities on loan | 94,814 | 130,963 | 99,295 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,284,830 | $ | 1,949,238 | $ | 2,308,271 | ||||||
Undistributed (distributions in excess of) net investment income | 2,840 | 5,338 | 2,419 | |||||||||
Accumulated net realized gain (loss) on investments, futures and foreign currency | 25,314 | (531,184 | ) | (994,037 | ) | |||||||
Net unrealized appreciation on investments, affiliated investments and option contracts | 82,025 | 90,412 | 291,787 | |||||||||
Net unrealized appreciation on futures contracts | 890 | 636 | 1,643 | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||
Net Assets | $ | 1,395,899 | $ | 1,514,440 | $ | 1,610,083 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $10.77 | $14.75 | $19.66 | |||||||||
| ($1,395,899,418 ÷ 129,653,266 shares) | | | ($1,504,082,452 ÷ 101,940,065 shares) | | | ($1,602,129,888 ÷ 81,486,195 shares) | | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class E | N/A | N/A | N/A | |||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | N/A | $14.76 | $19.47 | |||||||||
| ($10,358,004 ÷ 701,970 shares) | | | ($7,953,286 ÷ 408,550 shares) | | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | N/A | N/A | N/A | |||||||||
Amounts designated as “—” are $0 or have been rounded to $0.
(1) | Commenced operations on October 1, 2009. |
The accompanying notes are an integral part of the financial statements.
134 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund(1) | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small Cap Fund | Mid-Cap Fund | ||||||||||||||||||||
$1,504,859 | * | $1,354,951 | * | $217,413 | * | $533,567 | * | $379,068 | * | $291,021 | * | $122,168 | * | |||||||||||||
163,433 | 219,765 | 50,461 | 147,273 | 110,319 | 126,579 | 28,719 | ||||||||||||||||||||
39 | 4 | 726 | 154 | 53 | 77 | 5 | ||||||||||||||||||||
6,891 | — | 1,503 | 2,572 | 2,289 | 1,779 | 243 | ||||||||||||||||||||
658 | 5,549 | 330 | 61 | 46 | 94 | 178 | ||||||||||||||||||||
1,446 | 1,717 | 233 | 671 | 280 | 299 | 155 | ||||||||||||||||||||
33,520 | — | 6 | 5 | 5 | — | 5 | ||||||||||||||||||||
— | — | — | — | — | 9 | — | ||||||||||||||||||||
— | — | — | 1 | — | 35 | — | ||||||||||||||||||||
24 | 51 | 3 | 9 | 8 | 4 | 2 | ||||||||||||||||||||
1,710,870 | 1,582,037 | 270,675 | 684,313 | 492,068 | 419,897 | 151,475 | ||||||||||||||||||||
131,826 | 187,501 | 44,869 | 139,060 | 103,679 | 117,279 | 25,977 | ||||||||||||||||||||
4,922 | — | 1,086 | 1,367 | 3,085 | 1,513 | 98 | ||||||||||||||||||||
1,545 | 13,500 | 497 | 463 | 301 | 379 | 108 | ||||||||||||||||||||
33,618 | 144 | 8 | 26 | 15 | 16 | — | ||||||||||||||||||||
434 | 177 | 66 | 152 | 107 | 84 | 35 | ||||||||||||||||||||
413 | 33 | 115 | 279 | 188 | 130 | 40 | ||||||||||||||||||||
201 | 13 | 33 | 44 | 43 | 44 | 12 | ||||||||||||||||||||
— | 1 | — | 1 | 1 | — | — | ||||||||||||||||||||
2 | 2 | 1 | 1 | 1 | — | — | ||||||||||||||||||||
— | 2 | — | 1 | — | — | — | ||||||||||||||||||||
— | — | — | — | — | 46 | — | ||||||||||||||||||||
— | — | — | — | — | 35 | — | ||||||||||||||||||||
132 | 117 | 22 | 48 | 35 | 28 | 13 | ||||||||||||||||||||
173,093 | 201,490 | 46,697 | 141,442 | 107,455 | 119,554 | 26,283 | ||||||||||||||||||||
$1,537,777 | $1,380,547 | $223,978 | $542,871 | $384,613 | $300,343 | $125,192 | ||||||||||||||||||||
1,264,503 | 777,601 | 195,128 | 471,316 | 314,406 | 243,324 | 115,475 | ||||||||||||||||||||
167,528 | 222,846 | 50,461 | 151,272 | 113,370 | 127,188 | 29,097 | ||||||||||||||||||||
127,992 | 182,445 | 43,356 | 135,142 | 100,287 | 114,123 | 25,217 | ||||||||||||||||||||
$1,897,102 | $ 854,772 | $184,963 | $673,145 | $639,416 | $334,020 | $157,789 | ||||||||||||||||||||
3,548 | 6,641 | (3 | ) | 1,236 | (4 | ) | 337 | 244 | ||||||||||||||||||
| (599,856 | ) | (56,289 | ) | 16,720 | (190,266 | ) | (316,700 | ) | (81,439 | ) | (39,265 | ) | |||||||||||||
| 236,261 |
| 574,269 | 22,285 | 58,252 | 61,611 | 47,088 | 6,315 | ||||||||||||||||||
722 | 1,154 | 12 | 502 | 290 | 374 | 109 | ||||||||||||||||||||
| — |
| — | 1 | 2 | — | (37 | ) | — | |||||||||||||||||
$1,537,777 | $1,380,547 | $223,978 | $542,871 | $384,613 | $300,343 | $125,192 | ||||||||||||||||||||
$11.02 | $31.30 | $11.14 | $15.45 | $14.69 | $10.81 | $15.80 | ||||||||||||||||||||
| ($1,534,796,483 ÷ 139,301,374 shares) | | | ($325,796,045 ÷ 10,410,400 shares) | | | ($223,978,141 ÷ 20,099,360 shares) | | | ($535,938,604 ÷ 34,692,516 shares) | | | ($380,910,678 ÷ 25,926,802 shares) | | | ($300,343,232 ÷ 27,774,140 shares) | | | ($124,569,186 ÷ 7,882,270 shares) | | ||||||
N/A | $31.42 | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($1,046,409,935 ÷ 33,299,472 shares) | | ||||||||||||||||||||||||
N/A | $31.37 | N/A | $15.34 | $14.34 | N/A | $15.81 | ||||||||||||||||||||
| ($8,340,954 ÷ 265,870 shares) | | | ($6,932,799 ÷ 452,032 shares) | | | ($3,702,803 ÷ 258,162 shares) | | | ($623,196 ÷ 39,428 shares | ) | |||||||||||||||
$11.24 | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($2,980,103 ÷ 265,068 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 135 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
September 30, 2010
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 402,758 | $ | 310,294 | $ | 227,089 | ||||||
Affiliated investment, at value†† | 11,262 | 15,951 | 13,947 | |||||||||
Repurchase agreement† | — | — | — | |||||||||
Cash | 11 | 2,789 | 4 | |||||||||
Foreign currency, at value††† | — | 305 | — | |||||||||
Cash collateral on futures | — | — | — | |||||||||
Cash collateral on swaps | — | — | — | |||||||||
Receivable for investment securities sold | 2,845 | 3 | 1,095 | |||||||||
Receivable for fund shares sold | 710 | 1,693 | 457 | |||||||||
Dividends and interest receivable | 675 | 1,630 | 358 | |||||||||
Receivable for variation margin | — | — | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Unrealized gain on forward foreign currency contracts | — | 80 | — | |||||||||
Unrealized gain on foreign spot currency contracts | — | — | — | |||||||||
Prepaid Expenses | 6 | 4 | 3 | |||||||||
Total Assets | 418,267 | 332,749 | 242,953 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | — | — | — | |||||||||
Payable for investment securities purchased | 1,847 | — | 6,201 | |||||||||
Payable for fund shares redeemed | 341 | 261 | 132 | |||||||||
Payable to Affiliate | — | — | — | |||||||||
Payable to custodian | — | — | — | |||||||||
Payable for variation margin | 27 | 46 | 15 | |||||||||
Administration fees payable | 115 | 92 | 65 | |||||||||
Investment advisory fees payable | 129 | 104 | 71 | |||||||||
Shareholder servicing fees payable Class A | 66 | 65 | 47 | |||||||||
Shareholder servicing fees payable Class I | — | — | — | |||||||||
Chief Compliance Officer fees payable | 1 | — | — | |||||||||
Trustees fees payable | — | — | — | |||||||||
Income distribution payable | — | — | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Options written, at value # | — | — | — | |||||||||
Unrealized loss on forward foreign currency contracts | — | 1,549 | — | |||||||||
Unrealized loss on foreign spot currency contracts | — | — | — | |||||||||
Accrued expense payable | 35 | 42 | 20 | |||||||||
Total Liabilities | 2,561 | 2,159 | 6,551 | |||||||||
Net Assets | $ | 415,706 | $ | 330,590 | $ | 236,402 | ||||||
† Cost of investments and repurchase agreements | 346,527 | 280,268 | 193,182 | |||||||||
†† Cost of affiliated investments | 11,262 | 15,951 | 13,947 | |||||||||
††† Cost of foreign currency | — | 304 | — | |||||||||
†††† Premiums received/(paid) | — | — | — | |||||||||
# Premiums received | — | — | — | |||||||||
* Includes market value of securities on loan | — | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 459,548 | $ | 368,706 | $ | 216,235 | ||||||
Undistributed (distributions in excess of) net investment income | 1,165 | (6,384 | ) | 658 | ||||||||
Accumulated net realized gain (loss) on investments, affiliated investments,option contracts, futures, swap contracts, swaptions and foreign currency | (101,399 | ) | (60,453 | ) | (14,499 | ) | ||||||
Net unrealized appreciation (depreciation) on investments, affiliated investments and option contracts | 56,231 | 30,026 | 33,907 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | 161 | 143 | 101 | |||||||||
Net unrealized depreciation on swap contracts | — | — | — | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | (1,448 | ) | — | ||||||||
Net Assets | $ | 415,706 | $ | 330,590 | $ | 236,402 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $10.81 | $8.21 | $9.24 | |||||||||
| ($415,669,253 ÷ 38,448,629 shares) | | | ($330,526,092 ÷ 40,250,168 shares) | | | ($236,401,611 ÷ 25,590,015 shares) | | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $10.79 | $8.15 | N/A | |||||||||
| ($36,295 ÷ 3,363 shares) | | | ($63,434 ÷ 7,785 shares) | |
Amounts designated as “—” are $0 or have been rounded to $0.
(1) | Commenced operations on March 31, 2010. |
The accompanying notes are an integral part of the financial statements.
136 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund(1) | ||||||||||||||||||||
$211,117 | * | $133,451 | $2,434,896 | * | $907,872 | * | $1,386,947 | * | $236,541 | * | $184,546 | |||||||||||||||
99,160 | 5,616 | 167,321 | 44,763 | 138,667 | 12,569 | 7,758 | ||||||||||||||||||||
— | 1,300 | — | — | — | — | — | ||||||||||||||||||||
— | 186 | 26 | — | 4,817 | — | — | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | 850 | — | — | — | — | — | ||||||||||||||||||||
— | — | 5,110 | — | 1,569 | — | — | ||||||||||||||||||||
1,711 | 64 | 300,958 | 63,187 | 28,425 | — | — | ||||||||||||||||||||
311 | 236 | 1,960 | 1,751 | 1,975 | 750 | 939 | ||||||||||||||||||||
495 | 499 | 17,720 | 5,629 | 30,193 | 1,114 | 59 | ||||||||||||||||||||
— | — | 139 | 4 | — | — | — | ||||||||||||||||||||
— | — | 3,352 | 629 | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
1 | — | — | — | — | — | — | ||||||||||||||||||||
3 | 3 | 37 | 13 | 21 | 2 | 13 | ||||||||||||||||||||
312,798 | 142,205 | 2,931,519 | 1,023,848 | 1,592,614 | 250,976 | 193,315 | ||||||||||||||||||||
89,831 | — | 43,589 | 18,124 | 6 | 9,736 | — | ||||||||||||||||||||
1,140 | 4,384 | 525,335 | 126,028 | 81,237 | — | 2,048 | ||||||||||||||||||||
434 | 441 | 2,564 | 1,255 | 2,102 | 220 | 135 | ||||||||||||||||||||
— | — | — | — | 1,668 | — | — | ||||||||||||||||||||
— | — | — | 8 | — | — | — | ||||||||||||||||||||
— | 4 | 16 | 5 | — | 4 | — | ||||||||||||||||||||
64 | 39 | 539 | 204 | 394 | 30 | 39 | ||||||||||||||||||||
113 | 51 | 493 | 191 | 507 | 41 | 23 | ||||||||||||||||||||
24 | 28 | 151 | — | 34 | — | — | ||||||||||||||||||||
— | — | 3 | — | — | — | — | ||||||||||||||||||||
— | — | 3 | 1 | 2 | — | — | ||||||||||||||||||||
— | — | 3 | — | — | — | — | ||||||||||||||||||||
— | — | 552 | 104 | 1,441 | — | — | ||||||||||||||||||||
— | — | 3,912 | — | 160 | — | — | ||||||||||||||||||||
— | — | 484 | 88 | — | — | — | ||||||||||||||||||||
— | — | 828 | — | — | — | — | ||||||||||||||||||||
1 | — | 4 | — | — | — | — | ||||||||||||||||||||
19 | 19 | 284 | 131 | 147 | 20 | 15 | ||||||||||||||||||||
91,626 | 4,966 | 578,760 | 146,139 | 87,698 | 10,051 | 2,260 | ||||||||||||||||||||
$221,172 | $137,239 | $2,352,759 | $877,709 | $1,504,916 | $240,925 | $191,055 | ||||||||||||||||||||
146,449 | 138,787 | 2,444,632 | 869,383 | 1,336,842 | 232,060 | 183,039 | ||||||||||||||||||||
100,763 | 5,616 | 170,697 | 44,763 | 138,668 | 12,569 | 7,758 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | — | 9,820 | 1,692 | 883 | — | — | ||||||||||||||||||||
— | — | (401 | ) | (73 | ) | — | — | — | ||||||||||||||||||
88,062 | — | 42,281 | 17,499 | — | 9,498 | — | ||||||||||||||||||||
$265,591 | $265,631 | $2,435,967 | $817,865 | $1,721,964 | $234,697 | $191,588 | ||||||||||||||||||||
(89 | ) | 791 | (2,520 | ) | 99 | 8,158 | 12 | — | ||||||||||||||||||
| (107,398 | ) | (125,124 | ) | (56,128 | ) | 22,434 | (274,267 | ) | 1,828 | (2,040 | ) | ||||||||||||||
| 63,065 | | (4,036 | ) | (13,195 | ) | 38,474 | 50,104 | 4,481 | 1,507 | ||||||||||||||||
— | (23 | ) | (163 | ) | (100 | ) | — | (93 | ) | — | ||||||||||||||||
— | — | (10,380 | ) | (1,063 | ) | (1,043 | ) | — | — | |||||||||||||||||
| 3 | | — | (822 | ) | — | — | — | — | |||||||||||||||||
$221,172 | $137,239 | $2,352,759 | $877,709 | $1,504,916 | $240,925 | $191,055 | ||||||||||||||||||||
$11.58 | $7.46 | $10.93 | $10.81 | $7.27 | $10.51 | $9.93 | ||||||||||||||||||||
| ($220,865,762 ÷ 19,070,932 shares | ) | | ($137,222,892 ÷ 18,398,035 shares | ) | | ($2,335,313,809 ÷ 213,704,088 shares | ) | | ($877,709,324 ÷ 81,221,953 shares | ) | | ($1,503,070,339 ÷ 206,637,388 shares | ) | | ($240,925,134 ÷ 22,915,058 shares | ) | | ($191,054,564 ÷ 19,238,627 shares | ) | ||||||
$11.57 | $7.45 | $10.92 | N/A | $7.28 | N/A | N/A | ||||||||||||||||||||
| ($305,866 ÷ 26,435 shares | ) | | ($16,423 ÷ 2,204 shares | ) | | ($17,445,310 ÷ 1,597,183 shares | ) | | ($1,845,943 ÷ 253,492 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 137 |
Table of Contents
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2010
Large Cap Fund(1) | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 22,771 | $ | 40,154 | $ | 27,795 | ||||||
Dividends from Affiliated Investments* | 51 | 43 | 60 | |||||||||
Interest Income | 42 | 9 | 12 | |||||||||
Securities Lending Income — Net** | — | 488 | 266 | |||||||||
Less: Foreign Taxes Witheld | (47 | ) | (17 | ) | (135 | ) | ||||||
Total Investment Income | 22,817 | 40,677 | 27,998 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 4,818 | 6,007 | 7,343 | |||||||||
Administration Fees | 4,324 | 6,007 | 6,425 | |||||||||
Shareholder Servicing Fees Class (A) | 3,088 | 4,263 | 4,567 | |||||||||
Shareholder Servicing Fees Class (I) | — | 28 | 22 | |||||||||
Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Trustee Fees | 25 | 37 | 39 | |||||||||
Administration Servicing Fees Class (I) | — | 28 | 22 | |||||||||
Chief Compliance Officer Fees | 7 | 6 | 7 | |||||||||
Printing Fees | 152 | 178 | 188 | |||||||||
Professional Fees | 95 | 105 | 111 | |||||||||
Custodian/Wire Agent Fees | 103 | 140 | 150 | |||||||||
Registration Fees | 11 | 64 | 70 | |||||||||
Licensing Fees | — | — | — | |||||||||
Other Expenses | 39 | 68 | 71 | |||||||||
Total Expenses | 12,662 | 16,931 | 19,015 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (404 | ) | (985 | ) | (899 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (1,235 | ) | (623 | ) | (1,676 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (I) | — | (8 | ) | (11 | ) | |||||||
Waiver of Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Fees Paid Indirectly | (11 | ) | — | (58 | ) | |||||||
Net Expenses | 11,012 | 15,315 | 16,371 | |||||||||
Net Investment Income (Loss) | 11,805 | 25,362 | 11,627 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 22,355 | 124,527 | 192,965 | |||||||||
Futures Contracts | 8,493 | 4,047 | 2,726 | |||||||||
Foreign Currency Transactions | — | — | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 82,025 | (16,521 | ) | 3,678 | ||||||||
Affiliated Investments | — | 1,239 | 993 | |||||||||
Futures Contracts | 890 | 380 | 1,350 | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | — | |||||||||
Net Increase in Net Assets from Operations | $ | 125,568 | $ | 139,034 | $ | 213,339 |
Amounts designated as “—” are $0 or have been rounded to $0.
* | See Note 5 in Notes to Financial Statements. |
** | Affiliated |
(1) | Commenced operations on October 1, 2009. |
The accompanying notes are an integral part of the financial statements.
138 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund(1) | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small Cap Fund | Mid-Cap Fund | ||||||||||||||||||||
$ | 28,716 | $ | 29,973 | $ | 2,984 | $ | 8,960 | $ | 3,400 | $ | 3,850 | $ | 2,100 | |||||||||||||
41 | 29 | 46 | 24 | 13 | 11 | 6 | ||||||||||||||||||||
9 | 3 | — | — | 2 | 2 | 1 | ||||||||||||||||||||
530 | 325 | — | 242 | 221 | 178 | 26 | ||||||||||||||||||||
(75 | ) | — | (4 | ) | (20 | ) | (4 | ) | (3 | ) | (1 | ) | ||||||||||||||
29,221 | 30,330 | 3,026 | 9,206 | 3,632 | 4,038 | 2,132 | ||||||||||||||||||||
6,353 | 400 | 1,586 | 3,731 | 2,624 | 1,862 | 557 | ||||||||||||||||||||
5,553 | 2,936 | 854 | 2,009 | 1,413 | 1,003 | 487 | ||||||||||||||||||||
3,963 | 958 | 610 | 1,417 | 999 | 716 | 347 | ||||||||||||||||||||
— | 22 | — | 18 | 10 | — | 2 | ||||||||||||||||||||
5 | — | — | — | — | — | — | ||||||||||||||||||||
33 | 28 | 5 | 12 | 9 | 6 | 3 | ||||||||||||||||||||
— | 22 | — | 18 | 10 | — | 2 | ||||||||||||||||||||
6 | 5 | 4 | 2 | 1 | 1 | 1 | ||||||||||||||||||||
170 | 146 | 30 | 60 | 42 | 32 | 15 | ||||||||||||||||||||
101 | 86 | 17 | 36 | 25 | 19 | 9 | ||||||||||||||||||||
129 | 110 | 20 | 47 | 33 | 26 | 12 | ||||||||||||||||||||
55 | 49 | 2 | 22 | 16 | 9 | 5 | ||||||||||||||||||||
— | 121 | — | — | — | — | — | ||||||||||||||||||||
64 | 51 | 12 | 27 | 24 | 21 | 9 | ||||||||||||||||||||
16,432 | 4,934 | 3,140 | 7,399 | 5,206 | 3,695 | 1,449 | ||||||||||||||||||||
(1,114 | ) | (585 | ) | (112 | ) | (89 | ) | (155 | ) | (302 | ) | — | ||||||||||||||
(1,138 | ) | (268 | ) | (243 | ) | (702 | ) | (547 | ) | (155 | ) | (3 | ) | |||||||||||||
— | (9 | ) | — | (11 | ) | (6 | ) | — | — | |||||||||||||||||
(3 | ) | — | — | — | — | — | — | |||||||||||||||||||
(38 | ) | — | (4 | ) | (32 | ) | (4 | ) | (56 | ) | (20 | ) | ||||||||||||||
14,139 | 4,072 | 2,781 | 6,565 | 4,494 | 3,182 | 1,426 | ||||||||||||||||||||
15,082 | 26,258 | 245 | 2,641 | (862 | ) | 856 | 706 | |||||||||||||||||||
87,084 | 1,240 | 13,620 | 36,812 | 48,239 | 20,593 | 24,580 | ||||||||||||||||||||
3,664 | 2,699 | 3,446 | 1,540 | 363 | 633 | 721 | ||||||||||||||||||||
— | — | (27 | ) | (15 | ) | 1 | (21 | ) | — | |||||||||||||||||
37,165 | 97,240 | 22,285 | 23,585 | (6,623 | ) | 14,542 | (11,358 | ) | ||||||||||||||||||
524 | 363 | — | 73 | (143 | ) | (429 | ) | (12 | ) | |||||||||||||||||
98 | 854 | 12 | 651 | 176 | 179 | (2 | ) | |||||||||||||||||||
| — | | — | 1 | 6 | — | (37 | ) | — | |||||||||||||||||
$ | 143,617 | �� | $ | 128,654 | $ | 39,582 | $ | 65,293 | $ | 41,151 | $ | 36,316 | $ | 14,635 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 139 |
Table of Contents
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2010
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 8,894 | $ | 7,641 | $ | 4,717 | ||||||
Dividends from Affiliated Investments* | 14 | 15 | 11 | |||||||||
Interest Income | 1 | 28 | 1 | |||||||||
Securities Lending Income — Net** | — | — | — | |||||||||
Less: Foreign Taxes Witheld | (52 | ) | (466 | ) | (21 | ) | ||||||
Total Investment Income | 8,857 | 7,218 | 4,708 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 2,428 | 1,716 | 1,282 | |||||||||
Administration Fees | 1,308 | 924 | 690 | |||||||||
Shareholder Servicing Fees Class (A) | 934 | 660 | 493 | |||||||||
Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Trustee Fees | 8 | 5 | 4 | |||||||||
Administration Servicing Fees Class (I) | — | — | — | |||||||||
Chief Compliance Officer Fees | 2 | 1 | 1 | |||||||||
Printing Fees | 42 | 31 | 23 | |||||||||
Professional Fees | 26 | 17 | 14 | |||||||||
Custodian/Wire Agent Fees | 29 | 54 | 16 | |||||||||
Registration Fees | 13 | 8 | 6 | |||||||||
Overdraft Fees | — | 1 | — | |||||||||
Other Expenses | 15 | 33 | 8 | |||||||||
Total Expenses | 4,805 | 3,450 | 2,537 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (959 | ) | (516 | ) | (530 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (106 | ) | (1 | ) | (33 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly | — | — | — | |||||||||
Net Expenses | 3,740 | 2,933 | 1,974 | |||||||||
Net Investment Income (Loss) | 5,117 | 4,285 | 2,734 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 22,183 | 4,580 | 7,915 | |||||||||
Affiliated Investments | — | — | — | |||||||||
Futures Contracts | 417 | 1,534 | 350 | |||||||||
Written Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | — | (7,118 | ) | — | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 21,811 | 11,152 | 17,084 | |||||||||
Affiliated Investments | — | — | — | |||||||||
Futures Contracts | (20 | ) | 44 | 40 | ||||||||
Written Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | (606 | ) | — | ||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 49,508 | $ | 13,871 | $ | 28,123 |
Amounts designated as “—” are $0 or have been rounded to $0.
* | See Note 5 in Notes to Financial Statements. |
** | Affiliated |
(1) | Commenced operations on March 31, 2010. |
The accompanying notes are an integral part of the financial statements.
140 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund(1) | ||||||||||||||||||||
$ | 3,330 | $ | 39 | $ | 119 | $ | 39 | $ | 628 | $ | — | $ | 58 | |||||||||||||
16 | 8 | 108 | — | 60 | 7 | 5 | ||||||||||||||||||||
— | 5,264 | 119,100 | 31,688 | 137,094 | 2,572 | — | ||||||||||||||||||||
101 | — | 186 | 125 | — | 15 | — | ||||||||||||||||||||
(27 | ) | — | (290 | ) | — | (17 | ) | — | — | |||||||||||||||||
3,420 | 5,311 | 119,223 | 31,852 | 137,765 | 2,594 | 63 | ||||||||||||||||||||
1,353 | 697 | 6,726 | 2,314 | 6,643 | 349 | 1,132 | ||||||||||||||||||||
728 | 610 | 6,849 | 2,356 | 4,769 | 555 | 264 | ||||||||||||||||||||
520 | 435 | 6,078 | 2,104 | 3,406 | 396 | 189 | ||||||||||||||||||||
1 | — | 37 | — | 1 | — | — | ||||||||||||||||||||
4 | 8 | 51 | 17 | 29 | 3 | 1 | ||||||||||||||||||||
1 | — | 37 | — | 1 | — | — | ||||||||||||||||||||
1 | 1 | 9 | 4 | 5 | 1 | — | ||||||||||||||||||||
24 | 16 | 260 | 95 | 148 | 20 | 11 | ||||||||||||||||||||
14 | 19 | 157 | 54 | 88 | 12 | 32 | ||||||||||||||||||||
17 | 12 | 189 | 72 | 110 | 14 | 7 | ||||||||||||||||||||
7 | 8 | 92 | 19 | 44 | 2 | 12 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
7 | 36 | 409 | 167 | 190 | 4 | 2 | ||||||||||||||||||||
2,677 | 1,842 | 20,894 | 7,202 | 15,434 | 1,356 | 1,650 | ||||||||||||||||||||
(45 | ) | (386 | ) | (510 | ) | (140 | ) | (548 | ) | (164 | ) | (1,018 | ) | |||||||||||||
(245 | ) | (407 | ) | (3,915 | ) | (1,500 | ) | (2,744 | ) | (387 | ) | (189 | ) | |||||||||||||
— | — | (28 | ) | — | (1 | ) | — | — | ||||||||||||||||||
— | — | — | — | — | (88 | ) | (65 | ) | ||||||||||||||||||
(12 | ) | — | — | — | — | — | — | |||||||||||||||||||
2,375 | 1,049 | 16,441 | 5,562 | 12,141 | 717 | 378 | ||||||||||||||||||||
1,045 | 4,262 | 102,782 | 26,290 | 125,624 | 1,877 | (315 | ) | |||||||||||||||||||
21,172 | (26,436 | ) | 71,844 | 26,672 | 60,003 | 2,046 | (2,040 | ) | ||||||||||||||||||
— | — | — | — | (3 | ) | — | — | |||||||||||||||||||
— | (1,246 | ) | 13,399 | (420 | ) | — | (43 | ) | — | |||||||||||||||||
— | — | 890 | — | — | — | — | ||||||||||||||||||||
— | — | 911 | — | — | — | — | ||||||||||||||||||||
— | — | (7,972 | ) | (249 | ) | (808 | ) | — | — | |||||||||||||||||
(3 | ) | — | 760 | — | — | — | — | |||||||||||||||||||
29,585 | 36,061 | 137,459 | 23,466 | 84,626 | 3,722 | 1,507 | ||||||||||||||||||||
38 | — | 495 | — | 2 | — | — | ||||||||||||||||||||
— | 270 | (2,463 | ) | (100 | ) | — | (93 | ) | — | |||||||||||||||||
— | — | (2 | ) | (15 | ) | — | — | — | ||||||||||||||||||
— | — | (112 | ) | — | — | — | — | |||||||||||||||||||
— | — | 8,671 | (765 | ) | (1,043 | ) | — | — | ||||||||||||||||||
| 2 | | (4 | ) | (1,145 | ) | — | — | — | — | ||||||||||||||||
$ | 51,839 | $ | 12,907 | $ | 325,517 | $ | 74,879 | $ | 268,401 | $ | 7,509 | $ | (848 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 141 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
Large Cap Fund(2) | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||||||||||
10/01/09 to | 2010 | 2009 | 2010 | 2009 | ||||||||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income (Loss) | $ | 11,805 | $ | 25,362 | $ | 41,578 | $ | 11,627 | $ | 13,342 | ||||||||||
Net Realized Gain (Loss) from Investments and Futures Contracts | 30,848 | 128,574 | (573,490 | ) | 195,691 | (477,760 | ) | |||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | — | — | — | — | — | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts | 82,915 | (14,902 | ) | 221,865 | 6,021 | 276,995 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | — | — | — | |||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 125,568 | 139,034 | (310,047 | ) | 213,339 | (187,423 | ) | |||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||
Class A | (9,179 | ) | (28,231 | ) | (47,346 | ) | (11,922 | ) | (13,281 | ) | ||||||||||
Class E | — | — | — | — | — | |||||||||||||||
Class I | — | (153 | ) | (239 | ) | (35 | ) | (37 | ) | |||||||||||
Class Y | — | — | — | — | — | |||||||||||||||
Net Capital Gains: | ||||||||||||||||||||
Class A | (5,320 | ) | — | — | — | — | ||||||||||||||
Class E | — | — | — | — | — | |||||||||||||||
Class I | — | — | — | — | — | |||||||||||||||
Return of Capital: | ||||||||||||||||||||
Class A | — | — | — | — | — | |||||||||||||||
Total Dividends and Distributions | (14,499 | ) | (28,384 | ) | (47,585 | ) | (11,957 | ) | (13,318 | ) | ||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||
Class A: | ||||||||||||||||||||
Proceeds from Shares Issued | 1,846,164 | 279,951 | 645,382 | 270,461 | 680,308 | |||||||||||||||
Reinvestment of Dividends and Distributions | 13,994 | 26,863 | 44,915 | 11,357 | 12,627 | |||||||||||||||
Cost of Shares Redeemed | (575,328 | ) | (756,272 | ) | (870,910 | ) | (914,247 | ) | (929,855 | ) | ||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 1,284,830 | (449,458 | ) | (180,613 | ) | (632,429 | ) | (236,920 | ) | |||||||||||
Class E: | ||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | |||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | |||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | |||||||||||||||
Increase in Net Assets Derived from Class E Transactions | — | — | — | — | — | |||||||||||||||
Class I: | ||||||||||||||||||||
Proceeds from Shares Issued | — | 2,902 | 5,835 | 2,408 | 5,304 | |||||||||||||||
Reinvestment of Dividends and Distributions | — | 130 | 217 | 28 | 31 | |||||||||||||||
Cost of Shares Redeemed | — | (4,747 | ) | (4,716 | ) | (4,555 | ) | (4,172 | ) | |||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | (1,715 | ) | 1,336 | (2,119 | ) | 1,163 | |||||||||||||
Class Y: | ||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | |||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | |||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Class Y Transactions | — | — | — | — | — | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 1,284,830 | (451,173 | ) | (179,277 | ) | (634,548 | ) | (235,757 | ) | |||||||||||
Net Increase (Decrease) in Net Assets | 1,395,899 | (340,523 | ) | (536,909 | ) | (433,166 | ) | (436,498 | ) | |||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of Year/Period | — | 1,854,963 | 2,391,872 | 2,043,249 | 2,479,747 | |||||||||||||||
End of Year/Period | $ | 1,395,899 | $ | 1,514,440 | $ | 1,854,963 | $ | 1,610,083 | $ | 2,043,249 | ||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Year or Period End | $ | 2,840 | $ | 5,338 | $ | 7,925 | $ | 2,419 | $ | 2,568 |
(1) | See Note 6 in Notes to Financial Statements for additional information. |
(2) | Commenced operations on October 1, 2009. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
142 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund(2) | Small Cap Value Fund | Small Cap Growth Fund | ||||||||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 10/01/09 | 2010 | 2009 | 2010 | 2009 | ||||||||||||||||||||||||||
$ | 15,082 | $ | 21,534 | $ | 26,258 | $ | 25,014 | $ | 245 | $ | 2,641 | $ | 5,722 | $ | (862 | ) | $ | 706 | ||||||||||||||||
90,748 | (429,914 | ) | 3,939 | (48,076 | ) | 17,066 | 38,352 | (180,523 | ) | 48,602 | (258,412 | ) | ||||||||||||||||||||||
— | — | — | — | (27 | ) | (15 | ) | 48 | 1 | (96 | ) | |||||||||||||||||||||||
| 37,787 | | 175,923 | 98,457 | (52,363 | ) | 22,297 | 24,309 | 68,486 | (6,590 | ) | 181,991 | ||||||||||||||||||||||
— | — | — |
| — |
| 1 | 6 | (4 | ) | — | 7 | |||||||||||||||||||||||
143,617 | (232,457 | ) | 128,654 | (75,425 | ) | 39,582 | 65,293 | (106,271 | ) | 41,151 | (75,804 | ) | ||||||||||||||||||||||
(16,015 | ) | (23,986 | ) | (7,350 | ) | (9,014 | ) | (381 | ) | (4,124 | ) | (6,670 | ) | — | (98 | ) | ||||||||||||||||||
— | — | (18,431 | ) | (16,627 | ) | — | — | — | — | — | ||||||||||||||||||||||||
— | — | (139 | ) | (134 | ) | — | (37 | ) | (67 | ) | — | — | ||||||||||||||||||||||
(32 | ) | (45 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||||
— | — | — | (3,784 | ) | (186 | ) | — | (4,119 | ) | — | — | |||||||||||||||||||||||
— | — | — | (6,354 | ) | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | (160 | ) | — | — | (43 | ) | — | — | ||||||||||||||||||||||||
— | — | — | — | — | — | — | (30 | ) | — | |||||||||||||||||||||||||
(16,047 | ) | (24,031 | ) | (25,920 | ) | (36,073 | ) | (567 | ) | (4,161 | ) | (10,899 | ) | (30 | ) | (98 | ) | |||||||||||||||||
344,698 | 924,843 | 174,347 | 430,336 | 443,002 | 186,381 | 268,370 | 142,613 | 206,264 | ||||||||||||||||||||||||||
14,652 | 22,190 | 6,982 | 11,884 | 548 | 3,804 | 10,175 | 28 | 94 | ||||||||||||||||||||||||||
(547,879 | ) | (1,243,735 | ) | (332,876 | ) | (395,893 | ) | (258,587 | ) | (352,875 | ) | (370,346 | ) | (280,793 | ) | (290,286 | ) | |||||||||||||||||
(188,529 | ) | (296,702 | ) | (151,547 | ) | 46,327 | 184,963 | (162,690 | ) | (91,801 | ) | (138,152 | ) | (83,928 | ) | |||||||||||||||||||
— | — | 266,963 | 274,071 | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | 17,440 | 21,275 | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | (169,713 | ) | (192,042 | ) | — | — | — | — | — | ||||||||||||||||||||||||
— | — | 114,690 | 103,304 | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | 2,805 | 17,809 | — | 2,142 | 3,127 | 1,301 | 2,291 | ||||||||||||||||||||||||||
— | — | 90 | 267 | — | 34 | 107 | — | — | ||||||||||||||||||||||||||
— | — | (3,736 | ) | (14,749 | ) | — | (3,477 | ) | (3,420 | ) | (2,037 | ) | (1,706 | ) | ||||||||||||||||||||
— | — | (841 | ) | 3,327 | — | (1,301 | ) | (186 | ) | (736 | ) | 585 | ||||||||||||||||||||||
50 | 411 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
32 | 45 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
(460 | ) | (321 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||||
(378 | ) | 135 | — | — | — | — | — | — | — | |||||||||||||||||||||||||
(188,907 | ) | (296,567 | ) | (37,698 | ) | | 152,958 | | 184,963 | (163,991 | ) | (91,987 | ) | (138,888 | ) | (83,343 | ) | |||||||||||||||||
(61,337 | ) | (553,055 | ) | 65,036 | 41,460 | 223,978 | (102,859 | ) | (209,157 | ) | (97,767 | ) | (159,245 | ) | ||||||||||||||||||||
1,599,114 | 2,152,169 | 1,315,511 | 1,274,051 | — | 645,730 | 854,887 | 482,380 | 641,625 | ||||||||||||||||||||||||||
$ | 1,537,777 | $ | 1,599,114 | $ | 1,380,547 | $ | 1,315,511 | $ | 223,978 | $ | 542,871 | $ | 645,730 | $ | 384,613 | $ | 482,380 | |||||||||||||||||
$ | 3,548 | $ | 4,233 | $ | 6,641 | $ | 6,065 |
| $ | (3 | ) | $ | 1,236 | $ | 1,447 | $ | (4 | ) | $ | (42 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 143 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
Tax-Managed Small Cap Fund | ||||||||
2010 | 2009 | |||||||
Operations: | ||||||||
Net Investment Income | $ | 856 | $ | 1,061 | ||||
Net Realized Gain (Loss) from Investments and Futures Contracts | 21,226 | (86,558 | ) | |||||
Net Realized Loss on Foreign Currency Transactions | (21 | ) | — | |||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts | 14,292 | 52,954 | ||||||
Net Change in Unrealized Depreciation on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | (37 | ) | — | |||||
Net Increase (Decrease) in Net Assets from Operations | 36,316 | (32,543 | ) | |||||
Dividends and Distributions From: | ||||||||
Net Investment Income: | ||||||||
Class A | (727 | ) | (1,496 | ) | ||||
Class I | — | — | ||||||
Total Dividends and Distributions | (727 | ) | (1,496 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 114,100 | 184,323 | ||||||
Reinvestment of Dividends and Distributions | 648 | 1,360 | ||||||
Cost of Shares Redeemed | (112,458 | ) | (207,700 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 2,290 | (22,017 | ) | |||||
Class I: | ||||||||
Proceeds from Shares Issued | — | — | ||||||
Reinvestment of Dividends and Distributions | — | — | ||||||
Cost of Shares Redeemed | — | — | ||||||
Increase in Net Assets Derived from Class I Transactions | — | — | ||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 2,290 | (22,017 | ) | |||||
Net Increase (Decrease) in Net Assets | 37,879 | (56,056 | ) | |||||
Net Assets: | ||||||||
Beginning of Year | 262,464 | 318,520 | ||||||
End of Year | $ | 300,343 | $ | 262,464 | ||||
Undistributed Net Investment Income Included in Net Assets at Year End | $ | 337 | $ | 88 |
(1) | See Note 6 in Notes to Financial Statements for additional information. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
144 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||
$ | 706 | $ | 942 | $ | 5,117 | $ | 5,514 | |||||||
25,301 | (46,851 | ) | 22,600 | (111,935 | ) | |||||||||
— | — | — | — | |||||||||||
(11,372 | ) | 39,752 | 21,791 | 53,205 | ||||||||||
| — | | — | — | — | |||||||||
14,635 | (6,157 | ) | 49,508 | (53,216 | ) | |||||||||
(728 | ) | (1,063 | ) | (5,225 | ) | (5,650 | ) | |||||||
(1 | ) | (1 | ) | — | — | |||||||||
(729 | ) | (1,064 | ) | (5,225 | ) | (5,650 | ) | |||||||
110,681 | 74,360 | 195,255 | 356,268 | |||||||||||
620 | 896 | 4,794 | 5,326 | |||||||||||
(120,415 | ) | (74,607 | ) | (209,646 | ) | (380,409 | ) | |||||||
(9,114 | ) | 649 | (9,597 | ) | (18,815 | ) | ||||||||
591 | 311 | | 32 | | 14 | |||||||||
1 | 1 | — | — | |||||||||||
(338 | ) | (155 | ) | (16 | ) | (3 | ) | |||||||
254 | 157 | 16 | 11 | |||||||||||
(8,860 | ) | 806 | (9,581 | ) | (18,804 | ) | ||||||||
5,046 | (6,415 | ) | 34,702 | (77,670 | ) | |||||||||
120,146 | 126,561 | 381,004 | 458,674 | |||||||||||
$ | 125,192 | $ | 120,146 | $ | 415,706 | $ | 381,004 | |||||||
$ | 244 | $ | 187 | $ | 1,165 | $ | 1,155 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 145 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the years or periods ended September 30,
Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Real Estate Fund | ||||||||||||||||||||||
2010 | 2009 | 2010 | | 2010 | 2009 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 4,285 | $ | 3,008 | $ | 2,734 | $ | 2,270 | $ | 1,045 | $ | 3,521 | ||||||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts | 6,114 | (47,360 | ) | 8,265 | (19,058 | ) | 21,172 | (110,434 | ) | |||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (7,118 | ) | (11,869 | ) | — | — | (3 | ) | 84 | |||||||||||||||
Net Change in Unrealized Appreciation of Investments, Affiliated Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts | 11,196 | | 30,162 | | 17,124 | 20,265 | 29,623 | 44,829 | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | (606 | ) | (2,353 | ) | �� | — | — | 2 | 2 | |||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 13,871 | (28,412 | ) | 28,123 | 3,477 | 51,839 | (61,998 | ) | ||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (792 | ) | — | (2,727 | ) | (2,063 | ) | (5,227 | ) | (6,052 | ) | |||||||||||||
Class I | — | — | — | — | (6 | ) | (1 | ) | ||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Class A | (72 | ) | — | — | — | (2,156 | ) | (37 | ) | |||||||||||||||
Class I | — | — | — | — | (2 | ) | — | |||||||||||||||||
Total Dividends and Distributions | (864 | ) | — | (2,727 | ) | (2,063 | ) | (7,391 | ) | (6,090 | ) | |||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 206,148 | 238,774 | 106,386 | 191,230 | 132,143 | 264,480 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 807 | — | 2,337 | 1,758 | 6,463 | 5,834 | ||||||||||||||||||
Cost of Shares Redeemed | (103,209 | ) | (200,745 | ) | (69,982 | ) | (118,660 | ) | (183,367 | ) | (232,334 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 103,746 | 38,029 | 38,741 | 74,328 | (44,761 | ) | 37,980 | |||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 102 | 21 | — | — | 183 | 87 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | 8 | 1 | ||||||||||||||||||
Cost of Shares Redeemed | (55 | ) | (14 | ) | — | — | (66 | ) | (4 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | 47 | 7 | — | — | 125 | 84 | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 103,793 | 38,036 | 38,741 | 74,328 | (44,636 | ) | 38,064 | |||||||||||||||||
Net Increase (Decrease) in Net Assets | 116,800 | 9,624 | 64,137 | 75,742 | (188 | ) | (30,024 | ) | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year/Period | 213,790 | 204,166 | 172,265 | 96,523 | 221,360 | 251,384 | ||||||||||||||||||
End of Year/Period | $ | 330,590 | $ | 213,790 | $ | 236,402 | $ | 172,265 | $ | 221,172 | $ | 221,360 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Year or Period End | $ | (6,384 | ) | $ | (12,964 | ) | $ | 658 | $ | 591 | $ | (89 | ) | $ | 2,615 |
(1) | See Note 6 in Notes to Financial Statements for additional information. |
(2) | Commenced operations on July 2, 2009. |
(3) | Commenced operations on March 31, 2010. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
146 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund(2) | High Yield Bond Fund | Real Return Fund(2) | Multi-Strategy Alternative Fund(3) | |||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 07/02/09 to 09/30/09 | 2010 | 2009 | 2010 | 07/02/09 to 09/30/09 | 03/31/10 to | ||||||||||||||||||||||||||||||||
$ | 4,262 | $ | 9,863 | $ | 102,782 | $ | 149,672 | $ | 26,290 | $ | 4,579 | $ | 125,624 | $ | 107,446 | $ | 1,877 | $ | 664 | $ | (315 | ) | ||||||||||||||||||||
(27,682 | ) | (64,915 | ) | 79,072 |
| (75,201 | ) | 26,003 | 2,009 | 59,192 | (158,689 | ) | 2,003 | 22 | (2,040 | ) | ||||||||||||||||||||||||||
— | (2,170 | ) | 760 | 10,277 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
36,331 | 25,876 | 144,048 |
| 197,739 |
| 22,586 | 14,725 | 83,585 | 201,560 | 3,629 | 759 | 1,507 | ||||||||||||||||||||||||||||||
(4 | ) | 1,024 | (1,145 | ) |
| (4,211 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
12,907 | (30,322 | ) | 325,517 | 278,276 | 74,879 | 21,313 | 268,401 | 150,317 | 7,509 | 1,445 | (848 | ) | ||||||||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||||||
(6,383 | ) | (7,069 | ) | (103,593 | ) | (153,233 | ) | (28,602 | ) | (4,508 | ) | (119,601 | ) | (99,645 | ) | (2,579 | ) | — | — | |||||||||||||||||||||||
(1 | ) | — | (594 | ) | (541 | ) | — | — | (29 | ) | (8 | ) | — | — | — | |||||||||||||||||||||||||||
— | — | — | — | (3,238 | ) | — | (3,632 | ) | (11,445 | ) | (147 | ) | — | — | ||||||||||||||||||||||||||||
— | — | — | — | — | — | (1 | ) | (1 | ) | — | — | — | ||||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
(6,384 | ) | (7,069 | ) | (104,187 | ) | (153,774 | ) | (31,840 | ) | (4,508 | ) | (123,263 | ) | (111,099 | ) | (2,726 | ) | — | — | |||||||||||||||||||||||
102,789 | 173,449 | 743,435 | 1,276,299 | 649,744 | 711,444 | 998,870 | 975,088 | 206,992 | 86,333 | 207,501 | ||||||||||||||||||||||||||||||||
5,926 | 6,549 | 96,256 | 143,816 | 30,458 | 4,323 | 103,955 | 99,105 | 2,541 | — | — | ||||||||||||||||||||||||||||||||
(211,761 | ) | (223,654 | ) | (1,175,131 | ) | (2,779,389 | ) | (523,255 | ) | (54,849 | ) | (1,034,815 | ) | (899,807 | ) | (56,959 | ) | (4,210 | ) | (15,598 | ) | |||||||||||||||||||||
(103,046 | ) | (43,656 | ) | (335,440 | ) |
| (1,359,274 | ) | 156,947 | 660,918 | 68,010 | 174,386 | 152,574 | 82,123 | 191,903 | |||||||||||||||||||||||||||
16 | 28 | 8,103 | 8,717 | — | — | 1,773 | 158 | — | — | — | ||||||||||||||||||||||||||||||||
1 | — | 411 | 420 | — | — | 29 | 8 | — | — | — | ||||||||||||||||||||||||||||||||
(47 | ) | — | (6,049 | ) | (4,684 | ) | — | — | (198 | ) | (32 | ) | — | — | — | |||||||||||||||||||||||||||
(30 | ) | 28 | 2,465 |
| 4,453 |
| — | — | 1,604 | 134 | — | — | — | |||||||||||||||||||||||||||||
(103,076 | ) | (43,628 | ) | (332,975 | ) |
| (1,354,821 | ) | 156,947 | 660,918 | 69,614 | 174,520 | 152,574 | 82,123 | 191,903 | |||||||||||||||||||||||||||
(96,553 | ) | (81,019 | ) | (111,645 | ) | (1,230,319 | ) | 199,986 | 677,723 | 214,752 | 213,738 | 157,357 | 83,568 | 191,055 | ||||||||||||||||||||||||||||
233,792 | 314,811 | 2,464,404 | 3,694,723 | 677,723 | — | 1,290,164 | 1,076,426 | 83,568 | — | — | ||||||||||||||||||||||||||||||||
$ | 137,239 | $ | 233,792 | $ | 2,352,759 | $ | 2,464,404 | $ | 877,709 | $ | 677,723 | $ | 1,504,916 | $ | 1,290,164 | $ | 240,925 | $ | 83,568 | $ | 191,055 | |||||||||||||||||||||
$ | 791 |
| $ | 2,316 | $ | (2,520 | ) | $ | (3,504 | ) | $ | 99 | $ | 3 | $ | 8,158 | $ | 3,195 | $ | 12 | $ | 665 | $ | — |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 147 |
Table of Contents
For the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010(11) | $ | 10.00 | $ | 0.10 | $ | 0.80 | $ | 0.90 | $ | (0.08 | ) | $ | (0.05 | ) | $ | (0.13 | ) | $ | 10.77 | 9.00 | % | $ | 1,395,899 | 0.89 | % | 0.89 | % | 1.02 | % | 0.96 | % | 90 | % | |||||||||||||||||||||||||||
Large Cap Value Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.83 | $ | 0.21 | $ | 0.94 | $ | 1.15 | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 14.75 | 8.43 | % | $ | 1,504,082 | 0.89 | % | 0.89 | % | 0.98 | % | 1.48 | % | 64 | % | ||||||||||||||||||||||||||||
2009 | 15.79 | 0.30 | (1.92 | ) | (1.62 | ) | (0.34 | ) | — | (0.34 | ) | 13.83 | (9.88 | ) | 1,843,530 | 0.89 | 0.90 | 0.99 | 2.51 | 69 | ||||||||||||||||||||||||||||||||||||||||
2008 | 23.97 | 0.40 | (6.10 | ) | (5.70 | ) | (0.41 | ) | (2.07 | ) | (2.48 | ) | 15.79 | (25.95 | ) | 2,381,011 | 0.88 | 0.88 | 0.97 | 2.09 | 53 | |||||||||||||||||||||||||||||||||||||||
2007 | 23.54 | 0.41 | 2.69 | 3.10 | (0.41 | ) | (2.26 | ) | (2.67 | ) | 23.97 | 13.91 | 3,616,120 | 0.86 | 0.86 | 0.97 | 1.74 | 36 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 22.45 | 0.37 | 2.41 | 2.78 | (0.37 | ) | (1.32 | ) | (1.69 | ) | 23.54 | 13.42 | 3,762,101 | 0.86 | 0.87 | 0.97 | 1.67 | 58 | ||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.83 | $ | 0.18 | $ | 0.95 | $ | 1.13 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 14.76 | 8.23 | % | $ | 10,358 | 1.11 | % | 1.11 | % | 1.24 | % | 1.25 | % | 64 | % | ||||||||||||||||||||||||||||
2009 | 15.78 | 0.26 | (1.90 | ) | (1.64 | ) | (0.31 | ) | — | (0.31 | ) | 13.83 | (10.05 | ) | 11,433 | 1.11 | 1.12 | 1.24 | 2.19 | 69 | ||||||||||||||||||||||||||||||||||||||||
2008 | 23.95 | 0.36 | (6.11 | ) | (5.75 | ) | (0.35 | ) | (2.07 | ) | (2.42 | ) | 15.78 | (26.13 | ) | 10,861 | 1.11 | 1.11 | 1.22 | 1.85 | 53 | |||||||||||||||||||||||||||||||||||||||
2007 | 23.52 | 0.35 | 2.69 | 3.04 | (0.35 | ) | (2.26 | ) | (2.61 | ) | 23.95 | 13.64 | 29,072 | 1.11 | 1.11 | 1.22 | 1.49 | 36 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 22.43 | 0.31 | 2.42 | 2.73 | (0.32 | ) | (1.32 | ) | (1.64 | ) | 23.52 | 13.16 | 31,308 | 1.11 | 1.12 | 1.22 | 1.40 | 58 | ||||||||||||||||||||||||||||||||||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 17.62 | $ | 0.12 | $ | 2.04 | $ | 2.16 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 19.66 | 12.29 | % | $ | 1,602,130 | 0.89 | % | 0.89 | % | 1.03 | % | 0.63 | % | 83 | % | ||||||||||||||||||||||||||||
2009 | 18.39 | 0.11 | (0.77 | ) | (0.66 | ) | (0.11 | ) | — | (0.11 | ) | 17.62 | (3.47 | ) | 2,034,096 | 0.89 | 0.90 | 1.04 | 0.74 | 96 | ||||||||||||||||||||||||||||||||||||||||
2008 | 23.74 | 0.08 | (5.35 | ) | (5.27 | ) | (0.08 | ) | — | (0.08 | ) | 18.39 | (22.26 | ) | 2,472,052 | 0.88 | 0.88 | 1.02 | 0.37 | 78 | ||||||||||||||||||||||||||||||||||||||||
2007 | 19.95 | 0.06 | 3.78 | 3.84 | (0.05 | ) | — | (0.05 | ) | 23.74 | 19.26 | 3,622,963 | 0.86 | 0.86 | 1.02 | 0.26 | 55 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 19.23 | 0.04 | 0.71 | 0.75 | (0.03 | ) | — | (0.03 | ) | 19.95 | 3.92 | 3,387,749 | 0.86 | 0.87 | 1.02 | 0.18 | 89 | |||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 17.44 | $ | 0.08 | $ | 2.02 | $ | 2.10 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 19.47 | 12.06 | % | $ | 7,953 | 1.11 | % | 1.11 | % | 1.28 | % | 0.41 | % | 83 | % | ||||||||||||||||||||||||||||
2009 | 18.20 | 0.07 | (0.76 | ) | (0.69 | ) | (0.07 | ) | — | (0.07 | ) | 17.44 | (3.69 | ) | 9,153 | 1.11 | 1.12 | 1.29 | 0.51 | 96 | ||||||||||||||||||||||||||||||||||||||||
2008 | 23.48 | 0.03 | (5.29 | ) | (5.26 | ) | (0.02 | ) | — | (0.02 | ) | 18.20 | (22.43 | ) | 7,695 | 1.11 | 1.11 | 1.27 | 0.13 | 78 | ||||||||||||||||||||||||||||||||||||||||
2007 | 19.75 | — | * | 3.73 | 3.73 | — | * | — | — | 23.48 | 18.91 | 25,196 | 1.11 | 1.11 | 1.27 | 0.01 | 55 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 19.04 | (0.01 | ) | 0.72 | 0.71 | — | — | — | 19.75 | 3.73 | 27,780 | 1.11 | 1.12 | 1.27 | (0.07 | ) | 89 | |||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.19 | $ | 0.10 | $ | 0.84 | $ | 0.94 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 11.02 | 9.26 | % | $ | 1,534,797 | 0.89 | % | 0.89 | % | 1.04 | % | 0.95 | % | 58 | % | ||||||||||||||||||||||||||||
2009 | 11.08 | 0.13 | (0.87 | ) | (0.74 | ) | (0.15 | ) | — | (0.15 | ) | 10.19 | (6.44 | ) | 1,596,020 | 0.89 | 0.90 | 1.04 | 1.54 | 67 | ||||||||||||||||||||||||||||||||||||||||
2008 | 14.70 | 0.15 | (3.62 | ) | (3.47 | ) | (0.15 | ) | — | (0.15 | ) | 11.08 | (23.76 | ) | 2,148,949 | 0.88 | 0.88 | 1.02 | 1.13 | 61 | ||||||||||||||||||||||||||||||||||||||||
2007 | 12.68 | 0.14 | 2.01 | 2.15 | (0.13 | ) | — | (0.13 | ) | 14.70 | 17.05 | 2,892,866 | 0.86 | 0.86 | 1.02 | 1.02 | 44 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 11.78 | 0.11 | 0.90 | 1.01 | (0.11 | ) | — | (0.11 | ) | 12.68 | 8.58 | 2,373,507 | 0.86 | 0.87 | 1.02 | 0.91 | 65 | |||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.37 | $ | 0.01 | $ | 0.97 | $ | 0.98 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 11.24 | 9.54 | % | $ | 2,980 | 0.56 | % | 0.56 | % | 0.74 | % | 1.28 | % | 58 | % | ||||||||||||||||||||||||||||
2009 | 11.24 | 0.16 | (0.88 | ) | (0.72 | ) | (0.15 | ) | — | (0.15 | ) | 10.37 | (6.12 | ) | 3,094 | 0.56 | 0.57 | 0.74 | 1.85 | 67 | ||||||||||||||||||||||||||||||||||||||||
2008 | 14.87 | 0.19 | (3.66 | ) | (3.47 | ) | (0.16 | ) | — | (0.16 | ) | 11.24 | (23.52 | ) | 3,220 | 0.56 | 0.56 | 0.72 | 1.44 | 61 | ||||||||||||||||||||||||||||||||||||||||
2007 | 12.79 | 0.18 | 2.04 | 2.22 | (0.14 | ) | — | (0.14 | ) | 14.87 | 17.43 | 4,711 | 0.56 | 0.56 | 0.72 | 1.32 | 44 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 11.86 | 0.15 | 0.89 | 1.04 | (0.11 | ) | — | (0.11 | ) | 12.79 | 8.83 | 4,558 | 0.56 | 0.57 | 0.72 | 1.21 | 65 |
148 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
S&P 500 Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 29.01 | $ | 0.56 | $ | 2.29 | $ | 2.85 | $ | (0.56 | ) | $ | — | $ | (0.56 | ) | $ | 31.30 | 9.93 | % | $ | 325,796 | 0.43 | % | 0.43 | % | 0.54 | % | 1.85 | % | 20 | % | ||||||||||||||||||||||||||||
2009 | 32.43 | 0.57 | (3.12 | ) | (2.55 | ) | (0.61 | ) | (0.26 | ) | (0.87 | ) | 29.01 | (7.33 | ) | 451,069 | 0.43 | 0.43 | 0.55 | 2.31 | 29 | |||||||||||||||||||||||||||||||||||||||
2008 | 44.71 | 0.68 | (10.10 | ) | (9.42 | ) | (0.70 | ) | (2.16 | ) | (2.86 | ) | 32.43 | (22.30 | ) | 462,947 | 0.41 | 0.41 | 0.53 | 1.77 | 27 | |||||||||||||||||||||||||||||||||||||||
2007(4) | 41.45 | 0.34 | 3.09 | 3.43 | (0.17 | ) | — | (0.17 | ) | 44.71 | 8.28 | 650,792 | 0.40 | 0.40 | 0.43 | 1.55 | 2 | |||||||||||||||||||||||||||||||||||||||||||
2007(5) | 38.38 | 0.63 | 3.70 | 4.33 | (0.68 | ) | (0.58 | ) | (1.26 | ) | 41.45 | 11.38 | 621,898 | 0.40 | 0.40 | 0.43 | 1.59 | 6 | ||||||||||||||||||||||||||||||||||||||||||
2006(5) | 36.21 | 0.56 | 3.47 | 4.03 | (0.54 | ) | (1.32 | ) | (1.86 | ) | 38.38 | 11.32 | 614,246 | 0.40 | 0.40 | 0.43 | 1.49 | 18 | ||||||||||||||||||||||||||||||||||||||||||
Class E |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 29.12 | $ | 0.61 | $ | 2.29 | $ | 2.90 | $ | (0.60 | ) | $ | — | $ | (0.60 | ) | $ | 31.42 | 10.10 | % | $ | 1,046,410 | 0.25 | % | 0.25 | % | 0.29 | % | 2.02 | % | 20 | % | ||||||||||||||||||||||||||||
2009 | 32.54 | 0.61 | (3.12 | ) | (2.51 | ) | (0.65 | ) | (0.26 | ) | (0.91 | ) | 29.12 | (7.16 | ) | 855,876 | 0.25 | 0.25 | 0.30 | 2.44 | 29 | |||||||||||||||||||||||||||||||||||||||
2008 | 44.85 | 0.75 | (10.14 | ) | (9.39 | ) | (0.76 | ) | (2.16 | ) | (2.92 | ) | 32.54 | (22.19 | ) | 805,606 | 0.25 | 0.25 | 0.53 | 1.95 | 27 | |||||||||||||||||||||||||||||||||||||||
2007(4) | 41.57 | 0.30 | 3.17 | 3.47 | (0.19 | ) | — | (0.19 | ) | 44.85 | 8.34 | 1,072,141 | 0.25 | 0.25 | 0.53 | 1.70 | 2 | |||||||||||||||||||||||||||||||||||||||||||
2007(5) | 38.48 | 0.69 | 3.72 | 4.41 | (0.74 | ) | (0.58 | ) | (1.32 | ) | 41.57 | 11.57 | 1,127,189 | 0.25 | 0.25 | 0.53 | 1.74 | 6 | ||||||||||||||||||||||||||||||||||||||||||
2006(5) | 36.31 | 0.62 | 3.48 | 4.10 | (0.61 | ) | (1.32 | ) | (1.93 | ) | 38.48 | 11.49 | 1,684,857 | 0.25 | 0.25 | 0.53 | 1.65 | 18 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 29.07 | $ | 0.49 | $ | 2.29 | $ | 2.78 | $ | (0.48 | ) | $ | — | $ | (0.48 | ) | $ | 31.37 | 9.66 | % | $ | 8,341 | 0.65 | % | 0.65 | % | 0.79 | % | 1.63 | % | 20 | % | ||||||||||||||||||||||||||||
2009 | 32.47 | 0.51 | (3.12 | ) | (2.61 | ) | (0.53 | ) | (0.26 | ) | (0.79 | ) | 29.07 | (7.53 | ) | 8,566 | 0.65 | 0.65 | 0.80 | 2.07 | 29 | |||||||||||||||||||||||||||||||||||||||
2008 | 44.74 | 0.60 | (10.12 | ) | (9.52 | ) | (0.59 | ) | (2.16 | ) | (2.75 | ) | 32.47 | (22.49 | ) | 5,498 | 0.65 | 0.65 | 0.78 | 1.53 | 27 | |||||||||||||||||||||||||||||||||||||||
2007(4) | 41.51 | 0.28 | 3.09 | 3.37 | (0.14 | ) | — | (0.14 | ) | 44.74 | 8.12 | 13,233 | 0.65 | 0.65 | 0.78 | 1.29 | 2 | |||||||||||||||||||||||||||||||||||||||||||
2007(5) | 38.43 | 0.53 | 3.71 | 4.24 | (0.58 | ) | (0.58 | ) | (1.16 | ) | 41.51 | 11.12 | 14,346 | 0.65 | 0.65 | 0.78 | 1.34 | 6 | ||||||||||||||||||||||||||||||||||||||||||
2006(5) | 36.26 | 0.47 | 3.46 | 3.93 | (0.44 | ) | (1.32 | ) | (1.76 | ) | 38.43 | 11.02 | 13,144 | 0.65 | 0.65 | 0.78 | 1.25 | 18 | ||||||||||||||||||||||||||||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010(11) | $ | 10.00 | $ | 0.01 | $ | 1.15 | $ | 1.16 | $ | (0.01 | ) | $ | (0.01 | ) | $ | (0.02 | ) | $ | 11.14 | 11.64 | % | $ | 223,978 | 1.14 | % | 1.14 | % | 1.29 | % | 0.10 | % | 115 | % | |||||||||||||||||||||||||||
Small Cap Value Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.66 | $ | 0.07 | $ | 1.82 | $ | 1.89 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 15.45 | 13.93 | % | $ | 535,938 | 1.14 | % | 1.15 | % | 1.29 | % | 0.46 | % | 69 | % | ||||||||||||||||||||||||||||
2009 | 15.38 | 0.11 | (1.62 | ) | (1.51 | ) | (0.13 | ) | (0.08 | ) | (0.21 | ) | 13.66 | (9.31 | ) | 638,341 | 1.14 | 1.16 | 1.29 | 1.03 | 110 | |||||||||||||||||||||||||||||||||||||||
2008 | 21.26 | 0.09 | (3.22 | ) | (3.13 | ) | (0.07 | ) | (2.68 | ) | (2.75 | ) | 15.38 | (16.02 | ) | 846,492 | 1.13 | 1.15 | 1.28 | 0.55 | 91 | |||||||||||||||||||||||||||||||||||||||
2007 | 21.28 | 0.04 | 2.23 | 2.27 | (0.14 | ) | (2.15 | ) | (2.29 | ) | 21.26 | 10.70 | 1,122,027 | 1.11 | 1.13 | 1.27 | 0.19 | 86 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 21.58 | 0.05 | 1.97 | 2.02 | (0.06 | ) | (2.26 | ) | (2.32 | ) | 21.28 | 10.34 | 1,160,178 | 1.11 | 1.13 | 1.27 | 0.31 | 72 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.56 | $ | 0.04 | $ | 1.81 | $ | 1.85 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 15.34 | 13.73 | % | $ | 6,933 | 1.36 | % | 1.37 | % | 1.54 | % | 0.25 | % | 69 | % | ||||||||||||||||||||||||||||
2009 | 15.29 | 0.08 | (1.62 | ) | (1.54 | ) | (0.11 | ) | (0.08 | ) | (0.19 | ) | 13.56 | (9.59 | ) | 7,389 | 1.36 | 1.38 | 1.54 | 0.77 | 110 | |||||||||||||||||||||||||||||||||||||||
2008 | 21.17 | 0.05 | (3.21 | ) | (3.16 | ) | (0.04 | ) | (2.68 | ) | (2.72 | ) | 15.29 | (16.21 | ) | 8,395 | 1.36 | 1.39 | 1.53 | 0.31 | 91 | |||||||||||||||||||||||||||||||||||||||
2007 | 21.21 | (0.01 | ) | 2.21 | 2.20 | (0.09 | ) | (2.15 | ) | (2.24 | ) | 21.17 | 10.41 | 14,089 | 1.36 | 1.38 | 1.52 | (0.04 | ) | 86 | ||||||||||||||||||||||||||||||||||||||||
2006 | 21.52 | — | 1.98 | 1.98 | (0.03 | ) | (2.26 | ) | (2.29 | ) | 21.21 | 10.11 | 14,293 | 1.36 | 1.38 | 1.52 | 0.06 | 72 | ||||||||||||||||||||||||||||||||||||||||||
Small Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 12.96 | $ | (0.03 | ) | $ | 1.76 | $ | 1.73 | $ | — | (2) | $ | — | $ | — | $ | 14.69 | 13.36 | % | $ | 380,910 | 1.11 | % | 1.11 | % | 1.29 | % | (0.21 | )% | 99 | % | ||||||||||||||||||||||||||||
2009 | 13.98 | 0.02 | (1.04 | ) | (1.02 | ) | — | * | — | — | 12.96 | (7.27 | ) | 478,405 | 1.11 | 1.12 | 1.29 | 0.17 | 163 | |||||||||||||||||||||||||||||||||||||||||
2008 | 21.91 | 0.01 | (6.22 | ) | (6.21 | ) | (0.01 | ) | (1.71 | ) | (1.72 | ) | 13.98 | (30.36 | ) | 638,257 | 1.11 | 1.12 | 1.28 | 0.04 | 124 | |||||||||||||||||||||||||||||||||||||||
2007 | 18.56 | (0.09 | ) | 3.44 | 3.35 | — | — | — | 21.91 | 18.05 | 1,154,000 | 1.11 | 1.13 | 1.27 | (0.43 | ) | 135 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 17.86 | (0.07 | ) | 0.77 | 0.70 | — | — | — | 18.56 | 3.92 | 1,111,329 | 1.11 | 1.13 | 1.27 | (0.40 | ) | 99 | |||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 12.68 | $ | (0.06 | ) | $ | 1.72 | $ | 1.66 | $ | — | $ | — | $ | — | $ | 14.34 | 13.09 | % | $ | 3,703 | 1.36 | % | 1.36 | % | 1.54 | % | (0.45 | )% | 99 | % | |||||||||||||||||||||||||||||
2009 | 13.71 | (0.02 | ) | (1.01 | ) | (1.03 | ) | — | — | — | 12.68 | (7.51 | ) | 3,975 | 1.36 | 1.37 | 1.55 | (0.17 | ) | 163 | ||||||||||||||||||||||||||||||||||||||||
2008 | 21.57 | (0.03 | ) | (6.12 | ) | (6.15 | ) | — | (1.71 | ) | (1.71 | ) | 13.71 | (30.57 | ) | 3,368 | 1.36 | 1.37 | 1.53 | (0.19 | ) | 124 | ||||||||||||||||||||||||||||||||||||||
2007 | 18.32 | (0.14 | ) | 3.39 | 3.25 | — | — | — | 21.57 | 17.74 | 9,323 | 1.36 | 1.38 | 1.52 | (0.67 | ) | 135 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 17.67 | (0.12 | ) | 0.77 | 0.65 | — | — | — | 18.32 | 3.68 | 11,910 | 1.36 | 1.38 | 1.52 | (0.65 | ) | 99 | |||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 9.42 | $ | 0.03 | $ | 1.39 | $ | 1.42 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 10.81 | 15.05 | % | $ | 300,343 | 1.11 | % | 1.13 | % | 1.29 | % | 0.30 | % | 75 | % | ||||||||||||||||||||||||||||
2009 | 10.16 | 0.04 | (0.73 | ) | (0.69 | ) | (0.05 | ) | — | (0.05 | ) | 9.42 | (6.62 | ) | 262,464 | 1.11 | 1.15 | 1.30 | 0.50 | 136 | ||||||||||||||||||||||||||||||||||||||||
2008 | 14.14 | 0.05 | (3.19 | ) | (3.14 | ) | (0.04 | ) | (0.80 | ) | (0.84 | ) | 10.16 | (23.34 | ) | 318,520 | 1.11 | 1.13 | 1.28 | 0.41 | 96 | |||||||||||||||||||||||||||||||||||||||
2007 | 13.10 | 0.04 | 2.00 | 2.04 | (0.06 | ) | (0.94 | ) | (1.00 | ) | 14.14 | 16.00 | 416,945 | 1.11 | 1.14 | 1.27 | 0.31 | 72 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 13.13 | 0.01 | 0.68 | 0.69 | — | (0.72 | ) | (0.72 | ) | 13.10 | 5.50 | 314,333 | 1.11 | 1.14 | 1.27 | 0.09 | 73 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 149 |
Table of Contents
Financial Highlights
For the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Mid-Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.92 | $ | 0.08 | $ | 1.88 | $ | 1.96 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 15.80 | 14.13 | % | $ | 124,569 | 1.02 | % | 1.04 | % | 1.04 | % | 0.51 | % | 185 | % | ||||||||||||||||||||||||||||
2009 | 14.87 | 0.11 | (0.94 | ) | (0.83 | ) | (0.12 | ) | — | (0.12 | ) | 13.92 | (5.34 | ) | 119,872 | 1.02 | 1.02 | 1.04 | 0.95 | 143 | ||||||||||||||||||||||||||||||||||||||||
2008 | 22.22 | 0.11 | (5.28 | ) | (5.17 | ) | (0.09 | ) | (2.09 | ) | (2.18 | ) | 14.87 | (25.45 | ) | 126,509 | 1.02 | 1.02 | 1.03 | 0.58 | 126 | |||||||||||||||||||||||||||||||||||||||
2007 | 20.40 | 0.06 | 3.40 | 3.46 | (0.10 | ) | (1.54 | ) | (1.64 | ) | 22.22 | 17.51 | 183,287 | 1.01 | 1.01 | 1.02 | 0.26 | 176 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 20.29 | 0.14 | 1.49 | 1.63 | (0.12 | ) | (1.40 | ) | (1.52 | ) | 20.40 | 8.50 | 90,208 | 1.01 | 1.01 | 1.03 | 0.67 | 135 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| �� | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.92 | $ | 0.04 | $ | 1.89 | $ | 1.93 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 15.81 | 13.91 | % | $ | 623 | 1.26 | % | 1.28 | % | 1.29 | % | 0.30 | % | 185 | % | ||||||||||||||||||||||||||||
2009 | 14.86 | 0.05 | (0.89 | ) | (0.84 | ) | (0.10 | ) | — | (0.10 | ) | 13.92 | (5.47 | ) | 274 | 1.26 | 1.26 | 1.30 | 0.48 | 143 | ||||||||||||||||||||||||||||||||||||||||
2008(6) | 22.56 | 0.06 | (5.63 | ) | (5.57 | ) | (0.04 | ) | (2.09 | ) | (2.13 | ) | 14.86 | (26.82 | ) | 52 | 1.26 | 1.26 | 1.27 | 0.33 | 126 | |||||||||||||||||||||||||||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 9.65 | $ | 0.14 | $ | 1.16 | $ | 1.30 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 10.81 | 13.61 | % | $ | 415,669 | 1.00 | % | 1.00 | % | 1.29 | % | 1.37 | % | 53 | % | ||||||||||||||||||||||||||||
2009 | 11.25 | 0.13 | (1.59 | ) | (1.46 | ) | (0.14 | ) | — | (0.14 | ) | 9.65 | (12.88 | ) | 380,987 | 1.00 | 1.00 | 1.29 | 1.56 | 126 | ||||||||||||||||||||||||||||||||||||||||
2008 | 13.45 | 0.10 | (1.69 | ) | (1.59 | ) | (0.10 | ) | (0.51 | ) | (0.61 | ) | 11.25 | (12.38 | ) | 458,668 | 1.00 | 1.00 | 1.27 | 0.85 | 85 | |||||||||||||||||||||||||||||||||||||||
2007 | 12.02 | 0.15 | 1.74 | 1.89 | (0.14 | ) | (0.32 | ) | (0.46 | ) | 13.45 | 16.09 | 585,858 | 1.04 | 1.04 | 1.27 | 1.19 | 112 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 11.41 | 0.10 | 0.75 | 0.85 | (0.09 | ) | (0.15 | ) | (0.24 | ) | 12.02 | 7.64 | 303,523 | 1.11 | 1.11 | 1.27 | 0.91 | 133 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 9.63 | $ | 0.11 | $ | 1.17 | $ | 1.28 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 10.79 | 13.38 | % | $ | 37 | 1.25 | % | 1.25 | % | 1.54 | % | 1.08 | % | 53 | % | ||||||||||||||||||||||||||||
2009 | 11.24 | 0.12 | (1.61 | ) | (1.49 | ) | (0.12 | ) | — | (0.12 | ) | 9.63 | (13.17 | ) | 17 | 1.25 | 1.25 | 1.55 | 1.38 | 126 | ||||||||||||||||||||||||||||||||||||||||
2008 | 13.43 | 0.09 | (1.71 | ) | (1.62 | ) | (0.06 | ) | (0.51 | ) | (0.57 | ) | 11.24 | (12.58 | ) | 6 | 1.25 | 1.25 | 1.57 | 0.71 | 85 | |||||||||||||||||||||||||||||||||||||||
2007(9) | 13.54 | 0.01 | (0.05 | ) | (0.04 | ) | (0.07 | ) | — | (0.07 | ) | 13.43 | (0.32 | ) | 1 | 1.36 | 1.36 | 1.86 | 0.19 | 112 | ||||||||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 7.82 | $ | 0.13 | $ | 0.29 | $ | 0.42 | $ | (0.03 | )(2) | $ | — | $ | (0.03 | ) | $ | 8.21 | 5.37 | % | $ | 330,526 | 1.11 | % | 1.11 | % | 1.31 | % | 1.62 | % | 91 | % | ||||||||||||||||||||||||||||
2009 | 9.07 | 0.12 | (1.37 | ) | (1.25 | ) | — | — | — | 7.82 | (13.78 | ) | 213,773 | 1.13 | (3) | 1.13 | (3) | 1.35 | 1.59 | 155 | ||||||||||||||||||||||||||||||||||||||||
2008 | 11.22 | 0.12 | (1.92 | ) | (1.80 | ) | (0.18 | ) | (0.17 | ) | (0.35 | ) | 9.07 | (16.60 | ) | 204,156 | 1.11 | 1.11 | 1.31 | 1.24 | 113 | |||||||||||||||||||||||||||||||||||||||
2007 | 10.37 | 0.17 | 0.85 | 1.02 | (0.11 | ) | (0.06 | ) | (0.17 | ) | 11.22 | 9.88 | 275,748 | 1.11 | 1.11 | 1.32 | 1.56 | 119 | ||||||||||||||||||||||||||||||||||||||||||
2006(7) | 10.00 | 0.02 | 0.35 | 0.37 | — | — | — | 10.37 | 3.70 | 94,951 | 1.10 | 1.10 | 1.30 | 1.22 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 7.76 | $ | 0.16 | $ | 0.25 | $ | 0.41 | $ | (0.02 | )(2) | $ | — | $ | (0.02 | ) | $ | 8.15 | 5.32 | % | $ | 64 | 1.36 | % | 1.36 | % | 1.57 | % | 2.00 | % | 91 | % | ||||||||||||||||||||||||||||
2009 | 9.02 | 0.11 | (1.37 | ) | (1.26 | ) | — | — | — | 7.76 | (13.97 | ) | 17 | 1.38 | (3) | 1.38 | (3) | 1.62 | 1.56 | 155 | ||||||||||||||||||||||||||||||||||||||||
2008 | 11.20 | 0.14 | (1.97 | ) | (1.83 | ) | (0.18 | ) | (0.17 | ) | (0.35 | ) | 9.02 | (16.86 | ) | 10 | 1.36 | 1.36 | 1.56 | 1.49 | 113 | |||||||||||||||||||||||||||||||||||||||
2007(9) | 11.45 | 0.01 | (0.26 | ) | (0.25 | ) | — | — | — | 11.20 | (2.18 | ) | 1 | 1.36 | 1.36 | 2.26 | 0.23 | 119 | ||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 8.14 | $ | 0.12 | $ | 1.10 | $ | 1.22 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 9.24 | 15.17 | % | $ | 236,402 | 1.00 | % | 1.00 | % | 1.29 | % | 1.39 | % | 28 | % | ||||||||||||||||||||||||||||
2009 | 9.02 | 0.12 | (0.88 | ) | (0.76 | ) | (0.12 | ) | — | (0.12 | ) | 8.14 | (8.28 | ) | 172,265 | 1.00 | 1.00 | 1.29 | 1.69 | 94 | ||||||||||||||||||||||||||||||||||||||||
2008(10) | 10.00 | 0.10 | (1.02 | ) | (0.92 | ) | (0.06 | ) | — | (0.06 | ) | 9.02 | (9.24 | ) | 96,523 | 1.00 | 1.00 | 1.29 | 1.43 | 65 | ||||||||||||||||||||||||||||||||||||||||
Real Estate Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 9.42 | $ | 0.05 | $ | 2.46 | $ | 2.51 | $ | (0.35 | )(13) | $ | — | $ | (0.35 | ) | $ | 11.58 | 27.37 | % | $ | 220,866 | 1.14 | % | 1.15 | % | 1.29 | % | 0.50 | % | 69 | % | ||||||||||||||||||||||||||||
2009 | 13.73 | 0.16 | (4.18 | ) | (4.02 | ) | (0.29 | )(2) | — | (0.29 | ) | 9.42 | (28.69 | ) | 221,228 | 1.14 | 1.15 | 1.29 | 2.08 | 97 | ||||||||||||||||||||||||||||||||||||||||
2008 | 18.20 | 0.13 | (3.11 | ) | (2.98 | ) | (0.38 | ) | (1.11 | ) | (1.49 | ) | 13.73 | (17.15 | ) | 251,359 | 1.13 | 1.13 | 1.27 | 0.86 | 52 | |||||||||||||||||||||||||||||||||||||||
2007 | 18.43 | 0.30 | 0.76 | 1.06 | (0.36 | ) | (0.93 | ) | (1.29 | ) | 18.20 | 5.49 | 244,991 | 1.11 | 1.12 | 1.27 | 1.55 | 84 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 14.86 | 0.23 | 4.15 | 4.38 | (0.36 | ) | (0.45 | ) | (0.81 | ) | 18.43 | 30.44 | 192,674 | 1.11 | 1.12 | 1.27 | 1.39 | 65 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 9.41 | $ | — | * | $ | 2.49 | $ | 2.49 | $ | (0.33 | )(13) | $ | — | $ | (0.33 | ) | $ | 11.57 | 27.12 | % | $ | 306 | 1.36 | % | 1.37 | % | 1.54 | % | 0.00 | % | 69 | % | |||||||||||||||||||||||||||
2009 | 13.72 | 0.09 | (4.12 | ) | (4.03 | ) | (0.28 | )(2) | — | (0.28 | ) | 9.41 | (28.83 | ) | 132 | 1.36 | 1.37 | 1.55 | 1.26 | 97 | ||||||||||||||||||||||||||||||||||||||||
2008(6) | 18.55 | 0.13 | (3.49 | ) | (3.36 | ) | (0.36 | ) | (1.11 | ) | (1.47 | ) | 13.72 | (18.89 | ) | 25 | 1.36 | 1.36 | 1.52 | 0.86 | 52 | |||||||||||||||||||||||||||||||||||||||
Enhanced Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 7.21 | $ | 0.18 | $ | 0.30 | $ | 0.48 | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 7.46 | 6.78 | % | $ | 137,223 | 0.60 | % | 0.60 | % | 1.06 | % | 2.45 | % | 77 | % | ||||||||||||||||||||||||||||
2009 | 8.21 | 0.29 | (1.09 | ) | (0.80 | ) | (0.20 | ) | — | (0.20 | ) | 7.21 | (9.56 | ) | 233,747 | 0.60 | 0.60 | 1.06 | 4.30 | 132 | ||||||||||||||||||||||||||||||||||||||||
2008 | 9.92 | 0.49 | (1.68 | ) | (1.19 | ) | (0.52 | ) | — | (0.52 | ) | 8.21 | (12.42 | ) | 314,795 | 0.60 | 0.60 | 1.04 | 5.40 | 42 | ||||||||||||||||||||||||||||||||||||||||
2007 | 10.11 | 0.57 | (0.27 | ) | 0.30 | (0.49 | ) | — | (0.49 | ) | 9.92 | 2.96 | 620,931 | 0.60 | 0.60 | 1.03 | 5.67 | 43 | ||||||||||||||||||||||||||||||||||||||||||
2006(7) | 10.00 | 0.10 | 0.01 | 0.11 | — | — | — | 10.11 | 1.10 | 235,981 | 0.60 | 0.60 | 1.10 | 5.54 | 70 | |||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 7.20 | $ | 0.16 | $ | 0.29 | $ | 0.45 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 7.45 | 6.35 | % | $ | 16 | 0.85 | % | 0.85 | % | 1.33 | % | 2.21 | % | 77 | % | ||||||||||||||||||||||||||||
2009 | 8.20 | 0.25 | (1.06 | ) | (0.81 | ) | (0.19 | ) | — | (0.19 | ) | 7.20 | (9.79 | ) | 45 | 0.85 | 0.85 | 1.31 | 3.73 | 132 | ||||||||||||||||||||||||||||||||||||||||
2008 | 9.91 | 0.43 | (1.63 | ) | (1.20 | ) | (0.51 | ) | — | (0.51 | ) | 8.20 | (12.61 | ) | 16 | 0.85 | 0.85 | 1.29 | 4.82 | 42 | ||||||||||||||||||||||||||||||||||||||||
2007(9) | 10.25 | 0.15 | (0.35 | ) | (0.20 | ) | (0.14 | ) | — | (0.14 | ) | 9.91 | (2.01 | ) | 11 | 1.09 | 1.09 | 1.56 | 5.78 | 43 |
150 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 9.98 | $ | 0.44 | $ | 0.95 | $ | 1.39 | $ | (0.44 | ) | $ | — | $ | (0.44 | ) | $ | 10.93 | 14.25 | % | $ | 2,335,314 | 0.67 | % | 0.67 | % | 0.85 | % | 4.20 | % | 283 | % | ||||||||||||||||||||||||||||
2009 | 9.37 | 0.50 | 0.62 | 1.12 | (0.51 | ) | — | (0.51 | ) | 9.98 | 12.55 | 2,450,746 | 0.67 | 0.67 | 0.86 | 5.42 | 329 | |||||||||||||||||||||||||||||||||||||||||||
2008 | 10.19 | 0.51 | (0.82 | ) | (0.31 | ) | (0.51 | ) | — | (0.51 | ) | 9.37 | (3.25 | ) | 3,686,633 | 0.66 | 0.66 | 0.84 | 5.12 | 335 | ||||||||||||||||||||||||||||||||||||||||
2007 | 10.29 | 0.50 | (0.10 | ) | 0.40 | (0.50 | ) | — | (0.50 | ) | 10.19 | 4.00 | 4,600,629 | 0.64 | 0.64 | 0.84 | 4.89 | 413 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 10.44 | 0.47 | (0.11 | ) | 0.36 | (0.48 | ) | (0.03 | ) | (0.51 | ) | 10.29 | 3.60 | 4,293,309 | 0.63 | 0.63 | 0.84 | 4.62 | 478 | |||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 9.97 | $ | 0.41 | $ | 0.96 | $ | 1.37 | $ | (0.42 | ) | $ | — | $ | (0.42 | ) | $ | 10.92 | 14.01 | % | $ | 17,445 | 0.89 | % | 0.89 | % | 1.10 | % | 3.96 | % | 283 | % | ||||||||||||||||||||||||||||
2009 | 9.36 | 0.48 | 0.62 | 1.10 | (0.49 | ) | — | (0.49 | ) | 9.97 | 12.32 | 13,658 | 0.89 | 0.89 | 1.11 | 5.21 | 329 | |||||||||||||||||||||||||||||||||||||||||||
2008 | 10.19 | 0.49 | (0.84 | ) | (0.35 | ) | (0.48 | ) | — | (0.48 | ) | 9.36 | (3.58 | ) | 8,090 | 0.90 | 0.90 | 1.09 | 4.87 | 335 | ||||||||||||||||||||||||||||||||||||||||
2007 | 10.29 | 0.41 | (0.03 | ) | 0.38 | (0.48 | ) | — | (0.48 | ) | 10.19 | 3.74 | 12,890 | 0.89 | 0.89 | 1.09 | 3.96 | 413 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 10.43 | 0.45 | (0.11 | ) | 0.34 | (0.45 | ) | (0.03 | ) | (0.48 | ) | 10.29 | 3.44 | 14,035 | 0.88 | 0.88 | 1.09 | 4.37 | 478 | |||||||||||||||||||||||||||||||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.28 | $ | 0.33 | $ | 0.60 | $ | 0.93 | $ | (0.36 | ) | $ | (0.04 | ) | $ | (0.40 | ) | $ | 10.81 | 9.22 | % | $ | 877,709 | 0.66 | % | 0.66 | % | 0.86 | % | 3.12 | % | 299 | % | |||||||||||||||||||||||||||
2009(8) | 10.00 | 0.08 | 0.27 | 0.35 | (0.07 | ) | — | (0.07 | ) | 10.28 | 3.55 | 677,723 | 0.66 | 0.66 | 0.87 | 3.23 | 51 | |||||||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 6.52 | $ | 0.64 | $ | 0.74 | $ | 1.38 | $ | (0.61 | ) | $ | (0.02 | ) | $ | (0.63 | ) | $ | 7.27 | 21.98 | % | $ | 1,503,070 | 0.89 | % | 0.89 | % | 1.13 | % | 9.22 | % | 113 | % | |||||||||||||||||||||||||||
2009 | 6.57 | 0.60 | (0.02 | ) | 0.58 | (0.56 | ) | (0.07 | ) | (0.63 | ) | 6.52 | 11.88 | 1,289,964 | 0.89 | 0.89 | 1.15 | 11.03 | 98 | |||||||||||||||||||||||||||||||||||||||||
2008 | 8.26 | 0.66 | (1.60 | ) | (0.94 | ) | (0.66 | ) | (0.09 | ) | (0.75 | ) | 6.57 | (12.09 | ) | 1,076,379 | 0.88 | 0.88 | 1.13 | 8.73 | 69 | |||||||||||||||||||||||||||||||||||||||
2007 | 8.38 | 0.67 | (0.11 | ) | 0.56 | (0.68 | ) | — | (0.68 | ) | 8.26 | 6.72 | 1,247,613 | 0.86 | 0.86 | 1.12 | 7.89 | 91 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 8.50 | 0.65 | (0.12 | ) | 0.53 | (0.65 | ) | — | (0.65 | ) | 8.38 | 6.51 | 1,068,711 | 0.86 | 0.86 | 1.12 | 7.69 | 126 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 6.53 | $ | 0.63 | $ | 0.74 | $ | 1.37 | $ | (0.60 | ) | $ | (0.02 | ) | $ | (0.62 | ) | $ | 7.28 | 21.76 | % | $ | 1,846 | 1.11 | % | 1.11 | % | 1.40 | % | 8.96 | % | 113 | % | |||||||||||||||||||||||||||
2009 | 6.58 | 0.58 | (0.01 | ) | 0.57 | (0.55 | ) | (0.07 | ) | (0.62 | ) | 6.53 | 11.65 | 200 | 1.11 | 1.11 | 1.40 | 10.45 | 98 | |||||||||||||||||||||||||||||||||||||||||
2008(6) | 8.26 | 0.66 | (1.61 | ) | (0.95 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | 6.58 | (12.20 | ) | 47 | 1.11 | 1.11 | 1.38 | 8.96 | 69 | |||||||||||||||||||||||||||||||||||||||
Real Return Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.19 | $ | 0.12 | $ | 0.40 | $ | 0.52 | $ | (0.19 | ) | $ | (0.01 | ) | $ | (0.20 | ) | $ | 10.51 | 5.20 | % | $ | 240,925 | 0.45 | % | 0.45 | % | 0.86 | % | 1.18 | % | 94 | % | |||||||||||||||||||||||||||
2009(8) | 10.00 | 0.10 | 0.09 | 0.19 | — | — | — | 10.19 | 1.90 | 83,568 | 0.45 | 0.45 | 0.88 | 4.11 | 23 | |||||||||||||||||||||||||||||||||||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010(12) | $ | 10.00 | $ | (0.02 | ) | $ | (0.05 | ) | $ | (0.07 | ) | $ | — | $ | — | $ | — | $ | 9.93 | (0.70 | )% | $ | 191,055 | 0.50 | % | 0.50 | % | 2.19 | % | (0.42 | )% | 49 | % |
† | Returns and turnover rates are for the period indicated and have not been annualized. |
* | Amount represents less than $0.01. |
(1) | Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
(2) | Includes return of capital of less than $0.01. |
(3) | The expense ratios include overdraft fees. Had these fees been excluded the ratios would have been 1.11% and 1.36% for Class A and Class I, respectively. |
(4) | For the six months ended September 30, 2007. The Fund’s fiscal year end changed from March 31 to September 30. All ratios for the period have been annualized. |
(5) | For the year or period ended March 31. |
(6) | Commenced operations on October 1, 2007. All ratios for the period have been annualized. |
(7) | Commenced operations on July 27, 2006. All ratios for the period have been annualized. |
(8) | Commenced operations on July 2, 2009. All ratios for the period have been annualized. |
(9) | Commenced operations on June 29, 2007. All ratios for the period have been annualized. |
(10) | Commenced operations on December 20, 2007. All ratios for the period have been annualized. |
(11) | Commenced operations on October 1, 2009. All ratios for the period have been annualized. |
(12) | Commenced operations on March 31, 2010. All ratios for the period have been annualized. |
(13) | Includes return of capital of $0.10. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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September 30, 2010
1. ORGANIZATION
SEI Institutional Managed Trust (the “Trust”) is organized as a Massachusetts business trust under a Declaration of Trust dated October 20, 1986.
The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 21 funds: Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond, Real Return, Prime Obligation and Multi-Strategy Alternative Funds (each a “Fund,” collectively the “Funds”) each of which are Diversified Funds, with the exception of the Real Estate Fund. The Trust is registered to offer: Class A shares of the Funds; Class E shares of the S&P 500 Fund; Class G shares of the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed, Large Cap, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond and Real Return Funds; Class I shares of the Large Cap, Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond and Real Return Funds; and Class Y shares of the Tax-Managed Large Cap Fund. 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.
As of September 30, 2010, the Prime Obligation Fund and the Class G shares had not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Funds.
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of 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 (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available,
debt securities 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. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.
Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or 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.
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. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund 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 a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Committee meeting should be called based on the information provided.
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The Global Managed Fund also uses a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the Fund based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-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, the Global Managed Fund will value the non-U.S. securities in its portfolio that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.
Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.
The Assets of the Multi-Strategy Alternative Fund consist primarily of the investments in underlying registered investment companies, which are valued at their respective daily net assets in accordance with Board-approved pricing procedures.
In accordance with GAAP, Fair Value is defined as the price that a Fund would receive upon selling an investment in a timely 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 — quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
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 Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The Fund adopted Financial Accounting Standards Board — Accounting Standards Update “Fair Value Measurements and Disclosures” (the “Update”), effective September 30, 2010. This Update applies to the Fund’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers. Disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy are summarized under the Level 2 and Level 3 categories listed above. There were no significant transfers between Level 1 and Level 2 of the fair value hierarchy during the period.
The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the year ended September 30, 2010, there have been no significant changes to the Trust’s fair valuation methodologies.
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 the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-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 gain 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.
Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.
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Notes to Financial Statements (Continued)
September 30, 2010
Repurchase Agreements — Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.
Reverse Repurchase Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities.
Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative daily net assets.
Classes — Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non class-specific expenses are allocated to the respective class on the basis of relative daily net assets.
Foreign Currency Translation — The books and records of the Funds 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.
Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. To the extent consistent with its Investment Objective and Strategies, a Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are “marked-to-market” daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open forward foreign currency contracts as of September 30, 2010, if applicable.
Futures Contracts — All Funds, with the exception of the Real Estate, High Yield Bond, Real Return and Multi-Strategy Alternative Funds, utilized futures contracts during the year ended September 30, 2010. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. 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. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked 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 the contract is 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, the futures contract involves the risk that the 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. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open futures contracts as of September 30, 2010, if applicable.
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Options/Swaptions Writing/Purchasing — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing fund securities, or securities that a Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. To the extent consistent with its Investment Objective and Strategies, a Fund may also invest in financial option/swaption contracts to enhance the Fund’s returns. When a Fund writes or purchases an option/swaption, 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/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions 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/swaption 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 on investment transactions.
The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have 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/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
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 or Summary Schedule of Investments for details regarding open option/swaption contracts as of September 30, 2010, if applicable.
Securities Sold Short — As consistent with each Fund’s investment objective, 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.
Until a Fund closes its short position or replaces the borrowed security, a Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover the Fund’s short positions.
Swap Agreements — A Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-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. 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 (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. 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 to manage a Fund’s exposure to interest rates. 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
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Notes to Financial Statements (Continued)
September 30, 2010
loss may exceed amounts recognized on the statement 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. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect a Fund’s value from changes in interest rates, or to expose a Fund to a different security or market.
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 Statement of Operations. Net payments of interest are recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement 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.
This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open swap agreements as of September 30, 2010, 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 — 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 cashflows 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 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.
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Restricted Securities — At September 30, 2010, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have 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 these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2010, were as follows:
Number of Shares/ Face Amount ($ Thousands) | Acquisition Date | Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | % of Net Assets | |||||||||||||||||||
Small Cap Fund | ||||||||||||||||||||||||
Scorpio Mining PIPE | 20,800 | 10/06/09 | 10/06/09 | $ | 19 | $ | 19 | 0.01 | % | |||||||||||||||
Titanium Asset Management PIPE | 2,000 | 10/06/09 | 10/06/09 | 8 | 6 | 0.00 | ||||||||||||||||||
$ | 27 | $ | 25 | 0.01 | % | |||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||
Verde Realty PIPE | 21,100 | 02/16/07 | 02/16/07 | $ | 696 | $ | 398 | 0.07 | % | |||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||||||
Rentech Warrant | 19,400 | 04/20/07 | 04/20/07 | $ | — | $ | — | — | % | |||||||||||||||
Titanium Asset Management PIPE | 140,900 | 06/14/07 | 06/14/07 | 845 | 403 | 0.10 | ||||||||||||||||||
Titanium Asset Management Warrants | 147,800 | 08/06/07 | 08/06/07 | — | — | — | ||||||||||||||||||
Value Creation | 145,600 | 08/10/06 | 08/10/06 | 1,491 | 142 | 0.04 | ||||||||||||||||||
$ | 2,336 | $ | 545 | 0.14 | % | |||||||||||||||||||
Real Estate Fund | ||||||||||||||||||||||||
Verde Realty PIPE | 21,400 | 02/16/07 | 02/16/07 | $ | 706 | $ | 404 | 0.18 | % | |||||||||||||||
Enhanced Income Fund | ||||||||||||||||||||||||
JHT Holding, 2nd Lien | $ | 39 | 12/16/08 | 12/16/08 | $ | 57 | $ | 38 | 0.03 | % | ||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Aventine Renewable Energy Holdings | $ | 986 | 02/25/10 | 02/25/10 | $ | 919 | $ | 1,035 | 0.07 | % | ||||||||||||||
Quebecore Media (Escrow Security) | $ | 1,915 | 09/24/09 | 09/24/09 | — | 115 | 0.01 | |||||||||||||||||
VSS AHC, Cl A | 38,453 | 10/08/09 | 10/08/09 | 485 | 459 | 0.03 | ||||||||||||||||||
$ | 1,404 | $ | 1,609 | 0.11 | % | |||||||||||||||||||
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income and Real Return Funds; are declared and paid annually for the Global Managed Volatility and Multi-Strategy Alternative Funds; and declared daily and paid monthly for the Core Fixed Income, U.S. Fixed Income and High Yield Bond Funds. Any net realized capital gains on sales of securities are distributed to shareholders at least annually. Dividends and distributions are recorded on the ex-dividend date.
Investments in REITs — With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some 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 fiscal year-end, and may differ from the estimated amounts.
3. CREDIT DERIVATIVES
A Fund enters into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. A Fund uses these 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 bank-
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Notes to Financial Statements (Continued)
September 30, 2010
ruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
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.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of September 30, 2010, the Core Fixed Income Fund is the buyer (“receiving protection”) on a total notional amount of $46.6 million, and is the seller (“providing protection”) on a total notional amount of $5.3 million,. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | 66,081 | — | — | $ | (51,340 | ) | $ | 14,741 | |||||||||||
Maximum potential amount of future payments | $ | 4,280,000 | — | — | $ | 1,022,000 | $ | 5,302,000 | ||||||||||||
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 | ||||||||||||||||||||||||
CORE 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 | $ | 2,800,000 | — | — | — | $ | 522,000 | $ | 3,322,000 | |||||||||||||||
> than 100 | 1,480,000 | — | — | — | $ | 500,000 | $ | 1,980,000 | ||||||||||||||||
Total | $ | 4,280,000 | — | — | — | $ | 1,022,000 | $ | 5,302,000 |
* | 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.
4. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the year. For Funds that held derivatives throughout the year with only one type of risk exposure, additional information can be found on the Summary Schedule of Investments or Schedule of Investments and the Statement of Operations.
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The fair value of derivative instruments as of September 30, 2010 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Year ended September 30, 2010 ($ Thousands) | Year ended September 30, 2010 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
Tax-Managed Small Cap Fund | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 9 | Unrealized loss on forward foreign currency contracts | $ | 46 | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 374 | * | Net Assets — Unrealized depreciation on futures contracts | — | |||||||
Total Derivatives not accounted for as hedging instruments | $ | 383 | $ | 46 | ||||||||
Global Managed Volatility Fund | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 80 | Unrealized loss on forward foreign currency contracts | $ | 1,549 | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 190 | * | Net Assets — Unrealized depreciation on futures contracts | 47 | |||||||
Total Derivatives not accounted for as hedging instruments | $ | 270 | $ | 1,596 | ||||||||
Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 1,194 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1,357 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 3,249 | † | ||||||||
Investments, at value | — | Options written, at value | 484 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 828 | * | |||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 1,191 | † | Net Assets — Unrealized depreciation on swap contracts | 8,322 | † | ||||||
Total Derivatives not accounted for as hedging instruments | $ | 2,385 | $ | 14,240 | ||||||||
U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 8 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 108 | * | ||||
Investments, at value | — | Options written, at value | 88 | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 1,063 | † | |||||||
Total Derivatives not accounted for as hedging instruments | $ | 8 | $ | 1,259 | ||||||||
* | 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 Statement of Operations for the year ended September 30, 2010.
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands)
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 1,540 | $ | — | $ | — | $ | 1,540 | ||||||||||||
Foreign exchange contracts | — | — | — | (8 | ) | — | (8 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | 1,540 | $ | (8 | ) | $ | — | $ | 1,532 | |||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 1,534 | $ | — | $ | — | $ | 1,534 | ||||||||||||
Foreign exchange contracts | — | — | — | (7,052 | ) | — | (7,052 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | 1,534 | $ | (7,052 | ) | $ | — | $ | (5,518 | ) | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 395 | $ | 911 | $ | 13,399 | $ | — | $ | (1,821 | ) | $ | 12,884 | |||||||||||
Credit contracts | — | — | — | — | (6,151 | ) | (6,151 | ) | ||||||||||||||||
Foreign exchange contracts | — | — | — | 1,178 | — | 1,178 | ||||||||||||||||||
Total | $ | 395 | $ | 911 | $ | 13,399 | $ | 1,178 | $ | (7,972 | ) | $ | 7,911 |
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Notes to Financial Statements (Continued)
September 30, 2010
Derivatives Not Accounted for as Hedging Instruments: | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (420 | ) | $ | — | $ | — | $ | (420 | ) | ||||||||||
Credit contracts | — | — | — | — | (249 | ) | (249 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | (420 | ) | $ | — | $ | (249 | ) | $ | (669 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments: | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Tax-Managed Small Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 179 | $ | — | $ | — | $ | 179 | ||||||||||||
Foreign exchange contracts | — | — | — | (37 | ) | — | (37 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | 179 | $ | (37 | ) | $ | — | $ | 142 | |||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | — | — | 44 | — | — | 44 | ||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | (606 | ) | $ | — | $ | (606 | ) | ||||||||||
Total | $ | — | $ | — | $ | 44 | $ | (606 | ) | $ | — | $ | (562 | ) | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (2 | ) | $ | (112 | ) | (2,463 | ) | $ | — | $ | (2,731 | ) | $ | (5,308 | ) | ||||||||
Credit contracts | — | — | — | — | 11,402 | 11,402 | ||||||||||||||||||
Foreign exchange contacts | — | — | — | (911 | ) | — | (911 | ) | ||||||||||||||||
Total | $ | (2 | ) | $ | (112 | ) | $ | (2,463 | ) | $ | (911 | ) | $ | 8,671 | $ | 5,183 | ||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (15 | ) | $ | — | $ | (100 | ) | $ | — | $ | — | $ | (115 | ) | |||||||||
Credit contracts | — | — | — | — | (765 | ) | (765 | ) | ||||||||||||||||
Total | $ | (15 | ) | $ | — | $ | (100 | ) | $ | — | $ | (765 | ) | $ | (880 | ) |
The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
Written options transactions entered into during the year ended September 30, 2010 are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of period | 473 | $ | 562 | |||||
Written | 2,859 | 1,396 | ||||||
Expired | (732 | ) | (260 | ) | ||||
Closing buys | (2,153 | ) | (1,297 | ) | ||||
Balance at the end of period | 447 | $ | 401 |
U.S. Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of period | — | $ | — | |||||
Written | 110 | 73 | ||||||
Expired | — | — | ||||||
Closing buys | — | — | ||||||
Balance at the end of period | 110 | $ | 73 |
Written swaptions transactions entered into during the year ended September 30, 2010 are summarized as follows:
Core Fixed Income Fund | ||||||||
Notional Amount (Thousands) | Premium ($ Thousands) | |||||||
Balance at the beginning of period | 64,020 | $ | 2,471 | |||||
Written | 24,600 | 510 | ||||||
Expired | (26,040 | ) | (693 | ) | ||||
Closing buys | (62,580 | ) | (2,288 | ) | ||||
Balance at the end of period | — | $ | — | �� |
At September 30, 2010 the Funds had cash and/or securities at least equal to the value of written options.
5. ADMINISTRATION, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS, AND OTHER TRANSACTIONS WITH AFFILIATES
Administration and Transfer Agency Agreement — The Trust and SEI Investments Global Funds Services (the “Administrator”) are parties to an amended and restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and transfer agency services to the Funds for an annual fee of 0.35% of the average daily net assets of the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, High Yield Bond, Real Return and Multi-Strategy
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Alternative Funds; 0.15% of the average daily net assets of the Tax-Managed Large Cap Class Y; 0.22% of the average daily net assets of the S&P 500 Index Fund; and 0.28% of the average daily net assets of the Core Fixed Income and U.S. Fixed Income Funds. The Administrator has agreed voluntarily to waive all or a portion of its fee in order to limit the operating expenses of a Fund. Any such waiver is voluntary and may be terminated at any time at the Administrator’s sole discretion.
Investment Advisory Agreement — SEI Investments Management Corporation (“SIMC”) serves as investment adviser (the “Adviser”) to 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. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of short sale expenses and acquired fund fee expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:
Advisory Fees | Voluntary Expense Limitations | |||||||
Large Cap Fund, Class A | 0.3900 | % | 0.8900 | % | ||||
Large Cap Value Fund, Class A | 0.3500 | 0.8900 | ||||||
Large Cap Value Fund, Class I | 0.3500 | 1.1100 | ||||||
Large Cap Growth Fund, Class A | 0.4000 | 0.8900 | ||||||
Large Cap Growth Fund, Class I | 0.4000 | 1.1100 | ||||||
Tax-Managed Large Cap Fund, Class A | 0.4000 | 0.8900 | ||||||
Tax-Managed Large Cap Fund, Class Y | 0.4000 | 0.5600 | ||||||
S&P 500 Index Fund, Class A | 0.0300 | 0.4300 | ||||||
S&P 500 Index Fund, Class E | 0.0300 | 0.2500 | ||||||
S&P 500 Index Fund, Class I | 0.0300 | 0.6500 | ||||||
Small Cap Fund, Class A | 0.6500 | 1.1400 | ||||||
Small Cap Value Fund, Class A | 0.6500 | 1.1400 | ||||||
Small Cap Value Fund, Class I | 0.6500 | 1.3600 | ||||||
Small Cap Growth Fund, Class A | 0.6500 | 1.1100 | ||||||
Small Cap Growth Fund, Class I | 0.6500 | 1.3600 | ||||||
Tax-Managed Small Cap Fund, Class A | 0.6500 | 1.1100 | ||||||
Mid-Cap Fund, Class A | 0.4000 | 1.0200 | ||||||
Mid-Cap Fund, Class I | 0.4000 | 1.2600 | ||||||
U.S. Managed Volatility Fund, Class A | 0.6500 | 1.0000 | ||||||
U.S. Managed Volatility Fund, Class I | 0.6500 | 1.2500 | ||||||
Global Managed Volatility Fund, Class A | 0.6500 | 1.1100 | ||||||
Global Managed Volatility Fund, Class I | 0.6500 | 1.3600 | ||||||
Tax-Managed Managed Volatility Fund, Class A | 0.6500 | 1.0000 | ||||||
Real Estate Fund, Class A | 0.6500 | 1.1400 | ||||||
Real Estate Fund, Class I | 0.6500 | 1.3600 | ||||||
Enhanced Income Fund, Class A | 0.4000 | 0.6000 | ||||||
Enhanced Income Fund, Class I | 0.4000 | % | 0.8500 | % | ||||
Core Fixed Income Fund, Class A | 0.2750 | 0.6700 | ||||||
Core Fixed Income Fund, Class I | 0.2750 | 0.8900 | ||||||
U.S. Fixed Income, Class A | 0.2750 | 0.6600 | ||||||
High Yield Bond Fund, Class A | 0.4875 | 0.8900 | ||||||
High Yield Bond Fund, Class I | 0.4875 | 1.1100 | ||||||
Real Return, Class A | 0.2200 | 0.4500 | ||||||
Multi-Strategy Alternative Fund, Class A | 1.5000 | 0.5000 |
As of September 30, 2010, SIMC has entered into investment sub-advisory agreements with the following parties:
Investment Sub-Adviser |
Large Cap Fund |
Analytic Investors, LLC |
Aronson+Johnson+Ortiz, L.P. |
Brown Investment Advisory Incorporated |
Delaware Management Company |
Legg Mason Capital Management, Inc. |
LSV Asset Management |
Neuberger Berman Management, LLC |
Quantitative Management Associates LLC |
Large Cap Value Fund |
Aronson + Johnson + Ortiz, LP |
INTECH Investment Management, LLC |
Lazard Asset Management LLC |
Legg Mason Capital Management, Inc. |
LSV Asset Management |
Large Cap Growth Fund |
Brown Investment Advisory Incorporated |
Delaware Management Company |
INTECH Investment Management, LLC |
Legg Mason Capital Management Inc. |
Neuberger Berman Management LLC |
Tax-Managed Large Cap Fund |
Aronson + Johnson + Ortiz, LP |
Brown Investment Advisory Incorporated |
Delaware Management Company |
Legg Mason Capital Management Inc. |
LSV Asset Management |
Neuberger Berman Management LLC |
Parametric Portfolio Associates |
Quantitative Management Associates LLC |
S&P 500 Index Fund |
SSgA Funds Management, Inc. |
Small Cap Fund |
Allianz Global Investors Capital LLC |
AQR Capital Management, LLC |
Integrity Asset Management, LLC |
Los Angeles Capital Management and Equity Research, Inc. |
Robeco Investment Management, Inc. |
Wellington Management Company, LLP |
Small Cap Value Fund |
Artisan Partners Limited Partnership |
Lee Munder Capital Group, LLC |
LSV Asset Management |
Martingale Asset Management, L.P. |
Robeco Investment Management, Inc. |
Wellington Management Company, LLP |
Small Cap Growth Fund |
Allianz Global Investors Capital LLC |
AQR Capital Management, LLC |
Janus Capital Management, LLC |
Lee Munder Capital Group, LLC |
Los Angeles Capital Management and Equity Research, Inc. |
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September 30, 2010
Investment Sub-Adviser |
Tax-Managed Small Cap Fund |
Century Capital Management, LLC |
Lee Munder Capital Group, LLC |
Los Angeles Capital Management and Equity Research, Inc. |
LSV Asset Management |
Parametric Portfolio Associates |
Wellington Management Company, LLP |
Wells Capital Management Inc. |
Mid-Cap Fund |
Lee Munder Capital Group, LLC |
Quantitative Management Associates LLC |
Wells Capital Management, Inc. |
U.S. Managed Volatility Fund |
Analytic Investors, LLC |
Aronson + Johnson + Ortiz, LP |
Global Managed Volatility Fund |
Acadian Asset Management LLC |
Analytic Investors, LLC |
Tax-Managed Managed Volatility Fund |
Analytic Investors LLC |
Aronson + Johnson + Ortiz, LP |
Parametric Portfolio Associates |
Real Estate Fund |
Security Capital Research and Management, Inc. |
Wellington Management Company, LLP |
Enhanced Income Fund |
Ares Management LLC |
Wellington Management Company, LLP |
Core Fixed Income Fund |
Jennison Associates LLC |
J.P. Morgan Investment Management, Inc. |
Metropolitan West Asset Management LLC |
Wells Capital Management, Inc. |
Western Asset Management Company |
Western Asset Management Company Limited |
U.S. Fixed Income Fund |
Jennison Associates LLC |
J.P. Morgan Investment Management, Inc. |
Metropolitan West Asset Management LLC |
Wells Capital Management, Inc. |
Western Asset Management Company |
Western Asset Management Company Limited |
High Yield Bond Fund |
Ares Management LLC |
Brigade Capital Management, LLC |
Delaware Management Company |
Guggenheim Investment Management, LLC |
J.P. Morgan Investment Management, Inc. |
Real Return Fund |
Wellington Management Company, LLP |
Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC.
Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a distribution agreement with the Trust. The Trust has adopted a shareholder servicing plan for Class A, Class I and Class Y shares (the “Shareholder Servicing Plans”) under which a shareholder servicing fee of up to 0.25% of average daily net assets attributable to Class A and Class I shares, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to the Class Y shares, will be paid to the Distributor. In addition to the Shareholder Servicing Plans, the Class I shares have adopted administrative service plans that provide for administrative service fees payable to the Distributor of up to 0.25% of the average daily net assets attributed to that class.
Other — The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission (“SEC”). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions.
Such commissions for the year ended September 30, 2010 were as follows ($ Thousands):
Large Cap Fund | $ | 79 | ||
Large Cap Value Fund | 246 | |||
Large Cap Growth Fund | 165 | |||
Tax-Managed Large Cap Fund | 132 | |||
S&P 500 Index Fund | 54 | |||
Small Cap Fund | 5 | |||
Small Cap Value Fund | 153 | |||
Small Cap Growth Fund | 36 | |||
Tax-Managed Small Cap Fund | 81 | |||
Mid-Cap Fund | 152 | |||
Real Estate Fund | 16 | |||
$ | 1,119 | |||
Under both the Shareholder Servicing Plans and administrative service plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. For the year ended September 30, 2010, the Distributor retained 100% of the shareholder servicing fees, less the shareholder servicing fee waiver, and 100% of the administration servicing fees.
Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Administrator or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Administrator or Distributor.
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. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.
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LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap, Large Cap Value, Tax-Managed Large Cap, Small Cap Value and Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2010 were as follows ($ Thousands):
Large Cap Fund | $ | 214 | ||
Large Cap Value Fund | 654 | |||
Tax-Managed Large Cap Fund | 329 | |||
Small Cap Value Fund | 594 | |||
Tax-Managed Small Cap Fund | 184 | |||
$ | 1,975 | |||
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Fund’s expense ratio, as a percentage of the Fund’s average daily net assets for the year ended September 30, 2010, can be found on the Statement of Operations and Financial Highlights, respectively.
Investment in Affiliated Security — The Funds may invest excess cash in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund. Additionally, the Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund, L.P.
6. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the years or period ended September 30, 2010
Large Cap Fund(1) | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||||||||
10/01/09 to 09/30/10 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | ||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||
Shares Issued | 183,286 | 19,666 | 53,643 | 14,496 | 45,603 | 32,509 | 110,266 | 5,739 | 17,291 | |||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,354 | 1,902 | 3,739 | 610 | 865 | 1,408 | 2,568 | 236 | 486 | |||||||||||||||||||||||||||
Shares Redeemed | (54,987 | ) | (52,909 | ) | (74,868 | ) | (49,047 | ) | (65,464 | ) | (51,272 | ) | (150,117 | ) | (11,115 | ) | (16,504 | ) | ||||||||||||||||||
Total Class A Transactions | 129,653 | (31,341 | ) | (17,486 | ) | (33,941 | ) | (18,996 | ) | (17,355 | ) | (37,283 | ) | (5,140 | ) | 1,273 | ||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | 8,945 | 11,627 | |||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | 587 | 865 | |||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | (5,625 | ) | (7,857 | ) | |||||||||||||||||||||||||
Total Class I Transactions | — | — | — | — | — | — | — | 3,907 | 4,635 | |||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||
Shares Issued | — | 200 | 534 | 131 | 389 | 5 | — | 92 | 732 | |||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | 9 | 18 | 1 | 2 | 2 | — | 3 | 11 | |||||||||||||||||||||||||||
Shares Redeemed | — | (334 | ) | (413 | ) | (248 | ) | (289 | ) | (41 | ) | — | (124 | ) | (617 | ) | ||||||||||||||||||||
Total Class I Transactions | — | (125 | ) | 139 | (116 | ) | 102 | (34 | ) | — | (29 | ) | 126 | |||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | 44 | — | — | |||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | 6 | — | — | |||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | (37 | ) | — | — | ||||||||||||||||||||||||||
Total Class Y Transactions | — | — | — | — | — | — | 13 | — | — | |||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 129,653 | (31,466 | ) | (17,347 | ) | (34,057 | ) | (18,894 | ) | (17,389 | ) | (37,270 | ) | (1,262 | ) | 6,034 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 163 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2010
Small Cap Fund(1) | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small Cap Fund | Mid-Cap Fund | ||||||||||||||||||||||||||||||||
10/01/09 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | ||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||
Shares Issued | 43,949 | 12,391 | 25,312 | 9,938 | 20,496 | 11,004 | 25,443 | 7,278 | 6,949 | |||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 53 | 275 | 1,004 | 2 | 10 | 64 | 182 | 43 | 81 | |||||||||||||||||||||||||||
Shares Redeemed | (23,903 | ) | (24,708 | ) | (34,603 | ) | (20,925 | ) | (29,258 | ) | (11,156 | ) | (29,105 | ) | (8,052 | ) | (6,927 | ) | ||||||||||||||||||
Total Class A Transactions | 20,099 | (12,042 | ) | (8,287 | ) | (10,985 | ) | (8,752 | ) | (88 | ) | (3,480 | ) | (731 | ) | 103 | ||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||
Shares Issued | — | 147 | 303 | 99 | 236 | — | — | 42 | 33 | |||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | 2 | 11 | — | — | — | — | — | — | |||||||||||||||||||||||||||
Shares Redeemed | — | (242 | ) | (318 | ) | (154 | ) | (169 | ) | — | — | (23 | ) | (16 | ) | |||||||||||||||||||||
Total Class I Transactions | — | (93 | ) | (4 | ) | (55 | ) | 67 | — | — | 19 | 17 | ||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 20,099 | (12,135 | ) | (8,291 | ) | (11,040 | ) | (8,685 | ) | (88 | ) | (3,480 | ) | (712 | ) | 120 |
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 19,047 | 42,006 | 25,777 | 32,422 | 12,259 | 26,871 | 12,707 | 36,459 | 13,933 | 25,463 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 479 | 604 | 101 | — | 275 | 241 | 652 | 809 | 814 | 950 | ||||||||||||||||||||||||||||||
Shares Redeemed | (20,567 | ) | (43,906 | ) | (12,968 | ) | (27,602 | ) | (8,110 | ) | (16,652 | ) | (17,761 | ) | (32,102 | ) | (28,772 | ) | (32,330 | ) | ||||||||||||||||||||
Total Class A Transactions | (1,041 | ) | (1,296 | ) | 12,910 | 4,820 | 4,424 | 10,460 | (4,402 | ) | 5,166 | (14,025 | ) | (5,917 | ) | |||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 3 | 2 | 13 | 3 | — | — | 17 | 13 | 2 | 4 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | 1 | — | |||||||||||||||||||||||||||||||||||
Shares Redeemed | (2 | ) | — | (7 | ) | (2 | ) | — | — | (6 | ) | (1 | ) | (6 | ) | — | ||||||||||||||||||||||||
Total Class I Transactions | 1 | 2 | 6 | 1 | — | — | 12 | 12 | (4 | ) | 4 | |||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | (1,040 | ) | (1,294 | ) | 12,916 | 4,821 | 4,424 | 10,460 | (4,390 | ) | 5,178 | (14,029 | ) | (5,913 | ) |
Core Fixed Income Fund | U.S. Fixed Income Fund(2) | High Yield Bond Fund | Real Return Fund(2) | Multi-Strategy Alternative Fund(3) | ||||||||||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 03/31/10 to | ||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||
Shares Issued | 71,455 | 140,720 | 62,360 | 70,927 | 142,465 | 186,696 | 19,945 | 13,379 | 20,817 | |||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 9,212 | 15,730 | 2,912 | 424 | 14,881 | 18,815 | 246 | — | — | |||||||||||||||||||||||||||
Shares Redeemed | (112,569 | ) | (304,425 | ) | (49,991 | ) | (5,410 | ) | (148,528 | ) | (171,534 | ) | (5,476 | ) | (5,179 | ) | (1,578 | ) | ||||||||||||||||||
Total Class A Transactions | (31,902 | ) | (147,975 | ) | 15,281 | 65,941 | 8,818 | 33,977 | 14,715 | 8,200 | 19,239 | |||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||
Shares Issued | 772 | 968 | — | — | 247 | 28 | — | — | — | |||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 40 | 45 | — | — | 4 | 2 | — | — | — | |||||||||||||||||||||||||||
Shares Redeemed | (584 | ) | (508 | ) | — | — | (29 | ) | (6 | ) | — | — | — | |||||||||||||||||||||||
Total Class I Transactions | 228 | 505 | — | — | 222 | 24 | — | — | — | |||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | (31,674 | ) | (147,470 | ) | 15,281 | 65,941 | 9,040 | 34,001 | 14,715 | 8,200 | 19,239 |
(1) | Commenced operations on October 1, 2009. |
(2) | Commenced operations on July 2, 2009. |
(3) | Commenced operations on March 31, 2010. |
Amounts designated as “—” are zero or have been rounded to zero. |
164 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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7. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year or period ended September 30, 2010, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund(1) | ||||||||||||
Purchases | $ | — | $ | 2,321,856 | $ | 2,321,856 | ||||||
Sales | — | 1,081,156 | 1,081,156 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 1,061,963 | 1,061,963 | |||||||||
Sales | — | 1,451,643 | 1,451,643 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 1,450,906 | 1,450,906 | |||||||||
Sales | — | 2,103,638 | 2,103,638 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 884,586 | 884,586 | |||||||||
Sales | — | 1,073,302 | 1,073,302 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 262,426 | 262,426 | |||||||||
Sales | — | 296,411 | 296,411 | |||||||||
Small Cap Fund(1) | ||||||||||||
Purchases | — | 446,840 | 446,840 | |||||||||
Sales | — | 265,450 | 265,450 | |||||||||
Small Cap Value Fund | ||||||||||||
Purchases | — | 377,218 | 377,218 | |||||||||
Sales | — | 497,750 | 497,750 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 384,369 | 384,369 | |||||||||
Sales | — | 498,812 | 498,812 | |||||||||
Tax-Managed Small Cap Fund | ||||||||||||
Purchases | — | 207,997 | 207,997 | |||||||||
Sales | — | 204,827 | 204,827 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 241,394 | 241,394 | |||||||||
Sales | — | 249,982 | 249,982 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 188,607 | 188,607 | |||||||||
Sales | — | 191,703 | 191,703 | |||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 312,754 | 312,754 | |||||||||
Sales | — | 224,814 | 224,814 | |||||||||
Tax-Managed Managed Volatility | ||||||||||||
Purchases | — | 91,300 | 91,300 | |||||||||
Sales | — | 52,034 | 52,034 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 134,570 | 134,570 | |||||||||
Sales | — | 172,889 | 172,889 | |||||||||
Enhanced Income Fund | ||||||||||||
Purchases | 47,260 | 10,448 | 57,708 | |||||||||
Sales | 71,859 | 45,094 | 116,953 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 5,728,240 | 818,870 | 6,547,110 | |||||||||
Sales | 5,660,545 | 1,134,111 | 6,794,656 | |||||||||
U.S Fixed Income Fund | ||||||||||||
Purchases | 1,926,777 | 527,039 | 2,453,816 | |||||||||
Sales | 1,873,947 | 418,356 | 2,292,303 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 1,388,030 | 1,388,030 | |||||||||
Sales | 597 | 1,340,160 | 1,340,757 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 290,942 | — | 290,942 | |||||||||
Sales | 140,641 | — | 140,641 | |||||||||
Multi-Strategy Alternative Fund(2) | ||||||||||||
Purchases | — | 250,513 | 250,513 | |||||||||
Sales | — | 65,434 | 65,434 |
(1) | For the period October 1, 2009 through September 30, 2010. |
(2) | For the period March 31, 2010 through September 30, 2010. |
8. FEDERAL TAX INFORMATION
It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of The Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage- and asset-backed securities for tax purposes, return of capital, investments in swaps, investments in partnerships, municipal bonds, collateralized debt obligations, distribution reclassification, expiration of capital losses, REIT income reclassification, foreign currency transactions, accretion and amortization on defaulted bonds reclassification and net operating losses have been reclassified to/from the following accounts as of September 30, 2010:
Paid-in-Capital ($ Thousands) | Undistributed Net Investment Income/(Loss) ($ Thousands) | Accumulated Realized Gain/(loss) ($ Thousands) | ||||||||||
Large Cap Fund | $ | — | $ | 214 | $ | (214 | ) | |||||
Large Cap Value Fund | — | 435 | (435 | ) | ||||||||
Large Cap Growth Fund | (391,946 | ) | 181 | 391,765 | ||||||||
Tax-Managed Large Cap Fund | (52,276 | ) | 280 | 51,996 | ||||||||
S&P 500 Index Fund | — | 238 | (238 | ) | ||||||||
Small Cap Fund | — | 133 | (133 | ) | ||||||||
Small Cap Value Fund | — | 1,309 | (1,309 | ) | ||||||||
Small Cap Growth Fund | (893 | ) | 930 | (37 | ) | |||||||
Tax-Managed Small Cap Fund | — | 120 | (120 | ) | ||||||||
Mid-Cap Fund | — | 80 | (80 | ) | ||||||||
U.S. Managed Volatility Fund | — | 118 | (118 | ) | ||||||||
Global Managed Volatility Fund | (10,124 | ) | 3,159 | 6,965 | ||||||||
Tax-Managed Managed Volatility Fund | — | 60 | (60 | ) | ||||||||
Real Estate Fund | (2,158 | ) | 3,642 | (1,484 | ) | |||||||
Enhanced Income Fund | — | 597 | (597 | ) | ||||||||
Core Fixed Income Fund | 4 | 2,389 | (2,393 | ) | ||||||||
U.S. Fixed Income Fund | — | 2,408 | (2,408 | ) | ||||||||
High Yield Bond Fund | (68,652 | ) | (1,031 | ) | 69,683 | |||||||
Real Return Fund | — | 49 | (49 | ) | ||||||||
Multi-Strategy Alternative Fund | (315 | ) | 315 | — |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 165 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2010
The tax character of dividends and distributions paid during the years or periods ended September 30, 2010 and September 30, 2009 (unless otherwise indicated) was as follows:
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Large Cap Fund | 2010 | $ | 12,021 | $ | 2,478 | $ | — | $ | 14,499 | |||||||||||
Large Cap Value Fund | 2010 | 28,384 | — | — | 28,384 | |||||||||||||||
2009 | 47,585 | — | — | 47,585 | �� | |||||||||||||||
Large Cap Growth Fund | 2010 | 11,957 | — | — | 11,957 | |||||||||||||||
2009 | 13,318 | — | — | 13,318 | ||||||||||||||||
Tax-Managed Large Cap Fund | 2010 | 16,047 | — | — | 16,047 | |||||||||||||||
2009 | 24,031 | — | — | 24,031 | ||||||||||||||||
S&P 500 Index Fund | 2010 | 25,920 | — | — | 25,920 | |||||||||||||||
2009 | 25,778 | 10,295 | — | 36,073 | ||||||||||||||||
Small Cap Fund | 2010 | 553 | 14 | — | 567 | |||||||||||||||
Small Cap Value Fund | 2010 | 4,161 | — | — | 4,161 | |||||||||||||||
2009 | 7,732 | 3,167 | — | 10,899 | ||||||||||||||||
Small Cap Growth Fund | 2010 | — | — | 30 | 30 | |||||||||||||||
2009 | 98 | — | — | 98 | ||||||||||||||||
Tax-Managed Small Cap Fund | 2010 | 727 | — | — | 727 | |||||||||||||||
2009 | 1,496 | — | — | 1,496 | ||||||||||||||||
Mid-Cap Fund | 2010 | 729 | — | — | 729 | |||||||||||||||
2009 | 1,064 | — | — | 1,064 | ||||||||||||||||
U.S. Managed Volatility Fund | 2010 | 5,225 | — | — | 5,225 | |||||||||||||||
2009 | 5,650 | — | — | 5,650 | ||||||||||||||||
Global Managed Volatility Fund | 2010 | 792 | — | 72 | 864 | |||||||||||||||
2009 | — | — | — | — | ||||||||||||||||
Tax-Managed Managed Volatility Fund | 2010 | 2,727 | — | — | 2,727 | |||||||||||||||
2009 | 2,063 | — | — | 2,063 | ||||||||||||||||
Real Estate Fund | 2010 | 5,233 | — | 2,158 | 7,391 | |||||||||||||||
2009 | 6,053 | — | 37 | 6,090 | ||||||||||||||||
Enhanced Income Fund | 2010 | 6,384 | — | — | 6,384 | |||||||||||||||
2009 | 7,069 | — | — | 7,069 | ||||||||||||||||
Core Fixed Income Fund | 2010 | 104,187 | — | — | 104,187 | |||||||||||||||
2009 | 153,774 | — | — | 153,774 | ||||||||||||||||
U.S. Fixed Income Fund | 2010 | 31,840 | — | — | 31,840 | |||||||||||||||
2009 | 4,508 | — | — | 4,508 | ||||||||||||||||
High Yield Bond Fund | 2010 | 123,263 | — | — | 123,263 | |||||||||||||||
2009 | 111,099 | — | — | 111,099 | ||||||||||||||||
Real Return Fund | 2010 | 2,708 | 18 | — | 2,726 | |||||||||||||||
2009 | — | — | — | — | ||||||||||||||||
Multi-Strategy Alternative Fund | 2010 | — | — | — | — |
As of September 30, 2010, the components of Distributable Earnings/(Accumulated Losses) were as follows:
Undistributed Ordinary Income ($ Thousands) | Undistributed Long-Term Capital Gain ($ Thousands) | Capital Loss Carryforwards ($ Thousands) | Post October Losses ($ Thousands) | Post October Currency Losses ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
Large Cap Fund | $ | 38,193 | $ | 3,149 | $ | — | $ | — | $ | — | $ | 69,723 | $ | 4 | $ | 111,069 | ||||||||||||||||
Large Cap Value Fund | 5,204 | — | (467,196 | ) | — | — | 27,152 | 42 | (434,798 | ) | ||||||||||||||||||||||
Large Cap Growth Fund | 2,327 | — | (945,954 | ) | — | — | 245,421 | 18 | (698,188 | ) | ||||||||||||||||||||||
Tax-Managed Large Cap Fund | 3,421 | — | (536,739 | ) | — | — | 173,866 | 127 | (359,325 | ) | ||||||||||||||||||||||
S&P 500 Index Fund | 6,451 | — | (36,908 | ) | — | — | 556,171 | 61 | 525,775 | |||||||||||||||||||||||
Small Cap Fund | 16,585 | 2,064 | — | — | (7 | ) | 20,429 | (56 | ) | 39,015 | ||||||||||||||||||||||
Small Cap Value Fund | 1,690 | — | (170,341 | ) | — | (4 | ) | 38,358 | 23 | (130,274 | ) | |||||||||||||||||||||
Small Cap Growth Fund | — | — | (302,411 | ) | — | — | 47,634 | (26 | ) | (254,803 | ) |
166 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Undistributed Ordinary Income ($ Thousands) | Undistributed Long-Term Capital Gain ($ Thousands) | Capital Loss Carryforwards ($ Thousands) | Post October Losses ($ Thousands) | Post October Currency Losses ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
Tax-Managed Small Cap Fund | $ | 357 | $ | — | $ | (75,231 | ) | $ | — | $ | (41 | ) | $ | 41,201 | $ | 37 | $ | (33,677 | ) | |||||||||||||
Mid-Cap Fund | 225 | — | (36,468 | ) | — | — | 3,639 | 7 | (32,597 | ) | ||||||||||||||||||||||
U.S. Managed Volatility Fund | 1,165 | — | (97,947 | ) | — | — | 52,940 | — | (43,842 | ) | ||||||||||||||||||||||
Global Managed Volatility Fund | — | — | (59,056 | ) | — | (7,444 | ) | 26,915 | 1,469 | (38,116 | ) | |||||||||||||||||||||
Tax-Managed Managed Volatility Fund | 656 | — | (13,382 | ) | — | — | 32,893 | — | 20,167 | |||||||||||||||||||||||
Real Estate Fund | 501 | — | (81,452 | ) | — | (2 | ) | 35,763 | 771 | (44,419 | ) | |||||||||||||||||||||
Enhanced Income Fund | 793 | — | (97,442 | ) | (27,703 | ) | — | (4,040 | ) | — | (128,392 | ) | ||||||||||||||||||||
Core Fixed Income Fund | 6,212 | — | (39,694 | ) | — | (153 | ) | (42,536 | ) | (7,037 | ) | (83,208 | ) | |||||||||||||||||||
U.S. Fixed Income Fund | 23,559 | 3,018 | — | — | — | 35,456 | (2,189 | ) | 59,844 | |||||||||||||||||||||||
High Yield Bond Fund | 17,463 | — | (215,140 | ) | (43,513 | ) | — | 33,463 | (9,321 | ) | (217,048 | ) | ||||||||||||||||||||
Real Return Fund | 1,945 | — | — | (20 | ) | — | 4,296 | 7 | 6,228 | |||||||||||||||||||||||
Multi-Strategy Alternative Fund | — | — | — | (1,941 | ) | — | 1,408 | — | (533 | ) |
Post October losses represent losses realized on investment transactions from November 1, 2009 through September 30, 2010 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
Expires 2018 ($ Thousands) | Expires 2017 ($ Thousands) | Expires 2016 ($ Thousands) | Expires 2015 ($ Thousands) | Expires 2014 ($ Thousands) | Expires 2013 ($ Thousands) | Expires 2012 ($ Thousands) | Expires 2011 ($ Thousands) | Total Capital Loss Carryforwards ($ Thousands) | ||||||||||||||||||||||||||||
Large Cap Value Fund | $ | 405,498 | $ | 61,698 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 467,196 | ||||||||||||||||||
Large Cap Growth Fund | 248,707 | 64,163 | — | — | — | — | 7,113 | 625,971 | 945,954 | |||||||||||||||||||||||||||
Tax-Managed Large Cap Fund | 264,576 | 52,636 | — | — | — | — | 16,066 | 203,461 | 536,739 | |||||||||||||||||||||||||||
S&P 500 Index Fund | 31,068 | 5,840 | — | — | — | — | — | — | 36,908 | |||||||||||||||||||||||||||
Small Cap Value Fund | 110,451 | 59,890 | — | — | — | — | — | — | 170,341 | |||||||||||||||||||||||||||
Small Cap Growth Fund | 182,805 | 119,606 | — | — | — | — | — | — | 302,411 | |||||||||||||||||||||||||||
Tax-Managed Small Cap Fund | 51,034 | 24,197 | — | — | — | — | — | — | 75,231 | |||||||||||||||||||||||||||
Mid-Cap Fund | 14,526 | 21,639 | 303 | — | — | — | — | — | 36,468 | |||||||||||||||||||||||||||
U.S. Managed Volatility Fund | 77,428 | 20,519 | — | — | — | — | — | — | 97,947 | |||||||||||||||||||||||||||
Global Managed Volatility Fund | 31,064 | 27,992 | — | — | — | — | — | — | 59,056 | |||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | 8,357 | 5,025 | — | — | — | — | — | — | 13,382 | |||||||||||||||||||||||||||
Real Estate Fund | — | 79,002 | 2,450 | — | — | — | — | — | 81,452 | |||||||||||||||||||||||||||
Enhanced Income Fund | 61,655 | 31,834 | 3,427 | 526 | — | — | — | — | 97,442 | |||||||||||||||||||||||||||
Core Fixed Income Fund | — | 2,581 | — | 37,113 | — | — | — | — | 39,694 | |||||||||||||||||||||||||||
High Yield Bond Fund | 61,490 | 63,877 | 3,037 | 21,474 | 8,149 | — | — | 57,113 | 215,140 |
During the year ended September 30, 2010, the Core Fixed Income Fund utilized $13,229 ($ Thousands) of capital loss carryforward to offset capital gains.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 167 |
Table of Contents
Notes to Financial Statements (Concluded)
September 30, 2010
For Federal income tax purposes, the cost of securities owned at September 30, 2010, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to straddies and wash sales 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 September 30, 2010, were as follows:
Federal Tax Cost ($Thousands) | Appreciated Securities ($Thousands) | Depreciated Securities ($Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
Large Cap Fund | $ | 1,420,532 | $ | 126,508 | $ | (56,785 | ) | $ | 69,723 | |||||||
Large Cap Value Fund | 1,621,626 | 231,051 | (203,899 | ) | 27,152 | |||||||||||
Large Cap Growth Fund | 1,469,136 | 321,333 | (75,912 | ) | 245,421 | |||||||||||
Tax-Managed Large Cap Fund | 1,494,426 | 334,301 | (160,435 | ) | 173,866 | |||||||||||
S&P 500 Index Fund | 1,018,545 | 633,526 | (77,355 | ) | 556,171 | |||||||||||
Small Cap Fund | 247,445 | 31,643 | (11,214 | ) | 20,429 | |||||||||||
Small Cap Value Fund | 642,482 | 104,930 | (66,572 | ) | 38,358 | |||||||||||
Small Cap Growth Fund | 441,753 | 83,875 | (36,241 | ) | 47,634 | |||||||||||
Tax-Managed Small Cap Fund | 376,362 | 64,858 | (23,620 | ) | 41,238 | |||||||||||
Mid-Cap Fund | 147,248 | 12,566 | (8,927 | ) | 3,639 | |||||||||||
U.S. Managed Volatility Fund | 361,080 | 65,812 | (12,872 | ) | 52,940 | |||||||||||
Global Managed Volatility Fund | 297,835 | 33,763 | (5,353 | ) | 28,410 | |||||||||||
Tax-Managed Managed Volatility Fund | 208,143 | 39,788 | (6,895 | ) | 32,893 | |||||||||||
Real Estate Fund | 274,514 | 67,195 | (31,432 | ) | 35,763 | |||||||||||
Enhanced Income Fund | 144,407 | 2,181 | (6,221 | ) | (4,040 | ) | ||||||||||
Core Fixed Income Fund | 2,634,386 | 144,542 | (176,711 | ) | (32,169 | ) | ||||||||||
U.S. Fixed Income Fund | 916,116 | 39,511 | (2,992 | ) | 36,519 | |||||||||||
High Yield Bond Fund | 1,491,107 | 96,305 | (61,798 | ) | 34,507 | |||||||||||
Real Return Fund | 244,814 | 4,581 | (285 | ) | 4,296 | |||||||||||
Multi-Strategy Alternative Fund | 190,896 | 1,931 | (523 | ) | 1,408 |
Management has analyzed the Funds’ tax position taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2010, 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.
9. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio
securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.
10. CONCENTRATIONS/RISKS
In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, Management believes that, based on experience, the risk of loss from such claims is considered remote.
The market values of the Core Fixed Income, U.S. Fixed Income and High Yield Bond Funds’ 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.
11. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no disclosures and/or adjustments were required to the Financial Statements.
168 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional Managed Trust:
We have audited the accompanying statements of assets and liabilities of the SEI Institutional Managed Trust, comprising the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund, and Multi-Strategy Alternative Fund (twenty of the funds constituting the SEI Institutional Managed Trust, collectively, the “Funds”) as of September 30, 2010, including the schedules of investments or summary schedules of investments, as applicable, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2010, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust as of September 30, 2010, the results of their operations for the year or period then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
November 29, 2010
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 169 |
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TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of September 30, 2010.
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 portfolios 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 calling 1-800-342-5734.
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 64 yrs. old | Chairman of the Board of Trustees* | since 1982 | Currently performs various services on behalf of SEI Investments for which Mr. Nesher is compensated. | 81 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments — Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments — Unit Trust Management (UK), Limited, SEI Global Nominee, Limited, and SEI Structured Credit Fund, L.P. | |||||
William M. Doran 1701 Market Street Philadelphia, PA 19103 70 yrs. old | Trustee* | since 1982 | 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. Secretary of SEI since 1978. | 81 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia) Limited, SEI Global Nominee, Limited, SEI — Unit Trust Management (UK) Limited, and SEI Asset Korea Co., Limited. | |||||
TRUSTEES | ||||||||||
James M. Storey One Freedom Valley Drive, Oaks, PA 19456 79 yrs. old | Trustee | since 1995 | Attorney, sole practitioner since 1994. Partner, Dechert Price & Rhoads, September 1987-December 1993. | 81 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, and U.S. Charitable Gift 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, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, L.P. |
170 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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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 | |||||
TRUSTEES (continued) | ||||||||||
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 67 yrs. old | Trustee | since 1996 | Self-Employed Consultant, Newfound Consultants Inc. since April 1997. | 81 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P. Member of the independent review committee for SEI’s Canadian registered mutual funds. | |||||
Rosemarie B. Greco One Freedom Valley Drive Oaks, PA 19456 64 yrs. old | Trustee | since 1999 | Director, Governor’s Office of Health Care Reform, Commonwealth of Pennsylvania since 2003. | 81 | Director, Sonoco, Inc.; Director, Exelon Corporation; Trustee, Pennsylvania Real Estate Investment Trust. | |||||
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 53 yrs. old | Trustee | since 2003 | Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008. | 81 | Director of SEI Structured Credit Fund, L.P. | |||||
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 63 yrs. old | Trustee | since 2004 | Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. | 81 | Trustee/Director of Ariel Mutual Funds, and SEI Structured Credit Fund, L.P. | |||||
Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 68 yrs. old | Trustee | since 2007 | Private Investor since 1994. | 81 | Trustee of the Advisors’ Inner Circle Fund, The Advisor’s Inner Circle Fund II, and Bishop Street Funds. | |||||
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 67 yrs. old | Trustee | since 2008 | Retired since December 2005. Chief Executive Officer, INVESCO North America, August 2003-December 2005. Director of Colonial BancGroup, Inc., 2003-2009. Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation), 2007-2009. | 81 | Director of St. Joseph’s Translation Research Institute; Board of Councilors of the Carter Center. | |||||
OFFICERS | ||||||||||
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 64 yrs. old | President & CEO | since 2005 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | N/A | N/A | |||||
Stephen F. Panner One Freedom Valley Drive, Oaks, PA 19456 40 yrs. old | Controller and Chief Financial Officer | since 2005 | Fund Accounting Director of the Administrator since 2005. Fund Administration Manager, Old Mutual Fund Services, 2000-2005. | N/A | N/A |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 171 |
Table of Contents
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
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 | |||||
OFFICERS (continued) | ||||||||||
Russell Emery One Freedom Valley Drive Oaks, PA 19456 47 yrs. old | Chief Compliance Officer | since 2006 | Chief Compliance Officer of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional International Trust,SEI Institutional Investments Trust, SEI Institutional Management Trust, SEI Liquid Asset 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 Structured Credit Fund, LP and SEI Alpha Strategy Portfolio, LP since June 2007. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. | N/A | N/A | |||||
Timothy D. Barto Oaks, PA 19456 | Vice President and Secretary | since 2002 | General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. | N/A | N/A | |||||
James Ndiaye One Freedom Valley Drive Oaks, PA 19456 42 yrs. old | Vice President and Assistant Secretary | since 2005 | Vice President and Assistant Secretary of SIMC since 2005. | N/A | N/A | |||||
Aaron Buser One Freedom Valley Drive Oaks, PA 19456 39 yrs. old | Vice President and Assistant Secretary | since 2008 | Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark 2004-2007. | N/A | N/A | |||||
David F. McCann One Freedom Valley Drive Oaks, PA 19456 34 yrs. old | Vice President and Assistant Secretary | since 2009 | Vice President and Assistant Secretary of SIMC since 2008. Attorney Drinker Biddle & Reath, LLP May 2005-October 2008. | N/A | N/A | |||||
John J. McCue One Freedom Valley Drive Oaks, PA 19456 47 yrs. old | Vice President | since 2004 | Director of Portfolio Implementations for SIMC since 1995. Managing Director of Money Market Investments for SIMC since 2003. | N/A | N/A | |||||
Andrew S. Decker One Freedom Valley Drive Oaks, PA 19456 46 yrs. old | Anti-Money Laundering Compliance Officer | since 2008 | Compliance Officer and Product Manager, SEI 2005-2008. Vice President, Old Mutual Capital, 2000-2005. | N/A | N/A | |||||
Keri E. Rohn One Freedom Valley Drive Oaks, PA 19456 29 yrs. old | Privacy Officer | since 2009 | Compliance Officer of SEI Investments Company, since 2003. | 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, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, L.P. |
172 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a mutual 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 mutual fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual 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.
The table on the next 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 your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting 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 your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) 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 mutual funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.
Beginning Account Value 04/01/10 | Ending Account Value 09/30/10 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 980.90 | 0.89 | % | $ | 4.42 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Large Cap Value Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 976.40 | 0.89 | % | $ | 4.41 | ||||||||
Class I Shares | 1,000.00 | 975.60 | 1.11 | 5.50 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 1,019.50 | 1.11 | 5.62 | ||||||||||||
Large Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,000.40 | 0.89 | % | $ | 4.46 | ||||||||
Class I Shares | 1,000.00 | 999.60 | 1.11 | 5.56 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 1,019.50 | 1.11 | 5.62 |
Beginning Account Value 04/01/10 | Ending Account Value 09/30/10 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 981.50 | 0.89 | % | $ | 4.42 | ||||||||
Class Y Shares | 1,000.00 | 982.90 | 0.56 | 2.78 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class Y Shares | �� | 1,000.00 | 1,022.26 | 0.56 | 2.84 | |||||||||||
S &P 500 Index Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 985.80 | 0.43 | % | $ | 2.14 | ||||||||
Class E Shares | 1,000.00 | 986.30 | 0.25 | 1.24 | ||||||||||||
Class I Shares | 1,000.00 | 984.40 | 0.65 | 3.23 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.91 | 0.43 | % | $ | 2.18 | ||||||||
Class E Shares | 1,000.00 | 1,023.82 | 0.25 | 1.27 | ||||||||||||
Class I Shares | 1,000.00 | 1,021.81 | 0.65 | 3.29 | ||||||||||||
Small Cap Fund | ||||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 994.60 | 1.14 | % | $ | 5.70 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 |
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 173 |
Table of Contents
Disclosure of Fund Expenses (Unaudited) (Concluded)
Beginning Account Value 04/01/10 | Ending Account Value 09/30/10 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Value Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,003.30 | 1.14 | % | $ | 5.73 | ||||||||
Class I Shares | 1,000.00 | 1,002.60 | 1.36 | 6.83 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||||||
Small Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,005.50 | 1.11 | % | $ | 5.58 | ||||||||
Class I Shares | 1,000.00 | 1,004.20 | 1.36 | 6.83 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||||||
Tax-Managed Small Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 995.20 | 1.11 | % | $ | 5.55 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Mid-Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,004.80 | 1.02 | % | $ | 5.13 | ||||||||
Class I Shares | 1,000.00 | 1,004.00 | 1.26 | 6.33 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.95 | 1.02 | % | $ | 5.16 | ||||||||
Class I Shares | 1,000.00 | 1,018.75 | 1.26 | 6.38 | ||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.10 | 1.00 | % | $ | 5.07 | ||||||||
Class I Shares | 1,000.00 | 1,019.40 | 1.25 | 6.33 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.06 | ||||||||
Class I Shares | 1,000.00 | 1,018.80 | 1.25 | 6.33 | ||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 996.40 | 1.11 | % | $ | 5.56 | ||||||||
Class I Shares | 1,000.00 | 996.30 | 1.36 | 6.81 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,031.40 | 1.00 | % | $ | 5.09 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.06 | ||||||||
Real Estate Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,077.30 | 1.14 | % | $ | 5.94 | ||||||||
Class I Shares | 1,000.00 | 1,076.60 | 1.36 | 7.08 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||||||
Enhanced Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,008.70 | 0.60 | % | $ | 3.02 | ||||||||
Class I Shares | 1,000.00 | 1,005.00 | 0.85 | 4.27 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.06 | 0.60 | % | $ | 3.04 | ||||||||
Class I Shares | 1,000.00 | 1,020.81 | 0.85 | 4.31 | ||||||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,075.60 | 0.67 | % | $ | 3.49 | ||||||||
Class I Shares | 1,000.00 | 1,073.50 | 0.89 | 4.63 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.71 | 0.67 | % | $ | 3.40 | ||||||||
Class I Shares | 1,000.00 | 1,020.61 | 0.89 | 4.51 |
Beginning Account Value 04/01/10 | Ending Account Value 09/30/10 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,062.50 | 0.66 | % | $ | 3.41 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.76 | 0.66 | % | $ | 3.35 | ||||||||
High Yield Bond Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,066.00 | 0.89 | % | $ | 4.61 | ||||||||
Class I Shares | 1,000.00 | 1,064.60 | 1.11 | 5.74 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 1,019.50 | 1.11 | 5.62 | ||||||||||||
Real Return Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.90 | 0.45 | % | $ | 2.28 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.81 | 0.45 | % | $ | 2.28 | ||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 993.00 | 0.50 | % | $ | 2.50 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.56 | 0.50 | % | $ | 2.54 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). |
174 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”), provides direct investment management services for the Multi-Strategy Alternative Fund and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of certain Funds, except for the Multi-Strategy Alternative Fund, which is directly managed by SIMC. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-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, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by 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 the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-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 (“SEC”) 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 Trust’s Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-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 the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is 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 Fund counsel and independent counsel to the Independent Trustees 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 session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (b) SIMC’s and the Sub-Advisers’ investment management personnel; (c) SIMC’s and the Sub-Advisers’ operations and financial condition; (d) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds’ overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (h) SIMC’s and the Sub-Advisers’ compliance systems; (i) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (j) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds’ performance compared with similar mutual funds.
At the June 22-23, 2010 and September 14-15, 2010 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. Additionally, during a meeting of the Board of Trustees held on March 24-25,
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 175 |
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Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
2010, the Board, including the Independent Trustees, considered a proposal to approve a Sub-Advisory Agreement with LSV Asset Management, an affiliate of SIMC and the Funds, to serve as sub-adviser to certain Funds (the “Proposal”). SIMC determined that the affected Funds would benefit from the sub-advisory services of LSV and that LSV’s unique strategy and strong collaborative research efforts would aide the affected Funds in seeking to achieve their investment goals. At the March 24-25, 2010 meeting, the Board, including all of the Independent Trustees, unanimously approved this Proposal, subject to approval of the affected Funds’ shareholders. The Board concluded, in the exercise of its reasonable judgment, that the Proposal was fair and reasonable in relation to the services expected to be provided to each of the affected Funds and that approval of the Proposal would be in the best interests of the shareholders of each of the affected Funds. The affected Funds’ shareholders approved the Proposal at a meeting of the shareholders held on August 26, 2010. The Board’s approval of both the Proposal and the Investment Advisory Agreements was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:
• | the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; |
• | the Funds’ investment performance and how it compared to that of other comparable mutual funds; |
• | the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; |
• | the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and |
• | the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. |
Nature, Extent and Quality of Services. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and the Sub-Advisers’ personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.
Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.
Fund Expenses. 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 ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent
176 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. 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.
Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale and whether those 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. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation 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 their deliberations, the Trustees did not identify any particular information that was all-important or controlling.
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 177 |
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Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2010, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2010, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended September 30, 2010, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
Fund | (A) Long-Term Capital Gain Distribution | (B) Ordinary | Return of Capital | Total Distributions (Tax Basis) | (C) Dividends Qualifying for Corporate Dividends Rec. Deduction (1) | |||||||||||||||
Large Cap Fund | 17 | % | 83 | % | 0 | % | 100 | % | 41 | % | ||||||||||
Large Cap Value Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | ||||||||||
Large Cap Growth Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | ||||||||||
Tax-Managed Large Cap Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | ||||||||||
S&P 500 Index Fund | 0 | % | 100 | % | 0 | % | 100 | % | 82 | % | ||||||||||
Small Cap Fund | 2 | % | 98 | % | 0 | % | 100 | % | 13 | % | ||||||||||
Small Cap Value Fund | 0 | % | 100 | % | 0 | % | 100 | % | 87 | % | ||||||||||
Small Cap Growth Fund | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | ||||||||||
Tax-Managed Small Cap Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | ||||||||||
Mid-Cap Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | ||||||||||
U.S. Managed Volatility Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | ||||||||||
Global Managed Volatility Fund | 0 | % | 92 | % | 8 | % | 100 | % | 99 | % | ||||||||||
Tax-Managed Managed Volatility | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | ||||||||||
Real Estate Fund(6) | 0 | % | 70 | % | 30 | % | 100 | % | 0 | % | ||||||||||
Enhanced Income Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | ||||||||||
Core Fixed Income Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | ||||||||||
U.S. Fixed Income Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | ||||||||||
High Yield Bond Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | ||||||||||
Real Return Fund | 1 | % | 99 | % | 0 | % | 100 | % | 0 | % | ||||||||||
Multi-Strategy Alternative Fund | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
Fund | (D) Qualifying Dividend Income (15% Tax Rate for QDI) (2) | (E) U.S. Government Interest (3) | Interest Related Dividends (4) | Short-Term Capital Gain Dividends (5) | ||||||||||||
Large Cap Fund | 40 | % | 1 | % | 1 | % | 100 | % | ||||||||
Large Cap Value Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||||||
Large Cap Growth Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||||||
Tax-Managed Large Cap Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||||||
S&P 500 Index Fund | 91 | % | 1 | % | 1 | % | 0 | % | ||||||||
Small Cap Fund | 12 | % | 1 | % | 1 | % | 100 | % | ||||||||
Small Cap Value Fund | 88 | % | 1 | % | 1 | % | 0 | % | ||||||||
Small Cap Growth Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Tax-Managed Small Cap Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||||||
Mid-Cap Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||||||
U.S. Managed Volatility Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||||||
Global Managed Volatility Fund | 100 | % | 0 | % | 1 | % | 0 | % | ||||||||
Tax-Managed Managed Volatility | 100 | % | 1 | % | 1 | % | 0 | % | ||||||||
Real Estate Fund(6) | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Enhanced Income Fund | 0 | % | 9 | % | 99 | % | 0 | % | ||||||||
Core Fixed Income Fund | 0 | % | 10 | % | 97 | % | 0 | % | ||||||||
U.S. Fixed Income Fund | 0 | % | 9 | % | 60 | % | 100 | % | ||||||||
High Yield Bond Fund | 0 | % | 0 | % | 94 | % | 0 | % | ||||||||
Real Return Fund | 0 | % | 2 | % | 2 | % | 100 | % | ||||||||
Multi-Strategy Alternative Fund | 0 | % | 0 | % | 0 | % | 0 | % |
(1) | Qualifying dividends 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) | The percentage in this column represents the amount of “Qualifying Dividend Income” and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). |
(3) | “U.S. Government Interest” represents 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 total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
(4) | The percentage in this column represents the amount of “Interest Related Dividends” and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. This provision of the IRC will be expiring for years beginning after January 1, 2010. |
(5) | The percentage in this column represents the amount of “Short-Term Capital Gain Dividends” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. This provision of the IRC will be expiring for years beginning after January 1, 2010. |
(6) | Information reflects Fund activity based on Fund’s December 31, 2009 tax reporting year. |
Items (A) and (B) are based on the percentages of each Fund’s total distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund.
Item (E) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
178 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
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Shareholder Voting Results (Unaudited)
At a special meeting held on August 26, 2010, the shareholders of the SIMT U.S. Managed Volatility Fund (the “Fund”), voted on the proposal listed below. The results of the voting were as follows:
Proposal 1: With respect to the Fund, to appoint LSV Asset Management as a sub-advisor to the Fund and approve a Sub-Advisory Agreement between the Advisor and LSV Asset Management with respect to the Fund.
U.S. Managed Volatility Fund | ||||||||||||
Number of Shares | % of Outstanding Shares | % of Shares Present | ||||||||||
Affirmative | 18,761,844.93 | 54.09 | % | 96.34 | % | |||||||
Against | 270,909.01 | 0.78 | % | 1.39 | % | |||||||
Abstain | 441,383.61 | 1.27 | % | 2.27 | % | |||||||
Total | 19,474,137.55 | 56.14 | % | 100.00 | % | |||||||
At a special meeting held on August 26, 2010, the shareholders of the SIMT Tax-Managed Managed Volatility Fund (the “Fund”), voted on the proposal listed below. The results of the voting were as follows:
Proposal 1: With respect to the Fund, to appoint LSV Asset Management as a sub-advisor to the Fund and approve a Sub-Advisory Agreement between the Advisor and LSV Asset Management with respect to the Fund.
Tax-Managed Managed Volatility Fund | ||||||||||||
Number of Shares | % of Outstanding Shares | % of Shares Present | ||||||||||
Affirmative | 11,823,053.16 | 51.37 | % | 95.80 | % | |||||||
Against | 159,961.55 | 0.70 | % | 1.30 | % | |||||||
Abstain | 358,224.93 | 1.56 | % | 2.90 | % | |||||||
Total | 12,341,239.64 | 53.63 | % | 100.00 | % | |||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2010 | 179 |
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SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2010
Robert A. Nesher, Chairman
Trustees
William M. Doran
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Officers
Robert A. Nesher
President and Chief Executive Officer
Stephen F. Panner
Controller and Chief Financial Officer
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
James Ndiaye
Vice President, Assistant Secretary
Aaron Buser
Vice President, Assistant Secretary
David F. McCann
Vice President, Assistant Secretary
John J. McCue
Vice President
Andrew S. Decker
Anti-Money Laundering Compliance Officer
Keri E. Rohn
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)
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SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-087 (9/10)
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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, comptroller or principal accounting officer.
Item 3. | Audit Committee Financial Expert. |
(a) (1) The Registrant’s board of trustees has determined that the Registrant has one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Mrrs. Sullivan and Harris are independent trustees as defined in Form N-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 fiscal year 2010 and for fiscal year 2009 as follows:
Fiscal Year 2010 | Fiscal Year 2009 | |||||||||||||||||||||
All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees affiliates that | All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees affiliates that | |||||||||||||||||
(a) | Audit Fees (1) | $ | 513,500 | $ | 0 | N/A | $ | 486,000 | $ | 0 | N/A | |||||||||||
(b) | Audit-Related Fees | $ | 0 | $ | 0 | N/A | $ | 0 | $ | 0 | N/A | |||||||||||
(c) | Tax Fees | $ | 0 | $ | 139,500 | (3) | N/A | $ | 89,100 | (2) | $ | 0 | N/A | |||||||||
(d) | All Other Fees (3) | $ | 0 | $ | 229,500 | N/A | $ | 0 | $ | 244,500 | N/A |
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) | Review of Federal income tax returns of the Registrant. |
(3) | See section (g)(1). |
(e)(1) All requests or applications for services to be provided by the independent auditor shall be submitted to the Chief Financial Officer (“CFO”) of the Registrant and must include a detailed description of the services proposed to be rendered. The Registrant’s CFO will determine whether such services (1) require specific pre-approval, (2) are included within the list of services that have received the general pre- approval of the audit committee or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise.
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Requests or applications to provide services that require specific pre-approval by the audit committee will be submitted to the audit committee by the CFO. The audit committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The audit committee has delegated specific pre-approval authority to either the audit committee chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the audit committee at its next regularly scheduled meeting.
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 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 to non-audit services pursuant to waiver of pre-approval requirement were as follows:
FYE 2010 | FYE 2009 | |||||||
Audit-Related Fees | 0 | % | 0 | % | ||||
Tax Fees | 0 | % | 0 | % | ||||
All Other Fees | 0 | % | 0 | % |
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal year 2010 and fiscal year 2009 were $369,000 and $333,600, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax compliance and consulting services.
(h) During the past fiscal year, Registrant’s principal accountant provided certain non-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 to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant’s board of trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.
Items 5. | Audit Committee of Listed Registrants. |
Not applicable.
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Item 6. | Schedule of Investments |
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund and Tax-Managed Managed Volatility Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund and Multi-Strategy Alternative Fund is included as part of the report to shareholders filed under Item 1 of this form.
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Schedule of Investments
Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.4% | ||||||||
Consumer Discretionary — 11.8% | ||||||||
99 Cents Only Stores * | 10,800 | $ | 204 | |||||
Amazon.com * | 106,740 | 16,764 | ||||||
Apollo Group, Cl A * | 54,500 | 2,799 | ||||||
Asbury Automotive Group * | 2,000 | 28 | ||||||
Autoliv | 18,700 | 1,222 | ||||||
Autozone * | 3,600 | 824 | ||||||
Best Buy (A) | 128,330 | 5,240 | ||||||
Big Lots * | 19,300 | 642 | ||||||
BorgWarner * (A) | 45,503 | 2,394 | ||||||
Burger King Holdings | 1,220 | 29 | ||||||
Carnival | 32,200 | 1,230 | ||||||
CBS, Cl B (A) | 48,300 | 766 | ||||||
CEC Entertainment * | 3,000 | 103 | ||||||
Chico’s FAS (A) | 41,500 | 437 | ||||||
Coach | 111,154 | 4,775 | ||||||
Comcast, Cl A | 367,186 | 6,639 | ||||||
Darden Restaurants | 13,000 | 556 | ||||||
Deckers Outdoor * | 4,300 | 215 | ||||||
DeVry | 4,500 | 221 | ||||||
DIRECTV, Cl A * | 138,987 | 5,786 | ||||||
DISH Network, Cl A | 19,800 | 379 | ||||||
Dollar Tree * | 19,650 | 958 | ||||||
Eastman Kodak * (A) | 414,100 | 1,739 | ||||||
Federal Mogul, Cl A * | 3,500 | 66 | ||||||
Finish Line, Cl A | 9,200 | 128 | ||||||
Ford Motor * (A) | 479,077 | 5,864 | ||||||
Fossil * | 9,000 | 484 | ||||||
Gannett (A) | 47,000 | 575 | ||||||
Gap | 107,200 | 1,998 | ||||||
Garmin (A) | 25,700 | 780 | ||||||
Gentex | 13,300 | 259 | ||||||
Genuine Parts | 1,500 | 67 | ||||||
H&R Block (A) | 33,859 | 439 | ||||||
Helen of Troy * | 13,100 | 331 | ||||||
Home Depot (A) | 22,200 | 703 | ||||||
International Speedway, Cl A | 2,900 | 71 | ||||||
iRobot * | 3,000 | 56 | ||||||
J.C. Penney | 20,500 | 557 | ||||||
Johnson Controls | 56,000 | 1,708 | ||||||
Kirkland’s * | 3,700 | 51 | ||||||
Kohl’s * | 1,800 | 95 | ||||||
Leggett & Platt | 15,900 | 362 | ||||||
Liberty Global, Cl A * (A) | 18,800 | 579 | ||||||
Liberty Media - Interactive, Cl A * | 14,600 | 200 | ||||||
Liberty Media - Starz, Ser A * | 10,100 | 655 | ||||||
Lincoln Educational Services * | 7,300 | 105 | ||||||
LKQ * (A) | 22,000 | 457 | ||||||
Lowe’s | 128,300 | 2,860 | ||||||
Macy’s | 107,900 | 2,491 | ||||||
Mattel | 18,900 | 444 | ||||||
McDonald’s | 78,618 | 5,858 | ||||||
National Presto Industries | 900 | 96 | ||||||
NetFlix * (A) | 40,612 | 6,586 | ||||||
News, Cl A | 158,700 | 2,073 | ||||||
Nike, Cl B (A) | 87,900 | 7,044 | ||||||
Nordstrom (A) | 56,200 | 2,090 | ||||||
Oxford Industries | 8,400 | 200 | ||||||
PetSmart | 69,737 | 2,441 |
Description | Shares | Market Value ($ Thousands) | ||||||
Polaris Industries (A) | 15,300 | $ | 996 | |||||
priceline.com * | 26,135 | 9,104 | ||||||
RadioShack | 28,900 | 616 | ||||||
Ross Stores (A) | 21,000 | 1,147 | ||||||
Sears Holdings * (A) | 4,100 | 296 | ||||||
Skechers U.S.A., Cl A * | 5,000 | 118 | ||||||
Staples | 167,900 | 3,513 | ||||||
Starbucks | 158,358 | 4,051 | ||||||
Target | 89,404 | 4,778 | ||||||
Tempur-Pedic International * (A) | 24,400 | 756 | ||||||
Thor Industries (A) | 15,100 | 504 | ||||||
Timberland, Cl A * | 4,400 | 87 | ||||||
Time Warner | 474,704 | 14,550 | ||||||
Time Warner Cable, Cl A | 73,258 | 3,955 | ||||||
TJX | 20,900 | 933 | ||||||
TRW Automotive Holdings * (A) | 35,900 | 1,492 | ||||||
VF (A) | 43,312 | 3,509 | ||||||
Viacom, Cl B | 136,786 | 4,950 | ||||||
WABCO Holdings * | 6,500 | 273 | ||||||
Walt Disney | 71,600 | 2,371 | ||||||
Warnaco Group * | 3,500 | 179 | ||||||
Whirlpool | 19,700 | 1,595 | ||||||
Wolverine World Wide | 2,800 | 81 | ||||||
Yum! Brands | 38,200 | 1,760 | ||||||
164,337 | ||||||||
Consumer Staples — 8.7% | ||||||||
Altria Group | 73,700 | 1,770 | ||||||
Archer-Daniels-Midland | 76,900 | 2,455 | ||||||
Brown-Forman, Cl B | 19,000 | 1,171 | ||||||
Bunge (A) | 10,400 | 615 | ||||||
Campbell Soup (A) | 21,800 | 779 | ||||||
Clorox (A) | 6,533 | 436 | ||||||
Coca-Cola | 179,395 | 10,498 | ||||||
Colgate-Palmolive | 71,282 | 5,479 | ||||||
ConAgra Foods | 49,600 | 1,088 | ||||||
Corn Products International | 8,900 | 334 | ||||||
CVS Caremark | 128,000 | 4,028 | ||||||
Dean Foods * (A) | 22,100 | 226 | ||||||
Del Monte Foods | 40,800 | 535 | ||||||
Diageo ADR (A) | 60,700 | 4,189 | ||||||
Dr Pepper Snapple Group | 3,400 | 121 | ||||||
Herbalife | 25,800 | 1,557 | ||||||
Hershey (A) | 37,498 | 1,784 | ||||||
Kellogg | 114,400 | 5,778 | ||||||
Kimberly-Clark | 48,899 | 3,181 | ||||||
Kraft Foods, Cl A | 22,900 | 707 | ||||||
Kroger | 120,800 | 2,617 | ||||||
Lorillard | 10,300 | 827 | ||||||
Mead Johnson Nutrition, Cl A | 60,506 | 3,443 | ||||||
Molson Coors Brewing, Cl B | 15,800 | 746 | ||||||
NBTY * | 874 | 48 | ||||||
Nu Skin Enterprises, Cl A | 2,800 | 81 | ||||||
PepsiCo | 139,190 | 9,248 | ||||||
Philip Morris International | 134,229 | 7,520 | ||||||
Prestige Brands Holdings * | 11,500 | 114 | ||||||
Procter & Gamble | 387,679 | 23,249 | ||||||
Ralcorp Holdings * | 3,000 | 175 | ||||||
Reynolds American | 37,166 | 2,207 | ||||||
Safeway (A) | 109,900 | 2,325 | ||||||
Sara Lee | 109,959 | 1,477 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Smart Balance * | 9,000 | $ | 35 | |||||
Smithfield Foods * (A) | 12,200 | 205 | ||||||
SUPERVALU (A) | 67,954 | 784 | ||||||
SYSCO (A) | 29,500 | 841 | ||||||
Tyson Foods, Cl A | 293,796 | 4,707 | ||||||
Walgreen | 211,605 | 7,089 | ||||||
Wal-Mart Stores | 125,372 | 6,710 | ||||||
121,179 | ||||||||
Energy — 8.6% | ||||||||
Apache | 65,610 | 6,414 | ||||||
Atwood Oceanics * | 18,400 | 560 | ||||||
BP ADR | 5,000 | 206 | ||||||
Cameron International * | 60,677 | 2,607 | ||||||
Canadian Natural Resources | 86,860 | 3,005 | ||||||
Chesapeake Energy | 86,000 | 1,948 | ||||||
Chevron | 283,069 | 22,943 | ||||||
Complete Production Services * | 3,500 | 72 | ||||||
ConocoPhillips | 278,447 | 15,991 | ||||||
Continental Resources * (A) | 2,600 | 121 | ||||||
Denbury Resources * | 64,719 | 1,028 | ||||||
Devon Energy | 67,939 | 4,398 | ||||||
Diamond Offshore Drilling (A) | 10,200 | 691 | ||||||
Dresser-Rand Group * | 9,900 | 365 | ||||||
EOG Resources (A) | 51,000 | 4,741 | ||||||
Exxon Mobil | 176,724 | 10,920 | ||||||
Frontier Oil | 15,700 | 210 | ||||||
Frontline | 7,094 | 202 | ||||||
Halliburton | 139,300 | 4,607 | ||||||
Helmerich & Payne | 7,500 | 303 | ||||||
Hess | 40,100 | 2,371 | ||||||
Holly | 8,100 | 233 | ||||||
Marathon Oil | 185,877 | 6,153 | ||||||
Mariner Energy * | 1,446 | 35 | ||||||
Murphy Oil | 38,000 | 2,353 | ||||||
Nabors Industries * | 19,800 | 358 | ||||||
National Oilwell Varco | 64,700 | 2,877 | ||||||
Nexen | 43,100 | 866 | ||||||
Noble | 16,100 | 544 | ||||||
Occidental Petroleum | 30,800 | 2,412 | ||||||
Oil States International * | 21,000 | 978 | ||||||
Patterson-UTI Energy | 47,300 | 808 | ||||||
Range Resources | 43,879 | 1,673 | ||||||
Rowan * (A) | 20,600 | 625 | ||||||
RPC | 10,500 | 222 | ||||||
Schlumberger | 42,089 | 2,593 | ||||||
Southwestern Energy * | 50,363 | 1,684 | ||||||
Sunoco (A) | 24,400 | 891 | ||||||
Transocean * | 117,200 | 7,535 | ||||||
Unit * | 17,600 | 656 | ||||||
Valero Energy | 135,895 | 2,379 | ||||||
Williams | 48,800 | 933 | ||||||
120,511 | ||||||||
Financials — 15.0% | ||||||||
Aflac | 69,600 | 3,599 | ||||||
Agree Realty † | 3,400 | 86 | ||||||
Allied World Assurance Holdings | 3,184 | 180 | ||||||
Allstate | 80,600 | 2,543 | ||||||
American Express | 228,800 | 9,617 |
Description | Shares | Market Value ($ Thousands) | ||||||
American Financial Group | 32,500 | $ | 994 | |||||
American International Group * (A) | 13,600 | 532 | ||||||
Ameriprise Financial | 50,700 | 2,400 | ||||||
Annaly Capital Management † (A) | 38,300 | 674 | ||||||
Apartment Investment & Management, Cl A † | 49,500 | 1,058 | ||||||
Ares Capital | 4,634 | 72 | ||||||
Ashford Hospitality Trust * † | 4,500 | 41 | ||||||
Assurant | 41,700 | 1,697 | ||||||
Axis Capital Holdings | 29,700 | 978 | ||||||
Bancorp Rhode Island | 900 | 25 | ||||||
Bank of America | 1,175,212 | 15,407 | ||||||
Bank of Hawaii | 18,100 | 813 | ||||||
Bank of New York Mellon | 120,500 | 3,149 | ||||||
Berkshire Hathaway, Cl B * | 106,700 | 8,822 | ||||||
Brandywine Realty Trust † | 48,800 | 598 | ||||||
Brookfield Asset Management, Cl A | 25,100 | 712 | ||||||
Capital One Financial | 107,000 | 4,232 | ||||||
Chimera Investment † | 1,060,985 | 4,191 | ||||||
Chubb | 66,400 | 3,784 | ||||||
Citigroup * | 2,726,500 | 10,633 | ||||||
CME Group | 14,900 | 3,881 | ||||||
CNA Financial * | 25,700 | 719 | ||||||
CNA Surety * | 1,600 | 29 | ||||||
Comerica (A) | 17,200 | 639 | ||||||
CommonWealth REIT † | 31,550 | 808 | ||||||
Community Trust Bancorp | 1,400 | 38 | ||||||
Compass Diversified Holdings | 7,000 | 113 | ||||||
Credicorp | 9,300 | 1,059 | ||||||
E*Trade Financial * | 8,500 | 123 | ||||||
East West Bancorp | 91,505 | 1,490 | ||||||
Endurance Specialty Holdings (A) | 33,500 | 1,333 | ||||||
Everest Re Group | 30,900 | 2,672 | ||||||
Fifth Third Bancorp | 69,400 | 835 | ||||||
First Citizens BancShares, Cl A | 2,031 | 376 | ||||||
First Commonwealth Financial | 23,300 | 127 | ||||||
First Community Bancshares | 2,500 | 32 | ||||||
Franklin Resources | 12,700 | 1,358 | ||||||
Fulton Financial | 96,175 | 871 | ||||||
General Growth Properties † | 3,776 | 59 | ||||||
General Motors Financial * | 987 | 24 | ||||||
Goldman Sachs Group | 100,265 | 14,496 | ||||||
Hartford Financial Services Group | 47,900 | 1,099 | ||||||
Hersha Hospitality Trust † | 19,500 | 101 | ||||||
Hospitality Properties Trust † | 59,900 | 1,338 | ||||||
Hudson City Bancorp | 92,000 | 1,128 | ||||||
Huntington Bancshares | 130,200 | 738 | ||||||
IntercontinentalExchange * | 36,900 | 3,864 | ||||||
Invesco Mortgage Capital † | 27,900 | 600 | ||||||
Jones Lang LaSalle | 9,700 | 837 | ||||||
JPMorgan Chase | 565,585 | 21,532 | ||||||
M&T Bank | 801 | 66 | ||||||
Maiden Holdings | 16,400 | 125 | ||||||
MetLife | 79,800 | 3,068 | ||||||
MFA Financial † | 79,000 | 603 | ||||||
Montpelier Re Holdings | 13,300 | 230 | ||||||
Moody’s (A) | 31,600 | 790 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Morgan Stanley | 116,004 | $ | 2,863 | |||||
Nelnet, Cl A | 6,000 | 137 | ||||||
New York Community | 195,858 | 3,183 | ||||||
NewStar Financial * | 4,400 | 33 | ||||||
NYSE Euronext | 120,100 | 3,431 | ||||||
Oppenheimer Holdings, Cl A | 1,600 | 45 | ||||||
Parkway Properties † | 8,700 | 129 | ||||||
Phoenix * | 15,700 | 33 | ||||||
PNC Financial Services Group | 155,809 | 8,088 | ||||||
Presidential Life | 7,200 | 71 | ||||||
Prudential Financial | 83,215 | 4,509 | ||||||
Public Storage † | 13,800 | 1,339 | ||||||
Ramco-Gershenson Properties † | 5,000 | 53 | ||||||
Rayonier † | 11,040 | 553 | ||||||
Regions Financial | 18,484 | 134 | ||||||
Reinsurance Group of America, Cl A | 14,500 | 700 | ||||||
RenaissanceRe Holdings (A) | 28,115 | 1,686 | ||||||
Resource Capital † | 78,000 | 495 | ||||||
SCBT Financial | 3,000 | 94 | ||||||
Senior Housing Properties Trust † | 28,600 | 672 | ||||||
SLM * (A) | 18,100 | 209 | ||||||
State Street | 68,300 | 2,572 | ||||||
Sunstone Hotel Investors * † | 34,800 | 316 | ||||||
Symetra Financial | 4,300 | 45 | ||||||
T. Rowe Price Group (A) | 16,300 | 816 | ||||||
Taubman Centers † | 18,900 | 843 | ||||||
Torchmark | 29,900 | 1,589 | ||||||
Travelers | 81,960 | 4,270 | ||||||
Unitrin | 7,800 | 190 | ||||||
Unum Group | 85,400 | 1,892 | ||||||
US Bancorp | 199,400 | 4,311 | ||||||
Vornado Realty Trust † | 13,600 | 1,163 | ||||||
Washington Federal | 17,800 | 271 | ||||||
Weingarten Realty Investors † (A) | 25,800 | 563 | ||||||
Wells Fargo | 664,100 | 16,689 | ||||||
WesBanco | 5,000 | 82 | ||||||
XL Group, Cl A (A) | 38,900 | 843 | ||||||
208,950 | ||||||||
Health Care — 13.2% | ||||||||
Abbott Laboratories | 140,706 | 7,351 | ||||||
Aetna | 186,900 | 5,908 | ||||||
Allergan | 135,417 | 9,009 | ||||||
Allscripts Healthcare Solutions * | 7,500 | 138 | ||||||
AmerisourceBergen | 97,728 | 2,996 | ||||||
Amgen * | 276,647 | 15,246 | ||||||
Becton Dickinson | 18,700 | 1,386 | ||||||
Biogen Idec * | 58,045 | 3,257 | ||||||
Bristol-Myers Squibb | 153,900 | 4,172 | ||||||
Bruker BioSciences * | 22,900 | 322 | ||||||
C.R. Bard | 1,800 | 147 | ||||||
Cardinal Health (A) | 185,436 | 6,127 | ||||||
CareFusion * | 3,300 | 82 | ||||||
Celgene * | 70,661 | 4,071 | ||||||
Covidien | 113,761 | 4,572 | ||||||
Cyberonics * | 3,500 | 93 | ||||||
Eli Lilly | 113,604 | 4,150 | ||||||
Express Scripts * | 45,211 | 2,202 |
Description | Shares | Market Value ($ Thousands) | ||||||
Forest Laboratories * | 60,600 | $ | 1,874 | |||||
Genzyme * | 44,800 | 3,171 | ||||||
Gilead Sciences * | 93,124 | 3,316 | ||||||
Health Net * | 26,700 | 726 | ||||||
Hill-Rom Holdings | 6,900 | 248 | ||||||
Humana * | 26,900 | 1,351 | ||||||
Idexx Laboratories * (A) | 1,800 | 111 | ||||||
Impax Laboratories * | 15,900 | 314 | ||||||
Intuitive Surgical * (A) | 5,600 | 1,589 | ||||||
Invacare (A) | 8,500 | 225 | ||||||
Johnson & Johnson | 287,939 | 17,841 | ||||||
King Pharmaceuticals * | 46,400 | 462 | ||||||
Laboratory Corp of America Holdings * | 33,058 | 2,593 | ||||||
Life Technologies * | 14,500 | 677 | ||||||
McKesson | 76,444 | 4,723 | ||||||
Medco Health Solutions * | 133,300 | 6,940 | ||||||
Medicines * | 10,500 | 149 | ||||||
Medtronic | 249,100 | 8,365 | ||||||
Merck | 252,182 | 9,283 | ||||||
Mylan Laboratories * (A) | 39,000 | 734 | ||||||
Novo Nordisk ADR (A) | 41,600 | 4,095 | ||||||
Orthofix International * | 900 | 28 | ||||||
Par Pharmaceutical * | 3,200 | 93 | ||||||
Perrigo (A) | 22,400 | 1,439 | ||||||
Pfizer | 884,763 | 15,191 | ||||||
Questcor Pharmaceuticals * (A) | 7,600 | 76 | ||||||
Sirona Dental Systems * | 10,100 | 364 | ||||||
St. Jude Medical * | 98,524 | 3,876 | ||||||
Stryker (A) | 3,900 | 195 | ||||||
SXC Health Solutions * | 10,800 | 394 | ||||||
Talecris Biotherapeutics Holdings * | 682 | 16 | ||||||
Teva Pharmaceutical Industries ADR | 35,929 | 1,895 | ||||||
Thermo Fisher Scientific * | 47,600 | 2,279 | ||||||
UnitedHealth Group | 389,983 | 13,692 | ||||||
Waters * | 7,900 | 559 | ||||||
WellPoint * | 60,874 | 3,448 | ||||||
Zimmer Holdings * | 22,900 | 1,198 | ||||||
184,759 | ||||||||
Industrials — 9.1% | ||||||||
3M (A) | 136,672 | 11,851 | ||||||
Amerco * | 400 | 32 | ||||||
Ametek | 7,000 | 334 | ||||||
Armstrong World Industries * | 3,300 | 137 | ||||||
Boeing | 88,812 | 5,910 | ||||||
Caterpillar | 42,421 | 3,338 | ||||||
Continental Airlines, Cl B * (A) | 34,989 | 869 | ||||||
Cooper Industries, Cl A | 13,600 | 666 | ||||||
Copart * | 2,100 | 69 | ||||||
Crane | 17,700 | 672 | ||||||
CSX | 34,200 | 1,892 | ||||||
Cummins | 42,767 | 3,874 | ||||||
Danaher | 56,902 | 2,311 | ||||||
Deere | 16,700 | 1,165 | ||||||
Dover | 23,500 | 1,227 | ||||||
Dun & Bradstreet (A) | 14,400 | 1,068 | ||||||
Eaton | 20,200 | 1,666 | ||||||
EMCOR Group * | 23,800 | 585 | ||||||
Emerson Electric | 70,511 | 3,713 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2010
Description | Shares | Market Value | ||||||
Ennis | 7,300 | $ | 130 | |||||
Expeditors International of Washington (A) | 84,100 | 3,888 | ||||||
FedEx (A) | 19,200 | 1,642 | ||||||
Franklin Electric | 900 | 30 | ||||||
Gardner Denver | 19,600 | 1,052 | ||||||
General Dynamics | 34,900 | 2,192 | ||||||
General Electric | 1,080,501 | 17,558 | ||||||
Goodrich | 36,900 | 2,721 | ||||||
Honeywell International | 11,700 | 514 | ||||||
Hubbell, Cl B | 1,800 | 91 | ||||||
IDEX | 14,100 | 501 | ||||||
Illinois Tool Works | 22,500 | 1,058 | ||||||
ITT (A) | 35,600 | 1,667 | ||||||
JB Hunt Transport Services | 2,200 | 76 | ||||||
Joy Global | 20,287 | 1,427 | ||||||
KBR | 56,400 | 1,390 | ||||||
Kennametal | 9,100 | 281 | ||||||
L-3 Communications Holdings | 28,200 | 2,038 | ||||||
Lockheed Martin | 54,706 | 3,899 | ||||||
NACCO Industries, Cl A | 1,900 | 166 | ||||||
Norfolk Southern | 35,800 | 2,130 | ||||||
Northrop Grumman | 67,406 | 4,087 | ||||||
Oshkosh Truck * | 26,000 | 715 | ||||||
Owens Corning * | 84,467 | 2,165 | ||||||
Parker Hannifin | 22,200 | 1,555 | ||||||
Polypore International * | 6,000 | 181 | ||||||
Precision Castparts | 23,764 | 3,026 | ||||||
Quanta Services * (A) | 91,800 | 1,751 | ||||||
Raytheon | 62,700 | 2,866 | ||||||
Regal-Beloit | 4,800 | 282 | ||||||
Republic Services | 86,015 | 2,623 | ||||||
Rockwell Automation (A) | 16,400 | 1,012 | ||||||
Rockwell Collins | 65,461 | 3,813 | ||||||
RR Donnelley & Sons | 57,000 | 967 | ||||||
SPX | 900 | 57 | ||||||
Thomas & Betts * | 15,800 | 648 | ||||||
Timken | 22,700 | 871 | ||||||
Toro | 5,200 | 292 | ||||||
Tyco International (A) | 36,800 | 1,352 | ||||||
UAL * (A) | 79,490 | 1,878 | ||||||
Union Pacific | 23,300 | 1,906 | ||||||
United Parcel Service, Cl B | 16,090 | 1,073 | ||||||
United Technologies | 103,057 | 7,341 | ||||||
Waste Management (A) | 22,656 | 810 | ||||||
WESCO International * | 677 | 26 | ||||||
WW Grainger | 2,131 | 254 | ||||||
127,381 | ||||||||
Information Technology — 20.6% | ||||||||
Acme Packet * | 2,600 | 99 | ||||||
Activision Blizzard | 213,000 | 2,305 | ||||||
Adobe Systems * | 165,006 | 4,315 | ||||||
Advanced Micro Devices * (A) | 344,323 | 2,448 | ||||||
Agilent Technologies * | 17,700 | 591 | ||||||
Amdocs * | 23,500 | 673 | ||||||
AOL * | 17,600 | 436 | ||||||
Aon Hewitt, Cl A * | 1,441 | 73 | ||||||
Apple * | 131,135 | 37,210 | ||||||
Applied Materials | 41,300 | 482 | ||||||
Arris Group * | 4,700 | 46 | ||||||
Autodesk * | 95,800 | 3,063 |
Description | Shares | Market Value | ||||||
Avnet * | 42,200 | $ | 1,140 | |||||
AVX | 11,400 | 157 | ||||||
Brightpoint * | 16,200 | 113 | ||||||
Broadcom, Cl A (A) | 30,200 | 1,069 | ||||||
CA | 14,900 | 315 | ||||||
Check Point Software Technologies * | 61,504 | 2,271 | ||||||
Cisco Systems * | 815,772 | 17,865 | ||||||
Citrix Systems * | 103,903 | 7,090 | ||||||
Cognizant Technology Solutions, Cl A * | 56,224 | 3,625 | ||||||
Computer Sciences | 29,000 | 1,334 | ||||||
Corning | 297,133 | 5,432 | ||||||
Dolby Laboratories, Cl A * | 8,000 | 454 | ||||||
DST Systems | 22,100 | 991 | ||||||
eBay * | 127,200 | 3,104 | ||||||
EchoStar, Cl A * | 2,000 | 38 | ||||||
Electronics for Imaging * | 2,600 | 32 | ||||||
EMC * (A) | 587,613 | 11,934 | ||||||
F5 Networks * | 27,551 | 2,860 | ||||||
Flextronics International * | 94,200 | 569 | ||||||
Google, Cl A * | 12,500 | 6,572 | ||||||
Harris | 41,100 | 1,820 | ||||||
Hewlett-Packard | 156,076 | 6,566 | ||||||
IAC * | 39,900 | 1,048 | ||||||
Ingram Micro, Cl A * | 75,400 | 1,271 | ||||||
Intel | 428,964 | 8,249 | ||||||
International Business Machines | 114,133 | 15,310 | ||||||
Intuit * | 158,200 | 6,931 | ||||||
Isilon Systems * | 2,800 | 62 | ||||||
Itron * | 5,500 | 337 | ||||||
Jabil Circuit | 224,211 | 3,231 | ||||||
Juniper Networks * | 35,600 | 1,081 | ||||||
Lam Research * | 14,700 | 615 | ||||||
Lender Processing Services | 3,600 | 120 | ||||||
Linear Technology | 1,600 | 49 | ||||||
Marvell Technology Group * | 71,900 | 1,259 | ||||||
Mastercard, Cl A | 21,600 | 4,838 | ||||||
McAfee * | 2,076 | 98 | ||||||
Micron Technology * (A) | 427,993 | 3,086 | ||||||
Microsoft | 1,071,454 | 26,240 | ||||||
MKS Instruments * | 2,000 | 36 | ||||||
Multi-Fineline Electronix * | 2,400 | 53 | ||||||
National Semiconductor | 15,900 | 203 | ||||||
NetApp * (A) | 70,845 | 3,527 | ||||||
Novellus Systems * | 8,000 | 213 | ||||||
Nuance Communications * (A) | 160,400 | 2,509 | ||||||
Oracle | 294,940 | 7,919 | ||||||
Paychex | 102,004 | 2,804 | ||||||
Plantronics | 4,800 | 162 | ||||||
PMC - Sierra * | 46,400 | 341 | ||||||
Polycom * (A) | 55,400 | 1,511 | ||||||
Power-One * (A) | 16,300 | 148 | ||||||
Qualcomm | 329,600 | 14,872 | ||||||
Quest Software * | 25,100 | 617 | ||||||
Rackspace Hosting * (A) | 109,500 | 2,845 | ||||||
Red Hat * (A) | 64,700 | 2,653 | ||||||
Research In Motion * | 19,500 | 949 | ||||||
SAIC * (A) | 35,700 | 571 | ||||||
Salesforce.com * (A) | 25,569 | 2,858 | ||||||
SanDisk * (A) | 23,000 | 843 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Seagate Technology * | 34,100 | $ | 402 | |||||
Symantec * | 60,400 | 916 | ||||||
Tech Data * | 13,900 | 560 | ||||||
Teradata * | 94,800 | 3,656 | ||||||
Texas Instruments (A) | 505,000 | 13,706 | ||||||
Tyco Electronics | 33,800 | 988 | ||||||
VeriSign * (A) | 133,100 | 4,224 | ||||||
Visa, Cl A | 158,207 | 11,748 | ||||||
Vishay Intertechnology * (A) | 28,200 | 273 | ||||||
VMware, Cl A * | 528 | 45 | ||||||
Western Digital * | 45,800 | 1,300 | ||||||
Western Union | 41,900 | 740 | ||||||
Xerox | 176,500 | 1,827 | ||||||
Zebra Technologies, Cl A * | 5,200 | 175 | ||||||
287,111 | ||||||||
Materials — 3.0% | ||||||||
Air Products & Chemicals (A) | 2,600 | 215 | ||||||
Airgas (A) | 1,152 | 78 | ||||||
Alcoa (A) | 108,800 | 1,317 | ||||||
Allegheny Technologies (A) | 70,038 | 3,253 | ||||||
Aptargroup | 23,600 | 1,078 | ||||||
Ashland | 33,000 | 1,609 | ||||||
Ball | 14,400 | 847 | ||||||
Cabot | 7,100 | 231 | ||||||
Celanese, Ser A | 32,300 | 1,037 | ||||||
Commercial Metals | 17,500 | 254 | ||||||
Cytec Industries | 21,500 | 1,212 | ||||||
Dow Chemical | 42,518 | 1,168 | ||||||
E.I. Du Pont de Nemours | 40,200 | 1,794 | ||||||
Eastman Chemical | 13,500 | 999 | ||||||
Ecolab | 5,300 | 269 | ||||||
H.B. Fuller | 2,900 | 58 | ||||||
Huntsman | 130,224 | 1,505 | ||||||
International Paper | 49,666 | 1,080 | ||||||
Lubrizol | 33,184 | 3,517 | ||||||
Monsanto (A) | 78,500 | 3,762 | ||||||
Nalco Holding (A) | 126,100 | 3,179 | ||||||
Newmont Mining | 57,718 | 3,625 | ||||||
Nucor (A) | 10,600 | 405 | ||||||
Pactiv * | 16,368 | 540 | ||||||
PolyOne * | 8,500 | 103 | ||||||
Reliance Steel & Aluminum | 20,700 | 860 | ||||||
Rock-Tenn, Cl A | 19,400 | 966 | ||||||
Schnitzer Steel Industries, Cl A | 12,900 | 623 | ||||||
Sealed Air | 7,142 | 160 | ||||||
Sherwin-Williams (A) | 9,800 | 737 | ||||||
Sonoco Products | 28,700 | 960 | ||||||
Southern Copper | 19,500 | 685 | ||||||
Spartech * | 6,900 | 57 | ||||||
Steel Dynamics | 5,900 | 83 | ||||||
Syngenta ADR | 66,300 | 3,301 | ||||||
Temple-Inland | 1,800 | 34 | ||||||
Zep | 3,000 | 52 | ||||||
41,653 | ||||||||
Telecommunication Services — 3.4% | ||||||||
American Tower, Cl A * | 105,019 | 5,383 | ||||||
AT&T | 711,170 | 20,340 | ||||||
BCE | 22,700 | 738 | ||||||
Crown Castle International * | 131,000 | 5,784 | ||||||
Frontier Communications | 24,748 | 202 | ||||||
NII Holdings * | 55,648 | 2,287 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Qwest Communications International (A) | 23,100 | $ | 145 | |||||
Sprint Nextel * | 333,500 | 1,544 | ||||||
Telephone & Data Systems | 21,200 | 695 | ||||||
USA Mobility | 2,600 | 42 | ||||||
Verizon Communications | 306,671 | 9,994 | ||||||
47,154 | ||||||||
Utilities — 3.0% | ||||||||
AES * | 578,700 | 6,568 | ||||||
AGL Resources | 9,100 | 349 | ||||||
Allegheny Energy | 2,400 | 59 | ||||||
Alliant Energy | 12,600 | 458 | ||||||
Ameren | 24,100 | 684 | ||||||
American Electric Power | 70,100 | 2,540 | ||||||
American Water Works | 21,400 | 498 | ||||||
Atmos Energy | 21,600 | 632 | ||||||
Constellation Energy Group | 21,378 | 689 | ||||||
DPL | 47,100 | 1,231 | ||||||
DTE Energy | 18,300 | 841 | ||||||
Edison International | 109,700 | 3,772 | ||||||
Energen | 25,400 | 1,161 | ||||||
Entergy | 26,300 | 2,013 | ||||||
Exelon | 206,972 | 8,812 | ||||||
FirstEnergy (A) | 26,000 | 1,002 | ||||||
Mirant * (A) | 42,847 | 427 | ||||||
NextEra Energy | 12,600 | 685 | ||||||
NiSource | 47,100 | 820 | ||||||
NorthWestern | 12,300 | 351 | ||||||
NRG Energy * | 30,400 | 633 | ||||||
NV Energy (A) | 68,200 | 897 | ||||||
OGE Energy | 20,600 | 821 | ||||||
Portland General Electric | 12,400 | 251 | ||||||
Public Service Enterprise Group | 101,000 | 3,341 | ||||||
Southern Union | 27,700 | 667 | ||||||
TECO Energy | 39,600 | 686 | ||||||
Xcel Energy (A) | 39,500 | 907 | ||||||
41,795 | ||||||||
Total Common Stock | 1,344,830 | |||||||
AFFILIATED PARTNERSHIP — 7.0% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (B) | 97,897,411 | 97,897 | ||||||
Total Affiliated Partnership | 97,897 | |||||||
CASH EQUIVALENT — 3.1% | ||||||||
SEI Daily Income Trust, Prime | 42,847,864 | 42,848 | ||||||
Total Cash Equivalent | 42,848 | |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.3% | ||||||||
U.S. Treasury Bills | ||||||||
0.326%, 02/10/11 | $ | 400 | 400 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.200%, 12/16/10 | $ | 4,281 | $ | 4,280 | ||||
Total U.S. Treasury Obligations | 4,680 | |||||||
Total Investments — 106.8% | $ | 1,490,255 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 47 | Dec-2010 | $ | 49 | ||||||||
S&P Composite Index | 104 | Dec-2010 | 651 | |||||||||
S&P Mid 400 Index E-MINI | 60 | Dec-2010 | 190 | |||||||||
$ | 890 | |||||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,395,899 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $94,814 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $97,897 ($Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
Ser — Series
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2010
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,344,830 | $ | — | $ | — | $ | 1,344,830 | ||||||||
Affiliated Partnership | — | 97,897 | — | 97,897 | ||||||||||||
Cash Equivalent | 42,848 | — | — | 42,848 | ||||||||||||
U.S. Treasury Obligations | — | 4,680 | — | 4,680 | ||||||||||||
Total Investments in Securities | $ | 1,387,678 | $ | 102,577 | $ | — | $ | 1,490,255 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 890 | $ | — | $ | — | $ | 890 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.1% ‡ | ||||||||
Consumer Discretionary — 7.4% | ||||||||
Aaron Rents (A) | 9,700 | $ | 179 | |||||
Abercrombie & Fitch, Cl A (A) | 2,200 | 87 | ||||||
Aeropostale * | 54,300 | 1,262 | ||||||
American Eagle Outfitters | 10,000 | 150 | ||||||
Autoliv (A) | 62,900 | 4,109 | ||||||
Autozone * (A) | 9,000 | 2,060 | ||||||
Brinker International (A) | 83,800 | 1,580 | ||||||
Cablevision Systems, Cl A | 35,000 | 917 | ||||||
Carnival | 3,900 | 149 | ||||||
CBS, Cl B (A) | 7,500 | 119 | ||||||
Coach (A) | 63,000 | 2,707 | ||||||
Comcast, Cl A | 1,001,400 | 17,752 | ||||||
DIRECTV, Cl A * | 76,400 | 3,180 | ||||||
Discovery Communications, Cl A * (A) | 2,600 | 113 | ||||||
DISH Network, Cl A | 46,300 | 887 | ||||||
DR Horton | 8,500 | 94 | ||||||
Foot Locker | 48,300 | 702 | ||||||
Ford Motor * (A) | 179,800 | 2,201 | ||||||
Fortune Brands | 1,900 | 94 | ||||||
GameStop, Cl A * (A) | 9,700 | 191 | ||||||
Gannett (A) | 150,300 | 1,838 | ||||||
Gap | 276,800 | 5,160 | ||||||
Garmin (A) | 20,400 | 619 | ||||||
Genuine Parts | 8,900 | 397 | ||||||
H&R Block | 11,600 | 150 | ||||||
Harman International Industries * | 3,100 | 104 | ||||||
Hyatt Hotels, Cl A * | 2,500 | 94 | ||||||
Jarden | 8,600 | 268 | ||||||
Johnson Controls | 14,800 | 451 | ||||||
Lamar Advertising, Cl A * (A) | 2,600 | 83 | ||||||
Lear * | 2,000 | 158 | ||||||
Leggett & Platt | 8,500 | 193 | ||||||
Lennar, Cl A | 9,700 | 149 | ||||||
Liberty Global, Cl A * (A) | 50,600 | 1,559 | ||||||
Liberty Media - Capital, Ser A * | 17,200 | 895 | ||||||
Liberty Media - Interactive, Cl A * | 23,100 | 317 | ||||||
Liberty Media - Starz, Ser A * | 9,900 | 642 | ||||||
Lowe’s | 24,100 | 537 | ||||||
Macy’s | 91,700 | 2,117 | ||||||
Madison Square Garden, Cl A * | 12,550 | 265 | ||||||
Mattel | 111,800 | 2,623 | ||||||
McGraw-Hill | 900 | 30 | ||||||
MGM Mirage * (A) | 6,600 | 74 | ||||||
Mohawk Industries * (A) | 500 | 27 | ||||||
New York Times, Cl A * (A) | 22,200 | 172 | ||||||
Newell Rubbermaid (A) | 231,800 | 4,128 | ||||||
News, Cl A (A) | 437,400 | 5,712 | ||||||
PetSmart | 41,200 | 1,442 | ||||||
RadioShack | 76,200 | 1,625 | ||||||
Regal Entertainment Group, Cl A (A) | 13,500 | 177 | ||||||
Ross Stores (A) | 25,000 | 1,365 | ||||||
Royal Caribbean Cruises * (A) | 4,400 | 139 | ||||||
Sears Holdings * (A) | 4,500 | 325 | ||||||
Service International | 110,400 | 952 | ||||||
Snap-On | 1,900 | 88 | ||||||
Stanley Black & Decker | 13,540 | 830 | ||||||
Thomson Reuters | 20,100 | 754 |
Description | Shares | Market Value ($ Thousands) | ||||||
Time Warner | 308,933 | $ | 9,469 | |||||
Time Warner Cable, Cl A | 81,824 | 4,418 | ||||||
TJX (A) | 53,400 | 2,383 | ||||||
TRW Automotive Holdings * | 3,000 | 125 | ||||||
VF | 1,100 | 89 | ||||||
Viacom, Cl B | 171,400 | 6,203 | ||||||
Virgin Media (A) | 24,200 | 557 | ||||||
Walt Disney | 274,000 | 9,072 | ||||||
Washington Post, Cl B (A) | 300 | 120 | ||||||
Whirlpool (A) | 54,400 | 4,404 | ||||||
Wyndham Worldwide | 2,300 | 63 | ||||||
111,895 | ||||||||
Consumer Staples — 9.8% | ||||||||
Altria Group | 249,200 | 5,986 | ||||||
Archer-Daniels-Midland | 165,200 | 5,273 | ||||||
BJ’s Wholesale Club * | 38,900 | 1,614 | ||||||
Brown-Forman, Cl B (A) | 48,500 | 2,989 | ||||||
Campbell Soup (A) | 82,000 | 2,932 | ||||||
Clorox | 3,300 | 220 | ||||||
Coca-Cola | 104,300 | 6,104 | ||||||
Coca-Cola Enterprises | 2,400 | 74 | ||||||
Colgate-Palmolive | 33,100 | 2,544 | ||||||
ConAgra Foods | 132,600 | 2,909 | ||||||
Constellation Brands, Cl A * | 33,800 | 598 | ||||||
Corn Products International | 63,200 | 2,370 | ||||||
CVS Caremark | 429,100 | 13,504 | ||||||
Dean Foods * | 17,700 | 181 | ||||||
Del Monte Foods | 219,700 | 2,880 | ||||||
Dr Pepper Snapple Group (A) | 35,100 | 1,247 | ||||||
Energizer Holdings * (A) | 31,700 | 2,131 | ||||||
Flowers Foods (A) | 13,400 | 333 | ||||||
General Mills | 38,300 | 1,399 | ||||||
Hansen Natural * | 3,900 | 182 | ||||||
Herbalife | 53,700 | 3,241 | ||||||
Hershey | 15,900 | 757 | ||||||
HJ Heinz (A) | 13,700 | 649 | ||||||
Hormel Foods | 14,400 | 642 | ||||||
JM Smucker | 18,600 | 1,126 | ||||||
Kellogg | 2,900 | 146 | ||||||
Kimberly-Clark | 28,700 | 1,867 | ||||||
Kraft Foods, Cl A | 111,659 | 3,446 | ||||||
Kroger | 225,800 | 4,891 | ||||||
McCormick (A) | 11,500 | 483 | ||||||
Mead Johnson Nutrition, Cl A | 29,600 | 1,684 | ||||||
NBTY * | 2,000 | 110 | ||||||
PepsiCo | 109,800 | 7,295 | ||||||
Philip Morris International | 64,900 | 3,636 | ||||||
Procter & Gamble | 517,500 | 31,035 | ||||||
Ralcorp Holdings * | 59,800 | 3,497 | ||||||
Reynolds American | 47,100 | 2,797 | ||||||
Safeway (A) | 245,800 | 5,201 | ||||||
Sara Lee | 98,500 | 1,323 | ||||||
Smithfield Foods * (A) | 54,300 | 914 | ||||||
SUPERVALU (A) | 111,437 | 1,285 | ||||||
Tyson Foods, Cl A | 77,400 | 1,240 | ||||||
Wal-Mart Stores | 283,700 | 15,184 | ||||||
147,919 | ||||||||
Energy — 11.8% | ||||||||
Anadarko Petroleum | 48,800 | 2,784 | ||||||
Apache (A) | 113,700 | 11,115 | ||||||
Baker Hughes (A) | 34,479 | 1,469 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Cabot Oil & Gas (A) | 2,300 | $ | 69 | |||||
Cameron International * | 1,800 | 77 | ||||||
Chesapeake Energy | 800 | 18 | ||||||
Chevron | 600,800 | 48,695 | ||||||
Cimarex Energy (A) | 28,500 | 1,886 | ||||||
ConocoPhillips | 426,086 | 24,470 | ||||||
Consol Energy | 2,100 | 78 | ||||||
Denbury Resources * | 26,800 | 426 | ||||||
Devon Energy | 99,800 | 6,461 | ||||||
Diamond Offshore Drilling (A) | 20,700 | 1,403 | ||||||
Exterran Holdings * (A) | 19,300 | 438 | ||||||
Exxon Mobil | 245,294 | 15,157 | ||||||
Forest Oil * | 12,300 | 365 | ||||||
Frontier Oil | 7,100 | 95 | ||||||
Frontline | 6,500 | 185 | ||||||
Halliburton | 56,700 | 1,875 | ||||||
Hess | 77,100 | 4,558 | ||||||
Marathon Oil | 277,700 | 9,192 | ||||||
Mariner Energy * (A) | 3,700 | 90 | ||||||
Massey Energy | 1,800 | 56 | ||||||
Murphy Oil | 86,400 | 5,350 | ||||||
National Oilwell Varco | 122,700 | 5,456 | ||||||
Noble | 47,900 | 1,619 | ||||||
Noble Energy | 1,000 | 75 | ||||||
Occidental Petroleum | 193,600 | 15,159 | ||||||
Oceaneering International * | 2,300 | 124 | ||||||
Oil States International * | 38,800 | 1,806 | ||||||
Patterson-UTI Energy | 193,000 | 3,296 | ||||||
Peabody Energy (A) | 11,200 | 549 | ||||||
Pioneer Natural Resources (A) | 13,600 | 884 | ||||||
QEP Resources | 13,500 | 407 | ||||||
Rowan * (A) | 61,200 | 1,858 | ||||||
Schlumberger | 11,765 | 725 | ||||||
SM Energy (A) | 8,200 | 307 | ||||||
Spectra Energy | 19,300 | 435 | ||||||
Sunoco (A) | 20,600 | 752 | ||||||
Tesoro (A) | 96,900 | 1,295 | ||||||
Tidewater (A) | 25,900 | 1,161 | ||||||
Valero Energy | 218,600 | 3,828 | ||||||
Whiting Petroleum * | 4,100 | 392 | ||||||
Williams | 135,300 | 2,585 | ||||||
179,025 | ||||||||
Financials — 25.5% | ||||||||
ACE | 74,400 | 4,334 | ||||||
Aflac | 32,700 | 1,691 | ||||||
Alexandria Real Estate Equities † (A) | 16,400 | 1,148 | ||||||
Alleghany * | 2,000 | 606 | ||||||
Allied World Assurance Holdings | 1,700 | 96 | ||||||
Allstate | 216,200 | 6,821 | ||||||
AMB Property † (A) | 5,400 | 143 | ||||||
American Express | 38,200 | 1,606 | ||||||
American Financial Group | 93,500 | 2,859 | ||||||
Ameriprise Financial (A) | 128,900 | 6,101 | ||||||
Annaly Capital Management † (A) | 93,600 | 1,647 | ||||||
AON (A) | 47,200 | 1,846 | ||||||
Apartment Investment & Management, Cl A † (A) | 100,700 | 2,153 | ||||||
Arch Capital Group * | 9,800 | 821 | ||||||
Ares Capital | 15,800 | 247 | ||||||
Arthur J. Gallagher | 300 | 8 |
Description | Shares | Market Value ($ Thousands) | ||||||
Associated Banc-Corp (A) | 30,400 | $ | 401 | |||||
Assurant | 104,200 | 4,241 | �� | |||||
AvalonBay Communities † (A) | 3,688 | 383 | ||||||
Axis Capital Holdings | 53,000 | 1,746 | ||||||
Bank of America | 2,482,269 | 32,543 | ||||||
Bank of Hawaii (A) | 8,500 | 382 | ||||||
Bank of New York Mellon | 306,422 | 8,007 | ||||||
BB&T (A) | 66,900 | 1,611 | ||||||
Berkshire Hathaway, Cl B * | 272,600 | 22,539 | ||||||
BlackRock | 700 | 119 | ||||||
BOK Financial | 1,800 | 81 | ||||||
Boston Properties † (A) | 5,800 | 482 | ||||||
Brandywine Realty Trust † | 16,400 | 201 | ||||||
BRE Properties, Cl A † | 10,200 | 423 | ||||||
Brookfield Asset Management, Cl A | 74,900 | 2,125 | ||||||
Brown & Brown | 4,000 | 81 | ||||||
Camden Property Trust † | 6,000 | 288 | ||||||
Capital One Financial (A) | 69,100 | 2,733 | ||||||
CapitalSource | 50,000 | 267 | ||||||
Chimera Investment † | 26,000 | 103 | ||||||
Chubb | 148,400 | 8,457 | ||||||
Cincinnati Financial (A) | 45,400 | 1,310 | ||||||
CIT Group * | 12,500 | 510 | ||||||
Citigroup * | 3,809,800 | 14,858 | ||||||
City National (A) | 14,200 | 754 | ||||||
CME Group | 11,700 | 3,047 | ||||||
Comerica (A) | 45,900 | 1,705 | ||||||
Commerce Bancshares | 24,700 | 929 | ||||||
CommonWealth REIT † | 3,375 | 86 | ||||||
Credicorp | 16,900 | 1,925 | ||||||
Cullen/Frost Bankers | 11,900 | 641 | ||||||
Developers Diversified Realty † | 12,400 | 139 | ||||||
Digital Realty Trust † | 1,200 | 74 | ||||||
Discover Financial Services | 37,800 | 630 | ||||||
Douglas Emmett † (A) | 39,200 | 686 | ||||||
East West Bancorp | 4,600 | 75 | ||||||
Endurance Specialty Holdings | 90,700 | 3,610 | ||||||
Equity Residential † (A) | 17,700 | 842 | ||||||
Erie Indemnity, Cl A | 3,300 | 185 | ||||||
Essex Property Trust † (A) | 3,400 | 372 | ||||||
Everest Re Group | 81,800 | 7,073 | ||||||
Federal Realty Investment Trust † | 1,200 | 98 | ||||||
Fidelity National Financial, Cl A | 8,100 | 127 | ||||||
Fifth Third Bancorp | 198,600 | 2,389 | ||||||
First Horizon National * (A) | 12,971 | 148 | ||||||
First Niagara Financial Group (A) | 6,400 | 74 | ||||||
Forest City Enterprises, Cl A * (A) | 8,700 | 112 | ||||||
Franklin Resources | 42,800 | 4,575 | ||||||
Fulton Financial | 100,800 | 913 | ||||||
General Growth Properties † | 11,700 | 183 | ||||||
General Motors Financial * | 7,300 | 179 | ||||||
Genworth Financial, Cl A * | 60,100 | 734 | ||||||
Goldman Sachs Group | 121,000 | 17,494 | ||||||
Hanover Insurance Group | 3,700 | 174 | ||||||
Hartford Financial Services Group | 78,400 | 1,799 | ||||||
HCC Insurance Holdings | 2,800 | 73 | ||||||
HCP † | 2,900 | 104 | ||||||
Health Care † (A) | 900 | 43 | ||||||
Hospitality Properties Trust † | 95,300 | 2,128 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Host Hotels & Resorts † (A) | 40,545 | $ | 587 | |||||
Hudson City Bancorp | 212,200 | 2,602 | ||||||
Huntington Bancshares (A) | 503,000 | 2,852 | ||||||
Invesco | 1,800 | 38 | ||||||
Jones Lang LaSalle (A) | 28,000 | 2,415 | ||||||
JPMorgan Chase | 1,087,400 | 41,397 | ||||||
Keycorp (A) | 531,800 | 4,233 | ||||||
Kimco Realty † | 18,400 | 290 | ||||||
Liberty Property Trust † (A) | 2,300 | 73 | ||||||
Lincoln National | 199,967 | 4,783 | ||||||
Loews | 64,900 | 2,460 | ||||||
M&T Bank (A) | 17,800 | 1,456 | ||||||
Macerich † (A) | 3,657 | 157 | ||||||
Markel * | 1,500 | 517 | ||||||
Marsh & McLennan | 9,500 | 229 | ||||||
Marshall & Ilsley (A) | 169,600 | 1,194 | ||||||
MBIA * (A) | 56,500 | 568 | ||||||
MetLife (A) | 162,200 | 6,237 | ||||||
Morgan Stanley | 269,900 | 6,661 | ||||||
NASDAQ OMX Group * | 15,000 | 292 | ||||||
Nationwide Health Properties † | 2,800 | 108 | ||||||
New York Community Bancorp (A) | 118,700 | 1,929 | ||||||
Northern Trust | 9,100 | 439 | ||||||
NYSE Euronext | 90,900 | 2,597 | ||||||
Old Republic International (A) | 21,400 | 296 | ||||||
PartnerRe | 3,800 | 305 | ||||||
People’s United Financial | 19,400 | 254 | ||||||
Plum Creek Timber † (A) | 13,300 | 470 | ||||||
PNC Financial Services Group | 210,455 | 10,925 | ||||||
Principal Financial Group | 10,800 | 280 | ||||||
Progressive | 14,800 | 309 | ||||||
Protective Life | 11,300 | 246 | ||||||
Prudential Financial | 136,700 | 7,406 | ||||||
Public Storage † | 26,700 | 2,591 | ||||||
Raymond James Financial (A) | 46,300 | 1,173 | ||||||
Realty Income † (A) | 10,900 | 368 | ||||||
Regions Financial (A) | 424,684 | 3,088 | ||||||
Reinsurance Group of America, Cl A | 4,200 | 203 | ||||||
RenaissanceRe Holdings (A) | 74,300 | 4,455 | ||||||
Senior Housing Properties Trust † (A) | 70,400 | 1,655 | ||||||
Simon Property Group † (A) | 8,911 | 827 | ||||||
SL Green Realty † (A) | 4,900 | 310 | ||||||
SLM * | 73,100 | 844 | ||||||
StanCorp Financial Group | 22,000 | 836 | ||||||
State Street | 50,900 | 1,917 | ||||||
SunTrust Banks (A) | 39,000 | 1,007 | ||||||
T. Rowe Price Group (A) | 44,900 | 2,248 | ||||||
Taubman Centers † (A) | 72,600 | 3,239 | ||||||
TCF Financial (A) | 23,300 | 377 | ||||||
Torchmark | 14,800 | 787 | ||||||
Transatlantic Holdings | 4,500 | 229 | ||||||
Travelers (A) | 224,900 | 11,717 | ||||||
UDR † | 55,300 | 1,168 | ||||||
Unitrin | 27,000 | 659 | ||||||
Unum Group | 135,000 | 2,990 | ||||||
US Bancorp | 316,300 | 6,838 | ||||||
Validus Holdings | 15,700 | 414 | ||||||
Valley National Bancorp (A) | 58,200 | 751 | ||||||
Ventas † (A) | 9,100 | 469 |
Description | Shares | Market Value ($ Thousands) | ||||||
Vornado Realty Trust † | 27,900 | $ | 2,386 | |||||
Washington Federal | 61,700 | 941 | ||||||
Wells Fargo | 1,255,395 | 31,548 | ||||||
Weyerhaeuser (A) | 7,297 | 115 | ||||||
White Mountains Insurance Group | 3,200 | 987 | ||||||
Willis Group Holdings | 49,300 | 1,519 | ||||||
WR Berkley | 31,800 | 861 | ||||||
XL Group, Cl A (A) | 7,400 | 160 | ||||||
Zions Bancorporation (A) | 68,900 | 1,472 | ||||||
385,892 | ||||||||
Health Care — 14.8% | ||||||||
Abbott Laboratories | 46,500 | 2,429 | ||||||
Aetna | 129,100 | 4,081 | ||||||
Alere * (A) | 1,300 | 40 | ||||||
AmerisourceBergen | 100,200 | 3,072 | ||||||
Amgen * | 319,400 | 17,602 | ||||||
Baxter International | 69,900 | 3,335 | ||||||
Biogen Idec * (A) | 58,600 | 3,288 | ||||||
Bio-Rad Laboratories, Cl A * | 1,200 | 109 | ||||||
Bristol-Myers Squibb | 218,400 | 5,921 | ||||||
Cardinal Health | 98,600 | 3,258 | ||||||
CareFusion * | 30,000 | 745 | ||||||
Cephalon * | 17,900 | 1,118 | ||||||
Charles River Laboratories International * | 4,200 | 139 | ||||||
Cigna | 76,700 | 2,744 | ||||||
Community Health Systems * | 3,800 | 118 | ||||||
Cooper | 1,100 | 51 | ||||||
Coventry Health Care * | 105,900 | 2,280 | ||||||
Covidien | 63,400 | 2,548 | ||||||
Eli Lilly | 178,700 | 6,528 | ||||||
Endo Pharmaceuticals Holdings * | 89,700 | 2,982 | ||||||
Forest Laboratories * | 165,100 | 5,107 | ||||||
Genzyme * | 5,100 | 361 | ||||||
Gilead Sciences * | 109,400 | 3,896 | ||||||
Health Net * | 107,500 | 2,923 | ||||||
Hill-Rom Holdings | 5,500 | 197 | ||||||
Hologic * | 11,400 | 183 | ||||||
Humana * | 64,700 | 3,250 | ||||||
Johnson & Johnson | 487,600 | 30,212 | ||||||
Kinetic Concepts * (A) | 45,900 | 1,679 | ||||||
King Pharmaceuticals * | 377,000 | 3,755 | ||||||
Life Technologies * | 35,400 | 1,653 | ||||||
LifePoint Hospitals * | 2,400 | 84 | ||||||
McKesson | 18,800 | 1,161 | ||||||
Medco Health Solutions * | 30,300 | 1,577 | ||||||
Mednax * | 500 | 27 | ||||||
Medtronic | 118,900 | 3,993 | ||||||
Merck | 667,057 | 24,554 | ||||||
Mylan Laboratories * (A) | 25,700 | 483 | ||||||
Omnicare | 6,600 | 158 | ||||||
PerkinElmer | 30,600 | 708 | ||||||
Pfizer | 2,639,398 | 45,319 | ||||||
Quest Diagnostics | 1,500 | 76 | ||||||
Thermo Fisher Scientific * | 13,500 | 646 | ||||||
UnitedHealth Group | 398,100 | 13,977 | ||||||
Universal Health Services, Cl B | 10,800 | 420 | ||||||
Watson Pharmaceuticals * | 4,900 | 207 | ||||||
WellPoint * | 220,300 | 12,478 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Zimmer Holdings * | 56,400 | $ | 2,951 | |||||
224,423 | ||||||||
Industrials — 8.4% | ||||||||
AGCO * (A) | 1,600 | 62 | ||||||
Alexander & Baldwin (A) | 2,200 | 77 | ||||||
AMR * | 14,000 | 88 | ||||||
Avery Dennison (A) | 5,100 | 189 | ||||||
BE Aerospace * | 7,800 | 236 | ||||||
Boeing | 64,000 | 4,259 | ||||||
Carlisle | 7,800 | 233 | ||||||
Corrections Corp of America * (A) | 3,200 | 79 | ||||||
CSX | 44,300 | 2,451 | ||||||
Danaher | 4,400 | 179 | ||||||
Deere | 11,200 | 782 | ||||||
Dover | 37,200 | 1,942 | ||||||
Dun & Bradstreet (A) | 31,500 | 2,336 | ||||||
Eaton | 9,700 | 800 | ||||||
EMCOR Group * (A) | 57,300 | 1,409 | ||||||
Equifax | 14,700 | 459 | ||||||
FedEx (A) | 35,100 | 3,001 | ||||||
Flowserve | 15,300 | 1,674 | ||||||
Fluor | 900 | 45 | ||||||
Foster Wheeler * | 106,100 | 2,595 | ||||||
Gardner Denver | 36,300 | 1,949 | ||||||
General Dynamics | 155,100 | 9,742 | ||||||
General Electric | 2,334,600 | 37,937 | ||||||
Goodrich | 10,300 | 759 | ||||||
Honeywell International | 37,000 | 1,626 | ||||||
Hubbell, Cl B | 1,800 | 91 | ||||||
Ingersoll-Rand | 1,900 | 68 | ||||||
Jacobs Engineering Group * | 3,100 | 120 | ||||||
Kansas City Southern * (A) | 20,600 | 771 | ||||||
KBR | 91,700 | 2,259 | ||||||
Kirby * | 1,900 | 76 | ||||||
L-3 Communications Holdings | 67,600 | 4,886 | ||||||
Lockheed Martin | 49,200 | 3,507 | ||||||
Manpower | 3,600 | 188 | ||||||
Masco | 6,800 | 75 | ||||||
Norfolk Southern | 42,100 | 2,505 | ||||||
Northrop Grumman | 145,900 | 8,846 | ||||||
Owens Corning * | 10,200 | 261 | ||||||
Parker Hannifin | 6,200 | 434 | ||||||
Raytheon | 199,100 | 9,101 | ||||||
Republic Services | 10,100 | 308 | ||||||
Rockwell Collins | 10,700 | 623 | ||||||
RR Donnelley & Sons (A) | 259,300 | 4,398 | ||||||
Southwest Airlines (A) | 118,100 | 1,544 | ||||||
Spirit Aerosystems Holdings, Cl A * | 13,500 | 269 | ||||||
Teleflex | 14,000 | 795 | ||||||
Textron (A) | 6,500 | 134 | ||||||
Thomas & Betts * | 12,500 | 513 | ||||||
Towers Watson, Cl A | 2,200 | 108 | ||||||
Tyco International | 20,500 | 753 | ||||||
UAL * (A) | 16,900 | 399 | ||||||
Union Pacific | 59,800 | 4,891 | ||||||
United Technologies | 38,100 | 2,714 | ||||||
Waste Connections * | 8,400 | 333 | ||||||
Waste Management | 10,000 | 357 |
Description | Shares | Market Value ($ Thousands) | ||||||
WESCO International * | 7,400 | $ | 291 | |||||
126,527 | ||||||||
Information Technology — 6.2% | ||||||||
Advanced Micro Devices * (A) | 40,100 | 285 | ||||||
Amdocs * (A) | 68,500 | 1,963 | ||||||
AOL * | 14,839 | 367 | ||||||
Atmel * | 18,500 | 147 | ||||||
Avnet * | 75,500 | 2,039 | ||||||
Computer Sciences | 55,000 | 2,530 | ||||||
CoreLogic | 11,600 | 222 | ||||||
Corning | 325,700 | 5,954 | ||||||
eBay * | 61,400 | 1,498 | ||||||
Fidelity National Information Services | 2,200 | 60 | ||||||
Harris | 67,600 | 2,994 | ||||||
Hewlett-Packard | 132,300 | 5,566 | ||||||
IAC * | 87,500 | 2,299 | ||||||
Ingram Micro, Cl A * | 105,100 | 1,772 | ||||||
Intel | 593,100 | 11,405 | ||||||
International Business Machines | 36,700 | 4,923 | ||||||
Itron * | 1,300 | 80 | ||||||
Jabil Circuit | 4,500 | 65 | ||||||
Kla-Tencor | 400 | 14 | ||||||
Lexmark International, Cl A * | 34,700 | 1,548 | ||||||
Mastercard, Cl A | 9,625 | 2,156 | ||||||
MEMC Electronic Materials * | 8,200 | 98 | ||||||
Micron Technology * (A) | 212,300 | 1,531 | ||||||
Microsoft | 929,200 | 22,756 | ||||||
Molex (A) | 6,300 | 132 | ||||||
Motorola * | 3,400 | 29 | ||||||
Novell * | 48,000 | 287 | ||||||
Novellus Systems * | 2,000 | 53 | ||||||
Oracle | 77,000 | 2,068 | ||||||
Seagate Technology * | 100,100 | 1,179 | ||||||
Symantec * | 143,200 | 2,172 | ||||||
Tech Data * (A) | 38,500 | 1,551 | ||||||
Tellabs | 36,800 | 274 | ||||||
Texas Instruments | 258,500 | 7,016 | ||||||
Vishay Intertechnology * (A) | 181,500 | 1,757 | ||||||
Western Digital * | 41,200 | 1,170 | ||||||
Xerox | 349,709 | 3,619 | ||||||
Yahoo! * | 11,900 | 169 | ||||||
93,748 | ||||||||
Materials — 3.2% | ||||||||
Air Products & Chemicals (A) | 18,600 | 1,540 | ||||||
Alcoa (A) | 105,500 | �� | 1,277 | |||||
Alpha Natural Resources * | 1,000 | 41 | ||||||
Aptargroup | 2,000 | 91 | ||||||
Ashland | 33,600 | 1,639 | ||||||
Ball | 77,900 | 4,584 | ||||||
Cabot | 26,100 | 850 | ||||||
Cytec Industries | 50,600 | 2,853 | ||||||
Domtar | 1,600 | 103 | ||||||
Dow Chemical (A) | 219,900 | 6,038 | ||||||
E.I. Du Pont de Nemours | 21,000 | 937 | ||||||
Eastman Chemical | 76,500 | 5,661 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 21,100 | 1,802 | ||||||
Huntsman | 33,000 | 382 | ||||||
International Paper | 87,100 | 1,895 | ||||||
Lubrizol | 36,000 | 3,815 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
MeadWestvaco | 32,900 | $ | 802 | |||||
Nucor | 9,100 | 347 | ||||||
Owens-Illinois * | 211,400 | 5,932 | ||||||
Packaging Corp of America | 4,300 | 100 | ||||||
PPG Industries (A) | 22,800 | 1,660 | ||||||
Rock-Tenn, Cl A | 27,400 | 1,365 | ||||||
Royal Gold | 1,900 | 95 | ||||||
RPM International | 14,200 | 283 | ||||||
Sherwin-Williams (A) | 4,700 | 353 | ||||||
Sonoco Products | 53,500 | 1,789 | ||||||
Southern Copper (A) | 56,800 | 1,995 | ||||||
United States Steel (A) | 6,700 | 294 | ||||||
Walter Energy | 1,000 | 81 | ||||||
48,604 | ||||||||
Telecommunication Services — 5.2% | ||||||||
AT&T | 1,794,095 | 51,311 | ||||||
CenturyTel (A) | 108,987 | 4,301 | ||||||
Frontier Communications (A) | 133,745 | 1,093 | ||||||
MetroPCS Communications * (A) | 35,000 | 366 | ||||||
NII Holdings * (A) | 11,700 | 481 | ||||||
Qwest Communications International (A) | 222,000 | 1,392 | ||||||
Sprint Nextel * | 79,800 | 369 | ||||||
Telephone & Data Systems | 72,000 | 2,362 | ||||||
Verizon Communications (A) | 524,100 | 17,080 | ||||||
Windstream (A) | 13,600 | 167 | ||||||
78,922 | ||||||||
Utilities — 5.8% | ||||||||
AGL Resources | 2,200 | 84 | ||||||
Alliant Energy | 88,700 | 3,224 | ||||||
Ameren | 103,100 | 2,928 | ||||||
American Electric Power | 259,400 | 9,398 | ||||||
American Water Works | 33,900 | 789 | ||||||
Aqua America (A) | 45,000 | 918 | ||||||
Centerpoint Energy | 33,500 | 527 | ||||||
CMS Energy (A) | 149,200 | 2,689 | ||||||
Consolidated Edison (A) | 21,500 | 1,037 | ||||||
Constellation Energy Group | 65,500 | 2,112 | ||||||
Dominion Resources (A) | 22,000 | 961 | ||||||
DPL | 70,900 | 1,853 | ||||||
DTE Energy | 96,500 | 4,432 | ||||||
Duke Energy | 24,700 | 438 | ||||||
Edison International | 139,000 | 4,780 | ||||||
Energen | 76,400 | 3,493 | ||||||
Entergy | 78,600 | 6,015 | ||||||
Exelon (A) | 132,600 | 5,646 | ||||||
FirstEnergy (A) | 42,100 | 1,623 | ||||||
Great Plains Energy | 18,200 | 344 | ||||||
Hawaiian Electric Industries | 38,300 | 863 | ||||||
Integrys Energy Group (A) | 34,400 | 1,791 | ||||||
ITC Holdings | 3,000 | 187 | ||||||
Mirant * | 306,000 | 3,048 | ||||||
National Fuel Gas | 9,900 | 513 | ||||||
NextEra Energy | 1,900 | 103 | ||||||
NiSource (A) | 45,400 | 790 | ||||||
Northeast Utilities | 33,300 | 985 | ||||||
NRG Energy * | 68,900 | 1,434 | ||||||
NSTAR | 27,100 | 1,066 | ||||||
NV Energy | 221,700 | 2,915 | ||||||
OGE Energy | 8,600 | 343 | ||||||
Oneok | 18,300 | 824 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pepco Holdings (A) | 76,900 | $ | 1,430 | |||||
PG&E (A) | 49,500 | 2,248 | ||||||
Pinnacle West Capital | 79,100 | 3,265 | ||||||
PPL | 75,400 | 2,053 | ||||||
Progress Energy | 3,700 | 164 | ||||||
Public Service Enterprise Group | 112,000 | 3,705 | ||||||
Questar | 13,900 | 244 | ||||||
SCANA | 11,700 | 472 | ||||||
Southern | 18,700 | 696 | ||||||
Southern Union | 116,100 | 2,793 | ||||||
TECO Energy (A) | 35,000 | 606 | ||||||
UGI | 5,900 | 169 | ||||||
Vectren | 8,900 | 230 | ||||||
Westar Energy | 26,700 | 647 | ||||||
Wisconsin Energy | 14,000 | 809 | ||||||
Xcel Energy | 20,900 | 480 | ||||||
88,164 | ||||||||
Total Common Stock | 1,485,119 | |||||||
AFFILIATED PARTNERSHIP — 8.5% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (B) | 134,650,092 | 129,626 | ||||||
Total Affiliated Partnership | 129,626 | |||||||
CASH EQUIVALENT — 1.9% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% ** †† | 28,513,155 | 28,513 | ||||||
Total Cash Equivalent | 28,513 | |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.4% | ||||||||
U.S. Treasury Bills | ||||||||
0.200%, 12/16/10 | $ | 5,522 | 5,520 | |||||
Total U.S. Treasury Obligation | 5,520 | |||||||
Total Investments — 108.9% | $ | 1,648,778 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized ($ Thousands) | |||||||||
S&P Composite Index | 80 | Dec-2010 | $ | 636 | ||||||||
For the period ended September 30, 2010 , the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,514,440 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2010
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $130,963 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $129,626 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
Ser — Series
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,485,119 | $ | — | $ | — | $ | 1,485,119 | ||||||||
Affiliated Partnership | — | 129,626 | — | 129,626 | ||||||||||||
Cash Equivalent | 28,513 | — | — | 28,513 | ||||||||||||
U.S. Treasury Obligation | — | 5,520 | — | 5,520 | ||||||||||||
Total Investments in Securities | $ | 1,513,632 | $ | 135,146 | $ | — | $ | 1,648,778 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 636 | $ | — | $ | — | $ | 636 |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 92.3% ‡ | ||||||||
Consumer Discretionary — 13.9% | ||||||||
Aaron Rents | 25,100 | $ | 463 | |||||
Advance Auto Parts | 2,400 | 141 | ||||||
Aeropostale * | 70,300 | 1,634 | ||||||
Amazon.com * | 129,216 | 20,295 | ||||||
Apollo Group, Cl A * | 115,700 | 5,941 | ||||||
Autoliv | 3,200 | 209 | ||||||
Autozone * | 12,269 | 2,808 | ||||||
Bed Bath & Beyond * | 42,090 | 1,827 | ||||||
Big Lots * | 21,800 | 725 | ||||||
BorgWarner * (A) | 90,000 | 4,736 | ||||||
Brinker International | 8,200 | 155 | ||||||
Career Education * | 33,200 | 713 | ||||||
Carmax * | 10,700 | 298 | ||||||
Carnival | 9,700 | 371 | ||||||
CBS, Cl B | 6,900 | 109 | ||||||
Chipotle Mexican Grill, Cl A * | 6,200 | 1,066 | ||||||
Coach | 88,255 | 3,792 | ||||||
Darden Restaurants | 51,900 | 2,220 | ||||||
Dick’s Sporting Goods * | 8,900 | 250 | ||||||
DIRECTV, Cl A * | 169,156 | 7,042 | ||||||
Discovery Communications, Cl A * | 12,400 | 540 | ||||||
Dollar Tree * | 3,500 | 171 | ||||||
Family Dollar Stores | 62,000 | 2,738 | ||||||
Ford Motor * | 388,800 | 4,759 | ||||||
Fortune Brands | 8,300 | 409 | ||||||
Fossil * | 1,800 | 97 | ||||||
Garmin | 4,200 | 127 | ||||||
Gentex | 1,900 | 37 | ||||||
Harley-Davidson | 6,800 | 194 | ||||||
Harman International Industries * | 1,000 | 33 | ||||||
Hasbro | 43,900 | 1,954 | ||||||
Hillenbrand | 23,600 | 508 | ||||||
Home Depot | 50,800 | 1,609 | ||||||
Interpublic Group * | 11,500 | 115 | ||||||
John Wiley & Sons, Cl A | 11,200 | 458 | ||||||
Las Vegas Sands * | 27,800 | 969 | ||||||
Leggett & Platt | 28,600 | 651 | ||||||
Limited Brands | 139,800 | 3,744 | ||||||
Lowe’s | 450,916 | 10,051 | ||||||
Macy’s | 10,400 | 240 | ||||||
Marriott International, Cl A | 18,400 | 659 | ||||||
Mattel | 91,100 | 2,137 | ||||||
McDonald’s | 240,925 | 17,951 | ||||||
McGraw-Hill | 36,000 | 1,190 | ||||||
MGM Mirage * | 11,000 | 124 | ||||||
Mohawk Industries * | 2,000 | 107 | ||||||
NetFlix * (A) | 57,421 | 9,311 | ||||||
News, Cl A | 10,400 | 136 | ||||||
Nike, Cl B (A) | 207,040 | 16,592 | ||||||
Nordstrom | 114,900 | 4,274 | ||||||
Omnicom Group | 2,500 | 99 | ||||||
O’Reilly Automotive * | 17,600 | 936 | ||||||
Panera Bread, Cl A * | 12,400 | 1,099 | ||||||
PetSmart | 58,300 | 2,041 | ||||||
Phillips-Van Heusen | 19,400 | 1,167 | ||||||
Polo Ralph Lauren | 11,500 | 1,033 | ||||||
priceline.com (A) | 57,300 | 19,960 | ||||||
Regal Entertainment Group, Cl A | 4,600 | 60 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ross Stores | 25,600 | $ | 1,398 | |||||
Royal Caribbean Cruises * | 8,700 | 274 | ||||||
Scripps Networks Interactive, Cl A | 25,600 | 1,218 | ||||||
Staples | 451,700 | 9,450 | ||||||
Starbucks | 347,326 | 8,885 | ||||||
Starwood Hotels & Resorts Worldwide | 49,300 | 2,591 | ||||||
Strayer Education | 1,900 | 331 | ||||||
Target | 236,747 | 12,652 | ||||||
Tempur-Pedic International * | 38,300 | 1,187 | ||||||
Thomson Reuters | 14,100 | 529 | ||||||
Tiffany | 4,300 | 202 | ||||||
Time Warner | 146,549 | 4,492 | ||||||
TJX | 21,500 | 960 | ||||||
Tractor Supply | 14,700 | 583 | ||||||
TRW Automotive Holdings * | 23,500 | 977 | ||||||
Urban Outfitters * | 18,100 | 569 | ||||||
VF (A) | 48,642 | 3,941 | ||||||
Viacom, Cl B | 67,033 | 2,426 | ||||||
WABCO Holdings * | 40,000 | 1,677 | ||||||
Whirlpool | 12,100 | 980 | ||||||
Williams-Sonoma | 41,100 | 1,303 | ||||||
WMS Industries * | 3,300 | 126 | ||||||
Wynn Resorts | 28,200 | 2,447 | ||||||
Yum! Brands | 38,310 | 1,764 | ||||||
224,037 | ||||||||
Consumer Staples — 11.3% | ||||||||
Altria Group | 147,497 | 3,543 | ||||||
Avon Products | 67,562 | 2,170 | ||||||
Brown-Forman, Cl B | 18,900 | 1,165 | ||||||
Campbell Soup | 31,200 | 1,115 | ||||||
Church & Dwight | 22,300 | 1,448 | ||||||
Coca-Cola | 358,845 | 21,000 | ||||||
Colgate-Palmolive | 101,619 | 7,811 | ||||||
ConAgra Foods | 19,700 | 432 | ||||||
Costco Wholesale | 52,620 | 3,394 | ||||||
CVS Caremark | 23,231 | 731 | ||||||
Diageo ADR | 125,070 | 8,631 | ||||||
Dr Pepper Snapple Group | 16,500 | 586 | ||||||
Estee Lauder, Cl A | 65,100 | 4,116 | ||||||
Flowers Foods | 14,800 | 368 | ||||||
General Mills | 82,900 | 3,029 | ||||||
Green Mountain Coffee Roasters * | 15,300 | 477 | ||||||
Hansen Natural * | 29,000 | 1,352 | ||||||
Herbalife | 6,100 | 368 | ||||||
Hershey | 16,500 | 785 | ||||||
HJ Heinz | 52,900 | 2,506 | ||||||
Kellogg | 257,300 | 12,996 | ||||||
Kimberly-Clark | 89,927 | 5,850 | ||||||
Kraft Foods, Cl A | 36,260 | 1,119 | ||||||
McCormick | 34,700 | 1,459 | ||||||
Mead Johnson Nutrition, Cl A | 124,440 | 7,082 | ||||||
PepsiCo | 398,391 | 26,469 | ||||||
Philip Morris International | 119,397 | 6,688 | ||||||
Procter & Gamble | 471,306 | 28,264 | ||||||
Sara Lee | 210,700 | 2,830 | ||||||
SYSCO | 31,700 | 904 | ||||||
Walgreen (A) | 409,877 | 13,731 | ||||||
Wal-Mart Stores | 149,646 | 8,009 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Whole Foods Market * | 37,000 | $ | 1,373 | |||||
181,801 | ||||||||
Energy — 5.2% | ||||||||
Arch Coal | 8,700 | 232 | ||||||
Baker Hughes | 3,500 | 149 | ||||||
Cameron International * (A) | 116,145 | 4,989 | ||||||
Canadian Natural Resources | 166,262 | 5,753 | ||||||
Chevron | 5,300 | 430 | ||||||
Cimarex Energy | 27,300 | 1,807 | ||||||
Concho Resources * | 7,600 | 503 | ||||||
ConocoPhillips | 49,200 | 2,826 | ||||||
Core Laboratories | 20,600 | 1,814 | ||||||
Denbury Resources * (A) | 123,882 | 1,968 | ||||||
EOG Resources (A) | 118,500 | 11,017 | ||||||
Exxon Mobil | 238,600 | 14,743 | ||||||
FMC Technologies * | 3,900 | 266 | ||||||
Forest Oil * | 13,000 | 386 | ||||||
Frontline | 3,500 | 99 | ||||||
Halliburton | 322,910 | 10,679 | ||||||
Marathon Oil | 18,600 | 616 | ||||||
Occidental Petroleum | 23,100 | 1,809 | ||||||
Range Resources (A) | 83,990 | 3,202 | ||||||
Rowan * | 3,300 | 100 | ||||||
Schlumberger | 141,553 | 8,721 | ||||||
SM Energy | 16,900 | 633 | ||||||
Southwestern Energy * | 144,592 | 4,835 | ||||||
Transocean * | 101,700 | 6,538 | ||||||
Weatherford International * | 5,600 | 96 | ||||||
Whiting Petroleum * | 1,200 | 115 | ||||||
84,326 | ||||||||
Financials — 4.5% | ||||||||
Aflac | 6,634 | 343 | ||||||
American Express | 332,333 | 13,968 | ||||||
Ameriprise Financial | 15,300 | 724 | ||||||
Apartment Investment & Management, Cl A † | 40,800 | 872 | ||||||
Bank of Hawaii | 3,600 | 162 | ||||||
Bank of New York Mellon | 252,001 | 6,585 | ||||||
Brown & Brown | 6,600 | 133 | ||||||
CB Richard Ellis Group, Cl A * | 40,900 | 747 | ||||||
Charles Schwab | 91,225 | 1,268 | ||||||
CME Group | 35,855 | 9,338 | ||||||
Digital Realty Trust † | 23,300 | 1,438 | ||||||
Equity Residential † | 10,300 | 490 | ||||||
Erie Indemnity, Cl A | 13,100 | 735 | ||||||
Essex Property Trust † | 8,000 | 876 | ||||||
Federal Realty Investment Trust † | 3,400 | 278 | ||||||
Franklin Resources | 8,100 | 866 | ||||||
General Growth Properties † | 17,300 | 270 | ||||||
Genworth Financial, Cl A * | 74,400 | 909 | ||||||
Goldman Sachs Group | 24,400 | 3,528 | ||||||
IntercontinentalExchange * | 70,900 | 7,425 | ||||||
Jones Lang LaSalle | 12,900 | 1,113 | ||||||
JPMorgan Chase | 161,790 | 6,159 | ||||||
MetLife | 41,400 | 1,592 | ||||||
Moody’s | 2,700 | 68 | ||||||
Morgan Stanley | 44,910 | 1,108 | ||||||
Northern Trust | 37,870 | 1,827 | ||||||
NYSE Euronext | 20,300 | 580 | ||||||
People’s United Financial | 71,780 | 940 |
Description | Shares | Market Value ($ Thousands) | ||||||
Plum Creek Timber † | 27,400 | $ | 967 | |||||
Public Storage † | 12,800 | 1,242 | ||||||
Rayonier † | 4,000 | 200 | ||||||
Simon Property Group † | 400 | 37 | ||||||
UDR † | 4,700 | 99 | ||||||
Ventas † | 4,700 | 242 | ||||||
Vornado Realty Trust † | 2,900 | 248 | ||||||
Waddell & Reed Financial, Cl A | 24,400 | 667 | ||||||
Wells Fargo | 194,600 | 4,890 | ||||||
72,934 | ||||||||
Health Care — 13.1% | ||||||||
Abbott Laboratories | 354,844 | 18,537 | ||||||
Alcon | 500 | 83 | ||||||
Alexion Pharmaceuticals * | 15,600 | 1,004 | ||||||
Allergan | 220,503 | 14,670 | ||||||
AmerisourceBergen | 173,500 | 5,320 | ||||||
Amgen * | 108,355 | 5,971 | ||||||
Amylin Pharmaceuticals * | 33,600 | 701 | ||||||
Baxter International | 67,714 | 3,231 | ||||||
Becton Dickinson | 2,200 | 163 | ||||||
Biogen Idec * | 25,430 | 1,427 | ||||||
BioMarin Pharmaceuticals * | 33,200 | 742 | ||||||
C.R. Bard | 1,800 | 147 | ||||||
Cardinal Health | 11,100 | 367 | ||||||
CareFusion * | 4,600 | 114 | ||||||
Celgene * | 103,151 | 5,943 | ||||||
Cerner * | 2,400 | 202 | ||||||
Community Health Systems * | 1,400 | 43 | ||||||
Covance * | 18,000 | 842 | ||||||
Covidien | 109,123 | 4,386 | ||||||
DaVita * | 14,400 | 994 | ||||||
Dendreon * | 9,800 | 404 | ||||||
Edwards Lifesciences * | 69,000 | 4,626 | ||||||
Eli Lilly | 6,800 | 248 | ||||||
Emergency Medical Services, Cl A * | 2,500 | 133 | ||||||
Express Scripts * | 140,301 | 6,833 | ||||||
Gen-Probe * | 9,400 | 456 | ||||||
Genzyme * | 9,900 | 701 | ||||||
Gilead Sciences * | 35,357 | 1,259 | ||||||
Henry Schein * | 1,000 | 59 | ||||||
Hill-Rom Holdings | 35,000 | 1,256 | ||||||
Hospira * | 73,500 | 4,190 | ||||||
Idexx Laboratories * | 800 | 49 | ||||||
Illumina * | 2,200 | 108 | ||||||
Intuitive Surgical * | 11,500 | 3,263 | ||||||
Johnson & Johnson | 325,578 | 20,173 | ||||||
Kinetic Concepts * | 2,000 | 73 | ||||||
Laboratory Corp of America Holdings * (A) | 63,278 | 4,963 | ||||||
Life Technologies * | 1,300 | 61 | ||||||
Lincare Holdings | 71,000 | 1,781 | ||||||
McKesson | 24,412 | 1,508 | ||||||
Medco Health Solutions * | 269,082 | 14,008 | ||||||
Medtronic | 396,291 | 13,308 | ||||||
Merck | 32,046 | 1,180 | ||||||
Mettler Toledo International * | 14,700 | 1,829 | ||||||
Mylan Laboratories * | 162,600 | 3,059 | ||||||
Novo Nordisk ADR | 80,100 | 7,885 | ||||||
Omnicare | 5,400 | 129 | ||||||
Patterson | 63,200 | 1,811 | ||||||
PerkinElmer | 17,200 | 398 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Perrigo (A) | 119,300 | $ | 7,661 | |||||
Pfizer | 272,505 | 4,679 | ||||||
Pharmaceutical Product Development | 11,500 | 285 | ||||||
Quest Diagnostics | 4,900 | 247 | ||||||
Regeneron Pharmaceuticals * | 19,100 | 523 | ||||||
ResMed * | 83,600 | 2,743 | ||||||
St. Jude Medical * | 213,544 | 8,401 | ||||||
Stryker | 48,300 | 2,417 | ||||||
SXC Health Solutions * | 9,800 | 357 | ||||||
Teva Pharmaceutical Industries ADR | 86,933 | 4,586 | ||||||
Thermo Fisher Scientific * | 43,009 | 2,059 | ||||||
Thoratec * | 15,900 | 588 | ||||||
United Therapeutics * | 21,000 | 1,176 | ||||||
UnitedHealth Group | 239,427 | 8,406 | ||||||
Universal Health Services, Cl B | 2,700 | 105 | ||||||
Valeant Pharmaceuticals International * | 60,907 | 1,526 | ||||||
Varian Medical Systems * | 42,300 | 2,559 | ||||||
VCA Antech * | 4,900 | 103 | ||||||
Warner Chilcott, Cl A | 3,000 | 67 | ||||||
Waters * | 21,400 | 1,515 | ||||||
210,641 | ||||||||
Industrials — 9.3% | ||||||||
3M | 309,145 | 26,806 | ||||||
Ametek | 500 | 24 | ||||||
Boeing | 192,693 | 12,822 | ||||||
Bucyrus International, Cl A | 8,700 | 603 | ||||||
Caterpillar (A) | 84,000 | 6,609 | ||||||
Continental Airlines, Cl B * | 5,700 | 141 | ||||||
Cooper Industries, Cl A | 25,000 | 1,223 | ||||||
Copa Holdings, Cl A | 700 | 38 | ||||||
Cummins | 101,662 | 9,208 | ||||||
Danaher | 139,968 | 5,684 | ||||||
Deere | 18,000 | 1,256 | ||||||
Delta Air Lines * | 132,700 | 1,545 | ||||||
Dover | 30,700 | 1,603 | ||||||
Eaton | 10,100 | 833 | ||||||
Emerson Electric | 106,122 | 5,588 | ||||||
Expeditors International of Washington | 160,100 | 7,402 | ||||||
Fastenal | 28,500 | 1,516 | ||||||
FedEx | 6,600 | 564 | ||||||
Gardner Denver | 1,600 | 86 | ||||||
General Electric | 210,800 | 3,426 | ||||||
Goodrich | 102,300 | 7,543 | ||||||
Honeywell International | 24,500 | 1,076 | ||||||
Illinois Tool Works | 10,500 | 494 | ||||||
Kansas City Southern * | 29,000 | 1,085 | ||||||
Kennametal | 4,500 | 139 | ||||||
Landstar System | 2,400 | 93 | ||||||
Lennox International | 11,300 | 471 | ||||||
Lincoln Electric Holdings | 1,200 | 69 | ||||||
Lockheed Martin | 9,204 | 656 | ||||||
Manitowoc | 39,200 | 475 | ||||||
Masco | 10,100 | 111 | ||||||
Navistar International * | 24,600 | 1,074 | ||||||
Owens Corning * | 2,100 | 54 | ||||||
PACCAR | 15,300 | 737 | ||||||
Parker Hannifin | 5,500 | 385 | ||||||
Precision Castparts | 60,908 | 7,757 |
Description | Shares | Market Value ($ Thousands) | ||||||
Quanta Services * (A) | 190,800 | $ | 3,640 | |||||
Raytheon | 23,340 | 1,067 | ||||||
Regal-Beloit | 7,300 | 429 | ||||||
Republic Services | 3,100 | 95 | ||||||
Rockwell Automation | 20,700 | 1,278 | ||||||
Rockwell Collins | 134,902 | 7,858 | ||||||
Roper Industries | 1,600 | 104 | ||||||
Ryder System | 4,200 | 179 | ||||||
Southwest Airlines | 59,300 | 775 | ||||||
Spirit Aerosystems Holdings, Cl A * | 9,100 | 181 | ||||||
Teleflex | 2,100 | 119 | ||||||
Thomas & Betts * | 6,400 | 263 | ||||||
Timken | 15,900 | 610 | ||||||
Toro | 18,600 | 1,046 | ||||||
TransDigm Group | 22,100 | 1,371 | ||||||
Tyco International | 2,200 | 81 | ||||||
UAL * | 73,400 | 1,734 | ||||||
Union Pacific | 1,600 | 131 | ||||||
United Technologies | 220,031 | 15,673 | ||||||
Verisk Analytics, Cl A * | 5,400 | 151 | ||||||
Waste Connections * | 20,000 | 793 | ||||||
WESCO International * | 8,800 | 346 | ||||||
WW Grainger | 17,500 | 2,084 | ||||||
149,204 | ||||||||
Information Technology — 30.2% |
| |||||||
Accenture, Cl A | 32,800 | 1,394 | ||||||
Adobe Systems * (A) | 386,453 | 10,106 | ||||||
Advanced Micro Devices * | 3,400 | 24 | ||||||
Agilent Technologies * | 164,100 | 5,476 | ||||||
Akamai Technologies * | 73,100 | 3,668 | ||||||
Alliance Data Systems * | 5,200 | 339 | ||||||
Ansys * | 3,400 | 144 | ||||||
Apple * | 238,955 | 67,804 | ||||||
Applied Materials | 20,800 | 243 | ||||||
Atheros Communications * | 9,200 | 242 | ||||||
Atmel * | 11,600 | 92 | ||||||
Autodesk * | 162,700 | 5,202 | ||||||
Automatic Data Processing | 2,600 | 109 | ||||||
Avago Technologies * | 67,600 | 1,522 | ||||||
Broadcom, Cl A | 37,180 | 1,316 | ||||||
Cadence Design Systems * | 47,200 | 360 | ||||||
Check Point Software Technologies * (A) | 117,728 | 4,348 | ||||||
Cisco Systems * | 1,814,669 | 39,741 | ||||||
Citrix Systems * | 235,585 | 16,076 | ||||||
Cognizant Technology Solutions, Cl A * | 57,000 | 3,675 | ||||||
Corning | 351,867 | 6,432 | ||||||
Cree * | 73,600 | 3,996 | ||||||
Dell * | 70,529 | 914 | ||||||
Dolby Laboratories, Cl A * | 39,500 | 2,244 | ||||||
Electronic Arts * | 19,500 | 320 | ||||||
EMC * | 928,107 | 18,850 | ||||||
Equinix * | 15,430 | 1,579 | ||||||
F5 Networks * (A) | 89,900 | 9,333 | ||||||
Factset Research Systems | 9,300 | 755 | ||||||
Flir Systems * | 4,000 | 103 | ||||||
Gartner * | 20,400 | 601 | ||||||
Google, Cl A * | 41,116 | 21,618 | ||||||
Harris | 19,300 | 855 | ||||||
Hewlett-Packard | 212,600 | 8,944 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
IAC * | 20,300 | $ | 533 | |||||
Intel | 359,999 | 6,923 | ||||||
International Business Machines | 120,174 | 16,120 | ||||||
Intuit * | 254,600 | 11,154 | ||||||
JDS Uniphase * | 126,800 | 1,571 | ||||||
Marvell Technology Group * | 89,300 | 1,564 | ||||||
Mastercard, Cl A | 52,510 | 11,762 | ||||||
Micros Systems * | 4,200 | 178 | ||||||
Microsoft | 1,566,969 | 38,375 | ||||||
National Instruments | 39,800 | 1,300 | ||||||
NCR * | 47,800 | 652 | ||||||
NetApp * (A) | 199,405 | 9,928 | ||||||
Nuance Communications * (A) | 334,300 | 5,228 | ||||||
Oracle | 854,118 | 22,933 | ||||||
Paychex | 195,849 | 5,384 | ||||||
Polycom * | 152,800 | 4,168 | ||||||
Qualcomm | 625,595 | 28,227 | ||||||
Rackspace Hosting * (A) | 227,700 | 5,916 | ||||||
Red Hat * | 134,400 | 5,510 | ||||||
Rovi * | 3,200 | 161 | ||||||
Salesforce.com * (A) | 76,042 | 8,502 | ||||||
SanDisk * | 100,200 | 3,672 | ||||||
Seagate Technology * | 30,600 | 361 | ||||||
Silicon Laboratories * | 2,000 | 73 | ||||||
Skyworks Solutions * | 12,500 | 258 | ||||||
Teradata * | 184,400 | 7,110 | ||||||
Texas Instruments | 515,310 | 13,985 | ||||||
Trimble Navigation * | 15,400 | 539 | ||||||
VeriSign * (A) | 266,400 | 8,456 | ||||||
Visa, Cl A | 299,153 | 22,215 | ||||||
VMware, Cl A * | 6,900 | 586 | ||||||
WebMD Health, Cl A * | 34,621 | 1,727 | ||||||
Western Union | 78,220 | 1,382 | ||||||
Xilinx | 73,800 | 1,964 | ||||||
Zebra Technologies, Cl A * | 1,400 | 47 | ||||||
486,889 | ||||||||
Materials — 2.8% | ||||||||
Albemarle | 10,800 | 506 | ||||||
Allegheny Technologies (A) | 166,362 | 7,727 | ||||||
Alpha Natural Resources * | 5,000 | 206 | ||||||
Ashland | 4,300 | 210 | ||||||
Carpenter Technology | 27,600 | 930 | ||||||
Cliffs Natural Resources | 40,100 | 2,563 | ||||||
Compass Minerals International | 6,000 | 460 | ||||||
E.I. Du Pont de Nemours | 28,300 | 1,263 | ||||||
Eagle Materials | 3,800 | 90 | ||||||
Ecolab | 28,690 | 1,456 | ||||||
FMC | 1,600 | 109 | ||||||
International Flavors & Fragrances | 22,300 | 1,082 | ||||||
Lubrizol | 22,100 | 2,342 | ||||||
Monsanto (A) | 180,270 | 8,640 | ||||||
Nalco Holding | 198,700 | 5,009 | ||||||
Newmont Mining | 2,400 | 151 | ||||||
Nucor | 3,500 | 134 | ||||||
PPG Industries | 6,800 | 495 | ||||||
Praxair | 18,326 | 1,654 | ||||||
RPM International | 1,600 | 32 | ||||||
Scotts Miracle-Gro, Cl A | 4,800 | 248 | ||||||
Sherwin-Williams | 2,800 | 211 | ||||||
Syngenta ADR | 138,000 | 6,871 | ||||||
Titanium Metals * | 32,800 | 655 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
United States Steel | 4,700 | $ | 206 | |||||
Walter Energy | 15,000 | 1,219 | ||||||
44,469 | ||||||||
Telecommunication Services — 1.9% | ||||||||
American Tower, Cl A * | 262,523 | 13,457 | ||||||
Crown Castle International * | 322,367 | 14,233 | ||||||
Frontier Communications | 13,500 | 110 | ||||||
MetroPCS Communications * | 24,900 | 260 | ||||||
NII Holdings * | 29,500 | 1,212 | ||||||
SBA Communications, Cl A * | 15,000 | 605 | ||||||
Windstream | 22,400 | 276 | ||||||
30,153 | ||||||||
Utilities — 0.1% | ||||||||
Calpine * | 29,900 | 372 | ||||||
ITC Holdings | 11,600 | 722 | ||||||
1,094 | ||||||||
Total Common Stock | 1,485,548 | |||||||
CASH EQUIVALENT — 7.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% ** †† | 121,376,915 | 121,377 | ||||||
Total Cash Equivalent | 121,377 | |||||||
AFFILIATED PARTNERSHIP — 6.2% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (B) | 102,417,029 | 98,938 | ||||||
Total Affiliated Partnership | 98,938 | |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.5% | ||||||||
U.S. Treasury Bills | ||||||||
0.166%, 12/16/10 | $ | 8,696 | 8,694 | |||||
Total U.S. Treasury Obligation | 8,694 | |||||||
Total Investments — 106.5% | $ | 1,714,557 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Composite Index | 356 | Dec-2010 | $ | 1,643 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages | are based on Net Assets of $1,610,083 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2010
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $99,295 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $98,938 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,485,548 | $ | — | $ | — | $ | 1,485,548 | ||||||||
Cash Equivalent | 121,377 | — | — | 121,377 | ||||||||||||
Affiliated Partnership | — | 98,938 | — | 98,938 | ||||||||||||
U.S. Treasury Obligation | — | 8,694 | — | 8,694 | ||||||||||||
Total Investments in Securities | $ | 1,606,925 | $ | 107,632 | $ | — | $ | 1,714,557 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 1,643 | $ | — | $ | — | $ | 1,643 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.5% | ||||||||
Consumer Discretionary — 11.3% | ||||||||
Abercrombie & Fitch, Cl A (A) | 1,426 | $ | 56 | |||||
Advance Auto Parts (A) | 1,200 | 70 | ||||||
Amazon.com * (A) | 94,583 | 14,855 | ||||||
American Eagle Outfitters | 3,150 | 47 | ||||||
American Greetings, Cl A (A) | 16,300 | 303 | ||||||
Apollo Group, Cl A * | 62,325 | 3,200 | ||||||
Autoliv (A) | 26,150 | 1,708 | ||||||
Autonation * (A) | 4,100 | 95 | ||||||
Autozone * | 5,919 | 1,355 | ||||||
Barnes & Noble (A) | 850 | 14 | ||||||
Bed Bath & Beyond * | 4,400 | 191 | ||||||
Best Buy (A) | 50,680 | 2,069 | ||||||
Big Lots * | 1,557 | 52 | ||||||
Blyth | 6,500 | 268 | ||||||
BorgWarner * (A) | 53,344 | 2,807 | ||||||
Brinker International | 3,400 | 64 | ||||||
Cablevision Systems, Cl A | 6,700 | 176 | ||||||
Career Education * (A) | 1,800 | 39 | ||||||
Carmax * | 6,383 | 178 | ||||||
Carnival | 33,300 | 1,272 | ||||||
Cavco Industries * | 130 | 5 | ||||||
CBS, Cl B (A) | 86,400 | 1,370 | ||||||
Chico’s FAS (A) | 16,500 | 174 | ||||||
Chipotle Mexican Grill, Cl A * | 800 | 138 | ||||||
Clear Channel Outdoor Holdings, Cl A * | 5,800 | 66 | ||||||
Coach | 135,336 | 5,814 | ||||||
Comcast, Cl A | 441,800 | 7,988 | ||||||
Darden Restaurants | 3,127 | 134 | ||||||
DeVry | 7,121 | 350 | ||||||
Dick’s Sporting Goods * | 3,700 | 104 | ||||||
DIRECTV, Cl A * | 201,007 | 8,368 | ||||||
Discovery Communications, Cl C * (A) | 5,040 | 193 | ||||||
DISH Network, Cl A | 17,549 | 336 | ||||||
Dollar Tree * | 1,243 | 61 | ||||||
DR Horton | 6,500 | 72 | ||||||
Drew Industries * | 1,300 | 27 | ||||||
Eastman Kodak * (A) | 557,400 | 2,341 | ||||||
Expedia (A) | 9,800 | 277 | ||||||
Family Dollar Stores | 1,500 | 66 | ||||||
Federal Mogul, Cl A * | 2,600 | 49 | ||||||
Ford Motor * (A) | 309,000 | 3,782 | ||||||
Fortune Brands (A) | 1,700 | 84 | ||||||
Fossil * | 6,100 | 328 | ||||||
GameStop, Cl A * (A) | 3,622 | 71 | ||||||
Gannett (A) | 80,000 | 979 | ||||||
Gap (A) | 165,900 | 3,092 | ||||||
Garmin (A) | 37,300 | 1,132 | ||||||
Gentex | 5,500 | 107 | ||||||
Genuine Parts | 2,250 | 100 | ||||||
Goodyear Tire & Rubber * (A) | 11,350 | 122 | ||||||
H&R Block | 10,600 | 137 | ||||||
Harley-Davidson | 3,000 | 86 | ||||||
Harman International Industries * | 4,200 | 140 | ||||||
Hasbro | 5,095 | 227 | ||||||
Helen of Troy * | 3,500 | 88 | ||||||
Hillenbrand | 6,100 | 131 | ||||||
Home Depot | 38,900 | 1,232 |
Description | Shares | Market Value ($ Thousands) | ||||||
International Game Technology | 5,453 | $ | 79 | |||||
International Speedway, Cl A | 1,000 | 25 | ||||||
Interpublic Group * | 13,000 | 130 | ||||||
iRobot * | 2,400 | 45 | ||||||
ITT Educational Services * (A) | 12,800 | 900 | ||||||
J.C. Penney | 4,030 | 109 | ||||||
Jarden | 4,100 | 128 | ||||||
Johnson Controls | 30,359 | 926 | ||||||
KB Home (A) | 4,700 | 53 | ||||||
Kohl’s * | 4,900 | 258 | ||||||
Lamar Advertising, Cl A * (A) | 7,300 | 232 | ||||||
Las Vegas Sands * (A) | 5,600 | 195 | ||||||
La-Z-Boy, Cl Z * (A) | 5,900 | 50 | ||||||
Lear * | 1,100 | 87 | ||||||
Leggett & Platt (A) | 31,000 | 706 | ||||||
Lennar, Cl A | 5,100 | 78 | ||||||
Liberty Global, Cl A * (A) | 14,200 | 438 | ||||||
Liberty Media - Capital, Ser A * | 10,500 | 547 | ||||||
Liberty Media - Interactive, Cl A * | 13,150 | 180 | ||||||
Liberty Media - Starz, Ser A * | 9,306 | 604 | ||||||
Limited Brands | 5,100 | 136 | ||||||
LKQ * | 3,200 | 67 | ||||||
Lowe’s | 170,781 | 3,807 | ||||||
Macy’s | 79,200 | 1,829 | ||||||
Madison Square Garden, Cl A * | 1,675 | 35 | ||||||
Marriott International, Cl A | 7,099 | 254 | ||||||
Mattel | 2,300 | 54 | ||||||
McDonald’s | 126,839 | 9,451 | ||||||
McGraw-Hill | 5,300 | 175 | ||||||
Mohawk Industries * (A) | 2,829 | 151 | ||||||
National Presto Industries | 800 | 85 | ||||||
NetFlix * (A) | 31,240 | 5,066 | ||||||
New York Times, Cl A * (A) | 10,200 | 79 | ||||||
Newell Rubbermaid | 2,700 | 48 | ||||||
News, Cl A | 253,900 | 3,316 | ||||||
Nike, Cl B (A) | 96,300 | 7,718 | ||||||
Nordstrom | 74,000 | 2,753 | ||||||
NVR * | 100 | 65 | ||||||
Omnicom Group | 6,000 | 237 | ||||||
O’Reilly Automotive * (A) | 6,600 | 351 | ||||||
Penn National Gaming * | 2,300 | 68 | ||||||
Perry Ellis International * | 1,000 | 22 | ||||||
PetSmart (A) | 27,808 | 973 | ||||||
Polo Ralph Lauren | 900 | 81 | ||||||
priceline.com * (A) | 28,983 | 10,096 | ||||||
Pulte Homes * (A) | 7,700 | 67 | ||||||
RadioShack | 45,100 | 962 | ||||||
Ross Stores (A) | 38,100 | 2,081 | ||||||
Royal Caribbean Cruises * (A) | 3,900 | 123 | ||||||
Scholastic | 1,700 | 47 | ||||||
Sears Holdings * (A) | 5,300 | 382 | ||||||
Shoe Carnival * | 1,200 | 24 | ||||||
Snap-On | 778 | 36 | ||||||
Stanley Black & Decker | 4,250 | 260 | ||||||
Staples | 193,627 | 4,051 | ||||||
Starbucks (A) | 194,009 | 4,963 | ||||||
Starwood Hotels & Resorts Worldwide (A) | 3,600 | 189 | ||||||
Superior Industries International | 1,900 | 33 | ||||||
Target | 124,788 | 6,669 | ||||||
Tempur-Pedic International * | 25,200 | 781 | ||||||
Thomson Reuters | 2,900 | 109 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Thor Industries | 8,000 | $ | 267 | |||||
Tiffany (A) | 1,800 | 85 | ||||||
Tim Hortons | 1,500 | 55 | ||||||
Time Warner | 341,219 | 10,458 | ||||||
Time Warner Cable, Cl A | 72,424 | 3,910 | ||||||
TJX | 36,200 | 1,616 | ||||||
Toll Brothers * | 2,300 | 44 | ||||||
TRW Automotive Holdings * (A) | 34,600 | 1,438 | ||||||
Urban Outfitters * | 2,500 | 79 | ||||||
VF (A) | 36,806 | 2,982 | ||||||
Viacom, Cl B | 10,400 | 376 | ||||||
Virgin Media (A) | 12,500 | 288 | ||||||
WABCO Holdings * | 3,400 | 143 | ||||||
Walt Disney | 138,757 | 4,594 | ||||||
Warnaco Group * | 2,100 | 107 | ||||||
Washington Post, Cl B | 100 | 40 | ||||||
Whirlpool (A) | 26,000 | 2,105 | ||||||
Wyndham Worldwide | 13,000 | 357 | ||||||
Wynn Resorts | 500 | 43 | ||||||
Yum! Brands | 63,400 | 2,920 | ||||||
173,961 | ||||||||
Consumer Staples — 9.1% | ||||||||
Altria Group | 96,510 | 2,318 | ||||||
Archer-Daniels-Midland | 107,378 | 3,427 | ||||||
Avon Products | 7,636 | 245 | ||||||
BJ’s Wholesale Club * | 17,457 | 724 | ||||||
Brown-Forman, Cl B | 20,900 | 1,288 | ||||||
Bunge (A) | 2,500 | 148 | ||||||
Campbell Soup (A) | 47,600 | 1,702 | ||||||
Central European Distribution * | 1,800 | 40 | ||||||
Chiquita Brands International * (A) | 26,000 | 344 | ||||||
Church & Dwight | 800 | 52 | ||||||
Clorox | 2,969 | 198 | ||||||
Coca-Cola | 228,679 | 13,382 | ||||||
Coca-Cola Enterprises | 6,100 | 189 | ||||||
Colgate-Palmolive | 63,829 | 4,906 | ||||||
ConAgra Foods | 51,550 | 1,131 | ||||||
Constellation Brands, Cl A * | 3,000 | 53 | ||||||
Corn Products International | 30,800 | 1,155 | ||||||
Costco Wholesale | 10,500 | 677 | ||||||
CVS Caremark | 205,870 | 6,479 | ||||||
Dean Foods * | 19,800 | 202 | ||||||
Del Monte Foods | 114,700 | 1,504 | ||||||
Diageo ADR | 58,500 | 4,037 | ||||||
Dr Pepper Snapple Group (A) | 30,300 | 1,076 | ||||||
Energizer Holdings * | 1,628 | 110 | ||||||
Estee Lauder, Cl A | 3,500 | 221 | ||||||
General Mills | 16,768 | 613 | ||||||
Herbalife (A) | 38,800 | 2,342 | ||||||
Hershey | 1,900 | 90 | ||||||
HJ Heinz (A) | 3,797 | 180 | ||||||
Hormel Foods | 2,000 | 89 | ||||||
JM Smucker | 3,700 | 224 | ||||||
Kellogg | 113,058 | 5,711 | ||||||
Kimberly-Clark | 58,942 | 3,834 | ||||||
Kraft Foods, Cl A | 92,444 | 2,853 | ||||||
Kroger | 187,652 | 4,065 | ||||||
Lorillard | 5,450 | 438 | ||||||
McCormick (A) | 2,100 | 88 | ||||||
Mead Johnson Nutrition, Cl A | 67,031 | 3,815 | ||||||
Molson Coors Brewing, Cl B | 12,100 | 572 |
Description | Shares | Market Value ($ Thousands) | ||||||
NBTY * | 1,100 | $ | 60 | |||||
PepsiCo | 154,373 | 10,257 | ||||||
Philip Morris International | 85,874 | 4,811 | ||||||
Prestige Brands Holdings * | 18,600 | 184 | ||||||
Procter & Gamble | 495,500 | 29,715 | ||||||
Reynolds American (A) | 37,900 | 2,251 | ||||||
Safeway (A) | 152,417 | 3,225 | ||||||
Sara Lee | 24,000 | 322 | ||||||
SUPERVALU (A) | 42,400 | 489 | ||||||
SYSCO (A) | 9,150 | 261 | ||||||
Tyson Foods, Cl A | 101,000 | 1,618 | ||||||
Walgreen | 251,422 | 8,423 | ||||||
Wal-Mart Stores | 144,748 | 7,747 | ||||||
Whole Foods Market * | 3,700 | 137 | ||||||
140,022 | ||||||||
Energy — 8.8% | ||||||||
Anadarko Petroleum | 11,400 | 650 | ||||||
Apache (A) | 55,735 | 5,449 | ||||||
Arch Coal | 4,000 | 107 | ||||||
Baker Hughes (A) | 6,603 | 281 | ||||||
BP ADR | 4,700 | 194 | ||||||
Cabot Oil & Gas | 1,500 | 45 | ||||||
Cameron International * | 71,866 | 3,087 | ||||||
Canadian Natural Resources | 97,437 | 3,371 | ||||||
Chesapeake Energy | 52,500 | 1,189 | ||||||
Chevron | 304,809 | 24,705 | ||||||
Cimarex Energy | 17,643 | 1,168 | ||||||
Complete Production Services * | 6,200 | 127 | ||||||
Concho Resources * (A) | 900 | 60 | ||||||
ConocoPhillips | 240,107 | 13,789 | ||||||
Consol Energy | 2,800 | 104 | ||||||
Continental Resources * | 1,000 | 46 | ||||||
Denbury Resources * (A) | 76,600 | 1,217 | ||||||
Devon Energy | 35,790 | 2,317 | ||||||
Diamond Offshore Drilling (A) | 15,600 | 1,057 | ||||||
Dresser-Rand Group * | 11,000 | 406 | ||||||
El Paso (A) | 10,156 | 126 | ||||||
Ensco International ADR | 3,000 | 134 | ||||||
EOG Resources (A) | 58,800 | 5,467 | ||||||
Equities | 3,300 | 119 | ||||||
EXCO Resources | 3,100 | 46 | ||||||
Exterran Holdings * (A) | 2,700 | 61 | ||||||
Exxon Mobil | 248,749 | 15,370 | ||||||
FMC Technologies * | 1,400 | 96 | ||||||
Frontier Oil | 11,400 | 153 | ||||||
Frontline | 2,300 | 65 | ||||||
Halliburton | 134,745 | 4,456 | ||||||
Helmerich & Payne (A) | 9,295 | 376 | ||||||
Hess | 24,750 | 1,463 | ||||||
Holly (A) | 7,600 | 219 | ||||||
Marathon Oil | 194,300 | 6,431 | ||||||
Mariner Energy * (A) | 2,731 | 66 | ||||||
Massey Energy | 1,900 | 59 | ||||||
McDermott International * | 7,600 | 112 | ||||||
Murphy Oil | 73,616 | 4,558 | ||||||
Nabors Industries * | 5,600 | 101 | ||||||
National Oilwell Varco | 65,541 | 2,915 | ||||||
Newfield Exploration * | 2,500 | 144 | ||||||
Noble | 31,500 | 1,064 | ||||||
Noble Energy | 2,600 | 195 | ||||||
Occidental Petroleum | 58,945 | 4,615 | ||||||
Oceaneering International * | 1,200 | 65 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Oil States International * | 33,800 | $ | 1,573 | |||||
Patriot Coal * (A) | 880 | 10 | ||||||
Patterson-UTI Energy | 49,700 | 849 | ||||||
Peabody Energy | 8,900 | 436 | ||||||
PetroHawk Energy * | 8,800 | 142 | ||||||
Pioneer Natural Resources | 4,944 | 322 | ||||||
Plains Exploration & Production * | 4,095 | 109 | ||||||
Pride International * | 2,700 | 79 | ||||||
QEP Resources | 3,500 | 106 | ||||||
Range Resources (A) | 53,222 | 2,029 | ||||||
Rowan * | 2,522 | 77 | ||||||
RPC | 8,200 | 174 | ||||||
SandRidge Energy * (A) | 10,000 | 57 | ||||||
Schlumberger | 70,458 | 4,341 | ||||||
SM Energy | 1,000 | 37 | ||||||
Southwestern Energy * | 48,643 | 1,627 | ||||||
Spectra Energy | 19,743 | 445 | ||||||
Stone Energy * | 24,000 | 354 | ||||||
Sunoco (A) | 18,700 | 683 | ||||||
Swift Energy * (A) | 9,800 | 275 | ||||||
Teekay Shipping | 3,100 | 83 | ||||||
Tidewater (A) | 14,350 | 643 | ||||||
Transocean * | 114,250 | 7,345 | ||||||
Ultra Petroleum * (A) | 5,100 | 214 | ||||||
Unit * | 28,200 | 1,052 | ||||||
Valero Energy | 158,694 | 2,779 | ||||||
Venoco * (A) | 4,800 | 94 | ||||||
Weatherford International * | 16,800 | 287 | ||||||
Whiting Petroleum * | 1,700 | 162 | ||||||
Williams | 69,600 | 1,330 | ||||||
135,559 | ||||||||
Financials — 16.3% | ||||||||
ACE | 30,700 | 1,788 | ||||||
Affiliated Managers Group * | 1,000 | 78 | ||||||
Aflac | 112,860 | 5,836 | ||||||
Agree Realty † | 7,700 | 194 | ||||||
Alexandria Real Estate Equities † (A) | 1,000 | 70 | ||||||
Allstate | 89,350 | 2,819 | ||||||
American Equity Investment Life Holding (A) | 26,600 | 272 | ||||||
American Express | 244,727 | 10,286 | ||||||
American Financial Group | 61,500 | 1,881 | ||||||
American International Group * (A) | 8,700 | 340 | ||||||
Ameriprise Financial | 89,490 | 4,236 | ||||||
Annaly Capital Management † (A) | 62,513 | 1,100 | ||||||
AON (A) | 4,050 | 158 | ||||||
Apartment Investment & Management, Cl A † (A) | 67,115 | 1,435 | ||||||
Arthur J. Gallagher | 2,600 | 69 | ||||||
Associated Banc-Corp (A) | 14,100 | 186 | ||||||
Assurant | 60,200 | 2,450 | ||||||
Assured Guaranty | 6,600 | 113 | ||||||
AvalonBay Communities † | 1,900 | 197 | ||||||
Axis Capital Holdings | 31,600 | 1,041 | ||||||
Bancorp Rhode Island | 1,500 | 42 | ||||||
Bank of America | 1,549,724 | 20,317 | ||||||
Bank of Hawaii (A) | 23,150 | 1,040 | ||||||
Bank of New York Mellon | 207,204 | 5,414 | ||||||
BB&T (A) | 18,300 | 441 |
Description | Shares | Market Value ($ Thousands) | ||||||
Berkshire Hathaway, Cl B * | 155,800 | $ | 12,882 | |||||
BlackRock | 700 | 119 | ||||||
Boston Properties † (A) | 1,600 | 133 | ||||||
Brandywine Realty Trust † | 38,000 | 466 | ||||||
BRE Properties, Cl A † | 2,200 | 91 | ||||||
Brookfield Asset Management, Cl A | 40,500 | 1,149 | ||||||
Brown & Brown (A) | 2,200 | 44 | ||||||
Camden Property Trust † | 2,200 | 106 | ||||||
Capital One Financial (A) | 170,100 | 6,727 | ||||||
CapitalSource | 3,400 | 18 | ||||||
CB Richard Ellis Group, Cl A * | 2,800 | 51 | ||||||
Charles Schwab | 18,220 | 253 | ||||||
Chimera Investment † | 68,200 | 269 | ||||||
Chubb (A) | 107,000 | 6,098 | ||||||
Cincinnati Financial (A) | 3,700 | 107 | ||||||
CIT Group * | 5,100 | 208 | ||||||
Citigroup * | 3,347,900 | 13,057 | ||||||
CME Group | 19,000 | 4,949 | ||||||
CNA Surety * | 2,500 | 45 | ||||||
Comerica (A) | 14,200 | 528 | ||||||
Commerce Bancshares | 2,835 | 107 | ||||||
Compass Diversified Holdings | 4,900 | 79 | ||||||
Credicorp (A) | 12,400 | 1,412 | ||||||
Cullen/Frost Bankers | 1,900 | 102 | ||||||
Digital Realty Trust † (A) | 1,300 | 80 | ||||||
Discover Financial Services | 7,500 | 125 | ||||||
Duke Realty † | 21,100 | 245 | ||||||
E*Trade Financial * | 34,900 | 508 | ||||||
Endurance Specialty Holdings | 35,200 | 1,401 | ||||||
Equity Residential † (A) | 4,687 | 223 | ||||||
Erie Indemnity, Cl A | 1,400 | 79 | ||||||
Everest Re Group | 32,800 | 2,836 | ||||||
Federal Realty Investment Trust † (A) | 800 | 65 | ||||||
Fidelity National Financial, Cl A | 5,399 | 85 | ||||||
Fifth Third Bancorp | 101,900 | 1,226 | ||||||
First American Financial | 2,100 | 31 | ||||||
First Citizens BancShares, Cl A | 600 | 111 | ||||||
First Horizon National * (A) | 15,677 | 179 | ||||||
Forest City Enterprises, Cl A * (A) | 61,000 | 783 | ||||||
Franklin Resources | 24,550 | 2,624 | ||||||
Fulton Financial | 52,400 | 475 | ||||||
General Growth Properties † | 3,000 | 47 | ||||||
General Motors Financial * | 10,900 | 267 | ||||||
GLG Partners * (A) | 20,900 | 94 | ||||||
Goldman Sachs Group | 101,399 | 14,660 | ||||||
Hanover Insurance Group | 4,297 | 202 | ||||||
Hartford Financial Services Group | 36,700 | 842 | ||||||
HCC Insurance Holdings | 1,500 | 39 | ||||||
HCP † (A) | 8,700 | 313 | ||||||
Health Care † | 1,371 | 65 | ||||||
Highwoods Properties † (A) | 750 | 24 | ||||||
Hospitality Properties Trust † | 73,600 | 1,644 | ||||||
Host Hotels & Resorts † (A) | 17,409 | 252 | ||||||
Hudson City Bancorp | 145,200 | 1,780 | ||||||
Huntington Bancshares (A) | 214,400 | 1,216 | ||||||
IntercontinentalExchange * | 43,491 | 4,554 | ||||||
Invesco (A) | 6,000 | 127 | ||||||
Invesco Mortgage Capital † | 15,000 | 323 | ||||||
Investment Technology Group * | 2,400 | 34 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Jefferies Group (A) | 7,900 | $ | 179 | |||||
Jones Lang LaSalle (A) | 17,000 | 1,467 | ||||||
JPMorgan Chase | 688,107 | 26,196 | ||||||
Keycorp (A) | 16,200 | 129 | ||||||
Kimco Realty † | 3,600 | 57 | ||||||
Legg Mason (A) | 2,100 | 64 | ||||||
Liberty Property Trust † (A) | 1,900 | 61 | ||||||
Lincoln National | 50,500 | 1,208 | ||||||
Loews | 33,900 | 1,285 | ||||||
M&T Bank (A) | 2,500 | 204 | ||||||
Macerich † (A) | 5,935 | 255 | ||||||
Mack-Cali Realty † | 2,700 | 88 | ||||||
Maiden Holdings | 14,200 | 108 | ||||||
Manulife Financial | 1,565 | 20 | ||||||
Marsh & McLennan | 5,906 | 142 | ||||||
Marshall & Ilsley | 11,700 | 82 | ||||||
MBIA * (A) | 7,600 | 76 | ||||||
Mercury General | 1,700 | 69 | ||||||
MetLife | 85,300 | 3,280 | ||||||
Moody’s (A) | 3,838 | 96 | ||||||
Morgan Stanley | 147,100 | 3,630 | ||||||
MSCI, Cl A * | 1,300 | 43 | ||||||
Nationwide Health Properties † | 1,500 | 58 | ||||||
Nelnet, Cl A | 3,200 | 73 | ||||||
New York Community Bancorp (A) | 3,600 | 59 | ||||||
Northern Trust | 6,450 | 311 | ||||||
NYSE Euronext | 148,900 | 4,254 | ||||||
Old Republic International (A) | 5,100 | 71 | ||||||
OneBeacon Insurance Group, Cl A | 4,400 | 63 | ||||||
Oppenheimer Holdings, Cl A | 2,700 | 76 | ||||||
PartnerRe | 1,800 | 144 | ||||||
People’s United Financial | 10,625 | 139 | ||||||
Plum Creek Timber † | 2,090 | 74 | ||||||
PNC Financial Services Group | 92,300 | 4,791 | ||||||
Popular * | 14,800 | 43 | ||||||
Principal Financial Group | 8,000 | 207 | ||||||
Progressive | 10,982 | 229 | ||||||
Prologis † (A) | 9,200 | 108 | ||||||
Protective Life | 8,600 | 187 | ||||||
Prudential Financial | 65,100 | 3,527 | ||||||
Public Storage † | 15,450 | 1,499 | ||||||
Ramco-Gershenson Properties † | 10,600 | 114 | ||||||
Raymond James Financial (A) | 2,025 | 51 | ||||||
Rayonier † | 4,600 | 231 | ||||||
Regions Financial | 97,300 | 707 | ||||||
Reinsurance Group of America, Cl A | 21,100 | 1,019 | ||||||
RenaissanceRe Holdings (A) | 20,900 | 1,253 | ||||||
Resource Capital † (A) | 16,000 | 102 | ||||||
Simon Property Group † | 7,848 | 728 | ||||||
SL Green Realty † | 700 | 44 | ||||||
SLM * | 7,400 | 85 | ||||||
St. Joe * (A) | 1,700 | 42 | ||||||
StanCorp Financial Group | 10,400 | 395 | ||||||
State Street | 42,000 | 1,582 | ||||||
Sunstone Hotel Investors * † | 42,700 | 387 | ||||||
SunTrust Banks (A) | 27,800 | 718 | ||||||
SVB Financial Group * (A) | 1,550 | 66 | ||||||
T. Rowe Price Group (A) | 33,600 | 1,682 | ||||||
Taubman Centers † (A) | 37,300 | 1,664 |
Description | Shares | Market Value ($ Thousands) | ||||||
TD Ameritrade Holding * (A) | 7,650 | $ | 124 | |||||
Torchmark | 1,000 | 53 | ||||||
Transatlantic Holdings | 1,400 | 71 | ||||||
Travelers | 115,365 | 6,011 | ||||||
Unitrin | 4,900 | 120 | ||||||
Unum Group | 85,650 | 1,897 | ||||||
US Bancorp | 184,008 | 3,978 | ||||||
Validus Holdings | 30,600 | 807 | ||||||
Valley National Bancorp (A) | 2,276 | 29 | ||||||
Ventas † (A) | 3,400 | 175 | ||||||
Vornado Realty Trust † | 18,643 | 1,595 | ||||||
Waddell & Reed Financial, Cl A | 2,800 | 77 | ||||||
Walter Investment Management † | 876 | 15 | ||||||
Washington Federal | 9,300 | 142 | ||||||
Weingarten Realty Investors † (A) | 4,600 | 100 | ||||||
Wells Fargo | 841,467 | 21,146 | ||||||
WesBanco | 6,600 | 108 | ||||||
Weyerhaeuser | 9,119 | 144 | ||||||
White Mountains Insurance Group | 100 | 31 | ||||||
World Acceptance * (A) | 5,200 | 230 | ||||||
XL Group, Cl A | 12,400 | 269 | ||||||
251,006 | ||||||||
Health Care — 13.3% | ||||||||
Abbott Laboratories | 171,458 | 8,957 | ||||||
Abraxis BioScience * | 6,000 | 464 | ||||||
Aetna | 182,000 | 5,753 | ||||||
Alcon | 200 | 33 | ||||||
Alere * | 1,700 | 53 | ||||||
Alexion Pharmaceuticals * | 1,100 | 71 | ||||||
Allergan | 145,100 | 9,653 | ||||||
AmerisourceBergen | 81,576 | 2,501 | ||||||
Amgen * | 232,448 | 12,810 | ||||||
Amylin Pharmaceuticals * (A) | 3,700 | 77 | ||||||
Baxter International | 13,350 | 637 | ||||||
Beckman Coulter | 2,600 | 127 | ||||||
Becton Dickinson | 7,100 | 526 | ||||||
Biogen Idec * | 54,108 | 3,037 | ||||||
Boston Scientific * | 36,600 | 224 | ||||||
Bristol-Myers Squibb | 183,245 | 4,968 | ||||||
Bruker BioSciences * (A) | 22,500 | 316 | ||||||
C.R. Bard | 3,700 | 301 | ||||||
Cardinal Health | 42,500 | 1,404 | ||||||
CareFusion * | 4,700 | 117 | ||||||
Celgene * (A) | 85,985 | 4,954 | ||||||
Cerner * (A) | 1,100 | 92 | ||||||
Charles River Laboratories International * | 1,600 | 53 | ||||||
Cigna | 7,040 | 252 | ||||||
Community Health Systems * | 1,600 | 50 | ||||||
Cooper | 2,100 | 97 | ||||||
Covance * | 2,200 | 103 | ||||||
Coventry Health Care * | 56,900 | 1,225 | ||||||
Covidien | 79,231 | 3,184 | ||||||
Cyberonics * | 2,300 | 61 | ||||||
DaVita * | 1,425 | 98 | ||||||
Dendreon * (A) | 1,600 | 66 | ||||||
Dentsply International | 2,300 | 74 | ||||||
Edwards Lifesciences * | 1,400 | 94 | ||||||
Eli Lilly (A) | 146,971 | 5,369 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Endo Pharmaceuticals Holdings * | 45,900 | $ | 1,526 | |||||
Express Scripts * | 61,845 | 3,012 | ||||||
Forest Laboratories * | 114,300 | 3,535 | ||||||
Furiex Pharmaceuticals * | 433 | 5 | ||||||
Genzyme * | 56,950 | 4,031 | ||||||
Gilead Sciences * | 111,400 | 3,967 | ||||||
Health Management Associates, Cl A * (A) | 9,200 | 71 | ||||||
Health Net * | 43,800 | 1,191 | ||||||
Henry Schein * | 1,000 | 59 | ||||||
Hologic * | 7,600 | 122 | ||||||
Hospira * | 3,100 | 177 | ||||||
Human Genome Sciences * | 3,600 | 107 | ||||||
Humana * | 30,379 | 1,526 | ||||||
Idexx Laboratories * (A) | 3,500 | 216 | ||||||
Illumina * (A) | 1,600 | 79 | ||||||
Immucor * | 4,500 | 89 | ||||||
Impax Laboratories * | 2,600 | 51 | ||||||
Intuitive Surgical * (A) | 4,950 | 1,405 | ||||||
Invacare (A) | 9,200 | 244 | ||||||
Johnson & Johnson | 354,742 | 21,980 | ||||||
Kinetic Concepts * | 23,400 | 856 | ||||||
King Pharmaceuticals * | 62,950 | 627 | ||||||
Laboratory Corp of America Holdings * (A) | 39,034 | 3,061 | ||||||
Life Technologies * | 4,591 | 214 | ||||||
Lincare Holdings (A) | 23,850 | 598 | ||||||
McKesson | 2,326 | 144 | ||||||
Medco Health Solutions * | 144,986 | 7,548 | ||||||
Medicines * | 5,800 | 82 | ||||||
Medidata Solutions * | 2,000 | 39 | ||||||
Mednax * | 1,500 | 80 | ||||||
Medtronic | 210,676 | 7,074 | ||||||
Merck | 334,372 | 12,308 | ||||||
Mettler Toledo International * | 2,850 | 354 | ||||||
Mylan Laboratories * (A) | 7,475 | 141 | ||||||
Novo Nordisk ADR (A) | 44,800 | 4,410 | ||||||
Par Pharmaceutical * | 7,400 | 215 | ||||||
Patterson | 2,100 | 60 | ||||||
PerkinElmer | 5,950 | 138 | ||||||
Perrigo (A) | 36,000 | 2,312 | ||||||
Pfizer | 1,095,576 | 18,811 | ||||||
Pharmaceutical Product Development | 5,200 | 129 | ||||||
Quest Diagnostics | 3,004 | 152 | ||||||
Questcor Pharmaceuticals * | 2,100 | 21 | ||||||
ResMed * | 1,800 | 59 | ||||||
Sirona Dental Systems * | 7,300 | 263 | ||||||
St. Jude Medical * (A) | 111,724 | 4,395 | ||||||
Stryker | 12,000 | 601 | ||||||
SXC Health Solutions * | 6,000 | 219 | ||||||
Tenet Healthcare * | 9,200 | 43 | ||||||
Teva Pharmaceutical Industries ADR | 41,265 | 2,177 | ||||||
Thermo Fisher Scientific * | 51,600 | 2,470 | ||||||
UnitedHealth Group | 462,399 | 16,235 | ||||||
Valeant Pharmaceuticals International * (A) | 1,781 | 45 | ||||||
Varian Medical Systems * (A) | 2,900 | 175 | ||||||
VCA Antech * | 2,200 | 46 | ||||||
Vertex Pharmaceuticals * (A) | 2,700 | 93 |
Description | Shares | Market Value ($ Thousands) | ||||||
Warner Chilcott, Cl A | 1,700 | $ | 38 | |||||
Waters * | 8,900 | 630 | ||||||
Watson Pharmaceuticals * | 2,900 | 123 | ||||||
WellPoint * | 81,944 | 4,641 | ||||||
Zimmer Holdings * | 27,626 | 1,446 | ||||||
204,267 | ||||||||
Industrials — 9.5% | ||||||||
3M | 148,869 | 12,908 | ||||||
Aecom Technology * | 1,500 | 36 | ||||||
AGCO * (A) | 1,600 | 62 | ||||||
Alliant Techsystems * (A) | 2,500 | 188 | ||||||
Amerco * | 400 | 32 | ||||||
Ametek | 9,500 | 454 | ||||||
AMR * | 25,300 | 159 | ||||||
Avery Dennison | 1,300 | 48 | ||||||
AZZ | 1,000 | 43 | ||||||
Babcock & Wilcox * | 3,800 | 81 | ||||||
BE Aerospace * | 1,900 | 58 | ||||||
Boeing (A) | 116,139 | 7,728 | ||||||
Bucyrus International, Cl A | 1,500 | 104 | ||||||
C.H. Robinson Worldwide (A) | 2,502 | 175 | ||||||
Carlisle | 1,500 | 45 | ||||||
Caterpillar | 59,522 | 4,683 | ||||||
Chicago Bridge & Iron * | 4,600 | 113 | ||||||
Cintas | 1,700 | 47 | ||||||
CNH Global | 1,600 | 59 | ||||||
Continental Airlines, Cl B * (A) | 7,650 | 190 | ||||||
Con-way (A) | 3,100 | 96 | ||||||
Cooper Industries, Cl A | 8,100 | 396 | ||||||
Copart * | 4,900 | 162 | ||||||
Corrections Corp of America * | 1,900 | 47 | ||||||
Covanta Holding | 2,900 | 46 | ||||||
Crane | 4,850 | 184 | ||||||
CSX | 51,862 | 2,869 | ||||||
Cummins | 53,475 | 4,844 | ||||||
Danaher | 86,339 | 3,506 | ||||||
Deere | 23,600 | 1,647 | ||||||
Delta Air Lines * (A) | 8,100 | 94 | ||||||
Donaldson | 1,900 | 90 | ||||||
Dover | 17,200 | 898 | ||||||
Dun & Bradstreet | 15,100 | 1,119 | ||||||
DXP Enterprises * | 1,500 | 29 | ||||||
Eaton | 11,179 | 922 | ||||||
Emerson Electric | 83,601 | 4,402 | ||||||
EnerSys * | 4,000 | 100 | ||||||
Equifax | 2,500 | 78 | ||||||
Expeditors International of Washington (A) | 93,500 | 4,322 | ||||||
Fastenal (A) | 2,800 | 149 | ||||||
FedEx | 20,533 | 1,756 | ||||||
Flowserve | 2,004 | 219 | ||||||
Fluor (A) | 4,700 | 233 | ||||||
Foster Wheeler * | 2,100 | 51 | ||||||
FTI Consulting * | 1,300 | 45 | ||||||
Gardner Denver | 24,800 | 1,331 | ||||||
GATX (A) | 1,600 | 47 | ||||||
General Cable * | 3,000 | 81 | ||||||
General Dynamics | 65,106 | 4,089 | ||||||
General Electric | 1,227,955 | 19,954 | ||||||
Goodrich | 37,050 | 2,732 | ||||||
Graco | 1,400 | 44 | ||||||
Harsco | 2,300 | 57 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Hertz Global Holdings * (A) | 4,200 | $ | 44 | |||||
Honeywell International | 25,963 | 1,141 | ||||||
IDEX | 4,400 | 156 | ||||||
Illinois Tool Works | 31,929 | 1,501 | ||||||
Ingersoll-Rand | 3,300 | 118 | ||||||
Iron Mountain | 3,625 | 81 | ||||||
ITT | 18,100 | 848 | ||||||
Jacobs Engineering Group * | 3,100 | 120 | ||||||
John Bean Technologies | 216 | 4 | ||||||
Joy Global | 6,100 | 429 | ||||||
Kansas City Southern * | 1,100 | 41 | ||||||
KBR | 53,700 | 1,323 | ||||||
Kennametal | 18,000 | 557 | ||||||
L-3 Communications Holdings | 37,200 | 2,688 | ||||||
Lincoln Electric Holdings | 400 | 23 | ||||||
Lockheed Martin | 34,270 | 2,443 | ||||||
Manitowoc | 4,100 | 50 | ||||||
Manpower | 1,700 | 89 | ||||||
Masco | 7,600 | 84 | ||||||
MSC Industrial Direct, Cl A | 2,000 | 108 | ||||||
NACCO Industries, Cl A | 1,200 | 105 | ||||||
Navistar International * | 900 | 39 | ||||||
Norfolk Southern | 44,590 | 2,654 | ||||||
Northrop Grumman | 97,734 | 5,926 | ||||||
Oshkosh Truck * | 11,500 | 316 | ||||||
PACCAR (A) | 6,134 | 295 | ||||||
Pall | 2,322 | 97 | ||||||
Parker Hannifin | 33,675 | 2,359 | ||||||
Pentair | 2,400 | 81 | ||||||
Polypore International * | 1,400 | 42 | ||||||
Precision Castparts (A) | 29,857 | 3,802 | ||||||
Quanta Services * (A) | 88,900 | 1,696 | ||||||
Raytheon | 79,500 | 3,634 | ||||||
Regal-Beloit | 3,100 | 182 | ||||||
Republic Services | 7,345 | 224 | ||||||
Robert Half International (A) | 2,900 | 75 | ||||||
Rockwell Automation | 6,000 | 370 | ||||||
Rockwell Collins | 78,182 | 4,554 | ||||||
Roper Industries | 1,900 | 124 | ||||||
RR Donnelley & Sons | 126,500 | 2,145 | ||||||
Shaw Group * | 1,550 | 52 | ||||||
Skywest | 821 | 11 | ||||||
Southwest Airlines | 20,700 | 271 | ||||||
Spirit Aerosystems Holdings, Cl A * | 2,400 | 48 | ||||||
SPX | 749 | 47 | ||||||
Stericycle * | 600 | 42 | ||||||
Textron | 5,200 | 107 | ||||||
Thomas & Betts * | 5,400 | 222 | ||||||
Timken | 26,900 | 1,032 | ||||||
Trinity Industries (A) | 5,700 | 127 | ||||||
Tyco International | 21,311 | 783 | ||||||
UAL * (A) | 51,700 | 1,222 | ||||||
Union Pacific | 42,900 | 3,509 | ||||||
United Parcel Service, Cl B | 22,300 | 1,487 | ||||||
United Technologies | 146,007 | 10,400 | ||||||
URS * | 3,500 | 133 | ||||||
Waste Management (A) | 11,218 | 401 | ||||||
WW Grainger (A) | 13,209 | 1,573 | ||||||
145,887 | ||||||||
Information Technology — 19.5% | ||||||||
Accenture, Cl A | 8,900 | 378 |
Description | Shares | Market Value ($ Thousands) | ||||||
Acme Packet * (A) | 3,300 | $ | 125 | |||||
Activision Blizzard | 134,300 | 1,453 | ||||||
Adobe Systems * (A) | 190,667 | 4,986 | ||||||
Advanced Micro Devices * (A) | 7,200 | 51 | ||||||
Advent Software * (A) | 1,378 | 72 | ||||||
Agilent Technologies * | 18,450 | 616 | ||||||
Akamai Technologies * | 3,000 | 151 | ||||||
Alliance Data Systems * (A) | 1,100 | 72 | ||||||
Altera (A) | 9,400 | 284 | ||||||
Amdocs * (A) | 36,900 | 1,058 | ||||||
Amphenol, Cl A | 2,800 | 137 | ||||||
Analog Devices | 4,050 | 127 | ||||||
AOL * | 24,060 | 595 | ||||||
Aon Hewitt, Cl A * | 1,500 | 76 | ||||||
Apple * | 126,037 | 35,763 | ||||||
Applied Materials | 59,300 | 693 | ||||||
Arris Group * | 10,500 | 103 | ||||||
Arrow Electronics * | 5,000 | 134 | ||||||
Autodesk * | 85,709 | 2,740 | ||||||
Automatic Data Processing | 8,218 | 345 | ||||||
Avnet * | 61,100 | 1,650 | ||||||
AVX | 8,200 | 113 | ||||||
BMC Software * | 6,848 | 277 | ||||||
Broadcom, Cl A | 34,700 | 1,228 | ||||||
Broadridge Financial Solutions | 3,000 | 69 | ||||||
Brocade Communications Systems * | 8,700 | 51 | ||||||
CA | 17,197 | 363 | ||||||
Cadence Design Systems * | 11,100 | 85 | ||||||
Check Point Software Technologies * | 68,994 | 2,548 | ||||||
Ciena * (A) | 6,400 | 100 | ||||||
Cisco Systems * | 964,199 | 21,116 | ||||||
Citrix Systems * (A) | 121,305 | 8,278 | ||||||
Cognizant Technology Solutions, Cl A * | 4,456 | 287 | ||||||
Computer Sciences | 37,900 | 1,743 | ||||||
Convergys * | 7,400 | 77 | ||||||
CoreLogic | 2,100 | 40 | ||||||
Corning | 349,295 | 6,385 | ||||||
Cree * (A) | 1,200 | 65 | ||||||
Cypress Semiconductor * (A) | 6,250 | 79 | ||||||
Dell * | 29,400 | 381 | ||||||
Diebold | 1,700 | 53 | ||||||
Dolby Laboratories, Cl A * (A) | 4,335 | 246 | ||||||
DST Systems | 850 | 38 | ||||||
eBay * | 167,434 | 4,085 | ||||||
EchoStar, Cl A * | 2,800 | 53 | ||||||
Electronic Arts * | 5,200 | 85 | ||||||
EMC * | 647,303 | 13,147 | ||||||
Equinix * (A) | 800 | 82 | ||||||
F5 Networks * | 31,148 | 3,233 | ||||||
Factset Research Systems (A) | 900 | 73 | ||||||
Fidelity National Information Services | 6,909 | 188 | ||||||
First Solar * (A) | 1,200 | 177 | ||||||
Fiserv * | 2,242 | 121 | ||||||
Global Payments | 2,000 | 86 | ||||||
Google, Cl A * | 18,638 | 9,800 | ||||||
Harris | 50,800 | 2,250 | ||||||
Hewlett-Packard | 191,073 | 8,038 | ||||||
IAC * | 46,495 | 1,221 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Ingram Micro, Cl A * | 104,400 | $ | 1,760 | |||||
Intel (A) | 577,736 | 11,110 | ||||||
Interactive Intelligence * | 3,600 | 63 | ||||||
International Business Machines | 88,008 | 11,805 | ||||||
International Rectifier * | 3,500 | 74 | ||||||
Intersil, Cl A (A) | 4,000 | 47 | ||||||
Intuit * (A) | 156,431 | 6,853 | ||||||
Isilon Systems * | 3,700 | 82 | ||||||
Itron * | 5,100 | 312 | ||||||
Jabil Circuit | 11,700 | 169 | ||||||
JDS Uniphase * | 3,700 | 46 | ||||||
Juniper Networks * (A) | 15,546 | 472 | ||||||
Kla-Tencor | 3,800 | 134 | ||||||
Lam Research * | 6,700 | 280 | ||||||
Lender Processing Services | 3,732 | 124 | ||||||
Lexmark International, Cl A * | 27,400 | 1,223 | ||||||
Linear Technology (A) | 8,300 | 255 | ||||||
LSI Logic * | 45,500 | 208 | ||||||
Marvell Technology Group * | 67,200 | 1,177 | ||||||
Mastercard, Cl A | 23,400 | 5,242 | ||||||
Maxim Integrated Products (A) | 2,500 | 46 | ||||||
McAfee * | 2,900 | 137 | ||||||
MEMC Electronic Materials * | 4,300 | 51 | ||||||
Microchip Technology (A) | 2,350 | 74 | ||||||
Micron Technology * (A) | 128,900 | 929 | ||||||
Microsoft | 909,624 | 22,277 | ||||||
Monster Worldwide * (A) | 3,200 | 41 | ||||||
Motorola * (A) | 49,700 | 424 | ||||||
Multi-Fineline Electronix * | 1,400 | 31 | ||||||
National Semiconductor | 9,100 | 116 | ||||||
NetApp * (A) | 86,510 | 4,307 | ||||||
NeuStar, Cl A * | 30,400 | 756 | ||||||
Novell * | 13,200 | 79 | ||||||
Novellus Systems * (A) | 5,200 | 138 | ||||||
Nuance Communications * (A) | 150,000 | 2,346 | ||||||
Nvidia * (A) | 12,250 | 143 | ||||||
Oracle | 381,802 | 10,251 | ||||||
Paychex (A) | 119,024 | 3,272 | ||||||
Plantronics | 2,700 | 91 | ||||||
Polycom * | 60,764 | 1,658 | ||||||
QLogic * | 4,200 | 74 | ||||||
Qualcomm | 371,963 | 16,783 | ||||||
Rackspace Hosting * (A) | 101,600 | 2,640 | ||||||
Rambus * | 5,000 | 104 | ||||||
Red Hat * | 62,700 | 2,571 | ||||||
Research In Motion * | 23,600 | 1,149 | ||||||
Rovi * (A) | 3,923 | 198 | ||||||
Salesforce.com * (A) | 30,182 | 3,374 | ||||||
SanDisk * | 8,400 | 308 | ||||||
Seagate Technology * | 88,600 | 1,044 | ||||||
Symantec * | 73,114 | 1,109 | ||||||
Synopsys * | 10,800 | 268 | ||||||
Tech Data * | 22,300 | 899 | ||||||
Tellabs | 11,600 | 86 | ||||||
Teradata * | 104,900 | 4,045 | ||||||
Teradyne * (A) | 9,800 | 109 | ||||||
Texas Instruments (A) | 566,700 | 15,380 | ||||||
TIBCO Software * | 12,000 | 213 | ||||||
Total System Services (A) | 3,100 | 47 | ||||||
Trimble Navigation * (A) | 2,600 | 91 | ||||||
Tyco Electronics | 12,900 | 377 | ||||||
Verigy * | 863 | 7 |
Description | Shares | Market Value ($ Thousands) | ||||||
VeriSign * (A) | 146,754 | $ | 4,658 | |||||
Visa, Cl A | 145,514 | 10,806 | ||||||
Vishay Intertechnology * | 84,300 | 816 | ||||||
Vishay Precision Group * | 5,807 | 91 | ||||||
VistaPrint * | 1,200 | 46 | ||||||
VMware, Cl A * (A) | 2,000 | 170 | ||||||
WebMD Health, Cl A * (A) | 2,596 | 129 | ||||||
Western Digital * | 36,650 | 1,041 | ||||||
Western Union | 40,588 | 717 | ||||||
Xerox | 236,028 | 2,443 | ||||||
Xilinx (A) | 4,600 | 122 | ||||||
Yahoo! * | 23,550 | 334 | ||||||
Zebra Technologies, Cl A * | 7,200 | 242 | ||||||
298,964 | ||||||||
Materials — 2.7% | ||||||||
Air Products & Chemicals | 3,550 | 294 | ||||||
Airgas (A) | 1,700 | 115 | ||||||
AK Steel Holding | 6,500 | 90 | ||||||
Albemarle | 1,100 | 51 | ||||||
Alcoa | 48,500 | 587 | ||||||
Allegheny Technologies (A) | 80,366 | 3,733 | ||||||
Alpha Natural Resources * | 2,600 | 107 | ||||||
Aptargroup | 1,100 | 50 | ||||||
Ashland | 46,100 | 2,248 | ||||||
Ball | 18,200 | 1,071 | ||||||
Bemis | 2,400 | 76 | ||||||
Boise * | 27,400 | 178 | ||||||
Cabot | 8,000 | 261 | ||||||
Celanese, Ser A | 16,800 | 539 | ||||||
CF Industries Holdings | 900 | 86 | ||||||
Cliffs Natural Resources (A) | 1,800 | 115 | ||||||
Commercial Metals (A) | 17,700 | 256 | ||||||
Crown Holdings * | 2,200 | 63 | ||||||
Cytec Industries | 24,100 | 1,359 | ||||||
Dow Chemical | 52,975 | 1,455 | ||||||
E.I. Du Pont de Nemours | 17,800 | 794 | ||||||
Eagle Materials | 753 | 18 | ||||||
Eastman Chemical | 47,500 | 3,515 | ||||||
Ecolab | 12,100 | 614 | ||||||
FMC | 900 | 62 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 7,850 | 670 | ||||||
Greif, Cl A | 1,500 | 88 | ||||||
Huntsman | 4,200 | 49 | ||||||
International Flavors & Fragrances | 1,400 | 68 | ||||||
International Paper | 56,000 | 1,218 | ||||||
Kaiser Aluminum (A) | 1,000 | 43 | ||||||
Koppers Holdings | 4,900 | 132 | ||||||
Lubrizol | 29,900 | 3,168 | ||||||
Martin Marietta Materials (A) | 550 | 42 | ||||||
MeadWestvaco | 7,400 | 181 | ||||||
Monsanto | 83,180 | 3,987 | ||||||
Mosaic | 3,000 | 176 | ||||||
Nalco Holding | 109,700 | 2,766 | ||||||
NewMarket | 1,600 | 182 | ||||||
Newmont Mining | 15,000 | 942 | ||||||
Nucor (A) | 19,800 | 756 | ||||||
OM Group * | 2,300 | 69 | ||||||
Owens-Illinois * (A) | 23,150 | 650 | ||||||
Packaging Corp of America | 1,900 | 44 | ||||||
Pactiv * | 1,632 | 54 |
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
PPG Industries | 3,000 | $ | 218 | |||||
Praxair (A) | 5,100 | 460 | ||||||
Reliance Steel & Aluminum | 10,200 | 424 | ||||||
Rock-Tenn, Cl A | 20,100 | 1,001 | ||||||
Royal Gold (A) | 1,938 | 97 | ||||||
RPM International | 1,500 | 30 | ||||||
Sealed Air | 6,700 | 151 | ||||||
Sherwin-Williams (A) | 1,700 | 128 | ||||||
Sigma-Aldrich (A) | 2,200 | 133 | ||||||
Sonoco Products | 26,600 | 889 | ||||||
Southern Copper (A) | 39,711 | 1,395 | ||||||
Steel Dynamics | 6,500 | 92 | ||||||
Syngenta ADR | 71,300 | 3,550 | ||||||
Titanium Metals * | 2,700 | 54 | ||||||
United States Steel (A) | 2,368 | 104 | ||||||
Walter Energy | 2,400 | 195 | ||||||
Zep | 2,700 | 47 | ||||||
41,990 | ||||||||
Telecommunication Services — 3.5% | ||||||||
American Tower, Cl A * | 119,796 | 6,141 | ||||||
AT&T | 809,646 | 23,156 | ||||||
Atlantic Telegraph-Network | 3,100 | 153 | ||||||
CenturyTel (A) | 38,268 | 1,510 | ||||||
Crown Castle International * | 145,000 | 6,402 | ||||||
Frontier Communications (A) | 50,369 | 412 | ||||||
MetroPCS Communications * (A) | 51,700 | 541 | ||||||
NII Holdings * | 2,900 | 119 | ||||||
Qwest Communications International (A) | 19,518 | 122 | ||||||
SBA Communications, Cl A * (A) | 2,100 | 85 | ||||||
Sprint Nextel * | 398,800 | 1,846 | ||||||
Telephone & Data Systems | 1,900 | 62 | ||||||
Telephone & Data Systems, Cl L | 1,300 | 37 | ||||||
US Cellular * | 33,676 | 1,548 | ||||||
USA Mobility | 4,200 | 67 | ||||||
Verizon Communications | 350,459 | 11,421 | ||||||
Windstream | 8,323 | 102 | ||||||
53,724 | ||||||||
Utilities — 3.5% | ||||||||
AES * | 760,450 | 8,631 | ||||||
AGL Resources | 11,200 | 430 | ||||||
Allegheny Energy | 4,200 | 103 | ||||||
Alliant Energy | 35,200 | 1,280 | ||||||
Ameren | 52,000 | 1,477 | ||||||
American Electric Power | 114,300 | 4,141 | ||||||
American Water Works | 16,200 | 377 | ||||||
Aqua America (A) | 2,033 | 42 | ||||||
Atmos Energy | 1,700 | 50 | ||||||
Calpine * | 6,300 | 78 | ||||||
Centerpoint Energy | 9,500 | 149 | ||||||
CMS Energy (A) | 63,700 | 1,148 | ||||||
Consolidated Edison (A) | 6,500 | 313 | ||||||
Constellation Energy Group | 46,710 | 1,506 | ||||||
Dominion Resources (A) | 14,783 | 645 | ||||||
DPL | 11,900 | 311 | ||||||
DTE Energy | 32,800 | 1,506 | ||||||
Duke Energy | 21,544 | 382 | ||||||
Dynegy, Cl A * | 1,360 | 7 | ||||||
Edison International | 104,500 | 3,594 | ||||||
Energen | 44,000 | 2,012 | ||||||
Entergy | 39,348 | 3,011 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Exelon | 96,376 | $ | 4,104 | |||||
FirstEnergy (A) | 36,700 | 1,414 | ||||||
Great Plains Energy | 3,500 | 66 | ||||||
Hawaiian Electric Industries (A) | 3,200 | 72 | ||||||
MDU Resources Group | 46,800 | 934 | ||||||
Mirant * | 134,200 | 1,337 | ||||||
National Fuel Gas | 1,300 | 67 | ||||||
NextEra Energy | 11,538 | 628 | ||||||
NiSource | 12,500 | 217 | ||||||
NRG Energy * (A) | 50,400 | 1,049 | ||||||
NSTAR | 7,000 | 275 | ||||||
NV Energy | 36,000 | 473 | ||||||
OGE Energy | 48,974 | 1,953 | ||||||
Oneok (A) | 6,500 | 293 | ||||||
PG&E | 6,150 | 279 | ||||||
Pinnacle West Capital | 25,300 | 1,044 | ||||||
Portland General Electric | 1,400 | 28 | ||||||
PPL | 5,600 | 153 | ||||||
Progress Energy | 5,500 | 244 | ||||||
Public Service Enterprise Group | 145,100 | 4,800 | ||||||
Questar | 3,500 | 61 | ||||||
SCANA | 5,700 | 230 | ||||||
Sempra Energy | 3,747 | 202 | ||||||
Southern | 19,064 | 710 | ||||||
Southern Union | 38,900 | 936 | ||||||
TECO Energy | 14,700 | 255 | ||||||
Wisconsin Energy | 1,000 | 58 | ||||||
Xcel Energy | 8,453 | 194 | ||||||
53,269 | ||||||||
Total Common Stock | 1,498,649 | |||||||
AFFILIATED PARTNERSHIP — 8.3% | ||||||||
SEI Liquidity Fund, L.P., | ||||||||
0.230% ** †† (B) | 131,826,378 | 127,731 | ||||||
Total Affiliated Partnership | 127,731 | |||||||
CASH EQUIVALENT — 2.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | ||||||||
0.150% ** †† | 35,702,053 | 35,702 | ||||||
Total Cash Equivalent | 35,702 | |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.4% | ||||||||
U.S. Treasury Bills | ||||||||
0.200%, 12/16/10 | $ | 6,212 | 6,210 | |||||
Total U.S. Treasury Obligation | 6,210 | |||||||
Total Investments — 108.5% | $ | 1,668,292 |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2010
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 3 | Dec-2010 | $ | 6 | ||||||||
S&P Composite Index | 101 | Dec-2010 | 556 | |||||||||
S&P Mid 400 Index E-MINI | 58 | Dec-2010 | 160 | |||||||||
$ | 722 | |||||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,537,777 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $127,992 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $127,731 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,498,649 | $ | — | $ | — | $ | 1,498,649 | ||||||||
Affiliated Partnership | — | 127,731 | — | 127,731 | ||||||||||||
Cash Equivalent | 35,702 | — | — | 35,702 | ||||||||||||
U.S. Treasury Obligation | — | 6,210 | — | 6,210 | ||||||||||||
Total Investments in Securities | $ | 1,534,351 | $ | 133,941 | $ | — | $ | 1,668,292 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 722 | $ | — | $ | — | $ | 722 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.9% | ||||||||
Consumer Discretionary — 10.2% | ||||||||
Abercrombie & Fitch, Cl A (A) | 11,300 | $ | 444 | |||||
Amazon.com * | 46,300 | 7,272 | ||||||
Apollo Group, Cl A * | 16,103 | 827 | ||||||
Autonation * (A) | 10,126 | 235 | ||||||
Autozone * (A) | 3,894 | 891 | ||||||
Bed Bath & Beyond * (A) | 35,133 | 1,525 | ||||||
Best Buy (A) | 44,641 | 1,823 | ||||||
Big Lots * | 9,913 | 330 | ||||||
Carmax * | 28,500 | 794 | ||||||
Carnival | 56,984 | 2,177 | ||||||
CBS, Cl B (A) | 88,101 | 1,397 | ||||||
Coach | 40,610 | 1,744 | ||||||
Comcast, Cl A | 367,222 | 6,639 | ||||||
Darden Restaurants | 18,813 | 805 | ||||||
DeVry | 8,200 | 404 | ||||||
DIRECTV, Cl A * | 113,300 | 4,717 | ||||||
Discovery Communications, Cl A * (A) | 37,300 | 1,624 | ||||||
DR Horton | 38,649 | 430 | ||||||
Eastman Kodak * (A) | 31,610 | 133 | ||||||
Expedia (A) | 26,700 | 753 | ||||||
Family Dollar Stores | 17,322 | 765 | ||||||
Ford Motor * (A) | 447,580 | 5,478 | ||||||
Fortune Brands (A) | 19,119 | 941 | ||||||
GameStop, Cl A * (A) | 18,600 | 367 | ||||||
Gannett (A) | 33,547 | 410 | ||||||
Gap (A) | 59,131 | 1,102 | ||||||
Genuine Parts | 20,136 | 898 | ||||||
Goodyear Tire & Rubber * (A) | 30,693 | 330 | ||||||
H&R Block | 42,804 | 554 | ||||||
Harley-Davidson (A) | 29,908 | 851 | ||||||
Harman International Industries * | 8,500 | 284 | ||||||
Hasbro | 17,191 | 765 | ||||||
Home Depot (A) | 218,696 | 6,928 | ||||||
International Game Technology | 41,056 | 593 | ||||||
Interpublic Group * | 63,501 | 637 | ||||||
J.C. Penney (A) | 30,680 | 834 | ||||||
Johnson Controls | 88,757 | 2,707 | ||||||
Kohl’s * | 40,047 | 2,110 | ||||||
Leggett & Platt | 19,454 | 443 | ||||||
Lennar, Cl A (A) | 23,507 | 362 | ||||||
Limited Brands (A) | 34,427 | 922 | ||||||
Lowe’s | 186,436 | 4,156 | ||||||
Macy’s | 54,564 | 1,260 | ||||||
Marriott International, Cl A (A) | 37,452 | 1,342 | ||||||
Mattel | 48,418 | 1,136 | ||||||
McDonald’s | 139,170 | 10,370 | ||||||
McGraw-Hill | 40,521 | 1,340 | ||||||
Meredith (A) | 5,363 | 179 | ||||||
New York Times, Cl A * | 14,392 | 111 | ||||||
Newell Rubbermaid (A) | 36,747 | 654 | ||||||
News, Cl A | 296,833 | 3,877 | ||||||
Nike, Cl B (A) | 51,194 | 4,103 | ||||||
Nordstrom | 21,902 | 815 | ||||||
Office Depot * | 38,120 | 175 | ||||||
Omnicom Group | 40,304 | 1,591 | ||||||
O’Reilly Automotive * (A) | 17,300 | 920 | ||||||
Polo Ralph Lauren (A) | 8,800 | 791 | ||||||
priceline.com * | 6,280 | 2,187 |
Description | Shares | Market Value ($ Thousands) | ||||||
Pulte Homes * (A) | 41,982 | $ | 368 | |||||
RadioShack | 15,025 | 321 | ||||||
Ross Stores (A) | 15,834 | 865 | ||||||
Scripps Networks Interactive, Cl A | 11,600 | 552 | ||||||
Sears Holdings * (A) | 6,065 | 437 | ||||||
Snap-On | 6,953 | 323 | ||||||
Stanley Black & Decker | 21,435 | 1,313 | ||||||
Staples | 94,114 | 1,969 | ||||||
Starbucks (A) | 96,358 | 2,465 | ||||||
Starwood Hotels & Resorts Worldwide (A) | 25,335 | 1,331 | ||||||
Target | 94,319 | 5,040 | ||||||
Tiffany (A) | 16,973 | 798 | ||||||
Time Warner | 149,912 | 4,595 | ||||||
Time Warner Cable, Cl A | 46,783 | 2,526 | ||||||
TJX | 52,867 | 2,359 | ||||||
Urban Outfitters * | 17,000 | 535 | ||||||
VF | 11,214 | 908 | ||||||
Viacom, Cl B | 80,101 | 2,899 | ||||||
Walt Disney | 250,027 | 8,278 | ||||||
Washington Post, Cl B (A) | 755 | 302 | ||||||
Whirlpool (A) | 9,905 | 802 | ||||||
Wyndham Worldwide | 22,902 | 629 | ||||||
Wynn Resorts (A) | 9,200 | 798 | ||||||
Yum! Brands (A) | 61,670 | 2,841 | ||||||
141,506 | ||||||||
Consumer Staples — 11.1% | ||||||||
Altria Group | 271,856 | 6,530 | ||||||
Archer-Daniels-Midland | 84,266 | 2,690 | ||||||
Avon Products (A) | 55,151 | 1,771 | ||||||
Brown-Forman, Cl B | 14,495 | 894 | ||||||
Campbell Soup (A) | 24,175 | 864 | ||||||
Clorox (A) | 18,442 | 1,231 | ||||||
Coca-Cola | 301,553 | 17,647 | ||||||
Coca-Cola Enterprises | 43,617 | 1,352 | ||||||
Colgate-Palmolive | 64,493 | 4,957 | ||||||
ConAgra Foods | 57,552 | 1,263 | ||||||
Constellation Brands, Cl A * | 25,800 | 456 | ||||||
Costco Wholesale (A) | 58,118 | 3,748 | ||||||
CVS Caremark | 178,835 | 5,628 | ||||||
Dean Foods * | 24,800 | 253 | ||||||
Dr Pepper Snapple Group (A) | 31,500 | 1,119 | ||||||
Estee Lauder, Cl A (A) | 15,900 | 1,005 | ||||||
General Mills | 83,982 | 3,069 | ||||||
Hershey (A) | 22,012 | 1,047 | ||||||
HJ Heinz (A) | 41,449 | 1,963 | ||||||
Hormel Foods | 8,500 | 379 | ||||||
JM Smucker | 15,148 | 917 | ||||||
Kellogg | 32,867 | 1,660 | ||||||
Kimberly-Clark | 53,899 | 3,506 | ||||||
Kraft Foods, Cl A | 226,898 | 7,002 | ||||||
Kroger | 85,159 | 1,844 | ||||||
Lorillard | 20,176 | 1,620 | ||||||
McCormick (A) | 17,361 | 730 | ||||||
Mead Johnson Nutrition, Cl A | 27,134 | 1,544 | ||||||
Molson Coors Brewing, Cl B | 20,546 | 970 | ||||||
PepsiCo | 207,985 | 13,819 | ||||||
Philip Morris International | 239,665 | 13,426 | ||||||
Procter & Gamble | 371,101 | 22,255 | ||||||
Reynolds American (A) | 22,340 | 1,327 | ||||||
Safeway | 51,546 | 1,091 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Sara Lee | 87,687 | $ | 1,178 | |||||
SUPERVALU (A) | 26,397 | 304 | ||||||
SYSCO (A) | 78,220 | 2,231 | ||||||
Tyson Foods, Cl A | 37,890 | 607 | ||||||
Walgreen (A) | 128,944 | 4,320 | ||||||
Wal-Mart Stores | 261,544 | 13,998 | ||||||
Whole Foods Market * (A) | 19,100 | 709 | ||||||
152,924 | ||||||||
Energy — 10.7% | ||||||||
Anadarko Petroleum | 65,280 | 3,724 | ||||||
Apache (A) | 47,400 | 4,634 | ||||||
Baker Hughes (A) | 56,749 | 2,418 | ||||||
Cabot Oil & Gas (A) | 13,600 | 410 | ||||||
Cameron International * | 31,500 | 1,353 | ||||||
Chesapeake Energy (A) | 83,900 | 1,900 | ||||||
Chevron | 262,478 | 21,274 | ||||||
ConocoPhillips | 194,943 | 11,196 | ||||||
Consol Energy (A) | 29,900 | 1,105 | ||||||
Denbury Resources * (A) | 52,100 | 828 | ||||||
Devon Energy | 56,913 | 3,685 | ||||||
Diamond Offshore Drilling (A) | 8,900 | 603 | ||||||
El Paso (A) | 93,294 | 1,155 | ||||||
EOG Resources (A) | 33,344 | 3,100 | ||||||
Equities | 19,300 | 696 | ||||||
Exxon Mobil | 667,298 | 41,232 | ||||||
FMC Technologies * (A) | 15,500 | 1,058 | ||||||
Halliburton | 119,279 | 3,945 | ||||||
Helmerich & Payne (A) | 13,900 | 562 | ||||||
Hess | 38,075 | 2,251 | ||||||
Marathon Oil | 93,756 | 3,103 | ||||||
Massey Energy (A) | 13,900 | 431 | ||||||
Murphy Oil | 24,963 | 1,546 | ||||||
Nabors Industries * (A) | 37,978 | 686 | ||||||
National Oilwell Varco | 54,868 | 2,440 | ||||||
Noble Energy (A) | 22,700 | 1,705 | ||||||
Occidental Petroleum | 105,659 | 8,273 | ||||||
Peabody Energy (A) | 34,700 | 1,701 | ||||||
Pioneer Natural Resources (A) | 15,400 | 1,001 | ||||||
QEP Resources | 23,400 | 705 | ||||||
Range Resources | 21,200 | 808 | ||||||
Rowan * | 14,597 | 443 | ||||||
Schlumberger | 178,843 | 11,019 | ||||||
Southwestern Energy * | 46,000 | 1,538 | ||||||
Spectra Energy | 83,561 | 1,884 | ||||||
Sunoco (A) | 16,457 | 601 | ||||||
Tesoro (A) | 16,700 | 223 | ||||||
Valero Energy | 72,808 | 1,275 | ||||||
Williams | 75,565 | 1,444 | ||||||
147,955 | ||||||||
Financials — 15.3% | ||||||||
ACE | 43,900 | 2,557 | ||||||
Aflac | 62,008 | 3,206 | ||||||
Allstate | 70,159 | 2,214 | ||||||
American Express | 136,815 | 5,750 | ||||||
American International Group * (A) | 18,008 | 704 | ||||||
Ameriprise Financial | 33,184 | 1,571 | ||||||
AON (A) | 35,329 | 1,382 | ||||||
Apartment Investment & Management, Cl A † (A) | 15,239 | 326 | ||||||
Assurant | 14,800 | 602 |
Description | Shares | Market Value ($ Thousands) | ||||||
AvalonBay Communities † (A) | 11,108 | $ | 1,154 | |||||
Bank of America | 1,311,228 | 17,190 | ||||||
Bank of New York Mellon | 159,686 | 4,173 | ||||||
BB&T (A) | 89,597 | 2,157 | ||||||
Berkshire Hathaway, Cl B * (A) | 226,147 | 18,698 | ||||||
Boston Properties † (A) | 18,000 | 1,496 | ||||||
Capital One Financial | 59,062 | 2,336 | ||||||
CB Richard Ellis Group, Cl A * (A) | 34,600 | 632 | ||||||
Charles Schwab (A) | 126,127 | 1,753 | ||||||
Chubb | 42,256 | 2,408 | ||||||
Cincinnati Financial (A) | 20,079 | 579 | ||||||
Citigroup * | 3,106,185 | 12,114 | ||||||
CME Group | 8,507 | 2,216 | ||||||
Comerica | 23,183 | 861 | ||||||
Discover Financial Services | 69,630 | 1,162 | ||||||
E*Trade Financial * | 26,543 | 386 | ||||||
Equity Residential † (A) | 36,440 | 1,733 | ||||||
Federated Investors, Cl B (A) | 10,545 | 240 | ||||||
Fifth Third Bancorp | 101,711 | 1,224 | ||||||
First Horizon National * (A) | 28,389 | 324 | ||||||
Franklin Resources | 19,515 | 2,086 | ||||||
Genworth Financial, Cl A * | 67,000 | 819 | ||||||
Goldman Sachs Group | 67,456 | 9,753 | ||||||
Hartford Financial Services Group | 57,386 | 1,317 | ||||||
HCP † (A) | 41,100 | 1,479 | ||||||
Health Care † (A) | 15,900 | 753 | ||||||
Host Hotels & Resorts † (A) | 84,048 | 1,217 | ||||||
Hudson City Bancorp (A) | 60,300 | 739 | ||||||
Huntington Bancshares (A) | 88,375 | 501 | ||||||
IntercontinentalExchange * | 9,300 | 974 | ||||||
Invesco | 61,900 | 1,314 | ||||||
Janus Capital Group (A) | 22,177 | 243 | ||||||
JPMorgan Chase | 519,857 | 19,791 | ||||||
Keycorp | 117,383 | 934 | ||||||
Kimco Realty † | 52,100 | 821 | ||||||
Legg Mason (A) | 20,800 | 630 | ||||||
Leucadia National | 24,000 | 567 | ||||||
Lincoln National | 38,798 | 928 | ||||||
Loews | 41,549 | 1,575 | ||||||
M&T Bank (A) | 10,561 | 864 | ||||||
Marsh & McLennan (A) | 70,850 | 1,709 | ||||||
Marshall & Ilsley | 71,170 | 501 | ||||||
MetLife (A) | 117,726 | 4,527 | ||||||
Moody’s (A) | 26,808 | 670 | ||||||
Morgan Stanley | 183,761 | 4,535 | ||||||
NASDAQ OMX Group * | 19,100 | 371 | ||||||
Northern Trust | 31,105 | 1,500 | ||||||
NYSE Euronext | 34,700 | 991 | ||||||
People’s United Financial | 47,600 | 623 | ||||||
Plum Creek Timber † (A) | 20,535 | 725 | ||||||
PNC Financial Services Group | 69,275 | 3,596 | ||||||
Principal Financial Group | 41,548 | 1,077 | ||||||
Progressive | 87,368 | 1,823 | ||||||
Prologis † (A) | 60,060 | 708 | ||||||
Prudential Financial | 61,466 | 3,330 | ||||||
Public Storage † | 18,028 | 1,749 | ||||||
Regions Financial (A) | 164,663 | 1,197 | ||||||
Simon Property Group † (A) | 38,602 | 3,580 | ||||||
SLM * | 65,143 | 752 | ||||||
State Street | 66,191 | 2,493 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
SunTrust Banks | 64,296 | $ | 1,661 | |||||
T. Rowe Price Group | 33,408 | 1,673 | ||||||
Torchmark (A) | 10,405 | 553 | ||||||
Travelers | 61,552 | 3,207 | ||||||
Unum Group | 42,452 | 940 | ||||||
US Bancorp | 251,706 | 5,442 | ||||||
Ventas † (A) | 20,000 | 1,031 | ||||||
Vornado Realty Trust † (A) | 20,973 | 1,794 | ||||||
Wells Fargo | 680,963 | 17,113 | ||||||
Weyerhaeuser (A) | 70,340 | 1,109 | ||||||
XL Group, Cl A | 43,605 | 945 | ||||||
Zions Bancorporation (A) | 21,760 | 465 | ||||||
210,843 | ||||||||
Health Care — 11.4% | ||||||||
Abbott Laboratories | 202,146 | 10,560 | ||||||
Aetna | 56,102 | 1,773 | ||||||
Allergan | 40,566 | 2,699 | ||||||
AmerisourceBergen | 37,092 | 1,137 | ||||||
Amgen * | 124,718 | 6,873 | ||||||
Baxter International | 78,538 | 3,747 | ||||||
Becton Dickinson | 30,162 | 2,235 | ||||||
Biogen Idec * | 32,000 | 1,796 | ||||||
Boston Scientific * (A) | 196,012 | 1,202 | ||||||
Bristol-Myers Squibb | 225,775 | 6,121 | ||||||
C.R. Bard (A) | 12,688 | 1,033 | ||||||
Cardinal Health | 46,955 | 1,551 | ||||||
CareFusion * | 22,677 | 563 | ||||||
Celgene * | 60,800 | 3,503 | ||||||
Cephalon * (A) | 9,500 | 593 | ||||||
Cerner * (A) | 8,700 | 731 | ||||||
Cigna | 36,271 | 1,298 | ||||||
Coventry Health Care * | 18,513 | 399 | ||||||
DaVita * | 13,600 | 939 | ||||||
Dentsply International (A) | 18,400 | 588 | ||||||
Eli Lilly | 133,430 | 4,874 | ||||||
Express Scripts * | 72,304 | 3,521 | ||||||
Forest Laboratories * | 36,063 | 1,116 | ||||||
Genzyme * | 33,332 | 2,359 | ||||||
Gilead Sciences * (A) | 109,172 | 3,888 | ||||||
Hospira * | 21,604 | 1,232 | ||||||
Humana * | 22,597 | 1,135 | ||||||
Intuitive Surgical * (A) | 5,120 | 1,453 | ||||||
Johnson & Johnson | 360,282 | 22,323 | ||||||
King Pharmaceuticals * | 31,686 | 316 | ||||||
Laboratory Corp of America Holdings * (A) | 13,763 | 1,079 | ||||||
Life Technologies * | 23,843 | 1,113 | ||||||
McKesson | 35,269 | 2,179 | ||||||
Medco Health Solutions * | 56,816 | 2,958 | ||||||
Medtronic | 141,217 | 4,742 | ||||||
Merck | 402,344 | 14,810 | ||||||
Mylan Laboratories * (A) | 38,911 | 732 | ||||||
Patterson | 11,300 | 324 | ||||||
PerkinElmer | 14,040 | 325 | ||||||
Pfizer | 1,054,176 | 18,100 | ||||||
Quest Diagnostics (A) | 20,024 | 1,011 | ||||||
St. Jude Medical * | 43,456 | 1,710 | ||||||
Stryker | 44,642 | 2,234 | ||||||
Tenet Healthcare * | 51,876 | 245 | ||||||
Thermo Fisher Scientific * | 53,143 | 2,545 | ||||||
UnitedHealth Group | 148,147 | 5,201 | ||||||
Varian Medical Systems * (A) | 15,700 | 950 |
Description | Shares | Market Value ($ Thousands) | ||||||
Waters * | 12,197 | $ | 863 | |||||
Watson Pharmaceuticals * | 14,071 | 595 | ||||||
WellPoint * | 52,398 | 2,968 | ||||||
Zimmer Holdings * | 26,455 | 1,384 | ||||||
157,626 | ||||||||
Industrials — 10.5% | ||||||||
3M | 92,782 | 8,045 | ||||||
Avery Dennison | 13,715 | 509 | ||||||
Boeing | 95,632 | 6,363 | ||||||
C.H. Robinson Worldwide (A) | 22,000 | 1,538 | ||||||
Caterpillar (A) | 81,897 | 6,444 | ||||||
Cintas (A) | 18,307 | 504 | ||||||
CSX | 51,450 | 2,846 | ||||||
Cummins | 26,240 | 2,377 | ||||||
Danaher | 68,096 | 2,765 | ||||||
Deere (A) | 56,002 | 3,908 | ||||||
Dover | 24,737 | 1,292 | ||||||
Dun & Bradstreet | 6,300 | 467 | ||||||
Eaton | 21,969 | 1,812 | ||||||
Emerson Electric | 98,206 | 5,172 | ||||||
Equifax | 15,725 | 491 | ||||||
Expeditors International of Washington | 27,900 | 1,290 | ||||||
Fastenal (A) | 19,300 | 1,026 | ||||||
FedEx | 41,305 | 3,532 | ||||||
Flowserve | 7,100 | 777 | ||||||
Fluor (A) | 23,444 | 1,161 | ||||||
General Dynamics | 50,926 | 3,199 | ||||||
General Electric | 1,394,674 | 22,664 | ||||||
Goodrich | 16,620 | 1,225 | ||||||
Honeywell International | 100,855 | 4,432 | ||||||
Illinois Tool Works (A) | 65,824 | 3,095 | ||||||
ITT | 23,500 | 1,101 | ||||||
Jacobs Engineering Group * | 16,900 | 654 | ||||||
L-3 Communications Holdings | 15,023 | 1,086 | ||||||
Lockheed Martin | 38,894 | 2,772 | ||||||
Masco | 47,668 | 525 | ||||||
Norfolk Southern | 48,926 | 2,912 | ||||||
Northrop Grumman | 39,519 | 2,396 | ||||||
PACCAR (A) | 47,091 | 2,267 | ||||||
Pall | 15,495 | 645 | ||||||
Parker Hannifin | 21,471 | 1,504 | ||||||
Pitney Bowes (A) | 28,375 | 607 | ||||||
Precision Castparts | 18,400 | 2,343 | ||||||
Quanta Services * (A) | 28,600 | 546 | ||||||
Raytheon | 49,268 | 2,252 | ||||||
Republic Services | 43,283 | 1,320 | ||||||
Robert Half International (A) | 18,927 | 492 | ||||||
Rockwell Automation | 18,726 | 1,156 | ||||||
Rockwell Collins | 20,878 | 1,216 | ||||||
Roper Industries (A) | 12,000 | 782 | ||||||
RR Donnelley & Sons | 27,111 | 460 | ||||||
Ryder System | 7,254 | 310 | ||||||
Southwest Airlines | 98,649 | 1,289 | ||||||
Stericycle * (A) | 10,900 | 757 | ||||||
Textron (A) | 34,598 | 711 | ||||||
Tyco International | 66,900 | 2,457 | ||||||
Union Pacific | 65,994 | 5,398 | ||||||
United Parcel Service, Cl B | 128,811 | 8,590 | ||||||
United Technologies | 121,432 | 8,650 | ||||||
Waste Management (A) | 63,728 | 2,278 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
WW Grainger (A) | 7,965 | $ | 949 | |||||
145,359 | ||||||||
Information Technology — 18.5% | ||||||||
Adobe Systems * (A) | 68,836 | 1,800 | ||||||
Advanced Micro Devices * (A) | 70,763 | 503 | ||||||
Agilent Technologies * | 46,506 | 1,552 | ||||||
Akamai Technologies * (A) | 23,800 | 1,194 | ||||||
Altera (A) | 38,051 | 1,148 | ||||||
Amphenol, Cl A | 22,700 | 1,112 | ||||||
Analog Devices | 39,499 | 1,239 | ||||||
Apple * | 119,431 | 33,888 | ||||||
Applied Materials | 173,550 | 2,027 | ||||||
Autodesk * | 29,317 | 937 | ||||||
Automatic Data Processing | 65,150 | 2,738 | ||||||
BMC Software * (A) | 23,449 | 949 | ||||||
Broadcom, Cl A (A) | 55,736 | 1,972 | ||||||
CA | 50,527 | 1,067 | ||||||
Cisco Systems * | 746,604 | 16,351 | ||||||
Citrix Systems * (A) | 24,842 | 1,695 | ||||||
Cognizant Technology Solutions, Cl A * (A) | 39,500 | 2,547 | ||||||
Computer Sciences | 21,033 | 967 | ||||||
Compuware * (A) | 30,175 | 257 | ||||||
Corning | 205,778 | 3,762 | ||||||
Dell * | 227,274 | 2,945 | ||||||
eBay * | 149,932 | 3,658 | ||||||
Electronic Arts * | 43,978 | 723 | ||||||
EMC * | 268,040 | 5,444 | ||||||
Fidelity National Information Services | 32,565 | 883 | ||||||
First Solar * (A) | 6,340 | 934 | ||||||
Fiserv * | 19,980 | 1,075 | ||||||
Flir Systems * | 19,200 | 494 | ||||||
Google, Cl A * | 32,491 | 17,084 | ||||||
Harris | 16,700 | 740 | ||||||
Hewlett-Packard | 296,465 | 12,472 | ||||||
Intel | 728,315 | 14,006 | ||||||
International Business Machines | 164,937 | 22,125 | ||||||
Intuit * | 36,986 | 1,620 | ||||||
Iron Mountain (A) | 24,800 | 554 | ||||||
Jabil Circuit | 25,979 | 374 | ||||||
JDS Uniphase * | 29,456 | 365 | ||||||
Juniper Networks * (A) | 67,800 | 2,058 | ||||||
Kla-Tencor (A) | 21,771 | 767 | ||||||
Lexmark International, Cl A * | 10,239 | 457 | ||||||
Linear Technology (A) | 28,494 | 876 | ||||||
LSI Logic * | 91,546 | 417 | ||||||
Mastercard, Cl A | 12,800 | 2,867 | ||||||
McAfee * | 19,600 | 926 | ||||||
MEMC Electronic Materials * (A) | 29,300 | 349 | ||||||
Microchip Technology (A) | 24,800 | 780 | ||||||
Micron Technology * (A) | 109,569 | 790 | ||||||
Microsoft | 995,893 | 24,390 | ||||||
Molex (A) | 17,460 | 365 | ||||||
Monster Worldwide * (A) | 15,034 | 195 | ||||||
Motorola * (A) | 306,806 | 2,617 | ||||||
National Semiconductor | 29,337 | 375 | ||||||
NetApp * (A) | 45,476 | 2,264 | ||||||
Novell * | 40,689 | 243 | ||||||
Novellus Systems * (A) | 11,727 | 312 | ||||||
Nvidia * | 74,048 | 865 | ||||||
Oracle | 505,988 | 13,586 |
Description | Shares | Market Value ($ Thousands) | ||||||
Paychex | 41,456 | $ | 1,140 | |||||
QLogic * | 14,148 | 250 | ||||||
Qualcomm | 209,832 | 9,467 | ||||||
Red Hat * | 25,400 | 1,042 | ||||||
SAIC * | 38,844 | 621 | ||||||
Salesforce.com * (A) | 14,900 | 1,666 | ||||||
SanDisk * (A) | 30,200 | 1,107 | ||||||
Symantec * | 106,447 | 1,615 | ||||||
Tellabs | 50,899 | 379 | ||||||
Teradata * | 20,668 | 797 | ||||||
Teradyne * (A) | 26,107 | 291 | ||||||
Texas Instruments | 160,949 | 4,368 | ||||||
Total System Services | 24,380 | 372 | ||||||
VeriSign * (A) | 23,000 | 730 | ||||||
Visa, Cl A | 64,972 | 4,825 | ||||||
Western Digital * | 30,400 | 863 | ||||||
Western Union | 89,812 | 1,587 | ||||||
Xerox | 177,606 | 1,838 | ||||||
Xilinx (A) | 32,409 | 862 | ||||||
Yahoo! * | 176,238 | 2,497 | ||||||
255,017 | ||||||||
Materials — 3.5% | ||||||||
Air Products & Chemicals | 27,426 | 2,272 | ||||||
Airgas (A) | 10,400 | 707 | ||||||
AK Steel Holding | 14,800 | 204 | ||||||
Alcoa (A) | 134,535 | 1,629 | ||||||
Allegheny Technologies (A) | 12,259 | 570 | ||||||
Ball | 11,891 | 700 | ||||||
Bemis | 14,490 | 460 | ||||||
CF Industries Holdings | 9,390 | 897 | ||||||
Cliffs Natural Resources (A) | 18,011 | 1,151 | ||||||
Dow Chemical (A) | 152,075 | 4,176 | ||||||
E.I. Du Pont de Nemours | 118,135 | 5,271 | ||||||
Eastman Chemical | 9,608 | 711 | ||||||
Ecolab | 30,930 | 1,569 | ||||||
FMC | 9,500 | 650 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 61,468 | 5,249 | ||||||
International Flavors & Fragrances | 9,794 | 475 | ||||||
International Paper (A) | 56,070 | 1,219 | ||||||
MeadWestvaco | 21,515 | 525 | ||||||
Monsanto | 71,048 | 3,405 | ||||||
Newmont Mining | 63,908 | 4,014 | ||||||
Nucor (A) | 41,882 | 1,600 | ||||||
Owens-Illinois * | 22,600 | 634 | ||||||
Pactiv * | 16,587 | 547 | ||||||
PPG Industries | 21,545 | 1,569 | ||||||
Praxair (A) | 39,799 | 3,592 | ||||||
Sealed Air | 19,828 | �� | 446 | |||||
Sherwin-Williams (A) | 12,116 | 910 | ||||||
Sigma-Aldrich (A) | 15,536 | 938 | ||||||
Titanium Metals * | 12,100 | 242 | ||||||
United States Steel (A) | 18,326 | 803 | ||||||
Vulcan Materials (A) | 17,449 | 644 | ||||||
47,779 | ||||||||
Telecommunication Services — 3.2% | ||||||||
American Tower, Cl A * | 53,200 | 2,727 | ||||||
AT&T | 771,940 | 22,077 | ||||||
CenturyTel (A) | 39,792 | 1,570 | ||||||
Frontier Communications (A) | 129,025 | 1,054 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
MetroPCS Communications * (A) | 33,700 | $ | 352 | |||||
Qwest Communications International (A) | 227,426 | 1,426 | ||||||
Sprint Nextel * | 384,022 | 1,778 | ||||||
Verizon Communications | 370,098 | 12,062 | ||||||
Windstream (A) | 61,246 | 753 | ||||||
43,799 | ||||||||
Utilities — 3.5% | ||||||||
AES * | 85,990 | 976 | ||||||
Allegheny Energy | 20,968 | 514 | ||||||
Ameren | 31,044 | 882 | ||||||
American Electric Power | 61,915 | 2,243 | ||||||
Centerpoint Energy | 55,068 | 866 | ||||||
CMS Energy (A) | 28,292 | 510 | ||||||
Consolidated Edison (A) | 36,333 | 1,752 | ||||||
Constellation Energy Group | 25,599 | 825 | ||||||
Dominion Resources (A) | 78,640 | 3,433 | ||||||
DTE Energy | 22,345 | 1,026 | ||||||
Duke Energy (A) | 173,522 | 3,073 | ||||||
Edison International | 42,553 | 1,463 | ||||||
Entergy | 25,064 | 1,918 | ||||||
Exelon | 87,054 | 3,707 | ||||||
FirstEnergy (A) | 39,587 | 1,526 | ||||||
Integrys Energy Group (A) | 10,134 | 527 | ||||||
NextEra Energy (A) | 53,920 | 2,933 | ||||||
Nicor (A) | 5,325 | 244 | ||||||
NiSource | 34,479 | 600 | ||||||
Northeast Utilities | 23,100 | 683 | ||||||
NRG Energy * (A) | 33,700 | 702 | ||||||
Oneok | 13,900 | 626 | ||||||
Pepco Holdings (A) | 27,500 | 511 | ||||||
PG&E (A) | 51,129 | 2,322 | ||||||
Pinnacle West Capital | 14,749 | 609 | ||||||
PPL | 60,371 | 1,644 | ||||||
Progress Energy | 36,583 | 1,625 | ||||||
Public Service Enterprise Group | 66,230 | 2,191 | ||||||
SCANA | 14,500 | 585 | ||||||
Sempra Energy | 31,965 | 1,720 | ||||||
Southern | 108,635 | 4,046 | ||||||
TECO Energy | 26,212 | 454 | ||||||
Wisconsin Energy | 15,600 | 902 | ||||||
Xcel Energy | 59,219 | 1,360 | ||||||
48,998 | ||||||||
Total Common Stock | 1,351,806 | |||||||
AFFILIATED PARTNERSHIP — 13.4% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (B) | 187,500,597 | 184,420 | ||||||
Total Affiliated Partnership | 184,420 | |||||||
CASH EQUIVALENT — 2.6% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% ** †† | 35,344,525 | 35,345 | ||||||
Total Cash Equivalent | 35,345 | |||||||
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.125%, 11/18/10 | $ | 250 | $ | 250 | ||||
0.080%, 10/14/10 | 2,895 | 2,895 | ||||||
Total U.S. Treasury Obligations | 3,145 | |||||||
Total Investments — 114.1% | $ | 1,574,716 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 687 | Dec-2010 | $ | 1,154 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,380,547 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $182,445 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $184,420 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2010
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,351,806 | $ | — | $ | — | $ | 1,351,806 | ||||||||
Affiliated Partnership | — | 184,420 | — | 184,420 | ||||||||||||
Cash Equivalent | 35,345 | — | — | 35,345 | ||||||||||||
U.S. Treasury Obligations | — | 3,145 | — | 3,145 | ||||||||||||
Total Investments in Securities | $ | 1,387,151 | $ | 187,565 | $ | — | $ | 1,574,716 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,154 | $ | — | $ | — | $ | 1,154 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.8% | ||||||||
Consumer Discretionary — 15.6% | ||||||||
Aaron Rents | 7,650 | $ | 141 | |||||
American Greetings, Cl A | 11,700 | 218 | ||||||
American Public Education * (A) | 30,193 | 992 | ||||||
America’s Car-Mart * | 6,800 | 171 | ||||||
Ameristar Casinos (A) | 9,100 | 159 | ||||||
AnnTaylor Stores * | 13,800 | 279 | ||||||
Arbitron | 2,200 | 62 | ||||||
ATC Technology * | 6,200 | 154 | ||||||
Barnes & Noble (A) | 1,900 | 31 | ||||||
Belo, Cl A * | 37,600 | 233 | ||||||
Big 5 Sporting Goods | 8,600 | 115 | ||||||
Bluegreen * | 1,884 | 5 | ||||||
Blyth | 4,100 | 169 | ||||||
Brinker International | 8,063 | 152 | ||||||
Brown Shoe | 22,500 | 258 | ||||||
Brunswick (A) | 26,000 | 396 | ||||||
Buckle (A) | 2,700 | 72 | ||||||
Buffalo Wild Wings * | 6,060 | 290 | ||||||
Cabela’s * (A) | 20,925 | 397 | ||||||
California Pizza Kitchen * | 21,700 | 370 | ||||||
Callaway Golf (A) | 31,048 | 217 | ||||||
Capella Education * (A) | 11,400 | 885 | ||||||
Carter’s * | 4,200 | 111 | ||||||
Casual Male Retail Group * | 40,500 | 165 | ||||||
Cato, Cl A | 27,494 | 736 | ||||||
CEC Entertainment * | 10,850 | 373 | ||||||
Cheesecake Factory * | 16,016 | 424 | ||||||
Childrens Place Retail Stores * | 2,500 | 122 | ||||||
Choice Hotels International | 1,200 | 44 | ||||||
Christopher & Banks | 15,300 | 121 | ||||||
Cinemark Holdings | 5,300 | 85 | ||||||
Citi Trends * | 5,800 | 140 | ||||||
Cooper Tire & Rubber | 34,502 | 677 | ||||||
Core-Mark Holding * | 600 | 19 | ||||||
Corinthian Colleges * | 10,000 | 70 | ||||||
Cracker Barrel Old Country Store | 13,608 | 691 | ||||||
CROCS * | 39,575 | 515 | ||||||
Dana Holding * (A) | 61,300 | 755 | ||||||
Deckers Outdoor * (A) | 14,600 | 729 | ||||||
Denny’s * (A) | 11,300 | 35 | ||||||
Dillard’s, Cl A (A) | 7,900 | 187 | ||||||
DineEquity * | 2,500 | 112 | ||||||
Domino’s Pizza * | 8,800 | 116 | ||||||
DSW, Cl A * (A) | 16,000 | 459 | ||||||
Eastman Kodak * (A) | 43,700 | 183 | ||||||
Entercom Communications * | 33,448 | 263 | ||||||
Ethan Allen Interiors (A) | 3,500 | 61 | ||||||
EW Scripps, Cl A * | 8,200 | 65 | ||||||
Finish Line, Cl A | 59,500 | 828 | ||||||
Foot Locker | 32,420 | 471 | ||||||
Gaylord Entertainment * (A) | 12,454 | 380 | ||||||
Genesco * | 12,100 | 362 | ||||||
Grand Canyon Education * (A) | 4,900 | 107 | ||||||
Hillenbrand | 10,137 | 218 | ||||||
HOT Topic | 22,300 | 134 | ||||||
HSN * | 24,155 | 722 | ||||||
Iconix Brand Group * | 49,375 | 864 | ||||||
Insight Enterprises * | 22,400 | 350 | ||||||
Interval Leisure Group * | 2,800 | 38 | ||||||
Isle of Capri Casinos * (A) | 20,425 | 146 |
Description | Shares | Market Value ($ Thousands) | ||||||
Jo-Ann Stores * | 3,811 | $ | 170 | |||||
Jones Apparel Group | 26,650 | 523 | ||||||
JOS A Bank Clothiers * | 6,600 | 281 | ||||||
Kirkland’s * | 31,302 | 434 | ||||||
Knology * | 13,436 | 180 | ||||||
Lakeland Industries * | 17,200 | 157 | ||||||
La-Z-Boy, Cl Z * (A) | 33,200 | 280 | ||||||
Leggett & Platt | 3,700 | 84 | ||||||
Lennar, Cl A (A) | 9,225 | 142 | ||||||
Libbey * | 18,100 | 238 | ||||||
Liberty Media - Starz, Ser A * | 700 | 45 | ||||||
Life Time Fitness * (A) | 14,824 | 585 | ||||||
Lifetime Brands * (A) | 6,000 | 91 | ||||||
Lincoln Educational Services * | 6,100 | 88 | ||||||
Liz Claiborne * (A) | 32,200 | 196 | ||||||
Matthews International, Cl A | 4,000 | 141 | ||||||
MDC Partners, Cl A | 69,000 | 923 | ||||||
Media General, Cl A * (A) | 9,600 | 86 | ||||||
Men’s Wearhouse | 3,300 | 79 | ||||||
Meredith (A) | 5,700 | 190 | ||||||
Monro Muffler | 4,900 | 226 | ||||||
Morningstar * | 1,700 | 76 | ||||||
National CineMedia | 6,002 | 107 | ||||||
New Frontier Media * | 53,500 | 95 | ||||||
Nutri/System (A) | 5,700 | 110 | ||||||
OfficeMax * | 25,830 | 338 | ||||||
Oxford Industries | 19,600 | 466 | ||||||
Peet’s Coffee & Tea * (A) | 1,100 | 38 | ||||||
Penske Auto Group * | 7,500 | 99 | ||||||
PF Chang’s China Bistro (A) | 8,900 | 411 | ||||||
Pier 1 Imports * | 23,800 | 195 | ||||||
Polaris Industries (A) | 3,700 | 241 | ||||||
Pool | 4,700 | 94 | ||||||
Pre-Paid Legal Services * (A) | 2,700 | 169 | ||||||
RC2 * | 15,453 | 324 | ||||||
Regal Entertainment Group, Cl A | 16,300 | 214 | ||||||
Regis | 12,100 | 232 | ||||||
Retail Ventures * | 10,000 | 107 | ||||||
Ryland Group (A) | 16,090 | 288 | ||||||
Scholastic (A) | 9,124 | 254 | ||||||
Sealy * (A) | 10,200 | 25 | ||||||
Service International | 11,099 | 96 | ||||||
Shoe Carnival * | 6,600 | 133 | ||||||
Shutterfly * | 9,500 | 247 | ||||||
Skechers U.S.A., Cl A * | 20,800 | 489 | ||||||
Sotheby’s (A) | 16,500 | 608 | ||||||
Spartan Motors | 5,800 | 27 | ||||||
Stage Stores | 36,608 | 476 | ||||||
Stamps.com * | 3,400 | 44 | ||||||
Steiner Leisure * | 7,223 | 275 | ||||||
Stewart Enterprises, Cl A | 23,600 | 127 | ||||||
Stoneridge * | 6,100 | 64 | ||||||
Sturm Ruger (A) | 35,980 | 491 | ||||||
Systemax | 1,200 | 15 | ||||||
Talbots * (A) | 40,325 | 528 | ||||||
Tempur-Pedic International * | 29,202 | 905 | ||||||
Tenneco * | 36,148 | 1,047 | ||||||
Tesla Motors * | 3,400 | 69 | ||||||
Texas Roadhouse, Cl A * | 5,600 | 79 | ||||||
Timberland, Cl A * | 5,100 | 101 | ||||||
Tractor Supply | 7,642 | 303 | ||||||
Tupperware Brands | 2,100 | 96 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Ulta Salon Cosmetics & Fragrance * (A) | 14,900 | $ | 435 | |||||
Under Armour, Cl A * (A) | 5,475 | 247 | ||||||
Universal Technical Institute | 13,900 | 272 | ||||||
Valassis Communications * | 17,400 | 590 | ||||||
Volcom * | 3,700 | 71 | ||||||
Wendy’s, Cl A | 48,821 | 221 | ||||||
Wolverine World Wide | 6,700 | 194 | ||||||
34,916 | ||||||||
Consumer Staples — 3.1% | ||||||||
Andersons | 5,300 | 201 | ||||||
Cal-Maine Foods (A) | 6,400 | 186 | ||||||
Casey’s General Stores (A) | 14,414 | 602 | ||||||
China-Biotics * (A) | 6,700 | 74 | ||||||
Chiquita Brands International * | 48,978 | 648 | ||||||
Cosan SA Industria e Comercio (Brazil) | 7,100 | 105 | ||||||
Darling International * | 36,500 | 311 | ||||||
Del Monte Foods | 37,000 | 485 | ||||||
Flowers Foods | 3,900 | 97 | ||||||
Heckmann * | 9,200 | 36 | ||||||
Herbalife | 3,054 | 185 | ||||||
J&J Snack Foods | 5,600 | 235 | ||||||
Kulim Malaysia | 37,300 | 104 | ||||||
Lancaster Colony (A) | 8,197 | 389 | ||||||
Mead Johnson Nutrition, Cl A | 1,200 | 68 | ||||||
Medifast * (A) | 24,033 | 652 | ||||||
Nu Skin Enterprises, Cl A | 8,200 | 236 | ||||||
Pantry * | 4,300 | 104 | ||||||
Pricesmart | 2,300 | 67 | ||||||
Ruddick (A) | 24,465 | 848 | ||||||
TreeHouse Foods * | 14,280 | 658 | ||||||
United Natural Foods * | 6,854 | 227 | ||||||
Universal | 2,600 | 104 | ||||||
USANA Health Sciences * | 400 | 16 | ||||||
Vector Group (A) | 8,721 | 163 | ||||||
Viterra, Cl Common Subscription Recei * | 11,700 | 102 | ||||||
Winn-Dixie Stores * | 5,493 | 39 | ||||||
6,942 | ||||||||
Energy — 6.2% | ||||||||
Allis-Chalmers Energy * (A) | 17,600 | 73 | ||||||
American Oil & Gas * (A) | 24,200 | 196 | ||||||
Approach Resources * | 28,400 | 317 | ||||||
Berry Petroleum, Cl A | 21,498 | 682 | ||||||
BPZ Resources * (A) | 20,300 | 78 | ||||||
Brigham Exploration * | 27,600 | 517 | ||||||
CARBO Ceramics (A) | 7,200 | 583 | ||||||
Clayton Williams Energy * | 1,800 | 91 | ||||||
Clean Energy Fuels * (A) | 6,200 | 88 | ||||||
Complete Production Services * | 18,538 | 379 | ||||||
Comstock Resources * (A) | 42,750 | 961 | ||||||
Contango Oil & Gas * | 3,515 | 176 | ||||||
CVR Energy * | 13,400 | 111 | ||||||
Delek US Holdings | 5,100 | 37 | ||||||
Dril-Quip * | 200 | 13 | ||||||
Energy Partners * | 2,700 | 32 | ||||||
Energy XXI Bermuda * (A) | 30,645 | 708 | ||||||
Exterran Holdings * (A) | 7,200 | 164 | ||||||
Frontline | 7,900 | 225 | ||||||
GeoMet * | 49,900 | 43 | ||||||
Global Geophysical Services * | 6,400 | 47 |
Description | Shares | Market Value ($ Thousands) | ||||||
GMX Resources * (A) | 17,300 | $ | 84 | |||||
Goodrich Petroleum * (A) | 65,530 | 955 | ||||||
Gulfport Energy * | 7,300 | 101 | ||||||
Helix Energy Solutions Group * | 32,388 | 361 | ||||||
Holly | 4,000 | 115 | ||||||
Houston American Energy (A) | 3,300 | 33 | ||||||
Key Energy Services * | 66,695 | 634 | ||||||
Kodiak Oil & Gas * (A) | 78,666 | 267 | ||||||
Lufkin Industries | 11,684 | 513 | ||||||
Matrix Service * | 15,800 | 138 | ||||||
McMoRan Exploration * (A) | 10,900 | 188 | ||||||
Newpark Resources * | 11,200 | 94 | ||||||
Nordic American Tanker Shipping, Cl US (A) | 9,900 | 265 | ||||||
Northern Oil And Gas * (A) | 6,600 | 112 | ||||||
Oilsands Quest * (A) | 186,777 | 97 | ||||||
Overseas Shipholding Group (A) | 7,900 | 271 | ||||||
PetroHawk Energy * | 59,353 | 958 | ||||||
Petroquest Energy * | 5,500 | 33 | ||||||
Quicksilver Resources * | 46,084 | 581 | ||||||
Scorpio Tankers * | 72,174 | 815 | ||||||
Ship Finance International (A) | 10,400 | 202 | ||||||
StealthGas * | 26,100 | 114 | ||||||
Swift Energy * | 3,600 | 101 | ||||||
Teekay Shipping | 8,200 | 219 | ||||||
Tetra Technologies * | 25,600 | 261 | ||||||
Tidewater (A) | 2,055 | 92 | ||||||
USEC * (A) | 35,800 | 186 | ||||||
Vaalco Energy * | 24,440 | 140 | ||||||
Vantage Drilling * (A) | 68,500 | 110 | ||||||
W&T Offshore (A) | 10,800 | 114 | ||||||
World Fuel Services | 12,300 | 320 | ||||||
13,995 | ||||||||
Financials — 16.1% | ||||||||
Alterra Capital Holdings (A) | 9,900 | 197 | ||||||
American Campus Communities † (A) | 8,800 | 268 | ||||||
American Capital * | 22,363 | 130 | ||||||
American Equity Investment Life Holding (A) | 11,800 | 121 | ||||||
Amtrust Financial Services | 16,150 | 234 | ||||||
Anworth Mortgage Asset † | 21,058 | 150 | ||||||
Apartment Investment & Management, Cl A † | 4,200 | 90 | ||||||
Apollo Investment * | 11,362 | 116 | ||||||
Ashford Hospitality Trust * † | 9,500 | 86 | ||||||
Aspen Insurance Holdings | 16,100 | 488 | ||||||
Associated Banc-Corp | 15,400 | 203 | ||||||
Associated Estates Realty † | 27,915 | 390 | ||||||
Assured Guaranty | 14,150 | 242 | ||||||
Astoria Financial | 11,700 | 159 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 3,600 | 52 | ||||||
Bancorp Rhode Island | 9,100 | 254 | ||||||
Bancorpsouth (A) | 16,500 | 234 | ||||||
Bank of Hawaii | 4,800 | 216 | ||||||
BGC Partners, Cl A | 14,700 | 88 | ||||||
BioMed Realty Trust † | 13,185 | 236 | ||||||
Boston Private Financial Holdings (A) | 43,100 | 282 | ||||||
Brandywine Realty Trust † | 4,300 | 53 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Brasil Brokers Participacoes | 20,400 | $ | 89 | |||||
Calamos Asset Management, Cl A | 5,300 | 61 | ||||||
Capstead Mortgage † | 36,700 | 399 | ||||||
Cardinal Financial | 19,500 | 187 | ||||||
Cathay General Bancorp | 26,000 | 309 | ||||||
CBL & Associates Properties † (A) | 9,700 | 127 | ||||||
Cedar Shopping Centers † | 30,074 | 183 | ||||||
Chatham Lodging Trust † | 8,700 | 162 | ||||||
Chemical Financial | 4,600 | 95 | ||||||
Chimera Investment † | 49,000 | 194 | ||||||
CNO Financial Group * | 18,200 | 101 | ||||||
Cogdell Spencer † | 48,803 | 308 | ||||||
Cohen & Steers (A) | 3,800 | 83 | ||||||
Colonial Properties Trust † | 21,350 | 346 | ||||||
Community Bank System (A) | 10,800 | 249 | ||||||
Cowen Group, Cl A * | 27,900 | 92 | ||||||
Crawford, Cl B * | 2,200 | 5 | ||||||
CreXus Investment † | 8,100 | 97 | ||||||
CVB Financial (A) | 15,000 | 113 | ||||||
Delphi Financial Group, Cl A | 14,800 | 370 | ||||||
Developers Diversified Realty † | 32,342 | 363 | ||||||
DiamondRock Hospitality † | 58,786 | 558 | ||||||
Dollar Financial * | 5,462 | 114 | ||||||
Duff & Phelps | 4,700 | 63 | ||||||
DuPont Fabros Technology † | 19,773 | 497 | ||||||
EastGroup Properties † | 2,122 | 79 | ||||||
Education Realty Trust † | 48,000 | 343 | ||||||
eHealth * | 2,700 | �� | 35 | |||||
EMC Insurance Group | 800 | 17 | ||||||
Encore Bancshares * | 9,150 | 66 | ||||||
Entertainment Properties Trust † | 1,800 | 78 | ||||||
Equity Lifestyle Properties † | 2,162 | 118 | ||||||
Equity One † | 13,000 | 219 | ||||||
ESSA Bancorp | 8,486 | 101 | ||||||
FBL Financial Group, Cl A | 943 | 24 | ||||||
FBR Capital Markets * | 86,700 | 272 | ||||||
Federated Investors, Cl B (A) | 4,500 | 102 | ||||||
Financial Engines * | 20,025 | 266 | ||||||
First American Financial | 17,950 | 268 | ||||||
First Bancorp * (A) | 11,200 | 3 | ||||||
First Cash Financial Services * | 672 | 19 | ||||||
First Commonwealth Financial | 13,600 | 74 | ||||||
First Financial Bancorp | 44,490 | 742 | ||||||
FirstMerit | 10,200 | 187 | ||||||
Flushing Financial | 6,600 | 76 | ||||||
FNB (Pennsylvania) (A) | 16,800 | 144 | ||||||
Fpic Insurance Group * | 9,625 | 338 | ||||||
Fulton Financial | 27,930 | 253 | ||||||
General Shopping Brasil (Brazil) * | 17,300 | 102 | ||||||
Getty Realty † | 6,863 | 184 | ||||||
Gluskin Sheff + Associates | 3,000 | 53 | ||||||
Great American Group * | 54,800 | 24 | ||||||
Greenhill (A) | 6,666 | 529 | ||||||
Hancock Holding | 15,270 | 459 | ||||||
Hanover Insurance Group | 11,100 | 522 | ||||||
Harleysville Group | 2,300 | 75 | ||||||
Hatteras Financial † | 9,500 | 270 | ||||||
Hercules Technology Growth Capital | 10,500 | 106 | ||||||
Highwoods Properties † | 25,437 | 826 | ||||||
Home Bancshares | 11,300 | 230 | ||||||
Home Federal Bancorp | 8,800 | 107 |
Description | Shares | Market Value ($ Thousands) | ||||||
Home Properties † | 1,800 | $ | 95 | |||||
Hudson Valley Holding (A) | 3,370 | 66 | ||||||
Infinity Property & Casualty | 2,200 | 107 | ||||||
Inland Real Estate † | 68,587 | 570 | ||||||
Investors Real Estate Trust † (A) | 8,000 | 67 | ||||||
Kennedy-Wilson Holdings * (A) | 10,500 | 111 | ||||||
Knight Capital Group, Cl A * | 5,800 | 72 | ||||||
Lexington Realty Trust † (A) | 48,077 | 344 | ||||||
Life Partners Holdings (A) | 1,250 | 24 | ||||||
LTC Properties † | 15,700 | 401 | ||||||
Maiden Holdings | 31,100 | 237 | ||||||
MB Financial | 5,600 | 91 | ||||||
MCG Capital | 3,800 | 22 | ||||||
Meadowbrook Insurance Group | 76,900 | 690 | ||||||
Medical Properties Trust † | 20,200 | 205 | ||||||
MF Global Holdings * | 35,250 | 254 | ||||||
MFA Financial † | 82,600 | 630 | ||||||
MGIC Investment * (A) | 78,585 | 725 | ||||||
Mid-America Apartment Communities † (A) | 2,651 | 155 | ||||||
National Penn Bancshares | 98,441 | 615 | ||||||
National Retail Properties † (A) | 19,850 | 498 | ||||||
Nationwide Health Properties † | 2,200 | 85 | ||||||
Navios Maritime Acquisition * | 35,500 | 195 | ||||||
Nelnet, Cl A | 12,000 | 274 | ||||||
Omega Healthcare Investors † | 1,100 | 25 | ||||||
optionsXpress Holdings * | 12,453 | 191 | ||||||
Pacific Continental | 19,050 | 172 | ||||||
PacWest Bancorp | 15,305 | 292 | ||||||
Pennsylvania Real Estate Investment Trust † (A) | 15,723 | 186 | ||||||
PHH * | 6,600 | 139 | ||||||
Phoenix * | 26,100 | 55 | ||||||
Piedmont Office Realty Trust, Cl A † (A) | 5,500 | 104 | ||||||
Platinum Underwriters Holdings | 2,300 | 100 | ||||||
PMA Capital, Cl A * | 2,390 | 18 | ||||||
Post Properties † | 16,350 | 457 | ||||||
Potlatch † | 8,477 | 288 | ||||||
Prospect Capital (A) | 13,100 | 127 | ||||||
Prosperity Bancshares | 4,300 | 140 | ||||||
Protective Life | 6,200 | 135 | ||||||
Provident Financial Services | 7,000 | 87 | ||||||
Radian Group (A) | 90,431 | 707 | ||||||
Redwood Trust † | 11,400 | 165 | ||||||
Renasant (A) | 11,100 | 169 | ||||||
RLI | 6,063 | 343 | ||||||
S&T Bancorp (A) | 4,900 | 85 | ||||||
Safety Insurance Group | 4,300 | 181 | ||||||
SCBT Financial | 7,700 | 240 | ||||||
SeaBright Insurance Holdings | 7,300 | 59 | ||||||
Seacoast Banking Corp of Florida * | 51,084 | 62 | ||||||
Selective Insurance Group | 6,700 | 109 | ||||||
Senior Housing Properties Trust † | 5,500 | 129 | ||||||
Simmons First National, Cl A | 6,800 | 192 | ||||||
Sovran Self Storage † | 4,200 | 159 | ||||||
Starwood Property Trust † | 10,000 | 199 | ||||||
Stifel Financial * | 2,346 | 109 | ||||||
Sunstone Hotel Investors * † | 44,980 | 408 | ||||||
Susquehanna Bancshares | 61,040 | 515 | ||||||
SWS Group | 12,000 | 86 | ||||||
Tanger Factory Outlet Centers † | 2,200 | 104 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Taubman Centers † | 5,100 | $ | 228 | |||||
THL Credit | 13,900 | 164 | ||||||
Titanium Asset Management PIPE * (C) (D) | 2,000 | 6 | ||||||
Titanium Asset Management | 13,400 | 12 | ||||||
Tower Group | 5,846 | 137 | ||||||
Trustco Bank NY (A) | 46,000 | 256 | ||||||
Trustmark (A) | 19,486 | 424 | ||||||
Umpqua Holdings | 24,632 | 279 | ||||||
United Bankshares | 2,655 | 66 | ||||||
United Financial Bancorp | 7,200 | 97 | ||||||
Uranium Participation * | 16,300 | 104 | ||||||
U-Store-It Trust † | 46,100 | 385 | ||||||
Validus Holdings | 9,500 | 250 | ||||||
ViewPoint Financial Group | 13,860 | 128 | ||||||
Waddell & Reed Financial, Cl A | 11,745 | 321 | ||||||
Walter Investment Management † | 2,900 | 51 | ||||||
Washington Federal | 8,600 | 131 | ||||||
Washington Real Estate Investment Trust † | 21,000 | 666 | ||||||
Westamerica Bancorporation (A) | 4,300 | 234 | ||||||
Western Alliance Bancorp * (A) | 50,612 | 339 | ||||||
Whitney Holding | 72,916 | 596 | ||||||
Wilmington Trust | 10,300 | 93 | ||||||
Wilshire Bancorp | 3,600 | 24 | ||||||
World Acceptance * (A) | 20,991 | 927 | ||||||
WSFS Financial | 5,400 | 203 | ||||||
Zions Bancorporation (A) | 10,600 | 226 | ||||||
36,182 | ||||||||
Health Care — 12.8% | ||||||||
Abaxis * | 22,325 | 516 | ||||||
Accuray * | 17,500 | 109 | ||||||
Acorda Therapeutics * | 19,300 | 637 | ||||||
Air Methods * | 10,505 | 437 | ||||||
Albany Molecular Research * | 5,400 | 35 | ||||||
Alere * (A) | 12,900 | 399 | ||||||
Align Technology * | 36,260 | 710 | ||||||
Allos Therapeutics * | 9,800 | 46 | ||||||
Allscripts Healthcare Solutions * | 10,560 | 195 | ||||||
Almost Family * (A) | 1,600 | 48 | ||||||
Alnylam Pharmaceuticals * (A) | 2,100 | 26 | ||||||
AMAG Pharmaceuticals * | 14,312 | 246 | ||||||
Amedisys * (A) | 2,300 | 55 | ||||||
American Medical Systems Holdings * (A) | 8,400 | 165 | ||||||
AMERIGROUP * | 17,706 | 752 | ||||||
AMN Healthcare Services * | 1,201 | 6 | ||||||
Amsurg * | 13,800 | 241 | ||||||
Analogic | 2,400 | 108 | ||||||
Angiodynamics * | 4,600 | 70 | ||||||
Arena Pharmaceuticals * | 43,279 | 68 | ||||||
Arthrocare * | 1,100 | 30 | ||||||
Assisted Living Concepts, Cl A * | 9,800 | 298 | ||||||
BioMarin Pharmaceuticals * | 24,392 | 545 | ||||||
Bio-Reference Labs * | 2,400 | 50 | ||||||
Bruker BioSciences * (A) | 31,533 | 442 | ||||||
Cantel Medical | 8,800 | 143 | ||||||
Cardiome Pharma * | 42,373 | 259 | ||||||
Catalyst Health Solutions * | 4,300 | 151 | ||||||
Cepheid * | 3,100 | 58 | ||||||
Chemed | 14,708 | 838 | ||||||
Conmed * | 3,800 | 85 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cooper | 10,204 | $ | 472 | |||||
Cubist Pharmaceuticals * | 24,385 | 570 | ||||||
Durect * | 111,625 | 284 | ||||||
Emergent Biosolutions * | 1,185 | 21 | ||||||
Ensign Group | 5,400 | 97 | ||||||
eResearchTechnology * | 21,600 | 162 | ||||||
Exactech * | 12,200 | 199 | ||||||
Exelixis * | 18,500 | 73 | ||||||
Genoptix * | 2,500 | 36 | ||||||
Gen-Probe * | 3,600 | 174 | ||||||
Gentiva Health Services * | 9,300 | 203 | ||||||
Haemonetics * | 3,300 | 193 | ||||||
Halozyme Therapeutics * | 12,700 | 98 | ||||||
Health Management Associates, Cl A * | 65,983 | 506 | ||||||
Healthsouth * | 26,669 | 512 | ||||||
Hill-Rom Holdings | 13,800 | 495 | ||||||
Hi-Tech Pharmacal * (A) | 1,500 | 30 | ||||||
HMS Holdings * | 3,400 | 200 | ||||||
ICU Medical * | 28,043 | 1,046 | ||||||
Idexx Laboratories * (A) | 1,100 | 68 | ||||||
Immucor * | 3,400 | 67 | ||||||
Immunogen * (A) | 20,500 | 129 | ||||||
Impax Laboratories * | 27,800 | 549 | ||||||
Incyte * (A) | 28,100 | 449 | ||||||
Inspire Pharmaceuticals * | 8,900 | 53 | ||||||
Invacare | 1,958 | 52 | ||||||
IPC The Hospitalist * | 16,998 | 464 | ||||||
Isis Pharmaceuticals * | 1,300 | 11 | ||||||
Kendle International * | 5,700 | 53 | ||||||
Kensey Nash * | 1,400 | 40 | ||||||
Kindred Healthcare * | 6,000 | 78 | ||||||
King Pharmaceuticals * | 33,450 | 333 | ||||||
LCA-Vision * | 7,600 | 42 | ||||||
LHC Group * | 4,000 | 93 | ||||||
LifePoint Hospitals * (A) | 13,400 | 470 | ||||||
Magellan Health Services * | 13,763 | 650 | ||||||
Masimo (A) | 14,693 | 401 | ||||||
Medical Action Industries * | 2,700 | 24 | ||||||
Medicines * | 13,800 | 196 | ||||||
Medicis Pharmaceutical, Cl A | 29,813 | 884 | ||||||
Medivation * | 3,726 | 48 | ||||||
Mednax * | 1,300 | 69 | ||||||
Meridian Bioscience | 14,600 | 319 | ||||||
Merit Medical Systems * | 1,288 | 21 | ||||||
MWI Veterinary Supply * | 1,300 | 75 | ||||||
Nektar Therapeutics * (A) | 28,509 | 421 | ||||||
Nighthawk Radiology Holdings * | 4,500 | 29 | ||||||
NuVasive * (A) | 27,874 | 980 | ||||||
NxStage Medical * (A) | 10,100 | 193 | ||||||
Omnicell * | 9,929 | 130 | ||||||
Optimer Pharmaceuticals * (A) | 12,003 | 110 | ||||||
Orthofix International * | 3,091 | 97 | ||||||
Owens & Minor | 5,100 | 145 | ||||||
Par Pharmaceutical * | 9,600 | 279 | ||||||
Parexel International * | 18,981 | 439 | ||||||
PDL BioPharma | 96,011 | 505 | ||||||
Perrigo | 1,600 | 103 | ||||||
Pharmaceutical Product Development | 6,507 | 161 | ||||||
Pharmasset * | 6,296 | 186 | ||||||
Pozen * | 49,013 | 347 | ||||||
Providence Service * | 16,600 | 272 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
PSS World Medical * (A) | 10,400 | $ | 222 | |||||
Psychiatric Solutions * | 4,900 | 164 | ||||||
Questcor Pharmaceuticals * (A) | 85,625 | 849 | ||||||
Quidel * (A) | 17,929 | 197 | ||||||
RehabCare Group * | 16,300 | 330 | ||||||
Rigel Pharmaceuticals * (A) | 14,200 | 119 | ||||||
Salix Pharmaceuticals * | 14,800 | 588 | ||||||
Savient Pharmaceuticals * (A) | 36,771 | 841 | ||||||
SIGA Technologies * (A) | 16,193 | 137 | ||||||
Sirona Dental Systems * | 8,300 | 299 | ||||||
Spectrum Pharmaceuticals * (A) | 22,300 | 93 | ||||||
StemCells * (A) | 20,200 | 17 | ||||||
STERIS | 28,848 | 958 | ||||||
Sunrise Senior Living * (A) | 29,300 | 101 | ||||||
Targacept * | 3,400 | 76 | ||||||
Techne | 3,700 | 228 | ||||||
Theravance * (A) | 6,600 | 133 | ||||||
Zoll Medical * | 3,500 | 113 | ||||||
28,639 | ||||||||
Industrials — 13.6% | ||||||||
AAR * | 22,109 | 412 | ||||||
ABM Industries | 11,375 | 246 | ||||||
Acacia Research - Acacia Technologies * | 3,800 | 67 | ||||||
Actuant, Cl A | 16,550 | 380 | ||||||
Aegean Marine Petroleum Network | 64,034 | 1,066 | ||||||
AerCap Holdings * | 58,253 | 689 | ||||||
Aerovironment * (A) | 17,563 | 391 | ||||||
Air Transport Services Group * | 10,900 | 66 | ||||||
Aircastle | 11,700 | 99 | ||||||
Airtran Holdings * (A) | 58,100 | 427 | ||||||
Alaska Air Group * | 4,600 | 235 | ||||||
American Science & Engineering | 1,800 | 132 | ||||||
AO Smith | 4,200 | 243 | ||||||
APAC Customer Services * | 65,629 | 372 | ||||||
Apogee Enterprises | 4,800 | 44 | ||||||
Applied Industrial Technologies | 15,000 | 459 | ||||||
Armstrong World Industries * | 8,135 | 338 | ||||||
ArvinMeritor * (A) | 20,900 | 325 | ||||||
Atlas Air Worldwide Holdings * | 8,524 | 429 | ||||||
Avis Budget Group * (A) | 20,931 | 244 | ||||||
AZZ | 800 | 34 | ||||||
Baldor Electric | 10,300 | 416 | ||||||
BE Aerospace * | 18,000 | 546 | ||||||
Beacon Roofing Supply * (A) | 12,600 | 184 | ||||||
Belden | 3,100 | 82 | ||||||
Briggs & Stratton | 25,500 | 485 | ||||||
Carlisle | 3,300 | 99 | ||||||
Celadon Group * | 35,186 | 486 | ||||||
Cenveo * (A) | 9,000 | 45 | ||||||
Ceradyne * | 9,222 | 215 | ||||||
Chicago Bridge & Iron * | 9,925 | 243 | ||||||
Clean Harbors * | 1,500 | 102 | ||||||
Columbus McKinnon * | 19,200 | 318 | ||||||
Consolidated Graphics * | 13,011 | 539 | ||||||
Con-way (A) | 3,600 | 111 | ||||||
Copa Holdings, Cl A | 6,527 | 352 | ||||||
Corporate Executive Board | 13,859 | 437 | ||||||
CRA International * | 4,500 | 81 | ||||||
Crane | 7,290 | 277 | ||||||
Cubic | 10,460 | 427 |
Description | Shares | Market Value ($ Thousands) | ||||||
Deluxe | 5,400 | $ | 103 | |||||
Dollar Thrifty Automotive Group * | 3,000 | 150 | ||||||
Douglas Dynamics | 9,100 | 112 | ||||||
Dycom Industries * | 35,050 | 350 | ||||||
EMCOR Group * | 15,474 | 380 | ||||||
EnerNOC * (A) | 8,841 | 278 | ||||||
EnerSys * | 5,716 | 143 | ||||||
Ennis | 8,000 | 143 | ||||||
EnPro Industries * (A) | 3,600 | 113 | ||||||
Fastenal (A) | 3,700 | 197 | ||||||
Force Protection * | 21,600 | 109 | ||||||
Franklin Electric | 900 | 30 | ||||||
FTI Consulting * | 14,400 | 500 | ||||||
Genco Shipping & Trading * (A) | 5,800 | 93 | ||||||
Generac Holdings * | 15,400 | 210 | ||||||
Genesee & Wyoming, Cl A * | 11,270 | 489 | ||||||
Geo Group * | 36,250 | 846 | ||||||
GeoEye * | 4,144 | 168 | ||||||
Graco | 1,300 | 41 | ||||||
GrafTech International * | 18,800 | 294 | ||||||
Granite Construction (A) | 9,400 | 214 | ||||||
Great Lakes Dredge & Dock | 73,673 | 428 | ||||||
H&E Equipment Services * | 10,200 | 81 | ||||||
Hawaiian Holdings * | 39,100 | 234 | ||||||
Hexcel * | 30,750 | 547 | ||||||
Higher One Holdings * (A) | 27,840 | 459 | ||||||
HNI (A) | 7,456 | 214 | ||||||
Horizon Lines, Cl A | 7,900 | 33 | ||||||
Innerworkings * (A) | 72,257 | 475 | ||||||
Interface, Cl A | 19,400 | 276 | ||||||
Kaman | 4,300 | 113 | ||||||
Kaydon | 7,200 | 249 | ||||||
Kelly Services, Cl A * | 6,000 | 70 | ||||||
Kirby * | 2,200 | 88 | ||||||
Knight Transportation | 16,800 | 325 | ||||||
Kratos Defense & Security Solutions * (A) | 8,800 | 94 | ||||||
LECG * | 46,600 | 51 | ||||||
Lennox International | 3,961 | 165 | ||||||
Lydall * | 3,900 | 29 | ||||||
M&F Worldwide * | 1,100 | 27 | ||||||
Manitowoc (A) | 21,600 | 262 | ||||||
Marten Transport | 2,355 | 55 | ||||||
Mcgrath Rentcorp | 1,500 | 36 | ||||||
Michael Baker * | 5,882 | 194 | ||||||
Mine Safety Appliances | 5,500 | 149 | ||||||
Mobile Mini * | 16,362 | 251 | ||||||
Mueller Industries | 1,500 | 40 | ||||||
Mueller Water Products, Cl A | 94,300 | 285 | ||||||
NACCO Industries, Cl A | 1,000 | 87 | ||||||
Navistar International * | 3,600 | 157 | ||||||
Nordson | 6,100 | 449 | ||||||
Old Dominion Freight Line * | 22,013 | 559 | ||||||
Pacer International * | 39,900 | 241 | ||||||
Polypore International * | 13,876 | 418 | ||||||
Powell Industries * | 1,507 | 47 | ||||||
Quanex Building Products | 10,600 | 183 | ||||||
Raven Industries | 6,128 | 232 | ||||||
RBC Bearings * | 8,315 | 283 | ||||||
Republic Airways Holdings * | 2,900 | 24 | ||||||
Resources Connection | 19,500 | 268 | ||||||
Robbins & Myers | 12,200 | 327 | ||||||
Rollins | 3,000 | 70 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
RSC Holdings * (A) | 13,100 | $ | 98 | |||||
Ryder System | 3,600 | 154 | ||||||
Skywest | 4,500 | 63 | ||||||
Standard Register | 6,400 | 19 | ||||||
Standex International (A) | 8,100 | 196 | ||||||
TAL International Group | 15,478 | 375 | ||||||
Teleflex | 2,300 | 130 | ||||||
Tennant | 4,147 | 128 | ||||||
Tetra Tech * | 18,076 | 379 | ||||||
Textainer Group Holdings (A) | 6,100 | 163 | ||||||
Titan Machinery * | 14,625 | 238 | ||||||
Tredegar | 5,300 | 101 | ||||||
TrueBlue * | 10,100 | 138 | ||||||
Tutor Perini * | 18,494 | 371 | ||||||
UAL * (A) | 10,000 | 236 | ||||||
US Airways Group * (A) | 33,100 | 306 | ||||||
US Ecology | 3,304 | 53 | ||||||
Vitran * | 22,205 | 243 | ||||||
Wabash National * (A) | 103,217 | 835 | ||||||
Watts Water Technologies, Cl A | 5,300 | 180 | ||||||
Werner Enterprises (A) | 12,230 | 251 | ||||||
Woodward Governor | 2,300 | 75 | ||||||
30,413 | ||||||||
Information Technology — 20.4% | ||||||||
ACI Worldwide * | 2,400 | 54 | ||||||
Acme Packet * (A) | 30,420 | 1,154 | ||||||
Actel * | 3,900 | 62 | ||||||
Acxiom * | 8,100 | 128 | ||||||
Adtran | 900 | 32 | ||||||
Advent Software * (A) | 3,741 | 195 | ||||||
Amkor Technology * (A) | 29,900 | 197 | ||||||
Anixter International * | 3,300 | 178 | ||||||
Applied Micro Circuits * | 38,200 | 382 | ||||||
Archipelago Learning * | 19,889 | 238 | ||||||
ArcSight * | 2,300 | 100 | ||||||
Arris Group * | 41,300 | 403 | ||||||
Art Technology Group * | 12,400 | 51 | ||||||
Aruba Networks * | 5,000 | 107 | ||||||
Atheros Communications * | 28,244 | 744 | ||||||
Aviat Networks * | 47,813 | 195 | ||||||
AVX | 3,600 | 50 | ||||||
Benchmark Electronics * | 33,038 | 542 | ||||||
Blackbaud | 13,500 | 324 | ||||||
Blackboard * | 2,300 | 83 | ||||||
Blue Coat Systems * | 15,700 | 378 | ||||||
Brightpoint * | 31,100 | 217 | ||||||
Brocade Communications Systems * | 15,500 | 90 | ||||||
Cabot Microelectronics * | 3,300 | 106 | ||||||
CDC Software ADR * | 46,300 | 280 | ||||||
Checkpoint Systems * | 8,400 | 171 | ||||||
Ciber * | 78,716 | 237 | ||||||
Ciena * (A) | 19,425 | 302 | ||||||
Cirrus Logic * (A) | 24,100 | 430 | ||||||
Cognex | 12,300 | 330 | ||||||
Coherent * | 3,000 | 120 | ||||||
CommVault Systems * | 22,042 | 574 | ||||||
Comtech Telecommunications | 13,980 | 382 | ||||||
Comverse Technology * (A) | 17,700 | 119 | ||||||
Constant Contact * (A) | 16,556 | 355 | ||||||
CSG Systems International * | 29,000 | 529 | ||||||
CTS | 15,600 | 150 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cymer * | 3,400 | $ | 126 | |||||
Cypress Semiconductor * | 11,200 | 141 | ||||||
Daktronics (A) | 7,100 | 70 | ||||||
Digi International * | 38,400 | 364 | ||||||
Digital River * | 13,200 | 449 | ||||||
Diodes * (A) | 16,000 | 273 | ||||||
DTS * | 1,165 | 44 | ||||||
Earthlink | 17,000 | 155 | ||||||
Echo Global Logistics * (A) | 19,324 | 247 | ||||||
Electro Rent | 3,400 | 45 | ||||||
Electronics for Imaging * | 6,600 | 80 | ||||||
Emulex * | 10,400 | 109 | ||||||
Entegris * | 11,600 | 54 | ||||||
Entropic Communications * | 10,200 | 98 | ||||||
Fairchild Semiconductor International * | 57,790 | 543 | ||||||
Forrester Research * | 3,396 | 112 | ||||||
Global Cash Access Holdings * | 44,900 | 183 | ||||||
Hackett Group * | 65,600 | 271 | ||||||
Heartland Payment Systems | 28,300 | 431 | ||||||
Hittite Microwave * | 10,700 | 510 | ||||||
iGate | 2,500 | 45 | ||||||
Imation * | 36,498 | 341 | ||||||
Integrated Device Technology * | 92,171 | 539 | ||||||
Integrated Silicon Solution * | 17,700 | 152 | ||||||
InterDigital * | 9,800 | 290 | ||||||
Intermec * | 5,100 | 62 | ||||||
Intersil, Cl A (A) | 13,387 | 157 | ||||||
Isilon Systems * (A) | 15,800 | 352 | ||||||
IXYS * | 6,300 | 60 | ||||||
j2 Global Communications * | 14,900 | 355 | ||||||
Jack Henry & Associates | 5,300 | 135 | ||||||
JDA Software Group * | 22,064 | 560 | ||||||
KIT Digital * (A) | 10,097 | 121 | ||||||
Knot * | 13,400 | 122 | ||||||
Kulicke & Soffa Industries * | 10,800 | 67 | ||||||
Lattice Semiconductor * | 96,300 | 457 | ||||||
Lawson Software * | 22,730 | 192 | ||||||
LivePerson * | 5,100 | 43 | ||||||
Loral Space & Communications * | 3,000 | 157 | ||||||
LTX-Credence * (A) | 40,600 | 85 | ||||||
Manhattan Associates * | 13,600 | 399 | ||||||
Mantech International, Cl A * (A) | 10,400 | 412 | ||||||
MAXIMUS | 8,600 | 530 | ||||||
Mentor Graphics * | 49,310 | 521 | ||||||
Methode Electronics | 46,700 | 424 | ||||||
Micrel | 10,700 | 106 | ||||||
Microsemi * | 4,200 | 72 | ||||||
MicroStrategy, Cl A * | 9,509 | 824 | ||||||
Mitel Networks * | 17,900 | 111 | ||||||
ModusLink Global Solutions * | 8,600 | 55 | ||||||
MoneyGram International * | 16,400 | 40 | ||||||
Move * | 24,600 | 55 | ||||||
MTS Systems | 5,000 | 155 | ||||||
National Instruments | 6,100 | 199 | ||||||
NCR * | 9,800 | 134 | ||||||
Netgear * | 13,544 | 366 | ||||||
Netlogic Microsystems * (A) | 21,965 | 606 | ||||||
NetSuite * | 10,581 | 249 | ||||||
Novatel Wireless * | 17,600 | 139 | ||||||
Novell * | 27,300 | 163 | ||||||
Oclaro * | 11,600 | 186 | ||||||
Omnivision Technologies * (A) | 12,800 | 295 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
OpenTable * (A) | 5,800 | $ | 395 | |||||
Openwave Systems * | 5,400 | 9 | ||||||
OSI Systems * | 2,700 | 98 | ||||||
Parametric Technology * | 43,300 | 846 | ||||||
Park Electrochemical | 13,525 | 356 | ||||||
Parkervision * (A) | 38,000 | 28 | ||||||
Pegasystems (A) | 9,100 | 283 | ||||||
Photronics * | 59,350 | 314 | ||||||
Plantronics | 24,900 | 841 | ||||||
Plexus * | 12,600 | 370 | ||||||
PMC - Sierra * | 11,500 | 85 | ||||||
Power Integrations | 11,200 | 356 | ||||||
Power-One * (A) | 46,600 | 424 | ||||||
Progress Software * | 5,407 | 179 | ||||||
Quality Systems (A) | 10,796 | 716 | ||||||
Quantum * | 142,872 | 303 | ||||||
Quest Software * | 44,938 | 1,105 | ||||||
Rackspace Hosting * (A) | 8,200 | 213 | ||||||
RealNetworks * | 4,900 | 16 | ||||||
RightNow Technologies * | 11,620 | 229 | ||||||
Riverbed Technology * (A) | 17,786 | 811 | ||||||
Rogers * | 3,100 | 98 | ||||||
Rosetta Stone * (A) | 14,979 | 318 | ||||||
Rubicon Technology * | 7,292 | 166 | ||||||
Sanmina-SCI * | 46,724 | 564 | ||||||
Sapient | 56,736 | 679 | ||||||
Scansource * | 3,900 | 108 | ||||||
Seachange International * | 11,200 | 83 | ||||||
SRA International, Cl A * | 5,100 | 101 | ||||||
Standard Microsystems * | 6,900 | 157 | ||||||
Stratasys * (A) | 1,099 | 30 | ||||||
SuccessFactors * (A) | 22,425 | 563 | ||||||
Synaptics * (A) | 3,100 | 87 | ||||||
Synchronoss Technologies * | 4,400 | 78 | ||||||
SYNNEX * | 2,400 | 68 | ||||||
Syntel | 13,042 | 580 | ||||||
Taleo, Cl A * | 10,000 | 290 | ||||||
Tech Data * | 3,500 | 141 | ||||||
Tekelec * | 12,719 | 165 | ||||||
TeleNav * | 11,500 | 61 | ||||||
TeleTech Holdings * | 17,853 | 265 | ||||||
Teradyne * (A) | 103,078 | 1,148 | ||||||
Terremark Worldwide * | 25,529 | 264 | ||||||
TIBCO Software * (A) | 62,900 | 1,116 | ||||||
TriQuint Semiconductor * | 51,614 | 496 | ||||||
TTM Technologies * | 25,000 | 245 | ||||||
Ultimate Software Group * | 3,757 | 145 | ||||||
Unisys * | 30,250 | 844 | ||||||
United Online | 49,900 | 285 | ||||||
Universal Display * (A) | 5,700 | 134 | ||||||
Valueclick * | 56,822 | 743 | ||||||
Veeco Instruments * (A) | 17,827 | 622 | ||||||
VeriFone Holdings * | 14,850 | 461 | ||||||
VistaPrint * (A) | 20,448 | 790 | ||||||
Vocus * | 5,200 | 96 | ||||||
Volterra Semiconductor * | 12,600 | 271 | ||||||
Websense * (A) | 4,090 | 73 | ||||||
Wright Express * | 5,900 | 211 | ||||||
Xyratex * (A) | 900 | 13 | ||||||
Zoran * | 63,400 | 484 | ||||||
45,647 | ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 5.8% | ||||||||
AK Steel Holding | 9,200 | $ | 127 | |||||
Allied Nevada Gold * (A) | 12,000 | 318 | ||||||
AM Castle * | 2,000 | 27 | ||||||
Aptargroup | 2,300 | 105 | ||||||
Arch Chemicals | 2,100 | 74 | ||||||
Buckeye Technologies | 25,700 | 378 | ||||||
Carpenter Technology | 31,740 | 1,070 | ||||||
Clearwater Paper * | 4,300 | 327 | ||||||
Cytec Industries | 2,161 | 122 | ||||||
Domtar | 2,600 | 168 | ||||||
Ferro * | 21,000 | 271 | ||||||
Globe Specialty Metals | 33,200 | 466 | ||||||
Golden Star Resources * | 31,300 | 155 | ||||||
Graham Packaging * | 5,100 | 60 | ||||||
H.B. Fuller | 12,700 | 252 | ||||||
Haynes International | 11,551 | 403 | ||||||
Headwaters * (A) | 15,500 | 56 | ||||||
Horsehead Holding * | 39,851 | 393 | ||||||
Innophos Holdings | 13,167 | 436 | ||||||
Jaguar Mining * | 12,600 | 82 | ||||||
Koppers Holdings | 12,400 | 333 | ||||||
Minerals Technologies | 800 | 47 | ||||||
Molycorp * | 5,100 | 144 | ||||||
Myers Industries | 11,500 | 99 | ||||||
New Gold * | 16,000 | 108 | ||||||
NewMarket | 12,572 | 1,429 | ||||||
Olin | 15,004 | 303 | ||||||
OM Group * | 2,800 | 84 | ||||||
Omnova Solutions * | 43,709 | 314 | ||||||
PolyOne * | 57,940 | 701 | ||||||
Quaker Chemical | 8,541 | 278 | ||||||
Rockwood Holdings * | 15,474 | 487 | ||||||
RTI International Metals * | 12,136 | 372 | ||||||
Schnitzer Steel Industries, Cl A | 6,476 | 313 | ||||||
Schulman A | 7,000 | 141 | ||||||
Sensient Technologies | 4,400 | 134 | ||||||
Solutia * | 26,729 | 428 | ||||||
Spartech * | 10,400 | 85 | ||||||
Stepan | 977 | 58 | ||||||
Universal Stainless & Alloy * | 4,200 | 103 | ||||||
Worthington Industries | 25,511 | 383 | ||||||
WR Grace * | 46,928 | 1,311 | ||||||
12,945 | ||||||||
Telecommunication Services — 0.9% | ||||||||
Alaska Communications Systems Group (A) | 28,000 | 284 | ||||||
Cincinnati Bell * | 119,869 | 320 | ||||||
Cogent Communications Group * | 9,605 | 91 | ||||||
Consolidated Communications Holdings | 8,300 | 155 | ||||||
Frontier Communications (A) | 28,400 | 232 | ||||||
Global Crossing * | 11,400 | 147 | ||||||
Leap Wireless International * | 7,100 | 88 | ||||||
Neutral Tandem * | 8,900 | 106 | ||||||
PAETEC Holding * | 50,600 | 208 | ||||||
Shenandoah Telecommunications | 2,800 | 51 | ||||||
USA Mobility | 11,500 | 184 | ||||||
Vonage Holdings * | 33,000 | 84 | ||||||
1,950 | ||||||||
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 2.3% | ||||||||
Allete | 5,300 | $ | 193 | |||||
California Water Service Group | 3,300 | 122 | ||||||
Cia de Saneamento de Minas Gerais-COPASA (Brazil) | 6,700 | 102 | ||||||
Cleco | 14,400 | 427 | ||||||
El Paso Electric * | 16,370 | 389 | ||||||
Empire District Electric (A) | 8,800 | 177 | ||||||
Idacorp | 12,000 | 431 | ||||||
New Jersey Resources | 10,304 | 404 | ||||||
Nicor | 2,800 | 128 | ||||||
NorthWestern | 17,800 | 507 | ||||||
PNM Resources | 35,694 | 407 | ||||||
Portland General Electric | 20,000 | 406 | ||||||
UGI | 10,500 | 301 | ||||||
UIL Holdings | 14,974 | 422 | ||||||
Unisource Energy | 5,500 | 184 | ||||||
Vectren | 16,576 | 429 | ||||||
Westar Energy | 3,900 | 94 | ||||||
5,123 | ||||||||
Total Common Stock | 216,752 | |||||||
PREFERRED STOCK — 0.1% | ||||||||
Callaway Golf | ||||||||
7.500%, 06/20/12 (E) | 700 | 81 | ||||||
GeoMet | ||||||||
8.000% * | 5,057 | 51 | ||||||
Grubb & Ellis Cumulative * | 1,700 | 152 | ||||||
Total Preferred Stock | 284 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Oilsands Quest | ||||||||
Expires 05/12/11 * | 1,200 | — | ||||||
Total Warrants | — | |||||||
CONVERTIBLE BOND — 0.1% | ||||||||
Energy — 0.1% | ||||||||
Rentech CV to 249.2522 | ||||||||
4.000%, 04/15/13 | $ | 162 | 118 | |||||
Total Convertible Bond | 118 | |||||||
CORPORATE OBLIGATION — 0.0% | ||||||||
Financials — 0.0% | ||||||||
Scorpio Mining PIPE | ||||||||
7.000%, 05/05/11 (C) (D) | 21 | 19 | ||||||
Total Corporate Obligation | 19 | |||||||
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 20.0% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (B) | 44,868,654 | $ | 44,869 | |||||
Total Affiliated Partnership | 44,869 | |||||||
CASH EQUIVALENT — 2.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% ** †† | 5,592,067 | 5,592 | ||||||
Total Cash Equivalent | 5,592 | |||||||
U.S. TREASURY OBLIGATION (F) (G) — 0.1% | ||||||||
U.S. Treasury Bills | ||||||||
0.179%, 12/16/10 | $ | 240 | $ | 240 | ||||
Total U.S. Treasury Obligation | 240 | |||||||
Total Investments — 119.6% | $ | 267,874 | ||||||
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 39 | Dec-2010 | $ | 12 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $223,978 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $43,356 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $44,869 ($Thousands). |
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2010 was $25 ($ Thousands) and represented 0.01% of Net Assets. |
(D) | Securities considered restricted and illiquid. The total value of such securities as of September 30, 2010 was $25 ($ Thousands) and represented 0.01% of Net Assets. |
(E) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may not be sold to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(F) | The rate reported is the effective yield at the time of purchase. |
(G) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
CV — Convertible
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
Amounts designated as “—” are $0 or has been rounded to $0.
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2010
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 216,734 | $ | 12 | $ | 6 | $ | 216,752 | ||||||||
Preferred Stock | — | 284 | — | 284 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Convertible Bond | — | 118 | — | 118 | ||||||||||||
Corporate Obligation | — | — | 19 | 19 | ||||||||||||
Affiliated Partnership | — | 44,869 | — | 44,869 | ||||||||||||
Cash Equivalent | 5,592 | — | — | 5,592 | ||||||||||||
U.S. Treasury Obligation | — | 240 | — | 240 | ||||||||||||
Total Investments in Securities | $ | 222,326 | $ | 45,523 | $ | 25 | $ | 267,874 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 12 | $ | — | $ | — | $ | 12 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | Corporate Obligation | |||||||
Beginning balance as of October 1, 2009 | $ | — | $ | — | ||||
Accrued discounts/premiums | — | 1 | ||||||
Realized gain/(loss) | (53 | ) | (9 | ) | ||||
Change in unrealized appreciation/(depreciation) | (2 | ) | — | |||||
Net purchases/sales | 61 | 27 | ||||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of September 30, 2010 | $ | 6 | $ | 19 | ||||
Changes in unrealized gains (losses) included in earnings related to securities still held at | ||||||||
reporting date | $ | — | $ | — | ||||
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.4% ‡ | ||||||||
Consumer Discretionary — 8.3% | ||||||||
Abercrombie & Fitch, Cl A (A) | 29,809 | $ | 1,172 | |||||
American Greetings, Cl A (A) | 44,900 | 835 | ||||||
America’s Car-Mart * | 22,100 | 556 | ||||||
AnnTaylor Stores * | 74,093 | 1,500 | ||||||
Arctic Cat * | 43,600 | 447 | ||||||
ATC Technology * | 34,900 | 863 | ||||||
Belo, Cl A * | 142,762 | 885 | ||||||
Big Lots * | 24,200 | 804 | ||||||
Blyth | 6,475 | 267 | ||||||
Bob Evans Farms (A) | 24,000 | 674 | ||||||
Brown Shoe | 42,400 | 486 | ||||||
Cabela’s * (A) | 59,800 | 1,135 | ||||||
Callaway Golf (A) | 139,719 | 978 | ||||||
Casual Male Retail Group * | 132,600 | 541 | ||||||
Cato, Cl A | 35,000 | 937 | ||||||
Childrens Place Retail Stores * (A) | 15,600 | 761 | ||||||
Coinstar * | 7,800 | 335 | ||||||
Cooper Tire & Rubber (A) | 141,048 | 2,769 | ||||||
Cracker Barrel Old Country Store (A) | 3,200 | 162 | ||||||
CSS Industries | 35,100 | 607 | ||||||
Ethan Allen Interiors (A) | 62,949 | 1,099 | ||||||
Foot Locker | 34,400 | 500 | ||||||
hhgregg * (A) | 62,168 | 1,539 | ||||||
Iconix Brand Group * | 22,800 | 399 | ||||||
Insight Enterprises * | 55,900 | 874 | ||||||
International Speedway, Cl A (A) | 31,963 | 780 | ||||||
Jack in the Box * | 54,300 | 1,164 | ||||||
Jakks Pacific * (A) | 39,700 | 700 | ||||||
Journal Communications, Cl A * | 107,100 | 483 | ||||||
Lakeland Industries * | 56,400 | 516 | ||||||
Libbey * | 59,200 | 780 | ||||||
Lifetime Brands * (A) | 19,500 | 294 | ||||||
Matthews International, Cl A | 40,400 | 1,429 | ||||||
MDC Partners, Cl A | 225,800 | 3,019 | ||||||
Men’s Wearhouse (A) | 30,185 | 718 | ||||||
Meredith (A) | 43,400 | 1,446 | ||||||
New Frontier Media * | 175,200 | 312 | ||||||
O’Charleys * | 50,700 | 365 | ||||||
Penske Auto Group * | 5,400 | 71 | ||||||
PetSmart | 23,942 | 838 | ||||||
Pool | 15,300 | 307 | ||||||
RadioShack | 40,400 | 862 | ||||||
Red Robin Gourmet Burgers * (A) | 36,600 | 718 | ||||||
Regis (A) | 76,832 | 1,470 | ||||||
Rent-A-Center (A) | 103,500 | 2,316 | ||||||
Ruby Tuesday * (A) | 52,100 | 618 | ||||||
Scholastic (A) | 25,700 | 715 | ||||||
Scientific Games, Cl A * (A) | 86,788 | 842 | ||||||
Shoe Carnival * | 21,800 | 441 | ||||||
Sinclair Broadcast Group, Cl A * | 68,900 | 484 | ||||||
Skechers U.S.A., Cl A * | 25,100 | 590 | ||||||
Stage Stores | 59,400 | 772 | ||||||
Sturm Ruger (A) | 36,500 | 498 | ||||||
World Wrestling Entertainment, Cl A (A) | 10,100 | 140 | ||||||
44,813 | ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
Consumer Staples — 3.9% | ||||||||
BJ’s Wholesale Club * | 15,091 | $ | 626 | |||||
Cal-Maine Foods (A) | 16,500 | 478 | ||||||
Central Garden and Pet, Cl A * | 64,733 | 671 | ||||||
Central Garden and Pet * | 72,168 | 745 | ||||||
Chiquita Brands International * (A) | 186,300 | 2,467 | ||||||
Corn Products International | 36,815 | 1,380 | ||||||
Dean Foods * | 113,898 | 1,163 | ||||||
Del Monte Foods | 205,887 | 2,699 | ||||||
Dole Food * (A) | 65,544 | 600 | ||||||
Fresh Del Monte Produce * | 40,600 | 881 | ||||||
Ingles Markets, Cl A | 31,975 | 531 | ||||||
Nash Finch (A) | 10,700 | 455 | ||||||
Pantry * | 77,760 | 1,875 | ||||||
Prestige Brands Holdings * | 130,271 | 1,288 | ||||||
Ruddick (A) | 27,200 | 943 | ||||||
Sanderson Farms (A) | 14,700 | 636 | ||||||
Seneca Foods, Cl A * | 19,500 | 511 | ||||||
Universal | 53,300 | 2,137 | ||||||
Village Super Market, Cl A | 6,740 | 189 | ||||||
Weis Markets | 23,400 | 916 | ||||||
21,191 | ||||||||
Energy — 5.3% | ||||||||
Allis-Chalmers Energy * (A) | 24,300 | 101 | ||||||
Alon USA Energy (A) | 22,900 | 124 | ||||||
Approach Resources * | 92,700 | 1,036 | ||||||
Atwood Oceanics * | 45,300 | 1,379 | ||||||
Berry Petroleum, Cl A (A) | 59,714 | 1,895 | ||||||
Cal Dive International * (A) | 137,387 | 751 | ||||||
Comstock Resources * (A) | 55,100 | 1,239 | ||||||
Energy Partners * | 8,900 | 107 | ||||||
Forest Oil * (A) | 53,700 | 1,595 | ||||||
Frontier Oil | 88,852 | 1,191 | ||||||
GeoMet * | 163,870 | 141 | ||||||
Global Geophysical Services * | 20,900 | 152 | ||||||
GMX Resources * (A) | 56,500 | 275 | ||||||
Goodrich Petroleum * (A) | 160,285 | 2,335 | ||||||
Gulfmark Offshore, Cl A * | 16,300 | 501 | ||||||
Holly (A) | 51,300 | 1,475 | ||||||
Hornbeck Offshore Services * (A) | 32,000 | 624 | ||||||
Key Energy Services * (A) | 177,989 | 1,693 | ||||||
Matrix Service * | 51,700 | 452 | ||||||
Overseas Shipholding Group (A) | 14,100 | 484 | ||||||
Parker Drilling * (A) | 176,000 | 766 | ||||||
Patterson-UTI Energy (A) | 103,500 | 1,768 | ||||||
Penn Virginia | 25,000 | 401 | ||||||
Scorpio Tankers * | 152,680 | 1,724 | ||||||
SEACOR Holdings * | 8,100 | 690 | ||||||
Seahawk Drilling * (A) | 11,000 | 93 | ||||||
StealthGas * | 85,300 | 371 | ||||||
Superior Energy Services * | 51,800 | 1,383 | ||||||
Swift Energy * (A) | 63,569 | 1,785 | ||||||
Tesoro (A) | 37,300 | 498 | ||||||
Tidewater | 14,200 | 636 | ||||||
USEC * (A) | 134,800 | 700 | ||||||
World Fuel Services | 26,200 | 681 | ||||||
29,046 | ||||||||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Financials — 36.4% | ||||||||
1st Source | 42,500 | $ | 738 | |||||
Advance America Cash Advance Centers | 86,400 | 348 | ||||||
Agree Realty † | 26,803 | 677 | ||||||
Alexandria Real Estate Equities † (A) | 22,900 | 1,603 | ||||||
Alliance Financial | 2,500 | 76 | ||||||
Allied World Assurance Holdings | 27,500 | 1,556 | ||||||
Alterra Capital Holdings (A) | 65,400 | 1,303 | ||||||
AMB Property † (A) | 125,100 | 3,311 | ||||||
American Campus Communities † (A) | 18,300 | 557 | ||||||
American Equity Investment Life Holding (A) | 60,400 | 619 | ||||||
American Physicians Capital | 21,200 | 879 | ||||||
Ameris Bancorp (A) | 19,494 | 182 | ||||||
Ames National | 1,500 | 30 | ||||||
Anworth Mortgage Asset † (A) | 68,800 | 490 | ||||||
Arrow Financial | 852 | 21 | ||||||
Ashford Hospitality Trust * † | 93,000 | 842 | ||||||
Aspen Insurance Holdings | 63,700 | 1,929 | ||||||
Assured Guaranty | 41,000 | 702 | ||||||
Astoria Financial | 59,900 | 816 | ||||||
AvalonBay Communities † (A) | 13,500 | 1,403 | ||||||
Bancfirst | 4,400 | 178 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 71,200 | 1,029 | ||||||
Bancorp * | 15,100 | 101 | ||||||
Bancorp Rhode Island | 31,600 | 883 | ||||||
Bancorpsouth (A) | 52,840 | 749 | ||||||
Bank of Marin Bancorp | 2,200 | 71 | ||||||
Bank of the Ozarks | 13,300 | 493 | ||||||
BankFinancial | 11,100 | 102 | ||||||
Beneficial Mutual Bancorp * | 13,600 | 122 | ||||||
Berkshire Hills Bancorp | 5,200 | 99 | ||||||
BGC Partners, Cl A | 106,000 | 633 | ||||||
Boston Private Financial Holdings (A) | 263,703 | 1,725 | ||||||
Boston Properties † (A) | 26,600 | 2,211 | ||||||
Brandywine Realty Trust † | 77,500 | 949 | ||||||
Brookfield Asset Management, Cl A | 81,900 | 2,323 | ||||||
Brookline Bancorp | 50,000 | 499 | ||||||
Camden National | 18,900 | 655 | ||||||
Camden Property Trust † (A) | 39,271 | 1,884 | ||||||
Cape Bancorp * | 800 | 6 | ||||||
Capital City Bank Group (A) | 6,400 | 78 | ||||||
Capstead Mortgage † | 38,400 | 417 | ||||||
Cardinal Financial | 101,487 | 975 | ||||||
Cathay General Bancorp (A) | 109,000 | 1,296 | ||||||
CBL & Associates Properties † (A) | 132,200 | 1,726 | ||||||
Cedar Shopping Centers † (A) | 42,300 | 257 | ||||||
Central Pacific Financial * (A) | 30,300 | 43 | ||||||
Chatham Lodging Trust † | 28,500 | 530 | ||||||
Chemical Financial | 10,600 | 219 | ||||||
Chimera Investment † | 160,700 | 635 | ||||||
Citizens & Northern | 3,800 | 49 | ||||||
Citizens Republic Bancorp * (A) | 61,236 | 55 | ||||||
City Holding (A) | 11,500 | 353 | ||||||
CNA Surety * | 32,200 | 577 |
Description | Shares | Market Value ($ Thousands) | ||||||
CNB Financial | 3,800 | $ | 52 | |||||
CNO Financial Group * (A) | 167,500 | 928 | ||||||
CoBiz Financial (A) | 31,600 | 176 | ||||||
Columbia Banking System | 4,100 | 81 | ||||||
CommonWealth REIT † | 46,450 | 1,189 | ||||||
Community Bank System (A) | 75,700 | 1,742 | ||||||
Community Trust Bancorp | 8,300 | 225 | ||||||
CreXus Investment † | 33,000 | 397 | ||||||
CVB Financial (A) | 211,769 | 1,590 | ||||||
Delphi Financial Group, Cl A | 39,700 | 992 | ||||||
Dexus Property Group † | 409,141 | 339 | ||||||
Dime Community Bancshares | 16,900 | 234 | ||||||
Douglas Emmett † (A) | 188,900 | 3,308 | ||||||
Duke Realty † (A) | 158,600 | 1,838 | ||||||
DuPont Fabros Technology † | 27,900 | 702 | ||||||
Dynex Capital † (A) | 49,500 | 534 | ||||||
Eagle Bancorp * (A) | 7,300 | 84 | ||||||
East West Bancorp | 59,700 | 972 | ||||||
Education Realty Trust † | 133,223 | 953 | ||||||
Employers Holdings | 135,321 | 2,134 | ||||||
Encore Bancshares * | 32,000 | 230 | ||||||
Encore Capital Group * | 45,200 | 815 | ||||||
Endurance Specialty Holdings | 79,508 | 3,164 | ||||||
Enterprise Bancorp | 1,000 | 11 | ||||||
Enterprise Financial Services (A) | 5,900 | 55 | ||||||
Equity One † (A) | 79,038 | 1,334 | ||||||
Equity Residential † | 37,800 | 1,798 | ||||||
ESB Financial | 500 | 7 | ||||||
ESSA Bancorp (A) | 28,200 | 334 | ||||||
FBL Financial Group, Cl A (A) | 37,900 | 985 | ||||||
FBR Capital Markets * | 284,100 | 892 | ||||||
Federated Investors, Cl B (A) | 65,928 | 1,500 | ||||||
Financial Institutions (A) | 6,100 | 108 | ||||||
First Bancorp * (A) | 39,900 | 168 | ||||||
First Busey (A) | 32,200 | 146 | ||||||
First Commonwealth Financial | 18,500 | 101 | ||||||
First Community Bancshares | 10,700 | 138 | ||||||
First Defiance Financial | 4,300 | 43 | ||||||
First Financial (A) | 5,800 | 171 | ||||||
First Financial Bancorp | 142,429 | 2,376 | ||||||
First Financial Bankshares (A) | 9,800 | 460 | ||||||
First Financial Holdings | 28,456 | 317 | ||||||
First Financial Northwest (A) | 5,100 | 20 | ||||||
First Horizon National * (A) | 78,679 | 898 | ||||||
First Interstate Bancsystem, Cl A | 2,800 | 38 | ||||||
First Merchants | 28,200 | 215 | ||||||
First Midwest Bancorp | 55,800 | 643 | ||||||
FirstMerit (A) | 86,392 | 1,583 | ||||||
Flagstar Bancorp * (A) | 5,240 | 9 | ||||||
Flushing Financial | 92,700 | 1,072 | ||||||
FNB (Pennsylvania) (A) | 154,400 | 1,322 | ||||||
Forest City Enterprises, Cl A * (A) | 170,779 | 2,191 | ||||||
Fpic Insurance Group * | 25,200 | 884 | ||||||
German American Bancorp (A) | 2,200 | 38 | ||||||
GFI Group | 104,300 | 484 | ||||||
Glacier Bancorp | 14,700 | 215 | ||||||
Great American Group * | 181,900 | 82 | ||||||
Great Southern Bancorp (A) | 4,800 | 104 | ||||||
Green Bankshares * (A) | 8,100 | 55 | ||||||
Hammerson (United Kingdom) † | 98,756 | 614 | ||||||
Hancock Holding (A) | 60,384 | 1,816 | ||||||
Heartland Financial USA (A) | 4,600 | 71 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Hercules Technology Growth Capital | 64,900 | $ | 656 | |||||
Heritage Financial * | 3,200 | 45 | ||||||
Heritage Financial Group | 800 | 7 | ||||||
Highwoods Properties † | 27,700 | 899 | ||||||
Home Bancshares | 51,950 | 1,056 | ||||||
Home Federal Bancorp | 28,900 | 352 | ||||||
Horace Mann Educators | 95,115 | 1,691 | ||||||
Hospitality Properties Trust † | 54,350 | 1,214 | ||||||
Host Hotels & Resorts † (A) | 141,010 | 2,042 | ||||||
Hudson Pacific Properties † | 16,800 | 275 | ||||||
Hudson Valley Holding | 3,300 | 64 | ||||||
IBERIABANK (A) | 30,918 | 1,545 | ||||||
Independent Bank (A) | 16,300 | 367 | ||||||
Infinity Property & Casualty (A) | 54,896 | 2,677 | ||||||
International Bancshares (A) | 83,100 | 1,404 | ||||||
Investors Bancorp * | 41,000 | 485 | ||||||
Kennedy-Wilson Holdings * (A) | 34,400 | 365 | ||||||
K-Fed Bancorp | 800 | 6 | ||||||
Kimco Realty † | 207,000 | 3,260 | ||||||
Knight Capital Group, Cl A * (A) | 40,500 | 502 | ||||||
Lakeland Bancorp (A) | 10,700 | 90 | ||||||
Lakeland Financial | 8,400 | 157 | ||||||
Land Securities Group (United Kingdom) † | 89,225 | 901 | ||||||
Liberty Property Trust † (A) | 32,700 | 1,043 | ||||||
Macerich † (A) | 19,040 | 818 | ||||||
Maiden Holdings | 101,800 | 775 | ||||||
MainSource Financial Group (A) | 66,007 | 504 | ||||||
MB Financial | 37,700 | 611 | ||||||
Meadowbrook Insurance Group | 234,300 | 2,102 | ||||||
Medical Properties Trust † | 90,200 | 915 | ||||||
Merchants Bancshares | 2,200 | 55 | ||||||
Meridian Interstate Bancorp * | 4,800 | 51 | ||||||
Metro Bancorp * | 10,900 | 113 | ||||||
MFA Financial † | 190,914 | 1,457 | ||||||
MGIC Investment * (A) | 62,800 | 580 | ||||||
Mid-America Apartment Communities † (A) | 25,004 | 1,457 | ||||||
Midsouth Bancorp | 1,800 | 25 | ||||||
MidWestOne Financial Group | 2,000 | 29 | ||||||
Montpelier Re Holdings | 65,500 | 1,134 | ||||||
Nara Bancorp * | 40,800 | 288 | ||||||
NASB Financial | 700 | 12 | ||||||
National Bankshares (A) | 2,300 | 59 | ||||||
National Penn Bancshares | 303,277 | 1,895 | ||||||
Navios Maritime Acquisition * (A) | 116,300 | 639 | ||||||
NBT Bancorp | 19,200 | 424 | ||||||
Nelnet, Cl A | 104,300 | 2,387 | ||||||
NewAlliance Bancshares (A) | 47,100 | 594 | ||||||
Northrim BanCorp | 2,200 | 37 | ||||||
Northwest Bancshares (A) | 33,675 | 377 | ||||||
OceanFirst Financial | 40,650 | 499 | ||||||
Ocwen Financial * | 57,800 | 586 | ||||||
Old National Bancorp | 21,000 | 220 | ||||||
OmniAmerican Bancorp * | 5,300 | 60 | ||||||
Oriental Financial Group (A) | 45,800 | 609 | ||||||
Orrstown Financial Services (A) | 3,100 | 72 | ||||||
Pacific Continental | 5,800 | 52 | ||||||
PacWest Bancorp (A) | 101,326 | 1,931 | ||||||
Park National (A) | 7,449 | 477 | ||||||
Peapack Gladstone Financial | 2,715 | 32 |
Description | Shares | Market Value ($ Thousands) | ||||||
Pebblebrook Hotel Trust * † | 48,500 | $ | 873 | |||||
Pennsylvania Real Estate Investment Trust † (A) | 42,600 | 505 | ||||||
Peoples Bancorp | 5,200 | 64 | ||||||
PHH * | 31,000 | 653 | ||||||
Pico Holdings * | 40,300 | 1,203 | ||||||
Pinnacle Financial Partners * (A) | 14,000 | 129 | ||||||
Platinum Underwriters Holdings | 86,534 | 3,766 | ||||||
Plum Creek Timber † (A) | 94,400 | 3,332 | ||||||
Porter Bancorp | 1,415 | 14 | ||||||
Presidential Life | 13,900 | 136 | ||||||
PrivateBancorp, Cl A (A) | 61,200 | 697 | ||||||
ProAssurance * | 38,105 | 2,194 | ||||||
Prosperity Bancshares | 29,100 | 945 | ||||||
Provident Financial Services (A) | 45,900 | 567 | ||||||
Public Storage † | 29,700 | 2,882 | ||||||
Radian Group (A) | 171,500 | 1,341 | ||||||
RAIT Financial Trust * † (A) | 29,400 | 48 | ||||||
Regency Centers † (A) | 68,600 | 2,708 | ||||||
Reinsurance Group of America, Cl A | 33,444 | 1,615 | ||||||
Renasant (A) | 49,800 | 757 | ||||||
Republic Bancorp, Cl A (A) | 51,804 | 1,095 | ||||||
RioCan Real Estate Investment Trust † | 29,900 | 668 | ||||||
Rockville Financial | 3,100 | 36 | ||||||
S&T Bancorp (A) | 23,500 | 409 | ||||||
Safety Insurance Group | 18,200 | 765 | ||||||
Sandy Spring Bancorp | 3,100 | 48 | ||||||
Saul Centers † | 35,200 | 1,477 | ||||||
SCBT Financial | 34,500 | 1,076 | ||||||
SeaBright Insurance Holdings | 23,900 | 193 | ||||||
Selective Insurance Group | 32,400 | 528 | ||||||
Shore Bancshares | 400 | 4 | ||||||
Sierra Bancorp (A) | 37,700 | 466 | ||||||
Signature Bank NY * (A) | 34,518 | 1,341 | ||||||
Simmons First National, Cl A | 24,700 | 698 | ||||||
Simon Property Group † | 25,418 | 2,357 | ||||||
South Financial Group * | 21,700 | 6 | ||||||
Southside Bancshares (A) | 34,943 | 660 | ||||||
Southwest Bancorp | 26,900 | 349 | ||||||
StanCorp Financial Group | 12,100 | 460 | ||||||
Starwood Property Trust † | 32,800 | 652 | ||||||
State Bancorp | 7,500 | 67 | ||||||
StellarOne | 12,400 | 158 | ||||||
Sterling Bancorp, Cl N | 41,000 | 356 | ||||||
Stewart Information Services (A) | 28,900 | 327 | ||||||
Stifel Financial * | 7,692 | 356 | ||||||
Student Loan | 19,900 | 591 | ||||||
Sun Bancorp * | 3,225 | 16 | ||||||
Susquehanna Bancshares | 51,000 | 430 | ||||||
SVB Financial Group * | 22,200 | 939 | ||||||
SWS Group | 79,800 | 572 | ||||||
SY Bancorp (A) | 4,400 | 109 | ||||||
Synovus Financial (A) | 613,260 | 1,509 | ||||||
Terreno Realty * † | 17,500 | 319 | ||||||
Territorial Bancorp | 6,000 | 101 | ||||||
Texas Capital Bancshares * | 2,200 | 38 | ||||||
THL Credit (A) | 45,800 | 540 | ||||||
Tompkins Financial, Cl US (A) | 6,170 | 245 | ||||||
Tower Bancorp | 1,300 | 26 | ||||||
Trico Bancshares | 8,300 | 128 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Trustco Bank NY (A) | 60,500 | $ | 336 | |||||
Trustmark (A) | 42,700 | 928 | ||||||
UDR † (A) | 113,000 | 2,387 | ||||||
UMB Financial | 7,600 | 270 | ||||||
Umpqua Holdings | 31,900 | 362 | ||||||
Unibail (France) † | 7,460 | 1,656 | ||||||
Union First Market Bankshares | 6,200 | 81 | ||||||
United Bankshares (A) | 7,500 | 187 | ||||||
United Community Banks * (A) | 112,897 | 253 | ||||||
United Financial Bancorp | 31,000 | 419 | ||||||
Validus Holdings | 52,900 | 1,394 | ||||||
Ventas † (A) | 28,400 | 1,465 | ||||||
Verde Realty PIPE * (B) (C) | 21,100 | 398 | ||||||
ViewPoint Financial Group | 45,640 | 422 | ||||||
Virginia Commerce Bancorp * | 2,700 | 13 | ||||||
Vornado Realty Trust † (A) | 42,097 | 3,601 | ||||||
Walter Investment Management † | 44,208 | 773 | ||||||
Washington Banking | 9,900 | 137 | ||||||
Washington Real Estate Investment Trust † | 23,300 | 739 | ||||||
Washington Trust Bancorp (A) | 5,400 | 103 | ||||||
Waterstone Financial * | 3,800 | 15 | ||||||
Webster Financial | 43,000 | 755 | ||||||
WesBanco (A) | 15,900 | 260 | ||||||
West Bancorporation * | 5,800 | 37 | ||||||
Westamerica Bancorporation (A) | 3,000 | 163 | ||||||
Western Alliance Bancorp * (A) | 46,600 | 312 | ||||||
Westfield Group † | 113,329 | 1,345 | ||||||
Whitney Holding (A) | 168,432 | 1,376 | ||||||
Willis Group Holdings | 7,251 | 223 | ||||||
Wilmington Trust (A) | 33,700 | 303 | ||||||
Wilshire Bancorp (A) | 59,900 | 392 | ||||||
Wintrust Financial | 6,100 | 198 | ||||||
WSFS Financial | 22,400 | 840 | ||||||
Yadkin Valley Financial | 1,000 | 3 | ||||||
Zions Bancorporation (A) | 99,137 | 2,118 | ||||||
197,768 | ||||||||
Health Care — 4.7% | ||||||||
Accuray * | 57,400 | 357 | ||||||
Alere * | 38,800 | 1,200 | ||||||
AMN Healthcare Services * | 63,700 | 327 | ||||||
Amsurg * | 72,182 | 1,262 | ||||||
Assisted Living Concepts, Cl A * | 32,100 | 977 | ||||||
Brookdale Senior Living * | 72,500 | 1,182 | ||||||
Cambrex * | 174,000 | 740 | ||||||
Cantel Medical | 8,600 | 139 | ||||||
Conmed * | 57,600 | 1,291 | ||||||
Cooper | 24,762 | 1,145 | ||||||
Cross Country Healthcare * | 60,900 | 438 | ||||||
Cubist Pharmaceuticals * (A) | 29,700 | 695 | ||||||
Enzon Pharmaceuticals * (A) | 43,000 | 484 | ||||||
Exactech * | 39,960 | 652 | ||||||
Healthsouth * (A) | 57,506 | 1,104 | ||||||
ICU Medical * | 59,800 | 2,230 | ||||||
Kendle International * | 34,796 | 324 | ||||||
Kindred Healthcare * | 40,300 | 525 | ||||||
Kinetic Concepts * (A) | 18,300 | 669 | ||||||
Magellan Health Services * | 17,100 | 808 | ||||||
Medical Action Industries * | 8,800 | 80 | ||||||
Medicis Pharmaceutical, Cl A | 29,100 | 863 | ||||||
Metropolitan Health Networks * | 50,900 | 193 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nighthawk Radiology Holdings * | 79,300 | $ | 506 | |||||
Par Pharmaceutical * | 53,500 | 1,555 | ||||||
Patterson (A) | 31,502 | 902 | ||||||
PDL BioPharma | 64,700 | 340 | ||||||
PharMerica * | 75,200 | 717 | ||||||
Providence Service * | 50,500 | 828 | ||||||
RehabCare Group * | 53,400 | 1,080 | ||||||
Skilled Healthcare Group, Cl A * | 73,300 | 288 | ||||||
Sun Healthcare Group * | 54,400 | 461 | ||||||
Universal American Financial (A) | 89,600 | 1,322 | ||||||
25,684 | ||||||||
Industrials — 14.9% | ||||||||
AAR * (A) | 27,900 | 521 | ||||||
Acuity Brands (A) | 20,200 | 894 | ||||||
Aegean Marine Petroleum Network | 31,300 | 521 | ||||||
Air Transport Services Group * | 35,500 | 216 | ||||||
Aircastle (A) | 104,000 | 882 | ||||||
Airtran Holdings * (A) | 190,200 | 1,398 | ||||||
Alamo Group | 25,900 | 578 | ||||||
Alaska Air Group * | 26,700 | 1,363 | ||||||
Ampco-Pittsburgh | 27,300 | 678 | ||||||
AO Smith (A) | 13,600 | 787 | ||||||
Apogee Enterprises | 36,300 | 332 | ||||||
Arkansas Best | 4,300 | 104 | ||||||
Astec Industries * (A) | 39,000 | 1,113 | ||||||
BE Aerospace * | 62,129 | 1,883 | ||||||
Beacon Roofing Supply * (A) | 41,300 | 602 | ||||||
Belden | 68,016 | 1,794 | ||||||
Brady, Cl A (A) | 46,877 | 1,367 | ||||||
Celadon Group * | 49,400 | 683 | ||||||
Clean Harbors * | 22,511 | 1,525 | ||||||
Columbus McKinnon * | 36,900 | 612 | ||||||
Comfort Systems USA (A) | 103,000 | 1,105 | ||||||
Consolidated Graphics * | 11,500 | 477 | ||||||
Courier | 31,252 | 444 | ||||||
CRA International * | 22,900 | 413 | ||||||
Crane | 32,000 | 1,214 | ||||||
Deluxe (A) | 71,200 | 1,362 | ||||||
Dycom Industries * | 69,700 | 696 | ||||||
EMCOR Group * | 90,700 | 2,230 | ||||||
EnPro Industries * (A) | 27,900 | 873 | ||||||
Esterline Technologies * | 16,100 | 921 | ||||||
Force Protection * | 90,500 | 456 | ||||||
FTI Consulting * (A) | 84,900 | 2,945 | ||||||
G&K Services | 46,085 | 1,054 | ||||||
Gardner Denver (A) | 24,513 | 1,316 | ||||||
Genco Shipping & Trading * (A) | 21,500 | 342 | ||||||
Generac Holdings * | 50,400 | 688 | ||||||
Geo Group * | 118,800 | 2,774 | ||||||
GrafTech International * | 30,900 | 483 | ||||||
Granite Construction (A) | 82,800 | 1,883 | ||||||
Hudson Highland Group * (A) | 21,100 | 73 | ||||||
IDEX (A) | 63,223 | 2,245 | ||||||
Interface, Cl A | 78,849 | 1,122 | ||||||
Kadant * (A) | 58,839 | 1,113 | ||||||
Kaydon (A) | 56,953 | 1,970 | ||||||
Kirby * | 28,500 | 1,142 | ||||||
LECG * | 152,800 | 168 | ||||||
Mueller Industries | 50,900 | 1,348 | ||||||
NACCO Industries, Cl A | 7,400 | 647 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Orion Marine Group * | 38,500 | $ | 478 | |||||
Quanex Building Products | 60,575 | 1,046 | ||||||
Republic Airways Holdings * (A) | 21,500 | 178 | ||||||
Ryder System (A) | 41,900 | 1,792 | ||||||
School Specialty * (A) | 150,387 | 1,957 | ||||||
Skywest | 40,400 | 564 | ||||||
Spirit Aerosystems Holdings, Cl A * (A) | 44,400 | 885 | ||||||
Standex International | 15,300 | 370 | ||||||
SYKES Enterprises * | 93,100 | 1,264 | ||||||
TAL International Group | 34,300 | 831 | ||||||
Teledyne Technologies * | 75,829 | 3,019 | ||||||
Teleflex (A) | 41,781 | 2,372 | ||||||
Terex * (A) | 68,021 | 1,559 | ||||||
Tetra Tech * | 53,759 | 1,127 | ||||||
Towers Watson, Cl A | 75,411 | 3,709 | ||||||
Triumph Group | 16,350 | 1,220 | ||||||
TrueBlue * | 58,400 | 797 | ||||||
Tutor Perini * (A) | 75,800 | 1,523 | ||||||
United Stationers * (A) | 12,400 | 664 | ||||||
US Airways Group * (A) | 22,000 | 203 | ||||||
VSE | 13,900 | 490 | ||||||
Wabash National * | 156,800 | 1,268 | ||||||
Watts Water Technologies, Cl A (A) | 33,676 | 1,147 | ||||||
WESCO International * (A) | 39,681 | 1,559 | ||||||
Woodward Governor | 49,000 | 1,589 | ||||||
80,968 | ||||||||
Information Technology — 13.4% | ||||||||
Actel * | 75,300 | 1,201 | ||||||
Anixter International * (A) | 22,300 | 1,204 | ||||||
Arris Group * | 76,600 | 748 | ||||||
Arrow Electronics * | 55,100 | 1,473 | ||||||
Benchmark Electronics * | 89,000 | 1,460 | ||||||
Black Box | 18,400 | 590 | ||||||
Brocade Communications Systems * | 231,318 | 1,351 | ||||||
CACI International, Cl A * (A) | 61,799 | 2,797 | ||||||
CDC Software ADR * | 151,600 | 917 | ||||||
Ciber * | 302,900 | 912 | ||||||
Coherent * | 46,259 | 1,851 | ||||||
Comtech Telecommunications | 42,329 | 1,158 | ||||||
CSG Systems International * | 59,400 | 1,083 | ||||||
CTS | 54,900 | 528 | ||||||
Diebold (A) | 93,837 | 2,917 | ||||||
Digi International * | 125,900 | 1,195 | ||||||
Digital River * (A) | 104,533 | 3,558 | ||||||
Earthlink (A) | 151,900 | 1,381 | ||||||
Emulex * | 98,135 | 1,025 | ||||||
Fair Isaac (A) | 37,900 | 935 | ||||||
Fairchild Semiconductor International * (A) | 127,600 | 1,199 | ||||||
Global Cash Access Holdings * | 147,000 | 600 | ||||||
Hackett Group * | 214,700 | 887 | ||||||
Imation * | 47,000 | 439 | ||||||
Integrated Device Technology * | 110,800 | 648 | ||||||
Intermec * (A) | 205,290 | 2,517 | ||||||
Jack Henry & Associates | 31,800 | 811 | ||||||
Lawson Software * | 383,686 | 3,250 | ||||||
LeCroy * | 38,900 | 307 | ||||||
Lexmark International, Cl A * | 21,300 | 950 |
Description | Shares | Market Value ($ Thousands) | ||||||
Littelfuse * | 31,277 | $ | 1,367 | |||||
LTX-Credence * (A) | 181,100 | 379 | ||||||
Manhattan Associates * (A) | 57,300 | 1,682 | ||||||
Mantech International, Cl A * (A) | 37,000 | 1,465 | ||||||
MAXIMUS | 11,100 | 683 | ||||||
MicroStrategy, Cl A * | 21,300 | 1,845 | ||||||
Monster Worldwide * (A) | 79,100 | 1,025 | ||||||
Multi-Fineline Electronix * | 30,200 | 664 | ||||||
Orbotech * | 88,300 | 881 | ||||||
Parametric Technology * | 87,592 | 1,711 | ||||||
Photronics * (A) | 117,200 | 620 | ||||||
Plantronics | 11,700 | 395 | ||||||
Progress Software * | 38,500 | 1,274 | ||||||
Radisys * (A) | 68,500 | 645 | ||||||
RF Micro Devices * | 128,500 | 789 | ||||||
Richardson Electronics | 52,504 | 551 | ||||||
Rudolph Technologies * | 102,300 | 850 | ||||||
SRA International, Cl A * (A) | 59,800 | 1,179 | ||||||
SYNNEX * (A) | 22,000 | 619 | ||||||
Synopsys * | 66,645 | 1,651 | ||||||
Tech Data * | 21,400 | 863 | ||||||
Technitrol (A) | 63,300 | 279 | ||||||
TNS * | 74,438 | 1,262 | ||||||
Ultra Clean Holdings * | 57,000 | 491 | ||||||
Ultratech * (A) | 71,100 | 1,216 | ||||||
United Online | 88,200 | 505 | ||||||
Varian Semiconductor Equipment Associates * | 38,200 | 1,099 | ||||||
Web.com Group * | 61,500 | 338 | ||||||
Websense * | 59,200 | 1,050 | ||||||
Xyratex * (A) | 118,609 | 1,760 | ||||||
Zebra Technologies, Cl A * (A) | 58,325 | 1,962 | ||||||
Zoran * | 239,232 | 1,828 | ||||||
72,820 | ||||||||
Materials — 4.8% | ||||||||
Aptargroup | 24,191 | 1,105 | ||||||
Buckeye Technologies | 128,100 | 1,884 | ||||||
Cabot | 29,403 | 958 | ||||||
Cytec Industries | 19,458 | 1,097 | ||||||
Eagle Materials | 13,300 | 315 | ||||||
Glatfelter | 51,600 | 628 | ||||||
Globe Specialty Metals | 85,900 | 1,206 | ||||||
Graham Packaging * | 16,900 | 200 | ||||||
H.B. Fuller | 78,700 | 1,564 | ||||||
Huntsman | 114,689 | 1,326 | ||||||
Innophos Holdings | 27,100 | 897 | ||||||
Innospec * | 54,900 | 836 | ||||||
Kaiser Aluminum (A) | 11,000 | 471 | ||||||
Minerals Technologies | 8,000 | 471 | ||||||
Myers Industries | 64,100 | 551 | ||||||
NewMarket | 14,300 | 1,625 | ||||||
OM Group * (A) | 73,029 | 2,200 | ||||||
Packaging Corp of America | 47,450 | 1,099 | ||||||
PolyOne * | 85,800 | 1,037 | ||||||
Quaker Chemical | 39,900 | 1,299 | ||||||
RTI International Metals * (A) | 45,194 | 1,384 | ||||||
Schweitzer-Mauduit International | 20,909 | 1,219 | ||||||
Sensient Technologies | 51,500 | 1,570 | ||||||
Stepan | 14,900 | 881 | ||||||
25,823 | ||||||||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Telecommunication Services — 0.3% | ||||||||
Cincinnati Bell * | 242,900 | $ | 649 | |||||
USA Mobility | 45,100 | 723 | ||||||
1,372 | ||||||||
Utilities — 5.4% | ||||||||
AGL Resources | 57,490 | 2,205 | ||||||
Allete | 43,800 | 1,596 | ||||||
Avista | 61,500 | 1,284 | ||||||
California Water Service Group | 10,700 | 395 | ||||||
Cleco | 61,000 | 1,807 | ||||||
El Paso Electric * | 64,000 | 1,522 | ||||||
Empire District Electric (A) | 36,800 | 741 | ||||||
Great Plains Energy (A) | 161,122 | 3,045 | ||||||
Idacorp | 52,824 | 1,897 | ||||||
Nicor | 9,300 | 426 | ||||||
Northwest Natural Gas (A) | 9,700 | 460 | ||||||
NorthWestern (A) | 75,500 | 2,152 | ||||||
Portland General Electric | 265,504 | 5,384 | ||||||
South Jersey Industries | 20,880 | 1,033 | ||||||
Southwest Gas | 17,700 | 595 | ||||||
UGI | 34,400 | 984 | ||||||
UIL Holdings | 21,690 | 611 | ||||||
Unisource Energy | 17,400 | 582 | ||||||
Vectren | 42,000 | 1,087 | ||||||
Westar Energy (A) | 55,293 | 1,340 | ||||||
29,146 | ||||||||
Total Common Stock | 528,631 | |||||||
PREFERRED STOCK — 0.0% | ||||||||
GeoMet | ||||||||
8.000%* | 16,610 | 171 | ||||||
Total Preferred Stock | 171 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Washington Mutual Expires 2050 (D) | 30,242 | 12 | ||||||
Total Warrants | 12 | |||||||
AFFILIATED PARTNERSHIP — 24.9% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (E) | 139,060,084 | 135,061 | ||||||
Total Affiliated Partnership | 135,061 | |||||||
CASH EQUIVALENT — 2.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%** †† | 12,211,958 | 12,212 | ||||||
Total Cash Equivalent | 12,212 | |||||||
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATION (F) (G) — 0.9% | ||||||||
U.S. Treasury Bills | ||||||||
0.200%, 12/16/10 | $ | 4,755 | $ | 4,753 | ||||
Total U.S. Treasury Obligation | 4,753 | |||||||
Total Investments — 125.4% | $ | 680,840 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 128 | Dec-2010 | $ | 502 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $542,871 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $135,142 ($ Thousands). |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2010 was $398 ($ Thousands) and represented 0.07% of Net Assets. |
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2010 was $398 ($ Thousands) and represented 0.07% of Net Assets. |
(D) | This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. |
(E) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $135,061 ($Thousands). |
(F) | The rate reported is the effective yield at the time of purchase. |
(G) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2010
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 528,233 | $ | — | $ | 398 | $ | 528,631 | ||||||||
Preferred Stock | — | 171 | — | 171 | ||||||||||||
Warrants | 12 | — | — | 12 | ||||||||||||
Affiliated Partnership | — | 135,061 | — | 135,061 | ||||||||||||
Cash Equivalent | 12,212 | — | — | 12,212 | ||||||||||||
U.S. Treasury Obligation | — | 4,753 | — | 4,753 | ||||||||||||
Total Investments in Securities | $ | 540,457 | $ | 139,985 | $ | 398 | $ | 680,840 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 502 | $ | — | $ | — | $ | 502 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2009 | $ | 445 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized depreciation) | (47 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | — | |||
Ending balance as of September 30, 2010 | $ | 398 | ||
Changes in unrealized gains (losses) included in earnings to securities still held at reporting date | $ | (47 | ) | |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.2% ‡ | ||||||||
Consumer Discretionary — 17.7% | ||||||||
American Axle & Manufacturing Holdings * | 690 | $ | 6 | |||||
American Greetings, Cl A (A) | 35,790 | 665 | ||||||
American Public Education * (A) | 75,470 | 2,480 | ||||||
Amerigon * (A) | 20,680 | 213 | ||||||
Ameristar Casinos (A) | 1,600 | 28 | ||||||
AnnTaylor Stores * | 27,960 | 566 | ||||||
Arbitron | 3,000 | 84 | ||||||
ATC Technology * | 9,600 | 238 | ||||||
Bally Technologies * | 12,760 | 446 | ||||||
Belo, Cl A * | 49,192 | 305 | ||||||
Big 5 Sporting Goods (A) | 12,100 | 162 | ||||||
Blue Nile * (A) | 3,954 | 176 | ||||||
Bon-Ton Stores (A) | 6,430 | 65 | ||||||
Bridgepoint Education * | 23,849 | 369 | ||||||
Brinker International (A) | 12,637 | 238 | ||||||
Brown Shoe | 25,296 | 290 | ||||||
Brunswick (A) | 27,460 | 418 | ||||||
Buckle (A) | 9,838 | 261 | ||||||
Buffalo Wild Wings * (A) | 19,855 | 951 | ||||||
Cabela’s * (A) | 49,950 | 948 | ||||||
California Pizza Kitchen * | 33,800 | 577 | ||||||
Capella Education * (A) | 27,161 | 2,108 | ||||||
Career Education * (A) | 15,094 | 324 | ||||||
Cato, Cl A | 35,588 | 952 | ||||||
Cheesecake Factory * (A) | 25,084 | 664 | ||||||
Childrens Place Retail Stores * | 3,700 | 181 | ||||||
Chipotle Mexican Grill, Cl A * | 2,700 | 464 | ||||||
Christopher & Banks | 18,350 | 145 | ||||||
Citi Trends * (A) | 10,400 | 252 | ||||||
Cooper Tire & Rubber | 39,018 | 766 | ||||||
Corinthian Colleges * | 24,990 | 175 | ||||||
Cracker Barrel Old Country Store | 19,609 | 995 | ||||||
CROCS * (A) | 94,800 | 1,233 | ||||||
Dana Holding * | 96,600 | 1,190 | ||||||
Deckers Outdoor * (A) | 28,476 | 1,423 | ||||||
Denny’s * (A) | 18,700 | 58 | ||||||
Dick’s Sporting Goods * (A) | 20,087 | 563 | ||||||
Dillard’s, Cl A (A) | 4,100 | 97 | ||||||
DineEquity * | 1,933 | 87 | ||||||
Domino’s Pizza * | 22,749 | 301 | ||||||
DSW, Cl A * (A) | 18,000 | 517 | ||||||
Entercom Communications * (A) | 18,500 | 145 | ||||||
EW Scripps, Cl A * | 18,228 | 144 | ||||||
Finish Line, Cl A (A) | 121,239 | 1,686 | ||||||
Foot Locker | 20,630 | 300 | ||||||
Fred’s, Cl A | 3,850 | 45 | ||||||
Gentex | 6,000 | 117 | ||||||
Gordmans Stores * | 11,230 | 130 | ||||||
Grand Canyon Education * (A) | 41,316 | 906 | ||||||
Gymboree * (A) | 5,346 | 222 | ||||||
Hibbett Sports * | 20,043 | 500 | ||||||
Hillenbrand | 10,300 | 222 | ||||||
HSN * | 47,845 | 1,431 | ||||||
Iconix Brand Group * | 66,662 | 1,167 | ||||||
Insight Enterprises * | 20,876 | 327 | ||||||
Interval Leisure Group * | 4,200 | 57 | ||||||
Isle of Capri Casinos * (A) | 3,804 | 27 | ||||||
J Crew Group * | 44,795 | 1,506 |
Description | Shares | Market Value ($ Thousands) | ||||||
Jarden | 47,365 | $ | 1,475 | |||||
Jo-Ann Stores * (A) | 6,112 | 272 | ||||||
JOS A Bank Clothiers * (A) | 12,750 | 543 | ||||||
K12 * (A) | 28,245 | 820 | ||||||
Kirkland’s * | 51,598 | 715 | ||||||
Knology * | 24,064 | 323 | ||||||
La-Z-Boy, Cl Z * (A) | 72,060 | 608 | ||||||
Lee Enterprises * | 4,200 | 11 | ||||||
Leggett & Platt | 20,500 | 467 | ||||||
Liberty Media - Capital, Ser A * | 1,100 | 57 | ||||||
Life Time Fitness * (A) | 47,896 | 1,890 | ||||||
Lin TV, Cl A * | 5,700 | 25 | ||||||
Live Nation * | 87,675 | 866 | ||||||
Liz Claiborne * | 46,900 | 285 | ||||||
Maidenform Brands * | 13,912 | 401 | ||||||
Marcus | 1,171 | 14 | ||||||
Matthews International, Cl A | 6,519 | 231 | ||||||
Meritage Homes * | 41,585 | 816 | ||||||
Monro Muffler | 6,900 | 318 | ||||||
National CineMedia | 60,965 | 1,091 | ||||||
Nutri/System (A) | 17,327 | 333 | ||||||
NVR * | 1,080 | 699 | ||||||
Oxford Industries | 29,300 | 697 | ||||||
Peet’s Coffee & Tea * (A) | 21,552 | 738 | ||||||
PetMed Express (A) | 6,866 | 120 | ||||||
PetSmart | 20,930 | 733 | ||||||
PF Chang’s China Bistro (A) | 17,827 | 824 | ||||||
Pier 1 Imports * | 41,600 | 341 | ||||||
Polaris Industries (A) | 3,200 | 208 | ||||||
Pre-Paid Legal Services * (A) | 4,200 | 262 | ||||||
Retail Ventures * | 17,100 | 184 | ||||||
Saks * | 177,435 | 1,526 | ||||||
Sally Beauty Holdings * (A) | 6,700 | 75 | ||||||
Select Comfort * | 33,998 | 231 | ||||||
Shutterfly * | 8,900 | 231 | ||||||
Sinclair Broadcast Group, Cl A * | 65,437 | 459 | ||||||
Sirius XM Radio * (A) | 69,600 | 84 | ||||||
Skechers U.S.A., Cl A * (A) | 20,800 | 489 | ||||||
Sotheby’s (A) | 47,185 | 1,737 | ||||||
Stage Stores | 700 | 9 | ||||||
Stamps.com * | 5,619 | 73 | ||||||
Steiner Leisure * | 6,977 | 266 | ||||||
Sturm Ruger (A) | 61,580 | 840 | ||||||
Superior Industries International | 5,500 | 95 | ||||||
Talbots * | 198,870 | 2,605 | ||||||
Tempur-Pedic International * | 69,030 | 2,140 | ||||||
Tenneco * | 44,385 | 1,286 | ||||||
Timberland, Cl A * | 7,800 | 154 | ||||||
Tractor Supply (A) | 37,937 | 1,505 | ||||||
True Religion Apparel * | 37,540 | 801 | ||||||
Tupperware Brands | 10,562 | 483 | ||||||
Ulta Salon Cosmetics & Fragrance * | 26,692 | 779 | ||||||
Under Armour, Cl A * | 13,109 | 590 | ||||||
Universal Technical Institute | 31,073 | 608 | ||||||
Valassis Communications * | 26,400 | 895 | ||||||
Volcom * (A) | 6,052 | 116 | ||||||
Warnaco Group * | 14,598 | 746 | ||||||
Williams-Sonoma | 9,293 | 295 | ||||||
Wolverine World Wide | 9,057 | 263 | ||||||
World Wrestling Entertainment, Cl A (A) | 10,100 | 141 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Zumiez * | 66,820 | $ | 1,414 | |||||
68,216 | ||||||||
Consumer Staples — 2.4% | ||||||||
Cal-Maine Foods (A) | 8,758 | 254 | ||||||
Casey’s General Stores (A) | 15,928 | 665 | ||||||
Darling International * | 57,100 | 486 | ||||||
Diamond Foods (A) | 11,430 | 468 | ||||||
Green Mountain Coffee Roasters * (A) | 13,100 | 409 | ||||||
Heckmann * (A) | 9,600 | 37 | ||||||
Herbalife | 7,715 | 466 | ||||||
J&J Snack Foods | 8,700 | 365 | ||||||
Lancaster Colony (A) | 12,703 | 603 | ||||||
Medifast * (A) | 41,167 | 1,117 | ||||||
Nash Finch | 9,288 | 395 | ||||||
Nu Skin Enterprises, Cl A | 14,500 | 418 | ||||||
Ruddick | 14,400 | 499 | ||||||
Sanderson Farms (A) | 7,898 | 342 | ||||||
United Natural Foods * (A) | 20,201 | 670 | ||||||
Universal | 7,200 | 289 | ||||||
USANA Health Sciences * (A) | 5,735 | 231 | ||||||
Vector Group (A) | 75,730 | 1,416 | ||||||
9,130 | ||||||||
Energy — 5.5% | ||||||||
American Oil & Gas * (A) | 37,000 | 300 | ||||||
Berry Petroleum, Cl A | 3,800 | 121 | ||||||
Brigham Exploration * | 60,000 | 1,125 | ||||||
CARBO Ceramics (A) | 19,500 | 1,579 | ||||||
Clayton Williams Energy * | 2,800 | 142 | ||||||
Clean Energy Fuels * (A) | 14,100 | 200 | ||||||
Comstock Resources * (A) | 110,822 | 2,492 | ||||||
Contango Oil & Gas * | 4,085 | 205 | ||||||
Delek US Holdings | 5,365 | 38 | ||||||
Dresser-Rand Group * | 19,075 | 704 | ||||||
Dril-Quip * | 300 | 19 | ||||||
Energy XXI Bermuda * (A) | 70,710 | 1,634 | ||||||
Frontline | 15,453 | 439 | ||||||
Goodrich Petroleum * (A) | 153,488 | 2,236 | ||||||
Gulf Island Fabrication | 6,917 | 126 | ||||||
Gulfport Energy * | 10,800 | 150 | ||||||
Houston American Energy (A) | 19,900 | 199 | ||||||
Infinity Bio-Energy * | 741,494 | — | ||||||
L&L Energy * (A) | 8,360 | 67 | ||||||
Lufkin Industries | 15,864 | 696 | ||||||
McMoRan Exploration * (A) | 17,500 | 301 | ||||||
Newpark Resources * | 21,300 | 179 | ||||||
Nordic American Tanker Shipping, Cl US (A) | 14,300 | 383 | ||||||
Northern Oil And Gas * (A) | 3,800 | 64 | ||||||
Oasis Petroleum * | 10,049 | 195 | ||||||
Overseas Shipholding Group (A) | 1,600 | 55 | ||||||
PetroHawk Energy * | 142,109 | 2,294 | ||||||
Petroquest Energy * | 16,400 | 100 | ||||||
Quicksilver Resources * | 110,369 | 1,391 | ||||||
RPC | 3,900 | 83 | ||||||
Scorpio Tankers * | 61,240 | 691 | ||||||
Ship Finance International (A) | 14,900 | 289 | ||||||
Tetra Technologies * | 24,200 | 247 | ||||||
Vaalco Energy * (A) | 42,760 | 245 | ||||||
Willbros Group * (A) | 29,936 | 274 |
Description | Shares | Market Value ($ Thousands) | ||||||
World Fuel Services | 68,297 | $ | 1,776 | |||||
21,039 | ||||||||
Financials — 6.4% | ||||||||
Affiliated Managers Group * | 19,686 | 1,536 | ||||||
Alexander’s † | 300 | 95 | ||||||
American Equity Investment Life Holding | 26,700 | 273 | ||||||
Apollo Investment * | 2,900 | 30 | ||||||
Associated Estates Realty † | 6,600 | 92 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 2,900 | 42 | ||||||
Bank of Hawaii (A) | 6,100 | 274 | ||||||
BGC Partners, Cl A | 25,700 | 153 | ||||||
Calamos Asset Management, Cl A | 9,725 | 112 | ||||||
CapitalSource | 204,045 | 1,090 | ||||||
Capstead Mortgage † | 5,400 | 59 | ||||||
Cardtronics * | 64,414 | 994 | ||||||
Cash Store Financial Services | 49,770 | 747 | ||||||
CBL & Associates Properties † | 3,100 | 40 | ||||||
Cohen & Steers (A) | 7,319 | 159 | ||||||
Credit Acceptance * | 12,486 | 753 | ||||||
Digital Realty Trust † (A) | 7,200 | 444 | ||||||
DuPont Fabros Technology † | 15,327 | 385 | ||||||
EastGroup Properties † | 3,378 | 126 | ||||||
Eaton Vance | 27,810 | 808 | ||||||
eHealth * | 4,300 | 56 | ||||||
Entertainment Properties Trust † | 6,300 | 272 | ||||||
Equity Lifestyle Properties † | 3,438 | 187 | ||||||
Equity One † | 13,157 | 222 | ||||||
Essex Property Trust † | 1,600 | 175 | ||||||
FBL Financial Group, Cl A | 2,800 | 73 | ||||||
Financial Engines * | 106,151 | 1,410 | ||||||
First American Financial | 43,025 | 643 | ||||||
First Cash Financial Services * | 1,028 | 28 | ||||||
General Motors Financial * | 2,400 | 59 | ||||||
Getty Realty † | 11,498 | 309 | ||||||
Greenhill | 10,444 | 828 | ||||||
Hatteras Financial † (A) | 4,000 | 114 | ||||||
Hercules Technology Growth Capital | 10,689 | 108 | ||||||
Home Properties † | 2,800 | 148 | ||||||
Jones Lang LaSalle | 13,525 | 1,167 | ||||||
LTC Properties † | 15,855 | 405 | ||||||
MarketAxess Holdings | 111,808 | 1,899 | ||||||
MF Global Holdings * | 84,444 | 608 | ||||||
MFA Financial † | 60,111 | 459 | ||||||
MGIC Investment * | 187,894 | 1,734 | ||||||
Mid-America Apartment Communities † | 2,949 | 172 | ||||||
MSCI, Cl A * | 22,567 | 749 | ||||||
Nelnet, Cl A | 12,300 | 281 | ||||||
Omega Healthcare Investors † | 1,700 | 38 | ||||||
optionsXpress Holdings * (A) | 18,047 | 277 | ||||||
Portfolio Recovery Associates * (A) | 3,300 | 213 | ||||||
Potlatch † (A) | 4,823 | 164 | ||||||
Protective Life | 4,200 | 91 | ||||||
Realty Income † (A) | 2,100 | 71 | ||||||
Senior Housing Properties Trust † | 1,200 | 28 | ||||||
Stifel Financial * | 2,133 | 99 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
SVB Financial Group * | 19,425 | $ | 822 | |||||
SWS Group | 6,057 | 43 | ||||||
Tanger Factory Outlet Centers † (A) | 3,600 | 170 | ||||||
TFS Financial | 22,700 | 209 | ||||||
Titanium Asset Management * (B) (C) | 140,900 | 403 | ||||||
Tompkins Financial, Cl US | 800 | 32 | ||||||
Tower Group | 7,054 | 165 | ||||||
Trustco Bank NY (A) | 49,477 | 275 | ||||||
Value Creation * (B) (C) | 145,600 | 142 | ||||||
Walter Investment Management † | 3,600 | 63 | ||||||
Washington Real Estate Investment Trust † | 3,100 | 98 | ||||||
World Acceptance * | 17,494 | 773 | ||||||
24,494 | ||||||||
Health Care — 16.6% | ||||||||
Abaxis * | 73,692 | 1,702 | ||||||
Achillion Pharmaceuticals * | 78,565 | 237 | ||||||
Acorda Therapeutics * | 62,199 | 2,054 | ||||||
Affymetrix * (A) | 2,038 | 9 | ||||||
Air Methods * | 15,195 | 632 | ||||||
Albany Molecular Research * | 2,515 | 16 | ||||||
Align Technology * (A) | 101,274 | 1,983 | ||||||
Allos Therapeutics * | 15,200 | 72 | ||||||
Allscripts Healthcare Solutions * | 12,840 | 237 | ||||||
Almost Family * (A) | 2,800 | 83 | ||||||
Alnylam Pharmaceuticals * (A) | 3,400 | 42 | ||||||
AMAG Pharmaceuticals * (A) | 34,245 | 589 | ||||||
Amedisys * (A) | 7,492 | 178 | ||||||
American Medical Systems Holdings * (A) | 8,600 | 168 | ||||||
AMERIGROUP * | 19,531 | 829 | ||||||
AMN Healthcare Services * | 10,099 | 52 | ||||||
Amylin Pharmaceuticals * | 21,300 | 444 | ||||||
Analogic | 2,356 | 106 | ||||||
Arthrocare * | 2,600 | 71 | ||||||
ATHENAHEALTH INC * | 32,850 | 1,085 | ||||||
Auxilium Pharmaceuticals * (A) | 10,797 | 268 | ||||||
BioMarin Pharmaceuticals * (A) | 60,035 | 1,342 | ||||||
BioMimetic Therapeutics * | 19,993 | 228 | ||||||
Bio-Reference Labs * | 6,000 | 125 | ||||||
Biotime * | 2,300 | 11 | ||||||
Bruker BioSciences * (A) | 75,914 | 1,065 | ||||||
Cadence Pharmaceuticals * (A) | 29,831 | 249 | ||||||
Cantel Medical | 16,500 | 267 | ||||||
Cardiome Pharma * | 101,484 | 619 | ||||||
Catalyst Health Solutions * | 32,495 | 1,144 | ||||||
Cepheid * (A) | 36,705 | 687 | ||||||
Chemed (A) | 24,333 | 1,386 | ||||||
Computer Programs & Systems | 3,854 | 164 | ||||||
Conceptus * (A) | 92,243 | 1,268 | ||||||
Corvel * | 3,473 | 147 | ||||||
Cubist Pharmaceuticals * (A) | 60,437 | 1,414 | ||||||
Dionex * (A) | 2,714 | 235 | ||||||
Durect * | 267,103 | 678 | ||||||
Emergent Biosolutions * | 2,415 | 42 | ||||||
eResearchTechnology * | 38,446 | 288 | ||||||
Exact Sciences * (A) | 22,495 | 163 | ||||||
Exelixis * (A) | 23,400 | 92 | ||||||
Furiex Pharmaceuticals * | 390 | 4 |
Description | Shares | Market Value ($ Thousands) | ||||||
Genoptix * | 4,927 | $ | 70 | |||||
Gen-Probe * | 5,349 | 259 | ||||||
Gentiva Health Services * | 12,400 | 271 | ||||||
Haemonetics * | 14,475 | 847 | ||||||
Halozyme Therapeutics * | 19,900 | 153 | ||||||
Healthsouth * (A) | 86,656 | 1,664 | ||||||
HeartWare International * | 15,341 | 1,055 | ||||||
Hill-Rom Holdings | 13,500 | 485 | ||||||
Hi-Tech Pharmacal * (A) | 2,300 | 47 | ||||||
HMS Holdings * (A) | 7,638 | 450 | ||||||
Human Genome Sciences * (A) | 23,308 | 694 | ||||||
ICU Medical * | 2,300 | 86 | ||||||
Immucor * | 35,766 | 709 | ||||||
Immunogen * (A) | 32,100 | 201 | ||||||
Impax Laboratories * | 43,000 | 850 | ||||||
Incyte * (A) | 91,105 | 1,457 | ||||||
Integra LifeSciences Holdings * (A) | 4,720 | 186 | ||||||
IPC The Hospitalist * | 49,451 | 1,351 | ||||||
Isis Pharmaceuticals * (A) | 1,900 | 16 | ||||||
Kensey Nash * | 4,800 | 139 | ||||||
Landauer | 7,373 | 462 | ||||||
LCA-Vision * (A) | 17,400 | 97 | ||||||
LHC Group * | 3,581 | 83 | ||||||
Luminex * (A) | 20,901 | 335 | ||||||
Magellan Health Services * | 2,362 | 112 | ||||||
Martek Biosciences * (A) | 7,274 | 165 | ||||||
Masimo | 35,166 | 960 | ||||||
Medicis Pharmaceutical, Cl A | 15,420 | 457 | ||||||
Medivation * (A) | 6,374 | 83 | ||||||
Meridian Bioscience | 33,101 | 724 | ||||||
Merit Medical Systems * | 2,520 | 40 | ||||||
MWI Veterinary Supply * | 16,217 | 936 | ||||||
Myriad Genetics * | 38,455 | 631 | ||||||
National Healthcare | 4,006 | 149 | ||||||
Natus Medical * | 17,130 | 250 | ||||||
Nektar Therapeutics * (A) | 56,891 | 840 | ||||||
Neogen * | 3,100 | 105 | ||||||
NPS Pharmaceuticals * | 33,708 | 230 | ||||||
NuVasive * (A) | 69,934 | 2,458 | ||||||
NxStage Medical * (A) | 12,400 | 237 | ||||||
Obagi Medical Products * | 31,380 | 330 | ||||||
Omnicell * | 97,534 | 1,276 | ||||||
Onyx Pharmaceuticals * | 5,639 | 149 | ||||||
Optimer Pharmaceuticals * (A) | 18,697 | 171 | ||||||
Orthofix International * | 4,209 | 132 | ||||||
Owens & Minor | 26,571 | 756 | ||||||
Par Pharmaceutical * | 724 | 21 | ||||||
Parexel International * | 55,873 | 1,292 | ||||||
PDL BioPharma (A) | 291,037 | 1,531 | ||||||
Perrigo | 111 | 7 | ||||||
Pharmaceutical Product Development | 4,687 | 116 | ||||||
Pharmacyclics * (A) | 5,900 | 47 | ||||||
Pharmasset * | 9,904 | 292 | ||||||
Pozen * | 117,355 | 831 | ||||||
PSS World Medical * (A) | 70,485 | 1,507 | ||||||
Psychiatric Solutions * | 7,300 | 245 | ||||||
Questcor Pharmaceuticals * (A) | 128,975 | 1,279 | ||||||
Quidel * (A) | 9,050 | 100 | ||||||
Salix Pharmaceuticals * | 35,100 | 1,394 | ||||||
Savient Pharmaceuticals * (A) | 57,629 | 1,318 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Seattle Genetics * | 9,100 | $ | 141 | |||||
SIGA Technologies * (A) | 29,007 | 245 | ||||||
Sirona Dental Systems * (A) | 16,184 | 583 | ||||||
Spectrum Pharmaceuticals * (A) | 34,700 | 145 | ||||||
StemCells * (A) | 58,000 | 48 | ||||||
STERIS | 59,720 | 1,984 | ||||||
Sunrise Senior Living * (A) | 45,400 | 156 | ||||||
Targacept * | 5,000 | 112 | ||||||
Techne | 23,637 | 1,459 | ||||||
Theravance * (A) | 54,435 | 1,094 | ||||||
United Therapeutics * | 6,922 | 388 | ||||||
Universal American Financial | 7,800 | 115 | ||||||
Valeant Pharmaceuticals International * (A) | 36,532 | 915 | ||||||
Vanda Pharmaceuticals * | 3,600 | 24 | ||||||
Viropharma * | 37,387 | 557 | ||||||
Zoll Medical * | 12,995 | 419 | ||||||
63,998 | ||||||||
Industrials — 16.5% | ||||||||
Acacia Research - Acacia Technologies * | 4,100 | 72 | ||||||
Actuant, Cl A | 8,553 | 196 | ||||||
Acuity Brands (A) | 31,662 | 1,401 | ||||||
Administaff | 12,387 | 334 | ||||||
Advisory Board * (A) | 5,928 | 262 | ||||||
Aegean Marine Petroleum Network | 160,822 | 2,676 | ||||||
AerCap Holdings * | 139,360 | 1,649 | ||||||
Aerovironment * (A) | 42,073 | 936 | ||||||
Aircastle | 24,000 | 204 | ||||||
Alaska Air Group * | 6,033 | 308 | ||||||
Albany International, Cl A | 4,200 | 80 | ||||||
Allegiant Travel, Cl A (A) | 1,000 | 42 | ||||||
Alliant Techsystems * | 10,035 | 757 | ||||||
American Science & Engineering | 3,100 | 228 | ||||||
AO Smith | 5,516 | 319 | ||||||
APAC Customer Services * (A) | 102,771 | 582 | ||||||
Apogee Enterprises | 10,754 | 99 | ||||||
Applied Industrial Technologies | 14,700 | 450 | ||||||
Armstrong World Industries * (A) | 12,865 | 534 | ||||||
ArvinMeritor * (A) | 40,100 | 623 | ||||||
Avis Budget Group * (A) | 19,869 | 231 | ||||||
AZZ | 3,200 | 137 | ||||||
Badger Meter | 1,935 | 78 | ||||||
Barnes Group (A) | 46,549 | 819 | ||||||
Belden | 2,000 | 53 | ||||||
Brady, Cl A | 4,324 | 126 | ||||||
Briggs & Stratton | 21,076 | 401 | ||||||
Carlisle | 45,225 | 1,355 | ||||||
Celadon Group * | 48,120 | 665 | ||||||
Chart Industries * | 11,513 | 234 | ||||||
Chicago Bridge & Iron * | 23,775 | 581 | ||||||
Clean Harbors * (A) | 2,200 | 149 | ||||||
Comfort Systems USA | 3,800 | 41 | ||||||
Consolidated Graphics * | 7,200 | 298 | ||||||
Copa Holdings, Cl A | 15,725 | 848 | ||||||
Copart * | 31,922 | 1,052 | ||||||
Corporate Executive Board | 33,234 | 1,049 | ||||||
CoStar Group * (A) | 48,988 | 2,386 | ||||||
Cubic | 18,583 | 758 |
Description | Shares | Market Value ($ Thousands) | ||||||
Curtiss-Wright | 2,195 | $ | 67 | |||||
Deluxe | 14,733 | 282 | ||||||
Dollar Thrifty Automotive Group * | 4,500 | 226 | ||||||
EnerNOC * (A) | 39,239 | 1,232 | ||||||
EnerSys * | 5,684 | 142 | ||||||
EnPro Industries * (A) | 2,700 | 84 | ||||||
Forward Air | 3,168 | 83 | ||||||
Franklin Electric | 400 | 13 | ||||||
Gardner Denver | 23,740 | 1,274 | ||||||
GenCorp * | 66,980 | 330 | ||||||
Genesee & Wyoming, Cl A * | 4,030 | 175 | ||||||
GeoEye * (A) | 14,258 | 577 | ||||||
GrafTech International * | 15,800 | 247 | ||||||
Graham (A) | 18,157 | 282 | ||||||
Hawaiian Holdings * (A) | 68,571 | 411 | ||||||
Healthcare Services Group | 28,917 | 659 | ||||||
Heico, Cl A | 14,002 | 477 | ||||||
Hexcel * | 24,000 | 427 | ||||||
Higher One Holdings * | 66,564 | 1,098 | ||||||
HNI (A) | 12,744 | 367 | ||||||
Horizon Lines, Cl A | 100,876 | 424 | ||||||
ICF International * | 20,041 | 502 | ||||||
IHS, Cl A * | 11,040 | 751 | ||||||
II-VI * | 12,797 | 478 | ||||||
Innerworkings * (A) | 243,246 | 1,598 | ||||||
Interface, Cl A | 105,315 | 1,499 | ||||||
JB Hunt Transport Services | 5,700 | 198 | ||||||
Kaman | 23,098 | 605 | ||||||
Kansas City Southern * | 3,700 | 138 | ||||||
Kaydon (A) | 22,091 | 764 | ||||||
Kelly Services, Cl A * (A) | 9,300 | 109 | ||||||
Knight Transportation | 54,439 | 1,052 | ||||||
Landstar System | 30,195 | 1,166 | ||||||
Lennox International | 7,339 | 306 | ||||||
Marten Transport | 8,145 | 189 | ||||||
Michael Baker * | 7,918 | 261 | ||||||
Mine Safety Appliances | 12,000 | 325 | ||||||
Mobile Mini * | 39,193 | 601 | ||||||
MYR Group * (A) | 19,089 | 313 | ||||||
NACCO Industries, Cl A | 1,600 | 140 | ||||||
Nordson | 29,610 | 2,182 | ||||||
Old Dominion Freight Line * | 25,776 | 655 | ||||||
Owens Corning * | 9,300 | 238 | ||||||
Pacer International * | 62,800 | 379 | ||||||
Polypore International * (A) | 24,500 | 739 | ||||||
Powell Industries * | 4,593 | 143 | ||||||
Quanex Building Products | 16,100 | 278 | ||||||
Raven Industries | 8,472 | 321 | ||||||
RBC Bearings * | 19,919 | 677 | ||||||
Republic Airways Holdings * (A) | 19,200 | 159 | ||||||
Resources Connection | 105,375 | 1,450 | ||||||
Ritchie Bros. Auctioneers | 48,300 | 1,003 | ||||||
Rollins | 40,928 | 957 | ||||||
Rush Enterprises, Cl A * | 51,074 | 783 | ||||||
Sauer-Danfoss * | 1,800 | 38 | ||||||
Standard Parking * | 72,700 | 1,243 | ||||||
Standard Register | 7,582 | 22 | ||||||
TAL International Group | 31,200 | 756 | ||||||
Teledyne Technologies * | 6,029 | 240 | ||||||
Tennant (A) | 28,915 | 894 | ||||||
Tetra Tech * | 16,227 | 340 | ||||||
Textainer Group Holdings (A) | 3,700 | 99 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Timken | 1,400 | $ | 54 | |||||
Titan Machinery * (A) | 35,401 | 577 | ||||||
TransDigm Group | 20,910 | 1,297 | ||||||
Tredegar | 10,879 | 206 | ||||||
TrueBlue * | 9,600 | 131 | ||||||
Tutor Perini * | 8,714 | 175 | ||||||
UAL * (A) | 19,421 | 459 | ||||||
US Airways Group * (A) | 6,012 | 55 | ||||||
US Ecology | 3,300 | 53 | ||||||
Vitran * | 53,148 | 582 | ||||||
Wabtec | 26,100 | 1,247 | ||||||
Watts Water Technologies, Cl A | 4,400 | 150 | ||||||
WESCO International * | 43,615 | 1,714 | ||||||
Woodward Governor | 3,583 | 116 | ||||||
63,297 | ||||||||
Information Technology — 28.0% | ||||||||
ACI Worldwide * | 14,055 | 315 | ||||||
Acme Packet * (A) | 65,801 | 2,497 | ||||||
Actuate * | 34,796 | 179 | ||||||
Acxiom * | 8,400 | 133 | ||||||
Adtran | 13,241 | 467 | ||||||
Advanced Energy Industries * | 31,808 | 415 | ||||||
Advent Software * (A) | 28,263 | 1,475 | ||||||
Amkor Technology * (A) | 66,656 | 438 | ||||||
Ancestry.com * | 16,145 | 368 | ||||||
AOL * | 46,259 | 1,145 | ||||||
Applied Micro Circuits * (A) | 59,700 | 597 | ||||||
Archipelago Learning * (A) | 47,596 | 570 | ||||||
ArcSight * | 3,300 | 144 | ||||||
Ariba * (A) | 20,400 | 386 | ||||||
Arris Group * | 64,549 | 631 | ||||||
Art Technology Group * (A) | 197,706 | 817 | ||||||
Aruba Networks * | 4,800 | 102 | ||||||
AsiaInfo-Linkage * | 36,105 | 712 | ||||||
Atheros Communications * | 88,796 | 2,340 | ||||||
Atmel * | 174,365 | 1,388 | ||||||
ATMI * | 57,381 | 853 | ||||||
Aviat Networks * | 3,200 | 13 | ||||||
AVX | 3,700 | 51 | ||||||
Benchmark Electronics * | 19,342 | 317 | ||||||
Blackbaud | 29,600 | 712 | ||||||
Blackboard * | 31,387 | 1,131 | ||||||
Blue Coat Systems * | 37,620 | 905 | ||||||
Brightpoint * | 85,341 | 597 | ||||||
Cabot Microelectronics * | 5,849 | 188 | ||||||
CACI International, Cl A * | 3,770 | 171 | ||||||
Ceva * | 98,245 | 1,405 | ||||||
Checkpoint Systems * | 11,716 | 238 | ||||||
Ciena * (A) | 46,500 | 724 | ||||||
Cirrus Logic * (A) | 36,500 | 651 | ||||||
Cogent * | 20,534 | 218 | ||||||
Cognex | 16,409 | 440 | ||||||
Coherent * | 4,200 | 168 | ||||||
CommScope * | 35,995 | 855 | ||||||
CommVault Systems * | 43,920 | 1,143 | ||||||
Concur Technologies * (A) | 7,315 | 362 | ||||||
Constant Contact * (A) | 39,634 | 849 | ||||||
CSG Systems International * | 21,200 | 387 | ||||||
CTS | 32,504 | 313 | ||||||
Daktronics (A) | 17,130 | 168 | ||||||
DealerTrack Holdings * (A) | 20,388 | 348 |
Description | Shares | Market Value ($ Thousands) | ||||||
DemandTec * | 35,344 | $ | 333 | |||||
Diamond Management & Technology Consultants | 1,800 | 23 | ||||||
Diodes * (A) | 14,087 | 241 | ||||||
DTS * | 59,270 | 2,262 | ||||||
Earthlink | 50,271 | 457 | ||||||
Echo Global Logistics * (A) | 46,148 | 589 | ||||||
Emulex * | 15,622 | 163 | ||||||
Entegris * | 7,600 | 35 | ||||||
Entropic Communications * | 72,979 | 701 | ||||||
Euronet Worldwide * | 61,487 | 1,106 | ||||||
Finisar * (A) | 23,300 | 438 | ||||||
Forrester Research * | 5,404 | 179 | ||||||
Gartner * | 35,625 | 1,049 | ||||||
GSI Commerce * (A) | 34,876 | 862 | ||||||
Hackett Group * | 10,733 | 44 | ||||||
Harmonic * | 13,057 | 90 | ||||||
Heartland Payment Systems | 56,708 | 863 | ||||||
Hittite Microwave * | 18,516 | 882 | ||||||
Hypercom * | 27,520 | 179 | ||||||
iGate | 9,900 | 180 | ||||||
Imation * | 44,431 | 415 | ||||||
Infinera * (A) | 9,890 | 115 | ||||||
Integrated Device Technology * | 78,600 | 460 | ||||||
Integrated Silicon Solution * | 26,100 | 225 | ||||||
InterDigital * (A) | 18,607 | 551 | ||||||
Intermec * | 49,896 | 612 | ||||||
Internet Capital Group * | 45,279 | 499 | ||||||
Intersil, Cl A | 28,900 | 338 | ||||||
Isilon Systems * (A) | 36,191 | 806 | ||||||
IXYS * | 26,466 | 253 | ||||||
j2 Global Communications * (A) | 57,325 | 1,364 | ||||||
Jack Henry & Associates | 10,000 | 255 | ||||||
Kenexa * | 7,100 | 124 | ||||||
Knot * (A) | 37,792 | 345 | ||||||
Kulicke & Soffa Industries * | 17,600 | 109 | ||||||
L-1 Identity Solutions, Cl 1 * | 28,796 | 338 | ||||||
Lattice Semiconductor * | 149,800 | 712 | ||||||
Loral Space & Communications * | 4,600 | 240 | ||||||
LTX-Credence * (A) | 62,000 | 130 | ||||||
Manhattan Associates * | 23,800 | 698 | ||||||
Marchex, Cl A | 2,100 | 11 | ||||||
MAXIMUS | 15,281 | 941 | ||||||
Meru Networks * (A) | 23,809 | 410 | ||||||
Methode Electronics | 109,874 | 998 | ||||||
Micrel (A) | 27,974 | 276 | ||||||
Microsemi * | 38,556 | 661 | ||||||
MicroStrategy, Cl A * | 23,278 | 2,016 | ||||||
Mindspeed Technologies * | 12,070 | 94 | ||||||
MIPS Technologies * | 31,394 | 305 | ||||||
MKS Instruments * | 18,751 | 337 | ||||||
Monotype Imaging Holdings * | 26,429 | 242 | ||||||
Multi-Fineline Electronix * | 10,955 | 241 | ||||||
National Instruments | 6,300 | 206 | ||||||
NCR * | 4,900 | 67 | ||||||
Netgear * | 8,056 | 218 | ||||||
Netlogic Microsystems * (A) | 66,329 | 1,829 | ||||||
Netscout Systems * | 8,046 | 165 | ||||||
NetSuite * | 25,342 | 597 | ||||||
Nuance Communications * (A) | 11,868 | 186 | ||||||
Oclaro * (A) | 30,525 | 489 | ||||||
Omnivision Technologies * | 7,400 | 171 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
OpenTable * (A) | 17,000 | $ | 1,157 | |||||
Parametric Technology * | 23,700 | 463 | ||||||
Park Electrochemical | 18,175 | 479 | ||||||
Pegasystems (A) | 25,600 | 795 | ||||||
Plantronics | 40,984 | 1,384 | ||||||
Plexus * | 10,525 | 309 | ||||||
Power Integrations (A) | 40,440 | 1,286 | ||||||
Power-One * (A) | 65,400 | 594 | ||||||
Progress Software * | 3,193 | 106 | ||||||
PROS Holdings * | 67,259 | 624 | ||||||
Quality Systems (A) | 23,663 | 1,569 | ||||||
Quantum * | 116,800 | 248 | ||||||
Quest Software * (A) | 111,282 | 2,736 | ||||||
Rackspace Hosting * (A) | 15,100 | 392 | ||||||
Radisys * | 1,501 | 14 | ||||||
RealNetworks * (A) | 27,600 | 90 | ||||||
RF Micro Devices * | 81,941 | 503 | ||||||
RightNow Technologies * | 24,664 | 486 | ||||||
Riverbed Technology * (A) | 41,103 | 1,873 | ||||||
Rofin-Sinar Technologies * | 5,964 | 151 | ||||||
Rogers * | 3,654 | 115 | ||||||
Rosetta Stone * | 36,468 | 774 | ||||||
Rubicon Technology * | 17,469 | 396 | ||||||
Sanmina-SCI * | 80,800 | 976 | ||||||
Sapient | 62,703 | 751 | ||||||
SAVVIS * | 38,579 | 813 | ||||||
Scansource * (A) | 11,590 | 322 | ||||||
Smith Micro Software * | 40,309 | 401 | ||||||
Solera Holdings | 10,500 | 464 | ||||||
Sonic Solutions * (A) | 46,836 | 533 | ||||||
Sourcefire * (A) | 8,990 | 259 | ||||||
SRA International, Cl A * | 7,811 | 154 | ||||||
SS&C Technologies Holdings * | 94,980 | 1,501 | ||||||
Standard Microsystems * | 10,006 | 228 | ||||||
STEC * (A) | 17,908 | 223 | ||||||
Stratasys * (A) | 1,601 | 44 | ||||||
SuccessFactors * (A) | 43,680 | 1,097 | ||||||
Synaptics * (A) | 6,654 | 187 | ||||||
Synchronoss Technologies * (A) | 30,470 | 543 | ||||||
Syntel | 40,589 | 1,806 | ||||||
Taleo, Cl A * | 30,728 | 891 | ||||||
Tekelec * | 5,230 | 68 | ||||||
TeleTech Holdings * | 27,547 | 409 | ||||||
Teradyne * | 217,250 | 2,420 | ||||||
Terremark Worldwide * | 61,139 | 632 | ||||||
Tessera Technologies * | 13,157 | 243 | ||||||
TIBCO Software * (A) | 134,800 | 2,391 | ||||||
Trimble Navigation * | 24,030 | 842 | ||||||
TriQuint Semiconductor * | 22,847 | 219 | ||||||
TTM Technologies * | 11,968 | 117 | ||||||
Tyler Technologies * | 4,072 | 82 | ||||||
Ultimate Software Group * | 5,943 | 230 | ||||||
Ultra Clean Holdings * | 3,300 | 28 | ||||||
Ultratech * | 1,814 | 31 | ||||||
Unisys * (A) | 60,999 | 1,702 | ||||||
United Online | 108,161 | 619 | ||||||
Universal Display * (A) | 8,100 | 190 | ||||||
Valueclick * (A) | 79,578 | 1,041 | ||||||
Vasco Data Security International * | 29,449 | 191 | ||||||
Veeco Instruments * (A) | 56,168 | 1,959 | ||||||
VeriFone Holdings * (A) | 31,619 | 982 |
Description | Shares | Market Value ($ Thousands) | ||||||
VistaPrint * (A) | 111,180 | $ | 4,297 | |||||
Vocus * | 66,436 | 1,228 | ||||||
Volterra Semiconductor * (A) | 49,861 | 1,073 | ||||||
Wave Systems, Cl A * (A) | 6,300 | 14 | ||||||
Websense * (A) | 4,910 | 87 | ||||||
Wright Express * (A) | 9,000 | 321 | ||||||
Xyratex * (A) | 2,100 | 31 | ||||||
Zoran * | 78,168 | 596 | ||||||
107,831 | ||||||||
Materials — 3.6% | ||||||||
AK Steel Holding | 7,600 | 105 | ||||||
Allied Nevada Gold * (A) | 13,400 | 355 | ||||||
Carpenter Technology | 24,500 | 826 | ||||||
Clearwater Paper * | 6,700 | 510 | ||||||
Ferro * | 23,900 | 308 | ||||||
Glatfelter | 4,400 | 53 | ||||||
Globe Specialty Metals | 10,900 | 153 | ||||||
Golden Star Resources * | 48,800 | 241 | ||||||
H.B. Fuller | 16,257 | 323 | ||||||
Haynes International | 24,756 | 864 | ||||||
Horsehead Holding * | 95,400 | 942 | ||||||
Innophos Holdings | 8,987 | 298 | ||||||
Koppers Holdings | 21,398 | 575 | ||||||
Minerals Technologies | 900 | 53 | ||||||
Myers Industries | 8,624 | 74 | ||||||
Nalco Holding | 29,885 | 753 | ||||||
Neenah Paper | 6,627 | 101 | ||||||
NewMarket | 14,028 | 1,595 | ||||||
Olin | 28,438 | 573 | ||||||
Omnova Solutions * | 12,700 | 91 | ||||||
PolyOne * | 77,345 | 935 | ||||||
Rock-Tenn, Cl A | 8,038 | 400 | ||||||
Rockwood Holdings * | 3,100 | 98 | ||||||
Schulman A | 9,503 | 192 | ||||||
Solutia * | 24,100 | 386 | ||||||
Spartech * | 5,900 | 48 | ||||||
Stepan | 1,323 | 78 | ||||||
Stillwater Mining * (A) | 1,257 | 21 | ||||||
Wausau Paper * | 17,801 | 148 | ||||||
Worthington Industries (A) | 31,970 | 481 | ||||||
WR Grace * | 75,431 | 2,108 | ||||||
13,688 | ||||||||
Telecommunication Services — 1.2% | ||||||||
Alaska Communications Systems Group (A) | 53,500 | 543 | ||||||
Atlantic Telegraph-Network | 4,317 | 213 | ||||||
Cincinnati Bell * | 90,000 | 240 | ||||||
Cogent Communications Group * | 18,095 | 171 | ||||||
Consolidated Communications Holdings | 3,600 | 67 | ||||||
Frontier Communications | 55,900 | 457 | ||||||
Global Crossing * (A) | 21,885 | 282 | ||||||
Neutral Tandem * | 32,513 | 388 | ||||||
NTELOS Holdings | 11,203 | 190 | ||||||
SBA Communications, Cl A * (A) | 29,716 | 1,197 | ||||||
Shenandoah Telecommunications | 4,300 | 78 | ||||||
tw telecom, Cl A * | 21,200 | 394 | ||||||
USA Mobility | 23,500 | 377 | ||||||
Vonage Holdings * | 51,400 | 131 | ||||||
4,728 | ||||||||
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2010
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 0.3% | ||||||||
Alliant Energy | 1,200 | $ | 44 | |||||
ITC Holdings | 11,982 | 746 | ||||||
MGE Energy | 2,306 | 91 | ||||||
NorthWestern | 16,647 | 474 | ||||||
1,355 | ||||||||
Total Common Stock | 377,776 | |||||||
EXCHANGE TRADED FUND — 0.1% | ||||||||
SPDR S&P Midcap 400 ETF Trust | 3,358 | 489 | ||||||
Total Exchange Traded Fund | 489 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Rentech Expires 04/25/12 * (B) (C) | 19,400 | — | ||||||
Titanium Asset Management Expires 06/21/11 * (B) (C) | 147,800 | — | ||||||
Total Warrants | — | |||||||
AFFILIATED PARTNERSHIP — 26.2% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (D) | 103,678,869 | 100,628 | ||||||
Total Affiliated Partnership | 100,628 | |||||||
CASH EQUIVALENT — 2.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150%** †† | 9,691,169 | 9,691 | ||||||
Total Cash Equivalent | 9,691 | |||||||
U.S. TREASURY OBLIGATION (E) (F) — 0.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.197%, 12/16/10 | $ | 803 | 803 | |||||
Total U.S. Treasury Obligation | 803 | |||||||
Total Investments — 127.2% | $ | 489,387 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract
| Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 74 | Dec-2010 | $ | 290 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages are based on Net Assets of $384,613 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $100,287 ($ Thousands). |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2010 was $545 ($ Thousands) and represented 0.14% of Net Assets. |
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2010 was $545 ($ Thousands) and represented 0.14% of Net Assets. |
(D) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $100,628 |
($ Thousands).
(E) | The rate reported is the effective yield at the time of purchase. |
(F) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
SPDR — Standard & Poor’s Depositary Receipts
Amounts designated as “—” are $0 or have been rounded to $0.
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2010
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 377,231 | $ | 142 | $ | 403 | $ | 377,776 | ||||||||
Exchange Traded Fund | 489 | — | — | 489 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 100,628 | — | 100,628 | ||||||||||||
Cash Equivalent | 9,691 | — | — | 9,691 | ||||||||||||
U.S. Treasury Obligation | — | 803 | — | 803 | ||||||||||||
Total Investments in Securities | $ | 387,411 | $ | 101,573 | $ | 403 | $ | 489,387 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 290 | $ | — | $ | — | $ | 290 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2009 | $ | 571 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (156 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | (12 | ) | ||
Ending balance as of September 30, 2010 | $ | 403 | ||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (156 | ) | |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.7% | ||||||||
Consumer Discretionary — 17.1% | ||||||||
Aaron Rents (A) | 16,077 | $ | 297 | |||||
Abercrombie & Fitch, Cl A (A) | 5,904 | 232 | ||||||
Aeropostale * | 18,450 | 429 | ||||||
AFC Enterprises * | 11,400 | 141 | ||||||
American Axle & Manufacturing Holdings * (A) | 3,600 | 32 | ||||||
American Eagle Outfitters | 62,219 | 931 | ||||||
American Greetings, Cl A (A) | 20,300 | 377 | ||||||
Amerigon * (A) | 3,300 | 34 | ||||||
Ameristar Casinos (A) | 1,300 | 23 | ||||||
AnnTaylor Stores * (A) | 26,075 | 528 | ||||||
Apollo Group, Cl A * | 6,500 | 334 | ||||||
Arbitron | 800 | 22 | ||||||
Ascent Media, Cl A * | 1,500 | 40 | ||||||
Autoliv | 11,943 | 780 | ||||||
Autonation * (A) | 1,400 | 33 | ||||||
Bally Technologies * | 3,100 | 108 | ||||||
Belo, Cl A * (A) | 28,274 | 175 | ||||||
Big Lots * (A) | 10,200 | 339 | ||||||
Biglari Holdings * | 90 | 30 | ||||||
BJ’s Restaurants * (A) | 1,500 | 42 | ||||||
BorgWarner * (A) | 10,787 | 568 | ||||||
Boyd Gaming * (A) | 3,600 | 26 | ||||||
Bridgepoint Education * (A) | 58,700 | 908 | ||||||
Brinker International | 1,700 | 32 | ||||||
Brown Shoe | 2,700 | 31 | ||||||
Brunswick (A) | 33,750 | 514 | ||||||
Buckle (A) | 2,400 | 64 | ||||||
Build-A-Bear Workshop * (A) | 2,700 | 16 | ||||||
Cabela’s * (A) | 17,200 | 326 | ||||||
Cablevision Systems, Cl A | 31,600 | 828 | ||||||
Callaway Golf (A) | 27,675 | 194 | ||||||
Capella Education * (A) | 700 | 54 | ||||||
Career Education * (A) | 18,800 | 404 | ||||||
Carmax * (A) | 3,100 | 86 | ||||||
Carter’s * (A) | 21,600 | 569 | ||||||
Cato, Cl A (A) | 23,535 | 630 | ||||||
CBS, Cl B | 12,700 | 201 | ||||||
Central European Media Enterprises, Cl A * (A) | 700 | 18 | ||||||
Cheesecake Factory * (A) | 20,100 | 532 | ||||||
Chico’s FAS (A) | 1,900 | 20 | ||||||
Childrens Place Retail Stores * (A) | 10,030 | 489 | ||||||
Chipotle Mexican Grill, Cl A * (A) | 1,100 | 189 | ||||||
Christopher & Banks (A) | 16,569 | 131 | ||||||
CKX * | 9,200 | 45 | ||||||
Coinstar * (A) | 15,300 | 658 | ||||||
Columbia Sportswear (A) | 4,200 | 245 | ||||||
Cooper Tire & Rubber (A) | 40,675 | 798 | ||||||
Corinthian Colleges * (A) | 3,800 | 27 | ||||||
Cracker Barrel Old Country Store (A) | 12,358 | 627 | ||||||
CROCS * | 3,500 | 45 | ||||||
Darden Restaurants | 9,361 | 400 | ||||||
Deckers Outdoor * (A) | 900 | 45 | ||||||
Dick’s Sporting Goods * (A) | 36,750 | 1,030 | ||||||
Dillard’s, Cl A (A) | 17,000 | 402 | ||||||
DineEquity * (A) | 800 | 36 | ||||||
Dollar Tree * (A) | 2,700 | 132 | ||||||
Domino’s Pizza * | 10,725 | 142 |
Description | Shares | Market Value ($ Thousands) | ||||||
Domino’s Pizza UK & IRL | 60,045 | $ | 444 | |||||
DR Horton (A) | 10,000 | 111 | ||||||
DreamWorks Animation SKG, Cl A * | 700 | 22 | ||||||
Eastman Kodak * (A) | 6,700 | 28 | ||||||
Ethan Allen Interiors (A) | 13,569 | 237 | ||||||
Expedia | 18,800 | 530 | ||||||
Express * (A) | 16,600 | 252 | ||||||
Foot Locker | 27,200 | 395 | ||||||
Fortune Brands | 8,848 | 435 | ||||||
Fossil * | 4,200 | 226 | ||||||
Fuel Systems Solutions * (A) | 700 | 27 | ||||||
GameStop, Cl A * (A) | 17,800 | 351 | ||||||
Gannett | 14,400 | 176 | ||||||
Gaylord Entertainment * (A) | 21,900 | 668 | ||||||
Genesco * | 8,000 | 239 | ||||||
Gentex (A) | 21,200 | 414 | ||||||
Goodyear Tire & Rubber * | 9,000 | 97 | ||||||
Grand Canyon Education * | 24,000 | 526 | ||||||
Group 1 Automotive * (A) | 1,200 | 36 | ||||||
Guess? | 9,200 | 374 | ||||||
Hanesbrands * | 43,910 | 1,135 | ||||||
Harley-Davidson | 20,651 | 587 | ||||||
Harman International Industries * | 8,300 | 277 | ||||||
Harte-Hanks | 1,800 | 21 | ||||||
Helen of Troy * | 2,800 | 71 | ||||||
hhgregg * (A) | 12,314 | 305 | ||||||
Hillenbrand | 10,900 | 234 | ||||||
Home Inns & Hotels Management ADR * (A)1 | 6,210 | 307 | ||||||
HOT Topic (A) | 6,900 | 41 | ||||||
Hyatt Hotels, Cl A * | 15,800 | 591 | ||||||
Iconix Brand Group * (A) | 7,800 | 136 | ||||||
Insight Enterprises * | 23,400 | 366 | ||||||
International Game Technology | 24,922 | 360 | ||||||
International Speedway, Cl A | 7,231 | 176 | ||||||
Interpublic Group * (A) | 128,286 | 1,287 | ||||||
Isle of Capri Casinos * | 3,300 | 24 | ||||||
ITT Educational Services * (A) | 700 | 49 | ||||||
J Crew Group * (A) | 500 | 17 | ||||||
Jakks Pacific * (A) | 12,500 | 220 | ||||||
Jarden | 30,520 | 950 | ||||||
John Wiley & Sons, Cl A | 1,400 | 57 | ||||||
Jones Apparel Group | 24,522 | 482 | ||||||
Journal Communications, Cl A * | 39,400 | 178 | ||||||
K12 * (A) | 1,000 | 29 | ||||||
KB Home (A) | 5,300 | 60 | ||||||
Kenneth Cole Productions, Cl A * | 1,600 | 27 | ||||||
Lamar Advertising, Cl A * (A) | 1,300 | 41 | ||||||
Las Vegas Sands * (A) | 10,200 | 356 | ||||||
Leggett & Platt | 30,400 | 692 | ||||||
Lennar, Cl A | 12,200 | 188 | ||||||
Life Time Fitness * (A) | 800 | 32 | ||||||
Lin TV, Cl A * | 1,800 | 8 | ||||||
Lions Gate Entertainment * (A) | 6,300 | 46 | ||||||
Live Nation * (A) | 63,125 | 624 | ||||||
LKQ * | 44,700 | 930 | ||||||
Marriott International, Cl A | 7,500 | 269 | ||||||
MDC Holdings (A) | 400 | 12 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Men’s Wearhouse (A) | 6,879 | $ | 164 | |||||
Meredith | 6,700 | 223 | ||||||
Meritage Homes * | 1,800 | 35 | ||||||
Modine Manufacturing * | 2,100 | 27 | ||||||
Morningstar * (A) | 300 | 13 | ||||||
National CineMedia | 57,963 | 1,038 | ||||||
National Presto Industries | 100 | 11 | ||||||
Navitas | 65,483 | 269 | ||||||
NetFlix * (A) | 4,800 | 779 | ||||||
New York Times, Cl A * (A) | 12,100 | 94 | ||||||
Newell Rubbermaid | 12,800 | 228 | ||||||
Nordstrom | 8,177 | 304 | ||||||
Nutri/System (A) | 4,000 | 77 | ||||||
NVR * | 100 | 65 | ||||||
O’Reilly Automotive * (A) | 500 | 27 | ||||||
Orient-Express Hotels, Cl A * | 5,400 | 60 | ||||||
Panera Bread, Cl A * | 700 | 62 | ||||||
Penn National Gaming * | 28,670 | 849 | ||||||
Penske Auto Group * | 4,547 | 60 | ||||||
PEP Boys-Manny Moe & Jack (A) | 3,200 | 34 | ||||||
PetSmart | 22,603 | 791 | ||||||
PF Chang’s China Bistro (A) | 700 | 32 | ||||||
Phillips-Van Heusen | 17,880 | 1,076 | ||||||
Pinnacle Entertainment * | 1,800 | 20 | ||||||
Polaris Industries (A) | 13,535 | 881 | ||||||
Polo Ralph Lauren | 900 | 81 | ||||||
Pre-Paid Legal Services * (A) | 6,200 | 387 | ||||||
Pulte Homes * | 2,494 | 22 | ||||||
Quiksilver * | 5,100 | 20 | ||||||
RadioShack | 17,900 | 382 | ||||||
RC2 * (A) | 27,290 | 572 | ||||||
Red Robin Gourmet Burgers * (A) | 12,400 | 243 | ||||||
Regal Entertainment Group, Cl A | 19,232 | 252 | ||||||
Regis (A) | 12,398 | 237 | ||||||
Rent-A-Center (A) | 3,799 | 85 | ||||||
Ross Stores | 1,400 | 76 | ||||||
Royal Caribbean Cruises * (A) | 2,300 | 73 | ||||||
Ruby Tuesday * (A) | 37,800 | 449 | ||||||
Ryland Group | 2,100 | 38 | ||||||
Sauer-Danfoss * | 1,700 | 36 | ||||||
Scholastic (A) | 6,900 | 192 | ||||||
Scientific Games, Cl A * | 137,253 | 1,331 | ||||||
Scripps Networks Interactive, Cl A | 4,290 | 204 | ||||||
Sealy * (A) | 5,500 | 13 | ||||||
Service International (A) | 20,300 | 175 | ||||||
Shutterfly * | 1,700 | 44 | ||||||
Signet Jewelers * | 3,000 | 95 | ||||||
Sirius XM Radio * (A) | 57,500 | 69 | ||||||
Sotheby’s (A) | 5,600 | 206 | ||||||
Speedway Motorsports | 800 | 13 | ||||||
Stage Stores (A) | 27,664 | 360 | ||||||
Stamps.com * | 906 | 12 | ||||||
Standard-Pacific * (A) | 4,600 | 18 | ||||||
Starwood Hotels & Resorts Worldwide | 4,700 | 247 | ||||||
Steiner Leisure * (A) | 6,920 | 264 | ||||||
Stewart Enterprises, Cl A (A) | 2,900 | 16 | ||||||
Strayer Education (A) | 1,000 | 175 | ||||||
Stroer Out-of-Home Media * | 5,124 | 152 | ||||||
Tempur-Pedic International * (A) | 32,040 | 993 | ||||||
Tenneco * (A) | 11,900 | 345 |
Description | Shares | Market Value ($ Thousands) | ||||||
Thor Industries | 700 | $ | 24 | |||||
Timberland, Cl A * | 1,400 | 28 | ||||||
Tupperware Brands | 6,861 | 314 | ||||||
Ulta Salon Cosmetics & Fragrance * (A) | 1,800 | 53 | ||||||
Under Armour, Cl A * (A) | 600 | 27 | ||||||
WABCO Holdings * | 1,500 | 63 | ||||||
Warnaco Group * (A) | 3,010 | 154 | ||||||
Warner Music Group * | 5,700 | 26 | ||||||
Wendy’s, Cl A | 31,800 | 144 | ||||||
Whirlpool | 7,300 | 591 | ||||||
Williams-Sonoma | 6,664 | 211 | ||||||
WMS Industries * (A) | 21,536 | 820 | ||||||
Wolverine World Wide | 700 | 20 | ||||||
World Wrestling Entertainment, Cl A (A) | 1,400 | 20 | ||||||
Wyndham Worldwide | 16,720 | 459 | ||||||
51,212 | ||||||||
Consumer Staples — 3.8% | ||||||||
Andersons | 1,700 | 64 | ||||||
Avon Products | 7,952 | 255 | ||||||
BJ’s Wholesale Club * | 3,589 | 149 | ||||||
Boston Beer, Cl A * | 800 | 54 | ||||||
Cal-Maine Foods (A) | 8,700 | 252 | ||||||
Casey’s General Stores (A) | 5,400 | 225 | ||||||
Central European Distribution * | 15,960 | 356 | ||||||
Central Garden and Pet * | 13,800 | 142 | ||||||
Central Garden and Pet, Cl A * (A) | 21,000 | 218 | ||||||
Chiquita Brands International * (A) | 14,870 | 197 | ||||||
Church & Dwight | 1,600 | 104 | ||||||
Constellation Brands, Cl A * | 21,816 | 386 | ||||||
Corn Products International | 7,292 | 273 | ||||||
Darling International * | 2,400 | 20 | ||||||
Dean Foods * | 47,776 | 488 | ||||||
Del Monte Foods | 87,443 | 1,146 | ||||||
Diamond Foods (A) | 1,500 | 61 | ||||||
Dole Food * (A) | 12,981 | 119 | ||||||
Flowers Foods | 3,900 | 97 | ||||||
Fresh Del Monte Produce * (A) | 10,000 | 217 | ||||||
Green Mountain Coffee Roasters * (A) | 37,247 | 1,162 | ||||||
Hansen Natural * | 3,225 | 150 | ||||||
Herbalife | 16,030 | 968 | ||||||
J&J Snack Foods | 1,300 | 55 | ||||||
Kroger | 16,191 | 351 | ||||||
Lancaster Colony | 1,000 | 48 | ||||||
Lance | 800 | 17 | ||||||
Lorillard | 757 | 61 | ||||||
McCormick | 8,533 | 359 | ||||||
Mead Johnson Nutrition, Cl A | 5,700 | 324 | ||||||
Molson Coors Brewing, Cl B | 11,043 | 521 | ||||||
Nash Finch | 2,860 | 122 | ||||||
Nu Skin Enterprises, Cl A | 900 | 26 | ||||||
Pantry * (A) | 12,629 | 304 | ||||||
Prestige Brands Holdings * | 25,803 | 255 | ||||||
Ralcorp Holdings * | 1,000 | 58 | ||||||
Reddy Ice Holdings * | 5,700 | 13 | ||||||
Revlon, Cl A * (A) | 1,400 | 18 | ||||||
Ruddick (A) | 6,536 | 227 | ||||||
Sanderson Farms | 1,500 | 65 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Sara Lee | 1,800 | $ | 24 | |||||
Schiff Nutrition International (A) | 2,200 | 18 | ||||||
Seneca Foods, Cl A * | 6,519 | 171 | ||||||
Smithfield Foods * (A) | 1,400 | 24 | ||||||
Spectrum Brands Holdings * (A) | 1,100 | 30 | ||||||
SUPERVALU | 34,400 | 397 | ||||||
Synutra International * (A) | 1,500 | 17 | ||||||
Tootsie Roll Industries (A) | 751 | 19 | ||||||
TreeHouse Foods * (A) | 1,800 | 83 | ||||||
Universal (A) | 5,800 | 232 | ||||||
USANA Health Sciences * (A) | 400 | 16 | ||||||
Vector Group (A) | 3,045 | 57 | ||||||
Village Super Market, Cl A | 800 | 22 | ||||||
Weis Markets | 6,300 | 247 | ||||||
Whole Foods Market * | 2,000 | 74 | ||||||
11,358 | ||||||||
Energy — 5.3% | ||||||||
Atlas Energy * | 2,791 | 80 | ||||||
ATP Oil & Gas * (A) | 1,700 | 23 | ||||||
Atwood Oceanics * | 8,300 | 253 | ||||||
Berry Petroleum, Cl A (A) | 22,460 | 713 | ||||||
Bill Barrett * (A) | 1,000 | 36 | ||||||
Brigham Exploration * (A) | 27,300 | 512 | ||||||
Bristow Group * | 700 | 25 | ||||||
Cabot Oil & Gas | 1,000 | 30 | ||||||
CARBO Ceramics (A) | 900 | 73 | ||||||
Carrizo Oil & Gas * | 1,700 | 41 | ||||||
Cimarex Energy | 400 | 26 | ||||||
Clean Energy Fuels * (A) | 1,200 | 17 | ||||||
Complete Production Services * (A) | 3,100 | 63 | ||||||
Contango Oil & Gas * (A) | 500 | 25 | ||||||
CVR Energy * | 2,700 | 22 | ||||||
Denbury Resources * | 2,748 | 44 | ||||||
DHT Holdings (A) | 1,200 | 5 | ||||||
Dresser-Rand Group * | 7,240 | 267 | ||||||
Dril-Quip * (A) | 11,730 | 728 | ||||||
Energy XXI Bermuda * (A) | 6,859 | 158 | ||||||
Equities | 11,111 | 401 | ||||||
EXCO Resources | 1,800 | 27 | ||||||
Exterran Holdings * (A) | 16,294 | 370 | ||||||
FMC Technologies * | 1,800 | 123 | ||||||
Forest Oil * | 1,900 | 56 | ||||||
Frontier Oil | 17,599 | 236 | ||||||
Frontline (A) | 9,959 | 283 | ||||||
Global Industries * | 7,700 | 42 | ||||||
Golar LNG | 4,000 | 50 | ||||||
Goodrich Petroleum * (A) | 27,146 | 396 | ||||||
Helix Energy Solutions Group * | 1,800 | 20 | ||||||
Helmerich & Payne | 1,300 | 52 | ||||||
Hess | 1,100 | 65 | ||||||
Hornbeck Offshore Services * (A) | 17,800 | 347 | ||||||
Houston American Energy (A) | 1,300 | 13 | ||||||
International Coal Group * (A) | 11,600 | 62 | ||||||
Key Energy Services * (A) | 38,354 | 365 | ||||||
Mariner Energy * (A) | 1,700 | 41 | ||||||
McMoRan Exploration * (A) | 5,900 | 102 | ||||||
Mitcham Industries * | 3,000 | 22 | ||||||
Murphy Oil | 6,785 | 420 | ||||||
Nabors Industries * (A) | 23,866 | 431 | ||||||
National Oilwell Varco | 1,800 | 80 | ||||||
Newfield Exploration * | 7,153 | 411 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nordic American Tanker Shipping, Cl US (A) | 23,501 | $ | 629 | |||||
Northern Oil And Gas * (A) | 2,100 | 36 | ||||||
Oceaneering International * | 7,680 | 414 | ||||||
Oil States International * | 700 | 32 | ||||||
Overseas Shipholding Group (A) | 26,220 | 900 | ||||||
Patterson-UTI Energy | 10,400 | 178 | ||||||
Peabody Energy | 1,500 | 73 | ||||||
PetroHawk Energy * | 21,000 | 339 | ||||||
Pioneer Natural Resources (A) | 5,981 | 389 | ||||||
Quicksilver Resources * | 4,700 | 59 | ||||||
Range Resources | 10,906 | 416 | ||||||
Rowan * (A) | 10,600 | 322 | ||||||
SEACOR Holdings * | 4,800 | 409 | ||||||
Ship Finance International (A) | 10,429 | 203 | ||||||
SM Energy | 1,000 | 37 | ||||||
Southwestern Energy * | 1,000 | 33 | ||||||
Spectra Energy | 19,871 | 448 | ||||||
Stone Energy * (A) | 7,700 | 113 | ||||||
Sunoco | 6,400 | 234 | ||||||
Superior Energy Services * | 1,300 | 35 | ||||||
Swift Energy * | 13,291 | 373 | ||||||
Teekay Shipping | 10,000 | 267 | ||||||
Teekay Tankers, Cl A (A) | 1,800 | 23 | ||||||
Tesoro | 23,800 | 318 | ||||||
Tidewater (A) | 12,316 | 552 | ||||||
Ultra Petroleum * | 900 | 38 | ||||||
USEC * (A) | 56,600 | 294 | ||||||
Venoco * (A) | 1,300 | 26 | ||||||
Western Refining * (A) | 16,400 | 86 | ||||||
Whiting Petroleum * | 7,425 | 709 | ||||||
Willbros Group * (A) | 1,500 | 14 | ||||||
World Fuel Services (A) | 15,000 | 390 | ||||||
15,945 | ||||||||
Financials — 15.5% | ||||||||
Acadia Realty Trust † | 2,100 | 40 | ||||||
Advance America Cash Advance Centers (A) | 39,200 | 158 | ||||||
Affiliated Managers Group * | 500 | 39 | ||||||
Alexander’s † | 100 | 32 | ||||||
Alexandria Real Estate Equities † (A) | 400 | 28 | ||||||
Allied World Assurance Holdings | 10,700 | 606 | ||||||
Altisource Portfolio Solutions * | 1,400 | 44 | ||||||
AMB Property † | 2,100 | 56 | ||||||
American Campus Communities † | 1,000 | 30 | ||||||
American Capital * | 8,900 | 52 | ||||||
American Capital Agency † (A) | 3,717 | 99 | ||||||
American Equity Investment Life Holding (A) | 3,300 | 34 | ||||||
American Financial Group | 19,300 | 590 | ||||||
American National Insurance | 700 | 53 | ||||||
Ameriprise Financial | 17,274 | 818 | ||||||
Anworth Mortgage Asset † (A) | 44,400 | 317 | ||||||
Apartment Investment & Management, Cl A † (A) | 1,800 | 38 | ||||||
Arch Capital Group * | 300 | 25 | ||||||
Ares Capital | 13,829 | 216 | ||||||
Argo Group International Holdings | 600 | 21 | ||||||
Arthur J. Gallagher | 7,100 | 187 | ||||||
Artio Global Investors, Cl A | 3,000 | 46 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Aspen Insurance Holdings | 11,100 | $ | 336 | |||||
Associated Banc-Corp (A) | 18,500 | 244 | ||||||
Assured Guaranty (A) | 43,884 | 751 | ||||||
Astoria Financial (A) | 4,170 | 57 | ||||||
AvalonBay Communities † | 700 | 73 | ||||||
Axis Capital Holdings | 2,700 | 89 | ||||||
Banco Latinoamericano de Exportaciones, Cl E (A) | 21,300 | 308 | ||||||
Bancorpsouth (A) | 15,867 | 225 | ||||||
Bank Mutual | 5,200 | 27 | ||||||
Bank of Hawaii | 900 | 40 | ||||||
BGC Partners, Cl A (A) | 40,700 | 243 | ||||||
BioMed Realty Trust † (A) | 1,400 | 25 | ||||||
BlackRock | 456 | 78 | ||||||
BlackRock Kelso Capital (A) | 2,400 | 28 | ||||||
Boston Private Financial Holdings (A) | 10,538 | 69 | ||||||
Boston Properties † (A) | 4,912 | 408 | ||||||
Brandywine Realty Trust † | 32,300 | 396 | ||||||
BRE Properties, Cl A † | 1,000 | 41 | ||||||
Calamos Asset Management, Cl A | 1,800 | 21 | ||||||
Camden Property Trust † | 600 | 29 | ||||||
Capstead Mortgage † (A) | 33,825 | 368 | ||||||
Cardinal Financial (A) | 18,298 | 176 | ||||||
Cathay General Bancorp (A) | 2,100 | 25 | ||||||
CB Richard Ellis Group, Cl A * (A) | 25,900 | 473 | ||||||
CBL & Associates Properties † (A) | 44,900 | 586 | ||||||
Central Pacific Financial * (A) | 13,300 | 19 | ||||||
Century Bancorp, Cl A (A) | 2,700 | 64 | ||||||
Chemical Financial | 4,300 | 89 | ||||||
Chimera Investment † | 43,300 | 171 | ||||||
Cincinnati Financial (A) | 2,400 | 69 | ||||||
City Holding (A) | 6,100 | 187 | ||||||
City National | 800 | 42 | ||||||
CNA Financial * | 22,700 | 635 | ||||||
CNA Surety * (A) | 6,600 | 118 | ||||||
Colonial Properties Trust † (A) | 4,500 | 73 | ||||||
Columbia Banking System | 1,000 | 20 | ||||||
Comerica | 13,781 | 512 | ||||||
Commerce Bancshares | 1,455 | 55 | ||||||
CommonWealth REIT † | 25,025 | 641 | ||||||
Community Bank System (A) | 11,300 | 260 | ||||||
Cousins Properties † (A) | 14,314 | 102 | ||||||
Cullen/Frost Bankers | 2,500 | 135 | ||||||
CVB Financial (A) | 41,136 | 309 | ||||||
DCT Industrial Trust † (A) | 9,100 | 44 | ||||||
Delphi Financial Group, Cl A | 4,300 | 107 | ||||||
Developers Diversified Realty † (A) | 2,300 | 26 | ||||||
Digital Realty Trust † (A) | 4,800 | 296 | ||||||
Dime Community Bancshares (A) | 1,700 | 24 | ||||||
Dollar Financial * (A) | 1,600 | 33 | ||||||
Doral Financial * (A) | 23,400 | 39 | ||||||
Douglas Emmett † | 1,400 | 25 | ||||||
Duke Realty † | 1,700 | 20 | ||||||
DuPont Fabros Technology † | 2,400 | 60 | ||||||
East West Bancorp | 8,100 | 132 | ||||||
EastGroup Properties † (A) | 2,100 | 78 | ||||||
Eaton Vance | 8,579 | 249 | ||||||
Education Realty Trust † (A) | 28,058 | 201 | ||||||
EMC Insurance Group (A) | 2,820 | 60 |
Description | Shares | Market Value ($ Thousands) | ||||||
Employers Holdings | 26,803 | $ | 423 | |||||
Encore Capital Group * | 11,100 | 200 | ||||||
Endurance Specialty Holdings | 24,378 | 970 | ||||||
Enstar Group * | 400 | 29 | ||||||
Entertainment Properties Trust † (A) | 1,000 | 43 | ||||||
Equity One † (A) | 22,347 | 377 | ||||||
Erie Indemnity, Cl A | 2,000 | 112 | ||||||
Essex Property Trust † (A) | 400 | 44 | ||||||
Evercore Partners, Cl A | 700 | 20 | ||||||
Everest Re Group | 4,400 | 380 | ||||||
FBL Financial Group, Cl A (A) | 2,500 | 65 | ||||||
Federal Agricultural Mortgage, Cl C (A) | 7,400 | 80 | ||||||
Federal Realty Investment Trust † (A) | 500 | 41 | ||||||
Federated Investors, Cl B (A) | 38,016 | 865 | ||||||
FelCor Lodging Trust * † (A) | 6,100 | 28 | ||||||
Fifth Street Finance (A) | 2,100 | 23 | ||||||
Fifth Third Bancorp | 33,313 | 401 | ||||||
Financial Institutions (A) | 1,100 | 19 | ||||||
First American Financial | 2,100 | 31 | ||||||
First Bancorp * (A) | 24,900 | 7 | ||||||
First Financial Bancorp (A) | 19,244 | 321 | ||||||
First Financial Holdings | 1,000 | 11 | ||||||
First Horizon National * (A) | 25,835 | 295 | ||||||
First Niagara Financial Group | 6,200 | 72 | ||||||
First Potomac Realty Trust † | 17,700 | 265 | ||||||
FirstMerit (A) | 20,061 | 367 | ||||||
Flagstar Bancorp * (A) | 16,300 | 30 | ||||||
Flagstone Reinsurance Holdings | 6,300 | 67 | ||||||
Flushing Financial | 3,600 | 42 | ||||||
FNB (Pennsylvania) (A) | 11,200 | 96 | ||||||
Franklin Street Properties † (A) | 5,100 | 63 | ||||||
Fulton Financial | 4,400 | 40 | ||||||
GAMCO Investors, Cl A | 400 | 15 | ||||||
General Motors Financial * | 2,970 | 73 | ||||||
Getty Realty † (A) | 3,100 | 83 | ||||||
GFI Group | 43,500 | 202 | ||||||
GLG Partners * (A) | 10,100 | 45 | ||||||
Global Indemnity, Cl A * | 540 | 9 | ||||||
Greenlight Capital Re * | 1,000 | 25 | ||||||
Hancock Holding (A) | 13,468 | 405 | ||||||
Hanover Insurance Group | 12,300 | 578 | ||||||
Harleysville Group | 600 | 20 | ||||||
Hatteras Financial † (A) | 5,000 | 142 | ||||||
Health Care † (A) | 4,755 | 225 | ||||||
Healthcare Realty Trust † | 1,000 | 23 | ||||||
Hercules Technology Growth Capital | 33,584 | 340 | ||||||
Hersha Hospitality Trust † (A) | 4,600 | 24 | ||||||
Highwoods Properties † (A) | 700 | 23 | ||||||
Home Properties † | 400 | 21 | ||||||
Horace Mann Educators (A) | 18,700 | 333 | ||||||
Hospitality Properties Trust † | 15,700 | 351 | ||||||
Host Hotels & Resorts † (A) | 28,207 | 408 | ||||||
Hudson City Bancorp | 2,400 | 29 | ||||||
Huntington Bancshares | 99,900 | 566 | ||||||
IBERIABANK (A) | 4,658 | 233 | ||||||
Independent Bank (A) | 800 | 18 | ||||||
Infinity Property & Casualty (A) | 10,430 | 509 | ||||||
Inland Real Estate † | 3,000 | 25 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Interactive Brokers Group, Cl A * (A) | 800 | $ | 14 | |||||
Janus Capital Group | 2,600 | 29 | ||||||
Jefferies Group (A) | 2,700 | 61 | ||||||
Jones Lang LaSalle | 1,004 | 87 | ||||||
KBW (A) | 1,100 | 28 | ||||||
Kennedy-Wilson Holdings * (A) | 1,700 | 18 | ||||||
Kilroy Realty † (A) | 3,575 | 118 | ||||||
Kite Realty Group Trust † | 3,700 | 16 | ||||||
Knight Capital Group, Cl A * | 4,200 | 52 | ||||||
LaSalle Hotel Properties † | 1,400 | 33 | ||||||
Lexington Realty Trust † (A) | 62,267 | 446 | ||||||
Liberty Property Trust † | 15,852 | 506 | ||||||
LTC Properties † (A) | 7,100 | 181 | ||||||
M&T Bank (A) | 1,358 | 111 | ||||||
Macerich † (A) | 5,934 | 255 | ||||||
MarketAxess Holdings (A) | 1,800 | 31 | ||||||
MBIA * (A) | 5,600 | 56 | ||||||
Meadowbrook Insurance Group (A) | 47,000 | 422 | ||||||
Medical Properties Trust † (A) | 5,500 | 56 | ||||||
Mercury General | 1,100 | 45 | ||||||
MF Global Holdings * (A) | 5,200 | 37 | ||||||
MFA Financial † (A) | 128,122 | 978 | ||||||
Mid-America Apartment Communities † | 5,353 | 312 | ||||||
Montpelier Re Holdings (A) | 15,200 | 263 | ||||||
MSCI, Cl A * | 4,100 | 136 | ||||||
National Health Investors † | 800 | 35 | ||||||
National Penn Bancshares | 38,381 | 240 | ||||||
National Retail Properties † (A) | 1,600 | 40 | ||||||
National Western Life Insurance, Cl A | 200 | 28 | ||||||
Nationwide Health Properties † | 14,000 | 541 | ||||||
NBT Bancorp (A) | 800 | 18 | ||||||
New York Community Bancorp (A) | 29,449 | 479 | ||||||
NewAlliance Bancshares | 11,400 | 144 | ||||||
Northfield Bancorp (A) | 800 | 9 | ||||||
NorthStar Realty Finance † (A) | 820 | 3 | ||||||
NYSE Euronext | 1,975 | 56 | ||||||
Ocwen Financial * (A) | 4,200 | 43 | ||||||
Old National Bancorp (A) | 4,100 | 43 | ||||||
Omega Healthcare Investors † (A) | 5,100 | 114 | ||||||
One Liberty Properties † | 140 | 2 | ||||||
OneBeacon Insurance Group, Cl A (A) | 2,700 | 39 | ||||||
optionsXpress Holdings * | 2,100 | 32 | ||||||
Oriental Financial Group (A) | 13,000 | 173 | ||||||
PacWest Bancorp (A) | 14,860 | 283 | ||||||
Park National (A) | 300 | 19 | ||||||
Parkway Properties † (A) | 20,600 | 305 | ||||||
PartnerRe | 9,726 | 780 | ||||||
Pennsylvania Real Estate Investment Trust † (A) | 14,700 | 174 | ||||||
People’s United Financial | 49,902 | 653 | ||||||
PHH * | 11,238 | 237 | ||||||
Piedmont Office Realty Trust, Cl A † | 1,000 | 19 | ||||||
Piper Jaffray * (A) | 500 | 15 | ||||||
Platinum Underwriters Holdings (A) | 9,625 | 419 |
Description | Shares | Market Value ($ Thousands) | ||||||
Plum Creek Timber † (A) | 1,600 | $ | 56 | |||||
Popular * | 32,900 | 95 | ||||||
Portfolio Recovery Associates * (A) | 400 | 26 | ||||||
Post Properties † (A) | 1,200 | 34 | ||||||
PrivateBancorp, Cl A | 8,400 | 96 | ||||||
ProAssurance * (A) | 16,781 | 966 | ||||||
Prospect Capital (A) | 2,612 | 25 | ||||||
Protective Life | 10,756 | 234 | ||||||
Provident Financial Services | 1,900 | 23 | ||||||
PS Business Parks † | 1,400 | 79 | ||||||
Pzena Investment Management, Cl A | 5,400 | 37 | ||||||
RAIT Financial Trust * † (A) | 42,000 | 69 | ||||||
Ramco-Gershenson Properties † (A) | 2,300 | 25 | ||||||
Raymond James Financial (A) | 15,200 | 385 | ||||||
Redwood Trust † (A) | 22,892 | 331 | ||||||
Regency Centers † (A) | 5,500 | 217 | ||||||
Regions Financial | 37,600 | 273 | ||||||
Reinsurance Group of America, Cl A | 15,235 | 736 | ||||||
RenaissanceRe Holdings | 800 | 48 | ||||||
Resource Capital † | 2,600 | 17 | ||||||
Roma Financial | 900 | 9 | ||||||
S&T Bancorp (A) | 9,800 | 171 | ||||||
Selective Insurance Group (A) | 10,900 | 178 | ||||||
Senior Housing Properties Trust † | 6,600 | 155 | ||||||
Signature Bank NY * (A) | 6,837 | 266 | ||||||
SL Green Realty † (A) | 2,100 | 133 | ||||||
Solar Capital | 2,200 | 47 | ||||||
Sovran Self Storage † (A) | 4,500 | 171 | ||||||
StanCorp Financial Group | 11,800 | 448 | ||||||
Sterling Bancshares | 7,100 | 38 | ||||||
Stifel Financial * (A) | 8,105 | 375 | ||||||
Stratus Properties * | 1,900 | 16 | ||||||
Sun Communities † (A) | 1,400 | 43 | ||||||
SVB Financial Group * | 600 | 25 | ||||||
SWS Group | 48,300 | 346 | ||||||
Synovus Financial (A) | 295,757 | 728 | ||||||
Tanger Factory Outlet Centers † (A) | 1,000 | 47 | ||||||
Taubman Centers † (A) | 7,500 | 335 | ||||||
TCF Financial (A) | 2,200 | 36 | ||||||
TD Ameritrade Holding * | 20,329 | 328 | ||||||
Teton Advisors, Cl A * | 6 | — | ||||||
TFS Financial | 12,200 | 112 | ||||||
Tower Group (A) | 4,800 | 112 | ||||||
TradeStation Group * | 1,800 | 12 | ||||||
Transatlantic Holdings | 600 | 31 | ||||||
Trustco Bank NY (A) | 23,100 | 128 | ||||||
Trustmark (A) | 900 | 20 | ||||||
UDR † | 1,400 | 30 | ||||||
Umpqua Holdings (A) | 10,316 | 117 | ||||||
United Bankshares (A) | 4,300 | 107 | ||||||
United Community Banks * (A) | 10,775 | 24 | ||||||
United Fire & Casualty (A) | 4,000 | 85 | ||||||
Unitrin | 18,800 | 459 | ||||||
Unum Group | 40,763 | 903 | ||||||
U-Store-It Trust † | 3,500 | 29 | ||||||
Validus Holdings | 8,900 | 235 | ||||||
Valley National Bancorp (A) | 2,205 | 28 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value | ||||||
Waddell & Reed Financial, Cl A | 900 | $ | 25 | |||||
Walter Investment Management † (A) | 3,557 | 62 | ||||||
Washington Federal (A) | 14,200 | 217 | ||||||
Washington Real Estate Investment Trust † (A) | 900 | 29 | ||||||
Webster Financial (A) | 7,700 | 135 | ||||||
Weingarten Realty Investors † (A) | 1,600 | 35 | ||||||
WesBanco (A) | 12,800 | 209 | ||||||
Westamerica Bancorporation (A) | 1,700 | 93 | ||||||
Westfield Financial (A) | 2,625 | 20 | ||||||
Whitney Holding (A) | 43,748 | 357 | ||||||
Willis Group Holdings | 13,349 | 411 | ||||||
Wilmington Trust (A) | 4,200 | 38 | ||||||
Wintrust Financial (A) | 600 | 19 | ||||||
World Acceptance * (A) | 1,300 | 57 | ||||||
WR Berkley | 5,400 | 146 | ||||||
WSFS Financial | 400 | 15 | ||||||
XL Group, Cl A | 3,800 | 82 | ||||||
Zions Bancorporation (A) | 54,948 | 1,174 | ||||||
46,549 | ||||||||
Health Care — 10.8% | ||||||||
Abaxis * (A) | 1,600 | 37 | ||||||
Abraxis BioScience * | 500 | 39 | ||||||
Accelrys * (A) | 3,357 | 23 | ||||||
Accretive Health * (A) | 7,530 | 82 | ||||||
Accuray * | 1,900 | 12 | ||||||
Acorda Therapeutics * (A) | 17,800 | 588 | ||||||
Affymetrix * (A) | 12,000 | 55 | ||||||
Air Methods * | 600 | 25 | ||||||
Albany Molecular Research * (A) | 3,200 | 20 | ||||||
Alere * (A) | 2,434 | 75 | ||||||
Alexion Pharmaceuticals * | 6,000 | 386 | ||||||
Align Technology * | 31,400 | 615 | ||||||
Alkermes * (A) | 24,860 | 364 | ||||||
Allergan | 1,800 | 120 | ||||||
Allos Therapeutics * | 4,400 | 21 | ||||||
Allscripts Healthcare Solutions * | 42,640 | 788 | ||||||
AMAG Pharmaceuticals * (A) | 6,170 | 106 | ||||||
Amedisys * (A) | 1,400 | 33 | ||||||
American Medical Systems Holdings * (A) | 22,420 | 439 | ||||||
AMERIGROUP * (A) | 5,925 | 252 | ||||||
AmerisourceBergen | 22,316 | 684 | ||||||
Amsurg * (A) | 17,498 | 306 | ||||||
Amylin Pharmaceuticals * (A) | 6,900 | 144 | ||||||
Analogic (A) | 1,074 | 48 | ||||||
ATHENAHEALTH INC * (A) | 1,600 | 53 | ||||||
Auxilium Pharmaceuticals * (A) | 24,460 | 606 | ||||||
Bio-Reference Labs * | 1,000 | 21 | ||||||
Brookdale Senior Living * | 24,400 | 398 | ||||||
Bruker BioSciences * | 3,800 | 53 | ||||||
Capital Senior Living * | 3,600 | 19 | ||||||
Catalyst Health Solutions * | 600 | 21 | ||||||
Celgene * | 622 | 36 | ||||||
Celldex Therapeutics * (A) | 2,400 | 10 | ||||||
Cephalon * (A) | 6,700 | 418 | ||||||
Cerner * | 300 | 25 | ||||||
Charles River Laboratories International * (A) | 5,750 | 191 | ||||||
Chemed | 4,364 | 249 | ||||||
Cooper (A) | 13,590 | 628 |
Description | Shares | Market Value | ||||||
Corvel * | 293 | $ | 12 | |||||
Covance * | 6,575 | 308 | ||||||
Coventry Health Care * | 18,200 | 392 | ||||||
Cubist Pharmaceuticals * (A) | 8,300 | 194 | ||||||
Cyberonics * (A) | 9,590 | 256 | ||||||
Dendreon * (A) | 4,100 | 169 | ||||||
Dentsply International | 14,800 | 473 | ||||||
Dionex * | 500 | 43 | ||||||
Edwards Lifesciences * | 2,400 | 161 | ||||||
Emdeon, Cl A * | 4,400 | 54 | ||||||
Emeritus * (A) | 1,400 | 24 | ||||||
Endo Pharmaceuticals Holdings * (A) | 11,600 | 385 | ||||||
Enzon Pharmaceuticals * (A) | 2,600 | 29 | ||||||
eResearchTechnology * (A) | 2,348 | 18 | ||||||
Exelixis * | 5,200 | 20 | ||||||
Express Scripts * | 1,400 | 68 | ||||||
Forest Laboratories * | 13,900 | 430 | ||||||
Gen-Probe * | 11,200 | 543 | ||||||
Gentiva Health Services * (A) | 700 | 15 | ||||||
Geron * (A) | 8,900 | 49 | ||||||
Greatbatch * | 2,000 | 46 | ||||||
Halozyme Therapeutics * (A) | 2,700 | 21 | ||||||
Health Management Associates, Cl A * | 12,400 | 95 | ||||||
Health Net * | 1,800 | 49 | ||||||
Healthsouth * (A) | 31,151 | 598 | ||||||
Healthspring * | 1,200 | 31 | ||||||
Henry Schein * | 7,707 | 451 | ||||||
Hill-Rom Holdings (A) | 6,900 | 248 | ||||||
HMS Holdings * | 500 | 29 | ||||||
Hologic * | 25,542 | 409 | ||||||
Human Genome Sciences * (A) | 4,100 | 122 | ||||||
Humana * | 8,300 | 417 | ||||||
ICON ADR * | 16,510 | 357 | ||||||
Idexx Laboratories * (A) | 6,200 | 383 | ||||||
Illumina * (A) | 2,300 | 113 | ||||||
Immucor * | 1,950 | 39 | ||||||
Impax Laboratories * | 13,900 | 275 | ||||||
Incyte * (A) | 29,800 | 476 | ||||||
Intuitive Surgical * | 550 | 156 | ||||||
Isis Pharmaceuticals * (A) | 3,300 | 28 | ||||||
Kinetic Concepts * (A) | 9,300 | 340 | ||||||
King Pharmaceuticals * | 20,000 | 199 | ||||||
Landauer | 600 | 38 | ||||||
LHC Group * (A) | 500 | 12 | ||||||
Life Technologies * | 1,637 | 76 | ||||||
LifePoint Hospitals * | 19,800 | 694 | ||||||
Lincare Holdings (A) | 20,910 | 525 | ||||||
Magellan Health Services * | 1,400 | 66 | ||||||
Martek Biosciences * (A) | 800 | 18 | ||||||
Mednax * | 3,743 | 199 | ||||||
Meridian Bioscience | 8,100 | 177 | ||||||
Merit Medical Systems * | 2,500 | 40 | ||||||
Mettler Toledo International * | 400 | 50 | ||||||
Mylan Laboratories * (A) | 32,735 | 616 | ||||||
Myriad Genetics * | 2,200 | 36 | ||||||
Myriad Pharmaceuticals * | 550 | 2 | ||||||
Nektar Therapeutics * (A) | 9,000 | 133 | ||||||
Neogen * (A) | 900 | 30 | ||||||
NuVasive * (A) | 16,829 | 591 | ||||||
Obagi Medical Products * (A) | 1,600 | 17 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Omnicare (A) | 15,000 | $ | 358 | |||||
Omnicell * | 1,300 | 17 | ||||||
Onyx Pharmaceuticals * (A) | 37,250 | 983 | ||||||
Orthofix International * (A) | 600 | 19 | ||||||
Owens & Minor | 24,542 | 698 | ||||||
Par Pharmaceutical * (A) | 2,570 | 75 | ||||||
Parexel International * (A) | 34,950 | 808 | ||||||
Patterson (A) | 7,500 | 215 | ||||||
PDL BioPharma (A) | 64,800 | 341 | ||||||
PerkinElmer | 19,900 | 461 | ||||||
Perrigo (A) | 11,300 | 726 | ||||||
Pharmaceutical Product Development | 38,170 | 946 | ||||||
Pharmasset * (A) | 7,600 | 224 | ||||||
PharMerica * | 34,700 | 331 | ||||||
Providence Service * | 1,900 | 31 | ||||||
PSS World Medical * (A) | 1,400 | 30 | ||||||
Psychiatric Solutions * | 900 | 30 | ||||||
Quest Diagnostics | 6,803 | 343 | ||||||
Regeneron Pharmaceuticals * (A) | 17,300 | 474 | ||||||
RehabCare Group * | 1,500 | 30 | ||||||
ResMed * (A) | 5,662 | 186 | ||||||
Rigel Pharmaceuticals * (A) | 25,600 | 215 | ||||||
Salix Pharmaceuticals * (A) | 10,630 | 422 | ||||||
Seattle Genetics * (A) | 19,770 | 307 | ||||||
Sirona Dental Systems * | 10,119 | 365 | ||||||
STERIS (A) | 1,300 | 43 | ||||||
SXC Health Solutions * | 15,880 | 579 | ||||||
Symmetry Medical * | 1,500 | 14 | ||||||
Team Health Holdings * (A) | 18,865 | 244 | ||||||
Techne (A) | 4,600 | 284 | ||||||
Tenet Healthcare * | 14,100 | 67 | ||||||
Theravance * (A) | 1,400 | 28 | ||||||
Thermo Fisher Scientific * | 1,600 | 77 | ||||||
Thoratec * | 1,500 | 56 | ||||||
TomoTherapy * (A) | 17,200 | 61 | ||||||
Universal Health Services, Cl B | 1,000 | 39 | ||||||
US Physical Therapy * | 900 | 15 | ||||||
Valeant Pharmaceuticals International * (A) | 37,748 | 946 | ||||||
Vertex Pharmaceuticals * (A) | 8,000 | 277 | ||||||
Viropharma * | 5,800 | 86 | ||||||
Volcano * (A) | 27,570 | 716 | ||||||
Waters * | 1,725 | 122 | ||||||
Watson Pharmaceuticals * | 5,300 | 224 | ||||||
WellCare Health Plans * | 800 | 23 | ||||||
Zoll Medical * (A) | 1,800 | 58 | ||||||
32,429 | ||||||||
Industrials — 15.0% | ||||||||
AAON (A) | 1,500 | 35 | ||||||
AAR * (A) | 1,100 | 20 | ||||||
ACCO Brands * (A) | 24,700 | 142 | ||||||
Acuity Brands (A) | 500 | 22 | ||||||
Advisory Board * (A) | 15,100 | 667 | ||||||
Aecom Technology * | 22,600 | 548 | ||||||
AerCap Holdings * | 17,550 | 208 | ||||||
Aerovironment * (A) | 800 | 18 | ||||||
AGCO * | 1,400 | 55 | ||||||
Aircastle | 16,413 | 139 | ||||||
Airtran Holdings * (A) | 2,900 | 21 | ||||||
Albany International, Cl A | 1,900 | 36 | ||||||
Alexander & Baldwin | 2,939 | 102 |
Description | Shares | Market Value ($ Thousands) | ||||||
Allegiant Travel, Cl A (A) | 8,320 | $ | 352 | |||||
Alliant Techsystems * | 588 | 44 | ||||||
American Commercial Lines * (A) | 725 | 20 | ||||||
American Superconductor * (A) | 2,200 | 69 | ||||||
Ametek | 750 | 36 | ||||||
Ampco-Pittsburgh (A) | 8,000 | 199 | ||||||
AMR * | 4,000 | 25 | ||||||
AO Smith | 8,400 | 486 | ||||||
Apogee Enterprises (A) | 16,300 | 149 | ||||||
Arkansas Best | 900 | 22 | ||||||
ArvinMeritor * (A) | 68,680 | 1,067 | ||||||
Atlas Air Worldwide Holdings * (A) | 14,300 | 719 | ||||||
Avery Dennison | 11,542 | 428 | ||||||
Baldor Electric | 900 | 36 | ||||||
Barnes Group | 1,100 | 19 | ||||||
BE Aerospace * | 11,507 | 349 | ||||||
Beacon Roofing Supply * | 32,890 | 479 | ||||||
Belden (A) | 14,472 | 382 | ||||||
Brady, Cl A (A) | 9,285 | 271 | ||||||
Briggs & Stratton (A) | 21,020 | 400 | ||||||
Brink’s | 3,100 | 71 | ||||||
Bucyrus International, Cl A (A) | 11,800 | 818 | ||||||
C.H. Robinson Worldwide | 4,644 | 325 | ||||||
Carlisle | 600 | 18 | ||||||
Cintas | 18,121 | 499 | ||||||
Clarcor | 1,000 | 39 | ||||||
Clean Harbors * | 10,159 | 688 | ||||||
CNH Global (A) | 2,460 | 90 | ||||||
Colfax * (A) | 7,500 | 111 | ||||||
Columbus McKinnon * | 3,249 | 54 | ||||||
Con-way | 600 | 19 | ||||||
Copa Holdings, Cl A | 13,060 | 704 | ||||||
Copart * | 600 | 20 | ||||||
Corporate Executive Board | 25,700 | 811 | ||||||
Corrections Corp of America * | 52,330 | 1,292 | ||||||
CoStar Group * (A) | 1,100 | 54 | ||||||
Courier (A) | 6,189 | 88 | ||||||
Crane | 9,800 | 372 | ||||||
Cummins | 2,100 | 190 | ||||||
Delta Air Lines * | 4,925 | 58 | ||||||
Deluxe | 18,000 | 344 | ||||||
Dollar Thrifty Automotive Group * | 3,000 | 150 | ||||||
Donaldson | 300 | 14 | ||||||
Dover | 8,671 | 453 | ||||||
EMCOR Group * (A) | 18,114 | 445 | ||||||
EnergySolutions (A) | 6,800 | 34 | ||||||
EnerNOC * (A) | 1,300 | 41 | ||||||
Ennis (A) | 3,600 | 64 | ||||||
EnPro Industries * (A) | 11,900 | 372 | ||||||
Esterline Technologies * | 6,510 | 372 | ||||||
Excel Maritime Carriers * (A) | 8,300 | 47 | ||||||
Fastenal (A) | 6,548 | 348 | ||||||
Flowserve | 3,917 | 429 | ||||||
Fluor | 8,604 | 426 | ||||||
Forward Air (A) | 1,000 | 26 | ||||||
Foster Wheeler * | 7,300 | 178 | ||||||
Franklin Electric | 500 | 17 | ||||||
G&K Services | 10,126 | 232 | ||||||
Gardner Denver | 20,429 | 1,097 | ||||||
GATX | 2,900 | 85 | ||||||
Genco Shipping & Trading * (A) | 2,800 | 45 | ||||||
GenCorp * (A) | 9,100 | 45 |
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
GeoEye * | 700 | $ | 28 | |||||
Goodrich | 1,600 | 118 | ||||||
Gorman-Rupp (A) | 1,250 | 34 | ||||||
Graco | 600 | 19 | ||||||
GrafTech International * | 2,200 | 34 | ||||||
Granite Construction (A) | 1,500 | 34 | ||||||
Griffon * | 1,600 | 20 | ||||||
Harsco | 3,200 | 79 | ||||||
Heartland Express (A) | 2,100 | 31 | ||||||
Heidrick & Struggles International (A) | 700 | 14 | ||||||
Herman Miller | 1,500 | 30 | ||||||
Hertz Global Holdings * (A) | 34,800 | 368 | ||||||
Hexcel * | 2,200 | 39 | ||||||
HNI (A) | 1,400 | 40 | ||||||
Hubbell, Cl B | 5,700 | 289 | ||||||
Huron Consulting Group * | 400 | 9 | ||||||
IDEX | 6,500 | 231 | ||||||
IHS, Cl A * | 12,300 | 836 | ||||||
Insituform Technologies, Cl A * | 1,900 | 46 | ||||||
Interface, Cl A (A) | 15,618 | 222 | ||||||
Interline Brands * | 1,300 | 23 | ||||||
International Shipholding (A) | 5,600 | 158 | ||||||
JB Hunt Transport Services | 24,840 | 862 | ||||||
John Bean Technologies | 1,377 | 22 | ||||||
Joy Global | 1,800 | 127 | ||||||
Kadant * (A) | 11,654 | 220 | ||||||
Kaman | 2,707 | 71 | ||||||
Kansas City Southern * | 3,100 | 116 | ||||||
Kaydon (A) | 10,092 | 349 | ||||||
KBR | 2,100 | 52 | ||||||
Kelly Services, Cl A * | 1,200 | 14 | ||||||
Kennametal | 600 | 18 | ||||||
Kirby * | 1,100 | 44 | ||||||
Knoll (A) | 24,030 | 373 | ||||||
Landstar System | 600 | 23 | ||||||
Layne Christensen * | 1,000 | 26 | ||||||
Lennox International | 2,400 | 100 | ||||||
Lincoln Electric Holdings | 3,205 | 185 | ||||||
Lindsay (A) | 6,200 | 269 | ||||||
Localiza Rent a Car | 45,290 | 754 | ||||||
Manitowoc (A) | 5,200 | 63 | ||||||
Manpower | 14,900 | 778 | ||||||
MasTec * | 5,300 | 55 | ||||||
Middleby * (A) | 500 | 32 | ||||||
Mine Safety Appliances (A) | 6,500 | 176 | ||||||
Moog, Cl A * | 7,200 | 256 | ||||||
Mueller Industries | 11,400 | 302 | ||||||
NACCO Industries, Cl A | 400 | 35 | ||||||
Navistar International * (A) | 17,600 | 768 | ||||||
NCI Building Systems * (A) | 3,160 | 30 | ||||||
Nordson | 1,400 | 103 | ||||||
Old Dominion Freight Line * | 23,170 | 589 | ||||||
Orbital Sciences * | 4,400 | 67 | ||||||
Oshkosh Truck * | 10,300 | 283 | ||||||
Owens Corning * | 5,200 | 133 | ||||||
PACCAR | 8,643 | 416 | ||||||
Pall | 3,500 | 146 | ||||||
Park-Ohio Holdings * (A) | 2,900 | 38 | ||||||
Pentair | 800 | 27 | ||||||
Pitney Bowes (A) | 18,700 | 400 | ||||||
Quanex Building Products (A) | 1,800 | 31 |
Description | Shares | Market Value ($ Thousands) | ||||||
Quanta Services * | 3,656 | $ | 70 | |||||
Regal-Beloit | 17,760 | 1,042 | ||||||
Republic Airways Holdings * | 2,558 | 21 | ||||||
Resources Connection | 32,095 | 442 | ||||||
Ritchie Bros. Auctioneers (A) | 11,300 | 235 | ||||||
Robert Half International | 1,400 | 36 | ||||||
Roper Industries | 400 | 26 | ||||||
RR Donnelley & Sons (A) | 15,000 | 254 | ||||||
RSC Holdings * (A) | 1,700 | 13 | ||||||
Rush Enterprises, Cl A * | 37,660 | 578 | ||||||
Ryder System | 12,600 | 539 | ||||||
School Specialty * (A) | 18,052 | 235 | ||||||
Shaw Group * | 500 | 17 | ||||||
Skywest (A) | 11,800 | 165 | ||||||
Spirit Aerosystems Holdings, Cl A * | 20,179 | 402 | ||||||
Standard Register (A) | 3,396 | 10 | ||||||
Steelcase, Cl A (A) | 4,600 | 38 | ||||||
Stericycle * (A) | 1,000 | 69 | ||||||
SYKES Enterprises * (A) | 76,617 | 1,040 | ||||||
TAL International Group (A) | 8,900 | 216 | ||||||
Teledyne Technologies * | 11,015 | 439 | ||||||
Teleflex (A) | 13,627 | 773 | ||||||
Terex * | 13,472 | 309 | ||||||
Tetra Tech * | 11,948 | 251 | ||||||
Thomas & Betts * | 8,700 | 357 | ||||||
Timken | 23,300 | 894 | ||||||
Towers Watson, Cl A | 17,815 | 876 | ||||||
Trex * (A) | 21,491 | 410 | ||||||
Triumph Group (A) | 7,038 | 525 | ||||||
TrueBlue * | 1,500 | 20 | ||||||
Tutor Perini * | 6,800 | 137 | ||||||
Tyco International | 3,723 | 137 | ||||||
UAL * (A) | 22,900 | 541 | ||||||
United Rentals * (A) | 30,190 | 448 | ||||||
United Stationers * | 5,000 | 268 | ||||||
Universal Forest Products | 3,000 | 88 | ||||||
URS * | 7,600 | 289 | ||||||
US Airways Group * (A) | 11,425 | 106 | ||||||
USG * (A) | 1,100 | 15 | ||||||
UTI Worldwide | 18,200 | 293 | ||||||
Valmont Industries | 300 | 22 | ||||||
Vicor (A) | 2,300 | 34 | ||||||
Vitran * | 30,030 | 329 | ||||||
Wabash National * (A) | 37,270 | 301 | ||||||
Wabtec (A) | 1,800 | 86 | ||||||
Watsco (A) | 6,100 | 340 | ||||||
Watts Water Technologies, Cl A (A) | 6,670 | 227 | ||||||
WESCO International * (A) | 21,760 | 855 | ||||||
45,023 | ||||||||
Information Technology — 17.1% | ||||||||
Acme Packet * | 9,788 | 371 | ||||||
Adobe Systems * | 11,858 | 310 | ||||||
Advanced Analogic Technologies * (A) | 3,400 | 12 | ||||||
Advanced Energy Industries * | 1,400 | 18 | ||||||
Advanced Micro Devices * | 7,300 | 52 | ||||||
Advent Software * (A) | 500 | 26 | ||||||
Agilysys * | 2,800 | 18 | ||||||
Akamai Technologies * | 2,300 | 115 | ||||||
Alliance Data Systems * (A) | 19,300 | 1,260 |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Amkor Technology * (A) | 15,500 | $ | 102 | |||||
Analog Devices (A) | 13,844 | 434 | ||||||
Anixter International * | 500 | 27 | ||||||
Ansys * | 10,900 | 461 | ||||||
Aon Hewitt, Cl A * | 3,634 | 183 | ||||||
Applied Micro Circuits * | 50,860 | 509 | ||||||
Ariba * | 2,700 | 51 | ||||||
Arris Group * (A) | 7,200 | 70 | ||||||
Arrow Electronics * | 1,900 | 51 | ||||||
Aruba Networks * (A) | 18,070 | 386 | ||||||
Atheros Communications * | 13,350 | 352 | ||||||
ATMI * | 800 | 12 | ||||||
Autodesk * | 1,000 | 32 | ||||||
Avnet * | 10,000 | 270 | ||||||
AVX | 4,300 | 59 | ||||||
Benchmark Electronics * | 19,500 | 320 | ||||||
BigBand Networks * | 7,100 | 20 | ||||||
Black Box | 5,800 | 186 | ||||||
Blackbaud | 2,048 | 49 | ||||||
Blackboard * (A) | 13,800 | 497 | ||||||
Blue Coat Systems * | 16,300 | 392 | ||||||
BMC Software * | 1,700 | 69 | ||||||
Brightpoint * | 41,083 | 287 | ||||||
Broadridge Financial Solutions | 1,700 | 39 | ||||||
Brocade Communications Systems * | 140,215 | 819 | ||||||
CACI International, Cl A * (A) | 6,140 | 278 | ||||||
Cadence Design Systems * (A) | 5,600 | 43 | ||||||
Cavium Networks * | 11,916 | 343 | ||||||
Checkpoint Systems * | 7,277 | 148 | ||||||
Ciber * | 18,177 | 55 | ||||||
Ciena * (A) | 1,900 | 30 | ||||||
Cognex (A) | 5,900 | 158 | ||||||
Cognizant Technology Solutions, Cl A * | 1,800 | 116 | ||||||
Cogo Group * | 3,500 | 22 | ||||||
Coherent * (A) | 9,163 | 367 | ||||||
CommScope * | 10,400 | 247 | ||||||
Computer Sciences | 9,800 | 451 | ||||||
Comtech Telecommunications | 8,381 | 229 | ||||||
Comverge * (A) | 2,600 | 20 | ||||||
Concur Technologies * (A) | 9,160 | 453 | ||||||
Convergys * (A) | 27,500 | 287 | ||||||
CoreLogic | 2,100 | 40 | ||||||
Cree * | 3,249 | 176 | ||||||
CSG Systems International * | 18,934 | 345 | ||||||
CTS (A) | 33,788 | 325 | ||||||
Cymer * | 2,301 | 85 | ||||||
Cypress Semiconductor * (A) | 11,200 | 141 | ||||||
Daktronics | 4,600 | 45 | ||||||
DealerTrack Holdings * | 1,100 | 19 | ||||||
Deltek * (A) | 4,647 | 37 | ||||||
DG FastChannel * (A) | 800 | 17 | ||||||
Diebold | 25,174 | 783 | ||||||
Digital River * (A) | 12,149 | 414 | ||||||
Diodes * | 1,800 | 31 | ||||||
Dolby Laboratories, Cl A * | 8,200 | 466 | ||||||
DST Systems | 3,600 | 161 | ||||||
Earthlink (A) | 12,700 | 115 | ||||||
EchoStar, Cl A * | 2,900 | 55 | ||||||
Electronics for Imaging * | 6,990 | 85 | ||||||
Emulex * (A) | 21,338 | 223 |
Description | Shares | Market Value ($ Thousands) | ||||||
Equinix * (A) | 11,810 | $ | 1,209 | |||||
Euronet Worldwide * (A) | 18,500 | 333 | ||||||
F5 Networks * | 3,200 | 332 | ||||||
Factset Research Systems | 300 | 24 | ||||||
Fair Isaac (A) | 1,100 | 27 | ||||||
Fairchild Semiconductor International * | 68,488 | 644 | ||||||
Fidelity National Information Services | 1,480 | 40 | ||||||
Finisar * (A) | 40,138 | 754 | ||||||
Flir Systems * | 7,360 | 189 | ||||||
Formfactor * | 3,300 | 28 | ||||||
Forrester Research * | 900 | 30 | ||||||
Gartner * (A) | 24,540 | 722 | ||||||
Genpact * | 1,200 | 21 | ||||||
Global Payments | 800 | 34 | ||||||
GSI Commerce * (A) | 88,240 | 2,179 | ||||||
Harris | 14,100 | 625 | ||||||
Heartland Payment Systems (A) | 16,960 | 258 | ||||||
Hittite Microwave * | 1,300 | 62 | ||||||
Hollysys Automation Technologies * (A) | 9,840 | 110 | ||||||
Hughes Communications * | 1,600 | 44 | ||||||
IAC * | 2,479 | 65 | ||||||
Imation * | 2,100 | 19 | ||||||
Informatica * (A) | 24,450 | 939 | ||||||
Ingram Micro, Cl A * | 1,400 | 24 | ||||||
Integrated Device Technology * | 11,300 | 66 | ||||||
InterDigital * | 1,000 | 30 | ||||||
Intermec * | 26,646 | 327 | ||||||
International Rectifier * | 1,600 | 34 | ||||||
Intersil, Cl A | 8,600 | 100 | ||||||
Itron * | 899 | 55 | ||||||
Ixia * | 22,860 | 283 | ||||||
Jabil Circuit | 54,460 | 785 | ||||||
Jack Henry & Associates | 1,000 | 26 | ||||||
JDS Uniphase * | 2,700 | 33 | ||||||
L-1 Identity Solutions, Cl 1 * | 2,100 | 25 | ||||||
Lawson Software * (A) | 32,720 | 277 | ||||||
Lexmark International, Cl A * | 24,300 | 1,084 | ||||||
Limelight Networks * | 3,000 | 18 | ||||||
Linear Technology (A) | 3,700 | 114 | ||||||
Littelfuse * | 6,195 | 271 | ||||||
LoopNet * (A) | 1,700 | 20 | ||||||
Loral Space & Communications * | 800 | 42 | ||||||
LSI Logic * | 5,300 | 24 | ||||||
Mantech International, Cl A * | 900 | 36 | ||||||
Measurement Specialties * (A) | 2,900 | 53 | ||||||
Mentor Graphics * | 2,400 | 25 | ||||||
Methode Electronics | 17,356 | 157 | ||||||
Micrel | 11,400 | 112 | ||||||
Micros Systems * | 11,700 | 495 | ||||||
Microsemi * (A) | 67,972 | 1,166 | ||||||
Molex (A) | 29,420 | 616 | ||||||
Monolithic Power Systems * | 5,228 | 85 | ||||||
Monster Worldwide * | 1,600 | 21 | ||||||
Move * (A) | 19,207 | 43 | ||||||
MTS Systems | 2,119 | 66 | ||||||
Multi-Fineline Electronix * (A) | 4,030 | 89 | ||||||
National Instruments | 1,398 | 46 | ||||||
NCR * | 13,725 | 187 | ||||||
Netezza * | 1,110 | 30 |
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Netgear * | 2,400 | $ | 65 | |||||
Netlogic Microsystems * (A) | 11,990 | 331 | ||||||
NetSuite * (A) | 1,400 | 33 | ||||||
NeuStar, Cl A * | 1,000 | 25 | ||||||
Novell * | 6,500 | 39 | ||||||
Novellus Systems * (A) | 1,600 | 42 | ||||||
Omnivision Technologies * (A) | 21,720 | 500 | ||||||
Parametric Technology * (A) | 49,859 | 974 | ||||||
Pegasystems (A) | 4,752 | 148 | ||||||
Plantronics (A) | 1,100 | 37 | ||||||
Plexus * | 10,350 | 304 | ||||||
PMC - Sierra * | 131,900 | 971 | ||||||
Polycom * | 29,950 | 817 | ||||||
Power Integrations (A) | 13,220 | 420 | ||||||
QLIK Technologies * (A) | 7,600 | 168 | ||||||
Quality Systems (A) | 9,081 | 602 | ||||||
Quest Software * | 3,900 | 96 | ||||||
Radisys * (A) | 4,300 | 40 | ||||||
Rambus * (A) | 1,900 | 40 | ||||||
RealNetworks * | 11,200 | 36 | ||||||
Red Hat * | 1,700 | 70 | ||||||
Richardson Electronics (A) | 11,300 | 119 | ||||||
Riverbed Technology * (A) | 14,010 | 639 | ||||||
Rofin-Sinar Technologies * (A) | 1,100 | 28 | ||||||
Rovi * | 9,774 | 493 | ||||||
S1 * | 3,900 | 20 | ||||||
SAIC * | 36,700 | 586 | ||||||
Salesforce.com * (A) | 800 | 89 | ||||||
Sanmina-SCI * (A) | 55,360 | 669 | ||||||
Sapient | 45,347 | 543 | ||||||
SAVVIS * | 1,900 | 40 | ||||||
Scansource * | 3,600 | 100 | ||||||
Semtech * | 3,100 | 63 | ||||||
Silicon Graphics International * (A) | 2,400 | 19 | ||||||
Silicon Laboratories * | 3,850 | 141 | ||||||
Skyworks Solutions * | 48,140 | 996 | ||||||
SolarWinds * (A) | 6,100 | 105 | ||||||
Solera Holdings | 2,600 | 115 | ||||||
STEC * (A) | 7,500 | 93 | ||||||
SuccessFactors * (A) | 25,590 | 643 | ||||||
SunPower, Cl A * (A) | 5,400 | 78 | ||||||
Supertex * (A) | 900 | 20 | ||||||
Synaptics * (A) | 4,750 | 134 | ||||||
SYNNEX * (A) | 2,118 | 60 | ||||||
Synopsys * | 33,975 | 842 | ||||||
Syntel | 1,900 | 85 | ||||||
Take-Two Interactive Software * (A) | 2,400 | 24 | ||||||
Taleo, Cl A * | 4,492 | 130 | ||||||
Tech Data * | 13,400 | 540 | ||||||
Technitrol (A) | 19,700 | 87 | ||||||
Tekelec * | 3,400 | 44 | ||||||
Tellabs | 7,100 | 53 | ||||||
Teradata * | 4,800 | 185 | ||||||
Teradyne * (A) | 33,982 | 379 | ||||||
Tessera Technologies * | 1,900 | 35 | ||||||
TIBCO Software * (A) | 23,940 | 425 | ||||||
TiVo * (A) | 55,000 | 498 | ||||||
TNS * | 14,744 | 250 | ||||||
Total System Services | 1,600 | 24 | ||||||
Totvs | 4,400 | 334 |
Description | Shares | Market Value ($ Thousands) | ||||||
Trimble Navigation * | 6,000 | $ | 210 | |||||
Ultimate Software Group * | 800 | 31 | ||||||
Unisys * (A) | 11,773 | 328 | ||||||
United Online (A) | 61,330 | 351 | ||||||
Valueclick * | 3,600 | 47 | ||||||
Varian Semiconductor Equipment Associates * | 5,875 | 169 | ||||||
Veeco Instruments * (A) | 6,200 | 216 | ||||||
VeriSign * | 700 | 22 | ||||||
Viasat * (A) | 1,100 | 45 | ||||||
Virtusa * | 1,600 | 16 | ||||||
Vishay Intertechnology * | 71,300 | 690 | ||||||
Vishay Precision Group * | 5,091 | 79 | ||||||
VistaPrint * (A) | 25,759 | 996 | ||||||
WebMD Health, Cl A * | 1,121 | 56 | ||||||
Websense * | 9,020 | 160 | ||||||
Western Digital * | 15,900 | 451 | ||||||
Wright Express * (A) | 25,395 | 907 | ||||||
Xyratex * (A) | 18,819 | 279 | ||||||
Zebra Technologies, Cl A * | 12,453 | 419 | ||||||
Zoran * | 37,797 | 289 | ||||||
51,469 | ||||||||
Materials — 5.4% | ||||||||
Airgas | 800 | 54 | ||||||
AK Steel Holding (A) | 9,700 | 134 | ||||||
Albemarle | 4,500 | 211 | ||||||
Allegheny Technologies | 10,355 | 481 | ||||||
Alpha Natural Resources * | 800 | 33 | ||||||
AM Castle * | 170 | 2 | ||||||
AMCOL International (A) | 1,500 | 39 | ||||||
Aptargroup | 6,791 | 310 | ||||||
Ashland | 2,600 | 127 | ||||||
Ball | 3,500 | 206 | ||||||
Cabot | 11,592 | 377 | ||||||
Celanese, Ser A | 12,700 | 408 | ||||||
Century Aluminum * | 5,100 | 67 | ||||||
China Green Agriculture * (A) | 7,900 | 69 | ||||||
Clearwater Paper * | 400 | 30 | ||||||
Coeur d’Alene Mines * (A) | 3,300 | 66 | ||||||
Commercial Metals | 1,300 | 19 | ||||||
Compass Minerals International | 1,100 | 84 | ||||||
Crown Holdings * | 4,800 | 137 | ||||||
Cytec Industries | 10,606 | 598 | ||||||
Domtar (A) | 4,800 | 310 | ||||||
Eagle Materials | 1,000 | 24 | ||||||
Eastman Chemical | 10,000 | 740 | ||||||
Ferro * | 2,300 | 30 | ||||||
FMC | 1,800 | 123 | ||||||
Georgia Gulf * (A) | 1,400 | 23 | ||||||
Glatfelter (A) | 1,700 | 21 | ||||||
Globe Specialty Metals | 5,200 | 73 | ||||||
Golden Star Resources * (A) | 4,200 | 21 | ||||||
Greif, Cl A | 1,900 | 112 | ||||||
H.B. Fuller (A) | 10,400 | 207 | ||||||
Headwaters * (A) | 12,623 | 45 | ||||||
Horsehead Holding * | 2,100 | 21 | ||||||
Huntsman | 67,106 | 776 | ||||||
Innophos Holdings (A) | 10,900 | 361 | ||||||
Kaiser Aluminum (A) | 4,300 | 184 | ||||||
Koppers Holdings | 5,097 | 137 | ||||||
LSB Industries * (A) | 20,750 | 385 | ||||||
Lubrizol | 6,100 | 646 |
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Mosaic | 500 | $ | 29 | |||||
Nalco Holding | 14,000 | 353 | ||||||
Neenah Paper (A) | 7,642 | 116 | ||||||
NewMarket (A) | 1,092 | 124 | ||||||
Nucor | 9,009 | 344 | ||||||
Olin | 3,500 | 71 | ||||||
OM Group * | 9,751 | 294 | ||||||
Owens-Illinois * | 27,834 | 781 | ||||||
Packaging Corp of America | 28,299 | 656 | ||||||
PolyOne * | 63,135 | 763 | ||||||
Reliance Steel & Aluminum | 7,200 | 299 | ||||||
Rock-Tenn, Cl A | 600 | 30 | ||||||
Rockwood Holdings * (A) | 15,000 | 472 | ||||||
Royal Gold (A) | 900 | 45 | ||||||
RPM International | 900 | 18 | ||||||
RTI International Metals * (A) | 8,646 | 265 | ||||||
Schnitzer Steel Industries, Cl A | 3,300 | 159 | ||||||
Schulman A (A) | 16,222 | 327 | ||||||
Schweitzer-Mauduit International (A) | 5,041 | 294 | ||||||
Scotts Miracle-Gro, Cl A | 1,500 | 78 | ||||||
Sealed Air | 1,000 | 22 | ||||||
Sensient Technologies (A) | 7,400 | 226 | ||||||
Sherwin-Williams | 600 | 45 | ||||||
Silgan Holdings | 32,230 | 1,022 | ||||||
Solutia * (A) | 9,900 | 159 | ||||||
Spartech * | 3,327 | 27 | ||||||
Steel Dynamics | 39,800 | 561 | ||||||
Stillwater Mining * (A) | 2,600 | 44 | ||||||
STR Holdings * (A) | 800 | 17 | ||||||
Temple-Inland | 2,300 | 43 | ||||||
Texas Industries (A) | 1,000 | 32 | ||||||
Thompson Creek Metals * (A) | 4,000 | 43 | ||||||
Titanium Metals * | 6,800 | 136 | ||||||
Walter Energy | 100 | 8 | ||||||
Westlake Chemical (A) | 2,315 | 69 | ||||||
Worthington Industries (A) | 9,100 | 137 | ||||||
WR Grace * (A) | 9,100 | 254 | ||||||
16,054 | ||||||||
Telecommunication Services — 2.3% | ||||||||
Alaska Communications Systems Group (A) | 21,470 | 218 | ||||||
American Tower, Cl A * | 1,015 | 52 | ||||||
Atlantic Telegraph-Network | 500 | 25 | ||||||
CenturyTel (A) | 9,600 | 379 | ||||||
Cincinnati Bell * (A) | 70,235 | 188 | ||||||
Consolidated Communications Holdings (A) | 1,600 | 30 | ||||||
Frontier Communications | 109,460 | 894 | ||||||
General Communication, Cl A * | 5,600 | 56 | ||||||
Global Crossing * (A) | 1,400 | 18 | ||||||
Globalstar * (A) | 11,400 | 20 | ||||||
MetroPCS Communications * | 140,060 | 1,465 | ||||||
Neutral Tandem * (A) | 2,400 | 29 | ||||||
NII Holdings * (A) | 40,500 | 1,664 | ||||||
NTELOS Holdings | 10,300 | 174 | ||||||
PAETEC Holding * (A) | 6,400 | 26 | ||||||
Price Communication * | 3,800 | — | ||||||
Qwest Communications International (A) | 15,700 | 98 | ||||||
SBA Communications, Cl A * | 29,500 | 1,189 | ||||||
Syniverse Holdings * | 1,000 | 23 |
Description | Shares | Market Value ($ Thousands) | ||||||
tw telecom, Cl A * | 9,490 | $ | 176 | |||||
USA Mobility (A) | 19,900 | 319 | ||||||
7,043 | ||||||||
Utilities — 4.4% | ||||||||
AGL Resources | 24,982 | 958 | ||||||
Alliant Energy | 17,431 | 634 | ||||||
American States Water | 1,700 | 61 | ||||||
American Water Works | 24,698 | 575 | ||||||
Avista (A) | 16,100 | 336 | ||||||
Black Hills (A) | 3,485 | 109 | ||||||
CH Energy Group (A) | 1,800 | 79 | ||||||
Chesapeake Utilities | 400 | 15 | ||||||
Cleco | 1,600 | 47 | ||||||
CMS Energy (A) | 47,700 | 860 | ||||||
Consolidated Edison | 5,929 | 286 | ||||||
Constellation Energy Group | 11,000 | 355 | ||||||
Dynegy, Cl A * (A) | 15,000 | 73 | ||||||
Edison International | 9,690 | 333 | ||||||
El Paso Electric * | 4,700 | 112 | ||||||
Empire District Electric (A) | 12,731 | 256 | ||||||
Energen | 2,800 | 128 | ||||||
Great Plains Energy (A) | 56,292 | 1,064 | ||||||
Hawaiian Electric Industries | 14,000 | 316 | ||||||
Idacorp | 3,400 | 122 | ||||||
ITC Holdings | 5,433 | 338 | ||||||
Laclede Group (A) | 4,775 | 164 | ||||||
MDU Resources Group | 30,300 | 604 | ||||||
MGE Energy | 1,600 | 63 | ||||||
Mirant * | 19,400 | 193 | ||||||
New Jersey Resources | 750 | 29 | ||||||
NiSource | 49,800 | 866 | ||||||
Northeast Utilities | 4,000 | 118 | ||||||
Northwest Natural Gas | 1,700 | 81 | ||||||
NorthWestern | 18,625 | 531 | ||||||
NV Energy | 2,100 | 28 | ||||||
Oneok | 600 | 27 | ||||||
Ormat Technologies (A) | 600 | 17 | ||||||
Pepco Holdings | 2,200 | 41 | ||||||
Pinnacle West Capital | 5,500 | 227 | ||||||
PNM Resources | 1,700 | 19 | ||||||
Portland General Electric (A) | 65,881 | 1,336 | ||||||
SCANA | 13,806 | 557 | ||||||
Sempra Energy | 1,600 | 86 | ||||||
South Jersey Industries (A) | 4,136 | 205 | ||||||
Southern Union | 600 | 15 | ||||||
TECO Energy | 1,800 | 31 | ||||||
UGI | 8,400 | 240 | ||||||
UIL Holdings | 700 | 20 | ||||||
Westar Energy | 5,800 | 141 | ||||||
Wisconsin Energy | 1,900 | 110 | ||||||
Xcel Energy | 18,194 | 418 | ||||||
13,224 | ||||||||
Total Common Stock | 290,306 | |||||||
CLOSED-END FUND — 0.0% | ||||||||
Kayne Anderson Energy Development (A) | 800 | 13 | ||||||
Total Closed-End Fund | 13 | |||||||
11 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 38.8% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (B) | 117,278,838 | $ | 116,670 | |||||
Total Affiliated Partnership | 116,670 | |||||||
CASH EQUIVALENT — 3.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% ** †† | 9,908,999 | 9,909 | ||||||
Total Cash Equivalent | 9,909 | |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.200%, 12/16/10 | $ | 702 | 702 | |||||
Total U.S. Treasury Obligation | 702 | |||||||
Total Investments — 139.0% | $ | 417,600 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 79 | Dec-2010 | $ | 245 | ||||||||
S&P Mid 400 Index E-MINI | 44 | Dec-2010 | 129 | |||||||||
$ | 374 |
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2010, is as follows: |
Counterparty | Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||
Westpac Banking | 10/5/10 | USD | 13 | AUD | 16 | $ | 3 | |||||||||||||
JP Morgan Chase | 10/5/10 | USD | 19 | AUD | 23 | 3 | ||||||||||||||
Deutsche Bank AG | 10/5/10 | USD | 24 | AUD | 28 | 3 | ||||||||||||||
Westpac Banking | 10/5/10 | USD | 18 | AUD | 19 | — | ||||||||||||||
Deutsche Bank AG | 10/5/10 | AUD | 297 | USD | 246 | (41 | ) | |||||||||||||
Barclays Capital | 10/5/10 | AUD | 33 | USD | 28 | (4 | ) | |||||||||||||
Barclays Capital | 10/5/10 | AUD | 16 | USD | 15 | (1 | ) | |||||||||||||
$ | (37 | ) | ||||||||||||||||||
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2010
Percentages are based on Net Assets of $300,343 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $114,123 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $116,670 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
AUD — Australian Dollar
Cl — Class
L.P. — Limited Partnership
Ser — Series
USD — United States Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 290,306 | $ | — | $ | — | $ | 290,306 | ||||||||
Closed-End Fund | 13 | — | — | 13 | ||||||||||||
Cash Equivalent | 9,909 | — | — | 9,909 | ||||||||||||
U.S. Treasury Obligation | — | 702 | — | 702 | ||||||||||||
Affiliated Partnership | — | 116,670 | — | 116,670 | ||||||||||||
Total Investments in Securities | $ | 300,228 | $ | 117,372 | $ | — | $ | 417,600 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 374 | $ | — | $ | — | $ | 374 | ||||||||
Forwards * | — | (37 | ) | — | (37 | ) | ||||||||||
$ | 374 | $ | (37 | ) | $ | — | $ | 337 | ||||||||
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
13 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.1% | ||||||||
Consumer Discretionary — 17.0% | ||||||||
Aeropostale * | 11,219 | $ | 261 | |||||
American Eagle Outfitters | 50,615 | 757 | ||||||
Apollo Group, Cl A * | 9,148 | 470 | ||||||
Autoliv | 4,000 | 261 | ||||||
Bed Bath & Beyond * | 10,190 | 442 | ||||||
BorgWarner * (A) | 9,782 | 515 | ||||||
Career Education * (A) | 18,108 | 389 | ||||||
CBS, Cl B | 3,800 | 60 | ||||||
Chico’s FAS | 3,800 | 40 | ||||||
Chipotle Mexican Grill, Cl A * (A) | 1,200 | 206 | ||||||
Coach | 10,700 | 460 | ||||||
Darden Restaurants | 15,914 | 681 | ||||||
DeVry | 3,400 | 167 | ||||||
Dick’s Sporting Goods * (A) | 11,572 | 325 | ||||||
DISH Network, Cl A | 8,900 | 171 | ||||||
Dollar General * | 400 | 12 | ||||||
Dollar Tree * | 5,100 | 249 | ||||||
Expedia | 13,972 | 394 | ||||||
Federal Mogul, Cl A * | 900 | 17 | ||||||
Fossil * | 3,200 | 172 | ||||||
GameStop, Cl A * (A) | 14,649 | 289 | ||||||
Gannett | 16,500 | 202 | ||||||
Gap | 1,500 | 28 | ||||||
Gentex | 12,200 | 238 | ||||||
Genuine Parts | 3,900 | 174 | ||||||
Goodyear Tire & Rubber * | 4,400 | 47 | ||||||
Guess? (A) | 7,190 | 292 | ||||||
H&R Block | 17,100 | 221 | ||||||
Hanesbrands * | 1,300 | 34 | ||||||
Harley-Davidson (A) | 23,098 | 657 | ||||||
Harman International Industries * | 6,347 | 212 | ||||||
Hyatt Hotels, Cl A * | 11,684 | 437 | ||||||
International Game Technology (A) | 37,577 | 543 | ||||||
International Speedway, Cl A | 1,100 | 27 | ||||||
Interpublic Group * | 112,401 | 1,127 | ||||||
iRobot * | 300 | 5 | ||||||
Leggett & Platt | 19,679 | 448 | ||||||
Liberty Media - Interactive, Cl A * | 18,300 | 251 | ||||||
Liberty Media - Starz, Ser A * | 2,700 | 175 | ||||||
Limited Brands (A) | 7,800 | 209 | ||||||
Live Nation * | 47,847 | 473 | ||||||
LKQ * | 22,423 | 466 | ||||||
Macy’s | 13,800 | 318 | ||||||
Marriott International, Cl A | 8,862 | 318 | ||||||
Mattel | 14,900 | 350 | ||||||
McGraw-Hill | 3,600 | 119 | ||||||
Mohawk Industries * (A) | 4,976 | 265 | ||||||
National CineMedia | 40,857 | 731 | ||||||
National Presto Industries | 200 | 21 | ||||||
NetFlix * (A) | 1,568 | 254 | ||||||
Nordstrom | 17,227 | 641 | ||||||
Oxford Industries | 1,600 | 38 | ||||||
Penn National Gaming * | 8,022 | 238 | ||||||
PetSmart | 14,361 | 503 | ||||||
Phillips-Van Heusen | 14,619 | 879 | ||||||
Polaris Industries (A) | 10,067 | 655 | ||||||
priceline.com * | 648 | 226 | ||||||
Ross Stores (A) | 5,400 | 295 |
Description | Shares | Market Value ($ Thousands) | ||||||
Royal Caribbean Cruises * (A) | 300 | $ | 9 | |||||
Scientific Games, Cl A * (A) | 88,173 | 855 | ||||||
Signet Jewelers * | 500 | 16 | ||||||
Tempur-Pedic International * | 3,800 | 118 | ||||||
Thor Industries (A) | 4,100 | 137 | ||||||
TRW Automotive Holdings * | 8,700 | 362 | ||||||
Tupperware Brands | 1,500 | 69 | ||||||
Urban Outfitters * | 300 | 9 | ||||||
VF | 3,700 | 300 | ||||||
WABCO Holdings * | 2,900 | 122 | ||||||
Warnaco Group * | 400 | 20 | ||||||
Whirlpool | 4,370 | 354 | ||||||
WMS Industries * | 10,067 | 383 | ||||||
Wyndham Worldwide | 1,300 | 36 | ||||||
21,245 | ||||||||
Consumer Staples — 4.5% | �� | |||||||
Avon Products | 500 | 16 | ||||||
ConAgra Foods | 8,000 | 175 | ||||||
Constellation Brands, Cl A * | 36,594 | 647 | ||||||
Corn Products International | 900 | 34 | ||||||
Dean Foods * | 50,621 | 517 | ||||||
Del Monte Foods | 43,168 | 566 | ||||||
Dr Pepper Snapple Group | 2,600 | 92 | ||||||
Energizer Holdings * | 500 | 34 | ||||||
Herbalife | 1,700 | 102 | ||||||
HJ Heinz (A) | 2,100 | 99 | ||||||
Hormel Foods | 3,600 | 161 | ||||||
JM Smucker | 1,300 | 79 | ||||||
Kroger | 26,309 | 570 | ||||||
Lorillard | 2,400 | 193 | ||||||
McCormick (A) | 12,866 | 541 | ||||||
Mead Johnson Nutrition, Cl A | 5,600 | 319 | ||||||
Molson Coors Brewing, Cl B | 21,044 | 994 | ||||||
Ralcorp Holdings * | 1,700 | 99 | ||||||
Sara Lee | 9,800 | 132 | ||||||
Smithfield Foods * (A) | 3,900 | 66 | ||||||
Tyson Foods, Cl A | 16,700 | 267 | ||||||
5,703 | ||||||||
Energy — 7.4% | ||||||||
Atwood Oceanics * | 8,200 | 250 | ||||||
Chesapeake Energy | 1,800 | 41 | ||||||
Cimarex Energy (A) | 4,200 | 278 | ||||||
Concho Resources * (A) | 5,931 | 392 | ||||||
Continental Resources * (A) | 3,200 | 148 | ||||||
Dresser-Rand Group * | 4,200 | 155 | ||||||
El Paso | 1,000 | 12 | ||||||
Equities | 16,750 | 604 | ||||||
Frontier Oil | 6,500 | 87 | ||||||
Helmerich & Payne | 5,200 | 210 | ||||||
Hess | 2,300 | 136 | ||||||
Holly | 2,500 | 72 | ||||||
Marathon Oil | 4,800 | 159 | ||||||
Murphy Oil | 14,230 | 881 | ||||||
Nabors Industries * | 39,785 | 719 | ||||||
National Oilwell Varco | 1,000 | 44 | ||||||
Newfield Exploration * | 14,986 | 861 | ||||||
Noble Energy | 600 | 45 | ||||||
Oil States International * | 2,800 | 130 | ||||||
PetroHawk Energy * | 30,801 | 497 | ||||||
Pioneer Natural Resources (A) | 9,017 | 586 | ||||||
Range Resources | 27,533 | 1,050 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
RPC | 1,400 | $ | 30 | |||||
Spectra Energy | 33,461 | 755 | ||||||
Sunoco (A) | 1,800 | 66 | ||||||
Unit * | 1,300 | 49 | ||||||
Valero Energy | 18,900 | 331 | ||||||
Weatherford International * | 5,500 | 94 | ||||||
Whiting Petroleum * | 5,717 | 546 | ||||||
9,228 | ||||||||
Financials — 15.0% | ||||||||
Allied World Assurance Holdings | 9,345 | 529 | ||||||
Allstate | 3,300 | 104 | ||||||
American Equity Investment Life Holding | 2,000 | 21 | ||||||
American Financial Group | 6,500 | 199 | ||||||
American International Group * (A) | 3,000 | 117 | ||||||
Ameriprise Financial | 16,974 | 803 | ||||||
Annaly Capital Management † | 13,100 | 231 | ||||||
Assurant | 300 | 12 | ||||||
Bancorp Rhode Island | 1,300 | 36 | ||||||
BOK Financial | 1,500 | 68 | ||||||
Boston Properties † (A) | 7,406 | 616 | ||||||
Brandywine Realty Trust † | 9,900 | 121 | ||||||
Camden National | 200 | 7 | ||||||
CapitalSource | 6,900 | 37 | ||||||
CB Richard Ellis Group, Cl A * (A) | 20,263 | 370 | ||||||
Chatham Lodging Trust † | 700 | 13 | ||||||
Chimera Investment † | 45,800 | 181 | ||||||
CIT Group * | 5,500 | 224 | ||||||
Comerica | 17,764 | 660 | ||||||
CommonWealth REIT † | 4,250 | 109 | ||||||
Community Trust Bancorp | 400 | 11 | ||||||
Compass Diversified Holdings | 4,700 | 76 | ||||||
Discover Financial Services | 2,000 | 33 | ||||||
Duke Realty † | 8,300 | 96 | ||||||
E*Trade Financial * | 8,500 | 124 | ||||||
Endurance Specialty Holdings | 16,676 | 664 | ||||||
Erie Indemnity, Cl A | 600 | 34 | ||||||
Everest Re Group | 3,500 | 303 | ||||||
Federated Investors, Cl B (A) | 29,640 | 675 | ||||||
Fifth Third Bancorp | 68,630 | 826 | ||||||
Fulton Financial | 14,400 | 130 | ||||||
Genworth Financial, Cl A * | 11,300 | 138 | ||||||
Hanover Insurance Group (A) | 6,739 | 317 | ||||||
Hartford Financial Services Group | 13,500 | 310 | ||||||
Hospitality Properties Trust † | 6,200 | 138 | ||||||
Host Hotels & Resorts † (A) | 46,695 | 676 | ||||||
Hudson City Bancorp | 17,000 | 208 | ||||||
Huntington Bancshares (A) | 23,900 | 136 | ||||||
Inland Real Estate † | 1,300 | 11 | ||||||
Invesco Mortgage Capital † | 4,500 | 97 | ||||||
Jones Lang LaSalle | 1,600 | 138 | ||||||
Keycorp (A) | 17,000 | 135 | ||||||
Kimco Realty † | 3,000 | 47 | ||||||
Liberty Property Trust † (A) | 26,638 | 850 | ||||||
Lincoln National | 6,400 | 153 | ||||||
Maiden Holdings | 1,100 | 8 | ||||||
Marshall & Ilsley | 10,500 | 74 | ||||||
MFA Financial † (A) | 20,000 | 153 | ||||||
NASDAQ OMX Group * | 3,000 | 58 |
Description | Shares | Market Value ($ Thousands) | ||||||
NewStar Financial * | 3,100 | $ | 23 | |||||
NYSE Euronext | 4,500 | 129 | ||||||
Oppenheimer Holdings, Cl A | 2,500 | 70 | ||||||
Parkway Properties † | 3,500 | 52 | ||||||
PartnerRe | 8,785 | 704 | ||||||
People’s United Financial | 62,547 | 819 | ||||||
Piedmont Office Realty Trust, Cl A † (A) | 4,500 | 85 | ||||||
ProAssurance * | 11,210 | 646 | ||||||
Prologis † | 7,900 | 93 | ||||||
Raymond James Financial (A) | 14,292 | 362 | ||||||
Rayonier † | 1,300 | 65 | ||||||
Regions Financial | 28,300 | 206 | ||||||
Reinsurance Group of America, Cl A | 15,284 | 738 | ||||||
Resource Capital † | 15,500 | 98 | ||||||
SCBT Financial | 1,600 | 50 | ||||||
SLM * | 26,100 | 302 | ||||||
Stewart Information Services (A) | 3,200 | 36 | ||||||
Sunstone Hotel Investors * † | 5,600 | 51 | ||||||
SunTrust Banks | 2,800 | 72 | ||||||
Synovus Financial (A) | 209,124 | 514 | ||||||
T. Rowe Price Group (A) | 400 | 20 | ||||||
Unitrin | 2,300 | 56 | ||||||
Unum Group | 40,688 | 901 | ||||||
Vornado Realty Trust † (A) | 635 | 54 | ||||||
Washington Federal | 6,500 | 99 | ||||||
WesBanco | 3,600 | 59 | ||||||
Willis Group Holdings | 20,128 | 620 | ||||||
Zions Bancorporation (A) | 35,450 | 757 | ||||||
18,758 | ||||||||
Health Care — 10.8% | ||||||||
Acorda Therapeutics * | 12,717 | 420 | ||||||
Aetna | 7,400 | 234 | ||||||
Alexion Pharmaceuticals * | 1,700 | 110 | ||||||
Allergan | 900 | 60 | ||||||
Allscripts Healthcare Solutions * | 9,000 | 166 | ||||||
AmerisourceBergen | 21,586 | 662 | ||||||
Auxilium Pharmaceuticals * (A) | 13,423 | 333 | ||||||
Biogen Idec * | 300 | 17 | ||||||
Brookdale Senior Living * | 18,974 | 309 | ||||||
Bruker BioSciences * (A) | 4,200 | 59 | ||||||
C.R. Bard | 3,400 | 277 | ||||||
CareFusion * | 7,000 | 174 | ||||||
Cerner * (A) | 2,800 | 235 | ||||||
Cigna | 3,100 | 111 | ||||||
Cooper (A) | 8,216 | 380 | ||||||
Coventry Health Care * | 11,200 | 241 | ||||||
Covidien | 600 | 24 | ||||||
Dentsply International (A) | 7,192 | 230 | ||||||
Emergency Medical Services, Cl A * | 300 | 16 | ||||||
Endo Pharmaceuticals Holdings * | 4,500 | 149 | ||||||
Forest Laboratories * | 16,366 | 506 | ||||||
Gen-Probe * | 6,273 | 304 | ||||||
Health Net * | 6,300 | 171 | ||||||
Henry Schein * | 11,319 | 663 | ||||||
Hill-Rom Holdings | 400 | 14 | ||||||
Hologic * | 46,875 | 750 | ||||||
Humana * | 11,058 | 556 | ||||||
IDEXX Laboratories * (A) | 2,200 | 136 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Impax Laboratories * | 300 | $ | 6 | |||||
Intuitive Surgical * (A) | 1,300 | 369 | ||||||
Invacare (A) | 2,900 | 77 | ||||||
Kinetic Concepts * | 1,300 | 47 | ||||||
Life Technologies * | 7,400 | 345 | ||||||
Medco Health Solutions * | 200 | 10 | ||||||
Mettler Toledo International * | 1,500 | 187 | ||||||
Mylan Laboratories * (A) | 23,917 | 450 | ||||||
Onyx Pharmaceuticals * | 19,673 | 519 | ||||||
PerkinElmer | 14,509 | 336 | ||||||
Perrigo (A) | 7,531 | 484 | ||||||
Quest Diagnostics (A) | 10,257 | 518 | ||||||
Shire ADR | 15,637 | 1,052 | ||||||
Sirona Dental Systems * | 600 | 22 | ||||||
St. Jude Medical * | 900 | 35 | ||||||
SXC Health Solutions * | 6,000 | 219 | ||||||
Valeant Pharmaceuticals International * | 22,199 | 556 | ||||||
Vertex Pharmaceuticals * (A) | 10,076 | 348 | ||||||
Warner Chilcott, Cl A | 16,059 | 360 | ||||||
Waters * | 3,900 | 276 | ||||||
13,523 | ||||||||
Industrials — 13.9% | ||||||||
Amerco * | 300 | 24 | ||||||
Ametek | 3,400 | 162 | ||||||
Armstrong World Industries * | 1,500 | 62 | ||||||
Avery Dennison | 19,102 | 709 | ||||||
BE Aerospace * | 3,700 | 112 | ||||||
Bucyrus International, Cl A | 6,002 | 416 | ||||||
Cintas (A) | 27,323 | 753 | ||||||
Cooper Industries, Cl A | 6,500 | 318 | ||||||
Copart * | 3,500 | 115 | ||||||
Crane | 1,700 | 64 | ||||||
Cummins | 900 | 82 | ||||||
Delta Air Lines * (A) | 17,300 | 201 | ||||||
Dover | 19,575 | 1,022 | ||||||
DXP Enterprises * | 800 | 15 | ||||||
Eaton | 4,100 | 338 | ||||||
Equifax | 600 | 19 | ||||||
Flowserve | 4,748 | 520 | ||||||
Fluor (A) | 12,974 | 642 | ||||||
Gardner Denver | 11,397 | 612 | ||||||
Hertz Global Holdings * (A) | 21,561 | 228 | ||||||
IDEX | 4,500 | 160 | ||||||
IHS, Cl A * | 9,405 | 639 | ||||||
Ingersoll-Rand | 8,751 | 312 | ||||||
ITT | 15,965 | 748 | ||||||
JB Hunt Transport Services | 1,700 | 59 | ||||||
Joy Global | 3,700 | 260 | ||||||
Kennametal | 600 | 19 | ||||||
L-3 Communications Holdings | 3,400 | 246 | ||||||
M&F Worldwide * | 500 | 12 | ||||||
Manpower | 11,344 | 592 | ||||||
Navistar International * | 4,248 | 185 | ||||||
Northrop Grumman | 3,700 | 224 | ||||||
Oshkosh Truck * | 14,529 | 400 | ||||||
Owens Corning * | 7,900 | 203 | ||||||
PACCAR (A) | 13,032 | 627 | ||||||
Parker Hannifin | 5,800 | 406 | ||||||
Pentair | 200 | 7 | ||||||
Pitney Bowes (A) | 28,196 | 603 |
Description | Shares | Market Value ($ Thousands) | ||||||
Raytheon | 2,900 | $ | 133 | |||||
Regal-Beloit | 600 | 35 | ||||||
Republic Services | 7,400 | 226 | ||||||
Rockwell Automation | 6,200 | 383 | ||||||
Roper Industries | 3,000 | 196 | ||||||
RR Donnelley & Sons | 7,300 | 124 | ||||||
Spirit Aerosystems Holdings, Cl A * (A) | 30,430 | 606 | ||||||
Teleflex | 10,338 | 587 | ||||||
Thomas & Betts * | 7,547 | 310 | ||||||
Timken | 18,493 | 709 | ||||||
Toro (A) | 900 | 51 | ||||||
Towers Watson, Cl A | 12,266 | 603 | ||||||
URS * | 11,790 | 448 | ||||||
UTI Worldwide | 15,722 | 253 | ||||||
WESCO International * (A) | 11,664 | 458 | ||||||
WW Grainger (A) | 1,900 | 227 | ||||||
17,465 | ||||||||
Information Technology — 14.8% | ||||||||
Acme Packet * | 400 | 15 | ||||||
Activision Blizzard | 46,452 | 503 | ||||||
Adobe Systems * (A) | 17,876 | 467 | ||||||
Agilent Technologies * | 4,700 | 157 | ||||||
Alliance Data Systems * (A) | 13,490 | 880 | ||||||
Amdocs * | 3,700 | 106 | ||||||
Analog Devices | 21,474 | 674 | ||||||
AOL * | 5,300 | 131 | ||||||
Arrow Electronics * | 7,800 | 208 | ||||||
Autodesk * | 8,000 | 256 | ||||||
Avnet * | 11,500 | 311 | ||||||
AVX | 3,000 | 41 | ||||||
Brightpoint * | 2,100 | 15 | ||||||
Broadcom, Cl A (A) | 1,600 | 57 | ||||||
Brocade Communications Systems * | 98,535 | 576 | ||||||
CA | 8,000 | 169 | ||||||
Cognizant Technology Solutions, Cl A * | 3,514 | 227 | ||||||
Computer Sciences | 6,500 | 299 | ||||||
Diebold | 20,088 | 625 | ||||||
Dolby Laboratories, Cl A * | 9,781 | 556 | ||||||
EchoStar, Cl A * | 1,700 | 33 | ||||||
Equinix * (A) | 1,930 | 198 | ||||||
F5 Networks * | 3,400 | 353 | ||||||
Factset Research Systems (A) | 1,800 | 146 | ||||||
Fairchild Semiconductor International * | 7,900 | 74 | ||||||
Gartner * | 17,172 | 505 | ||||||
GSI Commerce * (A) | 50,966 | 1,259 | ||||||
Harris | 6,100 | 270 | ||||||
IAC * | 1,300 | 34 | ||||||
Ingram Micro, Cl A * | 7,600 | 128 | ||||||
Intuit * | 6,500 | 285 | ||||||
Itron * | 400 | 24 | ||||||
Jabil Circuit | 6,800 | 98 | ||||||
Juniper Networks * | 800 | 24 | ||||||
Kla-Tencor | 3,500 | 123 | ||||||
Lam Research * | 6,700 | 280 | ||||||
Lender Processing Services | 5,400 | 179 | ||||||
Lexmark International, Cl A * | 2,000 | 89 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
LSI Logic * | 28,000 | $ | 128 | |||||
Marvell Technology Group * | 46,670 | 817 | ||||||
Maxim Integrated Products (A) | 1,100 | 20 | ||||||
Micron Technology * (A) | 19,100 | 138 | ||||||
Micros Systems * | 7,848 | 332 | ||||||
Microsemi * (A) | 42,950 | 737 | ||||||
Molex (A) | 32,599 | 682 | ||||||
NetApp * (A) | 5,400 | 269 | ||||||
Novellus Systems * | 1,600 | 42 | ||||||
ON Semiconductor * | 4,700 | 34 | ||||||
PMC - Sierra * | 102,765 | 756 | ||||||
SAIC * | 5,000 | 80 | ||||||
SanDisk * | 7,500 | 275 | ||||||
Seagate Technology * | 19,300 | 227 | ||||||
Symantec * | 9,000 | 137 | ||||||
Synopsys * | 36,818 | 912 | ||||||
Teradata * | 2,700 | 104 | ||||||
Teradyne * (A) | 22,310 | 249 | ||||||
Tivo * | 29,515 | 267 | ||||||
Vishay Intertechnology * | 10,700 | 104 | ||||||
VistaPrint * (A) | 13,300 | 514 | ||||||
Western Digital * | 4,800 | 136 | ||||||
Western Union | 7,000 | 124 | ||||||
Wright Express * (A) | 18,222 | 651 | ||||||
Xerox | 29,200 | 302 | ||||||
Xilinx (A) | 300 | 8 | ||||||
Zebra Technologies, Cl A * | 2,700 | 91 | ||||||
18,511 | ||||||||
Materials — 5.7% | ||||||||
Albemarle | 2,500 | 117 | ||||||
Alcoa | 6,300 | 76 | ||||||
Allegheny Technologies (A) | 15,613 | 725 | ||||||
Ashland | 6,300 | 307 | ||||||
Ball | 1,100 | 65 | ||||||
Boise * (A) | 1,500 | 10 | ||||||
Cabot | 2,700 | 88 | ||||||
Celanese, Ser A | 21,662 | 695 | ||||||
Commercial Metals | 3,500 | 51 | ||||||
Cytec Industries | 2,300 | 130 | ||||||
Eastman Chemical | 2,900 | 215 | ||||||
Ecolab | 11,848 | 601 | ||||||
Huntsman | 55,310 | 640 | ||||||
International Flavors & Fragrances | 1,300 | 63 | ||||||
International Paper | 8,800 | 191 | ||||||
Lubrizol | 3,400 | 360 | ||||||
Nalco Holding | 5,600 | 141 | ||||||
Nucor (A) | 13,584 | 519 | ||||||
Owens-Illinois * | 32,432 | 910 | ||||||
Packaging Corp of America | 27,286 | 632 | ||||||
Reliance Steel & Aluminum | 1,000 | 41 | ||||||
Schnitzer Steel Industries, Cl A | 2,300 | 111 | ||||||
Steel Dynamics | 7,500 | 106 | ||||||
Temple-Inland | 8,300 | 155 | ||||||
Walter Energy | 2,200 | 179 | ||||||
7,128 | ||||||||
Telecommunication Services — 2.4% | ||||||||
AboveNet * | 500 | 26 | ||||||
CenturyTel (A) | 2,800 | 110 | ||||||
MetroPCS Communications * (A) | 47,068 | 492 | ||||||
NII Holdings * (A) | 31,301 | 1,287 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SBA Communications, Cl A * | 22,314 | $ | 899 | |||||
Telephone & Data Systems | 3,900 | 128 | ||||||
USA Mobility | 1,500 | 24 | ||||||
2,966 | ||||||||
Utilities — 5.6% | ||||||||
AES * | 14,000 | 159 | ||||||
AGL Resources | 20,280 | 778 | ||||||
Ameren | 1,500 | 43 | ||||||
American Water Works | 35,447 | 825 | ||||||
Atmos Energy | 4,700 | 138 | ||||||
Consolidated Edison (A) | 8,940 | 431 | ||||||
Constellation Energy Group | 1,800 | 58 | ||||||
DPL | 5,100 | 133 | ||||||
Edison International | 23,110 | 795 | ||||||
Energen | 6,200 | 283 | ||||||
Entergy | 100 | 8 | ||||||
Great Plains Energy | 34,352 | 649 | ||||||
MDU Resources Group | 5,300 | 106 | ||||||
NiSource | 2,500 | 43 | ||||||
Northeast Utilities | 800 | 24 | ||||||
NV Energy | 3,600 | 47 | ||||||
OGE Energy | 2,300 | 92 | ||||||
Oneok | 1,400 | 63 | ||||||
Portland General Electric | 26,041 | 528 | ||||||
PPL | 2,700 | 74 | ||||||
SCANA | 15,979 | 644 | ||||||
Sempra Energy | 1,000 | 54 | ||||||
Southern Union | 4,300 | 103 | ||||||
TECO Energy | 14,900 | 258 | ||||||
Xcel Energy (A) | 29,784 | 684 | ||||||
7,020 | ||||||||
Total Common Stock | 121,547 | |||||||
AFFILIATED PARTNERSHIP — 20.4% | ||||||||
SEI Liquidity Fund, L.P., 0.230% ** †† (B) | 25,976,868 | 25,599 | ||||||
Total Affiliated Partnership | 25,599 | |||||||
CASH EQUIVALENT — 2.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% ** †† | 3,119,529 | 3,120 | ||||||
Total Cash Equivalent | 3,120 | |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.5% | ||||||||
U.S. Treasury Bills | $ | 621 | 621 | |||||
Total U.S. Treasury Obligation | 621 | |||||||
Total Investments — 120.5% | $ | 150,887 | ||||||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2010
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 40 | Dec-2010 | $ | 109 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $125,192 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2010. The total market value of securities on loan at September 30, 2010 was $25,217 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2010 was $25,599 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
The following is a summary of the inputs used as of September 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 121,547 | $ | — | $ | — | $ | 121,547 | ||||||||
Affiliated Partnership | — | 25,599 | — | 25,599 | ||||||||||||
Cash Equivalent | 3,120 | — | — | 3,120 | ||||||||||||
U.S. Treasury Obligation | — | 621 | — | 621 | ||||||||||||
Total Investments in Securities | $ | 124,667 | $ | 26,220 | $ | — | $ | 150,887 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 109 | $ | — | $ | — | $ | 109 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.7% | ||||||||
Consumer Discretionary — 9.4% | ||||||||
Advance Auto Parts | 28,600 | $ | 1,678 | |||||
Amazon.com * | 36,240 | 5,692 | ||||||
Autoliv | 10,000 | 653 | ||||||
Buckle | 11,600 | 308 | ||||||
Burger King Holdings | 69,900 | 1,669 | ||||||
Career Education * | 45,300 | 973 | ||||||
Carter’s * | 43,400 | 1,143 | ||||||
Choice Hotels International | 40,200 | 1,466 | ||||||
Cinemark Holdings | 86,000 | 1,385 | ||||||
DeVry | 18,300 | 901 | ||||||
DIRECTV, Cl A * | 43,200 | 1,798 | ||||||
Discovery Communications, Cl A * | 41,600 | 1,812 | ||||||
DreamWorks Animation SKG, Cl A * | 40,300 | 1,286 | ||||||
GameStop, Cl A * | 55,900 | 1,102 | ||||||
Genuine Parts | 24,800 | 1,106 | ||||||
Gildan Activewear * | 28,600 | 803 | ||||||
H&R Block | 110,300 | 1,428 | ||||||
Hillenbrand | 3,780 | 81 | ||||||
ITT Educational Services * | 19,500 | 1,370 | ||||||
NetFlix * | 8,346 | 1,353 | ||||||
Panera Bread, Cl A * | 17,600 | 1,560 | ||||||
PetSmart | 27,060 | 947 | ||||||
priceline.com * | 14,044 | 4,892 | ||||||
Regal Entertainment Group, Cl A | 37,600 | 493 | ||||||
Shaw Communications, Cl B | 43,900 | 966 | ||||||
Strayer Education | 11,984 | 2,091 | ||||||
38,956 | ||||||||
Consumer Staples — 19.1% | ||||||||
Altria Group | 230,976 | 5,548 | ||||||
Brown-Forman, Cl B | 80,022 | 4,933 | ||||||
Campbell Soup | 63,608 | 2,274 | ||||||
Church & Dwight | 22,500 | 1,461 | ||||||
Clorox | 56,943 | 3,801 | ||||||
Dean Foods * | 119,800 | 1,223 | ||||||
Flowers Foods | 90,750 | 2,254 | ||||||
General Mills | 48,860 | 1,786 | ||||||
Hansen Natural * | 41,188 | 1,920 | ||||||
Hershey | 139,290 | 6,629 | ||||||
HJ Heinz | 10,791 | 511 | ||||||
Hormel Foods | 155,318 | 6,927 | ||||||
Kellogg | 95,312 | 4,814 | ||||||
Kimberly-Clark | 94,312 | 6,135 | ||||||
Kroger | 33,000 | 715 | ||||||
Lorillard | 67,425 | 5,415 | ||||||
McCormick | 103,307 | 4,343 | ||||||
Philip Morris International | 98,663 | 5,527 | ||||||
Ralcorp Holdings * | 22,600 | 1,322 | ||||||
Reynolds American | 86,629 | 5,145 | ||||||
Ruddick | 45,000 | 1,561 | ||||||
Safeway | 8,383 | 177 | ||||||
Sara Lee | 69,713 | 936 | ||||||
SYSCO | 138,645 | 3,954 | ||||||
79,311 | ||||||||
Energy — 3.4% | ||||||||
Chevron | 26,900 | 2,180 | ||||||
ConocoPhillips | 2,273 | 130 | ||||||
Dresser-Rand Group * | 39,100 | 1,443 |
Description | Shares | Market Value ($ Thousands) | ||||||
Enbridge | 36,400 | $ | 1,904 | |||||
Exxon Mobil | 29,200 | 1,804 | ||||||
Imperial Oil | 13,500 | 511 | ||||||
Murphy Oil | 14,000 | 867 | ||||||
PetroHawk Energy * | 93,200 | 1,504 | ||||||
Range Resources | 23,700 | 904 | ||||||
SEACOR Holdings * | 7,200 | 613 | ||||||
Teekay Shipping | 19,600 | 524 | ||||||
TransCanada | 44,300 | 1,644 | ||||||
14,028 | ||||||||
Financials — 12.7% | ||||||||
Alleghany * | 2,040 | 618 | ||||||
Allied World Assurance Holdings | 47,656 | 2,697 | ||||||
Arch Capital Group * | 34,728 | 2,910 | ||||||
Aspen Insurance Holdings | 9,533 | 289 | ||||||
Bank of Hawaii | 86,415 | 3,882 | ||||||
BOK Financial | 15,311 | 691 | ||||||
Brown & Brown | 26,200 | 529 | ||||||
Capitol Federal Financial | 75,122 | 1,856 | ||||||
Commerce Bancshares | 133,173 | 5,006 | ||||||
Corporate Office Properties Trust † | 39,700 | 1,481 | ||||||
Cullen/Frost Bankers | 66,031 | 3,557 | ||||||
East West Bancorp | 33,823 | 550 | ||||||
Endurance Specialty Holdings | 2,494 | 99 | ||||||
Erie Indemnity, Cl A | 27,600 | 1,547 | ||||||
Essex Property Trust † | 15,400 | 1,685 | ||||||
Federated Investors, Cl B | 58,600 | 1,334 | ||||||
First Citizens BancShares, Cl A | 11,436 | 2,119 | ||||||
Fulton Financial | 67,100 | 608 | ||||||
Health Care † | 36,700 | 1,738 | ||||||
Home Properties † | 26,500 | 1,402 | ||||||
Hudson City Bancorp | 114,000 | 1,398 | ||||||
MFA Financial † | 113,400 | 865 | ||||||
NASDAQ OMX Group * | 26,200 | 509 | ||||||
New York Community Bancorp | 24,031 | 390 | ||||||
PartnerRe | 8,273 | 663 | ||||||
ProAssurance * | 20,500 | 1,181 | ||||||
Prosperity Bancshares | 35,600 | 1,156 | ||||||
Public Storage † | 8,400 | 815 | ||||||
Realty Income † | 47,100 | 1,588 | ||||||
RenaissanceRe Holdings | 55,048 | 3,301 | ||||||
Senior Housing Properties Trust † | 27,100 | 637 | ||||||
Tanger Factory Outlet Centers † | 29,700 | 1,400 | ||||||
TFS Financial | 131,768 | 1,211 | ||||||
UMB Financial | 31,300 | 1,111 | ||||||
Washington Real Estate Investment Trust † | 51,700 | 1,641 | ||||||
White Mountains Insurance Group | 1,713 | 528 | ||||||
52,992 | ||||||||
Health Care — 20.6% | ||||||||
Abbott Laboratories | 117,780 | 6,153 | ||||||
Abraxis BioScience * | 6,074 | 470 | ||||||
Alexion Pharmaceuticals * | 37,161 | 2,392 | ||||||
AmerisourceBergen | 215,872 | 6,619 | ||||||
Amgen * | 105,780 | 5,829 | ||||||
Baxter International | 22,528 | 1,075 | ||||||
Becton Dickinson | 65,560 | 4,858 | ||||||
Biogen Idec * | 78,674 | 4,415 | ||||||
C.R. Bard | 80,915 | 6,589 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Cardinal Health | 165,843 | $ | 5,479 | |||||
Celgene * | 13,000 | 749 | ||||||
Edwards Lifesciences * | 29,230 | 1,960 | ||||||
Eli Lilly | 135,736 | 4,958 | ||||||
Emergency Medical Services, Cl A * | 26,500 | 1,411 | ||||||
Endo Pharmaceuticals Holdings * | 53,700 | 1,785 | ||||||
Forest Laboratories * | 123,040 | 3,806 | ||||||
Genzyme * | 35,274 | 2,497 | ||||||
Henry Schein * | 23,226 | 1,361 | ||||||
Johnson & Johnson | 68,537 | 4,246 | ||||||
Laboratory Corp of America Holdings * | 9,900 | 776 | ||||||
LifePoint Hospitals * | 19,200 | 673 | ||||||
McKesson | 112,345 | 6,941 | ||||||
Myriad Genetics * | 54,800 | 899 | ||||||
Owens & Minor | 44,250 | 1,259 | ||||||
Patterson | 48,100 | 1,378 | ||||||
SXC Health Solutions * | 44,740 | 1,632 | ||||||
Techne | 63,609 | 3,927 | ||||||
United Therapeutics * | 24,300 | 1,361 | ||||||
85,498 | ||||||||
Industrials — 3.7% | ||||||||
Alliant Techsystems * | 16,400 | 1,237 | ||||||
C.H. Robinson Worldwide | 23,700 | 1,657 | ||||||
Clarcor | 14,400 | 556 | ||||||
FTI Consulting * | 27,800 | 964 | ||||||
Gardner Denver | 24,600 | 1,321 | ||||||
IHS, Cl A * | 10,200 | 694 | ||||||
KBR | 69,200 | 1,705 | ||||||
Landstar System | 31,500 | 1,217 | ||||||
Lennox International | 33,300 | 1,388 | ||||||
Lincoln Electric Holdings | 22,100 | 1,278 | ||||||
Nordson | 17,400 | 1,282 | ||||||
Northrop Grumman | 2,372 | 144 | ||||||
Raytheon | 13,000 | 594 | ||||||
Rollins | 65,800 | 1,538 | ||||||
15,575 | ||||||||
Information Technology — 10.1% | ||||||||
Activision Blizzard | 140,700 | 1,522 | ||||||
Adtran | 40,700 | 1,437 | ||||||
Amdocs * | 26,059 | 747 | ||||||
Analog Devices | 114,926 | 3,607 | ||||||
CGI Group, Cl A * | 36,400 | 547 | ||||||
Cognizant Technology Solutions, Cl A * | 84,579 | 5,453 | ||||||
Computer Sciences | 37,799 | 1,739 | ||||||
Diebold | 17,400 | 541 | ||||||
eBay * | 1,858 | 45 | ||||||
Flir Systems * | 18,600 | 478 | ||||||
Harris | 33,700 | 1,492 | ||||||
Ingram Micro, Cl A * | 94,404 | 1,591 | ||||||
International Business Machines | 42,655 | 5,722 | ||||||
Lender Processing Services | 20,724 | 688 | ||||||
Microchip Technology | 33,175 | 1,043 | ||||||
Micros Systems * | 24,300 | 1,029 | ||||||
NeuStar, Cl A * | 40,700 | 1,012 | ||||||
SAIC * | 18,179 | 290 | ||||||
Tech Data * | 94,708 | 3,817 | ||||||
Texas Instruments | 169,858 | 4,610 | ||||||
WebMD Health, Cl A * | 45,276 | 2,258 |
Description | Shares | Market Value ($ Thousands) | ||||||
Xilinx | 63,967 | $ | 1,702 | |||||
Zebra Technologies, Cl A * | 21,300 | 717 | ||||||
42,087 | ||||||||
Materials — 3.0% | ||||||||
Aptargroup | 37,800 | 1,726 | ||||||
Compass Minerals International | 19,000 | 1,456 | ||||||
Greif, Cl A | 22,600 | 1,330 | ||||||
Intrepid Potash * | 43,600 | 1,137 | ||||||
Newmont Mining | 85,706 | 5,383 | ||||||
Silgan Holdings | 44,000 | 1,395 | ||||||
12,427 | ||||||||
Telecommunication Services — 2.2% | ||||||||
AT&T | 79,900 | 2,285 | ||||||
BCE | 54,000 | 1,755 | ||||||
MetroPCS Communications * | 151,400 | 1,584 | ||||||
SBA Communications, Cl A * | 40,900 | 1,648 | ||||||
Verizon Communications | 60,330 | 1,966 | ||||||
9,238 | ||||||||
Utilities — 12.5% | ||||||||
AGL Resources | 82,355 | 3,159 | ||||||
Alliant Energy | 39,900 | 1,450 | ||||||
American Water Works | 55,200 | 1,284 | ||||||
Atmos Energy | 111,335 | 3,257 | ||||||
Consolidated Edison | 39,300 | 1,895 | ||||||
DPL | 56,042 | 1,464 | ||||||
DTE Energy | 28,539 | 1,311 | ||||||
Edison International | 46,700 | 1,606 | ||||||
Energen | 35,900 | 1,641 | ||||||
Great Plains Energy | 68,300 | 1,291 | ||||||
Hawaiian Electric Industries | 57,900 | 1,305 | ||||||
Idacorp | 42,700 | 1,534 | ||||||
Integrys Energy Group | 30,104 | 1,567 | ||||||
ITC Holdings | 10,518 | 655 | ||||||
Nicor | 59,996 | 2,749 | ||||||
NSTAR | 124,608 | 4,903 | ||||||
OGE Energy | 31,800 | 1,268 | ||||||
Pepco Holdings | 60,200 | 1,120 | ||||||
PG&E | 15,500 | 704 | ||||||
Piedmont Natural Gas | 53,200 | 1,543 | ||||||
SCANA | 75,402 | 3,040 | ||||||
TECO Energy | 60,300 | 1,045 | ||||||
UGI | 92,584 | 2,649 | ||||||
Vectren | 105,405 | 2,727 | ||||||
WGL Holdings | 40,100 | 1,515 | ||||||
Wisconsin Energy | 88,024 | 5,088 | ||||||
51,770 | ||||||||
Total Common Stock | 401,882 | |||||||
CASH EQUIVALENT — 2.7% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% ** †† | 11,261,888 |
| 11,262 |
| ||||
Total Cash Equivalent | 11,262 | |||||||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATION (A) (B) — 0.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.197%, 12/16/10 | $ | 876 | $ | 876 | ||||
Total U.S. Treasury Obligation | 876 | |||||||
Total Investments — 99.6% | $ | 414,020 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 124 | Dec-2010 | $ | 161 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $415,706 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | The rate reported is the effective yield at the time of purchase. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 401,882 | $ | — | $ | — | $ | 401,882 | ||||||||
Cash Equivalent | 11,262 | — | — | 11,262 | ||||||||||||
U.S. Treasury Obligation | — | 876 | — | 876 | ||||||||||||
Total Investments in Securities | $ | 413,144 | $ | 876 | $ | — | $ | 414,020 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 161 | $ | — | $ | — | $ | 161 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.5% | ||||||||
Australia — 7.8% | ||||||||
AGL Energy | 64,462 | $ | 1,009 | |||||
Amcor | 82,898 | 523 | ||||||
ARB | 15,114 | 110 | ||||||
CFS Retail Property Trust † | 91,638 | 168 | ||||||
Coal & Allied Industries | 11,515 | 1,162 | ||||||
Coca-Cola Amatil | 215,260 | 2,497 | ||||||
CSL | 89,418 | 2,861 | ||||||
Decmil Group * | 77,458 | 179 | ||||||
Foster’s Group | 516,364 | 3,065 | ||||||
Gujarat NRE Coking Coal * | 24,727 | 15 | ||||||
McPherson’s | 16,139 | 46 | ||||||
Metcash | 765,054 | 3,237 | ||||||
Origin Energy | 101,311 | 1,555 | ||||||
RHG * | 89,178 | 59 | ||||||
SP AusNet, Cl Miscellaneous | 523,515 | 436 | ||||||
Specialty Fashion Group | 19,378 | 27 | ||||||
TABCORP Holdings | 690,995 | 4,683 | ||||||
Tatts Group | 1,251,801 | 2,897 | ||||||
Wesfarmers | 35,690 | 1,137 | ||||||
25,666 | ||||||||
Belgium — 2.9% | ||||||||
Belgacom | 41,343 | 1,615 | ||||||
Cofinimmo † | 2,069 | 275 | ||||||
Colruyt | 12,410 | 3,285 | ||||||
Delhaize Group | 15,737 | 1,143 | ||||||
Intervest Offices † | 868 | 27 | ||||||
Mobistar | 54,060 | 3,315 | ||||||
9,660 | ||||||||
Canada — 11.0% | ||||||||
Alimentation Couche Tard, Cl B | 82,500 | 1,850 | ||||||
BCE | 187,100 | 6,100 | ||||||
Bell Aliant Regional Communications Income Fund | 4,800 | 121 | ||||||
Canadian National Railway | 14,500 | 930 | ||||||
Canadian Tire, Cl A | 4,000 | 223 | ||||||
Canadian Utilities, Cl A | 14,700 | 715 | ||||||
Capital Power | 4,100 | 96 | ||||||
Cash Store Financial Services | 8,600 | 129 | ||||||
Centerra Gold | 27,800 | 450 | ||||||
CGI Group, Cl A * | 101,500 | 1,533 | ||||||
Cott * | 3,900 | 31 | ||||||
Empire, Cl A | 46,800 | 2,512 | ||||||
Enbridge | 22,800 | 1,198 | ||||||
Fairfax Financial Holdings | 600 | 245 | ||||||
Fortis | 38,200 | 1,189 | ||||||
Genworth MI Canada | 6,631 | 166 | ||||||
George Weston | 25,800 | 1,986 | ||||||
Laurentian Bank of Canada | 4,800 | 205 | ||||||
Loblaw | 11,800 | 469 | ||||||
Manitoba Telecom Services | 19,200 | 528 | ||||||
Metro, Cl A | 73,500 | 3,198 | ||||||
National Bank of Canada | 11,700 | 740 | ||||||
Provident Energy Trust | 11,000 | 78 | ||||||
Rogers Communications, Cl B | 135,800 | 5,098 | ||||||
Saputo | 114,600 | 3,923 | ||||||
TELUS, Cl A | 16,100 | 685 | ||||||
TMX Group | 13,100 | 404 |
Description | Shares | Market Value ($ Thousands) | ||||||
Valeant Pharmaceuticals International * | 48,900 | $ | 1,237 | |||||
Yellow Pages Income Fund | 54,600 | 295 | ||||||
36,334 | ||||||||
Cayman Islands — 0.0% | ||||||||
Pacific Textile Holdings | 21,000 | 12 | ||||||
12 | ||||||||
Denmark — 1.9% | ||||||||
Coloplast, Cl B | 24,716 | 2,959 | ||||||
H Lundbeck | 22,741 | 402 | ||||||
Novo Nordisk, Cl B | 29,483 | 2,930 | ||||||
6,291 | ||||||||
European Currency Union — 0.0% | ||||||||
Oriola-KD | 4,851 | 28 | ||||||
28 | ||||||||
Finland — 0.7% | ||||||||
Kesko, Cl B | 2,665 | 125 | ||||||
Orion, Cl B | 77,325 | 1,547 | ||||||
Tietoenator | 23,696 | 472 | ||||||
2,144 | ||||||||
France — 1.6% | ||||||||
Boiron | 6,078 | 202 | ||||||
Bonduelle S.C.A. | 533 | 51 | ||||||
France Telecom | 70,588 | 1,527 | ||||||
PagesJaunes Groupe | 23,599 | 247 | ||||||
Sanofi-Aventis | 16,432 | 1,097 | ||||||
Sartorius Stedim Biotech | 889 | 42 | ||||||
Societe BIC | 26,344 | 2,118 | ||||||
5,284 | ||||||||
Germany — 1.4% | ||||||||
Beiersdorf | 17,895 | 1,097 | ||||||
Deutsche Telekom | 89,621 | 1,228 | ||||||
Fresenius | 2,946 | 236 | ||||||
Fresenius Medical Care | 21,287 | 1,317 | ||||||
Hornbach Holding | 217 | 21 | ||||||
Suedzucker | 26,720 | 598 | ||||||
4,497 | ||||||||
Greece — 0.0% | ||||||||
Public Power | 9,176 | 143 | ||||||
143 | ||||||||
Guernsey — 0.4% | ||||||||
Resolution | 379,906 | 1,467 | ||||||
1,467 | ||||||||
Hong Kong — 3.9% | ||||||||
Cathay Pacific Airways | 300,000 | 814 | ||||||
Cheung Kong Infrastructure Holdings | 60,000 | 238 | ||||||
CLP Holdings | 470,500 | 3,754 | ||||||
HongKong Electric Holdings | 620,000 | 3,766 | ||||||
Link † | 1,051,500 | 3,115 | ||||||
NAM TAI Electronics * | 10,190 | 47 | ||||||
PCCW | 1,081,000 | 391 | ||||||
Yue Yuen Industrial Holdings | 193,000 | 715 | ||||||
12,840 | ||||||||
Ireland — 0.1% | ||||||||
Accenture, Cl A | 9,495 | 404 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Kerry Group, Cl A | 2,259 | $ | 79 | |||||
483 | ||||||||
Israel — 0.8% | ||||||||
Check Point Software Technologies * | 34,434 | 1,272 | ||||||
Elbit Systems | 3,675 | 196 | ||||||
Frutarom Industries | 5,818 | 57 | ||||||
Shamir Optical Industry | 2,240 | 24 | ||||||
Teva Pharmaceutical Industries | 18,991 | 1,013 | ||||||
2,562 | ||||||||
Italy — 2.0% | ||||||||
CSP International Fashion Group | 6,238 | 8 | ||||||
DiaSorin | 7,633 | 314 | ||||||
Parmalat | 397,107 | 1,020 | ||||||
Snam Rete Gas | 769,471 | 3,903 | ||||||
Terna Rete Elettrica Nazionale | 307,052 | 1,307 | ||||||
6,552 | ||||||||
Japan — 23.6% | ||||||||
77 Bank | 25,000 | 126 | ||||||
ABC-Mart | 18,100 | 557 | ||||||
Able | 2,700 | 23 | ||||||
Ain Pharmaciez | 1,200 | 42 | ||||||
Aisin Seiki | 20,700 | 645 | ||||||
Ajis | 1,300 | 19 | ||||||
Amiyaki Tei | 13 | 37 | ||||||
Asahi Breweries | 133,700 | 2,673 | ||||||
Asahi Kasei | 234,000 | 1,289 | ||||||
Bank of Kyoto | 11,000 | 89 | ||||||
Benesse | 12,500 | 601 | ||||||
BML | 2,800 | 70 | ||||||
Chubu Electric Power | 147,300 | 3,638 | ||||||
Chugoku Bank | 4,000 | 49 | ||||||
Cleanup | 3,600 | 22 | ||||||
Coca-Cola Central Japan | 11,500 | 154 | ||||||
Combi | 9,500 | 81 | ||||||
Dainippon Sumitomo Pharma | 44,900 | 376 | ||||||
Dena | 39,200 | 1,234 | ||||||
Doshisha | 1,000 | 25 | ||||||
Faith | 242 | 19 | ||||||
FamilyMart | 49,500 | 1,773 | ||||||
Fuji Oil | 86,800 | 1,301 | ||||||
Fuji Soft | 8,000 | 123 | ||||||
Hachijuni Bank | 21,000 | 110 | ||||||
Haruyama Trading | 2,000 | 8 | ||||||
Hazama | 14,000 | 12 | ||||||
Hiday Hidaka | 3,100 | 43 | ||||||
Hitachi High-Technologies | 1,200 | 22 | ||||||
Hokkaido Electric Power | 6,500 | 129 | ||||||
Hokuriku Electric Power | 29,100 | 664 | ||||||
Idemitsu Kosan | 27,800 | 2,383 | ||||||
Infocom | 195 | 201 | ||||||
Ito En | 45,500 | 747 | ||||||
Itochu Techno-Solutions | 3,700 | 121 | ||||||
Itochu-Shokuhin | 1,300 | 45 | ||||||
Iyo Bank | 36,000 | 292 | ||||||
Japan Retail Fund Investment, Cl A † | 217 | 305 | ||||||
Kamigumi | 115,000 | 853 | ||||||
Kansai Electric Power | 108,000 | 2,621 | ||||||
Kansai Paint | 32,000 | 272 |
Description | Shares | Market Value ($ Thousands) | ||||||
KDDI | 93 | $ | 445 | |||||
Keihin Electric Express Railway | 174,000 | 1,681 | ||||||
Kewpie | 96,200 | 1,244 | ||||||
Kobayashi Pharmaceutical | 14,900 | 661 | ||||||
Koito Manufacturing | 52,000 | 797 | ||||||
Kojima | 6,600 | 34 | ||||||
Kokuyo | 27,300 | 215 | ||||||
Komatsu Seiren | 5,000 | 20 | ||||||
Kyushu Electric Power | 113,400 | 2,587 | ||||||
Lawson | 60,200 | 2,756 | ||||||
Lion | 141,000 | 768 | ||||||
Marudai Food | 82,000 | 255 | ||||||
Maruzen Showa Unyu | 7,000 | 24 | ||||||
Matsuya Foods | 1,600 | 24 | ||||||
McDonald’s Holdings Japan | 34,300 | 825 | ||||||
MEIJI Holdings | 11,200 | 527 | ||||||
Mikuni Coca-Cola Bottling | 11,800 | 103 | ||||||
Miraca Holdings | 24,500 | 867 | ||||||
Morinaga Milk Industry | 83,025 | 356 | ||||||
NEC Mobiling | 1,700 | 45 | ||||||
Nichirei | 45,000 | 191 | ||||||
Nichireki | 5,000 | 20 | ||||||
Nidec | 500 | 44 | ||||||
Nihon Shokuhin Kako | 7,000 | 38 | ||||||
Nippon Express | 33,000 | 125 | ||||||
Nippon Meat Packers | 15,000 | 183 | ||||||
Nippon Telegraph & Telephone | 28,100 | 1,226 | ||||||
Nishi-Nippon City Bank | 19,000 | 54 | ||||||
Nisshin Seifun Group | 42,500 | 558 | ||||||
Nissin Food Products | 4,100 | 148 | ||||||
Nitori Holdings | 17,000 | 1,420 | ||||||
Noevir | 4,800 | 54 | ||||||
NTT DoCoMo | 2,647 | 4,404 | ||||||
Ohsho Food Service | 3,400 | 77 | ||||||
Okumura | 64,000 | 217 | ||||||
Oracle Japan | 25,400 | 1,209 | ||||||
Oriental Land | 38,600 | 3,595 | ||||||
Osaka Gas | 78,000 | 281 | ||||||
Prima Meat Packers | 114,000 | 120 | ||||||
Rinnai | 5,600 | 329 | ||||||
Rock Field | 3,300 | 52 | ||||||
Ryoshoku | 3,000 | 71 | ||||||
Saizeriya | 14,800 | 285 | ||||||
Sankyo | 8,600 | 455 | ||||||
Santen Pharmaceutical | 16,500 | 571 | ||||||
Sapporo Hokuyo Holdings | 40,000 | 185 | ||||||
Sega Sammy Holdings | 48,900 | 747 | ||||||
Sekisui Chemical | 82,000 | 496 | ||||||
Shikoku Electric Power | 24,300 | 697 | ||||||
Shimachu | 4,800 | 92 | ||||||
Shizuoka Gas | 46,500 | 271 | ||||||
Sogo Medical | 2,800 | 75 | ||||||
Studio Alice | 9,800 | 89 | ||||||
Sumitomo Rubber Industries | 110,100 | 1,074 | ||||||
Suzuken | 37,100 | 1,227 | ||||||
Takeda Pharmaceutical | 61,400 | 2,819 | ||||||
Tobu Railway | 101,000 | 582 | ||||||
Toho Gas | 335,000 | 1,656 | ||||||
Tokyo Electric Power | 98,900 | 2,410 | ||||||
Tokyo Gas | 895,000 | 4,061 | ||||||
TonenGeneral Sekiyu | 36,000 | 333 | ||||||
Torii Pharmaceutical | 3,200 | 59 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Toyo Suisan Kaisha | 11,000 | $ | 226 | |||||
Trancom | 1,300 | 21 | ||||||
Unicharm | 82,800 | 3,330 | ||||||
USS | 6,590 | 492 | ||||||
Wacoal Holdings | 31,000 | 418 | ||||||
West Japan Railway | 269 | 964 | ||||||
Yamato Holdings | 117,100 | 1,416 | ||||||
Yamazaki Baking | 54,000 | 658 | ||||||
78,153 | ||||||||
Jersey — 0.3% | ||||||||
Randgold Resources | 10,640 | 1,068 | ||||||
1,068 | ||||||||
Netherlands — 1.5% | ||||||||
Koninklijke Ahold | 91,220 | 1,231 | ||||||
Royal Dutch Shell, Cl A | 63,375 | 1,918 | ||||||
Royal KPN | 71,768 | 1,112 | ||||||
Teleplan International | 102,775 | 283 | ||||||
Unilever | 8,864 | 265 | ||||||
4,809 | ||||||||
New Zealand — 0.1% | ||||||||
Auckland International Airport | 15,257 | 23 | ||||||
Fisher & Paykel Healthcare | 24,293 | 53 | ||||||
Restaurant Brands New Zealand | 21,157 | 39 | ||||||
Sky City Entertainment Group | 26,706 | 56 | ||||||
171 | ||||||||
Portugal — 0.0% | ||||||||
Portucel Empresa Produtora de Pasta e Papel | 24,712 | 73 | ||||||
73 | ||||||||
Singapore — 0.1% | ||||||||
Broadway Industrial Group | 151,000 | 133 | ||||||
MobileOne | 107,000 | 178 | ||||||
311 | ||||||||
Spain — 0.8% | ||||||||
Amadeus IT Holding, Cl A * | 18,660 | 344 | ||||||
Ebro Foods | 63,632 | 1,274 | ||||||
Inditex | 10,574 | 841 | ||||||
Viscofan | 8,161 | 270 | ||||||
2,729 | ||||||||
Sweden — 0.6% | ||||||||
Axfood | 7,468 | 246 | ||||||
Electrolux | 32,089 | 792 | ||||||
Swedish Match | 34,999 | 935 | ||||||
1,973 | ||||||||
Switzerland — 1.9% | ||||||||
Bell Holding | 13 | 21 | ||||||
Bossard Holding | 293 | 27 | ||||||
Emmi | 489 | 82 | ||||||
LifeWatch * | 199 | 2 | ||||||
Nestle | 24,211 | 1,297 | ||||||
Novartis | 27,245 | 1,572 | ||||||
Pargesa Holding | 2,224 | 163 | ||||||
Schindler Holding | 460 | 49 | ||||||
Swisscom | 4,878 | 1,979 | ||||||
Synthes | 9,790 | 1,139 | ||||||
6,331 | ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
United Kingdom — 3.7% | ||||||||
Associated British Foods | 38,987 | $ | 645 | |||||
AstraZeneca | 111,785 | 5,696 | ||||||
Fiberweb | 4,598 | 5 | ||||||
GlaxoSmithKline | 25,705 | 508 | ||||||
Greggs | 23,568 | 176 | ||||||
Imperial Tobacco Group | 12,919 | 386 | ||||||
Investec | 62,851 | 504 | ||||||
JD Sports Fashion | 2,922 | 38 | ||||||
LSL Property Services | 9,779 | 36 | ||||||
Reckitt Benckiser Group | 23,258 | 1,283 | ||||||
Robert Wiseman Dairies | 15,028 | 76 | ||||||
Smith & Nephew | 76,581 | 700 | ||||||
Tesco | 103,319 | 690 | ||||||
TUI Travel | 70,749 | 239 | ||||||
Unilever | 9,166 | 266 | ||||||
WM Morrison Supermarkets | 187,424 | 874 | ||||||
12,122 | ||||||||
United States — 26.4% | ||||||||
Abbott Laboratories | 49,000 | 2,560 | ||||||
America Service Group | 1,998 | 30 | ||||||
AmerisourceBergen | 124,800 | 3,826 | ||||||
Amgen * | 30,289 | 1,669 | ||||||
Annaly Capital Management † | 253,000 | 4,453 | ||||||
AT&T | 45,111 | 1,290 | ||||||
Biogen Idec * | 12,792 | 718 | ||||||
Boston Beer, Cl A * | 17,675 | 1,182 | ||||||
Bristol-Myers Squibb | 46,794 | 1,268 | ||||||
C.R. Bard | 30,700 | 2,500 | ||||||
Campbell Soup | 99,337 | 3,551 | ||||||
Cardinal Health | 16,800 | 555 | ||||||
Cephalon * | 76,108 | 4,752 | ||||||
Chemed | 5,885 | 335 | ||||||
Chevron | 4,321 | 350 | ||||||
Clorox | 40,200 | 2,684 | ||||||
Coca-Cola | 11,838 | 693 | ||||||
ConAgra Foods | 53,088 | 1,165 | ||||||
CSG Systems International * | 6,625 | 121 | ||||||
Del Monte Foods | 15,623 | 205 | ||||||
Dollar Tree * | 27,121 | 1,322 | ||||||
Dun & Bradstreet | 1,800 | 133 | ||||||
Dynamics Research * | 6,300 | 65 | ||||||
Earthlink | 25,144 | 229 | ||||||
Eli Lilly | 36,945 | 1,349 | ||||||
Emergency Medical Services, Cl A * | 4,890 | 260 | ||||||
Endo Pharmaceuticals Holdings * | 22,100 | 735 | ||||||
ePlus * | 1,500 | 32 | ||||||
Family Dollar Stores | 80,949 | 3,575 | ||||||
Flowers Foods | 47,824 | 1,188 | ||||||
Forest Laboratories * | 54,598 | 1,689 | ||||||
General Mills | 91,800 | 3,354 | ||||||
Hershey | 22,382 | 1,065 | ||||||
Hormel Foods | 64,281 | 2,867 | ||||||
Insmed * | 136,175 | 98 | ||||||
InterDigital * | 11,745 | 348 | ||||||
International Business Machines | 9,500 | 1,274 | ||||||
J&J Snack Foods | 2,568 | 108 | ||||||
JM Smucker | 16,311 | 987 | ||||||
John B. Sanfilippo & Son * | 7,000 | 93 | ||||||
Johnson & Johnson | 19,738 | 1,223 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2010
Description | Shares/Face Amount ($Thousands) | Market Value ($ Thousands) | ||||||
Kimberly-Clark | 72,426 | $ | 4,711 | |||||
Laboratory Corp of America Holdings * | 15,883 | 1,246 | ||||||
Lancaster Colony | 13,669 | 649 | ||||||
Lorillard | 25,590 | 2,055 | ||||||
Magellan Health Services * | 31,723 | 1,499 | ||||||
Mantech International, Cl A * | 2,910 | 115 | ||||||
MAXIMUS | 7,874 | 485 | ||||||
Medidata Solutions * | 7,125 | 137 | ||||||
Metropolitan Health Networks * | 20,381 | 77 | ||||||
Microsoft | 13,015 | 319 | ||||||
Miller Industries | 7,271 | 98 | ||||||
Nash Finch | 8,227 | 350 | ||||||
National Beverage | 4,015 | 56 | ||||||
New York Community Bancorp | 29,200 | 475 | ||||||
Newmont Mining | 19,051 | 1,197 | ||||||
Oil-Dri Corp of America | 3,429 | 74 | ||||||
Owens & Minor | 5,117 | 146 | ||||||
Par Pharmaceutical * | 43,241 | 1,257 | ||||||
PG&E | 21,400 | 972 | ||||||
Primerica * | 7,973 | 162 | ||||||
Procter & Gamble | 20,000 | 1,199 | ||||||
Providence Service * | 18,736 | 307 | ||||||
Raytheon | 50,800 | 2,322 | ||||||
Reynolds American | 7,800 | 463 | ||||||
Ross Stores | 23,600 | 1,289 | ||||||
Rural * | 15,531 | 132 | ||||||
Schiff Nutrition International | 15,935 | 131 | ||||||
Seneca Foods, Cl A * | 24,525 | 642 | ||||||
Sturm Ruger | 5,854 | 80 | ||||||
TJX | 79,144 | 3,532 | ||||||
TreeHouse Foods * | 10,053 | 464 | ||||||
UGI | 22,449 | 642 | ||||||
USA Mobility | 27,208 | 436 | ||||||
Verizon Communications | 38,221 | 1,246 | ||||||
Wal-Mart Stores | 30,400 | 1,627 | ||||||
Watson Pharmaceuticals * | 11,600 | 491 | ||||||
West Marine * | 20,226 | 206 | ||||||
87,190 | ||||||||
Total Common Stock | 308,893 | |||||||
CASH EQUIVALENT — 4.8% | ||||||||
SEI Daily Income Trust, Prime | 15,950,954 | 15,951 | ||||||
Total Cash Equivalent | 15,951 | |||||||
U.S. TREASURY OBLIGATION (A) (B) — 0.4% | ||||||||
U.S. Treasury Bills | ||||||||
0.197%, 12/16/10 | $ | 1,402 | 1,401 | |||||
Total U.S. Treasury Obligation | 1,401 | |||||||
Total Investments — 98.7% | $ | 326,245 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 56 | Dec-2010 | $ | (30 | ) | |||||||
FTSE Index | 18 | Dec-2010 | (6 | ) | ||||||||
Hang Seng Index | 6 | Oct-2010 | — | |||||||||
S&P 500 Index E-MINI | 124 | Dec-2010 | 190 | |||||||||
SPI 200 Index | 7 | Dec-2010 | (11 | ) | ||||||||
$ | 143 |
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2010
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2010, is as follows:
Counterparty | Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||||||||
Brown Brother Harriman | 10/28/10 | AUD | 25,446 | USD | 24,385 | $ | (174 | ) | ||||||||||||
Brown Brother Harriman | 10/28/10 | CAD | 39,659 | USD | 38,612 | (34 | ) | |||||||||||||
Brown Brother Harriman | 10/28/10 | EUR | 32,695 | USD | 44,044 | (577 | ) | |||||||||||||
Brown Brother Harriman | 10/28/10 | GBP | 9,438 | USD | 14,945 | 76 | ||||||||||||||
Brown Brother Harriman | 10/28/10 | JPY | 7,517,496 | USD | 89,259 | (764 | ) | |||||||||||||
Brown Brother Harriman | 10/28/10 | USD | 139 | AUD | 145 | — | ||||||||||||||
Brown Brother Harriman | 10/28/10 | USD | 73 | CAD | 75 | — | ||||||||||||||
Brown Brother Harriman | 10/28/10 | USD | 377 | EUR | 278 | 2 | ||||||||||||||
Brown Brother Harriman | 10/28/10 | USD | 651 | JPY | 54,579 | 2 | ||||||||||||||
$ | (1,469 | ) | ||||||||||||||||||
Percentages are based on Net Assets of $330,590 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | The rate reported is the effective yield at the time of purchase. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
AUD — Australian Dollar
CAD — Canadian Dollar
Cl — Class
EUR — Euro
GBP — British Pound
JPY — Japanese Yen
L.P. — Limited Partnership
USD — United States Dollar
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 308,893 | $ | — | $ | — | $ | 308,893 | ||||||||
Cash Equivalent | 15,951 | — | — | 15,951 | ||||||||||||
U.S. Treasury Obligation | — | 1,401 | — | 1,401 | ||||||||||||
Total Investments in Securities | $ | 324,844 | $ | 1,401 | $ | — | $ | 326,245 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 143 | $ | — | $ | — | $ | 143 | ||||||||
Forwards* | — | (1,469 | ) | — | (1,469 | ) | ||||||||||
Total Other Financial Instruments | $ | 143 | $ | (1,469 | ) | $ | — | $ | (1,326 | ) | ||||||
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.8% | ||||||||
Consumer Discretionary — 10.1% | ||||||||
Advance Auto Parts | 14,000 | $ | 821 | |||||
Aeropostale * | 15,500 | 360 | ||||||
Amazon.com * | 2,356 | 370 | ||||||
Autoliv | 8,000 | 523 | ||||||
Buckle | 3,800 | 101 | ||||||
Burger King Holdings | 33,100 | 790 | ||||||
Career Education * | 26,000 | 558 | ||||||
Carter’s * | 27,700 | 730 | ||||||
Choice Hotels International | 18,600 | 678 | ||||||
Cinemark Holdings | 43,300 | 697 | ||||||
DeVry | 13,200 | 650 | ||||||
DIRECTV, Cl A * | 26,400 | 1,099 | ||||||
Discovery Communications, Cl A * | 24,600 | 1,071 | ||||||
Discovery Communications, Cl C * | 100,967 | 3,856 | ||||||
DreamWorks Animation SKG, Cl A * | 18,400 | 587 | ||||||
GameStop, Cl A * | 35,300 | 696 | ||||||
Genuine Parts | 14,100 | 629 | ||||||
Gildan Activewear * | 17,100 | 480 | ||||||
H&R Block | 63,800 | 826 | ||||||
ITT Educational Services * | 13,600 | 956 | ||||||
Panera Bread, Cl A * | 7,400 | 656 | ||||||
priceline.com * | 13,419 | 4,674 | ||||||
Regal Entertainment Group, Cl A | 50,500 | 663 | ||||||
Shaw Communications, Cl B | 23,700 | 522 | ||||||
Strayer Education | 4,700 | 820 | ||||||
23,813 | ||||||||
Consumer Staples — 24.9% | ||||||||
Altria Group | 146,060 | 3,508 | ||||||
Brown-Forman, Cl B | 34,571 | 2,131 | ||||||
Campbell Soup | 23,691 | 847 | ||||||
Church & Dwight | 52,657 | 3,420 | ||||||
Clorox | 24,049 | 1,605 | ||||||
Coca-Cola | 44,799 | 2,622 | ||||||
Colgate-Palmolive | 37,890 | 2,912 | ||||||
Dean Foods * | 67,200 | 686 | ||||||
Flowers Foods | 28,100 | 698 | ||||||
General Mills | 102,638 | 3,750 | ||||||
Hansen Natural * | 12,100 | 564 | ||||||
Hershey | 29,694 | 1,413 | ||||||
HJ Heinz | 30,420 | 1,441 | ||||||
Hormel Foods | 72,027 | 3,213 | ||||||
JM Smucker | 33,729 | 2,042 | ||||||
Kellogg | 66,226 | 3,345 | ||||||
Kimberly-Clark | 49,057 | 3,191 | ||||||
Kroger | 13,415 | 291 | ||||||
Lorillard | 39,781 | 3,195 | ||||||
McCormick | 56,064 | 2,357 | ||||||
PepsiCo | 26,231 | 1,743 | ||||||
Philip Morris International | 65,353 | 3,661 | ||||||
Procter & Gamble | 38,153 | 2,288 | ||||||
Ralcorp Holdings * | 11,700 | 684 | ||||||
Reynolds American | 58,175 | 3,455 | ||||||
Ruddick | 21,900 | 759 | ||||||
Wal-Mart Stores | 57,884 | 3,098 | ||||||
58,919 | ||||||||
Energy — 3.2% | ||||||||
Chevron | 12,400 | 1,005 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dresser-Rand Group * | 14,800 | $ | 546 | |||||
Enbridge | 18,300 | 957 | ||||||
Exxon Mobil | 16,700 | 1,032 | ||||||
FMC Technologies * | 4,300 | 293 | ||||||
Imperial Oil | 11,500 | 435 | ||||||
Murphy Oil | 8,000 | 495 | ||||||
PetroHawk Energy * | 51,300 | 828 | ||||||
Range Resources | 15,200 | 580 | ||||||
SEACOR Holdings * | 4,400 | 375 | ||||||
Teekay Shipping | 10,700 | 286 | ||||||
TransCanada | 22,500 | 835 | ||||||
7,667 | ||||||||
Financials — 11.6% | ||||||||
Alleghany * | 1,600 | 485 | ||||||
Allied World Assurance Holdings | 16,600 | 939 | ||||||
Arch Capital Group * | 5,300 | 444 | ||||||
Brown & Brown | 21,800 | 440 | ||||||
Capitol Federal Financial | 106,124 | 2,621 | ||||||
Commerce Bancshares | 57,523 | 2,162 | ||||||
Corporate Office Properties Trust † | 18,000 | 672 | ||||||
Erie Indemnity, Cl A | 16,600 | 931 | ||||||
Essex Property Trust † | 7,100 | 777 | ||||||
Federated Investors, Cl B | 28,300 | 644 | ||||||
First Citizens BancShares, Cl A | 3,900 | 723 | ||||||
Fulton Financial | 33,900 | 307 | ||||||
Health Care † | 19,100 | 904 | ||||||
Home Properties † | 13,500 | 714 | ||||||
Hudson City Bancorp | 59,100 | 725 | ||||||
MFA Financial † | 43,700 | 333 | ||||||
NASDAQ OMX Group * | 17,400 | 338 | ||||||
PartnerRe | 4,000 | 321 | ||||||
People’s United Financial | 211,032 | 2,762 | ||||||
Platinum Underwriters Holdings | 7,100 | 309 | ||||||
ProAssurance * | 7,600 | 438 | ||||||
Prosperity Bancshares | 17,500 | 568 | ||||||
Public Storage † | 4,000 | 388 | ||||||
Realty Income † | 27,500 | 927 | ||||||
RenaissanceRe Holdings | 13,100 | 785 | ||||||
Senior Housing Properties Trust † | 21,100 | 496 | ||||||
Tanger Factory Outlet Centers † | 15,900 | 750 | ||||||
TFS Financial | 224,667 | 2,065 | ||||||
UMB Financial | 13,500 | 479 | ||||||
Washington Real Estate Investment Trust † | 24,100 | 765 | ||||||
Wesco Financial | 5,938 | 2,127 | ||||||
27,339 | ||||||||
Health Care — 16.4% | ||||||||
Abbott Laboratories | 53,396 | 2,789 | ||||||
Alexion Pharmaceuticals * | 49,940 | 3,214 | ||||||
Allscripts Healthcare Solutions * | 133,383 | 2,464 | ||||||
AmerisourceBergen | 101,478 | 3,111 | ||||||
Amgen * | 10,700 | 589 | ||||||
Becton Dickinson | 15,679 | 1,162 | ||||||
C.R. Bard | 26,277 | 2,140 | ||||||
Celgene * | 8,700 | 501 | ||||||
Dentsply International | 63,758 | 2,038 | ||||||
Edwards Lifesciences * | 28,788 | 1,930 | ||||||
Eli Lilly | 29,571 | 1,080 | ||||||
Emergency Medical Services, Cl A * | 14,700 | 783 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Endo Pharmaceuticals Holdings * | 26,400 | $ | 878 | |||||
Genzyme * | 12,500 | 885 | ||||||
Henry Schein * | 48,387 | 2,835 | ||||||
Johnson & Johnson | 47,946 | 2,971 | ||||||
Laboratory Corp of America Holdings * | 23,899 | 1,874 | ||||||
LifePoint Hospitals * | 11,200 | 393 | ||||||
McKesson | 13,900 | 859 | ||||||
Myriad Genetics * | 30,100 | 494 | ||||||
Owens & Minor | 24,600 | 700 | ||||||
Patterson | 28,700 | 822 | ||||||
Pfizer | 53,040 | 911 | ||||||
Quest Diagnostics | 9,259 | 467 | ||||||
Techne | 33,624 | 2,076 | ||||||
United Therapeutics * | 13,600 | 762 | ||||||
38,728 | ||||||||
Industrials — 4.6% | ||||||||
Alliant Techsystems * | 11,600 | 875 | ||||||
C.H. Robinson Worldwide | 13,100 | 916 | ||||||
Clarcor | 8,800 | 340 | ||||||
FTI Consulting * | 16,400 | 569 | ||||||
Gardner Denver | 11,400 | 612 | ||||||
KBR | 31,300 | 771 | ||||||
Landstar System | 16,500 | 637 | ||||||
Lennox International | 18,600 | 775 | ||||||
Lincoln Electric Holdings | 13,500 | 781 | ||||||
Nordson | 7,700 | 567 | ||||||
Raytheon | 10,200 | 466 | ||||||
Rollins | 29,800 | 697 | ||||||
Stericycle * | 43,078 | 2,993 | ||||||
10,999 | ||||||||
Information Technology — 9.2% | ||||||||
Activision Blizzard | 76,900 | 832 | ||||||
Adtran | 24,500 | 865 | ||||||
Applied Materials | 35,958 | 420 | ||||||
Automatic Data Processing | 9,413 | 396 | ||||||
CGI Group, Cl A * | 22,100 | 332 | ||||||
Cree * | 24,816 | 1,347 | ||||||
Diebold | 10,100 | 314 | ||||||
Flir Systems * | 10,200 | 262 | ||||||
Google, Cl A * | 6,136 | 3,226 | ||||||
Harris | 18,500 | 819 | ||||||
IAC * | 135,677 | 3,564 | ||||||
Ingram Micro, Cl A * | 41,500 | 700 | ||||||
International Business Machines | 26,347 | 3,534 | ||||||
Microchip Technology | 33,447 | 1,052 | ||||||
National Instruments | 12,748 | 416 | ||||||
NeuStar, Cl A * | 23,600 | 587 | ||||||
WebMD Health, Cl A * | 28,403 | 1,417 | ||||||
Zebra Technologies, Cl A * | 48,247 | 1,623 | ||||||
21,706 | ||||||||
Materials — 2.8% | ||||||||
Aptargroup | 15,400 | 704 | ||||||
Compass Minerals International | 9,800 | 751 | ||||||
Greif, Cl A | 12,700 | 747 | ||||||
Intrepid Potash * | 27,500 | 717 | ||||||
Newmont Mining | 31,443 | 1,975 | ||||||
Royal Gold | 18,581 | 926 | ||||||
Silgan Holdings | 24,800 | 786 | ||||||
6,606 | ||||||||
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 2.3% | ||||||||
AT&T | 37,900 | $ | 1,084 | |||||
BCE | 20,700 | 673 | ||||||
CenturyTel | 23,974 | 946 | ||||||
MetroPCS Communications * | 86,300 | 903 | ||||||
SBA Communications, Cl A * | 17,400 | 701 | ||||||
Telephone & Data Systems | 4,700 | 154 | ||||||
Verizon Communications | 30,300 | 987 | ||||||
5,448 | ||||||||
Utilities — 10.7% | ||||||||
AGL Resources | 19,400 | 744 | ||||||
Alliant Energy | 23,300 | 847 | ||||||
American Water Works | 27,200 | 633 | ||||||
Atmos Energy | 21,600 | 632 | ||||||
Consolidated Edison | 25,756 | 1,242 | ||||||
DTE Energy | 16,900 | 776 | ||||||
Edison International | 23,600 | 812 | ||||||
Energen | 6,500 | 297 | ||||||
Great Plains Energy | 41,200 | 779 | ||||||
Hawaiian Electric Industries | 58,670 | 1,322 | ||||||
Idacorp | 21,600 | 776 | ||||||
New Jersey Resources | 8,700 | 341 | ||||||
NSTAR | 92,552 | 3,642 | ||||||
OGE Energy | 64,112 | 2,556 | ||||||
Pepco Holdings | 17,400 | 324 | ||||||
PG&E | 12,300 | 559 | ||||||
Piedmont Natural Gas | 24,800 | 719 | ||||||
SCANA | 45,750 | 1,845 | ||||||
Southern | 33,768 | 1,257 | ||||||
TECO Energy | 42,300 | 732 | ||||||
Vectren | 69,471 | 1,797 | ||||||
WGL Holdings | 15,500 | 586 | ||||||
Wisconsin Energy | 35,013 | 2,024 | ||||||
25,242 | ||||||||
Total Common Stock | 226,467 | |||||||
CASH EQUIVALENT — 5.9% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.150% ** †† | 13,946,907 | 13,947 | ||||||
Total Cash Equivalent | 13,947 | |||||||
U.S. TREASURY OBLIGATION (A) (B) — 0.3% | ||||||||
U.S. Treasury Bills | ||||||||
0.191%, 12/16/10 | $ | 622 | 622 | |||||
Total U.S. Treasury Obligation | 622 | |||||||
Total Investments — 102.0% | $ | 241,036 | ||||||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2010
A summary of the open futures contracts held by the Fund at September 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 71 | Dec-2010 | $ | 101 | ||||||||
For the period ended September 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $236,402 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2010. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | The rate reported is the effective yield at the time of purchase. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 226,467 | $ | — | $ | — | $ | 226,467 | ||||||||
Cash Equivalent | 13,947 | — | — | 13,947 | ||||||||||||
U.S. Treasury Obligation | — | 622 | — | 622 | ||||||||||||
Total Investments in Securities | $ | 240,414 | $ | 622 | $ | — | $ | 241,036 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 101 | $ | — | $ | — | $ | 101 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the year ended September 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2010 |
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of SEI Institutional Managed Trust, comprising Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund, and Multi-Strategy Alternative Fund (collectively, the “Funds”) as of and for the year or period ended September 30, 2010, and have issued our report thereon dated November 29, 2010 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, and Tax-Managed Managed Volatility Fund’s schedules of investments in securities (the “Schedules”) as of September 30, 2010 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these Schedules based on our audits.
In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.
KPMG LLP
Philadelphia, Pennsylvania
November 29, 2010
Table of Contents
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchasers of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The Registrant has a standing nominating committee (the “Committee”) currently consisting of the independent trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s board of trustees (the “Board”). Pursuant to the Committee’s charter, adopted on June 18, 2004 and as amended, 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 Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 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 Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
Items 12. | Exhibits. |
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.
Table of Contents
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 Institutional Managed Trust | ||
By | /S/ ROBERT A. NESHER | |
Robert A. Nesher, President & CEO |
Date: November 29, 2010
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: November 29, 2010
By | /S/ STEPHEN F. PANNER | |
Stephen F. Panner, Controller & CFO |
Date: November 29, 2010