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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)
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, 2011
Date of reporting period: September 30, 2011
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Item 1. | Reports to Stockholders. |
Table of Contents
SEI Institutional Managed Trust
Annual Report as of September 30, 2011
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/Mid Cap Fund (formerly, 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 | 191 | |||
194 |
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, 2011
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 utilized the following sub-advisers as of September 30, 2011: AQR Capital Management, LLC, Aronson + Johnson + Ortiz, L.P., Brown Investment Advisory Incorporated, Delaware Management Company, LSV Asset Management, Neuberger Berman Management LLC, Waddell + Reed Asset Management Company and WestEnd Advisors LLC. During the fiscal year, Analytic Investors, LLC, Legg Mason Capital Management, Inc. and Quantitative Management Associates, LLC were terminated. AQR Capital Management, LLC, Brown Investment Advisory Incorporated, Waddell + Reed Asset Management Company and WestEnd Advisors LLC were added during the period.
III. Market Commentary
The markets gained 0.91% for the year ended September 30, 2011, as measured by the Russell 1000 Index (the “Index”). Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the end of the year and the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Greece.
From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks
outperformed small-cap stocks by a few percentage points, though dispersion between the two groups narrowed in August and remained narrow through September.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Large Cap Fund, Class A underperformed the Russell 1000 Index, returning (1.71)% versus the Index return of 0.91%.
V. Fund Attribution
The Fund’s underperformance was driven largely by negative stock selection across several sectors, particularly Energy. Within the Consumer Discretionary sector, stock picking in the retailing and consumer services industry groups was lackluster. Positions in Information Technology helped performance.
Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
Large Cap Fund, Class A | (1.71)% | 3.50% |
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 9/30/11. 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, 2011 | 1 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Aronson + Johnson + Ortiz, LP, INTECH Investment Management, LLC, Lazard Asset Management LLC, Tocqueville Asset Management LP and LSV Asset Management. During the year ended September 30, 2011, the Fund added Tocqueville Asset Management LP.
III. Market Commentary
The markets declined 1.89% for the year ended September 30, 2011, as measured by the Russell 1000 Value Index (the “Index”). Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter of 2011, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Greece.
From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks outperformed small-cap stocks by a few percentage points, though the dispersion between the two groups narrowed in August and remained narrow through September.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Large Cap Value Fund, Class A, underperformed the Russell 1000 Value Index, returning (2.89)% versus the Index return of (1.89)%.
V. Fund Attribution:
The Fund’s underperformance was driven by subpar stock selection decisions that were somewhat mitigated by sector allocation decisions. From a sector allocation perspective, an underweight to Financials, which sold off significantly during the period, benefitted the Fund, while an underweight to Utilities and an overweight to Materials detracted. Lackluster stock selection within Utilities and Materials further exacerbated underperformance.
Large 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 | ||||||||||||||||
Large Cap Value Fund, Class A | (2.89)% | (1.73)% | (4.35)% | 2.37% | 6.83% | |||||||||||||||
Large Cap Value Fund, Class I | (3.14)% | (1.94)% | (4.57)% | 2.13% | 6.66% |
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 9/30/11. 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, 2011 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Brown Investment Advisory Incorporated, Delaware Management Company, INTECH Investment Management, LLC and Neuberger Berman LLC. During the year ended September 30, 2011, the Fund terminated Legg Mason Capital Management Inc.
III. Market Commentary
The markets gained 3.78% for the year ended September 30, 2011, as measured by the Russell 1000 Growth Index (the “Index”). Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter of 2011, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Europe.
From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks outperformed small-cap stocks by a few percentage points, though the dispersion between the two groups narrowed in August and remained narrow through September.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Large Cap Growth Fund, Class A underperformed the Russell 1000 Growth Index, returning 0.97% versus the Index return of 3.78%.
V. Fund Attribution
The Fund’s underperformance was driven by subpar stock selection across multiple sectors. Holdings in the Energy sector were the most notable performance detractors. The Information Technology sector also proved to be challenging in terms of stock selection. Holdings in Materials as well as an underweight to the sector were beneficial.
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 | 0.97% | 3.05% | 0.29% | 1.99% | 5.85% | |||||||||||||||
Large Cap Growth Fund, Class I | 0.73% | 2.82% | 0.05% | 1.75% | 5.52% |
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 9/30/11. 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, 2011 | 3 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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-advisers as of September 30, 2011: AQR Capital Management LLC, Aronson + Johnson + Ortiz, L.P., Brown Investment Advisory Incorporated, Delaware Management Company, LSV Asset Management, Neuberger Berman Management LLC, Parametric Portfolio Associates, Waddell + Reed Investment Management Company and WestEnd Advisors. For the fiscal year, Analytic Investors LLC, Legg Mason Capital Management, Inc. and Quantitative Management Associates, LLC were terminated. AQR Capital Management LLC, Brown Investment Advisory Incorporated, Waddell + Reed Investment Management Company and WestEnd Advisors were added during the fiscal year.
III. Market Commentary
The markets gained 0.91% for the year ended September 30, 2011, as measured by the Russell 1000 Index (the “Index”). Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Greece.
From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks outperformed small-cap stocks by a few percentage points, though dispersion between the two groups narrowed in August and remained narrow through September.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Tax-Managed Large Cap Fund, Class A, underperformed the Russell 1000 Index, returning (1.20)% versus the Index return of 0.91%.
V. Fund Attribution
The Fund’s underperformance was driven largely by negative stock selection across several sectors, particularly Energy. Within the Consumer Discretionary sector, stock picking in the retailing and consumer services industry groups was lackluster. Positions in Information Technology helped performance.
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 | (1.20)% | 0.33% | (2.06)% | 2.32% | 1.49% | |||||||||||||||
Tax-Managed Large Cap Fund, Class Y | (0.68)% | 0.71% | (1.71)% | �� | 2.64% | 1.72% |
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 9/30/11. 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, 2011 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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 SIMC. Currently, the sub-adviser is SSgA Funds Management, Inc. No manager changes were made during the fiscal year.
III. Market Commentary
The markets gained 1.14% for the year ended September 30, 2011, as measured by the Index. Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Greece.
From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks outperformed small-cap stocks by a few percentage points, though the dispersion between the two groups narrowed in August and remained narrow through September.
IV. Return vs. Benchmark:
For the year ended September 30, 2011, the S&P 500 Fund, Class A, underperformed the S&P 500 Index, returning 0.75% versus the Index return of 1.14%. 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. Though Index performance seemed unimpressive, individual sector performance was significantly dispersed. Defensive sectors, most notably Utilities and Consumer Staples, were the best performers. Energy performed strongly for the year as the sector experienced solid gains in the third quarter of 2010 and first quarter of 2011. The selloff that ensued in the following quarter and persisted through next, however, chipped away at the sector’s outperformance-but not enough to send the Energy into negative territory. Financials were the clear laggards for the period, as the sector outperformed the broader market in only one of the past four quarters. The sector has been plagued by uncertainty, both domestically (with regard to regulation) and overseas (with regard to the European sovereign debt crisis).
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 | 0.75% | 0.87% | (1.54)% | 2.42% | 5.13% | |||||||||||||||
S&P 500 Index Fund, Class E | 0.96% | 1.06% | (1.37)% | 2.59% | 9.23% | |||||||||||||||
S&P 500 Index Fund, Class I | 0.56% | 0.66% | (1.76)% | 2.20% | 4.84% |
Comparison of Change in the Value of a $100,000 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 9/30/11. 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, 2011 | 5 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Allianz Global Investors Capital LLC, AQR Capital Management, LLC, Integrity Asset Management, LLC, JP Morgan Investment Management Company, Los Angeles Capital Management and Equity Research, Inc., Robeco Investment Management, Inc. and Wellington Management Company, LLP. For the year ended September 30, 2011, JP Morgan Investment Management Company was added to the Fund.
III. Market Commentary
The markets, as measured by the Russell 2000 Index (the “Index”), declined 3.53% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three months ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three months ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-month period ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.
Real estate securities performed relatively well over the fiscal year given the returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.
Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks still outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Small Cap Fund, Class A, underperformed the Russell 2000 Index, returning (6.54)% versus the Index return of (3.53)%.
V. Fund Attribution
The Fund underperformed its benchmark due to poor stock selection, which overwhelmed its slightly favorable asset allocation. The major detractor was the Energy sector, in which the Fund’s holdings in oil, gas and consumable fuels struggled. Health Care and Industrials both significantly detracted as well. In the Health Care sector, the Fund’s stock picks in the equipment and services area were disappointing. In the Industrials sector, the Fund’s holdings in capital goods companies dragged on performance. Strong security selection in the Consumer Discretionary sector, mostly in durables and apparel, helped performance. The Materials sector contributed as well, largely through stocks in the chemicals, metals and mining areas.
Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
Small Cap Fund, Class A | (6.54)% | 2.14% |
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 9/30/11. 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, 2011 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Artisan Partners Limited Partnership, Lee Munder Capital Group LLC, LSV Asset Management, Martingale Asset Management, L.P., Robeco Investment Management, Security Capital Research + Management Incorporated, Wellington Management Company, LLP and William Blair + Company, LLC. For the year ended September 30, 2011, Security Capital Research & Management Incorporated was added to the Fund.
III. Market Commentary
The markets, as measured by the Russell 2000 Value Index (the “Index”), declined 5.99% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the September quarter due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three months ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three months ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.
Real estate securities performed relatively well over the 12-month period given the returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.
Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Small Cap Value Fund, Class A, underperformed the Russell 2000 Value Index, returning (7.15)% versus the Index return of (5.99)%.
V. Fund Attribution
Unfavorable sector allocation was the cause of the Fund’s slight underperformance, while stock selection was positive. The Energy sector detracted the most during the fiscal year due to an underweight position at the portfolio level as well as unfavorable security selection within the oil, gas and consumable fuel segment, which was affected by volatile commodity prices. An underweight to the Utilities sector also hurt. On the positive side, stock picks in the Financials sector helped performance, particularly among the Fund’s real estate holdings. Materials added value as well, especially in chemicals.
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 | (7.15)% | (1.38)% | (2.26)% | 6.60% | 8.72% | |||||||||||||||
Small Cap Value Fund, Class I | (7.40)% | (1.62)% | (2.51)% | 6.33% | 8.37% |
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 9/30/11. 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, 2011 | 7 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Allianz Global Investors Capital LLC, AQR Capital Management LLC, Janus Capital Management LLC and Los Angeles Capital Management and Equity Research, Inc. For the year ended September 30, 2011, Lee Munder Capital Group, LLC was terminated from the Fund.
III. Market Commentary
The markets, as measured by the Russell 2000 Growth Index, declined 1.12% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three-month period ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three-month period ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-month period ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the fiscal year were lost.
Real estate securities performed relatively well over the 12-month period given the returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.
Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Small Cap Growth Fund, Class A, underperformed the Russell 2000 Growth Index, returning (3.34)% versus the Index return of (1.12)%.
V. Fund Attribution
The Fund underperformed the Index due to poor stock selection, which more than offset a slight benefit from sector allocation choices. The Energy sector was the biggest detractor during the fiscal year due to security selection in the oil, gas and consumable fuels segment. An underweight to the Consumer Staples sector was broadly disadvantageous, and holdings in transportation weighed on the Fund’s performance in the Industrials sector. The Materials sector contributed the most with favorable stock picks in metals and mining. The Fund also benefited from solid stock selection in the durables and apparel portion of the Consumer Discretionary sector.
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 | (3.34)% | 0.53% | (3.53)% | 2.30% | 7.29% | |||||||||||||||
Small Cap Growth Fund, Class I | (3.63)% | 0.27% | (3.80)% | 2.03% | 6.96% |
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 9/30/11. 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, 2011 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
Tax-Managed Small/Mid Cap Fund‡
I. Objective
The Tax-Managed Small/Mid Cap Fund (the “Fund”), formerly the Tax-Managed Small Cap 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, 2011: 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 William Blair + Company, LLC. For the year ended September 30, 2011, Wells Capital Management was terminated from the Fund.
III. Market Commentary
The markets, as measured by the Russell 2500 Index (the “Index”), declined 2.22% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three-month period ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three-month period ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-month period ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.
Real estate securities performed relatively well over the fiscal year given the positive returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.
Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Tax-Managed Small/Mid Cap Fund, Class A, underperformed the Russell 2500 Index, returning (3.66)% versus the Index return of (2.22)%.
V. Fund Attribution
Favorable sector positioning was unable to offset weak stock selection in the fiscal year, causing the Fund to underperform the Russell 2500 Index. Energy was the biggest detractor because of both an underweight position in the sector and poor stock picks in the oil, gas, and consumable fuel segment. Information Technology also weighed on returns due to unfavorable security selection in the internet software and services area. Exposure to Health Care providers and services added value. An underweight to the Financials sector, especially in the capital markets industry, contributed to performance as well.
Futures contracts are used to equitize the cash balance for the Fund. The use of derivatives did not have a material impact on performance.
Tax-Managed Small/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 | ||||||||||||||||
Tax-Managed Small/Mid Cap Fund, Class A‡ | (3.66)% | 1.15% | (1.65)% | 5.29% | 2.89% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small/Mid Cap Fund‡, Class A, versus the Russell 2500 Index
1 | For the period ended 9/30/11. 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 |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 9 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: JP Morgan Investment Management Company, Lee Munder Capital Group LLC and Quantitative Management Associates LLC. For the year ended September 30, 2011, Wells Capital Management was terminated from the Fund and JP Morgan Investment Management Company was added.
III. Market Commentary
The markets, as measured by the Russell Midcap Index (the “Index”), declined 0.88% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three-month period ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three-month period ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-months ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.
Real estate securities performed relatively well over the period given the returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.
Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks still outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Mid Cap Fund, Class A, underperformed the Russell Midcap Index, returning (4.67)% versus the Index return of (0.88)%.
V. Fund Attribution
The Fund underperformed the Index due to poor stock selection and a slightly unfavorable sector positioning. Consumer Discretionary was the weakest sector for the Fund as holdings in services, media and retailing all detracted. An underweight to the Consumer Staples sector hurt performance as well, mostly due to the food product segment. The Industrials sector was a strong performer, with portfolio holdings in capital goods adding significant value. Energy contributed through selections in oil, gas and consumable fuels.
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 | (4.67)% | 0.99% | (2.04)% | 6.69% | 8.10% | |||||||||||||||
Mid-Cap Fund, Class I | (4.95)% | 0.78% | (2.27)% | 6.42% | 7.79% |
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 9/30/11. 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, 2011 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Analytic Investors, LLC, Aronson + Johnson + Ortiz, LP and LSV Asset Management. For the year ended September 30, 2011, LSV Asset Management was added to the Fund.
III. Market Commentary
The year ended September 30, 2011, saw a strong market rally for the remainder of 2010 and the beginning of 2011 followed by a strong selloff in the last two quarters. With all the volatility, the Russell 3000 Index (the “Index”) ended up posting a meager 0.55% for the period.
The U.S. Federal Reserve’s quantitative easing fueled commodity price inflation, and in turn, the prices of Materials and Energy stocks. By the time the market peaked in April 2011, the Energy sector posted the best performance in the U.S. by a wide margin. Materials and Industrials followed, with the latter benefitting from the weak dollar.
The last two quarters of the period fiscal year were far less rosy. The Japanese disaster, lingering sovereign defaults in Europe, a stumbling U.S. recovery and faltering Chinese growth were enough to send equity prices spiraling downward worldwide. Ineffectiveness on the part of politicians on both sides of the Atlantic only exacerbated the fragile sentiment.
With a European recession almost certain, an economic slowdown in China, and the U.S. recovery on hold, high-beta sectors significantly underperformed in the second and third quarters of calendar year 2011—and many, including Industrials and Materials, posted negative returns for the entire 12 months.
Financials was the worst performing sector as economic issues were further compounded by solvency and liquidity fears. Investors’ fear of
contagion within Europe was a source of banking misery, while the mortgage litigation saga did nothing to help on the U.S. front. Consumer staples and Utilities proved to be most immune to volatility, delivering the best returns over the last 12 months.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the U.S. Managed Volatility Fund, Class A, outperformed the Russell 3000 Index, returning 7.63% versus the Index return of 0.55%.
V. Fund Attribution
For the fiscal year, the Fund achieved its primary objective of lowering volatility, with the realized annualized standard deviation of 16.6% (daily frequency), compared to the Index’s results of 20.8%, constituting a 20% relative reduction and exceeding the long-term target of 17%.
With high-beta names significantly lagging the broad market, the Fund benefited from its low-volatility profile. As the markets began their slump in May 2011, the Fund began to preserve more capital for further compounding when the markets eventually start recovering in the months ahead.
Industry positioning was also beneficial. In particular, the Fund’s strong underweight to Diversified Financials added 1.35% at the total portfolio level as worries about European contagion and domestic litigation drove big banking shares down. Overweighting the stable Utilities sector and the health care equipment and food and beverage sub-sectors added approximately 1.0% each to the Fund’s performance over the period. An underweight to the volatile Energy sector was the biggest detractor; by the market peak in April, it accounted for a 1.0% negative contribution to the Fund’s return. The position was profitable since then, however, and the overall impact was limited to 0.35% for the entire 12-month period.
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 11 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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 | 7.63% | 2.13% | 1.62% | 4.32% | ||||||||||||
U.S. Managed Volatility Fund, Class I | 7.39% | 1.87% | 1.32% | 3.99% |
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 9/30/11. 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. |
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Acadian Asset Management LLC and Analytic Investors, LLC. For the year ended September 30, 2011, no manager changes were made in the Fund.
III. Market Commentary
The year ended September 30, 2011, saw a strong rally for the remainder of 2010 and the beginning of 2011, followed by a strong selloff in the last two quarters of the fiscal year. With all the volatility, the MSCI World Index, Hedged (the “Index”) ended up dropping 5.04% for the period.
The U.S. Federal Reserve’s quantitative easing fueled commodity price inflation, and in turn, the prices of Materials and Energy stocks. By the time the market reached its peak in April 2011, Energy posted the best performance globally by far, followed by Materials and Industrials.
The last two quarters of the fiscal year were far less rosy. The Japanese disaster, lingering sovereign defaults in Europe, a stumbling U.S. recovery and faltering Chinese growth were enough to send equity prices spiraling downward worldwide. Ineffectiveness on the part of politicians on both sides of the Atlantic only exacerbated the fragile sentiment.
With a European recession almost certain, an economic slowdown in China, and the U.S. recovery on hold, high-beta sectors significantly underperformed in the second and third quarters of calendar year 2011—and many posted negative returns for the entire 12-months.
Financials was the worst performing sector as economic issues were further compounded by solvency and liquidity fears. European banks were hit particularly hard as the possibility of a disorderly sovereign default became less remote. The mortgage litigation saga did nothing
to help U.S. banks. Consumer Staples and Health Care proved to be most immune to volatility and delivered the best returns over the last 12 months. Uncharacteristically for a defensive sector, Utilities finished the fiscal year broadly in line with the Index, as its defensive properties were offset by the direct effects of the tsunami in Japan and subsequent German legislation that outlawed nuclear power.
With the country in a virtual default and a severe recession, Greek equities were the worst performers for the year. New Zealand delivered the best results. Among the major economies, U.S. markets performed best, benefitting from the depreciating U.S. dollar in the first half and an improved economic outlook in the second half of the fiscal year. Germany, Europe’s strongest economy, was the best performing market by April 2011 but ended up at the bottom with Italy and Israel by September 2011. Germany lost over 50% since its peak less than six months ago.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Global Managed Volatility Fund, Class A, outperformed the MSCI World Index, Hedged, returning 3.90% versus the Index return of (5.04)%.
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 40% lower than that of the Index. With high-beta names significantly lagging the broad market, the Fund benefited from its low-volatility profile. As the markets began their slump in May 2011, the Fund began to preserve more capital for further compounding when the markets eventually start recovering in the months ahead.
Industry positioning was beneficial. In particular, an overweight to the food, beverage and tobacco industry added over 1.0% for the period. Underweighting the volatile capital goods and Materials also contributed strongly. Staying out of U.S. and European big banks helped returns as worries about European contagion and U.S. litigation drove shares down. An underweight to the volatile Energy sector was the biggest detractor; by the market peak in April, it accounted for a 1.0% negative contribution to the Fund’s return. The position was profitable since then, and over the entire period the impact was limited to 0.55%.
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 13 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
Global Managed Volatility Fund (Concluded)
Derivatives were used in the Fund to hedge currency risks. Currency forwards were used to sell foreign currencies against the U.S. dollar in order to mitigate their risk from impacting investors’ portfolios. Currency hedging activity subtracted from the Fund’s returns as the U.S. dollar depreciated over most currencies during the period. In the stressful months during the summer of 2011, hedging protected the Fund’s returns as intended, positively contributing to the results.
Global Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year return | Annualized Inception to Date | |||||||||||||
Global Managed Volatility Fund, Class A | 3.90% | (1.91)% | (2.84)% | (2.06)% | ||||||||||||
Global Managed Volatility Fund, Class I | 3.56% | (2.10)% | | (3.12)% | | (2.36)% |
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 9/30/11. 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, 2011 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Analytic Investors LLC, Aronson + Johnson + Ortiz, LP and LSV Asset Management. For the year ended September 30, 2011, LSV Asset Management was added to the Fund.
III. Market Commentary
The year ended September 30, 2011, saw a strong rally for the remainder of 2010 and the beginning of 2011 followed by a strong selloff in the last two quarters. With all the volatility, the Russell 3000 Index (the “Index”) ended up posting a meager 0.55% for the period.
The U.S. Federal Reserve’s quantitative easing fueled commodity price inflation, and in turn, the prices of Materials and Energy stocks. By the time the market reached its peak in April 2011, the Energy sector posted the best performance in the U.S. by a wide margin. Materials and Industrials followed, with the latter benefitting from the weak dollar.
The last two quarters of the one-year period were far less rosy. The Japanese disaster, lingering sovereign defaults in Europe, a stumbling U.S. recovery and faltering Chinese growth were enough to send equity prices spiraling worldwide. Ineffectiveness on the part of politicians on both sides of the Atlantic only exacerbated the fragile sentiment.
With a European recession almost certain, an economic slowdown in China, and the U.S. recovery on hold, high-beta sectors significantly underperformed in the second and third quarters of calendar year 2011—and many, including Industrials and Materials, posted negative returns for the entire 12 months.
Financials was the worst performing sector as economic issues were further compounded by solvency and liquidity fears. Contagion in
Europe was a source of the banking misery while the mortgage litigation saga did nothing to help on the U.S. front. Consumer staples and Utilities have proved to be most immune to volatility, delivering the best returns over the last 12 months.
IV. Return vs. Benchmark:
For the year ended September 30, 2011, the Tax-Managed Managed Volatility Fund, Class A, outperformed the Russell 3000 Index, returning 7.13% versus the index return of 0.55%.
V. Fund Attribution
For the fiscal year, the Fund achieved its primary objective of lowering volatility, with the realized annualized standard deviation of 16% (daily frequency), compared to the Index’s results of 20.8%, constituting a 23% relative risk reduction and exceeding the long-term target of 17%.
With high-beta names significantly lagging the broad market, the Fund benefited from its low-volatility profile. As the markets began their slump in May 2011, the Fund began to preserve more capital for further compounding when the markets eventually start recovering in the months ahead.
Industry positioning was also beneficial. In particular, the Fund’s strong underweight to the Diversified Financials industry added 1.25% at the total portfolio level as worries about European contagion and domestic litigation drove big banking shares down. Overweighting the stable Utilities sector and the health care equipment and food and beverage sub-sectors added approximately 1.0% each to the Fund’s performance over the period. An underweight to the volatile Energy sector was the biggest detractor; by the market peak in April, it accounted for a 1.3% negative contribution to the Fund’s return. The position was profitable since then, and over the entire period the impact was limited to 0.40%.
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 15 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
Tax-Managed Managed Volatility Fund (Concluded)
Tax-Managed Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Tax-Managed Managed Volatility Fund, Class A | 7.13% | 4.21% | 0.71% |
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 9/30/11. 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, 2011 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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, 2011: Security Capital Research and Management, Inc. and Urdang Capital Management. For the year ended September 30, 2011, Wellington Management Company, LLP was terminated from the Fund and Urdang Capital Management was added.
III. Market Commentary
The markets, as measured by the Russell 2000 Index, declined 3.53% for the one-year period ending September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three-month period ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three-month period ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-month period ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.
Real estate securities performed relatively well over the fiscal year given the returns of equities overall, with the Wilshire Real Estate Securities Index (the “RESI”) returning 1.76%. In the third quarter, the RESI lost about 15%, beating small-cap stocks by nearly 7% as their value was buoyed by the yield advantage they held over other cash flow-producing securities.
From a factor perspective, growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks still outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.
IV. Return vs. Benchmark
For year ended September 30, 2011, the Real Estate Fund, Class A, outperformed the Wilshire U.S. Real Estate Securities Index, returning 2.41% versus the index return of 1.76%.
V. Fund Attribution
The Fund benefited from both industry allocation and solid stock selection, outperforming its benchmark. It generated favorable results through its overweight position in health care real estate investment trusts (“REITs”), and through an underweight to and beneficial stock-level decisions within the diversified REIT area. Real estate operators contributed to performance as well. Office REITs detracted in the fiscal year due to unfavorable security selection within and a slight overweight to the sector amid an uncertain employment backdrop. Exposure to retail REITs also hurt performance as malls remained a challenging area given weak consumer demand.
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 | 2.41% | (2.38)% | (4.06)% | 6.69% | ||||||||||||
Real Estate Fund, Class I | 2.19% | (2.58)% | (4.27)% | 6.44% |
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 9/30/11. 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, 2011 | 17 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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 Inter Bank Offering Rate”).
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, 2011: Ares Management LLC and Wellington Management Company, LLP. For the year ended September 30, 2011, no manager changes were made to the Fund.
III. Market Commentary
The non-Treasury sectors of the U.S. fixed-income market saw extreme volatility during the year ended September 30, 2011. We saw solid performance versus duration-neutral Treasurys at the beginning of the fiscal year; however, the market worsened and experienced significant volatility in the second half.
Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the devastating earthquake and tsunami in Japan, and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. The first- and second-quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations and the market sharply lowered GDP expectations for the remainder of the year. In response, the U.S. Federal Reserve (the “Fed”) kept the Fed funds rate near zero to support the economy, but let the $600 billion quantitative easing program expire at the end of June. Despite the exit, Treasurys rallied significantly in the second and third quarters of calendar year 2011 due to weak economic data and fears surrounding Europe. A U.S. debt ceiling resolution passed at the beginning of August; however, Standard and Poor’s downgraded the U.S. credit rating to AA+ from AAA because the U.S. government had not addressed longer-term fiscal issues that could continue to burden the country. In the third quarter of calendar year 2011, the Federal Open Market Committee
(“FOMC”) announced “Operation Twist” in response to a weakening economy. This program will extend the average maturity of the Fed’s holdings by actively selling $400 billion in Treasury securities maturing within three years and reinvesting the proceeds into securities maturing in six to 30 years. The FOMC also announced that it would reinvest the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasurys.
Corporate fundamentals remained solid as balance sheets improved, earnings were better than expected, and event risk remained remote. However, Financials widened significantly as the sector continued to be plagued by fears regarding their mortgage-related liabilities and European concerns. In addition, Moody’s downgraded several major banks because of the ratings uplift caused by government-support assumptions. Agency MBS outperformed duration-neutral Treasurys on continued demand from domestic and foreign banks, and refinancing activity remained muted in the face of historically low mortgage rates. Non-agency MBS performed well at the beginning of the fiscal year because of attractive loss-adjusted yields, but turned weaker in the second quarter of calendar year 2011 due to increased supply from the Fed’s Maiden Lane portfolio. Commercial mortgage-backed securities outperformed for the fiscal year, but were weaker later in the period due to overall market volatility and economic concerns.
Lastly, the senior bank loan market posted strong performance, helped by low default rates, improving liquidity and strong demand, before selling off during the last quarter of the fiscal year. Both leveraged loans and high-yield bonds were down over 3.5% for the quarter as investors sought a safe haven in U.S. Treasury bonds. In addition, loan funds experienced eight weeks of outflows, with August seeing a record monthly outflow.
IV . Return vs. Benchmark
For the year ended September 30, 2011, the Enhanced Income Fund, Class A, outperformed the BofA Merrill Lynch 3-month Constant Maturity LIBOR Index (the “Index”), returning 0.83% versus the Index return of 0.27%.
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
V. Fund Attribution
During the fiscal year, the Fund’s exposures to bank loans, investment-grade corporate securities and non-agency MBS were the key drivers of performance. Treasury futures were used to efficiently assist in managing the Fund’s duration and yield-curve exposure. The notional size of these positions was relatively small and did not have a material impact on performance.
Enhanced Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Enhanced Income Fund, Class A | 0.83% | (0.88)% | | (2.57)% | | (2.28)% | ||||||||||
Enhanced Income Fund, Class I | 0.72% | (1.13)% | (2.89)% | (2.61)% |
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 9/30/11. 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, 2011 | 19 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
Core Fixed Income Fund
I. Objective
The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisors 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, 2011: Jennison Associates, LLC, J.P. Morgan Investment Management, Inc., Metropolitan West Asset Management LLC, Wells Capital Management, Inc., Western Asset Management Company and Wells Capital Management Company Limited. For the year ended September 30, 2011, no manager changes were made to the Fund.
III. Market Commentary
For the year ended September 30, 2011, the non-Treasury sectors of the U.S. fixed-income market were mixed in regard to spread compression and risk appetite. We saw solid performance versus duration-neutral Treasurys at the beginning of the fiscal year; however, the market worsened and experienced significant volatility in the second half.
Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the devastating earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. The first- and second-quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations and the market sharply lowered GDP expectations for the remainder of the year. In response, the U.S. Federal Reserve (the “Fed”) kept the Fed funds rate near zero to support the economy, but let the $600 billion quantitative easing program expire at the end of June. Despite the exit, Treasurys rallied significantly in the second and third quarters of calendar year 2011 due to weak economic data and fears surrounding Europe. A U.S. debt ceiling resolution passed at the beginning of August; however, Credit rating agency Standard and Poor’s downgraded the U.S. to AA+
from AAA because the U.S. government had not addressed longer-term fiscal issues that could continue to burden the country. In the third quarter of calendar year 2011, the Federal Open Market Committee (“FOMC”) announced “Operation Twist” in response to a weakening economy. This program is intended to extend the average maturity of the Fed’s holdings by actively selling $400 billion in Treasury securities maturing within three years and reinvesting the proceeds into securities maturing in six to 30 years. The FOMC also announced that it would reinvest the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasurys.
Corporate fundamentals remained solid as balance sheets improved, earnings were better than expected and event risk remained remote. However, Financials widened significantly as the sector continued to be plagued by fears regarding their mortgage-related liabilities and European concerns. In addition, Moody’s downgraded several major banks because of the ratings uplift that existed due to government-support assumptions. Agency MBS outperformed duration-neutral Treasurys as demand remained robust from domestic and foreign banks, and refinancing activity was muted in the face of historically low mortgage rates. Non-agency MBS performed well at the beginning of the period because of attractive loss-adjusted yields, but turned weaker in the second quarter of calendar year 2011 due to increased supply from the Fed’s Maiden Lane portfolio. Commercial mortgage-backed securities outperformed for the fiscal year, but were weaker later in the period due to overall market volatility and economic concerns.
IV. Return vs. Benchmark
For year ended September 30, 2011, the Core Fixed Income Fund, Class A, outperformed the Barclays Capital U.S. Aggregate Bond Index (the “Index”), returning 5.43% versus the Index return of 5.26%.
V. Fund Attribution
The Fund’s overweight position in non-agency MBS was the primary contributor to performance. Credit protection was bought by utilizing credit default swaps on a basket of commercial mortgage-backed securities (“CMBS”), which assisted in partially hedging systemic risk
20 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
associated with the portfolio’s CMBS exposure. Duration exposure had a negative impact given the flight to safety that occurred in the second half of the fiscal year. Treasury futures, options and interest-rate swaps were used to efficiently assist in managing the Fund’s duration and yield curve exposure. An overweight to large-cap Financials generated underperformance relative to Treasurys. Mortgage-related liabilities, sovereign risk concerns, weak economic data and market volatility contributed to underperformance. Allocations to corporate high-yield debt detracted from performance due to investor risk aversion. The Fund used 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.
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 | 5.43% | 10.68% | 6.41% | 5.53% | 6.90% | |||||||||||||||
Core Fixed Income Fund, Class I | 5.20% | 10.44% | 6.15% | 5.26% | 6.46% |
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 9/30/11. 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, 2011 | 21 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisors 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, 2011: Jennison Associates, LLC, J.P. Morgan Investment Management, Inc., Metropolitan West Asset Management LLC, Wells Capital Management, Inc., Western Asset Management Company and Wells Capital Management Company Limited. For the year ended September 30, 2011, no manager changes were made to the Fund.
III. Market Commentary
For the year ended September 30, 2011, the non-Treasury sectors of the U.S. fixed-income market were mixed in regard to spread compression and risk appetite. We saw solid performance versus duration-neutral Treasurys at the beginning of the fiscal year; however, the market worsened and experienced significant volatility in the second half.
Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the devastating earthquake and tsunami in Japan, and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. The first- and second-quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations and the market sharply lowered GDP expectations for the remainder of the year. In response, the U.S. Federal Reserve (the “Fed”) kept the Fed funds rate near zero to support the economy, but let the $600 billion quantitative easing program expire at the end of June. Despite the exit, Treasurys rallied significantly in the second and third quarters of calendar year 2011 due to weak economic data and fears surrounding Europe. A U.S. debt ceiling resolution passed at the beginning of August; however, Credit rating agency Standard and Poor’s downgraded the U.S. to AA+
from AAA because the U.S. government had not addressed longer-term fiscal issues that could continue to burden the country. In the third quarter of calendar year 2011, the Federal Open Market Committee (“FOMC”) announced “Operation Twist” in response to a weakening economy. This program is intended to extend the average maturity of the Fed’s holdings by actively selling $400 billion in Treasury securities maturing within three years and reinvesting the proceeds into securities maturing in six to 30 years. The FOMC also announced that it would reinvest the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasurys.
Corporate fundamentals remained solid as balance sheets improved, earnings were better than expected and event risk remained remote. However, Financials widened significantly as the sector continued to be plagued by fears regarding their mortgage-related liabilities and European concerns. In addition, Moody’s downgraded several major banks because of the ratings uplift caused by government-support assumptions. Agency MBS outperformed duration-neutral Treasurys on continued demand from domestic and foreign banks, and as refinancing activity remained muted in the face of historically low mortgage rates. Non-agency MBS performed well at the beginning of the fiscal year because of attractive loss-adjusted yields, but turned weaker in the second quarter of calendar year 2011 due to increased supply from the Fed’s Maiden Lane portfolio. Commercial mortgage-backed securities outperformed for the fiscal year, but were weaker later in the period due to overall market volatility and economic concerns.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the U.S. Fixed Income Fund, Class A outperformed the Barclays Capital U.S. Aggregate Bond Index (the “Index”), returning 5.43% versus the Index return of 5.26%.
V. Fund Attribution
The Fund’s overweight position in non-agency MBS was the primary contributor to performance. Credit protection was bought by utilizing credit default swaps on a basket of commercial mortgage-backed securities (“CMBS”), which assisted in partially hedging systemic risk
22 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
associated with the portfolio’s CMBS exposure. Duration exposure had a negative impact given the flight to safety that occurred in the second half of the fiscal year. Treasury futures, options and interest-rate swaps were used to efficiently assist in managing the Fund’s duration and yield curve exposure. An overweight to large-cap Financials generated underperformance relative to Treasurys. Mortgage-related liabilities, sovereign risk concerns, weak economic data, and market volatility contributed to the underperformance. Credit default swaps were used to buy credit protection on specific companies in order to moderately hedge the portfolios broad corporate exposure.
U.S. Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
U.S. Fixed Income Fund, Class A | 5.43% | 8.16% |
Comparison of Change in the Value of a $100,000 Investment in the U.S. Fixed Income Fund, Class A, versus the Barclays Capital U.S. Aggregate Bond Index
1 | For the period ended 9/30/11. 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, 2011 | 23 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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-advisors 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, 2011: Ares Management LLC, Brigade Capital Management, LLC, Delaware Management Company, Guggenheim Investment Management, LLC, J.P. Morgan Investment Management, Inc. During the year ended September 30, 2011, no manager changes were made to the Fund.
III. Market Commentary
For the fiscal year ending September 30, 2011, the high-yield market, as measured by the BofA Merrill Lynch High Yield Constrained Index (the “Index”), returned 1.30%. High-yield returns were strong through the fourth quarter of 2010 and the first seven months of 2011 before faltering due to fears of a banking crisis in Europe, political grandstanding in both the U.S. and Europe, and renewed concerns about a double-dip recession as the fiscal year drew to a close. Returns of (4.01)% in August and (2.83)% in September were the first back-to-back monthly declines since 2008. Fundamentals within the universe of high-yield companies remain strong with leverage ratios declining, improving free cash flow, expense reduction and modest expansion of top-line growth. As a result, default rates continued to decline, with the Moody’s U.S. default rate declining to 2.00% from 3.99% one year ago. Projections of default rates remain below 4.00% for the foreseeable future. During the “risk-off” trade in August and September, high-yield spreads widened 804 basis points as investors fled to the safety of U.S. Treasury bonds despite the country’s credit downgrade by rating agency Standard and Poor’s. For the fiscal year, spreads widened 237 basis points. After touching a record low yield of 6.65% in May 2011, yields in the high-yield market rose 2.88%, ending the period at 9.53%. Issuance set a calendar-year record in both 2009 and 2010, and was on a record pace in 2011 before slowing late in the period. Refinancing continues to be
the theme, with nearly 60% of new issuance for refinancing purposes. Cash flows in the asset class have been positive, with June and August experiencing the two largest monthly outflows on record—$7.0 billion and $6.4 billion, respectively. With the risk avoidance late in the period, CCC-rated bonds produced the lowest return at -2.02%, followed by B-rated bonds at 1.70%. BB-rated bonds produced the best return of 2.17%.
The best performing sector on both a contribution to return basis and an absolute basis was Energy, which returned 5.61%. Consumer Cyclical and Health Care companies also produced strong results, returning 3.35% and 2.38%, respectively. The worst performing sector on a contribution to return basis was Real Estate, which returned -2.38% as the housing market continued to struggle with growth.
IV. Return vs. Benchmark:
For the year ended September 30, 2011, the High Yield Fund, Class A, outperformed the BofA Merrill Lynch U.S. High Yield Constrained Index, returning 2.96% versus the Index return of 1.30%.
V. Fund Attribution
The Fund’s allocation to structured credit in the form of collateralized loan obligations was a major contributor to performance, as this area continued its multi-year rebound due to 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, for a majority of the period. An underweight to the Basic Industry sector was positive and enhanced relative performance when combined with strong security selection within metal, paper and steel companies. The Technology sector produced strong results as companies continued to invest capital in computers and services that will improve productivity. Security selection and an overweight to the more defensive Health Care sector also helped returns.
An underweight to the outperforming Energy sector detracted from performance, as its higher-quality bias and the longer-term nature of its maturity profile benefited from declining U.S. Treasurys. Security selection in the sector, however, helped to mitigate
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SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
underperformance. The Fund’s underweight to the positively performing Automotive sector subtracted from performance as automotive companies benefited from a higher-quality bias and the end of supply chain disruptions emanating from the earthquake and tsunami in Japan.
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 | 2.96% | 12.00% | 5.68% | 7.70% | 7.13% | |||||||||||||||
High Yield Bond Fund, Class I | 1.19% | 11.21% | 5.19% | 7.41% | 6.91% |
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 Constrained Index
1 | For the period ended 9/30/11. 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, 2011 | 25 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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 one to five 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 uses the following sub-adviser as of September 30, 2011: Wellington Management Company, LLP. During the year ended September 30, 2011, no manager changes were made to the Fund.
III. Market Commentary
For the year ended September 30, 2011, the non-Treasury sectors of the U.S. fixed-income market were mixed in regard to spread compression and risk appetite.
Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the devastating earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. The first- and second-quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations and the market sharply lowered GDP expectations for the remainder of the year. In response, the U.S. Federal Reserve (the “Fed”) kept the Fed funds rate near zero to support the economy, but let the $600 billion quantitative easing program expire at the end of June. Despite the exit, Treasurys rallied significantly in the second and third quarters of calendar year 2011 due to weak economic data and fears surrounding Europe. A U.S. debt ceiling resolution passed at the beginning of August. Nevertheless, credit rating agency Standard and Poor’s downgraded the U.S. to AA+ from AAA because the U.S. government had not addressed longer-term fiscal issues that could continue to burden the country. In the third quarter of calendar year 2011, the Federal Open Market Committee (“FOMC”) announced “Operation Twist” in response to a weakening economy. This program is intended to extend the average maturity of the Fed’s holdings by actively selling $400 billion in Treasury securities maturing within three years and reinvesting the proceeds into securities maturing in six to 30 years. The FOMC also announced that it would reinvest the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasurys.
The TIPS market experienced a higher level of volatility due to transitory events, including extreme weather in the U.S., Russia and Australia, and political tensions in the Middle East. The five-year TIPS breakeven inflation rate, which is the rate of inflation that equalizes the return of nominal and inflation-linked Treasurys, widened from
1.4% to 1.6%. The core Consumer Price Index also increased modestly from historically low levels.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Real Return Fund, Class A, underperformed the Barclays 1-5 Year U.S. TIPS Index (the “Index”), returning 4.51% versus the Index return of 4.79%.
V. Fund Attribution
A tactical and timely allocation to nominal Treasurys helped the Fund’s performance due to the decline in Treasury yields during the year. In addition, the drop in TIPS yields served to support the Fund’s absolute return.
The Fund used derivatives as a way to manage duration, yield-curve positioning, currency risk and spread duration in a more efficient manner. Futures were used for this purpose, and had a modestly positive impact on Fund performance.
Real Return Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
Real Return Fund, Class A | 4.51% | 5.19% |
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 9/30/11. 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, 2011 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011
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 Turner Investment Partners, Inc.
The Multi-Strategy Alternative Fund had investments in the following funds as of September 30, 2011: AQR Diversified Arbitrage Fund, Institutional Class (ADAIX), AQR Managed Futures Strategy Fund, Institutional Class (AQMIX), DWS Diversified Market Neutral Fund, Class A (DDMAX), Eaton Vance Global Macro Absolute Return Fund, Institutional Class (EIGMX), J.P. Morgan Market Neutral Fund, Institutional Class (JPMNX), Driehaus Active Income Fund, Class A (LCMAX), The Merger Fund (MERFX), Managers AMG FQ Alternative Fund, Class A (MGAAX), TFS Market Neutral Fund (TFSMX) and Turner Spectrum Fund (TSPEX).
For the year ended September 30, 2011, Aberdeen Equity Long Short Fund, Institutional Class (GGUIX) and Managers AMG FW Alternative Fund, Institutional Class, (MGAIX) were terminated.
III. Market Commentary
Markets were highly volatile during the period. The first half of the fiscal year saw a significant run-up as most risk assets rallied strongly. The second and third quarters of calendar year 2011 saw a selloff in risk assets. The recovery during the second half of 2010 and first quarter of 2011 was not as robust as had been hoped, as choppy market conditions presented challenges for several investment strategies. Fears of sovereign defaults and the deterioration in economic prospects drove risk markets down during the second and third quarters. Throughout this volatility, the Fund achieved its main objective to protect investor capital, experiencing a relatively modest drawdown during the second and third quarters. The risk in the portfolio was reduced during the second and third quarters of 2011.
IV. Return vs. Benchmark
For the year ended September 30, 2011, the Multi-Strategy Alternative Fund, Class A underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Index”), returning (2.16)% versus 0.14% for the Index.
Although the Fund performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, an investment in the Fund is substantially different from an investment in
U.S. Treasury bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest.
V. Fund Attribution
The Fund’s largest detractor was Tactical Trading as the environment proved challenging for tactical managers. The Managed Futures strategy was whipsawed as the market oscillated between enthusiasm and pessimism, while the Global Macro Strategy had difficulties allocating risk in markets that were driven mostly by a flight to quality. The Equity Hedge strategy also posted losses. Both Long/Short Equity and Market-Neutral managers detracted as equity market prices were mostly driven by global macroeconomic and political concerns rather than stock-specific data. Relative Value managers generated smaller losses due to widening of credit spreads and interest hedging. The Event Driven allocation also detracted since Merger Arbitrage was negatively impacted by spread widening.
Multi-Strategy Alternative Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
Multi-Strategy Alternative Fund, Class A | (2.16)% | (1.90)% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Strategy Alternative Fund, Class A, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
1 | For the period ended 9/30/11. Past performance is no indication of future performance. Class A shares were offered beginning 3/31/10. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 27 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.8% |
| |||||||||||
Consumer Discretionary — 14.6% |
| |||||||||||
Apollo Group, CI A* | 0.5 | % | 192,000 | $ | 7,605 | |||||||
CBS, Cl B | 0.7 | 533,840 | 10,880 | |||||||||
Coach | 1.1 | 327,548 | 16,977 | |||||||||
Harley-Davidson | 0.6 | 251,784 | 8,644 | |||||||||
Johnson Controls | 0.5 | 301,991 | 7,963 | |||||||||
Lowe’s | 0.9 | 672,602 | 13,008 | |||||||||
Macy’s | 0.6 | 338,790 | 8,917 | |||||||||
McDonald’s | 0.6 | 98,831 | 8,679 | |||||||||
Nike, Cl B | 0.7 | 130,957 | 11,198 | |||||||||
Target | 0.7 | 228,949 | 11,228 | |||||||||
Time Warner Cable, Cl A | 0.6 | 130,770 | 8,195 | |||||||||
Other Securities | 7.1 | 108,866 | ||||||||||
|
| |||||||||||
222,160 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.5% |
| |||||||||||
Coca-Cola | 0.8 | 185,650 | 12,543 | |||||||||
Costco Wholesale | 1.1 | 208,310 | 17,106 | |||||||||
Mead Johnson Nutrition, Cl A | 0.9 | 196,120 | 13,499 | |||||||||
Philip Morris International | 0.6 | 141,380 | 8,819 | |||||||||
Procter & Gamble | 1.2 | 294,401 | 18,600 | |||||||||
Walgreen | 0.5 | 251,100 | 8,259 | |||||||||
Other Securities | 4.4 | 66,566 | ||||||||||
|
| |||||||||||
145,392 | ||||||||||||
|
| |||||||||||
Energy — 9.3% |
| |||||||||||
Chevron | 1.6 | 256,600 | 23,741 | |||||||||
ConocoPhillips | 1.4 | 336,320 | 21,296 | |||||||||
Exxon Mobil | 1.2 | 248,400 | 18,041 | |||||||||
Schlumberger | 0.6 | 156,008 | 9,318 | |||||||||
Other Securities | 4.5 | 68,570 | ||||||||||
|
| |||||||||||
140,966 | ||||||||||||
|
| |||||||||||
Financials — 11.9% |
| |||||||||||
Capital One Financial (A) | 0.5 | 209,030 | 8,284 | |||||||||
Citigroup | 0.7 | 423,900 | 10,860 | |||||||||
JPMorgan Chase | 1.4 | 711,160 | 21,420 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo | 1.0 | % | 624,400 | $ | 15,061 | |||||||
Other Securities | 8.3 | 124,931 | ||||||||||
|
| |||||||||||
180,556 | ||||||||||||
|
| |||||||||||
Health Care — 12.3% |
| |||||||||||
Allergan | 0.9 | 170,566 | 14,051 | |||||||||
Amgen | 0.9 | 253,518 | 13,931 | |||||||||
Express Scripts* | 0.6 | 223,883 | 8,299 | |||||||||
Johnson & Johnson (A) | 1.1 | 256,840 | 16,363 | |||||||||
Merck | 0.8 | 382,800 | 12,521 | |||||||||
Pfizer | 1.2 | 989,500 | 17,494 | |||||||||
UnitedHealth Group | 0.6 | 204,771 | 9,444 | |||||||||
WellPoint | 0.5 | 121,800 | 7,951 | |||||||||
Other Securities | 5.7 | 87,767 | ||||||||||
|
| |||||||||||
187,821 | ||||||||||||
|
| |||||||||||
Industrials — 8.5% |
| |||||||||||
General Electric | 0.9 | 885,200 | 13,491 | |||||||||
Precision Castparts | 0.8 | 82,728 | 12,861 | |||||||||
Other Securities | 6.8 | 102,895 | ||||||||||
|
| |||||||||||
129,247 | ||||||||||||
|
| |||||||||||
Information Technology — 22.3% |
| |||||||||||
Adobe Systems* | 0.7 | 438,183 | 10,591 | |||||||||
Apple* | 3.2 | 129,445 | 49,342 | |||||||||
Cisco Systems | 0.6 | 628,700 | 9,739 | |||||||||
EMC* | 0.6 | 404,986 | 8,501 | |||||||||
Google, Cl A* | 1.9 | 54,877 | 28,228 | |||||||||
Intel | 1.5 | 1,093,099 | 23,316 | |||||||||
International Business Machines | 0.6 | 52,226 | 9,141 | |||||||||
Mastercard, Cl A | 1.2 | 57,183 | 18,136 | |||||||||
Microsoft | 0.8 | 509,406 | 12,679 | |||||||||
Oracle | 1.2 | 641,475 | 18,436 | |||||||||
Qualcomm | 1.5 | 462,194 | 22,476 | |||||||||
Visa, Cl A | 0.5 | 95,400 | 8,178 | |||||||||
Other Securities | 8.0 | 121,471 | ||||||||||
|
| |||||||||||
340,234 | ||||||||||||
|
| |||||||||||
Materials — 2.3% |
| |||||||||||
Other Securities | 2.3 | 35,229 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.5% |
| |||||||||||
AT&T | 1.3 | 719,380 | 20,517 | |||||||||
Verizon Communications | 1.2 | 477,911 | 17,587 | |||||||||
Other Securities | 1.0 | 14,564 | ||||||||||
|
| |||||||||||
52,668 | ||||||||||||
|
| |||||||||||
Utilities — 2.6% |
| |||||||||||
American Electric Power | 0.5 | 200,146 | 7,609 |
28 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 2.1 | % | $ | 31,844 | ||||||||
|
| |||||||||||
39,453 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,473,726 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 7.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 7.0 | 105,803,821 | 105,804 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 105,804 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 2.8% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 2.7 | 41,118,451 | 41,118 | |||||||||
Other Securities | 0.1 | 1,338 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 42,456 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 5,132 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 5,132 | ||||||||||
|
| |||||||||||
Total Investments — 106.9% |
| $ | 1,627,118 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 422 | Dec-2011 | $ | (864 | ) | |||||||
S&P Mid 400 Index E-MINI | 48 | Dec-2011 | (258 | ) | ||||||||
|
| |||||||||||
$ | (1,122 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $1,521,942 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $100,274 ($ 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, 2011 was $105,804 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
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 issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). 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, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,473,726 | $ | — | $ | — | $ | 1,473,726 | ||||||||
Affiliated Partnership | — | 105,804 | — | 105,804 | ||||||||||||
Cash Equivalents | 41,118 | 1,338 | — | 42,456 | ||||||||||||
U.S. Treasury Obligation | — | 5,132 | — | 5,132 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,514,844 | $ | 112,274 | $ | — | $ | 1,627,118 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (1,122 | ) | $ | — | $ | — | $ | (1,122 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,122 | ) | $ | — | $ | — | $ | (1,122 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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, 2011 | 29 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.6% |
| |||||||||||
Consumer Discretionary — 8.3% |
| |||||||||||
CBS, Cl B | 0.5 | % | 274,900 | $ | 5,602 | |||||||
Newell Rubbermaid | 0.5 | 491,885 | 5,839 | |||||||||
Time Warner (A) | 0.5 | 209,100 | 6,267 | |||||||||
Other Securities | 6.8 | 82,803 | ||||||||||
|
| |||||||||||
100,511 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.8% |
| |||||||||||
Coca-Cola | 0.5 | 85,350 | 5,766 | |||||||||
CVS Caremark | 0.9 | 337,200 | 11,323 | |||||||||
Procter & Gamble | 1.9 | 367,100 | 23,193 | |||||||||
Wal-Mart Stores | 1.1 | 251,610 | 13,059 | |||||||||
Other Securities | 4.4 | 52,281 | ||||||||||
|
| |||||||||||
105,622 | ||||||||||||
|
| |||||||||||
Energy — 11.8% |
| |||||||||||
Apache | 0.5 | 80,450 | 6,455 | |||||||||
Chevron | 3.3 | 424,100 | 39,238 | |||||||||
ConocoPhillips | 1.7 | 318,500 | 20,167 | |||||||||
Devon Energy | 0.5 | 103,300 | 5,727 | |||||||||
Exxon Mobil | 1.5 | 253,450 | 18,408 | |||||||||
Murphy Oil | 0.6 | 158,150 | 6,984 | |||||||||
Occidental Petroleum | 0.5 | 91,300 | 6,528 | |||||||||
Valero Energy | 0.5 | 316,000 | 5,619 | |||||||||
Other Securities | 2.7 | 33,044 | ||||||||||
|
| |||||||||||
142,170 | ||||||||||||
|
| |||||||||||
Financials — 20.3% |
| |||||||||||
Aflac | 0.7 | 230,350 | 8,051 | |||||||||
Ameriprise Financial | 0.5 | 165,800 | 6,526 | |||||||||
Bank of America | 0.6 | 1,232,600 | 7,543 | |||||||||
Chubb | 0.8 | 155,300 | 9,317 | |||||||||
Citigroup | 1.1 | 486,030 | 12,452 | |||||||||
Discover Financial Services | 0.5 | 244,800 | 5,616 | |||||||||
Fifth Third Bancorp | 0.5 | 627,700 | 6,340 | |||||||||
JPMorgan Chase | 2.5 | 1,005,500 | 30,286 | |||||||||
PNC Financial Services Group | 1.0 | 250,700 | 12,081 | |||||||||
Prudential Financial | 0.7 | 175,600 | 8,229 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Travelers | 0.5 | % | 114,400 | $ | 5,575 | |||||||
Wells Fargo | 2.4 | 1,188,400 | 28,664 | |||||||||
Other Securities | 8.5 | 103,770 | ||||||||||
|
| |||||||||||
244,450 | ||||||||||||
|
| |||||||||||
Health Care — 14.1% |
| |||||||||||
Aetna | 0.7 | 233,300 | 8,481 | |||||||||
Amgen | 1.0 | 217,000 | 11,924 | |||||||||
Gilead Sciences* | 0.5 | 159,400 | 6,185 | |||||||||
Johnson & Johnson | 1.4 | 272,450 | 17,358 | |||||||||
Merck | 1.7 | 609,200 | 19,927 | |||||||||
Pfizer | 3.1 | 2,115,200 | 37,397 | |||||||||
UnitedHealth Group | 0.8 | 217,300 | 10,022 | |||||||||
WellPoint | 1.2 | 215,000 | 14,035 | |||||||||
Other Securities | 3.7 | 44,682 | ||||||||||
|
| |||||||||||
170,011 | ||||||||||||
|
| |||||||||||
Industrials — 9.0% |
| |||||||||||
General Dynamics | 0.5 | 103,300 | 5,877 | |||||||||
General Electric | 2.4 | 1,905,500 | 29,040 | |||||||||
Northrop Grumman (A) | 0.8 | 181,400 | 9,462 | |||||||||
Other Securities | 5.3 | 63,624 | ||||||||||
|
| |||||||||||
108,003 | ||||||||||||
|
| |||||||||||
Information Technology — 11.8% |
| |||||||||||
Cisco Systems | 1.4 | 1,086,750 | 16,834 | |||||||||
Hewlett-Packard | 0.5 | 265,300 | 5,956 | |||||||||
Intel | 2.6 | 1,467,250 | 31,297 | |||||||||
Microsoft | 1.5 | 700,950 | 17,447 | |||||||||
Other Securities | 5.8 | 71,022 | ||||||||||
|
| |||||||||||
142,556 | ||||||||||||
|
| |||||||||||
Materials — 5.0% |
| |||||||||||
Freeport-McMoRan Copper & Gold, Cl B | 0.5 | 203,400 | 6,194 | |||||||||
Newmont Mining | 0.9 | 178,700 | 11,240 | |||||||||
Other Securities | 3.6 | 43,422 | ||||||||||
|
| |||||||||||
60,856 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 3.5% |
| |||||||||||
AT&T | 2.4 | 1,014,900 | 28,945 | |||||||||
Verizon Communications (A) | 1.0 | 311,400 | 11,460 | |||||||||
Other Securities | 0.1 | 1,417 | ||||||||||
|
| |||||||||||
41,822 | ||||||||||||
|
| |||||||||||
Utilities — 5.0% |
| |||||||||||
American Electric Power | 0.7 | 235,400 | 8,950 | |||||||||
Entergy | 0.7 | 133,600 | 8,856 | |||||||||
Exelon (A) | 0.5 | 149,800 | 6,383 | |||||||||
Other Securities | 3.1 | 35,610 | ||||||||||
|
| |||||||||||
59,799 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,175,800 | ||||||||||
|
|
30 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.7% |
| |||||||||||
SPDR Gold Shares | 0.7 | % | 48,800 | $ | 7,714 | |||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 7,714 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 6.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 6.0 | 77,060,229 | 72,295 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 72,295 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 2.0 | 23,988,205 | 23,988 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 23,988 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 3,961 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,961 | ||||||||||
|
| |||||||||||
Total Investments — 106.6% |
| $ | 1,283,758 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 236 | Dec-2011 | $ | (575 | ) | |||||||
Russell 2000 Index E-MINI | 8 | Dec-2011 | (41 | ) | ||||||||
|
| |||||||||||
$ | (616 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $1,204,345 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $73,116 ($ 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, 2011 was $72,295 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
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 issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). 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, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,175,800 | $ | — | $ | — | $ | 1,175,800 | ||||||||
Exchange Traded Fund | 7,714 | — | — | 7,714 | ||||||||||||
Affiliated Partnership | — | 72,295 | — | 72,295 | ||||||||||||
Cash Equivalent | 23,988 | — | — | 23,988 | ||||||||||||
U.S. Treasury Obligations | — | 3,961 | — | 3,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,207,502 | $ | 76,256 | $ | — | $ | 1,283,758 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (616 | ) | $ | — | $ | — | $ | (616 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (616 | ) | $ | — | $ | — | $ | (616 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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, 2011 | 31 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.9%‡ |
| |||||||||||
Consumer Discretionary — 14.7% |
| |||||||||||
Amazon.com* | 0.7 | % | 43,042 | $ | 9,307 | |||||||
Apollo Group, Cl A* | 0.8 | 246,200 | 9,752 | |||||||||
Coach | 1.2 | 287,495 | 14,901 | |||||||||
Fossil* | 1.0 | 154,488 | 12,523 | |||||||||
McDonald’s | 0.9 | 126,527 | 11,112 | |||||||||
Nike, Cl B | 0.7 | 101,050 | 8,641 | |||||||||
priceline.com* (A) | 1.3 | 36,325 | 16,327 | |||||||||
Other Securities | 8.1 | 106,590 | ||||||||||
|
| |||||||||||
189,153 | ||||||||||||
|
| |||||||||||
Consumer Staples — 11.7% |
| |||||||||||
Altria Group | 0.9 | 448,097 | 12,013 | |||||||||
Coca-Cola (A) | 1.2 | 235,110 | 15,884 | |||||||||
Costco Wholesale | 1.5 | 237,775 | 19,526 | |||||||||
Mead Johnson Nutrition, Cl A | 1.3 | 233,546 | 16,075 | |||||||||
Philip Morris International | 0.7 | 134,097 | 8,365 | |||||||||
Walgreen | 1.1 | 426,100 | 14,015 | |||||||||
Other Securities | 5.0 | 63,939 | ||||||||||
|
| |||||||||||
149,817 | ||||||||||||
|
| |||||||||||
Energy — 9.0% |
| |||||||||||
Canadian Natural Resources | 0.9 | 396,813 | 11,615 | |||||||||
EOG Resources (A) | 1.1 | 196,118 | 13,926 | |||||||||
Exxon Mobil | 1.3 | 229,700 | 16,683 | |||||||||
FMC Technologies* (A) | 1.1 | 364,494 | 13,705 | |||||||||
Schlumberger | 1.1 | 236,582 | 14,131 | |||||||||
Other Securities | 3.5 | 45,667 | ||||||||||
|
| |||||||||||
115,727 | ||||||||||||
|
| |||||||||||
Financials — 3.8% |
| |||||||||||
CME Group | 1.0 | 49,358 | 12,162 | |||||||||
Intercontinental Exchange* (A) | 0.9 | 97,850 | 11,572 | |||||||||
Other Securities | 1.9 | 25,741 | ||||||||||
|
| |||||||||||
49,475 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 14.0% |
| |||||||||||
Allergan | 1.5 | % | 236,245 | $ | 19,462 | |||||||
Covance* | 0.9 | 255,415 | 11,608 | |||||||||
DaVita* | 0.6 | 131,489 | 8,240 | |||||||||
Express Scripts* | 1.2 | 405,013 | 15,014 | |||||||||
Idexx Laboratories* (A) | 0.7 | 135,991 | 9,379 | |||||||||
Illumina* (A) | 0.7 | 219,015 | 8,962 | |||||||||
Intuitive Surgical* (A) | 1.0 | 35,631 | 12,980 | |||||||||
Other Securities | 7.4 | 93,746 | ||||||||||
|
| |||||||||||
179,391 | ||||||||||||
|
| |||||||||||
Industrials — 9.4% |
| |||||||||||
Caterpillar | 0.8 | 139,900 | 10,330 | |||||||||
Danaher | 0.9 | 267,512 | 11,219 | |||||||||
Fluor | 1.0 | 264,282 | 12,303 | |||||||||
Roper Industries | 0.8 | 154,366 | 10,637 | |||||||||
Stericycle* (A) | 1.3 | 205,308 | 16,572 | |||||||||
Other Securities | 4.6 | 59,333 | ||||||||||
|
| |||||||||||
120,394 | ||||||||||||
|
| |||||||||||
Information Technology — 31.2% |
| |||||||||||
Accenture, Cl A (A) | 0.9 | 223,683 | 11,784 | |||||||||
Amphenol, Cl A | 0.7 | 213,575 | 8,708 | |||||||||
Ansys* | 0.7 | 187,240 | 9,182 | |||||||||
Apple* | 5.9 | 200,563 | 76,450 | |||||||||
Citrix Systems* | 1.1 | 254,903 | 13,900 | |||||||||
Cognizant Technology Solutions, Cl A* (A) | 0.9 | 186,652 | 11,703 | |||||||||
Google, Cl A* | 3.2 | 79,609 | 40,949 | |||||||||
Intuit | 0.9 | 241,200 | 11,443 | |||||||||
Mastercard, Cl A | 2.3 | 91,900 | 29,147 | |||||||||
Microsoft | 0.8 | 379,093 | 9,436 | |||||||||
National Instruments | 0.6 | 367,444 | 8,400 | |||||||||
NetApp* (A) | 0.8 | 291,964 | 9,909 | |||||||||
Oracle | 0.8 | 358,220 | 10,295 | |||||||||
Qualcomm | 2.4 | 632,215 | 30,745 | |||||||||
Teradata* | 0.9 | 225,900 | 12,092 | |||||||||
VeriSign | 0.8 | 348,600 | 9,973 | |||||||||
Visa, Cl A (A) | 1.3 | 191,350 | 16,402 | |||||||||
Other Securities | 6.2 | 81,095 | ||||||||||
|
| |||||||||||
401,613 | ||||||||||||
|
| |||||||||||
Materials — 2.5% |
| |||||||||||
Other Securities | 2.5 | 32,013 | ||||||||||
|
| |||||||||||
Telecommunication Services — 1.1% |
| |||||||||||
Crown Castle International* | 1.0 | 326,900 | 13,295 | |||||||||
Other Securities | 0.1 | 1,089 | ||||||||||
|
| |||||||||||
14,384 | ||||||||||||
|
|
32 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 0.5% |
| |||||||||||
Other Securities | 0.5 | % | $ | 5,841 | ||||||||
|
| |||||||||||
Total Common Stock |
| 1,257,808 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 14.2% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.130%**† (B) | 14.2 | 186,265,391 | 182,576 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 182,576 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 2.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 2.0 | 25,517,997 | 25,518 | |||||||||
Other Securities | 0.2 | 2,426 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 27,944 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,257 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,257 | ||||||||||
|
| |||||||||||
Total Investments — 114.5% |
| $ | 1,471,585 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 301 | Dec-2011 | $ | (813 | ) | |||||||
Russell 2000 Index E-MINI | 40 | Dec-2011 | (207 | ) | ||||||||
|
| |||||||||||
$ | (1,020 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $1,285,233 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | 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, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $177,214 ($ 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, 2011 was $182,576 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
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 issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). 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, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,257,808 | $ | — | $ | — | $ | 1,257,808 | ||||||||
Affiliated Partnership | — | 182,576 | — | 182,576 | ||||||||||||
Cash Equivalents | 25,518 | 2,426 | — | 27,944 | ||||||||||||
U.S. Treasury Obligations | — | 3,257 | — | 3,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,283,326 | $ | 188,259 | $ | — | $ | 1,471,585 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (1,020 | ) | $ | — | $ | — | $ | (1,020 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,020 | ) | $ | — | $ | — | $ | (1,020 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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, 2011 | 33 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 99.0% |
| |||||||||||
Consumer Discretionary — 13.9% |
| |||||||||||
Apollo Group, Cl A* | 0.5 | % | 195,978 | $ | 7,763 | |||||||
CBS, Cl B | 0.6 | 451,553 | 9,203 | |||||||||
Coach | 1.0 | 300,249 | 15,562 | |||||||||
Harley-Davidson | 0.5 | 231,344 | 7,942 | |||||||||
Lowe’s | 0.7 | 569,040 | 11,005 | |||||||||
Macy’s | 0.6 | 331,340 | 8,721 | |||||||||
McDonald’s | 0.6 | 95,639 | 8,399 | |||||||||
Nike, Cl B | 0.7 | 120,799 | 10,330 | |||||||||
Target | 0.8 | 247,603 | 12,142 | |||||||||
Time Warner Cable, Cl A | 0.5 | 124,373 | 7,794 | |||||||||
Other Securities | 7.4 | 108,655 | ||||||||||
|
| |||||||||||
207,516 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.2% |
| |||||||||||
Coca-Cola | 0.8 | 182,111 | 12,303 | |||||||||
Costco Wholesale | 1.2 | 209,569 | 17,210 | |||||||||
Mead Johnson Nutrition, Cl A | 0.9 | 188,136 | 12,949 | |||||||||
Philip Morris International | 0.5 | 124,558 | 7,770 | |||||||||
Procter & Gamble | 1.3 | 305,330 | 19,291 | |||||||||
Walgreen | 0.5 | 226,237 | 7,441 | |||||||||
Wal-Mart Stores | 0.6 | 172,048 | 8,929 | |||||||||
Other Securities | 4.4 | 67,121 | ||||||||||
|
| |||||||||||
153,014 | ||||||||||||
|
| |||||||||||
Energy — 9.8% |
| |||||||||||
Chevron | 1.6 | 256,751 | 23,755 | |||||||||
ConocoPhillips | 1.4 | 326,204 | 20,655 | |||||||||
Exxon Mobil | 1.3 | 272,146 | 19,766 | |||||||||
Schlumberger | 0.8 | 195,377 | 11,670 | |||||||||
Other Securities | 4.7 | 70,963 | ||||||||||
|
| |||||||||||
146,809 | ||||||||||||
|
| |||||||||||
Financials — 11.7% |
| |||||||||||
Capital One Financial (A) | 0.5 | 181,999 | 7,213 | |||||||||
Citigroup | 0.5 | 314,295 | 8,052 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 1.3 | % | 644,177 | $ | 19,403 | |||||||
Wells Fargo | 1.0 | 611,901 | 14,759 | |||||||||
Other Securities | 8.4 | 126,006 | ||||||||||
|
| |||||||||||
175,433 | ||||||||||||
|
| |||||||||||
Health Care — 13.0% |
| |||||||||||
Allergan | 0.8 | 144,706 | 11,921 | |||||||||
Amgen | 1.0 | 275,324 | 15,129 | |||||||||
Celgene* | 0.5 | 118,659 | 7,347 | |||||||||
Intuitive Surgical* | 0.5 | 19,439 | 7,081 | |||||||||
Johnson & Johnson | 1.2 | 278,618 | 17,751 | |||||||||
Merck | 0.9 | 400,535 | 13,101 | |||||||||
Pfizer | 1.1 | 954,300 | 16,872 | |||||||||
UnitedHealth Group | 0.7 | 224,892 | 10,372 | |||||||||
Other Securities | 6.3 | 95,331 | ||||||||||
|
| |||||||||||
194,905 | ||||||||||||
|
| |||||||||||
Industrials — 8.7% |
| |||||||||||
General Electric | 1.1 | 1,040,296 | 15,854 | |||||||||
Precision Castparts | 0.8 | 74,974 | 11,655 | |||||||||
Other Securities | 6.8 | 103,482 | ||||||||||
|
| |||||||||||
130,991 | ||||||||||||
|
| |||||||||||
Information Technology — 22.3% |
| |||||||||||
Adobe Systems* | 0.6 | 362,339 | 8,758 | |||||||||
Apple* | 3.2 | 126,936 | 48,385 | |||||||||
Cisco Systems | 0.7 | 647,869 | 10,036 | |||||||||
Citrix Systems* | 0.5 | 137,048 | 7,473 | |||||||||
Google, Cl A* | 1.8 | 52,993 | 27,259 | |||||||||
Intel | 1.6 | 1,079,376 | 23,023 | |||||||||
International Business Machines | 0.8 | 64,371 | 11,267 | |||||||||
Mastercard, Cl A | 1.2 | 54,569 | 17,307 | |||||||||
Microsoft | 1.0 | 571,607 | 14,227 | |||||||||
Oracle | 1.2 | 614,753 | 17,668 | |||||||||
Qualcomm | 1.4 | 428,623 | 20,844 | |||||||||
Visa, Cl A (A) | 0.6 | 104,451 | 8,954 | |||||||||
Other Securities | 7.7 | 118,069 | ||||||||||
|
| |||||||||||
333,270 | ||||||||||||
|
| |||||||||||
Materials — 2.6% |
| |||||||||||
Other Securities | 2.6 | 38,314 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.6% |
| |||||||||||
AT&T | 1.6 | 815,594 | 23,261 | |||||||||
Verizon Communications (A) | 1.1 | 466,738 | 17,176 | |||||||||
Other Securities | 0.9 | 13,631 | ||||||||||
|
| |||||||||||
54,068 | ||||||||||||
|
| |||||||||||
Utilities — 3.2% |
| |||||||||||
American Electric Power | 0.6 | 224,436 | 8,533 |
34 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 2.6 | % | $ | 38,785 | ||||||||
|
| |||||||||||
47,318 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,481,638 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 7.9% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.130%**† (B) | 7.9 | 122,520,224 | 118,529 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 118,529 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 1.3 | 19,398,403 | 19,398 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 19,398 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,314 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 3,314 | ||||||||||
|
| |||||||||||
Total Investments — 108.4% |
| $ | 1,622,879 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 255 | Dec-2011 | $ | (641 | ) | |||||||
S&P Mid 400 Index E-MINI | 29 | Dec-2011 | (186 | ) | ||||||||
|
| |||||||||||
$ | (827 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $1,496,696 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $116,488 ($ 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, 2011 was $118,529 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
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 issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). 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, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,481,638 | $ | — | $ | — | $ | 1,481,638 | ||||||||
Affiliated Partnership | — | 118,529 | — | 118,529 | ||||||||||||
Cash Equivalent | 19,398 | — | — | 19,398 | ||||||||||||
U.S. Treasury Obligation | — | 3,314 | — | 3,314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,501,036 | $ | 121,843 | $ | — | $ | 1,622,879 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (827 | ) | $ | — | $ | — | $ | (827 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (827 | ) | $ | — | $ | — | $ | (827 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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, 2011 | 35 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.1% |
| |||||||||||
Consumer Discretionary — 10.3% |
| |||||||||||
Amazon.com* (A) | 0.7 | % | 49,600 | $ | 10,725 | |||||||
Comcast, Cl A | 0.6 | 375,822 | 7,855 | |||||||||
Home Depot | 0.5 | 210,996 | 6,935 | |||||||||
McDonald’s | 0.8 | 140,770 | 12,362 | |||||||||
Walt Disney (A) | 0.5 | 253,727 | 7,652 | |||||||||
Other Securities | 7.2 | 104,040 | ||||||||||
|
| |||||||||||
149,569 | ||||||||||||
|
| |||||||||||
Consumer Staples — 11.2% |
| |||||||||||
Altria Group | 0.5 | 283,256 | 7,594 | |||||||||
Coca-Cola | 1.4 | 312,953 | 21,143 | |||||||||
CVS Caremark | 0.4 | 184,035 | 6,180 | |||||||||
Kraft Foods, Cl A | 0.6 | 241,398 | 8,106 | |||||||||
PepsiCo | 0.9 | 215,985 | 13,369 | |||||||||
Philip Morris International | 1.0 | 239,565 | 14,944 | |||||||||
Procter & Gamble | 1.6 | 374,501 | 23,661 | |||||||||
Wal-Mart Stores (A) | 0.9 | 239,944 | 12,453 | |||||||||
Other Securities | 3.9 | 56,600 | ||||||||||
|
| |||||||||||
164,050 | ||||||||||||
|
| |||||||||||
Energy — 11.1% |
| |||||||||||
Chevron | 1.7 | 272,978 | 25,256 | |||||||||
ConocoPhillips (A) | 0.8 | 187,443 | 11,869 | |||||||||
Exxon Mobil | 3.3 | 662,198 | 48,095 | |||||||||
Occidental Petroleum | 0.5 | 111,059 | 7,941 | |||||||||
Schlumberger | 0.8 | 184,243 | 11,005 | |||||||||
Other Securities | 4.0 | 58,246 | ||||||||||
|
| |||||||||||
162,412 | ||||||||||||
|
| |||||||||||
Financials — 13.1% |
| |||||||||||
American Express | 0.4 | 142,115 | 6,381 | |||||||||
Bank of America | 0.6 | 1,384,828 | 8,475 | |||||||||
Berkshire Hathaway, | 1.2 | 239,847 | 17,039 | |||||||||
Citigroup | 0.7 | 398,408 | 10,207 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Goldman Sachs Group | 0.5 | % | 69,156 | �� | $ | 6,539 | ||||||
JPMorgan Chase | 1.1 | 531,757 | 16,016 | |||||||||
US Bancorp | 0.4 | 262,906 | 6,189 | |||||||||
Wells Fargo | 1.2 | 719,963 | 17,366 | |||||||||
Other Securities | 7.0 | 102,257 | ||||||||||
|
| |||||||||||
190,469 | ||||||||||||
|
| |||||||||||
Health Care — 11.7% |
| |||||||||||
Abbott Laboratories | 0.7 | 212,546 | 10,870 | |||||||||
Amgen | 0.5 | 126,418 | 6,947 | |||||||||
Bristol-Myers Squibb (A) | 0.5 | 233,275 | 7,320 | |||||||||
Johnson & Johnson | 1.6 | 373,482 | 23,794 | |||||||||
Merck | 0.9 | 420,344 | 13,749 | |||||||||
Pfizer | 1.3 | 1,063,776 | 18,808 | |||||||||
UnitedHealth Group | 0.5 | 147,247 | 6,791 | |||||||||
Other Securities | 5.7 | 81,871 | ||||||||||
|
| |||||||||||
170,150 | ||||||||||||
|
| |||||||||||
Industrials — 9.8% |
| |||||||||||
3M | 0.5 | 97,082 | 6,969 | |||||||||
Boeing | 0.4 | 101,432 | 6,138 | |||||||||
Caterpillar | 0.5 | 88,397 | 6,527 | |||||||||
General Electric | 1.5 | 1,444,874 | 22,020 | |||||||||
United Parcel Service, Cl B | 0.6 | 134,011 | 8,463 | |||||||||
United Technologies | 0.6 | 124,132 | 8,734 | |||||||||
Other Securities | 5.7 | 83,701 | ||||||||||
|
| |||||||||||
142,552 | ||||||||||||
|
| |||||||||||
Information Technology — 18.8% |
| |||||||||||
Apple* | 3.3 | 126,231 | 48,117 | |||||||||
Cisco Systems | 0.8 | 750,804 | 11,630 | |||||||||
Google, Cl A* | 1.2 | 34,391 | 17,690 | |||||||||
Hewlett-Packard | 0.4 | 283,765 | 6,370 | |||||||||
Intel | 1.0 | 716,215 | 15,277 | |||||||||
International Business Machines | 1.9 | 162,737 | 28,484 | |||||||||
Microsoft | 1.7 | 1,016,193 | 25,293 | |||||||||
Oracle | 1.1 | 538,888 | 15,488 | |||||||||
Qualcomm | 0.8 | 229,332 | 11,152 | |||||||||
Other Securities | 6.6 | 93,927 | ||||||||||
|
| |||||||||||
273,428 | ||||||||||||
|
| |||||||||||
Materials — 3.2% |
| |||||||||||
Other Securities | 3.2 | 47,144 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.1% |
| |||||||||||
AT&T | 1.6 | 807,740 | 23,037 | |||||||||
Verizon Communications | 1.0 | 386,198 | 14,212 | |||||||||
Other Securities | 0.5 | 8,617 | ||||||||||
|
| |||||||||||
45,866 | ||||||||||||
|
|
36 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.8% |
| |||||||||||
Other Securities | 3.8 | % | $ | 55,269 | ||||||||
|
| |||||||||||
Total Common Stock |
| 1,400,909 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 9.7% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.130%**† (B) | 9.7 | 144,794,925 | 141,957 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 141,957 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 3.5 | 50,902,659 | 50,903 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 50,903 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 5,400 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 5,400 | ||||||||||
|
| |||||||||||
Total Investments — 109.7% |
| $ | 1,599,169 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 1,038 | Dec-2011 | $ | (2,827 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $1,458,272 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $137,997 ($ 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, 2011 was $141,957 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
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 issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). 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, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,400,909 | $ | — | $ | — | $ | 1,400,909 | ||||||||
Affiliated Partnership | — | 141,957 | — | 141,957 | ||||||||||||
Cash Equivalent | 50,903 | — | — | 50,903 | ||||||||||||
U.S. Treasury Obligations | — | 5,400 | — | 5,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,451,812 | $ | 147,357 | $ | — | $ | 1,599,169 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (2,827 | ) | $ | — | $ | — | $ | (2,827 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (2,827 | ) | $ | — | $ | — | $ | (2,827 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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, 2011 | 37 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.5% |
| |||||||||||
Consumer Discretionary — 12.5% |
| |||||||||||
American Public Education* (A) | 0.4 | % | 23,623 | $ | 803 | |||||||
Childrens Place Retail Stores* (A) | 0.5 | 21,158 | 985 | |||||||||
Jones Group (A) | 0.4 | 85,967 | 792 | |||||||||
Life Time Fitness* (A) | 0.5 | 27,397 | 1,010 | |||||||||
National CineMedia | 0.3 | 42,480 | 616 | |||||||||
Other Securities | 10.4 | 21,196 | ||||||||||
|
| |||||||||||
25,402 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.6% |
| |||||||||||
Ruddick (A) | 0.3 | 15,455 | 603 | |||||||||
Other Securities | 2.3 | 4,797 | ||||||||||
|
| |||||||||||
5,400 | ||||||||||||
|
| |||||||||||
Energy — 6.6% |
| |||||||||||
Berry Petroleum, Cl A | 0.3 | 17,824 | 631 | |||||||||
Dril-Quip* | 0.3 | 11,100 | 598 | |||||||||
Other Securities | 6.0 | 12,332 | ||||||||||
|
| |||||||||||
13,561 | ||||||||||||
|
| |||||||||||
Financials — 19.1% |
| |||||||||||
BioMed Realty Trust† | 0.4 | 47,285 | 784 | |||||||||
Education Realty Trust† | 0.4 | 95,995 | 825 | |||||||||
FirstMerit | 0.4 | 65,036 | 739 | |||||||||
Hancock Holding | 0.4 | 34,178 | 915 | |||||||||
Hanover Insurance Group | 0.5 | 28,542 | 1,013 | |||||||||
Highwoods Properties† (A) | 0.5 | 36,277 | 1,025 | |||||||||
Meadowbrook Insurance Group | 0.5 | 107,718 | 960 | |||||||||
National Retail Properties† (A) | 0.5 | 34,763 | 934 | |||||||||
Western Alliance Bancorp* (A) | 0.5 | 173,182 | 949 | |||||||||
Other Securities | 15.0 | 30,851 | ||||||||||
|
| |||||||||||
38,995 | ||||||||||||
|
| |||||||||||
Health Care — 13.8% |
| |||||||||||
Ariad Pharmaceuticals* (A) | 0.3 | 74,030 | 651 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Cubist Pharmaceuticals* (A) | 0.4 | % | 25,662 | $ | 906 | |||||||
Healthspring* | 0.4 | 21,750 | 793 | |||||||||
Invacare | 0.3 | 27,038 | 623 | |||||||||
Magellan Health Services* | 0.6 | 26,997 | 1,304 | |||||||||
Medicis Pharmaceutical, Cl A | 0.3 | 18,757 | 684 | |||||||||
Mednax* (A) | 0.3 | 9,835 | 616 | |||||||||
Questcor Pharmaceuticals* (A) | 0.5 | 35,250 | 961 | |||||||||
Other Securities | 10.7 | 21,536 | ||||||||||
|
| |||||||||||
28,074 | ||||||||||||
|
| |||||||||||
Industrials — 17.1% |
| |||||||||||
Actuant, Cl A (A) | 0.3 | 34,488 | 681 | |||||||||
AerCap Holdings* | 0.3 | 61,058 | 606 | |||||||||
EMCOR Group | 0.4 | 40,584 | 825 | |||||||||
Geo Group* | 0.3 | 38,050 | 706 | |||||||||
HEICO (A) | 0.3 | 14,311 | 705 | |||||||||
Marten Transport | 0.3 | 36,650 | 632 | |||||||||
Old Dominion Freight Line* | 0.4 | 29,909 | 866 | |||||||||
Robbins & Myers | 0.4 | 24,717 | 858 | |||||||||
Wabash National* (A) | 0.6 | 237,243 | 1,132 | |||||||||
Other Securities | 13.8 | 27,873 | ||||||||||
|
| |||||||||||
34,884 | ||||||||||||
|
| |||||||||||
Information Technology — 16.4% |
| |||||||||||
Adtran | 0.3 | 22,775 | 603 | |||||||||
BroadSoft* (A) | 0.5 | 30,991 | 941 | |||||||||
Digital River* (A) | 0.3 | 29,635 | 614 | |||||||||
Hittite Microwave* | 0.3 | 13,800 | 672 | |||||||||
Inphi* (A) | 0.4 | 84,455 | 741 | |||||||||
Integrated Device Technology* (A) | 0.3 | 117,791 | 607 | |||||||||
Mellanox Technologies* | 0.4 | 24,110 | 753 | |||||||||
Parametric Technology* | 0.3 | 44,499 | 684 | |||||||||
Sycamore Networks | 0.3 | 35,176 | 635 | |||||||||
Other Securities | 13.3 | 27,118 | ||||||||||
|
| |||||||||||
33,368 | ||||||||||||
|
| |||||||||||
Materials — 4.5% |
| |||||||||||
Globe Specialty Metals | 0.4 | 51,761 | 752 | |||||||||
Innophos Holdings | 0.4 | 18,158 | 724 | |||||||||
PolyOne | 0.4 | 71,460 | 765 | |||||||||
RTI International Metals* (A) | 0.4 | 30,595 | 713 | |||||||||
Other Securities | 2.9 | 6,281 | ||||||||||
|
| |||||||||||
9,235 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.7% |
| |||||||||||
Other Securities | 0.7 | 1,429 | ||||||||||
|
| |||||||||||
Utilities — 3.2% |
| |||||||||||
PNM Resources | 0.3 | 36,344 | 597 | |||||||||
Portland General Electric | 0.3 | 27,995 | 663 | |||||||||
UIL Holdings (A) | 0.4 | 26,876 | 885 |
38 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 2.2 | % | $ | 4,328 | ||||||||
|
| |||||||||||
6,473 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 196,821 | ||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.1% |
| |||||||||||
Energy — 0.1% |
| |||||||||||
Other Securities | 0.1 | 70 | ||||||||||
|
| |||||||||||
Financials — 0.0% |
| |||||||||||
Other Securities | 0.0 | 26 | ||||||||||
|
| |||||||||||
Total Convertible Bonds |
| 96 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.1% |
| |||||||||||
Consumer Discretionary — 0.1% |
| |||||||||||
Other Securities | 0.1 | 103 | ||||||||||
|
| |||||||||||
Energy — 0.0% |
| |||||||||||
Other Securities | 0.0 | 49 | ||||||||||
|
| |||||||||||
Financials — 0.0% |
| |||||||||||
Other Securities | 0.0 | 46 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 198 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | 6 | ||||||||||
|
| |||||||||||
Total Warrants |
| 6 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 29.1% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.130%**†† (B) | 29.1 | 59,288,692 | 59,289 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 59,289 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.4% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 3.4 | 6,921,005 | 6,921 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 6,921 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.6% |
| |||||||||||
U.S. Treasury Bills | 0.4 | % | $ | 753 | $ | 753 | ||||||
Other Securities | 0.2 | 510 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,263 | ||||||||||
|
| |||||||||||
Total Investments — 129.8% |
| $ | 264,594 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 75 | Dec-2011 | $ | (213 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $203,909 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | 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, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $55,648 ($ 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, 2011 was $59,289 ($ Thousands). |
(C) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
Cl — Class
L.P. — Limited Partnership
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 196,817 | $ | 2 | $ | 2 | $ | 196,821 | ||||||||
Convertible Bonds | — | 96 | — | 96 | ||||||||||||
Preferred Stock | — | 198 | — | 198 | ||||||||||||
Warrants | — | 6 | — | 6 | ||||||||||||
Affiliated Partnership | — | 59,289 | — | 59,289 | ||||||||||||
Cash Equivalent | 6,921 | — | — | 6,921 | ||||||||||||
U.S. Treasury Obligations | — | 1,263 | — | 1,263 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 203,738 | $ | 60,854 | $ | 2 | $ | 264,594 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (213 | ) | $ | — | $ | — | $ | (213 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (213 | ) | $ | — | $ | — | $ | (213 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 39 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Fund (Concluded)
September 30, 2011
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, 2010 | $ | 6 | $ | 19 | ||||
Accrued discounts/premiums | — | (1 | ) | |||||
Realized gain/(loss) | — | 2 | ||||||
Change in unrealized appreciation/(depreciation) | (4 | ) | — | |||||
Net purchases/sales | — | (20 | ) | |||||
Net transfer in and/or out of Level 3 | — | — | ||||||
|
|
|
| |||||
Ending balance as of September 30, 2011 | $ | 2 | $ | — | ||||
|
|
|
| |||||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (4 | ) | $ | — | |||
|
|
|
|
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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.
40 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.6%‡ |
| |||||||||||
Consumer Discretionary — 9.5% |
| |||||||||||
Regis (A) | 0.5 | % | 139,424 | $ | 1,964 | |||||||
Rent-A-Center | 0.5 | 73,800 | 2,026 | |||||||||
Other Securities | 8.5 | 32,082 | ||||||||||
|
| |||||||||||
36,072 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.6% |
| |||||||||||
Corn Products International | 0.4 | 36,258 | 1,423 | |||||||||
Pantry* | 0.5 | 144,953 | 1,758 | |||||||||
Other Securities | 2.7 | 10,426 | ||||||||||
|
| |||||||||||
13,607 | ||||||||||||
|
| |||||||||||
Energy — 4.7% |
| |||||||||||
Berry Petroleum, Cl A (A) | 0.4 | 43,513 | 1,540 | |||||||||
Other Securities | 4.3 | 16,511 | ||||||||||
|
| |||||||||||
18,051 | ||||||||||||
|
| |||||||||||
Financials — 34.7% |
| |||||||||||
AvalonBay Communities† (A) | 0.4 | 12,719 | 1,451 | |||||||||
BioMed Realty Trust† (A) | 0.4 | 104,392 | 1,730 | |||||||||
Boston Private Financial Holdings (A) | 0.5 | 295,228 | 1,736 | |||||||||
CNO Financial Group* | 0.4 | 291,900 | 1,579 | |||||||||
Education Realty Trust† | 0.4 | 163,464 | 1,404 | |||||||||
Endurance Specialty Holdings | 0.4 | 48,384 | 1,652 | |||||||||
Equity Residential† | 0.5 | 39,100 | 2,028 | |||||||||
FirstMerit | 0.5 | 154,878 | 1,759 | |||||||||
Hancock Holding (A) | 0.6 | 84,915 | 2,274 | |||||||||
HCP† | 0.5 | 53,262 | 1,867 | |||||||||
Highwoods Properties† (A) | 0.4 | 49,545 | 1,400 | |||||||||
Infinity Property & Casualty (A) | 0.4 | 31,113 | 1,633 | |||||||||
Meadowbrook Insurance Group (A) | 0.7 | 287,673 | 2,563 | |||||||||
Mid-America Apartment Communities† (A) | 0.5 | 29,555 | 1,780 | |||||||||
Ocwen Financial* (A) | 0.4 | 109,300 | 1,444 | |||||||||
Platinum Underwriters Holdings | 0.7 | 85,574 | 2,631 | |||||||||
ProAssurance (A) | 0.5 | 27,463 | 1,978 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
ProLogis† | 0.4 | % | 63,244 | $ | 1,534 | |||||||
Simon Property Group† | 0.5 | 18,294 | 2,012 | |||||||||
Ventas† (A) | 0.4 | 30,319 | 1,498 | |||||||||
Western Alliance Bancorp* (A) | 0.4 | 272,775 | 1,495 | |||||||||
Other Securities | 24.8 | 94,757 | ||||||||||
|
| |||||||||||
132,205 | ||||||||||||
|
| |||||||||||
Health Care — 4.7% |
| |||||||||||
Conmed* | 0.4 | 64,910 | 1,494 | |||||||||
Magellan Health Services* | 0.4 | 29,035 | 1,402 | |||||||||
Other Securities | 3.9 | 15,004 | ||||||||||
|
| |||||||||||
17,900 | ||||||||||||
|
| |||||||||||
Industrials — 17.8% |
| |||||||||||
Belden | 0.4 | 53,382 | 1,377 | |||||||||
EMCOR Group | 0.6 | 116,918 | 2,377 | |||||||||
FTI Consulting* (A) | 0.7 | 75,600 | 2,783 | |||||||||
G&K Services | 0.5 | 66,621 | 1,702 | |||||||||
Geo Group* | 0.6 | 127,400 | 2,365 | |||||||||
Kaydon | 0.7 | 86,422 | 2,479 | |||||||||
Spirit Airlines* (A) | 0.5 | 140,700 | 1,759 | |||||||||
Teledyne Technologies* | 0.4 | 35,158 | 1,718 | |||||||||
Teleflex (A) | 0.5 | 37,066 | 1,993 | |||||||||
Tetra Tech* | 0.6 | 117,416 | 2,200 | |||||||||
Towers Watson, Cl A | 0.6 | 38,769 | 2,317 | |||||||||
Tutor Perini | 0.4 | 138,300 | 1,589 | |||||||||
Wabash National* (A) | 0.4 | 344,700 | 1,644 | |||||||||
Other Securities | 10.9 | 41,519 | ||||||||||
|
| |||||||||||
67,822 | ||||||||||||
|
| |||||||||||
Information Technology — 12.0% |
| |||||||||||
CACI International, Cl A* | 0.4 | 31,429 | 1,570 | |||||||||
Diebold (A) | 0.6 | 80,111 | 2,204 | |||||||||
Digital River* (A) | 0.7 | 125,065 | 2,593 | |||||||||
Earthlink (A) | 0.4 | 237,535 | 1,551 | |||||||||
Other Securities | 9.9 | 37,866 | ||||||||||
|
| |||||||||||
45,784 | ||||||||||||
|
| |||||||||||
Materials — 5.6% |
| |||||||||||
RTI International Metals* (A) | 0.4 | 69,348 | 1,617 | |||||||||
Sensient Technologies | 0.5 | 58,655 | 1,909 | |||||||||
Other Securities | 4.7 | 17,926 | ||||||||||
|
| |||||||||||
21,452 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.7% |
| |||||||||||
Other Securities | 0.7 | 2,883 | ||||||||||
|
| |||||||||||
Utilities — 4.3% |
| |||||||||||
AGL Resources | 0.4 | 37,383 | 1,523 | |||||||||
Great Plains Energy (A) | 0.6 | 119,752 | 2,311 | |||||||||
Portland General Electric | 1.1 | 183,499 | 4,347 | |||||||||
Other Securities | 2.2 | 8,220 | ||||||||||
|
| |||||||||||
16,401 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 372,177 | ||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 41 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Value Fund (concluded)
September 30, 2011
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | $ | 300 | ||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 300 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Energy — 0.0% |
| |||||||||||
Other Securities | 0.0 | 160 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 160 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
WARRANT — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrant |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 26.0% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.130%**†† (B) | 26.0 | 102,791,837 | 98,987 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 98,987 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.7% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 2.7 | 10,219,315 | 10,219 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 10,219 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.5% |
| |||||||||||
U.S. Treasury Bills | 0.5 | $ | 1,857 | 1,857 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,857 | ||||||||||
|
| |||||||||||
Total Investments — 126.9% |
| $ | 483,700 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 93 | Dec-2011 | $ | (523 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $381,130 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
‡ | 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, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $96,575 ($ 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, 2011 was $98,987 ($ Thousands). |
(C) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 371,821 | $ | — | $ | 356 | $ | 372,177 | ||||||||
Exchange Traded Fund | 300 | — | — | 300 | ||||||||||||
Preferred Stock | — | 160 | — | 160 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 98,987 | — | 98,987 | ||||||||||||
Cash Equivalent | 10,219 | — | — | 10,219 | ||||||||||||
U.S. Treasury Obligation | — | 1,857 | — | 1,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 382,340 | $ | 101,004 | $ | 356 | $ | 483,700 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (523 | ) | $ | — | $ | — | $ | (523 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (523 | ) | $ | — | $ | — | $ | (523 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are value at the unrealized depreciation 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, 2010 | $ | 398 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (42 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | — | |||
|
| |||
Ending balance as of September 30, 2011 | $ | 356 | ||
|
| |||
Changes in unrealized gains (losses included in earnings to securities still held at reporting date | $ | (42 | ) | |
|
|
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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.
42 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Growth Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.8% |
| |||||||||||
Consumer Discretionary — 15.1% |
| |||||||||||
American Public Education* (A) | 0.6 | % | 51,494 | $ | 1,751 | |||||||
Life Time Fitness* (A) | 0.8 | 61,983 | 2,284 | |||||||||
National CineMedia | 0.9 | 163,726 | 2,376 | |||||||||
Oxford Industries (A) | 0.4 | 33,900 | 1,163 | |||||||||
Saks* (A) | 0.5 | 169,955 | 1,487 | |||||||||
Shutterfly* | 0.5 | 34,871 | 1,436 | |||||||||
Skullcandy* (A) | 0.5 | 88,848 | 1,255 | |||||||||
Ulta Salon Cosmetics & Fragrance* (A) | 0.6 | 24,200 | 1,506 | |||||||||
Zumiez* (A) | 0.6 | 96,588 | 1,691 | |||||||||
Other Securities | 9.7 | 26,462 | ||||||||||
|
| |||||||||||
41,411 | ||||||||||||
|
| |||||||||||
Consumer Staples — 1.8% |
| |||||||||||
Fresh Market* (A) | 0.4 | 30,475 | 1,163 | |||||||||
Lancaster Colony (A) | 0.6 | 26,657 | 1,626 | |||||||||
Other Securities | 0.8 | 2,160 | ||||||||||
|
| |||||||||||
4,949 | ||||||||||||
|
| |||||||||||
Energy — 8.1% |
| |||||||||||
Comstock Resources* (A) | 0.5 | 91,247 | 1,411 | |||||||||
Dril-Quip* | 0.5 | 23,100 | 1,245 | |||||||||
Goodrich Petroleum* (A) | 0.5 | 114,766 | 1,357 | |||||||||
Quicksilver Resources* (A) | 0.5 | 164,886 | 1,250 | |||||||||
World Fuel Services | 0.5 | 40,322 | 1,316 | |||||||||
Other Securities | 5.6 | 15,810 | ||||||||||
|
| |||||||||||
22,389 | ||||||||||||
|
| |||||||||||
Financials — 7.1% |
| |||||||||||
Financial Engines* (A) | 0.5 | 72,013 | 1,304 | |||||||||
MarketAxess Holdings | 0.6 | 59,592 | 1,551 | |||||||||
Other Securities | 5.9 | 16,604 | ||||||||||
|
| |||||||||||
19,459 | ||||||||||||
|
| |||||||||||
Health Care — 20.6% |
| |||||||||||
Ariad Pharmaceuticals* (A) | 0.5 | 146,600 | 1,289 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
athenahealth* (A) | 0.4 | % | 19,990 | $ | 1,190 | |||||||
Cubist Pharmaceuticals* (A) | 0.7 | 58,393 | 2,062 | |||||||||
Healthspring* | 0.6 | 47,400 | 1,728 | |||||||||
Masimo (A) | 0.6 | 75,364 | 1,632 | |||||||||
NuVasive* (A) | 0.5 | 77,402 | 1,321 | |||||||||
NxStage Medical* (A) | 0.4 | 56,150 | 1,171 | |||||||||
Omnicell* | 0.6 | 122,188 | 1,684 | |||||||||
Questcor Pharmaceuticals* (A) | 0.8 | 86,300 | 2,353 | |||||||||
Zoll Medical* | 0.5 | 33,800 | 1,276 | |||||||||
Other Securities | 15.0 | 41,041 | ||||||||||
|
| |||||||||||
56,747 | ||||||||||||
|
| |||||||||||
Industrials — 17.1% |
| |||||||||||
AerCap Holdings* | 0.5 | 147,922 | 1,467 | |||||||||
CoStar Group* (A) | 0.8 | 41,011 | 2,131 | |||||||||
Middleby* | 0.4 | 17,100 | 1,205 | |||||||||
Polypore International* | 0.5 | 23,550 | 1,331 | |||||||||
Simpson Manufacturing | 0.5 | 51,500 | 1,284 | |||||||||
United Rentals* (A) | 0.5 | 76,477 | 1,288 | |||||||||
Wabtec | 0.6 | 30,009 | 1,587 | |||||||||
Other Securities | 13.5 | 36,762 | ||||||||||
|
| |||||||||||
47,055 | ||||||||||||
|
| |||||||||||
Information Technology — 23.8% |
| |||||||||||
Ancestry.com* (A) | 0.4 | 51,417 | 1,208 | |||||||||
BroadSoft* (A) | 0.8 | 69,608 | 2,113 | |||||||||
Ceva* | 0.6 | 71,333 | 1,734 | |||||||||
Constant Contact* (A) | 0.4 | 68,105 | 1,177 | |||||||||
Gartner* | 0.5 | 39,208 | 1,367 | |||||||||
Hittite Microwave* | 0.5 | 30,100 | 1,466 | |||||||||
Jack Henry & Associates | 0.6 | 52,508 | 1,522 | |||||||||
Measurement Specialties* | 0.5 | 46,364 | 1,204 | |||||||||
Mellanox Technologies* | 0.6 | 53,775 | 1,679 | |||||||||
RealPage* (A) | 0.6 | 81,631 | 1,669 | |||||||||
SolarWinds* (A) | 0.5 | 58,000 | 1,277 | |||||||||
Sycamore Networks | 0.6 | 85,253 | 1,539 | |||||||||
Taleo, Cl A* | 0.4 | 46,200 | 1,188 | |||||||||
VistaPrint* (A) | 0.7 | 67,995 | 1,838 | |||||||||
Other Securities | 16.1 | 44,466 | ||||||||||
|
| |||||||||||
65,447 | ||||||||||||
|
| |||||||||||
Materials — 3.5% |
| |||||||||||
Globe Specialty Metals | 0.4 | 85,153 | 1,236 | |||||||||
Other Securities | 3.0 | 8,283 | ||||||||||
|
| |||||||||||
9,519 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.7% |
| |||||||||||
Other Securities | 0.7 | 1,919 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 268,895 | ||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 43 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Concluded)
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | — | ||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 31.7% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.130%**† (B) | 31.7 | 90,211,020 | 87,261 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 87,261 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.1% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 3.1 | 8,480,345 | 8,480 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 8,480 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,212 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,212 | ||||||||||
|
| |||||||||||
Total Investments — 133.0% |
| $ | 365,848 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 94 | Dec-2011 | $ | (247) | ||||||||
|
|
For the period ended September 30, 2011, 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 $275,101 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $84,713 ($ 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, 2011 was $87,261 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 268,643 | $ | — | $ | 252 | $ | 268,895 | ||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 87,261 | — | 87,261 | ||||||||||||
Cash Equivalent | 8,480 | — | — | 8,480 | ||||||||||||
U.S. Treasury Obligations | — | 1,212 | — | 1,212 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 277,123 | $ | 88,473 | $ | 252 | $ | 365,848 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (247 | ) | $ | — | $ | — | $ | (247 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (247 | ) | $ | — | $ | — | $ | (247 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the 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):
Common Stock | ||||
Beginning balance as of October 1, 2010 | $ | 403 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (296 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | 145 | |||
|
| |||
Ending balance as of September 30, 2011 | $ | 252 | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (296 | ) | |
|
|
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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.
44 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund‡
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.0% |
| |||||||||||
Consumer Discretionary — 14.9% |
| |||||||||||
Chico’s FAS | 0.3 | % | 74,157 | $ | 848 | |||||||
Hanesbrands* | 0.3 | 28,100 | 703 | |||||||||
O’Reilly Automotive* | 0.3 | 10,410 | 694 | |||||||||
Shutterfly* (A) | 0.4 | 24,080 | 992 | |||||||||
Tempur-Pedic International* (A) | 0.5 | 22,074 | 1,161 | |||||||||
Ulta Salon Cosmetics & Fragrance* | 0.4 | 14,370 | 894 | |||||||||
Weight Watchers International | 0.3 | 12,480 | 727 | |||||||||
Other Securities | 12.4 | 32,008 | ||||||||||
|
| |||||||||||
38,027 | ||||||||||||
|
| |||||||||||
Consumer Staples — 4.1% |
| |||||||||||
Diamond Foods (A) | 0.3 | 10,111 | 807 | |||||||||
Green Mountain Coffee Roasters* (A) | 0.5 | 14,070 | 1,308 | |||||||||
Herbalife | 0.3 | 15,197 | 815 | |||||||||
Other Securities | 3.0 | 7,518 | ||||||||||
|
| |||||||||||
10,448 | ||||||||||||
|
| |||||||||||
Energy — 5.5% |
| |||||||||||
Dril-Quip* (A) | 0.3 | 15,693 | 846 | |||||||||
Other Securities | 5.2 | 13,261 | ||||||||||
|
| |||||||||||
14,107 | ||||||||||||
|
| |||||||||||
Financials — 17.6% |
| |||||||||||
Hancock Holding (A) | 0.3 | 27,756 | 743 | |||||||||
ProAssurance (A) | 0.5 | 15,772 | 1,136 | |||||||||
Signature Bank NY* (A) | 0.4 | 18,612 | 888 | |||||||||
Unum Group | 0.3 | 36,883 | 773 | |||||||||
Zions Bancorporation | 0.3 | 56,804 | 799 | |||||||||
Other Securities | 15.8 | 40,489 | ||||||||||
|
| |||||||||||
44,828 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 12.8% |
| |||||||||||
Allscripts Healthcare Solutions* | 0.3 | % | 39,870 | $ | 719 | |||||||
Catalyst Health Solutions* | 0.7 | 28,804 | 1,662 | |||||||||
Cooper | 0.3 | 9,910 | 784 | |||||||||
Coventry Health Care* | 0.4 | 37,538 | 1,081 | |||||||||
Gen-Probe* | 0.3 | 13,750 | 787 | |||||||||
Salix Pharmaceuticals* (A) | 0.3 | 30,704 | 909 | |||||||||
Sirona Dental Systems* | 0.3 | 19,386 | 822 | |||||||||
SXC Health Solutions* | 0.5 | 20,340 | 1,133 | |||||||||
Volcano* (A) | 0.3 | 24,720 | 732 | |||||||||
Other Securities | 9.4 | 24,154 | ||||||||||
|
| |||||||||||
32,783 | ||||||||||||
|
| |||||||||||
Industrials — 15.6% |
| |||||||||||
Advisory Board* (A) | 0.4 | 15,030 | 970 | |||||||||
AGCO* | 0.4 | 27,962 | 967 | |||||||||
BE Aerospace* | 0.3 | 23,260 | 770 | |||||||||
Corrections Corp of America* | 0.3 | 33,910 | 769 | |||||||||
Interface, Cl A (A) | 0.4 | 82,070 | 973 | |||||||||
Kansas City Southern* | 0.3 | 13,786 | 689 | |||||||||
Kaydon (A) | 0.3 | 25,653 | 736 | |||||||||
Moog, Cl A* | 0.3 | 22,795 | 744 | |||||||||
Teledyne Technologies* | 0.3 | 14,148 | 691 | |||||||||
Towers Watson, Cl A | 0.3 | 13,688 | 818 | |||||||||
United Rentals* | 0.3 | 45,520 | 766 | |||||||||
Other Securities | 12.0 | 30,881 | ||||||||||
|
| |||||||||||
39,774 | ||||||||||||
|
| |||||||||||
Information Technology — 16.4% |
| |||||||||||
Adtran (A) | 0.3 | 30,505 | 807 | |||||||||
Ansys* | 0.3 | 14,386 | 705 | |||||||||
Cadence Design Systems* (A) | 0.3 | 86,320 | 798 | |||||||||
Jabil Circuit | 0.3 | 41,010 | 730 | |||||||||
Power Integrations (A) | 0.3 | 22,619 | 692 | |||||||||
QLIK Technologies* | 0.3 | 36,088 | 782 | |||||||||
SolarWinds* (A) | 0.5 | 52,259 | 1,151 | |||||||||
Synopsys* | 0.3 | 30,164 | 735 | |||||||||
Syntel (A) | 0.3 | 16,435 | 710 | |||||||||
VeriFone Holdings* | 0.3 | 22,093 | 774 | |||||||||
Other Securities | 13.2 | 33,914 | ||||||||||
|
| |||||||||||
41,798 | ||||||||||||
|
| |||||||||||
Materials — 5.1% |
| |||||||||||
PolyOne (A) | 0.3 | 73,490 | 787 | |||||||||
Other Securities | 4.8 | 12,352 | ||||||||||
|
| |||||||||||
13,139 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.7% |
| |||||||||||
Other Securities | 0.7 | 1,684 | ||||||||||
|
| |||||||||||
Utilities — 4.3% |
| |||||||||||
AGL Resources | 0.4 | 25,042 | 1,020 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 45 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Concluded)
September 30, 2011
Description | Percentage of Net Assets (%) | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Great Plains Energy (A) | 0.4 | % | 58,008 | $ | 1,120 | |||||||
Portland General Electric (A) | 0.6 | 58,302 | 1,381 | |||||||||
Other Securities | 2.9 | 7,473 | ||||||||||
|
| |||||||||||
10,994 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 247,582 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
WARRANT — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrant |
| — | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.0% |
| |||||||||||
Other Securities | 0.0 | 66 | ||||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 66 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 15.5% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.130%**† (B) | 15.5 | 39,860,685 | 39,567 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 39,567 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 3.3 | 8,452,373 | 8,452 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 8,452 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.4% |
| |||||||||||
U.S. Treasury Bills | 0.4 | $ | 1,000 | 1,000 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,000 | ||||||||||
|
| |||||||||||
Total Investments — 116.2% |
| $ | 296,667 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 49 | Dec-2011 | $ | (148 | ) | |||||||
S&P Mid 400 Index E-MINI | 37 | Dec-2011 | (147 | ) | ||||||||
|
| |||||||||||
$ | (295 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $255,297 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
‡ | See Note 1 in Notes to Financial Statements for additional information. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $37,783 ($ 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, 2011 was $39,567 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
Cl — Class
NY — New York
L.P. — Limited Partnership
S&P — Standard and Poor’s
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 247,582 | $ | — | $ | — | $ | 247,582 | ||||||||
Rights | — | — | — | — | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
Exchange Traded Fund | 66 | — | — | 66 | ||||||||||||
Affiliated Partnership | — | 39,567 | — | 39,567 | ||||||||||||
Cash Equivalent | 8,452 | — | — | 8,452 | ||||||||||||
U.S. Treasury Obligation | — | 1,000 | — | 1,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 256,100 | $ | 40,567 | $ | — | $ | 296,667 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (295 | ) | $ | — | $ | — | $ | (295 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (295 | ) | $ | — | $ | — | $ | (295 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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.
46 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Mid Cap Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.9% |
| |||||||||||
Consumer Discretionary — 14.8% |
| |||||||||||
BorgWarner* (A) | 0.6 | % | 7,800 | $ | 472 | |||||||
Coach | 0.7 | 9,200 | 477 | |||||||||
Harley-Davidson | 1.2 | 26,905 | 923 | |||||||||
International Game Technology | 0.8 | 41,863 | 608 | |||||||||
Marriott International, Cl A (A) | 0.6 | 16,900 | 461 | |||||||||
Newell Rubbermaid | 0.7 | 45,486 | 540 | |||||||||
Royal Caribbean Cruises (A) | 0.8 | 28,366 | 614 | |||||||||
Other Securities | 9.4 | 6,997 | ||||||||||
|
| |||||||||||
11,092 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.5% |
| |||||||||||
Kroger | 0.6 | 21,702 | 477 | |||||||||
Molson Coors Brewing, Cl B | 0.7 | 13,366 | 530 | |||||||||
Other Securities | 2.2 | 1,608 | ||||||||||
|
| |||||||||||
2,615 | ||||||||||||
|
| |||||||||||
Energy — 7.3% |
| |||||||||||
Cameron International* | 0.8 | 14,600 | 607 | |||||||||
Concho Resources* | 0.8 | 8,300 | 590 | |||||||||
Murphy Oil | 0.6 | 10,454 | 462 | |||||||||
Newfield Exploration* | 0.9 | 17,322 | 688 | |||||||||
Range Resources (A) | 1.0 | 13,268 | 776 | |||||||||
Other Securities | 3.2 | 2,392 | ||||||||||
|
| |||||||||||
5,515 | ||||||||||||
|
| |||||||||||
Financials — 14.8% |
| |||||||||||
Comerica | 0.7 | 21,585 | 496 | |||||||||
Digital Realty Trust† (A) | 0.6 | 8,082 | 446 | |||||||||
Fifth Third Bancorp | 1.0 | 76,295 | 771 | |||||||||
Liberty Property Trust† (A) | 0.8 | 20,356 | 593 | |||||||||
Moody’s (A) | 0.6 | 14,900 | 453 | |||||||||
Unum Group | 0.8 | 27,950 | 586 | |||||||||
Willis Group Holdings | 0.6 | 13,524 | 465 | |||||||||
Zions Bancorporation (A) | 0.6 | 32,728 | 460 | |||||||||
Other Securities | 9.1 | 6,848 | ||||||||||
|
| |||||||||||
11,118 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 11.8% |
| |||||||||||
Alexion Pharmaceuticals* | 0.6 | % | 7,200 | $ | 461 | |||||||
Hologic* | 0.6 | 31,745 | 483 | |||||||||
Humana | 0.8 | 8,620 | 627 | |||||||||
Quest Diagnostics | 0.6 | 9,058 | 447 | |||||||||
STERIS | 0.6 | 15,360 | 450 | |||||||||
Valeant Pharmaceuticals International | 0.8 | 16,300 | 605 | |||||||||
Other Securities | 7.8 | 5,771 | ||||||||||
|
| |||||||||||
8,844 | ||||||||||||
|
| |||||||||||
Industrials — 15.7% |
| |||||||||||
Cummins | 0.6 | 5,500 | 449 | |||||||||
Dover | 0.7 | 11,830 | 551 | |||||||||
Goodrich | 0.8 | 5,100 | 615 | |||||||||
IHS, Cl A* | 0.6 | 6,100 | 456 | |||||||||
Republic Services | 0.9 | 22,366 | 628 | |||||||||
Stericycle* | 0.6 | 5,600 | 452 | |||||||||
Towers Watson, Cl A | 0.7 | 8,659 | 518 | |||||||||
WW Grainger (A) | 1.0 | 5,050 | 755 | |||||||||
Other Securities | 9.8 | 7,366 | ||||||||||
|
| |||||||||||
11,790 | ||||||||||||
|
| |||||||||||
Information Technology — 17.1% |
| |||||||||||
Adobe Systems* | 0.6 | 19,445 | 470 | |||||||||
Alliance Data Systems* (A) | 0.7 | 5,900 | 547 | |||||||||
Brocade Communications Systems* | 0.6 | 108,050 | 467 | |||||||||
Molex (A) | 0.6 | 22,103 | 450 | |||||||||
Nuance Communications* (A) | 0.6 | 22,800 | 464 | |||||||||
Synopsys* | 0.8 | 23,485 | 572 | |||||||||
Other Securities | 13.2 | 9,858 | ||||||||||
|
| |||||||||||
12,828 | ||||||||||||
|
| |||||||||||
Materials — 5.9% |
| |||||||||||
Allegheny Technologies | 0.7 | 14,699 | 544 | |||||||||
FMC | 0.7 | 7,000 | 484 | |||||||||
Sherwin-Williams (A) | 0.6 | 6,100 | 453 | |||||||||
Other Securities | 3.9 | 2,966 | ||||||||||
|
| |||||||||||
4,447 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 235 | ||||||||||
|
| |||||||||||
Utilities — 5.7% |
| |||||||||||
AGL Resources (A) | 0.9 | 16,263 | 662 | |||||||||
Great Plains Energy (A) | 0.9 | 34,204 | 660 | |||||||||
SCANA (A) | 0.8 | 14,866 | 601 | |||||||||
TECO Energy | 0.6 | 26,146 | 448 | |||||||||
Xcel Energy | 0.7 | 20,193 | 499 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 47 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Mid Cap Fund (Concluded)
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 1.8 | % | $ | 1,437 | ||||||||
|
| |||||||||||
4,307 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 72,791 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 17.6% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.130%**†† (B) | 17.6 | 13,558,149 | 13,234 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 13,234 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.1% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 2.1 | 1,573,526 | 1,574 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 1,574 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.6% |
| |||||||||||
Other Securities | 0.6 | 458 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 458 | ||||||||||
|
| |||||||||||
Total Investments — 117.2% |
| $ | 88,057 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E- MINI | 29 | Dec-2011 | $ | (33 | ) | |||||||
|
|
For the year ended September 30, 2011, 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 $75,140 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | 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, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $12,771 ($ 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, 2011 was $13,234 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
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 issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). 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, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 72,791 | $ | — | $ | — | $ | 72,791 | ||||||||
Affiliated Partnership | — | 13,234 | — | 13,234 | ||||||||||||
Cash Equivalent | 1,574 | — | — | 1,574 | ||||||||||||
U.S. Treasury Obligations | — | 458 | — | 458 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 74,365 | $ | 13,692 | $ | — | $ | 88,057 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (33 | ) | $ | — | $ | — | $ | (33 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (33 | ) | $ | — | $ | — | $ | (33 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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.
48 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.1% |
| |||||||||||
Consumer Discretionary — 7.0% |
| |||||||||||
priceline.com* | 0.8 | % | 7,423 | $ | 3,337 | |||||||
Other Securities | 6.2 | 28,227 | ||||||||||
|
| |||||||||||
31,564 | ||||||||||||
|
| |||||||||||
Consumer Staples — 20.9% |
| |||||||||||
Altria Group | 0.8 | 137,322 | 3,682 | |||||||||
BJ’s Wholesale Club* | 1.1 | 96,730 | 4,956 | |||||||||
Brown-Forman, Cl B | 0.8 | 53,351 | 3,742 | |||||||||
Coca-Cola Enterprises | 1.1 | 197,603 | 4,916 | |||||||||
CVS Caremark | 0.6 | 82,600 | 2,774 | |||||||||
Hansen Natural* | 1.0 | 51,423 | 4,489 | |||||||||
Hershey | 1.1 | 83,440 | 4,943 | |||||||||
Hormel Foods | 1.4 | 227,871 | 6,157 | |||||||||
Kimberly-Clark | 1.0 | 62,100 | 4,410 | |||||||||
Kroger | 1.1 | 223,541 | 4,909 | |||||||||
Lorillard | 1.5 | 62,441 | 6,912 | |||||||||
McCormick | 0.8 | 83,800 | 3,868 | |||||||||
Philip Morris International | 0.8 | 57,047 | 3,558 | |||||||||
Reynolds American | 1.5 | 175,746 | 6,587 | |||||||||
SYSCO | 0.7 | 122,927 | 3,184 | |||||||||
Walgreen | 0.7 | 97,900 | 3,220 | |||||||||
Wal-Mart Stores | 1.0 | 84,700 | 4,396 | |||||||||
Other Securities | 3.9 | 17,974 | ||||||||||
|
| |||||||||||
94,677 | ||||||||||||
|
| |||||||||||
Energy — 4.0% |
| |||||||||||
Chevron | 1.0 | 48,900 | 4,524 | |||||||||
Exxon Mobil | 1.2 | 75,300 | 5,469 | |||||||||
Other Securities | 1.8 | 8,180 | ||||||||||
|
| |||||||||||
18,173 | ||||||||||||
|
| |||||||||||
Financials — 10.7% |
| |||||||||||
Chubb | 0.7 | 52,400 | 3,143 | |||||||||
Commerce Bancshares | 0.6 | 79,838 | 2,774 | |||||||||
Other Securities | 9.4 | 42,606 | ||||||||||
|
| |||||||||||
48,523 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 21.4% |
| |||||||||||
Abbott Laboratories | 1.9 | % | 171,052 | $ | 8,748 | |||||||
Alexion Pharmaceuticals* | 0.9 | 63,215 | 4,050 | |||||||||
AmerisourceBergen | 1.1 | 133,111 | 4,961 | |||||||||
Amgen | 1.5 | 120,605 | 6,627 | |||||||||
Becton Dickinson | 0.9 | 53,064 | 3,891 | |||||||||
Biogen Idec* | 0.6 | 31,923 | 2,974 | |||||||||
C.R. Bard | 0.7 | 35,110 | 3,073 | |||||||||
Cardinal Health | 1.3 | 142,717 | 5,977 | |||||||||
Cephalon* | 0.9 | 48,952 | 3,950 | |||||||||
Eli Lilly | 1.4 | 165,393 | 6,114 | |||||||||
McKesson | 1.1 | 65,786 | 4,783 | |||||||||
Merck | 1.0 | 140,200 | 4,586 | |||||||||
SXC Health Solutions* | 0.7 | 56,265 | 3,134 | |||||||||
Techne | 0.9 | 60,866 | 4,140 | |||||||||
Other Securities | 6.5 | 29,910 | ||||||||||
|
| |||||||||||
96,918 | ||||||||||||
|
| |||||||||||
Industrials — 5.1% |
| |||||||||||
L-3 Communications Holdings | 0.6 | 44,100 | 2,733 | |||||||||
Raytheon | 0.7 | 80,200 | 3,278 | |||||||||
Other Securities | 3.8 | 17,070 | ||||||||||
|
| |||||||||||
23,081 | ||||||||||||
|
| |||||||||||
Information Technology — 7.3% |
| |||||||||||
International Business Machines | 1.4 | 36,900 | 6,459 | |||||||||
Microsoft | 0.7 | 130,000 | 3,236 | |||||||||
Other Securities | 5.2 | 23,441 | ||||||||||
|
| |||||||||||
33,136 | ||||||||||||
|
| |||||||||||
Materials — 2.4% |
| |||||||||||
Newmont Mining | 0.8 | 62,054 | 3,903 | |||||||||
Other Securities | 1.6 | 6,965 | ||||||||||
|
| |||||||||||
10,868 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 3.3% |
| |||||||||||
AT&T | 1.1 | 182,100 | 5,193 | |||||||||
Other Securities | 2.2 | 9,568 | ||||||||||
|
| |||||||||||
14,761 | ||||||||||||
|
| |||||||||||
Utilities — 15.0% |
| |||||||||||
American Water Works | 0.6 | 92,332 | 2,787 | |||||||||
Atmos Energy | 0.7 | 96,100 | 3,118 | |||||||||
Consolidated Edison | 0.9 | 70,158 | 4,000 | |||||||||
DTE Energy | 0.8 | 75,069 | 3,680 | |||||||||
Entergy | 0.9 | 58,368 | 3,869 | |||||||||
NSTAR | 1.0 | 100,557 | 4,506 | |||||||||
UGI | 0.8 | 142,437 | 3,742 | |||||||||
Wisconsin Energy | 1.0 | 142,032 | 4,444 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 49 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Concluded)
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 8.3 | % | $ | 37,412 | ||||||||
|
| |||||||||||
67,558 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 439,259 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 2.5 | 11,391,407 | 11,391 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 11,391 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 925 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 925 | ||||||||||
|
| |||||||||||
Total Investments — 99.8% |
| $ | 451,575 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 94 | Dec-2011 | $ | (197 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $452,541 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) Security, or portion thereof, has been pledged as collateral on open futures contracts.
Cl — Class
S&P — Standard and Poor’s
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 issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). 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, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 439,259 | $ | — | $ | — | $ | 439,259 | ||||||||
Cash Equivalent | 11,391 | — | — | 11,391 | ||||||||||||
U.S. Treasury Obligation | — | 925 | — | 925 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 450,650 | $ | 925 | $ | — | $ | 451,575 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (197 | ) | $ | — | $ | — | $ | (197 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (197 | ) | $ | — | $ | — | $ | (197 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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.
50 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 85.9% |
| |||||||||||
Australia — 6.7% |
| |||||||||||
AGL Energy (A) | 0.7 | % | 249,840 | $ | 3,441 | |||||||
CSL (A) | 0.8 | 145,057 | 4,136 | |||||||||
Metcash (A) | 0.9 | 1,208,210 | 4,783 | |||||||||
Other Securities | 4.3 | 22,572 | ||||||||||
|
| |||||||||||
34,932 | ||||||||||||
|
| |||||||||||
Austria — 0.1% |
| |||||||||||
Other Securities | 0.1 | 385 | ||||||||||
|
| |||||||||||
Belgium — 1.8% |
| |||||||||||
Colruyt (A) | 0.6 | 71,095 | 2,958 | |||||||||
Mobistar (A) | 0.6 | 57,098 | 3,264 | |||||||||
Other Securities | 0.6 | 3,301 | ||||||||||
|
| |||||||||||
9,523 | ||||||||||||
|
| |||||||||||
Bermuda — 0.0% |
| |||||||||||
Other Securities | 0.0 | 29 | ||||||||||
|
| |||||||||||
Canada — 11.3% |
| |||||||||||
Empire, Cl A | 0.6 | 57,130 | 3,152 | |||||||||
George Weston | 0.7 | 52,240 | 3,471 | |||||||||
Metro, Cl A | 1.0 | 117,668 | 5,174 | |||||||||
Rogers Communications, Cl B | 0.6 | 86,052 | 2,962 | |||||||||
Saputo | 0.9 | 121,087 | 4,797 | |||||||||
TMX Group | 0.6 | 76,910 | 3,022 | |||||||||
Yamana Gold | 0.6 | 214,400 | 2,959 | |||||||||
Other Securities | 6.3 | 33,716 | ||||||||||
|
| |||||||||||
59,253 | ||||||||||||
|
| |||||||||||
Cayman Islands — 0.1% |
| |||||||||||
Other Securities | 0.1 | 318 | ||||||||||
|
| |||||||||||
Denmark — 2.3% |
| |||||||||||
Coloplast, Cl B (A) | 0.9 | % | 34,116 | 4,923 | ||||||||
Novo Nordisk, Cl B (A) | 0.8 | 40,943 | 4,090 | |||||||||
Other Securities | 0.6 | 3,165 | ||||||||||
|
| |||||||||||
12,178 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Finland — 1.1% |
| |||||||||||
Orion, Cl B (A) | 0.7 | % | 192,640 | $ | 3,885 | |||||||
Other Securities | 0.4 | 2,060 | ||||||||||
|
| |||||||||||
5,945 | ||||||||||||
|
| |||||||||||
France — 1.2% |
| |||||||||||
Societe BIC (A) | 0.9 | 51,656 | 4,404 | |||||||||
Other Securities | 0.3 | 1,901 | ||||||||||
|
| |||||||||||
6,305 | ||||||||||||
|
| |||||||||||
Germany — 1.7% |
| |||||||||||
Other Securities | 1.7 | 8,803 | ||||||||||
|
| |||||||||||
Hong Kong — 3.1% |
| |||||||||||
CLP Holdings (A) | 0.9 | 536,500 | 4,835 | |||||||||
Link† (A) | 0.8 | 1,337,500 | 4,227 | |||||||||
Power Assets Holdings (A) | 1.2 | 807,000 | 6,177 | |||||||||
Other Securities | 0.2 | 866 | ||||||||||
|
| |||||||||||
16,105 | ||||||||||||
|
| |||||||||||
Ireland — 0.1% |
| |||||||||||
Other Securities | 0.1 | 308 | ||||||||||
|
| |||||||||||
Israel — 1.0% |
| |||||||||||
Check Point Software Technologies* | 0.6 | 53,807 | 2,839 | |||||||||
Other Securities | 0.4 | 2,179 | ||||||||||
|
| |||||||||||
5,018 | ||||||||||||
|
| |||||||||||
Italy — 1.2% |
| |||||||||||
Snam Rete Gas (A) | 0.7 | 785,167 | 3,630 | |||||||||
Other Securities | 0.5 | 2,585 | ||||||||||
|
| |||||||||||
6,215 | ||||||||||||
|
| |||||||||||
Japan — 15.8% |
| |||||||||||
Central Japan Railway (A) | 0.6 | 331 | 2,891 | |||||||||
FamilyMart (A) | 0.6 | 74,800 | 2,859 | |||||||||
Kobayashi Pharmaceutical (A) | 0.5 | 53,300 | 2,865 | |||||||||
Lawson (A) | 1.2 | 111,800 | 6,332 | |||||||||
McDonald’s Holdings Japan (A) | 0.7 | 139,000 | 3,710 | |||||||||
Miraca Holdings (A) | 0.5 | 65,100 | 2,863 | |||||||||
NTT DoCoMo (A) | 1.1 | 3,208 | 5,849 | |||||||||
Other Securities | 10.6 | 55,041 | ||||||||||
|
| |||||||||||
82,410 | ||||||||||||
|
| |||||||||||
Jersey — 0.5% |
| |||||||||||
Shire (A) | 0.5 | 91,127 | 2,839 | |||||||||
|
| |||||||||||
Luxembourg — 0.1% |
| |||||||||||
Other Securities | 0.1 | 679 | ||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 51 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Netherlands — 0.9% |
| |||||||||||
Other Securities | 0.9 | % | $ | 4,710 | ||||||||
|
| |||||||||||
New Zealand — 0.6% |
| |||||||||||
Other Securities | 0.6 | 2,923 | ||||||||||
|
| |||||||||||
Portugal — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,416 | ||||||||||
|
| |||||||||||
Singapore — 0.4% |
| |||||||||||
Other Securities | 0.4 | 2,077 | ||||||||||
|
| |||||||||||
Spain — 1.2% |
| |||||||||||
Other Securities | 1.2 | 6,455 | ||||||||||
|
| |||||||||||
Sweden — 1.1% |
| |||||||||||
Other Securities | 1.1 | 5,702 | ||||||||||
|
| |||||||||||
Switzerland — 2.1% |
| |||||||||||
Swisscom (A) | 0.9 | 11,105 | 4,509 | |||||||||
Other Securities | 1.2 | 6,346 | ||||||||||
|
| |||||||||||
10,855 | ||||||||||||
|
| |||||||||||
United Kingdom — 6.1% |
| |||||||||||
AstraZeneca (A) | 1.0 | 122,467 | 5,429 | |||||||||
Centrica (A) | 1.1 | 1,225,575 | 5,644 | |||||||||
Scottish & Southern Energy (A) | 0.6 | 165,453 | 3,317 | |||||||||
Vodafone Group (A) | 0.9 | 1,851,096 | 4,766 | |||||||||
Other Securities | 2.5 | 12,946 | ||||||||||
|
| |||||||||||
32,102 | ||||||||||||
|
| |||||||||||
United States — 25.1% |
| |||||||||||
AmerisourceBergen | 0.5 | 77,773 | 2,899 | |||||||||
Annaly Capital Management† | 1.1 | 335,613 | 5,581 | |||||||||
Autozone* | 1.2 | 18,904 | 6,034 | |||||||||
Campbell Soup | 0.8 | 133,426 | 4,319 | |||||||||
Church & Dwight | 0.6 | 70,919 | 3,135 | |||||||||
Dollar Tree* | 0.6 | 43,063 | 3,235 | |||||||||
Dr Pepper Snapple Group | 0.6 | 73,930 | 2,867 | |||||||||
Duke Energy | 0.6 | 151,980 | 3,038 | |||||||||
Eli Lilly | 0.6 | 79,593 | 2,943 | |||||||||
Hershey | 0.8 | 74,043 | 4,386 | |||||||||
Hormel Foods | 1.0 | 184,526 | 4,986 | |||||||||
Kimberly-Clark | 1.3 | 98,224 | 6,975 | |||||||||
Kroger | 0.8 | 180,647 | 3,967 | |||||||||
Southern | 0.6 | 66,762 | 2,829 | |||||||||
Verizon Communications | 0.5 | 79,248 | 2,916 | |||||||||
Wal-Mart Stores | 0.8 | 86,409 | 4,485 | |||||||||
Other Securities | 12.7 | 66,760 | ||||||||||
|
| |||||||||||
131,355 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 448,840 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Germany — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 120 | ||||||||
|
| |||||||||||
Total Preferred Stock |
| 120 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 4 | ||||||||||
|
| |||||||||||
Total Rights |
| 4 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 5.5 | 28,800,069 | 28,800 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 28,800 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (B) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,923 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,923 | ||||||||||
|
| |||||||||||
Total Investments — 91.8% |
| $ | 479,687 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 137 | Dec-2011 | $ | 139 | ||||||||
FTSE Index | 62 | Dec-2011 | (1 | ) | ||||||||
Hang Seng Index | 27 | Nov-2011 | (45 | ) | ||||||||
S&P 500 Index E-MINI | 309 | Dec-2011 | (387 | ) | ||||||||
SPI 200 Index | 26 | Dec-2011 | (22 | ) | ||||||||
|
| |||||||||||
$ | (316 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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.
52 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/28/11 | AUD | 51,015 | USD | 50,640 | $ | 1,232 | ||||||||||||||
10/28/11 | CAD | 66,852 | USD | 65,661 | 1,533 | |||||||||||||||
10/28/11 | EUR | 73,609 | USD | 100,283 | 1,554 | |||||||||||||||
10/28/11 | GBP | 24,806 | USD | 38,922 | 293 | |||||||||||||||
10/28/11 | JPY | 6,502,326 | USD | 84,864 | 458 | |||||||||||||||
10/28/11 | USD | 598 | AUD | 605 | (13 | ) | ||||||||||||||
10/28/11 | USD | 292 | CAD | 299 | (6 | ) | ||||||||||||||
10/28/11 | USD | 995 | EUR | 729 | (17 | ) | ||||||||||||||
10/28/11 | USD | 388 | GBP | 247 | (2 | ) | ||||||||||||||
10/28/11 | USD | 242 | JPY | 18,581 | (1 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 5,031 | |||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:
Counterparty | Settlement Date | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | ||||||||||||
Brown Brothers Harriman | 10/28/11 | (337,815 | ) | 342,846 | $ | 5,031 | ||||||||||
|
| |||||||||||||||
$ | 5,031 | |||||||||||||||
|
|
Percentages are based on Net Assets of $522,667 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 5). |
(A) | 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, 2011 was $252,967 ($ Thousands) and represented 48.4% of Net Assets. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
AUD — Australia Dollar
CAD — Canadian Dollar
Cl — Class
DJ — Dow Jones
EUR — Euro
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound
JPY — Japanese Yen
S&P — Standard and Poor’s
SPI — Swiss Performance Index
USD — U.S. Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 195,993 | $ | 252,847 | $ | — | $ | 448,840 | ||||||||
Preferred Stock | — | 120 | — | 120 | ||||||||||||
Rights | 4 | — | — | 4 | ||||||||||||
Cash Equivalent | 28,800 | — | — | 28,800 | ||||||||||||
U.S. Treasury Obligation | — | 1,923 | — | 1,923 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 224,797 | $ | 254,890 | $ | — | $ | 479,687 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (316 | ) | $ | — | $ | — | $ | (316 | ) | ||||||
Forward Currency Contracts* | — | 5,031 | — | 5,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (316 | ) | $ | 5,031 | $ | — | $ | 4,715 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2011, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Level 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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, 2011 | 53 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.3% |
| |||||||||||
Consumer Discretionary — 7.8% |
| |||||||||||
McDonald’s | 0.9 | % | 29,013 | $ | 2,548 | |||||||
priceline.com* | 0.7 | 4,353 | 1,957 | |||||||||
Other Securities | 6.2 | 17,296 | ||||||||||
|
| |||||||||||
21,801 | ||||||||||||
|
| |||||||||||
Consumer Staples — 23.5% |
| |||||||||||
Altria Group | 0.9 | 88,748 | 2,379 | |||||||||
Brown-Forman, Cl B | 0.7 | 28,552 | 2,003 | |||||||||
Church & Dwight | 1.1 | 67,116 | 2,967 | |||||||||
Coca-Cola | 0.7 | 27,334 | 1,847 | |||||||||
Colgate-Palmolive | 0.9 | 26,855 | 2,382 | |||||||||
General Mills | 0.9 | 64,531 | 2,483 | |||||||||
Hormel Foods | 1.4 | 142,462 | 3,849 | |||||||||
Kellogg | 0.8 | 40,491 | 2,154 | |||||||||
Kimberly-Clark | 1.7 | 68,020 | 4,830 | |||||||||
Kroger | 0.7 | 83,964 | 1,844 | |||||||||
Lorillard | 1.5 | 38,659 | 4,280 | |||||||||
McCormick | 0.6 | 37,915 | 1,750 | |||||||||
Philip Morris International | 0.8 | 34,312 | 2,140 | |||||||||
Procter & Gamble | 0.6 | 27,548 | 1,740 | |||||||||
Reynolds American | 1.4 | 105,415 | 3,951 | |||||||||
Walgreen | 0.6 | 54,500 | 1,792 | |||||||||
Wal-Mart Stores | 1.7 | 93,499 | 4,853 | |||||||||
Other Securities | 6.5 | 18,307 | ||||||||||
|
| |||||||||||
65,551 | ||||||||||||
|
| |||||||||||
Energy — 3.7% |
| |||||||||||
Chevron | 1.0 | 29,600 | 2,739 | |||||||||
Exxon Mobil | 1.1 | 43,900 | 3,188 | |||||||||
Other Securities | 1.6 | 4,354 | ||||||||||
|
| |||||||||||
10,281 | ||||||||||||
|
| |||||||||||
Financials — 10.1% |
| |||||||||||
Chubb | 0.6 | 29,100 | 1,746 | |||||||||
Commerce Bancshares | 0.6 | 50,647 | 1,760 | |||||||||
People’s United Financial | 0.6 | 154,577 | 1,762 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 8.3 | % | $ | 23,035 | ||||||||
|
| |||||||||||
28,303 | ||||||||||||
|
| |||||||||||
Health Care — 16.7% |
| |||||||||||
Abbott Laboratories | 1.3 | 68,983 | 3,528 | |||||||||
Alexion Pharmaceuticals* | 1.0 | 43,122 | 2,762 | |||||||||
AmerisourceBergen | 0.8 | 64,037 | 2,387 | |||||||||
Becton Dickinson | 0.7 | 25,037 | 1,836 | |||||||||
Eli Lilly | 0.7 | 57,069 | 2,110 | |||||||||
Henry Schein* | 0.7 | 29,829 | 1,850 | |||||||||
Johnson & Johnson | 1.2 | 53,183 | 3,388 | |||||||||
Merck | 1.0 | 88,300 | 2,888 | |||||||||
Pfizer | 0.6 | 93,500 | 1,653 | |||||||||
Techne | 0.7 | 27,621 | 1,878 | |||||||||
Other Securities | 8.0 | 22,467 | ||||||||||
|
| |||||||||||
46,747 | ||||||||||||
|
| |||||||||||
Industrials — 5.4% |
| |||||||||||
Raytheon | 0.7 | 44,700 | 1,827 | |||||||||
Stericycle* | 0.9 | 28,597 | 2,308 | |||||||||
Other Securities | 3.8 | 10,879 | ||||||||||
|
| |||||||||||
15,014 | ||||||||||||
|
| |||||||||||
Information Technology — 10.7% |
| |||||||||||
Automatic Data Processing | 0.6 | 34,714 | 1,637 | |||||||||
Google, Cl A* | 0.6 | 3,383 | 1,740 | |||||||||
IAC* | 1.1 | 74,514 | 2,947 | |||||||||
Intel | 0.6 | 83,400 | 1,779 | |||||||||
International Business Machines | 1.5 | 24,418 | 4,274 | |||||||||
Microsoft | 0.8 | 82,700 | 2,058 | |||||||||
VeriSign | 0.7 | 69,121 | 1,978 | |||||||||
Other Securities | 4.8 | 13,412 | ||||||||||
|
| |||||||||||
29,825 | ||||||||||||
|
| |||||||||||
Materials — 2.1% |
| |||||||||||
Other Securities | 2.1 | 5,857 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.1% |
| |||||||||||
AT&T | 0.9 | 87,700 | 2,501 | |||||||||
Other Securities | 2.2 | 6,197 | ||||||||||
|
| |||||||||||
8,698 | ||||||||||||
|
| |||||||||||
Utilities — 13.2% |
| |||||||||||
Atmos Energy | 0.6 | 53,600 | 1,739 | |||||||||
Nicor | 0.6 | 32,810 | 1,805 | |||||||||
NSTAR | 1.0 | 63,534 | 2,847 | |||||||||
OGE Energy | 0.7 | 38,501 | 1,840 | |||||||||
Southern | 0.8 | 54,515 | 2,310 | |||||||||
Wisconsin Energy | 0.9 | 82,950 | 2,596 | |||||||||
Other Securities | 8.6 | 23,838 | ||||||||||
|
| |||||||||||
36,975 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 269,052 | ||||||||||
|
|
54 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 5.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 5.5 | % | 15,465,311 | $ | 15,465 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 15,465 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 615 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 615 | ||||||||||
|
| |||||||||||
Total Investments — 102.0% |
| $ | 285,132 | |||||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 74 | Dec-2011 | $ | (160 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $279,408 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard and Poor’s
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 issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). 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, 2011, in valuing the Funds investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 269,052 | $ | — | $ | — | $ | 269,052 | ||||||||
Cash Equivalent | 15,465 | — | — | 15,465 | ||||||||||||
U.S. Treasury Obligations | — | 615 | — | 615 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 284,517 | $ | 615 | $ | — | $ | 285,132 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (160 | ) | $ | — | $ | — | $ | (160 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (160 | ) | $ | — | $ | — | $ | (160 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were 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, 2011 | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS
Real Estate Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.6% |
| |||||||
Consumer Discretionary — 1.2% |
| |||||||
Hyatt Hotels, Cl A* | 54,400 | $ | 1,706 | |||||
|
| |||||||
1,706 | ||||||||
|
| |||||||
Financials — 92.4%‡ | ||||||||
Acadia Realty Trust† | 18,310 | 342 | ||||||
Alexandria Real Estate Equities† | 25,740 | 1,580 | ||||||
American Campus Communities† | 18,500 | 688 | ||||||
Apartment Investment & Management, Cl A† | 167,934 | 3,715 | ||||||
AvalonBay Communities† (A) | 47,721 | 5,443 | ||||||
BioMed Realty Trust† (A) | 163,080 | 2,702 | ||||||
Boston Properties† (A) | 55,540 | 4,949 | ||||||
Brandywine Realty Trust† | 66,820 | 535 | ||||||
BRE Properties, Cl A† | 5,950 | 252 | ||||||
Camden Property Trust† | 20,580 | 1,137 | ||||||
Colonial Properties Trust† (A) | 187,500 | 3,405 | ||||||
CommonWealth† | 176,262 | 3,344 | ||||||
Corporate Office Properties Trust† | 109,400 | 2,383 | ||||||
CubeSmart† | 51,680 | 441 | ||||||
DDR† (A) | 19,780 | 216 | ||||||
DiamondRock Hospitality† | 58,430 | 408 | ||||||
Digital Realty Trust† (A) | 24,510 | 1,352 | ||||||
Douglas Emmett† (A) | 35,930 | 614 | ||||||
Duke Realty† | 81,180 | 852 | ||||||
Entertainment Properties Trust† | 7,140 | 278 | ||||||
Equity Residential† (A) | 194,250 | 10,076 | ||||||
Essex Property Trust† (A) | 11,640 | 1,397 | ||||||
Excel Trust† | 26,540 | 255 | ||||||
Extra Space Storage† | 90,450 | 1,685 | ||||||
Federal Realty Investment Trust† | 20,007 | 1,649 | ||||||
General Growth Properties† | 263,849 | 3,193 | ||||||
HCP† | 241,030 | 8,451 | ||||||
Health Care† (A) | 106,210 | 4,971 | ||||||
Home Properties† | 7,610 | 432 | ||||||
Host Hotels & Resorts† | 436,844 | 4,779 | ||||||
Hudson Pacific Properties† | 38,480 | 448 | ||||||
Kilroy Realty† (A) | 16,980 | 531 | ||||||
Kimco Realty† (A) | 97,910 | 1,472 | ||||||
LaSalle Hotel Properties† | 23,620 | 454 | ||||||
Liberty Property Trust† (A) | 71,660 | 2,086 | ||||||
Macerich† (A) | 110,469 | 4,709 | ||||||
Mack-Cali Realty† | 95,650 | 2,559 | ||||||
National Retail Properties† (A) | 32,110 | 863 | ||||||
Pebblebrook Hotel Trust† | 8,640 | 135 | ||||||
Piedmont Office Realty Trust, Cl A† (A) | 97,800 | 1,581 |
Description | Shares | Market Value ($ Thousands) | ||||||
ProLogis† | 314,056 | $ | 7,616 | |||||
Public Storage† | 48,711 | 5,424 | ||||||
Realty Income† (A) | 16,620 | 536 | ||||||
Regency Centers† (A) | 88,980 | 3,144 | ||||||
RLJ Lodging Trust† | 24,530 | 313 | ||||||
Senior Housing Properties Trust† | 15,950 | 344 | ||||||
Simon Property Group† | 96,828 | 10,649 | ||||||
SL Green Realty† (A) | 82,180 | 4,779 | ||||||
Sunstone Hotel Investors*† | 75,300 | 428 | ||||||
Tanger Factory Outlet Centers† | 21,950 | 571 | ||||||
Taubman Centers† | 10,660 | 536 | ||||||
UDR† | 26,140 | 579 | ||||||
Ventas† (A) | 161,810 | 7,993 | ||||||
Verde Realty PIPE* (C) (D) | 21,400 | 361 | ||||||
Vornado Realty Trust† | 33,550 | 2,503 | ||||||
|
| |||||||
132,138 | ||||||||
|
| |||||||
Total Common Stock |
| 133,844 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 21.2% |
| |||||||
SEI Liquidity Fund, L.P. | 31,708,470 | 30,342 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 30,342 | ||||||
|
| |||||||
CASH EQUIVALENT — 5.6% |
| |||||||
SEI Daily Income Trust, Prime | 8,025,984 | 8,026 | ||||||
|
| |||||||
Total Cash Equivalent |
| 8,026 | ||||||
|
| |||||||
Total Investments — 120.4% | $ | 172,212 | ||||||
|
|
Percentages are based on Net Assets of $142,983 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | 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, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $29,971 ($ 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, 2011 was $30,342 ($ Thousands). |
(C) | Security considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $361 ($ Thousands) and represented 0.25% of Net Assets. |
(D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustee’s. The total market value of such securities as of September 30, 2011 was $361 ($ Thousands) and represented 0.25% of Net Assets. |
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
56 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 133,483 | $ | — | $ | 361 | $ | 133,844 | ||||||||
Affiliated Partnership | — | 30,342 | — | 30,342 | ||||||||||||
Cash Equivalent | 8,026 | — | — | 8,026 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 141,509 | $ | 30,342 | $ | 361 | $ | 172,212 | ||||||||
|
|
|
|
|
|
|
|
Investments in Securities | ||||
Beginning balance as of October 1, 2010 | $ | 404 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (43 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | — | |||
|
| |||
Ending balance as of September 30, 2011 | $ | 361 | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (43 | ) | |
|
|
During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, 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, 2011 | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 28.3% |
| |||||||
Consumer Discretionary — 2.1% |
| |||||||
Affinion Group | ||||||||
7.875%, 12/15/18 | $ | 450 | $ | 347 | ||||
Allison Transmission | ||||||||
7.125%, 05/15/19 (A) | 144 | 130 | ||||||
Comcast Cable Holdings | ||||||||
9.800%, 02/01/12 | 550 | 565 | ||||||
President and Fellows of | ||||||||
3.700%, 04/01/13 | 1,060 | 1,109 | ||||||
Rent-A-Center | ||||||||
6.625%, 11/15/20 | 616 | 591 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/21 (A) | 185 | 166 | ||||||
Volkswagen International Finance | ||||||||
0.856%, 04/01/14 (A) (B) | 475 | 476 | ||||||
|
| |||||||
3,384 | ||||||||
|
| |||||||
Consumer Staples — 1.8% |
| |||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.802%, 01/27/14 (B) | 500 | 504 | ||||||
0.609%, 07/14/14 (B) | 600 | 600 | ||||||
Archer-Daniels-Midland | ||||||||
0.446%, 08/13/12 (B) | 500 | 501 | ||||||
Coca-Cola Enterprises | ||||||||
0.593%, 02/18/14 (B) | 600 | 600 | ||||||
PepsiCo | ||||||||
0.800%, 08/25/14 | 385 | 383 | ||||||
0.355%, 05/10/13 (B) | 325 | 325 | ||||||
|
| |||||||
2,913 | ||||||||
|
| |||||||
Energy — 0.7% |
| |||||||
BP Capital Markets | ||||||||
3.125%, 03/10/12 | 575 | 580 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 500 | 514 | ||||||
|
| |||||||
1,094 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Financials — 18.1% |
| |||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/13 | $ | 500 | $ | 530 | ||||
Ally Financial | ||||||||
0.350%, 12/19/12 (B) | 1,250 | 1,251 | ||||||
American Express Credit | ||||||||
1.208%, 06/24/14 (B) | 750 | 743 | ||||||
American Honda Finance | ||||||||
1.850%, 09/19/14 (A) | 500 | 501 | ||||||
Bank of America MTN | ||||||||
1.673%, 01/30/14 (B) | 300 | 272 | ||||||
Bank of Montreal MTN | ||||||||
0.723%, 04/29/14 (B) | 650 | 650 | ||||||
BB&T | ||||||||
0.953%, 04/28/14 (B) | 600 | 596 | ||||||
Caterpillar Financial Services | ||||||||
1.375%, 05/20/14 | 140 | 141 | ||||||
0.536%, 04/01/14 (B) | 500 | 501 | ||||||
CIT Group | ||||||||
7.000%, 05/02/17 (A) | 400 | 388 | ||||||
Citigroup | ||||||||
0.862%, 08/25/36 (B) | 1,500 | 981 | ||||||
Citigroup Funding | ||||||||
1.875%, 11/15/12 | 2,500 | 2,543 | ||||||
Danske Bank MTN | ||||||||
1.299%, 04/14/14 (A) (B) | 650 | 617 | ||||||
General Electric Capital MTN | ||||||||
1.142%, 05/09/16 (B) | 600 | 573 | ||||||
0.353%, 12/21/12 (B) | 5,150 | 5,154 | ||||||
Goldman Sachs Group | ||||||||
1.269%, 02/07/14 (B) | 850 | 814 | ||||||
HSBC Bank | ||||||||
0.716%, 05/15/13 (A) (B) | 600 | 600 | ||||||
ILFC E-Capital Trust I | ||||||||
4.770%, 12/21/65 (A) (B) | 1,000 | 695 | ||||||
John Deere Capital MTN | ||||||||
0.399%, 07/15/13 (B) | 315 | 314 | ||||||
JPMorgan Chase Capital XXI, Ser U | ||||||||
1.205%, 02/02/37 (B) | 1,300 | 925 | ||||||
MassMutual Global Funding II | ||||||||
0.629%, 01/14/14 (A) (B) | 526 | 526 | ||||||
Mellon Funding | ||||||||
0.436%, 05/15/14 (B) | 900 | 893 | ||||||
Merrill Lynch | ||||||||
1.107%, 09/15/36 (B) | 700 | 472 | ||||||
Metropolitan Life Global Funding I | ||||||||
0.996%, 01/10/14 (A) (B) | 500 | 499 | ||||||
Monumental Global Funding III | ||||||||
0.449%, 01/15/14 (A) (B) | 900 | 873 | ||||||
Morgan Stanley | ||||||||
1.853%, 01/24/14 (B) | 500 | 467 | ||||||
1.233%, 04/29/13 (B) | 400 | 378 | ||||||
NCUA Guaranteed Notes | ||||||||
0.245%, 06/12/13 (B) | 295 | 295 |
58 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Royal Bank of Canada MTN | ||||||||
0.550%, 04/17/14 (B) | $ | 600 | $ | 598 | ||||
Societe Generale MTN | ||||||||
1.438%, 04/11/14 (A) (B) | 600 | 537 | ||||||
Standard Chartered | ||||||||
1.231%, 05/12/14 (A) (B) | 600 | 594 | ||||||
State Street | ||||||||
0.683%, 03/07/14 (B) | 421 | 417 | ||||||
0.353%, 04/30/12 (B) | 615 | 615 | ||||||
State Street Capital Trust IV | ||||||||
1.347%, 06/15/37 (B) | 375 | 257 | ||||||
Toronto-Dominion Bank | ||||||||
0.549%, 07/14/14 (B) | 310 | 310 | ||||||
Unitrin | ||||||||
6.000%, 05/15/17 | 670 | 691 | ||||||
Wells Fargo | ||||||||
0.343%, 01/24/12 (B) | 355 | 355 | ||||||
Western Union | ||||||||
5.400%, 11/17/11 | 1,175 | 1,181 | ||||||
|
| |||||||
28,747 | ||||||||
|
| |||||||
Health Care — 1.0% |
| |||||||
Alere | ||||||||
9.000%, 05/15/16 | 200 | 191 | ||||||
American Renal Holdings | ||||||||
8.375%, 05/15/18 | 250 | 252 | ||||||
Express Scripts | ||||||||
5.250%, 06/15/12 | 450 | 462 | ||||||
Sanofi | ||||||||
0.673%, 03/28/14 (B) | 750 | 748 | ||||||
|
| |||||||
1,653 | ||||||||
|
| |||||||
Industrials — 0.8% | ||||||||
CDRT Merger Sub | ||||||||
8.125%, 06/01/19 (A) | 306 | 283 | ||||||
Continental Airlines, Ser 061G | ||||||||
0.677%, 06/02/13 (B) | 569 | 546 | ||||||
Danaher | ||||||||
1.300%, 06/23/14 | 400 | 405 | ||||||
|
| |||||||
1,234 | ||||||||
|
| |||||||
Information Technology — 1.5% | ||||||||
Hewlett-Packard | ||||||||
0.719%, 05/30/14 (B) | 600 | 583 | ||||||
NXP BV/NXP Funding LLC | ||||||||
9.750%, 08/01/18 (A) | 160 | 167 | ||||||
Texas Instruments | ||||||||
0.466%, 05/15/13 (B) | 600 | 600 | ||||||
Western Union | ||||||||
0.913%, 03/07/13 (B) | 485 | 486 | ||||||
Xerox | ||||||||
1.110%, 05/16/14 (B) | 595 | 590 | ||||||
|
| |||||||
2,426 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 0.8% | ||||||||
E.I. du Pont de Nemours | ||||||||
0.778%, 03/25/14 (B) | $ | 705 | $ | 707 | ||||
Packaging Dynamics | ||||||||
8.750%, 02/01/16 (A) | 500 | 490 | ||||||
|
| |||||||
1,197 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
Verizon Communications | ||||||||
0.973%, 03/28/14 (B) | 450 | 451 | ||||||
Vodafone Group PLC | ||||||||
0.599%, 02/27/12 (B) | 650 | 651 | ||||||
|
| |||||||
1,102 | ||||||||
|
| |||||||
Utilities — 0.8% | ||||||||
Calpine | ||||||||
7.500%, 02/15/21 (A) | 375 | 358 | ||||||
DTE Energy | ||||||||
1.031%, 06/03/13 (B) | 255 | 255 | ||||||
Southern, Ser A | ||||||||
5.300%, 01/15/12 | 665 | 673 | ||||||
|
| |||||||
1,286 | ||||||||
|
| |||||||
Total Corporate Obligations | 45,036 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 27.7% |
| |||||||
Advantage Sales and Marketing, 2nd Lien Term Loan | ||||||||
9.250%, 06/18/18 | 450 | 431 | ||||||
Affinion Group Holdings | ||||||||
5.000%, 10/08/16 | 493 | 447 | ||||||
Allison Transmission | ||||||||
2.980%, 08/07/14 | 833 | 783 | ||||||
Ameristar Casino’s, Term B Loan | ||||||||
4.000%, 04/14/18 | 124 | 120 | ||||||
Aramark | ||||||||
2.244%, 01/26/14 | 400 | 386 | ||||||
Aramark LOC | ||||||||
0.089%, 01/26/14 | 32 | 31 | ||||||
Asurion, 1st Lien Term Loan | ||||||||
5.500%, 06/10/18 | 637 | 599 | ||||||
Asurion, 2nd Lien Term Loan | ||||||||
9.000%, 05/20/19 | 600 | 569 | ||||||
Atlantic Broadband Finance, Term B Loan | ||||||||
4.000%, 02/24/16 | 15 | 14 | ||||||
Atlantic Broadband Finance, Tranch B-2 | ||||||||
4.000%, 02/24/16 | 457 | 433 | ||||||
Avaya, Term Loan B-1 | ||||||||
3.064%, 10/26/14 | 165 | 149 | ||||||
Avaya, Term Loan B-3 | ||||||||
4.814%, 10/26/17 | 331 | 280 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Biomet | ||||||||
3.358%, 03/25/15 | $ | 396 | $ | 377 | ||||
3.239%, 03/25/15 | 18 | 18 | ||||||
3.235%, 03/25/15 | 131 | 125 | ||||||
Calpine | ||||||||
4.500%, 04/01/18 | 200 | 187 | ||||||
Cannery Casino | ||||||||
4.489%, 05/17/13 | 238 | 219 | ||||||
CDW | ||||||||
3.729%, 10/12/14 | 225 | 208 | ||||||
Cedar Fair | ||||||||
4.000%, 12/15/16 | 425 | 418 | ||||||
Cengage Learning Holding | ||||||||
2.500%, 06/28/14 | 933 | 726 | ||||||
Ceridian | ||||||||
3.239%, 11/08/14 | 496 | 429 | ||||||
Charter Communications, Term B Loan | ||||||||
3.620%, 09/06/16 | 608 | 587 | ||||||
2.240%, 03/15/14 | 2 | 2 | ||||||
CITCO Group Limited, 1st Lien | ||||||||
6.250%, 05/24/18 | 650 | 614 | ||||||
City Center Holdings | ||||||||
7.500%, 01/31/15 | 360 | 352 | ||||||
Claire’s Stores | ||||||||
3.003%, 05/27/14 | 106 | 89 | ||||||
2.989%, 05/27/14 | 505 | 425 | ||||||
CommScope | ||||||||
5.000%, 01/14/18 | 299 | 292 | ||||||
Community Health Systems | ||||||||
3.721%, 01/25/17 | 223 | 202 | ||||||
2.569%, 07/25/14 | 451 | 421 | ||||||
2.471%, 07/25/14 | 1 | 1 | ||||||
Community Health Systems, Delayed Draw | ||||||||
2.569%, 07/25/14 | 16 | 15 | ||||||
2.471%, 07/25/14 | — | — | ||||||
ConvaTec | ||||||||
5.750%, 12/30/16 | 696 | 663 | ||||||
Cristal Inorganic Chemicals | ||||||||
6.119%, 11/15/14 | 500 | 487 | ||||||
DAE Aviation, Tranche B-1 | ||||||||
5.260%, 07/31/14 | 292 | 274 | ||||||
DAE Aviation, Tranche B-2 | ||||||||
5.260%, 09/27/14 | 280 | 263 | ||||||
5.220%, 09/27/14 | 1 | 1 | ||||||
Davita | ||||||||
4.500%, 10/20/16 | 546 | 538 | ||||||
Del Monte Foods | ||||||||
4.500%, 03/08/18 | 400 | 371 | ||||||
Dex Media West | ||||||||
7.000%, 10/24/14 | 717 | 477 | ||||||
DJO Finance LLC | ||||||||
3.239%, 5/20/14 | 450 | 426 | ||||||
Dunkin’ Brands | ||||||||
4.000%, 11/23/17 | 498 | 481 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Emergency Medical Services, Initial Term Loan | ||||||||
5.250%, 04/27/18 | $ | 431 | $ | 409 | ||||
EquiPower Resource Holdings | ||||||||
5.750%, 01/26/18 | 482 | 466 | ||||||
Federal Mogul | ||||||||
2.177%, 12/29/14 | 1 | 1 | ||||||
2.167%, 12/29/14 | 40 | 37 | ||||||
2.158%, 12/29/14 | 212 | 195 | ||||||
Federal Mogul, Term C Loan | ||||||||
2.177%, 12/28/15 | — | — | ||||||
2.167%, 12/28/15 | 114 | 105 | ||||||
2.158%, 12/28/15 | 15 | 14 | ||||||
Fidelity National Information Services | ||||||||
5.250%, 07/18/16 | 416 | 414 | ||||||
First Data | ||||||||
4.235%, 03/24/18 | 424 | 343 | ||||||
First Data, Initial Tranche B-1 | ||||||||
2.985%, 09/24/14 | 469 | 407 | ||||||
First Data, Term Loan B-3 | ||||||||
2.985%, 09/24/14 | 45 | 39 | ||||||
Firth Rixson, Facility B | ||||||||
4.869%, 12/18/15 | 250 | 227 | ||||||
Firth Rixson, Facility C | ||||||||
5.369%, 12/20/16 | 250 | 228 | ||||||
Freescale Semiconductor | ||||||||
4.471%, 12/01/16 | 891 | 814 | ||||||
Gambro Holding | ||||||||
3.232%, 06/05/15 | 4 | 4 | ||||||
2.232%, 06/05/14 | 4 | 4 | ||||||
Gibson Energy | ||||||||
5.750%, 06/14/18 | 499 | 488 | ||||||
Global Cash Access | ||||||||
7.000%, 02/01/16 | 341 | 333 | ||||||
Graphic Packaging International, Incremental Term Loan | ||||||||
2.999%, 05/16/14 | 47 | 46 | ||||||
2.996%, 05/16/14 | 104 | 102 | ||||||
2.996%, 05/16/14 | 201 | 198 | ||||||
2.981%, 05/16/14 | 78 | 76 | ||||||
Harron Communications, | ||||||||
5.250%, 10/05/17 | 482 | 465 | ||||||
Hertz | ||||||||
3.750%, 03/04/18 | 279 | 265 | ||||||
Hexion Specialty Chemical, | ||||||||
2.500%, 05/05/13 | 310 | 293 | ||||||
Hexion Specialty Chemical, | ||||||||
2.625%, 05/05/13 | 139 | 131 | ||||||
Hub International Limited, Delayed Draw | ||||||||
2.869%, 06/13/14 | 130 | 119 |
60 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hub International Limited, Initial Term Loan | ||||||||
2.869%, 06/13/14 | $ | 578 | $ | 531 | ||||
IASIS Healthcare | ||||||||
5.000%, 05/03/18 | 324 | 303 | ||||||
IMS Health | ||||||||
4.500%, 08/31/17 | 595 | 583 | ||||||
Infor Enterprise Solutions | ||||||||
5.990%, 07/28/12 | 319 | 291 | ||||||
Infor Global Solutions, Delayed Draw | ||||||||
6.489%, 03/02/14 | 202 | 157 | ||||||
Infor Global Solutions, Extended Delayed Draw | ||||||||
5.990%, 07/28/15 | 166 | 152 | ||||||
Infor Global Solutions, Initial Dollar Loan | ||||||||
6.471%, 03/02/14 | 329 | 255 | ||||||
Infor Global Solutions, Term Loan B-2 | ||||||||
7.250%, 07/28/15 | 497 | 454 | ||||||
Integra Telecom, Term B Loan | ||||||||
9.250%, 04/07/15 | 673 | 634 | ||||||
Intelsat | ||||||||
5.250%, 04/03/18 | 304 | 289 | ||||||
Intelsat Bermuda | ||||||||
3.246%, 02/01/14 | 500 | 465 | ||||||
Inventiv Health, Term B Loan | ||||||||
6.500%, 08/04/16 | 636 | 605 | ||||||
J. Crew Group | ||||||||
4.750%, 03/07/18 | 599 | 531 | ||||||
JHT Holding, 2nd Lien | ||||||||
12.500%, 12/21/12 (C) (D) | 43 | 14 | ||||||
Knology, Term Loan B-1 | ||||||||
4.000%, 08/08/17 | 498 | 479 | ||||||
Lamar Media | ||||||||
4.000%, 10/01/16 | 284 | 280 | ||||||
Language Line, Term B Loan | ||||||||
6.250%, 06/20/16 | 487 | 460 | ||||||
Live Nation, Term B Loan | ||||||||
4.500%, 10/20/16 | 247 | 239 | ||||||
MediMedia USA, Term Loan B | ||||||||
4.500%, 10/05/13 | 75 | 70 | ||||||
2.490%, 10/05/13 | 163 | 153 | ||||||
Meg Energy, Initial Term Loan | ||||||||
4.000%, 03/18/18 | 650 | 636 | ||||||
Nalco | ||||||||
4.500%, 09/21/17 | 495 | 492 | ||||||
Neiman Marcus Group | ||||||||
4.750%, 05/10/18 | 327 | 302 | ||||||
Nelson Education, Term Loan B-1L | ||||||||
2.869%, 07/05/14 | 500 | 397 | ||||||
Nexstar Broadcasting, Term B Loan | ||||||||
5.000%, 09/30/16 | 298 | 292 | ||||||
NXP BV, Term Loan | ||||||||
4.500%, 03/07/17 | 399 | 373 | ||||||
Penn National Gaming, Term Loan B | ||||||||
3.750%, 06/14/18 | 224 | 221 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Realogy, Extended Synthetic | ||||||||
4.522%, 10/10/16 | $ | 734 | $ | 593 | ||||
4.400%, 10/10/16 | 103 | 83 | ||||||
Regal Cinemas | ||||||||
3.369%, 08/23/17 | 546 | 529 | ||||||
Remax International LLC, Term B Loan | ||||||||
5.500%, 03/11/16 | 459 | 448 | ||||||
Renal Advantage Holdings, Term B Loan | ||||||||
5.750%, 11/12/16 | 465 | 462 | ||||||
Rock-Tenn, Term B Loan | ||||||||
3.500%, 05/29/18 | 399 | 395 | ||||||
Roundy’s Supermarkets | ||||||||
10.000%, 04/16/16 | 500 | 488 | ||||||
Rovi Guides, Tranche B Loan | ||||||||
4.000%, 02/07/18 | 75 | 73 | ||||||
Sealed Air, Term Loan B-1 | ||||||||
0.000%, 09/23/18 (F) | 500 | 500 | ||||||
Sedgwick Claims Management | ||||||||
5.000%, 12/31/16 | 119 | 113 | ||||||
Seminole Tribe of Florida | ||||||||
1.875%, 03/05/14 | 461 | 434 | ||||||
Sensata Technologies | ||||||||
4.000%, 05/10/18 | 500 | 485 | ||||||
Star West Generation LLC, Term B Loan | ||||||||
6.000%, 05/17/18 | 445 | 419 | ||||||
Sungard Data Systems | ||||||||
3.899%, 02/28/16 | 336 | 323 | ||||||
3.894%, 02/28/16 | 108 | 104 | ||||||
3.871%, 02/28/16 | 23 | 22 | ||||||
3.858%, 02/28/16 | 54 | 52 | ||||||
1.982%, 02/28/14 | 13 | 13 | ||||||
1.976%, 02/28/14 | 87 | 83 | ||||||
Syniverse Holdings | ||||||||
5.250%, 12/21/17 | 496 | 488 | ||||||
Telesat Canada U.S., Term I Loan | ||||||||
3.240%, 10/31/14 | 346 | 336 | ||||||
Terex, Term Loan | ||||||||
5.500%, 07/28/17 | 250 | 245 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.772%, 10/10/17 | 333 | 222 | ||||||
4.726%, 10/10/17 | 314 | 209 | ||||||
3.772%, 10/10/14 | — | — | ||||||
3.726%, 10/10/14 | 341 | 240 | ||||||
Trans Union LLC | ||||||||
4.750%, 02/26/18 | 399 | 389 | ||||||
Transdigm | ||||||||
4.000%, 02/14/17 | 498 | 485 | ||||||
TWCC Holding, Term Loan | ||||||||
4.250%, 02/11/17 | 499 | 491 | ||||||
U.S. Telepacific | ||||||||
5.750%, 02/23/17 | 499 | 475 | ||||||
United Surgical Partners | ||||||||
2.240%, 04/19/14 | 324 | 304 | ||||||
2.240%, 04/21/14 | 74 | 70 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Universal Healthcare | ||||||||
4.000%, 05/16/16 | $ | 321 | $ | 311 | ||||
Univision Communications, Term B Loan | ||||||||
4.489%, 03/31/17 | 693 | 581 | ||||||
UPC Broadband Holding | ||||||||
3.722%, 12/31/17 | 250 | 238 | ||||||
Vanguard Health | ||||||||
5.000%, 01/15/16 | 694 | 674 | ||||||
Verint Systems, Term B Loan | ||||||||
4.500%, 10/06/17 | 405 | 394 | ||||||
VML US Finance | ||||||||
4.740%, 05/25/12 | 57 | 57 | ||||||
4.740%, 05/25/13 | 469 | 465 | ||||||
Waiccs Las Vegas 3 LLC, 2nd Lien | ||||||||
13.250%, 07/30/10 (E) | 2,000 | — | ||||||
Walter Energy, Term B Loan | ||||||||
4.000%, 04/02/18 | 499 | 481 | ||||||
Warner Chilcott | ||||||||
4.250%, 03/14/18 | 195 | 190 | ||||||
4.250%, 03/15/18 | 90 | 87 | ||||||
Waste Industries | ||||||||
4.750%, 03/16/17 | 498 | 466 | ||||||
Wide Open West Finance LLC, Term Loan | ||||||||
4.750%, 06/30/14 | — | — | ||||||
2.730%, 06/30/14 | 432 | 401 | ||||||
Wide Open West Finance LLC, Ser A | ||||||||
8.750%, 06/30/14 | — | — | ||||||
6.721%, 06/30/14 | 300 | 288 | ||||||
|
| |||||||
Total Loan Participations | 44,017 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 26.0% |
| |||||||
Automotive — 13.7% |
| |||||||
Ally Auto Receivables Trust, | ||||||||
3.000%, 10/15/15 (A) | 495 | 508 | ||||||
Ally Auto Receivables Trust, | ||||||||
2.330%, 06/17/13 (A) | 510 | 513 | ||||||
Ally Auto Receivables Trust, | ||||||||
3.050%, 12/15/14 (A) | 625 | 647 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 02/15/13 | 104 | 104 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.810%, 10/15/13 | 347 | 347 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2007-DF, Cl A4A | ||||||||
5.560%, 06/06/14 | 308 | 317 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B | ||||||||
1.990%, 10/08/15 | 576 | 575 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-B, Cl A2 | ||||||||
1.180%, 02/06/14 | $ | 241 | $ | 241 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2 | ||||||||
0.900%, 09/08/14 | 200 | 200 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3 | ||||||||
1.170%, 01/08/16 | 275 | 275 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/15 | 240 | 240 | ||||||
Americredit Prime Automobile Receivable, Ser 2007-1, Cl D | ||||||||
5.620%, 09/08/14 | 775 | 779 | ||||||
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A3 | ||||||||
2.210%, 01/15/14 | 285 | 286 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2009- 2A, Cl A | ||||||||
5.680%, 02/20/14 (A) | 415 | 434 | ||||||
Bank of America Auto Trust, | ||||||||
3.520%, 06/15/16 (A) | 600 | 614 | ||||||
Bank of America Auto Trust, | ||||||||
3.030%, 10/15/16 (A) | 345 | 353 | ||||||
Bank of America Auto Trust, | ||||||||
1.390%, 03/15/14 (A) | 449 | 451 | ||||||
BMW Vehicle Lease Trust, | ||||||||
0.820%, 04/15/13 | 546 | 546 | ||||||
BMW Vehicle Lease Trust, | ||||||||
1.060%, 02/20/14 | 276 | 277 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.760%, 08/25/15 | 415 | 415 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.400%, 04/15/15 | 395 | 405 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.990%, 02/17/15 | 315 | 316 | ||||||
Chrysler Financial Auto Securitization Trust, Ser | ||||||||
0.690%, 01/08/13 | 196 | 196 | ||||||
Daimler Chrysler Auto Trust, | ||||||||
5.280%, 03/08/13 | 55 | 56 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.750%, 10/15/12 (A) | 358 | 358 |
62 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Lease Trust, | ||||||||
1.040%, 12/15/13 (A) | $ | 510 | $ | 511 | ||||
Ford Credit Auto Lease Trust, | ||||||||
0.740%, 09/15/13 | 301 | 301 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
5.800%, 02/15/13 | 515 | 520 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2.790%, 08/15/13 | 188 | 189 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.620%, 07/15/13 | 285 | 285 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.840%, 06/15/15 | 250 | 251 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
2.620%, 03/15/14 | 221 | 222 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
2.400%, 07/15/14 | 275 | 278 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.830%, 11/15/13 | 311 | 311 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.960%, 05/16/16 | 491 | 491 | ||||||
Hertz Vehicle Financing, | ||||||||
4.260%, 03/25/14 (A) | 485 | 503 | ||||||
Hertz Vehicle Financing, | ||||||||
2.200%, 03/25/16 (A) | 445 | 451 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.530%, 01/21/13 | 319 | 319 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.650%, 06/17/13 | 275 | 275 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.940%, 03/18/15 | 270 | 271 | ||||||
Huntington Auto Trust, | ||||||||
5.730%, 01/15/14 (A) | 420 | 432 | ||||||
Huntington Auto Trust, | ||||||||
1.010%, 01/15/16 (A) | 250 | 250 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/13 (A) | 280 | 280 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hyundai Auto Receivables Trust, | ||||||||
2.030%, 08/15/13 | $ | 499 | $ | 502 | ||||
Hyundai Auto Receivables Trust, | ||||||||
0.690%, 11/15/13 | 310 | 310 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.590%, 03/15/14 | 375 | 375 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.830%, 12/15/15 | 415 | 415 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/15 | 195 | 195 | ||||||
Navistar Financial Owner Trust, | ||||||||
1.990%, 01/21/14 (A) | 650 | 654 | ||||||
Navistar Financial Owner Trust, | ||||||||
4.170%, 10/20/14 (A) | 565 | 579 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.900%, 05/15/13 | 350 | 350 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.650%, 12/16/13 | 590 | 592 | ||||||
Santander Consumer Acquired Receivables Trust, | ||||||||
0.910%, 11/15/13 (A) | 127 | 127 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.930%, 06/17/13 | 204 | 204 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.940%, 02/18/14 | 450 | 450 | ||||||
Wachovia Auto Owner Trust, | ||||||||
1.380%, 03/20/14 (B) | 495 | 498 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.640%, 11/15/13 | 405 | 405 | ||||||
World Omni Automobile Lease Securitization Trust, Ser 2009-A, Cl A3 | ||||||||
1.650%, 02/15/13 | 118 | 118 | ||||||
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.810%, 10/15/13 | 480 | 480 | ||||||
|
| |||||||
21,847 | ||||||||
|
| |||||||
Credit Cards — 4.3% | ||||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7 | ||||||||
4.700%, 06/15/15 | 466 | 482 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
0.844%, 11/07/14 (B) | $ | 1,100 | $ | 1,100 | ||||
Citibank Omni Master Trust, | ||||||||
2.329%, 05/16/16 (A) (B) | 650 | 656 | ||||||
Citibank Omni Master Trust, | ||||||||
3.350%, 08/15/16 (A) | 405 | 412 | ||||||
Discover Card Master Trust, | ||||||||
1.529%, 12/15/14 (B) | 515 | 519 | ||||||
Discover Card Master Trust, | ||||||||
1.529%, 02/17/15 (B) | 650 | 657 | ||||||
Discover Card Master Trust, Ser 2011-A2 | ||||||||
0.439%, 11/16/15 (B) | 300 | 300 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B | ||||||||
0.429%, 06/15/15 (B) | 1,150 | 1,142 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-1, Cl A | ||||||||
2.329%, 04/15/15 (B) | 550 | 556 | ||||||
MBNA Master Credit Card Trust, | ||||||||
0.579%, 08/15/14 (B) | 1,000 | 997 | ||||||
|
| |||||||
6,821 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.1% | ||||||||
New Century Home Equity Loan Trust, | ||||||||
0.525%, 03/25/35 (B) | 35 | 29 | ||||||
Option One Mortgage Loan Trust, | ||||||||
5.611%, 01/25/37 (B) | 285 | 131 | ||||||
|
| |||||||
160 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 7.9% |
| |||||||
Ally Master Owner Trust, | ||||||||
1.979%, 01/15/15 (A) (B) | 650 | 660 | ||||||
Ally Master Owner Trust, | ||||||||
2.880%, 04/15/15 (A) | 750 | 769 | ||||||
Babson CLO, Ser 2007-1A, Cl A1 | ||||||||
0.475%, 01/18/21 (A) (B) | 1,060 | 977 | ||||||
CIT Equipment Collateral, Ser 2009-VT1 | ||||||||
3.070%, 08/15/16 (A) | 57 | 57 | ||||||
CNH Equipment Trust, Ser 2009-B | ||||||||
5.170%, 10/15/14 | 341 | 351 | ||||||
CNH Equipment Trust, | ||||||||
0.830%, 04/15/13 | 228 | 228 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CNH Equipment Trust, | ||||||||
0.620%, 06/16/14 | $ | 255 | $ | 255 | ||||
Dominos Pizza Master Issuer LLC, | ||||||||
5.261%, 04/25/37 (A) | 2,200 | 2,222 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2009-2 | ||||||||
1.779%, 09/15/14 (B) | 600 | 606 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1 | ||||||||
2.479%, 12/15/14 (A) (B) | 485 | 493 | ||||||
1.879%, 12/15/14 (A) (B) | 550 | 558 | ||||||
GE Business Loan Trust, | ||||||||
1.229%, 11/15/31 (A) (B) | 64 | 52 | ||||||
GE Business Loan Trust, | ||||||||
0.449%, 12/15/32 (A) (B) | 94 | 81 | ||||||
GE Business Loan Trust, | ||||||||
0.709%, 12/15/32 (A) (B) | 70 | 50 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A | ||||||||
1.779%, 10/20/14 (A) (B) | 700 | 707 | ||||||
GE Equipment Midticket, Ser 2010-1 | ||||||||
0.610%, 01/14/13 (A) | 249 | 249 | ||||||
GE Equipment Midticket, | ||||||||
0.940%, 07/14/14 (A) | 450 | 450 | ||||||
GE Equipment Transportation, | ||||||||
1.330%, 05/20/19 | 250 | 251 | ||||||
John Deere Owner Trust, | ||||||||
0.640%, 06/16/14 | 335 | 335 | ||||||
Katonah, Ser 2005-7A, Cl B | ||||||||
0.706%, 11/15/17 (A) (B) | 700 | 539 | ||||||
Marriott Vacation Club Owner Trust, | ||||||||
5.362%, 10/20/28 (A) | 50 | 51 | ||||||
Marriott Vacation Club Owner Trust, | ||||||||
6.135%, 05/20/29 (A) | 365 | 336 | ||||||
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A | ||||||||
1.685%, 10/26/15 (A) (B) | 600 | 605 | ||||||
SLM Student Loan Trust, | ||||||||
1.353%, 10/25/16 (B) | 365 | 368 | ||||||
SLM Student Loan Trust, Ser 2011-1 | ||||||||
0.755%, 03/25/26 (B) | 571 | 572 | ||||||
SLM Student Loan Trust, | ||||||||
1.079%, 12/16/24 (A) (B) | 338 | 338 |
64 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Triton Container Finance LLC, | ||||||||
0.400%, 11/26/21 (A) (B) | $ | 387 | $ | 353 | ||||
|
| |||||||
12,513 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 41,341 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 16.2% |
| |||||||
Agency Mortgage-Backed Obligations — 11.0% |
| |||||||
FHLMC | ||||||||
6.000%, 09/01/26 | 378 | 414 | ||||||
1.750%, 06/15/12 | 1,500 | 1,516 | ||||||
FHLMC TBA | ||||||||
4.000%, 10/14/40 | 2,500 | 2,616 | ||||||
FNMA | ||||||||
6.500%, 09/01/26 | 227 | 250 | ||||||
6.000%, 11/01/26 to 04/01/40 | 2,110 | 2,321 | ||||||
5.000%, 02/01/23 to 03/01/25 | 664 | 717 | ||||||
FNMA TBA | ||||||||
4.000%, 10/01/18 to 10/14/39 | 2,800 | 2,936 | ||||||
3.500%, 10/01/40 | 4,400 | 4,594 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.674%, 10/07/20 (B) | 659 | 660 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.674%, 01/08/20 (B) | 290 | 291 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.625%, 03/11/20 (B) | 287 | 287 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.581%, 03/06/20 (B) | 362 | 362 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.604%, 05/07/20 (B) | 475 | 475 | ||||||
|
| |||||||
17,439 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 5.2% |
| |||||||
American Tower Trust, Ser 1A, Cl D | ||||||||
5.957%, 04/15/37 (A) | 625 | 668 | ||||||
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 | ||||||||
3.143%, 11/25/34 (B) | 190 | 166 | ||||||
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 | ||||||||
2.863%, 04/25/35 (B) | 597 | 476 | ||||||
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 | ||||||||
2.954%, 10/25/35 (B) | 405 | 306 | ||||||
Bayview Commercial Asset Trust, | ||||||||
0.505%, 12/25/36 (A) (B) | 398 | 221 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.800%, 09/25/34 (B) | $ | 131 | $ | 119 | ||||
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 | ||||||||
0.329%, 12/15/20 (A) (B) | 549 | 534 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C | ||||||||
0.452%, 11/15/21 (A) (B) | 810 | 766 | ||||||
Impac CMB Trust, Ser 2005-1, Cl 1A1 | ||||||||
0.755%, 04/25/35 (B) | 292 | 213 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1 | ||||||||
1.525%, 07/15/46 (A) | 314 | 313 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2 | ||||||||
4.903%, 10/15/42 | 550 | 556 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.722%, 10/25/36 (B) | 701 | 522 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.891%, 12/25/34 (B) | 263 | 214 | �� | |||||
MortgageIT Trust, Ser 2005- 5, Cl A1 | ||||||||
0.495%, 12/25/35 (B) | 921 | 621 | ||||||
Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1 | ||||||||
3.669%, 02/11/36 | 340 | 342 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.550%, 11/20/34 (B) | 217 | 177 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.530%, 12/20/34 (B) | 174 | 142 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.450%, 03/20/35 (B) | 95 | 74 | ||||||
Washington Mutual Mortgage | ||||||||
2.555%, 03/25/36 (B) | 402 | 298 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 | ||||||||
2.738%, 01/25/35 (B) | 418 | 367 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1 | ||||||||
2.727%, 02/25/35 (B) | 506 | 421 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR2, Cl 2A2 | ||||||||
2.737%, 03/25/35 (B) | 428 | 380 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2011
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
1.988%, 03/15/44 (A) | $ | 344 | $ | 349 | ||||
|
| |||||||
8,245 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 25,684 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.5% |
| |||||||
FHLB | ||||||||
0.350%, 07/25/12 | 1,500 | 1,499 | ||||||
FNMA | ||||||||
1.000%, 12/27/12 | 2,000 | 2,016 | ||||||
0.500%, 10/30/12 | 500 | 502 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 4,017 | |||||||
|
| |||||||
MUNICIPAL BOND — 0.4% | ||||||||
New Jersey State Turnpike Authority, | ||||||||
4.252%, 01/01/16 | 600 | 629 | ||||||
|
| |||||||
Total Municipal Bonds | 629 | |||||||
|
| |||||||
COMMON STOCK — 0.0% | ||||||||
JHT Holding* | 4,002 | — | ||||||
|
| |||||||
Total Common Stock | — | |||||||
|
| |||||||
CERTIFICATE OF DEPOSIT — 0.4% |
| |||||||
Bank of Nova Scotia | ||||||||
0.522%, 08/09/12 (B) | 650 | 652 | ||||||
|
| |||||||
Total Certificate of Deposit | 652 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 4,900,706 | 4,901 | ||||||
|
| |||||||
Total Cash Equivalent | 4,901 | |||||||
|
| |||||||
Total Investments — 104.6% | $ | 166,277 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (28 | ) | Dec-2011 | $ | (37 | ) | ||||||
U.S. 2-Year Treasury Note | (22 | ) | Jan-2012 | 7 | ||||||||
U.S. 5-Year Treasury Note | 15 | Dec-2011 | 3 | |||||||||
|
| |||||||||||
$ | (27 | ) | ||||||||||
|
|
For the year ended September 30, 2011, 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 $158,955 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011 |
† | 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, 2011. The date reported on the Schedule of Investments is the final maturity 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) | Security considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $14 ($ Thousands) and represented 0.01% 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, 2011 was $14 ($ Thousands) and represented 0.01% of Net Assets. |
(E) | Security in default on interest payments. |
(F) | Unsettled Bank Loan. Interest rate not available. |
AMBAC — American Municipal Bond Assurance Corporation
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
LLC — Limited Liability Company
LOC — Line of Credit
MTN — Medium Term Note
NCUA — National Credit Union Administration
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
TBA — To Be Announced
Amounts designated as “—” are $0 or have been rounded to $0
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 45,036 | $ | — | $ | 45,036 | ||||||||
Loan Participations | — | 44,003 | 14 | 44,017 | ||||||||||||
Asset-Backed Securities | — | 41,341 | — | 41,341 | ||||||||||||
Mortgage-Backed Securities | — | 25,684 | — | 25,684 | ||||||||||||
U.S. Government Agency Obligations | — | 4,017 | — | 4,017 | ||||||||||||
Municipal Bond | — | 629 | — | 629 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Certificate of Deposit | — | 652 | — | 652 | ||||||||||||
Cash Equivalent | 4,901 | — | — | 4,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 4,901 | $ | 161,362 | $ | 14 | $ | 166,277 | ||||||||
|
|
|
|
|
|
|
|
66 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (27 | ) | $ | — | $ | — | $ | (27 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (27 | ) | $ | — | $ | — | $ | (27 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures Contracts 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):
Investments in Loan Participations | ||||
Beginning balance as of October 1, 2010 | $ | 339 | ||
Accrued discounts/premiums | (9 | ) | ||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (18 | ) | ||
Net purchases/sales | 2 | |||
Net transfer in and/or out of Level 3 | (300 | ) | ||
|
| |||
Ending balance as of September 30, 2011 | $ | 14 | ||
|
| |||
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (24 | ) | |
|
|
Investments in Asset-Backed Securities | ||||
Beginning balance as of October 1, 2010 | $ | 509 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | (509 | ) | ||
|
| |||
Ending balance as of September 30, 2011 | $ | — | ||
|
| |||
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | — | ||
|
|
During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, 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, 2011 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 53.2% |
| |||||||
Agency Mortgage-Backed Obligations — 42.2% |
| |||||||
FHLMC | ||||||||
7.500%, 11/01/29 to 09/01/32 | $ | 1,056 | $ | 1,234 | ||||
7.000%, 12/01/11 to 01/01/32 | 249 | 287 | ||||||
6.500%, 06/01/17 to 09/01/39 | 2,662 | 2,939 | ||||||
6.000%, 03/01/20 to 10/01/38 | 13,086 | 14,392 | ||||||
5.500%, 03/01/14 to 03/01/38 | 19,054 | 20,839 | ||||||
5.000%, 10/01/18 to 08/01/41 | 48,846 | 52,827 | ||||||
4.500%, 04/01/35 to 10/01/41 | 32,998 | 35,449 | ||||||
4.000%, 04/01/19 to 04/01/41 | 11,192 | 11,798 | ||||||
3.500%, 12/01/25 | 8,839 | 9,223 | ||||||
1.350%, 04/29/14 | 560 | 571 | ||||||
0.230%, 12/01/11 (A) | 3,180 | 3,180 | ||||||
0.120%, 01/10/12 (A) (I) | 230 | 230 | ||||||
FHLMC ARM (B) | ||||||||
6.101%, 06/01/37 | 101 | 110 | ||||||
6.012%, 10/01/37 | 834 | 904 | ||||||
5.983%, 06/01/38 | 674 | 728 | ||||||
5.961%, 01/01/37 | 784 | 847 | ||||||
5.929%, 06/01/36 | 399 | 433 | ||||||
5.880%, 03/01/37 | 69 | �� | 75 | |||||
5.771%, 11/01/37 | 3 | 4 | ||||||
5.767%, 07/01/38 | 1,389 | 1,505 | ||||||
5.690%, 03/01/36 | 158 | 172 | ||||||
5.679%, 03/01/36 | 211 | 228 | ||||||
5.599%, 08/01/39 | 893 | 968 | ||||||
5.591%, 10/01/38 | 195 | 211 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/19 | 72 | 81 | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/23 | 1,461 | 1,677 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/28 | 857 | 992 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/31 | 286 | 334 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/32 | $ | 2,260 | $ | 2,616 | ||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.318%, 07/25/33 (B) | 19 | 22 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A2 | ||||||||
7.000%, 07/25/43 | 266 | 310 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/43 | 225 | 265 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/43 | 295 | 345 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/44 | 309 | 356 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.882%, 03/15/20 (B) | 1,924 | 2,271 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/35 | 1,093 | 1,229 | ||||||
FHLMC CMO, Ser 2005-3028, Cl PG | ||||||||
5.500%, 09/15/35 | 428 | 484 | ||||||
FHLMC CMO, Ser 2005-3035, Cl PA | ||||||||
5.500%, 09/15/35 | 200 | 226 | ||||||
FHLMC CMO, Ser 2007-3294, Cl CB | ||||||||
5.500%, 03/15/37 | 5,614 | 6,206 | ||||||
FHLMC CMO, Ser 2009-3508, Cl PK | ||||||||
4.000%, 02/15/39 | 311 | 329 | ||||||
FHLMC CMO, Ser 2009-3598, Cl MA | ||||||||
4.500%, 11/15/38 | 686 | 724 | ||||||
FHLMC CMO, Ser 2009-3613, Cl HJ | ||||||||
5.500%, 12/15/39 | 4,495 | 4,935 | ||||||
FHLMC CMO, Ser 2010-3626, Cl MB | ||||||||
5.000%, 03/15/32 | 382 | 412 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CA | ||||||||
4.000%, 12/15/36 | 405 | 434 | ||||||
FHLMC CMO, Ser 2010-3738, Cl BP | ||||||||
4.000%, 12/15/38 | 400 | 423 | ||||||
FHLMC CMO, Ser 2010-3754, Cl MB | ||||||||
4.000%, 01/15/39 | 900 | 954 | ||||||
FHLMC CMO, Ser 2011-3871, Cl JB | ||||||||
5.500%, 06/15/41 | 1,300 | 1,518 | ||||||
FHLMC CMO, Ser 3631, Cl PA | ||||||||
4.000%, 02/15/40 | 1,488 | 1,573 | ||||||
FHLMC CMO, Ser 3652, Cl AP | ||||||||
4.500%, 03/15/40 | 3,095 | 3,365 | ||||||
FHLMC Multi-family Structured | ||||||||
4.317%, 11/25/19 | 792 | 879 | ||||||
FHLMC Multi-family Structured | ||||||||
1.412%, 04/25/20 (B) | 5,352 | 404 | ||||||
FHLMC Multi-family Structured | ||||||||
1.841%, 06/25/20 (B) | 6,721 | 681 |
68 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multi-family Structured | ||||||||
1.684%, 08/25/20 (B) | $ | 3,143 | $ | 292 | ||||
FHLMC Multi-family Structured | ||||||||
1.734%, 02/25/18 (B) | 10,320 | 805 | ||||||
FHLMC Multi-family Structured | ||||||||
2.094%, 05/25/18 (B) | 5,792 | 625 | ||||||
FHLMC Multi-family Structured | ||||||||
4.768%, 05/25/18 | 857 | 955 | ||||||
FHLMC Multi-family Structured | ||||||||
1.229%, 01/25/20 (B) | 2,737 | 176 | ||||||
FHLMC TBA | ||||||||
4.000%, 10/14/40 | 300 | 314 | ||||||
3.500%, 10/15/41 | 3,100 | 3,182 | ||||||
2.400%, 12/15/41 | 1,500 | 1,598 | ||||||
FNMA | ||||||||
7.000%, 09/01/26 to 04/01/32 | 2,081 | 2,389 | ||||||
6.500%, 05/01/17 to 10/01/41 | 11,006 | 12,308 | ||||||
6.000%, 10/01/19 to 10/01/39 | 51,760 | 57,501 | ||||||
5.500%, 06/01/14 to 05/01/40 | 48,303 | 52,706 | ||||||
5.000%, 01/01/20 to 09/01/41 | 69,499 | 75,233 | ||||||
4.500%, 05/01/24 to 08/01/41 | 20,331 | 21,825 | ||||||
4.303%, 07/01/21 | 3,139 | 3,441 | ||||||
4.000%, 08/01/20 to 02/01/41 | 18,024 | 19,031 | ||||||
FNMA ARM (B) | ||||||||
6.313%, 10/01/36 | 122 | 133 | ||||||
6.277%, 09/01/37 | 197 | 216 | ||||||
6.124%, 12/01/36 | 178 | 193 | ||||||
6.092%, 11/01/37 | 192 | 209 | ||||||
6.052%, 10/01/37 | 413 | 448 | ||||||
6.032%, 09/01/37 | 93 | 101 | ||||||
6.028%, 01/01/37 | 206 | 223 | ||||||
5.988%, 07/01/37 | 158 | 171 | ||||||
5.977%, 04/01/37 | 292 | 316 | ||||||
5.957%, 01/01/37 | 378 | 409 | ||||||
5.939%, 03/01/37 | 218 | 235 | ||||||
5.925%, 07/01/37 | 317 | 344 | ||||||
5.879%, 09/01/37 | 146 | 160 | ||||||
5.878%, 02/01/37 | 212 | 229 | ||||||
5.842%, 09/01/37 | 394 | 427 | ||||||
5.729%, 10/01/37 | 151 | 163 | ||||||
5.490%, 02/01/39 | 471 | 511 | ||||||
2.263%, 10/01/35 | 4,498 | 4,636 | ||||||
2.260%, 11/01/35 | 1,337 | 1,387 | ||||||
2.242%, 11/01/35 | 2,416 | 2,488 | ||||||
2.235%, 11/01/35 | 1,252 | 1,296 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.202%, 11/01/35 | $ | 730 | $ | 757 | ||||
2.192%, 10/01/35 | 391 | 404 | ||||||
2.189%, 10/01/35 | 3,270 | 3,366 | ||||||
FNMA CMO STRIPS, | ||||||||
5.000%, 08/01/35 | 11,073 | 1,439 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/29 | 1,492 | 1,634 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/32 | 226 | 259 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/33 | 896 | 1,026 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/35 | 4,796 | 5,272 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/35 | 447 | 490 | ||||||
FNMA CMO, Ser 2005-58, Cl MA | ||||||||
5.500%, 07/25/35 | 338 | 380 | ||||||
FNMA CMO, | ||||||||
6.465%, 11/25/36 (B) | 9,201 | 1,445 | ||||||
FNMA CMO, Ser 2006-56, Cl CA | ||||||||
6.000%, 07/25/36 | 219 | 248 | ||||||
FNMA CMO, Ser 2008-2, Cl PC | ||||||||
5.000%, 07/25/37 | 525 | 573 | ||||||
FNMA CMO, Ser 2008-22, Cl SI, IO | ||||||||
6.195%, 03/25/37 (B) | 11,808 | 1,527 | ||||||
FNMA CMO, Ser 2009-105, Cl CB | ||||||||
6.000%, 12/25/39 | 1,915 | 2,149 | ||||||
FNMA CMO, Ser 2009-11, Cl LC | ||||||||
4.500%, 03/25/49 | 1,162 | 1,250 | ||||||
FNMA CMO, Ser 2009-31, Cl A2 | ||||||||
4.287%, 07/25/19 | 1,359 | 1,522 | ||||||
FNMA CMO, Ser 2009-66, Cl KE | ||||||||
4.000%, 09/25/39 | 1,918 | 2,022 | ||||||
FNMA CMO, Ser 2009-78, Cl J | ||||||||
5.000%, 09/25/19 | 1,173 | 1,272 | ||||||
FNMA CMO, | ||||||||
4.713%, 03/25/37 | 7,161 | 6,814 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/39 | 829 | 907 | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/19 | 1,459 | 1,586 | ||||||
FNMA CMO, Ser 2010-118, IO | ||||||||
6.265%, 10/25/40 (B) | 1,729 | 244 | ||||||
FNMA CMO, Ser 2010-43, Cl HJ | ||||||||
5.500%, 05/25/40 | 2,943 | 3,286 | ||||||
FNMA CMO, Ser 2010-54, Cl EA | ||||||||
4.500%, 06/25/40 | 2,064 | 2,260 | ||||||
FNMA CMO, Ser 2010-M3, Cl A2 | ||||||||
4.450%, 09/25/19 | 467 | 528 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/20 (B) | 3,196 | 3,538 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2011-53, Cl DT | ||||||||
4.500%, 06/25/41 | $ | 1,591 | $ | 1,710 | ||||
FNMA CMO, Ser 2011-59, Cl NZ | ||||||||
5.500%, 07/25/41 | 1,708 | 2,067 | ||||||
FNMA CMO, Ser 2011-63, IO | ||||||||
6.445%, 07/25/41 (B) | 2,143 | 301 | ||||||
FNMA CMO, Ser 2011-96, IO | ||||||||
6.337%, 10/25/41 (B) | 5,600 | 1,033 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/33 | 248 | 291 | ||||||
FNMA TBA | ||||||||
6.000%, 10/01/37 to 12/01/37 | 65,700 | 71,964 | ||||||
5.500%, 10/01/41 to 10/25/41 | 8,158 | 8,908 | ||||||
5.000%, 11/01/37 to 10/01/38 | 4,950 | 5,310 | ||||||
4.500%, 11/15/34 to 10/01/39 | 15,200 | 16,128 | ||||||
4.000%, 10/14/39 to 10/25/41 | 59,695 | 62,568 | ||||||
3.500%, 10/01/40 to 11/01/40 | 51,600 | 53,659 | ||||||
3.000%, 10/25/26 to 11/25/26 | 30,035 | 30,923 | ||||||
GNMA | ||||||||
8.000%, 11/15/29 to 09/15/30 | 93 | 111 | ||||||
7.500%, 03/15/29 to 01/15/32 | 253 | 296 | ||||||
7.000%, 08/15/13 | 22 | 23 | ||||||
6.500%, 04/15/26 to 09/15/35 | 8,556 | 9,861 | ||||||
6.000%, 03/15/14 to 10/20/40 | 16,851 | 18,859 | ||||||
5.000%, 07/20/40 to 11/20/40 | 6,441 | 7,084 | ||||||
4.000%, 03/20/26 to 09/20/26 | 38,052 | 40,601 | ||||||
3.500%, 12/20/40 to 03/20/41 | 1,568 | 1,642 | ||||||
GNMA ARM | ||||||||
4.000%, 04/20/41 to 05/20/41 (B) | 2,779 | 2,961 | ||||||
3.500%, 05/20/41 to 08/20/41 (B) | 5,182 | 5,468 | ||||||
3.000%, 07/20/41 to 08/20/41 (B) | 2,117 | 2,214 | ||||||
GNMA CMO, Ser 2001-56, Cl PT | ||||||||
6.000%, 11/20/31 | 3,918 | 4,450 | ||||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/23 | 389 | 441 | ||||||
GNMA CMO, | ||||||||
6.569%, 02/20/35 (B) | 477 | 85 | ||||||
GNMA CMO, Ser 2005-78, Cl A | ||||||||
5.000%, 07/16/33 | 4,028 | 4,426 | ||||||
GNMA CMO, | ||||||||
6.069%, 12/20/34 (B) | 764 | 89 | ||||||
GNMA CMO, | ||||||||
6.069%, 07/20/34 (B) | 510 | 80 | ||||||
GNMA CMO, Ser 2006-47, Cl SA, IO | ||||||||
6.571%, 08/16/36 (B) | 1,224 | 271 | ||||||
GNMA CMO, | ||||||||
5.921%, 07/16/38 (B) | 465 | 66 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2009-10, Cl ST, IO | ||||||||
6.221%, 03/16/34 (B) | $ | 481 | $ | 56 | ||||
GNMA CMO, Ser 2009-106, IO | ||||||||
5.970%, 05/20/37 (B) | 1,708 | 246 | ||||||
GNMA CMO, Ser 2009-35, Cl SP, IO | ||||||||
6.171%, 05/16/37 (B) | 1,109 | 132 | ||||||
GNMA CMO, Ser 2009-45, IO | ||||||||
5.731%, 04/16/39 (B) | 474 | 55 | ||||||
GNMA CMO, Ser 2009-61, IO | ||||||||
6.470%, 08/20/39 (B) | 1,888 | 253 | ||||||
GNMA CMO, | ||||||||
6.021%, 11/16/35 (B) | 1,289 | 190 | ||||||
GNMA CMO, Ser 2009-68, IO | ||||||||
6.521%, 04/16/39 (B) | 452 | 58 | ||||||
GNMA CMO, Ser 2009-87, Cl TS, IO | ||||||||
5.870%, 07/20/35 (B) | 1,091 | 166 | ||||||
GNMA CMO, Ser 2009-87, Cl SI, IO | ||||||||
6.519%, 02/20/35 (B) | 596 | 107 | ||||||
GNMA CMO, Ser 2009-87, Cl KI, IO | ||||||||
6.069%, 09/20/35 (B) | 537 | 78 | ||||||
GNMA CMO, Ser 2010-107, IO | ||||||||
5.920%, 02/20/38 (B) | 747 | 123 | ||||||
GNMA CMO, Ser 2010-109, IO | ||||||||
6.370%, 08/20/40 (B) | 372 | 75 | ||||||
GNMA CMO, Ser 2010-117, IO | ||||||||
5.770%, 10/20/39 (B) | 2,988 | 487 | ||||||
GNMA CMO, | ||||||||
5.771%, 02/16/40 (B) | 665 | 120 | ||||||
GNMA CMO, Ser 2010-14, Cl SA, IO | ||||||||
7.769%, 12/20/32 (B) | 576 | 80 | ||||||
GNMA CMO, Ser 2010-14, Cl SC, IO | ||||||||
4.612%, 08/20/35 (B) | 1,150 | 194 | ||||||
GNMA CMO, Ser 2010-146, IO | ||||||||
5.870%, 06/20/39 (B) | 1,142 | 217 | ||||||
GNMA CMO, Ser 2010-147, IO | ||||||||
6.420%, 11/20/40 (B) | 750 | 166 | ||||||
GNMA CMO, Ser 2010-151, IO | ||||||||
5.820%, 11/20/40 (B) | 769 | 126 | ||||||
GNMA CMO, Ser 2010-160, IO | ||||||||
6.320%, 10/20/38 (B) | 1,053 | 167 | ||||||
GNMA CMO, Ser 2010-167, IO | ||||||||
6.400%, 11/20/38 (B) | 464 | 69 | ||||||
GNMA CMO, Ser 2010-3, IO | ||||||||
6.320%, 11/20/38 (B) | 674 | 101 | ||||||
GNMA CMO, Ser 2010-31, IO | ||||||||
6.287%, 03/20/39 (B) | 584 | 88 | ||||||
GNMA CMO, Ser 2010-39, IO | ||||||||
6.320%, 11/20/38 (B) | 199 | 29 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.161%, 01/16/40 (B) | 20,489 | 3,042 | ||||||
GNMA CMO, | ||||||||
6.321%, 04/16/34 (B) | 876 | 83 |
70 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2010-47, Cl VS, IO | ||||||||
6.021%, 11/16/37 (B) | $ | 886 | $ | 119 | ||||
GNMA CMO, Ser 2010-68, IO | ||||||||
6.350%, 06/20/40 (B) | 2,203 | 389 | ||||||
GNMA CMO, Ser 2010-85, IO | ||||||||
6.420%, 01/20/40 (B) | 458 | 74 | ||||||
GNMA CMO, Ser 2010-87, Cl SK, IO | ||||||||
6.271%, 07/16/40 (B) | 1,665 | 292 | ||||||
GNMA CMO, Ser 2010-H27, Cl FA | ||||||||
0.565%, 12/20/60 (B) | 2,037 | 2,012 | ||||||
GNMA CMO, Ser 2010-H28, Cl FE | ||||||||
0.631%, 12/20/60 (B) | 1,320 | 1,304 | ||||||
GNMA CMO, Ser 2011-32, IO | ||||||||
5.771%, 03/16/41 (B) | 284 | 47 | ||||||
GNMA CMO, Ser 2011-40, IO | ||||||||
5.901%, 02/16/36 (B) | 2,293 | 379 | ||||||
GNMA CMO, Ser 2011-70, IO | ||||||||
6.471%, 12/16/36 (B) | 969 | 198 | ||||||
GNMA CMO, Ser 2011-81, IO | ||||||||
5.169%, 06/20/41 (B) | 1,269 | 203 | ||||||
GNMA CMO, Ser 2011-H08, Cl FG | ||||||||
0.710%, 03/20/61 (B) | 1,290 | 1,280 | ||||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||
0.731%, 03/20/61 (B) | 884 | 877 | ||||||
GNMA TBA | ||||||||
5.500%, 11/01/34 | 800 | 884 | ||||||
4.500%, 10/22/33 | 16,500 | 17,926 | ||||||
4.000%, 10/01/39 to 10/15/41 | 13,080 | 13,987 | ||||||
3.500%, 12/15/41 | 15,300 | 15,847 | ||||||
3.000%, 10/20/41 | 282 | 283 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.650%, 10/29/20 | 956 | 992 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.671%, 11/05/20 (B) | 1,870 | 1,875 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.594%, 11/06/17 (B) | 3,082 | 3,083 | ||||||
|
| |||||||
928,522 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 11.0% |
| |||||||
American Home Mortgage Assets, | ||||||||
0.360%, 03/25/47 (B) | 7,951 | 4,206 | ||||||
American Home Mortgage Investment Trust, | ||||||||
2.475%, 06/25/45 (B) | 3,697 | 2,756 | ||||||
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | ||||||||
2.225%, 11/25/45 (B) | 3,384 | 2,340 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Americold Trust, Ser 2010-ARTA, Cl A1 | ||||||||
3.847%, 01/14/29 (C) | $ | 1,150 | $ | 1,199 | ||||
Banc of America Funding, Ser 2003-1, Cl A1 | ||||||||
6.000%, 05/20/33 | 21 | 22 | ||||||
Banc of America Funding, Ser 2005-B, Cl 2A1 | ||||||||
2.897%, 04/20/35 (B) | 3,959 | 2,904 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-2, Cl B | ||||||||
5.271%, 07/11/43 | 225 | 226 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-PB2, Cl B | ||||||||
6.309%, 06/11/35 | 414 | 414 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2004-6, Cl A3 | ||||||||
4.512%, 12/10/42 | 303 | 305 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-2, Cl A5 | ||||||||
4.857%, 07/10/43 (B) | 3,280 | 3,521 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.668%, 07/10/43 | 1,900 | 2,031 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.889%, 07/10/44 (B) | 2,845 | 3,066 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.414%, 09/10/47 | 228 | 238 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.356%, 10/10/45 | 2,772 | 2,892 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.381%, 01/15/49 | 466 | 467 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.801%, 06/10/49 (B) | 1,360 | 1,423 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
5.302%, 05/25/34 (B) | 1,552 | 1,385 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | $ | 129 | $ | 132 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||||
4.240%, 08/13/39 (B) | 72 | 73 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/41 | 425 | 427 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.295%, 10/12/42 (B) | 3,875 | 4,258 | ||||||
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 | ||||||||
2.927%, 12/25/35 (B) | 12,400 | 10,304 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.886%, 12/10/49 (B) | 1,285 | 1,384 | ||||||
Citigroup, Ser 2005-CD1, Cl AM | ||||||||
5.399%, 07/15/44 (B) | 624 | 641 | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/32 (B) | 225 | 233 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/34 (C) | 1 | 1 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B | ||||||||
6.304%, 07/16/34 (C) | 826 | 824 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2004-LB4A, Cl A5 | ||||||||
4.840%, 10/15/37 | 2,081 | 2,170 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 | ||||||||
5.500%, 10/25/33 | 1,084 | 1,135 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/34 | 234 | 238 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.352%, 08/25/35 (B) | 420 | 206 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 | ||||||||
0.516%, 11/20/35 (B) | 4,243 | 2,392 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF | ||||||||
0.635%, 09/25/35 (B) (C) | 3,273 | 2,743 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-CK6, Cl A3 | ||||||||
6.387%, 08/15/36 | 32 | 32 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||||
5.183%, 11/15/36 | 255 | 259 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3 | ||||||||
5.603%, 07/15/35 | $ | 166 | $ | 169 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP5, Cl A2 | ||||||||
4.940%, 12/15/35 | 894 | 917 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
2.628%, 10/25/33 (B) | 2,836 | 2,397 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B | ||||||||
5.253%, 08/15/36 (B) | 461 | 480 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl B | ||||||||
4.723%, 03/15/35 | 298 | 299 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/38 | 660 | 671 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/37 | 939 | 990 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM | ||||||||
4.730%, 07/15/37 | 450 | 450 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3 | ||||||||
5.467%, 09/15/39 | 1,177 | 1,211 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 3,910 | 4,091 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1 | ||||||||
3.742%, 11/10/46 (C) | 1,279 | 1,312 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A2 | ||||||||
3.386%, 07/10/44 (C) | 760 | 769 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC3A, IO | ||||||||
1.651%, 08/10/44 (B) (C) | 2,988 | 180 | ||||||
Deutsche Mortgage Securities, Ser 2004-4, Cl 7AR2 | ||||||||
0.685%, 06/20/34 (B) | 715 | 570 | ||||||
Developers Diversified Realty, Ser 2009-DDR1, Cl A | ||||||||
3.807%, 10/14/22 (C) | 1,781 | 1,856 | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | ||||||||
0.630%, 11/19/44 (B) | 2,086 | 834 | ||||||
Extended Stay America Trust, Ser 2010-ESHA, Cl A | ||||||||
2.951%, 11/05/27 (C) | 2,335 | 2,296 |
72 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FFCA Secured Lending, Ser 1999-1A, Cl M18, IO | ||||||||
0.860%, 09/18/25 (B) (C) | $ | 336 | $ | 1 | ||||
First Union National Bank Commercial Mortgage, | ||||||||
6.417%, 12/12/33 | 540 | 539 | ||||||
Fund America Investors II, Ser 1993-A, Cl A2 | ||||||||
4.573%, 06/25/23 (B) | 133 | 124 | ||||||
GE Capital Assurance, | ||||||||
5.254%, 05/12/35 (B) (C) | 3,724 | 3,913 | ||||||
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 | ||||||||
6.269%, 12/10/35 | 3,080 | 3,110 | ||||||
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 | ||||||||
4.996%, 12/10/37 | 9,282 | 9,487 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2 | ||||||||
6.700%, 04/15/34 | 24 | 24 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/34 | 136 | 136 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D | ||||||||
5.671%, 05/10/40 (B) | 233 | 233 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/40 | 352 | 370 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/45 (B) | 847 | 809 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/36 (B) | 309 | 310 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/36 (B) (D) | 3,890 | 4,116 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||||
4.619%, 08/10/42 | 3,581 | 3,666 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/37 (B) | 1,584 | 1,682 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
6.074%, 07/10/38 (B) (D) | 8,810 | 9,486 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 5,450 | 5,651 | ||||||
GS Mortgage Securities II, Ser 2005-GG4, Cl A4 | ||||||||
4.761%, 07/10/39 | 291 | 307 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA | ||||||||
4.680%, 07/10/39 | $ | 138 | $ | 140 | ||||
GS Mortgage Securities II, Ser 2011-GC5, Cl A4 | ||||||||
3.707%, 08/10/44 (B) | 4,535 | 4,524 | ||||||
GS Mortgage Securities, Ser 2011-GC3, Cl A4 | ||||||||
4.753%, 03/10/44 (C) | 190 | 197 | ||||||
GS Mortgage Securities II, | ||||||||
Ser 2011-GC5, CI XA, IO 1.952%, 08/10/44 | 3,070 | 277 | ||||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||||
8.000%, 09/19/27 (B) (C) | 56 | 58 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
4.447%, 10/25/33 (B) | 1,648 | 1,629 | ||||||
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 3A5 | ||||||||
2.772%, 07/25/35 (B) | 7,000 | 4,859 | ||||||
Impac Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/51 (C) | 1,524 | 1,607 | ||||||
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.585%, 08/25/36 (B) | 648 | 559 | ||||||
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 | ||||||||
5.785%, 11/01/37 (B) | 1,125 | 852 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2007-AR15, Cl 2A1 | ||||||||
5.123%, 08/25/37 (B) | 6,196 | 3,748 | ||||||
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6 | ||||||||
5.750%, 12/25/36 (B) | 12,253 | 4,087 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D | ||||||||
6.847%, 04/15/35 (B) | 306 | 305 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB3, Cl A3 | ||||||||
6.465%, 11/15/35 | 160 | 159 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl A2 | ||||||||
5.050%, 12/12/34 | 394 | 405 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/34 (B) | 144 | 145 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C | ||||||||
6.450%, 05/12/34 (B) | 456 | 456 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1 | ||||||||
4.275%, 01/12/37 | $ | 198 | $ | 200 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1 | ||||||||
4.393%, 07/12/37 | 87 | 88 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2 | ||||||||
5.115%, 07/15/41 | 1,191 | 1,261 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/42 | 205 | 209 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | 2,180 | 2,251 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A1S | ||||||||
5.284%, 05/15/47 | 80 | 80 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/47 | 253 | 258 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-C1, Cl ASB | ||||||||
5.857%, 02/15/51 | 359 | 383 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3 | ||||||||
5.420%, 01/15/49 | 472 | 489 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.633%, 12/05/27 (C) | 718 | 783 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/43 (C) | 2,058 | 2,133 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.300%, 08/05/32 (C) | 365 | 367 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.311%, 08/05/32 (C) | 1,250 | 1,244 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A3 | ||||||||
4.171%, 08/15/46 | $ | 942 | $ | 966 | ||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
6.130%, 07/15/44 (B) | 303 | 319 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||||
5.594%, 06/15/31 | 270 | 274 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4 | ||||||||
4.563%, 09/15/26 | 99 | 100 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/29 | 294 | 303 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 | ||||||||
4.998%, 04/15/30 | 884 | 896 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB | ||||||||
5.403%, 02/15/40 | 138 | 145 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/40 | 80 | 82 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A3 | ||||||||
5.933%, 07/15/40 | 1,151 | 1,204 | ||||||
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4 | ||||||||
5.424%, 02/15/40 | 979 | 1,033 | ||||||
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/34 (C) | 3,050 | 2,979 | ||||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||||
6.500%, 08/25/32 | 1,136 | 1,177 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.239%, 02/25/34 (B) | 2,014 | 2,002 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A | ||||||||
4.949%, 07/12/38 (B) | 371 | 379 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 | ||||||||
4.747%, 06/12/43 (B) | 2,150 | 2,308 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-MKB2, Cl A4 | ||||||||
5.204%, 09/12/42 (B) | 735 | 784 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
5.172%, 12/12/49 (B) | 7,000 | 7,465 |
74 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MLCC Mortgage Investors, Ser 2004-B, Cl A3 | ||||||||
2.059%, 05/25/29 (B) | $ | 701 | $ | 657 | ||||
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4 | ||||||||
4.900%, 06/15/40 | 121 | 122 | ||||||
Morgan Stanley Capital I, Ser 2004-T13, Cl A3 | ||||||||
4.390%, 09/13/45 | 194 | 198 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB | ||||||||
5.037%, 01/14/42 | 125 | 129 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A | ||||||||
4.989%, 08/13/42 | 1,400 | 1,508 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB | ||||||||
6.656%, 11/14/42 (B) | 99 | 102 | ||||||
Morgan Stanley Capital I, Ser 2005-T19, Cl A4A | ||||||||
4.890%, 06/12/47 | 3,230 | 3,508 | ||||||
Morgan Stanley Capital I, Ser 2006-HQ8, Cl AM | ||||||||
5.647%, 03/12/44 (B) | 315 | 312 | ||||||
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A4 | ||||||||
5.731%, 07/12/44 (B) | 2,280 | 2,482 | ||||||
Morgan Stanley Capital I, Ser 2006-IQ12, Cl ANM | ||||||||
5.310%, 12/15/43 | 689 | 688 | ||||||
Morgan Stanley Capital I, Ser 2006-T21, Cl A4 | ||||||||
5.162%, 10/12/52 (B) | 2,500 | 2,702 | ||||||
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A1 | ||||||||
5.357%, 12/15/44 | 261 | 262 | ||||||
Morgan Stanley Capital I, | ||||||||
5.692%, 04/15/49 (B) | 3,200 | 3,317 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/49 | 1,360 | 1,379 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/49 | 748 | 774 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 | ||||||||
6.390%, 07/15/33 | 48 | 48 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B | ||||||||
6.640%, 04/15/34 | 226 | 228 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/35 | 208 | 215 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/35 | $ | 248 | $ | 254 | ||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.345%, 02/25/47 (B) | 112 | 89 | ||||||
Nomura Asset Securities, Ser 1998-D6, Cl A2 | ||||||||
7.313%, 03/15/30 (B) | 921 | 977 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/31 | 379 | 382 | ||||||
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 | ||||||||
5.000%, 08/25/19 | 488 | 487 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.701%, 12/25/34 (B) | 843 | 746 | ||||||
Salomon Brothers Mortgage Securities VII, | ||||||||
4.467%, 03/18/36 | 32 | 32 | ||||||
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1 | ||||||||
3.750%, 02/25/40 (B) | 190 | 188 | ||||||
Sequoia Mortgage Trust, Ser 2011-1, Cl A1 | ||||||||
4.125%, 02/25/41 (B) | 283 | 282 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
0.555%, 10/25/35 (B) | 1,350 | 809 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
4.900%, 08/25/15 (B) | 7,761 | 4,684 | ||||||
Structured Asset Mortgage Investments, | ||||||||
0.435%, 10/25/36 (B) | 3,960 | 2,065 | ||||||
Structured Asset Securities, Ser 2005-17, Cl 5A1 | ||||||||
5.500%, 10/25/35 | 2,511 | 2,101 | ||||||
TIAA Seasoned Commercial Mortgage Trust, | ||||||||
5.544%, 08/15/39 (B) | 38 | 38 | ||||||
US Bank, Ser 2007-1, Cl A | ||||||||
5.920%, 05/25/12 | 1,324 | 1,368 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
6.287%, 04/15/34 | 137 | 138 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.241%, 10/15/35 (C) | $ | 88 | $ | 88 | ||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.445%, 11/15/35 | 497 | 498 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.308%, 11/15/48 | 234 | 249 | ||||||
Washington Mutual Mortgage | ||||||||
5.000%, 02/25/18 | 521 | 526 | ||||||
Washington Mutual Mortgage | ||||||||
2.571%, 05/25/35 (B) | 9,220 | 6,948 | ||||||
Washington Mutual Mortgage | ||||||||
0.525%, 10/25/47 (B) | 3,455 | 2,653 | ||||||
Washington Mutual Mortgage | ||||||||
0.515%, 11/25/47 (B) | 5,227 | 3,554 | ||||||
Washington Mutual Mortgage | ||||||||
2.584%, 12/25/35 (B) | 12,955 | 8,924 | ||||||
Washington Mutual Mortgage | ||||||||
1.132%, 10/25/46 (B) | 3,419 | 2,114 | ||||||
Washington Mutual Mortgage | ||||||||
1.062%, 07/25/47 (B) | 7,683 | 4,489 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.698%, 06/25/34 (B) | 2,115 | 2,093 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, IO | ||||||||
1.365%, | 3,620 | 206 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C4, Cl A4 | ||||||||
4.902%, | 500 | 525 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WF-RBS Commercial Mortgage Trust, Ser C3, Cl A4 | ||||||||
4.375%, 03/15/44 (C) | $ | 350 | $ | 354 | ||||
|
| |||||||
242,964 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 1,171,486 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 27.7% |
| |||||||
Consumer Discretionary — 1.7% |
| |||||||
Boyd Gaming | ||||||||
7.125%, 02/01/16 (D) | 350 | 257 | ||||||
CCO Holdings | ||||||||
7.000%, 01/15/19 | 440 | 427 | ||||||
7.000%, 01/15/19 (C) | 240 | 232 | ||||||
CityCenter Holdings | ||||||||
7.625%, 01/15/16 (C) | 350 | 329 | ||||||
Comcast | ||||||||
6.500%, 01/15/15 | 985 | 1,123 | ||||||
6.500%, 01/15/17 | 2,385 | 2,801 | ||||||
5.650%, 06/15/35 | 120 | 126 | ||||||
5.300%, 01/15/14 (D) | 2,340 | 2,537 | ||||||
Comcast Cable Communications | ||||||||
8.375%, 03/15/13 | 1,189 | 1,306 | ||||||
COX Communications | ||||||||
5.450%, 12/15/14 | 450 | 498 | ||||||
Daimler Finance LLC | ||||||||
7.300%, 01/15/12 | 1,400 | 1,424 | ||||||
6.500%, 11/15/13 | 1,320 | 1,449 | ||||||
Daimler Finance North America | ||||||||
3.875%, 09/15/21 (C) | 555 | 541 | ||||||
1.875%, 09/15/14 (C) | 1,575 | 1,555 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/40 | 950 | 1,014 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/19 | 690 | 704 | ||||||
6.750%, 06/01/21 (C) | 320 | 306 | ||||||
Echostar DBS | ||||||||
7.750%, 05/31/15 | 30 | 31 | ||||||
Gap | ||||||||
5.950%, 04/12/21 | 1,400 | 1,317 | ||||||
Inn of the Mountain Gods Resort & Casino | ||||||||
8.750%, 11/30/20 (C) | 277 | 266 | ||||||
MGM Mirage | ||||||||
7.625%, 01/15/17 | 440 | 378 | ||||||
NBCUniversal Media | ||||||||
4.375%, 04/01/21 | 480 | 493 | ||||||
2.875%, 04/01/16 (D) | 924 | 941 | ||||||
News America | ||||||||
6.650%, 11/15/37 | 180 | 198 | ||||||
6.200%, 12/15/34 | 65 | 70 |
76 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.150%, 03/01/37 | $ | 1,785 | $ | 1,907 | ||||
6.150%, 02/15/41 (D) | 126 | 133 | ||||||
Reynolds Group Issuer | ||||||||
8.500%, 10/15/16 (C) | 490 | 491 | ||||||
7.125%, 04/15/19 (C) | 240 | 223 | ||||||
6.875%, 02/15/21 (C) | 1,230 | 1,107 | ||||||
Thomson Reuters | ||||||||
5.950%, 07/15/13 | 482 | 521 | ||||||
Time Warner | ||||||||
6.250%, 03/29/41 (D) | 545 | 622 | ||||||
4.750%, 03/29/21 | 1,150 | 1,207 | ||||||
3.150%, 07/15/15 | 1,100 | 1,138 | ||||||
Time Warner Cable | ||||||||
8.750%, 02/14/19 | 210 | 269 | ||||||
8.250%, 04/01/19 | 2,095 | 2,623 | ||||||
6.550%, 05/01/37 | 1,645 | 1,829 | ||||||
5.875%, 11/15/40 | 1,050 | 1,076 | ||||||
5.500%, 09/01/41 | 1,415 | 1,399 | ||||||
4.125%, 02/15/21 (D) | 240 | 239 | ||||||
4.000%, 09/01/21 | 1,135 | 1,110 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/33 | 60 | 78 | ||||||
United Business Media | ||||||||
5.750%, 11/03/20 (C) | 550 | 588 | ||||||
|
| |||||||
36,883 | ||||||||
|
| |||||||
Consumer Staples — 1.3% |
| |||||||
Altria Group | ||||||||
10.200%, 02/06/39 | 320 | 464 | ||||||
9.250%, 08/06/19 | 1,250 | 1,638 | ||||||
4.750%, 05/05/21 | 1,150 | 1,190 | ||||||
Anheuser-Busch | ||||||||
5.050%, 10/15/16 | 940 | 1,057 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/19 | 2,570 | 3,338 | ||||||
5.375%, 11/15/14 | 255 | 285 | ||||||
5.375%, 01/15/20 (D) | 1,360 | 1,584 | ||||||
5.000%, 04/15/20 | 560 | 641 | ||||||
Cencosud | ||||||||
5.500%, 01/20/21 (C) | 355 | 356 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/16 (C) | 1,075 | 1,078 | ||||||
CVS Caremark | ||||||||
9.350%, 01/10/23 (C) | 3,330 | 3,831 | ||||||
5.750%, 05/15/41 | 355 | 397 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/20 | 2,430 | 2,719 | ||||||
HJ Heinz | ||||||||
5.350%, 07/15/13 | 510 | 550 | ||||||
Kraft Foods | ||||||||
6.500%, 02/09/40 | 1,385 | 1,693 | ||||||
5.375%, 02/10/20 | 2,120 | 2,399 | ||||||
PepsiCo | ||||||||
2.500%, 05/10/16 | 855 | 885 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pernod-Ricard | ||||||||
5.750%, 04/07/21 (C) | $ | 1,325 | $ | 1,452 | ||||
Reynolds American | ||||||||
6.750%, 06/15/17 | 1,260 | 1,452 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/41 | 1,055 | 1,300 | ||||||
|
| |||||||
28,309 | ||||||||
|
| |||||||
Energy — 3.1% |
| |||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/31 | 910 | 1,078 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/17 | 410 | 460 | ||||||
Apache | ||||||||
6.000%, 09/15/13 | 2,570 | 2,812 | ||||||
Arch Coal | ||||||||
7.000%, 06/15/19 (C) | 920 | 874 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/18 | 1,960 | 2,576 | ||||||
BP Capital Markets | ||||||||
5.250%, 11/07/13 | 1,790 | 1,927 | ||||||
3.875%, 03/10/15 | 210 | 223 | ||||||
3.125%, 03/10/12 (D) | 240 | 242 | ||||||
Chesapeake Energy | ||||||||
6.875%, 11/15/20 (D) | 450 | 470 | ||||||
6.625%, 08/15/20 | 30 | 31 | ||||||
6.500%, 08/15/17 | 275 | 285 | ||||||
Cie Generale de Geophysique-Veritas | ||||||||
7.750%, 05/15/17 | 110 | 108 | ||||||
CNOOC Finance 2011 | ||||||||
4.250%, 01/26/21 (C) | 210 | 211 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/31 | 50 | 69 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/32 | 10 | 12 | ||||||
5.900%, 05/15/38 | 1,680 | 2,067 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/20 | 660 | 695 | ||||||
Devon Energy | ||||||||
5.600%, 07/15/41 | 1,745 | 2,012 | ||||||
2.400%, 07/15/16 | 910 | 922 | ||||||
El Paso | ||||||||
6.950%, 06/01/28 | 6,750 | 7,126 | ||||||
El Paso Pipeline Partners Operating | ||||||||
7.500%, 11/15/40 | 340 | 397 | ||||||
5.000%, 10/01/21 | 325 | 326 | ||||||
Encana | ||||||||
6.500%, 02/01/38 | 1,345 | 1,535 | ||||||
Energen | ||||||||
4.625%, 09/01/21 | 1,010 | 1,002 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/19 | 470 | 566 | ||||||
6.700%, 07/01/18 | 1,250 | 1,399 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Enterprise Products Operating | ||||||||
9.750%, 01/31/14 | $ | 1,910 | $ | 2,235 | ||||
5.700%, 02/15/42 | 1,110 | 1,168 | ||||||
4.050%, 02/15/22 | 360 | 361 | ||||||
Gazprom Via Gaz Capital | ||||||||
6.212%, 11/22/16 (C) | 220 | 222 | ||||||
Hess | ||||||||
7.875%, 10/01/29 | 1,070 | 1,440 | ||||||
7.300%, 08/15/31 | 540 | 690 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/19 | 499 | 611 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/31 | 670 | 824 | ||||||
6.950%, 07/01/24 | 1,900 | 2,221 | ||||||
Key Energy Services | ||||||||
6.750%, 03/01/21 | 790 | 760 | ||||||
Kinder Morgan Energy Partners | ||||||||
7.125%, 03/15/12 | 70 | 72 | ||||||
6.000%, 02/01/17 | 505 | 572 | ||||||
5.850%, 09/15/12 | 130 | 135 | ||||||
5.000%, 12/15/13 | 720 | 772 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/41 (C) | 410 | 442 | ||||||
Newfield Exploration | ||||||||
5.750%, 01/30/22 | 550 | 544 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/22 | 910 | 910 | ||||||
Peabody Energy | ||||||||
6.500%, 09/15/20 | 630 | 662 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/35 | 1,667 | 1,788 | ||||||
Petrobras International Finance | ||||||||
6.125%, 10/06/16 | 655 | 710 | ||||||
5.750%, 01/20/20 | 574 | 596 | ||||||
5.375%, 01/27/21 | 1,380 | 1,395 | ||||||
3.875%, 01/27/16 | 600 | 595 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | 1,665 | 2,014 | ||||||
Plains All American Pipeline | ||||||||
6.650%, 01/15/37 | 149 | 165 | ||||||
Pride International | ||||||||
6.875%, 08/15/20 | 375 | 433 | ||||||
QEP Resources | ||||||||
6.875%, 03/01/21 | 700 | 731 | ||||||
Rockies Express Pipeline | ||||||||
3.900%, 04/15/15 (C) | 1,243 | 1,274 | ||||||
Schlumberger Investment | ||||||||
1.950%, 09/14/16 (C) | 810 | 806 | ||||||
Shell International Finance BV | ||||||||
5.500%, 03/25/40 | 340 | 423 | ||||||
4.375%, 03/25/20 | 1,700 | 1,909 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/32 | 170 | 219 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | $ | 1,315 | $ | 1,550 | ||||
Suncor Energy | ||||||||
6.500%, 06/15/38 | 115 | 134 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/19 | 570 | 700 | ||||||
TC Pipelines | ||||||||
4.650%, 06/15/21 | 145 | 149 | ||||||
Tennessee Gas Pipeline | ||||||||
7.625%, 04/01/37 | 430 | 544 | ||||||
7.000%, 10/15/28 | 1,140 | 1,334 | ||||||
Transcontinental Gas Pipeline | ||||||||
5.400%, 08/15/41 (C) | 80 | 84 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/21 | 1,235 | 1,239 | ||||||
Williams | ||||||||
7.875%, 09/01/21 | 2,360 | 2,798 | ||||||
7.750%, 06/15/31 | 1,392 | 1,671 | ||||||
Williams, Ser A | ||||||||
7.500%, 01/15/31 | 465 | 544 | ||||||
|
| |||||||
67,871 | ||||||||
|
| |||||||
Financials — 14.9% | ||||||||
ABB Treasury Center USA | ||||||||
4.000%, 06/15/21 (C) | 610 | 613 | ||||||
2.500%, 06/15/16 (C) | 1,995 | 2,039 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/14 (C) | 2,470 | 2,611 | ||||||
Allstate | ||||||||
7.450%, 05/16/19 | 1,085 | 1,326 | ||||||
Ally Financial | ||||||||
2.526%, 12/01/14 (B) | 2,234 | 1,918 | ||||||
American Express | ||||||||
7.250%, 05/20/14 | 120 | 136 | ||||||
6.800%, 09/01/66 (B) | 2,150 | 2,083 | ||||||
American Express Credit MTN | ||||||||
2.800%, 09/19/16 | 1,625 | 1,617 | ||||||
1.208%, 06/24/14 (B) | 280 | 277 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/20 (C) | 1,065 | 1,066 | ||||||
American International Group | ||||||||
6.400%, 12/15/20 | 260 | 265 | ||||||
6.250%, 03/15/37 | 2,560 | 1,773 | ||||||
5.850%, 01/16/18 | 2,260 | 2,239 | ||||||
4.250%, 09/15/14 | 590 | 574 | ||||||
3.750%, 11/30/13 (C) | 500 | 500 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/13 (C) | 390 | 395 | ||||||
Australia & New Zealand Banking Group | ||||||||
3.700%, 01/13/15 (C) | 1,445 | 1,503 | ||||||
BAC Capital Trust XIV | ||||||||
5.630%, 03/15/12 (B) | 130 | 71 |
78 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BAC Capital Trust XV | ||||||||
1.126%, 06/01/56 (B) | $ | 5,715 | $ | 3,063 | ||||
Bank of America | ||||||||
6.500%, 08/01/16 | 3,375 | 3,352 | ||||||
6.000%, 09/01/17 | 880 | 847 | ||||||
5.750%, 12/01/17 | 1,470 | 1,379 | ||||||
5.650%, 05/01/18 | 390 | 370 | ||||||
5.420%, 03/15/17 | 4,400 | 3,823 | ||||||
5.000%, 05/13/21 | 2,850 | 2,543 | ||||||
4.500%, 04/01/15 | 180 | 171 | ||||||
3.750%, 07/12/16 | 1,185 | 1,078 | ||||||
3.625%, 03/17/16 | 2,275 | 2,071 | ||||||
Bank of Montreal | ||||||||
2.850%, 06/09/15 (C) | 445 | 470 | ||||||
Bank of Nova Scotia | ||||||||
2.150%, 08/03/16 (C) | 440 | 447 | ||||||
1.450%, 07/26/13 (C) | 2,630 | 2,656 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/15 (C) | 450 | 478 | ||||||
Barclays Bank | ||||||||
6.050%, 12/04/17 (C) | 1,230 | 1,129 | ||||||
5.125%, 01/08/20 | 1,310 | 1,284 | ||||||
5.000%, 09/22/16 | 170 | 170 | ||||||
Barnett Capital III | ||||||||
0.879%, 02/01/27 (B) | 425 | 266 | ||||||
BBVA US Senior SAU | ||||||||
3.250%, 05/16/14 | 1,610 | 1,509 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/17 | 70 | 80 | ||||||
5.350%, 02/01/12 (D) | 3,280 | 3,330 | ||||||
4.650%, 07/02/18 | 995 | 1,044 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/21 | 3,560 | 3,610 | ||||||
3.200%, 02/11/15 | 950 | 999 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/18 | 830 | 948 | ||||||
Boeing Capital | ||||||||
4.700%, 10/27/19 | 490 | 556 | ||||||
2.900%, 08/15/18 | 425 | 439 | ||||||
Caisse Centrale Desjardinsdu Quebec | ||||||||
2.550%, 03/24/16 (C) | 555 | 576 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.600%, 07/02/15 (C) | 655 | 682 | ||||||
Capital One Financial | ||||||||
4.750%, 07/15/21 | 1,060 | 1,061 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (C) | 2,450 | 2,561 | ||||||
Chase Capital VI | ||||||||
0.879%, 08/01/28 (B) | 2,500 | 1,976 | ||||||
Citigroup | ||||||||
6.875%, 03/05/38 | 3,235 | 3,512 | ||||||
6.125%, 05/15/18 | 3,970 | 4,258 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.000%, 12/13/13 | $ | 2,250 | $ | 2,363 | ||||
5.375%, 08/09/20 | 780 | 808 | ||||||
5.000%, 09/15/14 | 3,245 | 3,183 | ||||||
3.953%, 06/15/16 (D) | 1,028 | 1,026 | ||||||
0.607%, 06/09/16 (B) | 3,650 | 3,039 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/36 | 1,500 | 1,517 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/12 | 1,855 | 1,884 | ||||||
CNA Financial | ||||||||
6.500%, 08/15/16 | 330 | 355 | ||||||
5.750%, 08/15/21 | 535 | 540 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
5.000%, 10/15/19 (C) | 450 | 467 | ||||||
3.750%, 10/15/14 (C) | 1,060 | 1,101 | ||||||
Cooperatieve Centrale | ||||||||
11.000%, 12/31/49 (B) (C) | 1,810 | 2,177 | ||||||
5.250%, 05/24/41 | 993 | 1,088 | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/16 | 1,080 | 953 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/49 (B) (C) (D) | 2,460 | 1,937 | ||||||
2.625%, 01/21/14 (C) | 730 | 697 | ||||||
Credit Suisse NY | ||||||||
6.000%, 02/15/18 | 3,253 | 3,301 | ||||||
Credit Suisse NY MTN | ||||||||
4.375%, 08/05/20 | 650 | 629 | ||||||
Deutsche Bank MTN | ||||||||
4.875%, 05/20/13 | 1,830 | 1,891 | ||||||
Deutsche Bank Capital Funding Trust VII | ||||||||
5.628%, 01/19/49 (B) (C) | 2,760 | 1,849 | ||||||
Dexia Credit Local | ||||||||
2.750%, 04/29/14 (C) | 4,090 | 4,028 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/15 (C) | 2,820 | 2,854 | ||||||
Farmer Mac Guaranteed Notes Trust 2007-1 | ||||||||
5.125%, 04/19/17 (C) | 3,540 | 4,134 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/28 (C) | 1,434 | 1,537 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/24 (C) | 3,017 | 3,701 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
1.450%, 10/25/13 (A) (C) | 470 | 459 | ||||||
First Industrial L.P. MTN | ||||||||
7.500%, 12/01/17 | 970 | 934 | ||||||
Fleet Capital Trust II | ||||||||
7.920%, 12/11/26 | 1,050 | 945 | ||||||
Ford Motor Credit | ||||||||
8.125%, 01/15/20 (D) | 1,440 | 1,634 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.875%, 08/02/21 (D) | $ | 920 | $ | 915 | ||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/39 | 295 | 339 | ||||||
6.375%, 11/15/19 (B) | 5,870 | 5,518 | ||||||
6.150%, 08/07/37 | 600 | 641 | ||||||
5.900%, 05/13/14 | 1,400 | 1,530 | ||||||
5.875%, 01/14/38 | 1,645 | 1,686 | ||||||
5.625%, 05/01/18 | 5,135 | 5,621 | ||||||
5.450%, 01/15/13 | 20 | 21 | ||||||
5.300%, 02/11/21 | 150 | 156 | ||||||
4.625%, 01/07/21 | 1,474 | 1,530 | ||||||
4.375%, 09/16/20 | 2,460 | 2,503 | ||||||
0.648%, 05/05/26 (B) | 3,500 | 2,803 | ||||||
0.428%, 03/20/14 (B) | 1,900 | 1,860 | ||||||
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 | 606 | ||||||
6.330%, 07/28/11 (C) (E) | 1,980 | 515 | ||||||
Goldman Sachs Capital II | ||||||||
5.793%, 12/29/49 (B) | 200 | 124 | ||||||
Goldman Sachs Group MTN | ||||||||
6.600%, 01/15/12 | 180 | 183 | ||||||
6.250%, 02/01/41 | 2,300 | 2,237 | ||||||
6.150%, 04/01/18 | 3,780 | 3,917 | ||||||
6.000%, 06/15/20 | 705 | 725 | ||||||
5.950%, 01/18/18 | 3,310 | 3,408 | ||||||
5.450%, 11/01/12 | 2,540 | 2,618 | ||||||
5.375%, 03/15/20 | 3,090 | 3,069 | ||||||
5.350%, 01/15/16 | 660 | 683 | ||||||
5.300%, 02/14/12 | 80 | 81 | ||||||
5.250%, 10/15/13 | 390 | 405 | ||||||
5.250%, 07/27/21 | 845 | 834 | ||||||
4.750%, 07/15/13 | 40 | 41 | ||||||
3.625%, 08/01/12 | 270 | 274 | ||||||
3.625%, 02/07/16 | 2,700 | 2,629 | ||||||
0.653%, 07/22/15 (B) | 500 | 446 | ||||||
Hartford Financial Services Group | ||||||||
5.500%, 03/30/20 | 445 | 434 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (B) (C) | 1,330 | 798 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/18 (C) | 2,100 | 1,790 | ||||||
HCP MTN‡ | ||||||||
6.750%, 02/01/41 (D) | 310 | 332 | ||||||
6.300%, 09/15/16 | 1,075 | 1,150 | ||||||
6.000%, 01/30/17 | 4,000 | 4,212 | ||||||
5.650%, 12/15/13 | 964 | 1,013 | ||||||
Health Care REIT‡ | ||||||||
6.500%, 03/15/41 | 1,325 | 1,257 | ||||||
5.250%, 01/15/22 | 900 | 853 | ||||||
4.950%, 01/15/21 | 2,500 | 2,401 | ||||||
Highwoods Properties‡ | ||||||||
7.500%, 04/15/18 | 1,142 | 1,325 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Bank | ||||||||
4.750%, 01/19/21 (C) | $ | 1,760 | $ | 1,822 | ||||
HSBC Finance | ||||||||
6.676%, 01/15/21 (C) | 60 | 59 | ||||||
HSBC Holdings | ||||||||
5.100%, 04/05/21 | 805 | 829 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/38 | 910 | 910 | ||||||
ICICI Bank | ||||||||
6.375%, 04/30/22 (B) (C) | 1,260 | 1,046 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (B) (C) | 400 | 296 | ||||||
ING Capital Funding Trust III | ||||||||
3.969%, 12/29/49 (B) | 40 | 30 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/18 (C) | 1,080 | 1,084 | ||||||
6.500%, 09/01/14 (C) | 2,530 | 2,530 | ||||||
Intesa Sanpaolo SPA | ||||||||
3.625%, 08/12/15 (C) (D) | 710 | 622 | ||||||
Itau Unibanco Holding MTN | ||||||||
6.200%, 04/15/20 (C) | 290 | 293 | ||||||
Jefferies Group | ||||||||
5.125%, 04/13/18 | 500 | 468 | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/18 | 135 | 150 | ||||||
5.750%, 01/02/13 | 1,710 | 1,792 | ||||||
5.600%, 07/15/41 | 720 | 752 | ||||||
4.750%, 05/01/13 | 510 | 536 | ||||||
4.400%, 07/22/20 | 210 | 212 | ||||||
4.350%, 08/15/21 | 215 | 217 | ||||||
4.250%, 10/15/20 | 1,260 | 1,263 | ||||||
3.450%, 03/01/16 | 2,785 | 2,796 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/17 | 2,250 | 2,425 | ||||||
6.000%, 10/01/17 | 250 | 263 | ||||||
0.668%, 06/13/16 (B) | 1,300 | 1,193 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.196%, 09/30/34 (B) | 1,000 | 776 | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.286%, 05/15/47 (B) | 1,900 | 1,276 | ||||||
JPMorgan Chase Capital XXV | ||||||||
6.800%, 10/01/37 | 612 | 616 | ||||||
Kaupthing Bank MTN | ||||||||
7.625%, 02/28/15 (C) (E) | 8,810 | 2,158 | ||||||
7.125%, 05/19/16 (C) (E) | 1,350 | — | ||||||
5.750%, 10/04/11 (C) (E) | 960 | 235 | ||||||
Kilroy Realty‡ | ||||||||
6.625%, 06/01/20 | 360 | 391 | ||||||
5.000%, 11/03/15 | 265 | 275 | ||||||
4.800%, 07/15/18 | 715 | 690 | ||||||
Korea Development Bank | ||||||||
3.250%, 03/09/16 (D) | 882 | 850 | ||||||
Landsbanki Islands | ||||||||
6.100%, 08/25/11 (C) (E) | 5,570 | 390 |
80 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lazard Group | ||||||||
7.125%, 05/15/15 | $ | 967 | $ | 1,068 | ||||
6.850%, 06/15/17 | 1,332 | 1,467 | ||||||
Lehman Brothers Holdings MTN | ||||||||
6.750%, 12/28/17 (E) | 4,320 | 2 | ||||||
Lehman Brothers Holdings Capital Trust VII MTN | ||||||||
5.857%, 11/29/49 (E) | 4,280 | — | ||||||
Lloyds TSB Bank | ||||||||
6.375%, 01/21/21 | 1,270 | 1,252 | ||||||
5.800%, 01/13/20 (C) | 240 | 228 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (C) | 1,125 | 1,694 | ||||||
MBNA Capital A | ||||||||
8.278%, 12/01/26 | 1,450 | 1,348 | ||||||
Merrill Lynch MTN | ||||||||
8.950%, 05/18/17 (B) | 1,790 | 1,979 | ||||||
8.680%, 05/02/17 (B) | 3,160 | 3,465 | ||||||
7.430%, 09/01/22 | 3 | 3 | ||||||
6.050%, 05/16/16 | 350 | 315 | ||||||
5.700%, 05/02/17 | 1,300 | 1,160 | ||||||
5.450%, 02/05/13 | 2,080 | 2,061 | ||||||
MetLife | ||||||||
6.750%, 06/01/16 | 1,060 | 1,219 | ||||||
6.400%, 12/15/36 | 450 | 399 | ||||||
5.700%, 06/15/35 | 295 | 315 | ||||||
4.750%, 02/08/21 | 540 | 562 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/37 (C) | 800 | 788 | ||||||
MetLife Capital Trust X | ||||||||
9.250%, 04/08/38 (C) | 1,800 | 2,025 | ||||||
Metropolitan Life Global Funding I MTN (C) | ||||||||
5.125%, 04/10/13 | 1,260 | 1,322 | ||||||
5.125%, 06/10/14 | 1,600 | 1,728 | ||||||
2.500%, 09/29/15 | 1,090 | 1,098 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/19 | 2,345 | 2,417 | ||||||
6.625%, 04/01/18 | 1,640 | 1,627 | ||||||
6.000%, 05/13/14 | 5,710 | 5,782 | ||||||
6.000%, 04/28/15 | 630 | 627 | ||||||
5.950%, 12/28/17 | 100 | 97 | ||||||
5.625%, 09/23/19 | 160 | 150 | ||||||
0.700%, 10/18/16 (B) | 5,815 | 4,527 | ||||||
MUFG Capital Finance 1 | ||||||||
6.346%, 07/25/49 (B) | 870 | 879 | ||||||
National Australia Bank | ||||||||
5.350%, 06/12/13 (C) | 2,500 | 2,642 | ||||||
National Bank of Canada | ||||||||
1.650%, 01/30/14 (C) | 1,380 | 1,402 | ||||||
Nationwide Mutual Insurance | ||||||||
5.810%, 12/15/24 (B) (C) | 1,975 | 1,939 | ||||||
NB Capital Trust IV | ||||||||
8.250%, 04/15/27 | 1,055 | 978 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New York Life Global Funding | ||||||||
3.000%, 05/04/15 (C) | $ | 1,840 | $ | 1,913 | ||||
New York Life Insurance | ||||||||
6.750%, 11/15/39 (C) | 415 | 513 | ||||||
Nordea Bank (C) | ||||||||
4.875%, 01/14/21 | 180 | 187 | ||||||
4.875%, 05/13/21 | 1,765 | 1,508 | ||||||
3.700%, 11/13/14 | 1,010 | 1,028 | ||||||
Nordea Eiendomskreditt | ||||||||
1.875%, 04/07/14 (C) | 1,865 | 1,889 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (C) | 755 | 889 | ||||||
PNC Funding | ||||||||
2.700%, 09/19/16 | 885 | 885 | ||||||
Power Receivables Financial | ||||||||
6.290%, 01/01/12 | 220 | 220 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/14 (C) | 3,400 | 3,703 | ||||||
Prime Property Fund‡ | ||||||||
5.500%, 01/15/14 (C) | 1,850 | 1,863 | ||||||
Protective Life | ||||||||
8.450%, 10/15/39 | 285 | 329 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/41 | 200 | 190 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/23 (C) | 1,300 | 1,640 | ||||||
Residential Capital | ||||||||
9.625%, 05/15/15 | 15 | 12 | ||||||
Royal Bank of Scotland Group | ||||||||
7.648%, 08/31/49 (B) | 160 | 104 | ||||||
7.640%, 09/29/17 | 900 | 432 | ||||||
6.400%, 10/21/19 | 1,190 | 1,138 | ||||||
5.000%, 11/12/13 | 250 | 237 | ||||||
5.000%, 10/01/14 | 990 | 922 | ||||||
3.950%, 09/21/15 | 10 | 10 | ||||||
Santander US Debt Unipersonal | ||||||||
3.781%, 10/07/15 (C) | 100 | 89 | ||||||
3.724%, 01/20/15 (C) (D) | 1,600 | 1,484 | ||||||
Simon Property Group L.P.‡ | ||||||||
5.750%, 12/01/15 | 910 | 1,004 | ||||||
SL Green Realty‡ | ||||||||
5.000%, 08/15/18 | 180 | 174 | ||||||
SLM MTN | ||||||||
5.625%, 08/01/33 (D) | 595 | �� | 474 | |||||
5.050%, 11/14/14 | 690 | 666 | ||||||
5.000%, 04/15/15 | 120 | 112 | ||||||
Sparebank 1 Boligkreditt | ||||||||
1.250%, 10/25/13 (C) | 745 | 748 | ||||||
Stadshypotek | ||||||||
1.450%, 09/30/13 (C) | 1,245 | 1,252 | ||||||
Standard Chartered | ||||||||
3.200%, 05/12/16 (C) | 1,245 | 1,234 | ||||||
State Street | ||||||||
4.956%, 03/15/18 | 1,260 | 1,333 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sumitomo Mitsui Banking | ||||||||
3.150%, 07/22/15 (C) (D) | $ | 1,360 | $ | 1,402 | ||||
3.100%, 01/14/16 (C) | 200 | 206 | ||||||
SunTrust Preferred Capital I | ||||||||
5.853%, 12/15/11 (B) | 259 | 196 | ||||||
Svensk Exportkredit | ||||||||
3.250%, 09/16/14 | 1,484 | 1,576 | ||||||
1.750%, 10/20/15 | 1,820 | 1,846 | ||||||
Swedbank Hypotek | ||||||||
2.950%, 03/28/16 (C) | 800 | 835 | ||||||
2.125%, 08/31/16 (C) | 555 | 557 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/39 (C) | 1,300 | 1,593 | ||||||
TNK-BP Finance | ||||||||
7.500%, 07/18/16 (C) | 230 | 239 | ||||||
Toronto-Dominion Bank | ||||||||
1.625%, 09/14/16 (C) | 2,710 | 2,701 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/21 | 1,180 | 1,190 | ||||||
Travelers | ||||||||
3.900%, 11/01/20 | 475 | 487 | ||||||
UBS MTN | ||||||||
4.875%, 08/04/20 | 320 | 308 | ||||||
3.875%, 01/15/15 | 820 | 817 | ||||||
2.250%, 01/28/14 | 1,050 | 1,023 | ||||||
UDR MTN | ||||||||
5.000%, 01/15/12‡ | 2,000 | 2,014 | ||||||
US Bancorp MTN | ||||||||
2.450%, 07/27/15 | 350 | 359 | ||||||
Wachovia | ||||||||
5.250%, 08/01/14 | 2,570 | 2,696 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 05/31/16 (B) | 2,850 | 2,337 | ||||||
WEA Finance | ||||||||
7.125%, 04/15/18 (C) | 3,000 | 3,427 | ||||||
6.750%, 09/02/19 (C) | 1,230 | 1,367 | ||||||
4.625%, 05/10/21 (C) | 505 | 482 | ||||||
Wells Fargo | ||||||||
4.600%, 04/01/21 | 160 | 171 | ||||||
3.676%, 06/15/16 (D) | 680 | 708 | ||||||
Wells Fargo Bank | ||||||||
4.750%, 02/09/15 | 2,095 | 2,183 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/36 | 760 | 741 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/19 | 105 | 110 | ||||||
3.000%, 12/09/15 | 1,055 | 1,072 | ||||||
Woodbourne Capital Trust II | ||||||||
1.360%, 04/08/49 (B) (C) | 375 | 127 | ||||||
Woodbourne Capital Trust III | ||||||||
1.360%, 04/08/49 (B) (C) | 500 | 170 | ||||||
Woodbourne Capital Trust IV | ||||||||
1.360%, 04/08/49 (B) (C) | 275 | 93 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WR Berkley | ||||||||
5.375%, 09/15/20 | $ | 405 | $ | 416 | ||||
XL Group | ||||||||
5.750%, 10/01/21 | 300 | 299 | ||||||
|
| |||||||
327,998 | ||||||||
|
| |||||||
Health Care — 1.1% | ||||||||
Amgen | ||||||||
5.650%, 06/15/42 | 1,060 | 1,282 | ||||||
Boston Scientific | ||||||||
6.400%, 06/15/16 | 675 | 754 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/17 | 1,092 | 1,224 | ||||||
5.450%, 06/15/21 | 255 | 275 | ||||||
Giant Funding | ||||||||
8.250%, 02/01/18 (C) | 190 | 190 | ||||||
Gilead Sciences | ||||||||
4.500%, 04/01/21 | 925 | 997 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/18 | 810 | 979 | ||||||
HCA | ||||||||
7.500%, 11/15/95 | 3,800 | 2,850 | ||||||
Humana | ||||||||
7.200%, 06/15/18 | 1,150 | 1,362 | ||||||
Life Technologies | ||||||||
5.000%, 01/15/21 | 910 | 942 | ||||||
Medtronic | ||||||||
4.450%, 03/15/20 | 730 | 827 | ||||||
Roche Holdings | ||||||||
7.000%, 03/01/39 (C) | 430 | 615 | ||||||
6.000%, 03/01/19 (C) | 1,410 | 1,723 | ||||||
Sanofi-Aventis | ||||||||
2.625%, 03/29/16 | 880 | 911 | ||||||
Stryker | ||||||||
2.000%, 09/30/16 | 445 | 447 | ||||||
Tenet Healthcare | ||||||||
8.875%, 07/01/19 | 900 | 952 | ||||||
Thermo Fisher Scientific | ||||||||
3.600%, 08/15/21 | 350 | 363 | ||||||
3.200%, 03/01/16 | 435 | 457 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/38 | 100 | 131 | ||||||
6.000%, 06/15/17 | 51 | 58 | ||||||
5.800%, 03/15/36 | 280 | 324 | ||||||
5.700%, 10/15/40 | 510 | 582 | ||||||
3.875%, 10/15/20 | 530 | 560 | ||||||
WellPoint | ||||||||
6.800%, 08/01/12 | 1,000 | 1,049 | ||||||
5.875%, 06/15/17 | 2,190 | 2,505 | ||||||
Wyeth | ||||||||
5.950%, 04/01/37 | 1,100 | 1,401 | ||||||
|
| |||||||
23,760 | ||||||||
|
|
82 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 1.1% | ||||||||
Allied Waste North America | ||||||||
6.875%, 06/01/17 | $ | 260 | $ | 278 | ||||
Boeing | ||||||||
4.875%, 02/15/20 | 1,380 | 1,575 | ||||||
Burlington Northern Santa Fe | ||||||||
5.750%, 05/01/40 | 287 | 338 | ||||||
Caterpillar | ||||||||
5.200%, 05/27/41 | 785 | 918 | ||||||
3.900%, 05/27/21 | 550 | 593 | ||||||
Cedar Brakes I LLC | ||||||||
8.500%, 02/15/14 (C) | 722 | 746 | ||||||
Complete Production Services | ||||||||
8.000%, 12/15/16 | 1,005 | 1,005 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2 | ||||||||
7.256%, 03/15/20 | 2,749 | 2,804 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1 | ||||||||
5.983%, 04/19/22 (D) | 1,610 | 1,618 | ||||||
Continental Airlines, Ser 2009-1 | ||||||||
9.000%, 07/08/16 | 2,736 | 2,955 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1 | ||||||||
6.821%, 08/10/22 | 1,437 | 1,448 | ||||||
Hutchison Whampoa International | ||||||||
5.750%, 09/11/19 (C) | 895 | 961 | ||||||
JetBlue Airways, Ser 2004-2 | ||||||||
0.661%, 08/15/16 (B) | 2,807 | 2,484 | ||||||
Kansas City Southern de Mexico | ||||||||
12.500%, 04/01/16 | 522 | 599 | ||||||
Lockheed Martin | ||||||||
3.350%, 09/15/21 | 1,035 | 1,025 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/15 | 1,140 | 1,133 | ||||||
Raytheon | ||||||||
3.125%, 10/15/20 | 430 | 428 | ||||||
United Air Lines | ||||||||
9.750%, 01/15/17 | 213 | 234 | ||||||
United Parcel Service | ||||||||
4.500%, 01/15/13 | 980 | 1,029 | ||||||
Verisk Analytics | ||||||||
5.800%, 05/01/21 | 495 | 556 | ||||||
Waste Management | ||||||||
7.375%, 05/15/29 | 330 | 419 | ||||||
2.600%, 09/01/16 | 290 | 291 | ||||||
|
| |||||||
23,437 | ||||||||
|
| |||||||
Information Technology — 0.4% | ||||||||
Adobe Systems | ||||||||
4.750%, 02/01/20 | 587 | 617 | ||||||
Cisco Systems | ||||||||
5.500%, 01/15/40 | 270 | 311 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Fiserv | ||||||||
3.125%, 06/15/16 | $ | 505 | $ | 511 | ||||
Freescale Semiconductor | ||||||||
10.125%, 12/15/16 | 60 | 61 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/41 | 900 | 949 | ||||||
3.000%, 09/15/16 | 359 | 362 | ||||||
Intel | ||||||||
3.300%, 10/01/21 | 2,525 | 2,579 | ||||||
International Business Machines | ||||||||
1.950%, 07/22/16 | 835 | 842 | ||||||
Microsoft | ||||||||
5.300%, 02/08/41 | 1,435 | 1,767 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/17 | 170 | 203 | ||||||
|
| |||||||
8,202 | ||||||||
|
| |||||||
Materials — 0.6% | ||||||||
ArcelorMittal | ||||||||
5.500%, 03/01/21 (D) | 371 | 332 | ||||||
Barrick North America Finance | ||||||||
4.400%, 05/30/21 | 1,230 | 1,261 | ||||||
Braskem America Finance | ||||||||
7.125%, 07/22/41 (C) | 560 | 511 | ||||||
CF Industries | ||||||||
7.125%, 05/01/20 | 70 | 80 | ||||||
CodelCo | ||||||||
4.750%, 10/15/14 (C) | 470 | 500 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/19 | 1,033 | 1,324 | ||||||
FMG Resources | ||||||||
6.375%, 02/01/16 (C) | 120 | 108 | ||||||
Freeport-McMoRan Copper & Gold | ||||||||
8.375%, 04/01/17 | 1,390 | 1,491 | ||||||
Novelis | ||||||||
8.750%, 12/15/20 | 460 | 451 | ||||||
Potash Corp of Saskatchewan | ||||||||
4.875%, 03/30/20 | 280 | 314 | ||||||
PPG Industries | ||||||||
6.650%, 03/15/18 | 435 | 535 | ||||||
5.750%, 03/15/13 | 435 | 463 | ||||||
Rio Tinto Finance USA | ||||||||
6.500%, 07/15/18 | 2,990 | 3,587 | ||||||
3.750%, 09/20/21 | 490 | 488 | ||||||
Steel Dynamics | ||||||||
6.750%, 04/01/15 | 810 | 796 | ||||||
Teck Resources | ||||||||
10.250%, 05/15/16 | 52 | 61 | ||||||
6.250%, 07/15/41 | 646 | 678 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/36 | 1,510 | 1,629 | ||||||
|
| |||||||
14,609 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 1.3% |
| |||||||
America Movil | ||||||||
6.125%, 03/30/40 | $ | 595 | $ | 619 | ||||
5.625%, 11/15/17 | 440 | 489 | ||||||
5.000%, 03/30/20 | 750 | 792 | ||||||
2.375%, 09/08/16 | 835 | 807 | ||||||
American Tower | ||||||||
5.050%, 09/01/20 | 259 | 259 | ||||||
4.500%, 01/15/18 | 920 | 921 | ||||||
AT&T | ||||||||
6.500%, 09/01/37 | 1,380 | 1,612 | ||||||
6.450%, 06/15/34 | 625 | 719 | ||||||
6.400%, 05/15/38 | 290 | 337 | ||||||
5.550%, 08/15/41 | 1,370 | 1,475 | ||||||
5.500%, 02/01/18 | 710 | 820 | ||||||
5.100%, 09/15/14 | 1,530 | 1,680 | ||||||
3.875%, 08/15/21 | 40 | 41 | ||||||
AT&T Mobility LLC | ||||||||
6.500%, 12/15/11 | 1,455 | 1,471 | ||||||
BellSouth | ||||||||
4.750%, 11/15/12 | 170 | 177 | ||||||
British Telecommunications PLC | ||||||||
9.875%, 12/15/30 | 50 | 72 | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/18 | 520 | 693 | ||||||
7.375%, 11/15/13 | 275 | 308 | ||||||
CenturyLink | ||||||||
7.600%, 09/15/39 | 493 | 443 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/16 | 1,380 | 1,520 | ||||||
France Telecom | ||||||||
2.750%, 09/14/16 | 1,005 | 997 | ||||||
Frontier Communications | ||||||||
9.000%, 08/15/31 | 210 | 179 | ||||||
8.250%, 04/15/17 | 870 | 844 | ||||||
Intelsat Jackson Holdings | ||||||||
9.500%, 06/15/16 | 180 | 182 | ||||||
8.500%, 11/01/19 | 250 | 244 | ||||||
New Cingular Wireless Services | ||||||||
8.125%, 05/01/12 | 1,595 | 1,659 | ||||||
Rogers Communications | ||||||||
6.800%, 08/15/18 | 450 | 547 | ||||||
6.750%, 03/15/15 | 1,015 | 1,187 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 1,010 | 877 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/17 | 110 | 111 | ||||||
5.877%, 07/15/19 | 130 | 128 | ||||||
5.462%, 02/16/21 | 70 | 66 | ||||||
5.134%, 04/27/20 | 790 | 736 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/15 (C) | 505 | 483 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telemar Norte Leste SA | ||||||||
5.500%, 10/23/20 (C) | $ | 820 | $ | 779 | ||||
Verizon Communications | ||||||||
6.100%, 04/15/18 | 465 | 554 | ||||||
6.000%, 04/01/41 (D) | 680 | 827 | ||||||
5.500%, 02/15/18 | 1,920 | 2,226 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/30 | 1,060 | 1,457 | ||||||
Verizon New York | ||||||||
6.875%, 04/01/12 | 660 | 679 | ||||||
|
| |||||||
30,017 | ||||||||
|
| |||||||
Utilities — 2.2% | ||||||||
AEP Texas Central Transition Funding | ||||||||
5.090%, 07/01/15 | 3,600 | 3,990 | ||||||
Ameren | ||||||||
8.875%, 05/15/14 | 690 | 781 | ||||||
Aquila | ||||||||
11.875%, 07/01/12 | 2,535 | 2,726 | ||||||
Calpine | ||||||||
7.500%, 02/15/21 (C) | 860 | 822 | ||||||
Carolina Power & Light | ||||||||
3.000%, 09/15/21 | 760 | 765 | ||||||
Cedar Brakes II LLC | ||||||||
9.875%, 09/01/13 (C) | 920 | 945 | ||||||
Cleveland Electric Illuminating | ||||||||
8.875%, 11/15/18 | 685 | 926 | ||||||
CMS Energy | ||||||||
5.050%, 02/15/18 | 680 | 672 | ||||||
2.750%, 05/15/14 | 415 | 406 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/19 | 1,510 | 2,013 | ||||||
4.900%, 08/01/41 | 230 | 238 | ||||||
1.950%, 08/15/16 | 265 | 264 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 140 | 155 | ||||||
Duke Energy Carolinas | ||||||||
5.625%, 11/30/12 | 1,470 | 1,542 | ||||||
EDF | ||||||||
4.600%, 01/27/20 (C) | 145 | 152 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (C) | 895 | 754 | ||||||
Energy Future Holdings | ||||||||
10.000%, 12/01/20 | 686 | 669 | ||||||
Exelon | ||||||||
5.625%, 06/15/35 | 1,060 | 1,106 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/39 | 45 | 52 | ||||||
5.200%, 10/01/19 | 40 | 43 | ||||||
FirstEnergy, Ser B | ||||||||
6.450%, 11/15/11 | 23 | 23 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/31 (D) | 1,735 | 2,140 |
84 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Great Plains Energy | ||||||||
4.850%, 06/01/21 | $ | 143 | $ | 151 | ||||
Hydro Quebec | ||||||||
2.000%, 06/30/16 | 1,275 | 1,301 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/21 | 2,700 | 3,387 | ||||||
Korea Hydro & Nuclear Power | ||||||||
3.125%, 09/16/15 (C) (D) | 720 | 704 | ||||||
LG&E and KU Energy | ||||||||
4.375%, 10/01/21 (C) | 745 | 745 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 1,445 | 1,807 | ||||||
6.125%, 04/01/36 | 330 | 395 | ||||||
National Grid | ||||||||
6.300%, 08/01/16 | 355 | 408 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/19 | 2,261 | 2,637 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/18 | 1,075 | 1,307 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/18 | 210 | 280 | ||||||
5.800%, 03/01/37 | 800 | 930 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/19 | 2,500 | 3,169 | ||||||
PPL Electric Utilities | ||||||||
3.000%, 09/15/21 | 490 | 489 | ||||||
PPL WEM Holdings | ||||||||
3.900%, 05/01/16 (C) | 600 | 629 | ||||||
Progress Energy | ||||||||
6.850%, 04/15/12 | 526 | 543 | ||||||
PSEG Power | ||||||||
2.750%, 09/15/16 | 320 | 319 | ||||||
Public Service of Colorado | ||||||||
4.750%, 08/15/41 | 115 | 128 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 1,805 | 2,071 | ||||||
Puget Energy | ||||||||
6.000%, 09/01/21 | 700 | 694 | ||||||
PVNGS II Funding | ||||||||
8.000%, 12/30/15 | 1,733 | 1,905 | ||||||
Sempra Energy | ||||||||
2.000%, 03/15/14 | 1,135 | 1,147 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (C) | 1,380 | 1,812 | ||||||
|
| |||||||
48,142 | ||||||||
|
| |||||||
Total Corporate Obligations | 609,228 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 11.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.000%, 11/10/11 (A) (H) | 10 | 10 | ||||||
U.S. Treasury Bonds | ||||||||
8.000%, 11/15/21 (D) | 7,743 | 12,094 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.625%, 02/15/25 | $ | 3,895 | $ | 6,273 | ||||
5.000%, 05/15/37 | 10,460 | 14,562 | ||||||
4.750%, 02/15/41 | 605 | 827 | ||||||
4.500%, 02/15/36 (D) | 3,918 | 5,073 | ||||||
4.375%, 11/15/39 to 05/15/41 (D) | 28,026 | 36,186 | ||||||
4.250%, 11/15/40 (D) | 2,217 | 2,804 | ||||||
3.875%, 08/15/40 (H) | 24,080 | 28,610 | ||||||
3.750%, 08/15/41 | 11,197 | 13,036 | ||||||
3.543%, 02/15/41 (A) | 6,560 | 2,653 | ||||||
U.S. Treasury Inflation Protected Security | ||||||||
3.875%, 04/15/29 | 522 | 786 | ||||||
3.625%, 04/15/28 | 2,105 | 3,028 | ||||||
3.000%, 07/15/12 | 7,388 | 7,596 | ||||||
2.500%, 01/15/29 | 1,863 | 2,391 | ||||||
2.375%, 01/15/25 to 01/15/27 (I) | 1,181 | 1,463 | ||||||
2.125%, 02/15/41 (D) | 5,380 | 6,871 | ||||||
2.000%, 01/15/26 | 91 | 108 | ||||||
1.750%, 01/15/28 | 54 | 63 | ||||||
U.S. Treasury Notes | ||||||||
4.250%, 11/15/17 | 5,705 | 6,728 | ||||||
3.125%, 05/15/21 | 5,003 | 5,553 | ||||||
2.125%, 08/15/21 (D) | 13,211 | 13,444 | ||||||
1.875%, 02/28/14 | 2,100 | 2,176 | ||||||
1.875%, 09/30/17 | 4,335 | 4,501 | ||||||
1.500%, 07/31/16 to 08/31/18 (D) | 18,660 | 19,128 | ||||||
1.375%, 09/30/18 | 1,496 | 1,489 | ||||||
1.000%, 08/31/16 to 09/30/16 (D) | 40,808 | 40,891 | ||||||
0.625%, 07/15/14 | 7,287 | 7,331 | ||||||
0.500%, 05/31/13 | 100 | 100 | ||||||
0.375%, 06/30/13 (D) | 1,739 | 1,743 | ||||||
0.375%, 07/31/13 | 1,462 | 1,465 | ||||||
0.250%, 09/15/14 | 2,183 | 2,172 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 251,155 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 7.2% |
| |||||||
Automotive — 0.2% | ||||||||
Ally Auto Receivables Trust, | ||||||||
1.140%, 06/15/16 | 675 | 673 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2010- 3A, Cl A | ||||||||
4.640%, 05/20/16 (C) | 600 | 643 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2010- 5A, Cl A | ||||||||
3.150%, 03/20/17 (C) | 140 | 144 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
3.320%, 02/15/17 | 102 | 104 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hertz Vehicle Financing, Ser 2009-2A, Cl A2 | ||||||||
5.290%, 03/25/16 (C) | $ | 1,100 | $ | 1,191 | ||||
Hyundai Auto Receivables Trust, | ||||||||
1.300%, 02/15/18 | 601 | 601 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/16 (C) | 492 | 503 | ||||||
World Omni Auto Receivables Trust, | ||||||||
4.740%, 10/15/13 | 871 | 888 | ||||||
|
| |||||||
4,747 | ||||||||
|
| |||||||
Credit Cards — 0.7% | ||||||||
Capital One Multi-Asset Execution Trust, Ser 2004-A4, Cl A4 | ||||||||
0.449%, 03/15/17 (B) | 316 | 316 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.309%, 09/15/15 (B) | 602 | 601 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 | ||||||||
0.289%, 01/15/16 (B) | 127 | 127 | ||||||
Chase Issuance Trust, | ||||||||
0.299%, 07/15/14 (B) | 450 | 450 | ||||||
Chase Issuance Trust, | ||||||||
0.299%, 12/15/14 (B) | 1,395 | 1,395 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
4.850%, 03/10/17 | 200 | 226 | ||||||
Citibank Omni Master Trust, | ||||||||
2.329%, 05/16/16 (B) (C) | 2,109 | 2,127 | ||||||
Citibank Omni Master Trust, | ||||||||
2.979%, 08/15/18 (B) (C) | 3,888 | 4,068 | ||||||
DBRR Trust, Ser 2011-LC2 | ||||||||
4.537%, 04/12/21 | 1,320 | 1,379 | ||||||
Discover Card Master Trust, | ||||||||
1.529%, 12/15/14 (B) | 583 | 588 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A | ||||||||
3.690%, 07/15/15 | 739 | 756 | ||||||
MBNA Master Credit Card Trust, | ||||||||
0.389%, 08/15/14 (B) | 2,697 | 2,697 | ||||||
World Financial Network Credit Card Master Trust, Ser 2009-A, Cl A | ||||||||
4.600%, 09/15/15 | 1,206 | 1,211 | ||||||
|
| |||||||
15,941 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mortgage Related Securities — 1.1% |
| |||||||
ABS Home Equity Loan Trust, | ||||||||
0.769%, 11/25/31 (B) | $ | 337 | $ | 273 | ||||
AFC Home Equity Loan Trust, | ||||||||
0.505%, 04/25/28 (B) | 50 | 38 | ||||||
AFC Home Equity Loan Trust, | ||||||||
0.475%, 03/25/30 (B) | 3,059 | 976 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
8.280%, 08/25/30 | 2,635 | 2,557 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||||
0.335%, 03/25/37 (B) | 1,202 | 1,157 | ||||||
Centex Home Equity, | ||||||||
0.485%, 06/25/36 (B) | 4,917 | 2,617 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.275%, 12/25/36 (B) | 94 | 91 | ||||||
Conseco Finance, | ||||||||
6.690%, 11/15/32 (B) | 764 | 771 | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.050%, 03/15/28 | 1 | 1 | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.090%, 04/15/28 | 6 | 5 | ||||||
EMC Mortgage Loan Trust, | ||||||||
0.705%, 05/25/39 (B) (C) | 1,208 | 993 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.491%, 01/20/35 (B) | 2,536 | 2,336 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.390%, 01/20/36 (B) | 3,362 | 3,132 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.361%, 03/20/36 (B) | 530 | 528 | ||||||
Morgan Stanley Capital I, | ||||||||
0.275%, 01/25/37 (B) | 43 | 42 | ||||||
Morgan Stanley Home Equity Loans, | ||||||||
0.285%, 12/25/36 (B) | 14 | 14 | ||||||
Option One Mortgage Loan Trust, | ||||||||
0.835%, 01/25/32 (B) | 270 | 235 |
86 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Option One Mortgage Loan Trust, | ||||||||
0.375%, 01/25/37 (B) | $ | 9,500 | $ | 3,029 | ||||
Option One Mortgage Loan Trust, | ||||||||
0.485%, 07/25/37 (B) | 4,574 | 1,460 | ||||||
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 | ||||||||
8.790%, 02/25/25 | 857 | 844 | ||||||
Soundview Home Equity Loan Trust, | ||||||||
0.395%, 01/25/37 (B) | 6,450 | 2,309 | ||||||
Terwin Mortgage Trust, | ||||||||
4.000%, 08/25/35 (B) (C) | 159 | 155 | ||||||
Truman Capital Mortgage Loan Trust, Ser 2006-1, Cl A | ||||||||
0.495%, 03/25/36 (B) (C) | 360 | 249 | ||||||
|
| |||||||
23,812 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 5.2% |
| |||||||
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1 | ||||||||
0.486%, 06/14/37 (B) (C) | 2,526 | 2,248 | ||||||
Ally Master Owner Trust, | ||||||||
2.150%, 01/15/16 | 1,330 | 1,351 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/16 | 515 | 519 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/16 | 750 | 749 | ||||||
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1 | ||||||||
0.529%, 11/14/33 (B) (C) | 3,089 | 2,726 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
1.457%, 02/25/35 (B) | 2,200 | 2,097 | ||||||
Brazos Higher Education Authority, | ||||||||
1.247%, 10/27/36 (B) | 1,000 | 910 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
0.635%, 09/25/35 (B) | 3,528 | 3,233 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
0.448%, 03/25/42 (B) (C) | 2,215 | 2,028 | ||||||
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5 | ||||||||
6.046%, 03/25/37 | 1,970 | 1,310 | ||||||
Conseco Finance Home Loan Trust, | ||||||||
8.130%, 08/15/31 (B) | 624 | 603 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.835%, 06/25/33 (B) | $ | 38 | $ | 33 | ||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.695%, 10/25/35 (B) | 3,426 | 3,289 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-5, Cl 2A1 | ||||||||
0.335%, 09/25/47 (B) | 945 | 925 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
1.035%, 10/25/47 (B) | 4,808 | 3,488 | ||||||
Countrywide Home Equity Loan Trust, Ser 2002-E, Cl A | ||||||||
0.489%, 10/15/28 (B) | 55 | 53 | ||||||
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 | ||||||||
0.529%, 02/15/34 (B) | 838 | 500 | ||||||
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A | ||||||||
0.469%, 12/15/35 (B) | 1,551 | 749 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B | ||||||||
0.336%, 11/15/36 (B) | 206 | 156 | ||||||
Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A | ||||||||
0.779%, 11/15/28 (B) | 167 | 133 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||||
5.600%, 09/25/31 | 433 | 441 | ||||||
Educational Funding of the South, | ||||||||
0.903%, 04/25/35 (B) | 2,100 | 1,944 | ||||||
First Horizon ABS Trust, | ||||||||
0.455%, 02/25/34 (B) | 855 | 579 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/16 | 765 | 779 | ||||||
GE Seaco Finance, | ||||||||
0.480%, 11/17/20 (B) (C) | 3,281 | 3,093 | ||||||
Genesis Funding, | ||||||||
0.470%, 12/19/32 (B) (C) | 2,937 | 2,592 | ||||||
Goal Capital Funding Trust, | ||||||||
0.432%, 11/25/26 (B) | 2,150 | 2,027 | ||||||
Green Tree Financial, | ||||||||
7.050%, 01/15/19 | 1,337 | 1,351 | ||||||
Green Tree Financial, | ||||||||
7.750%, 07/15/27 | 432 | 441 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/38 (B) (C) | $ | 2,500 | $ | 2,797 | ||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||
8.970%, 04/25/38 (B) (C) | 1,064 | 1,136 | ||||||
Greenpoint Manufactured Housing, | ||||||||
3.104%, 03/18/29 (B) | 675 | 540 | ||||||
Greenpoint Manufactured Housing, | ||||||||
3.713%, 06/19/29 (B) | 350 | 280 | ||||||
Greenpoint Manufactured Housing, | ||||||||
7.270%, 06/15/29 | 1,300 | 1,213 | ||||||
Greenpoint Manufactured Housing, | ||||||||
3.686%, 02/20/30 (B) | 375 | 300 | ||||||
Greenpoint Manufactured Housing, | ||||||||
2.187%, 11/22/31 | 500 | 414 | ||||||
Greenpoint Manufactured Housing, | ||||||||
3.706%, 02/20/32 (B) | 575 | 376 | ||||||
Greenpoint Manufactured Housing, | ||||||||
3.187%, 03/13/32 (B) | 700 | 445 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
0.635%, 02/25/33 (B) | 2,436 | 1,742 | ||||||
GSAMP Trust, Ser 2006-SEA1, Cl A | ||||||||
0.535%, 05/25/36 (B) (C) | 480 | 390 | ||||||
HSI Asset Securitization Trust, | ||||||||
0.815%, 11/25/35 (B) | 3,552 | 2,730 | ||||||
Illinois Student Assistance Commission, Ser 2010-1, Cl A3 | ||||||||
1.153%, 07/25/45 (B) | 3,100 | 2,975 | ||||||
Lehman ABS Manufactured Housing Contract Trust, | ||||||||
5.270%, 09/15/18 | 1,828 | 1,908 | ||||||
Lehman XS Trust, | ||||||||
0.535%, 11/25/35 (B) | 1,476 | 1,080 | ||||||
Lehman XS Trust, | ||||||||
0.565%, 05/25/46 (B) | 5,081 | 1,082 | ||||||
Master Specialized Loan Trust, | ||||||||
0.585%, 05/25/37 (B) (C) | 6,984 | 2,178 | ||||||
Mid-State Trust, | ||||||||
4.864%, 07/15/38 | 3,109 | 3,133 | ||||||
Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A | ||||||||
0.425%, 07/25/17 (B) | 400 | 333 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, | ||||||||
0.455%, 03/23/37 (B) | $ | 535 | $ | 485 | ||||
Nelnet Student Loan Trust, | ||||||||
0.393%, 11/23/22 (B) | 914 | 892 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.333%, 10/26/26 (B) | 1,157 | 1,147 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.382%, 05/27/25 (B) | 1,592 | 1,456 | ||||||
Nelnet Student Loan Trust, | ||||||||
1.962%, 11/25/24 (B) | 1,854 | 1,914 | ||||||
Origen Manufactured Housing, | ||||||||
3.708%, 10/15/37 (B) | 3,050 | 1,921 | ||||||
Origen Manufactured Housing, | ||||||||
3.708%, 04/15/37 (B) | 5,900 | 3,599 | ||||||
Park Place Securities, Ser 2004-WCW1, Cl M2 | ||||||||
0.915%, 09/25/34 (B) | 3,747 | 3,331 | ||||||
PG&E Energy Recovery Funding, Ser 2005-1, Cl A4 | ||||||||
4.370%, 06/25/14 | 224 | 227 | ||||||
Residential Asset Mortgage Products, | ||||||||
1.330%, 12/25/33 (B) | 188 | 128 | ||||||
Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII | ||||||||
0.915%, 03/25/33 (B) | 48 | 32 | ||||||
RSB Bondco, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/19 | 775 | 927 | ||||||
SLC Student Loan Trust, Ser 2007-2, Cl A2 | ||||||||
0.686%, 05/15/28 (B) | 1,428 | 1,372 | ||||||
SLM Student Loan Trust, Ser 2003-4, Cl A5A | ||||||||
1.097%, 03/15/33 (B) (C) | 167 | 162 | ||||||
SLM Student Loan Trust, Ser 2003-11, Cl A6 | ||||||||
0.637%, 12/15/25 (B) (C) | 850 | 799 | ||||||
SLM Student Loan Trust, Ser 2003-14, Cl A5 | ||||||||
0.483%, 01/25/23 (B) | 2,128 | 2,094 | ||||||
SLM Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
0.423%, 07/25/23 (B) | 594 | 575 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A5A | ||||||||
0.363%, 07/27/26 (B) | 1,621 | 1,572 |
88 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2006-4, Cl A5 | ||||||||
0.353%, 10/25/25 (B) | $ | 315 | $ | 307 | ||||
SLM Student Loan Trust, Ser 2006-5, Cl A5 | ||||||||
0.363%, 01/25/27 (B) | 1,540 | 1,454 | ||||||
SLM Student Loan Trust, Ser 2006-5, Cl A6B | ||||||||
0.373%, 10/25/40 (B) | 1,980 | 1,681 | ||||||
SLM Student Loan Trust, Ser 2007-4, Cl A3 | ||||||||
0.313%, 01/25/22 (B) | 431 | 428 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A2 | ||||||||
1.303%, 07/25/16 (B) | 766 | 775 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl A2 | ||||||||
0.803%, 10/25/17 (B) | 347 | 347 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
1.753%, 04/25/23 (B) | 1,107 | 1,138 | ||||||
Small Business Administration, Ser 2003-P10A, Cl 1 | ||||||||
4.524%, 02/10/13 | 395 | 409 | ||||||
SMS Student Loan Trust, Ser 2000-A, Cl A2 | ||||||||
0.443%, 10/28/28 (B) | 816 | 813 | ||||||
South Carolina Student Loan, | ||||||||
0.446%, 12/01/20 (B) | 1,850 | 1,745 | ||||||
Structured Asset Securities, | ||||||||
0.325%, 03/25/37 (B) | 1,629 | 1,575 | ||||||
Structured Asset Securities, | ||||||||
0.485%, 11/25/37 (B) | 2,597 | 2,428 | ||||||
TAL Advantage, Ser 2006-1A | ||||||||
0.421%, 04/20/21 (B) (C) | 710 | 646 | ||||||
TAL Advantage, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/25 (C) | 1,431 | 1,357 | ||||||
TAL Advantage, Ser 2011-1A, Cl A | ||||||||
4.600%, 01/20/26 (C) | 233 | 233 | ||||||
Textainer Marine Containers, | ||||||||
0.480%, 05/15/20 (B) (C) | 1,659 | 1,543 | ||||||
Textainer Marine Containers, | ||||||||
4.700%, 06/15/26 (C) | 1,658 | 1,667 | ||||||
Trinity Rail Leasing, | ||||||||
5.900%, 05/14/36 (C) | 1,225 | 1,331 | ||||||
Trip Rail Master Funding, Ser 2011-1A, Cl A1A | ||||||||
4.370%, 07/15/41 (C) | 2,157 | 2,168 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Triton Container Finance, Ser 2006-1A, Cl N | ||||||||
0.400%, 11/26/21 (B) (C) | $ | 2,273 | $ | 2,072 | ||||
Triton Container Finance, Ser 2007-1A, Cl N | ||||||||
0.370%, 02/26/19 (B) (C) | 1,324 | 1,231 | ||||||
|
| |||||||
113,380 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 157,880 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.8% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/36 | 1,580 | 2,039 | ||||||
0.321%, 02/10/12 (A) | 4,560 | 4,555 | ||||||
FICO STRIPS | ||||||||
9.800%, 04/06/18 | 850 | 1,263 | ||||||
9.700%, 04/05/19 | 1,050 | 1,608 | ||||||
8.600%, 09/26/19 | 2,490 | 3,688 | ||||||
2.648%, 12/27/15 (A) | 1,745 | 1,658 | ||||||
1.868%, 02/08/13 (A) | 2,225 | 2,206 | ||||||
3.448%, 02/08/18 to 09/26/19 (A) | 11,780 | 10,402 | ||||||
FNMA | ||||||||
7.918%, 10/09/19 (A) | 1,520 | 1,156 | ||||||
6.250%, 05/15/29 | 2,110 | 2,992 | ||||||
5.250%, 08/01/12 | 1,860 | 1,937 | ||||||
Resolution Funding STRIPS | ||||||||
3.315%, 01/15/16 (A) | 2,730 | 2,601 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/39 | 880 | 1,127 | ||||||
4.625%, 09/15/60 | 1,370 | 1,659 | ||||||
3.875%, 02/15/21 | 1,510 | 1,700 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 40,591 | ||||||
|
| |||||||
MUNICIPAL BONDS — 1.3% |
| |||||||
Birmingham Commercial Development Authority, Ser A, RB | ||||||||
5.500%, 04/01/41 | 70 | 75 | ||||||
Brazos Higher Education Authority, | ||||||||
1.726%, 06/25/42 (B) | 1,250 | 1,050 | ||||||
City of Chicago, O’Hare International Airport Revenue, | ||||||||
5.625%, 01/01/35 | 90 | 99 | ||||||
City of Chicago, O’Hare International Airport Revenue, | ||||||||
5.500%, 01/01/31 | 190 | 208 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
County of Clark Nevada, | ||||||||
5.250%, 07/01/39 | $ | 110 | $ | 114 | ||||
County of Clark Nevada, Ser C, RB | ||||||||
6.820%, 07/01/45 | 595 | 737 | ||||||
Florida Educational Loan Marketing, Sub-Ser B, AMT, RB | ||||||||
0.555%, 12/01/36 (B) | 2,400 | 1,998 | ||||||
Los Angeles Community College District, GO | ||||||||
6.750%, 08/01/49 | 570 | 764 | ||||||
Los Angeles Department of Airports, | ||||||||
5.250%, 05/15/39 | 120 | 130 | ||||||
Los Angeles Department of Airports, Ser A, RB | ||||||||
5.000%, 05/15/35 | 150 | 159 | ||||||
Los Angeles Department of Water & Power, RB | ||||||||
6.574%, 07/01/45 | 840 | 1,090 | ||||||
Metropolitan Atlanta Rapid Transit Authority, RB | ||||||||
5.000%, 07/01/39 | 100 | 104 | ||||||
Municipal Electric Authority of Georgia, RB | ||||||||
6.655%, 04/01/57 | 320 | 338 | ||||||
6.637%, 04/01/57 | 560 | 598 | ||||||
New Jersey State Turnpike Authority, RB | ||||||||
7.102%, 01/01/41 | 730 | 977 | ||||||
New York Liberty Development, RB | ||||||||
5.250%, 10/01/35 | 210 | 214 | ||||||
North Texas Tollway Authority, RB | ||||||||
6.718%, 01/01/49 | 653 | 828 | ||||||
Pennsylvania Higher Education Assistance Agency, RB | ||||||||
1.113%, 05/01/46 (B) | 4,825 | 4,523 | ||||||
San Mateo County Community College District, Ser B, GO Callable 09/01/16 @ 100 | ||||||||
5.000%, 09/01/38 | 40 | 42 | ||||||
Santa Clara Valley Transportation Authority, RB | ||||||||
5.876%, 04/01/32 | 690 | 825 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/40 | 725 | 897 | ||||||
7.300%, 10/01/39 | 2,735 | 3,252 | ||||||
6.650%, 03/01/22 | 1,375 | 1,592 |
Description | Face Amount ($ Thousands) (1) | Market Value ($ Thousands) | ||||||||||||
State of Illinois, GO | ||||||||||||||
5.877%, 03/01/19 | $ | 1,200 | $ | 1,281 | ||||||||||
5.665%, 03/01/18 | 3,180 | 3,423 | ||||||||||||
5.365%, 03/01/17 | 480 | 513 | ||||||||||||
5.100%, 06/01/33 | 2,725 | 2,463 | ||||||||||||
|
| |||||||||||||
Total Municipal Bonds |
| 28,294 | ||||||||||||
|
| |||||||||||||
SOVEREIGN DEBT — 0.8% |
| |||||||||||||
Chile Government International Bond | ||||||||||||||
3.250%, 09/14/21 | 745 | 726 | ||||||||||||
Hungary Government International Bond | ||||||||||||||
7.625%, 03/29/41 | 148 | 144 | ||||||||||||
Japan Finance Organization for Municipalities | ||||||||||||||
4.000%, 01/13/21 | 1,800 | 2,001 | ||||||||||||
Malaysia Government Bond | ||||||||||||||
4.262%, 09/15/16 | MYR | 9,750 | 3,169 | |||||||||||
Mexican Bonos | ||||||||||||||
8.000%, 06/11/20 | MXP | 57,030 | 4,566 | |||||||||||
Mexico Government International Bond | ||||||||||||||
5.750%, 10/12/10 | 976 | 961 | ||||||||||||
5.125%, 01/15/20 (D) | 623 | 675 | ||||||||||||
Province of Quebec Canada | ||||||||||||||
2.750%, 08/25/21 | 865 | 857 | ||||||||||||
Qatar Government International Bond | ||||||||||||||
4.000%, 01/20/15 (C) | 1,420 | 1,495 | ||||||||||||
RSHB Capital | ||||||||||||||
6.299%, 05/15/17 (C) | 700 | 689 | ||||||||||||
Russian Foreign Bond — Eurobond | ||||||||||||||
7.500%, 03/31/30 | 142 | 160 | ||||||||||||
United Mexican States MTN | ||||||||||||||
6.050%, 01/11/40 | 248 | 280 | ||||||||||||
United Mexican States, Ser A MTN | ||||||||||||||
7.500%, 04/08/33 | 176 | 233 | ||||||||||||
6.750%, 09/27/34 | 748 | 920 | �� | |||||||||||
|
| |||||||||||||
Total Sovereign Debt |
| 16,876 | ||||||||||||
|
| |||||||||||||
LOAN PARTICIPATIONS — 0.7% |
| |||||||||||||
Allison Transmission | ||||||||||||||
2.980%, 08/07/14 | 896 | 843 | ||||||||||||
Aramark | ||||||||||||||
2.244%, 01/26/14 | 121 | 117 | ||||||||||||
0.036%, 01/26/14 | 18 | 17 | ||||||||||||
Aramark LOC | ||||||||||||||
0.089%, 01/26/14 | 12 | 11 |
90 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aramark, Term Loan B | ||||||||
3.496%, 07/26/16 | $ | 267 | $ | 258 | ||||
Charter Communications, Term C Loan | ||||||||
3.620%, 09/06/16 | 1,286 | 1,241 | ||||||
DAE Aviation, Tranche B-1 | ||||||||
5.260%, 07/31/14 | 287 | 270 | ||||||
DAE Aviation, Tranche B-2 | ||||||||
5.260%, 09/27/14 | 276 | 259 | ||||||
First Data | ||||||||
4.235%, 03/24/18 | 1,515 | 1,224 | ||||||
First Data, Term Loan B-2 | ||||||||
2.985%, 09/24/14 | 1,837 | 1,592 | ||||||
Harrah’s Operating, Term Loan B-2 | ||||||||
3.253%, 01/28/15 | 394 | 327 | ||||||
3.235%, 01/28/15 | 212 | 176 | ||||||
Insight Midwest | ||||||||
2.000%, 04/07/14 | 222 | 218 | ||||||
1.970%, 04/07/14 | 384 | 376 | ||||||
Las Vegas Sands, Delayed Draw | ||||||||
2.720%, 11/23/16 | 233 | 222 | ||||||
Las Vegas Sands, Term B Loan | ||||||||
2.720%, 11/23/16 | 1,029 | 981 | ||||||
Pinafore | ||||||||
4.250%, 09/21/16 | 451 | 441 | ||||||
Sungard Data Systems | ||||||||
3.894%, 02/28/16 | 238 | 229 | ||||||
3.858%, 02/28/16 | 119 | 114 | ||||||
Sunguard | ||||||||
3.899%, 02/28/16 | 737 | 709 | ||||||
3.871%, 02/28/16 | 51 | 49 | ||||||
Telesat Canada, U.S. Term I Loan | ||||||||
3.240%, 10/31/14 | 1,031 | 998 | ||||||
Telesat Canada, U.S. Term II Loan | ||||||||
3.240%, 10/31/14 | 89 | 86 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.772%, 10/10/17 | 959 | 638 | ||||||
4.726%, 10/10/17 | 901 | 600 | ||||||
Tribune | ||||||||
3.930%, 06/04/09 (G) | 366 | 189 | ||||||
Univision Communications | ||||||||
4.471%, 09/29/14 | 2,185 | 1,983 | ||||||
UPC Financing Partnership | ||||||||
3.688%, 12/30/16 | 85 | 81 | ||||||
1.972%, 12/31/14 | 648 | 612 | ||||||
|
| |||||||
Total Loan Participations |
| 14,861 | ||||||
|
|
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.0% |
| |||||||
Citigroup Capital XII (B) | 41 | $ | 1,031 | |||||
Citigroup Capital XIII (B) | 11 | 280 | ||||||
|
| |||||||
Total Preferred Stock | 1,311 | |||||||
|
| |||||||
COMMON STOCK — 0.0% |
| |||||||
SemGroup, Cl A* | 1,294 | 26 | ||||||
|
| |||||||
Total Common Stock | 26 | |||||||
|
| |||||||
Number of | ||||||||
WARRANT — 0.0% |
| |||||||
SemGroup Warrants, Expires 2014* | 1,362 | 6 | ||||||
|
| |||||||
Total Warrant | 6 | |||||||
|
| |||||||
PURCHASED OPTION — 0.0% |
| |||||||
CDX.NA.HY.16 Future put Expires 12/12/11, Strike Price $94* | 6,900,000 | 30 | ||||||
|
| |||||||
Total Purchased Option |
| 30 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.2% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**† (F) | 95,555,579 | 92,036 | ||||||
|
| |||||||
Total Affiliated Partnership | 92,036 | |||||||
|
| |||||||
CASH EQUIVALENT — 10.0% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 220,468,811 | 220,469 | ||||||
|
| |||||||
Total Cash Equivalent | 220,469 | |||||||
|
| |||||||
Total Investments — 118.3% | $ | 2,604,249 | ||||||
|
| |||||||
WRITTEN OPTIONS — 0.0% |
| |||||||
CDX.NA.HY.16 Future Put, Expires 08/17/91, Strike Price $94.00* | (6,900,000 | ) | (411 | ) | ||||
December 2011 10 Year U.S. Treasury Bond Future Put, Expires 11/19/11, | (121 | ) | (26 | ) | ||||
December 2011 10 Year U.S. Treasury Bond Future Call, Expires 11/19/11, | (121 | ) | (442 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2011
Description | Contracts | Market Value ($ Thousands) | ||||||
November 2020 U.S. CPI Consumers NSA Call, Expires: 11/21/20 | (3,990,000 | ) | $ | (27 | ) | |||
|
| |||||||
Total Written Options |
| (906 | ) | |||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 50 | Dec-2012 | $ | 179 | ||||||||
U.S. 10-Year Treasury Note | 22 | Dec-2011 | (6 | ) | ||||||||
U.S. 2-Year Treasury Note | (252 | ) | Jan-2012 | 52 | ||||||||
U.S. 5-Year Treasury Note | (154 | ) | Dec-2011 | 45 | ||||||||
U.S. Long Treasury Bond | (105 | ) | Dec-2011 | (386 | ) | |||||||
U.S. Ultra Long Treasury Bond | 154 | Jan-2012 | 2,343 | |||||||||
|
| |||||||||||
$ | 2,227 | |||||||||||
|
|
For the year ended September 30, 2011, 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, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
11/16/11 | EUR | 15,455 | USD | 21,979 | $ | 1,252 | ||||||||||||||
11/16/11 | USD | 6,937 | CAD | 6,866 | (354 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 898 | |||||||||||||||||||
|
|
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:
Counterparty | Settlement Date | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||
Citigroup Global Markets | 11/16/11 | 10,246 | 14,591 | $ | 851 | |||||||||||
Citigroup Global Markets | 11/16/11 | 6,937 | 6,866 | (354 | ) | |||||||||||
Morgan Stanley & Co, Inc | 11/16/11 | 5,209 | 7,387 | 401 | ||||||||||||
|
| |||||||||||||||
$ | 898 | |||||||||||||||
|
|
A summary of outstanding swap agreements held by the Fund at September 30, 2011, 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) | ||||||||||||||
Barclays Bank PLC | France 4.25 04/19 | SELL | 0.25 | 09/20/16 | (6,125 | ) | $ | (104 | ) | |||||||||||
Barclays Bank PLC | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 2,590 | (868 | ) | ||||||||||||
Credit Suisse | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/49 | 3,055 | (985 | ) | ||||||||||||
Deutsche Bank | Cmbx.Na.Am.1 | SELL | 0.50 | 10/12/52 | (1,640 | ) | (123 | ) | ||||||||||||
Deutsche Bank | Cmbx.Na.Am.4 | BUY | (0.50 | ) | 02/17/51 | 984 | 152 | |||||||||||||
Deutsche Bank | DR Horton Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 410 | 32 | |||||||||||||
Deutsche Bank | DR Horton Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 375 | 29 | |||||||||||||
Deutsche Bank | Metlife Inc., 5.0% 06/15/15 | SELL | 1.00 | 06/20/18 | (1,590 | ) | (168 | ) | ||||||||||||
Goldman Sachs | DR Horton, Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 405 | 32 | |||||||||||||
Goldman Sachs | DR Horton, Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 370 | 29 | |||||||||||||
|
| |||||||||||||||||||
$ | (1,974 | ) | ||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Deutsche Bank | 0.00% | 3-Month LIBOR | 02/15/41 | 5,780,000 | $ | (234 | ) | |||||||
Deutsche Bank | IOS.FN30.450.10 | 1 Month LIBOR | 01/12/41 | 3,723,883 | (44 | ) | ||||||||
Morgan Stanley | 3.93% | 3-Month LIBOR | 05/15/41 | 3,225,000 | (847 | ) | ||||||||
Morgan Stanley | IOS.FN30.500.10 | 1 Month LIBOR | 01/12/41 | 2,684,323 | (26 | ) | ||||||||
Morgan Stanley | IOS.FN30.550.08 | 1 Month LIBOR | 01/12/39 | 2,607,222 | (40 | ) | ||||||||
|
| |||||||||||||
$ | (1,191 | ) | ||||||||||||
|
|
92 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Total Return Swaps | ||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||
Morgan Stanley | TRX.NA.AAA.1.DEC11 | Negative Index Spread Differential | Commencing Index Spread | 01/01/12 | 780 | $ | (7 | ) | ||||||||||
Morgan Stanley | TRX.NA.AAA.1.DEC11 | Negative Index Spread Differential | Commencing Index Spread | 01/01/12 | 430 | (4 | ) | |||||||||||
|
| |||||||||||||||||
$ | (11 | ) | ||||||||||||||||
|
|
Percentages are based on a Net Assets of $2,200,836 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011 |
(1) | In U.S. dollars unless otherwise indicated. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2011. The date reported on the Schedule of Investments is the final maturity date. |
(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, 2011. The total value of securities on loan at September 30, 2011 was $93,143 ($ Thousands). |
(E) | Security in default on interest payments. |
(F) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of September 30, 2011 was $92,036 ($ Thousands). |
(G) | Unsettled bank loan. Interest rate not available. |
(H) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(I) | Security, or portion thereof, has been pledged as collateral on open swaps contracts. |
ABS — Asset-Backed Security
AGM — Assured Guaranty Municipal
AMT — Alternative Minimum Tax
ARM — Adjustable Rate Mortgage
CAD — Canadian Dollar
Cl — Class
CMO — Collateralized Mortgage Obligation
EUR — Euro
FDIC — Federal Deposit Insurance Corporation
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
LLC — Limited Liability Company
LOC — Line of Credit
L.P. — Limited Partnership
LIBOR — London Inter Bank Offered Rate
MTN — Medium Term Note
MYR — Malaysian Ringgit
MXP — Mexican Peso
NCUA — National Credit Union Administration
NY — New York
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
REIT — Real Estate Investment Trust
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
USD — United States Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 1,171,486 | $ | — | $ | 1,171,486 | ||||||||
Corporate Obligations | — | 609,225 | 3 | 609,228 | ||||||||||||
U.S. Treasury Obligations | — | 251,155 | — | 251,155 | ||||||||||||
Asset-Backed Securities | — | 157,880 | — | 157,880 | ||||||||||||
U.S. Government Agency Obligations | — | 40,591 | — | 40,591 | ||||||||||||
Municipal Bonds | — | 28,294 | — | 28,294 | ||||||||||||
Sovereign Debt | — | 16,876 | — | 16,876 | ||||||||||||
Loan Participations | — | 14,861 | — | 14,861 | ||||||||||||
Preferred Stock | 1,311 | — | — | 1,311 | ||||||||||||
Warrant | — | 6 | — | 6 | ||||||||||||
Purchased Option | 30 | — | — | 30 | ||||||||||||
Common Stock | 26 | — | — | 26 | ||||||||||||
Affiliated Partnership | — | 92,036 | — | 92,036 | ||||||||||||
Cash Equivalent | 220,469 | — | — | 220,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 221,836 | $ | 2,382,410 | $ | 3 | $ | 2,604,249 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 2,227 | $ | — | $ | — | $ | 2,227 | ||||||||
Written Options | (468 | ) | (438 | ) | — | (906 | ) | |||||||||
Forwards | — | 898 | — | 898 | ||||||||||||
Credit Default Swaps | — | (1,974 | ) | — | (1,974 | ) | ||||||||||
Total Return Swaps | — | (11 | ) | — | (11 | ) | ||||||||||
Interest Rate Swaps | — | (1,191 | ) | — | (1,191 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,759 | $ | (2,716 | ) | $ | — | $ | (957 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards and swaps are valued at the unrealized appreciation (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):
Investments in Mortgage-Backed Securities | ||||
Beginning balance as of October 1, 2010 | $ | 5,118 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | (5,118 | ) | ||
|
| |||
Ending balance as of September 30, 2011 | $ | — | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | — | ||
|
|
Investments in Corporate Obligations | ||||
Beginning balance as of October 1, 2010 | $ | 3,285 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | (3,282 | ) | ||
|
| |||
Ending balance as of September 30, 2011 | $ | 3 | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | — | ||
|
|
Investments in Loan Participations | ||||
Beginning balance as of October 1, 2010 | $ | 818 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | 2 | |||
Net purchases/sales | (10 | ) | ||
Net transfer in and/or out of Level 3 | (810 | ) | ||
|
| |||
Ending balance as of September 30, 2011 | $ | — | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | — | ||
|
|
During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, 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.
94 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 51.2% |
| |||||||
Agency Mortgage-Backed Obligations — 41.4% |
| |||||||
FHLB CMO, Ser 2007-1067, Cl 1 | ||||||||
5.300%, 06/15/12 | $ | 216 | $ | 220 | ||||
FHLMC | ||||||||
11.000%, 02/17/21 | 394 | 441 | ||||||
10.000%, 03/17/26 to 10/01/30 | 1,308 | 1,549 | ||||||
7.500%, 01/01/32 to 09/01/38 | 1,563 | 1,815 | ||||||
6.500%, 10/01/31 to 09/01/38 | 2,584 | 2,891 | ||||||
6.000%, 08/01/15 to 10/01/38 | 6,655 | 7,336 | ||||||
5.500%, 08/23/17 to 03/01/38 | 11,166 | 12,222 | ||||||
5.000%, 03/01/34 to 08/01/41 | 10,532 | 11,399 | ||||||
4.500%, 04/01/35 to 10/01/41 | 14,290 | 15,317 | ||||||
4.000%, 10/01/33 to 04/01/41 | 11,932 | 12,569 | ||||||
3.500%, 12/01/25 | 3,298 | 3,441 | ||||||
FHLMC ARM (A) | ||||||||
6.398%, 02/01/37 | 285 | 307 | ||||||
6.347%, 10/01/37 | 446 | 489 | ||||||
6.101%, 06/01/37 | 49 | 54 | ||||||
6.056%, 10/01/37 | 133 | 140 | ||||||
6.012%, 04/01/37 to 10/01/37 | 279 | 302 | ||||||
6.004%, 11/01/36 | 210 | 227 | ||||||
5.992%, 04/01/37 | 228 | 243 | ||||||
5.983%, 06/01/38 | 482 | 521 | ||||||
5.961%, 01/01/37 | 824 | 890 | ||||||
5.949%, 11/01/36 | 69 | 73 | ||||||
5.942%, 07/01/37 | 383 | 415 | ||||||
5.929%, 06/01/36 to 03/01/37 | 593 | 635 | ||||||
5.880%, 03/01/37 | 21 | 23 | ||||||
5.794%, 11/01/36 | 596 | 629 | ||||||
5.767%, 07/01/38 | 251 | 272 | ||||||
5.748%, 05/01/37 | 378 | 404 | ||||||
5.739%, 05/01/37 | 691 | 735 | ||||||
5.729%, 12/01/36 | 397 | 422 | ||||||
5.690%, 03/01/36 | 96 | 104 | ||||||
5.679%, 03/01/36 | 104 | 112 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.673%, 06/01/37 | $ | 359 | $ | 388 | ||||
5.655%, 04/01/37 | 86 | 91 | ||||||
5.599%, 08/01/39 | 380 | 412 | ||||||
5.591%, 10/01/38 | 93 | 101 | ||||||
5.295%, 05/01/38 | 293 | 312 | ||||||
5.058%, 07/01/36 | 351 | 377 | ||||||
5.012%, 05/01/37 | 495 | 526 | ||||||
4.986%, 01/01/35 | 293 | 314 | ||||||
4.962%, 10/01/36 | 395 | 416 | ||||||
4.917%, 02/01/36 | 768 | 820 | ||||||
4.294%, 12/01/36 | 608 | 643 | ||||||
4.263%, 10/01/36 | 1,151 | 1,217 | ||||||
3.263%, 03/01/36 | 948 | 1,012 | ||||||
FHLMC CMO, Ser 1591, Cl PV | ||||||||
6.250%, 10/15/23 | 1,270 | 1,345 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/28 | 571 | 661 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/32 | 566 | 655 | ||||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.318%, 07/25/33 (A) | 8 | 9 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/43 | 95 | 111 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/43 | 124 | 145 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/44 | 130 | 149 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.882%, 03/15/20 (A) | 102 | 120 | ||||||
FHLMC CMO, | ||||||||
5.500%, 03/15/35 | 549 | 647 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/35 | 217 | 244 | ||||||
FHLMC CMO, Ser 2005-3028, Cl PG | ||||||||
5.500%, 09/15/35 | 129 | 146 | ||||||
FHLMC CMO, Ser 2005-3035, Cl PA | ||||||||
5.500%, 09/15/35 | 57 | 64 | ||||||
FHLMC CMO, Ser 2005-3077, Cl TO, PO | ||||||||
0.981%, 04/15/35 | 272 | 263 | ||||||
FHLMC CMO, Ser 2006-3153, Cl EO, PO | ||||||||
2.182%, 05/15/36 | 216 | 202 | ||||||
FHLMC CMO, Ser 2007-3316, Cl GD | ||||||||
5.500%, 06/15/35 | 750 | 820 | ||||||
FHLMC CMO, Ser 2007-3385, Cl SN, IO | ||||||||
5.771%, 11/15/37 (A) | 362 | 38 | ||||||
FHLMC CMO, Ser 2008-3451, Cl SA, IO | ||||||||
5.821%, 05/15/38 (A) | 456 | 54 | ||||||
FHLMC CMO, Ser 2008-3455, Cl AC | ||||||||
5.000%, 06/15/38 | 457 | 499 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2008-3461, Cl LZ | ||||||||
6.000%, 06/15/38 | $ | 243 | $ | 281 | ||||
FHLMC CMO, Ser 2009-3508, Cl PK | ||||||||
4.000%, 02/15/39 | 132 | 140 | ||||||
FHLMC CMO, Ser 2009-3510, Cl OD, PO | ||||||||
3.502%, 02/15/37 | 240 | 215 | ||||||
FHLMC CMO, Ser 2009-3598, Cl MA | ||||||||
4.500%, 11/15/38 | 308 | 325 | ||||||
FHLMC CMO, Ser 2009-3604, Cl PO, PO | ||||||||
2.231%, 05/15/36 | 446 | 417 | ||||||
FHLMC CMO, Ser 2009-3607, Cl TO, PO | ||||||||
3.797%, 10/15/39 | 233 | 205 | ||||||
FHLMC CMO, Ser 2009-3613, Cl HJ | ||||||||
5.500%, 12/15/39 | 2,070 | 2,273 | ||||||
FHLMC CMO, Ser 2010-3621, PO | ||||||||
1.537%, 01/15/40 | 164 | 156 | ||||||
FHLMC CMO, Ser 2010-3626, Cl MB | ||||||||
5.000%, 03/15/32 | 162 | 175 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CA | ||||||||
4.000%, 12/15/36 | 2,117 | 2,265 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CT | ||||||||
7.000%, 12/15/36 | 864 | 1,016 | ||||||
FHLMC CMO, Ser 2010-3714, Cl IP, IO | ||||||||
5.000%, 08/15/40 | 413 | 67 | ||||||
FHLMC CMO, Ser 2010-3739, Cl LI, IO | ||||||||
4.000%, 03/15/34 | 561 | 68 | ||||||
FHLMC CMO, Ser 2010-3747, Cl HI, IO | ||||||||
4.500%, 07/15/37 | 796 | 111 | ||||||
FHLMC CMO, Ser 2010-3756, Cl IP, IO | ||||||||
4.000%, 08/15/35 | 944 | 117 | ||||||
FHLMC CMO, Ser 2010-3759, Cl HI, IO | ||||||||
4.000%, 08/15/37 | 765 | 112 | ||||||
FHLMC CMO, Ser 2010-3760, Cl GI, IO | ||||||||
4.000%, 10/15/37 | 477 | 76 | ||||||
FHLMC CMO, Ser 2010-K005, Cl A2 | ||||||||
4.317%, 11/25/19 | 371 | 412 | ||||||
FHLMC CMO, Ser 2011-3800, Cl AI, IO | ||||||||
4.000%, 11/15/29 | 725 | 111 | ||||||
FHLMC CMO, Ser 2011-3819, Cl ZQ | ||||||||
6.000%, 04/15/36 | 1,030 | 1,213 | ||||||
FHLMC CMO, Ser 2033, Cl HC | ||||||||
6.500%, 02/15/28 | 206 | 234 | ||||||
FHLMC CMO, Ser 2075, Cl D | ||||||||
6.500%, 08/15/28 | 420 | 442 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 239, Cl S30, IO | ||||||||
7.471%, 08/15/36 (A) | $ | 843 | $ | 110 | ||||
FHLMC CMO, Ser 2434, Cl ZA | ||||||||
6.500%, 04/15/32 | 482 | 558 | ||||||
FHLMC CMO, Ser 2458, Cl ZM | ||||||||
6.500%, 06/15/32 | 362 | 409 | ||||||
FHLMC CMO, Ser 2587, Cl CO, PO | ||||||||
1.184%, 03/15/32 | 150 | 149 | ||||||
FHLMC CMO, Ser 2591, Cl QO | ||||||||
4.500%, 03/15/18 | 300 | 322 | ||||||
FHLMC CMO, Ser 2631, Cl SA | ||||||||
14.430%, 06/15/33 (A) | 212 | 253 | ||||||
FHLMC CMO, Ser 2691, Cl SE | ||||||||
9.220%, 12/15/28 (A) | 44 | 44 | ||||||
FHLMC CMO, Ser 2695, Cl OB, PO | ||||||||
28.139%, 10/15/33 | 69 | 61 | ||||||
FHLMC CMO, Ser 2695, Cl SX | ||||||||
16.028%, 10/15/33 (A) | 70 | 76 | ||||||
FHLMC CMO, Ser 2698, Cl SV | ||||||||
8.656%, 11/15/33 (A) | 57 | 57 | ||||||
FHLMC CMO, Ser 2725, Cl SC | ||||||||
8.743%, 11/15/33 (A) | 71 | 73 | ||||||
FHLMC CMO, Ser 2754, Cl JG | ||||||||
4.500%, 03/15/33 | — | — | ||||||
FHLMC CMO, Ser 2812, Cl NO, PO | ||||||||
23.736%, 10/15/33 | 81 | 73 | ||||||
FHLMC CMO, Ser 2864, Cl NB | ||||||||
5.500%, 07/15/33 | 1,007 | 1,138 | ||||||
FHLMC CMO, Ser 2865, Cl GO, PO | ||||||||
1.733%, 10/15/33 | 3 | 3 | ||||||
FHLMC CMO, Ser 2897, Cl EO, PO | ||||||||
31.155%, 10/15/31 | 10 | 10 | ||||||
FHLMC CMO, Ser 2903, Cl UZ | ||||||||
5.500%, 07/15/31 | 37 | 37 | ||||||
FHLMC CMO, Ser 2950, Cl JO, PO | ||||||||
2.398%, 03/15/20 | 149 | 144 | ||||||
FHLMC CMO, Ser 2990, Cl LK | ||||||||
0.599%, 10/15/34 (A) | 432 | 431 | ||||||
FHLMC CMO, Ser 3001, Cl HP | ||||||||
21.084%, 05/15/35 (A) | 119 | 160 | ||||||
FHLMC CMO, Ser 3006, Cl QS | ||||||||
19.533%, 07/15/35 (A) | 303 | 424 | ||||||
FHLMC CMO, Ser 3012, Cl GK | ||||||||
23.719%, 06/15/35 (A) | 133 | 202 | ||||||
FHLMC CMO, Ser 3137, Cl XP | ||||||||
6.000%, 04/15/36 | 237 | 267 | ||||||
FHLMC CMO, Ser 3217, Cl CX, IO | ||||||||
6.361%, 09/15/36 (A) | 774 | 105 | ||||||
FHLMC CMO, Ser 3225, Cl EO, PO | ||||||||
1.894%, 10/15/36 | 370 | 346 | ||||||
FHLMC CMO, Ser 3262, Cl SG, IO | ||||||||
6.171%, 01/15/37 (A) | 772 | 93 | ||||||
FHLMC CMO, Ser 3342, Cl VG | ||||||||
6.000%, 11/15/23 | 300 | 337 |
96 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 3373, Cl TO, PO | ||||||||
2.099%, 04/15/37 | $ | 118 | $ | 110 | ||||
FHLMC CMO, Ser 3383, Cl SA, IO | ||||||||
6.221%, 11/15/37 (A) | 850 | 109 | ||||||
FHLMC CMO, Ser 3422, Cl SE | ||||||||
16.877%, 02/15/38 (A) | 78 | 96 | ||||||
FHLMC CMO, Ser 3515, Cl PI, IO | ||||||||
5.500%, 07/15/37 | 360 | 38 | ||||||
FHLMC CMO, Ser 3607, Cl BO, PO | ||||||||
1.848%, 04/15/36 | 100 | 93 | ||||||
FHLMC CMO, Ser 3611, Cl PO, PO | ||||||||
2.560%, 07/15/34 | 176 | 165 | ||||||
FHLMC CMO, Ser 3626, Cl MA | ||||||||
5.000%, 02/15/30 | 2,704 | 2,840 | ||||||
FHLMC CMO, Ser 3631, Cl PA | ||||||||
4.000%, 02/15/40 | 633 | 669 | ||||||
FHLMC CMO, Ser 3632, Cl BS | ||||||||
16.737%, 02/15/40 (A) | 100 | 144 | ||||||
FHLMC CMO, Ser 3652, Cl AP | ||||||||
4.500%, 03/15/40 | 1,315 | 1,430 | ||||||
FHLMC CMO, Ser 3688, Cl NI, IO | ||||||||
5.000%, 04/15/32 | 820 | 82 | ||||||
FHLMC CMO, Ser 6960, Cl SJ | ||||||||
8.806%, 10/15/33 (A) | 234 | 241 | ||||||
FHLMC CMO, Ser T-42, Cl A5 | ||||||||
7.500%, 02/25/42 | 861 | 1,037 | ||||||
FHLMC CMO, Ser T-51, Cl 1A | ||||||||
6.500%, 09/25/43 (A) | 215 | 247 | ||||||
FHLMC CMO, Ser T-54, Cl 3A | ||||||||
7.000%, 02/25/43 | 460 | 528 | ||||||
FHLMC CMO, Ser T-54, Cl 2A | ||||||||
6.500%, 02/25/43 | 144 | 160 | ||||||
FHLMC CMO, Ser T-57, Cl 1A2 | ||||||||
7.000%, 07/25/43 | 606 | 707 | ||||||
FHLMC CMO, Ser T-58, Cl 4A | ||||||||
7.500%, 09/25/43 | 675 | 801 | ||||||
FHLMC CMO, Ser T-60, Cl 1A2 | ||||||||
7.000%, 03/25/44 | 226 | 274 | ||||||
FHLMC CMO, Ser T-76, Cl 2A | ||||||||
4.787%, 10/25/37 (A) | 336 | 347 | ||||||
FHLMC-GNMA CMO, | ||||||||
6.250%, 10/25/23 | 430 | 454 | ||||||
FHLMC Multi-family Structured Pass-Through Certificates, | ||||||||
4.768%, 05/25/18 | 342 | 381 | ||||||
FHLMC Multi-family Structured Pass-Through Certificates, | ||||||||
3.320%, 07/25/20 | 2 | 2 | ||||||
FHLMC Reference REMIC CMO, | ||||||||
6.000%, 05/15/36 | 344 | 407 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC TBA | ||||||||
3.500%, 10/15/26 | $ | 1,860 | $ | 1,938 | ||||
2.400%, 12/15/41 | 701 | 747 | ||||||
FNMA | ||||||||
7.500%, 10/01/37 to 04/01/39 | 1,171 | 1,362 | ||||||
7.000%, 04/01/32 to 01/01/39 | 664 | 765 | ||||||
6.500%, 05/01/27 to 10/01/38 | 2,519 | 2,839 | ||||||
6.000%, 10/01/19 to 10/01/39 | 21,980 | 24,397 | ||||||
5.500%, 02/01/21 to 05/01/39 | 8,609 | 9,398 | ||||||
5.000%, 01/01/20 to 09/01/41 | 36,784 | 39,829 | ||||||
4.640%, 01/01/21 | 497 | 557 | ||||||
4.540%, 01/01/20 | 490 | 545 | ||||||
4.530%, 12/01/19 | 493 | 548 | ||||||
4.500%, 04/01/25 to 08/01/41 | 3,648 | 3,957 | ||||||
4.390%, 05/01/21 | 250 | 276 | ||||||
4.380%, 04/01/21 | 500 | 551 | ||||||
4.369%, 02/01/20 | 493 | 543 | ||||||
4.303%, 07/01/21 | 1,193 | 1,307 | ||||||
4.300%, 04/01/21 | 250 | 274 | ||||||
4.250%, 04/01/21 | 750 | 819 | ||||||
4.240%, 06/01/21 | 1,000 | 1,093 | ||||||
4.066%, 07/01/20 | 400 | 430 | ||||||
4.060%, 07/01/21 | 1,000 | 1,081 | ||||||
4.000%, 10/01/33 to 05/01/37 | 1,857 | 1,965 | ||||||
3.738%, 06/01/18 | 899 | 963 | ||||||
3.590%, 12/01/20 | 494 | 520 | ||||||
3.505%, 09/01/20 | 985 | 1,031 | ||||||
3.500%, 01/01/26 | 3,273 | 3,422 | ||||||
3.430%, 10/01/20 | 989 | 1,030 | ||||||
3.290%, 10/01/20 | 350 | 362 | ||||||
3.230%, 11/01/20 | 350 | 361 | ||||||
2.970%, 11/01/18 | 493 | 508 | ||||||
2.690%, 10/01/17 | 350 | 359 | ||||||
FNMA ARM (A) | ||||||||
6.328%, 09/01/36 | 381 | 391 | ||||||
6.317%, 02/01/37 | 599 | 629 | ||||||
6.313%, 10/01/36 | 48 | 52 | ||||||
6.277%, 09/01/37 | 96 | 106 | ||||||
6.200%, 08/01/36 | 135 | 147 | ||||||
6.124%, 12/01/36 | 55 | 60 | ||||||
6.092%, 11/01/37 | 94 | 102 | ||||||
6.070%, 07/01/37 | 430 | 458 | ||||||
6.052%, 10/01/37 | 120 | 130 | ||||||
6.032%, 09/01/37 | 45 | 49 | ||||||
6.028%, 01/01/37 | 63 | 68 | ||||||
5.988%, 07/01/37 | 77 | 84 | ||||||
5.977%, 04/01/37 | 90 | 97 | ||||||
5.960%, 09/01/37 | 22 | 23 | ||||||
5.957%, 01/01/37 | 116 | 125 | ||||||
5.939%, 03/01/37 | 69 | 75 | ||||||
5.925%, 07/01/37 | 155 | 168 | ||||||
5.922%, 04/01/37 | 125 | 133 | ||||||
5.917%, 04/01/36 | 332 | 356 | ||||||
5.897%, 09/01/37 | 275 | 296 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.879%, 09/01/37 | $ | 72 | $ | 78 | ||||
5.878%, 02/01/37 | 66 | 71 | ||||||
5.874%, 11/01/36 | 190 | 203 | ||||||
5.848%, 09/01/36 | 109 | 113 | ||||||
5.842%, 09/01/37 | 180 | 195 | ||||||
5.828%, 12/01/36 | 254 | 267 | ||||||
5.785%, 10/01/37 | 44 | 47 | ||||||
5.729%, 10/01/37 | 74 | 80 | ||||||
5.690%, 11/01/36 | 277 | 294 | ||||||
5.629%, 01/01/23 | 213 | 232 | ||||||
5.586%, 12/01/36 | 532 | 560 | ||||||
5.500%, 07/01/37 | 426 | 454 | ||||||
5.490%, 02/01/39 | 231 | 250 | ||||||
5.393%, 11/01/37 | 483 | 513 | ||||||
5.091%, 07/01/37 | 234 | 248 | ||||||
4.633%, 09/01/36 | 283 | 299 | ||||||
3.719%, 11/01/37 | 282 | 297 | ||||||
3.265%, 03/01/36 | 330 | 349 | ||||||
2.599%, 05/01/36 | 480 | 509 | ||||||
2.569%, 06/01/36 | 563 | 596 | ||||||
FNMA CMO STRIPS, | ||||||||
5.000%, 08/01/35 | 1,230 | 160 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/29 | 373 | 409 | ||||||
FNMA CMO, Ser 2000-18, Cl EC, PO | ||||||||
2.673%, 10/25/23 | 127 | 118 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/45 | 217 | 252 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/32 | 95 | 109 | ||||||
FNMA CMO, Ser 2002-81, Cl JO, PO | ||||||||
1.322%, 04/25/32 | 111 | 109 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/33 | 380 | 435 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.731%, 01/25/34 (A) | 215 | 266 | ||||||
FNMA CMO, Ser 2003-23, Cl EQ | ||||||||
5.500%, 04/25/23 | 1,000 | 1,141 | ||||||
FNMA CMO, Ser 2003-23, Cl PG | ||||||||
5.500%, 01/25/32 | 338 | 349 | ||||||
FNMA CMO, Ser 2003-35, Cl EA, PO | ||||||||
2.618%, 05/25/33 | 157 | 145 | ||||||
FNMA CMO, Ser 2003-56, Cl AZ | ||||||||
5.500%, 08/25/31 | 431 | 446 | ||||||
FNMA CMO, Ser 2004-46, Cl EP, PO | ||||||||
1.582%, 03/25/34 | 198 | 189 | ||||||
FNMA CMO, Ser 2004-52, Cl PX, PO | ||||||||
1.797%, 09/25/32 | 122 | 120 | ||||||
FNMA CMO, Ser 2004-61, Cl CO, PO | ||||||||
11.356%, 10/25/31 | 71 | 68 | ||||||
FNMA CMO, Ser 2004-61, Cl BO, PO | ||||||||
1.834%, 10/25/32 | 133 | 129 | ||||||
FNMA CMO, Ser 2004-89, Cl SM | ||||||||
17.230%, 09/25/24 (A) | 568 | 795 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.707%, 11/25/35 (A) | $ | 843 | $ | 1,241 | ||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/35 | 1,864 | 2,049 | ||||||
FNMA CMO, Ser 2005-118, Cl PN | ||||||||
6.000%, 01/25/32 | 500 | 532 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/35 | 184 | 202 | ||||||
FNMA CMO, Ser 2005-58, Cl MA | ||||||||
5.500%, 07/25/35 | 101 | 113 | ||||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.289%, 08/25/35 (A) | 262 | 322 | ||||||
FNMA CMO, Ser 2005-88, Cl QO, PO | ||||||||
21.051%, 11/25/33 | 7 | 7 | ||||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.289%, 10/25/35 (A) | 202 | 253 | ||||||
FNMA CMO, Ser 2006-105, Cl ME | ||||||||
5.500%, 11/25/36 | 1,000 | 1,172 | ||||||
FNMA CMO, Ser 2006-117, Cl GS, IO | ||||||||
6.415%, 12/25/36 (A) | 296 | 45 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.255%, 12/25/36 (A) | 237 | 226 | ||||||
FNMA CMO, Ser 2006-15, Cl OP, PO | ||||||||
2.588%, 03/25/36 | 142 | 126 | ||||||
FNMA CMO, Ser 2006-27, Cl OH, PO | ||||||||
2.058%, 04/25/36 | 161 | 150 | ||||||
FNMA CMO, Ser 2006-43, Cl VB | ||||||||
6.500%, 10/25/17 | 309 | 324 | ||||||
FNMA CMO, Ser 2006-56, Cl FC | ||||||||
0.525%, 07/25/36 (A) | 335 | 335 | ||||||
FNMA CMO, Ser 2006-59, Cl QO, PO | ||||||||
1.764%, 01/25/33 | 132 | 127 | ||||||
FNMA CMO, Ser 2006-59, Cl CO, PO | ||||||||
1.172%, 08/25/35 | 12 | 12 | ||||||
FNMA CMO, Ser 2006-60, Cl DO, PO | ||||||||
2.043%, 04/25/35 | 156 | 149 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/36 | 562 | 684 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/36 | 140 | 166 | ||||||
FNMA CMO, Ser 2007-100, Cl SM, IO | ||||||||
6.215%, 10/25/37 (A) | 638 | 87 | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.485%, 06/27/36 (A) | 228 | 227 | ||||||
FNMA CMO, Ser 2007-112, Cl SA, IO | ||||||||
6.215%, 12/25/37 (A) | 530 | 66 | ||||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.435%, 10/27/37 (A) | 200 | 199 | ||||||
FNMA CMO, Ser 2007-116, Cl PB | ||||||||
5.500%, 08/25/35 | 1,000 | 1,140 | ||||||
FNMA CMO, Ser 2007-116, Cl HI, IO | ||||||||
6.338%, 01/25/38 (A) | 353 | 28 | ||||||
FNMA CMO, Ser 2007-27, Cl MA | ||||||||
5.500%, 11/25/29 | 61 | 62 |
98 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
21.885%, 04/25/37 (A) | $ | 82 | $ | 117 | ||||
FNMA CMO, Ser 2007-54, Cl FA | ||||||||
0.635%, 06/25/37 (A) | 353 | 352 | ||||||
FNMA CMO, Ser 2007-65, Cl KI, IO | ||||||||
6.385%, 07/25/37 (A) | 592 | 75 | ||||||
FNMA CMO, Ser 2007-72, Cl EK, IO | ||||||||
6.165%, 07/25/37 (A) | 580 | 75 | ||||||
FNMA CMO, Ser 2007-75, Cl EO, PO | ||||||||
2.029%, 01/25/36 | 242 | 234 | ||||||
FNMA CMO, Ser 2007-77, Cl PD | ||||||||
6.000%, 10/25/36 | 1,000 | 1,155 | ||||||
FNMA CMO, Ser 2007-83, Cl PC | ||||||||
6.000%, 10/25/33 | 1,000 | 1,050 | ||||||
FNMA CMO, Ser 2007-85, Cl SG | ||||||||
15.664%, 09/25/37 (A) | 150 | 186 | ||||||
FNMA CMO, Ser 2008-35, Cl IM, IO | ||||||||
0.642%, 10/25/16 (A) | 841 | 10 | ||||||
FNMA CMO, Ser 2008-4, Cl SD, IO | ||||||||
5.765%, 02/25/38 (A) | 1,020 | 116 | ||||||
FNMA CMO, Ser 2008-95, Cl BA | ||||||||
5.000%, 01/25/24 | 250 | 289 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
4.000%, 12/25/39 | 374 | 398 | ||||||
FNMA CMO, Ser 2009-105, Cl CB | ||||||||
6.000%, 12/25/39 | 740 | 830 | ||||||
FNMA CMO, Ser 2009-11, Cl LC | ||||||||
4.500%, 03/25/49 | 434 | 467 | ||||||
FNMA CMO, Ser 2009-31, Cl A2 | ||||||||
4.287%, 07/25/19 | 661 | 740 | ||||||
FNMA CMO, Ser 2009-52, Cl PI, IO | ||||||||
5.000%, 07/25/39 | 516 | 71 | ||||||
FNMA CMO, Ser 2009-66, Cl KE | ||||||||
4.000%, 09/25/39 | 819 | 863 | ||||||
FNMA CMO, Ser 2009-70, Cl CO, PO | ||||||||
2.744%, 01/25/37 | 373 | 336 | ||||||
FNMA CMO, Ser 2009-78, Cl J | ||||||||
5.000%, 09/25/19 | 588 | 638 | ||||||
FNMA CMO, Ser 2009-84, Cl WS, IO | ||||||||
5.665%, 10/25/39 (A) | 425 | 51 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
4.236%, 03/25/37 | 2,548 | 2,425 | ||||||
FNMA CMO, Ser 2009-86, Cl IP, IO | ||||||||
5.500%, 10/25/39 | 284 | 40 | ||||||
FNMA CMO, Ser 2009-86, Cl OT, PO | ||||||||
3.444%, 10/25/37 | 317 | 281 | ||||||
FNMA CMO, Ser 2009-86, Cl UI, IO | ||||||||
4.000%, 10/25/14 | 1,232 | 85 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/39 | 269 | 295 | ||||||
FNMA CMO, Ser 2009-99, Cl WA | ||||||||
6.286%, 12/25/39 (A) | 397 | 442 | ||||||
FNMA CMO, Ser 2009-99, Cl SC, IO | ||||||||
5.945%, 12/25/39 (A) | 446 | 56 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/19 | $ | 691 | $ | 751 | ||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.153%, 02/25/40 (A) | 181 | 204 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/40 (A) | 198 | 227 | ||||||
FNMA CMO, Ser 2010-23, Cl KS, IO | ||||||||
6.865%, 02/25/40 (A) | 750 | 104 | ||||||
FNMA CMO, Ser 2010-35, Cl SB, IO | ||||||||
6.185%, 04/25/40 (A) | 540 | 57 | ||||||
FNMA CMO, Ser 2010-39, Cl OT, PO | ||||||||
1.585%, 10/25/35 | 167 | 159 | ||||||
FNMA CMO, Ser 2010-43, Cl HJ | ||||||||
5.500%, 05/25/40 | 1,427 | 1,594 | ||||||
FNMA CMO, Ser 2010-45, Cl BD | ||||||||
4.500%, 11/25/38 | 500 | 553 | ||||||
FNMA CMO, Ser 2010-64, Cl DM | ||||||||
5.000%, 06/25/40 | 408 | 444 | ||||||
FNMA CMO, Ser 2010-68, Cl SA, IO | ||||||||
4.765%, 07/25/40 (A) | 1,379 | 177 | ||||||
FNMA CMO, Ser 2010-M1, Cl A2 | ||||||||
4.450%, 09/25/19 | 228 | 258 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/20 (A) | 1,049 | 1,161 | ||||||
FNMA CMO, Ser 2011-39, Cl ZA | ||||||||
6.000%, 11/25/32 | 1,538 | 1,734 | ||||||
FNMA CMO, Ser 2011-53, Cl DT | ||||||||
4.500%, 06/25/41 | 637 | 684 | ||||||
FNMA CMO, Ser 2011-M2, Cl A3 | ||||||||
3.764%, 07/25/21 | 1,000 | 1,057 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 12/25/41 | 644 | 728 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 12/25/41 | 395 | 434 | ||||||
FNMA Grantor Trust CMO, | ||||||||
6.500%, 11/25/31 | 409 | 466 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 07/25/42 | 454 | 522 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 02/25/44 | 422 | 495 | ||||||
FNMA TBA | ||||||||
6.000%, 11/01/37 to 12/01/37 | 16,100 | 17,613 | ||||||
5.500%, 10/01/41 to 10/25/41 | 4,749 | 5,153 | ||||||
5.000%, 11/01/37 to 10/01/38 | 6,415 | 6,890 | ||||||
4.000%, 10/14/39 to 10/25/41 | 9,495 | 9,952 | ||||||
3.500%, 10/01/40 to 11/01/40 | 15,100 | 15,699 | ||||||
3.000%, 10/25/26 to 11/25/26 | 9,070 | 9,334 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.865%, 06/25/42 (A) | 541 | 103 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Whole Loan CMO, | ||||||||
7.173%, 12/25/42 (A) | $ | 293 | $ | 347 | ||||
FNMA Whole Loan CMO, | ||||||||
4.550%, 06/25/43 | 263 | 283 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/33 | 81 | 95 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 10/25/42 | 283 | 330 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 12/25/33 | 532 | 621 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 02/25/44 | 706 | 834 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.455%, 03/25/45 (A) | 726 | 725 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.500%, 12/25/45 | 360 | 422 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.455%, 02/25/36 (A) | 317 | 317 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.495%, 11/25/46 (A) | 464 | 464 | ||||||
GNMA | ||||||||
7.500%, 10/15/37 | 292 | 342 | ||||||
7.000%, 09/15/31 | 110 | 128 | ||||||
6.500%, 12/15/32 to 12/15/35 | 1,747 | 1,996 | ||||||
6.000%, 01/15/40 | 1,553 | 1,734 | ||||||
4.500%, 11/15/39 | 3,540 | 3,862 | ||||||
4.000%, 03/20/26 to 09/20/26 | 18,144 | 19,359 | ||||||
3.500%, 02/20/41 to 03/20/41 | 651 | 682 | ||||||
GNMA ARM (A) | ||||||||
4.000%, 04/20/41 to 05/20/41 | 1,176 | 1,253 | ||||||
3.500%, 05/20/41 to 08/20/41 | 2,491 | 2,628 | ||||||
3.000%, 07/20/41 to 08/20/41 | 729 | 761 | ||||||
2.500%, 02/20/34 (A) | 612 | 634 | ||||||
GNMA CMO, Ser 1999-47, Cl Z | ||||||||
7.500%, 12/20/29 | 555 | 684 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/31 | 916 | 1,042 | ||||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/23 | 164 | 186 | ||||||
GNMA CMO, Ser 2003-97, Cl SA, IO | ||||||||
6.321%, 11/16/33 (A) | 611 | 129 | ||||||
GNMA CMO, Ser 2004-11, Cl SX | ||||||||
16.831%, 02/20/34 (A) | 37 | 57 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.769%, 04/20/34 (A) | $ | 420 | $ | 453 | ||||
GNMA CMO, Ser 2004-34, Cl JO, PO | ||||||||
2.818%, 02/20/34 | 132 | 129 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/34 (A) | 188 | 195 | ||||||
GNMA CMO, Ser 2004-85, Cl PO, PO | ||||||||
2.241%, 01/17/33 | 61 | 59 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.408%, 03/17/33 (A) | 298 | 319 | ||||||
GNMA CMO, Ser 2005-28, PO | ||||||||
3.288%, 02/17/33 | 400 | 352 | ||||||
GNMA CMO, Ser 2005-78, Cl A | ||||||||
5.000%, 07/16/33 | 1,704 | 1,872 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/35 | 400 | 483 | ||||||
GNMA CMO, Ser 2006-34, Cl PO, PO | ||||||||
1.848%, 07/20/36 | 99 | 92 | ||||||
GNMA CMO, Ser 2006-38, Cl SG, IO | ||||||||
6.419%, 09/20/33 (A) | 600 | 48 | ||||||
GNMA CMO, Ser 2007-17, Cl AF | ||||||||
0.429%, 04/16/37 (A) | 524 | 522 | ||||||
GNMA CMO, Ser 2007-26, Cl SW, IO | ||||||||
5.969%, 05/20/37 (A) | 869 | 125 | ||||||
GNMA CMO, Ser 2007-27, Cl SD, IO | ||||||||
5.969%, 05/20/37 (A) | 511 | 82 | ||||||
GNMA CMO, Ser 2007-72, Cl US, IO | ||||||||
6.320%, 11/20/37 (A) | 326 | 44 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.301%, 12/16/37 (A) | 3,052 | 514 | ||||||
GNMA CMO, Ser 2007-82, Cl SA, IO | ||||||||
6.299%, 12/20/37 (A) | 440 | 59 | ||||||
GNMA CMO, Ser 2007-9, Cl CI, IO | ||||||||
5.969%, 03/20/37 (A) | 674 | 90 | ||||||
GNMA CMO, Ser 2008-10, Cl S, IO | ||||||||
5.600%, 02/20/38 (A) | 675 | 81 | ||||||
GNMA CMO, Ser 2008-29, Cl PO, PO | ||||||||
3.209%, 02/17/33 | 150 | 138 | ||||||
GNMA CMO, Ser 2008-33, Cl XS, IO | ||||||||
7.471%, 04/16/38 (A) | 336 | 49 | ||||||
GNMA CMO, Ser 2008-55, Cl SA, IO | ||||||||
5.969%, 06/20/38 (A) | 772 | 103 | ||||||
GNMA CMO, Ser 2009-106, Cl AS, IO | ||||||||
6.171%, 11/16/39 (A) | 724 | 91 | ||||||
GNMA CMO, Ser 2009-14, Cl KI, IO | ||||||||
6.500%, 03/20/39 | 426 | 66 | ||||||
GNMA CMO, Ser 2009-24, Cl DS, IO | ||||||||
6.069%, 03/20/39 (A) | 1,154 | 130 | ||||||
GNMA CMO, Ser 2009-25, Cl SE, IO | ||||||||
7.369%, 09/20/38 (A) | 544 | 89 | ||||||
GNMA CMO, Ser 2009-43, Cl SA, IO | ||||||||
5.720%, 06/20/39 (A) | 642 | 76 | ||||||
GNMA CMO, Ser 2009-44, Cl MV | ||||||||
6.000%, 04/20/20 | 1,683 | 1,882 |
100 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2009-6, Cl SH, IO | ||||||||
5.810%, 02/20/39 (A) | $ | 532 | $ | 65 | ||||
GNMA CMO, Ser 2009-65, Cl IQ, IO | ||||||||
6.000%, 12/20/38 | 258 | 35 | ||||||
GNMA CMO, Ser 2009-65, Cl TS, IO | ||||||||
6.170%, 12/20/38 (A) | 1,031 | 123 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
6.571%, 07/16/39 (A) | 6,207 | 931 | ||||||
GNMA CMO, Ser 2009-67, Cl SA, IO | ||||||||
5.821%, 08/16/39 (A) | 445 | 53 | ||||||
GNMA CMO, Ser 2009-75, Cl MN | ||||||||
5.500%, 09/20/39 | 500 | 595 | ||||||
GNMA CMO, Ser 2009-79, Cl OK, PO | ||||||||
3.176%, 11/16/37 | 552 | 499 | ||||||
GNMA CMO, Ser 2009-83, Cl TS, IO | ||||||||
5.870%, 08/20/39 (A) | 781 | 98 | ||||||
GNMA CMO, Ser 2010-14, Cl CO, PO | ||||||||
3.044%, 08/20/35 | 125 | 101 | ||||||
GNMA CMO, Ser 2010-157, Cl OP, PO | ||||||||
3.742%, 12/20/40 | 484 | 400 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.161%, 01/16/40 (A) | 6,659 | 989 | ||||||
GNMA CMO, Ser 2010-47, Cl PX, IO | ||||||||
6.470%, 06/20/37 (A) | 1,096 | 147 | ||||||
GNMA, Ser 2011-137 | ||||||||
5.540%, 10/01/41 | 1,000 | 1,125 | ||||||
GNMA TBA | ||||||||
3.500%, 12/15/41 | 5,700 | 5,904 | ||||||
3.000%, 10/20/41 | 625 | 627 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.650%, 10/29/20 | 1,210 | 1,256 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.674%, 10/07/20 (A) | 2,619 | 2,623 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.671%, 11/05/20 (A) | 1,445 | 1,449 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.594%, 11/06/17 (A) | 2,375 | 2,376 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.624%, 02/06/20 (A) | 1,785 | 1,785 | ||||||
|
| |||||||
402,407 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 9.8% |
| |||||||
AAM ACE Resecuritization Trust, | ||||||||
0.370%, 02/02/37 (A) (B) | 278 | 263 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A4 | ||||||||
5.750%, 09/25/48 (A) (B) | 325 | 326 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A5 | ||||||||
5.750%, 09/25/48 (A) (B) | $ | 200 | $ | 202 | ||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/48 (A) (B) | 300 | 304 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.150%, 03/25/58 (A) (B) | 197 | 202 | ||||||
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A | ||||||||
2.218%, 02/25/45 (A) | 1,202 | 958 | ||||||
Americold Trust, Ser 2010-ARTA, Cl A1 | ||||||||
3.847%, 01/14/29 (B) | 483 | 504 | ||||||
ASG Resecuritization Trust, | ||||||||
5.367%, 05/24/36 (A) (B) | 240 | 238 | ||||||
ASG Resecuritization Trust, | ||||||||
5.345%, 05/24/36 (A) (B) | 100 | 95 | ||||||
ASG Resecuritization Trust, | ||||||||
5.235%, 03/26/37 (A) (B) | 871 | 859 | ||||||
ASG Resecuritization Trust, | ||||||||
0.395%, 10/28/36 (A) (B) | 138 | 134 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/18 | 177 | 180 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/33 | 205 | 211 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/34 | 177 | 177 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/34 | 399 | 401 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/19 | 95 | 96 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/19 | 139 | 139 | ||||||
Banc of America Funding, | ||||||||
5.500%, 10/25/34 | 43 | 44 | ||||||
Banc of America Funding, | ||||||||
5.033%, 12/20/34 (A) | 98 | 92 | ||||||
Banc of America Funding, Ser 2010-R11A, Cl 1A6 | ||||||||
5.538%, 08/26/35 (A) (B) | 219 | 229 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.271%, 07/11/43 | $ | 111 | $ | 112 | ||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
6.309%, 06/11/35 | 145 | 145 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
6.186%, 06/11/35 | 667 | 669 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.512%, 12/10/42 | 143 | 144 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.857%, 07/10/43 (A) | 1,260 | 1,353 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.668%, 07/10/43 | 100 | 107 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.727%, 07/10/43 | 300 | 290 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.115%, 10/10/45 (A) | 100 | 109 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.889%, 07/10/44 (A) | 215 | 232 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.634%, 07/10/46 | 225 | 243 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.414%, 09/10/47 | 97 | 101 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.356%, 10/10/45 | 1,344 | 1,402 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.381%, 01/15/49 | 205 | 205 | ||||||
Banc of America Mortgage Securities, | ||||||||
0.785%, 05/25/18 (A) | 128 | 121 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Mortgage Securities, | ||||||||
0.685%, 08/25/18 (A) | $ | 57 | $ | 54 | ||||
Banc of America Mortgage Securities, | ||||||||
5.000%, 04/25/19 | 93 | 95 | ||||||
Banc of America Mortgage Securities, | ||||||||
5.500%, 04/25/34 | 200 | 204 | ||||||
Banc of America Mortgage Securities, | ||||||||
4.750%, 06/25/19 | 141 | 145 | ||||||
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1 | ||||||||
5.500%, 11/26/34 (B) | 599 | 610 | ||||||
BCAP LLC Trust, | ||||||||
5.750%, 06/26/37 (B) | 245 | 245 | ||||||
BCAP LLC Trust, | ||||||||
5.250%, 05/26/37 (A) (B) | 70 | 70 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 04/26/37 (A) (B) | 175 | 177 | ||||||
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5 | ||||||||
5.198%, 04/26/37 (A) (B) | 360 | 357 | ||||||
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1 | ||||||||
5.500%, 11/26/37 (A) (B) | 115 | 112 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5 | ||||||||
5.011%, 04/26/35 (A) (B) | 131 | 128 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1 | ||||||||
5.127%, 07/26/45 (A) (B) | 315 | 297 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1 | ||||||||
1.019%, 01/26/36 (A) (B) | 202 | 196 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1 | ||||||||
0.952%, 02/26/47 (A) (B) | 76 | 70 | ||||||
BCAP LLC Trust, Ser 2010-RR12, Cl 2A5 | ||||||||
4.500%, 01/26/36 (A) (B) | 221 | 222 | ||||||
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3 | ||||||||
5.000%, 08/26/37 (A) (B) | 206 | 200 | ||||||
BCAP LLC Trust, Ser 2011-RR5 | ||||||||
0.386%, 05/28/36 (A) (B) | 286 | 266 | ||||||
BCAP LLC Trust, Ser 2011-RR5, Cl 14A3 | ||||||||
2.837%, 07/26/36 (A) (B) | 277 | 265 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
5.020%, 05/25/34 (A) | 124 | 122 |
102 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
2.220%, 08/25/35 (A) | $ | 201 | $ | 187 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | 65 | 66 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||||
4.240%, 08/13/39 (A) | 27 | 27 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/41 | 180 | 181 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, IO | ||||||||
0.298%, 06/11/41 (A) (B) | 2,618 | 40 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.295%, 10/12/42 (A) | 1,505 | 1,654 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A | ||||||||
5.620%, 03/11/39 (A) | 100 | 109 | ||||||
Chase Mortgage Finance, | ||||||||
6.680%, 10/25/18 | 97 | 82 | ||||||
Chase Mortgage Finance, | ||||||||
0.685%, 01/25/34 (A) | 68 | 68 | ||||||
Chase Mortgage Finance, | ||||||||
2.791%, 02/25/37 (A) | 80 | 76 | ||||||
Chase Mortgage Finance, | ||||||||
2.753%, 02/25/37 (A) | 148 | 141 | ||||||
Chase Mortgage Finance, | ||||||||
2.861%, 07/25/37 (A) | 183 | 173 | ||||||
Chase Mortgage Finance, | ||||||||
2.775%, 07/25/37 (A) | 176 | 154 | ||||||
Citicorp Mortgage Securities, | ||||||||
4.500%, 05/25/33 | 22 | 22 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
4.830%, 05/15/43 (A) | 120 | 121 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
5.886%, 12/10/49 (A) | 485 | 522 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
5.500%, 05/25/35 | 137 | 134 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
5.240%, 11/25/38 (A) (B) | 276 | 269 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.729%, 02/25/35 (A) (B) | $ | 119 | $ | 113 | ||||
Citigroup Mortgage Loan Trust, | ||||||||
0.315%, 02/25/47 (A) (B) | 201 | 197 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.425%, 02/25/46 (A) (B) | 184 | 168 | ||||||
Citigroup, Ser 2005-CD1, Cl AM | ||||||||
5.399%, 07/15/44 (A) | 281 | 289 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO | ||||||||
0.106%, 01/15/46 (A) (B) | 17,871 | 44 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, IO | ||||||||
0.167%, 12/11/49 (A) (B) | 14,471 | 122 | ||||||
Commercial Mortgage Asset Trust, | ||||||||
6.975%, 01/17/32 (A) | 178 | 184 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/34 (B) | 1 | 1 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B | ||||||||
6.304%, 07/16/34 (B) | 393 | 392 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2004-LB4A, Cl A5 | ||||||||
4.840%, 10/15/37 | 960 | 1,001 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.250%, 09/25/33 | 142 | 143 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.000%, 10/25/33 | 298 | 293 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
9.470%, 08/25/18 (A) | 57 | 57 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.250%, 01/25/34 | 525 | 545 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4.500%, 06/25/19 | 174 | 177 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-CK6, Cl A3 | ||||||||
6.387%, 08/15/36 | 15 | 15 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||||
5.183%, 11/15/36 | $ | 129 | $ | 131 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3 | ||||||||
5.603%, 07/15/35 | 71 | 72 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP5, Cl A2 | ||||||||
4.940%, 12/15/35 | 376 | 386 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/33 | 375 | 390 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/33 | 138 | 147 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1 | ||||||||
6.000%, 11/25/18 | 171 | 175 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
2.628%, 10/25/33 (A) | 1,216 | 1,027 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B | ||||||||
5.253%, 08/15/36 (A) | 221 | 230 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl B | ||||||||
4.723%, 03/15/35 | 126 | 126 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/38 | 718 | 730 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/37 | 378 | 398 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM | ||||||||
4.730%, 07/15/37 | 188 | 188 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.850%, 03/15/39 (A) | 215 | 225 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3 | ||||||||
5.467%, 09/15/39 | 571 | 587 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 1,500 | 1,569 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1 | ||||||||
5.500%, 10/27/35 (B) | 61 | 61 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1 | ||||||||
1.218%, 06/28/47 (A) (B) | 161 | 155 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1 | ||||||||
2.749%, 09/26/46 (A) (B) | 193 | 184 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1 | ||||||||
5.340%, 10/26/37 (A) (B) | $ | 73 | $ | 71 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3 | ||||||||
4.250%, 06/25/50 (A) (B) | 100 | 93 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1 | ||||||||
4.750%, 05/27/37 (B) | 217 | 218 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1 | ||||||||
2.871%, 07/28/36 (A) (B) | 187 | 176 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1 | ||||||||
1.471%, 08/28/47 (A) (B) | 538 | 538 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1 | ||||||||
2.218%, 03/27/46 (A) (B) | 569 | 568 | ||||||
CW Capital Cobalt, Ser 2006-C1, Cl A4 | ||||||||
5.223%, 08/15/48 | 215 | 224 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/46 (B) | 741 | 760 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.386%, 07/10/44 (B) | 455 | 461 | ||||||
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.714%, 02/25/20 (A) | 113 | 115 | ||||||
Deutsche Mortgage Securities, | ||||||||
0.348%, 04/26/37 (A) (B) | 99 | 97 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/22 (B) | 799 | 833 | ||||||
Extended Stay America Trust, | ||||||||
2.951%, 11/05/27 (B) | 1,134 | 1,116 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A | ||||||||
2.980%, 12/06/20 (B) | 348 | 361 | ||||||
First Horizon Asset Securities, | ||||||||
4.500%, 09/25/18 | 190 | 192 | ||||||
First Union National Bank Commercial Mortgage, | ||||||||
6.417%, 12/12/33 | 132 | 132 | ||||||
GE Capital Assurance, Ser 2003-1, Cl A4 | ||||||||
5.254%, 05/12/35 (A) (B) | 763 | 801 | ||||||
GE Capital Commercial Mortgage, | ||||||||
6.269%, 12/10/35 | 986 | 995 |
104 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GE Capital Commercial Mortgage, | ||||||||
5.349%, 08/11/36 | $ | 1,315 | $ | 1,339 | ||||
GE Capital Commercial Mortgage, | ||||||||
4.996%, 12/10/37 | 1,889 | 1,931 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2 | ||||||||
6.700%, 04/15/34 | 10 | 10 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/34 | 53 | 53 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D | ||||||||
5.671%, 05/10/40 (A) | 94 | 94 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/40 | 179 | 188 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/45 (A) | 361 | 345 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.303%, 10/19/33 (A) | 235 | 221 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 10/25/33 | 202 | 200 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 11/25/33 | 370 | 381 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
6.500%, 01/25/35 | 245 | 258 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 01/25/20 | 134 | 138 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
4.250%, 07/25/40 (B) | 8 | 8 | ||||||
Greenwich Capital Commercial Funding, Ser 2002-C1, Cl A4 | ||||||||
4.948%, 01/11/35 | 1,337 | 1,361 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/36 (A) | 176 | 177 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/36 (A) (C) | 1,505 | 1,592 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||||
4.619%, 08/10/42 | 524 | 537 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/37 (A) | 673 | 714 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
6.074%, 07/10/38 (A) | $ | 2,250 | $ | 2,423 | ||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 1,205 | 1,249 | ||||||
GS Mortgage Securities II, | ||||||||
4.761%, 07/10/39 | 114 | 120 | ||||||
GS Mortgage Securities II, | ||||||||
0.856%, 11/10/39 (A) (B) | 3,355 | 77 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/44 (A) | 1,725 | 1,721 | ||||||
GSR Mortgage Loan Trust, | ||||||||
4.447%, 10/25/33 (A) | 549 | 543 | ||||||
GSR Mortgage Loan Trust, | ||||||||
6.000%, 09/25/34 | 235 | 242 | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 06/25/35 | 79 | 79 | ||||||
GSR Mortgage Loan Trust, | ||||||||
0.735%, 06/25/35 (A) | 133 | 129 | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 01/25/37 | 50 | 47 | ||||||
Homestar Mortgage Acceptance, | ||||||||
0.685%, 10/25/34 (A) | 1,650 | 1,473 | ||||||
Impac Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/51 (B) | 733 | 773 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/33 | 149 | 155 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1 | ||||||||
0.585%, 05/25/36 (A) | 139 | 124 | ||||||
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.585%, 08/25/36 (A) | 194 | 168 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D | ||||||||
6.847%, 04/15/35 (A) | 134 | 134 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB3, Cl A3 | ||||||||
6.465%, 11/15/35 | 77 | 77 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl A2 | ||||||||
5.050%, 12/12/34 | $ | 161 | $ | 166 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/34 (A) | 46 | 46 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C | ||||||||
6.450%, 05/12/34 (A) | 192 | 192 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1 | ||||||||
4.275%, 01/12/37 | 84 | 84 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1 | ||||||||
4.393%, 07/12/37 | 37 | 37 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2 | ||||||||
5.115%, 07/15/41 | 512 | 542 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP1 | ||||||||
5.038%, 03/15/46 (A) | 1,005 | 1,078 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/42 | 179 | 182 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO | ||||||||
0.115%, 06/12/43 (A) | 13,824 | 96 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3SF | ||||||||
0.384%, 05/15/47 (A) | 150 | 135 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | 1,556 | 1,607 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A1S | ||||||||
5.284%, 05/15/47 | 38 | 38 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/47 | 108 | 110 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-C1, Cl ASB | ||||||||
5.857%, 02/15/51 | 167 | 178 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 | ||||||||
5.440%, 06/12/47 | $ | 1,200 | $ | 1,246 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3 | ||||||||
5.420%, 01/15/49 | 228 | 236 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2 | ||||||||
5.633%, 12/05/27 (B) | 337 | 368 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/43 (B) | 993 | 1,029 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/32 (B) | 139 | 139 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2 | ||||||||
4.311%, 08/05/32 (B) | 672 | 669 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A3 | ||||||||
4.171%, 08/15/46 | 336 | 344 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.749%, 07/25/34 (A) | 62 | 60 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.759%, 09/25/34 (A) | 81 | 77 | ||||||
JPMorgan Mortgage Trust, | ||||||||
4.485%, 02/25/35 (A) | 37 | 37 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.749%, 08/25/34 (A) | 572 | 541 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.903%, 11/25/33 (A) | 280 | 257 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.808%, 08/25/34 (A) | 288 | 248 | ||||||
JPMorgan Resecuritization Trust, | ||||||||
4.285%, 08/26/35 (A) (B) | 151 | 148 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
6.130%, 07/15/44 (A) | 129 | 136 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.594%, 06/15/31 | 113 | 115 |
106 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.563%, 09/15/26 | $ | 36 | $ | 36 | ||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.628%, 10/15/29 | 101 | 104 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.998%, 04/15/30 | 374 | 379 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
0.169%, 02/15/41 (A) (B) | 8,283 | 85 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.156%, 02/15/31 | 200 | 216 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
6.067%, 06/15/38 (A) | 125 | 137 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.403%, 02/15/40 | 64 | 67 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.398%, 02/15/40 | 40 | 41 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.933%, 07/15/40 | 481 | 503 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.424%, 02/15/40 | 452 | 477 | ||||||
LVII Resecuritization Trust, | ||||||||
3.000%, 09/27/37 (A) (B) | 200 | 192 | ||||||
LVII Resecuritization Trust, | ||||||||
3.000%, 09/27/37 (A) (B) | 300 | 300 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6 | ||||||||
2.729%, 11/21/34 (A) | 261 | 255 | ||||||
Master Alternative Loans Trust, | ||||||||
6.000%, 12/25/33 | 204 | 204 | ||||||
Master Resecuritization Trust, | ||||||||
8.734%, 05/28/35 (B) | 121 | 85 | ||||||
Master Seasoned Securities Trust, | ||||||||
6.500%, 08/25/32 | 611 | 634 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.000%, 03/25/18 | 61 | 63 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.500%, 04/25/33 | 127 | 132 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.250%, 12/25/33 | $ | 300 | $ | 311 | ||||
Merrill Lynch Mortgage Investors, | ||||||||
2.739%, 07/25/33 (A) | 60 | 55 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.239%, 02/25/34 (A) | 671 | 667 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A | ||||||||
4.949%, 07/12/38 (A) | 127 | 130 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ | ||||||||
5.505%, 01/12/44 (A) | 120 | 106 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-MKB2, Cl A4 | ||||||||
5.204%, 09/12/42 (A) | 279 | 298 | ||||||
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.855%, 05/12/39 (A) | 150 | 166 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, IO | ||||||||
0.344%, 12/12/49 (A) (B) | 3,765 | 47 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/49 (A) | 1,400 | 1,493 | ||||||
MLCC Mortgage Investors, | ||||||||
0.710%, 04/25/29 (A) | 101 | 86 | ||||||
Morgan Stanley Capital I, | ||||||||
4.900%, 06/15/40 | 105 | 106 | ||||||
Morgan Stanley Capital I, | ||||||||
4.390%, 09/13/45 | 82 | 84 | ||||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/42 | 76 | 78 | ||||||
Morgan Stanley Capital I, | ||||||||
6.656%, 11/14/42 (A) | 51 | 52 | ||||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/47 | 1,285 | 1,396 | ||||||
Morgan Stanley Capital I, | ||||||||
5.647%, 03/12/44 (A) | 134 | 133 | ||||||
Morgan Stanley Capital I, | ||||||||
5.310%, 12/15/43 | 291 | 291 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
5.162%, 10/12/52 (A) | $ | 300 | $ | 324 | ||||
Morgan Stanley Capital I, | ||||||||
0.404%, 02/12/44 (A) (B) | 9,609 | 79 | ||||||
Morgan Stanley Capital I, | ||||||||
5.357%, 12/15/44 | 119 | 119 | ||||||
Morgan Stanley Capital I, | ||||||||
5.809%, 12/12/49 | 846 | 908 | ||||||
Morgan Stanley Capital I, | ||||||||
5.795%, 06/11/42 (A) | 100 | 112 | ||||||
Morgan Stanley Capital I, | ||||||||
3.000%, 07/17/56 (B) | 99 | 99 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/49 | 578 | 586 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/49 | 314 | 325 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 | ||||||||
6.390%, 07/15/33 | 20 | 20 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B | ||||||||
6.640%, 04/15/34 | 111 | 112 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/35 | 111 | 114 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/35 | 306 | 316 | ||||||
Morgan Stanley Reremic Trust, Ser 2009-IO, Cl A2 | ||||||||
5.000%, 07/17/56 (B) | 250 | 255 | ||||||
Morgan Stanley Reremic Trust, Ser 2010-HQ4B, Cl A7A | ||||||||
4.970%, 04/16/40 (B) | 250 | 261 | ||||||
Morgan Stanley Reremic Trust, Ser 2011-IO, Cl A | ||||||||
2.500%, 03/23/51 (B) | 800 | 798 | ||||||
Nomura Asset Securities, | ||||||||
7.313%, 03/15/30 (A) | 406 | 431 | ||||||
Prime Mortgage Trust, | ||||||||
6.000%, 02/25/34 | 117 | 124 | ||||||
Prime Mortgage Trust, | ||||||||
20.722%, 02/25/34 | 50 | 35 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.500%, 03/26/21 (B) | $ | 201 | $ | 200 | ||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 05/26/37 (A) (B) | 250 | 248 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 08/25/33 | 222 | 223 | ||||||
Residential Accredit Loans, | ||||||||
5.000%, 09/25/18 | 187 | 193 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 05/25/34 | 298 | 261 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/31 | 704 | 710 | ||||||
Residential Asset Securitization Trust, Ser 2002-A13, Cl A4 | ||||||||
5.250%, 12/25/17 | 108 | 111 | ||||||
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1 | ||||||||
5.500%, 06/25/33 | 139 | 142 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.701%, 12/25/34 (A) | 843 | 746 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 | ||||||||
4.467%, 03/18/36 | 26 | 26 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
3.189%, 09/25/33 (A) | 176 | 163 | ||||||
Sequoia Mortgage Trust, | ||||||||
3.750%, 02/25/40 (A) | 76 | 75 | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/41 (A) | 118 | 117 | ||||||
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1 | ||||||||
4.050%, 01/25/58 (A) (B) | 232 | 232 | ||||||
Station Place Securitization Trust, Ser 2010-1, Cl A | ||||||||
1.231%, 12/20/42 (A) (B) | 500 | 499 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4 | ||||||||
4.942%, 06/25/34 (A) | 104 | 98 | ||||||
Structured Asset Securities, | ||||||||
0.735%, 06/25/33 (A) | 164 | 155 | ||||||
Structured Asset Securities, | ||||||||
2.519%, 07/25/33 (A) | 355 | 307 |
108 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, | ||||||||
5.218%, 11/25/33 (A) | $ | 116 | $ | 121 | ||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/33 | 240 | 242 | ||||||
Structured Asset Securities, | ||||||||
5.013%, 12/25/33 (A) | 126 | 124 | ||||||
Structured Asset Securities, | ||||||||
5.540%, 12/25/33 | 389 | 379 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A1 | ||||||||
5.544%, 08/15/39 (A) | 18 | 18 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3 | ||||||||
5.947%, 08/15/39 (A) | 1,000 | 1,081 | ||||||
US Bank, Ser 2007-1, Cl A | ||||||||
5.920%, 05/25/12 | 375 | 388 | ||||||
Vendee Mortgage Trust CMO, | ||||||||
7.250%, 02/15/23 | 899 | 1,048 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL1A, Cl A1 | ||||||||
5.926%, 12/26/50 (B) | 174 | 175 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4 | ||||||||
6.287%, 04/15/34 | 69 | 70 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||||
4.241%, 10/15/35 (B) | 21 | 22 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||||
4.445%, 11/15/35 | 122 | 122 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.446%, 08/25/33 (A) | 155 | 145 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.476%, 08/25/33 (A) | 72 | 67 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.589%, 09/25/33 (A) | 252 | 239 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
2.621%, 10/25/33 (A) | 278 | 263 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.817%, 06/25/33 (A) | 58 | 64 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/33 | 754 | 781 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1 | ||||||||
4.500%, 12/25/18 | $ | 115 | $ | 120 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.577%, 06/25/34 (A) | 167 | 161 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.577%, 06/25/34 (A) | 111 | 108 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/19 | 232 | 243 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/34 | 610 | 646 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/34 | 237 | 237 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-15, Cl 1A1 | ||||||||
4.750%, 12/25/18 | 295 | 304 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-C, Cl A6 | ||||||||
2.657%, 02/25/33 (A) | 169 | 161 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5 | ||||||||
4.417%, 10/25/33 (A) | 91 | 91 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1 | ||||||||
4.443%, 11/25/33 (A) | 176 | 177 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
4.500%, 05/25/34 (A) | 65 | 64 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A8 | ||||||||
4.889%, 05/25/34 (A) | 5 | 5 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2 | ||||||||
2.749%, 12/25/34 (A) | 267 | 257 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1 | ||||||||
2.848%, 12/25/34 (A) | 131 | 126 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1 | ||||||||
2.749%, 12/25/34 (A) | 267 | 254 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||||
2.698%, 06/25/34 (A) | 465 | 460 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
2.832%, 07/25/34 (A) | $ | 248 | $ | 231 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1 | ||||||||
2.682%, 09/25/34 (A) | 133 | 124 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2 | ||||||||
2.747%, 10/25/34 (A) | 273 | 260 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1 | ||||||||
2.747%, 10/25/34 (A) | 136 | 129 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.000%, 01/25/20 | 92 | 95 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1 | ||||||||
2.759%, 06/25/35 (A) | 240 | 222 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
4.375%, 03/15/44 (B) | 125 | 126 | ||||||
|
| |||||||
95,126 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 497,533 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 21.5% |
| |||||||
Consumer Discretionary — 1.3% |
| |||||||
CBS | ||||||||
7.875%, 07/30/30 | 90 | 114 | ||||||
5.750%, 04/15/20 | 25 | 28 | ||||||
Comcast | ||||||||
6.500%, 01/15/17 | 1,275 | 1,498 | ||||||
5.850%, 11/15/15 (C) | 465 | 527 | ||||||
Comcast Cable Communications |
| |||||||
8.375%, 03/15/13 (C) | 587 | 645 | ||||||
Comcast Cable Holdings | ||||||||
10.125%, 04/15/22 | 45 | 64 | ||||||
COX Communications | ||||||||
5.450%, 12/15/14 | 70 | 77 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/27 (B) | 50 | 60 | ||||||
Daimler Finance LLC | ||||||||
7.300%, 01/15/12 | 170 | 173 | ||||||
6.500%, 11/15/13 | 80 | 88 | ||||||
Daimler Finance North America |
| |||||||
3.875%, 09/15/21 (B) (C) | 270 | 263 | ||||||
2.625%, 09/15/16 (B) (C) | 150 | 146 | ||||||
1.875%, 09/15/14 (B) (C) | 765 | 755 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/40 | $ | 515 | $ | 550 | ||||
4.600%, 02/15/21 | 100 | 103 | ||||||
Discovery Communications | ||||||||
4.375%, 06/15/21 (C) | 53 | 55 | ||||||
Gap | ||||||||
5.950%, 04/12/21 | 698 | 657 | ||||||
Historic TW | ||||||||
9.150%, 02/01/23 | 200 | 274 | ||||||
Johnson Controls | ||||||||
4.250%, 03/01/21 | 65 | 68 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/37 | 110 | 148 | ||||||
NBCUniversal Media | ||||||||
5.950%, 04/01/41 | 50 | 56 | ||||||
4.375%, 04/01/21 (C) | 221 | 227 | ||||||
2.875%, 04/01/16 | 422 | 430 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/20 | 47 | 48 | ||||||
News America | ||||||||
7.300%, 04/30/28 | 150 | 175 | ||||||
7.250%, 05/18/18 | 50 | 58 | ||||||
6.650%, 11/15/37 | 25 | 27 | ||||||
6.150%, 03/01/37 (C) | 707 | 755 | ||||||
6.150%, 02/15/41 | 63 | 67 | ||||||
Staples | ||||||||
9.750%, 01/15/14 | 80 | 93 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/15 (C) | 210 | 256 | ||||||
7.125%, 02/15/28 | 200 | 245 | ||||||
Thomson Reuters | ||||||||
5.950%, 07/15/13 | 213 | 230 | ||||||
4.700%, 10/15/19 | 75 | 81 | ||||||
3.950%, 09/30/21 | 107 | 107 | ||||||
Time Warner | ||||||||
7.625%, 04/15/31 | 620 | 774 | ||||||
6.250%, 03/29/41 (C) | 225 | 257 | ||||||
4.750%, 03/29/21 (C) | 205 | 215 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/19 (C) | 200 | 250 | ||||||
7.300%, 07/01/38 | 110 | 134 | ||||||
6.750%, 07/01/18 | 800 | 931 | ||||||
5.875%, 11/15/40 | 250 | 256 | ||||||
5.500%, 09/01/41 (C) | 719 | 711 | ||||||
4.000%, 09/01/21 | 310 | 303 | ||||||
|
| |||||||
12,979 | ||||||||
|
| |||||||
Consumer Staples — 0.7% |
| |||||||
Altria Group | ||||||||
10.200%, 02/06/39 (C) | 145 | 210 | ||||||
4.750%, 05/05/21 | 200 | 207 | ||||||
Anheuser-Busch InBev Worldwide |
| |||||||
7.750%, 01/15/19 | 1,095 | 1,422 | ||||||
5.375%, 11/15/14 | 220 | 246 |
110 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/19 | $ | 120 | $ | 149 | ||||
Cencosud | ||||||||
5.500%, 01/20/21 (B) | 180 | 180 | ||||||
Clorox | ||||||||
5.000%, 03/01/13 | 90 | 95 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/16 (B) | 525 | 527 | ||||||
CVS Caremark | ||||||||
6.125%, 09/15/39 | 40 | 47 | ||||||
5.750%, 05/15/41 | 220 | 246 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/20 (C) | 90 | 101 | ||||||
Diageo Finance BV | ||||||||
5.500%, 04/01/13 | 205 | 219 | ||||||
Kraft Foods | ||||||||
6.500%, 02/09/40 (C) | 780 | 953 | ||||||
6.125%, 08/23/18 (C) | 225 | 265 | ||||||
5.375%, 02/10/20 | 211 | 239 | ||||||
Kroger | ||||||||
7.500%, 04/01/31 | 30 | 40 | ||||||
5.400%, 07/15/40 | 14 | 15 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/18 | 11 | 15 | ||||||
3.000%, 08/25/21 | 31 | 31 | ||||||
2.500%, 05/10/16 (C) | 395 | 409 | ||||||
SABMiller | ||||||||
5.500%, 08/15/13 (B) | 90 | 97 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/41 (C) | 590 | 727 | ||||||
|
| |||||||
6,440 | ||||||||
|
| |||||||
Energy — 1.2% | ||||||||
Anadarko Petroleum | ||||||||
7.625%, 03/15/14 (C) | 180 | 202 | ||||||
BP Capital Markets | ||||||||
3.875%, 03/10/15 | 185 | 196 | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/32 | 50 | 64 | ||||||
CenterPoint Energy Resources | ||||||||
5.950%, 01/15/14 | 70 | 76 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/20 | 100 | 122 | ||||||
Devon Energy | ||||||||
5.600%, 07/15/41 | 260 | 300 | ||||||
2.400%, 07/15/16 (C) | 420 | 426 | ||||||
Encana | ||||||||
6.500%, 05/15/19 (C) | 150 | 179 | ||||||
6.500%, 02/01/38 | 675 | 770 | ||||||
Energen | ||||||||
4.625%, 09/01/21 | 465 | 461 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/19 (C) | 225 | 271 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ENI | ||||||||
5.700%, 10/01/40 (B) | $ | 300 | $ | 302 | ||||
Enterprise Products Operating | ||||||||
5.700%, 02/15/42 | 40 | 42 | ||||||
Halliburton | ||||||||
6.150%, 09/15/19 (C) | 80 | 97 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/19 (C) | 233 | 285 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/24 (C) | 545 | 637 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/41 (B) | 190 | 205 | ||||||
Occidental Petroleum | ||||||||
1.750%, 02/15/17 | 35 | 35 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | 475 | 574 | ||||||
6.050%, 05/15/18 | 115 | 134 | ||||||
Plains All American Pipeline | ||||||||
6.650%, 01/15/37 | 72 | 80 | ||||||
Pride International | ||||||||
6.875%, 08/15/20 | 175 | 202 | ||||||
Rockies Express Pipeline | ||||||||
3.900%, 04/15/15 (B) | 560 | 574 | ||||||
Schlumberger Investment | ||||||||
3.300%, 09/14/21 (B) | 47 | 47 | ||||||
1.950%, 09/14/16 (B) | 505 | 502 | ||||||
Shell International Finance BV | ||||||||
5.500%, 03/25/40 | 210 | 261 | ||||||
4.300%, 09/22/19 (C) | 300 | 337 | ||||||
3.100%, 06/28/15 | 60 | 64 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 675 | 796 | ||||||
Spectra Energy Capital | ||||||||
8.000%, 10/01/19 (C) | 200 | 251 | ||||||
Statoil | ||||||||
3.125%, 08/17/17 | 50 | 53 | ||||||
Suncor Energy | ||||||||
6.500%, 06/15/38 | 100 | 117 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/19 | 365 | 448 | ||||||
TC Pipelines | ||||||||
4.650%, 06/15/21 | 65 | 67 | ||||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/16 | 1,000 | 1,162 | ||||||
Tosco | ||||||||
7.800%, 01/01/27 | 65 | 90 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/19 | 50 | 63 | ||||||
6.500%, 08/15/18 | 175 | 214 | ||||||
Transcontinental Gas Pipeline | ||||||||
5.400%, 08/15/41 (B) | 40 | 42 | ||||||
Transocean | ||||||||
6.500%, 11/15/20 (C) | 120 | 131 | ||||||
Union Pacific Resources Group | ||||||||
7.150%, 05/15/28 | 52 | 59 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Williams | ||||||||
7.875%, 09/01/21 | $ | 817 | $ | 969 | ||||
Williams, Ser A | ||||||||
7.500%, 01/15/31 | 215 | 252 | ||||||
|
| |||||||
12,159 | ||||||||
|
| |||||||
Financials — 13.0% |
| |||||||
ABB Treasury Center USA | ||||||||
4.000%, 06/15/21 (B) | 275 | 277 | ||||||
2.500%, 06/15/16 (B) | 1,085 | 1,109 | ||||||
Abbey National Treasury Services |
| |||||||
4.000%, 04/27/16 (C) | 600 | 554 | ||||||
ACE INA Holdings | ||||||||
5.600%, 05/15/15 | 100 | 112 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/14 (B) | 1,075 | 1,136 | ||||||
Aflac | ||||||||
8.500%, 05/15/19 (C) | 25 | 30 | ||||||
6.450%, 08/15/40 | 25 | 25 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/32 (B) | 30 | 32 | ||||||
Allstate | ||||||||
5.000%, 08/15/14 | 70 | 77 | ||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/13 | 610 | 646 | ||||||
American Express | ||||||||
7.250%, 05/20/14 | 105 | 119 | ||||||
7.000%, 03/19/18 (C) | 170 | 201 | ||||||
American Express Credit MTN | ||||||||
7.300%, 08/20/13 | 680 | 744 | ||||||
5.125%, 08/25/14 | 390 | 422 | ||||||
2.800%, 09/19/16 (C) | 785 | 781 | ||||||
1.208%, 06/24/14 (A) | 135 | 134 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/20 (B) | 495 | 495 | ||||||
American International Group | ||||||||
5.850%, 01/16/18 (C) | 325 | 322 | ||||||
4.250%, 09/15/14 (C) | 285 | 277 | ||||||
Andina de Fomento | ||||||||
3.750%, 01/15/16 | 90 | 91 | ||||||
ANZ National Int’l | ||||||||
2.375%, 12/21/12 (B) | 100 | 101 | ||||||
AON | ||||||||
6.250%, 09/30/40 | 19 | 23 | ||||||
3.500%, 09/30/15 | 11 | 11 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/13 (B) | 186 | 188 | ||||||
Associates Corp of North America | ||||||||
6.950%, 11/01/18 | 200 | 221 | ||||||
Australia & New Zealand Banking Group | ||||||||
3.700%, 01/13/15 (B) | 530 | 551 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of America | ||||||||
7.375%, 05/15/14 | $ | 600 | $ | 619 | ||||
6.500%, 08/01/16 | 1,325 | 1,316 | ||||||
6.100%, 06/15/17 | 2,600 | 2,421 | ||||||
6.000%, 09/01/17 | 445 | 428 | ||||||
5.750%, 12/01/17 | 110 | 103 | ||||||
5.650%, 05/01/18 | 1,615 | 1,533 | ||||||
5.625%, 07/01/20 | 75 | 69 | ||||||
5.420%, 03/15/17 | 100 | 87 | ||||||
5.000%, 05/13/21 | 700 | 625 | ||||||
4.500%, 04/01/15 | 150 | 142 | ||||||
3.750%, 07/12/16 | 570 | 519 | ||||||
3.625%, 03/17/16 | 155 | 141 | ||||||
Bank of Montreal | ||||||||
2.850%, 06/09/15 (B) | 280 | 296 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/20 | 40 | 44 | ||||||
3.550%, 09/23/21 | 34 | 34 | ||||||
2.950%, 06/18/15 (C) | 125 | 130 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/15 | 94 | 99 | ||||||
2.375%, 12/17/13 (C) | 100 | 103 | ||||||
2.150%, 08/03/16 (B) | 215 | 219 | ||||||
1.450%, 07/26/13 (B) | 1,505 | 1,520 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/15 (B) | 100 | 106 | ||||||
Barclays Bank | ||||||||
5.200%, 07/10/14 | 150 | 153 | ||||||
5.125%, 01/08/20 | 760 | 745 | ||||||
5.000%, 09/22/16 (C) | 1,450 | 1,453 | ||||||
2.500%, 01/23/13 | 150 | 149 | ||||||
BB&T | ||||||||
5.700%, 04/30/14 | 195 | 213 | ||||||
4.900%, 06/30/17 (C) | 200 | 213 | ||||||
3.950%, 04/29/16 (C) | 160 | 169 | ||||||
3.850%, 07/27/12 | 150 | 153 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/18 | 1,500 | 1,768 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/21 (C) | 1,313 | 1,332 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/18 (C) | 690 | 788 | ||||||
BlackRock | ||||||||
6.250%, 09/15/17 (C) | 145 | 168 | ||||||
Blackstone Holdings Finance | ||||||||
5.875%, 03/15/21 (B) | 295 | 305 | ||||||
Boeing Capital | ||||||||
2.900%, 08/15/18 | 265 | 274 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
2.550%, 03/24/16 (B) | 255 | 265 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.600%, 07/02/15 (B) (C) | 655 | 682 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/14 | 225 | 251 |
112 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.750%, 09/15/17 | $ | 145 | $ | 165 | ||||
4.750%, 07/15/21 (C) | 540 | 541 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/19 (C) | 110 | 141 | ||||||
5.850%, 09/01/17 | 140 | 166 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (B) | 900 | 941 | ||||||
Charles Schwab | ||||||||
4.950%, 06/01/14 | 20 | 22 | ||||||
Chase Capital II | ||||||||
0.754%, 02/01/27 (A) | 560 | 412 | ||||||
Citigroup | ||||||||
8.125%, 07/15/39 (C) | 675 | 809 | ||||||
6.875%, 03/05/38 | 685 | 744 | ||||||
6.500%, 08/19/13 (C) | 250 | 263 | ||||||
6.375%, 08/12/14 (C) | 300 | 318 | ||||||
6.125%, 05/15/18 | 115 | 123 | ||||||
6.010%, 01/15/15 | 325 | 345 | ||||||
6.000%, 08/15/17 | 620 | 658 | ||||||
5.375%, 08/09/20 | 360 | 373 | ||||||
5.300%, 01/07/16 (C) | 575 | 598 | ||||||
3.953%, 06/15/16 (C) | 500 | 499 | ||||||
0.862%, 08/25/36 (A) | 1,500 | 981 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/12 | 680 | 691 | ||||||
CME Group | ||||||||
5.750%, 02/15/14 | 46 | 51 | ||||||
CNA Financial | ||||||||
6.500%, 08/15/16 | 155 | 167 | ||||||
5.875%, 08/15/20 | 72 | 74 | ||||||
5.750%, 08/15/21 | 245 | 247 | ||||||
Comerica | ||||||||
3.000%, 09/16/15 | 35 | 35 | ||||||
CommonWealth‡ | ||||||||
6.650%, 01/15/18 | 60 | 67 | ||||||
6.250%, 08/15/16 | 100 | 107 | ||||||
Commonwealth Bank of Australia | ||||||||
2.125%, 03/17/14 (B) | 1,250 | 1,255 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
5.800%, 09/30/10 (B) | 100 | 105 | ||||||
5.250%, 05/24/41 | 480 | 526 | ||||||
Credit Suisse NY | ||||||||
6.000%, 02/15/18 (C) | 370 | 375 | ||||||
Credit Suisse NY MTN | ||||||||
5.300%, 08/13/19 | 250 | 253 | ||||||
4.375%, 08/05/20 | 285 | 276 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/15 | 170 | 179 | ||||||
Deutsche Bank | ||||||||
4.875%, 05/20/13 | 750 | 775 | ||||||
3.875%, 08/18/14 (C) | 100 | 102 | ||||||
2.375%, 01/11/13 | 1,355 | 1,346 | ||||||
Dexia Credit Local | ||||||||
2.750%, 04/29/14 (B) | 1,795 | 1,768 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Discover Financial Services | ||||||||
6.450%, 06/12/17 | $ | 250 | $ | 260 | ||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/15 (B) | 1,890 | 1,913 | ||||||
ERAC USA Finance | ||||||||
2.250%, 01/10/14 (B) | 58 | 58 | ||||||
ERP Operating‡ | ||||||||
5.750%, 06/15/17 (C) | 125 | 140 | ||||||
5.125%, 03/15/16 | 830 | 890 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/48 (B) | 1,321 | 1,424 | ||||||
7.050%, 07/15/28 (B) | 480 | 514 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
1.450%, 10/25/13 (B) (D) | 250 | 244 | ||||||
FUEL Trust | ||||||||
3.984%, 06/15/16 (B) | 200 | 196 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/39 (C) | 495 | 568 | ||||||
6.750%, 03/15/32 (C) | 965 | 1,102 | ||||||
6.000%, 08/07/19 | 645 | 726 | ||||||
5.900%, 05/13/14 | 850 | 929 | ||||||
5.875%, 01/14/38 | 1,100 | 1,127 | ||||||
5.625%, 09/15/17 | 700 | 769 | ||||||
5.500%, 01/08/20 (C) | 180 | 196 | ||||||
5.400%, 02/15/17 | 200 | 218 | ||||||
5.375%, 10/20/16 (C) | 350 | 384 | ||||||
5.300%, 02/11/21 | 300 | 311 | ||||||
4.625%, 01/07/21 (C) | 599 | 622 | ||||||
0.539%, 08/07/18 (A) | 850 | 740 | ||||||
Goldman Sachs Group MTN | ||||||||
7.500%, 02/15/19 (C) | 700 | 781 | ||||||
6.250%, 09/01/17 | 650 | 678 | ||||||
6.250%, 02/01/41 | 190 | 185 | ||||||
6.150%, 04/01/18 (C) | 780 | 808 | ||||||
6.000%, 05/01/14 | 750 | 794 | ||||||
6.000%, 06/15/20 (C) | 975 | 1,003 | ||||||
5.375%, 03/15/20 | 950 | 943 | ||||||
5.250%, 10/15/13 | 140 | 145 | ||||||
5.250%, 07/27/21 | 870 | 858 | ||||||
3.625%, 02/07/16 (C) | 1,060 | 1,032 | ||||||
GTP Acquisition Partners I | ||||||||
4.347%, 06/15/16 (B) | 144 | 145 | ||||||
Hartford Financial Services Group |
| |||||||
5.500%, 03/30/20 | 215 | 210 | ||||||
HCP MTN‡ | ||||||||
6.750%, 02/01/41 (C) | 150 | 161 | ||||||
6.700%, 01/30/18 | 975 | 1,053 | ||||||
6.300%, 09/15/16 | 375 | 401 | ||||||
6.000%, 06/15/14 | 500 | 531 | ||||||
5.650%, 12/15/13 | 386 | 405 | ||||||
Health Care‡ | ||||||||
6.125%, 04/15/20 | 1,775 | 1,851 | ||||||
Health Care REIT‡ | ||||||||
6.500%, 03/15/41 | 145 | 138 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Healthcare Realty Trust‡ | ||||||||
6.500%, 01/17/17 | $ | 1,400 | $ | 1,511 | ||||
HSBC Bank | ||||||||
4.125%, 08/12/20 (B) | 100 | 99 | ||||||
1.625%, 07/07/14 (B) | 200 | 201 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/14 | 175 | 179 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/21 (B) | 1,000 | 983 | ||||||
5.500%, 01/19/16 | 140 | 146 | ||||||
4.750%, 07/15/13 (C) | 160 | 165 | ||||||
HSBC Holdings | ||||||||
5.100%, 04/05/21 (C) | 390 | 402 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/38 (C) | 230 | 230 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/18 (B) | 500 | 502 | ||||||
6.750%, 09/01/16 (B) | 500 | 501 | ||||||
Itau Unibanco Holding MTN | ||||||||
6.200%, 04/15/20 (B) | 120 | 121 | ||||||
Jackson National Life Global Funding MTN | ||||||||
5.375%, 05/08/13 (B) | 200 | 211 | ||||||
Jefferies Group | ||||||||
6.450%, 06/08/27 | 160 | 154 | ||||||
6.250%, 01/15/36 | 120 | 109 | ||||||
5.125%, 04/13/18 (C) | 240 | 225 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/18 | 100 | 121 | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/18 | 115 | 128 | ||||||
5.600%, 07/15/41 | 350 | 366 | ||||||
4.350%, 08/15/21 | 50 | 51 | ||||||
3.450%, 03/01/16 | 385 | 387 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/17 | 2,327 | 2,446 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.196%, 09/30/34 (A) | 500 | 388 | ||||||
JPMorgan Chase Capital XXV | ||||||||
6.800%, 10/01/37 | 283 | 285 | ||||||
KeyBank | ||||||||
5.800%, 07/01/14 (C) | 250 | 270 | ||||||
Kilroy Realty‡ | ||||||||
6.625%, 06/01/20 | 175 | 190 | ||||||
5.000%, 11/03/15 | 130 | 135 | ||||||
4.800%, 07/15/18 | 310 | 299 | ||||||
Korea Development Bank | ||||||||
3.250%, 03/09/16 (C) | 374 | 361 | ||||||
Lazard Group | ||||||||
7.125%, 05/15/15 (C) | 438 | 484 | ||||||
6.850%, 06/15/17 | 609 | 671 | ||||||
Lincoln National | ||||||||
4.850%, 06/24/21 | 10 | 10 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lloyds TSB Bank | ||||||||
6.375%, 01/21/21 (C) | $ | 1,125 | $ | 1,109 | ||||
5.800%, 01/13/20 (B) | 310 | 295 | ||||||
M&T Bank | ||||||||
5.375%, 05/24/12 | 80 | 82 | ||||||
Macquarie Group | ||||||||
7.300%, 08/01/14 | 1,475 | 1,597 | ||||||
7.300%, 08/01/14 (B) | 120 | 130 | ||||||
6.250%, 01/14/21 (B) | 96 | 91 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (B) | 640 | 964 | ||||||
MassMutual Global Funding II | ||||||||
2.875%, 04/21/14 (B) | 100 | 103 | ||||||
MBNA Capital B | ||||||||
1.054%, 02/01/27 (A) | 500 | 322 | ||||||
Merrill Lynch | ||||||||
6.875%, 04/25/18 | 100 | 98 | ||||||
6.400%, 08/28/17 | 150 | 146 | ||||||
6.150%, 04/25/13 | 140 | 140 | ||||||
6.050%, 05/16/16 (C) | 920 | 828 | ||||||
MetLife | ||||||||
6.750%, 06/01/16 | 390 | 449 | ||||||
6.400%, 12/15/36 (C) | 695 | 616 | ||||||
5.700%, 06/15/35 (C) | 145 | 155 | ||||||
Metropolitan Life Global Funding I |
| |||||||
5.125%, 06/10/14 (B) (C) | 100 | 108 | ||||||
2.500%, 01/11/13 (B) | 310 | 313 | ||||||
2.500%, 09/29/15 (B) | 520 | 524 | ||||||
Monumental Global Funding | ||||||||
5.500%, 04/22/13 (B) | 65 | 69 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/19 | 920 | 948 | ||||||
6.625%, 04/01/18 | 1,770 | 1,756 | ||||||
6.250%, 08/28/17 (C) | 200 | 197 | ||||||
5.950%, 12/28/17 | 100 | 97 | ||||||
5.750%, 08/31/12 (C) | 180 | 186 | ||||||
5.750%, 01/25/21 | 100 | 92 | ||||||
5.625%, 09/23/19 | 285 | 267 | ||||||
5.550%, 04/27/17 | 100 | 96 | ||||||
5.500%, 01/26/20 | 700 | 643 | ||||||
5.500%, 07/28/21 | 125 | 116 | ||||||
5.450%, 01/09/17 | 470 | 453 | ||||||
4.750%, 04/01/14 | 620 | 589 | ||||||
4.200%, 11/20/14 (C) | 156 | 153 | ||||||
National Australia Bank | ||||||||
3.750%, 03/02/15 (B) (C) | 120 | 125 | ||||||
3.000%, 07/27/16 (B) | 180 | 180 | ||||||
2.500%, 01/08/13 (B) | 150 | 152 | ||||||
National Bank of Canada | ||||||||
1.650%, 01/30/14 (B) | 870 | 884 | ||||||
National City | ||||||||
6.875%, 05/15/19 | 50 | 57 | ||||||
4.900%, 01/15/15 | 200 | 217 |
114 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
National City Bank | ||||||||
0.703%, 06/07/17 (A) | $ | 1,300 | $ | 1,190 | ||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/18 | 60 | 86 | ||||||
2.625%, 09/16/12 | 25 | 25 | ||||||
Nationwide Mutual Insurance | ||||||||
9.375%, 08/15/39 (B) | 110 | 128 | ||||||
6.600%, 04/15/34 (B) | 35 | 32 | ||||||
New York Life Global Funding | ||||||||
4.650%, 05/09/13 (B) | 150 | 158 | ||||||
3.000%, 05/04/15 (B) | 720 | 748 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/39 (B) | 255 | 315 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/20 (C) | 115 | 129 | ||||||
5.000%, 03/04/15 | 40 | 42 | ||||||
4.125%, 01/19/16 | 60 | 61 | ||||||
Nordea Bank | ||||||||
4.875%, 05/13/21 (B) (C) | 230 | 197 | ||||||
Nordea Eiendomskreditt | ||||||||
1.875%, 04/07/14 (B) | 985 | 998 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (B) | 470 | 553 | ||||||
PACCAR Financial MTN | ||||||||
1.550%, 09/29/14 | 35 | 35 | ||||||
Pacific Life Global Funding MTN |
| |||||||
5.150%, 04/15/13 (B) | 100 | 104 | ||||||
5.000%, 05/15/17 (B) | 50 | 53 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/30 (B) | 1,500 | 1,677 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/20 | 90 | 100 | ||||||
2.700%, 09/19/16 | 570 | 570 | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/17 | 700 | 736 | ||||||
Power Receivables Financial | ||||||||
6.290%, 01/01/12 (B) | 18 | 18 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.300%, 12/14/12 | 125 | 131 | ||||||
5.300%, 04/24/13 (C) | 125 | 133 | ||||||
5.100%, 04/15/14 | 225 | 242 | ||||||
Protective Life | ||||||||
8.450%, 10/15/39 | 137 | 158 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/41 | 90 | 85 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/23 (B) | 1,200 | 1,514 | ||||||
1.225%, 12/18/17 (A) (B) | 750 | 699 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/25 (B) | 150 | 196 | ||||||
Rabobank Nederland MTN | ||||||||
3.200%, 03/11/15 (B) | 200 | 207 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Royal Bank of Canada MTN | ||||||||
2.300%, 07/20/16 (C) | $ | 120 | $ | 121 | ||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/19 | 130 | 174 | ||||||
6.750%, 05/15/14 | 50 | 56 | ||||||
5.650%, 02/01/20 | 38 | 42 | ||||||
Sparebank 1 Boligkreditt | ||||||||
1.250%, 10/25/13 (B) | 390 | 392 | ||||||
Stadshypotek | ||||||||
1.450%, 09/30/13 (B) | 1,049 | 1,055 | ||||||
Standard Chartered | ||||||||
3.200%, 05/12/16 (B) (C) | 490 | 486 | ||||||
Svensk Exportkredit | ||||||||
3.250%, 09/16/14 (C) | 667 | 708 | ||||||
Swedbank Hypotek | ||||||||
2.950%, 03/28/16 (B) | 425 | 444 | ||||||
2.125%, 08/31/16 (B) | 495 | 496 | ||||||
Toronto-Dominion Bank | ||||||||
2.500%, 07/14/16 | 72 | 74 | ||||||
2.200%, 07/29/15 (B) | 100 | 103 | ||||||
1.625%, 09/14/16 (B) | 1,695 | 1,689 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/21 | 740 | 746 | ||||||
3.200%, 06/17/15 | 87 | 91 | ||||||
2.000%, 09/15/16 | 200 | 199 | ||||||
Travelers | ||||||||
3.900%, 11/01/20 | 300 | 308 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/26 | 100 | 132 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/17 (C) | 120 | 123 | ||||||
5.750%, 04/25/18 (C) | 100 | 103 | ||||||
US Bancorp MTN | ||||||||
2.875%, 11/20/14 | 138 | 143 | ||||||
2.450%, 07/27/15 | 250 | 257 | ||||||
Wachovia | ||||||||
5.750%, 06/15/17 | 485 | 546 | ||||||
Wachovia Bank MTN | ||||||||
6.000%, 11/15/17 | 875 | 970 | ||||||
4.875%, 02/01/15 | 600 | 632 | ||||||
0.677%, 03/15/16 (A) | 400 | 357 | ||||||
WEA Finance | ||||||||
7.500%, 06/02/14 (B) | 1,140 | 1,272 | ||||||
7.125%, 04/15/18 (B) | 60 | 69 | ||||||
6.750%, 09/02/19 (B) | 70 | 78 | ||||||
4.625%, 05/10/21 (B) (C) | 245 | 234 | ||||||
Wells Fargo | ||||||||
5.625%, 12/11/17 (C) | 180 | 204 | ||||||
3.676%, 06/15/16 (C) | 390 | 406 | ||||||
Westpac Banking MTN | ||||||||
4.875%, 11/19/19 (C) | 260 | 272 | ||||||
3.000%, 12/09/15 | 515 | 523 | ||||||
1.099%, 03/31/14 (A) (B) | 1,200 | 1,204 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 115 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WR Berkley | ||||||||
5.375%, 09/15/20 | $ | 180 | $ | 185 | ||||
XL Group | ||||||||
5.750%, 10/01/21 | 145 | 145 | ||||||
ZFS Finance USA Trust IV | ||||||||
5.875%, 05/09/32 (A) (B) | 1,750 | 1,735 | ||||||
|
| |||||||
126,037 | ||||||||
|
| |||||||
Health Care — 0.4% | ||||||||
Amgen | ||||||||
5.750%, 03/15/40 | 62 | 75 | ||||||
5.650%, 06/15/42 | 657 | 795 | ||||||
4.500%, 03/15/20 | 22 | 25 | ||||||
3.450%, 10/01/20 | 50 | 51 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/17 | 508 | 569 | ||||||
5.450%, 06/15/21 | 120 | 130 | ||||||
Gilead Sciences | ||||||||
4.500%, 04/01/21 | 425 | 458 | ||||||
Life Technologies | ||||||||
5.000%, 01/15/21 | 425 | 440 | ||||||
Medco Health Solutions | ||||||||
2.750%, 09/15/15 | 35 | 35 | ||||||
Pharmacia | ||||||||
6.500%, 12/01/18 | 120 | 150 | ||||||
Roche Holdings | ||||||||
7.000%, 03/01/39 (B) | 265 | 379 | ||||||
Sanofi-Aventis | ||||||||
2.625%, 03/29/16 | 465 | 481 | ||||||
Stryker | ||||||||
2.000%, 09/30/16 | 275 | 276 | ||||||
Thermo Fisher Scientific | ||||||||
3.200%, 03/01/16 | 225 | 236 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/38 | 90 | 118 | ||||||
|
| |||||||
4,218 | ||||||||
|
| |||||||
Industrials — 0.9% |
| |||||||
American Airlines, 2011-1 Cl A | ||||||||
5.250%, 01/31/21 | 19 | 17 | ||||||
American Airlines, 2011-2 Cl A | ||||||||
8.625%, 10/15/21 | 80 | 80 | ||||||
BAE Systems Holdings | ||||||||
5.200%, 08/15/15 (B) | 90 | 99 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/36 | 90 | 127 | ||||||
5.750%, 03/15/18 | 950 | 1,119 | ||||||
5.750%, 05/01/40 | 131 | 154 | ||||||
5.400%, 06/01/41 | 50 | 56 | ||||||
4.700%, 10/01/19 | 75 | 84 | ||||||
3.450%, 09/15/21 (C) | 16 | 16 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/17 | $ | 50 | $ | 60 | ||||
Cargill | ||||||||
7.350%, 03/06/19 (B) | 250 | 319 | ||||||
Caterpillar | ||||||||
5.200%, 05/27/41 | 460 | 538 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2 | ||||||||
7.256%, 03/15/20 | 271 | 277 | ||||||
Continental Airlines Pass-Through Trust, Ser 2000-1 | ||||||||
8.048%, 11/01/20 | 370 | 385 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-2 | ||||||||
7.250%, 11/10/19 | 190 | 198 | ||||||
Continental Airlines Pass-Through Trust, Ser A | ||||||||
5.983%, 04/19/22 (C) | 540 | 542 | ||||||
CSX | ||||||||
6.250%, 03/15/18 | 155 | 187 | ||||||
Danaher | ||||||||
3.900%, 06/23/21 | 22 | 24 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
6.200%, 07/02/18 (C) | 566 | 583 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
4.950%, 05/23/19 | 49 | 48 | ||||||
Eaton | ||||||||
7.625%, 04/01/24 | 75 | 102 | ||||||
Fluor | ||||||||
3.375%, 09/15/21 | 68 | 68 | ||||||
Hutchison Whampoa International | ||||||||
5.750%, 09/11/19 (B) | 355 | 381 | ||||||
JetBlue Airways Pass-Through Trust, 2004-1 G-1 | ||||||||
0.722%, 12/15/13 (A) | 449 | 410 | ||||||
Koninklijke Philips Electronics | ||||||||
5.750%, 03/11/18 | 24 | 28 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/40 | 82 | 94 | ||||||
3.350%, 09/15/21 | 650 | 644 | ||||||
2.125%, 09/15/16 | 37 | 37 | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/11 (C) | 158 | 187 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/15 | 540 | 537 | ||||||
Pitney Bowes | ||||||||
5.600%, 03/15/18 | 25 | 26 | ||||||
5.000%, 03/15/15 | 50 | 53 | ||||||
4.875%, 08/15/14 | 50 | 54 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/16 | 35 | 37 | ||||||
Tyco International | ||||||||
7.000%, 12/15/19 | 30 | 37 |
116 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Tyco International Finance | ||||||||
8.500%, 01/15/19 | $ | 50 | $ | 65 | ||||
Union Pacific | ||||||||
4.163%, 07/15/22 (B) (C) | 131 | 140 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/20 | 50 | 70 | ||||||
United Technologies | ||||||||
8.875%, 11/15/19 | 110 | 155 | ||||||
Verisk Analytics | ||||||||
5.800%, 05/01/21 | 220 | 247 | ||||||
Waste Management | ||||||||
4.750%, 06/30/20 | 93 | 101 | ||||||
2.600%, 09/01/16 | 180 | 180 | ||||||
|
| |||||||
8,566 | ||||||||
|
| |||||||
Information Technology — 0.7% | ||||||||
Adobe Systems | ||||||||
4.750%, 02/01/20 | 265 | 278 | ||||||
Arrow Electronics | ||||||||
6.875%, 07/01/13 | 25 | 27 | ||||||
6.875%, 06/01/18 | 95 | 106 | ||||||
6.000%, 04/01/20 | 45 | 48 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/39 | 150 | 180 | ||||||
5.500%, 01/15/40 (C) | 265 | 306 | ||||||
Dell | ||||||||
5.650%, 04/15/18 | 90 | 102 | ||||||
Fiserv | ||||||||
3.125%, 06/15/16 | 295 | 299 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/41 | 660 | 696 | ||||||
4.375%, 09/15/21 | 39 | 40 | ||||||
3.000%, 09/15/16 | 172 | 173 | ||||||
HP Enterprise Services | ||||||||
7.450%, 10/15/29 (C) | 125 | 154 | ||||||
Intel | ||||||||
4.800%, 10/01/41 | 65 | 70 | ||||||
3.300%, 10/01/21 | 1,640 | 1,675 | ||||||
International Business Machines | ||||||||
8.000%, 10/15/38 | 100 | 151 | ||||||
1.950%, 07/22/16 | 515 | 520 | ||||||
Intuit | ||||||||
5.750%, 03/15/17 | 75 | 84 | ||||||
Microsoft | ||||||||
5.300%, 02/08/41 | 775 | 954 | ||||||
4.500%, 10/01/40 | 14 | 15 | ||||||
1.625%, 09/25/15 | 90 | 92 | ||||||
National Semiconductor | ||||||||
3.950%, 04/15/15 | 100 | 107 | ||||||
Oracle | ||||||||
5.375%, 07/15/40 (B) | 17 | 20 | ||||||
5.000%, 07/08/19 (C) | 200 | 231 | ||||||
Xerox | ||||||||
8.250%, 05/15/14 | 90 | 102 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.500%, 05/15/21 | $ | 13 | $ | 13 | ||||
|
| |||||||
6,443 | ||||||||
|
| |||||||
Materials — 0.2% | ||||||||
ArcelorMittal | ||||||||
5.500%, 03/01/21 | 178 | 159 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/19 (C) | 125 | 154 | ||||||
CRH America | ||||||||
6.000%, 09/30/16 | 31 | 33 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/19 | 523 | 670 | ||||||
7.600%, 05/15/14 | 190 | 216 | ||||||
E.I. du Pont de Nemours | ||||||||
5.600%, 12/15/36 | 80 | 98 | ||||||
4.900%, 01/15/41 | 25 | 28 | ||||||
1.950%, 01/15/16 | 40 | 40 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/19 | 50 | 61 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/21 | 145 | 203 | ||||||
Praxair | ||||||||
5.200%, 03/15/17 | 70 | 81 | ||||||
4.375%, 03/31/14 | 75 | 81 | ||||||
Rio Tinto Finance USA | ||||||||
3.750%, 09/20/21 | 90 | 90 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
8.950%, 05/01/14 | 80 | 95 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/41 (C) | 297 | 311 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/96 | 50 | 60 | ||||||
|
| |||||||
2,380 | ||||||||
|
| |||||||
Telecommunication Services — 1.1% | ||||||||
America Movil | ||||||||
6.125%, 03/30/40 | 285 | 296 | ||||||
2.375%, 09/08/16 (C) | 350 | 338 | ||||||
American Tower | ||||||||
5.050%, 09/01/20 (C) | 124 | 124 | ||||||
4.500%, 01/15/18 (C) | 445 | 446 | ||||||
AT&T | ||||||||
8.000%, 11/15/31 | 13 | 18 | ||||||
6.400%, 05/15/38 | 135 | 157 | ||||||
6.300%, 01/15/38 | 435 | 498 | ||||||
5.550%, 08/15/41 | 960 | 1,034 | ||||||
5.500%, 02/01/18 | 100 | 115 | ||||||
5.350%, 09/01/40 | 423 | 442 | ||||||
4.850%, 02/15/14 (C) | 200 | 215 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/15 | 137 | 146 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/18 (C) | 200 | 222 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 117 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
British Telecommunications PLC |
| |||||||
9.875%, 12/15/30 | $ | 45 | $ | 65 | ||||
Cellco Partnership | ||||||||
8.500%, 11/15/18 | 230 | 307 | ||||||
7.375%, 11/15/13 | 240 | 269 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/19 | 65 | 73 | ||||||
CenturyLink | ||||||||
7.600%, 09/15/39 | 320 | 288 | ||||||
6.450%, 06/15/21 | 120 | 111 | ||||||
Deutsche Telekom International Finance BV | ||||||||
6.000%, 07/08/19 | 175 | 202 | ||||||
France Telecom | ||||||||
8.500%, 03/01/31 | 50 | 69 | ||||||
2.750%, 09/14/16 | 665 | 660 | ||||||
GTE | ||||||||
8.750%, 11/01/21 (C) | 300 | 419 | ||||||
6.840%, 04/15/18 | 150 | 181 | ||||||
Qwest | ||||||||
6.750%, 12/01/21 | 156 | 153 | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/18 | 150 | 150 | ||||||
4.950%, 09/30/14 | 620 | 597 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/17 (C) | 205 | 207 | ||||||
5.462%, 02/16/21 | 23 | 22 | ||||||
2.582%, 04/26/13 | 695 | 673 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/15 (B) (C) | 210 | 201 | ||||||
Telemar Norte Leste SA | ||||||||
5.500%, 10/23/20 (B) | 450 | 428 | ||||||
Verizon Communications | ||||||||
6.000%, 04/01/41 | 115 | 140 | ||||||
5.850%, 09/15/35 | 40 | 47 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/30 | 610 | 838 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/19 | 75 | 88 | ||||||
|
| |||||||
10,239 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
AEP Texas Central Transition Funding | ||||||||
5.170%, 01/01/18 | 575 | 673 | ||||||
5.090%, 07/01/15 | 1,300 | 1,441 | ||||||
AGL Capital | ||||||||
5.250%, 08/15/19 | 50 | 56 | ||||||
4.450%, 04/15/13 | 120 | 124 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/38 | 18 | 23 | ||||||
5.875%, 12/01/22 | 95 | 117 | ||||||
Ameren | ||||||||
8.875%, 05/15/14 | 310 | 351 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Water Capital | ||||||||
6.085%, 10/15/17 | $ | 100 | $ | 117 | ||||
Appalachian Power | ||||||||
5.950%, 05/15/33 | 100 | 115 | ||||||
Aquila | ||||||||
11.875%, 07/01/12 | 1,210 | 1,301 | ||||||
Arizona Public Service | ||||||||
5.050%, 09/01/41 | 47 | 51 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/14 | 75 | 82 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/19 (C) | 175 | 206 | ||||||
3.000%, 09/15/21 | 514 | 518 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/18 | 50 | 59 | ||||||
CenterPoint Energy Resources | ||||||||
4.500%, 01/15/21 | 81 | 83 | ||||||
Cleveland Electric Illuminating | ||||||||
8.875%, 11/15/18 | 320 | 433 | ||||||
7.880%, 11/01/17 | 170 | 214 | ||||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/40 | 38 | 46 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/19 (C) | 100 | 127 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/19 | 700 | 933 | ||||||
6.400%, 06/15/18 | 180 | 217 | ||||||
4.900%, 08/01/41 (C) | 105 | 109 | ||||||
1.950%, 08/15/16 | 165 | 164 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 120 | 133 | ||||||
3.550%, 09/15/21 | 76 | 76 | ||||||
Duke Energy Carolinas | ||||||||
4.300%, 06/15/20 | 39 | 43 | ||||||
Duke Energy Indiana | ||||||||
3.750%, 07/15/20 | 52 | 55 | ||||||
EDF | ||||||||
4.600%, 01/27/20 (B) | 65 | 68 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (B) | 375 | 316 | ||||||
5.125%, 10/07/19 (B) | 100 | 94 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/39 | 40 | 46 | ||||||
5.200%, 10/01/19 | 35 | 38 | ||||||
4.000%, 10/01/20 | 120 | 119 | ||||||
Florida Power & Light | ||||||||
5.125%, 06/01/41 | 28 | 33 | ||||||
Great Plains Energy | ||||||||
4.850%, 06/01/21 | 60 | 63 | ||||||
Hydro Quebec | ||||||||
2.000%, 06/30/16 (C) | 585 | 597 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/19 (C) | 100 | 127 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/41 | 100 | 102 |
118 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Korea Hydro & Nuclear Power | ||||||||
3.125%, 09/16/15 (B) (C) | $ | 350 | $ | 342 | ||||
LG&E and KU Energy | ||||||||
4.375%, 10/01/21 (B) | 360 | 360 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/39 (B) | 55 | 68 | ||||||
MidAmerican Energy | ||||||||
5.300%, 03/15/18 | 200 | 232 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 195 | 244 | ||||||
6.125%, 04/01/36 | 100 | 120 | ||||||
National Grid | ||||||||
6.300%, 08/01/16 | 170 | 195 | ||||||
Nevada Power | ||||||||
7.125%, 03/15/19 (C) | 110 | 137 | ||||||
5.375%, 09/15/40 | 12 | 14 | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/19 (B) | 80 | 89 | ||||||
Nisource Finance | ||||||||
6.125%, 03/01/22 | 1,000 | 1,133 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/36 (C) | 100 | 133 | ||||||
5.350%, 11/01/39 | 19 | 23 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/18 | 460 | 559 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/18 | 60 | 80 | ||||||
5.625%, 11/30/17 | 525 | 612 | ||||||
5.400%, 01/15/40 | 42 | 47 | ||||||
3.250%, 09/15/21 | 12 | 12 | ||||||
Pacificorp | ||||||||
6.250%, 10/15/37 | 90 | 116 | ||||||
5.650%, 07/15/18 | 175 | 211 | ||||||
Panhandle Eastern Pipeline | ||||||||
6.200%, 11/01/17 | 625 | 726 | ||||||
PPL Electric Utilities | ||||||||
3.000%, 09/15/21 | 235 | 234 | ||||||
PPL WEM Holdings | ||||||||
3.900%, 05/01/16 (B) | 275 | 288 | ||||||
Progress Energy | ||||||||
6.850%, 04/15/12 | 229 | 236 | ||||||
PSEG Power | ||||||||
5.500%, 12/01/15 | 100 | 111 | ||||||
5.320%, 09/15/16 | 40 | 44 | ||||||
5.125%, 04/15/20 | 45 | 49 | ||||||
4.150%, 09/15/21 | 33 | 33 | ||||||
2.750%, 09/15/16 | 200 | 199 | ||||||
Public Service Electric & Gas MTN | ||||||||
5.375%, 11/01/39 | 28 | 34 | ||||||
2.700%, 05/01/15 | 45 | 47 | ||||||
Public Service of Colorado | ||||||||
4.750%, 08/15/41 | 55 | 61 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/19 | 33 | 37 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sempra Energy | ||||||||
8.900%, 11/15/13 | $ | 180 | $ | 205 | ||||
6.000%, 10/15/39 | 50 | 61 | ||||||
2.000%, 03/15/14 (C) | 545 | 551 | ||||||
Southern | ||||||||
1.950%, 09/01/16 | 26 | 26 | ||||||
Southern California Edison | ||||||||
5.500%, 03/15/40 | 50 | 62 | ||||||
3.875%, 06/01/21 | 22 | 24 | ||||||
Southern Power | ||||||||
5.150%, 09/15/41 | 11 | 11 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/18 | 90 | 123 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (B) | 1,290 | 1,694 | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/21 | 3 | 3 | ||||||
|
| |||||||
19,056 | ||||||||
|
| |||||||
Total Corporate Obligations | 208,517 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 19.0% |
| |||||||
U.S. Treasury Bills | ||||||||
0.020%, 11/10/11 to 12/08/11 (D) (F) | 50 | 50 | ||||||
U.S. Treasury Bonds | ||||||||
8.875%, 08/15/17 | 1,690 | 2,434 | ||||||
8.750%, 05/15/20 to 08/15/20 | 775 | 1,218 | ||||||
8.500%, 02/15/20 | 425 | 655 | ||||||
8.125%, 08/15/19 | 798 | 1,189 | ||||||
8.000%, 11/15/21 | 504 | 787 | ||||||
7.625%, 02/15/25 | 1,575 | 2,537 | ||||||
7.500%, 11/15/16 | 1,200 | 1,591 | ||||||
6.750%, 08/15/26 | 250 | 384 | ||||||
6.500%, 11/15/26 | 200 | 301 | ||||||
6.375%, 08/15/27 | 50 | 75 | ||||||
6.250%, 05/15/30 | 200 | 306 | ||||||
6.125%, 11/15/27 | 500 | 737 | ||||||
5.500%, 08/15/28 | 1,100 | 1,536 | ||||||
4.750%, 02/15/41 | 381 | 521 | ||||||
4.500%, 02/15/36 | 938 | 1,215 | ||||||
4.375%, 05/15/40 to 05/15/41 (C) | 10,469 | 13,524 | ||||||
4.250%, 11/15/40 (C) | 1,977 | 2,500 | ||||||
3.875%, 08/15/40 | 15,940 | 18,939 | ||||||
3.750%, 08/15/41 (C) | 8,092 | 9,421 | ||||||
3.250%, 12/31/16 | 1,100 | 1,225 | ||||||
2.625%, 12/31/14 | 500 | 534 | ||||||
2.375%, 10/31/14 | 500 | 529 | ||||||
U.S. Treasury Inflation Protected Security | ||||||||
2.500%, 01/15/29 | 105 | 135 | ||||||
2.125%, 02/15/41 | 2,053 | 2,622 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 119 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. Treasury Notes | ||||||||
4.750%, 08/15/17 | $ | 2,720 | $ | 3,275 | ||||
4.250%, 11/15/17 (F) | 5,460 | 6,439 | ||||||
3.500%, 02/15/18 | 2,000 | 2,272 | ||||||
3.125%, 10/31/16 to 05/15/21 (C) | 8,467 | 9,407 | ||||||
2.750%, 05/31/17 to 12/31/17 | 5,435 | 5,921 | ||||||
2.250%, 07/31/18 | 500 | 528 | ||||||
2.125%, 08/15/21 (C) | 17,237 | 17,541 | ||||||
1.875%, 09/30/17 | 545 | 566 | ||||||
1.500%, 06/30/16 to 08/31/18 (C) | 13,355 | 13,712 | ||||||
1.375%, 09/30/18 | 726 | 722 | ||||||
1.000%, 08/31/16 to 09/30/16 (C) | 21,547 | 21,591 | ||||||
0.875%, 01/31/12 | 9,755 | 9,781 | ||||||
0.625%, 07/15/14 | 1,390 | 1,398 | ||||||
0.375%, 06/30/13 to 07/31/13 | 2,090 | 2,095 | ||||||
0.250%, 09/15/14 | 990 | 985 | ||||||
U.S. Treasury STRIPS (D) | ||||||||
6.291%, 05/15/24 | 200 | 145 | ||||||
5.118%, 11/15/27 | 200 | 125 | ||||||
5.044%, 05/15/26 | 100 | 67 | ||||||
5.000%, 08/15/25 | 100 | 69 | ||||||
4.966%, 11/15/31 | 50 | 27 | ||||||
4.871%, 08/15/27 | 700 | 443 | ||||||
4.867%, 02/15/24 | 75 | 55 | ||||||
4.810%, 05/15/36 | 100 | 46 | ||||||
4.763%, 02/15/27 | 700 | 452 | ||||||
4.758%, 05/15/29 | 100 | 59 | ||||||
4.714%, 08/15/19 | 1,350 | 1,178 | ||||||
4.710%, 08/15/24 | 500 | 358 | ||||||
4.698%, 02/15/28 | 600 | 372 | ||||||
4.693%, 05/15/28 | 600 | 369 | ||||||
4.624%, 05/15/27 | 515 | 330 | ||||||
4.576%, 05/15/34 | 175 | 87 | ||||||
4.545%, 08/15/30 | 325 | 184 | ||||||
4.541%, 11/15/33 | 350 | 177 | ||||||
4.544%, 11/15/20 | 1,250 | 1,043 | ||||||
4.536%, 02/15/34 | 250 | 125 | ||||||
4.518%, 02/15/30 | 1,000 | 576 | ||||||
4.470%, 11/15/32 | 150 | 78 | ||||||
4.455%, 11/15/29 | 300 | 174 | �� | |||||
4.454%, 05/15/33 | 375 | 193 | ||||||
4.453%, 08/15/33 | 300 | 153 | ||||||
4.422%, 11/15/30 | 950 | 533 | ||||||
4.350%, 02/15/32 | 150 | 80 | ||||||
4.339%, 11/15/26 | 1,000 | 652 | ||||||
4.312%, 11/15/24 | 150 | 106 | ||||||
4.283%, 02/15/17 | 3,660 | 3,441 | ||||||
4.271%, 05/15/30 | 200 | 114 | ||||||
4.120%, 05/15/19 | 875 | 771 | ||||||
3.829%, 08/15/18 | 400 | 361 | ||||||
3.809%, 11/15/17 | 1,550 | 1,429 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.805%, 02/15/22 | $ | 600 | $ | 477 | ||||
3.727%, 08/15/20 | 3,350 | 2,816 | ||||||
3.664%, 02/15/18 | 725 | 663 | ||||||
3.623%, 05/15/31 | 185 | 102 | ||||||
3.433%, 08/15/21 | 100 | 81 | ||||||
3.385%, 11/15/16 | 200 | 189 | ||||||
3.125%, 11/15/21 | 200 | 161 | ||||||
3.113%, 05/15/20 | 3,824 | 3,246 | ||||||
3.094%, 05/15/18 | 250 | 227 | ||||||
3.037%, 02/15/16 | 100 | 96 | ||||||
2.775%, 02/15/15 | 100 | 98 | ||||||
2.753%, 02/15/20 | 200 | 172 | ||||||
1.179%, 02/15/14 | 1,200 | 1,190 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 185,088 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 6.4% |
| |||||||
Automotive — 0.7% | ||||||||
Ally Auto Receivables Trust, | ||||||||
2.330%, 06/17/13 (B) | 68 | 69 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.450%, 05/15/14 | 84 | 85 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.550%, 08/17/15 | 89 | 90 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.110%, 10/15/14 | 225 | 226 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.810%, 10/15/13 | 157 | 157 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.380%, 01/15/15 | 85 | 86 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.140%, 06/15/16 | 328 | 327 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A3 | ||||||||
1.770%, 03/17/14 | 33 | 33 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/15 | 110 | 110 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.840%, 06/09/14 | 127 | 127 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
1.390%, 09/08/15 | 75 | 75 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A2 | ||||||||
0.840%, 11/10/14 | 195 | 195 |
120 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A3 | ||||||||
1.170%, 05/09/16 | $ | 259 | $ | 259 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/15 | 100 | 100 | ||||||
Bank of America Auto Trust, | ||||||||
2.130%, 09/15/13 (B) | 37 | 38 | ||||||
Bank of America Auto Trust, | ||||||||
1.670%, 12/15/13 (B) | 53 | 53 | ||||||
Bank of America Auto Trust, | ||||||||
2.180%, 02/15/17 (B) | 100 | 102 | ||||||
Bank of America Auto Trust, | ||||||||
1.390%, 03/15/14 (B) | 83 | 84 | ||||||
Bank of America Auto Trust, | ||||||||
1.310%, 07/15/14 | 24 | 24 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.560%, 07/15/14 | 74 | 74 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A3 | ||||||||
0.910%, 08/08/13 | 250 | 250 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
2.590%, 10/15/13 (B) | 235 | 237 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
3.320%, 02/15/17 | 100 | 102 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
1.160%, 02/15/15 | 72 | 72 | ||||||
Huntington Auto Trust, | ||||||||
1.010%, 01/15/16 (B) | 200 | 200 | ||||||
Huntington Auto Trust, | ||||||||
0.760%, 04/15/14 (B) | 240 | 240 | ||||||
Huntington Auto Trust, | ||||||||
1.310%, 11/15/16 (B) | 200 | 200 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.970%, 04/15/15 | 80 | 80 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.630%, 03/15/17 | 90 | 91 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.040%, 09/15/15 | 64 | 64 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.650%, 02/15/17 | $ | 71 | $ | 72 | ||||
Hyundai Auto Receivables Trust, | ||||||||
1.300%, 02/15/18 | 290 | 290 | ||||||
LAI Vehicle Lease Securitization Trust, | ||||||||
2.550%, 09/15/16 (B) | 169 | 169 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2010-1A, Cl A3 | ||||||||
1.420%, 08/15/14 | 171 | 172 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/16 (B) | 230 | 235 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.870%, 07/15/14 | 95 | 95 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
1.310%, 09/15/16 | 75 | 76 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.390%, 06/15/17 (B) | 100 | 102 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl B | ||||||||
2.060%, 06/15/17 (B) | 43 | 43 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
0.770%, 04/15/14 | 190 | 190 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
1.560%, 05/15/15 | 125 | 127 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
0.980%, 10/15/14 | 250 | 251 | ||||||
USAA Auto Owner Trust, | ||||||||
2.530%, 07/15/15 | 145 | 149 | ||||||
USAA Auto Owner Trust, | ||||||||
1.540%, 02/18/14 | 64 | 64 | ||||||
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3 | ||||||||
1.490%, 06/16/14 (B) | 70 | 70 | ||||||
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A2 | ||||||||
1.080%, 07/15/13 (B) | 50 | 50 | ||||||
World Omni Auto Receivables Trust, | ||||||||
4.740%, 10/15/13 | 424 | 432 | ||||||
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.210%, 05/15/15 | 135 | 138 | ||||||
|
| |||||||
6,575 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 121 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Cards — 0.8% |
| |||||||
Capital One Multi-Asset Execution Trust, Ser 2004-A4, Cl A4 | ||||||||
0.449%, 03/15/17 (A) | $ | 154 | $ | 154 | ||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.309%, 09/15/15 (A) | 293 | 293 | ||||||
Chase Issuance Trust, | ||||||||
0.299%, 12/15/14 (A) | 676 | 676 | ||||||
Chase Issuance Trust, | ||||||||
0.299%, 07/15/14 (A) | 219 | 219 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
4.850%, 03/10/17 | 485 | 547 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
4.900%, 06/23/16 | 435 | 483 | ||||||
Citibank Omni Master Trust, | ||||||||
2.979%, 08/15/18 (A) (B) | 1,886 | 1,973 | ||||||
Citibank Omni Master Trust, | ||||||||
2.329%, 05/16/16 (A) (B) | 1,029 | 1,038 | ||||||
DBRR Trust, Ser 2011-LC2 | ||||||||
4.537%, 04/12/21 | 500 | 522 | ||||||
Discover Card Master Trust, | ||||||||
1.529%, 12/15/14 (A) | 231 | 233 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A | ||||||||
3.690%, 07/15/15 | 426 | 436 | ||||||
MBNA Master Credit Card Trust, | ||||||||
0.389%, 08/15/14 (A) | 1,315 | 1,315 | ||||||
World Financial Network Credit Card Master Trust, Ser 2009-A, Cl A | ||||||||
4.600%, 09/15/15 | 499 | 501 | ||||||
|
| |||||||
8,390 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.7% |
| |||||||
Aegis Asset-Backed Securities Trust, | ||||||||
1.285%, 01/25/34 (A) | 505 | 426 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
0.885%, 12/25/34 (A) | 1,087 | 959 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
0.775%, 03/25/35 (A) | 1,014 | 947 | ||||||
Arch Bay Asset-Backed Securities, | ||||||||
4.125%, 04/25/57 (A) (B) | 93 | 93 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Argent Securities, | ||||||||
0.935%, 10/25/33 (A) | $ | 418 | $ | 319 | ||||
Asset-Backed Securities Home Equity, Ser 2005-HE6, Cl M1 | ||||||||
0.725%, 07/25/35 (A) | 844 | 810 | ||||||
Bear Stearns Alt-A Trust, | ||||||||
0.975%, 11/25/34 (A) | 1,576 | 1,368 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3 | ||||||||
0.605%, 08/25/35 (A) | 1,525 | 1,243 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||||
0.335%, 03/25/37 (A) | 425 | 409 | ||||||
BNC Mortgage Loan Trust, | ||||||||
0.485%, 11/25/37 (A) | 827 | 799 | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.050%, 03/15/28 | — | — | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.090%, 04/15/28 | 2 | 2 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.721%, 01/20/35 (A) | 110 | 95 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.501%, 01/20/35 (A) | 88 | 78 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.390%, 01/20/36 (A) | 1,537 | 1,432 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.380%, 03/20/36 (A) | 97 | 89 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.411%, 03/20/36 (A) | 1,295 | 1,262 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.430%, 03/20/36 (A) | 108 | 91 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.710%, 03/20/36 (A) | 2,000 | 946 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
5.600%, 03/20/36 | 173 | 174 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
1.430%, 11/20/36 (A) | 248 | 220 | ||||||
IXIS Real Estate Capital Trust, | ||||||||
0.970%, 06/25/35 (A) | 558 | 510 |
122 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lake Country Mortgage Loan Trust, | ||||||||
0.585%, 07/25/34 (A) (B) | $ | 190 | $ | 181 | ||||
Morgan Stanley ABS Capital I, | ||||||||
0.985%, 01/25/35 (A) | 44 | 43 | ||||||
Morgan Stanley Capital I, | ||||||||
0.275%, 01/25/37 (A) | 12 | 12 | ||||||
Morgan Stanley Capital I, | ||||||||
4.054%, 07/15/49 | 100 | 102 | ||||||
Morgan Stanley Home Equity Loans, | ||||||||
0.285%, 12/25/36 (A) | 4 | 4 | ||||||
Option One Mortgage Loan Trust, | ||||||||
1.210%, 08/25/33 (A) | 257 | 145 | ||||||
Residential Asset Securities, | ||||||||
0.605%, 09/25/35 (A) | 216 | 213 | ||||||
Residential Asset Securities, | ||||||||
0.605%, 10/25/35 (A) | 100 | 94 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.950%, 04/25/32 (B) | 134 | 113 | ||||||
Saxon Asset Securities Trust, | ||||||||
4.795%, 06/25/33 | 88 | 88 | ||||||
Saxon Asset Securities Trust, | ||||||||
1.030%, 03/25/35 (A) | 1,684 | 1,217 | ||||||
Structured Asset Securities, | ||||||||
3.450%, 02/25/32 | 90 | 82 | ||||||
Structured Asset Securities, | ||||||||
4.690%, 02/25/35 | 187 | 184 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
5.682%, 06/25/51 (B) | 150 | 150 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
9.317%, 06/25/51 (B) | 150 | 150 | ||||||
Wells Fargo Home Equity Trust, | ||||||||
5.000%, 05/25/34 (A) | 1,400 | 1,396 | ||||||
|
| |||||||
16,446 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Other Asset-Backed Securities — 3.2% |
| |||||||
AH Mortgage Advance Trust, | ||||||||
3.370%, 05/10/43 (B) | $ | 667 | $ | 664 | ||||
2.630%, 05/10/42 (B) | 139 | 139 | ||||||
AH Mortgage Advance Trust, | ||||||||
6.900%, 09/15/43 (B) | 120 | 120 | ||||||
AH Mortgage Advance Trust, | ||||||||
3.270%, 09/15/43 (B) | 373 | 373 | ||||||
Ally Master Owner Trust, | ||||||||
2.150%, 01/15/16 | 765 | 777 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/16 | 395 | 398 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/16 | 363 | 362 | ||||||
Brazos Higher Education Authority, | ||||||||
1.457%, 02/25/35 (A) | 850 | 810 | ||||||
Brazos Higher Education Authority, | ||||||||
1.247%, 10/27/36 (A) | 400 | 364 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.499%, 11/25/34 | 122 | 121 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
5.350%, 11/25/34 | 125 | 108 | ||||||
CIT Education Loan Trust, | ||||||||
0.448%, 03/25/42 (A) (B) | 893 | 818 | ||||||
CNH Equipment Trust, | ||||||||
1.850%, 12/16/13 | 10 | 10 | ||||||
CNH Equipment Trust, | ||||||||
3.000%, 08/17/15 | 560 | 572 | ||||||
CNH Equipment Trust, | ||||||||
1.540%, 07/15/14 | 204 | 204 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.695%, 10/25/35 (A) | 732 | 702 | ||||||
EFS Volunteer, Ser 2010-1, Cl A2 | ||||||||
1.103%, 10/25/35 (A) (B) | 800 | 759 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/16 | 480 | 489 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GE Seaco Finance Srl, Ser 2005-1A, Cl A | ||||||||
0.480%, 11/17/20 (A) (B) | $ | 1,167 | $ | 1,100 | ||||
Goal Capital Funding Trust, | ||||||||
0.432%, 11/25/26 (A) | 984 | 928 | ||||||
JPMorgan Mortgage Acquisition, | ||||||||
0.295%, 10/25/36 (A) | 222 | 220 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 09/15/18 | 666 | 695 | ||||||
Mid-State Trust, | ||||||||
4.864%, 07/15/38 | 1,013 | 1,021 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.455%, 03/23/37 (A) | 249 | 226 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.393%, 11/23/22 (A) | 341 | 333 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.333%, 10/26/26 (A) | 561 | 556 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.382%, 05/27/25 (A) | 742 | 679 | ||||||
Nelnet Student Loan Trust, | ||||||||
1.962%, 11/25/24 (A) | 865 | 893 | ||||||
Newcastle Investment Trust, | ||||||||
2.450%, 12/10/33 (B) | 47 | 47 | ||||||
Northstar Education Finance, | ||||||||
0.313%, 01/29/46 (A) | 750 | 670 | ||||||
Park Place Securities, | ||||||||
0.935%, 12/25/34 (A) | 1,219 | 1,118 | ||||||
PennyMac Loan Trust, | ||||||||
4.250%, 05/25/50 (A) (B) | 22 | 22 | ||||||
PennyMac Loan Trust, | ||||||||
5.000%, 05/25/50 (A) (B) | 150 | 148 | ||||||
PG&E Energy Recovery Funding, | ||||||||
4.370%, 06/25/14 | 152 | 155 | ||||||
Real Estate Asset Trust, | ||||||||
5.440%, 06/25/31 (B) | 80 | 81 | ||||||
Residential Asset Mortgage Products, | ||||||||
4.030%, 01/25/33 (A) | 916 | 913 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Asset Mortgage Products, | ||||||||
0.575%, 10/25/35 (A) | $ | 150 | $ | 122 | ||||
Residential Credit Solutions Trust, | ||||||||
6.000%, 03/25/41 (B) | 179 | 179 | ||||||
RSB Bondco, Ser 2007-A, Cl A1 | ||||||||
5.470%, 10/01/14 | 54 | 55 | ||||||
RSB Bondco, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/19 | 405 | 484 | ||||||
SLC Student Loan Trust, | ||||||||
0.686%, 05/15/28 (A) | 659 | 633 | ||||||
SLM Student Loan Trust, | ||||||||
0.483%, 01/25/23 (A) | 980 | 964 | ||||||
SLM Student Loan Trust, | ||||||||
0.423%, 07/25/23 (A) | 288 | 279 | ||||||
SLM Student Loan Trust, | ||||||||
0.363%, 07/27/26 (A) | 737 | 715 | ||||||
SLM Student Loan Trust, | ||||||||
0.353%, 10/25/25 (A) | 153 | 149 | ||||||
SLM Student Loan Trust, | ||||||||
0.373%, 10/25/40 (A) | 875 | 743 | ||||||
SLM Student Loan Trust, | ||||||||
0.313%, 01/25/22 (A) | 202 | 201 | ||||||
SLM Student Loan Trust, | ||||||||
1.303%, 07/25/16 (A) | 265 | 268 | ||||||
SLM Student Loan Trust, | ||||||||
0.803%, 10/25/17 (A) | 130 | 130 | ||||||
SLM Student Loan Trust, | ||||||||
1.753%, 04/25/23 (A) | 486 | 499 | ||||||
SMS Student Loan Trust, | ||||||||
0.443%, 10/28/28 (A) | 356 | 355 | ||||||
Soundview Home Equity Loan Trust, | ||||||||
0.535%, 11/25/35 (A) | 1,076 | 982 | ||||||
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9 | ||||||||
0.505%, 06/25/35 (A) | 100 | 92 | ||||||
Structured Asset Securities, | ||||||||
0.285%, 12/25/36 (A) | 667 | 648 | ||||||
Structured Asset Securities, | ||||||||
0.315%, 01/25/37 (A) | 886 | 869 |
124 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, | ||||||||
0.355%, 10/25/36 (A) (B) | $ | 110 | $ | 110 | ||||
Structured Asset Securities, | ||||||||
0.385%, 07/25/36 (A) | 1,667 | 1,427 | ||||||
Structured Asset Securities, | ||||||||
0.325%, 03/25/37 (A) | 537 | 519 | ||||||
TAL Advantage, Ser 2006-1A | ||||||||
0.421%, 04/20/21 (A) (B) | 229 | 209 | ||||||
TAL Advantage, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/25 (B) | 504 | 478 | ||||||
TAL Advantage, Ser 2011-1A, Cl A | ||||||||
4.600%, 01/20/26 (B) | 233 | 233 | ||||||
Textainer Marine Containers, | ||||||||
4.700%, 06/15/26 (B) | 658 | 662 | ||||||
Trinity Rail Leasing, | ||||||||
5.270%, 08/14/27 (B) | 328 | 347 | ||||||
Trip Rail Master Funding, | ||||||||
4.370%, 07/15/41 (B) | 848 | 852 | ||||||
|
| |||||||
30,799 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 62,210 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.9% |
| |||||||
FICO STRIPS | ||||||||
9.800%, 11/30/17 | 875 | 1,289 | ||||||
9.700%, 04/05/19 | 320 | 490 | ||||||
8.600%, 09/26/19 | 845 | 1,251 | ||||||
3.713%, 10/06/17 to 09/26/19 (D) | 2,135 | 1,849 | ||||||
3.230%, 12/06/17 (D) | 660 | 593 | ||||||
2.858%, 05/02/16 (D) | 515 | 485 | ||||||
1.869%, 02/08/13 (D) | 815 | 808 | ||||||
FNMA | ||||||||
5.375%, 06/12/17 | 50 | 61 | ||||||
3.477%, 06/01/17 (D) | 600 | 545 | ||||||
Resolution Funding STRIPS | ||||||||
3.315%, 01/15/16 (D) | 1,000 | 953 | ||||||
3.534%, 07/15/20 (D) | 400 | 331 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/39 | 40 | 51 | ||||||
4.625%, 09/15/60 | 60 | 73 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 8,779 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.8% |
| |||||||
American Municipal Power, RB | ||||||||
7.499%, 02/15/50 | 80 | 104 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bay Area Toll Authority, RB | ||||||||
6.263%, 04/01/49 | $ | 1,330 | $ | 1,731 | ||||
County of Clark, Ser C, RB | ||||||||
6.820%, 07/01/45 | 240 | 297 | ||||||
Los Angeles Community College District, GO | ||||||||
6.750%, 08/01/49 | 260 | 349 | ||||||
Los Angeles Department of Water & Power, RB | ||||||||
6.574%, 07/01/45 | 170 | 221 | ||||||
New Jersey State Turnpike Authority, RB | ||||||||
7.102%, 01/01/41 | 335 | 449 | ||||||
North Texas Tollway Authority, RB | ||||||||
6.718%, 01/01/49 | 318 | 403 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
5.647%, 11/01/40 | 105 | 122 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/40 | 335 | 414 | ||||||
7.300%, 10/01/39 | 820 | 975 | ||||||
6.650%, 03/01/22 | 175 | 203 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/19 | 220 | 235 | ||||||
5.665%, 03/01/18 | 1,300 | 1,399 | ||||||
5.365%, 03/01/17 | 220 | 235 | ||||||
5.100%, 06/01/33 | 810 | 731 | ||||||
|
| |||||||
Total Municipal Bonds |
| 7,868 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.5% |
| |||||||
Chile Government International Bond | ||||||||
3.250%, 09/14/21 | 360 | 351 | ||||||
Hungary Government International Bond | ||||||||
7.625%, 03/29/41 | 72 | 70 | ||||||
Israel Government AID Bond | ||||||||
2.400%, 11/15/19 (D) | 500 | 421 | ||||||
2.311%, 03/15/19 (D) | 1,000 | 862 | ||||||
2.110%, 08/15/17 (D) | 1,000 | 909 | ||||||
Mexico Government International Bond | ||||||||
6.375%, 01/16/13 (C) | 200 | 212 | ||||||
5.750%, 10/12/10 | 462 | 455 | ||||||
5.125%, 01/15/20 (C) | 280 | 303 | ||||||
Province of Manitoba Canada | ||||||||
2.125%, 04/22/13 | 46 | 47 | ||||||
Province of Ontario Canada | ||||||||
2.950%, 02/05/15 | 240 | 254 | ||||||
Province of Quebec Canada | ||||||||
6.350%, 01/30/26 | 70 | 92 | ||||||
2.750%, 08/25/21 | 415 | 411 | ||||||
Qatar Government International Bond | ||||||||
4.000%, 01/20/15 (B) | 645 | 679 | ||||||
|
| |||||||
Total Sovereign Debt |
| 5,066 | ||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 125 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Concluded)
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 7.4% |
| |||||||
SEI Liquidity Fund, L.P. | 72,080,790 | $ | 72,081 | |||||
|
| |||||||
Total Affiliated Partnership |
| 72,081 | ||||||
|
| |||||||
CASH EQUIVALENT — 8.4% |
| |||||||
SEI Daily Income Trust, Prime | ||||||||
Obligation Fund, Cl A | 81,688,568 | 81,689 | ||||||
|
| |||||||
Total Cash Equivalent |
| 81,689 | ||||||
|
| |||||||
Total Investments — 116.1% |
| $ | 1,128,831 | |||||
|
|
Description | Contracts | Market Value ($ Thousands) | ||||||
WRITTEN OPTION* — 0.0% | ||||||||
November 2020 U.S. CPI Urban Consumers NSA Call, Expires 11/23/20, Strike Inflation 0.00% | (1,490,000 | ) | $ | (10 | ) | |||
|
| |||||||
Total Written Option |
| (10 | ) | |||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (18 | ) | Dec-2011 | $ | (9 | ) | ||||||
U.S. 2-Year Treasury Note | (20 | ) | Jan-2012 | 5 | ||||||||
U.S. 5-Year Treasury Note | (80 | ) | Dec-2011 | 25 | ||||||||
U.S. Long Treasury Bond | (69 | ) | Dec-2011 | (255 | ) | |||||||
U.S. Ultra Long Treasury Bond | (31 | ) | Jan-2012 | (16 | ) | |||||||
|
| |||||||||||
$ | (250 | ) | ||||||||||
|
|
For the year ended September 30, 2011, 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, 2011, 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) | ||||||||||||||
Barclays Capital | France 4.25 04/19 | SELL | 0.25 | % | 09/20/16 | $ | (2,300 | ) | $ | (39 | ) | |||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 100 | (15 | ) | ||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 1,050 | (18 | ) | ||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 1,050 | 9 | |||||||||||||
|
| |||||||||||||||||||
$ | (63 | ) | ||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($ Thousands) | |||||||||
Morgan Stanley | 3.93% | 3-month LIBOR | 05/15/41 | 1,260 | $ | (331 | ) | |||||||
|
|
126 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Percentages are based on a Net Assets of $972,449 ($ Thousands)
* | Non-Income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | 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 effects as of September 30, 2011. The date reported on the Schedule of Investments is the final maturity 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) | This security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total value of securities on loan at September 30, 2011 was $70,168 ($ Thousands). |
(D) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(E) | 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, 2011 was $72,081 ($ Thousands). |
(F) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
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
LLC — Limited Liability Company
L.P. — Limited Partnership
Ltd. — Limited
MTN — Medium Term Note
NCUA — National Credit Union Administration
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
Amounts designated as “—” are $O or have been rounded to $O
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 497,533 | $ | — | $ | 497,533 | ||||||||
Corporate Obligations | — | 208,517 | — | 208,517 | ||||||||||||
U.S. Treasury Obligations | — | 185,088 | — | 185,088 | ||||||||||||
Asset-Backed Securities | — | 62,210 | — | 62,210 | ||||||||||||
U.S. Government Agency Obligations | — | 8,779 | — | 8,779 | ||||||||||||
Municipal Bonds | — | 7,868 | — | 7,868 | ||||||||||||
Sovereign Debt | — | 5,066 | — | 5,066 | ||||||||||||
Affiliated Partnership | — | 72,081 | — | 72,081 | ||||||||||||
Cash Equivalent | 81,689 | — | — | 81,689 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 81,689 | $ | 1,047,142 | $ | — | $ | 1,128,831 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (250 | ) | $ | — | $ | — | $ | (250 | ) | ||||||
Written Option | — | (10 | ) | — | (10 | ) | ||||||||||
Credit Default Swaps | — | (63 | ) | — | (63 | ) | ||||||||||
Interest Rate Swaps | — | (331 | ) | — | (331 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (250 | ) | $ | (404 | ) | $ | — | $ | (654 | ) | |||||
|
|
|
|
|
|
|
|
During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, 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, 2011 | 127 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 79.3% |
| |||||||
Consumer Discretionary — 21.6% |
| |||||||
Academy | ||||||||
9.250%, 08/01/19 (A) | $ | 1,295 | $ | 1,204 | ||||
Adelphia Communications | ||||||||
10.250%, 06/15/11 (B) | 150 | — | ||||||
0.000%, 01/15/09 (B) | 225 | — | ||||||
Adelphia Communications | ||||||||
0.000%, 02/15/04 (B) | 25 | — | ||||||
Affinion Group | ||||||||
11.500%, 10/15/15 | 2,100 | 1,638 | ||||||
7.875%, 12/15/18 | 1,455 | 1,120 | ||||||
Allison Transmission | ||||||||
7.125%, 05/15/19 (A) | 2,631 | 2,381 | ||||||
AMC Entertainment | ||||||||
9.750%, 12/01/20 | 2,645 | 2,394 | ||||||
8.750%, 06/01/19 | 190 | 187 | ||||||
AMC Networks | ||||||||
7.750%, 07/15/21 (A) | 2,265 | 2,322 | ||||||
American Achievement | ||||||||
10.875%, 04/15/16 (A) | 3,180 | 2,417 | ||||||
American Axle & Manufacturing Holdings | ||||||||
9.250%, 01/15/17 (A) | 90 | 94 | ||||||
American Media | ||||||||
11.500%, 12/15/17 (A) | 550 | 498 | ||||||
American Standard Americas | ||||||||
10.750%, 01/15/16 (A) | 1,850 | 1,406 | ||||||
Ameristar Casinos | ||||||||
7.500%, 04/15/21 (A) | 225 | 218 | ||||||
Armored Autogroup | ||||||||
9.250%, 11/01/18 (A) | 1,235 | 991 | ||||||
Ashtead Capital | ||||||||
9.000%, 08/15/16 (A) | 250 | 247 | ||||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/49 (B) (I) (J) (K) | 2,750 | 65 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Avis Budget Car Rental | ||||||||
9.625%, 03/15/18 | $ | 435 | $ | 431 | ||||
8.250%, 01/15/19 | 805 | 737 | ||||||
7.750%, 05/15/16 | 605 | 584 | ||||||
Beazer Homes USA | ||||||||
9.125%, 06/15/18 | 450 | 277 | ||||||
9.125%, 05/15/19 | 1,250 | 794 | ||||||
Belo | ||||||||
8.000%, 11/15/16 | 2,080 | 2,194 | ||||||
7.750%, 06/01/27 | 1,675 | 1,424 | ||||||
Bon-Ton Department Stores | ||||||||
10.250%, 03/15/14 | 790 | 632 | ||||||
Brands | ||||||||
6.625%, 04/01/21 | 320 | 322 | ||||||
Brown Shoe | ||||||||
7.125%, 05/15/19 | 975 | 824 | ||||||
Buffalo Thunder Development Authority | ||||||||
9.375%, 12/15/14 (A) (B) | 2,175 | 788 | ||||||
Burlington Coat Factory Warehouse | ||||||||
10.000%, 02/15/19 (A) | 6,400 | 5,440 | ||||||
Cablevision Systems | ||||||||
8.000%, 04/15/20 | 852 | 867 | ||||||
7.750%, 04/15/18 | 792 | 800 | ||||||
CCO Holdings | ||||||||
8.125%, 04/30/20 | 1,308 | 1,360 | ||||||
7.875%, 04/30/18 | 1,900 | 1,933 | ||||||
7.250%, 10/30/17 | 555 | 555 | ||||||
7.000%, 01/15/19 | 2,860 | 2,774 | ||||||
7.000%, 01/15/19 (A) | 1,660 | 1,606 | ||||||
Cedar Fair | ||||||||
9.125%, 08/01/18 | 1,135 | 1,172 | ||||||
Cengage Learning Holdco PIK | ||||||||
13.750%, 07/15/15 (A) | 3,527 | 2,010 | ||||||
Cequel Communications Holdings I and Cequel Capital | ||||||||
8.625%, 11/15/17 (A) | 3,648 | 3,612 | ||||||
Choctaw Resort Development Enterprise | ||||||||
7.250%, 11/15/19 (A) | 963 | 580 | ||||||
Chrysler Group | ||||||||
8.250%, 06/15/21 (A) | 1,865 | 1,436 | ||||||
8.000%, 06/15/19 (A) | 1,070 | 835 | ||||||
Chukchansi Economic Development Authority | ||||||||
3.917%, 11/15/12 (A) (C) | 1,945 | 1,318 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/21 | 390 | 369 | ||||||
CityCenter Holdings | ||||||||
7.625%, 01/15/16 (A) | 960 | 902 | ||||||
CKE Restaurants | ||||||||
11.375%, 07/15/18 | 4,830 | 5,023 | ||||||
Claire’s Stores | ||||||||
8.875%, 03/15/19 | 710 | 511 | ||||||
Clear Channel Communications | ||||||||
9.000%, 03/01/21 | 2,230 | 1,656 |
128 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Clear Channel Worldwide Holdings | ||||||||
9.250%, 12/15/17 | $ | 2,460 | $ | 2,515 | ||||
Columbus International | ||||||||
11.500%, 11/20/14 (A) | 1,295 | 1,269 | ||||||
Community Health Systems | ||||||||
8.875%, 07/15/15 | 1,965 | 1,931 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/19 | 2,200 | 2,415 | ||||||
Dana Holding | ||||||||
6.750%, 02/15/21 | 1,823 | 1,732 | ||||||
6.500%, 02/15/19 | 1,718 | 1,632 | ||||||
Dave & Buster’s | ||||||||
11.000%, 06/01/18 | 1,270 | 1,260 | ||||||
Dave & Buster’s Parent | ||||||||
12.042%, 02/15/16 (A) (D) | 6,445 | 3,577 | ||||||
DCP | ||||||||
10.750%, 08/15/15 (A) | 2,220 | 1,845 | ||||||
Delphi | ||||||||
5.875%, 05/15/19 (A) | 1,759 | 1,635 | ||||||
Dex One PIK | ||||||||
12.000%, 01/29/17 | 964 | 202 | ||||||
Diamond Resorts | ||||||||
12.000%, 08/15/18 | 3,000 | 2,813 | ||||||
DineEquity | ||||||||
9.500%, 10/30/18 | 5,255 | 5,216 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/19 | 2,695 | 2,749 | ||||||
Dollar General PIK | ||||||||
11.875%, 07/15/17 | 1,505 | 1,663 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/16 | 1,360 | 1,421 | ||||||
Echostar DBS | ||||||||
7.125%, 02/01/16 | 2,095 | 2,121 | ||||||
Eldorado Resorts | ||||||||
8.625%, 06/15/19 (A) | 3,820 | 3,257 | ||||||
Empire Today | ||||||||
11.375%, 02/01/17 (A) | 600 | 549 | ||||||
Entravision Communications | ||||||||
8.750%, 08/01/17 | 1,595 | 1,495 | ||||||
Equinox Holdings | ||||||||
9.500%, 02/01/16 (A) | 940 | 940 | ||||||
Exide Technologies | ||||||||
8.625%, 02/01/18 | 1,300 | 1,209 | ||||||
Ferrellgas | ||||||||
9.125%, 10/01/17 | 2,100 | 2,121 | ||||||
6.500%, 05/01/21 | 1,875 | 1,594 | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
11.000%, 06/15/15 (A) (B) | 3,125 | 4 | ||||||
Ford Motor | ||||||||
7.450%, 07/16/31 | 1,165 | 1,315 | ||||||
Goodyear Tire & Rubber | ||||||||
10.500%, 05/15/16 | 141 | 153 | ||||||
8.750%, 08/15/20 | 380 | 391 | ||||||
8.250%, 08/15/20 | 905 | 921 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/15 | $ | 1,740 | $ | 1,757 | ||||
13.000%, 07/01/15 | 2,740 | 2,767 | ||||||
GWR Operating Partnership LLP | ||||||||
10.875%, 04/01/17 | 760 | 783 | ||||||
Gymboree | ||||||||
9.125%, 12/01/18 | 1,025 | 758 | ||||||
Hanesbrands | ||||||||
8.000%, 12/15/16 | 1,445 | 1,528 | ||||||
6.375%, 12/15/20 | 1,085 | 1,052 | ||||||
Harrah’s Operating | ||||||||
11.250%, 06/01/17 | 5,135 | 5,180 | ||||||
10.000%, 12/15/18 | 4,408 | 2,623 | ||||||
Hertz | ||||||||
7.500%, 10/15/18 | 1,470 | 1,404 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/18 | 710 | 703 | ||||||
10.875%, 06/01/18 (A) | 140 | 139 | ||||||
Houghton Mifflin Harcourt Publishers | ||||||||
10.500%, 06/01/19 (A) | 1,500 | 1,065 | ||||||
Icon Health & Fitness | ||||||||
11.875%, 10/15/16 (A) | 615 | 560 | ||||||
Inergy | ||||||||
8.750%, 03/01/15 | 551 | 562 | ||||||
7.000%, 10/01/18 | 1,440 | 1,354 | ||||||
6.875%, 08/01/21 | 225 | 205 | ||||||
International Automotive Components Group SL | ||||||||
9.125%, 06/01/18 (A) | 875 | 818 | ||||||
inVentiv Health | ||||||||
10.000%, 08/15/18 (A) | 955 | 840 | ||||||
10.000%, 08/15/18 (A) | 1,100 | 968 | ||||||
J. Crew Group | ||||||||
8.125%, 03/01/19 | 905 | 758 | ||||||
Jaguar Land Rover | ||||||||
8.125%, 05/15/21 (A) | 1,305 | 1,148 | ||||||
Jarden | ||||||||
7.500%, 05/01/17 | 1,550 | 1,581 | ||||||
JC Penney | ||||||||
5.750%, 02/15/18 | 110 | 107 | ||||||
Kabel BW Erste Beteiligungs GmbH | ||||||||
7.500%, 03/15/19 (A) | 2,325 | 2,261 | ||||||
Knowledge Learning | ||||||||
7.750%, 02/01/15 (A) | 1,000 | 950 | ||||||
Lamar Media | ||||||||
7.875%, 04/15/18 | 542 | 542 | ||||||
Laureate Education | ||||||||
11.750%, 08/15/17 (A) | 1,100 | 1,127 | ||||||
10.000%, 08/15/15 (A) | 525 | 515 | ||||||
Lear | ||||||||
7.875%, 03/15/18 | 370 | 381 | ||||||
Levi Strauss | ||||||||
7.625%, 05/15/20 | 845 | 786 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 129 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Libbey Glass | ||||||||
10.000%, 02/15/15 | $ | 523 | $ | 548 | ||||
Liberty Media LLC | ||||||||
8.250%, 02/01/30 | 1,970 | 1,867 | ||||||
Lions Gate Entertainment | ||||||||
10.250%, 11/01/16 (A) | 2,290 | 2,198 | ||||||
Liz Claiborne | ||||||||
10.500%, 04/15/19 (A) | 1,550 | 1,550 | ||||||
M/I Homes | ||||||||
5.625%, 11/15/18 | 1,820 | 1,638 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/18 | 1,770 | 1,478 | ||||||
9.500%, 10/15/15 | 305 | 275 | ||||||
McClatchy | ||||||||
11.500%, 02/15/17 | 2,845 | 2,468 | ||||||
MDC Partners | ||||||||
11.000%, 11/01/16 | 3,280 | 3,542 | ||||||
11.000%, 11/01/16 (A) | 1,540 | 1,648 | ||||||
MediMedia USA | ||||||||
11.375%, 11/15/14 (A) | 2,100 | 1,848 | ||||||
MGM Mirage | ||||||||
7.500%, 06/01/16 | 1,005 | 872 | ||||||
6.875%, 04/01/16 | 1,360 | 1,156 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/18 | 4,140 | 4,140 | ||||||
11.125%, 11/15/17 | 1,625 | 1,783 | ||||||
9.000%, 03/15/20 | 3,840 | 3,989 | ||||||
Michaels Stores | ||||||||
11.910%, 11/01/11 (E) | 365 | 376 | ||||||
7.750%, 11/01/18 | 955 | 893 | ||||||
Midwest Gaming Borrower | ||||||||
11.625%, 04/15/16 (A) | 675 | 695 | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/26 (B) | 175 | — | ||||||
MTR Gaming Group | ||||||||
11.500%, 08/01/19 (A) | 5,000 | 4,012 | ||||||
Needle Merger Sub | ||||||||
8.125%, 03/15/19 (A) | 570 | 496 | ||||||
Nexstar Broadcasting | ||||||||
8.875%, 04/15/17 | 1,875 | 1,852 | ||||||
Nielsen Finance | ||||||||
7.750%, 10/15/18 | 3,680 | 3,754 | ||||||
Norcraft | ||||||||
10.500%, 12/15/15 | 1,430 | 1,305 | ||||||
Ono Finance II | ||||||||
10.875%, 07/15/19 (A) | 2,152 | 1,506 | ||||||
OSI Restaurant Partners | ||||||||
10.000%, 06/15/15 | 1,165 | 1,162 | ||||||
Peninsula Gaming | ||||||||
10.750%, 08/15/17 | 1,600 | 1,544 | ||||||
8.375%, 08/15/15 | 2,100 | 2,090 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/18 (A) | 950 | 950 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Phillips-Van Heusen | ||||||||
7.375%, 05/15/20 | $ | 2,890 | $ | 3,013 | ||||
Quebecor Media | ||||||||
7.750%, 03/15/16 | 1,210 | 1,207 | ||||||
7.750%, 03/15/16 | 210 | 210 | ||||||
Quebecor Media (Escrow Security) | ||||||||
0.000%, 11/15/13 (B) (F) | 1,725 | 35 | ||||||
0.000%, 03/15/16 (B) | 1,915 | 38 | ||||||
Quiksilver | ||||||||
6.875%, 04/15/15 | 1,610 | 1,433 | ||||||
QVC | ||||||||
7.500%, 10/01/19 (A) | 2,755 | 2,934 | ||||||
7.375%, 10/15/20 (A) | 415 | 442 | ||||||
Reynolds Group Issuer | ||||||||
9.875%, 08/15/19 (A) | 1,990 | 1,751 | ||||||
9.000%, 04/15/19 (A) | 4,080 | 3,468 | ||||||
8.500%, 10/15/16 (A) | 2,100 | 2,105 | ||||||
8.500%, 05/15/18 (A) | 1,185 | 1,001 | ||||||
8.250%, 02/15/21 (A) | 2,153 | 1,701 | ||||||
6.875%, 02/15/21 (A) | 250 | 225 | ||||||
River Rock Entertainment Authority | ||||||||
9.750%, 11/01/11 | 4,515 | 3,307 | ||||||
RJ Tower | ||||||||
12.000%, 06/01/13 (B) | 172 | 1 | ||||||
RSC Equipment Rental | ||||||||
10.250%, 11/15/19 | 100 | 98 | ||||||
10.000%, 07/15/17 (A) | 1,750 | 1,838 | ||||||
8.250%, 02/01/21 | 3,449 | 2,983 | ||||||
Salem Communications | ||||||||
9.625%, 12/15/16 | 888 | 888 | ||||||
San Pasqual Casino | ||||||||
8.000%, 09/15/13 (A) | 1,670 | 1,632 | ||||||
Sbarro | ||||||||
10.375%, 02/01/15 (B) | 674 | 57 | ||||||
Sealy Mattress | ||||||||
8.250%, 06/15/14 | 2,776 | 2,616 | ||||||
Seneca Gaming | ||||||||
8.250%, 12/01/18 (A) | 3,905 | 3,759 | ||||||
Service International | ||||||||
7.625%, 10/01/18 | 375 | 397 | ||||||
7.000%, 06/15/17 | 310 | 321 | ||||||
7.000%, 05/15/19 | 550 | 555 | ||||||
Seven Seas Cruises S de RL | ||||||||
9.125%, 05/15/19 (A) | 1,265 | 1,252 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.375%, 06/15/15 (A) | 300 | 175 | ||||||
Simmons Bedding | ||||||||
11.250%, 07/15/15 (A) | 1,325 | 1,366 | ||||||
Sinclair Television Group | ||||||||
9.250%, 11/01/17 (A) | 1,520 | 1,596 | ||||||
8.375%, 10/15/18 | 1,575 | 1,551 | ||||||
Sirius XM Radio | ||||||||
9.750%, 09/01/15 (A) | 1,425 | 1,543 | ||||||
8.750%, 04/01/15 (A) | 1,300 | 1,407 |
130 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Stanadyne Holdings | ||||||||
13.080%, 02/15/15 (E) | $ | 1,575 | $ | 1,504 | ||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/14 | 750 | 705 | ||||||
Standard Pacific | ||||||||
10.750%, 09/15/16 | 955 | 936 | ||||||
Steinway Musical Instruments | ||||||||
7.000%, 03/01/14 (A) | 347 | 347 | ||||||
Stoneridge | ||||||||
9.500%, 10/15/17 (A) | 930 | 949 | ||||||
Tenneco | ||||||||
6.875%, 12/15/20 | 480 | 466 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/16 | 495 | 196 | ||||||
4.951%, 09/01/14 (C) | 601 | 349 | ||||||
UCI International | ||||||||
8.625%, 02/15/19 | 610 | 565 | ||||||
United Rentals North America | ||||||||
10.875%, 06/15/16 | 2,600 | 2,808 | ||||||
9.250%, 12/15/19 | 770 | 799 | ||||||
8.375%, 09/15/20 | 2,822 | 2,589 | ||||||
Univision Communications | ||||||||
8.500%, 05/15/21 (A) | 2,800 | 2,184 | ||||||
7.875%, 11/01/20 (A) | 1,700 | 1,594 | ||||||
UPC Holding | ||||||||
9.875%, 04/15/18 (A) | 4,060 | 4,060 | ||||||
Vail Resorts | ||||||||
6.500%, 05/01/19 (A) | 1,000 | 985 | ||||||
Videotron | ||||||||
9.125%, 04/15/18 | 800 | 872 | ||||||
Visant | ||||||||
10.000%, 10/01/17 | 1,380 | 1,276 | ||||||
Visteon | ||||||||
6.750%, 04/15/19 (A) | 520 | 468 | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/18 (A) | 1,905 | 1,753 | ||||||
9.500%, 06/15/16 | 1,595 | 1,615 | ||||||
Wynn Las Vegas | ||||||||
7.750%, 08/15/20 | 1,100 | 1,155 | ||||||
XM Satellite Radio | ||||||||
13.000%, 08/01/13 (A) | 3,680 | 4,122 | ||||||
7.625%, 11/01/18 (A) | 4,555 | 4,601 | ||||||
YCC Holdings | ||||||||
10.250%, 02/15/16 | 3,340 | 2,839 | ||||||
|
| |||||||
284,392 | ||||||||
|
| |||||||
Consumer Staples — 3.5% | ||||||||
American Rock Salt | ||||||||
8.250%, 05/01/18 (A) | 2,150 | 1,881 | ||||||
B&G Foods | ||||||||
7.625%, 01/15/18 | 310 | 320 | ||||||
Beverages & More | ||||||||
9.625%, 10/01/14 (A) | 3,000 | 2,978 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BI-LO | ||||||||
9.250%, 02/15/19 (A) | $ | 2,550 | $ | 2,473 | ||||
Bumble Bee Acquisition | ||||||||
9.000%, 12/15/17 (A) | 2,645 | 2,486 | ||||||
Bumble Bee Holdco SCA PIK | ||||||||
9.625%, 03/15/18 (A) | 1,750 | 1,404 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/18 | 300 | 286 | ||||||
Constellation Brands | ||||||||
7.250%, 05/15/17 | 1,000 | 1,050 | ||||||
Cott Beverages | ||||||||
8.375%, 11/15/17 | 1,700 | 1,734 | ||||||
8.125%, 09/01/18 | 950 | 969 | ||||||
Dean Foods | ||||||||
7.000%, 06/01/16 | 820 | 773 | ||||||
Del Monte Foods | ||||||||
7.625%, 02/15/19 (A) | 3,535 | 2,987 | ||||||
Diversey | ||||||||
8.250%, 11/15/19 | 1,075 | 1,282 | ||||||
Dole Food | ||||||||
8.000%, 10/01/16 (A) | 205 | 210 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/21 | 200 | 200 | ||||||
Fleming | ||||||||
10.125%, 04/01/08 (B) | 1,053 | — | ||||||
Michael Foods | ||||||||
9.750%, 07/15/18 | 830 | 857 | ||||||
NBTY | ||||||||
9.000%, 10/01/18 | 1,980 | 2,027 | ||||||
Pantry | ||||||||
7.750%, 02/15/14 | 2,000 | 1,960 | ||||||
Rite Aid | ||||||||
10.250%, 10/15/19 | 150 | 156 | ||||||
9.750%, 06/12/16 | 475 | 501 | ||||||
9.500%, 06/15/17 | 3,640 | 2,876 | ||||||
8.000%, 08/15/20 | 9,485 | 9,888 | ||||||
7.500%, 03/01/17 | 475 | 454 | ||||||
Spectrum Brands Holdings | ||||||||
9.500%, 06/15/18 | 520 | 554 | ||||||
Spectrum Brands Holdings PIK | ||||||||
12.000%, 08/28/19 | 1,787 | 1,935 | ||||||
SuperValu | ||||||||
8.000%, 05/01/16 | 1,095 | 1,035 | ||||||
US Foodservice | ||||||||
8.500%, 06/30/19 (A) | 1,500 | 1,354 | ||||||
Viskase | ||||||||
9.875%, 01/15/18 (A) | 1,150 | 1,162 | ||||||
|
| |||||||
45,792 | ||||||||
|
| |||||||
Energy — 6.8% | ||||||||
American Petroleum Tankers Parent | ||||||||
10.250%, 05/01/15 | 878 | 867 | ||||||
Antero Resources Finance | ||||||||
9.375%, 12/01/17 | 1,115 | 1,160 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 131 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aquilex Holdings | ||||||||
11.125%, 12/15/16 | $ | 900 | $ | 396 | ||||
Arch Coal | ||||||||
8.750%, 08/01/16 | 975 | 1,033 | ||||||
7.250%, 06/15/21 (A) | 275 | 265 | ||||||
7.000%, 06/15/19 (A) | 450 | 427 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/19 | 800 | �� | 786 | |||||
Bluewater Holding BV | ||||||||
3.250%, 07/17/14 (A) (C) | 500 | 370 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/20 | 1,020 | 1,000 | ||||||
Brigham Exploration | ||||||||
8.750%, 10/01/18 | 790 | 845 | ||||||
6.875%, 06/01/19 | 200 | 195 | ||||||
Bristow Group | ||||||||
7.500%, 09/15/17 | 1,680 | 1,730 | ||||||
Calumet Specialty Products Partners | ||||||||
9.375%, 05/01/19 (A) | 1,930 | 1,795 | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/21 | 1,880 | 1,716 | ||||||
Chesapeake Energy | ||||||||
6.875%, 08/15/18 | 2,400 | 2,472 | ||||||
6.875%, 11/15/20 | 44 | 46 | ||||||
6.625%, 08/15/20 | 1,089 | 1,122 | ||||||
Cloud Peak Energy Resources | ||||||||
8.250%, 12/15/17 | 675 | 700 | ||||||
Comstock Resources | ||||||||
7.750%, 04/01/19 | 3,940 | 3,684 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/20 | 1,450 | 1,526 | ||||||
8.000%, 04/01/17 | 1,550 | 1,620 | ||||||
Continental Resources | ||||||||
7.375%, 10/01/20 | 2,200 | 2,277 | ||||||
Copano Energy | ||||||||
7.750%, 06/01/18 | 3,560 | 3,640 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/19 (A) | 1,750 | 1,698 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/18 | 1,845 | 1,891 | ||||||
Dynegy Holdings | ||||||||
7.750%, 06/01/19 | 755 | 457 | ||||||
Eagle Rock Energy Partners L.P. | ||||||||
8.375%, 06/01/19 (A) | 5,735 | 5,506 | ||||||
El Paso | ||||||||
7.750%, 01/15/32 | 295 | 342 | ||||||
7.250%, 06/01/18 | 280 | 313 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 1,218 | 1,251 | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/19 (A) | 870 | 840 | ||||||
Forest Oil | ||||||||
8.500%, 02/15/14 | 75 | 79 | ||||||
8.000%, 12/15/11 | 585 | 585 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.250%, 06/15/19 | $ | 2,910 | $ | 2,866 | ||||
GMX Resources | ||||||||
11.375%, 02/15/19 (A) | 510 | 367 | ||||||
Helix Energy Solutions Group | ||||||||
9.500%, 01/15/16 (A) | 805 | 817 | ||||||
Hercules Offshore | ||||||||
10.500%, 10/15/17 (A) | 905 | 855 | ||||||
Hilcorp Energy I | ||||||||
8.000%, 02/15/20 (A) | 765 | 778 | ||||||
7.625%, 04/15/21 (A) | 505 | 508 | ||||||
James River Escrow | ||||||||
7.875%, 04/01/19 (A) | 1,920 | 1,613 | ||||||
Kinder Morgan Finance | ||||||||
6.000%, 01/15/18 (A) | 3,080 | 3,049 | ||||||
Laredo Petroleum | ||||||||
9.500%, 02/15/19 (A) | 1,255 | 1,318 | ||||||
Linn Energy | ||||||||
8.625%, 04/15/20 | 1,430 | 1,473 | ||||||
7.750%, 02/01/21 | 385 | 385 | ||||||
6.500%, 05/15/19 (A) | 25 | 23 | ||||||
MarkWest Energy Partners | ||||||||
8.750%, 04/15/18 | 1,005 | 1,070 | ||||||
MEG Energy | ||||||||
6.500%, 03/15/21 (A) | 616 | 590 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/16 (A) | 1,700 | 1,360 | ||||||
Murray Energy | ||||||||
10.250%, 10/15/15 (A) | 1,020 | 974 | ||||||
Newfield Exploration | ||||||||
7.125%, 05/15/18 | 3,040 | 3,146 | ||||||
6.875%, 02/01/20 | 850 | 876 | ||||||
NFR Energy | ||||||||
9.750%, 02/15/17 (A) | 1,070 | 942 | ||||||
9.750%, 02/15/17 (A) | 505 | 444 | ||||||
Oasis Petroleum | ||||||||
7.250%, 02/01/19 (A) | 1,060 | 1,028 | ||||||
Ocean Rig | ||||||||
9.500%, 04/27/16 | 2,300 | 2,001 | ||||||
Parker Drilling | ||||||||
9.125%, 04/01/18 | 1,815 | 1,833 | ||||||
Penn Virginia | ||||||||
10.375%, 06/15/16 | 400 | 419 | ||||||
Petroleum Development | ||||||||
12.000%, 02/15/18 | 2,000 | 2,140 | ||||||
Pioneer Drilling | ||||||||
9.875%, 03/15/18 | 515 | 538 | ||||||
Plains Exploration & Production | ||||||||
10.000%, 03/01/16 | 85 | 92 | ||||||
7.750%, 06/15/15 | 75 | 77 | ||||||
7.625%, 06/01/18 | 550 | 564 | ||||||
7.625%, 04/01/20 | 325 | 334 | ||||||
7.000%, 03/15/17 | 1,575 | 1,575 | ||||||
Precision Drilling | ||||||||
6.500%, 12/15/21 (A) | 255 | 251 |
132 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Quicksilver Resources | ||||||||
11.750%, 01/01/16 | $ | 1,000 | $ | 1,080 | ||||
7.125%, 04/01/16 | 1,204 | 1,060 | ||||||
Regency Energy Partners | ||||||||
6.875%, 12/01/18 | 2,460 | 2,534 | ||||||
SandRidge Energy | ||||||||
8.000%, 06/01/18 (A) | 290 | 273 | ||||||
7.500%, 03/15/21 (A) | 3,530 | 3,248 | ||||||
Targa Resources Partners | ||||||||
7.875%, 10/15/18 | 1,845 | 1,863 | ||||||
Tesoro | ||||||||
9.750%, 06/01/19 | 950 | 1,026 | ||||||
Thermon Industries | ||||||||
9.500%, 05/01/17 | 1,056 | 1,098 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/19 (A) | 550 | 547 | ||||||
Unit | ||||||||
6.625%, 05/15/21 | 300 | 298 | ||||||
Venoco | ||||||||
8.875%, 02/15/19 | 530 | 456 | ||||||
|
| |||||||
90,423 | ||||||||
|
| |||||||
Financials — 10.0% | ||||||||
Alliant Holdings I | ||||||||
11.000%, 05/01/15 (A) | 2,950 | 3,002 | ||||||
Ally Financial | ||||||||
8.000%, 11/01/31 | 2,610 | 2,290 | ||||||
6.250%, 12/01/17 | 3,335 | 2,905 | ||||||
American Capital | ||||||||
7.960%, 12/31/13 (A) | 285 | 281 | ||||||
American International Group | ||||||||
8.175%, 05/15/58 (C) | 1,480 | 1,306 | ||||||
BAC Capital Trust VI | ||||||||
5.625%, 03/08/35 | 2,075 | 1,486 | ||||||
Bank of America | ||||||||
8.000%, 12/29/49 (C) | 1,205 | 1,024 | ||||||
Bankrate | ||||||||
11.750%, 07/15/15 | 1,107 | 1,240 | ||||||
Cardtronics | ||||||||
8.250%, 09/01/18 | 1,750 | 1,820 | ||||||
Cemex Finance | ||||||||
9.500%, 12/14/16 (A) | 250 | 181 | ||||||
CEVA Group | ||||||||
11.625%, 10/01/16 (A) | 2,925 | 2,859 | ||||||
11.500%, 04/01/18 (A) | 2,500 | 2,300 | ||||||
CIT Group | ||||||||
7.000%, 05/01/15 | 1 | 1 | ||||||
7.000%, 05/04/15 (A) | 270 | 268 | ||||||
7.000%, 05/01/16 | 2,626 | 2,547 | ||||||
7.000%, 05/02/16 (A) | 451 | 437 | ||||||
7.000%, 05/01/17 | 2,007 | 1,947 | ||||||
7.000%, 05/02/17 (A) | 8,992 | 8,722 | ||||||
6.625%, 04/01/18 (A) | 570 | 567 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Capital XXI | ||||||||
8.300%, 12/21/57 (C) | $ | 870 | $ | 853 | ||||
City National Bank | ||||||||
9.000%, 08/12/19 | 3,384 | 4,011 | ||||||
CNO Financial Group | ||||||||
9.000%, 01/15/18 (A) | 1,450 | 1,501 | ||||||
Credit Acceptance | ||||||||
9.125%, 02/01/17 | 2,400 | 2,364 | ||||||
9.125%, 02/01/17 (A) | 1,300 | 1,277 | ||||||
E*Trade Financial PIK | ||||||||
12.500%, 11/30/17 | 1,036 | 1,168 | ||||||
Fifth Third Capital Trust IV | ||||||||
6.500%, 04/15/37 (C) | 1,520 | 1,444 | ||||||
FireKeepers Development Authority | ||||||||
13.875%, 05/01/15 (A) | 3,450 | 3,899 | ||||||
Ford Motor Credit | ||||||||
6.625%, 08/15/17 | 1,145 | 1,192 | ||||||
5.000%, 05/15/18 | 2,470 | 2,386 | ||||||
Ford Motor Credit LLC | ||||||||
12.000%, 05/15/15 | 380 | 456 | ||||||
8.000%, 12/15/16 | 800 | 873 | ||||||
Fresenius US Finance II | ||||||||
9.000%, 07/15/15 (A) | 300 | 331 | ||||||
Genworth Financial | ||||||||
6.150%, 11/15/66 (C) | 695 | 347 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (A) (C) | 1,435 | 861 | ||||||
Hellas Telecommunications II | ||||||||
6.881%, 01/15/15 (A) (B) (C) | 2,250 | — | ||||||
HUB International Holdings | ||||||||
9.000%, 12/15/14 (A) | 1,381 | 1,326 | ||||||
Icahn Enterprises | ||||||||
7.750%, 01/15/16 | 1,940 | 1,938 | ||||||
ILFC E-Capital Trust I | ||||||||
4.770%, 12/21/65 (A) (C) | 830 | 577 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (A) (C) | 2,315 | 1,713 | ||||||
ING Groep | ||||||||
5.775%, 12/29/49 (C) | 1,875 | 1,373 | ||||||
Interactive Data | ||||||||
10.250%, 08/01/18 | 1,000 | 1,057 | ||||||
International Lease Finance | ||||||||
8.250%, 12/15/20 | 400 | 392 | ||||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/20 (A) | 4,600 | 5,049 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/19 (A) | 2,250 | 2,098 | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/37 (A) (C) | 1,275 | 1,077 | ||||||
Lyondell Chemical | ||||||||
8.000%, 11/01/17 (A) | 973 | 1,048 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/03 (A) (B) | 4,200 | — |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 133 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MPT Operating Partnership‡ | ||||||||
6.875%, 05/01/21 (A) | $ | 4,005 | $ | 3,805 | ||||
National Life Insurance | ||||||||
10.500%, 09/15/39 (A) | 990 | 1,343 | ||||||
NCO Group | ||||||||
11.875%, 11/15/14 | 2,450 | 2,230 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/25 (A) | 3,000 | 2,910 | ||||||
Nuveen Investments | ||||||||
10.500%, 11/15/15 | 5,910 | 5,452 | ||||||
Offshore Group Investments | ||||||||
11.500%, 08/01/15 | 3,025 | 3,116 | ||||||
11.500%, 08/01/15 (A) | 115 | 118 | ||||||
Ohio Casualty | ||||||||
7.300%, 06/15/14 | 905 | 981 | ||||||
Omega Healthcare Investors‡ | ||||||||
7.500%, 02/15/20 | 3,495 | 3,530 | ||||||
6.750%, 10/15/22 | 840 | 801 | ||||||
PHH | ||||||||
9.250%, 03/01/16 | 980 | 1,007 | ||||||
Pinafore | ||||||||
9.000%, 10/01/18 (A) | 1,133 | 1,161 | ||||||
Pinnacle Foods Finance | ||||||||
10.625%, 04/01/17 | 995 | 997 | ||||||
8.250%, 09/01/17 | 600 | 585 | ||||||
PNC Preferred Funding Trust II | ||||||||
6.181%, 03/29/49 (A) (C) | 4,670 | 3,456 | ||||||
Regions Bank | ||||||||
7.500%, 05/15/18 | 750 | 742 | ||||||
Regions Financial | ||||||||
5.750%, 06/15/15 | 230 | 221 | ||||||
Regions Financing Trust II | ||||||||
6.625%, 05/15/47 (C) | 2,055 | 1,665 | ||||||
RESPARCS Funding I MTN | ||||||||
8.000%, 06/30/11 | 740 | 178 | ||||||
Sabra Health Care | ||||||||
8.125%, 11/01/18‡ | 4,300 | 3,999 | ||||||
Snoqualmie Entertainment Authority | ||||||||
9.125%, 02/01/15 (A) | 2,500 | 2,406 | ||||||
4.179%, 02/01/14 (A) (C) | 500 | 438 | ||||||
Spencer Spirit Holdings | ||||||||
11.000%, 05/01/17 (A) | 1,905 | 1,810 | ||||||
SunTrust Capital VIII | ||||||||
6.100%, 12/15/36 (C) | 1,185 | 1,173 | ||||||
Susquehanna Capital II | ||||||||
11.000%, 03/23/40 | 1,300 | 1,333 | ||||||
UPCB Finance III | ||||||||
6.625%, 07/01/20 (A) | 450 | 423 | ||||||
USB Realty | ||||||||
6.091%, 12/29/49 (A) (C) | 3,300 | 2,393 | ||||||
USI Holdings | ||||||||
9.750%, 05/15/15 (A) | 4,619 | 4,157 | ||||||
XL Capital | ||||||||
6.500%, 12/31/49 (C) | 1,600 | 1,256 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Yankee Acquisition, Ser B | ||||||||
9.750%, 02/15/17 | $ | 1,485 | $ | 1,370 | ||||
8.500%, 02/15/15 | 900 | 864 | ||||||
|
| |||||||
131,714 | ||||||||
|
| |||||||
Health Care — 8.5% | ||||||||
Accellent | ||||||||
10.000%, 11/01/17 | 1,580 | 1,347 | ||||||
8.375%, 02/01/17 | 575 | 548 | ||||||
Alere | ||||||||
9.000%, 05/15/16 | 4,850 | 4,632 | ||||||
American Renal Associates Holdings | ||||||||
9.750%, 03/01/16 | 2,479 | 2,411 | ||||||
American Renal Holdings | ||||||||
8.375%, 05/15/18 | 1,620 | 1,628 | ||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/14 | 500 | 460 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/18 (A) | 3,505 | 3,400 | ||||||
Aviv Healthcare Properties | ||||||||
7.750%, 02/15/19 | 1,220 | 1,150 | ||||||
Biomet | ||||||||
11.625%, 10/15/17 | 4,100 | 4,254 | ||||||
10.000%, 10/15/17 | 6,245 | 6,432 | ||||||
Biomet PIK | ||||||||
10.375%, 10/15/17 | 4,905 | 5,028 | ||||||
BioScrip | ||||||||
10.250%, 10/01/15 | 4,420 | 4,420 | ||||||
Catalent Pharma Solutions PIK | ||||||||
9.500%, 04/15/15 | 4,960 | 4,526 | ||||||
ConvaTec Healthcare E | ||||||||
10.500%, 12/15/18 (A) | 1,220 | 1,074 | ||||||
DaVita | ||||||||
6.625%, 11/01/20 | 256 | 246 | ||||||
DJO Finance | ||||||||
10.875%, 11/15/14 | 395 | 393 | ||||||
9.750%, 10/15/17 (A) | 6,581 | 5,495 | ||||||
7.750%, 04/15/18 (A) | 4,080 | 3,488 | ||||||
Elan Finance PLC | ||||||||
8.875%, 12/01/13 | 1,250 | 1,287 | ||||||
Endo Pharmaceuticals Holdings | ||||||||
7.250%, 01/15/22 (A) | 1,910 | 1,915 | ||||||
7.000%, 07/15/19 (A) | 3,790 | 3,804 | ||||||
Fresenius Medical Care US Finance | ||||||||
6.500%, 09/15/18 (A) | 1,515 | 1,538 | ||||||
GCB Oncology (Escrow Security) | ||||||||
0.000%, 08/15/17 | 1,525 | 11 | ||||||
Giant Funding | ||||||||
8.250%, 02/01/18 (A) | 1,200 | 1,200 | ||||||
HCA | ||||||||
9.875%, 02/15/17 | 105 | 113 | ||||||
7.500%, 02/15/22 | 3,090 | 2,851 | ||||||
6.500%, 02/15/20 | 455 | 445 |
134 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/21 (A) | $ | 2,585 | $ | 2,423 | ||||
Health Management Associates | ||||||||
6.125%, 04/15/16 | 1,040 | 1,022 | ||||||
Healthsouth | ||||||||
7.750%, 09/15/22 | 745 | 676 | ||||||
7.250%, 10/01/18 | 510 | 484 | ||||||
INC Research | ||||||||
11.500%, 07/15/19 (A) | 1,675 | 1,495 | ||||||
IVD Acquisition | ||||||||
11.125%, 08/15/19 (A) | 495 | 481 | ||||||
Kindred Healthcare | ||||||||
8.250%, 06/01/19 (A) | 3,890 | 2,971 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/17 | 2,145 | 1,952 | ||||||
MedAssets | ||||||||
8.000%, 11/15/18 (A) | 570 | 543 | ||||||
Multiplan | ||||||||
9.875%, 09/01/18 (A) | 1,230 | 1,218 | ||||||
Mylan | ||||||||
7.875%, 07/15/20 (A) | 1,630 | 1,703 | ||||||
7.625%, 07/15/17 (A) | 270 | 281 | ||||||
6.000%, 11/15/18 (A) | 1,215 | 1,182 | ||||||
OnCure Holdings | ||||||||
11.750%, 05/15/17 | 600 | 531 | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/17 | 2,100 | 1,790 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/18 | 975 | 902 | ||||||
Select Medical | ||||||||
7.625%, 02/01/15 | 2,980 | 2,581 | ||||||
STHI Holding | ||||||||
8.000%, 03/15/18 (A) | 3,360 | 3,242 | ||||||
Surgical Care Affiliates PIK | ||||||||
8.875%, 07/15/15 (A) | 1,254 | 1,204 | ||||||
Symbion PIK | ||||||||
11.000%, 08/23/15 | 1,366 | 1,342 | ||||||
Tenet Healthcare | ||||||||
8.875%, 07/01/19 | 215 | 227 | ||||||
8.000%, 08/01/20 | 1,150 | 1,044 | ||||||
United Surgical Partners International | ||||||||
8.875%, 05/01/17 | 325 | 325 | ||||||
United Surgical Partners International PIK | ||||||||
9.250%, 05/01/17 | 1,300 | 1,300 | ||||||
Universal Health Services | ||||||||
7.000%, 10/01/18 | 1,850 | 1,806 | ||||||
Valeant Pharmaceuticals International | ||||||||
7.250%, 07/15/22 (A) | 595 | 522 | ||||||
7.000%, 10/01/20 (A) | 8,012 | 7,091 | ||||||
6.875%, 12/01/18 (A) | 1,630 | 1,475 | ||||||
6.750%, 10/01/17 (A) | 787 | 725 | ||||||
VWR Funding PIK | ||||||||
10.250%, 07/15/15 | 5,111 | 5,060 | ||||||
|
| |||||||
111,694 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 10.8% | ||||||||
Accuride | ||||||||
9.500%, 08/01/18 | $ | 3,300 | $ | 3,036 | ||||
ACL I | ||||||||
10.625%, 02/15/16 (A) | 2,642 | 2,061 | ||||||
Actuant | ||||||||
6.875%, 06/15/17 | 2,000 | 2,040 | ||||||
Aircastle | ||||||||
9.750%, 08/01/18 | 645 | 664 | ||||||
Aleris International | ||||||||
10.000%, 12/15/16 (B) | 1,800 | — | ||||||
9.000%, 12/15/14 (B) | 725 | — | ||||||
Alion Science & Technology | ||||||||
10.250%, 02/01/15 | 1,000 | 610 | ||||||
Alion Science & Technology PIK | ||||||||
12.000%, 11/01/14 | 2,080 | 1,830 | ||||||
Alliant Techsystems | ||||||||
6.750%, 04/01/16 | 1,010 | 1,013 | ||||||
American Airlines 2011-2 Cl A Pass-Through Trust | ||||||||
8.625%, 10/15/21 | 800 | 796 | ||||||
American Axle & Manufacturing | ||||||||
7.875%, 03/01/17 | 2,505 | 2,355 | ||||||
American Tire Distributors | ||||||||
9.750%, 06/01/17 | 555 | 549 | ||||||
AMGH Merger Sub | ||||||||
9.250%, 11/01/18 (A) | 2,629 | 2,629 | ||||||
Amsted Industries | ||||||||
8.125%, 03/15/18 (A) | 775 | 802 | ||||||
ARAMARK Holdings PIK | ||||||||
8.625%, 05/01/16 (A) | 1,180 | 1,162 | ||||||
Associated Materials | ||||||||
9.125%, 11/01/17 | 2,210 | 1,790 | ||||||
Atkore International | ||||||||
9.875%, 01/01/18 (A) | 2,035 | 1,842 | ||||||
AWAS Aviation Capital | ||||||||
7.000%, 10/15/16 (A) | 900 | 882 | ||||||
Baker & Taylor | ||||||||
11.500%, 07/01/13 (A) | 1,150 | 868 | ||||||
BE Aerospace | ||||||||
6.875%, 10/01/20 | 840 | 876 | ||||||
Belden | ||||||||
9.250%, 06/15/19 | 680 | 734 | ||||||
Building Materials Corp of America | ||||||||
6.875%, 08/15/18 (A) | 1,585 | 1,537 | ||||||
6.750%, 05/01/21 (A) | 1,171 | 1,112 | ||||||
Case New Holland | ||||||||
7.875%, 12/01/17 | 735 | 783 | ||||||
Casella Waste Systems | ||||||||
11.000%, 07/15/14 | 170 | 180 | ||||||
7.750%, 02/15/19 (A) | 900 | 851 | ||||||
CDRT Merger Sub | ||||||||
8.125%, 06/01/19 (A) | 5,864 | 5,424 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 135 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CDW | ||||||||
12.535%, 10/12/17 | $ | 1,015 | $ | 969 | ||||
8.000%, 12/15/18 (A) | 700 | 686 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/20 (A) | 1,250 | 812 | ||||||
Clean Harbors | ||||||||
7.625%, 08/15/16 | 405 | 422 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/18 | 1,965 | 1,916 | ||||||
Columbus McKinnon | ||||||||
7.875%, 02/01/19 | 400 | 388 | ||||||
CPM Holdings | ||||||||
10.875%, 09/01/14 | 2,105 | 2,231 | ||||||
DAE Aviation Holdings | ||||||||
11.250%, 08/01/15 (A) | 1,065 | 1,076 | ||||||
Delta Air Lines | ||||||||
12.250%, 03/15/15 (A) | 1,950 | 2,072 | ||||||
Delta Air Lines 2011-1 Cl B Pass-Through Trust | ||||||||
7.125%, 10/15/14 | 1,800 | 1,775 | ||||||
Ducommun | ||||||||
9.750%, 07/15/18 (A) | 105 | 105 | ||||||
DynCorp International | ||||||||
10.375%, 07/01/17 | 4,510 | 3,935 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/20 | 300 | 308 | ||||||
Express | ||||||||
8.750%, 03/01/18 | 700 | 735 | ||||||
General Cable | ||||||||
7.125%, 04/01/17 | 840 | 840 | ||||||
Global Aviation Holdings | ||||||||
14.000%, 08/15/13 | 2,559 | 1,766 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/19 | 745 | 685 | ||||||
Griffon | ||||||||
7.125%, 04/01/18 | 1,660 | 1,465 | ||||||
Huntington Ingalls Industries | ||||||||
7.125%, 03/15/21 (A) | 500 | 464 | ||||||
Intcomex | ||||||||
13.250%, 12/15/14 | 4,780 | 4,649 | ||||||
Interface | ||||||||
7.625%, 12/01/18 | 810 | 810 | ||||||
Interline Brands | ||||||||
7.000%, 11/15/18 | 1,335 | 1,305 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/17 | 2,560 | 2,573 | ||||||
8.625%, 09/15/15 | 1,035 | 1,027 | ||||||
6.250%, 05/15/19 | 150 | 130 | ||||||
5.750%, 05/15/16 | 215 | 191 | ||||||
International Wire Group Holdings | ||||||||
9.750%, 04/15/15 (A) | 975 | 958 | ||||||
Iron Mountain | ||||||||
7.750%, 10/01/19 | 1,250 | 1,241 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kansas City Southern de Mexico | ||||||||
8.000%, 02/01/18 | $ | 750 | $ | 799 | ||||
6.125%, 06/15/21 | 500 | 495 | ||||||
Kratos Defense & Security Solutions | ||||||||
10.000%, 06/01/17 | 3,635 | 3,617 | ||||||
Liberty Tire Recycling | ||||||||
11.000%, 10/01/16 (A) | 2,500 | 2,550 | ||||||
Manitowoc | ||||||||
9.500%, 02/15/18 | 785 | 767 | ||||||
8.500%, 11/01/20 | 720 | 652 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/17 | 850 | 819 | ||||||
Masonite International | ||||||||
8.250%, 04/15/21 (A) | 1,160 | 1,047 | ||||||
Meritor | ||||||||
8.125%, 09/15/15 | 675 | 597 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/20 | 585 | 576 | ||||||
7.375%, 06/01/17 | 1,180 | 920 | ||||||
Neehah Foundry PIK | ||||||||
15.000%, 07/29/15 | 98 | 95 | ||||||
Niska Gas Storage US | ||||||||
8.875%, 03/15/18 | 1,085 | 1,074 | ||||||
Nortek | ||||||||
8.500%, 04/15/21 (A) | 1,240 | 998 | ||||||
Oshkosh | ||||||||
8.500%, 03/01/20 | 1,000 | 970 | ||||||
8.250%, 03/01/17 | 1,520 | 1,474 | ||||||
Ply Gem Industries | ||||||||
13.125%, 07/15/14 | 1,120 | 1,063 | ||||||
8.250%, 02/15/18 | 810 | 660 | ||||||
Polymer Group | ||||||||
7.750%, 02/01/19 (A) | 1,390 | 1,387 | ||||||
Polypore International | ||||||||
7.500%, 11/15/17 | 2,105 | 2,116 | ||||||
Quality Distribution | ||||||||
9.875%, 11/01/18 | 4,000 | 3,860 | ||||||
RBS Global | ||||||||
8.500%, 05/01/18 | 1,210 | 1,159 | ||||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/16 | 6,130 | 5,670 | ||||||
7.500%, 11/30/16 (A) | 1,540 | 1,363 | ||||||
Seminole Indian Tribe of Florida | ||||||||
7.750%, 10/01/17 (A) | 680 | 683 | ||||||
Sequa | ||||||||
13.500%, 12/01/15 (A) | 500 | 530 | ||||||
11.750%, 12/01/15 (A) | 3,400 | 3,570 | ||||||
ServiceMaster | ||||||||
7.250%, 03/01/38 | 1,515 | 1,000 | ||||||
ServiceMaster PIK | ||||||||
10.750%, 07/15/15 (A) | 2,120 | 2,141 | ||||||
Spirit Aerosystems | ||||||||
7.500%, 10/01/17 | 935 | 968 |
136 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Swift Services Holdings | ||||||||
10.000%, 11/15/18 | $ | 550 | $ | 490 | ||||
Swift Transportation | ||||||||
12.500%, 05/15/17 (A) | 680 | 660 | ||||||
syncreon Global Ireland | ||||||||
9.500%, 05/01/18 (A) | 3,112 | 2,925 | ||||||
Tempel Steel | ||||||||
12.000%, 08/15/16 (A) | 860 | 927 | ||||||
Terex | ||||||||
10.875%, 06/01/16 | 950 | 1,007 | ||||||
8.000%, 11/15/17 | 985 | 872 | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/17 | 1,500 | 1,470 | ||||||
Ticketmaster Entertainment | ||||||||
10.750%, 08/01/16 | 4,890 | 5,135 | ||||||
Titan International | ||||||||
7.875%, 10/01/17 | 3,420 | 3,557 | ||||||
Tops Holding | ||||||||
10.125%, 10/15/15 | 530 | 530 | ||||||
Trimas | ||||||||
9.750%, 12/15/17 | 780 | 815 | ||||||
United Air Lines | ||||||||
12.000%, 11/01/13 (A) | 1,155 | 1,169 | ||||||
United Air Lines, Ser 95A1 | ||||||||
9.020%, 04/19/12 (B) | 297 | 107 | ||||||
3.566%, 10/19/18 | 467 | 135 | ||||||
United Maritime Group | ||||||||
11.750%, 06/15/15 | 3,200 | 3,232 | ||||||
USG | ||||||||
8.375%, 10/15/18 (A) | 1,255 | 1,048 | ||||||
6.300%, 11/15/16 | 1,485 | 1,088 | ||||||
WCA Waste | ||||||||
7.500%, 06/15/19 (A) | 1,400 | 1,330 | ||||||
|
| |||||||
142,077 | ||||||||
|
| |||||||
Information Technology — 5.9% | ||||||||
Advanced Micro Devices | ||||||||
7.750%, 08/01/20 | 1,075 | 1,054 | ||||||
Amkor Technology | ||||||||
7.375%, 05/01/18 | 1,460 | 1,409 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/17 | 3,700 | 3,718 | ||||||
Audatex North America | ||||||||
6.750%, 06/15/18 (A) | 985 | 978 | ||||||
Avaya | ||||||||
9.750%, 11/01/15 | 1,460 | 1,066 | ||||||
7.000%, 04/01/19 (A) | 2,640 | 2,244 | ||||||
Avaya PIK | ||||||||
10.125%, 11/01/15 | 2,883 | 2,111 | ||||||
Brocade Communications Systems | ||||||||
6.625%, 01/15/18 | 440 | 448 | ||||||
CommScope | ||||||||
8.250%, 01/15/19 (A) | 1,920 | 1,872 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Compucom Systems | ||||||||
12.500%, 10/01/15 (A) | $ | 5,880 | $ | 5,909 | ||||
Eagle Parent | ||||||||
8.625%, 05/01/19 (A) | 2,540 | 2,299 | ||||||
Fidelity National Information Services | ||||||||
7.875%, 07/15/20 | 600 | 624 | ||||||
7.625%, 07/15/17 | 1,230 | 1,279 | ||||||
First Data | ||||||||
12.625%, 01/15/21 (A) | 1,709 | 1,265 | ||||||
11.250%, 03/31/16 | 1,190 | 803 | ||||||
9.875%, 09/24/15 | 1,540 | 1,290 | ||||||
8.875%, 08/15/20 (A) | 830 | 780 | ||||||
8.250%, 01/15/21 (A) | 1,052 | 831 | ||||||
7.375%, 06/15/19 (A) | 315 | 280 | ||||||
First Data PIK | ||||||||
10.550%, 09/24/15 | 3,269 | 2,721 | ||||||
8.750%, 01/15/22 (A) | 1,055 | 833 | ||||||
Freescale Semiconductor | ||||||||
10.125%, 03/15/18 (A) | 212 | 220 | ||||||
9.250%, 04/15/18 (A) | 3,750 | 3,853 | ||||||
8.050%, 02/01/20 | 485 | 439 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/15 | 6,030 | 5,789 | ||||||
iGate | ||||||||
9.000%, 05/01/16 (A) | 7,725 | 7,184 | ||||||
MagnaChip Semiconductor | ||||||||
10.500%, 04/15/18 | 2,000 | 2,110 | ||||||
Mantech International | ||||||||
7.250%, 04/15/18 | 485 | 480 | ||||||
MEMC Electronic Materials | ||||||||
7.750%, 04/01/19 (A) | 790 | 675 | ||||||
NXP BV/NXP Funding LLC | ||||||||
9.750%, 08/01/18 (A) | 2,840 | 2,968 | ||||||
NXP Funding LLC | ||||||||
10.000%, 07/15/13 (A) | 364 | 390 | ||||||
9.500%, 10/15/15 | 30 | 31 | ||||||
Open Solutions | ||||||||
9.750%, 02/01/15 (A) | 4,200 | 2,163 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/16 | 1,380 | 1,128 | ||||||
Seagate HDD Cayman | ||||||||
7.750%, 12/15/18 (A) | 1,165 | 1,142 | ||||||
Sensata Technologies BV | ||||||||
6.500%, 05/15/19 (A) | 3,078 | 2,924 | ||||||
Spansion | ||||||||
7.875%, 11/15/17 (A) | 1,275 | 1,249 | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/18 | 855 | 851 | ||||||
STATS ChipPAC | ||||||||
7.500%, 08/12/15 (A) | 2,375 | 2,280 | ||||||
Stratus Technologies Bermuda | ||||||||
12.000%, 03/29/15 | 2,243 | 1,963 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/14 | 1,000 | 1,023 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 137 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sungard Data Systems | ||||||||
10.250%, 08/15/15 | $ | 2,985 | $ | 3,015 | ||||
7.375%, 11/15/18 | 810 | 753 | ||||||
Travelport | ||||||||
9.875%, 09/01/14 | 805 | 527 | ||||||
9.000%, 03/01/16 | 210 | 123 | ||||||
Unisys | ||||||||
12.750%, 10/15/14 (A) | 898 | 1,015 | ||||||
|
| |||||||
78,109 | ||||||||
|
| |||||||
Materials — 6.1% | ||||||||
AK Steel | ||||||||
7.625%, 05/15/20 | 1,025 | 898 | ||||||
Aleris International | ||||||||
7.625%, 02/15/18 (A) | 955 | 857 | ||||||
Algoma Acquisition | ||||||||
9.875%, 06/15/15 (A) | 1,415 | 1,097 | ||||||
APERAM | ||||||||
7.750%, 04/01/18 (A) | 1,170 | 1,018 | ||||||
Appleton Papers | ||||||||
10.500%, 06/15/15 (A) | 505 | 495 | ||||||
ARD Finance PIK | ||||||||
11.125%, 06/01/18 (A) | 1,556 | 1,260 | ||||||
Ardagh Packaging Finance | ||||||||
9.125%, 10/15/20 (A) | 1,260 | 1,134 | ||||||
7.375%, 10/15/17 (A) | 300 | 286 | ||||||
Ashland | ||||||||
9.125%, 06/01/17 | 1,620 | 1,792 | ||||||
Berry Plastics | ||||||||
10.250%, 03/01/16 | 710 | 618 | ||||||
9.750%, 01/15/21 | 1,275 | 1,084 | ||||||
Boise Paper Holdings | ||||||||
9.000%, 11/01/17 | 1,270 | 1,327 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/18 | 1,130 | 1,186 | ||||||
Cascades | ||||||||
7.750%, 12/15/17 | 700 | 665 | ||||||
Celanese US Holdings | ||||||||
6.625%, 10/15/18 | 550 | 569 | ||||||
Cemex | ||||||||
9.000%, 01/11/18 (A) | 2,220 | 1,504 | ||||||
Chemtura | ||||||||
7.875%, 09/01/18 | 1,205 | 1,181 | ||||||
Clearwater Paper | ||||||||
7.125%, 11/01/18 | 865 | 859 | ||||||
Domtar | ||||||||
9.500%, 08/01/16 | 275 | 326 | ||||||
FMG Resources August 2006 Pty | ||||||||
7.000%, 11/01/15 (A) | 1,035 | 963 | ||||||
6.875%, 02/01/18 (A) | 210 | 185 | ||||||
6.375%, 02/01/16 (A) | 100 | 90 | ||||||
Georgia-Pacific LLC | ||||||||
8.000%, 01/15/24 | 1,690 | 1,984 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Graham Packaging | ||||||||
8.250%, 01/01/17 | $ | 95 | $ | 96 | ||||
8.250%, 10/01/18 | 1,110 | 1,116 | ||||||
Graphic Packaging International | ||||||||
9.500%, 06/15/17 | 1,265 | 1,354 | ||||||
7.875%, 10/01/18 | 1,170 | 1,199 | ||||||
Headwaters | ||||||||
7.625%, 04/01/19 | 1,215 | 929 | ||||||
Hexion US Finance | ||||||||
9.000%, 11/15/20 | 1,190 | 872 | ||||||
8.875%, 02/01/18 | 1,885 | 1,555 | ||||||
Huntsman International | ||||||||
8.625%, 03/15/20 | 435 | 423 | ||||||
8.625%, 03/15/21 | 905 | 867 | ||||||
Ineos Group Holdings PLC | ||||||||
8.500%, 02/15/16 (A) | 1,030 | 762 | ||||||
JMC Steel Group | ||||||||
8.250%, 03/15/18 (A) | 1,215 | 1,142 | ||||||
Kinove German Bondco GmbH | ||||||||
9.625%, 06/15/18 (A) | 500 | 452 | ||||||
Longview Fibre Paper & Packaging | ||||||||
8.000%, 06/01/16 (A) | 1,505 | 1,460 | ||||||
Lyondell Chemical | ||||||||
11.000%, 05/01/18 | 6,890 | 7,441 | ||||||
MacDermid | ||||||||
9.500%, 04/15/17 (A) | 1,300 | 1,202 | ||||||
Midwest Vanadium Pty | ||||||||
11.500%, 02/15/18 (A) | 1,100 | 869 | ||||||
Millar Western Forest Products | ||||||||
8.500%, 04/01/21 (A) | 665 | 509 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/18 (A) | 1,425 | 1,154 | ||||||
Momentive Performance Materials | ||||||||
9.000%, 01/15/21 | 2,155 | 1,476 | ||||||
Momentive Performance Materials PIK | ||||||||
2.078%, 06/04/17 (I) (J) (K) | 1,794 | 1,569 | ||||||
Nalco | ||||||||
6.625%, 01/15/19 (A) | 145 | 159 | ||||||
NewPage | ||||||||
11.375%, 12/31/14 (B) | 380 | 282 | ||||||
Nexeo Solutions | ||||||||
8.375%, 03/01/18 (A) | 1,610 | 1,590 | ||||||
Noranda Aluminium | ||||||||
Acquisition PIK | ||||||||
4.417%, 05/15/15 (C) | 1,746 | 1,572 | ||||||
Nova Chemicals | ||||||||
8.625%, 11/01/19 | 350 | 379 | ||||||
Novelis | ||||||||
8.750%, 12/15/20 | 835 | 818 | ||||||
8.375%, 12/15/17 | 1,920 | 1,901 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/16 (A) | 2,339 | 2,292 | ||||||
PH Glatfelter | ||||||||
7.125%, 05/01/16 | 250 | 246 |
138 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pregis | ||||||||
12.375%, 10/15/13 | $ | 3,581 | $ | 3,259 | ||||
Rain CII Carbon | ||||||||
8.000%, 12/01/18 (A) | 310 | 293 | ||||||
Reichhold Industries | ||||||||
9.000%, 08/15/14 (A) | 1,969 | 1,339 | ||||||
Rhodia | ||||||||
6.875%, 09/15/20 (A) | 1,970 | 2,266 | ||||||
Ryerson | ||||||||
12.000%, 11/01/15 | 1,215 | 1,215 | ||||||
Sealed Air | ||||||||
8.375%, 09/15/21 (A) | 1,530 | 1,545 | ||||||
8.125%, 09/15/19 (A) | 435 | 439 | ||||||
Solutia | ||||||||
8.750%, 11/01/17 | 1,150 | 1,225 | ||||||
7.875%, 03/15/20 | 865 | 910 | ||||||
Standard Steel | ||||||||
12.000%, 05/01/15 (A) | 2,850 | 3,299 | ||||||
SunCoke Energy | ||||||||
7.625%, 08/01/19 (A) | 2,435 | 2,380 | ||||||
Verso Paper Holdings | ||||||||
11.500%, 07/01/14 | 1,152 | 1,198 | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/15 (A) | 3,390 | 2,966 | ||||||
Vulcan Materials | ||||||||
7.500%, 06/15/21 | 280 | 261 | ||||||
6.500%, 12/01/16 | 280 | 258 | ||||||
|
| |||||||
79,917 | ||||||||
|
| |||||||
Telecommunication Services — 4.8% |
| |||||||
Buccaneer Merger Sub | ||||||||
9.125%, 01/15/19 (A) | 2,435 | 2,386 | ||||||
Cincinnati Bell | ||||||||
8.375%, 10/15/20 | 1,465 | 1,362 | ||||||
Clearwire Communications | ||||||||
12.000%, 12/01/15 (A) | 2,300 | 1,949 | ||||||
12.000%, 12/01/15 (A) | 3,085 | 2,599 | ||||||
12.000%, 12/01/17 (A) | 1,604 | 966 | ||||||
Cogent Communications Group | ||||||||
8.375%, 02/15/18 (A) | 590 | 608 | ||||||
Cricket Communications | ||||||||
7.750%, 10/15/20 | 1,815 | 1,579 | ||||||
7.750%, 10/15/20 (A) | 120 | 103 | ||||||
Crown Castle International | ||||||||
9.000%, 01/15/15 | 1,365 | 1,447 | ||||||
Digicel Group | ||||||||
10.500%, 04/15/18 (A) | 1,145 | 1,128 | ||||||
8.250%, 09/01/17 (A) | 2,244 | 2,109 | ||||||
EH Holding | ||||||||
7.625%, 06/15/21 (A) | 2,340 | 2,252 | ||||||
6.500%, 06/15/19 (A) | 590 | 568 | ||||||
Frontier Communications | ||||||||
8.500%, 04/15/20 | 910 | 883 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GCI | ||||||||
8.625%, 11/15/19 | $ | 520 | $ | 542 | ||||
Inmarsat Finance | ||||||||
7.375%, 12/01/17 (A) | 2,125 | 2,130 | ||||||
Integra Telecom Holdings | ||||||||
10.750%, 04/15/16 (A) | 1,405 | 1,243 | ||||||
Intelsat Jackson Holding | ||||||||
7.250%, 04/01/19 (A) | 1,865 | 1,730 | ||||||
7.250%, 10/15/20 (A) | 1,305 | 1,204 | ||||||
Intelsat Luxembourg | ||||||||
11.250%, 02/04/17 | 2,130 | 1,848 | ||||||
Intelsat Luxembourg PIK | ||||||||
11.500%, 02/04/17 | 2,112 | 1,816 | ||||||
11.500%, 02/04/17 (A) | 3,915 | 3,367 | ||||||
ITC Deltacom | ||||||||
10.500%, 04/01/16 | 690 | 704 | ||||||
Level 3 Communications | ||||||||
11.875%, 02/01/19 (A) | 670 | 636 | ||||||
Level 3 Escrow | ||||||||
8.125%, 07/01/19 (A) | 400 | 354 | ||||||
Level 3 Financing | ||||||||
10.000%, 02/01/18 | 1,820 | 1,747 | ||||||
9.375%, 04/01/19 (A) | 1,105 | 1,028 | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/29 | 1,740 | 1,444 | ||||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/18 | 1,115 | 1,082 | ||||||
NII Capital | ||||||||
7.625%, 04/01/21 | 590 | 586 | ||||||
PAETEC Holding | ||||||||
9.875%, 12/01/18 | 1,960 | 2,053 | ||||||
8.875%, 06/30/17 | 700 | 735 | ||||||
Sable International Finance MTN | ||||||||
7.750%, 02/15/17 (A) | 1,340 | 1,300 | ||||||
Satmex Escrow | ||||||||
9.500%, 05/15/17 (A) | 640 | 618 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 5,295 | 4,600 | ||||||
Telcordia Technologies | ||||||||
11.000%, 05/01/18 (A) | 3,315 | 4,127 | ||||||
Telesat Canada | ||||||||
12.500%, 11/01/17 | 760 | 851 | ||||||
Trilogy International Partners | ||||||||
10.250%, 08/15/16 (A) | 75 | 74 | ||||||
Virgin Media Finance PLC | ||||||||
8.375%, 10/15/19 | 670 | 712 | ||||||
West | ||||||||
7.875%, 01/15/19 | 1,205 | 1,133 | ||||||
Wind Acquisition Finance | ||||||||
11.750%, 07/15/17 (A) | 3,778 | 3,211 | ||||||
7.250%, 02/15/18 (A) | 610 | 521 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 139 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Windstream | ||||||||
8.125%, 09/01/18 | $ | 585 | $ | 589 | ||||
7.750%, 10/01/21 | 600 | 579 | ||||||
7.500%, 04/01/23 | 1,220 | 1,138 | ||||||
|
| |||||||
63,641 | ||||||||
|
| |||||||
Utilities — 1.3% |
| |||||||
AES | ||||||||
9.750%, 04/15/16 | 870 | 935 | ||||||
Calpine | ||||||||
7.875%, 07/31/20 (A) | 2,737 | 2,641 | ||||||
7.875%, 01/15/23 (A) | 485 | 468 | ||||||
7.500%, 02/15/21 (A) | 2,922 | 2,791 | ||||||
7.250%, 10/15/17 (A) | 300 | 289 | ||||||
Elwood Energy | ||||||||
8.159%, 07/05/26 | 711 | 696 | ||||||
Energy Future Holdings | ||||||||
10.000%, 01/15/20 | 245 | 238 | ||||||
Energy Future Intermediate Holding | ||||||||
10.000%, 12/01/20 | 1,489 | 1,452 | ||||||
GenOn Energy | ||||||||
9.500%, 10/15/18 | 965 | 907 | ||||||
Mirant (Escrow Security) | ||||||||
0.000%, 07/15/04 (B) | 450 | 5 | ||||||
Mirant Americas Generation LLC | ||||||||
8.500%, 10/01/21 | 1,130 | 972 | ||||||
North American Energy Alliance | ||||||||
10.875%, 06/01/16 (A) | 1,100 | 1,141 | ||||||
NRG Energy | ||||||||
8.250%, 09/01/20 | 70 | 66 | ||||||
7.875%, 05/15/21 (A) | 550 | 503 | ||||||
7.625%, 01/15/18 (A) | 1,120 | 1,042 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 2,600 | 2,983 | ||||||
|
| |||||||
17,129 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 1,044,888 | ||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 8.3% |
| |||||||
Financials — 2.8% |
| |||||||
ACAS CLO, Ser 2007-1A, Cl A1J | ||||||||
0.561%, 04/20/21 (A) (C) | 5,207 | 4,270 | ||||||
CIFC Funding, Ser 2007-3A, Cl B | ||||||||
1.503%, 07/26/21 (A) (C) | 2,500 | 1,754 | ||||||
CIT CLO, Ser 2007-1A, Cl D | ||||||||
2.351%, 06/20/21 (A) (C) | 2,800 | 1,904 | ||||||
Commercial Industrial Finance, | ||||||||
4.355%, 12/22/20 (C) | 2,386 | 1,265 | ||||||
Commercial Industrial Finance, | ||||||||
4.326%, 03/01/21 (A) (C) | 3,138 | 1,648 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Industrial Finance, | ||||||||
1.926%, 03/01/21 (A) (C) | $ | 1,980 | $ | 1,089 | ||||
Commercial Industrial Finance, | ||||||||
4.175%, 05/10/21 (C) | 2,009 | 1,014 | ||||||
Emporia Preferred Funding, | ||||||||
1.153%, 04/23/21 (A) (C) | 1,708 | 1,247 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A1LA | ||||||||
0.554%, 08/01/21 (A) (C) | 13,673 | 11,075 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A1LB | ||||||||
0.754%, 08/01/21 (A) (C) | 14,055 | 9,838 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A2L | ||||||||
0.904%, 08/01/21 (A) (C) | 3,017 | 1,931 | ||||||
|
| |||||||
37,035 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 5.5% |
| |||||||
ARES CLO Funds, Ser 2006- 5RA, Cl D | ||||||||
2.208%, 02/24/18 (A) (C) | 1,253 | 808 | ||||||
Equinox Funding, Ser 2000- 1A, Cl A | ||||||||
0.887%, 11/15/12 (A) (C) | 3,094 | 3,017 | ||||||
FM Leveraged Capital Fund, | ||||||||
0.756%, 11/15/20 (A) (C) | 3,157 | 2,620 | ||||||
FM Leveraged Capital Fund, | ||||||||
1.886%, 11/15/20 (A) (C) | 694 | 451 | ||||||
GSC Partners CDO Fund, | ||||||||
1.000%, 04/17/21 (A) (C) | 2,386 | 1,579 | ||||||
Jasper CLO, Ser 2005-1A, Cl B | ||||||||
0.836%, 08/01/17 (A) (C) | 1,826 | 1,306 | ||||||
Lightpoint CLO, Ser 2007-7A, Cl D | ||||||||
4.286%, 05/15/21 (A) (C) | 2,956 | 1,862 | ||||||
Newstar Trust, Ser 2007-1A, Cl A1 | ||||||||
0.559%, 09/30/22 (A) (C) | 7,402 | 6,718 | ||||||
Red River CLO, Ser 2006-1A, Cl C | ||||||||
0.974%, 07/27/18 (A) (C) | 5,456 | 3,519 | ||||||
Red River CLO, Ser 2006-1A, Cl D | ||||||||
1.904%, 07/27/18 (A) (C) | 2,946 | 1,532 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.504%, 08/01/24 (A) (C) | 50,064 | 38,549 | ||||||
Stone Tower CDO, Ser 2004-1A, Cl A1LA | ||||||||
0.753%, 01/29/20 (A) (C) | 2,795 | 2,543 | ||||||
Tricadia CDO, Ser 2007-1AR, Cl A2L | ||||||||
0.819%, 02/28/16 (A) (C) | 6,210 | 5,154 | ||||||
Westwood CDO, Ser 2007-2A, Cl D | ||||||||
2.053%, 04/25/22 (A) (C) | 3,367 | 1,936 | ||||||
|
| |||||||
71,594 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 108,629 | ||||||
|
|
140 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 5.8% |
| |||||||
AL Gulf Coast Terminals | ||||||||
6.750%, 06/02/16 | $ | 466 | $ | 466 | ||||
Alliance Laundry Systems | ||||||||
6.750%, 09/23/16 | 38 | 38 | ||||||
6.250%, 09/23/16 | 1,390 | 1,369 | ||||||
Alliant Holdings I | ||||||||
6.750%, 08/21/14 | 487 | 481 | ||||||
Asurion, 1st Lien Term Loan | ||||||||
5.500%, 06/10/18 | 955 | 899 | ||||||
Asurion, 2nd Lien Term Loan | ||||||||
9.000%, 05/20/19 | 3,300 | 3,132 | ||||||
Attachmate, 1st Lien Term Loan | ||||||||
6.500%, 02/25/17 | 1,750 | 1,680 | ||||||
Brock Holdings | ||||||||
10.000%, 03/16/18 | 390 | 352 | ||||||
Central Parking | ||||||||
2.400%, 05/22/14 | 608 | 501 | ||||||
Central Parking, 1st Lien | ||||||||
2.625%, 05/22/14 | 1,419 | 1,170 | ||||||
Claire’s Stores | ||||||||
3.003%, 05/27/14 | 150 | 126 | ||||||
2.989%, 05/27/14 | 717 | 603 | ||||||
Clear Channel | ||||||||
3.889%, 01/29/16 | 306 | 214 | ||||||
Clear Channel, Term Loan B | ||||||||
0.000%, 01/29/16 (G) | 475 | 331 | ||||||
First Data | ||||||||
4.235%, 03/24/18 | 3,405 | 2,751 | ||||||
First Data, Initial Tranche B-1 | ||||||||
2.985%, 09/24/14 | 1,400 | 1,214 | ||||||
First Data, Initial Tranche B-2 | ||||||||
2.985%, 09/24/14 | 28 | 24 | ||||||
First Data, Term Loan B-3 | ||||||||
2.985%, 09/24/14 | 248 | 215 | ||||||
Firth Rixson, Facility B | ||||||||
4.869%, 12/18/15 | 500 | 453 | ||||||
Firth Rixson, Facility C | ||||||||
5.369%, 12/20/16 | 500 | 456 | ||||||
Gambro Aktiebolag | ||||||||
4.980%, 05/24/16 | 665 | 655 | ||||||
4.480%, 11/24/16 | 521 | 492 | ||||||
Guitar Center, Extended Term Loan | ||||||||
5.620%, 04/09/17 | 1,833 | 1,604 | ||||||
Harbinger | ||||||||
10.000%, 01/28/12 | 4,497 | 4,497 | ||||||
Harrah’s Operating | ||||||||
9.500%, 01/28/15 | 2,948 | 2,855 | ||||||
3.369%, 01/28/15 | 9 | 7 | ||||||
3.253%, 01/28/15 | 1,226 | 1,020 | ||||||
Inc Research | ||||||||
7.000%, 07/12/18 | 900 | 852 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ineos Group, Term Loan B-2 | ||||||||
7.501%, 12/16/13 | $ | 808 | $ | 804 | ||||
Ineos Group, Term Loan C-2 | ||||||||
8.001%, 12/16/14 | 927 | 927 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.489%, 03/02/14 | 917 | 710 | ||||||
Infor Global Solutions | ||||||||
8.240%, 08/29/14 | 4,013 | 1,756 | ||||||
Infor Global Solutions, 2nd Lien | ||||||||
6.489%, 03/02/14 | 1,583 | 1,227 | ||||||
Intelsat Jackson Holdings | ||||||||
2.750%, 02/01/14 | 2,100 | 1,911 | ||||||
Kalispel Tribal Economic Authority | ||||||||
5.989%, 01/31/17 | 2,770 | 2,576 | ||||||
Lawson Software | ||||||||
6.750%, 07/05/17 | 2,250 | 2,126 | ||||||
Level 3 Financing (L) | ||||||||
0.000%, 04/21/12 | 1,000 | — | ||||||
Medical Card | ||||||||
12.000%, 09/15/15 | 1,458 | 1,386 | ||||||
Merrill Communications | ||||||||
7.500%, 12/24/12 | 1,100 | 1,055 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/09 (B) | 300 | — | ||||||
MGM Mirage | ||||||||
7.000%, 02/21/14 | 1,489 | 1,401 | ||||||
NCO Group | ||||||||
8.000%, 05/15/13 | 893 | 866 | ||||||
Nelson Edu, Term Loan B-1L | ||||||||
2.869%, 07/05/14 | 1,000 | 793 | ||||||
Nuveen Investments, 2nd Lien | ||||||||
12.500%, 07/31/15 | 910 | 930 | ||||||
Obsidian Natural Gas Trust | ||||||||
7.000%, 11/02/15 | 2,367 | 2,367 | ||||||
PQ | ||||||||
6.740%, 06/14/14 | 1,297 | 1,142 | ||||||
Realogy | ||||||||
13.500%, 10/15/17 | 865 | 833 | ||||||
Realogy, Term B Loan | ||||||||
4.522%, 10/10/13 | 709 | 636 | ||||||
Rite Aid | ||||||||
4.500%, 02/17/18 | 2,138 | 1,970 | ||||||
Shield Finance | ||||||||
7.750%, 06/15/16 | 1,444 | 1,400 | ||||||
Simmons Holdco Unsecured (Escrow) | ||||||||
0.000%, 02/15/12 | 1,697 | — | ||||||
SpringLeaf Financial | ||||||||
5.500%, 05/06/17 | 1,860 | 1,607 | ||||||
Summit Material | ||||||||
6.500%, 12/03/15 | 1,290 | 1,239 | ||||||
Sun Healthcare | ||||||||
7.500%, 09/23/16 | 2,731 | 2,308 | ||||||
Targa Resources | ||||||||
3.323%, 02/09/15 | 866 | 866 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 141 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2011
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
3.253%, 02/09/15 | $ | 850 | $ | 850 | ||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.772%, 10/10/17 | 958 | 637 | ||||||
4.726%, 10/10/17 | 900 | 599 | ||||||
3.726%, 10/10/14 | 5,837 | 4,104 | ||||||
Texas Competitive Electric Holdings, Term Loan | ||||||||
3.772%, 10/10/14 | 5 | 4 | ||||||
Thronox | ||||||||
7.000%, 10/14/15 | 1,399 | 1,386 | ||||||
Vertafore | ||||||||
9.750%, 10/27/17 | 450 | 430 | ||||||
Walter Investment Management | ||||||||
7.750%, 06/30/16 | 3,100 | 3,009 | ||||||
Wide Open West Finance | ||||||||
8.500%, 06/27/15 | — | — | ||||||
6.480%, 06/27/15 | 3,075 | 2,898 | ||||||
Zuffa | ||||||||
7.500%, 06/18/15 | 1,715 | 1,671 | ||||||
|
| |||||||
Total Loan Participations | 76,881 | |||||||
|
| |||||||
AUCTION RATE PREFERRED SECURITIES — 0.7% |
| |||||||
BlackRock Insured Municipal Income Trust | 13,750 | 1,279 | ||||||
BlackRock Municipal Income Trust | 28,250 | 2,627 | ||||||
BlackRock Municipal Income Trust | 13,250 | 1,232 | ||||||
BlackRock MuniVest Fund | 12,750 | 1,186 | ||||||
Invesco Insured Municipal Trust | 19,000 | 1,653 | ||||||
Invesco Van Kampen Senior Income Trust | 18,250 | 1,643 | ||||||
|
| |||||||
Total Auction Rate Preferred Securities | 9,620 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.2% |
| |||||||
Other Asset-Backed Securities — 0.2% |
| |||||||
Airplanes Pass-Through Trust, | ||||||||
0.779%, 03/15/19 (C) | 1,533 | 966 | ||||||
Cajun Global LLC, Ser 2011- 1A | ||||||||
5.955%, 02/20/41 (A) | 1,260 | 1,310 | ||||||
|
| |||||||
Total Asset-Backed Securities | 2,276 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.7% | ||||||||
Buckeye Tobacco Settlement Finance Authority, Ser A- 2, RB | ||||||||
Callable 06/01/17 @ 100 | ||||||||
5.375%, 06/01/24 | 210 | 164 | ||||||
5.125%, 06/01/24 | 610 | 463 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Golden State Tobacco Securitization, |
| |||||||
Callable 06/01/17 @ 100 | ||||||||
5.750%, 06/01/47 | $ | 2,510 | $ | 1,766 | ||||
5.125%, 06/01/47 | 2,095 | 1,329 | ||||||
4.500%, 06/01/27 | 65 | 51 | ||||||
New Jersey Tobacco Settlement Financing, Ser 1A, RB | ||||||||
Callable 06/01/17 @ 100 | ||||||||
5.000%, 06/01/41 | 5,430 | 3,497 | ||||||
4.750%, 06/01/34 | 2,000 | 1,301 | ||||||
|
| |||||||
Total Municipal Bonds | 8,571 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.4% |
| |||||||
Hologic CV to 25.9110 | ||||||||
2.000%, 12/15/37 | 970 | 908 | ||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/30 | 3,200 | 1,704 | ||||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/29 | 1,715 | 978 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/21 (B) | 2,200 | 4 | ||||||
Nortel Networks | ||||||||
2.125%, 04/15/14 (B) | 1,660 | 1,627 | ||||||
Vector Group CV to 59.3618 | ||||||||
12.921%, 06/15/26 (C) | 373 | 424 | ||||||
|
| |||||||
Total Convertible Bonds | 5,645 | |||||||
|
| |||||||
PREFERRED STOCK — 0.3% | ||||||||
Ally Financial (A) (C) | 48 | 3,025 | ||||||
Dana Holding (A) | 5 | 530 | ||||||
General Motors | 5 | 168 | ||||||
|
| |||||||
Total Preferred Stock | 3,723 | |||||||
|
| |||||||
Number of | ||||||||
WARRANTS — 0.2% | ||||||||
Alion Science & Technology, Expires 03/15/17* | 1,790 | — | ||||||
CUI Acquisition (I) (J) (K) | 47,444 | 2,948 | ||||||
|
| |||||||
Total Warrants | 2,948 | |||||||
|
| |||||||
COMMON STOCK — 0.2% | ||||||||
Aventine Renewable Energy Holdings* (A) | 66,907 | 368 | ||||||
Core-Mark Holding* | 740 | 23 | ||||||
Dana Holding* | 67,046 | 704 |
142 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Delta Air Lines* | 2,568 | $ | 19 | |||||
Dex One* | 31,547 | 18 | ||||||
LyondellBasell Industries, Cl A | 26,951 | 658 | ||||||
Neenah Enterprises (K)* | 17,244 | 78 | ||||||
Shreveport Gaming Holdings | 13,948 | — | ||||||
United Continental Holdings* | 35 | 1 | ||||||
VSS AHC, Cl A* (I) (J) (K) | 27,106 | 323 | ||||||
|
| |||||||
Total Common Stock | 2,192 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | 6,083 | 6 | ||||||
|
| |||||||
Total Affiliated Partnership | 6 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 2.1% | ||||||||
SEI Daily Income Trust, Prime | 27,915,323 | $ | 27,915 | |||||
|
| |||||||
Total Cash Equivalent | 27,915 | |||||||
|
| |||||||
Total Investments — 98.2% | $ | 1,293,294 | ||||||
|
|
A summary of outstanding swap agreements held by the Fund at September 30, 2011, 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) | ||||||||||||||
Barclays Bank PLC | CDX.NA.HY.SERIES 15 | BUY | 5.00 | % | 12/20/15 | $ | 11,000 | $ | 976 | |||||||||||
Barclays Bank PLC | CDX.NA.HY.SERIES 13 12/14 | BUY | 5.00 | 12/20/14 | 14,355 | (255 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 721 | |||||||||||||||||||
|
|
Percentages are based on a Net Assets of $1,317,073 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011 |
† | Investment in Affiliated Security (see Note 5) |
‡ | Real Estate Investment Trust |
(A) | 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. |
(B) | Security in default on interest payments. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2011. The date reported on the Schedule of Investments is the final maturity date. |
(D) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(E) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2011. The coupon on a step bond changes on a specified date. |
(F) | This security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $1,216 ($ Thousands). |
(G) | Unsettled bank loan. Interest rate not available. |
(H) | 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, 2011 was $6 ($ Thousands). |
(I) | Security considered restricted. The total market value of such securities as of September 30, 2011 was $4,905 ($ Thousands) and represented 0.37% of Net Assets. |
(J) | 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, 2011 was $4,905 ($ Thousands) and represented 0.37% of Net Assets. |
(K) | Security considered illiquid. The total market value of such securities as of September 30, 2011 was $4,983 ($ Thousands) and represented 0.38% of Net Assets. |
(L) | Unfunded Bank Loan |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
LLC — Limited Liability Company
LLP — Limited Liability Partnership
L.P. — Limited Partnership
MTN — Medium Term Note
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
Amounts designated as “—” are $O or have been rounded to $O
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 143 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,038,374 | $ | 6,514 | $ | 1,044,888 | ||||||||
Collateralized Debt Obligations | — | — | 108,629 | 108,629 | ||||||||||||
Loan Participations | — | 64,875 | 12,006 | 76,881 | ||||||||||||
Auction Rate | — | — | 9,620 | 9,620 | ||||||||||||
Asset-Backed Securities | — | 966 | 1,310 | 2,276 | ||||||||||||
Municipal Bonds | — | 8,571 | — | 8,571 | ||||||||||||
Convertible Bonds | — | 4,663 | 982 | 5,645 | ||||||||||||
Preferred Stock | 698 | 3,025 | — | 3,723 | ||||||||||||
Warrants | — | — | 2,948 | 2,948 | ||||||||||||
Common Stock | 1,423 | 368 | 401 | 2,192 | ||||||||||||
Affiliated Partnership | — | 6 | — | 6 | ||||||||||||
Cash Equivalent | 27,915 | — | — | 27,915 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 30,036 | $ | 1,120,848 | $ | 142,410 | $ | 1,293,294 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps* | $ | — | $ | 721 | $ | — | $ | 721 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | 721 | $ | — | $ | 721 | ||||||||
|
|
|
|
|
|
|
|
* | Swaps are valued at the 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):
Corporate Obligations | Collateralized Debt Obligations | Loan | Auction Rate | Asset | Convertible | Warrants | Common | |||||||||||||||||||||||||
Beginning balance as of October 1, 2010 | $ | 13,812 | $ | 38,280 | $ | 10,626 | $ | 6,515 | $ | — | $ | 4 | $ | — | $ | 2,273 | ||||||||||||||||
Accrued discounts/premiums | (202 | ) | 1,247 | (33 | ) | — | — | — | — | — | ||||||||||||||||||||||
Realized gain/(loss) | (1,627 | ) | (921 | ) | (438 | ) | 179 | — | — | 4,024 | — | |||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 2,704 | 8,038 | 548 | 680 | 50 | — | (1,076 | ) | (237 | ) | ||||||||||||||||||||||
Net purchases/sales | (5,449 | ) | 61,985 | 711 | (1,050 | ) | 1,260 | — | — | — | ||||||||||||||||||||||
Net transfer in and/or out of Level 3 | (2,724 | ) | — | 592 | 3,296 | — | 978 | — | (1,635 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ending balance as of September 30, 2011 | $ | 6,514 | $ | 108,629 | $ | 12,006 | $ | 9,620 | $ | 1,310 | $ | 982 | $ | 2,948 | $ | 401 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Changes in unrealized gains (losses) included in earnings | $ | (137 | ) | $ | (2,951 | ) | $ | (38 | ) | $ | (283 | ) | $ | — | $ | — | $ | — | $ | (237 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, 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.
144 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS
Real Return Fund
September 30, 2011
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 99.3% |
| |||||||
U.S. Treasury Inflation Protected Security | ||||||||
2.500%, 07/15/16 | $ | 8,083 | $ | 9,289 | ||||
2.000%, 01/15/14 to 01/15/16 (A) | 100,225 | 108,434 | ||||||
1.875%, 07/15/13 to 07/15/15 (A) | 36,972 | 39,413 | ||||||
1.625%, 01/15/15 | 37,270 | 40,106 | ||||||
1.250%, 04/15/14 | 29,383 | 30,786 | ||||||
0.625%, 04/15/13 | 29,207 | 29,745 | ||||||
0.500%, 04/15/15 | 46,913 | 48,815 | ||||||
0.125%, 04/15/16 (A) | 48,771 | 50,390 | ||||||
U.S. Treasury Notes | ||||||||
1.500%, 08/31/18 | 13,825 | 13,892 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 370,870 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 19.9% |
| |||||||
SEI Liquidity Fund, L.P. | 74,248,418 | 74,248 | ||||||
|
| |||||||
Total Affiliated Partnership | 74,248 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.6% | ||||||||
SEI Daily Income Trust, Prime | 13,456,714 | 13,457 | ||||||
|
| |||||||
Total Cash Equivalent | 13,457 | |||||||
|
| |||||||
Total Investments — 122.8% | $ | 458,575 | ||||||
|
|
Percentages are based on a Net Assets of $373,560 ($ Thousands)
* | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (see Note 5) |
(A) | This security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $64,511 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $ 74,248 ($ Thousands). |
Cl — Class
L.P. — Limited Partnership
Amounts designated as “—” are $O or have been rounded to $O
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 370,870 | $ | — | $ | 370,870 | ||||||||
Affiliated Partnership | — | 74,248 | — | 74,248 | ||||||||||||
Cash Equivalent | 13,457 | — | — | 13,457 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 13,457 | $ | 445,118 | $ | — | $ | 458,575 | ||||||||
|
|
|
|
|
|
|
|
During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, 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, 2011 | 145 |
Table of Contents
SCHEDULE OF INVESTMENTS
Multi-Strategy Alternative Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
REGISTERED INVESTMENT COMPANIES — 84.2% |
| |||||||
AQR Diversified Arbitrage Fund, Class I | 3,296,251 | $ | 36,885 | |||||
AQR Managed Futures Strategy Fund, Class I | 3,058,784 | 30,282 | ||||||
Driehaus Active Income Fund | 3,656,731 | 36,604 | ||||||
DWS Disciplined Market Neutral Fund, Institutional Class | 1,193,954 | 11,235 | ||||||
Eaton Vance Global Macro Absolute Return Fund, Class I | 2,827,173 | 27,819 | ||||||
JPMorgan Research Market Neutral Fund, Institutional Class | 1,874,871 | 27,898 | ||||||
Merger Fund | 2,725,429 | 42,490 | ||||||
TFS Market Neutral Fund | 1,254,610 | 17,489 | ||||||
Turner Spectrum Fund, Institutional Class | 1,317,518 | 15,086 | ||||||
|
| |||||||
Total Registered Investment Companies | 245,788 | |||||||
|
| |||||||
CASH EQUIVALENT — 15.8% | ||||||||
SEI Daily Income Trust, Prime | 46,145,109 | 46,145 | ||||||
|
| |||||||
Total Cash Equivalent | 46,145 | |||||||
|
| |||||||
Total Investments — 100.0% | $ | 291,933 | ||||||
|
|
Percentages are based on Net Assets of $292,006 ($Thousands).
* | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Investment in Affiliated Security (See Note 5). |
Cl — Class
As of September 30, 2011, all of the Fund’s investments were considered level 1, in accordance with ASC-820.
During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, 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.
146 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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Table of Contents
Statements of Assets and Liabilities ($ Thousands)
September 30, 2011
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 1,480,196 | * | $ | 1,187,475 | * | $ | 1,263,491 | * | |||
Affiliated investment, at value†† | 146,922 | 96,283 | 208,094 | |||||||||
Cash | 10 | 25 | — | |||||||||
Receivable for investment securities sold | 21,621 | 11,724 | 31,510 | |||||||||
Receivable for fund shares sold | 1,139 | 443 | 320 | |||||||||
Dividends and interest receivable | 1,686 | 1,743 | 1,145 | |||||||||
Receivable for variation margin | — | 19 | — | |||||||||
Prepaid Expenses | 17 | 23 | 17 | |||||||||
Total Assets | 1,651,591 | 1,297,735 | 1,504,577 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 105,804 | 77,060 | 186,265 | |||||||||
Payable for investment securities purchased | 20,484 | 13,688 | 30,115 | |||||||||
Payable for fund shares redeemed | 1,436 | 1,319 | 1,303 | |||||||||
Payable to custodian | — | — | 23 | |||||||||
Payable for variation margin | 719 | 339 | 569 | |||||||||
Administration fees payable | 458 | 365 | 395 | |||||||||
Investment advisory fees payable | 439 | 322 | 420 | |||||||||
Shareholder servicing fees payable Class A | 184 | 188 | 139 | |||||||||
Shareholder servicing fees payable Class I | — | 1 | 1 | |||||||||
Chief Compliance Officer fees payable | 2 | 2 | 2 | |||||||||
Administration servicing fees payable Class I | — | 1 | 1 | |||||||||
Accrued expense payable | 123 | 105 | 111 | |||||||||
Total Liabilities | 129,649 | 93,390 | 219,344 | |||||||||
Net Assets | $ | 1,521,942 | $ | 1,204,345 | $ | 1,285,233 | ||||||
†Cost of investments | 1,552,358 | 1,314,413 | 1,242,115 | |||||||||
††Cost of affiliated investments | 146,922 | 101,048 | 211,783 | |||||||||
* Includes market value of securities on loan | 100,274 | 73,116 | 177,214 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,521,988 | $ | 1,668,887 | $ | 1,601,909 | ||||||
Undistributed (distributions in excess of) net investment income | 3,100 | 4,808 | 315 | |||||||||
Accumulated net realized gain (loss) on investments, futures and foreign currency | 70,138 | (337,031 | ) | (333,658 | ) | |||||||
Net unrealized appreciation (depreciation) on investments and affiliated investments | (72,162 | ) | (131,703 | ) | 17,687 | |||||||
Net unrealized depreciation on futures contracts | (1,122 | ) | (616 | ) | (1,020 | ) | ||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||
Net Assets | $ | 1,521,942 | $ | 1,204,345 | $ | 1,285,233 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $10.15 | $14.13 | $19.77 | |||||||||
| ($1,521,942,264 ÷ 150,010,170 shares | ) | | ($1,197,272,257 ÷ 84,743,352 shares | ) | | ($1,278,538,337 ÷ 64,675,181 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 | $14.13 | $19.57 | |||||||||
| ($7,073,126 ÷ 500,736 shares | ) | | ($6,694,720 ÷ 342,140 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | N/A | N/A | N/A | |||||||||
‡ | See Note 1 in Notes to Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
148 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund‡ | Mid-Cap Fund | ||||||||||||||||||||
$1,484,952 | * | $1,406,309 | * | $198,384 | * | $374,494 | * | $270,107 | * | $248,648 | * | $73,249 | * | |||||||||||||
137,927 | 192,860 | 66,210 | 109,206 | 95,741 | 48,019 | 14,808 | ||||||||||||||||||||
10 | 10 | 4 | 64 | — | 7 | 6 | ||||||||||||||||||||
23,469 | — | 994 | 1,214 | 1,408 | 898 | 2,499 | ||||||||||||||||||||
740 | 42,386 | 241 | 1,404 | 58 | 122 | 92 | ||||||||||||||||||||
1,734 | 1,926 | 179 | 660 | 61 | 269 | 119 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
18 | 163 | 3 | 6 | 4 | 3 | 1 | ||||||||||||||||||||
1,648,850 | 1,643,654 | 266,015 | 487,048 | 367,379 | 297,966 | 90,774 | ||||||||||||||||||||
122,520 | 144,795 | 59,289 | 102,792 | 90,211 | 39,861 | 13,558 | ||||||||||||||||||||
25,778 | 33,929 | 1,866 | 2,091 | 1,230 | 876 | 864 | ||||||||||||||||||||
2,187 | 4,740 | 591 | 439 | 347 | 1,484 | 1,094 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
464 | 1,572 | 145 | 198 | 199 | 183 | 42 | ||||||||||||||||||||
454 | 178 | 63 | 116 | 86 | 79 | 24 | ||||||||||||||||||||
484 | 36 | 97 | 184 | 116 | 104 | 33 | ||||||||||||||||||||
137 | 13 | 35 | 60 | 60 | 56 | 9 | ||||||||||||||||||||
— | 1 | — | 1 | 1 | — | — | ||||||||||||||||||||
2 | 2 | — | 1 | — | — | — | ||||||||||||||||||||
— | 2 | — | 1 | 1 | — | — | ||||||||||||||||||||
128 | 114 | 20 | 35 | 27 | 26 | 10 | ||||||||||||||||||||
152,154 | 185,382 | 62,106 | 105,918 | 92,278 | 42,669 | 15,634 | ||||||||||||||||||||
$1,496,696 | $1,458,272 | $203,909 | $381,130 | $275,101 | $255,297 | $75,140 | ||||||||||||||||||||
1,459,246 | 832,268 | 224,462 | 431,776 | 316,227 | 265,743 | 88,471 | ||||||||||||||||||||
141,918 | 195,697 | 66,210 | 113,011 | 98,691 | 48,313 | 15,132 | ||||||||||||||||||||
116,488 | 137,997 | 55,648 | 96,575 | 84,713 | 37,783 | 12,771 | ||||||||||||||||||||
$1,836,818 | $ 927,595 | $199,564 | $529,757 | $520,845 | $298,137 | $109,515 | ||||||||||||||||||||
3,368 | 6,509 | (48 | ) | 1,275 | (122 | ) | 387 | 110 | ||||||||||||||||||
| (364,378) | | (44,209 | ) | 30,684 | (88,292 | ) | (196,305 | ) | (25,542 | ) | (18,906 | ) | |||||||||||||
| 21,715 | | 571,204 | (26,078 | ) | (61,087 | ) | (49,070 | ) | (17,389 | ) | (15,546 | ) | |||||||||||||
(827 | ) | (2,827 | ) | (213 | ) | (523 | ) | (247 | ) | (295 | ) | (33 | ) | |||||||||||||
| — | | — | — | — | — | (1 | ) | — | |||||||||||||||||
$1,496,696 | $1,458,272 | $203,909 | $381,130 | $275,101 | $255,297 | $75,140 | ||||||||||||||||||||
$10.80 | $31.03 | $9.51 | $14.26 | $14.20 | $10.39 | $14.99 | ||||||||||||||||||||
| ($1,495,782,732 ÷ 138,441,058 shares | ) | | ($255,344,680 ÷ 8,229,185 shares | ) | | ($203,909,320 ÷ 21,450,133 shares | ) | | ($377,221,776 ÷ 26,460,103 shares | ) | | ($272,274,903 ÷ 19,179,075 shares | ) | | ($255,296,509 ÷ 24,574,361 shares | ) | | ($74,199,754 ÷ 4,948,696 shares | ) | ||||||
N/A | $31.17 | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($1,195,728,724 ÷ 38,358,358 shares | ) | ||||||||||||||||||||||||
N/A | $31.12 | N/A | $14.15 | $13.82 | N/A | $14.99 | ||||||||||||||||||||
| ($7,198,282 ÷ 231,302 shares | ) | | ($3,908,700 ÷ 276,197 shares | ) | | ($2,826,542 ÷ 204,461 shares | ) | | ($940,337 ÷ 62,714 shares | ) | |||||||||||||||
$11.07 | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($913,252 ÷ 82,529 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 149 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
September 30, 2011
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 440,184 | $ | 450,887 | $ | 269,667 | ||||||
Affiliated investment, at value†† | 11,391 | 28,800 | 15,465 | |||||||||
Cash | 38 | 2,400 | 16 | |||||||||
Foreign currency, at value††† | 638 | 2,292 | 331 | |||||||||
Cash collateral on futures contracts | — | — | — | |||||||||
Cash collateral on swaps contracts | — | — | — | |||||||||
Receivable for investment securities sold | — | 15 | — | |||||||||
Receivable for fund shares sold | 667 | 34,384 | 725 | |||||||||
Dividends and interest receivable | 793 | 2,254 | 476 | |||||||||
Receivable for variation margin | — | — | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Unrealized gain on forward foreign currency contracts | — | 5,070 | — | |||||||||
Prepaid Expenses | 5 | 4 | 3 | |||||||||
Total Assets | 453,716 | 526,106 | 286,683 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | — | — | — | |||||||||
Payable for investment securities purchased | — | — | 6,239 | |||||||||
Payable for fund shares redeemed | 647 | 2,442 | 575 | |||||||||
Payable for variation margin | 133 | 498 | 222 | |||||||||
Administration fees payable | 133 | 140 | 81 | |||||||||
Investment advisory fees payable | 139 | 177 | 78 | |||||||||
Shareholder servicing fees payable Class A | 85 | 100 | 58 | |||||||||
Shareholder servicing fees payable Class I | — | — | — | |||||||||
Chief Compliance Officer fees payable | 1 | 1 | — | |||||||||
Administration servicing fees payable Class I | — | — | — | |||||||||
Income distribution payable | — | — | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Options written, at value# | — | — | — | |||||||||
Unrealized loss on forward foreign currency contracts | — | 39 | — | |||||||||
Accrued expense payable | 37 | 42 | 22 | |||||||||
Total Liabilities | 1,175 | 3,439 | 7,275 | |||||||||
Net Assets | $ | 452,541 | $ | 522,667 | $ | 279,408 | ||||||
†Cost of investments | 411,718 | 430,567 | 248,655 | |||||||||
††Cost of affiliated investments | 11,391 | 28,800 | 15,465 | |||||||||
†††Cost of foreign currency/(overdraft of foreign currency) | 672 | 2,352 | 348 | |||||||||
††††Premiums received/(paid) | — | — | — | |||||||||
# Premiums received | — | — | — | |||||||||
* Includes market value of securities on loan | — | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 471,029 | $ | 548,390 | $ | 246,907 | ||||||
Undistributed (distributions in excess of) net investment income | 1,683 | (5,910 | ) | 1,046 | ||||||||
Accumulated net realized gain (loss) on investments, option contracts, futures, swap contracts and foreign currency | (48,403 | ) | (44,744 | ) | 10,621 | |||||||
Net unrealized appreciation (depreciation) on investments, affiliated investments and option contracts | 28,466 | 20,320 | 21,012 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | (197 | ) | (316 | ) | (160 | ) | ||||||
Net unrealized appreciation (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 | (37 | ) | 4,927 | (18 | ) | |||||||
Net Assets | $ | 452,541 | $ | 522,667 | $ | 279,408 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $11.49 | $8.53 | $9.77 | |||||||||
| ($452,489,456 ÷ 39,391,096 shares | ) | | ($522,646,677 ÷ 61,264,691 shares | ) | | ($279,407,540 ÷ 28,609,229 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $11.47 | $8.44 | N/A | |||||||||
| ($51,613 ÷ 4,501 shares | ) | | ($20,685 ÷ 2,452 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
150 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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 | ||||||||||||||||||||
$133,844 | * | $161,376 | $2,291,744 | * | $ 975,061 | * | $1,265,373 | * | $370,870 | * | $245,788 | |||||||||||||||
38,368 | 4,901 | 312,505 | 153,770 | 27,921 | 87,705 | 46,145 | ||||||||||||||||||||
— | 2,958 | 2,135 | 697 | 537 | — | — | ||||||||||||||||||||
— | — | 933 | — | — | — | — | ||||||||||||||||||||
— | 100 | — | — | — | — | — | ||||||||||||||||||||
— | — | 1,950 | — | — | — | — | ||||||||||||||||||||
247 | 83 | 336,011 | 122,497 | 2,502 | — | — | ||||||||||||||||||||
4,566 | 365 | 3,252 | 871 | 2,293 | 767 | 389 | ||||||||||||||||||||
357 | 465 | 14,378 | 5,443 | 29,673 | 1,107 | 90 | ||||||||||||||||||||
— | — | 438 | 4 | — | — | — | ||||||||||||||||||||
— | — | 5,934 | 1,253 | 1,104 | — | — | ||||||||||||||||||||
— | — | 1,252 | — | — | — | — | ||||||||||||||||||||
2 | 2 | 23 | 10 | 17 | 3 | 3 | ||||||||||||||||||||
177,384 | 170,250 | 2,970,555 | 1,259,606 | 1,329,420 | 460,452 | 292,415 | ||||||||||||||||||||
31,708 | — | 95,556 | 72,081 | 6 | 74,248 | — | ||||||||||||||||||||
2,326 | 11,022 | 662,704 | 211,968 | 9,433 | 12,256 | — | ||||||||||||||||||||
223 | 184 | 1,956 | 1,118 | 1,197 | 243 | 282 | ||||||||||||||||||||
— | 3 | 124 | 71 | — | — | — | ||||||||||||||||||||
42 | 17 | 506 | 223 | 388 | 42 | 69 | ||||||||||||||||||||
68 | 50 | 463 | 210 | 473 | 67 | 36 | ||||||||||||||||||||
22 | — | 111 | 11 | 56 | 6 | — | ||||||||||||||||||||
— | — | 3 | — | — | — | — | ||||||||||||||||||||
— | — | 37 | 1 | 2 | 1 | — | ||||||||||||||||||||
— | — | 3 | — | — | — | — | ||||||||||||||||||||
— | — | 460 | 108 | 653 | — | — | ||||||||||||||||||||
— | — | 6,314 | 1,209 | — | — | — | ||||||||||||||||||||
— | — | 906 | 10 | — | — | — | ||||||||||||||||||||
— | — | 354 | — | — | — | — | ||||||||||||||||||||
12 | 19 | 222 | 147 | 139 | 29 | 22 | ||||||||||||||||||||
34,401 | 11,295 | 769,719 | 287,157 | 12,347 | 86,892 | 409 | ||||||||||||||||||||
$142,983 | $158,955 | $2,200,836 | $ 972,449 | $1,317,073 | $373,560 | $292,006 | ||||||||||||||||||||
112,403 | 169,066 | 2,262,487 | 931,760 | 1,339,234 | 364,711 | 254,318 | ||||||||||||||||||||
39,734 | 4,901 | 316,025 | 153,770 | 27,921 | 87,705 | 46,145 | ||||||||||||||||||||
— | — | 953 | — | — | — | — | ||||||||||||||||||||
— | — | 2,796 | 438 | 383 | — | — | ||||||||||||||||||||
— | — | (789 | ) | (17 | ) | — | — | — | ||||||||||||||||||
29,971 | — | 93,143 | 70,168 | 1,216 | 64,511 | — | ||||||||||||||||||||
$179,397 | $289,878 | $2,244,034 | $918,112 | $1,548,108 | $365,819 | $304,155 | ||||||||||||||||||||
1,133 | 984 | (4,791 | ) | 107 | 7,003 | 916 | 1,118 | |||||||||||||||||||
| (57,622) | | (124,190 | ) | (63,941 | ) | 11,566 | (164,898 | ) | 666 | (4,737 | ) | ||||||||||||||
| 20,075 | | (7,690 | ) | 25,620 | 43,308 | (73,861 | ) | 6,159 | (8,530 | ) | |||||||||||||||
— | (27 | ) | 2,227 | (250 | ) | — | — | — | ||||||||||||||||||
— | — | (3,176 | ) | (394 | ) | 721 | — | — | ||||||||||||||||||
| — | | — | 863 | — | — | — | — | ||||||||||||||||||
$142,983 | $158,955 | $2,200,836 | $ 972,449 | $1,317,073 | $373,560 | $292,006 | ||||||||||||||||||||
$11.67 | $7.36 | $11.14 | $10.70 | $6.92 | $10.60 | $9.57 | ||||||||||||||||||||
| ($142,538,241 ÷ 12,215,140 shares | ) | | ($158,936,150÷ 21,582,320 shares | ) | | ($2,185,134,827 ÷ 196,196,941 shares | ) | | ($972,448,780 ÷ 90,895,979 shares | ) | | ($1,316,157,619 ÷ 190,319,806 shares | ) | | ($373,560,400 ÷ 35,249,382 shares | ) | | ($292,005,819 ÷ 30,506,202 shares | ) | ||||||
$11.64 | $7.36 | $11.13 | N/A | $6.82 | N/A | N/A | ||||||||||||||||||||
| ($444,891 ÷ 38,227 shares | ) | | ($18,944 ÷ 2,575 shares | ) | | ($15,701,474 ÷ 1,410,557 shares | ) | | ($915,254 ÷ 134,144 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 151 |
Table of Contents
Statements of Operations ($ Thousands)
For the year ended September 30, 2011
Large Cap | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 25,497 | $ | 34,659 | $ | 18,523 | ||||||
Dividends from Affiliated Investments†* | 40 | 23 | 33 | |||||||||
Interest Income | 7 | 5 | 7 | |||||||||
Securities Lending Income — Net** | 183 | 180 | 310 | |||||||||
Less: Foreign Taxes Witheld | — | (6 | ) | — | ||||||||
Total Investment Income | 25,727 | 34,861 | 18,873 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 6,295 | 5,449 | 6,489 | |||||||||
Administration Fees | 5,650 | 5,449 | 5,678 | |||||||||
Shareholder Servicing Fees Class (A) | 4,036 | 3,867 | 4,034 | |||||||||
Shareholder Servicing Fees Class (I) | — | 26 | 22 | |||||||||
Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Administration Servicing Fees Class (I) | — | 26 | 22 | |||||||||
Trustee Fees | 31 | 31 | 32 | |||||||||
Chief Compliance Officer Fees | 8 | 7 | 7 | |||||||||
Printing Fees | 143 | 129 | 134 | |||||||||
Professional Fees | 99 | 88 | 93 | |||||||||
Custodian/Wire Agent Fees | 145 | 136 | 140 | |||||||||
Registration Fees | 43 | 52 | 54 | |||||||||
Interest expense | — | — | — | |||||||||
Licensing Fees | — | — | — | |||||||||
Other Expenses | 57 | 61 | 62 | |||||||||
Total Expenses | 16,507 | 15,321 | 16,767 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (663 | ) | (760 | ) | (734 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (1,389 | ) | (624 | ) | (1,460 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (I) | — | (7 | ) | (10 | ) | |||||||
Waiver of Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly* | (57 | ) | (20 | ) | (72 | ) | ||||||
Net Expenses | 14,398 | 13,910 | 14,491 | |||||||||
Net Investment Income (Loss) | 11,329 | 20,951 | 4,382 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 94,694 | 193,650 | 319,004 | |||||||||
Futures Contracts | 1,631 | 736 | 2,966 | |||||||||
Foreign Currency Transactions | (46 | ) | — | — | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (154,187 | ) | (222,374 | ) | (273,890 | ) | ||||||
Affiliated Investments | — | 259 | (210 | ) | ||||||||
Futures Contracts | (2,012 | ) | (1,252 | ) | (2,663 | ) | ||||||
Foreign Currency and Translation of Other Assets and Liabilities | — | — | — | |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (48,591 | ) | $ | (8,030 | ) | $ | 49,589 |
† | Income is from the investment of collateral in an affiliated security. |
‡ | See Note 1 in Notes to Financial Statements. |
* | See Note 5 in Notes to Financial Statements. |
(1) | Includes realized gain of $40,461 ($ Thousands) due to an affiliated transaction (see Note 5). |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
152 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Fund‡ | Mid-Cap Fund | ||||||||||||||||||||
$ | 28,496 | $ | 35,105 | $ | 2,335 | $ | 8,022 | $ | 2,169 | $ | 3,820 | $ | 1,817 | |||||||||||||
35 | 41 | 8 | 8 | 8 | 7 | 4 | ||||||||||||||||||||
7 | 4 | 16 | 4 | 2 | 1 | 1 | ||||||||||||||||||||
239 | 258 | 293 | 272 | 559 | 280 | 35 | ||||||||||||||||||||
— | (2 | ) | (7 | ) | (19 | ) | (8 | ) | (14 | ) | (4 | ) | ||||||||||||||
28,777 | 35,406 | 2,645 | 8,287 | 2,730 | 4,094 | 1,853 | ||||||||||||||||||||
6,872 | 526 | 1,639 | 3,468 | 2,606 | 2,068 | 545 | ||||||||||||||||||||
6,010 | 3,859 | 882 | 1,867 | 1,403 | 1,113 | 470 | ||||||||||||||||||||
4,291 | 1,483 | 630 | 1,317 | 992 | 795 | 333 | ||||||||||||||||||||
— | 22 | — | 17 | 10 | — | 2 | ||||||||||||||||||||
2 | — | — | — | — | — | — | ||||||||||||||||||||
— | 22 | — | 17 | 10 | — | 2 | ||||||||||||||||||||
34 | 34 | 5 | 11 | 8 | 6 | 3 | ||||||||||||||||||||
8 | 9 | 1 | 2 | 2 | 2 | 1 | ||||||||||||||||||||
149 | 157 | 22 | 43 | 33 | 27 | 14 | ||||||||||||||||||||
102 | 100 | 14 | 29 | 21 | 18 | 9 | ||||||||||||||||||||
152 | 150 | 22 | 46 | 35 | 28 | 12 | ||||||||||||||||||||
51 | 48 | 8 | 18 | 13 | 9 | 4 | ||||||||||||||||||||
— | — | 1 | 1 | 1 | — | — | ||||||||||||||||||||
— | 119 | — | — | — | — | — | ||||||||||||||||||||
67 | 70 | 17 | 25 | 21 | 26 | 9 | ||||||||||||||||||||
17,738 | 6,599 | 3,241 | 6,861 | 5,155 | 4,092 | 1,404 | ||||||||||||||||||||
(1,219 | ) | — | (128 | ) | (143 | ) | (218 | ) | (406 | ) | — | |||||||||||||||
(1,160 | ) | (415 | ) | (210 | ) | (589 | ) | (449 | ) | (117 | ) | — | ||||||||||||||
— | (9 | ) | — | (10 | ) | — | — | — | ||||||||||||||||||
(1 | ) | — | — | — | — | — | — | |||||||||||||||||||
— | (615 | ) | — | — | — | — | — | |||||||||||||||||||
(39 | ) | (37 | ) | (23 | ) | (11 | ) | (21 | ) | (32 | ) | (31 | ) | |||||||||||||
15,319 | 5,523 | 2,880 | 6,108 | 4,467 | 3,537 | 1,373 | ||||||||||||||||||||
13,458 | 29,883 | (235 | ) | 2,179 | (1,737 | ) | 557 | 480 | ||||||||||||||||||
183,924 | 49,578 | (1) | 34,081 | 102,565 | 120,192 | 55,367 | 19,551 | |||||||||||||||||||
3,656 | 2,828 | 834 | 591 | 411 | 844 | 865 | ||||||||||||||||||||
(18 | ) | — | (4 | ) | 1 | — | (80 | ) | — | |||||||||||||||||
(214,650 | ) | (3,308 | ) | (48,363 | ) | (119,533 | ) | (110,782 | ) | (64,792 | ) | (21,915 | ) | |||||||||||||
104 | (3,981 | ) | — | 194 | 101 | 315 | 54 | |||||||||||||||||||
(1,549 | ) | 243 | (225 | ) | (1,025 | ) | (537 | ) | (669 | ) | (142 | ) | ||||||||||||||
| — | | — | (1 | ) | (2 | ) | — | 36 | — | ||||||||||||||||
$ | (15,075 | ) | $ | 75,243 | $ | (13,913 | ) | $ | (15,030 | ) | $ | 7,648 | $ | (8,422 | ) | $ | (1,107 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 153 |
Table of Contents
Statements of Operations ($ Thousands)
For the year ended September 30, 2011
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 11,069 | $ | 15,342 | $ | 6,517 | ||||||
Dividends from Affiliated Investments†* | 9 | 11 | 7 | |||||||||
Interest Income | 2 | 33 | 1 | |||||||||
Securities Lending Income — Net | — | — | — | |||||||||
Less: Foreign Taxes Witheld | (66 | ) | (1,277 | ) | (36 | ) | ||||||
Total Investment Income | 11,014 | 14,109 | 6,489 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 3,072 | 2,849 | 1,750 | |||||||||
Administration Fees | 1,654 | 1,534 | 942 | |||||||||
Shareholder Servicing Fees Class (A) | 1,181 | 1,095 | 673 | |||||||||
Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Administration Servicing Fees Class (I) | — | — | — | |||||||||
Trustee Fees | 9 | 8 | 5 | |||||||||
Printing Fees | 41 | 41 | 24 | |||||||||
Professional Fees | 29 | 29 | 17 | |||||||||
Custodian/Wire Agent Fees | 43 | 71 | 24 | |||||||||
Registration Fees | 13 | 10 | 7 | |||||||||
Chief Compliance Officer Fees | 2 | 2 | 1 | |||||||||
Overdraft Fees | — | 1 | — | |||||||||
Interest expense | — | — | — | |||||||||
Licensing Fees | — | — | — | |||||||||
Other Expenses | 19 | 42 | 11 | |||||||||
Total Expenses | 6,063 | 5,682 | 3,454 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (1,311 | ) | (808 | ) | (756 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (16 | ) | — | — | ||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly* | — | — | — | |||||||||
Net Expenses | 4,736 | 4,874 | 2,698 | |||||||||
Net Investment Income | 6,278 | 9,235 | 3,791 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 52,464 | 15,626 | 25,324 | |||||||||
Futures Contracts | 687 | 787 | (130 | ) | ||||||||
Written Options | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | 11 | (10,369 | ) | 6 | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (27,765 | ) | (9,706 | ) | (12,895 | ) | ||||||
Affiliated Investments | — | — | — | |||||||||
Futures Contracts | (358 | ) | (459 | ) | (261 | ) | ||||||
Written Options | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities | (37 | ) | 6,375 | (18 | ) | |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 31,280 | $ | 11,489 | $ | 15,817 |
† | Income is from the investment of collateral in an affiliated security. |
* | See Note 5 in Notes to Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
154 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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 | ||||||||||||||||||||
$ | 2,472 | $ | — | $ | 121 | $ | — | $ | 852 | $ | — | $ | 5,733 | |||||||||||||
6 | 3 | 78 | 25 | 50 | 5 | 6 | ||||||||||||||||||||
— | 5,048 | 86,551 | 30,953 | 129,189 | 11,113 | — | ||||||||||||||||||||
65 | — | 70 | 32 | — | 2 | — | ||||||||||||||||||||
— | — | — | (3 | ) | (17 | ) | — | — | ||||||||||||||||||
2,543 | 5,051 | 86,820 | 31,007 | 130,074 | 11,120 | 5,739 | ||||||||||||||||||||
1,122 | 629 | 6,034 | 2,427 | 7,661 | 696 | 3,811 | ||||||||||||||||||||
604 | 550 | 6,144 | 2,471 | 5,500 | 1,107 | 889 | ||||||||||||||||||||
430 | 393 | 5,446 | 2,207 | 3,919 | 791 | 635 | ||||||||||||||||||||
1 | — | 39 | — | 10 | — | — | ||||||||||||||||||||
1 | — | 39 | — | 10 | — | — | ||||||||||||||||||||
4 | 3 | 43 | 17 | 31 | 6 | 5 | ||||||||||||||||||||
12 | 14 | 180 | 75 | 136 | 30 | 24 | ||||||||||||||||||||
10 | 10 | 136 | 57 | 92 | 22 | 17 | ||||||||||||||||||||
16 | 13 | 185 | 76 | 140 | 28 | 23 | ||||||||||||||||||||
7 | 5 | 75 | 28 | 45 | 7 | 16 | ||||||||||||||||||||
1 | 1 | 10 | 4 | 8 | 2 | 1 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | — | 809 | — | 7 | — | — | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
8 | 31 | 412 | 306 | 171 | 11 | 8 | ||||||||||||||||||||
2,216 | 1,649 | 19,552 | 7,668 | 17,730 | 2,700 | 5,429 | ||||||||||||||||||||
(93 | ) | (165 | ) | (413 | ) | (112 | ) | (756 | ) | — | (3,430 | ) | ||||||||||||||
(147 | ) | (393 | ) | (3,528 | ) | (1,714 | ) | (2,933 | ) | (778 | ) | (635 | ) | |||||||||||||
(1 | ) | — | (30 | ) | — | (8 | ) | (492 | ) | — | ||||||||||||||||
— | (145 | ) | — | — | — | — | (89 | ) | ||||||||||||||||||
(2 | ) | — | — | — | — | — | — | |||||||||||||||||||
1,973 | 946 | 15,581 | 5,842 | 14,033 | 1,430 | 1,275 | ||||||||||||||||||||
570 | 4,105 | 71,239 | 25,165 | 116,041 | 9,690 | 4,464 | ||||||||||||||||||||
51,224 | 918 | 10,859 | 20,537 | 57,151 | 1,621 | (2,697 | ) | |||||||||||||||||||
— | (506 | ) | (7,067 | ) | (2,153 | ) | — | (161 | ) | — | ||||||||||||||||
— | — | 1,047 | 163 | — | — | — | ||||||||||||||||||||
— | — | (9,498 | ) | (587 | ) | (1,185 | ) | — | — | |||||||||||||||||
2 | — | (2,243 | ) | — | 1,668 | — | — | |||||||||||||||||||
(43,227 | ) | (3,654 | ) | 38,992 | 4,812 | (123,966 | ) | 1,678 | (10,037 | ) | ||||||||||||||||
237 | — | (143 | ) | — | 1 | — | — | |||||||||||||||||||
— | (4 | ) | 2,390 | (150 | ) | — | 93 | — | ||||||||||||||||||
— | — | (34 | ) | 22 | — | — | — | |||||||||||||||||||
— | — | 7,204 | 669 | 1,764 | — | — | ||||||||||||||||||||
| (3 | ) | — | 1,685 | — | — | — | — | ||||||||||||||||||
$ | 8,803 | $ | 859 | $ | 114,431 | $ | 48,478 | $ | 51,474 | $ | 12,921 | $ | (8,270 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 155 |
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 | ||||||||||||||||||||||
2011 | 10/01/09 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 11,329 | $ | 11,805 | $ | 20,951 | $ | 25,362 | $ | 4,382 | $ | 11,627 | ||||||||||||
Net Realized Gain from Investments and Futures Contracts | 96,325 | 30,848 | 194,386 | 128,574 | 321,970 | 195,691 | ||||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (46 | ) | — | — | — | — | — | |||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts | (156,199 | ) | 82,915 | (223,367 | ) | (14,902 | ) | (276,763 | ) | 6,021 | ||||||||||||||
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 | (48,591 | ) | 125,568 | (8,030 | ) | 139,034 | 49,589 | 213,339 | ||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (11,257 | ) | (9,179 | ) | (21,590 | ) | (28,231 | ) | (6,569 | ) | (11,922 | ) | ||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (124 | ) | (153 | ) | (18 | ) | (35 | ) | ||||||||||||||
Class Y | — | — | — | — | — | — | ||||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (51,267 | ) | (5,320 | ) | — | — | — | — | ||||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Total Dividends and Distributions | (62,524 | ) | (14,499 | ) | (21,714 | ) | (28,384 | ) | (6,587 | ) | (11,957 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 882,457 | 1,846,164 | 245,648 | 279,951 | 247,545 | 270,461 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 59,713 | 13,994 | 20,560 | 26,863 | 6,245 | 11,357 | ||||||||||||||||||
Cost of Shares Redeemed | (705,012 | ) | (575,328 | ) | (543,203 | ) | (756,272 | ) | (620,143 | ) | (914,247 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 237,158 | 1,284,830 | (276,995 | ) | (449,458 | ) | (366,353 | ) | (632,429 | ) | ||||||||||||||
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 | — | — | 2,046 | 2,902 | 3,100 | 2,408 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 107 | 130 | 15 | 28 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (5,509 | ) | (4,747 | ) | (4,614 | ) | (4,555 | ) | ||||||||||||||
Decrease in Net Assets Derived from Class I Transactions | — | — | (3,356 | ) | (1,715 | ) | (1,499 | ) | (2,119 | ) | ||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | — | ||||||||||||||||||
Decrease in Net Assets Derived from Class Y Transactions | — | — | — | — | — | — | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 237,158 | 1,284,830 | (280,351 | ) | (451,173 | ) | (367,852 | ) | (634,548 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | 126,043 | 1,395,899 | (310,095 | ) | (340,523 | ) | (324,850 | ) | (433,166 | ) | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year/Period | 1,395,899 | — | 1,514,440 | 1,854,963 | 1,610,083 | 2,043,249 | ||||||||||||||||||
End of Year/Period | $ | 1,521,942 | $ | 1,395,899 | $ | 1,204,345 | $ | 1,514,440 | $ | 1,285,233 | $ | 1,610,083 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Year or Period End | $ | 3,100 | $ | 2,840 | $ | 4,808 | $ | 5,338 | $ | 315 | $ | 2,419 |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Commenced operations on October 1, 2009. |
(3) | Includes realized gain of $40,461 ($ Thousands) due to an affiliated transaction (see Note 5). |
(4) | Includes redemptions as a result of an affiliated transaction (see Note 5). |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
156 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund(2) | Small Cap Value Fund | Small Cap Growth Fund | ||||||||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 10/01/09 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||||||
$ | 13,458 | $ | 15,082 | $ | 29,883 | $ | 26,258 | $ | (235 | ) | $ | 245 | $ | 2,179 | $ | 2,641 | $ | (1,737 | ) | $ | (862 | ) | ||||||||||||||||
187,580 | | 90,748 | | 52,406 | (3) | 3,939 | 34,915 | 17,066 | 103,156 | 38,352 | 120,603 | 48,602 | ||||||||||||||||||||||||||
(18 | ) | | — | | — | — | (4 | ) | (27 | ) | 1 | (15 | ) | — | 1 | |||||||||||||||||||||||
(216,095 | ) | | | | (7,046 | ) | 98,457 | (48,588 | ) | 22,297 | (120,364 | ) | 24,309 | (111,218 | ) | (6,590 | ) | |||||||||||||||||||||
— | | — | | — | — | (1 | ) | 1 | (2 | ) | 6 | — | — | |||||||||||||||||||||||||
(15,075 | ) | 143,617 | 75,243 | 128,654 | (13,913 | ) | 39,582 | (15,030 | ) | 65,293 | 7,648 | 41,151 | ||||||||||||||||||||||||||
(13,808 | ) | (16,015 | ) | (10,156 | ) | (7,350 | ) | (298 | ) | (381 | ) | (3,293 | ) | (4,124 | ) | — | — | |||||||||||||||||||||
— | — | (19,947 | ) | (18,431 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (122 | ) | (139 | ) | — | — | (30 | ) | (37 | ) | — | — | |||||||||||||||||||||||||
(17 | ) | (32 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | — | — | (20,459 | ) | (186 | ) | — | — | — | — | |||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | (30 | ) | ||||||||||||||||||||||||||||
(13,825 | ) | (16,047 | ) | (30,225 | ) | (25,920 | ) | (20,757 | ) | (567 | ) | (3,323 | ) | (4,161 | ) | — | (30 | ) | ||||||||||||||||||||
401,064 | 344,698 | 966,434 | 174,347 | 180,209 | 443,002 | 95,848 | 186,381 | 79,496 | 142,613 | |||||||||||||||||||||||||||||
12,604 | 14,652 | 9,817 | 6,982 | 19,893 | 548 | 3,104 | 3,804 | — | 28 | |||||||||||||||||||||||||||||
(423,565 | ) | (547,879 | ) | (1,120,943 | )(4) | (332,876 | ) | (185,501 | ) | (258,587 | ) | (239,326 | ) | (352,875 | ) | (195,805 | ) | (280,793 | ) | |||||||||||||||||||
(9,897 | ) |
| (188,529 | ) | (144,692 | ) | (151,547 | ) | 14,601 | 184,963 | (140,374 | ) | (162,690 | ) | (116,309 | ) | (138,152 | ) | ||||||||||||||||||||
— | — | 442,098 | 266,963 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | 19,086 | 17,440 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | (282,508 | ) | (169,713 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | | — | | 178,676 | 114,690 | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | 1,842 | 2,805 | — | — | 1,818 | 2,142 | 1,913 | 1,301 | |||||||||||||||||||||||||||||
— | — | 81 | 90 | — | — | 28 | 34 | — | — | |||||||||||||||||||||||||||||
— | — | (3,200 | ) | (3,736 | ) | — | — | (4,860 | ) | (3,477 | ) | (2,764 | ) | (2,037 | ) | |||||||||||||||||||||||
— | | — | | (1,277 | ) | (841 | ) | — | — | (3,014 | ) | (1,301 | ) | (851 | ) | (736 | ) | |||||||||||||||||||||
218 | 50 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
16 | 32 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
(2,518 | ) | (460 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
(2,284 | ) |
| (378 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
(12,181 | ) |
| (188,907 | ) | 32,707 | (37,698 | ) | 14,601 | 184,963 | (143,388 | ) | (163,991 | ) | (117,160 | ) | (138,888 | ) | |||||||||||||||||||||
(41,081 | ) | (61,337 | ) | 77,725 | 65,036 | (20,069 | ) | 223,978 | (161,741 | ) | (102,859 | ) | (109,512 | ) | (97,767 | ) | ||||||||||||||||||||||
1,537,777 | 1,599,114 | 1,380,547 | 1,315,511 | 223,978 | — | 542,871 | 645,730 | 384,613 | 482,380 | |||||||||||||||||||||||||||||
$ | 1,496,696 | $ | 1,537,777 | $ | 1,458,272 | $ | 1,380,547 | $ | 203,909 | $ | 223,978 | $ | 381,130 | $ | 542,871 | $ | 275,101 | $ | 384,613 | |||||||||||||||||||
$ | 3,368 | $ | 3,548 |
| $ | 6,509 | $ | 6,641 | $ | (48 | ) | $ | (3 | ) | $ | 1,275 | $ | 1,236 | $ | (122 | ) | $ | (4 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 157 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
Tax-Managed Small/Mid Cap Fund‡ | ||||||||
2011 | 2010 | |||||||
Operations: | ||||||||
Net Investment Income | $ | 557 | $ | 856 | ||||
Net Realized Gain from Investments and Futures Contracts | 56,211 | 21,226 | ||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (80 | ) | (21 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts | (65,146 | ) | 14,292 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 36 | (37 | ) | |||||
Net Increase (Decrease) in Net Assets from Operations | (8,422 | ) | 36,316 | |||||
Dividends and Distributions From: | ||||||||
Net Investment Income: | ||||||||
Class A | (741 | ) | (727 | ) | ||||
Class I | — | — | ||||||
Total Dividends and Distributions | (741 | ) | (727 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 92,360 | 114,100 | ||||||
Reinvestment of Dividends and Distributions | 663 | 648 | ||||||
Cost of Shares Redeemed | (128,906 | ) | (112,458 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (35,883 | ) | 2,290 | |||||
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 | (35,883 | ) | 2,290 | |||||
Net Increase (Decrease) in Net Assets | (45,046 | ) | 37,879 | |||||
Net Assets: | ||||||||
Beginning of Year/Period | 300,343 | 262,464 | ||||||
End of Year/Period | $ | 255,297 | $ | 300,343 | ||||
Undistributed Net Investment Income Included in Net Assets at Year End | $ | 387 | $ | 337 |
‡ | See Note 1 in Notes to Financial Statements. |
(1) | See Note 6 in Notes to Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
158 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||
$ | 480 | $ | 706 | $ | 6,278 | $ | 5,117 | |||||||
20,416 | 25,301 | 53,151 | 22,600 | |||||||||||
— | — | 11 | — | |||||||||||
(22,003 | ) | (11,372 | ) | (28,123 | ) | 21,791 | ||||||||
— | | — | | (37 | ) | — | ||||||||
(1,107 | ) | 14,635 | 31,280 | 49,508 | ||||||||||
(669 | ) | (728 | ) | (5,925 | ) | (5,225 | ) | |||||||
(2 | ) | (1 | ) | (1 | ) | — | ||||||||
(671 | ) | (729 | ) | (5,926 | ) | (5,225 | ) | |||||||
84,175 | 110,681 | 307,919 | 195,255 | |||||||||||
542 | 620 | 5,322 | 4,794 | |||||||||||
(133,397 | ) | (120,415 | ) | (301,778 | ) | (209,646 | ) | |||||||
(48,680 | ) | (9,114 | ) | 11,463 | (9,597 | ) | ||||||||
593 | 591 | 99 | 32 | |||||||||||
2 | 1 | 1 | — | |||||||||||
(189 | ) | (338 | ) | (82 | ) | (16 | ) | |||||||
406 | 254 | 18 | 16 | |||||||||||
(48,274 | ) | (8,860 | ) | 11,481 | (9,581 | ) | ||||||||
(50,052 | ) | 5,046 | 36,835 | 34,702 | ||||||||||
125,192 | 120,146 | 415,706 | 381,004 | |||||||||||
$ | 75,140 | $ | 125,192 | $ | 452,541 | $ | 415,706 | |||||||
$ | 110 | $ | 244 | $ | 1,683 | $ | 1,165 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 159 |
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 | ||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 9,235 | $ | 4,285 | $ | 3,791 | $ | 2,734 | $ | 570 | $ | 1,045 | ||||||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 16,413 | 6,114 | 25,194 | 8,265 | 51,224 | 21,172 | ||||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (10,369 | ) | (7,118 | ) | 6 | — | 2 | (3 | ) | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts | (10,165 | ) | 11,196 | (13,156 | ) | 17,124 |
| (42,990 | ) | 29,623 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 6,375 | (606 | ) | (18 | ) | — |
| (3 | ) | 2 | ||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 11,489 | 13,871 | 15,817 | 28,123 | 8,803 | 51,839 | ||||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | — | (792 | ) | (3,483 | ) | (2,727 | ) | (2,950 | ) | (5,227 | ) | |||||||||||||
Class I | — | — | — | — | (8 | ) | (6 | ) | ||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Class A | — | (72 | ) | — | — | — | (2,156 | ) | ||||||||||||||||
Class I | — | — | — | — | — | (2 | ) | |||||||||||||||||
Total Dividends and Distributions | — | (864 | ) | (3,483 | ) | (2,727 | ) | (2,958 | ) | (7,391 | ) | |||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 383,451 | 206,148 | 123,851 | 106,386 | 62,150 | 132,143 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | 807 | 2,931 | 2,337 | 2,812 | 6,463 | ||||||||||||||||||
Cost of Shares Redeemed | (202,820 | ) | (103,209 | ) | (96,110 | ) | (69,982 | ) | (149,135 | ) | (183,367 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 180,631 | 103,746 | 30,672 | 38,741 | (84,173 | ) | (44,761 | ) | ||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 108 | 102 | — | — | 482 | 183 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | 8 | 8 | ||||||||||||||||||
Cost of Shares Redeemed | (151 | ) | (55 | ) | — | — | (351 | ) | (66 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | (43 | ) | 47 | — | — | 139 | 125 | |||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 180,588 | 103,793 | 30,672 | 38,741 | (84,034 | ) | (44,636 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets | 192,077 | 116,800 | 43,006 | 64,137 | (78,189 | ) | (188 | ) | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year/Period | 330,590 | 213,790 | 236,402 | 172,265 | 221,172 | 221,360 | ||||||||||||||||||
End of Year/Period | $ | 522,667 | $ | 330,590 | $ | 279,408 | $ | 236,402 | $ | 142,983 | $ | 221,172 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year or Period End | $ | (5,910 | ) | $ | (6,384 | ) | $ | 1,046 | $ | 658 | $ | 1,133 | $ | (89 | ) |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | 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.
160 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund(2) | |||||||||||||||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 03/31/10 | |||||||||||||||||||||||||||||||||||
$ | 4,105 | $ | 4,262 | $ | 71,239 | $ | 102,782 | $ | 25,165 | $ | 26,290 | $ | 116,041 | $ | 125,624 | $ | 9,690 | $ | 1,877 | $ | 4,464 | $ | (315 | ) | ||||||||||||||||||||||
| 412 | | (27,682 | ) | (4,659 | ) | 79,072 | 18,547 | 26,003 | 55,966 | 59,192 | 1,460 | 2,003 | (2,697 | ) | (2,040 | ) | |||||||||||||||||||||||||||||
— | — | (2,243 | ) | 760 | (587 | ) | — | 1,668 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
| (3,658) | | 36,331 | 48,409 | 144,048 | 5,353 | 22,586 | (122,201 | ) | 83,585 | 1,771 | 3,629 | (10,037 | ) | 1,507 | |||||||||||||||||||||||||||||||
| — | | (4 | ) | 1,685 | (1,145 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
859 | 12,907 | 114,431 | 325,517 | 48,478 | 74,879 | 51,474 | 268,401 | 12,921 | 7,509 | (8,270 | ) | (848 | ) | |||||||||||||||||||||||||||||||||
(3,390 | ) | (6,383 | ) | (73,839 | ) | (103,593 | ) | (26,670 | ) | (28,602 | ) | (113,644 | ) | (119,601 | ) | (8,787 | ) | (2,579 | ) | (3,346 | ) | — | ||||||||||||||||||||||||
— | (1 | ) | (501 | ) | (594 | ) | — | — | (273 | ) | (29 | ) | — | — | — | — | ||||||||||||||||||||||||||||||
— | — | — | — | (27,315 | ) | (3,238 | ) | (8,342 | ) | (3,632 | ) | (2,621 | ) | (147 | ) | — | — | |||||||||||||||||||||||||||||
— | — | — | — | — | — | (4 | ) | (1 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
(3,390 | ) | (6,384 | ) | (74,340 | ) | (104,187 | ) | (53,985 | ) | (31,840 | ) | (122,263 | ) | (123,263 | ) | (11,408 | ) | (2,726 | ) | (3,346 | ) | — | ||||||||||||||||||||||||
135,626 | 102,789 | 572,326 | 743,435 | 554,048 | 649,744 | 955,560 | 998,870 | 249,201 | 206,992 | 184,224 | 207,501 | |||||||||||||||||||||||||||||||||||
3,119 | 5,926 | 68,024 | 96,256 | 50,869 | 30,458 | 102,267 | 103,955 | 10,424 | 2,541 | 3,086 | — | |||||||||||||||||||||||||||||||||||
(114,501 | ) | (211,761 | ) | (830,368 | ) | (1,175,131 | ) | (504,670 | ) | (523,255 | ) | (1,174,249 | ) | (1,034,815 | ) | (128,503 | ) | (56,959 | ) | (74,743 | ) | (15,598 | ) | |||||||||||||||||||||||
| 24,244 | | (103,046 | ) | (190,018 | ) | (335,440 | ) | 100,247 | 156,947 | (116,422 | ) | 68,010 | 131,122 | 152,574 | 112,567 | 191,903 | |||||||||||||||||||||||||||||
3 | 16 | 5,333 | 8,103 | — | — | 16,503 | 1,773 | — | — | — | — | |||||||||||||||||||||||||||||||||||
— | 1 | 363 | 411 | — | — | 225 | 29 | — | — | — | — | |||||||||||||||||||||||||||||||||||
— | (47 | ) | (7,692 | ) | (6,049 | ) | — | — | (17,360 | ) | (198 | ) | — | — | — | — | ||||||||||||||||||||||||||||||
| 3 | | (30 | ) | (1,996 | ) | 2,465 | — | — | (632 | ) | 1,604 | — | — | — | — | ||||||||||||||||||||||||||||||
| 24,247 | | (103,076 | ) | (192,014 | ) | (332,975 | ) | 100,247 | 156,947 | (117,054 | ) | 69,614 | 131,122 | 152,574 | 112,567 | 191,903 | |||||||||||||||||||||||||||||
21,716 | (96,553 | ) | (151,923 | ) | (111,645 | ) | 94,740 | 199,986 | (187,843 | ) | 214,752 | 132,635 | 157,357 | 100,951 | 191,055 | |||||||||||||||||||||||||||||||
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 | — | |||||||||||||||||||||||||||||||||||
$ | 158,955 | $ | 137,239 | $ | 2,200,836 | $ | 2,352,759 | $ | 972,449 | $ | 877,709 | $ | 1,317,073 | $ | 1,504,916 | $ | 373,560 | $ | 240,925 | $ | 292,006 | $ | 191,055 | |||||||||||||||||||||||
$ | 984 | $ | 791 |
| $ | (4,791 | ) | $ | (2,520 | ) | $ | 107 | $ | 99 | $ | 7,003 | $ | 8,158 | $ | 916 | $ | 12 | $ | 1,118 | $ | — |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 161 |
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.77 | $ | 0.08 | $ | (0.22 | ) | $ | (0.14 | ) | $ | (0.08 | ) | $ | (0.40 | ) | $ | (0.48 | ) | $ | 10.15 | (1.71 | )% | $ | 1,521,942 | 0.89 | % | 0.89 | % | 1.02 | % | 0.70 | % | 100 | % | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 14.75 | $ | 0.22 | $ | (0.61 | ) | $ | (0.39 | ) | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 14.13 | (2.89 | )% | $ | 1,197,272 | 0.89 | % | 0.89 | % | 0.98 | % | 1.35 | % | 63 | % | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 14.76 | $ | 0.18 | $ | (0.62 | ) | $ | (0.44 | ) | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 14.13 | (3.14 | )% | $ | 7,073 | 1.11 | % | 1.11 | % | 1.23 | % | 1.13 | % | 63 | % | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 19.66 | $ | 0.06 | $ | 0.14 | $ | 0.20 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 19.77 | 0.97 | % | $ | 1,278,538 | 0.89 | % | 0.89 | % | 1.03 | % | 0.27 | % | 108 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 19.47 | $ | 0.01 | $ | 0.14 | $ | 0.15 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 19.57 | 0.73 | % | $ | 6,695 | 1.11 | % | 1.11 | % | 1.28 | % | 0.05 | % | 108 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 11.02 | $ | 0.10 | $ | (0.22 | ) | $ | (0.12 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 10.80 | (1.20 | )% | $ | 1,495,783 | 0.89 | % | 0.89 | % | 1.03 | % | 0.78 | % | 72 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 11.24 | $ | 0.14 | $ | (0.21 | ) | $ | (0.07 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 11.07 | (0.68 | )% | $ | 913 | 0.56 | % | 0.56 | % | 0.73 | % | 1.14 | % | 72 | % | ||||||||||||||||||||||||||
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 |
162 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 31.30 | $ | 0.55 | $ | (0.26 | )(14) | $ | 0.29 | $ | (0.56 | ) | $ | — | $ | (0.56 | ) | $ | 31.03 | 0.75 | % | $ | 255,345 | 0.43 | % | 0.43 | % | 0.53 | % | 1.61 | % | 61 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class E |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 31.42 | $ | 0.61 | $ | (0.25 | )(14) | $ | 0.36 | $ | (0.61 | ) | $ | — | $ | (0.61 | ) | $ | 31.17 | 0.96 | % | $ | 1,195,729 | 0.25 | % | 0.25 | % | 0.29 | % | 1.76 | % | 61 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 31.37 | $ | 0.47 | $ | (0.25 | )(14) | $ | 0.22 | $ | (0.47 | ) | $ | — | $ | (0.47 | ) | $ | 31.12 | 0.56 | % | $ | 7,198 | 0.65 | % | 0.65 | % | 0.79 | % | 1.35 | % | 61 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 11.14 | $ | (0.01 | ) | $ | (0.55 | ) | $ | (0.56 | ) | $ | (0.01 | ) | $ | (1.06 | ) | $ | (1.07 | ) | $ | 9.51 | (6.54 | )% | $ | 203,909 | 1.14 | % | 1.14 | % | 1.28 | % | (0.09 | )% | 123 | % | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 15.45 | $ | 0.07 | $ | (1.16 | ) | $ | (1.09 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 14.26 | (7.15 | )% | $ | 377,222 | 1.14 | % | 1.14 | % | 1.28 | % | 0.41 | % | 70 | % | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 15.34 | $ | 0.03 | $ | (1.15 | ) | $ | (1.12 | ) | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 14.15 | (7.40 | )% | $ | 3,908 | 1.36 | % | 1.36 | % | 1.53 | % | 0.20 | % | 70 | % | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Small Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 14.69 | $ | (0.07 | ) | $ | (0.42 | ) | $ | (0.49 | ) | $ | — | $ | — | $ | — | $ | 14.20 | (3.34 | )% | $ | 272,275 | 1.11 | % | 1.12 | % | 1.28 | % | (0.43 | )% | 125 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 14.34 | $ | (0.12 | ) | $ | (0.40 | ) | $ | (0.52 | ) | $ | — | $ | — | $ | — | $ | 13.82 | (3.63 | )% | $ | 2,826 | 1.36 | % | 1.37 | % | 1.53 | % | (0.69 | )% | 125 | % | |||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 163 |
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† | ||||||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund‡ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.81 | $ | 0.02 | $ | (0.41 | ) | $ | (0.39 | ) | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 10.39 | (3.66 | )% | $ | 255,297 | 1.11 | % | 1.12 | % | 1.29 | % | 0.17 | % | 105 | % | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Mid-Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 15.80 | $ | 0.06 | $ | (0.79 | ) | $ | (0.73 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 14.99 | (4.67 | )% | $ | 74,200 | 1.02 | % | 1.04 | % | 1.06 | % | 0.36 | % | 151 | % | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 15.81 | $ | 0.03 | $ | (0.81 | ) | $ | (0.78 | ) | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 14.99 | (4.95 | )% | $ | 940 | 1.26 | % | 1.28 | % | 1.31 | % | 0.18 | % | 151 | % | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.81 | $ | 0.16 | $ | 0.67 | $ | 0.83 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 11.49 | 7.63 | % | $ | 452,489 | 1.00 | % | 1.00 | % | 1.28 | % | 1.33 | % | 71 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.79 | $ | 0.14 | $ | 0.66 | $ | 0.80 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 11.47 | 7.39 | % | $ | 52 | 1.25 | % | 1.25 | % | 1.53 | % | 1.14 | % | 71 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 8.21 | $ | 0.18 | $ | 0.14 | $ | 0.32 | $ | — | $ | — | $ | — | $ | 8.53 | 3.90 | % | $ | 522,646 | 1.11 | % | 1.11 | % | 1.29 | % | 2.11 | % | 68 | % | ||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 8.15 | $ | 0.15 | $ | 0.14 | $ | 0.29 | $ | — | $ | — | $ | — | $ | 8.44 | 3.56 | % | $ | 21 | 1.36 | % | 1.36 | % | 1.54 | % | 1.78 | % | 68 | % | ||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 9.24 | $ | 0.14 | $ | 0.52 | $ | 0.66 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 9.77 | 7.13 | % | $ | 279,408 | 1.00 | % | 1.00 | % | 1.28 | % | 1.41 | % | 63 | % | ||||||||||||||||||||||||||||
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 |
164 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
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† | ||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 11.58 | $ | 0.04 | $ | 0.25 | $ | 0.29 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 11.67 | 2.41 | % | $ | 142,538 | 1.14 | % | 1.14 | % | 1.28 | % | 0.33 | % | 83 | % | ||||||||||||||||||||||||||||
2010 | 9.42 | 0.05 | 2.46 | 2.51 | (0.35 | )(12) | — | (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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 11.57 | $ | (0.01 | ) | $ | 0.28 | $ | 0.27 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 11.64 | 2.19 | % | $ | 445 | 1.36 | % | 1.36 | % | 1.53 | % | (0.07 | )% | 83 | % | |||||||||||||||||||||||||||
2010 | 9.41 | — | * | 2.49 | 2.49 | (0.33 | )(12) | — | (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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 7.46 | $ | 0.20 | $ | (0.14 | ) | $ | 0.06 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | $ | 7.36 | 0.83 | % | $ | 158,936 | 0.60 | % | 0.60 | % | 1.05 | % | 2.61 | % | 174 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 7.45 | $ | 0.18 | $ | (0.12 | ) | $ | 0.06 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 7.36 | 0.72 | % | $ | 19 | 0.85 | % | 0.85 | % | 1.30 | % | 2.36 | % | 174 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.93 | $ | 0.36 | $ | 0.22 | $ | 0.58 | $ | (0.37 | ) | $ | — | $ | (0.37 | ) | $ | 11.14 | 5.43 | % | $ | 2,185,135 | 0.71 | %(13) | 0.71 | %(13) | 0.89 | %(13) | 3.25 | % | 473 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.92 | $ | 0.33 | $ | 0.23 | $ | 0.56 | $ | (0.35 | ) | $ | — | $ | (0.35 | ) | $ | 11.13 | 5.20 | % | $ | 15,701 | 0.93 | %(13) | 0.93 | %(13) | 1.14 | %(13) | 3.03 | % | 473 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.81 | $ | 0.30 | $ | 0.26 | $ | 0.56 | $ | (0.32 | ) | $ | (0.35 | ) | $ | (0.67 | ) | $ | 10.70 | 5.43 | % | $ | 972,449 | 0.66 | % | 0.66 | % | 0.87 | % | 2.85 | % | 337 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 7.27 | $ | 0.55 | $ | (0.32 | ) | $ | 0.23 | $ | (0.54 | ) | $ | (0.04 | ) | $ | (0.58 | ) | $ | 6.92 | 2.96 | % | $ | 1,316,158 | 0.89 | % | 0.89 | % | 1.13 | % | 7.38 | % | 82 | % | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
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2011 | $ | 7.28 | $ | 0.53 | $ | (0.42 | ) | $ | 0.11 | $ | (0.53 | ) | $ | (0.04 | ) | $ | (0.57 | ) | $ | 6.82 | 1.19 | % | $ | 915 | 1.11 | % | 1.11 | % | 1.37 | % | 7.06 | % | 82 | % | ||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 165 |
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† | ||||||||||||||||||||||||||||||||||||||||||||||
Real Return Fund |
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Class A |
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2011 | $ | 10.51 | $ | 0.33 | $ | 0.13 | $ | 0.46 | $ | (0.27 | ) | $ | (0.10 | ) | $ | (0.37 | ) | $ | 10.60 | 4.51 | % | $ | 373,560 | 0.45 | % | 0.45 | % | 0.85 | % | 3.06 | % | 77 | % | |||||||||||||||||||||||||||
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 |
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Class A |
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2011 | $ | 9.93 | $ | 0.20 | $ | (0.41 | ) | $ | (0.21 | ) | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 9.57 | (2.16 | )% | $ | 292,006 | 0.50 | % | 0.50 | % | 2.13 | % | 1.76 | % | 25 | % | ||||||||||||||||||||||||||
2010(7) | 10.00 | (0.02 | ) | (0.05 | ) | (0.07 | ) | — | — | — | 9.93 | (0.70 | ) | 191,055 | 0.50 | 0.50 | 2.19 | (0.42 | ) | 49 |
‡ | See Note 1 in Notes to Financial Statements. |
† | 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 March 31, 2010. 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) | Includes return of capital of $0.10. |
(13) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.67%, 0.67% and 0.85 for Class A and 0.89%, 0.89% and 1.10% for Class I, respectively. |
(14) | The amount shown for the year ended September 30, 2011, for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because of the sales and repurchase of Fund shares in relation to fluctuting market value of the investments of the Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
166 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
September 30, 2011
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/Mid 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 and Multi-Strategy Alternative Funds. 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/Mid 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.
Effective September 6, 2011, the Tax-Managed Small Cap Fund changed its name to the Tax-Managed Small/Mid Cap Fund.
As of September 30, 2011, 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
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Table of Contents
Notes to Financial Statements (Continued)
September 30, 2011
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.
The Global Managed Volatility 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 Volatility 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 investments in underlying registered investment companies, which are valued at their respective daily net assets in accordance with pricing procedures approved by their respective Boards.
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)
Investments are classified within the level of the lowest significant input considered in determing fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The 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.
In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
168 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the year ended September 30, 2011, 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, which is not materially different from the effective interest method. Amortization of premiums and discounts is included in interest income.
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 may 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.
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.
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.
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. 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, 2011, if applicable.
Futures Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. 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
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Notes to Financial Statements (Continued)
September 30, 2011
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, 2011, if applicable.
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. 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, 2011, if applicable.
Securities Sold Short — To the extent consistent with its Investment Objective and Strategies, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. A Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.
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 — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts 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
170 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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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 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, 2011, 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.
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 171 |
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Notes to Financial Statements (Continued)
September 30, 2011
Restricted Securities — At September 30, 2011, 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, 2011, 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 | ||||||||||||||||||||||||
Titanium Asset Management PIPE | 2,000 | 10/06/09 | 10/06/09 | $ | 8 | $ | 2 | 0.00 | % | |||||||||||||||
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Small Cap Value Fund | ||||||||||||||||||||||||
Verde Realty PIPE | 21,100 | 02/16/07 | 02/16/07 | $ | 696 | $ | 356 | 0.09 | % | |||||||||||||||
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Small Cap Growth Fund | ||||||||||||||||||||||||
Rentech Warrant | 19,400 | 04/20/07 | 04/20/07 | $ | — | $ | — | 0.00 | % | |||||||||||||||
Titanium Asset Management PIPE | 140,900 | 06/14/07 | 06/14/07 | 845 | 107 | 0.04 | ||||||||||||||||||
Value Creation | 145,600 | 08/10/06 | 08/10/06 | 1,491 | 145 | 0.05 | ||||||||||||||||||
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$ | 2,336 | $ | 252 | 0.09 | % | |||||||||||||||||||
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Real Estate Fund | ||||||||||||||||||||||||
Verde Realty PIPE | 21,400 | 02/16/07 | 02/16/07 | $ | 706 | $ | 361 | 0.25 | % | |||||||||||||||
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Enhanced Income Fund | ||||||||||||||||||||||||
JHT Holding, 2nd Lien | $ | 43 | 12/16/08 | 12/16/08 | $ | 52 | $ | 14 | 0.01 | % | ||||||||||||||
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High Yield Bond Fund | ||||||||||||||||||||||||
Aventine (Escrow Security) | $ | 2,750 | 04/21/10 | 04/21/10 | $ | — | $ | 65 | 0.00 | % | ||||||||||||||
CUI Acquisition Warrants | 47 | 09/06/11 | 09/06/11 | 4,033 | 2,948 | 0.22 | ||||||||||||||||||
Momentive Performance Materials PIK | 1,794 | 12/07/10 | 12/07/10 | 1,605 | 1,569 | 0.12 | ||||||||||||||||||
VSS AHC, Cl A | 27,106 | 10/08/09 | 10/08/09 | 485 | 323 | 0.03 | ||||||||||||||||||
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$ | 6,123 | $ | 4,905 | 0.37 | % | |||||||||||||||||||
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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/Mid Cap, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Real Return and Multi-Strategy Alternative Funds; are declared and paid annually for the Global Managed Volatility Fund; 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.
Redemption Fees — The Funds retain a redemption fee based on a dollar threshold for redemptions, or a series of redemptions from a single identifiable source that in the aggregate exceed a specified dollar threshold within any thirty day period, as presented below:
Dollar Threshold ($Thousands) | Redemption Fee | |||||||
Large Cap Fund | $ | 50,000 | 0.50 | % | ||||
Large Cap Value Fund | 50,000 | 0.50 | ||||||
Large Cap Growth Fund | 50,000 | 0.50 | ||||||
Tax-Managed Large Cap Fund | 50,000 | 0.50 | ||||||
S&P 500 Index Fund | 50,000 | 0.15 | ||||||
Small Cap Fund | 25,000 | 1.00 | ||||||
Small Cap Value Fund | 25,000 | 1.00 | ||||||
Small Cap Growth Fund | 25,000 | 1.00 | ||||||
Tax-Managed Small/Mid Cap Fund | 25,000 | 1.00 | ||||||
Mid-Cap Fund | 10,000 | 0.75 | ||||||
U.S. Managed Volatility Fund | 25,000 | 0.50 | ||||||
Global Managed Volatility Fund | 25,000 | 0.75 | ||||||
Tax-Managed Managed Volatility Fund | 25,000 | 0.50 | ||||||
Real Estate Fund | 10,000 | 1.00 | ||||||
Enhanced Income Fund | 10,000 | 0.75 | ||||||
Core Fixed Income Fund | 50,000 | 0.60 | ||||||
U.S. Fixed Income Fund | 50,000 | 0.60 | ||||||
High Yield Bond Fund | 25,000 | 1.00 | ||||||
Real Return Fund | 10,000 | 0.25 | ||||||
Multi-Strategy Alternative Fund | 25,000 | 0.25 |
For the year ended September 30, 2011, the Funds did not retain any redemption fees. Such fees, if any, are retained by the Funds for the benefit of the remaining shareholders.
172 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
3. CREDIT DERIVATIVES
A Fund may use credit default swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, 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, 2011, the Core Fixed Income Fund and U.S. Fixed Income Fund are the buyers (“receiving protection”) on a total notional amount of $8.2 million and $2.2 million, respectively, and are the sellers (“providing protection”) on a total notional amount of $9.4 million and $2.3 million, respectively. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | (232,738 | ) | $ | (446,177 | ) | $ | (265,621 | ) | — | $ | (944,536 | ) | |||||||
Maximum potential amount of future payments | $ | (1,590,000 | ) | $ | (6,125,000 | ) | $ | (1,640,000 | ) | — | $ | (9,355,000 | ) | |||||||
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 | — | — | — | — | — |
U.S. 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 | — | $ | (167,544 | ) | — | — | $ | (167,544 | ) | |||||||||||
Maximum potential amount of future payments | — | $ | (2,300,000 | ) | — | — | $ | (2,300,000 | ) | |||||||||||
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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 173 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2011
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) | ||||||||||||||||||||||||
0-200 | — | — | $ | 6,125,000 | — | — | $ | 6,125,000 | ||||||||||||||||
201-400 | — | — | — | $ | 1,590,000 | — | $ | 1,590,000 | ||||||||||||||||
> than 400 | — | — | — | — | $ | 1,640,000 | $ | 1,640,000 | ||||||||||||||||
Total | — | — | $ | 6,125,000 | $ | 1,590,000 | $ | 1,640,000 | $ | 9,355,000 |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
U.S. 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) | ||||||||||||||||||||||||
0-200 | — | — | $ | 2,300,000 | — | — | $ | 2,300,000 | ||||||||||||||||
> than 200 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 2,300,000 | — | — | $ | 2,300,000 |
* | 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.
The fair value of derivative instruments as of September 30, 2011 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Year ended September 30, 2011 ($ Thousands) | Year ended September 30, 2011 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
Global Managed Volatility Fund | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 5,070 | Unrealized loss on forward foreign currency contracts | $ | 39 | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 139 | * | Net Assets — Unrealized depreciation on futures contracts | 455 | * | ||||||
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Total Derivatives not accounted for as hedging instruments | $ | 5,209 | $ | 494 | ||||||||
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Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 2,619 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 392 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 1,191 | † | ||||||||
Investments, at value | 30 | Options written, at value | 906 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,252 | Unrealized loss on forward foreign currency contracts | 354 | ||||||||
Equity contracts | Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 11 | † | |||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 274 | † | Net Assets — Unrealized depreciation on swap contracts | 2,248 | † | ||||||
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Total Derivatives not accounted for as hedging instruments | $ | 4,175 | $ | 5,102 | ||||||||
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U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 30 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 280 | * | ||||
Investments, at value | — | Options written, at value | 10 | |||||||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 331 | † | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 9 | † | Net Assets — Unrealized depreciation on swap contracts | 72 | † | ||||||
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Total Derivatives not accounted for as hedging instruments | $ | 39 | $ | 693 | ||||||||
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* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Summary Schedules of Investments or 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. |
174 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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The effect of derivative instruments on the Statement of Operations for the year ended September 30, 2011.
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands)
Derivatives Not Accounted for as Hedging Instruments: | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Small Cap Fund | ||||||||||||||||||||
Equity contracts | $ | — | $ | 834 | $ | — | $ | — | $ | 834 | ||||||||||
Foreign exchange contracts | — | — | 1 | — | 1 | |||||||||||||||
Total | $ | — | $ | 834 | $ | 1 | $ | — | $ | 835 | ||||||||||
Tax Managed Small/Mid Cap Fund | ||||||||||||||||||||
Equity contracts | $ | — | $ | 844 | $ | — | $ | — | $ | 844 | ||||||||||
Foreign exchange contracts | — | — | (39 | ) | — | (39 | ) | |||||||||||||
Total | $ | — | $ | 844 | $ | (39 | ) | $ | — | $ | 805 | |||||||||
Global Managed Volatility Fund | ||||||||||||||||||||
Equity contracts | $ | — | $ | 787 | $ | — | $ | — | $ | 787 | ||||||||||
Foreign exchange contracts | — | — | (10,293 | ) | — | (10,293 | ) | |||||||||||||
Total | $ | — | $ | 787 | $ | (10,293 | ) | $ | — | $ | (9,506 | ) | ||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 1,016 | $ | (7,067 | ) | $ | — | $ | (5,406 | ) | $ | (11,457 | ) | |||||||
Credit contracts | — | — | — | (4,166 | ) | (4,166 | ) | |||||||||||||
Equity Contracts | — | — | — | 74 | 74 | |||||||||||||||
Foreign exchange contracts | — | — | (2,288 | ) | — | (2,288 | ) | |||||||||||||
Total | $ | 1,016 | $ | (7,067 | ) | $ | (2,288 | ) | $ | (9,498 | ) | $ | (17,837 | ) | ||||||
U.S. Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 163 | $ | (2,153 | ) | $ | — | $ | 51 | $ | (1,939 | ) | ||||||||
Credit contracts | — | — | — | (638 | ) | (638 | ) | |||||||||||||
Total | $ | 163 | $ | (2,153 | ) | $ | — | $ | (587 | ) | $ | (2,577 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments: | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||
Equity contracts | $ | — | $ | (669 | ) | $ | — | $ | — | $ | (669 | ) | ||||||||
Foreign exchange contracts | — | — | 36 | — | 36 | |||||||||||||||
Total | $ | — | $ | (669 | ) | $ | 36 | $ | — | $ | (633 | ) | ||||||||
Global Managed Volatility Fund | ||||||||||||||||||||
Equity contracts | $ | — | $ | (459 | ) | $ | — | $ | — | $ | (459 | ) | ||||||||
Foreign exchange contracts | — | — | 6,500 | — | 6,500 | |||||||||||||||
Total | $ | — | $ | (459 | ) | $ | 6,500 | $ | — | $ | 6,041 | |||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | (52 | ) | $ | 2,390 | $ | — | $ | 2,058 | $ | 4,396 | |||||||||
Credit contracts | — | — | — | 5,157 | 5,157 | |||||||||||||||
Equity contracts | — | — | — | (11 | ) | (11 | ) | |||||||||||||
Foreign exchange contacts | — | — | 1,726 | — | 1,726 | |||||||||||||||
Total | $ | (52 | ) | $ | 2,390 | $ | 1,726 | $ | 7,204 | $ | 11,268 | |||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 22 | $ | (150 | ) | $ | — | $ | (331 | ) | $ | (459 | ) | |||||||
Credit contracts | — | — | — | 1,000 | 1,000 | |||||||||||||||
Total | $ | 22 | $ | (150 | ) | $ | — | $ | 669 | $ | 541 |
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, 2011 are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of year | 447 | $ | 401 | |||||
Written | 10,892,378 | 1,880 | ||||||
Expired | (276 | ) | (241 | ) | ||||
Closing buys | (2,307 | ) | (1,251 | ) | ||||
Balance at the end of year | 10,890,242 | $ | 789 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 175 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2011
U.S. Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of year | 110 | $ | 73 | |||||
Written | 1,490,145 | 164 | ||||||
Expired | (55 | ) | (59 | ) | ||||
Closing buys | (200 | ) | (161 | ) | ||||
Balance at the end of year | 1,490,000 | $ | 17 |
At September 30, 2011 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/Mid 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 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, interest expense 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 |
Advisory Fees | Voluntary Expense Limitations | |||||||
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/Mid 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, 2011, SIMC has entered into investment sub-advisory agreements with the following parties:
Investment Sub-Adviser |
Large Cap Fund |
AQR Capital Management, LLC |
Aronson+Johnson+Ortiz, L.P. |
Brown Investment Advisory Incorporated |
Delaware Management Company |
LSV Asset Management |
Neuberger Berman Management LLC |
Waddell + Reed Investment Management Company |
WestEnd Advisors LLC |
Large Cap Value Fund |
Aronson + Johnson + Ortiz, LP |
INTECH Investment Management, LLC |
Lazard Asset Management LLC |
LSV Asset Management |
Tocqueville Asset Management LP |
176 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Investment Sub-Adviser |
Large Cap Growth Fund |
Brown Investment Advisory Incorporated |
Delaware Management Company |
INTECH Investment Management, LLC |
Neuberger Berman Management LLC |
Tax-Managed Large Cap Fund |
AQR Capital Management, LLC |
Aronson + Johnson + Ortiz, LP |
Brown Investment Advisory Incorporated |
Delaware Management Company |
LSV Asset Management |
Neuberger Berman Management LLC |
Parametric Portfolio Associates |
Waddell + Reed Investment Management Company |
WestEnd Advisors 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 |
JP Morgan Investment Management Company |
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. |
Security Capital Research + Management Incorporated |
Wellington Management Company, LLP |
William Blair + Company, LLC |
Small Cap Growth Fund |
Allianz Global Investors Capital LLC |
AQR Capital Management, LLC |
Janus Capital Management, LLC |
Los Angeles Capital Management and Equity Research, Inc. |
Tax-Managed Small/Mid 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 |
William Blair + Company, LLC |
Mid-Cap Fund |
JP Morgan Investment Management Company |
Lee Munder Capital Group LLC |
Quantitative Management Associates LLC |
U.S. Managed Volatility Fund |
Analytic Investors, LLC |
Aronson + Johnson + Ortiz, LP |
Investment Sub-Adviser |
LSV Asset Management |
Global Managed Volatility Fund |
Acadian Asset Management LLC |
Analytic Investors, LLC |
Tax-Managed Managed Volatility Fund |
Analytic Investors LLC |
Aronson + Johnson + Ortiz, LP |
LSV Asset Management |
Parametric Portfolio Associates |
Real Estate Fund |
Security Capital Research and Management, Inc. |
Urdang Capital Management |
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 |
Multi-Strategy Alternative Fund |
Turner Investment Partners, Inc. |
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.
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 177 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2011
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, 2011 were as follows ($ Thousands):
Large Cap Fund | $ | 395 | ||
Large Cap Value Fund | 196 | |||
Large Cap Growth Fund | 276 | |||
Tax-Managed Large Cap Fund | 87 | |||
S&P 500 Index Fund | 58 | |||
Small Cap Fund | 84 | |||
Small Cap Value Fund | 83 | |||
Small Cap Growth Fund | 185 | |||
Tax-Managed Small/Mid Cap Fund | 141 | |||
Mid-Cap Fund | 52 | |||
U.S. Managed Volatility Fund | 63 | |||
Tax-Managed Managed Volatility Fund | 37 | |||
Real Estate Fund | 31 | |||
|
| |||
$ | 1,688 | |||
|
|
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, 2011, 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.
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, Tax-Managed Small/Mid Cap, U.S. Managed Volatility and Tax-Managed Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2011 were as follows ($ Thousands):
Large Cap Fund | $ | 331 | ||
Large Cap Value Fund | 564 | |||
Tax-Managed Large Cap Fund | 361 | |||
Small Cap Value Fund | 481 | |||
Tax-Managed Small/Mid Cap Fund | 165 | |||
U.S. Managed Volatility Fund | 386 | |||
Tax-Managed Managed Volatility Fund | 214 | |||
|
| |||
$ | 2,502 | |||
|
|
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, 2011, 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.
Affiliated Transaction — On February 25, 2011, the S&P 500 Index Fund participated in a transaction with an affiliated fund. The Fund sold securities in the amount of $767,016,288 resulting in realized gains of $40,460,815.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula approved by the SEI Funds’ board of trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
During the fiscal year ended September 30, 2011, the Trust borrowed funds from SEI Liquid Asset Prime Obligation Fund. The total amount of borrowing and interest paid on the borrowing are as follows ($ Thousands).
Borrowing Fund | Amount Borrowed | Interest Paid | ||||||
High Yield Bond | $512,981 | $7 | ||||||
Large Cap Growth | 9,500 | — | ||||||
Large Cap Value | 14,000 | — | ||||||
Mid Cap | 10,846 | — | ||||||
Real Estate | 18,974 | — | ||||||
Small Cap Fund | 12,500 | 1 | ||||||
Small Cap Growth | 19,600 | 1 | ||||||
Small Cap Value | 14,200 | 1 | ||||||
Tax-Managed Small/Mid Cap | 9,897 | — | ||||||
U.S. Managed Volatility | 4,531 | — |
The Trust had no outstanding loans under the interfund lending agreement at September 30, 2011.
178 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
6. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the years or period ended September 30, 2011
Large Cap Fund(1) | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||
2011 | 10/01/09 to 09/30/10 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 76,628 | 183,286 | 15,386 | 19,666 | 11,453 | 14,496 | 33,056 | 32,509 | 29,348 | 5,739 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 5,309 | 1,354 | 1,248 | 1,902 | 288 | 610 | 1,037 | 1,408 | 284 | 236 | ||||||||||||||||||||||||||||||
Shares Redeemed | (61,580 | ) | (54,987 | ) | (33,831 | ) | (52,909 | ) | (28,552 | ) | (49,047 | ) | (34,953 | ) | (51,272 | ) | (31,813 | )(3) | (11,115 | ) | ||||||||||||||||||||
Total Class A Transactions | 20,357 | 129,653 | (17,197 | ) | (31,341 | ) | (16,811 | ) | (33,941 | ) | (860 | ) | (17,355 | ) | (2,181 | ) | (5,140 | ) | ||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | 12,648 | 8,945 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | — | 553 | 587 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | — | (8,142 | ) | (5,625 | ) | ||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | — | — | — | 5,059 | 3,907 | ||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 125 | 200 | 142 | 131 | — | — | 54 | 92 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 7 | 9 | 1 | 1 | — | — | 2 | 3 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (333 | ) | (334 | ) | (210 | ) | (248 | ) | — | — | (91 | ) | (124 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (201 | ) | (125 | ) | (67 | ) | (116 | ) | — | — | (35 | ) | (29 | ) | ||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | 18 | 5 | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | 1 | 2 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | (201 | ) | (41 | ) | — | — | ||||||||||||||||||||||||||||
Total Class Y Transactions | — | — | — | — | — | — | (182 | ) | (34 | ) | — | — | ||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 20,357 | 129,653 | (17,398 | ) | (31,466 | ) | (16,878 | ) | (34,057 | ) | (1,042 | ) | (17,389 | ) | 2,843 | (1,262 | ) |
Small Cap Fund(1) | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund | ||||||||||||||||||||||||||||||||||||
2011 | 10/01/09 to 09/30/10 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 15,415 | 43,949 | 5,548 | 12,391 | 4,689 | 9,938 | 7,540 | 11,004 | 4,700 | 7,278 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,753 | 53 | 179 | 275 | — | 2 | 56 | 64 | 31 | 43 | ||||||||||||||||||||||||||||||
Shares Redeemed | (15,817 | ) | (23,903 | ) | (13,960 | ) | (24,708 | ) | (11,437 | ) | (20,925 | ) | (10,796 | ) | (11,156 | ) | (7,665 | ) | (8,052 | ) | ||||||||||||||||||||
Total Class A Transactions | 1,351 | 20,099 | (8,233 | ) | (12,042 | ) | (6,748 | ) | (10,985 | ) | (3,200 | ) | (88 | ) | (2,934 | ) | (731 | ) | ||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 106 | 147 | 113 | 99 | — | — | 35 | 42 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 2 | 2 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (284 | ) | (242 | ) | (166 | ) | (154 | ) | — | — | (11 | ) | (23 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (176 | ) | (93 | ) | (53 | ) | (55 | ) | — | — | 24 | 19 | ||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 1,351 | 20,099 | (8,409 | ) | (12,135 | ) | (6,801 | ) | (11,040 | ) | (3,200 | ) | (88 | ) | (2,910 | ) | (712 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 179 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2011
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 25,913 | 19,047 | 44,541 | 25,777 | 12,304 | 12,259 | 4,879 | 12,707 | 18,045 | 13,933 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 450 | 479 | — | 101 | 292 | 275 | 227 | 652 | 416 | 814 | ||||||||||||||||||||||||||||||
Shares Redeemed | (25,421 | ) | (20,567 | ) | (23,526 | ) | (12,968 | ) | (9,577 | ) | (8,110 | ) | (11,962 | ) | (17,761 | ) | (15,277 | ) | (28,772 | ) | ||||||||||||||||||||
Total Class A Transactions | 942 | (1,041 | ) | 21,015 | 12,910 | 3,019 | 4,424 | (6,856 | ) | (4,402 | ) | 3,184 | (14,025 | ) | ||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 8 | 3 | 12 | 13 | — | — | 39 | 17 | 1 | 2 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | 1 | 1 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (6 | ) | (2 | ) | (18 | ) | (7 | ) | — | — | (27 | ) | (6 | ) | — | (6 | ) | |||||||||||||||||||||||
Total Class I Transactions | 2 | 1 | (6 | ) | 6 | — | — | 13 | 12 | 1 | (4 | ) | ||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 944 | (1,040 | ) | 21,009 | 12,916 | 3,019 | 4,424 | (6,843 | ) | (4,390 | ) | 3,185 | (14,029 | ) |
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund(2) | ||||||||||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 03/31/10 to 09/30/10 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 52,351 | 71,455 | 52,968 | 62,360 | 128,071 | 142,465 | 23,421 | 19,945 | 18,501 | 20,817 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 6,214 | 9,212 | 4,890 | 2,912 | 13,788 | 14,881 | 985 | 246 | 312 | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (76,072 | ) | (112,569 | ) | (48,184 | ) | (49,991 | ) | (158,177 | ) | (148,528 | ) | (12,072 | ) | (5,476 | ) | (7,546 | ) | (1,578 | ) | ||||||||||||||||||||
Total Class A Transactions | (17,507 | ) | (31,902 | ) | 9,674 | 15,281 | (16,318 | ) | 8,818 | 12,334 | 14,715 | 11,267 | 19,239 | |||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 487 | 772 | — | — | 2,215 | 247 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 33 | 40 | — | — | 30 | 4 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (706 | ) | (584 | ) | — | — | (2,364 | ) | (29 | ) | — | — | — | — | ||||||||||||||||||||||||||
Total Class I Transactions | (186 | ) | 228 | — | — | (119 | ) | 222 | — | — | — | — | ||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | (17,693 | ) | (31,674 | ) | 9,674 | 15,281 | (16,437 | ) | 9,040 | 12,334 | 14,715 | 11,267 | 19,239 |
(1) | Commenced operations on October 1, 2009. |
(2) | Commenced operations on March 31, 2010. |
(3) | Includes redemptions as a result of an affiliated transaction (see Note 5). |
Amounts designated as “—” are zero or have been rounded to zero. |
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 ended September 30, 2011, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 1,729,947 | $ | 1,729,947 | ||||||
Sales | — | 1,541,195 | 1,541,195 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 949,519 | 949,519 | |||||||||
Sales | — | 1,221,240 | 1,221,240 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 1,684,200 | 1,684,200 | |||||||||
Sales | — | 1,954,964 | 1,954,964 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 1,209,506 | 1,209,506 | |||||||||
Sales | — | 1,194,734 | 1,194,734 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 1,012,906 | 1,012,906 | |||||||||
Sales | — | 1,009,394 | 1,009,394 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 295,085 | 295,085 | |||||||||
Sales | — | 300,630 | 300,630 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Small Cap Value Fund | ||||||||||||
Purchases | $ | — | $ | 359,211 | $ | 359,211 | ||||||
Sales | — | 496,830 | 496,830 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 485,025 | 485,025 | |||||||||
Sales | — | 603,112 | 603,112 | |||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||
Purchases | — | 322,231 | 322,231 | |||||||||
Sales | — | 355,027 | 355,027 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 190,794 | 190,794 | |||||||||
Sales | — | 237,116 | 237,116 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 339,492 | 339,492 | |||||||||
Sales | — | 326,444 | 326,444 | |||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 413,414 | 413,414 | |||||||||
Sales | — | 278,955 | 278,955 | |||||||||
Tax-Managed Managed Volatility | ||||||||||||
Purchases | — | 193,729 | 193,729 | |||||||||
Sales | — | 163,469 | 163,469 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 139,358 | 139,358 | |||||||||
Sales | — | 222,198 | 222,198 |
180 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Enhanced Income Fund | ||||||||||||
Purchases | $ | 93,341 | $ | 44,234 | $ | 137,575 | ||||||
Sales | 94,574 | 26,974 | 121,548 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 9,191,133 | 796,869 | 9,988,002 | |||||||||
Sales | 9,181,632 | 991,441 | 10,173,073 | |||||||||
U.S Fixed Income Fund | ||||||||||||
Purchases | 2,585,290 | 342,716 | 2,928,006 | |||||||||
Sales | 2,498,658 | 343,715 | 2,842,373 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | 3,060 | 1,072,923 | 1,075,983 | |||||||||
Sales | 2,999 | 1,225,587 | 1,228,586 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 368,292 | — | 368,292 | |||||||||
Sales | 236,992 | — | 236,992 | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | — | 135,645 | 135,645 | |||||||||
Sales | — | 61,017 | 61,017 |
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.
The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative as of September 30, 2011, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2010. Accordingly, the disclosures are for informational use by shareholders and are subject to change attributable to activity through the end of the tax year-ended December 31, 2011.
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 passive foreign investment companies, investments in partnerships, municipal bonds, collateralized debt obligations, distribution reclassification, expiration of capital losses, REIT income reclassification, redemption in-kind transaction, 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, 2011:
Paid-in-Capital ($ Thousands) | Undistributed Net Investment Income/(Loss) ($ Thousands) | Accumulated Gain/(loss) | ||||||||||
Large Cap Fund | $ | — | $ | 188 | $ | (188 | ) | |||||
Large Cap Value Fund | — | 233 | (233 | ) | ||||||||
Large Cap Growth Fund | (338,510 | ) | 101 | 338,409 | ||||||||
Tax-Managed Large Cap Fund | (48,103 | ) | 187 | 47,916 | ||||||||
S&P 500 Index Fund | 40,116 | 210 | (40,326 | ) | ||||||||
Small Cap Fund | — | 488 | (488 | ) | ||||||||
Small Cap Value Fund | — | 1,183 | (1,183 | ) | ||||||||
Small Cap Growth Fund | (1,411 | ) | 1,619 | (208 | ) | |||||||
Tax-Managed Small/Mid Cap Fund | — | 234 | (234 | ) | ||||||||
Mid-Cap Fund | — | 57 | (57 | ) | ||||||||
U.S. Managed Volatility | — | 166 | (166 | ) | ||||||||
Global Managed Volatility Fund | (904 | ) | (8,761 | ) | 9,665 | |||||||
Tax-Managed Managed Volatility Fund | — | 80 | (80 | ) | ||||||||
Real Estate Fund | (2,160 | ) | 3,610 | (1,450 | ) | |||||||
Enhanced Income Fund | — | (522 | ) | 522 | ||||||||
Core Fixed Income Fund | 81 | 830 | (911 | ) | ||||||||
U.S. Fixed Income Fund | — | 1,513 | (1,513 | ) | ||||||||
High Yield Bond Fund | (56,802 | ) | (3,279 | ) | 60,081 | |||||||
Real Return Fund | — | 1 | (1 | ) |
The tax character of dividends and distributions paid during the fiscal years or periods ended September 30, 2011 and September 30, 2010 (unless otherwise indicated) was as follows:
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Large Cap Fund | 2011 | $ | 55,525 | $ | 6,999 | $ | — | $ | 62,524 | |||||||||||
2010 | 12,021 | 2,478 | — | 14,499 | ||||||||||||||||
Large Cap Value Fund | 2011 | 21,714 | — | 21,714 | ||||||||||||||||
2010 | 28,384 | — | — | 28,384 | ||||||||||||||||
Large Cap Growth Fund | 2011 | 6,587 | — | — | 6,587 | |||||||||||||||
2010 | 11,957 | — | — | 11,957 | ||||||||||||||||
Tax-Managed Large Cap Fund | 2011 | 13,825 | — | — | 13,825 | |||||||||||||||
2010 | 16,047 | — | — | 16,047 | ||||||||||||||||
S&P 500 Index Fund | 2011 | 30,225 | — | — | 30,225 | |||||||||||||||
2010 | 25,920 | — | — | 25,920 | ||||||||||||||||
Small Cap Fund | 2011 | 18,003 | 2,754 | — | 20,757 | |||||||||||||||
2010 | 553 | 14 | — | 567 | ||||||||||||||||
Small Cap Value Fund | 2011 | 3,323 | — | — | 3,323 | |||||||||||||||
2010 | 4,161 | — | — | 4,161 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 181 |
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Notes to Financial Statements (Continued)
September 30, 2011
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Small Cap Growth Fund | 2011 | $ | — | $ | — | $ | — | $ | — | |||||||||||
2010 | — | — | 30 | 30 | ||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 2011 | 741 | — | — | 741 | |||||||||||||||
2010 | 727 | — | — | 727 | ||||||||||||||||
Mid-Cap Fund | 2011 | 671 | — | — | 671 | |||||||||||||||
2010 | 729 | — | — | 729 | ||||||||||||||||
U.S. Managed Volatility Fund | 2011 | 5,926 | — | — | 5,926 | |||||||||||||||
2010 | 5,225 | — | — | 5,225 | ||||||||||||||||
Global Managed Volatility Fund | 2011 | — | — | — | — | |||||||||||||||
2010 | 792 | — | 72 | 864 | ||||||||||||||||
Tax-Managed Managed Volatility Fund | 2011 | 3,483 | — | — | 3,483 | |||||||||||||||
2010 | 2,727 | — | — | 2,727 | ||||||||||||||||
Real Estate Fund | 2011 | 2,958 | — | — | 2,958 | |||||||||||||||
2010 | 5,233 | — | 2,158 | 7,391 | ||||||||||||||||
Enhanced Income Fund | 2011 | 3,390 | — | — | 3,390 | |||||||||||||||
2010 | 6,384 | — | — | 6,384 | ||||||||||||||||
Core Fixed Income Fund | 2011 | 74,340 | — | — | 74,340 | |||||||||||||||
2010 | 104,187 | — | — | 104,187 | ||||||||||||||||
U.S. Fixed Income Fund | 2011 | 50,305 | 3,680 | — | 53,985 | |||||||||||||||
2010 | 31,840 | — | — | 31,840 | ||||||||||||||||
High Yield Bond Fund | 2011 | 122,263 | — | — | 122,263 | |||||||||||||||
2010 | 123,263 | — | — | 123,263 | ||||||||||||||||
Real Return Fund | 2011 | 11,366 | 42 | — | 11,408 | |||||||||||||||
2010 | 2,708 | 18 | — | 2,726 | ||||||||||||||||
Multi-Strategy Alternative Fund | 2011 | 3,346 | — | — | 3,346 | |||||||||||||||
2010 | — | — | — | — |
As of fiscal year ended September 30, 2011, 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 Earnings (Accumulated ($ Thousands) | |||||||||||||||||||||||||
Large Cap Fund | $ | 24,895 | $ | 67,355 | $ | — | $ | — | $ | (46 | ) | $ | (92,240 | ) | $ | (10 | ) | $ | (46 | ) | ||||||||||||
Large Cap Value Fund | 4,792 | — | (303,613 | ) | — | — | (165,717 | ) | (4 | ) | (464,542 | ) | ||||||||||||||||||||
Large Cap Growth Fund | 270 | — | (319,983 | ) | — | — | 3,023 | 14 | (316,676 | ) | ||||||||||||||||||||||
Tax-Managed Large Cap Fund | 3,376 | — | (333,278 | ) | — | (18 | ) | (10,197 | ) | (5 | ) | (340,122 | ) | |||||||||||||||||||
S&P 500 Index Fund | 6,503 | — | (32,308 | ) | — | — | 556,478 | 4 | 530,677 | |||||||||||||||||||||||
Small Cap Fund | 8,973 | 24,666 | — | — | — | (29,239 | ) | (55 | ) | 4,345 | ||||||||||||||||||||||
Small Cap Value Fund | 1,352 | — | (81,078 | ) | — | (1 | ) | (68,815 | ) | (85 | ) | (148,627 | ) | |||||||||||||||||||
Small Cap Growth Fund | — | — | (193,437 | ) | — | — | (52,182 | ) | (125 | ) | (245,744 | ) | ||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 392 | — | (22,976 | ) | — | (15 | ) | (20,244 | ) | 3 | (42,840 | ) | ||||||||||||||||||||
Mid-Cap Fund | 111 | — | (17,641 | ) | — | — | (16,841 | ) | (4 | ) | (34,375 | ) | ||||||||||||||||||||
U.S. Managed Volatility Fund | 1,683 | — | (46,055 | ) | — | — | 25,884 | — | (18,488 | ) | ||||||||||||||||||||||
Global Managed Volatility Fund | — | — | (43,632 | ) | — | — | 22,553 | (4,644 | ) | (25,723 | ) | |||||||||||||||||||||
Tax-Managed Managed Volatility Fund | 1,045 | 11,182 | — | — | — | 20,274 | — | 32,501 | ||||||||||||||||||||||||
Real Estate Fund | 1,813 | — | (45,087 | ) | — | — | 6,294 | 604 | (36,376 | ) | ||||||||||||||||||||||
Enhanced Income Fund | 985 | — | (124,218 | ) | — | — | (7,690 | ) | — | (130,923 | ) | |||||||||||||||||||||
Core Fixed Income Fund | 20,595 | — | — | (49,687 | ) | (112 | ) | (4,423 | ) | (9,571 | ) | (43,198 | ) | |||||||||||||||||||
U.S. Fixed Income Fund | 20,591 | 6,044 | — | — | — | 29,800 | (2,098 | ) | 54,337 | |||||||||||||||||||||||
High Yield Bond Fund | 15,096 | — | (160,799 | ) | — | — | (77,207 | ) | (8,125 | ) | (231,035 | ) | ||||||||||||||||||||
Real Return Fund | 2,997 | 71 | — | — | — | 4,662 | 11 | 7,741 | ||||||||||||||||||||||||
Multi-Strategy Alternative Fund | 1,118 | — | (1,945 | ) | (2,715 | ) | — | (8,607 | ) | — | (12,149 | ) |
182 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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Post October losses represent losses realized on investment transactions from November 1, 2010 through September 30, 2011 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 2019 ($ Thousands) | Expires 2018 ($ Thousands) | Expires 2017 ($ Thousands) | Expires 2016 ($ Thousands) | Expires 2015 ($ Thousands) | Expires 2014 ($ Thousands) | Expires 2013 ($ Thousands) | Expires 2012 ($ Thousands) | Total Capital Loss Carryforwards ($ Thousands) | ||||||||||||||||||||||||||||
Large Cap Value Fund | $ | — | $ | 303,613 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 303,613 | ||||||||||||||||||
Large Cap Growth Fund | — | 248,707 | 64,163 | — | — | — | — | 7,113 | 319,983 | |||||||||||||||||||||||||||
Tax-Managed Large Cap Fund | — | 264,576 | 52,636 | — | — | — | — | 16,066 | 333,278 | |||||||||||||||||||||||||||
S&P 500 Index Fund | — | 31,068 | 1,240 | — | — | — | — | — | 32,308 | |||||||||||||||||||||||||||
Small Cap Value Fund | — | 81,078 | — | — | — | — | — | — | 81,078 | |||||||||||||||||||||||||||
Small Cap Growth Fund | — | 182,805 | 10,632 | — | — | — | — | — | 193,437 | |||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | — | 22,976 | — | — | — | — | — | — | 22,976 | |||||||||||||||||||||||||||
Mid-Cap Fund | — | 14,531 | 3,110 | — | — | — | — | — | 17,641 | |||||||||||||||||||||||||||
U.S. Managed Volatility Fund | — | 46,055 | — | — | — | — | — | — | 46,055 | |||||||||||||||||||||||||||
Global Managed Volatility Fund | — | 31,146 | 12,486 | — | — | — | — | — | 43,632 | |||||||||||||||||||||||||||
Real Estate Fund | — | — | 45,087 | — | — | — | — | — | 45,087 | |||||||||||||||||||||||||||
Enhanced Income Fund | 26,775 | 61,656 | 31,834 | 3,427 | 526 | — | — | — | 124,218 | |||||||||||||||||||||||||||
High Yield Bond Fund | 2,772 | 61,490 | 63,877 | 3,037 | 21,474 | 8,149 | — | — | 160,799 | |||||||||||||||||||||||||||
Multi-Strategy Alternative Fund | 1,945 | — | — | — | — | — | — | — | 1,945 |
During the fiscal year ended September 30, 2011, the following Funds utilized capital loss carryforward to offset capital gains and/or had expired capital loss carryforwards:
Utilized Capital Loss Carry Forwards ($ Thousands) | Expired Capital Loss Carry Forwards ($ Thousands) | |||||||
Large Cap Value Fund | $ | 163,583 | $ | — | ||||
Large Cap Growth Fund | 287,461 | | 338,510 | | ||||
Tax-Managed Large Cap Fund | 155,358 | | 48,103 | | ||||
S&P 500 Index Fund | 4,600 | — | ||||||
Small Cap Value Fund | 89,061 | — | ||||||
Small Cap Growth Fund | 108,975 | — | ||||||
Tax-Managed Small/Mid Cap Fund | 52,255 | — | ||||||
Mid-Cap Fund | 18,832 | — | ||||||
U.S. Managed Volatility Fund | 51,891 | — | ||||||
Global Managed Volatility Fund | 15,506 | — | ||||||
Tax-Managed Managed Volatility Fund | 13,382 | — | ||||||
Core Fixed Income Fund | 39,374 | — | ||||||
High Yield Bond Fund | — | 57,113 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
For Federal income tax purposes, the cost of securities owned at September 30, 2011, 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 straddles, investments in partnerships that captures losses from other securities, 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, 2011, were as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Large Cap Fund | $ | 1,719,358 | $ | 105,311 | $ | (197,551 | ) | $ | (92,240 | ) | ||||||
Large Cap Value Fund | 1,449,475 | 112,832 | (278,549 | ) | (165,717 | ) | ||||||||||
Large Cap Growth Fund | 1,468,562 | 165,863 | (162,840 | ) | 3,023 | |||||||||||
Tax-Managed Large Cap Fund | 1,633,076 | 219,169 | (229,366 | ) | (10,197 | ) | ||||||||||
S&P 500 Index Fund | 1,042,691 | 631,191 | (74,713 | ) | 556,478 | |||||||||||
Small Cap Fund | 293,833 | 14,267 | (43,506 | ) | (29,239 | ) | ||||||||||
Small Cap Value Fund | 552,515 | 30,518 | (99,333 | ) | (68,815 | ) | ||||||||||
Small Cap Growth Fund | 417,786 | 16,976 | (68,914 | ) | (51,938 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 183 |
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Notes to Financial Statements (Concluded)
September 30, 2011
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Tax-Managed Small/Mid Cap Fund | $ | 316,911 | $ | 26,638 | $ | (46,882 | ) | $ | (20,244 | ) | ||||||
Mid-Cap Fund | 104,898 | 1,918 | (18,759 | ) | (16,841 | ) | ||||||||||
U.S. Managed Volatility Fund | 425,654 | 54,669 | (28,748 | ) | 25,921 | |||||||||||
Global Managed Volatility Fund | 461,745 | 38,127 | (20,185 | ) | 17,942 | |||||||||||
Tax-Managed Managed Volatility Fund | 264,840 | 34,812 | (14,520 | ) | 20,292 | |||||||||||
Real Estate Fund | 165,918 | 31,180 | (24,886 | ) | 6,294 | |||||||||||
Enhanced Income Fund | 173,967 | 697 | (8,387 | ) | (7,690 | ) | ||||||||||
Core Fixed Income Fund | 2,606,299 | 129,424 | (131,474 | ) | (2,050 | ) | ||||||||||
U.S. Fixed Income Fund | 1,098,644 | 48,688 | (18,501 | ) | 30,187 | |||||||||||
High Yield Bond Fund | 1,371,087 | �� | 31,824 | (109,617 | ) | (77,793 | ) | |||||||||
Real Return Fund | 453,913 | 6,595 | (1,933 | ) | 4,662 | |||||||||||
Multi-Strategy Alternative Fund | 300,540 | 1,302 | (9,909 | ) | (8,607 | ) |
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2011, 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.
In the normal course of business, the Multi-Strategy Alternative Fund invests substantially in underlying funds that are comprised of fixed income and equity securities in specific industries and that may engage in short selling activities, writing option contracts, and equity swaps, and therefore, the Fund may be affected by events in these industries. The Funds Statement of Additional Information provides a description of concentration and risk associated with the different investments in the underlying affiliated investment companies.
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. RECENT ACCOUNTING PRONOUNCEMENT
In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements” ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Early adoption is not allowed. At this time, management is evaluating the implications of ASU 2011-03 and its impact on the financial statements.
12. 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.
184 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
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/Mid Cap Fund (formerly, 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”), including the schedules of investments or summary schedules of investments, as applicable, as of September 30, 2011, and the related statements of operations for the year 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, 2011, by correspondence with the custodians 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, 2011, the results of their operations for the year 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, 2011
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 185 |
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TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of September 30, 2011.
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) 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 65 yrs. old | Chairman of the Board of Trustees* | since 1982 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | 85 | 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, Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments — Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Structured Credit Fund, L.P. | |||||
William M. Doran One Freedom Valley Drive Oaks, PA 19456 71 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. | 85 | 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 Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd. | |||||
TRUSTEES | ||||||||||
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 68 yrs. old | Trustee | since 1996 | Self-Employed Consultant, Newfound Consultants Inc. since April 1997. | 85 | 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. |
* | 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, SEI Alpha Strategy Portfolios, L.P., and Adviser Managed Trust. |
186 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
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) | ||||||||||
Rosemarie B. Greco One Freedom Valley Drive Oaks, PA 19456 65 yrs. old | Trustee | since 1999 | Director, Governor’s Office of Health Care Reform, Commonwealth of Pennsylvania since 2003. | 85 | Director, Sunoco, Inc.; Director, Excelon Corporation; Trustee, Pennsylvania Real Estate Investment Trust. | |||||
Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 54 yrs. old | Trustee | since 2003 | Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008. | 85 | 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. | 85 | Trustee/Director of Ariel Mutual Funds, and SEI Structured Credit Fund, L.P. | |||||
Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 69 yrs. old | Trustee | since 2007 | Private Investor since 1994. | 85 | Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds | |||||
Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 68 yrs. old | Trustee | since 2008 | Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005. | 85 | Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center. | |||||
OFFICERS | ||||||||||
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old | President & CEO | since 2005 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | N/A | N/A | |||||
Peter A. Rodriguez One Freedom Valley Drive Oaks, PA 19456 49 yrs. old | Controller and Chief Financial Officer | since 2011 | Director, Fund Accounting, Global Fund Services (March 2011, September 2002 to March 2005 and 1997-2002); Director, Mutual Fund Trading, SEI Private Trust Company (May 2009 to February 2011); Director, Asset Data Services, Global Wealth Services (June 2006 to April 2009); Director, Portfolio Accounting, SEI Investments Global Fund Services (March 2005 to June 2006) | N/A | N/A | |||||
Russell Emery One Freedom Valley Drive Oaks, PA 19456 48 yrs. old | Chief Compliance Officer | since 2006 | Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments 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 Portfolios, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since 2010. | N/A | N/A |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 187 |
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) | ||||||||||
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 43 yrs. old | 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 43 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 40 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 35 yrs. old | Vice President and Assistant Secretary | since 2009 | Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008. | N/A | N/A | |||||
John J. McCue One Freedom Valley Drive Oaks, PA 19456 48 yrs. old | Vice President | since 2004 | Director of Portfolio Implementation for SIMC since 1995. Managing Director of Money Market Investments for SIMC since 2003. | N/A | N/A | |||||
Keri E. Rohn One Freedom Valley Drive Oaks, PA 19456 31 yrs. old | Privacy Officer and Anti-Money Laundering Compliance Officer | since 2009 | Compliance Officer of SEI Investments Company, June 2003-present. | 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, SEI Alpha Strategy Portfolios, L.P. and Adviser Managed Trust. |
188 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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 04/01/11 | Ending Account Value 09/30/11 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
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Actual Fund Return |
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Class A Shares | $ | 1,000.00 | $ | 846.00 | 0.89 | % | $ | 4.13 | ||||||||
Hypothetical 5% Return |
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Class A Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
Large Cap Value Fund |
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Actual Fund Return |
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Class A Shares | $ | 1,000.00 | $ | 824.60 | 0.89 | % | $ | 4.08 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 823.50 | 1.11 | % | $ | 5.08 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.63 | ||||||||
Large Cap Growth Fund |
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Actual Fund Return |
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Class A Shares | $ | 1,000.00 | $ | 862.90 | 0.89 | % | $ | 4.17 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 861.80 | 1.11 | % | $ | 5.19 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.63 |
Beginning Account Value 04/01/11 | Ending Account Value 09/30/11 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Tax-Managed Large Cap Fund |
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Actual Fund Return |
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Class A Shares | $ | 1,000.00 | $ | 844.80 | 0.89 | % | $ | 4.12 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 846.90 | 0.56 | % | $ | 2.61 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.25 | 0.56 | % | $ | 2.85 | ||||||||
S&P 500 Index Fund |
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Actual Fund Return |
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Class A Shares | $ | 1,000.00 | $ | 860.30 | 0.43 | % | $ | 2.01 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 860.90 | 0.25 | % | $ | 1.18 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 859.30 | 0.65 | % | $ | 3.04 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.90 | 0.43 | % | $ | 2.19 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 1,023.80 | 0.25 | % | $ | 1.28 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,021.80 | 0.65 | % | $ | 3.30 | ||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return |
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Class A Shares | $ | 1,000.00 | $ | 753.60 | 1.14 | % | $ | 5.02 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.34 | 1.14 | % | $ | 5.78 |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 189 |
Table of Contents
Disclosure of Fund Expenses (Unaudited) (Concluded)
Beginning Account Value 04/01/11 | Ending Account Value 09/30/11 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Value Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 771.10 | 1.14 | % | $ | 5.07 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 769.90 | 1.36 | % | $ | 6.04 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.34 | 1.14 | % | $ | 5.78 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.24 | 1.36 | % | $ | 6.89 | ||||||||
Small Cap Growth Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 760.60 | 1.11 | % | $ | 4.91 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 758.90 | 1.36 | % | $ | 6.00 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.49 | 1.11 | % | $ | 5.63 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.24 | 1.36 | % | $ | 6.89 | ||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||
Actual Fund Return |
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Class A Shares | $ | 1,000.00 | $ | 784.90 | 1.11 | % | $ | 4.98 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.49 | 1.11 | % | $ | 5.63 | ||||||||
Mid-Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 783.80 | 1.02 | % | $ | 4.57 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 782.90 | 1.26 | % | $ | 5.65 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.94 | 1.02 | % | $ | 5.18 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.73 | 1.26 | % | $ | 6.40 | ||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 936.90 | 1.00 | % | $ | 4.86 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 935.50 | 1.25 | % | $ | 6.08 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.07 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.79 | 1.25 | % | $ | 6.34 | ||||||||
Global Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 978.20 | 1.11 | % | $ | 5.51 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 976.90 | 1.36 | % | $ | 6.74 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.49 | 1.11 | % | $ | 5.63 | ||||||||
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 | $ | 942.30 | 1.00 | % | $ | 4.88 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.07 |
Beginning Account Value 04/01/11 | Ending Account Value 09/30/11 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Real Estate Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 880.80 | 1.14 | % | $ | 5.38 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 879.80 | 1.36 | % | $ | 6.42 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.34 | 1.14 | % | $ | 5.78 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.24 | 1.36 | % | $ | 6.89 | ||||||||
Enhanced Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 982.10 | 0.60 | % | $ | 2.99 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 981.50 | 0.85 | % | $ | 4.23 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.05 | 0.60 | % | $ | 3.05 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,020.80 | 0.85 | % | $ | 4.31 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,044.90 | 0.67 | % | $ | 3.45 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,043.80 | 0.89 | % | $ | 4.57 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.70 | 0.67 | % | $ | 3.41 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
U.S. Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,056.00 | 0.66 | % | $ | 3.41 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.75 | 0.66 | % | $ | 3.35 | ||||||||
High Yield Bond Fund |
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Actual Fund Return |
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Class A Shares | $ | 1,000.00 | $ | 948.60 | 0.89 | % | $ | 4.36 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 935.60 | 1.11 | % | $ | 5.38 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.59 | 0.89 | % | $ | 4.52 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.51 | 1.11 | % | $ | 5.62 | ||||||||
Real Return Fund |
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Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,014.80 | 0.45 | % | $ | 2.28 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.80 | 0.45 | % | $ | 2.29 | ||||||||
Multi-Strategy Alternative Fund |
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Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 956.00 | 0.50 | % | $ | 2.46 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.55 | 0.50 | % | $ | 2.55 |
* | 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). |
190 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
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”) 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 (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers are also 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 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(s). In connection with their consideration of such approval(s), 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 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 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 from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from 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, during the course of the Trust’s fiscal year the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) 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; (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance systems; (ix) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (x) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (xi) the Funds’ performance compared with similar mutual funds.
At the June 21-22, 2011 and September 13-14, 2011 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Sub-Advisory Agreements and approved the selection of the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval 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 Sub-Advisory Agreements, including the resources of the Sub-Advisers and their affiliates dedicated to the Funds; |
SEI Institutional Managed Trust / Annual Report / September 30, 2011 | 191 |
Table of Contents
Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (continued)
• | the Funds’ investment performance and how it compared to that of other comparable mutual funds; |
• | the Funds’ expenses under each Sub-Advisory Agreement and how those expenses compared to those of other comparable mutual funds; |
• | the profitability of the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to 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 Sub-Advisory Agreements reflect those economies of scale for the benefit of Fund investors. |
Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by the Sub-Advisers to the Funds and the resources of the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, each Sub-Advisers’ personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by the Sub-Advisers to the Funds and the resources of the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Sub-Advisory Agreements.
Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Sub-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 Sub-Advisory Agreements.
Fund Expenses. With respect to the Funds’ expenses under the Sub-Advisory Agreements, the Trustees considered the rate of compensation called for by the Sub-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 the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and concluded that the Funds’ various service providers, 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 Sub-Advisory Agreements.
Profitability. With regard to profitability, the Trustees considered all compensation flowing to the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Sub-Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by 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 the Sub-Advisers is reasonable and supported renewal of the Sub-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.
192 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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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 Sub-Advisory Agreements and concluded that the compensation under the Sub-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, 2011 | 193 |
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Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2011, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2011, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended September 30, 2011, 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 | 11 | % | 89 | % | 0 | % | 100 | % | 46 | % | ||||||||||
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 | % | 92 | % | ||||||||||
Small Cap Fund | 13 | % | 87 | % | 0 | % | 100 | % | 14 | % | ||||||||||
Small Cap Value Fund | 0 | % | 100 | % | 0 | % | 100 | % | 92 | % | ||||||||||
Small Cap Growth Fund | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||
Tax-Managed Small/Mid 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 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||
Tax-Managed Managed Volatility | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | ||||||||||
Real Estate Fund(6) | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | ||||||||||
Enhanced Income Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | ||||||||||
Core Fixed Income Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | ||||||||||
U.S. Fixed Income Fund | 7 | % | 93 | % | 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 | % | 100 | % | 0 | % | 100 | % | 31 | % |
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 | 46 | % | 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 | 96 | % | 1 | % | 1 | % | 0 | % | ||||||||
Small Cap Growth Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Tax-Managed Small/Mid 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 | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Tax-Managed Managed Volatility | 100 | % | 1 | % | 1 | % | 0 | % | ||||||||
Real Estate Fund(6) | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Enhanced Income Fund | 0 | % | 5 | % | 100 | % | 0 | % | ||||||||
Core Fixed Income Fund | 0 | % | 9 | % | 86 | % | 0 | % | ||||||||
U.S. Fixed Income Fund | 0 | % | 8 | % | 60 | % | 100 | % | ||||||||
High Yield Bond Fund | 0 | % | 0 | % | 95 | % | 0 | % | ||||||||
Real Return Fund | 0 | % | 88 | % | 1 | % | 100 | % | ||||||||
Multi-Strategy Alternative Fund | 73 | % | 3 | % | 2 | % | 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. |
(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. |
(6) | Information reflects Fund activity based on Fund’s December 31, 2010 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.
194 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2011
Robert A. Nesher, Chairman
Trustees
William M. Doran
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
Peter A. Rodriguez
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
Keri E. Rohn
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
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SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-087 (9/11)
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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. Messrs. 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 2011 and for fiscal year 2010 as follows:
Fiscal Year 2011 | Fiscal Year 2010 | |||||||||||||||||||||
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 and services to service affiliates that did not require pre-approval | 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 and services to service affiliates that did not require pre-approval | |||||||||||||||||
(a) | Audit Fees (1) | $ | 545,000 | $ | 0 | N/A | $ | 513,500 | $ | 0 | N/A | |||||||||||
(b) | Audit-Related Fees | $ | 25,000 | $ | 0 | N/A | $ | 0 | $ | 0 | N/A | |||||||||||
(c) | Tax Fees | $ | 0 | $ | 0 | N/A | $ | 0 | $ | 139,500 | (2) | N/A | ||||||||||
(d) | All Other Fees (2) | $ | 0 | $ | 234,500 | N/A | $ | 0 | $ | 229,500 | 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) | 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-
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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.
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 2011 | FYE 2010 | |||||||
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 2011 and fiscal year 2010 were $234,500 and $369,000, respectively. Non-audit fees consist of SAS No. 70 / SSAE No. 16 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, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.8% | ||||||||
Consumer Discretionary — 14.6% | ||||||||
Abercrombie & Fitch, Cl A | 24,315 | $ | 1,497 | |||||
Amazon.com* | 23,207 | 5,018 | ||||||
American Axle & Manufacturing Holdings* (A) | 52,600 | 401 | ||||||
American Eagle Outfitters | 94,400 | 1,106 | ||||||
Apollo Group, Cl A* | 192,000 | 7,605 | ||||||
Autoliv (A) | 13,600 | 660 | ||||||
Autozone* | 3,600 | 1,149 | ||||||
Bayerische Motoren Werke | 56,560 | 3,791 | ||||||
Bed Bath & Beyond* | 129,744 | 7,436 | ||||||
Best Buy (A) | 96,100 | 2,239 | ||||||
Big Lots* | 27,800 | 968 | ||||||
BorgWarner* | 12,668 | 767 | ||||||
Career Education* (A) | 48,029 | 627 | ||||||
Carnival | 2,700 | 82 | ||||||
CBS, Cl B | 533,840 | 10,880 | ||||||
Coach | 327,548 | 16,977 | ||||||
Comcast, Cl A | 95,300 | 1,992 | ||||||
Ctrip.com International ADR* (A) | 92,900 | 2,988 | ||||||
Darden Restaurants | 15,100 | 645 | ||||||
DIRECTV, Cl A* | 143,070 | 6,045 | ||||||
Discovery Communications, Cl A* | 55,060 | 2,071 | ||||||
DISH Network, Cl A* | 69,800 | 1,749 | ||||||
Foot Locker | 77,000 | 1,547 | ||||||
Ford Motor* | 252,400 | 2,441 | ||||||
Fossil* | 68,628 | 5,563 | ||||||
GameStop, Cl A* (A) | 45,800 | 1,058 | ||||||
Gannett (A) | 59,800 | 570 | ||||||
Gap | 80,200 | 1,302 | ||||||
Goodyear Tire & Rubber * | 203,500 | 2,053 | ||||||
Guess? | 14,900 | 425 | ||||||
Harley-Davidson | 251,784 | 8,644 | ||||||
Harman International Industries | 17,600 | 503 | ||||||
ITT Educational Services* (A) | 34,400 | 1,980 | ||||||
Johnson Controls | 301,991 | 7,963 | ||||||
Kohl’s | 130,701 | 6,418 | ||||||
Las Vegas Sands* | 83,359 | 3,196 | ||||||
Limited Brands | 21,600 | 832 | ||||||
Lowe’s | 672,602 | 13,008 | ||||||
Macy’s | 338,790 | 8,917 | ||||||
McDonald’s | 98,831 | 8,679 | ||||||
MGM Mirage* (A) | 24,500 | 228 | ||||||
News, Cl A | 72,600 | 1,123 | ||||||
Nike, Cl B | 130,957 | 11,198 | ||||||
Nordstrom | 148,801 | 6,797 | ||||||
Omnicom Group | 14,300 | 527 | ||||||
Pool (A) | 7,427 | 194 | ||||||
priceline.com* (A) | 14,125 | 6,349 | ||||||
RadioShack (A) | 39,200 | 456 | ||||||
Service International | 50,857 | 466 | ||||||
Staples | 268,300 | 3,568 | ||||||
Starbucks | 65,800 | 2,454 | ||||||
Starwood Hotels & Resorts Worldwide | 61,845 | 2,401 | ||||||
Target | 228,949 | 11,228 |
Description | Shares | Market Value ($ Thousands) | ||||||
Time Warner | 140,443 | $ | 4,209 | |||||
Time Warner Cable, Cl A | 130,770 | 8,195 | ||||||
TJX | 27,600 | 1,531 | ||||||
TRW Automotive Holdings* | 15,300 | 501 | ||||||
Tupperware Brands | 4,200 | 226 | ||||||
VF (A) | 20,004 | 2,431 | ||||||
Viacom, Cl B | 24,400 | 945 | ||||||
Walt Disney | 46,100 | 1,390 | ||||||
Warnaco Group* | 8,400 | 387 | ||||||
Washington Post, Cl B | 1,500 | 491 | ||||||
Whirlpool (A) | 21,700 | 1,083 | ||||||
Wyndham Worldwide | 3,100 | 88 | ||||||
Wynn Resorts | 1,400 | 161 | ||||||
Yum! Brands | 35,261 | 1,741 | ||||||
222,160 | ||||||||
Consumer Staples — 9.6% | ||||||||
Altria Group | 78,900 | 2,115 | ||||||
Anheuser-Busch InBev ADR | 81,752 | 4,331 | ||||||
Archer-Daniels-Midland | 37,800 | 938 | ||||||
Bunge (A) | 10,400 | 606 | ||||||
Casey’s General Stores (A) | 1,300 | 57 | ||||||
Clorox | 3,000 | 199 | ||||||
Coca-Cola | 185,650 | 12,543 | ||||||
Coca-Cola Enterprises | 39,000 | 970 | ||||||
ConAgra Foods | 83,200 | 2,015 | ||||||
Constellation Brands, Cl A* | 9,200 | 166 | ||||||
Corn Products International | 21,300 | 836 | ||||||
Costco Wholesale | 208,310 | 17,106 | ||||||
CVS Caremark | 162,500 | 5,457 | ||||||
Dr Pepper Snapple Group | 25,900 | 1,004 | ||||||
Estee Lauder, Cl A | 54,679 | 4,803 | ||||||
Herbalife | 41,300 | 2,214 | ||||||
Kimberly-Clark | 61,488 | 4,367 | ||||||
Kraft Foods, Cl A | 22,900 | 769 | ||||||
Kroger | 305,446 | 6,708 | ||||||
Lorillard | 24,886 | 2,755 | ||||||
Mead Johnson Nutrition, Cl A | 196,120 | 13,499 | ||||||
PepsiCo | 74,086 | 4,586 | ||||||
Philip Morris International | 141,380 | 8,819 | ||||||
Procter & Gamble | 294,401 | 18,600 | ||||||
Reynolds American | 25,500 | 956 | ||||||
Safeway (A) | 131,800 | 2,192 | ||||||
Smithfield Foods* | 91,500 | 1,784 | ||||||
Tyson Foods, Cl A | 169,889 | 2,949 | ||||||
Walgreen | 251,100 | 8,259 | ||||||
Wal-Mart Stores | 143,766 | 7,461 | ||||||
Whole Foods Market (A) | 96,900 | 6,328 | ||||||
145,392 | ||||||||
Energy — 9.3% | ||||||||
Apache | 25,100 | 2,014 | ||||||
Atwood Oceanics* (A) | 18,400 | 632 | ||||||
Baker Hughes | 5,619 | 259 | ||||||
BG Group ADR (A) | 14,685 | 1,401 | ||||||
Canadian Natural Resources | 219,518 | 6,425 | ||||||
Chesapeake Energy (A) | 23,900 | 611 | ||||||
Chevron | 256,600 | 23,741 | ||||||
Cimarex Energy | 4,800 | 267 | ||||||
ConocoPhillips | 336,320 | 21,296 | ||||||
Core Laboratories | 43,637 | 3,920 | ||||||
CVR Energy* | 50,900 | 1,076 | ||||||
Devon Energy | 41,600 | 2,306 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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Schedule of Investments
Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
EOG Resources | 99,313 | $ | 7,052 | |||||
Exxon Mobil | 248,400 | 18,041 | ||||||
FMC Technologies* (A) | 165,798 | 6,234 | ||||||
Halliburton | 129,370 | 3,948 | ||||||
Helix Energy Solutions Group* | 20,200 | 265 | ||||||
Hess | 64,300 | 3,373 | ||||||
Marathon Oil | 180,000 | 3,885 | ||||||
Marathon Petroleum | 62,350 | 1,687 | ||||||
McDermott International* | 41,500 | 447 | ||||||
Murphy Oil | 59,600 | 2,632 | ||||||
National Oilwell Varco | 63,280 | 3,241 | ||||||
Noble | 16,100 | 473 | ||||||
Noble Energy | 38,900 | 2,754 | ||||||
Occidental Petroleum | 38,500 | 2,753 | ||||||
Patterson-UTI Energy | 47,300 | 820 | ||||||
Range Resources (A) | 24,142 | 1,411 | ||||||
Schlumberger | 156,008 | 9,318 | ||||||
SEACOR Holdings | 5,900 | 473 | ||||||
Tesoro* (A) | 102,200 | 1,990 | ||||||
Transocean (A) | 7,700 | 368 | ||||||
Valero Energy | 291,000 | 5,174 | ||||||
W&T Offshore (A) | 36,607 | 504 | ||||||
Williams | 7,200 | 175 | ||||||
140,966 | ||||||||
Financials — 11.9% | ||||||||
ACE | 70,400 | 4,266 | ||||||
Aflac | 44,400 | 1,552 | ||||||
Alexandria Real Estate Equities † | 1,000 | 61 | ||||||
Allstate | 59,700 | 1,414 | ||||||
American Express | 25,700 | 1,154 | ||||||
American Financial Group | 51,847 | 1,611 | ||||||
Ameriprise Financial | 76,600 | 3,015 | ||||||
Annaly Capital Management † (A) | 51,600 | 858 | ||||||
Assurant | 87,500 | 3,132 | ||||||
Astoria Financial | 7,700 | 59 | ||||||
AvalonBay Communities † (A) | 1,500 | 171 | ||||||
Bank of America | 436,500 | 2,672 | ||||||
Bank of New York Mellon | 108,800 | 2,022 | ||||||
Berkshire Hathaway, Cl B* | 75,900 | 5,392 | ||||||
BlackRock | 3,700 | 548 | ||||||
Boston Properties † | 2,400 | 214 | ||||||
Brandywine Realty Trust † | 67,500 | 541 | ||||||
Camden Property Trust † | 1,200 | 66 | ||||||
Capital One Financial (A) | 209,030 | 8,284 | ||||||
CBL & Associates Properties † (A) | 59,300 | 674 | ||||||
Charles Schwab (A) | 383,306 | 4,320 | ||||||
Chubb | 103,400 | 6,203 | ||||||
Citigroup | 423,900 | 10,860 | ||||||
CME Group | 25,037 | 6,169 | ||||||
CNA Financial | 25,700 | 577 | ||||||
Comerica | 81,957 | 1,883 | ||||||
Commerce Bancshares | 41,000 | 1,425 | ||||||
CommonWealth † | 17,600 | 334 | ||||||
Digital Realty Trust † | 1,700 | 94 | ||||||
Discover Financial Services | 261,900 | 6,008 | ||||||
Endurance Specialty Holdings | 14,700 | 502 | ||||||
Equity Residential † | 5,000 | 259 | ||||||
Essex Property Trust † | 500 | 60 |
Description | Shares | Market Value ($ Thousands) | ||||||
Everest Re Group | 8,500 | $ | 675 | |||||
Federal Realty Investment Trust † | 1,000 | 83 | ||||||
Fifth Third Bancorp | 317,700 | 3,209 | ||||||
Franklin Resources | 12,700 | 1,214 | ||||||
Fulton Financial | 9,600 | 73 | ||||||
Goldman Sachs Group | 17,300 | 1,636 | ||||||
Hartford Financial Services Group | 155,800 | 2,515 | ||||||
HCC Insurance Holdings | 1,500 | 41 | ||||||
HCP † | 6,500 | 228 | ||||||
Health Care † (A) | 2,900 | 136 | ||||||
Hospitality Properties Trust † | 89,900 | 1,909 | ||||||
Host Hotels & Resorts † | 11,300 | 124 | ||||||
Huntington Bancshares | 647,600 | 3,108 | ||||||
IntercontinentalExchange* (A) | 48,750 | 5,765 | ||||||
Jones Lang LaSalle | 14,500 | 751 | ||||||
JPMorgan Chase | 711,160 | 21,420 | ||||||
Keycorp | 783,400 | 4,646 | ||||||
Kimco Realty † | 6,400 | 96 | ||||||
Liberty Property Trust † | 1,800 | 52 | ||||||
Lincoln National | 155,100 | 2,424 | ||||||
Loews | 20,500 | 708 | ||||||
Macerich † | 2,200 | 94 | ||||||
MetLife | 37,500 | 1,050 | ||||||
MFA Financial † | 108,000 | 758 | ||||||
Moody’s (A) | 31,600 | 962 | ||||||
Morgan Stanley | 58,200 | 786 | ||||||
Plum Creek Timber † (A) | 2,600 | 90 | ||||||
PNC Financial Services Group | 154,000 | 7,421 | ||||||
Popular* | 778,800 | 1,168 | ||||||
ProAssurance | 16,700 | 1,203 | ||||||
ProLogis † | 6,700 | 163 | ||||||
Protective Life | 25,800 | 403 | ||||||
Prudential Financial | 77,400 | 3,627 | ||||||
Public Storage † | 2,400 | 267 | ||||||
Rayonier † | 2,100 | 77 | ||||||
Reinsurance Group of America, Cl A | 16,800 | 772 | ||||||
Senior Housing Properties Trust † | 28,600 | 616 | ||||||
Simon Property Group † | 4,800 | 528 | ||||||
SL Green Realty † | 1,400 | 81 | ||||||
State Street | 58,800 | 1,891 | ||||||
Torchmark | 38,550 | 1,344 | ||||||
Travelers | 131,400 | 6,403 | ||||||
UDR † | 3,200 | 71 | ||||||
Unum Group (A) | 180,000 | 3,773 | ||||||
US Bancorp | 151,200 | 3,559 | ||||||
Validus Holdings | 23,900 | 596 | ||||||
Ventas † | 4,251 | 210 | ||||||
Vornado Realty Trust † | 3,100 | 231 | ||||||
Wells Fargo | 624,400 | 15,061 | ||||||
Weyerhaeuser † | 8,900 | 138 | ||||||
180,556 | ||||||||
Health Care — 12.3% | ||||||||
Abbott Laboratories | 75,200 | 3,846 | ||||||
Aetna | 132,100 | 4,802 | ||||||
Allergan | 170,566 | 14,051 | ||||||
AmerisourceBergen (A) | 69,500 | 2,590 | ||||||
Amgen | 253,518 | 13,931 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Biogen Idec* | 6,900 | $ | 643 | |||||
Bristol-Myers Squibb | 23,700 | 744 | ||||||
Cardinal Health | 40,900 | 1,713 | ||||||
Celgene* | 107,877 | 6,680 | ||||||
Chemed | 3,470 | 191 | ||||||
Cigna | 31,500 | 1,321 | ||||||
Community Health Systems* | 10,500 | 175 | ||||||
Covance* (A) | 142,688 | 6,485 | ||||||
Coventry Health Care* | 5,700 | 164 | ||||||
Covidien | 92,249 | 4,068 | ||||||
DaVita* | 70,631 | 4,427 | ||||||
Eli Lilly | 97,700 | 3,612 | ||||||
Endo Pharmaceuticals Holdings* | 31,100 | 871 | ||||||
Express Scripts* | 223,883 | 8,299 | ||||||
Forest Laboratories* | 44,100 | 1,358 | ||||||
Gilead Sciences* | 89,800 | 3,484 | ||||||
Health Net* | 100,100 | 2,373 | ||||||
Hill-Rom Holdings | 6,500 | 195 | ||||||
Humana | 60,100 | 4,371 | ||||||
Idexx Laboratories* (A) | 72,378 | 4,992 | ||||||
Illumina* (A) | 66,141 | 2,706 | ||||||
Intuitive Surgical* | 19,818 | 7,219 | ||||||
Johnson & Johnson (A) | 256,840 | 16,363 | ||||||
McKesson | 29,200 | 2,123 | ||||||
Medco Health Solutions* | 37,200 | 1,744 | ||||||
Medicis Pharmaceutical, Cl A | 5,400 | 197 | ||||||
Medtronic | 36,200 | 1,203 | ||||||
Merck | 382,800 | 12,521 | ||||||
Mylan Laboratories* | 20,900 | 355 | ||||||
Novo Nordisk ADR | 38,350 | 3,817 | ||||||
Omnicare (A) | 55,200 | 1,404 | ||||||
PDL BioPharma (A) | 120,700 | 670 | ||||||
Perrigo | 38,200 | 3,710 | ||||||
Pfizer | 989,500 | 17,494 | ||||||
UnitedHealth Group | 204,771 | 9,444 | ||||||
Waters* | 36,902 | 2,786 | ||||||
WellPoint | 121,800 | 7,951 | ||||||
Zimmer Holdings* | 13,600 | 728 | ||||||
187,821 | ||||||||
Industrials — 8.5% | ||||||||
3M | 20,606 | 1,479 | ||||||
ABB ADR | 211,155 | 3,607 | ||||||
AGCO* | 25,500 | 882 | ||||||
Alaska Air Group* | 12,800 | 721 | ||||||
Alliant Techsystems (A) | 3,949 | 215 | ||||||
Avery Dennison | 36,100 | 906 | ||||||
Boeing | 16,000 | 968 | ||||||
Briggs & Stratton | 11,651 | 157 | ||||||
Caterpillar | 31,100 | 2,296 | ||||||
Con-way | 7,500 | 166 | ||||||
CSX | 79,900 | 1,492 | ||||||
Cummins | 29,980 | 2,448 | ||||||
Danaher | 144,112 | 6,044 | ||||||
Eaton | 17,700 | 628 | ||||||
EMCOR Group | 23,800 | 484 | ||||||
Expeditors International of Washington | 88,000 | 3,568 | ||||||
FedEx | 22,000 | 1,489 | ||||||
Fluor | 151,892 | 7,071 | ||||||
Foster Wheeler* | 47,300 | 841 |
Description | Shares | Market Value ($ Thousands) | ||||||
Gardner Denver | 17,500 | $ | 1,112 | |||||
General Dynamics | 51,100 | 2,907 | ||||||
General Electric | 885,200 | 13,491 | ||||||
Granite Construction | 7,300 | 137 | ||||||
Harsco | 26,300 | 510 | ||||||
HNI (A) | 5,500 | 105 | ||||||
Honeywell International | 73,760 | 3,239 | ||||||
Huntington Ingalls Industries* (A) | 5,416 | 132 | ||||||
ITT | 23,300 | 979 | ||||||
KBR | 138,300 | 3,268 | ||||||
L-3 Communications Holdings | 48,200 | 2,987 | ||||||
Lockheed Martin (A) | 61,200 | 4,445 | ||||||
Norfolk Southern | 19,000 | 1,159 | ||||||
Northrop Grumman (A) | 101,300 | 5,284 | ||||||
Owens Corning* | 8,500 | 184 | ||||||
Parker Hannifin | 48,410 | 3,056 | ||||||
Precision Castparts | 82,728 | 12,861 | ||||||
Raytheon | 106,237 | 4,342 | ||||||
Republic Services | 58,724 | 1,648 | ||||||
Roper Industries | 80,296 | 5,533 | ||||||
RR Donnelley & Sons | 57,000 | 805 | ||||||
Ryder System | 25,600 | 960 | ||||||
Simpson Manufacturing | 6,200 | 155 | ||||||
Stericycle* | 89,460 | 7,221 | ||||||
Thomas & Betts* | 11,600 | 463 | ||||||
Timken | 59,100 | 1,940 | ||||||
Tyco International | 83,576 | 3,406 | ||||||
Union Pacific | 74,820 | 6,111 | ||||||
United Continental Holdings* (A) | 28,300 | 548 | ||||||
United Technologies | 35,412 | 2,492 | ||||||
URS* | 42,290 | 1,254 | ||||||
US Airways Group* (A) | 63,900 | 351 | ||||||
Waste Management (A) | 21,500 | 700 | ||||||
129,247 | ||||||||
Information Technology — 22.3% | ||||||||
Accenture, Cl A (A) | 127,030 | 6,692 | ||||||
Activision Blizzard | 206,100 | 2,453 | ||||||
Adobe Systems* | 438,183 | 10,591 | ||||||
Altera | 43,380 | 1,368 | ||||||
Amdocs* | 23,500 | 637 | ||||||
Amphenol, Cl A | 118,789 | 4,843 | ||||||
Ansys* | 104,142 | 5,107 | ||||||
Apple* | 129,445 | 49,342 | ||||||
Applied Materials | 77,300 | 800 | ||||||
Autodesk* | 237,584 | 6,600 | ||||||
Avnet* | 17,500 | 456 | ||||||
Broadcom, Cl A | 129,410 | 4,308 | ||||||
CA | 49,700 | 965 | ||||||
Cisco Systems | 628,700 | 9,739 | ||||||
Citrix Systems* | 136,133 | 7,424 | ||||||
Cognizant Technology Solutions, Cl A* | 94,082 | 5,899 | ||||||
Computer Sciences | 39,300 | 1,055 | ||||||
Convergys* | 32,000 | 300 | ||||||
Corning | 101,200 | 1,251 | ||||||
Dell* | 165,900 | 2,348 | ||||||
DST Systems | 14,217 | 623 | ||||||
EMC* | 404,986 | 8,501 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Fidelity National Information Services | 33,000 | $ | 803 | |||||
Genpact* | 261,390 | 3,761 | ||||||
Google, Cl A* | 54,877 | 28,228 | ||||||
Harris (A) | 26,600 | 909 | ||||||
Hewlett-Packard | 178,100 | 3,998 | ||||||
Ingram Micro, Cl A* | 37,800 | 610 | ||||||
Intel | 1,093,099 | 23,316 | ||||||
International Business Machines | 52,226 | 9,141 | ||||||
Intuit | 155,570 | 7,380 | ||||||
Juniper Networks* | 211,496 | 3,650 | ||||||
Kla-Tencor (A) | 31,100 | 1,190 | ||||||
Lam Research* | 16,900 | 642 | ||||||
Lexmark International, Cl A* | 18,500 | 500 | ||||||
LSI Logic* | 187,600 | 972 | ||||||
Marvell Technology Group* | 16,700 | 243 | ||||||
Mastercard, Cl A | 57,183 | 18,136 | ||||||
Microchip Technology (A) | 117,660 | 3,660 | ||||||
Micron Technology* (A) | 152,000 | 766 | ||||||
Microsoft | 509,406 | 12,679 | ||||||
Molex (A) | 5,000 | 102 | ||||||
Motorola Solutions | 39,400 | 1,651 | ||||||
National Instruments | 204,370 | 4,672 | ||||||
NetApp* | 202,429 | 6,870 | ||||||
Oracle | 641,475 | 18,436 | ||||||
Polycom* | 109,400 | 2,010 | ||||||
Qualcomm | 462,194 | 22,476 | ||||||
SAIC* (A) | 61,500 | 726 | ||||||
Salesforce.com* (A) | 37,086 | 4,238 | ||||||
SanDisk* | 18,200 | 734 | ||||||
Seagate Technology | 34,100 | 351 | ||||||
Symantec* | 139,400 | 2,272 | ||||||
TE Connectivity | 33,800 | 951 | ||||||
Tech Data* | 19,800 | 856 | ||||||
Teradata* | 85,700 | 4,588 | ||||||
VeriFone Holdings* | 21,835 | 765 | ||||||
VeriSign (A) | 173,300 | 4,958 | ||||||
Visa, Cl A | 95,400 | 8,178 | ||||||
Vishay Intertechnology* | 38,100 | 318 | ||||||
Western Digital* | 86,200 | 2,217 | ||||||
Xerox | 140,500 | 979 | ||||||
340,234 | ||||||||
Materials — 2.3% | ||||||||
Agrium | 16,200 | 1,080 | ||||||
Air Products & Chemicals | 24,060 | 1,837 | ||||||
Allegheny Technologies | 7,410 | 274 | ||||||
Ashland | 14,400 | 636 | ||||||
Ball | 18,000 | 558 | ||||||
Cabot | 22,900 | 567 | ||||||
CF Industries Holdings | 3,400 | 420 | ||||||
Cliffs Natural Resources | 16,400 | 839 | ||||||
Commercial Metals | 17,200 | 164 | ||||||
Dow Chemical | 108,400 | 2,435 | ||||||
Eastman Chemical | 42,900 | 2,940 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 148,800 | 4,531 | ||||||
Huntsman | 117,500 | 1,136 | ||||||
International Paper | 68,700 | 1,597 | ||||||
Monsanto | 102,059 | 6,128 | ||||||
Newmont Mining | 6,900 | 434 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nucor (A) | 10,600 | $ | 335 | |||||
PPG Industries | 1,600 | 113 | ||||||
Praxair | 16,800 | 1,570 | ||||||
Rock-Tenn, Cl A | 12,600 | 614 | ||||||
Sealed Air | 19,100 | 319 | ||||||
Sigma-Aldrich | 23,629 | 1,460 | ||||||
Steel Dynamics | 111,800 | 1,109 | ||||||
Syngenta ADR | 75,300 | 3,906 | ||||||
Westlake Chemical (A) | 4,300 | 147 | ||||||
Worthington Industries | 5,700 | 80 | ||||||
35,229 | ||||||||
Telecommunication Services — 3.5% | ||||||||
American Tower, Cl A* | 127,471 | 6,858 | ||||||
AT&T | 719,380 | 20,517 | ||||||
Crown Castle International* (A) | 163,000 | 6,629 | ||||||
NII Holdings* | 16,300 | 439 | ||||||
Telephone & Data Systems (A) | 30,000 | 638 | ||||||
Verizon Communications | 477,911 | 17,587 | ||||||
52,668 | ||||||||
Utilities — 2.6% | ||||||||
AES* | 117,200 | 1,144 | ||||||
Alliant Energy | 63,700 | 2,464 | ||||||
Ameren | 82,100 | 2,444 | ||||||
American Electric Power | 200,146 | 7,609 | ||||||
Atmos Energy | 21,600 | 701 | ||||||
Consolidated Edison | 14,900 | 850 | ||||||
Constellation Energy Group | 60,800 | 2,314 | ||||||
DTE Energy | 20,500 | 1,005 | ||||||
Edison International | 62,500 | 2,391 | ||||||
Entergy | 93,700 | 6,211 | ||||||
Exelon | 79,600 | 3,392 | ||||||
FirstEnergy | 1,800 | 81 | ||||||
NV Energy | 68,200 | 1,003 | ||||||
Public Service Enterprise Group | 114,700 | 3,827 | ||||||
Sempra Energy | 78,000 | 4,017 | ||||||
39,453 | ||||||||
Total Common Stock | 1,473,726 | |||||||
AFFILIATED PARTNERSHIP — 7.0% | ||||||||
SEI Liquidity Fund, L.P. 0. | ||||||||
130%**†† (B) | 105,803,821 | 105,804 | ||||||
Total Affiliated Partnership | 105,804 | |||||||
CASH EQUIVALENTS — 2.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 41,118,451 | 41,118 | ||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010% | 1,338,185 | 1,338 | ||||||
Total Cash Equivalents | 42,456 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATION (C)(D) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.062%, 12/15/11 | $ | 5,132 | $ | 5,132 | ||||
|
| |||||||
Total U.S. Treasury Obligation | 5,132 | |||||||
|
| |||||||
Total Investments — 106.9% | $ | 1,627,118 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index | ||||||||||||
E-MINI | 422 | Dec-2011 | $ | (864 | ) | |||||||
S&P Mid 400 Index | ||||||||||||
E-MINI | 48 | Dec-2011 | (258 | ) | ||||||||
|
| |||||||||||
$ | (1,122 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $1,521,942 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $100,274 ($ 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, 2011 was $105,804 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Fund
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,473,726 | $ | — | $ | — | $ | 1,473,726 | ||||||||
Affiliated Partnership | — | 105,804 | — | 105,804 | ||||||||||||
Cash Equivalents | 41,118 | 1,338 | — | 42,456 | ||||||||||||
U.S. Treasury Obligation | — | 5,132 | — | 5,132 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,514,844 | $ | 112,274 | $ | — | $ | 1,627,118 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (1,122 | ) | $ | — | $ | — | $ | (1,122 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,122 | ) | $ | — | $ | — | $ | (1,122 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.6% | ||||||||
Consumer Discretionary — 8.3% | ||||||||
American Eagle Outfitters | 119,900 | $ | 1,405 | |||||
Apollo Group, Cl A* | 57,100 | 2,262 | ||||||
Autoliv (A) | 23,600 | 1,145 | ||||||
Bed Bath & Beyond* | 35,000 | 2,006 | ||||||
Best Buy (A) | 29,200 | 680 | ||||||
CBS, Cl B | 274,900 | 5,602 | ||||||
Coach | 64,500 | 3,343 | ||||||
Comcast, Cl A (A) | 261,300 | 5,432 | ||||||
Dillard’s, Cl A | 24,100 | 1,048 | ||||||
DIRECTV, Cl A* | 86,200 | 3,642 | ||||||
Ford Motor* | 492,800 | 4,765 | ||||||
GameStop, Cl A* (A) | 51,200 | 1,183 | ||||||
Gannett | 108,900 | 1,038 | ||||||
Gap (A) | 68,100 | 1,106 | ||||||
Goodyear Tire & Rubber* | 264,100 | 2,665 | ||||||
Home Depot | 92,300 | 3,034 | ||||||
International Game Technology | 94,000 | 1,366 | ||||||
ITT Educational Services* (A) | 26,300 | 1,514 | ||||||
Kohl’s | 106,900 | 5,249 | ||||||
Lear | 29,500 | 1,265 | ||||||
Lowe’s | 235,900 | 4,562 | ||||||
Macy’s | 169,500 | 4,461 | ||||||
Mattel | 66,600 | 1,724 | ||||||
McGraw-Hill (A) | 106,950 | 4,385 | ||||||
Newell Rubbermaid | 491,885 | 5,839 | ||||||
RadioShack (A) | 71,700 | 833 | ||||||
Staples (A) | 240,900 | 3,204 | ||||||
Target | 72,400 | 3,550 | ||||||
Time Warner (A) | 209,100 | 6,267 | ||||||
Time Warner Cable, Cl A | 56,900 | 3,566 | ||||||
TJX | 63,955 | 3,548 | ||||||
Viacom, Cl B | 101,600 | 3,936 | ||||||
Walt Disney | 128,400 | 3,873 | ||||||
Whirlpool (A) | 20,300 | 1,013 | ||||||
|
| |||||||
100,511 | ||||||||
|
| |||||||
Consumer Staples — 8.8% | ||||||||
Altria Group | 66,800 | 1,791 | ||||||
Archer-Daniels-Midland | 98,000 | 2,431 | ||||||
Campbell Soup (A) | 156,100 | 5,053 | ||||||
Coca-Cola | 85,350 | 5,766 | ||||||
Coca-Cola Enterprises | 57,700 | 1,435 | ||||||
Colgate-Palmolive | 55,050 | 4,882 | ||||||
Corn Products International | 32,200 | 1,264 | ||||||
CVS Caremark | 337,200 | 11,323 | ||||||
Energizer Holdings* | 29,500 | 1,960 | ||||||
General Mills | 37,400 | 1,439 | ||||||
Herbalife | 60,000 | 3,216 | ||||||
Kraft Foods, Cl A | 119,850 | 4,025 | ||||||
Kroger | 225,200 | 4,945 | ||||||
Molson Coors Brewing, Cl B (A) | 44,600 | 1,767 | ||||||
Philip Morris International | 39,100 | 2,439 | ||||||
Procter & Gamble | 367,100 | 23,193 | ||||||
Ralcorp Holdings* | 28,500 | 2,186 | ||||||
Safeway (A) | 209,400 | 3,482 | ||||||
Smithfield Foods* | 80,300 | 1,566 | ||||||
SUPERVALU (A) | 111,437 | 742 | ||||||
Unilever (A) | 79,300 | 2,497 | ||||||
Walgreen | 156,900 | 5,161 |
Description | Shares | Market Value ($ Thousands) | ||||||
Wal-Mart Stores | 251,610 | $ | 13,059 | |||||
|
| |||||||
105,622 | ||||||||
|
| |||||||
Energy — 11.8% | ||||||||
Anadarko Petroleum | 17,800 | 1,122 | ||||||
Apache | 80,450 | 6,455 | ||||||
Chesapeake Energy (A) | 19,600 | 501 | ||||||
Chevron | 424,100 | 39,238 | ||||||
ConocoPhillips | 318,500 | 20,167 | ||||||
CVR Energy* | 61,800 | 1,307 | ||||||
Devon Energy | 103,300 | 5,727 | ||||||
EXCO Resources | 127,500 | 1,367 | ||||||
Exxon Mobil | 253,450 | 18,408 | ||||||
Halliburton | 47,600 | 1,453 | ||||||
Hess | 98,900 | 5,188 | ||||||
Marathon Oil | 215,800 | 4,657 | ||||||
Marathon Petroleum | 107,900 | 2,920 | ||||||
Murphy Oil | 158,150 | 6,984 | ||||||
National Oilwell Varco | 33,500 | 1,716 | ||||||
Noble | 30,000 | 880 | ||||||
Occidental Petroleum | 91,300 | 6,528 | ||||||
QEP Resources | 46,300 | 1,253 | ||||||
Schlumberger | 71,350 | 4,262 | ||||||
Tesoro* | 219,000 | 4,264 | ||||||
Valero Energy | 316,000 | 5,619 | ||||||
Weatherford International* | 176,450 | 2,154 | ||||||
|
| |||||||
142,170 | ||||||||
|
| |||||||
Financials — 20.3% | ||||||||
ACE | 84,900 | 5,145 | ||||||
Aflac | 230,350 | 8,051 | ||||||
Allstate | 118,500 | 2,807 | ||||||
American Express | 111,450 | 5,004 | ||||||
American Financial Group | 85,400 | 2,653 | ||||||
Ameriprise Financial | 165,800 | 6,526 | ||||||
Annaly Capital Management † | 70,600 | 1,174 | ||||||
Assurant | 85,200 | 3,050 | ||||||
Bank of America | 1,232,600 | 7,543 | ||||||
Bank of New York Mellon | 80,300 | 1,493 | ||||||
BB&T (A) | 53,000 | 1,131 | ||||||
Berkshire Hathaway, Cl B* | 75,200 | 5,342 | ||||||
Capital One Financial (A) | 77,300 | 3,063 | ||||||
CB Richard Ellis Group, Cl A* | 221,000 | 2,975 | ||||||
CBL & Associates Properties † (A) | 103,900 | 1,180 | ||||||
Chubb | 155,300 | 9,317 | ||||||
Citigroup | 486,030 | 12,452 | ||||||
Discover Financial Services | 244,800 | 5,616 | ||||||
Duke Realty † | 105,100 | 1,103 | ||||||
Endurance Specialty Holdings | 39,000 | 1,332 | ||||||
Everest Re Group | 55,335 | 4,393 | ||||||
Fidelity National Financial, Cl A | 276,881 | 4,203 | ||||||
Fifth Third Bancorp | 627,700 | 6,340 | ||||||
Franklin Resources | 23,200 | 2,219 | ||||||
Goldman Sachs Group | 54,695 | 5,171 | ||||||
Hartford Financial Services Group | 137,500 | 2,219 | ||||||
Hospitality Properties Trust † | 128,100 | 2,720 | ||||||
Huntington Bancshares | 870,300 | 4,178 | ||||||
Invesco | 155,300 | 2,409 | ||||||
Jones Lang LaSalle | 21,000 | 1,088 | ||||||
JPMorgan Chase | 1,005,500 | 30,286 | ||||||
Keycorp | 646,200 | 3,832 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Lazard, Cl A | 164,244 | $ | 3,466 | |||||
Lincoln National | 141,800 | 2,216 | ||||||
MetLife | 134,100 | 3,756 | ||||||
Morgan Stanley | 136,300 | 1,840 | ||||||
PNC Financial Services Group | 250,700 | 12,081 | ||||||
Popular* | 959,100 | 1,439 | ||||||
ProAssurance | 21,300 | 1,534 | ||||||
Prudential Financial | 175,600 | 8,229 | ||||||
Raymond James Financial (A) | 64,300 | 1,669 | ||||||
Regions Financial | 213,000 | 709 | ||||||
Reinsurance Group of America, Cl A | 31,300 | 1,438 | ||||||
Senior Housing Properties Trust † | 58,200 | 1,254 | ||||||
State Street | 69,200 | 2,225 | ||||||
Travelers | 114,400 | 5,575 | ||||||
Unum Group | 190,000 | 3,982 | ||||||
US Bancorp | 171,000 | 4,025 | ||||||
Wells Fargo | 1,188,400 | 28,664 | ||||||
Weyerhaeuser † | 278,650 | 4,333 | ||||||
|
| |||||||
244,450 | ||||||||
|
| |||||||
Health Care — 14.1% | ||||||||
Abbott Laboratories | 28,700 | 1,468 | ||||||
Aetna | 233,300 | 8,481 | ||||||
AmerisourceBergen (A) | 101,700 | 3,790 | ||||||
Amgen | 217,000 | 11,924 | ||||||
Cardinal Health | 55,100 | 2,308 | ||||||
Cigna | 87,300 | 3,661 | ||||||
Coventry Health Care* | 71,500 | 2,060 | ||||||
Covidien | 34,500 | 1,522 | ||||||
Eli Lilly | 105,100 | 3,885 | ||||||
Endo Pharmaceuticals Holdings* | 38,700 | 1,083 | ||||||
Express Scripts* | 44,900 | 1,664 | ||||||
Forest Laboratories* | 173,550 | 5,344 | ||||||
Gilead Sciences* | 159,400 | 6,185 | ||||||
Health Net* | 97,200 | 2,305 | ||||||
Humana | 64,100 | 4,662 | ||||||
Johnson & Johnson | 272,450 | 17,358 | ||||||
McKesson | 22,000 | 1,599 | ||||||
Medtronic | 38,200 | 1,270 | ||||||
Merck | 609,200 | 19,927 | ||||||
Myriad Genetics* | 121,300 | 2,273 | ||||||
Pfizer | 2,115,200 | 37,397 | ||||||
St. Jude Medical | 101,200 | 3,662 | ||||||
UnitedHealth Group | 217,300 | 10,022 | ||||||
Warner Chilcott, Cl A* | 148,700 | 2,126 | ||||||
WellPoint | 215,000 | 14,035 | ||||||
|
| |||||||
170,011 | ||||||||
|
| |||||||
Industrials — 9.0% | ||||||||
AGCO* | 36,500 | 1,262 | ||||||
Boeing | 62,550 | 3,785 | ||||||
Briggs & Stratton (A) | 192,349 | 2,599 | ||||||
Dover | 47,200 | 2,200 | ||||||
EMCOR Group (A) | 57,300 | 1,165 | ||||||
Emerson Electric | 65,800 | 2,718 | ||||||
Gardner Denver | 27,800 | 1,767 | ||||||
General Dynamics | 103,300 | 5,877 | ||||||
General Electric | 1,905,500 | 29,040 | ||||||
Honeywell International | 40,800 | 1,791 | ||||||
Huntington Ingalls Industries* | 10,016 | 244 |
Description | Shares | Market Value ($ Thousands) | ||||||
Illinois Tool Works | 72,500 | $ | 3,016 | |||||
Ingersoll-Rand (A) | 160,420 | 4,506 | ||||||
ITT | 108,250 | 4,546 | ||||||
KBR | 160,800 | 3,800 | ||||||
L-3 Communications Holdings | 53,500 | 3,315 | ||||||
Lockheed Martin (A) | 65,900 | 4,787 | ||||||
Navistar International* | 31,800 | 1,021 | ||||||
Norfolk Southern | 27,100 | 1,654 | ||||||
Northrop Grumman (A) | 181,400 | 9,462 | ||||||
Parker Hannifin | 7,500 | 473 | ||||||
Raytheon | 117,500 | 4,802 | ||||||
RR Donnelley & Sons (A) | 107,300 | 1,515 | ||||||
Ryder System | 35,800 | 1,343 | ||||||
Teleflex | 64,200 | 3,452 | ||||||
Timken | 60,500 | 1,986 | ||||||
Tyco International | 53,662 | 2,186 | ||||||
Union Pacific | 45,200 | 3,691 | ||||||
|
| |||||||
108,003 | ||||||||
|
| |||||||
Information Technology — 11.8% | ||||||||
Activision Blizzard (A) | 222,800 | 2,651 | ||||||
Adobe Systems* | 157,950 | 3,818 | ||||||
Amdocs* | 57,500 | 1,559 | ||||||
Apple* | 4,500 | 1,715 | ||||||
Automatic Data Processing | 87,650 | 4,133 | ||||||
Avnet* | 67,400 | 1,758 | ||||||
Blue Coat Systems* | 75,558 | 1,049 | ||||||
CA | 78,000 | 1,514 | ||||||
Cisco Systems | 1,086,750 | 16,834 | ||||||
Computer Sciences | 48,900 | 1,313 | ||||||
Corning | 327,600 | 4,049 | ||||||
Dell* | 149,100 | 2,110 | ||||||
Fairchild Semiconductor International* | 78,700 | 850 | ||||||
Fidelity National Information Services | 53,600 | 1,303 | ||||||
Google, Cl A* | 6,400 | 3,292 | ||||||
Harris (A) | 42,100 | 1,438 | ||||||
Hewlett-Packard | 265,300 | 5,956 | ||||||
Hitachi ADR | 83,256 | 4,115 | ||||||
Ingram Micro, Cl A* | 105,100 | 1,695 | ||||||
Intel | 1,467,250 | 31,297 | ||||||
International Business Machines | 7,400 | 1,295 | ||||||
LSI Logic* | 860,300 | 4,456 | ||||||
Marvell Technology Group* | 100,200 | 1,456 | ||||||
Mastercard, Cl A | 10,650 | 3,378 | ||||||
Micron Technology* (A) | 161,000 | 811 | ||||||
Microsoft | 700,950 | 17,447 | ||||||
Oracle | 87,300 | 2,509 | ||||||
Seagate Technology | 95,200 | 978 | ||||||
Symantec* | 204,900 | 3,340 | ||||||
TE Connectivity | 87,300 | 2,457 | ||||||
Tech Data* | 38,500 | 1,664 | ||||||
Texas Instruments | 80,000 | 2,132 | ||||||
Total System Services | 242,450 | 4,105 | ||||||
Vishay Intertechnology* (A) | 103,400 | 864 | ||||||
Western Digital* | 41,200 | 1,060 | ||||||
Xerox | 309,100 | 2,155 | ||||||
|
| |||||||
142,556 | ||||||||
|
| |||||||
Materials — 5.0% | ||||||||
Agrium | 18,000 | 1,200 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Air Products & Chemicals | 15,900 | $ | 1,214 | |||||
Alpha Natural Resources* | 53,000 | 938 | ||||||
Ball | 30,800 | 956 | ||||||
BHP Billiton ADR (A) | 35,148 | 2,335 | ||||||
CF Industries Holdings | 8,600 | 1,061 | ||||||
Domtar | 7,800 | 532 | ||||||
Dow Chemical | 247,500 | 5,559 | ||||||
E.I. Du Pont de Nemours | 100,300 | 4,009 | ||||||
Eastman Chemical | 51,700 | 3,543 | ||||||
Ferro* | 319,100 | 1,963 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 203,400 | 6,194 | ||||||
Huntsman | 121,500 | 1,175 | ||||||
International Paper | 158,600 | 3,687 | ||||||
Newmont Mining | 178,700 | 11,240 | ||||||
Owens-Illinois* | 364,350 | 5,509 | ||||||
Rock-Tenn, Cl A | 49,000 | 2,385 | ||||||
Sealed Air | 119,832 | 2,001 | ||||||
Vulcan Materials (A) | 94,100 | 2,593 | ||||||
WR Grace* | 82,950 | 2,762 | ||||||
|
| |||||||
60,856 | ||||||||
|
| |||||||
Telecommunication Services — 3.5% | ||||||||
AT&T | 1,014,900 | 28,945 | ||||||
Telephone & Data Systems (A) | 66,700 | 1,417 | ||||||
Verizon Communications (A) | 311,400 | 11,460 | ||||||
|
| |||||||
41,822 | ||||||||
|
| |||||||
Utilities — 5.0% | ||||||||
Alliant Energy | 51,200 | 1,980 | ||||||
Ameren | 124,600 | 3,709 | ||||||
American Electric Power | 235,400 | 8,950 | ||||||
CMS Energy (A) | 95,000 | 1,880 | ||||||
Constellation Energy Group | 51,900 | 1,975 | ||||||
DTE Energy | 54,600 | 2,677 | ||||||
Edison International | 99,600 | 3,810 | ||||||
Entergy | 133,600 | 8,856 | ||||||
Exelon (A) | 149,800 | 6,383 | ||||||
GenOn Energy* | 312,206 | 868 | ||||||
NextEra Energy | 70,050 | 3,784 | ||||||
PG&E | 105,400 | 4,459 | ||||||
Pinnacle West Capital | 42,300 | 1,816 | ||||||
PPL (A) | 60,500 | 1,727 | ||||||
Public Service Enterprise Group | 105,800 | 3,531 | ||||||
Sempra Energy | 65,900 | 3,394 | ||||||
|
| |||||||
59,799 | ||||||||
|
| |||||||
Total Common Stock | 1,175,800 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.6% | ||||||||
SPDR Gold Shares | 48,800 | 7,714 | ||||||
Total Exchange Traded Fund | 7,714 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 6.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**†† (B) | 77,060,229 | $ | 72,295 | |||||
|
| |||||||
Total Affiliated Partnership | 72,295 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 23,988,205 | 23,988 | ||||||
|
| |||||||
Total Cash Equivalent | 23,988 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.059%, 12/15/11 | $ | 2,820 | 2,820 | |||||
0.025%, 12/08/11 | 1,141 | 1,141 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 3,961 | |||||||
|
| |||||||
Total Investments — 106.6% | $ | 1,283,758 | ||||||
|
|
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2011
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 236 | Dec-2011 | $ | (575 | ) | |||||||
Russell 2000 Index E-MINI | 8 | Dec-2011 | (41 | ) | ||||||||
|
| |||||||||||
$ | (616 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $1,204,345 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $73,116 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total value of such securities as of September 30, 2011 was $72,295 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,175,800 | $ | — | $ | — | $ | 1,175,800 | ||||||||
Exchange Traded Fund | 7,714 | — | — | 7,714 | ||||||||||||
Affiliated Partnership | — | 72,295 | — | 72,295 | ||||||||||||
Cash Equivalent | 23,988 | — | — | 23,988 | ||||||||||||
U.S. Treasury Obligations | — | 3,961 | — | 3,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,207,502 | $ | 76,256 | $ | — | $ | 1,283,758 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (616 | ) | $ | — | $ | — | $ | (616 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (616 | ) | $ | — | $ | — | $ | (616 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.9%‡ | ||||||||
Consumer Discretionary — 14.7% | ||||||||
Abercrombie & Fitch, Cl A | 49,002 | $ | 3,017 | |||||
Advance Auto Parts | 1,600 | 93 | ||||||
Amazon.com* | 43,042 | 9,307 | ||||||
AMC Networks, Cl A* (A) | 9,600 | 307 | ||||||
Apollo Group, Cl A* | 246,200 | 9,752 | ||||||
Autonation* (A) | 8,700 | 285 | ||||||
Autozone* | 10,769 | 3,437 | ||||||
Big Lots* | 2,400 | 84 | ||||||
BorgWarner* (A) | 45,331 | 2,744 | ||||||
Carmax* (A) | 5,300 | 126 | ||||||
CBS, Cl B | 74,600 | 1,520 | ||||||
Charter Communications, Cl A* | 32,900 | 1,541 | ||||||
Chico’s FAS | 17,100 | 196 | ||||||
Chipotle Mexican Grill, Cl A* (A) | 8,900 | 2,696 | ||||||
Coach | 287,495 | 14,901 | ||||||
Comcast, Cl A | 68,600 | 1,434 | ||||||
Ctrip.com International ADR* (A) | 186,400 | 5,995 | ||||||
DIRECTV, Cl A* | 105,000 | 4,436 | ||||||
DISH Network, Cl A* | 11,700 | 293 | ||||||
Dollar Tree* | 39,900 | 2,997 | ||||||
Expedia | 4,100 | 105 | ||||||
Family Dollar Stores | 800 | 41 | ||||||
Ford Motor* | 35,400 | 342 | ||||||
Fossil* | 154,488 | 12,523 | ||||||
H&R Block (A) | 110,900 | 1,476 | ||||||
Home Depot | 4,300 | 141 | ||||||
ITT Educational Services* (A) | — | — | ||||||
John Wiley & Sons, Cl A | 24,600 | 1,093 | ||||||
Johnson Controls | 1,300 | 34 | ||||||
Kohl’s | 78,807 | 3,869 | ||||||
Las Vegas Sands* | 154,618 | 5,928 | ||||||
Liberty Global, Cl A* (A) | 4,100 | 148 | ||||||
Limited Brands | 19,600 | 755 | ||||||
Lowe’s | 338,500 | 6,547 | ||||||
McDonald’s | 126,527 | 11,112 | ||||||
McGraw-Hill | 58,600 | 2,403 | ||||||
NetFlix* (A) | 23,200 | 2,625 | ||||||
Nike, Cl B | 101,050 | 8,641 | ||||||
O’Reilly Automotive* | 2,100 | 140 | ||||||
Panera Bread, Cl A* | 600 | 62 | ||||||
Polaris Industries | 12,900 | 645 | ||||||
priceline.com* (A) | 36,325 | 16,327 | ||||||
Ross Stores | 33,600 | 2,644 | ||||||
Staples | 537,700 | 7,152 | ||||||
Starbucks | 122,260 | 4,559 | ||||||
Starwood Hotels & Resorts Worldwide | 114,706 | 4,453 | ||||||
Tempur-Pedic International* | 47,200 | 2,483 | ||||||
Tiffany | 6,300 | 383 | ||||||
Time Warner (A) | 93,726 | 2,809 | ||||||
Time Warner Cable, Cl A | 45,500 | 2,851 | ||||||
Tractor Supply | 42,900 | 2,683 | ||||||
Tupperware Brands | 11,500 | 618 | ||||||
Ulta Salon Cosmetics & Fragrance* | 25,700 | 1,599 | ||||||
Under Armour, Cl A* (A) | 1,300 | 86 |
Description | Shares | Market Value ($ Thousands) | ||||||
VF (A) | 37,107 | $ | 4,509 | |||||
Viacom, Cl B | 68,500 | 2,654 | ||||||
Virgin Media (A) | 11,000 | 268 | ||||||
Weight Watchers International (A) | 22,300 | 1,299 | ||||||
Wynn Resorts | 25,300 | 2,911 | ||||||
Yum! Brands | 102,724 | 5,074 | ||||||
|
| |||||||
189,153 | ||||||||
|
| |||||||
Consumer Staples — 11.7% | ||||||||
Altria Group | 448,097 | 12,013 | ||||||
Brown-Forman, Cl B | 3,800 | 267 | ||||||
Church & Dwight (A) | 43,000 | 1,901 | ||||||
Coca-Cola (A) | 235,110 | 15,884 | ||||||
Coca-Cola Enterprises | 99,200 | 2,468 | ||||||
Colgate-Palmolive | 900 | 80 | ||||||
ConAgra Foods | 26,300 | 637 | ||||||
Corn Products International | 11,300 | 443 | ||||||
Costco Wholesale | 237,775 | 19,526 | ||||||
Estee Lauder, Cl A | 60,105 | 5,280 | ||||||
Flowers Foods (A) | 64,800 | 1,261 | ||||||
General Mills | 4,700 | 181 | ||||||
Green Mountain Coffee Roasters* (A) | 4,200 | 390 | ||||||
Hansen Natural* | 14,100 | 1,231 | ||||||
Herbalife | 61,400 | 3,291 | ||||||
HJ Heinz (A) | 37,600 | 1,898 | ||||||
Hormel Foods | 41,300 | 1,116 | ||||||
Kellogg | 24,900 | 1,324 | ||||||
Kimberly-Clark | 63,427 | 4,504 | ||||||
Kroger | 249,321 | 5,475 | ||||||
Lorillard | 24,532 | 2,716 | ||||||
McCormick (A) | 28,100 | 1,297 | ||||||
Mead Johnson Nutrition, Cl A | 233,546 | 16,075 | ||||||
PepsiCo | 93,271 | 5,773 | ||||||
Philip Morris International | 134,097 | 8,365 | ||||||
Procter & Gamble | 127,059 | 8,027 | ||||||
Reynolds American | 44,400 | 1,664 | ||||||
Sara Lee | 225,000 | 3,679 | ||||||
Tyson Foods, Cl A | 213,287 | 3,703 | ||||||
Walgreen | 426,100 | 14,015 | ||||||
Wal-Mart Stores | 88,785 | 4,608 | ||||||
Whole Foods Market | 11,100 | 725 | ||||||
|
| |||||||
149,817 | ||||||||
|
| |||||||
Energy — 9.0% | ||||||||
Arch Coal | 800 | 12 | ||||||
Baker Hughes | 86,657 | 4,000 | ||||||
BG Group ADR (A) | 26,879 | 2,564 | ||||||
Cabot Oil & Gas | 43,800 | 2,712 | ||||||
Cameron International* | 4,400 | 183 | ||||||
Canadian Natural Resources | 396,813 | 11,615 | ||||||
CARBO Ceramics (A) | 11,500 | 1,179 | ||||||
Chevron | 47,100 | 4,358 | ||||||
Concho Resources* | 36,000 | 2,561 | ||||||
Consol Energy | 28,600 | 970 | ||||||
Core Laboratories (A) | 80,556 | 7,236 | ||||||
El Paso | 158,600 | 2,772 | ||||||
EOG Resources (A) | 196,118 | 13,926 | ||||||
EXCO Resources | 11,500 | 123 | ||||||
Exxon Mobil | 229,700 | 16,683 | ||||||
FMC Technologies* (A) | 364,494 | 13,705 | ||||||
Halliburton | 81,800 | 2,497 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Helmerich & Payne | 11,800 | $ | 479 | |||||
HollyFrontier | 140,260 | 3,678 | ||||||
Kinder Morgan (A) | 7,900 | 205 | ||||||
National Oilwell Varco | 63,468 | 3,251 | ||||||
Oil States International* | 4,200 | 214 | ||||||
Patterson-UTI Energy | 11,600 | 201 | ||||||
Pioneer Natural Resources | 3,700 | 243 | ||||||
QEP Resources | 14,400 | 390 | ||||||
Range Resources (A) | 48,738 | 2,849 | ||||||
SandRidge Energy* (A) | 259,600 | 1,443 | ||||||
Schlumberger | 236,582 | 14,131 | ||||||
SM Energy | 25,500 | 1,547 | ||||||
|
| |||||||
115,727 | ||||||||
|
| |||||||
Financials — 3.8% | ||||||||
American Express | 14,500 | 651 | ||||||
Boston Properties † | 22,800 | 2,031 | ||||||
Camden Property Trust † | 29,500 | 1,630 | ||||||
CB Richard Ellis Group, Cl A* | 151,400 | 2,038 | ||||||
Charles Schwab (A) | 689,159 | 7,767 | ||||||
CME Group | 49,358 | 12,162 | ||||||
Comerica | 96,237 | 2,211 | ||||||
Digital Realty Trust † (A) | 1,800 | 99 | ||||||
Discover Financial Services | 34,500 | 791 | ||||||
Equity Residential † | 9,400 | 488 | ||||||
Erie Indemnity, Cl A | 9,100 | 648 | ||||||
Essex Property Trust † | 6,000 | 720 | ||||||
Federal Realty Investment Trust † | 1,700 | 140 | ||||||
Federated Investors, Cl B | 2,300 | 40 | ||||||
IntercontinentalExchange* (A) | 97,850 | 11,572 | ||||||
Lazard, Cl A | 2,100 | 44 | ||||||
Macerich † | 1,400 | 60 | ||||||
Moody’s (A) | 93,600 | 2,850 | ||||||
Plum Creek Timber † (A) | 7,600 | 264 | ||||||
Public Storage † (A) | 3,900 | 434 | ||||||
Rayonier † | 44,650 | 1,643 | ||||||
Simon Property Group † | 800 | 88 | ||||||
TD Ameritrade Holding | 14,100 | 208 | ||||||
Validus Holdings | 3,400 | 84 | ||||||
Weyerhaeuser † | 52,200 | 812 | ||||||
|
| |||||||
49,475 | ||||||||
|
| |||||||
Health Care — 14.0% | ||||||||
Abbott Laboratories | 4,700 | 240 | ||||||
Agilent Technologies* | 28,200 | 881 | ||||||
Alexion Pharmaceuticals* (A) | 81,800 | 5,240 | ||||||
Allergan | 236,245 | 19,462 | ||||||
AMERIGROUP* (A) | 19,700 | 769 | ||||||
AmerisourceBergen (A) | 119,200 | 4,443 | ||||||
Baxter International | 2,900 | 163 | ||||||
Becton Dickinson | 20,000 | 1,466 | ||||||
Biogen Idec* | 32,600 | 3,037 | ||||||
Brookdale Senior Living, Cl A* | 24,900 | 312 | ||||||
C.R. Bard | 25,900 | 2,267 | ||||||
Cardinal Health | 36,200 | 1,516 | ||||||
CareFusion * | 27,900 | 668 | ||||||
Cerner * | 28,100 | 1,926 | ||||||
Charles River Laboratories International* | 17,900 | 512 | ||||||
Cooper | 6,000 | 475 | ||||||
Covance* | 255,415 | 11,608 | ||||||
Covidien | 120,918 | 5,332 |
Description | Shares | Market Value ($ Thousands) | ||||||
DaVita* | 131,489 | $ | 8,240 | |||||
Edwards Lifesciences* | 7,400 | 527 | ||||||
Express Scripts* | 405,013 | 15,014 | ||||||
Gen-Probe* | 28,900 | 1,655 | ||||||
HCA Holdings* | 5,200 | 105 | ||||||
Henry Schein* | 13,500 | 837 | ||||||
Idexx Laboratories* (A) | 135,991 | 9,379 | ||||||
Illumina* (A) | 219,015 | 8,962 | ||||||
Intuitive Surgical* (A) | 35,631 | 12,980 | ||||||
Johnson & Johnson (A) | 122,836 | 7,826 | ||||||
Kinetic Concepts* (A) | 29,500 | 1,944 | ||||||
Laboratory Corp of America Holdings* | 54,100 | 4,277 | ||||||
Lincare Holdings (A) | 23,400 | 527 | ||||||
McKesson | 29,000 | 2,108 | ||||||
Medco Health Solutions* | 53,300 | 2,499 | ||||||
Mednax* | 15,500 | 971 | ||||||
Medtronic | 21,300 | 708 | ||||||
Mettler Toledo International* | 1,000 | 140 | ||||||
Mylan Laboratories* | 16,500 | 281 | ||||||
Novo Nordisk ADR (A) | 76,932 | 7,656 | ||||||
Perrigo (A) | 80,650 | 7,832 | ||||||
Pharmasset* | 30,900 | 2,545 | ||||||
Quest Diagnostics | 3,100 | 153 | ||||||
Regeneron Pharmaceuticals* (A) | 20,100 | 1,170 | ||||||
Sirona Dental Systems* | 7,200 | 305 | ||||||
St. Jude Medical | 17,700 | 641 | ||||||
Stryker | 6,400 | 302 | ||||||
SXC Health Solutions* | 15,300 | 852 | ||||||
Techne | 21,300 | 1,449 | ||||||
United Therapeutics* | 11,400 | 427 | ||||||
UnitedHealth Group | 131,689 | 6,073 | ||||||
Varian Medical Systems* | 7,700 | 402 | ||||||
Vertex Pharmaceuticals* (A) | 60,600 | 2,699 | ||||||
Waters* | 68,601 | 5,179 | ||||||
Watson Pharmaceuticals* (A) | 35,300 | 2,409 | ||||||
|
| |||||||
179,391 | ||||||||
|
| |||||||
Industrials — 9.4% | ||||||||
3M | 32,655 | 2,345 | ||||||
ABB ADR | 379,642 | 6,484 | ||||||
Babcock & Wilcox* | 7,900 | 154 | ||||||
Boeing | 29,678 | 1,796 | ||||||
C.H. Robinson Worldwide (A) | 39,200 | 2,684 | ||||||
Caterpillar | 139,900 | 10,330 | ||||||
Chicago Bridge & Iron | 23,200 | 664 | ||||||
Cooper Industries, Cl A | 19,900 | 918 | ||||||
Copart* | 38,200 | 1,494 | ||||||
CSX | 140,900 | 2,631 | ||||||
Danaher | 267,512 | 11,219 | ||||||
Deere | 1,200 | 78 | ||||||
Dun & Bradstreet | 9,900 | 606 | ||||||
Expeditors International of Washington | 176,600 | 7,161 | ||||||
Fastenal (A) | 3,300 | 110 | ||||||
Fluor | 264,282 | 12,303 | ||||||
Gardner Denver | 5,200 | 331 | ||||||
Graco | 27,700 | 946 | ||||||
Harsco | 3,400 | 66 | ||||||
Hertz Global Holdings* | 102,300 | 910 | ||||||
Honeywell International | 13,600 | 597 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
IHS, Cl A* | 25,900 | $ | 1,938 | |||||
Ingersoll-Rand | 10,300 | 289 | ||||||
JB Hunt Transport Services | 10,200 | 368 | ||||||
Kansas City Southern* | 1,800 | 90 | ||||||
Landstar System | 16,200 | 641 | ||||||
Lockheed Martin (A) | 18,100 | 1,315 | ||||||
Masco (A) | 18,200 | 130 | ||||||
Parker Hannifin | 12,200 | 770 | ||||||
Polypore International* | 900 | 51 | ||||||
Precision Castparts | 43,379 | 6,744 | ||||||
Raytheon | 65,885 | 2,693 | ||||||
Republic Services | 108,932 | 3,057 | ||||||
Rockwell Automation | 26,600 | 1,490 | ||||||
Roper Industries | 154,366 | 10,637 | ||||||
Spirit Aerosystems Holdings, Cl A* | 5,600 | 89 | ||||||
Stericycle* (A) | 205,308 | 16,572 | ||||||
Towers Watson, Cl A | 1,600 | 96 | ||||||
TransDigm Group* | 32,500 | 2,654 | ||||||
Tyco International | 73,037 | 2,976 | ||||||
United Technologies | 38,961 | 2,741 | ||||||
UTI Worldwide | 1,700 | 22 | ||||||
Verisk Analytics, Cl A* | 13,500 | 469 | ||||||
Waste Connections | 16,200 | 548 | ||||||
WESCO International* | 4,700 | 157 | ||||||
WW Grainger (A) | 200 | 30 | ||||||
|
| |||||||
120,394 | ||||||||
|
| |||||||
Information Technology — 31.2% | ||||||||
Accenture, Cl A (A) | 223,683 | 11,784 | ||||||
Adobe Systems* | 335,900 | 8,119 | ||||||
Alliance Data Systems* (A) | 20,600 | 1,910 | ||||||
Altera | 70,300 | 2,217 | ||||||
Amphenol, Cl A | 213,575 | 8,708 | ||||||
Ansys* | 187,240 | 9,182 | ||||||
Apple* | 200,563 | 76,450 | ||||||
Ariba* | 6,600 | 183 | ||||||
Arrow Electronics* | 7,100 | 197 | ||||||
Atmel* | 58,700 | 474 | ||||||
Autodesk* | 2,500 | 69 | ||||||
Automatic Data Processing | 48,600 | 2,291 | ||||||
Avago Technologies | 800 | 26 | ||||||
Cadence Design Systems* | 43,200 | 399 | ||||||
Ciena* (A) | 17,900 | 201 | ||||||
Citrix Systems* | 254,903 | 13,900 | ||||||
Cognizant Technology Solutions, Cl A* (A) | 186,652 | 11,703 | ||||||
Compuware* | 8,300 | 64 | ||||||
Cypress Semiconductor | 24,600 | 368 | ||||||
DST Systems | 2,800 | 123 | ||||||
eBay* | 27,600 | 814 | ||||||
Electronic Arts* | 16,300 | 333 | ||||||
EMC* | 172,028 | 3,611 | ||||||
Factset Research Systems (A) | 14,200 | 1,263 | ||||||
Fiserv* | 5,400 | 274 | ||||||
Flir Systems | 27,600 | 691 | ||||||
Fortinet* | 19,500 | 328 | ||||||
Gartner* | 37,100 | 1,294 | ||||||
Genpact* | 469,962 | 6,763 | ||||||
Global Payments | 39,800 | 1,607 | ||||||
Google, Cl A* | 79,609 | 40,949 | ||||||
Informatica* | 48,900 | 2,003 |
Description | Shares | Market Value ($ Thousands) | ||||||
Intel | 213,385 | $ | 4,551 | |||||
International Business Machines | 33,274 | 5,824 | ||||||
Intuit | 241,200 | 11,443 | ||||||
IPG Photonics* | 14,900 | 647 | ||||||
Iron Mountain (A) | 89,800 | 2,839 | ||||||
Juniper Networks* | 120,414 | 2,078 | ||||||
Kla-Tencor | 2,600 | 100 | ||||||
LSI Logic* | 13,300 | 69 | ||||||
Mastercard, Cl A | 91,900 | 29,147 | ||||||
Microsoft | 379,093 | 9,436 | ||||||
National Instruments | 367,444 | 8,400 | ||||||
NCR* | 1,400 | 24 | ||||||
NetApp* (A) | 291,964 | 9,909 | ||||||
Nvidia* | 45,800 | 572 | ||||||
ON Semiconductor * | 110,300 | 791 | ||||||
Oracle | 358,220 | 10,295 | ||||||
Paychex (A) | 125,200 | 3,302 | ||||||
Polycom* | 303,100 | 5,568 | ||||||
Qualcomm | 632,215 | 30,745 | ||||||
Rackspace Hosting* (A) | 30,900 | 1,055 | ||||||
Rovi* (A) | — | — | ||||||
Salesforce.com* (A) | 66,678 | 7,620 | ||||||
Sina* (A) | — | — | ||||||
Skyworks Solutions* | 9,700 | �� | 174 | |||||
Solera Holdings | 2,500 | 126 | ||||||
Teradata* | 225,900 | 12,092 | ||||||
Texas Instruments | 181,210 | 4,829 | ||||||
TIBCO Software* | 42,000 | 940 | ||||||
Varian Semiconductor Equipment Associates* | 12,200 | 746 | ||||||
VeriFone Holdings* | 69,305 | 2,427 | ||||||
VeriSign | 348,600 | 9,973 | ||||||
Visa, Cl A (A) | 191,350 | 16,402 | ||||||
VistaPrint* (A) | 4,800 | 130 | ||||||
Western Union | 52,500 | 803 | ||||||
Xilinx | 9,400 | 258 | ||||||
|
| |||||||
401,613 | ||||||||
|
| |||||||
Materials — 2.5% | ||||||||
Allegheny Technologies | 13,666 | 506 | ||||||
Allied Nevada Gold* (A) | 5,400 | 193 | ||||||
Ball | 16,900 | 524 | ||||||
Celanese, Ser A | 12,600 | 410 | ||||||
CF Industries Holdings | 9,800 | 1,209 | ||||||
Crown Holdings* | 107,200 | 3,282 | ||||||
E.I. Du Pont de Nemours | 26,700 | 1,067 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 40,600 | 1,236 | ||||||
International Flavors & Fragrances | 15,800 | 888 | ||||||
LyondellBasell Industries, Cl A | 13,700 | 335 | ||||||
Molycorp* (A) | 40,700 | 1,338 | ||||||
Monsanto | 80,686 | 4,844 | ||||||
Mosaic | 17,300 | 847 | ||||||
Praxair | 31,162 | 2,913 | ||||||
Rockwood Holdings* | 3,900 | 132 | ||||||
Royal Gold | 16,300 | 1,044 | ||||||
Scotts Miracle-Gro, Cl A (A) | 4,400 | 196 | ||||||
Sherwin-Williams | 6,800 | 505 | ||||||
Sigma-Aldrich | 43,962 | 2,717 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2011
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Syngenta ADR (A) | 150,896 | $ | 7,827 | |||||
|
| |||||||
32,013 | ||||||||
|
| |||||||
Telecommunication Services — 1.1% |
| |||||||
Crown Castle International* | 326,900 | 13,295 | ||||||
MetroPCS Communications* | 68,000 | 592 | ||||||
Verizon Communications | 13,500 | 497 | ||||||
|
| |||||||
14,384 | ||||||||
|
| |||||||
Utilities — 0.5% | ||||||||
American Electric Power | 84,618 | 3,217 | ||||||
ITC Holdings | 28,800 | 2,230 | ||||||
National Fuel Gas | 1,300 | 64 | ||||||
Oneok | 5,000 | 330 | ||||||
|
| |||||||
5,841 | ||||||||
|
| |||||||
Total Common Stock |
| 1,257,808 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 14.2% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**†† (B) | 186,265,391 | 182,576 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 182,576 | ||||||
|
| |||||||
CASH EQUIVALENTS — 2.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 25,517,997 | 25,518 | ||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010% | 2,426,108 | 2,426 | ||||||
|
| |||||||
Total Cash Equivalents |
| 27,944 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.062%, 12/15/11 | $ | 1,699 | 1,699 | |||||
0.025%, 12/08/11 | 1,558 | 1,558 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 3,257 | ||||||
|
| |||||||
Total Investments — 114.5% | $ | 1,471,585 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Long (Short) | Expiration Date | Unrealized Depreciation | |||||||||
S&P 500 Index E-MINI | 301 | Dec-2011 | $ | (813 | ) | |||||||
Russell 2000 Index E- MINI | 40 | Dec-2011 | (207 | ) | ||||||||
|
| |||||||||||
$ | (1,020 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $1,285,233 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | 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, 2011. The total market value of securities on loan at September 30, 2011 was $177,214 ($ 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, 2011 was $182,576 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
Ser — Series
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,257,808 | $ | — | $ | — | $ | 1,257,808 | ||||||||
Affiliated Partnership | — | 182,576 | — | 182,576 | ||||||||||||
Cash Equivalents | 25,518 | 2,426 | — | 27,944 | ||||||||||||
U.S. Treasury Obligations | — | 3,257 | — | 3,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,283,326 | $ | 188,259 | $ | — | $ | 1,471,585 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (1,020 | ) | $ | — | $ | — | $ | (1,020 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,020 | ) | $ | — | $ | — | $ | (1,020 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 99.0% | ||||||||
Consumer Discretionary — 13.9% | ||||||||
Abercrombie & Fitch, Cl A | 23,560 | $ | 1,450 | |||||
Amazon.com* | 21,795 | 4,713 | ||||||
AMC Networks, Cl A* | 1,675 | 54 | ||||||
American Eagle Outfitters | 119,561 | 1,401 | ||||||
Apollo Group, Cl A* | 195,978 | 7,763 | ||||||
Autoliv (A) | 22,650 | 1,098 | ||||||
Bayerische Motoren Werke | 53,978 | 3,618 | ||||||
Bed Bath & Beyond* | 121,722 | 6,976 | ||||||
Best Buy (A) | 72,159 | 1,681 | ||||||
Big Lots* | 1,557 | 54 | ||||||
Blyth | 4,100 | 227 | ||||||
BorgWarner* | 15,572 | 943 | ||||||
Brinker International | 3,400 | 71 | ||||||
Cablevision Systems, Cl A | 6,700 | 105 | ||||||
Career Education* (A) | 43,087 | 562 | ||||||
Carmax* (A) | 1,883 | 45 | ||||||
Carnival | 9,000 | 273 | ||||||
Cavco Industries* | 130 | 5 | ||||||
CBS, Cl B | 451,553 | 9,203 | ||||||
Chico’s FAS | 4,700 | 54 | ||||||
Clear Channel Outdoor Holdings, Cl A* | 5,800 | 54 | ||||||
Coach | 300,249 | 15,562 | ||||||
Comcast, Cl A | 121,894 | 2,548 | ||||||
Ctrip.com International ADR* (A) | 80,684 | 2,595 | ||||||
Darden Restaurants | 3,127 | 134 | ||||||
DeVry | 1,021 | 38 | ||||||
Dick’s Sporting Goods* | 3,700 | 124 | ||||||
DIRECTV, Cl A* | 113,036 | 4,776 | ||||||
Discovery Communications, Cl C* | 5,040 | 177 | ||||||
Discovery Communications, Cl A* (A) | 36,072 | 1,357 | ||||||
DISH Network, Cl A* | 15,063 | 378 | ||||||
Dollar Tree* | 1,243 | 93 | ||||||
DR Horton | 6,500 | 59 | ||||||
Family Dollar Stores | 3,212 | 163 | ||||||
Federal Mogul, Cl A* | 5,500 | 81 | ||||||
Ford Motor* (A) | 225,407 | 2,180 | ||||||
Fortune Brands | 1,837 | �� | 99 | |||||
Fossil* | 67,363 | 5,460 | ||||||
GameStop, Cl A* (A) | 44,722 | 1,033 | ||||||
Gannett | 34,600 | 330 | ||||||
Gap (A) | 59,800 | 971 | ||||||
Garmin (A) | 2,100 | 67 | ||||||
Gentex | 5,500 | 132 | ||||||
Genuine Parts | 2,400 | 122 | ||||||
Goodyear Tire & Rubber* | 135,187 | 1,364 | ||||||
Harley-Davidson | 231,344 | 7,942 | ||||||
Harman International Industries | 4,200 | 120 | ||||||
Hasbro | 2,795 | 91 | ||||||
Home Depot | 21,380 | 703 | ||||||
Interpublic Group | 13,000 | 94 | ||||||
iRobot* (A) | 2,400 | 60 | ||||||
ITT Educational Services* (A) | 32,747 | 1,885 | ||||||
J.C. Penney (A) | 4,030 | 108 | ||||||
Jarden | 4,100 | 116 |
Description | Shares | Market Value ($ Thousands) | ||||||
Johnson Controls | 240,188 | $ | 6,334 | |||||
Kohl’s | 95,549 | 4,692 | ||||||
Lamar Advertising, Cl A* (A) | 7,300 | 124 | ||||||
Las Vegas Sands* | 73,220 | 2,807 | ||||||
Leggett & Platt | 9,000 | 178 | ||||||
Lennar, Cl A | 5,100 | 69 | ||||||
Liberty Global, Cl A* (A) | 14,200 | 514 | ||||||
Liberty Media - Capital, Cl A | 6,070 | 401 | ||||||
Liberty Media - Interactive, Cl A* | 6,450 | 95 | ||||||
Liberty Media - Starz, Cl A* | 906 | 58 | ||||||
Limited Brands | 4,317 | 166 | ||||||
Lowe’s | 569,040 | 11,005 | ||||||
Macy’s | 331,340 | 8,721 | ||||||
Madison Square Garden, Cl A* | 1,675 | 38 | ||||||
Marriott International, Cl A | 7,099 | 193 | ||||||
McDonald’s | 95,639 | 8,399 | ||||||
McGraw-Hill | 5,300 | 217 | ||||||
Mohawk Industries* | 2,829 | 121 | ||||||
NetFlix* (A) | 2,089 | 236 | ||||||
New York Times, Cl A* (A) | 10,200 | 59 | ||||||
News, Cl A | 72,600 | 1,123 | ||||||
Nike, Cl B | 120,799 | 10,330 | ||||||
Nordstrom | 134,540 | 6,146 | ||||||
NVR* | 100 | 60 | ||||||
Omnicom Group | 4,000 | 147 | ||||||
O’Reilly Automotive* | 6,600 | 440 | ||||||
PetSmart | 1,608 | 69 | ||||||
Polaris Industries | 600 | 30 | ||||||
priceline.com* (A) | 12,935 | 5,814 | ||||||
RadioShack (A) | 71,347 | 829 | ||||||
Ralph Lauren, Cl A | 900 | 117 | ||||||
Ross Stores | 1,571 | 124 | ||||||
Royal Caribbean Cruises (A) | 3,900 | 85 | ||||||
Sears Holdings* (A) | 900 | 52 | ||||||
Sirius XM Radio* (A) | 19,560 | 30 | ||||||
Staples | 260,927 | 3,470 | ||||||
Starbucks | 91,107 | 3,397 | ||||||
Starwood Hotels & Resorts Worldwide | 49,224 | 1,911 | ||||||
Target | 247,603 | 12,142 | ||||||
Tempur-Pedic International* | 15,900 | 837 | ||||||
Tiffany | 1,800 | 110 | ||||||
Time Warner | 118,323 | 3,546 | ||||||
Time Warner Cable, Cl A | 124,373 | 7,794 | ||||||
TJX | 27,887 | 1,547 | ||||||
Urban Outfitters* | 763 | 17 | ||||||
VF (A) | 22,128 | 2,689 | ||||||
Viacom, Cl B | 38,400 | 1,488 | ||||||
Virgin Media (A) | 12,500 | 304 | ||||||
Walt Disney | 92,207 | 2,781 | ||||||
Warnaco Group* | 3,194 | 147 | ||||||
Whirlpool (A) | 26,000 | 1,298 | ||||||
Wyndham Worldwide | 13,000 | 371 | ||||||
Yum! Brands | 51,272 | 2,532 | ||||||
|
| |||||||
207,516 | ||||||||
|
| |||||||
Consumer Staples — 10.2% | ||||||||
Altria Group | 86,575 | 2,321 | ||||||
Anheuser-Busch InBev ADR | 68,168 | 3,611 | ||||||
Archer-Daniels-Midland | 69,778 | 1,731 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Avon Products | 11,636 | $ | 228 | |||||
BJ’s Wholesale Club* | 18,188 | 932 | ||||||
Brown-Forman, Cl B | 1,500 | 105 | ||||||
Bunge | 9,300 | 542 | ||||||
Campbell Soup | 1,100 | 36 | ||||||
Clorox | 2,769 | 184 | ||||||
Coca-Cola | 182,111 | 12,303 | ||||||
Coca-Cola Enterprises | 48,600 | 1,209 | ||||||
Colgate-Palmolive | 5,620 | 498 | ||||||
ConAgra Foods | 118,917 | 2,880 | ||||||
Constellation Brands, Cl A* | 10,975 | 198 | ||||||
Corn Products International | 30,800 | 1,209 | ||||||
Costco Wholesale | 209,569 | 17,210 | ||||||
CVS Caremark | 190,782 | 6,406 | ||||||
Dr Pepper Snapple Group | 13,839 | 537 | ||||||
Energizer Holdings* | 1,628 | 108 | ||||||
Estee Lauder, Cl A | 53,654 | 4,713 | ||||||
General Mills | 5,168 | 199 | ||||||
Green Mountain Coffee Roasters* (A) | 1,251 | 116 | ||||||
Herbalife | 33,200 | 1,780 | ||||||
Hershey | 1,160 | 69 | ||||||
Hormel Foods | 4,000 | 108 | ||||||
JM Smucker | 9,600 | 700 | ||||||
Kellogg | 3,608 | 192 | ||||||
Kimberly-Clark | 60,600 | 4,303 | ||||||
Kraft Foods, Cl A | 55,929 | 1,878 | ||||||
Kroger | 269,851 | 5,926 | ||||||
Lorillard | 26,289 | 2,910 | ||||||
McCormick | 2,100 | 97 | ||||||
Mead Johnson Nutrition, Cl A | 188,136 | 12,949 | ||||||
PepsiCo | 94,856 | 5,872 | ||||||
Philip Morris International | 124,558 | 7,770 | ||||||
Procter & Gamble | 305,330 | 19,291 | ||||||
Reynolds American | 34,600 | 1,297 | ||||||
Safeway (A) | 145,100 | 2,413 | ||||||
Sara Lee | 12,100 | 198 | ||||||
Smithfield Foods* | 49,081 | 957 | ||||||
SUPERVALU (A) | 54,456 | 363 | ||||||
Susser Holdings* | 5,400 | 108 | ||||||
SYSCO | 5,700 | 148 | ||||||
Tyson Foods, Cl A | 203,429 | 3,531 | ||||||
Walgreen | 226,237 | 7,441 | ||||||
Wal-Mart Stores | 172,048 | 8,929 | ||||||
Whole Foods Market | 99,657 | 6,508 | ||||||
|
| |||||||
153,014 | ||||||||
|
| |||||||
Energy — 9.8% | ||||||||
Anadarko Petroleum | 6,656 | 420 | ||||||
Apache | 31,072 | 2,493 | ||||||
Arch Coal | 19,400 | 283 | ||||||
Baker Hughes | 2,758 | 127 | ||||||
BG Group ADR (A) | 16,240 | 1,549 | ||||||
Cameron International* | 613 | 26 | ||||||
Canadian Natural Resources | 214,236 | 6,271 | ||||||
Chesapeake Energy (A) | 4,174 | 107 | ||||||
Chevron | 256,751 | 23,755 | ||||||
Cimarex Energy | 943 | 53 | ||||||
Complete Production Services* (A) | 31,600 | 596 | ||||||
Concho Resources* | 900 | 64 | ||||||
ConocoPhillips | 326,204 | 20,655 |
Description | Shares | Market Value ($ Thousands) | ||||||
Consol Energy | 15,400 | $ | 522 | |||||
Core Laboratories | 35,681 | 3,205 | ||||||
CVR Energy* | 42,143 | 891 | ||||||
Devon Energy | 48,490 | 2,688 | ||||||
Diamond Offshore Drilling (A) | 9,700 | 531 | ||||||
Energen | 750 | 30 | ||||||
EOG Resources (A) | 92,748 | 6,586 | ||||||
EQT | 2,100 | 112 | ||||||
EXCO Resources | 3,100 | 33 | ||||||
Exxon Mobil | 272,146 | 19,766 | ||||||
FMC Technologies* (A) | 171,724 | 6,457 | ||||||
Halliburton | 104,136 | 3,178 | ||||||
Helmerich & Payne | 9,295 | 377 | ||||||
Hess | 57,287 | 3,005 | ||||||
HollyFrontier | 3,400 | 89 | ||||||
Marathon Oil | 152,134 | 3,283 | ||||||
Marathon Petroleum | 76,067 | 2,058 | ||||||
McDermott International* | 47,200 | 508 | ||||||
Murphy Oil | 74,516 | 3,291 | ||||||
Nabors Industries* | 38,748 | 475 | ||||||
National Oilwell Varco | 69,442 | 3,557 | ||||||
Newfield Exploration* | 2,500 | 99 | ||||||
Noble | 19,700 | 578 | ||||||
Noble Energy | 43,532 | 3,082 | ||||||
Occidental Petroleum | 31,980 | 2,287 | ||||||
Oceaneering International | 7,800 | 276 | ||||||
Oil States International* | 3,100 | 158 | ||||||
Patriot Coal* | 880 | 7 | ||||||
Patterson-UTI Energy | 49,700 | 862 | ||||||
Peabody Energy | 5,300 | 180 | ||||||
Pioneer Natural Resources | 4,944 | 325 | ||||||
Plains Exploration & Production* | 2,500 | 57 | ||||||
QEP Resources | 3,500 | 95 | ||||||
Range Resources (A) | 26,846 | 1,569 | ||||||
RPC (A) | 4,300 | 70 | ||||||
Schlumberger | 195,377 | 11,670 | ||||||
SEACOR Holdings | 1,200 | 96 | ||||||
SM Energy | 1,000 | 61 | ||||||
Spectra Energy | 9,543 | 234 | ||||||
Sunoco | 1,900 | 59 | ||||||
Teekay Shipping | 3,100 | 70 | ||||||
Tesoro* | 93,483 | 1,820 | ||||||
Tidewater (A) | 1,850 | 78 | ||||||
Unit* | 15,200 | 561 | ||||||
Valero Energy | 225,179 | 4,004 | ||||||
W&T Offshore (A) | 15,575 | 214 | ||||||
Weatherford International* | 14,100 | 172 | ||||||
Whiting Petroleum* | 3,400 | 119 | ||||||
Williams | 39,629 | 965 | ||||||
|
| |||||||
146,809 | ||||||||
|
| |||||||
Financials — 11.7% | ||||||||
ACE | 94,846 | 5,748 | ||||||
Affiliated Managers Group* | 1,000 | 78 | ||||||
Aflac | 56,690 | 1,981 | ||||||
Allstate | 68,078 | 1,613 | ||||||
American Equity Investment Life Holding (A) | 15,500 | 136 | ||||||
American Express | 28,081 | 1,261 | ||||||
American Financial Group | 61,500 | 1,911 | ||||||
Ameriprise Financial | 84,290 | 3,318 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Annaly Capital Management † | 60,288 | $ | 1,003 | |||||
AON | 4,050 | 170 | ||||||
Apartment Investment & Management, Cl A † | 8,615 | 191 | ||||||
Arthur J. Gallagher | 2,600 | 68 | ||||||
Assurant | 79,100 | 2,832 | ||||||
AvalonBay Communities † | 1,900 | 217 | ||||||
Bank of America | 432,420 | 2,646 | ||||||
Bank of Hawaii | 3,716 | 135 | ||||||
Bank of Montreal | 1,470 | 82 | ||||||
Bank of New York Mellon | 71,470 | 1,328 | ||||||
BB&T (A) | 11,249 | 240 | ||||||
Berkshire Hathaway, Cl B* (A) | 94,570 | 6,718 | ||||||
BlackRock | 4,750 | 703 | ||||||
Boston Properties † | 1,600 | 143 | ||||||
Brandywine Realty Trust † | 131,500 | 1,053 | ||||||
BRE Properties, Cl A † | 2,200 | 93 | ||||||
Camden Property Trust † | 2,200 | 122 | ||||||
Capital One Financial (A) | 181,999 | 7,213 | ||||||
CB Richard Ellis Group, Cl A* | 2,800 | 38 | ||||||
CBL & Associates Properties † | 51,300 | 583 | ||||||
Charles Schwab (A) | 407,510 | 4,592 | ||||||
Chubb | 101,164 | 6,069 | ||||||
Cincinnati Financial (A) | 3,700 | 97 | ||||||
CIT Group* | 5,100 | 155 | ||||||
Citigroup | 314,295 | 8,052 | ||||||
CME Group | 22,269 | 5,487 | ||||||
Comerica | 71,526 | 1,643 | ||||||
Commerce Bancshares | 37,205 | 1,293 | ||||||
CommonWealth † | 20,801 | 395 | ||||||
Digital Realty Trust † (A) | 1,300 | 72 | ||||||
Discover Financial Services | 264,657 | 6,071 | ||||||
Duke Realty † | 21,100 | 221 | ||||||
E*Trade Financial* | 7,000 | 64 | ||||||
Equity Residential † | 4,687 | 243 | ||||||
Erie Indemnity, Cl A | 1,400 | 100 | ||||||
Everest Re Group | 15,600 | 1,238 | ||||||
Federal Realty Investment Trust † | 800 | 66 | ||||||
Fidelity National Financial, Cl A | 5,399 | 82 | ||||||
Fifth Third Bancorp | 280,147 | 2,830 | ||||||
First American Financial | 2,100 | 27 | ||||||
First Citizens BancShares, Cl A | 600 | 86 | ||||||
First Horizon National (A) | 15,961 | 95 | ||||||
First Niagara Financial Group | 4,000 | 36 | ||||||
Forest City Enterprises, Cl A* (A) | 9,800 | 105 | ||||||
Franklin Resources | 19,450 | 1,860 | ||||||
Goldman Sachs Group | 26,579 | 2,513 | ||||||
Hanover Insurance Group | 4,297 | 153 | ||||||
Hartford Financial Services Group | 135,344 | 2,184 | ||||||
HCC Insurance Holdings | 1,500 | 41 | ||||||
Highwoods Properties † (A) | 750 | 21 | ||||||
Hospitality Properties Trust † | 66,700 | 1,416 | ||||||
Host Hotels & Resorts † | 19,688 | 215 | ||||||
Howard Hughes* | 295 | 12 | ||||||
Huntington Bancshares | 617,385 | 2,964 | ||||||
IntercontinentalExchange* (A) | 41,891 | 4,954 | ||||||
Invesco | 6,000 | 93 |
Description | Shares | Market Value ($ Thousands) | ||||||
Jefferies Group | 7,900 | $ | 98 | |||||
Jones Lang LaSalle | 21,700 | 1,124 | ||||||
JPMorgan Chase | 644,177 | 19,403 | ||||||
Kemper | 4,900 | 117 | ||||||
Keycorp | 568,141 | 3,369 | ||||||
Kimco Realty † | 3,600 | 54 | ||||||
Legg Mason | 2,100 | 54 | ||||||
Liberty Property Trust † (A) | 1,900 | 55 | ||||||
Lincoln National | 111,010 | 1,735 | ||||||
Loews | 3,100 | 107 | ||||||
M&T Bank | 2,969 | 208 | ||||||
Macerich † | 5,647 | 241 | ||||||
Mack-Cali Realty † | 2,700 | 72 | ||||||
Maiden Holdings | 12,500 | 92 | ||||||
Marsh & McLennan | 9,266 | 246 | ||||||
Mercury General | 1,700 | 65 | ||||||
MetLife | 37,870 | 1,061 | ||||||
Moody’s (A) | 3,838 | 117 | ||||||
Morgan Stanley | 97,900 | 1,322 | ||||||
New York Community Bancorp | 3,600 | 43 | ||||||
Northern Trust | 2,850 | 100 | ||||||
NYSE Euronext | 4,300 | 100 | ||||||
Old Republic International | 5,100 | 45 | ||||||
People’s United Financial | 4,725 | 54 | ||||||
Plum Creek Timber † | 2,090 | 72 | ||||||
PNC Financial Services Group | 142,069 | 6,846 | ||||||
Popular* | 436,821 | 655 | ||||||
Principal Financial Group | 8,000 | 181 | ||||||
Progressive | 10,982 | 195 | ||||||
ProLogis † | 5,906 | 143 | ||||||
Protective Life | 6,700 | 105 | ||||||
Prudential Financial | 71,100 | 3,332 | ||||||
Public Storage † (A) | 4,106 | 457 | ||||||
Raymond James Financial (A) | 47,025 | 1,221 | ||||||
Rayonier † | 6,900 | 254 | ||||||
Regions Financial | 365,506 | 1,217 | ||||||
Reinsurance Group of America, Cl A | 21,100 | 970 | ||||||
Simon Property Group † | 7,748 | 852 | ||||||
SLM | 7,400 | 92 | ||||||
StanCorp Financial Group (A) | 1,500 | 41 | ||||||
State Street | 52,912 | 1,702 | ||||||
SunTrust Banks | 27,800 | 499 | ||||||
SVB Financial Group* | 1,550 | 57 | ||||||
T. Rowe Price Group | 5,500 | 263 | ||||||
TD Ameritrade Holding | 4,350 | 64 | ||||||
TFS Financial* (A) | 6,058 | 49 | ||||||
Transatlantic Holdings | 1,400 | 68 | ||||||
Travelers | 120,867 | 5,890 | ||||||
Unum Group | 153,968 | 3,227 | ||||||
US Bancorp | 133,779 | 3,149 | ||||||
Validus Holdings | 30,600 | 763 | ||||||
Ventas † (A) | 3,400 | 168 | ||||||
Vornado Realty Trust † | 5,348 | 399 | ||||||
Waddell & Reed Financial, Cl A | 2,800 | 70 | ||||||
Walter Investment Management | 876 | 20 | ||||||
Washington Federal | 3,900 | 50 | ||||||
Weingarten Realty Investors † (A) | 4,600 | 97 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Wells Fargo | 611,901 | $ | 14,759 | |||||
WesBanco | 4,600 | 80 | ||||||
Weyerhaeuser † | 9,119 | 142 | ||||||
XL Group, Cl A | 12,400 | 233 | ||||||
|
| |||||||
175,433 | ||||||||
|
| |||||||
Health Care — 13.0% | ||||||||
Abbott Laboratories | 92,543 | 4,732 | ||||||
Aetna | 133,200 | 4,842 | ||||||
Agilent Technologies* | 5,250 | 164 | ||||||
Alere* | 1,700 | 33 | ||||||
Allergan | 144,706 | 11,921 | ||||||
AmerisourceBergen (A) | 70,652 | 2,633 | ||||||
Amgen | 275,324 | 15,129 | ||||||
Amylin Pharmaceuticals* (A) | 6,365 | 59 | ||||||
Baxter International | 13,350 | 749 | ||||||
Becton Dickinson | 7,100 | 521 | ||||||
Biogen Idec* | 12,525 | 1,167 | ||||||
Boston Scientific* | 36,600 | 216 | ||||||
Bristol-Myers Squibb | 50,442 | 1,583 | ||||||
Bruker BioSciences* | 8,200 | 111 | ||||||
C.R. Bard | 3,700 | 324 | ||||||
Cardinal Health | 42,500 | 1,780 | ||||||
CareFusion* | 4,200 | 101 | ||||||
Celgene* | 118,659 | 7,347 | ||||||
Cerner* | 2,200 | 151 | ||||||
Charles River Laboratories International* | 1,600 | 46 | ||||||
Chemed | 4,126 | 227 | ||||||
Cigna | 34,340 | 1,440 | ||||||
Community Health Systems* | 1,600 | 27 | ||||||
Computer Programs & Systems | 2,600 | 172 | ||||||
Cooper | 2,100 | 166 | ||||||
Covance* (A) | 122,721 | 5,578 | ||||||
Coventry Health Care* | 52,700 | 1,518 | ||||||
Covidien | 80,422 | 3,547 | ||||||
Cyberonics* | 2,300 | 65 | ||||||
DaVita* | 67,031 | 4,201 | ||||||
Dentsply International | 1,003 | 31 | ||||||
Edwards Lifesciences* | 1,400 | 100 | ||||||
Eli Lilly | 107,461 | 3,973 | ||||||
Endo Pharmaceuticals Holdings* | 43,600 | 1,220 | ||||||
Express Scripts* (A) | 182,185 | 6,754 | ||||||
Forest Laboratories* | 60,900 | 1,875 | ||||||
Gilead Sciences* | 70,497 | 2,735 | ||||||
Health Net* | 88,111 | 2,089 | ||||||
Henry Schein* | 1,000 | 62 | ||||||
Hill-Rom Holdings | 7,800 | 234 | ||||||
Hologic* | 10,100 | 154 | ||||||
Hospira* | 3,100 | 115 | ||||||
Humana | 60,840 | 4,425 | ||||||
Idexx Laboratories* (A) | 72,970 | 5,033 | ||||||
Illumina* (A) | 57,255 | 2,343 | ||||||
Intuitive Surgical* | 19,439 | 7,081 | ||||||
Invacare | 9,200 | 212 | ||||||
Jazz Pharmaceuticals* (A) | 3,000 | 124 | ||||||
Johnson & Johnson | 278,618 | 17,751 | ||||||
Laboratory Corp of America Holdings* | 1,250 | 99 | ||||||
Life Technologies* | 17,591 | 676 |
Description | Shares | Market Value ($ Thousands) | ||||||
McKesson | 18,792 | $ | 1,366 | |||||
Medco Health Solutions* | 38,293 | 1,796 | ||||||
Mednax* | 1,500 | 94 | ||||||
Medtronic | 61,427 | 2,042 | ||||||
Merck | 400,535 | 13,101 | ||||||
Mettler Toledo International* | 2,150 | 301 | ||||||
Mylan Laboratories* | 7,475 | 127 | ||||||
Novo Nordisk ADR (A) | 31,800 | 3,165 | ||||||
Omnicare (A) | 35,998 | 915 | ||||||
Par Pharmaceutical* | 4,700 | 125 | ||||||
Patterson | 2,100 | 60 | ||||||
PerkinElmer | 21,850 | 420 | ||||||
Perrigo (A) | 31,600 | 3,069 | ||||||
Pfizer | 954,300 | 16,872 | ||||||
Pharmaceutical Product Development | 2,000 | 51 | ||||||
Quest Diagnostics | 1,304 | 64 | ||||||
St. Jude Medical | 10,300 | 373 | ||||||
Stryker | 4,191 | 197 | ||||||
SXC Health Solutions* | 5,000 | 278 | ||||||
Techne | 817 | 56 | ||||||
Tenet Healthcare* | 9,200 | 38 | ||||||
Thermo Fisher Scientific* | 20,191 | 1,022 | ||||||
Transcend Services* | 800 | 18 | ||||||
UnitedHealth Group | 224,892 | 10,372 | ||||||
Valeant Pharmaceuticals International | 1,780 | 66 | ||||||
Varian Medical Systems* | 1,641 | 86 | ||||||
Vertex Pharmaceuticals* (A) | 1,507 | 67 | ||||||
Warner Chilcott, Cl A* | 31,800 | 455 | ||||||
Waters* | 37,044 | 2,796 | ||||||
Watson Pharmaceuticals* | 2,900 | 198 | ||||||
WellPoint | 98,900 | 6,456 | ||||||
Zimmer Holdings* | 22,868 | 1,223 | ||||||
|
| |||||||
194,905 | ||||||||
|
| |||||||
Industrials — 8.7% | ||||||||
3M | 28,366 | 2,036 | ||||||
ABB ADR | 232,186 | 3,966 | ||||||
AGCO* | 24,100 | 833 | ||||||
Alaska Air Group* | 14,400 | 811 | ||||||
Alexander & Baldwin | 2,500 | 91 | ||||||
Ametek | 8,400 | 277 | ||||||
Armstrong World Industries (A) | 4,700 | 162 | ||||||
Babcock & Wilcox* | 1,536 | 30 | ||||||
Boeing | 20,394 | 1,234 | ||||||
C.H. Robinson Worldwide | 2,502 | 171 | ||||||
Carlisle | 1,500 | 48 | ||||||
Caterpillar | 32,319 | 2,386 | ||||||
Chicago Bridge & Iron | 4,600 | 132 | ||||||
Cintas (A) | 5,163 | 145 | ||||||
CNH Global* | 1,600 | 42 | ||||||
Con-way | 3,100 | 68 | ||||||
Cooper Industries, Cl A | 5,300 | 244 | ||||||
Copart* | 14,607 | 571 | ||||||
Crane | 850 | 30 | ||||||
CSX | 97,838 | 1,827 | ||||||
Cummins | 18,415 | 1,504 | ||||||
Danaher (A) | 141,955 | 5,954 | ||||||
Deere | 10,864 | 701 | ||||||
Delta Air Lines* | 8,100 | 61 | ||||||
Donaldson | 1,900 | 104 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Dover | 15,100 | $ | 704 | |||||
Dun & Bradstreet | 3,054 | 187 | ||||||
DXP Enterprises* | 1,700 | 32 | ||||||
Eaton | 22,358 | 794 | ||||||
Emerson Electric | 20,734 | 857 | ||||||
Equifax | 2,500 | 77 | ||||||
Expeditors International of Washington | 72,400 | 2,936 | ||||||
Fastenal (A) | 5,600 | 186 | ||||||
FedEx | 22,413 | 1,517 | ||||||
Flowserve | 2,004 | 148 | ||||||
Fluor | 133,421 | 6,211 | ||||||
Gardner Denver | 22,900 | 1,455 | ||||||
GATX | 1,600 | 50 | ||||||
General Dynamics | 44,994 | 2,560 | ||||||
General Electric | 1,040,296 | 15,854 | ||||||
Goodrich | 4,976 | 600 | ||||||
Graco | 1,400 | 48 | ||||||
Harsco | 7,572 | 147 | ||||||
Hertz Global Holdings* | 4,200 | 37 | ||||||
Honeywell International | 55,614 | 2,442 | ||||||
Hubbell, Cl B | 500 | 25 | ||||||
Huntington Ingalls Industries* (A) | 6,935 | 169 | ||||||
Illinois Tool Works | 3,529 | 147 | ||||||
Ingersoll-Rand | 3,300 | 93 | ||||||
Iron Mountain | 3,625 | 115 | ||||||
ITT | 11,200 | 470 | ||||||
John Bean Technologies | 216 | 3 | ||||||
Joy Global | 2,600 | 162 | ||||||
KBR | 108,429 | 2,562 | ||||||
Kennametal | 15,000 | 491 | ||||||
L-3 Communications Holdings | 53,800 | 3,334 | ||||||
Lockheed Martin (A) | 60,603 | 4,402 | ||||||
Manitowoc | 4,100 | 27 | ||||||
Manpower | 1,700 | 57 | ||||||
Masco (A) | 7,600 | 54 | ||||||
MSC Industrial Direct, Cl A | 2,000 | 113 | ||||||
Navistar International* | 900 | 29 | ||||||
Norfolk Southern | 25,796 | 1,574 | ||||||
Northrop Grumman | 91,178 | 4,756 | ||||||
Oshkosh Truck* | 24,685 | 388 | ||||||
Owens Corning* | 4,679 | 101 | ||||||
PACCAR | 11,934 | 404 | ||||||
Pall | 2,322 | 98 | ||||||
Parker Hannifin | 49,986 | 3,156 | ||||||
Pentair | 2,400 | 77 | ||||||
Precision Castparts | 74,974 | 11,655 | ||||||
Quanta Services* | 22,700 | 426 | ||||||
Raytheon | 130,624 | 5,339 | ||||||
Republic Services | 57,345 | 1,609 | ||||||
Robert Half International | 9,456 | 201 | ||||||
Rockwell Automation | 3,000 | 168 | ||||||
Rockwell Collins (A) | 3,450 | 182 | ||||||
Roper Industries | 75,999 | 5,237 | ||||||
RR Donnelley & Sons | 47,546 | 671 | ||||||
Ryder System | 18,500 | 694 | ||||||
Shaw Group* | 1,550 | 34 | ||||||
Skywest | 821 | 9 | ||||||
Southwest Airlines | 10,586 | 85 | ||||||
Spirit Aerosystems Holdings, Cl A* | 2,400 | 38 |
Description | Shares | Market Value ($ Thousands) | ||||||
Stanley Black & Decker | 4,250 | $ | 209 | |||||
Stericycle* | 85,796 | 6,926 | ||||||
Textron (A) | 5,200 | 92 | ||||||
Timken | 49,531 | 1,626 | ||||||
Trimas* | 2,600 | 39 | ||||||
Trinity Industries | 5,700 | 122 | ||||||
Tyco International | 54,712 | 2,230 | ||||||
Union Pacific | 64,256 | 5,248 | ||||||
United Continental Holdings* (A) | 13,151 | 255 | ||||||
United Parcel Service, Cl B | 8,211 | 519 | ||||||
United Technologies | 55,494 | 3,905 | ||||||
URS* | 5,515 | 163 | ||||||
Waste Management | 3,618 | 118 | ||||||
WW Grainger (A) | 762 | 114 | ||||||
|
| |||||||
130,991 | ||||||||
|
| |||||||
Information Technology — 22.3% | ||||||||
Accenture, Cl A | 126,866 | 6,683 | ||||||
Activision Blizzard | 56,068 | 667 | ||||||
Adobe Systems* | 362,339 | 8,758 | ||||||
Advanced Micro Devices* (A) | 7,200 | 36 | ||||||
Advent Software* (A) | 2,756 | 57 | ||||||
Akamai Technologies* | 3,000 | 60 | ||||||
Alliance Data Systems* (A) | 1,100 | 102 | ||||||
Altera | 42,400 | 1,337 | ||||||
Amdocs* | 38,900 | 1,055 | ||||||
Amphenol, Cl A | 112,312 | 4,579 | ||||||
Analog Devices | 2,100 | 66 | ||||||
Ansys* | 97,902 | 4,801 | ||||||
Apple* | 126,936 | 48,385 | ||||||
Applied Materials | 185,583 | 1,921 | ||||||
Arrow Electronics* | 5,000 | 139 | ||||||
Autodesk* | 165,871 | 4,608 | ||||||
Automatic Data Processing | 1,100 | 52 | ||||||
Avnet* | 46,600 | 1,215 | ||||||
BMC Software* | 6,848 | 264 | ||||||
Broadcom, Cl A | 106,636 | 3,550 | ||||||
Broadridge Financial Solutions | 7,069 | 142 | ||||||
CA | 92,897 | 1,803 | ||||||
Cadence Design Systems* | 11,100 | 102 | ||||||
Cisco Systems | 647,869 | 10,036 | ||||||
Citrix Systems* | 137,048 | 7,473 | ||||||
Cognizant Technology Solutions, Cl A* | 89,580 | 5,617 | ||||||
Computer Sciences | 21,400 | 575 | ||||||
Convergys* (A) | 30,269 | 284 | ||||||
CoreLogic* | 12,244 | 131 | ||||||
Corning | 124,854 | 1,543 | ||||||
Dell* | 87,488 | 1,238 | ||||||
Dolby Laboratories, Cl A* | 1,235 | 34 | ||||||
DST Systems | 19,031 | 834 | ||||||
eBay* | 23,211 | 684 | ||||||
EchoStar, Cl A* | 3,100 | 70 | ||||||
EMC* | 336,335 | 7,060 | ||||||
Equinix* | 800 | 71 | ||||||
F5 Networks* | 10,800 | 767 | ||||||
Factset Research Systems (A) | 2,609 | 232 | ||||||
Fidelity National Information Services | 44,709 | 1,087 | ||||||
Fiserv* | 1,300 | 66 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Flir Systems | 1,900 | $ | 48 | |||||
Genpact* | 247,061 | 3,555 | ||||||
Global Payments | 2,000 | 81 | ||||||
Google, Cl A* | 52,993 | 27,259 | ||||||
Harris (A) | 30,100 | 1,029 | ||||||
Hewlett-Packard | 201,707 | 4,528 | ||||||
IAC* | 1,076 | 43 | ||||||
Ingram Micro, Cl A* | 39,100 | 631 | ||||||
Intel | 1,079,376 | 23,023 | ||||||
Interactive Intelligence Group* | 3,600 | 98 | ||||||
International Business Machines | 64,371 | 11,267 | ||||||
International Rectifier* | 3,500 | 65 | ||||||
Intuit | 125,037 | 5,932 | ||||||
IPG Photonics* | 1,600 | 69 | ||||||
JDS Uniphase* | 3,700 | 37 | ||||||
Juniper Networks* | 183,234 | 3,163 | ||||||
Kla-Tencor | 1,400 | 54 | ||||||
Lam Research* | 13,700 | 520 | ||||||
Lender Processing Services | 1,632 | 22 | ||||||
Lexmark International, Cl A* | 27,400 | 741 | ||||||
Liquidity Services* | 800 | 26 | ||||||
LSI Logic* | 204,900 | 1,061 | ||||||
Marvell Technology Group* | 82,020 | 1,192 | ||||||
Mastercard, Cl A | 54,569 | 17,307 | ||||||
Maxim Integrated Products | 4,600 | 107 | ||||||
Microchip Technology (A) | 94,234 | 2,932 | ||||||
Micron Technology* (A) | 128,900 | 650 | ||||||
Microsoft | 571,607 | 14,227 | ||||||
Monster Worldwide* | 3,200 | 23 | ||||||
Motorola Solutions | 22,681 | 950 | ||||||
National Instruments | 175,818 | 4,019 | ||||||
NetApp* | 181,969 | 6,176 | ||||||
Nuance Communications* (A) | 30,000 | 611 | ||||||
Nvidia* | 12,250 | 153 | ||||||
Oracle | 614,753 | 17,668 | ||||||
Polycom* | 93,328 | 1,714 | ||||||
QLogic* | 4,200 | 53 | ||||||
Qualcomm | 428,623 | 20,844 | ||||||
Rackspace Hosting* | 1,378 | 47 | ||||||
Rambus* (A) | 5,000 | 70 | ||||||
Red Hat* | 20,846 | 881 | ||||||
Rovi* (A) | 3,923 | 169 | ||||||
Salesforce.com* (A) | 37,251 | 4,257 | ||||||
SanDisk* | 13,942 | 562 | ||||||
Seagate Technology | 88,600 | 911 | ||||||
Sina* (A) | 5,956 | 427 | ||||||
Symantec* | 138,135 | 2,252 | ||||||
TE Connectivity | 12,900 | 363 | ||||||
Tech Data* | 22,300 | 964 | ||||||
Teradata* | 69,942 | 3,744 | ||||||
Teradyne* (A) | 9,800 | 108 | ||||||
Texas Instruments | 12,500 | 333 | ||||||
Total System Services | 3,100 | 52 | ||||||
VeriFone Holdings* | 22,000 | 770 | ||||||
VeriSign (A) | 163,454 | 4,676 | ||||||
Visa, Cl A (A) | 104,451 | 8,954 | ||||||
Vishay Intertechnology* | 81,300 | 680 | ||||||
VistaPrint* (A) | 1,200 | 32 | ||||||
VMware, Cl A* | 2,000 | 161 | ||||||
WebMD Health, Cl A* | 1,796 | 54 |
Description | Shares | Market Value ($ Thousands) | ||||||
Western Digital* | 49,018 | $ | 1,261 | |||||
Xerox | 164,628 | 1,148 | ||||||
Xilinx (A) | 2,300 | 63 | ||||||
Yahoo!* | 14,850 | 195 | ||||||
Zebra Technologies, Cl A* | 2,400 | 74 | ||||||
|
| |||||||
333,270 | ||||||||
|
| |||||||
Materials — 2.6% | ||||||||
Air Products & Chemicals | 24,350 | 1,860 | ||||||
AK Steel Holding (A) | 2,313 | 15 | ||||||
Alcoa | 14,234 | 136 | ||||||
Allegheny Technologies | 18,266 | 676 | ||||||
Alpha Natural Resources* | 617 | 11 | ||||||
Ashland | 13,224 | 584 | ||||||
Ball | 19,600 | 608 | ||||||
Bemis | 2,400 | 70 | ||||||
Cabot | 28,400 | 704 | ||||||
Celanese, Ser A | 11,100 | 361 | ||||||
Cliffs Natural Resources | 1,800 | 92 | ||||||
Domtar | 14,000 | 954 | ||||||
Dow Chemical | 93,360 | 2,097 | ||||||
E.I. Du Pont de Nemours | 15,316 | 612 | ||||||
Eagle Materials | 753 | 13 | ||||||
Eastman Chemical | 36,400 | 2,494 | ||||||
Ecolab (A) | 2,400 | 117 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 209,715 | 6,386 | ||||||
Greif, Cl A | 1,500 | 64 | ||||||
Huntsman | 80,908 | 782 | ||||||
International Flavors & Fragrances | 1,400 | 79 | ||||||
International Paper | 86,200 | 2,004 | ||||||
Martin Marietta Materials (A) | 550 | 35 | ||||||
MeadWestvaco | 7,400 | 182 | ||||||
Monsanto | 96,669 | 5,804 | ||||||
Mosaic | 3,687 | 181 | ||||||
Nalco Holding | 1,855 | 65 | ||||||
Newmont Mining | 4,000 | 252 | ||||||
Nucor (A) | 18,800 | 595 | ||||||
OM Group* | 2,300 | 60 | ||||||
Owens-Illinois* | 21,200 | 321 | ||||||
PPG Industries | 18,100 | 1,279 | ||||||
Praxair | 16,900 | 1,580 | ||||||
Reliance Steel & Aluminum | 4,700 | 160 | ||||||
Rock-Tenn, Cl A | 13,000 | 633 | ||||||
Rockwood Holdings* | 11,500 | 387 | ||||||
RPM International | 1,500 | 28 | ||||||
Sealed Air | 6,700 | 112 | ||||||
Sherwin-Williams (A) | 1,700 | 126 | ||||||
Sigma-Aldrich | 24,520 | 1,515 | ||||||
Sonoco Products | 1,500 | 42 | ||||||
Steel Dynamics | 109,700 | 1,088 | ||||||
Syngenta ADR (A) | 57,700 | 2,993 | ||||||
United States Steel (A) | 1,568 | 34 | ||||||
Vulcan Materials (A) | 1,097 | 30 | ||||||
Walter Energy | 526 | 31 | ||||||
Westlake Chemical (A) | 1,800 | 62 | ||||||
|
| |||||||
38,314 | ||||||||
|
| |||||||
Telecommunication Services — 3.6% | ||||||||
American Tower, Cl A* | 122,591 | 6,595 | ||||||
AT&T | 815,594 | 23,261 | ||||||
CenturyTel | 13,815 | 457 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Crown Castle International* | 145,289 | $ | 5,909 | |||||
MetroPCS Communications* | 3,342 | 29 | ||||||
NII Holdings* | 2,900 | 78 | ||||||
SBA Communications, Cl A* | 2,100 | 73 | ||||||
Sprint Nextel* | 40,020 | 122 | ||||||
Telephone & Data Systems, Cl L | 1,300 | 26 | ||||||
Telephone & Data Systems | 1,900 | 40 | ||||||
US Cellular* | 1,976 | 78 | ||||||
Verizon Communications (A) | 466,738 | 17,176 | ||||||
Windstream (A) | 19,223 | 224 | ||||||
|
| |||||||
54,068 | ||||||||
|
| |||||||
Utilities — 3.2% | ||||||||
AES* | 8,780 | 86 | ||||||
Alliant Energy | 35,200 | 1,361 | ||||||
Ameren | 95,300 | 2,837 | ||||||
American Electric Power | 224,436 | 8,533 | ||||||
American Water Works | 12,600 | 380 | ||||||
Centerpoint Energy | 4,900 | 96 | ||||||
CMS Energy | 63,700 | 1,261 | ||||||
Consolidated Edison | 3,191 | 182 | ||||||
Constellation Energy Group | 38,947 | 1,482 | ||||||
Dominion Resources | 10,166 | 516 | ||||||
DTE Energy | 32,800 | 1,608 | ||||||
Duke Energy | 20,661 | 413 | ||||||
Dynegy, Cl A* (A) | 1,360 | 6 | ||||||
Edison International | 99,700 | 3,813 | ||||||
Entergy | 85,669 | 5,679 | ||||||
Exelon (A) | 105,076 | 4,477 | ||||||
FirstEnergy | 3,953 | 177 | ||||||
GenOn Energy* | 10,318 | 29 | ||||||
Great Plains Energy | 3,500 | 68 | ||||||
Hawaiian Electric Industries (A) | 3,200 | 78 | ||||||
MDU Resources Group | 2,200 | 42 | ||||||
National Fuel Gas | 1,300 | 63 | ||||||
NextEra Energy | 4,538 | 245 | ||||||
NiSource (A) | 12,500 | 267 | ||||||
NRG Energy* | 45,500 | 965 | ||||||
NSTAR | 7,000 | 314 | ||||||
NV Energy | 36,000 | 530 | ||||||
OGE Energy | 2,612 | 125 | ||||||
Oneok | 4,000 | 264 | ||||||
PG&E | 8,566 | 362 | ||||||
PPL | 4,200 | 120 | ||||||
Progress Energy | 5,500 | 284 | ||||||
Public Service Enterprise Group | 134,900 | 4,502 | ||||||
Questar | 42,200 | 747 | ||||||
Sempra Energy | 71,747 | 3,695 | ||||||
Southern | 7,164 | 304 | ||||||
Southern Union | 2,900 | 118 | ||||||
UGI | 38,700 | 1,017 | ||||||
Wisconsin Energy | 2,000 | 63 | ||||||
Xcel Energy | 8,453 | 209 | ||||||
|
| |||||||
47,318 | ||||||||
|
| |||||||
Total Common Stock | 1,481,638 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 7.9% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**††(B) | 122,520,224 | $ | 118,529 | |||||
|
| |||||||
Total Affiliated Partnership | 118,529 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 19,398,403 | 19,398 | ||||||
|
| |||||||
Total Cash Equivalent | 19,398 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.062%, 12/15/11 | $ | 3,314 | 3,314 | |||||
|
| |||||||
Total U.S. Treasury Obligation |
| 3,314 | ||||||
|
| |||||||
Total Investments — 108.4% |
| $ | 1,622,879 | |||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index | ||||||||||||
E-MINI | 255 | Dec-2011 | $ | (641 | ) | |||||||
S&P Mid 400 Index | ||||||||||||
E-MINI | 29 | Dec-2011 | (186 | ) | ||||||||
|
| |||||||||||
$ | (827 | ) | ||||||||||
|
|
For the period ended September 30, 2011, 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 $1,496,696 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $116,488 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total value of such securities as of September 30, 2011 was $118,529 ($ Thousands). |
(C) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
Ser — Series
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,481,638 | $ | — | $ | — | $ | 1,481,638 | ||||||||
Affiliated Partnership | — | 118,529 | — | 118,529 | ||||||||||||
Cash Equivalent | 19,398 | — | — | 19,398 | ||||||||||||
U.S. Treasury Obligation | — | 3,314 | — | 3,314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,501,036 | $ | 121,843 | $ | — | $ | 1,622,879 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (827 | ) | $ | — | $ | — | $ | (827 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (827 | ) | $ | — | $ | — | $ | (827 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
S & P 500 Index Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.1% | ||||||||
Consumer Discretionary — 10.3% | ||||||||
Abercrombie & Fitch, Cl A | 12,400 | $ | 763 | |||||
Amazon.com* (A) | 49,600 | 10,725 | ||||||
Apollo Group, Cl A* | 17,603 | 697 | ||||||
Autonation* (A) | 8,226 | 270 | ||||||
Autozone* | 4,094 | 1,307 | ||||||
Bed Bath & Beyond* | 33,433 | 1,916 | ||||||
Best Buy (A) | 39,641 | 924 | ||||||
Big Lots* | 9,513 | 331 | ||||||
Cablevision Systems, Cl A | 30,200 | 475 | ||||||
Carmax* (A) | 29,700 | 708 | ||||||
Carnival (A) | 61,384 | 1,860 | ||||||
CBS, Cl B | 89,601 | 1,826 | ||||||
Chipotle Mexican Grill, Cl A* (A) | 4,200 | 1,272 | ||||||
Coach | 39,310 | 2,037 | ||||||
Comcast, Cl A | 375,822 | 7,855 | ||||||
Darden Restaurants (A) | 19,113 | 817 | ||||||
DeVry | 7,200 | 266 | ||||||
DIRECTV, Cl A* | 101,300 | 4,280 | ||||||
Discovery Communications, Cl A* (A) | 37,600 | 1,414 | ||||||
DR Horton | 35,449 | 321 | ||||||
Expedia (A) | 27,500 | 708 | ||||||
Family Dollar Stores | 16,822 | 856 | ||||||
Ford Motor* | 520,680 | 5,035 | ||||||
Fortune Brands | 19,119 | 1,034 | ||||||
GameStop, Cl A* (A) | 16,400 | 379 | ||||||
Gannett (A) | 26,647 | 254 | ||||||
Gap (A) | 52,131 | 847 | ||||||
Genuine Parts | 22,036 | 1,119 | ||||||
Goodyear Tire & Rubber* | 32,993 | 333 | ||||||
H&R Block (A) | 44,204 | 589 | ||||||
Harley-Davidson | 33,208 | 1,140 | ||||||
Harman International Industries | 9,800 | 280 | ||||||
Hasbro (A) | 17,191 | 560 | ||||||
Home Depot | 210,996 | 6,935 | ||||||
International Game Technology | 43,056 | 626 | ||||||
Interpublic Group (A) | 66,101 | 476 | ||||||
J.C. Penney (A) | 18,980 | 508 | ||||||
Johnson Controls | 90,557 | 2,388 | ||||||
Kohl’s | 37,847 | 1,858 | ||||||
Leggett & Platt | 18,054 | 357 | ||||||
Lennar, Cl A (A) | 18,807 | 255 | ||||||
Limited Brands (A) | 34,227 | 1,318 | ||||||
Lowe’s | 173,436 | 3,354 | ||||||
Macy’s | 55,564 | 1,463 | ||||||
Marriott International, Cl A (A) | 37,552 | 1,023 | ||||||
Mattel | 47,118 | 1,220 | ||||||
McDonald’s | 140,770 | 12,362 | ||||||
McGraw-Hill | 41,121 | 1,686 | ||||||
NetFlix* (A) | 7,000 | 792 | ||||||
Newell Rubbermaid | 36,747 | 436 | ||||||
News, Cl A | 313,233 | 4,846 | ||||||
Nike, Cl B | 52,094 | 4,455 | ||||||
Nordstrom | 22,902 | 1,046 | ||||||
Omnicom Group (A) | 38,004 | 1,400 | ||||||
O’Reilly Automotive* | 18,700 | 1,246 |
Description | Shares | Market Value ($ Thousands) | ||||||
priceline.com* (A) | 6,880 | $ | 3,093 | |||||
Pulte Homes* | 42,482 | 168 | ||||||
Ralph Lauren, Cl A | 9,100 | 1,180 | ||||||
Ross Stores | 16,234 | 1,278 | ||||||
Scripps Networks Interactive, Cl A | 12,300 | 457 | ||||||
Sears Holdings* (A) | 4,765 | 274 | ||||||
Snap-on | 8,153 | 362 | ||||||
Staples | 92,214 | 1,227 | ||||||
Starbucks | 99,758 | 3,720 | ||||||
Starwood Hotels & Resorts Worldwide | 26,635 | 1,034 | ||||||
Target | 91,519 | 4,488 | ||||||
Tiffany | 16,573 | 1,008 | ||||||
Time Warner (A) | 142,312 | 4,265 | ||||||
Time Warner Cable, Cl A | 44,883 | 2,813 | ||||||
TJX (A) | 51,567 | 2,860 | ||||||
Urban Outfitters* | 15,700 | 350 | ||||||
VF (A) | 12,114 | 1,472 | ||||||
Viacom, Cl B | 77,901 | 3,018 | ||||||
Walt Disney (A) | 253,727 | 7,652 | ||||||
Washington Post, Cl B (A) | 655 | 214 | ||||||
Whirlpool | 10,205 | 509 | ||||||
Wyndham Worldwide | 20,802 | 593 | ||||||
Wynn Resorts | 10,600 | 1,220 | ||||||
Yum! Brands | 62,070 | 3,066 | ||||||
|
| |||||||
149,569 | ||||||||
|
| |||||||
Consumer Staples — 11.2% | ||||||||
Altria Group | 283,256 | 7,594 | ||||||
Archer-Daniels-Midland | 91,166 | 2,262 | ||||||
Avon Products | 58,351 | 1,143 | ||||||
Brown-Forman, Cl B | 14,095 | 989 | ||||||
Campbell Soup (A) | 25,575 | 828 | ||||||
Clorox | 16,842 | 1,117 | ||||||
Coca-Cola | 312,953 | 21,143 | ||||||
Coca-Cola Enterprises | 44,217 | 1,100 | ||||||
Colgate-Palmolive | 66,593 | 5,906 | ||||||
ConAgra Foods | 55,352 | 1,341 | ||||||
Constellation Brands, Cl A* | 27,100 | 488 | ||||||
Costco Wholesale | 60,018 | 4,929 | ||||||
CVS Caremark | 184,035 | 6,180 | ||||||
Dean Foods* | 19,500 | 173 | ||||||
Dr Pepper Snapple Group | 30,200 | 1,171 | ||||||
Estee Lauder, Cl A | 15,400 | 1,353 | ||||||
General Mills | 88,882 | 3,419 | ||||||
Hershey | 21,612 | 1,280 | ||||||
HJ Heinz (A) | 44,349 | 2,239 | ||||||
Hormel Foods | 19,400 | 524 | ||||||
JM Smucker | 15,848 | 1,155 | ||||||
Kellogg | 33,767 | 1,796 | ||||||
Kimberly-Clark | 53,799 | 3,820 | ||||||
Kraft Foods, Cl A | 241,398 | 8,106 | ||||||
Kroger | 83,959 | 1,844 | ||||||
Lorillard | 19,276 | 2,134 | ||||||
McCormick | 17,861 | 825 | ||||||
Mead Johnson Nutrition, Cl A | 27,434 | 1,888 | ||||||
Molson Coors Brewing, Cl B | 21,046 | 834 | ||||||
PepsiCo | 215,985 | 13,369 | ||||||
Philip Morris International | 239,565 | 14,944 | ||||||
Procter & Gamble | 374,501 | 23,661 | ||||||
Reynolds American (A) | 45,580 | 1,708 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
S & P 500 Index Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Safeway (A) | 44,046 | $ | 732 | |||||
Sara Lee | 76,687 | 1,254 | ||||||
SUPERVALU (A) | 26,797 | 178 | ||||||
SYSCO | 78,220 | 2,026 | ||||||
Tyson Foods, Cl A | 40,490 | 703 | ||||||
Walgreen | 121,744 | 4,004 | ||||||
Wal-Mart Stores (A) | 239,944 | 12,453 | ||||||
Whole Foods Market (A) | 22,000 | 1,437 | ||||||
|
| |||||||
164,050 | ||||||||
|
| |||||||
Energy — 11.1% | ||||||||
Anadarko Petroleum | 68,280 | 4,305 | ||||||
Apache (A) | 52,700 | 4,229 | ||||||
Baker Hughes | 57,949 | 2,675 | ||||||
Cabot Oil & Gas | 13,600 | 842 | ||||||
Cameron International* | 33,000 | 1,371 | ||||||
Chesapeake Energy (A) | 87,800 | 2,243 | ||||||
Chevron | 272,978 | 25,256 | ||||||
ConocoPhillips (A) | 187,443 | 11,869 | ||||||
Consol Energy | 30,700 | 1,042 | ||||||
Denbury Resources* (A) | 53,300 | 613 | ||||||
Devon Energy | 56,313 | 3,122 | ||||||
Diamond Offshore Drilling (A) | 9,600 | 525 | ||||||
El Paso | 103,294 | 1,805 | ||||||
EOG Resources (A) | 35,744 | 2,538 | ||||||
EQT | 21,000 | 1,120 | ||||||
Exxon Mobil | 662,198 | 48,095 | ||||||
FMC Technologies* (A) | 33,600 | 1,263 | ||||||
Halliburton | 126,279 | 3,854 | ||||||
Helmerich & Payne | 14,300 | 581 | ||||||
Hess | 40,475 | 2,123 | ||||||
Marathon Oil | 95,256 | 2,056 | ||||||
Marathon Petroleum | 47,978 | 1,298 | ||||||
Murphy Oil | 26,263 | 1,160 | ||||||
Nabors Industries* | 37,878 | 464 | ||||||
National Oilwell Varco | 58,368 | 2,990 | ||||||
Newfield Exploration* | 16,900 | 671 | ||||||
Noble (A) | 34,300 | 1,007 | ||||||
Noble Energy (A) | 24,500 | 1,735 | ||||||
Occidental Petroleum | 111,059 | 7,941 | ||||||
Peabody Energy | 35,000 | 1,186 | ||||||
Pioneer Natural Resources (A) | 15,900 | 1,046 | ||||||
QEP Resources | 23,300 | 631 | ||||||
Range Resources (A) | 22,500 | 1,315 | ||||||
Rowan* (A) | 17,497 | 528 | ||||||
Schlumberger | 184,243 | 11,005 | ||||||
Southwestern Energy* | 48,400 | 1,613 | ||||||
Spectra Energy (A) | 87,061 | 2,136 | ||||||
Sunoco | 15,257 | 473 | ||||||
Tesoro* | 20,600 | 401 | ||||||
Valero Energy | 76,808 | 1,366 | ||||||
Williams | 78,865 | 1,919 | ||||||
|
| |||||||
162,412 | ||||||||
|
| |||||||
Financials — 13.1% | ||||||||
ACE | 45,000 | 2,727 | ||||||
Aflac | 62,608 | 2,188 | ||||||
Allstate | 67,659 | 1,603 | ||||||
American Express | 142,115 | 6,381 | ||||||
American International Group* | 61,008 | 1,339 | ||||||
Ameriprise Financial | 32,784 | 1,290 | ||||||
AON | 44,329 | 1,861 |
Description | Shares | Market Value ($ Thousands) | ||||||
Apartment Investment & Management, Cl A † | 13,539 | $ | 300 | |||||
Assurant | 11,700 | 419 | ||||||
AvalonBay Communities † | 13,108 | 1,495 | ||||||
Bank of America | 1,384,828 | 8,475 | ||||||
Bank of New York Mellon (A) | 165,386 | 3,075 | ||||||
BB&T | 93,497 | 1,994 | ||||||
Berkshire Hathaway, Cl B* (A) | 239,847 | 17,039 | ||||||
BlackRock | 13,900 | 2,057 | ||||||
Boston Properties † (A) | 19,500 | 1,737 | ||||||
Capital One Financial (A) | 61,362 | 2,432 | ||||||
CB Richard Ellis Group, Cl A* | 46,700 | 629 | ||||||
Charles Schwab (A) | 149,727 | 1,687 | ||||||
Chubb | 39,156 | 2,349 | ||||||
Cincinnati Financial (A) | 22,079 | 581 | ||||||
Citigroup | 398,408 | 10,207 | ||||||
CME Group | 9,207 | 2,269 | ||||||
Comerica | 25,383 | 583 | ||||||
Discover Financial Services | 73,330 | 1,682 | ||||||
E*Trade Financial* | 29,443 | 268 | ||||||
Equity Residential † | 39,440 | 2,046 | ||||||
Federated Investors, Cl B (A) | 13,345 | 234 | ||||||
Fifth Third Bancorp | 124,611 | 1,259 | ||||||
First Horizon National (A) | 36,636 | 218 | ||||||
Franklin Resources | 20,215 | 1,933 | ||||||
Genworth Financial, Cl A* | 64,600 | 371 | ||||||
Goldman Sachs Group | 69,156 | 6,539 | ||||||
Hartford Financial Services Group | 60,786 | 981 | ||||||
HCP † | 54,500 | 1,911 | ||||||
Health Care † (A) | 24,900 | 1,165 | ||||||
Host Hotels & Resorts † (A) | 99,248 | 1,086 | ||||||
Hudson City Bancorp | 69,400 | 393 | ||||||
Huntington Bancshares | 114,475 | 549 | ||||||
IntercontinentalExchange* (A) | 10,000 | 1,183 | ||||||
Invesco | 63,100 | 979 | ||||||
Janus Capital Group | 23,477 | 141 | ||||||
JPMorgan Chase | 531,757 | 16,016 | ||||||
Keycorp | 135,483 | 803 | ||||||
Kimco Realty † (A) | 54,200 | 815 | ||||||
Legg Mason (A) | 20,500 | 527 | ||||||
Leucadia National | 26,700 | 606 | ||||||
Lincoln National | 41,598 | 650 | ||||||
Loews | 41,949 | 1,449 | ||||||
M&T Bank (A) | 17,061 | 1,193 | ||||||
Marsh & McLennan | 73,450 | 1,949 | ||||||
MetLife | 145,126 | 4,065 | ||||||
Moody’s (A) | 28,508 | 868 | ||||||
Morgan Stanley | 198,061 | 2,674 | ||||||
NASDAQ OMX Group* | 20,700 | 479 | ||||||
Northern Trust | 32,905 | 1,151 | ||||||
NYSE Euronext | 34,600 | 804 | ||||||
People’s United Financial | 47,500 | 541 | ||||||
Plum Creek Timber † (A) | 21,735 | 754 | ||||||
PNC Financial Services Group | 72,375 | 3,488 | ||||||
Principal Financial Group | 43,948 | 996 | ||||||
Progressive | 88,868 | 1,578 | ||||||
ProLogis † | 61,200 | 1,484 | ||||||
Prudential Financial | 65,066 | 3,049 | ||||||
Public Storage † (A) | 18,728 | 2,085 | ||||||
Regions Financial | 166,663 | 555 | ||||||
Simon Property Group † | 40,302 | 4,432 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
S & P 500 Index Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
SLM | 65,843 | $ | 820 | |||||
State Street | 69,691 | 2,241 | ||||||
SunTrust Banks | 74,996 | 1,346 | ||||||
T. Rowe Price Group (A) | 34,908 | 1,668 | ||||||
Torchmark | 13,957 | 487 | ||||||
Travelers | 55,952 | 2,727 | ||||||
Unum Group | 42,252 | 886 | ||||||
US Bancorp | 262,906 | 6,189 | ||||||
Ventas † (A) | 39,932 | 1,973 | ||||||
Vornado Realty Trust † | 24,473 | 1,826 | ||||||
Wells Fargo | 719,963 | 17,366 | ||||||
Weyerhaeuser † | 70,040 | 1,089 | ||||||
XL Group, Cl A | 45,105 | 848 | ||||||
Zions Bancorporation (A) | 23,960 | 337 | ||||||
|
| |||||||
190,469 | ||||||||
|
| |||||||
Health Care — 11.7% | ||||||||
Abbott Laboratories | 212,546 | 10,870 | ||||||
Aetna | 51,002 | 1,854 | ||||||
Agilent Technologies* | 46,906 | 1,466 | ||||||
Allergan | 42,266 | 3,482 | ||||||
AmerisourceBergen | 36,992 | 1,379 | ||||||
Amgen | 126,418 | 6,947 | ||||||
Baxter International | 77,938 | 4,375 | ||||||
Becton Dickinson | 29,262 | 2,145 | ||||||
Biogen Idec* | 33,400 | 3,111 | ||||||
Boston Scientific* | 206,912 | 1,223 | ||||||
Bristol-Myers Squibb (A) | 233,275 | 7,320 | ||||||
C.R. Bard | 12,188 | 1,067 | ||||||
Cardinal Health | 47,155 | 1,975 | ||||||
CareFusion* | 29,177 | 699 | ||||||
Celgene* | 61,600 | 3,814 | ||||||
Cephalon* | 10,200 | 823 | ||||||
Cerner* (A) | 19,000 | 1,302 | ||||||
Cigna | 35,271 | 1,479 | ||||||
Coventry Health Care* | 21,413 | 617 | ||||||
Covidien | 66,000 | 2,911 | ||||||
DaVita* | 11,700 | 733 | ||||||
Dentsply International (A) | 17,000 | 522 | ||||||
Edwards Lifesciences* | 16,200 | 1,155 | ||||||
Eli Lilly | 139,630 | 5,162 | ||||||
Express Scripts* | 65,104 | 2,413 | ||||||
Forest Laboratories* | 37,563 | 1,157 | ||||||
Gilead Sciences* | 104,672 | 4,061 | ||||||
Hospira* | 22,004 | 814 | ||||||
Humana | 21,897 | 1,593 | ||||||
Intuitive Surgical* | 5,320 | 1,938 | ||||||
Johnson & Johnson | 373,482 | 23,794 | ||||||
Laboratory Corp of America Holdings* | 13,663 | 1,080 | ||||||
Life Technologies* | 25,443 | 978 | ||||||
McKesson | 33,669 | 2,448 | ||||||
Medco Health Solutions* | 53,316 | 2,500 | ||||||
Medtronic | 142,017 | 4,721 | ||||||
Merck | 420,344 | 13,749 | ||||||
Mylan Laboratories* | 57,411 | 976 | ||||||
Patterson | 13,700 | 392 | ||||||
PerkinElmer | 12,940 | 248 | ||||||
Pfizer | 1,063,776 | 18,808 | ||||||
Quest Diagnostics | 21,524 | 1,062 | ||||||
St. Jude Medical | 45,856 | 1,659 | ||||||
Stryker (A) | 44,742 | 2,109 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tenet Healthcare* | 66,076 | $ | 273 | |||||
Thermo Fisher Scientific* | 51,143 | 2,590 | ||||||
UnitedHealth Group | 147,247 | 6,791 | ||||||
Varian Medical Systems* | 16,600 | 866 | ||||||
Waters* | 12,897 | 974 | ||||||
Watson Pharmaceuticals* (A) | 16,671 | 1,138 | ||||||
WellPoint | 48,998 | 3,199 | ||||||
Zimmer Holdings* | 25,955 | 1,388 | ||||||
|
| |||||||
170,150 | ||||||||
|
| |||||||
Industrials — 9.8% | ||||||||
3M | 97,082 | 6,969 | ||||||
Avery Dennison | 12,615 | 316 | ||||||
Boeing | 101,432 | 6,138 | ||||||
C.H. Robinson Worldwide (A) | 22,000 | 1,506 | ||||||
Caterpillar | 88,397 | 6,527 | ||||||
Cintas (A) | 14,807 | 417 | ||||||
CSX | 147,050 | 2,745 | ||||||
Cummins | 26,240 | 2,143 | ||||||
Danaher | 78,296 | 3,284 | ||||||
Deere (A) | 55,802 | 3,603 | ||||||
Dover | 25,237 | 1,176 | ||||||
Dun & Bradstreet | 6,900 | 423 | ||||||
Eaton (A) | 47,438 | 1,684 | ||||||
Emerson Electric | 99,906 | 4,127 | ||||||
Equifax | 17,225 | 529 | ||||||
Expeditors International of Washington | 29,700 | 1,204 | ||||||
Fastenal (A) | 40,000 | 1,331 | ||||||
FedEx (A) | 43,705 | 2,958 | ||||||
Flowserve | 7,600 | 562 | ||||||
Fluor | 22,444 | 1,045 | ||||||
General Dynamics | 49,626 | 2,823 | ||||||
General Electric | 1,444,874 | 22,020 | ||||||
Goodrich | 16,920 | 2,042 | ||||||
Honeywell International | 107,255 | 4,710 | ||||||
Illinois Tool Works (A) | 66,724 | 2,776 | ||||||
Ingersoll-Rand | 44,800 | 1,258 | ||||||
ITT | 24,200 | 1,016 | ||||||
Jacobs Engineering Group* (A) | 16,800 | 542 | ||||||
Joy Global | 14,300 | 892 | ||||||
L-3 Communications Holdings | 13,223 | 819 | ||||||
Lockheed Martin (A) | 37,994 | 2,760 | ||||||
Masco | 48,568 | 346 | ||||||
Norfolk Southern | 47,126 | 2,876 | ||||||
Northrop Grumman (A) | 37,319 | 1,947 | ||||||
PACCAR (A) | 50,791 | 1,718 | ||||||
Pall | 16,695 | 708 | ||||||
Parker Hannifin | 21,871 | 1,381 | ||||||
Pitney Bowes (A) | 25,675 | 483 | ||||||
Precision Castparts | 19,200 | 2,985 | ||||||
Quanta Services* | 29,300 | 551 | ||||||
Raytheon | 48,968 | 2,001 | ||||||
Republic Services | 41,183 | 1,155 | ||||||
Robert Half International | 19,927 | 423 | ||||||
Rockwell Automation | 19,626 | 1,099 | ||||||
Rockwell Collins (A) | 21,578 | 1,138 | ||||||
Roper Industries | 12,500 | 862 | ||||||
RR Donnelley & Sons | 21,011 | 297 | ||||||
Ryder System | 5,854 | 220 | ||||||
Southwest Airlines | 113,549 | 913 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
S & P 500 Index Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Stanley Black & Decker | 21,735 | $ | 1,067 | |||||
Stericycle* (A) | 11,400 | 920 | ||||||
Textron (A) | 36,898 | 651 | ||||||
Tyco International | 62,700 | 2,555 | ||||||
Union Pacific | 66,894 | 5,463 | ||||||
United Parcel Service, Cl B | 134,011 | 8,463 | ||||||
United Technologies | 124,132 | 8,734 | ||||||
Waste Management (A) | 63,728 | 2,075 | ||||||
WW Grainger (A) | 7,865 | 1,176 | ||||||
|
| |||||||
142,552 | ||||||||
|
| |||||||
Information Technology — 18.8% | ||||||||
Accenture, Cl A | 88,400 | 4,657 | ||||||
Adobe Systems* | 67,936 | 1,642 | ||||||
Advanced Micro Devices* (A) | 77,663 | 394 | ||||||
Akamai Technologies* | 23,900 | 475 | ||||||
Altera | 45,151 | 1,424 | ||||||
Amphenol, Cl A | 22,900 | 934 | ||||||
Analog Devices | 40,599 | 1,269 | ||||||
Apple* | 126,231 | 48,117 | ||||||
Applied Materials | 182,650 | 1,890 | ||||||
Autodesk* (A) | 30,217 | 839 | ||||||
Automatic Data Processing | 66,650 | 3,142 | ||||||
BMC Software* | 24,749 | 954 | ||||||
Broadcom, Cl A | 63,936 | 2,128 | ||||||
CA | 51,827 | 1,006 | ||||||
Cisco Systems | 750,804 | 11,630 | ||||||
Citrix Systems* | 25,442 | 1,387 | ||||||
Cognizant Technology Solutions, Cl A* | 40,700 | 2,552 | ||||||
Computer Sciences | 20,433 | 549 | ||||||
Compuware* | 23,975 | 184 | ||||||
Corning | 209,378 | 2,588 | ||||||
Dell* | 213,474 | 3,021 | ||||||
eBay* | 157,232 | 4,637 | ||||||
Electronic Arts* | 44,378 | 908 | ||||||
EMC* | 282,740 | 5,935 | ||||||
F5 Networks* | 10,200 | 725 | ||||||
Fidelity National Information Services | 35,065 | 853 | ||||||
First Solar* (A) | 7,140 | 451 | ||||||
Fiserv* | 19,980 | 1,014 | ||||||
Flir Systems | 21,700 | 543 | ||||||
Google, Cl A* | 34,391 | 17,690 | ||||||
Harris (A) | 17,400 | 595 | ||||||
Hewlett-Packard | 283,765 | 6,370 | ||||||
Intel | 716,215 | 15,277 | ||||||
International Business Machines | 162,737 | 28,484 | ||||||
Intuit | 40,386 | 1,916 | ||||||
Iron Mountain (A) | 27,600 | 873 | ||||||
Jabil Circuit | 27,979 | 498 | ||||||
JDS Uniphase* | 30,156 | 301 | ||||||
Juniper Networks* | 74,500 | 1,286 | ||||||
Kla-Tencor | 22,571 | 864 | ||||||
Lexmark International, Cl A* (A) | 10,039 | 271 | ||||||
Linear Technology | 29,894 | 827 | ||||||
LSI Logic* | 74,346 | 385 | ||||||
Mastercard, Cl A | 14,600 | 4,630 | ||||||
MEMC Electronic Materials* (A) | 22,700 | 119 |
Description | Shares | Market Value ($ Thousands) | ||||||
Microchip Technology (A) | 24,700 | $ | 768 | |||||
Micron Technology* (A) | 142,769 | 720 | ||||||
Microsoft | 1,016,193 | 25,293 | ||||||
Molex (A) | 19,060 | 388 | ||||||
Monster Worldwide* | 18,234 | 131 | ||||||
Motorola Mobility Holdings* | 37,188 | 1,405 | ||||||
Motorola Solutions | 40,129 | 1,681 | ||||||
NetApp* | 51,176 | 1,737 | ||||||
Novellus Systems* (A) | 9,127 | 249 | ||||||
Nvidia* | 84,948 | 1,062 | ||||||
Oracle | 538,888 | 15,488 | ||||||
Paychex (A) | 42,456 | 1,120 | ||||||
Qualcomm | 229,332 | 11,152 | ||||||
Red Hat* | 24,900 | 1,052 | ||||||
SAIC* | 32,944 | 389 | ||||||
Salesforce.com* (A) | 18,000 | 2,057 | ||||||
SanDisk* | 32,400 | 1,307 | ||||||
Symantec* | 101,747 | 1,659 | ||||||
Tellabs | 40,599 | 174 | ||||||
Teradata* | 22,968 | 1,229 | ||||||
Teradyne* (A) | 20,807 | 229 | ||||||
Texas Instruments | 158,549 | 4,225 | ||||||
Total System Services | 19,780 | 335 | ||||||
VeriSign | 23,900 | 684 | ||||||
Visa, Cl A (A) | 70,072 | 6,007 | ||||||
Western Digital* | 30,400 | 782 | ||||||
Western Union | 85,712 | 1,310 | ||||||
Xerox | 189,206 | 1,319 | ||||||
Xilinx (A) | 34,509 | 947 | ||||||
Yahoo!* | 174,438 | 2,295 | ||||||
|
| |||||||
273,428 | ||||||||
|
| |||||||
Materials — 3.2% | ||||||||
Air Products & Chemicals | 28,326 | 2,163 | ||||||
Airgas | 8,400 | 536 | ||||||
AK Steel Holding (A) | 11,600 | 76 | ||||||
Alcoa | 148,435 | 1,421 | ||||||
Allegheny Technologies | 13,359 | 494 | ||||||
Alpha Natural Resources* | 28,700 | 508 | ||||||
Ball | 20,482 | 635 | ||||||
Bemis (A) | 13,290 | 390 | ||||||
CF Industries Holdings | 9,590 | 1,183 | ||||||
Cliffs Natural Resources | 19,511 | 998 | ||||||
Dow Chemical | 162,275 | 3,645 | ||||||
E.I. Du Pont de Nemours | 127,735 | 5,106 | ||||||
Eastman Chemical | 8,608 | 590 | ||||||
Ecolab (A) | 31,230 | 1,527 | ||||||
FMC | 9,700 | 671 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 130,136 | 3,963 | ||||||
International Flavors & Fragrances | 10,894 | 612 | ||||||
International Paper | 57,070 | 1,327 | ||||||
MeadWestvaco | 24,615 | 605 | ||||||
Monsanto | 73,348 | 4,404 | ||||||
Mosaic | 36,700 | 1,797 | ||||||
Newmont Mining | 67,808 | 4,265 | ||||||
Nucor (A) | 40,982 | 1,297 | ||||||
Owens-Illinois* | 23,300 | 352 | ||||||
PPG Industries | 21,345 | 1,508 | ||||||
Praxair | 40,499 | 3,786 | ||||||
Sealed Air | 21,928 | 366 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
S & P 500 Index Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Sherwin-Williams (A) | 12,516 | $ | 930 | |||||
Sigma-Aldrich | 16,136 | 997 | ||||||
Titanium Metals (A) | 9,500 | 142 | ||||||
United States Steel (A) | 17,026 | 375 | ||||||
Vulcan Materials (A) | 17,249 | 475 | ||||||
|
| |||||||
47,144 | ||||||||
|
| |||||||
Telecommunication Services — 3.1% | ||||||||
American Tower, Cl A* | 53,000 | 2,852 | ||||||
AT&T | 807,740 | 23,037 | ||||||
CenturyTel | 82,057 | 2,717 | ||||||
Frontier Communications (A) | 130,925 | 800 | ||||||
MetroPCS Communications* | 36,200 | 315 | ||||||
Sprint Nextel* | 387,522 | 1,178 | ||||||
Verizon Communications | 386,198 | 14,212 | ||||||
Windstream (A) | 64,746 | 755 | ||||||
|
| |||||||
45,866 | ||||||||
|
| |||||||
Utilities — 3.8% | ||||||||
AES* | 92,990 | 907 | ||||||
Ameren | 31,844 | 948 | ||||||
American Electric Power | 64,415 | 2,449 | ||||||
Centerpoint Energy | 56,168 | 1,102 | ||||||
CMS Energy (A) | 33,492 | 663 | ||||||
Consolidated Edison (A) | 39,233 | 2,237 | ||||||
Constellation Energy Group | 27,399 | 1,043 | ||||||
Dominion Resources (A) | 76,640 | 3,891 | ||||||
DTE Energy | 22,345 | 1,095 | ||||||
Duke Energy (A) | 183,022 | 3,659 | ||||||
Edison International | 43,953 | 1,681 | ||||||
Entergy | 24,064 | 1,595 | ||||||
Exelon (A) | 91,054 | 3,880 | ||||||
FirstEnergy | 55,910 | 2,511 | ||||||
Integrys Energy Group | 10,634 | 517 | ||||||
NextEra Energy | 56,220 | 3,037 | ||||||
Nicor | 6,525 | 359 | ||||||
NiSource (A) | 37,879 | 810 | ||||||
Northeast Utilities | 23,700 | 798 | ||||||
NRG Energy* (A) | 34,500 | 732 | ||||||
Oneok | 14,300 | 944 | ||||||
Pepco Holdings | 30,800 | 583 | ||||||
PG&E | 53,329 | 2,256 | ||||||
Pinnacle West Capital | 15,649 | 672 | ||||||
PPL | 77,371 | 2,208 | ||||||
Progress Energy | 40,783 | 2,109 | ||||||
Public Service Enterprise Group | 67,730 | 2,260 | ||||||
SCANA (A) | 15,500 | 627 | ||||||
Sempra Energy | 32,265 | 1,662 | ||||||
Southern | 117,535 | 4,980 | ||||||
TECO Energy (A) | 27,112 | 465 | ||||||
Wisconsin Energy | 31,200 | 976 | ||||||
Xcel Energy | 65,319 | 1,613 | ||||||
|
| |||||||
55,269 | ||||||||
|
| |||||||
Total Common Stock | 1,400,909 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 9.7% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**†† (B) | 144,794,925 | $ | 141,957 | |||||
|
| |||||||
Total Affiliated Partnership | 141,957 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 50,902,659 | 50,903 | ||||||
|
| |||||||
Total Cash Equivalent | 50,903 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C)(D) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.014%, 10/20/11 | $ | 1,800 | 1,800 | |||||
0.010%, 01/12/12 | 1,500 | 1,500 | ||||||
0.010%, 02/23/12 | 2,100 | 2,100 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 5,400 | |||||||
|
| |||||||
Total Investments — 109.7% | $ | 1,599,169 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation | |||||||||
S&P 500 Index E-MINI | 1,038 | Dec-2011 | $ | (2,827 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $1,458,272 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $137,997 ($ 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, 2011 was $141,957 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
S & P 500 Index Fund
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,400,909 | $ | — | $ | — | $ | 1,400,909 | ||||||||
Affiliated Partnership | — | 141,957 | — | 141,957 | ||||||||||||
Cash Equivalent | 50,903 | — | — | 50,903 | ||||||||||||
U.S. Treasury Obligations | — | 5,400 | — | 5,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,451,812 | $ | 147,357 | $ | — | $ | 1,599,169 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (2,827 | ) | $ | — | $ | — | $ | (2,827 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (2,827 | ) | $ | — | $ | — | $ | (2,827 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.5% | ||||||||
Consumer Discretionary — 12.5% | ||||||||
AFC Enterprises* | 28,092 | $ | 332 | |||||
American Axle & Manufacturing Holdings* (A) | 7,100 | 54 | ||||||
American Greetings, Cl A (A) | 16,975 | 314 | ||||||
American Public Education* (A) | 23,623 | 803 | ||||||
Ameristar Casinos | 16,238 | 261 | ||||||
ANN* | 6,900 | 158 | ||||||
Belo, Cl A | 38,737 | 189 | ||||||
BJ’s Restaurants* (A) | 8,160 | 360 | ||||||
Body Central* | 7,600 | 138 | ||||||
Boyd Gaming* (A) | 37,650 | 185 | ||||||
Bravo Brio Restaurant Group* | 17,070 | 284 | ||||||
Brinker International (A) | 12,063 | 252 | ||||||
Brown Shoe (A) | 31,800 | 226 | ||||||
Brunswick | 48 | 1 | ||||||
Cabela’s* (A) | 15,980 | 327 | ||||||
Casual Male Retail Group* | 44,400 | 167 | ||||||
Cato, Cl A | 7,494 | 169 | ||||||
CEC Entertainment | 14,150 | 403 | ||||||
Cheesecake Factory* | 2,116 | 52 | ||||||
Chico’s FAS | 28,272 | 323 | ||||||
Childrens Place Retail Stores* (A) | 21,158 | 985 | ||||||
Collective Brands* | 15,960 | 207 | ||||||
Core-Mark Holding* | 9,105 | 279 | ||||||
Cost Plus* | 235 | 2 | ||||||
CROCS* | 14,000 | 331 | ||||||
Deckers Outdoor* | 4,890 | 456 | ||||||
Destination Maternity | 7,600 | 98 | ||||||
Dick’s Sporting Goods* | 4,700 | 157 | ||||||
Dillard’s, Cl A | 39 | 2 | ||||||
Domino’s Pizza* | 3,200 | 87 | ||||||
Express | 6,700 | 136 | ||||||
Finish Line, Cl A | 3,300 | 66 | ||||||
Francesca’s Holdings* | 8,300 | 176 | ||||||
Gaylord Entertainment* (A) | 14,760 | 285 | ||||||
Genesco* | 10,246 | 528 | ||||||
Gentex | 8,840 | 212 | ||||||
G-III Apparel Group* | 3,000 | 69 | ||||||
Hibbett Sports* | 4,200 | 142 | ||||||
HomeAway* (A) | 7,840 | 264 | ||||||
HOT Topic | 13,300 | 102 | ||||||
HSN (A) | 3,455 | 114 | ||||||
Iconix Brand Group* | 265 | 4 | ||||||
Isle of Capri Casinos* (A) | 26,151 | 127 | ||||||
Jones Group (A) | 85,967 | 792 | ||||||
K12* | 5,700 | 145 | ||||||
Knology* | 1,636 | 21 | ||||||
La-Z-Boy, Cl Z* (A) | 8,600 | 64 | ||||||
Libbey* | 23,200 | 245 | ||||||
Life Time Fitness* (A) | 27,397 | 1,010 | ||||||
LKQ* | 4,200 | 101 | ||||||
Lumber Liquidators Holdings* (A) | 16,900 | 255 | ||||||
Maidenform Brands* | 2,400 | 56 | ||||||
MDC Partners, Cl A | 19,400 | 280 | ||||||
Men’s Wearhouse | 14,509 | 378 | ||||||
Meredith (A) | 12,055 | 273 | ||||||
Meritage Homes* (A) | 16,323 | 247 | ||||||
Monro Muffler (A) | 4,955 | 163 |
Description | Shares | Market Value ($ Thousands) | ||||||
Morgans Hotel Group* | 50,290 | $ | 301 | |||||
Morningstar (A) | 3,500 | 197 | ||||||
National CineMedia | 42,480 | 616 | ||||||
New Frontier Media* | 20,500 | 22 | ||||||
Orient-Express Hotels, Cl A* | 16,200 | 112 | ||||||
Oxford Industries (A) | 16,340 | 560 | ||||||
Pandora Media* | 6,800 | 100 | ||||||
Panera Bread, Cl A* | 1,300 | 135 | ||||||
Peet’s Coffee & Tea* (A) | 2,400 | 134 | ||||||
Penske Auto Group (A) | 8,908 | 143 | ||||||
PEP Boys-Manny Moe & Jack | 39,899 | 394 | ||||||
PetMed Express (A) | 16,500 | 148 | ||||||
PF Chang’s China Bistro (A) | 2,800 | 76 | ||||||
Pier 1 Imports* | 19,363 | 189 | ||||||
Pinnacle Entertainment* | 34,125 | 310 | ||||||
Pool | 1,000 | 26 | ||||||
ReachLocal* (A) | 31,995 | 348 | ||||||
Regal Entertainment Group, Cl A (A) | 25,640 | 301 | ||||||
Regis (A) | 35,590 | 502 | ||||||
Ruby Tuesday* | 27,216 | 195 | ||||||
Ryland Group (A) | 51,926 | 553 | ||||||
Sauer-Danfoss* | 10,300 | 298 | ||||||
Select Comfort* (A) | 18,298 | 256 | ||||||
Shutterfly* | 12,822 | 528 | ||||||
Sinclair Broadcast Group, Cl A | 4,000 | 29 | ||||||
Skechers U.S.A., Cl A* (A) | 7,700 | 108 | ||||||
Skullcandy* (A) | 20,200 | 285 | ||||||
Sotheby’s (A) | 5,150 | 142 | ||||||
Stage Stores | 29,714 | 412 | ||||||
Steiner Leisure* | 2,600 | 106 | ||||||
Strayer Education (A) | 1,700 | 130 | ||||||
Sturm Ruger (A) | 15,080 | 392 | ||||||
Systemax* | 3 | — | ||||||
Tempur-Pedic International* | 2,200 | 116 | ||||||
Tenneco* | 19,509 | 500 | ||||||
Tesla Motors* (A) | 23,330 | 569 | ||||||
Texas Roadhouse, Cl A | 14,075 | 186 | ||||||
Titan International (A) | 11,410 | 171 | ||||||
Tractor Supply | 2,900 | 181 | ||||||
Ulta Salon Cosmetics & Fragrance* | 9,400 | 585 | ||||||
Universal Technical Institute* | 3,500 | 48 | ||||||
Vail Resorts (A) | 9,270 | 350 | ||||||
Valuevision Media, Cl A* | 8,800 | 21 | ||||||
Vera Bradley* (A) | 14,440 | 521 | ||||||
Warnaco Group* | 800 | 37 | ||||||
Whistler Blackcomb Holdings* | 2,100 | 21 | ||||||
Whistler Blackcomb Holdings | 5,100 | 51 | ||||||
Zumiez* | 8,000 | 140 | ||||||
|
| |||||||
25,402 | ||||||||
|
| |||||||
Consumer Staples — 2.6% | ||||||||
Alliance One International* | 8,400 | 21 | ||||||
B&G Foods, Cl A | 10,900 | 182 | ||||||
Casey’s General Stores (A) | 12,120 | 529 | ||||||
Chefs’ Warehouse Holdings* | 6,800 | 80 | ||||||
Chiquita Brands International* (A) | 36,400 | 303 | ||||||
Coca-Cola Bottling Consolidated | 1,600 | 89 | ||||||
Cosan SA Industria e Comercio (Brazil) | 6,400 | 83 | ||||||
Darling International* | 12,600 | 159 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Fresh Market* (A) | 15,150 | $ | 578 | |||||
Hain Celestial Group* (A) | 11,607 | 355 | ||||||
J&J Snack Foods | 8,925 | 429 | ||||||
Medifast* (A) | 4,595 | 74 | ||||||
Nature’s Sunshine Products* | 230 | 3 | ||||||
Nu Skin Enterprises, Cl A (A) | 3,700 | 150 | ||||||
Pantry* | 25,182 | 305 | ||||||
Ruddick (A) | 15,455 | 603 | ||||||
Sanderson Farms | 5,560 | 264 | ||||||
Smart Balance* | 320 | 2 | ||||||
Spartan Stores | 33,309 | 516 | ||||||
Spectrum Brands Holdings* | 6,700 | 158 | ||||||
TreeHouse Foods* (A) | 7,027 | 434 | ||||||
Viterra, Cl Common Subscription Recei | 8,400 | 83 | ||||||
|
| |||||||
5,400 | ||||||||
|
| |||||||
Energy — 6.6% | ||||||||
Alberta Oilsands* | 184,500 | 39 | ||||||
Approach Resources* (A) | 11,800 | 200 | ||||||
Berry Petroleum, Cl A | 17,824 | 631 | ||||||
Bill Barrett* | 7,580 | 275 | ||||||
BPZ Resources* (A) | 55,700 | 154 | ||||||
Cabot Oil & Gas | 1,100 | 68 | ||||||
Callon Petroleum* | 6,808 | 26 | ||||||
CARBO Ceramics (A) | 2,200 | 226 | ||||||
Carrizo Oil & Gas* | 13,470 | 290 | ||||||
Clayton Williams Energy* (A) | 3,100 | 133 | ||||||
Cloud Peak Energy* (A) | 5,400 | 91 | ||||||
Complete Production Services* | 29,488 | 556 | ||||||
Comstock Resources* (A) | 37,683 | 583 | ||||||
CVR Energy* | 15,000 | 317 | ||||||
Dawson Geophysical* | 1,700 | 40 | ||||||
Dril-Quip* | 11,100 | 598 | ||||||
Endeavour International* | 11,425 | 91 | ||||||
Energy Partners* | 8,300 | 92 | ||||||
Energy XXI Bermuda* | 1,600 | 34 | ||||||
GeoMet* | 48,100 | 37 | ||||||
GeoResources* | 8,200 | 146 | ||||||
Global Geophysical Services* | 22,800 | 182 | ||||||
Golar LNG | 11,800 | 375 | ||||||
Goodrich Petroleum* (A) | 48,477 | 573 | ||||||
Gulfmark Offshore, Cl A* | 800 | 29 | ||||||
Gulfport Energy* | 16,867 | 408 | ||||||
Houston American Energy | 200 | 3 | ||||||
ION Geophysical* | 8,135 | 38 | ||||||
Karoon Gas Australia* | 19,564 | 54 | ||||||
Key Energy Services* | 43,694 | 415 | ||||||
Kodiak Oil & Gas* (A) | 65,975 | 344 | ||||||
Lone Pine Resources* | 23,900 | 158 | ||||||
Lufkin Industries | 3,485 | 185 | ||||||
Magnum Hunter Resources* (A) | 143,120 | 474 | ||||||
Matrix Service* | 23,800 | 202 | ||||||
Mitcham Industries* | 5 | — | ||||||
Newpark Resources* | 11,044 | 67 | ||||||
Northern Oil And Gas* (A) | 14,270 | 277 | ||||||
Oasis Petroleum* (A) | 9,100 | 203 | ||||||
Oceaneering International | 4,100 | 145 | ||||||
Oil States International* | 2,200 | 112 | ||||||
Oilsands Quest* | 258,000 | 54 | ||||||
OYO Geospace* | 900 | 51 | ||||||
Patriot Coal* (A) | 3,800 | 32 | ||||||
Penn Virginia | 6,100 | 34 |
Description | Shares | Market Value ($ Thousands) | ||||||
Petroleum Development* (A) | 22,105 | $ | 429 | |||||
Petroquest Energy* (A) | 11,500 | 63 | ||||||
Pioneer Drilling* | 44,926 | 323 | ||||||
Porto Energy* | 162,900 | 55 | ||||||
Quicksilver Resources* (A) | 68,079 | 516 | ||||||
Resolute Energy* | 10,600 | 120 | ||||||
Rosetta Resources* | 5,900 | 202 | ||||||
Scorpio Tankers* | 92,537 | 489 | ||||||
SM Energy | 2,000 | 121 | ||||||
StealthGas* | 16,200 | 64 | ||||||
Stone Energy* | 16,800 | 272 | ||||||
Superior Energy Services* | 17,680 | 464 | ||||||
Swift Energy* | 6,650 | 162 | ||||||
Tesco (A) | 20,742 | 241 | ||||||
Tetra Technologies* | 16,100 | 124 | ||||||
Triangle Petroleum* | 21,300 | 76 | ||||||
Vaalco Energy* | 26,891 | 131 | ||||||
Vantage Drilling* (A) | 62,400 | 78 | ||||||
Venoco* | 8,500 | 75 | ||||||
W&T Offshore (A) | 20,500 | 282 | ||||||
Warren Resources* | 29,300 | 70 | ||||||
Western Refining* (A) | 11,700 | 146 | ||||||
World Fuel Services | 486 | 16 | ||||||
|
| |||||||
13,561 | ||||||||
|
| |||||||
Financials — 19.1% | ||||||||
Affiliated Managers Group* | 6,050 | 472 | ||||||
Alexander’s † | 200 | 72 | ||||||
Alterra Capital Holdings (A) | 9,200 | 174 | ||||||
American Assets Trust † | 3,500 | 63 | ||||||
American Campus Communities † (A) | 5,200 | 194 | ||||||
American Capital* | 205 | 1 | ||||||
American Capital Agency † (A) | 9,900 | 268 | ||||||
Amtrust Financial Services (A) | 18,434 | 410 | ||||||
Anworth Mortgage Asset † | 11,900 | 81 | ||||||
Associated Estates Realty † | 25,738 | 398 | ||||||
Bancorpsouth (A) | 39,929 | 351 | ||||||
Bank of Marin Bancorp | 315 | 10 | ||||||
Bank of the Ozarks | 16,150 | 338 | ||||||
Berkshire Hills Bancorp (A) | 17,530 | 324 | ||||||
BGC Partners, Cl A (A) | 16,800 | 101 | ||||||
BioMed Realty Trust † | 47,285 | 784 | ||||||
Boston Private Financial Holdings (A) | 52,500 | 309 | ||||||
Brandywine Realty Trust † | 44,935 | 360 | ||||||
Brasil Brokers Participacoes | 15,200 | 49 | ||||||
BRE Properties, Cl A † | 4,530 | 192 | ||||||
Campus Crest Communities † | 35,500 | 386 | ||||||
Capstead Mortgage † | 7,083 | 82 | ||||||
Cardinal Financial | 19,855 | 171 | ||||||
Cardtronics* | 2,700 | 62 | ||||||
Central Pacific Financial* (A) | 30,765 | 317 | ||||||
Chatham Lodging Trust † | 8,200 | 81 | ||||||
Chemical Financial | 43 | 1 | ||||||
City National | 4,650 | 176 | ||||||
CNO Financial Group* (A) | 55,700 | 301 | ||||||
CoBiz Financial | 76,495 | 342 | ||||||
Cohen & Steers (A) | 8,200 | 236 | ||||||
Colonial Properties Trust † | 14,306 | 260 | ||||||
Cowen Group, Cl A* (A) | 23,100 | 63 | ||||||
CreXus Investment † | 36,200 | 321 | ||||||
CubeSmart † | 46,939 | 400 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
DDR † (A) | 32,342 | $ | 353 | |||||
Delphi Financial Group, Cl A | 10,300 | 222 | ||||||
DFC Global* (A) | 5,193 | 113 | ||||||
DiamondRock Hospitality † | 59,856 | 418 | ||||||
Douglas Emmett † (A) | 11,220 | 192 | ||||||
Duff & Phelps | 5,600 | 60 | ||||||
DuPont Fabros Technology † (A) | 17,645 | 347 | ||||||
Eagle Bancorp* | 37,847 | 445 | ||||||
Education Realty Trust † | 95,995 | 825 | ||||||
Encore Bancshares* | 14,150 | 151 | ||||||
Encore Capital Group* | 11,800 | 258 | ||||||
Equity Lifestyle Properties † | 2,162 | 136 | ||||||
ESSA Bancorp (A) | 8,086 | 85 | ||||||
Excel Trust † | 43,474 | 418 | ||||||
Extra Space Storage † | 2,700 | 50 | ||||||
Ezcorp, Cl A* | 3,800 | 108 | ||||||
FBR* | 80,600 | 192 | ||||||
Financial Engines* (A) | 26,405 | 478 | ||||||
First Busey | 300 | 1 | ||||||
First Cash Financial Services* | 672 | 28 | ||||||
First Financial Bancorp | 34,056 | 470 | ||||||
First Horizon National | 188 | 1 | ||||||
First Midwest Bancorp | 4,046 | 30 | ||||||
First Potomac Realty Trust † | 37,000 | 461 | ||||||
FirstMerit | 65,036 | 739 | ||||||
Flushing Financial | 8,700 | 94 | ||||||
Fpic Insurance Group* | 10,920 | 457 | ||||||
Fulton Financial | 38,468 | 294 | ||||||
Gain Capital Holdings* (A) | 19,700 | 124 | ||||||
General Shopping Brasil (Brazil)* | 8,700 | 47 | ||||||
Gladstone Commercial † | 6,500 | 102 | ||||||
Glimcher Realty Trust † (A) | 11,100 | 79 | ||||||
Global Indemnity, Cl A* | 14,500 | 248 | ||||||
Government Properties Income Trust † | 8,000 | 172 | ||||||
Great American Group* | 52,600 | 5 | ||||||
Greenhill (A) | 6,770 | 194 | ||||||
Hancock Holding | 34,178 | 915 | ||||||
Hanover Insurance Group | 28,542 | 1,013 | ||||||
Highwoods Properties † (A) | 36,277 | 1,025 | ||||||
Home Bancshares | 12,800 | 272 | ||||||
Home Properties † (A) | 6,800 | 386 | ||||||
Hudson Valley Holding | 5,337 | 93 | ||||||
IBERIABANK | 2,900 | 136 | ||||||
Inland Real Estate † (A) | 53,035 | 387 | ||||||
Investors Real Estate Trust † | 4,500 | 32 | ||||||
Kennedy-Wilson Holdings (A) | 12,900 | 137 | ||||||
Kilroy Realty † | 3,400 | 106 | ||||||
Knight Capital Group, Cl A* | 10,100 | 123 | ||||||
LaSalle Hotel Properties † | 21,275 | 409 | ||||||
Lexington Realty Trust † (A) | 79,152 | 518 | ||||||
LTC Properties † | 14,538 | 368 | ||||||
Maiden Holdings | 41,400 | 306 | ||||||
MarketAxess Holdings | 10,700 | 278 | ||||||
MB Financial | 21,766 | 320 | ||||||
Meadowbrook Insurance Group | 107,718 | 960 | ||||||
Medical Properties Trust † | 8,700 | 78 | ||||||
MFA Financial † | 11,000 | 77 | ||||||
Mid-America Apartment Communities † (A) | 8,281 | 499 | ||||||
Nara Bancorp* | 30 | — | ||||||
National Financial Partners* (A) | 32,435 | 355 | ||||||
National Health Investors † | 191 | 8 |
Description | Shares | Market Value ($ Thousands) | ||||||
National Penn Bancshares (A) | 70,704 | $ | 496 | |||||
National Retail Properties † (A) | 34,763 | 934 | ||||||
Nelnet, Cl A | 10,000 | 188 | ||||||
NorthStar Realty Finance † (A) | 70,785 | 234 | ||||||
Northwest Bancshares (A) | 9,100 | 108 | ||||||
Ocwen Financial* | 22,700 | 300 | ||||||
Old National Bancorp | 49,839 | 464 | ||||||
Omega Healthcare Investors † | 4,800 | 76 | ||||||
One Liberty Properties † | 158 | 2 | ||||||
Pacific Continental | 19,397 | 137 | ||||||
PacWest Bancorp (A) | 18,740 | 261 | ||||||
PennantPark Investment | 36,795 | 328 | ||||||
Platinum Underwriters Holdings | 15,025 | 462 | ||||||
Post Properties † | 2,211 | 77 | ||||||
Potlatch † | 2,977 | 94 | ||||||
ProAssurance | 6,455 | 465 | ||||||
Prosperity Bancshares | 14,035 | 459 | ||||||
Renasant (A) | 9,000 | 115 | ||||||
RLI (A) | 7,959 | 506 | ||||||
Safeguard Scientifics* | 36,206 | 543 | ||||||
Sandy Spring Bancorp | 19,018 | 278 | ||||||
SCBT Financial | 7,100 | 175 | ||||||
Signature Bank NY* | 6,320 | 302 | ||||||
Simmons First National, Cl A | 6,300 | 137 | ||||||
Starwood Property Trust † | 6,300 | 108 | ||||||
Stifel Financial* | 10,000 | 266 | ||||||
Summit Hotel Properties † | 11,000 | 78 | ||||||
Sunstone Hotel Investors* † | 54,438 | 310 | ||||||
Susquehanna Bancshares (A) | 72,363 | 396 | ||||||
Synovus Financial (A) | 118,050 | 126 | ||||||
Tanger Factory Outlet Centers † | 7,000 | 182 | ||||||
THL Credit | 13,000 | 142 | ||||||
Titanium Asset Management* | 4,111 | 2 | ||||||
Titanium Asset Management PIPE* (C) (D) | 2,000 | 2 | ||||||
Trustmark (A) | 19,841 | 360 | ||||||
United Financial Bancorp | 6,800 | 93 | ||||||
Uranium Participation* | 14,800 | 80 | ||||||
Validus Holdings | 8,800 | 219 | ||||||
ViewPoint Financial Group | 19,660 | 225 | ||||||
Waddell & Reed Financial, Cl A | 12,754 | 319 | ||||||
Washington Real Estate Investment Trust † (A) | 20,256 | 571 | ||||||
Webster Financial (A) | 25,070 | 384 | ||||||
West Bancorporation | 204 | 2 | ||||||
Western Alliance Bancorp* (A) | 173,182 | 949 | ||||||
Wintrust Financial (A) | 21,104 | 545 | ||||||
WisdomTree Investments* | 38,025 | 267 | ||||||
World Acceptance* (A) | 8,945 | 501 | ||||||
WSFS Financial | 11,993 | 379 | ||||||
|
| |||||||
38,995 | ||||||||
|
| |||||||
Health Care — 13.8% | ||||||||
Abaxis* | 8,859 | 203 | ||||||
ABIOMED* (A) | 18,100 | 200 | ||||||
Accuray* (A) | 33,700 | 135 | ||||||
Acorda Therapeutics* | 7,500 | 150 | ||||||
Aegerion Pharmaceuticals* | 13,130 | 166 | ||||||
Air Methods* | 3,005 | 191 | ||||||
Alere* (A) | 10,000 | 196 | ||||||
Align Technology* (A) | 23,700 | 359 | ||||||
Alkermes* | 25,500 | 389 | ||||||
Amarin ADR* | 11,100 | 102 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
AMERIGROUP* (A) | 4,179 | $ | 163 | |||||
AMN Healthcare Services* | 24,500 | 98 | ||||||
Amsurg* | 4,400 | 99 | ||||||
Ardea Biosciences* | 2,700 | 42 | ||||||
Arena Pharmaceuticals* (A) | 72,579 | 105 | ||||||
Ariad Pharmaceuticals* (A) | 74,030 | 651 | ||||||
Arqule* | 11,900 | 60 | ||||||
Arthrocare* | 1,100 | 32 | ||||||
AVEO Pharmaceuticals* (A) | 28,100 | 432 | ||||||
Bruker BioSciences* | 23,060 | 312 | ||||||
Catalyst Health Solutions* | 3,100 | 179 | ||||||
Centene* | 5,500 | 158 | ||||||
Cepheid* (A) | 9,600 | 373 | ||||||
Chemed | 4,208 | 231 | ||||||
Computer Programs & Systems | 4,900 | 324 | ||||||
Conmed* | 16,150 | 372 | ||||||
Cross Country Healthcare* | 7,400 | 31 | ||||||
Cubist Pharmaceuticals* (A) | 25,662 | 906 | ||||||
Cyberonics* | 2,600 | 74 | ||||||
Depomed* (A) | 16,100 | 87 | ||||||
Durect* | 60,618 | 98 | ||||||
DynaVox, Cl A* | 41,614 | 150 | ||||||
Emergent Biosolutions* | 20,555 | 317 | ||||||
Emeritus* (A) | 25,580 | 361 | ||||||
Ensign Group (A) | 6,100 | 141 | ||||||
Enzon Pharmaceuticals* | 245 | 2 | ||||||
eResearchTechnology* | 42,400 | 189 | ||||||
Exact Sciences* | 5,100 | 34 | ||||||
Fluidigm* | 19,117 | 267 | ||||||
Greatbatch* | 20,185 | 404 | ||||||
Halozyme Therapeutics* | 50,620 | 311 | ||||||
Hansen Medical* (A) | 61,282 | 203 | ||||||
Health Management Associates, Cl A* | 67,183 | 465 | ||||||
Health Net* | 13,070 | 310 | ||||||
Healthsouth* | 16,635 | 248 | ||||||
Healthspring* | 21,750 | 793 | ||||||
HealthStream* | 204 | 3 | ||||||
HeartWare International* (A) | 1,800 | 116 | ||||||
Hill-Rom Holdings | 5,800 | 174 | ||||||
HMS Holdings* | 9,900 | 242 | ||||||
ICU Medical* (A) | 12,892 | 474 | ||||||
Idenix Pharmaceuticals* | 24,010 | 120 | ||||||
Immunogen* | 5,000 | 55 | ||||||
Impax Laboratories* | 28,600 | 512 | ||||||
Imris* | 51,717 | 202 | ||||||
Incyte* (A) | 16,400 | 229 | ||||||
Insulet* (A) | 36,865 | 562 | ||||||
InterMune* | 4,800 | 97 | ||||||
Invacare | 27,038 | 623 | ||||||
IPC The Hospitalist* | 8,325 | 297 | ||||||
Ironwood Pharmaceuticals, Cl A* | 3,700 | 40 | ||||||
ISTA Pharmaceuticals* | 57,500 | 198 | ||||||
Jazz Pharmaceuticals* (A) | 6,600 | 274 | ||||||
Kensey Nash* | 2,200 | 54 | ||||||
Kindred Healthcare* (A) | 17,276 | 149 | ||||||
LHC Group* | 4,600 | 79 | ||||||
LifePoint Hospitals* | 11,089 | 406 | ||||||
Magellan Health Services* | 26,997 | 1,304 | ||||||
MAKO Surgical* | 2,900 | 99 | ||||||
MAP Pharmaceuticals* | 4,500 | 66 | ||||||
Masimo (A) | 19,056 | 413 | ||||||
Maxygen | 625 | 3 |
Description | Shares | Market Value ($ Thousands) | ||||||
Medcath* | 435 | $ | 6 | |||||
Medical Action Industries* | 31,300 | 158 | ||||||
Medicines* | 14,700 | 219 | ||||||
Medicis Pharmaceutical, Cl A | 18,757 | 684 | ||||||
Medivation* | 3,726 | 63 | ||||||
Mednax* (A) | 9,835 | 616 | ||||||
MELA Sciences* (A) | 24,600 | 109 | ||||||
Meridian Bioscience | 176 | 3 | ||||||
Momenta Pharmaceuticals* | 256 | 3 | ||||||
MWI Veterinary Supply* | 1,700 | 117 | ||||||
Myriad Genetics* | 14,730 | 276 | ||||||
Natus Medical* | 15,800 | 150 | ||||||
Nektar Therapeutics* (A) | 23,330 | 113 | ||||||
Neogen* | 2,100 | 73 | ||||||
Neoprobe* (A) | 29,400 | 87 | ||||||
Neurocrine Biosciences* | 7,200 | 43 | ||||||
NPS Pharmaceuticals* | 10,000 | 65 | ||||||
NuVasive* (A) | 31,978 | 546 | ||||||
NxStage Medical* (A) | 20,800 | 434 | ||||||
Omnicell* | 33,480 | 461 | ||||||
Onyx Pharmaceuticals* | 8,030 | 241 | ||||||
Optimer Pharmaceuticals* | 5,500 | 76 | ||||||
Pain Therapeutics (A) | 3,400 | 16 | ||||||
PDL BioPharma (A) | 2,783 | 15 | ||||||
Pharmacyclics* | 4,800 | 57 | ||||||
Pharmasset* | 700 | 58 | ||||||
Providence Service* | 32,900 | 350 | ||||||
Questcor Pharmaceuticals* (A) | 35,250 | 961 | ||||||
Rigel Pharmaceuticals* | 12,600 | 93 | ||||||
Sagent Pharmaceuticals* | 13,270 | 269 | ||||||
Salix Pharmaceuticals* | 10,937 | 324 | ||||||
Sirona Dental Systems* | 3,000 | 127 | ||||||
Spectrum Pharmaceuticals* (A) | 28,000 | 214 | ||||||
STERIS | 11,148 | 326 | ||||||
Sunrise Senior Living* (A) | 44,500 | 206 | ||||||
SXC Health Solutions* | 3,800 | 212 | ||||||
Symmetry Medical* | 18,500 | 143 | ||||||
Syneron Medical* | 37,330 | 370 | ||||||
Targacept* | 705 | 10 | ||||||
Theravance* (A) | 6,600 | 133 | ||||||
Thoratec* | 7,250 | 237 | ||||||
Tornier BV* (A) | 18,829 | 386 | ||||||
Viropharma* | 9,100 | 164 | ||||||
Volcano* | 4,800 | 142 | ||||||
WellCare Health Plans* | 9,385 | 356 | ||||||
Zoll Medical* | 12,139 | 458 | ||||||
|
| |||||||
28,074 | ||||||||
|
| |||||||
Industrials — 17.1% | ||||||||
AAR (A) | 22,511 | 375 | ||||||
ABM Industries (A) | 9,400 | 179 | ||||||
Acacia Research - Acacia Technologies* | 5,200 | 187 | ||||||
Actuant, Cl A (A) | 34,488 | 681 | ||||||
Acuity Brands (A) | 9,670 | 348 | ||||||
Aegean Marine Petroleum Network (A) | 49,400 | 223 | ||||||
AerCap Holdings* | 61,058 | 606 | ||||||
Air Transport Services Group* | 22,900 | 99 | ||||||
Alaska Air Group* | 2,000 | 113 | ||||||
Altra Holdings* | 77 | 1 | ||||||
Ametek | 4,000 | 132 | ||||||
AO Smith | 6,467 | 207 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
APAC Customer Services* | 1,260 | $ | 11 | |||||
Applied Industrial Technologies | 10,900 | 296 | ||||||
Atlas Air Worldwide Holdings* | 2,700 | 90 | ||||||
Avis Budget Group* | 36,180 | 350 | ||||||
BE Aerospace* | 14,600 | 483 | ||||||
Belden | 18,810 | 485 | ||||||
Brady, Cl A | 13,705 | 362 | ||||||
Briggs & Stratton | 102 | 1 | ||||||
Carlisle | 11,620 | 371 | ||||||
Celadon Group | 19,194 | 170 | ||||||
Ceradyne* | 5,546 | 149 | ||||||
Clean Harbors* | 9,500 | 487 | ||||||
Columbus McKinnon* | 24,100 | 264 | ||||||
Consolidated Graphics* | 10,688 | 390 | ||||||
Copa Holdings, Cl A | 2,585 | 158 | ||||||
Corporate Executive Board | 5,475 | 163 | ||||||
Corrections Corp of America* | 4,700 | 107 | ||||||
CoStar Group* | 3,900 | 203 | ||||||
Crane | 15,188 | 542 | ||||||
Cubic | 14,993 | 586 | ||||||
Curtiss-Wright | 17,782 | 513 | ||||||
DigitalGlobe* | 15,950 | 310 | ||||||
Dollar Thrifty Automotive Group* (A) | 3,000 | 169 | ||||||
Dycom Industries* | 28,153 | 431 | ||||||
Dynamic Materials | 16,297 | 257 | ||||||
EMCOR Group | 40,584 | 825 | ||||||
EnerSys* | 12,160 | 243 | ||||||
ESCO Technologies | 17,858 | 455 | ||||||
Exponent* | 3,700 | 153 | ||||||
Flow International* | 15,700 | 35 | ||||||
Force Protection* | 21,700 | 84 | ||||||
Franklin Electric | 1,200 | 44 | ||||||
FTI Consulting* (A) | 14,875 | 548 | ||||||
G&K Services | 16,360 | 418 | ||||||
Generac Holdings* | 10,237 | 193 | ||||||
General Cable* | 12,020 | 281 | ||||||
Genesee & Wyoming, Cl A* (A) | 12,117 | 564 | ||||||
Geo Group* | 38,050 | 706 | ||||||
Global Power Equipment Group* (A) | 6,700 | 156 | ||||||
Graco | 4,740 | 162 | ||||||
GrafTech International* (A) | 4,100 | 52 | ||||||
Great Lakes Dredge & Dock | 11,600 | 47 | ||||||
Greenbrier* | 24,139 | 281 | ||||||
H&E Equipment Services* | 10,400 | 86 | ||||||
Hawaiian Holdings* (A) | 99,330 | 418 | ||||||
HEICO (A) | 14,311 | 705 | ||||||
Hexcel* | 25,328 | 561 | ||||||
Higher One Holdings* | 104 | 2 | ||||||
Huron Consulting Group* | 5,824 | 181 | ||||||
ICF International* | 8,400 | 158 | ||||||
IDEX | 4,900 | 153 | ||||||
InnerWorkings* (A) | 46,371 | 363 | ||||||
Insituform Technologies, Cl A* | 37 | 1 | ||||||
Insperity | 6,300 | 140 | ||||||
Interface, Cl A | 36,930 | 438 | ||||||
John Bean Technologies | 13,030 | 186 | ||||||
Kadant* | 16,522 | 293 | ||||||
KAR Auction Services* | 5 | — | ||||||
Kaydon | 14,841 | 426 | ||||||
Kelly Services, Cl A | 2,283 | 26 | ||||||
Keyw Holding* | 11,500 | 82 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kirby* | 5,600 | $ | 295 | |||||
Knight Transportation | 4,800 | 64 | ||||||
Korn/Ferry International* | 60 | 1 | ||||||
Kratos Defense & Security Solutions* | 12,000 | 80 | ||||||
Lincoln Electric Holdings | 5,200 | 151 | ||||||
Lindsay | 1,500 | 81 | ||||||
Marten Transport | 36,650 | 632 | ||||||
MasTec* | 250 | 4 | ||||||
Michael Baker* | 4,600 | 88 | ||||||
Middleby* | 7,930 | 559 | ||||||
Mistras Group* | 15,620 | 275 | ||||||
Mobile Mini* (A) | 19,075 | 314 | ||||||
Moog, Cl A* | 12,240 | 399 | ||||||
Mueller Industries | 2,500 | 96 | ||||||
Mueller Water Products, Cl A (A) | 57,884 | 144 | ||||||
Navigant Consulting* | 36,100 | 335 | ||||||
Northwest Pipe* | 9,070 | 184 | ||||||
Old Dominion Freight Line* | 29,909 | 866 | ||||||
Orion Marine Group* | 37,500 | 216 | ||||||
Polypore International* | 9,011 | 509 | ||||||
Quanex Building Products | 21,465 | 235 | ||||||
Rand Logistics* | 9,700 | 60 | ||||||
Raven Industries | 2,928 | 141 | ||||||
RBC Bearings* | 5,400 | 184 | ||||||
Robbins & Myers | 24,717 | 858 | ||||||
Rollins | 10,350 | 194 | ||||||
RPX* | 6,900 | 143 | ||||||
RSC Holdings* (A) | 11,400 | 81 | ||||||
Rush Enterprises, Cl A* | 25,103 | 355 | ||||||
SeaCube Container Leasing | 8,300 | 101 | ||||||
Simpson Manufacturing | 18,160 | 453 | ||||||
Spirit Airlines* | 42,100 | 526 | ||||||
Standard Parking* | 24 | — | ||||||
Standex International (A) | 6,211 | 193 | ||||||
Sun Hydraulics | 8,300 | 169 | ||||||
TAL International Group (A) | 17,810 | 444 | ||||||
Team* | 1,300 | 27 | ||||||
Teleflex | 4,700 | 253 | ||||||
Tennant | 1,447 | 51 | ||||||
Tetra Tech* | 18,160 | 340 | ||||||
Textainer Group Holdings | 4,100 | 83 | ||||||
Thermon Group Holdings* | 7,600 | 105 | ||||||
Titan Machinery* | 8,512 | 152 | ||||||
TMS International, Cl A* | 13,200 | 96 | ||||||
Tredegar | 90 | 1 | ||||||
Trex* (A) | 14,600 | 234 | ||||||
Trinity Industries | 5,000 | 107 | ||||||
TrueBlue* | 13,200 | 150 | ||||||
Tutor Perini | 26,400 | 303 | ||||||
United Rentals* (A) | 28,713 | 483 | ||||||
United Stationers | 3,300 | 90 | ||||||
US Airways Group* (A) | 40,800 | 225 | ||||||
Valmont Industries | 1,700 | 132 | ||||||
Vitran* | 17,870 | 71 | ||||||
Wabash National* (A) | 237,243 | 1,132 | ||||||
Wabtec | 7,630 | 403 | ||||||
Watsco | 5,510 | 282 | ||||||
Werner Enterprises (A) | 19,037 | 396 | ||||||
Zipcar* (A) | 20,710 | 373 | ||||||
|
| |||||||
34,884 | ||||||||
|
|
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Information Technology — 16.4% | ||||||||
ACI Worldwide* (A) | 8,000 | $ | 220 | |||||
Adtran | 22,775 | 603 | ||||||
Advent Software* | 235 | 5 | ||||||
Aeroflex Holding* | 34,400 | 313 | ||||||
Amtech Systems* (A) | 17,400 | 139 | ||||||
Ancestry.com* (A) | 20,270 | 476 | ||||||
Ariba* | 28 | 1 | ||||||
Arris Group* | 9,300 | 96 | ||||||
Aruba Networks* (A) | 23,470 | 491 | ||||||
Aspen Technology* | 12,300 | 188 | ||||||
Aviat Networks* | 34,687 | 81 | ||||||
Avid Technology* | 49,375 | 382 | ||||||
Benchmark Electronics* | 27,227 | 354 | ||||||
Blackbaud | 400 | 9 | ||||||
Booz Allen Hamilton Holding, Cl A* | 8,357 | 124 | ||||||
Brightpoint* | 48 | 1 | ||||||
BroadSoft* (A) | 30,991 | 941 | ||||||
Cavium* (A) | 11,085 | 299 | ||||||
CDC Software ADR* | 45,199 | 149 | ||||||
Ceva* | 9,200 | 224 | ||||||
Ciber* | 96,900 | 294 | ||||||
Ciena* (A) | 13,771 | 154 | ||||||
Cirrus Logic* | 20 | — | ||||||
Cognex | 5,400 | 146 | ||||||
Coherent* | 1,200 | 52 | ||||||
CommVault Systems* | 11,911 | 441 | ||||||
Comverse Technology* | 11,700 | 82 | ||||||
Concur Technologies* (A) | 12,275 | 457 | ||||||
Constant Contact* (A) | 28,130 | 486 | ||||||
Cornerstone OnDemand* (A) | 15,600 | 196 | ||||||
CSG Systems International* | 187 | 2 | ||||||
Cymer* (A) | 11,135 | 414 | ||||||
Cypress Semiconductor | 125 | 2 | ||||||
DealerTrack Holdings* | 28,730 | 450 | ||||||
Digi International* | 15,300 | 168 | ||||||
Digital River* (A) | 29,635 | 614 | ||||||
DTS* | 4,565 | 113 | ||||||
Earthlink | 74,425 | 486 | ||||||
Electronics for Imaging* | 117 | 2 | ||||||
Emulex* | 13,500 | 86 | ||||||
Entegris* | 64,300 | 410 | ||||||
Envestnet* | 23,457 | 235 | ||||||
Fabrinet* (A) | 6,700 | 125 | ||||||
Fair Isaac | 160 | 4 | ||||||
Fairchild Semiconductor International* | 52,126 | 563 | ||||||
FARO Technologies* | 1,500 | 47 | ||||||
Forrester Research | 2,596 | 84 | ||||||
Fortinet* | 17,500 | 294 | ||||||
Fusion-io* (A) | 10,940 | 208 | ||||||
Glu Mobile* (A) | 73,100 | 154 | ||||||
GT Advanced Technologies* (A) | 16,243 | 114 | ||||||
Hackett Group* | 66,600 | 248 | ||||||
Hittite Microwave* | 13,800 | 672 | ||||||
Informatica* | 1,700 | 70 | ||||||
Inphi* (A) | 84,455 | 741 | ||||||
Integrated Device Technology* (A) | 117,791 | 607 | ||||||
Interactive Intelligence Group* (A) | 3,700 | 100 |
Description | Shares | Market Value ($ Thousands) | ||||||
InterDigital (A) | 4,500 | $ | 210 | |||||
International Rectifier* (A) | 21,765 | 405 | ||||||
IntraLinks Holdings* | 16,890 | 127 | ||||||
j2 Global Communications (A) | 16,957 | 456 | ||||||
JDA Software Group* | 17,661 | 414 | ||||||
Keynote Systems | 4,500 | 95 | ||||||
KIT Digital* (A) | 11,797 | 99 | ||||||
Lattice Semiconductor* | 56,600 | 297 | ||||||
Liquidity Services* | 4,600 | 148 | ||||||
LogMein* | 12,120 | 403 | ||||||
Loral Space & Communications* | 200 | 10 | ||||||
LTX-Credence* | 14,033 | 74 | ||||||
Magma Design Automation* | 8,300 | 38 | ||||||
Magnachip Semiconductor* | 6,800 | 46 | ||||||
Manhattan Associates* | 9,700 | 321 | ||||||
MAXIMUS | 14,400 | 503 | ||||||
Mellanox Technologies* | 24,110 | 753 | ||||||
Mentor Graphics* | 44,338 | 427 | ||||||
Micrel | 9,700 | 92 | ||||||
Micros Systems* | 2,700 | 119 | ||||||
Microsemi* | 6,900 | 110 | ||||||
MicroStrategy, Cl A* | 2,009 | 229 | ||||||
Mitel Networks* | 32,900 | 70 | ||||||
Monolithic Power Systems* | 25,270 | 257 | ||||||
Monotype Imaging Holdings* | 1,600 | 19 | ||||||
Move* | 12,600 | 18 | ||||||
MTS Systems | 1,700 | 52 | ||||||
Netgear* | 12,600 | 326 | ||||||
Netlogic Microsystems* | 2,900 | 140 | ||||||
Netscout Systems* | 7,400 | 85 | ||||||
NetSuite* (A) | 13,100 | 354 | ||||||
NIC | 23,200 | 266 | ||||||
Nuance Communications* (A) | 16,770 | 341 | ||||||
Omnivision Technologies* | 700 | 10 | ||||||
OpenTable* (A) | 5,300 | 244 | ||||||
Oplink Communications* | 3,500 | 53 | ||||||
Opnet Technologies | 11,100 | 388 | ||||||
OSI Systems* | 2,800 | 94 | ||||||
Parametric Technology* | 44,499 | 684 | ||||||
Park Electrochemical | 6,825 | 146 | ||||||
Parkervision* (A) | 78,100 | 70 | ||||||
Photronics* (A) | 49,966 | 249 | ||||||
Plantronics | 12,700 | 361 | ||||||
Plexus* | 15,156 | 343 | ||||||
PMC - Sierra* | 16,100 | 96 | ||||||
Progress Software* | 2,110 | 37 | ||||||
QLIK Technologies* | 5,500 | 119 | ||||||
Quality Systems (A) | 1,600 | 155 | ||||||
Quest Software* | 277 | 4 | ||||||
Rackspace Hosting* (A) | 7,970 | 272 | ||||||
RealD* (A) | 19,350 | 181 | ||||||
RealPage* (A) | 17,790 | 364 | ||||||
Responsys* | 14,275 | 154 | ||||||
RF Micro Devices* | 31,795 | 202 | ||||||
RightNow Technologies* | 5,400 | 179 | ||||||
Riverbed Technology* | 7,300 | 146 | ||||||
Rosetta Stone* (A) | 23,656 | 216 | ||||||
Saba Software* | 11,900 | 69 | ||||||
Sapient | 48,614 | 493 | ||||||
Seachange International* | 11,300 | 87 | ||||||
ServiceSource International* | 15,500 | 205 | ||||||
ShoreTel* | 21,800 | 109 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Silicon Graphics International* (A) | 11,100 | $ | 132 | |||||
Silicon Image* | 41,300 | 242 | ||||||
Silicon Laboratories* (A) | 11,360 | 381 | ||||||
SolarWinds* | 25,530 | 562 | ||||||
Sourcefire* (A) | 15,250 | 408 | ||||||
SuccessFactors* (A) | 13,700 | 315 | ||||||
Sycamore Networks | 35,176 | 635 | ||||||
SYNNEX* | 5,465 | 143 | ||||||
Syntel | 750 | 32 | ||||||
Taleo, Cl A* | 21,500 | 553 | ||||||
TeleNav* (A) | 9,200 | 82 | ||||||
TeleTech Holdings* | 11,603 | 177 | ||||||
Teradyne* | 11,300 | 124 | ||||||
TIBCO Software* | 18,500 | 414 | ||||||
Travelzoo* (A) | 6,388 | 141 | ||||||
TTM Technologies* | 31,073 | 296 | ||||||
Tyler Technologies* | 8,220 | 208 | ||||||
Ultimate Software Group* (A) | 1,457 | 68 | ||||||
Ultra Clean Holdings* | 41,210 | 177 | ||||||
Universal Display* (A) | 1,200 | 58 | ||||||
Valueclick* | 9,322 | 145 | ||||||
Veeco Instruments* (A) | 750 | 18 | ||||||
VeriFone Holdings* | 1,800 | 63 | ||||||
VirnetX Holding* (A) | 2,300 | 34 | ||||||
VistaPrint* (A) | 11,114 | 300 | ||||||
Vocus* | 5,200 | 87 | ||||||
Websense* (A) | 1,990 | 34 | ||||||
Westell Technologies, Cl A* | 1,040 | 2 | ||||||
XO Group* (A) | 10,580 | 86 | ||||||
|
| |||||||
33,368 | ||||||||
|
| |||||||
Materials — 4.5% | ||||||||
Allied Nevada Gold* (A) | 2,300 | 82 | ||||||
AM Castle* | 15 | — | ||||||
AMCOL International (A) | 8,307 | 199 | ||||||
Aptargroup | 1,700 | 76 | ||||||
Balchem (A) | 4,300 | 161 | ||||||
Carpenter Technology | 9,388 | 421 | ||||||
Clearwater Paper* (A) | 900 | 31 | ||||||
Commercial Metals | 6,680 | 64 | ||||||
Cytec Industries | 31 | 1 | ||||||
EcoSynthetix* | 10,600 | 77 | ||||||
Ferro* | 134 | 1 | ||||||
Flotek Industries* (A) | 35,200 | 164 | ||||||
Globe Specialty Metals | 51,761 | 752 | ||||||
Great Basin Gold* (A) | 134,325 | 227 | ||||||
H.B. Fuller | 251 | 5 | ||||||
Haynes International | 8,300 | 361 | ||||||
Hecla Mining* | 20,752 | 111 | ||||||
Horsehead Holding* | 59,541 | 442 | ||||||
Innophos Holdings | 18,158 | 724 | ||||||
Innospec* | 21,240 | 514 | ||||||
LSB Industries* | 5,500 | 158 | ||||||
Materion* | 4,800 | 109 | ||||||
Minerals Technologies | 8,196 | 404 | ||||||
New Gold* | 7,000 | 72 | ||||||
NewMarket | 872 | 132 | ||||||
Noranda Aluminum Holding* | 32,478 | 271 | ||||||
OM Group* | 3,400 | 88 | ||||||
PolyOne | 71,460 | 765 | ||||||
Quaker Chemical | 8,198 | 213 | ||||||
Romarco Minerals* | 45,600 | 52 |
Description | Shares | Market Value ($ Thousands) | ||||||
RTI International Metals* (A) | 30,595 | $ | 713 | |||||
Sandstorm Gold* | 52,900 | 53 | ||||||
Schweitzer-Mauduit International | 2,100 | 117 | ||||||
Sensient Technologies | 15,310 | 498 | ||||||
Silgan Holdings (A) | 13,170 | 484 | ||||||
Silver Standard Resources* | 14,525 | 267 | ||||||
Solutia* | 8,300 | 107 | ||||||
TPC Group* | 2,700 | 54 | ||||||
Universal Stainless & Alloy* | 2,700 | 69 | ||||||
Worthington Industries (A) | 14,067 | 196 | ||||||
|
| |||||||
9,235 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
AboveNet | 800 | 43 | ||||||
Boingo Wireless* | 35,650 | 255 | ||||||
Cogent Communications Group* | 12,205 | 164 | ||||||
Fairpoint Communications* (A) | 30,500 | 131 | ||||||
IDT, Cl B | 6,300 | 128 | ||||||
Leap Wireless International* (A) | 11,100 | 76 | ||||||
Neutral Tandem* | 28,800 | 279 | ||||||
PAETEC Holding* | 66,284 | 351 | ||||||
Premiere Global Services* | 279 | 2 | ||||||
|
| |||||||
1,429 | ||||||||
|
| |||||||
Utilities — 3.2% | ||||||||
Cadiz* (A) | 17,000 | 135 | ||||||
California Water Service Group | 3,500 | 62 | ||||||
Chesapeake Utilities | 8,306 | 333 | ||||||
Cia de Saneamento de Minas | 5,000 | 79 | ||||||
Cleco | 14,662 | 501 | ||||||
El Paso Electric | 11,823 | 379 | ||||||
Idacorp | 13,458 | 508 | ||||||
MGE Energy | 260 | 11 | ||||||
New Jersey Resources (A) | 10,492 | 447 | ||||||
Northwest Natural Gas | 8,827 | 389 | ||||||
PNM Resources | 36,344 | 597 | ||||||
Portland General Electric | 27,995 | 663 | ||||||
Southwest Gas | 10,499 | 380 | ||||||
UIL Holdings (A) | 26,876 | 885 | ||||||
Unisource Energy | 2,500 | 90 | ||||||
Vectren | 17,949 | 486 | ||||||
Westar Energy | 3,600 | 95 | ||||||
WGL Holdings | 11,076 | 433 | ||||||
|
| |||||||
6,473 | ||||||||
|
| |||||||
Total Common Stock | 196,821 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% | ||||||||
Consumer Discretionary — 0.1% | ||||||||
Callaway Golf | 1,100 | 103 | ||||||
|
| |||||||
103 | ||||||||
|
| |||||||
Energy — 0.0% | ||||||||
GeoMet | 5,750 | 49 | ||||||
|
| |||||||
49 | ||||||||
|
| |||||||
Financials — 0.0% | ||||||||
Grubb & Ellis (B) | 800 | 22 | ||||||
Grubb & Ellis Cumulative* | 900 | 24 | ||||||
|
| |||||||
46 | ||||||||
|
| |||||||
Total Preferred Stock | 198 | |||||||
|
|
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Kulim Malaysia | 10,100 | $ | — | |||||
Magnum Hunter Resources | 12,911 | — | ||||||
Sandstorm Gold | 12,375 | 6 | ||||||
|
| |||||||
Total Warrants | 6 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.1% | ||||||||
Energy — 0.0% | ||||||||
Rentech CV to 249.2522 | ||||||||
4.000%, 04/15/13 | 86 | 70 | ||||||
|
| |||||||
Financials — 0.0% | ||||||||
Grubb & Ellis CV to 445.583 | ||||||||
7.950%, 05/01/15 (B) | 36 | 26 | ||||||
|
| |||||||
Total Convertible Bonds | 96 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 29.1% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**†† (E) | 59,288,692 | 59,289 | ||||||
|
| |||||||
Total Affiliated Partnership | 59,289 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 6,921,005 | 6,921 | ||||||
|
| |||||||
Total Cash Equivalent | 6,921 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (F)(G) — 0.6% |
| |||||||
U.S. Treasury Bills | ||||||||
0.066%, 06/28/12 | $ | 491 | 491 | |||||
0.014%, 12/15/11 | 753 | 753 | ||||||
0.000%, 12/08/11 | 19 | 19 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 1,263 | ||||||
|
| |||||||
Total Investments — 129.8% |
| $ | 264,594 | |||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 75 | Dec-2011 | $ | (213 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $203,909 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $55,648 ($ Thousands). |
(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 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. |
(C) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $2 ($ Thousands) and represented 0.00% 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, 2011 was $2 ($ Thousands) and represented 0.00% of Net Assets. |
(E) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2011 was $59,289 ($ Thousands). |
(F) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(G) | The rate reported is the effective yield at the time of purchase. |
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 $0.
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Fund
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 196,817 | $ | 2 | $ | 2 | $ | 196,821 | ||||||||
Preferred Stock | — | 198 | — | 198 | ||||||||||||
Warrants | — | 6 | — | 6 | ||||||||||||
Convertible Bonds | — | 96 | — | 96 | ||||||||||||
Affiliated Partnership | — | 59,289 | — | 59,289 | ||||||||||||
Cash Equivalent | 6,921 | — | — | 6,921 | ||||||||||||
U.S. Treasury Obligations | — | 1,263 | — | 1,263 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 203,738 | $ | 60,854 | $ | 2 | $ | 264,594 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (213 | ) | $ | — | $ | — | $ | (213 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (213 | ) | $ | — | $ | — | $ | (213 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation 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, 2010 | $ | 6 | $ | 19 | ||||
Accrued discounts/premiums | — | (1 | ) | |||||
Realized gain/(loss) | — | 2 | ||||||
Change in unrealized appreciation/(depreciation) | (4 | ) | — | |||||
Net purchases/sales | — | (20 | ) | |||||
Net transfer in and/or out of Level 3 | — | — | ||||||
|
|
|
| |||||
Ending balance as of September 30, 2011 | $ | 2 | $ | — | ||||
|
|
|
| |||||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (4 | ) | $ | — | |||
|
|
|
|
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.6%‡ | ||||||||
Consumer Discretionary — 9.5% | ||||||||
AFC Enterprises* | 48,599 | $ | 575 | |||||
American Eagle Outfitters | 65,884 | 772 | ||||||
American Greetings, Cl A (A) | 50,635 | 937 | ||||||
Ameristar Casinos | 24,851 | 399 | ||||||
ANN* (A) | 31,819 | 727 | ||||||
Arbitron | 12,000 | 397 | ||||||
Arctic Cat* | 25,400 | 368 | ||||||
Belo, Cl A | 104,925 | 513 | ||||||
Big Lots* | 16,200 | 564 | ||||||
Bob Evans Farms (A) | 14,000 | 399 | ||||||
Body Central* | 25,153 | 457 | ||||||
Brown Shoe (A) | 106,240 | 757 | ||||||
Callaway Golf (A) | 113,518 | 587 | ||||||
Casual Male Retail Group* (A) | 148,500 | 558 | ||||||
Cato, Cl A | 15,700 | 354 | ||||||
Chico’s FAS | 48,575 | 555 | ||||||
Childrens Place Retail Stores* (A) | 20,240 | 942 | ||||||
Coinstar* (A) | 7,200 | 288 | ||||||
Cooper Tire & Rubber | 108,416 | 1,181 | ||||||
Core-Mark Holding* | 15,660 | 480 | ||||||
Cracker Barrel Old Country Store (A) | 3,200 | 128 | ||||||
CSS Industries | 24,100 | 402 | ||||||
DreamWorks Animation SKG, Cl A* (A) | 38,500 | 700 | ||||||
Ethan Allen Interiors (A) | 36,972 | 503 | ||||||
Federal Mogul, Cl A* | 28,800 | 425 | ||||||
Foot Locker | 27,600 | 555 | ||||||
hhgregg* (A) | 52,421 | 511 | ||||||
Hyatt Hotels, Cl A* | 12,600 | 395 | ||||||
Insight Enterprises* | 27,600 | 418 | ||||||
International Speedway, Cl A | 24,055 | 550 | ||||||
Jack in the Box* | 35,000 | 697 | ||||||
Jakks Pacific (A) | 33,200 | 629 | ||||||
Jones Group (A) | 113,135 | 1,042 | ||||||
Journal Communications, Cl A* | 107,100 | 318 | ||||||
La-Z-Boy, Cl Z* (A) | 29,020 | 215 | ||||||
Libbey* | 77,719 | 819 | ||||||
Lincoln Educational Services (A) | 22,600 | 183 | ||||||
Matthews International, Cl A | 31,200 | 960 | ||||||
MDC Partners, Cl A | 64,800 | 935 | ||||||
Men’s Wearhouse | 51,963 | 1,355 | ||||||
Meredith (A) | 49,430 | 1,119 | ||||||
New Frontier Media* | 67,336 | 72 | ||||||
Penske Auto Group (A) | 29,400 | 470 | ||||||
PEP Boys-Manny Moe & Jack (A) | 68,683 | 678 | ||||||
PetMed Express (A) | 19,300 | 174 | ||||||
Pinnacle Entertainment * (A) | 58,610 | 532 | ||||||
Pool (A) | 3,380 | 88 | ||||||
RadioShack | 43,800 | 509 | ||||||
Regis (A) | 139,424 | 1,964 | ||||||
Rent-A-Center | 73,800 | 2,026 | ||||||
Ruby Tuesday* (A) | 29,900 | 214 | ||||||
Ryland Group (A) | 31,425 | 335 | ||||||
Scholastic | 25,700 | 720 | ||||||
Scientific Games, Cl A* | 75,620 | 539 | ||||||
Sinclair Broadcast Group, Cl A | 44,400 | 318 |
Description | Shares | Market Value ($ Thousands) | ||||||
Skechers U.S.A., Cl A* (A) | 51,400 | $ | 721 | |||||
Stage Stores | 40,100 | 556 | ||||||
Standard Motor Products | 26,700 | 346 | ||||||
Universal Electronics* | 16,800 | 275 | ||||||
Warnaco Group* | 3,400 | 157 | ||||||
WMS Industries* | 40,317 | 709 | ||||||
|
| |||||||
36,072 | ||||||||
|
| |||||||
Consumer Staples — 3.6% | ||||||||
Alliance One International* | 28,200 | 69 | ||||||
Cal-Maine Foods (A) | 35,500 | 1,116 | ||||||
Casey’s General Stores (A) | 16,097 | 703 | ||||||
Central Garden and Pet* | 45,135 | 311 | ||||||
Central Garden and Pet, Cl A* | 40,484 | 287 | ||||||
Chiquita Brands International* (A) | 150,220 | 1,253 | ||||||
Corn Products International | 36,258 | 1,423 | ||||||
Darling International* | 20,200 | 254 | ||||||
Dole Food* (A) | 60,343 | 603 | ||||||
Fresh Del Monte Produce | 19,500 | 452 | ||||||
Imperial Sugar | 4,200 | 27 | ||||||
Ingles Markets, Cl A | 31,975 | 455 | ||||||
J&J Snack Foods | 12,205 | 587 | ||||||
Nash Finch (A) | 10,700 | 288 | ||||||
Pantry* | 144,953 | 1,758 | ||||||
Prestige Brands Holdings* | 71,993 | 652 | ||||||
Sanderson Farms (A) | 15,280 | 726 | ||||||
Seneca Foods, Cl A* (A) | 1,465 | 29 | ||||||
Spartan Stores | 77,688 | 1,203 | ||||||
Spectrum Brands Holdings* | 22,300 | 527 | ||||||
Universal (A) | 12,900 | 462 | ||||||
Village Super Market, Cl A | 761 | 18 | ||||||
Weis Markets | 10,900 | 404 | ||||||
|
| |||||||
13,607 | ||||||||
|
| |||||||
Energy — 4.7% | ||||||||
Approach Resources* (A) | 39,500 | 671 | ||||||
Atwood Oceanics* (A) | 2,300 | 79 | ||||||
Berry Petroleum, Cl A (A) | 43,513 | 1,540 | ||||||
Bill Barrett* | 13,405 | 486 | ||||||
BPZ Resources* (A) | 96,800 | 268 | ||||||
Cal Dive International* | 37,727 | 72 | ||||||
Cloud Peak Energy* (A) | 57,100 | 968 | ||||||
Complete Production Services* | 24,625 | 464 | ||||||
Comstock Resources* (A) | 45,200 | 699 | ||||||
Energy Partners * | 27,920 | 309 | ||||||
Forest Oil* | 53,300 | 768 | ||||||
GeoMet* | 160,800 | 124 | ||||||
Global Geophysical Services* | 7,060 | 56 | ||||||
Goodrich Petroleum* (A) | 71,358 | 843 | ||||||
Gulfmark Offshore, Cl A* | 15,200 | 552 | ||||||
Key Energy Services* | 134,492 | 1,276 | ||||||
Lone Pine Resources* | 33,000 | 218 | ||||||
Magnum Hunter Resources* (A) | 147,965 | 490 | ||||||
Matrix Service * | 67,400 | 574 | ||||||
Newpark Resources * (A) | 35,880 | 219 | ||||||
Northern Oil And Gas * (A) | 14,860 | 288 | ||||||
Parker Drilling* | 70,800 | 311 | ||||||
Penn Virginia (A) | 52,500 | 292 | ||||||
Scorpio Tankers* (A) | 205,000 | 1,082 | ||||||
SEACOR Holdings | 5,200 | 417 | ||||||
StealthGas* | 54,520 | 214 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Superior Energy Services * | 12,400 | $ | 326 | |||||
Swift Energy* | 48,998 | 1,193 | ||||||
Tesoro* (A) | 37,600 | 732 | ||||||
Tidewater (A) | 20,000 | 841 | ||||||
USEC* (A) | 134,800 | 217 | ||||||
W&T Offshore (A) | 15,400 | 212 | ||||||
Western Refining * (A) | 33,800 | 421 | ||||||
World Fuel Services | 25,400 | 829 | ||||||
|
| |||||||
18,051 | ||||||||
|
| |||||||
Financials — 34.7% | ||||||||
1st Source | 30,000 | 625 | ||||||
Abington Bancorp | 1,100 | 8 | ||||||
Advance America Cash Advance Centers | 85,800 | 632 | ||||||
Agree Realty † (A) | 10,300 | 224 | ||||||
Alliance Financial (A) | 2,000 | 56 | ||||||
Allied World Assurance Holdings | 7,900 | 424 | ||||||
Alterra Capital Holdings (A) | 44,900 | 852 | ||||||
American Campus Communities † | 9,100 | 339 | ||||||
American Capital Agency † (A) | 33,000 | 894 | ||||||
American Equity Investment Life Holding (A) | 45,500 | 398 | ||||||
Ameris Bancorp* | 12,644 | 110 | ||||||
Ames National (A) | 250 | 4 | ||||||
Anworth Mortgage Asset † | 128,000 | 870 | ||||||
Apartment Investment & Management, Cl A † | 52,015 | 1,151 | ||||||
Ashford Hospitality Trust † (A) | 56,700 | 398 | ||||||
Aspen Insurance Holdings | 16,000 | 369 | ||||||
Astoria Financial | 27,200 | 209 | ||||||
AvalonBay Communities † (A) | 12,719 | 1,451 | ||||||
Bancfirst (A) | 4,400 | 146 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 48,250 | 735 | ||||||
Bancorp* | 13,600 | 97 | ||||||
Bancorp Rhode Island | 1,600 | 68 | ||||||
Bancorpsouth (A) | 74,407 | 653 | ||||||
Bank of Kentucky Financial | 1,600 | 32 | ||||||
Bank of Marin Bancorp (A) | 2,000 | 66 | ||||||
Bank of the Ozarks | 29,940 | 627 | ||||||
BankFinancial | 6,350 | 42 | ||||||
Banner (A) | 13,850 | 177 | ||||||
Beneficial Mutual Bancorp* | 8,600 | 64 | ||||||
Berkshire Hills Bancorp | 30,255 | 559 | ||||||
BGC Partners, Cl A (A) | 33,900 | 204 | ||||||
BioMed Realty Trust † (A) | 104,392 | 1,730 | ||||||
BofI Holding* | 1,450 | 19 | ||||||
Boston Private Financial Holdings (A) | 295,228 | 1,736 | ||||||
Boston Properties † (A) | 9,885 | 881 | ||||||
Brandywine Realty Trust † | 132,705 | 1,063 | ||||||
Brookline Bancorp (A) | 20,700 | 160 | ||||||
Bryn Mawr Bank | 5,500 | 91 | ||||||
Camden National | 13,750 | 374 | ||||||
Campus Crest Communities † | 118,800 | 1,292 | ||||||
Cape Bancorp* | 1,650 | 12 | ||||||
Capital City Bank Group (A) | 5,850 | 61 | ||||||
CapLease † | 102,100 | 369 | ||||||
Capstead Mortgage † (A) | 32,600 | 376 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cardinal Financial | 50,411 | $ | 435 | |||||
Cathay General Bancorp (A) | 22,200 | 253 | ||||||
CBL & Associates Properties † (A) | 96,341 | 1,094 | ||||||
Central Pacific Financial* | 13,300 | 137 | ||||||
Chatham Lodging Trust † | 27,600 | 274 | ||||||
Chemical Financial | 10,100 | 155 | ||||||
Citizens & Northern | 4,300 | 64 | ||||||
Citizens Republic Bancorp* | 6,123 | 42 | ||||||
City Holding (A) | 7,250 | 196 | ||||||
CNB Financial (A) | 1,400 | 18 | ||||||
CNO Financial Group* | 291,900 | 1,579 | ||||||
CoBiz Financial | 153,110 | 684 | ||||||
Colonial Properties Trust † (A) | 44,608 | 810 | ||||||
Columbia Banking System | 13,600 | 195 | ||||||
CommonWealth † | 53,529 | 1,015 | ||||||
Community Bank System (A) | 16,500 | 374 | ||||||
Community Trust Bancorp | 19,950 | 465 | ||||||
Corporate Office Properties Trust † (A) | 33,100 | 721 | ||||||
CreXus Investment † | 89,600 | 796 | ||||||
CVB Financial (A) | 97,331 | 748 | ||||||
CYS Investments † (A) | 30,400 | 368 | ||||||
Delphi Financial Group, Cl A | 34,300 | 738 | ||||||
Dime Community Bancshares | 19,700 | 200 | ||||||
DuPont Fabros Technology † (A) | 29,920 | 589 | ||||||
Dynex Capital † (A) | 43,600 | 351 | ||||||
Eagle Bancorp* | 70,472 | 829 | ||||||
Education Realty Trust † | 163,464 | 1,404 | ||||||
Employers Holdings | 89,007 | 1,136 | ||||||
Encore Bancshares* (A) | 47,490 | 506 | ||||||
Encore Capital Group* | 14,800 | 323 | ||||||
Endurance Specialty Holdings | 48,384 | 1,652 | ||||||
Enterprise Bancorp | 1,150 | 14 | ||||||
Enterprise Financial Services | 6,700 | 91 | ||||||
Equity One † (A) | 56,236 | 892 | ||||||
Equity Residential † | 39,100 | 2,028 | ||||||
ESB Financial | 1,490 | 16 | ||||||
ESSA Bancorp (A) | 27,200 | 286 | ||||||
Excel Trust † | 74,161 | 713 | ||||||
Extra Space Storage † | 27,986 | 521 | ||||||
FBL Financial Group, Cl A (A) | 26,800 | 714 | ||||||
FBR* | 269,600 | 642 | ||||||
Federal Realty Investment Trust † (A) | 3,804 | 314 | ||||||
Federated Investors, Cl B (A) | 41,235 | 723 | ||||||
Financial Institutions | 6,900 | 98 | ||||||
First Bancorp (A) | 9,200 | 96 | ||||||
First BanCorp* (A) | 1,880 | 5 | ||||||
First Busey (A) | 37,000 | 161 | ||||||
First Commonwealth Financial | 59,550 | 220 | ||||||
First Community Bancshares (A) | 8,550 | 87 | ||||||
First Defiance Financial* | 3,000 | 40 | ||||||
First Financial (A) | 5,300 | 146 | ||||||
First Financial Bancorp (A) | 77,923 | 1,075 | ||||||
First Financial Holdings | 19,556 | 78 | ||||||
First Horizon National | 119,055 | 710 | ||||||
First Interstate Bancsystem, Cl A | 10,700 | 115 | ||||||
First Merchants | 25,950 | 183 | ||||||
First Midwest Bancorp | 132,499 | 970 | ||||||
First of Long Island | 650 | 15 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
First Potomac Realty Trust † | 63,710 | $ | 794 | |||||
FirstMerit | 154,878 | 1,759 | ||||||
Flagstar Bancorp* | 5,240 | 3 | ||||||
Flushing Financial | 66,800 | 721 | ||||||
FNB (Pennsylvania) (A) | 63,300 | 542 | ||||||
Franklin Financial* | 50 | — | ||||||
General Growth Properties † | 65,582 | 794 | ||||||
German American Bancorp | 2,300 | 37 | ||||||
GFI Group | 88,900 | 357 | ||||||
Glacier Bancorp (A) | 6,350 | 60 | ||||||
Global Indemnity, Cl A* | 48,500 | 828 | ||||||
Government Properties Income Trust † | 27,000 | 581 | ||||||
Great American Group* | 172,900 | 17 | ||||||
Great Southern Bancorp (A) | 4,500 | 76 | ||||||
Hancock Holding (A) | 84,915 | 2,274 | ||||||
Hanover Insurance Group | 27,440 | 974 | ||||||
Hatteras Financial † (A) | 41,500 | 1,044 | ||||||
HCP † | 53,262 | 1,867 | ||||||
Health Care † (A) | 16,300 | 763 | ||||||
Heartland Financial USA (A) | 4,600 | 65 | ||||||
Hercules Technology Growth Capital (A) | 11,800 | 101 | ||||||
Heritage Commerce* | 3,500 | 13 | ||||||
Heritage Financial | 5,350 | 59 | ||||||
Highwoods Properties † (A) | 49,545 | 1,400 | ||||||
Home Bancshares | 56,000 | 1,188 | ||||||
Horace Mann Educators | 81,980 | 935 | ||||||
Hospitality Properties Trust † | 18,600 | 395 | ||||||
Host Hotels & Resorts † | 100,806 | 1,103 | ||||||
Hudson Valley Holding | 7,060 | 123 | ||||||
IBERIABANK (A) | 23,209 | 1,092 | ||||||
Independent Bank (A) | 250 | 5 | ||||||
Infinity Property & Casualty (A) | 31,113 | 1,633 | ||||||
International Bancshares (A) | 65,750 | 865 | ||||||
Investors Bancorp* | 25,700 | 325 | ||||||
Kennedy-Wilson Holdings (A) | 42,700 | 453 | ||||||
Lakeland Bancorp (A) | 10,085 | 79 | ||||||
Lakeland Financial | 8,100 | 167 | ||||||
LaSalle Hotel Properties † (A) | 36,780 | 706 | ||||||
Lexington Realty Trust † (A) | 101,000 | 661 | ||||||
Liberty Property Trust † (A) | 12,931 | 376 | ||||||
Macerich † | 15,211 | 648 | ||||||
Mack-Cali Realty † | 29,611 | 792 | ||||||
Maiden Holdings | 138,500 | 1,024 | ||||||
MainSource Financial Group (A) | 66,007 | 576 | ||||||
MB Financial | 25,200 | 371 | ||||||
Meadowbrook Insurance Group (A) | 287,673 | 2,563 | ||||||
Merchants Bancshares | 1,000 | 27 | ||||||
Meridian Interstate Bancorp* | 2,900 | 32 | ||||||
Metro Bancorp* | 8,700 | 75 | ||||||
MFA Financial † | 156,845 | 1,101 | ||||||
Mid-America Apartment Communities † (A) | 29,555 | 1,780 | ||||||
Midsouth Bancorp | 1,150 | 12 | ||||||
Montpelier Re Holdings | 23,800 | 421 | ||||||
Nara Bancorp* | 34,100 | 207 | ||||||
National Bankshares (A) | 2,100 | 51 | ||||||
National Financial Partners* (A) | 55,865 | 611 | ||||||
National Penn Bancshares (A) | 151,101 | 1,059 | ||||||
National Retail Properties † (A) | 30,610 | 823 |
Description | Shares | Market Value ($ Thousands) | ||||||
NBT Bancorp | 13,700 | $ | 255 | |||||
Nelnet, Cl A | 71,800 | 1,348 | ||||||
Northwest Bancshares (A) | 18,475 | 220 | ||||||
OceanFirst Financial | 35,100 | 410 | ||||||
Ocwen Financial* (A) | 109,300 | 1,444 | ||||||
Old National Bancorp | 112,239 | 1,046 | ||||||
Oriental Financial Group | 33,900 | 328 | ||||||
Oritani Financial | 3,200 | 41 | ||||||
Orrstown Financial Services | 2,700 | 35 | ||||||
Pacific Continental | 3,400 | 24 | ||||||
PacWest Bancorp (A) | 70,407 | 981 | ||||||
Park National (A) | 6,299 | 333 | ||||||
Pebblebrook Hotel Trust † | 21,400 | 335 | ||||||
Pennsylvania † (A) | 28,000 | 216 | ||||||
Peoples Bancorp (A) | 3,700 | 41 | ||||||
PHH* | 21,700 | 349 | ||||||
Pico Holdings* | 30,500 | 626 | ||||||
Piedmont Office Realty Trust, Cl A † (A) | 30,263 | 489 | ||||||
Pinnacle Financial Partners* (A) | 23,000 | 252 | ||||||
Platinum Underwriters Holdings | 85,574 | 2,631 | ||||||
Potlatch † (A) | 11,400 | 359 | ||||||
Presidential Life | 13,900 | 114 | ||||||
PrivateBancorp, Cl A (A) | 26,300 | 198 | ||||||
ProAssurance (A) | 27,463 | 1,978 | ||||||
ProLogis † | 63,244 | 1,534 | ||||||
Prosperity Bancshares (A) | 33,485 | 1,094 | ||||||
Provident Financial Services (A) | 29,650 | 319 | ||||||
Public Storage † | 7,057 | 786 | ||||||
Radian Group (A) | 9,950 | 22 | ||||||
RAIT Financial Trust † (A) | 9,799 | 33 | ||||||
Regency Centers † (A) | 22,531 | 796 | ||||||
Reinsurance Group of America, Cl A | 17,680 | 812 | ||||||
Renasant (A) | 43,500 | 554 | ||||||
Republic Bancorp, Cl A (A) | 43,600 | 772 | ||||||
Rockville Financial | 1,051 | 10 | ||||||
S&T Bancorp (A) | 13,000 | 210 | ||||||
Safeguard Scientifics* | 62,442 | 937 | ||||||
Safety Insurance Group | 3,470 | 131 | ||||||
Sandy Spring Bancorp | 40,596 | 594 | ||||||
SCBT Financial | 26,900 | 664 | ||||||
Selective Insurance Group | 26,700 | 349 | ||||||
Sierra Bancorp (A) | 36,800 | 337 | ||||||
Signature Bank NY* (A) | 8,452 | 403 | ||||||
Simmons First National, Cl A | 21,300 | 462 | ||||||
Simon Property Group † | 18,294 | 2,012 | ||||||
SL Green Realty † (A) | 18,042 | 1,049 | ||||||
Southside Bancshares (A) | 29,181 | 526 | ||||||
Southwest Bancorp | 16,750 | 71 | ||||||
StanCorp Financial Group (A) | 7,800 | 215 | ||||||
Starwood Property Trust † (A) | 21,100 | 362 | ||||||
State Bancorp | 7,500 | 79 | ||||||
State Bank Financial* (A) | 12,150 | 153 | ||||||
StellarOne | 9,800 | 98 | ||||||
Sterling Financial* (A) | 9,150 | 113 | ||||||
Suffolk Bancorp | 6,050 | 50 | ||||||
Susquehanna Bancshares (A) | 50,600 | 277 | ||||||
SVB Financial Group * | 6,500 | 241 | ||||||
SWS Group | 55,900 | 262 | ||||||
Synovus Financial (A) | 179,153 | 192 | ||||||
TCF Financial (A) | 91,218 | 836 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Territorial Bancorp | 4,500 | $ | 86 | |||||
Texas Capital Bancshares* | 3,200 | 73 | ||||||
THL Credit | 43,900 | 479 | ||||||
Tompkins Financial, Cl US (A) | 2,820 | 101 | ||||||
Trico Bancshares | 5,500 | 67 | ||||||
Trustco Bank NY (A) | 46,800 | 209 | ||||||
Trustmark (A) | 16,200 | 294 | ||||||
UMB Financial | 8,300 | 266 | ||||||
Umpqua Holdings (A) | 21,550 | 189 | ||||||
Union First Market Bankshares | 10,100 | 108 | ||||||
United Bankshares (A) | 6,600 | 133 | ||||||
United Financial Bancorp | 29,900 | 409 | ||||||
Univest Corp of Pennsylvania | 3,500 | 47 | ||||||
Validus Holdings | 44,800 | 1,117 | ||||||
Ventas † (A) | 30,319 | 1,498 | ||||||
Verde Realty PIPE* (B) (C) | 21,100 | 356 | ||||||
ViewPoint Financial Group | 87,400 | 1,001 | ||||||
Virginia Commerce Bancorp* (A) | 17,000 | 100 | ||||||
Walter Investment Management | 22,700 | 521 | ||||||
Washington Banking (A) | 7,000 | 68 | ||||||
Washington Real Estate Investment Trust † (A) | 29,800 | 840 | ||||||
Washington Trust Bancorp | 3,550 | 70 | ||||||
Webster Financial | 69,270 | 1,060 | ||||||
WesBanco | 12,500 | 216 | ||||||
West Bancorporation | 4,900 | 42 | ||||||
West Coast Bancorp* (A) | 12,180 | 171 | ||||||
Westamerica Bancorporation (A) | 900 | 35 | ||||||
Western Alliance Bancorp* (A) | 272,775 | 1,495 | ||||||
Wilshire Bancorp* (A) | 36,800 | 101 | ||||||
Wintrust Financial (A) | 11,200 | 289 | ||||||
WSFS Financial | 33,723 | 1,065 | ||||||
Zions Bancorporation (A) | 80,350 | 1,131 | ||||||
|
| |||||||
132,205 | ||||||||
|
| |||||||
Health Care — 4.7% | ||||||||
Accuray* (A) | 112,600 | 453 | ||||||
Alere* (A) | 33,400 | 656 | ||||||
AMN Healthcare Services* | 82,400 | 330 | ||||||
Amsurg* | 37,110 | 835 | ||||||
Cambrex* | 110,700 | 558 | ||||||
Conmed* | 64,910 | 1,494 | ||||||
Continucare* | 82,000 | 523 | ||||||
Cross Country Healthcare* | 24,700 | 103 | ||||||
Enzon Pharmaceuticals* (A) | 36,200 | 255 | ||||||
eResearchTechnology* | 139,400 | 621 | ||||||
Five Star Quality Care* | 56,519 | 141 | ||||||
Greatbatch* | 28,880 | 578 | ||||||
Healthsouth* (A) | 65,450 | 977 | ||||||
Hi-Tech Pharmacal* | 8,400 | 282 | ||||||
ICON ADR* | 21,376 | 344 | ||||||
ICU Medical* (A) | 6,958 | 256 | ||||||
Invacare (A) | 28,204 | 650 | ||||||
Kensey Nash* | 7,800 | 191 | ||||||
Kindred Healthcare* (A) | 40,300 | 347 | ||||||
Kinetic Concepts* (A) | 1,400 | 92 | ||||||
Magellan Health Services* | 29,035 | 1,402 | ||||||
Medical Action Industries* | 104,800 | 529 | ||||||
Medicines* | 25,900 | 386 | ||||||
Mednax * | 12,035 | 754 |
Description | Shares | Market Value ($ Thousands) | ||||||
Metropolitan Health Networks* (A) | 115,400 | $ | 524 | |||||
Natus Medical* | 52,900 | 503 | ||||||
Par Pharmaceutical* | 30,200 | 804 | ||||||
PDL BioPharma (A) | 64,700 | 359 | ||||||
PharMerica* | 8,100 | 116 | ||||||
Providence Service * | 110,220 | 1,174 | ||||||
Skilled Healthcare Group, Cl A* | 64,200 | 232 | ||||||
STERIS | 27,905 | 817 | ||||||
Sun Healthcare Group* (A) | 51,300 | 139 | ||||||
Symmetry Medical* | 61,600 | 475 | ||||||
|
| |||||||
17,900 | ||||||||
|
| |||||||
Industrials — 17.8% | ||||||||
AAR (A) | 14,000 | 233 | ||||||
ABM Industries (A) | 31,700 | 604 | ||||||
Aegean Marine Petroleum Network (A) | 165,100 | 745 | ||||||
Air Transport Services Group* | 76,600 | 332 | ||||||
Aircastle (A) | 72,200 | 687 | ||||||
Alamo Group | 17,000 | 353 | ||||||
Alaska Air Group* | 21,000 | 1,182 | ||||||
Allegiant Travel, Cl A* | 8,600 | 405 | ||||||
Ampco-Pittsburgh | 23,400 | 479 | ||||||
Astec Industries* | 21,900 | 641 | ||||||
Atlas Air Worldwide Holdings* | 18,200 | 606 | ||||||
BE Aerospace* | 17,308 | 573 | ||||||
Belden | 53,382 | 1,377 | ||||||
Brady, Cl A | 50,634 | 1,338 | ||||||
Briggs & Stratton (A) | 23,784 | 321 | ||||||
Cascade | 11,400 | 381 | ||||||
Clean Harbors* | 14,554 | 747 | ||||||
Columbus McKinnon* | 80,520 | 882 | ||||||
Comfort Systems USA | 62,300 | 518 | ||||||
Consolidated Graphics* | 11,500 | 420 | ||||||
Corrections Corp of America* | 15,600 | 354 | ||||||
Courier (A) | 19,544 | 128 | ||||||
CRA International* | 15,400 | 308 | ||||||
Cubic | 15,711 | 614 | ||||||
Curtiss-Wright | 23,600 | 680 | ||||||
Deluxe | 25,800 | 480 | ||||||
EMCOR Group | 116,918 | 2,377 | ||||||
Encore Wire | 5,200 | 107 | ||||||
EnPro Industries* (A) | 10,300 | 306 | ||||||
ESCO Technologies | 30,490 | 777 | ||||||
Flow International* | 53,000 | 117 | ||||||
Force Protection* | 90,500 | 348 | ||||||
FTI Consulting* (A) | 75,600 | 2,783 | ||||||
G&K Services | 66,621 | 1,702 | ||||||
Genco Shipping & Trading* (A) | 21,500 | 168 | ||||||
General Cable* | 23,875 | 558 | ||||||
Geo Group* | 127,400 | 2,365 | ||||||
Global Power Equipment Group* (A) | 22,600 | 526 | ||||||
GrafTech International* (A) | 13,800 | 175 | ||||||
Granite Construction (A) | 33,500 | 629 | ||||||
Harsco | 6,900 | 134 | ||||||
Hawaiian Holdings* (A) | 317,620 | 1,337 | ||||||
ICF International* | 28,100 | 529 | ||||||
IDEX | 18,327 | 571 | ||||||
Interface, Cl A | 87,392 | 1,036 | ||||||
John Bean Technologies | 22,340 | 319 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Kadant* | 52,285 | $ | 929 | |||||
Kaydon | 86,422 | 2,479 | ||||||
Kforce* | 40,300 | 395 | ||||||
Kirby* | 9,000 | 474 | ||||||
Marten Transport | 27,930 | 482 | ||||||
Miller Industries | 22,200 | 385 | ||||||
Moog, Cl A* | 21,070 | 687 | ||||||
Mueller Industries (A) | 23,600 | 911 | ||||||
NACCO Industries, Cl A | 6,500 | 412 | ||||||
Navigant Consulting* | 120,700 | 1,119 | ||||||
NN* | 26,300 | 133 | ||||||
Northwest Pipe* | 15,595 | 316 | ||||||
Orion Marine Group* (A) | 188,239 | 1,086 | ||||||
Quad | 21,200 | 383 | ||||||
Quanex Building Products (A) | 80,525 | 882 | ||||||
Rand Logistics* | 32,200 | 200 | ||||||
Republic Airways Holdings* (A) | 21,500 | 61 | ||||||
Robbins & Myers | 18,595 | 645 | ||||||
Ryder System | 23,810 | 893 | ||||||
School Specialty* (A) | 95,429 | 680 | ||||||
Simpson Manufacturing | 2,500 | 62 | ||||||
Skywest | 40,400 | 465 | ||||||
Spirit Aerosystems Holdings, Cl A* | 47,600 | 759 | ||||||
Spirit Airlines* (A) | 140,700 | 1,759 | ||||||
Standex International | 11,600 | 361 | ||||||
SYKES Enterprises* | 72,900 | 1,090 | ||||||
TAL International Group (A) | 52,380 | 1,307 | ||||||
Teledyne Technologies* | 35,158 | 1,718 | ||||||
Teleflex (A) | 37,066 | 1,993 | ||||||
Tetra Tech* | 117,416 | 2,200 | ||||||
TMS International, Cl A* | 44,108 | 321 | ||||||
Towers Watson, Cl A | 38,769 | 2,317 | ||||||
Trinity Industries | 17,000 | 364 | ||||||
Triumph Group (A) | 15,959 | 778 | ||||||
TrueBlue* | 29,900 | 339 | ||||||
Tutor Perini | 138,300 | 1,589 | ||||||
US Airways Group* (A) | 136,400 | 750 | ||||||
VSE (A) | 13,900 | 360 | ||||||
Wabash National* (A) | 344,700 | 1,644 | ||||||
Watts Water Technologies, Cl A (A) | 23,997 | 640 | ||||||
WESCO International* | 16,066 | 539 | ||||||
Woodward | 24,200 | 663 | ||||||
|
| |||||||
67,822 | ||||||||
|
| |||||||
Information Technology — 12.0% | ||||||||
Adtran | 27,760 | 734 | ||||||
Aeroflex Holding* | 115,094 | 1,047 | ||||||
Arris Group* | 33,800 | 348 | ||||||
Arrow Electronics* | 30,200 | 839 | ||||||
Avid Technology* | 56,848 | 440 | ||||||
AVX | 4,000 | 47 | ||||||
Benchmark Electronics* | 59,000 | 768 | ||||||
Black Box | 12,300 | 263 | ||||||
Blue Coat Systems* | 14,043 | 195 | ||||||
Booz Allen Hamilton Holding, Cl A* | 15,389 | 229 | ||||||
Brightpoint* | 55,900 | 515 | ||||||
Brocade Communications Systems* | 242,872 | 1,049 | ||||||
CACI International, Cl A* | 31,429 | 1,570 |
Description | Shares | Market Value ($ Thousands) | ||||||
CDC Software ADR* | 148,600 | $ | 490 | |||||
Ciber* | 323,900 | 981 | ||||||
Coherent* | 29,108 | 1,250 | ||||||
Comtech Telecommunications (A) | 30,660 | 861 | ||||||
CoreLogic* | 37,900 | 404 | ||||||
CSG Systems International* | 34,100 | 431 | ||||||
CTS | 41,000 | 333 | ||||||
Diebold (A) | 80,111 | 2,204 | ||||||
Digi International* | 51,200 | 563 | ||||||
Digital River* (A) | 125,065 | 2,593 | ||||||
Earthlink (A) | 237,535 | 1,551 | ||||||
Emulex* | 125,471 | 803 | ||||||
Entegris* | 88,300 | 563 | ||||||
Fairchild Semiconductor International* | 54,700 | 591 | ||||||
GT Advanced Technologies* (A) | 61,400 | 431 | ||||||
Hackett Group* | 221,140 | 825 | ||||||
Imation* (A) | 30,500 | 223 | ||||||
Inphi* | 43,540 | 382 | ||||||
Integrated Device Technology* (A) | 134,041 | 690 | ||||||
Intermec* | 142,501 | 929 | ||||||
Intersil, Cl A (A) | 106,700 | 1,098 | ||||||
Ixia* | 37,400 | 287 | ||||||
j2 Global Communications (A) | 28,833 | 776 | ||||||
Lattice Semiconductor* | 60,200 | 316 | ||||||
Lexmark International, Cl A* | 33,700 | 911 | ||||||
Littelfuse | 13,349 | 537 | ||||||
Manhattan Associates* | 27,200 | 900 | ||||||
Mantech International, Cl A (A) | 22,300 | 700 | ||||||
MicroStrategy, Cl A* | 5,500 | 627 | ||||||
Monolithic Power Systems* | 43,399 | 442 | ||||||
Multi-Fineline Electronix* | 21,400 | 427 | ||||||
Orbotech* | 16,400 | 159 | ||||||
Parametric Technology* | 88,789 | 1,365 | ||||||
Photronics* (A) | 98,200 | 489 | ||||||
Plantronics (A) | 13,100 | 373 | ||||||
Power-One* (A) | 70,500 | 317 | ||||||
Progress Software* | 52,150 | 915 | ||||||
QLogic* | 44,100 | 559 | ||||||
Radisys* | 27,700 | 169 | ||||||
Rosetta Stone* (A) | 27,200 | 249 | ||||||
Rudolph Technologies* | 31,000 | 207 | ||||||
Saba Software* | 40,100 | 231 | ||||||
Silicon Laboratories* (A) | 19,625 | 658 | ||||||
SYNNEX* (A) | 10,600 | 278 | ||||||
Synopsys* | 41,010 | 999 | ||||||
Tech Data* | 30,200 | 1,306 | ||||||
TeleCommunication Systems, Cl A* | 73,598 | 254 | ||||||
TNS* | 50,747 | 954 | ||||||
Ultra Clean Holdings* (A) | 70,915 | 304 | ||||||
Ultratech* | 45,400 | 779 | ||||||
United Online (A) | 88,200 | 461 | ||||||
Websense* (A) | 32,700 | 566 | ||||||
Xyratex (A) | 111,354 | 1,032 | ||||||
Zebra Technologies, Cl A* | 28,846 | 893 | ||||||
|
| |||||||
45,784 | ||||||||
|
|
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 5.6% | ||||||||
Aptargroup | 10,855 | $ | 485 | |||||
Boise (A) | 58,800 | 304 | ||||||
Buckeye Technologies (A) | 26,300 | 634 | ||||||
Cytec Industries | 16,228 | 570 | ||||||
Eagle Materials | 17,200 | 286 | ||||||
Ferro* | 83,171 | 512 | ||||||
Glatfelter | 40,900 | 540 | ||||||
Globe Specialty Metals | 60,000 | 871 | ||||||
Greif, Cl A | 13,791 | 592 | ||||||
H.B. Fuller | 72,900 | 1,328 | ||||||
Huntsman | 60,754 | 587 | ||||||
Innophos Holdings | 31,757 | 1,266 | ||||||
Innospec* | 21,500 | 521 | ||||||
Minerals Technologies | 25,770 | 1,270 | ||||||
Neenah Paper | 33,700 | 478 | ||||||
NewMarket | 4,800 | 729 | ||||||
OM Group* | 52,104 | 1,353 | ||||||
Owens-Illinois* | 40,705 | 615 | ||||||
Packaging Corp of America | 29,678 | 692 | ||||||
PolyOne | 106,880 | 1,145 | ||||||
RTI International Metals* (A) | 69,348 | 1,617 | ||||||
Schnitzer Steel Industries, Cl A | 8,900 | 328 | ||||||
Schweitzer-Mauduit International | 19,367 | 1,082 | ||||||
Sensient Technologies | 58,655 | 1,909 | ||||||
Silgan Holdings (A) | 22,595 | 830 | ||||||
Stepan | 7,400 | 497 | ||||||
Worthington Industries | 29,400 | 411 | ||||||
|
| |||||||
21,452 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
Atlantic Telegraph-Network | 15,400 | 506 | ||||||
Cincinnati Bell* (A) | 121,000 | 374 | ||||||
Fairpoint Communications* (A) | 102,765 | 442 | ||||||
Neutral Tandem* | 122,100 | 1,182 | ||||||
USA Mobility | 28,700 | 379 | ||||||
|
| |||||||
2,883 | ||||||||
|
| |||||||
Utilities — 4.3% | ||||||||
AGL Resources | 37,383 | 1,523 | ||||||
Allete | 14,000 | 513 | ||||||
Avista | 18,100 | 432 | ||||||
Cadiz* (A) | 57,180 | 452 | ||||||
California Water Service Group | 11,900 | 211 | ||||||
Chesapeake Utilities | 14,271 | 572 | ||||||
Cleco | 28,200 | 963 | ||||||
Great Plains Energy (A) | 119,752 | 2,311 | ||||||
Idacorp (A) | 17,617 | 666 | ||||||
Northwest Natural Gas | 15,150 | 668 | ||||||
NorthWestern | 11,100 | 354 | ||||||
Portland General Electric | 183,499 | 4,347 | ||||||
Southwest Gas | 18,045 | 653 | ||||||
UIL Holdings (A) | 35,790 | 1,178 | ||||||
Vectren | 12,100 | 328 | ||||||
Westar Energy | 18,258 | 482 | ||||||
WGL Holdings | 19,135 | 748 | ||||||
|
| |||||||
16,401 | ||||||||
|
| |||||||
Total Common Stock | 372,177 | |||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||
iShares Russell 2000 Index Fund | 4,661 | $ | 300 | |||||
|
| |||||||
Total Exchange Traded Fund | 300 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Energy — 0.0% | ||||||||
GeoMet | 18,893 | 160 | ||||||
|
| |||||||
Total Preferred Stock | 160 | |||||||
|
| |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
First Bancorp Expires 11/01/11 | 1,880 | — | ||||||
|
| |||||||
Ligand Pharma Expires 01/05/12 | 108,850 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANT — 0.0% | ||||||||
Magnum Hunter Resources Expires 08/29/14* | 12,327 | — | ||||||
|
| |||||||
Total Warrant | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 26.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**†† (D) | 102,791,837 | 98,987 | ||||||
|
| |||||||
Total Affiliated Partnership | 98,987 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.7% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 10,219,315 | 10,219 | ||||||
|
| |||||||
Total Cash Equivalent | 10,219 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (E)(F) — 0.5% |
| |||||||
U.S. Treasury Bills | ||||||||
0.062%, 12/15/11 | $ | 1,857 | 1,857 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 1,857 | |||||||
|
| |||||||
Total Investments — 126.9% | $ | 483,700 | ||||||
|
|
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2011
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 93 | Dec-2011 | $ | (523 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $381,130 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | 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, 2011. The total market value of securities on loan at September 30, 2011 was $96,575 ($ Thousands). |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $356 ($ Thousands) and represented 0.09% 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, 2011 was $356 ($ Thousands) and represented 0.09% 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, 2011 was $98,987 ($ Thousands). |
(E) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(F) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 371,821 | $ | — | $ | 356 | $ | 372,177 | ||||||||
Exchange Traded Fund | 300 | — | — | 300 | ||||||||||||
Preferred Stock | — | 160 | — | 160 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 98,987 | — | 98,987 | ||||||||||||
Cash Equivalent | 10,219 | — | — | 10,219 | ||||||||||||
U.S. Treasury Obligation | — | 1,857 | — | 1,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 382,340 | $ | 101,004 | $ | 356 | $ | 483,700 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (523 | ) | $ | — | $ | — | $ | (523 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (523 | ) | $ | — | $ | — | $ | (523 | ) | ||||||
|
|
|
|
|
|
|
|
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2011
* | Futures contracts are value at the unrealized depreciation 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, 2010 | $ | 398 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (42 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | — | |||
|
| |||
Ending balance as of September 30, 2011 | $ | 356 | ||
|
| |||
Changes in unrealized gains (losses included in earningsto securities still held at reporting date | $ | (42 | ) | |
|
|
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.8% | ||||||||
Consumer Discretionary — 15.1% | ||||||||
American Axle & Manufacturing | 8,900 | $ | 68 | |||||
American Public Education* (A) | 51,494 | 1,751 | ||||||
Ameristar Casinos | 2,540 | 41 | ||||||
ANN* | 4,300 | 98 | ||||||
BJ’s Restaurants* (A) | 17,000 | 750 | ||||||
Boyd Gaming* (A) | 67,840 | 332 | ||||||
Bravo Brio Restaurant Group* | 30,775 | 512 | ||||||
Brinker International | 24,387 | 510 | ||||||
Cabela’s* (A) | 38,736 | 794 | ||||||
Cato, Cl A | 4,306 | 97 | ||||||
Chipotle Mexican Grill, Cl A* | 9 | 3 | ||||||
CROCS* | 31,900 | 755 | ||||||
Deckers Outdoor* | 8,860 | 826 | ||||||
Denny’s* (A) | 46,800 | 156 | ||||||
Dick’s Sporting Goods* | 28,153 | 942 | ||||||
Domino’s Pizza* | 18,700 | 510 | ||||||
Express | 23,200 | 471 | ||||||
Finish Line, Cl A | 35,700 | 714 | ||||||
Francesca’s Holdings* (A) | 14,900 | 316 | ||||||
Genius Products* | 859 | 1 | ||||||
Gentex | 15,900 | 382 | ||||||
Hibbett Sports* | 14,300 | 485 | ||||||
HomeAway* (A) | 14,200 | 478 | ||||||
HSN (A) | 6,645 | 220 | ||||||
K12* | 18,600 | 474 | ||||||
Knology* | 964 | 12 | ||||||
Life Time Fitness* (A) | 61,983 | 2,284 | ||||||
Live Nation* | 84,716 | 679 | ||||||
LKQ* | 13,910 | 336 | ||||||
Lumber Liquidators Holdings* (A) | 30,600 | 462 | ||||||
Maidenform Brands* | 2,400 | 56 | ||||||
Meritage Homes* (A) | 39,116 | 592 | ||||||
Monro Muffler (A) | 10,250 | 338 | ||||||
Morgans Hotel Group* (A) | 90,500 | 542 | ||||||
Morningstar (A) | 6,200 | 350 | ||||||
National CineMedia | 163,726 | 2,376 | ||||||
NVR* (A) | 1,041 | 629 | ||||||
Orient-Express Hotels, Cl A* | 53,100 | 367 | ||||||
Oxford Industries (A) | 33,900 | 1,163 | ||||||
Pandora Media* | 22,500 | 330 | ||||||
Panera Bread, Cl A* | 4,200 | 437 | ||||||
PetMed Express (A) | 20,700 | 186 | ||||||
Pier 1 Imports* | 60,800 | 594 | ||||||
Quiksilver* | 306,737 | 936 | ||||||
ReachLocal* (A) | 66,725 | 725 | ||||||
Regal Entertainment Group, Cl A (A) | 46,200 | 542 | ||||||
Saks* (A) | 169,955 | 1,487 | ||||||
Select Comfort* (A) | 54,000 | 754 | ||||||
Shutterfly* | 34,871 | 1,436 | ||||||
Sinclair Broadcast Group, Cl A | 13,400 | 96 | ||||||
Skullcandy* (A) | 88,848 | 1,255 | ||||||
Sotheby’s (A) | 9,300 | 256 | ||||||
Strayer Education (A) | 3,100 | 238 | ||||||
Sturm Ruger (A) | 36,420 | 946 | ||||||
Tempur-Pedic International* | 7,300 | 384 | ||||||
Tenneco* | 14,000 | 359 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tesla Motors* (A) | 41,096 | $ | 1,002 | |||||
Texas Roadhouse, Cl A | 34,150 | 451 | ||||||
Titan International (A) | 20,600 | 309 | ||||||
Tractor Supply | 9,400 | 588 | ||||||
True Religion Apparel* | 39,743 | 1,071 | ||||||
Ulta Salon Cosmetics & Fragrance* (A) | 24,200 | 1,506 | ||||||
Universal Technical Institute* | 6,000 | 81 | ||||||
Vail Resorts (A) | 16,700 | 631 | ||||||
Valuevision Media, Cl A* | 24,100 | 57 | ||||||
Vera Bradley* (A) | 26,000 | 937 | ||||||
Warnaco Group* | 5,500 | 254 | ||||||
Zumiez* (A) | 96,588 | 1,691 | ||||||
|
| |||||||
41,411 | ||||||||
|
| |||||||
Consumer Staples — 1.8% | ||||||||
B&G Foods, Cl A | 30,300 | 506 | ||||||
Casey’s General Stores | 6,300 | 275 | ||||||
Chefs’ Warehouse Holdings* | 22,400 | 263 | ||||||
Coca-Cola Bottling Consolidated | 2,500 | 138 | ||||||
Constellation Brands, Cl A* | 39 | 1 | ||||||
Darling International* | 6,500 | 82 | ||||||
Fresh Market* (A) | 30,475 | 1,163 | ||||||
J&J Snack Foods | 7,600 | 365 | ||||||
Lancaster Colony (A) | 26,657 | 1,626 | ||||||
Medifast* (A) | 11,967 | 193 | ||||||
Nu Skin Enterprises, Cl A (A) | 8,300 | 337 | ||||||
|
| |||||||
4,949 | ||||||||
|
| |||||||
Energy — 8.1% | ||||||||
Cabot Oil & Gas | 3,600 | 223 | ||||||
CARBO Ceramics (A) | 4,000 | 410 | ||||||
Carrizo Oil & Gas* (A) | 32,591 | 702 | ||||||
Clayton Williams Energy* (A) | 6,600 | 283 | ||||||
Cloud Peak Energy* (A) | 2,000 | 34 | ||||||
Complete Production Services* | 16,600 | 313 | ||||||
Comstock Resources* (A) | 91,247 | 1,411 | ||||||
CVR Energy* | 32,500 | 687 | ||||||
Dawson Geophysical* | 5,600 | 132 | ||||||
Dresser-Rand Group* | 25,973 | 1,053 | ||||||
Dril-Quip* | 23,100 | 1,245 | ||||||
Endeavour International* | 27,916 | 223 | ||||||
Energy XXI Bermuda* | 1,600 | 34 | ||||||
FX Energy* | 1,400 | 6 | ||||||
GeoResources* (A) | 19,825 | 353 | ||||||
Global Geophysical Services* | 37,327 | 298 | ||||||
Golar LNG | 29,400 | 934 | ||||||
Goodrich Petroleum* (A) | 114,766 | 1,357 | ||||||
Gulfport Energy* | 6,600 | 160 | ||||||
Houston American Energy (A) | 1,800 | 25 | ||||||
Lone Pine Resources* (A) | 43,000 | 284 | ||||||
Lufkin Industries | 100 | 5 | ||||||
Magnum Hunter Resources* (A) | 104,000 | 344 | ||||||
Oasis Petroleum* (A) | 29,500 | 659 | ||||||
Oceaneering International | 13,400 | 474 | ||||||
Oil States International* | 7,100 | 362 | ||||||
OYO Geospace* | 700 | 39 | ||||||
Patriot Coal* (A) | 9,000 | 76 | ||||||
Petroleum Development* (A) | 21,800 | 423 | ||||||
Petroquest Energy* (A) | 17,500 | 96 | ||||||
Pioneer Drilling* | 69,100 | 496 | ||||||
Quicksilver Resources* (A) | 164,886 | 1,250 | ||||||
Resolute Energy* | 34,800 | 395 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Rosetta Resources* (A) | 17,300 | $ | 592 | |||||
Scorpio Tankers* | 75,793 | 400 | ||||||
SM Energy | 6,600 | 400 | ||||||
Stone Energy* | 38,800 | 629 | ||||||
Superior Energy Services* | 34,200 | 897 | ||||||
Swift Energy* | 8,175 | 199 | ||||||
Targa Resources | 29,845 | 888 | ||||||
Tesco (A) | 49,269 | 572 | ||||||
Tetra Technologies* | 29,800 | 230 | ||||||
Vaalco Energy* (A) | 71,460 | 347 | ||||||
Venoco* | 9,800 | 86 | ||||||
W&T Offshore (A) | 47,059 | 647 | ||||||
Western Refining* (A) | 32,100 | 400 | ||||||
World Fuel Services | 40,322 | 1,316 | ||||||
|
| |||||||
22,389 | ||||||||
|
| |||||||
Financials — 7.1% | ||||||||
Affiliated Managers Group* | 13,200 | 1,030 | ||||||
Alexander’s † | 600 | 217 | ||||||
American Assets Trust † | 3,000 | 54 | ||||||
American Campus Communities † | 5,600 | 208 | ||||||
BRE Properties, Cl A † | 8,100 | 343 | ||||||
CapitalSource | 101,951 | 626 | ||||||
Cardtronics* | 47,900 | 1,098 | ||||||
Cash Store Financial Services | 52,895 | 445 | ||||||
City National (A) | 8,300 | 313 | ||||||
Cohen & Steers (A) | 14,800 | 426 | ||||||
Douglas Emmett † (A) | 20,100 | 344 | ||||||
Eaton Vance (A) | 26,831 | 598 | ||||||
Encore Capital Group* | 28,625 | 626 | ||||||
Equity Lifestyle Properties † | 3,838 | 241 | ||||||
Extra Space Storage † | 8,700 | 162 | ||||||
Ezcorp, Cl A* | 4,800 | 137 | ||||||
Financial Engines* (A) | 72,013 | 1,304 | ||||||
First Cash Financial Services* | 1,028 | 43 | ||||||
Greenhill (A) | 14,900 | 426 | ||||||
Home Properties † (A) | 13,700 | 778 | ||||||
IBERIABANK | 9,700 | 457 | ||||||
Investors Real Estate Trust † (A) | 14,800 | 106 | ||||||
Jones Lang LaSalle | 12,998 | 673 | ||||||
Kilroy Realty † | 9,100 | 285 | ||||||
LPL Investment Holdings* (A) | 36,783 | 935 | ||||||
MarketAxess Holdings | 59,592 | 1,551 | ||||||
Mid-America Apartment Communities † | 6,749 | 406 | ||||||
MSCI, Cl A* | 31,065 | 942 | ||||||
Omega Healthcare Investors † (A) | 15,300 | 244 | ||||||
PennantPark Investment (A) | 66,171 | 590 | ||||||
Portfolio Recovery Associates* (A) | 3,300 | 205 | ||||||
Potlatch † | 6,523 | 206 | ||||||
Signature Bank NY* | 15,700 | 749 | ||||||
Stifel Financial* | 25,300 | 672 | ||||||
SVB Financial Group* (A) | 12,619 | 467 | ||||||
Tanger Factory Outlet Centers † | 15,900 | 413 | ||||||
Titanium Asset Management PIPE* (B) (C) | 140,900 | 107 | ||||||
Value Creation* (B) (C) | 145,600 | 145 | ||||||
WisdomTree Investments* (A) | 92,025 | 646 | ||||||
World Acceptance* (A) | 4,300 | 241 | ||||||
|
| |||||||
19,459 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Health Care — 20.6% | ||||||||
Abaxis* (A ) | 21,491 | $ | 492 | |||||
ABIOMED* (A) | 43,000 | 474 | ||||||
Achillion Pharmaceuticals* (A) | 55,614 | 263 | ||||||
Acorda Therapeutics* | 17,600 | 351 | ||||||
Aegerion Pharmaceuticals* | 23,500 | 298 | ||||||
Air Methods* | 7,395 | 471 | ||||||
Align Technology* (A) | 57,332 | 870 | ||||||
Alkermes* | 39,300 | 600 | ||||||
Amarin ADR* | 36,500 | 336 | ||||||
Ardea Biosciences* | 9,000 | 141 | ||||||
Ariad Pharmaceuticals* (A) | 146,600 | 1,289 | ||||||
Arqule* | 39,300 | 198 | ||||||
athenahealth* (A) | 19,990 | 1,190 | ||||||
AVEO Pharmaceuticals* (A) | 68,400 | 1,053 | ||||||
BioMarin Pharmaceuticals* (A) | 17,184 | 548 | ||||||
Bruker BioSciences* | 41,646 | 563 | ||||||
Catalyst Health Solutions* | 10,200 | 588 | ||||||
Centene* | 18,200 | 522 | ||||||
Cepheid* (A) | 27,200 | 1,056 | ||||||
Chemed | 6,792 | 373 | ||||||
Computer Programs & Systems | 8,500 | 562 | ||||||
Cubist Pharmaceuticals* (A) | 58,393 | 2,062 | ||||||
Cyberonics* | 5,800 | 164 | ||||||
Depomed* (A) | 42,800 | 231 | ||||||
Durect* | 147,241 | 237 | ||||||
DynaVox, Cl A* (A) | 74,847 | 269 | ||||||
Emergent Biosolutions* | 47,111 | 727 | ||||||
Emeritus* (A) | 46,000 | 649 | ||||||
Ensign Group | 8,400 | 194 | ||||||
eResearchTechnology* | 2,800 | 13 | ||||||
Exelixis* (A) | 6,600 | 36 | ||||||
Fluidigm* (A) | 34,304 | 478 | ||||||
Gen-Probe* | 12,953 | 742 | ||||||
Haemonetics* | 12,578 | 736 | ||||||
Halozyme Therapeutics* | 88,100 | 541 | ||||||
Hansen Medical* (A) | 148,575 | 493 | ||||||
Health Net* | 23,500 | 557 | ||||||
Healthspring* | 47,400 | 1,728 | ||||||
HeartWare International* (A) | 10,839 | 698 | ||||||
Hill-Rom Holdings | 16,600 | 498 | ||||||
HMS Holdings* | 29,800 | 727 | ||||||
Idenix Pharmaceuticals* | 43,100 | 215 | ||||||
Immunogen* (A) | 18,000 | 197 | ||||||
Impax Laboratories* | 33,700 | 603 | ||||||
Imris* | 92,957 | 363 | ||||||
Incyte* (A) | 53,763 | 751 | ||||||
Insulet* (A) | 73,425 | 1,121 | ||||||
InterMune* | 8,400 | 170 | ||||||
IPC The Hospitalist* | 23,275 | 831 | ||||||
Ironwood Pharmaceuticals, Cl A* | 12,200 | 132 | ||||||
ISTA Pharmaceuticals* | 57,800 | 199 | ||||||
Jazz Pharmaceuticals* (A) | 17,200 | 714 | ||||||
MAKO Surgical* | 9,500 | 325 | ||||||
MAP Pharmaceuticals* | 14,800 | 216 | ||||||
Masimo (A) | 75,364 | 1,632 | ||||||
Medcath* | 360 | 5 | ||||||
Medicines* | 16,900 | 251 | ||||||
Medicis Pharmaceutical, Cl A | 12,000 | 438 | ||||||
Medivation* | 6,374 | 108 | ||||||
Mednax* | 5,200 | 326 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
MELA Sciences* (A) | 44,500 | $ | 197 | |||||
Momenta Pharmaceuticals* | 354 | 4 | ||||||
MWI Veterinary Supply* | 12,556 | 864 | ||||||
Myriad Genetics* | 59,279 | 1,111 | ||||||
Nektar Therapeutics* (A) | 41,900 | 203 | ||||||
Neogen* | 3,600 | 125 | ||||||
Neoprobe* (A) | 91,400 | 271 | ||||||
Neurocrine Biosciences* | 25,500 | 153 | ||||||
NPS Pharmaceuticals* | 40,327 | 263 | ||||||
NuVasive* (A) | 77,402 | 1,321 | ||||||
NxStage Medical* (A) | 56,150 | 1,171 | ||||||
Omnicare (A) | 31,675 | 805 | ||||||
Omnicell* | 122,188 | 1,684 | ||||||
Onyx Pharmaceuticals* | 14,500 | 435 | ||||||
Optimer Pharmaceuticals* | 18,000 | 249 | ||||||
Pain Therapeutics (A) | 8,400 | 40 | ||||||
Pharmacyclics* | 15,700 | 186 | ||||||
Pharmasset* | 2,200 | 181 | ||||||
PSS World Medical* (A) | 51,837 | 1,021 | ||||||
Questcor Pharmaceuticals* (A) | 86,300 | 2,353 | ||||||
Quidel* (A) | 55,413 | 907 | ||||||
Rigel Pharmaceuticals* | 12,900 | 95 | ||||||
Sagent Pharmaceuticals* (A) | 23,800 | 482 | ||||||
Salix Pharmaceuticals* | 38,439 | 1,138 | ||||||
Seattle Genetics* (A) | 22,629 | 431 | ||||||
Sirona Dental Systems* | 13,200 | 560 | ||||||
Spectrum Pharmaceuticals* (A) | 70,000 | 534 | ||||||
STERIS | 21,152 | 619 | ||||||
Sunrise Senior Living* (A) | 113,500 | 526 | ||||||
SXC Health Solutions* | 12,400 | 691 | ||||||
Syneron Medical* | 67,209 | 666 | ||||||
Targacept* | 13,800 | 207 | ||||||
Techne | 13,340 | 907 | ||||||
Theravance* (A) | 10,300 | 207 | ||||||
Thoratec* | 12,950 | 423 | ||||||
Tornier BV* (A) | 33,763 | 692 | ||||||
Viropharma* (A) | 16,400 | 296 | ||||||
Volcano* | 15,600 | 462 | ||||||
WellCare Health Plans* | 9,900 | 376 | ||||||
Zoll Medical* | 33,800 | 1,276 | ||||||
|
| |||||||
56,747 | ||||||||
|
| |||||||
Industrials — 17.1% | ||||||||
Acacia Research - Acacia Technologies* | 14,600 | 525 | ||||||
Actuant, Cl A | 22,800 | 450 | ||||||
Acuity Brands | 17,400 | 627 | ||||||
AerCap Holdings* | 147,922 | 1,467 | ||||||
Alaska Air Group* | 3,200 | 180 | ||||||
Allegiant Travel, Cl A* | 1,000 | 47 | ||||||
Ametek | 13,000 | 429 | ||||||
APAC Customer Services* | 17,871 | 152 | ||||||
Applied Industrial Technologies | 19,300 | 524 | ||||||
Armstrong World Industries (A) | 4,965 | 171 | ||||||
Atlas Air Worldwide Holdings* | 8,900 | 296 | ||||||
Avis Budget Group* (A) | 65,100 | 630 | ||||||
Belden | 14,600 | 377 | ||||||
Carlisle | 16,100 | 513 | ||||||
Celadon Group | 50,788 | 451 | ||||||
Clean Harbors* | 12,800 | 657 | ||||||
Consolidated Graphics* | 5,500 | 201 | ||||||
Copa Holdings, Cl A | 6,249 | 383 |
Description | Shares | Market Value ($ Thousands) | ||||||
Corporate Executive Board | 13,275 | $ | 396 | |||||
CoStar Group* (A) | 41,011 | 2,131 | ||||||
Cubic | 14,440 | 564 | ||||||
DigitalGlobe* | 28,700 | 558 | ||||||
Dollar Thrifty Automotive Group* | 4,500 | 253 | ||||||
Dynamic Materials | 39,555 | 623 | ||||||
EnerSys* | 22,000 | 440 | ||||||
Exponent* | 2,200 | 91 | ||||||
Franklin Electric | 3,800 | 138 | ||||||
FTI Consulting* (A) | 12,050 | 444 | ||||||
Gardner Denver | 14,516 | 923 | ||||||
Generac Holdings* | 18,442 | 347 | ||||||
General Cable* | 21,600 | 504 | ||||||
Genesee & Wyoming, Cl A* | 13,830 | 643 | ||||||
Graco | 8,500 | 290 | ||||||
Heico, Cl A | 17,458 | 588 | ||||||
HEICO (A) | 19,175 | 944 | ||||||
Hexcel* | 32,300 | 716 | ||||||
Horizon Lines, Cl A (A) | 87,482 | 37 | ||||||
Huron Consulting Group* | 14,099 | 439 | ||||||
IDEX | 16,200 | 505 | ||||||
IHS, Cl A* | 10,005 | 748 | ||||||
InnerWorkings* (A) | 112,244 | 880 | ||||||
Insperity | 3,900 | 87 | ||||||
Interface, Cl A | 79,409 | 942 | ||||||
Kaman | 4,000 | 111 | ||||||
Kelly Services, Cl A | 7,000 | 80 | ||||||
Keyw Holding* | 37,700 | 268 | ||||||
Kirby* | 12,500 | 658 | ||||||
Knight Transportation | 15,600 | 208 | ||||||
Landstar System | 29,074 | 1,150 | ||||||
Lincoln Electric Holdings | 17,200 | 499 | ||||||
Lindsay | 900 | 49 | ||||||
Marten Transport | 39,300 | 678 | ||||||
Middleby* | 17,100 | 1,205 | ||||||
Mistras Group* | 28,100 | 493 | ||||||
Mobile Mini* (A) | 46,274 | 761 | ||||||
Mueller Industries | 3,500 | 135 | ||||||
Old Dominion Freight Line* | 26,900 | 779 | ||||||
Polypore International* | 23,550 | 1,331 | ||||||
Raven Industries | 8,472 | 409 | ||||||
RBC Bearings* | 19,900 | 676 | ||||||
Resources Connection | 56,696 | 554 | ||||||
Ritchie Bros. Auctioneers (A) | 38,346 | 774 | ||||||
Robbins & Myers | 4,900 | 170 | ||||||
Rollins | 27,500 | 515 | ||||||
RPX* | 22,500 | 466 | ||||||
Rush Enterprises, Cl A* (A) | 45,106 | 639 | ||||||
Sauer-Danfoss* | 25,000 | 722 | ||||||
Simpson Manufacturing | 51,500 | 1,284 | ||||||
Standard Parking* | 57,148 | 894 | ||||||
Sun Hydraulics | 8,200 | 167 | ||||||
Tennant (A) | 3,653 | 129 | ||||||
Thermon Group Holdings* | 25,000 | 345 | ||||||
Titan Machinery* | 20,275 | 363 | ||||||
TransDigm Group* | 13,070 | 1,067 | ||||||
Trex* (A) | 26,300 | 421 | ||||||
TrueBlue* | 43,200 | 489 | ||||||
United Rentals* (A) | 76,477 | 1,288 | ||||||
Valmont Industries | 5,700 | 444 | ||||||
Vitran* | 43,355 | 171 | ||||||
Wabash National* (A) | 169,409 | 808 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Wabtec | 30,009 | $ | 1,587 | |||||
Watsco | 9,900 | 506 | ||||||
WESCO International* | 24,188 | 812 | ||||||
Zipcar* (A) | 35,500 | 639 | ||||||
|
| |||||||
47,055 | ||||||||
|
| |||||||
Information Technology — 23.8% | ||||||||
ACI Worldwide* (A) | 23,000 | 633 | ||||||
Adtran | 21,700 | 574 | ||||||
Advent Software* (A) | 30,507 | 636 | ||||||
Amtech Systems* (A) | 24,900 | 199 | ||||||
Ancestry.com* (A) | 51,417 | 1,208 | ||||||
Aruba Networks* (A) | 47,525 | 994 | ||||||
AsiaInfo-Linkage* (A) | 34,994 | 258 | ||||||
Aspen Technology* | 40,400 | 617 | ||||||
Atmel* | 104,544 | 844 | ||||||
Blackbaud | 8,300 | 185 | ||||||
Brightpoint* | 60 | — | ||||||
BroadSoft* (A) | 69,608 | 2,113 | ||||||
Brooks Automation | 6,100 | 50 | ||||||
Cavium* (A) | 21,125 | 571 | ||||||
Ceva* | 71,333 | 1,734 | ||||||
Ciena* (A) | 33,319 | 373 | ||||||
Cognex | 8,100 | 220 | ||||||
Coherent* | 2,200 | 94 | ||||||
CommVault Systems* | 29,814 | 1,105 | ||||||
Concur Technologies* (A) | 25,575 | 952 | ||||||
Constant Contact* (A) | 68,105 | 1,177 | ||||||
Cornerstone OnDemand* (A) | 49,132 | 616 | ||||||
Cymer* (A) | 18,425 | 685 | ||||||
DealerTrack Holdings* | 65,100 | 1,020 | ||||||
DTS* | 46,475 | 1,154 | ||||||
Entegris* | 146,800 | 937 | ||||||
Envestnet* | 42,143 | 421 | ||||||
Euronet Worldwide* | 65,840 | 1,036 | ||||||
Fairchild Semiconductor International* | 41,700 | 450 | ||||||
FARO Technologies* | 1,700 | 54 | ||||||
Forrester Research | 5,404 | 176 | ||||||
Fortinet* | 37,980 | 638 | ||||||
Fusion-io* (A) | 19,760 | 376 | ||||||
Gartner* | 39,208 | 1,367 | ||||||
Glu Mobile* (A) | 190,100 | 401 | ||||||
GT Advanced Technologies* (A) | 37,400 | 263 | ||||||
Hittite Microwave* | 30,100 | 1,466 | ||||||
IAC* | 120 | 5 | ||||||
Informatica* | 5,600 | 229 | ||||||
Inphi* (A) | 131,590 | 1,154 | ||||||
Interactive Intelligence Group* | 8,100 | 220 | ||||||
InterDigital (A) | 10,000 | 466 | ||||||
International Rectifier* (A) | 60,228 | 1,121 | ||||||
IntraLinks Holdings* | 30,300 | 228 | ||||||
Jack Henry & Associates | 52,508 | 1,522 | ||||||
Keynote Systems | 7,600 | 161 | ||||||
Lattice Semiconductor* | 173,100 | 909 | ||||||
LogMein* (A) | 22,700 | 754 | ||||||
Loral Space & Communications* | 600 | 30 | ||||||
LTX-Credence* | 10,566 | 56 | ||||||
Magma Design Automation* | 8,800 | 40 | ||||||
Magnachip Semiconductor* | 22,200 | 149 | ||||||
Manhattan Associates* | 23,800 | 787 | ||||||
MAXIMUS | 30,500 | 1,065 |
Description | Shares | Market Value ($ Thousands) | ||||||
Measurement Specialties* | 46,364 | $ | 1,204 | |||||
Mellanox Technologies* | 53,775 | 1,679 | ||||||
Methode Electronics (A) | 9,100 | 68 | ||||||
Micrel (A) | 30,900 | 293 | ||||||
Micros Systems* | 9,000 | 395 | ||||||
MicroStrategy, Cl A* | 4,891 | 558 | ||||||
MTS Systems | 5,800 | 178 | ||||||
Netgear* | 21,700 | 562 | ||||||
Netlogic Microsystems* | 9,400 | 452 | ||||||
Netscout Systems* | 16,600 | 190 | ||||||
NetSuite* | 22,300 | 602 | ||||||
NIC | 24,600 | 282 | ||||||
Nuance Communications* (A) | 30,100 | 613 | ||||||
OpenTable* (A) | 12,000 | 552 | ||||||
Opnet Technologies | 9,100 | 318 | ||||||
Park Electrochemical | 8,975 | 192 | ||||||
Plantronics (A) | 20,100 | 572 | ||||||
PROS Holdings* | 46,199 | 596 | ||||||
QLIK Technologies* (A) | 52,223 | 1,131 | ||||||
Quest Software* | 237 | 4 | ||||||
Rackspace Hosting* (A) | 14,400 | 492 | ||||||
RealD* (A) | 34,800 | 325 | ||||||
RealPage* (A) | 81,631 | 1,669 | ||||||
Responsys* | 34,550 | 372 | ||||||
Richardson Electronics | 10 | — | ||||||
RightNow Technologies* | 17,980 | 594 | ||||||
Riverbed Technology* | 13,100 | 261 | ||||||
Rosetta Stone* (A) | 57,259 | 524 | ||||||
Sapient | 42,525 | 431 | ||||||
ServiceSource International* (A) | 27,900 | 369 | ||||||
ShoreTel* | 31,000 | 154 | ||||||
Silicon Graphics International* (A) | 24,000 | 286 | ||||||
Silicon Image* | 117,200 | 688 | ||||||
SolarWinds* (A) | 58,000 | 1,277 | ||||||
Sourcefire* (A) | 27,400 | 733 | ||||||
SS&C Technologies Holdings* | 60,274 | 861 | ||||||
SuccessFactors* (A) | 33,175 | 763 | ||||||
Sycamore Networks | 85,253 | 1,539 | ||||||
Syntel | 4,150 | 179 | ||||||
Taleo, Cl A* | 46,200 | 1,188 | ||||||
TeleNav* | 5,100 | 45 | ||||||
TeleTech Holdings* | 24,947 | 380 | ||||||
Teradyne* | 37,100 | 408 | ||||||
TIBCO Software* | 42,000 | 940 | ||||||
Travelzoo* (A) | 20,100 | 442 | ||||||
Trimble Navigation* | 18,731 | 628 | ||||||
Tyler Technologies* | 45,233 | 1,144 | ||||||
Ultimate Software Group* (A) | 4,143 | 194 | ||||||
Universal Display* (A) | 800 | 38 | ||||||
Valueclick* (A) | 21,078 | 328 | ||||||
Veeco Instruments* (A) | 7,093 | 173 | ||||||
VeriFone Holdings* | 5,900 | 207 | ||||||
VirnetX Holding* (A) | 5,300 | 79 | ||||||
VistaPrint* (A) | 67,995 | 1,838 | ||||||
Vocus* | 55,386 | 928 | ||||||
Volterra Semiconductor* | 700 | 13 | ||||||
Websense* (A) | 1,310 | 23 | ||||||
|
| |||||||
65,447 | ||||||||
|
| |||||||
Materials — 3.5% | ||||||||
Balchem (A) | 10,100 | 377 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Clearwater Paper* (A) | 3,000 | $ | 102 | |||||
Commercial Metals | 12,160 | 116 | ||||||
Flotek Industries* (A) | 74,500 | 348 | ||||||
Globe Specialty Metals | 85,153 | 1,236 | ||||||
Golden Star Resources* | 58,500 | 109 | ||||||
Great Basin Gold* (A) | 325,175 | 550 | ||||||
Haynes International | 16,000 | 695 | ||||||
Hecla Mining* (A) | 39,329 | 211 | ||||||
Horsehead Holding* | 153,807 | 1,141 | ||||||
Innophos Holdings | 22,200 | 885 | ||||||
Innospec* | 45,800 | 1,109 | ||||||
LSB Industries* | 13,200 | 378 | ||||||
Materion* | 12,900 | 293 | ||||||
NewMarket | 1,828 | 277 | ||||||
Noranda Aluminum Holding* | 18,700 | 156 | ||||||
PolyOne | 25,100 | 269 | ||||||
Silver Standard Resources* | 35,175 | 645 | ||||||
Solutia* | 27,300 | 351 | ||||||
STR Holdings* (A) | 18,839 | 153 | ||||||
TPC Group* | 3,400 | 68 | ||||||
Worthington Industries (A) | 3,600 | 50 | ||||||
|
| |||||||
9,519 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
AboveNet | 1,900 | 102 | ||||||
Boingo Wireless* (A) | 64,100 | 458 | ||||||
Cogent Communications Group* | 13,495 | 182 | ||||||
IDT, Cl B | 20,200 | 412 | ||||||
SBA Communications, Cl A* | 18,022 | 621 | ||||||
USA Mobility | 10,900 | 144 | ||||||
|
| |||||||
1,919 | ||||||||
|
| |||||||
Total Common Stock | 268,895 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources Expires 08/29/14* | 11,920 | — | ||||||
Rentech Expires 04/25/12* (B)(C) | 19,400 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 31.7% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**†† (D) | 90,211,020 | 87,261 | ||||||
|
| |||||||
Total Affiliated Partnership | 87,261 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 8,480,345 | 8,480 | ||||||
|
| |||||||
Total Cash Equivalent | 8,480 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (E)(F) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.065%, 06/28/12 | $ | 627 | $ | 627 | ||||
0.054%, 12/15/11 | 585 | 585 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,212 | |||||||
|
| |||||||
Total Investments — 133.0% | $ | 365,848 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 94 | Dec-2011 | $ | (247 | ) | |||||||
|
|
For the period ended September 30, 2011, 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 $275,101 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $84,713 ($ Thousands). |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $252 ($ Thousands) and represented 0.09% 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, 2011 was $252 ($ Thousands) and represented 0.09% 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, 2011 was $87,261 ($ Thousands). |
(E) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(F) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
Amounts designated as “—” are $0 or have been rounded to $0.
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 268,643 | $ | — | $ | 252 | $ | 268,895 | ||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 87,261 | — | 87,261 | ||||||||||||
Cash Equivalent | 8,480 | — | — | 8,480 | ||||||||||||
U.S. Treasury Obligations | — | 1,212 | — | 1,212 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 277,123 | $ | 88,473 | $ | 252 | $ | 365,848 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (247 | ) | $ | — | $ | — | $ | (247 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (247 | ) | $ | — | $ | — | $ | (247 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation 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, 2010 | $ | 403 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (296 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | 145 | |||
|
| |||
Ending balance as of September 30, 2011 | $ | 252 | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (296 | ) | |
|
|
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund‡
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.0% | ||||||||
Consumer Discretionary — 14.9% | ||||||||
Aaron’s | 2,100 | $ | 53 | |||||
Abercrombie & Fitch, Cl A | 2,400 | 148 | ||||||
Aeropostale* | 2,250 | 24 | ||||||
AFC Enterprises* (A) | 33,657 | 398 | ||||||
AMC Networks, Cl A* | 7,100 | 227 | ||||||
American Axle & Manufacturing Holdings* | 3,600 | 27 | ||||||
American Eagle Outfitters | 46,089 | 540 | ||||||
American Greetings, Cl A (A) | 32,330 | 598 | ||||||
America’s Car-Mart* | 1,300 | 38 | ||||||
Amerigon* (A) | 3,300 | 42 | ||||||
Ameristar Casinos | 26,278 | 422 | ||||||
ANN* (A) | 14,503 | 331 | ||||||
Arbitron | 800 | 26 | ||||||
Asbury Automotive Group* | 2,900 | 48 | ||||||
Ascena Retail Group* | 1,700 | 46 | ||||||
Ascent Media, Cl A* | 1,500 | 59 | ||||||
Autoliv (A) | 9,302 | 451 | ||||||
Autonation* (A) | 1,905 | 62 | ||||||
Bally Technologies* | 3,100 | 84 | ||||||
Barnes & Noble | 2,584 | 31 | ||||||
Belo, Cl A | 27,708 | 136 | ||||||
Big Lots* | 14,500 | 505 | ||||||
Biglari Holdings* | 90 | 27 | ||||||
BJ’s Restaurants* (A) | 5,100 | 225 | ||||||
Blue Nile* | 3,022 | 107 | ||||||
Bob Evans Farms | 1,700 | 48 | ||||||
Boyd Gaming* (A) | 3,600 | 18 | ||||||
Brinker International | 15,400 | 322 | ||||||
Brown Shoe (A) | 2,700 | 19 | ||||||
Brunswick (A) | 26,520 | 372 | ||||||
Buffalo Wild Wings* | 9,631 | 576 | ||||||
Cabela’s* (A) | 1,900 | 39 | ||||||
Callaway Golf (A) | 29,978 | 155 | ||||||
Capella Education* (A) | 700 | 20 | ||||||
Carmax* | 6,801 | 162 | ||||||
Carter’s* (A) | 2,200 | 67 | ||||||
Cato, Cl A (A) | 9,700 | 219 | ||||||
Central European Media Enterprises, Cl A* | 700 | 6 | ||||||
Cheesecake Factory* (A) | 16,450 | 405 | ||||||
Chico’s FAS | 74,157 | 848 | ||||||
Childrens Place Retail Stores* | 9,535 | 444 | ||||||
Cinemark Holdings (A) | 15,410 | 291 | ||||||
Coinstar* | 1,200 | 48 | ||||||
Columbia Sportswear (A) | 5,960 | 277 | ||||||
Cooper Tire & Rubber | 40,036 | 436 | ||||||
Core-Mark Holding* | 7,675 | 235 | ||||||
Cracker Barrel Old Country Store (A) | 600 | 24 | ||||||
CROCS* (A) | 22,913 | 542 | ||||||
Dana Holding* | 3,100 | 33 | ||||||
Deckers Outdoor* | 4,770 | 445 | ||||||
DeVry | 1,000 | 37 | ||||||
Dick’s Sporting Goods* | 12,500 | 418 | ||||||
Dillard’s, Cl A | 3,400 | 148 | ||||||
DineEquity* | 800 | 31 | ||||||
Dollar Tree* | 7,302 | 549 | ||||||
Domino’s Pizza* | 1,600 | 44 |
Description | Shares | Market Value ($ Thousands) | ||||||
Domino’s Pizza UK & IRL | 64,783 | $ | 450 | |||||
DR Horton | 6,100 | 55 | ||||||
DreamWorks Animation SKG, Cl A* | 600 | 11 | ||||||
DSW, Cl A | 14,079 | 650 | ||||||
Dufry | 2,853 | 251 | ||||||
Eastman Kodak* (A) | 20,965 | 16 | ||||||
Estacio Participacoes | 19,605 | 172 | ||||||
Ethan Allen Interiors (A) | 10,864 | 148 | ||||||
Exide Technologies* | 2,925 | 12 | ||||||
Expedia | 6,400 | 165 | ||||||
Express | 25,500 | 517 | ||||||
Foot Locker | 2,900 | 58 | ||||||
Fossil* | 1,503 | 122 | ||||||
GameStop, Cl A* | 12,600 | 291 | ||||||
Gannett | 14,400 | 137 | ||||||
Gap | 18,002 | 292 | ||||||
Genesco* (A) | 3,700 | 191 | ||||||
Gentex | 2,600 | 62 | ||||||
GNC Holdings, Cl A* | 16,680 | 336 | ||||||
Goodyear Tire & Rubber* | 6,100 | 62 | ||||||
Group 1 Automotive | 1,724 | 61 | ||||||
Guess? | 1,400 | 40 | ||||||
Hanesbrands* | 28,100 | 703 | ||||||
Harley-Davidson | 7,055 | 242 | ||||||
Harman International Industries | 1,600 | 46 | ||||||
Harte-Hanks | 1,800 | 15 | ||||||
Helen of Troy* | 2,400 | 60 | ||||||
hhgregg* (A) | 13,843 | 135 | ||||||
Hibbett Sports* | 10,000 | 339 | ||||||
Hillenbrand | 2,500 | 46 | ||||||
HOT Topic | 4,814 | 37 | ||||||
Iconix Brand Group* | 1,300 | 21 | ||||||
Insight Enterprises* (A) | 9,500 | 144 | ||||||
International Game Technology | 11,848 | 172 | ||||||
International Speedway, Cl A | 7,252 | 166 | ||||||
Interpublic Group | 48,639 | 350 | ||||||
iRobot* | 1,700 | 43 | ||||||
Isle of Capri Casinos* | 3,300 | 16 | ||||||
ITT Educational Services* (A) | 700 | 40 | ||||||
J. Crew* | 500 | — | ||||||
Jakks Pacific (A) | 12,500 | 237 | ||||||
Jarden | 2,100 | 59 | ||||||
John Wiley & Sons, Cl A | 900 | 40 | ||||||
Jones Group | 51,242 | 472 | ||||||
JOS A Bank Clothiers* | 1,000 | 47 | ||||||
Journal Communications, Cl A* (A) | 39,400 | 117 | ||||||
K12* (A) | 14,500 | 369 | ||||||
KB Home | 9,261 | 54 | ||||||
Lamar Advertising, Cl A* | 1,300 | 22 | ||||||
Lear | 2,700 | 116 | ||||||
Leggett & Platt | 2,000 | 40 | ||||||
Lennar, Cl A | 2,600 | 35 | ||||||
Liberty Media - Starz, Cl A* | 600 | 38 | ||||||
Life Time Fitness* (A) | 11,800 | 435 | ||||||
Lincoln Educational Services | 10,300 | 83 | ||||||
Lions Gate Entertainment* | 10,321 | 71 | ||||||
Live Nation* | 5,200 | 42 | ||||||
LKQ* | 13,200 | 319 | ||||||
Lululemon Athletica* | 4,999 | 243 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Lumber Liquidators Holdings* (A) | 19,300 | $ | 291 | |||||
Madison Square Garden, Cl A* | 1,900 | 43 | ||||||
Matthews International, Cl A | 1,200 | 37 | ||||||
MDC Holdings | 2,000 | 34 | ||||||
Men’s Wearhouse (A) | 20,288 | 529 | ||||||
Meredith (A) | 12,060 | 273 | ||||||
Meritage Homes* | 1,800 | 27 | ||||||
Modine Manufacturing* (A) | 2,100 | 19 | ||||||
Mohawk Industries* | 1,400 | 60 | ||||||
Monro Muffler | 1,600 | 53 | ||||||
Morningstar (A) | 300 | 17 | ||||||
National CineMedia | 30,433 | 442 | ||||||
National Presto Industries | 100 | 9 | ||||||
New York Times, Cl A* | 14,227 | 83 | ||||||
Newell Rubbermaid | 45,596 | 541 | ||||||
NVR* | 100 | 60 | ||||||
Office Depot* | 11,200 | 23 | ||||||
OfficeMax* | 6,223 | 30 | ||||||
O’Reilly Automotive* | 10,410 | 694 | ||||||
Orient-Express Hotels, Cl A* (A) | 44,000 | 304 | ||||||
Overstock.com* | 598 | 5 | ||||||
Oxford Industries | 1,400 | 48 | ||||||
Pandora Media* | 16,400 | 240 | ||||||
Panera Bread, Cl A* | 3,700 | 384 | ||||||
Peet’s Coffee & Tea* | 1,000 | 56 | ||||||
Penn National Gaming* | 1,300 | 43 | ||||||
Penske Auto Group (A) | 1,800 | 29 | ||||||
PEP Boys-Manny Moe & Jack (A) | 36,863 | 364 | ||||||
PetSmart | 1,700 | 72 | ||||||
PF Chang’s China Bistro | 400 | 11 | ||||||
Pinnacle Entertainment* | 28,725 | 261 | ||||||
Polaris Industries | 1,000 | 50 | ||||||
Pool | 2,100 | 55 | ||||||
Pulte Homes* | 25,508 | 101 | ||||||
PVH | 1,100 | 64 | ||||||
RadioShack | 17,600 | 204 | ||||||
Red Robin Gourmet Burgers* | 800 | 19 | ||||||
Regal Entertainment Group, Cl A | 1,592 | 19 | ||||||
Regis (A) | 45,363 | 639 | ||||||
Royal Caribbean Cruises | 11,776 | 255 | ||||||
Ruby Tuesday* (A) | 24,600 | 176 | ||||||
Rue21* (A) | 11,230 | 255 | ||||||
Ryland Group (A) | 17,500 | 186 | ||||||
Saks* | 3,587 | 31 | ||||||
Sally Beauty Holdings* | 1,200 | 20 | ||||||
Sauer-Danfoss* | 1,700 | 49 | ||||||
Scholastic (A) | 4,931 | 138 | ||||||
Scientific Games, Cl A* | 19,972 | 142 | ||||||
Select Comfort* | 34,400 | 481 | ||||||
Service International | 6,700 | 61 | ||||||
Shutterfly* (A) | 24,080 | 992 | ||||||
Signet Jewelers | 3,000 | 101 | ||||||
Sinclair Broadcast Group, Cl A | 21,800 | 156 | ||||||
Skechers U.S.A., Cl A* | 7,869 | 110 | ||||||
Skullcandy* | 14,100 | 199 | ||||||
Snap-on | 800 | 36 | ||||||
Sotheby’s (A) | 1,400 | 39 | ||||||
Stage Stores (A) | 17,500 | 243 | ||||||
Standard-Pacific* | 4,600 | 11 | ||||||
Steven Madden* | 6,545 | 197 | ||||||
Stewart Enterprises, Cl A (A) | 2,900 | 17 |
Description | Shares | Market Value ($ Thousands) | ||||||
Strayer Education | 200 | $ | 15 | |||||
Tempur-Pedic International* (A) | 22,074 | 1,161 | ||||||
Tenneco* | 900 | 23 | ||||||
Texas Roadhouse, Cl A | 45,380 | 600 | ||||||
Thor Industries | 700 | 16 | ||||||
Toll Brothers* | 2,600 | 38 | ||||||
Tractor Supply | 8,000 | 500 | ||||||
True Religion Apparel* | 2,200 | 59 | ||||||
TRW Automotive Holdings* | 2,997 | 98 | ||||||
Tupperware Brands | 9,914 | 533 | ||||||
Ulta Salon Cosmetics & Fragrance* | 14,370 | 894 | ||||||
Under Armour, Cl A* (A) | 600 | 40 | ||||||
Universal Technical Institute* | 492 | 7 | ||||||
Urban Outfitters* | 8,722 | 195 | ||||||
Vail Resorts | 1,000 | 38 | ||||||
Valassis Communications* | 1,800 | 34 | ||||||
WABCO Holdings* | 1,500 | 57 | ||||||
Warnaco Group* (A) | 700 | 32 | ||||||
Weight Watchers International | 12,480 | 727 | ||||||
Whirlpool | 5,900 | 295 | ||||||
Williams-Sonoma | 1,200 | 37 | ||||||
WMS Industries* | 31,409 | 552 | ||||||
Wolverine World Wide | 700 | 23 | ||||||
World Wrestling Entertainment, Cl A | 900 | 8 | ||||||
Wyndham Worldwide | 4,822 | 137 | ||||||
Zumiez* | 19,100 | 334 | ||||||
|
| |||||||
38,027 | ||||||||
|
| |||||||
Consumer Staples — 4.1% | ||||||||
B&G Foods, Cl A | 2,800 | 47 | ||||||
BJ’s Wholesale Club* | 600 | 31 | ||||||
Boston Beer, Cl A* (A) | 800 | 58 | ||||||
Cal-Maine Foods | 1,100 | 35 | ||||||
Casey’s General Stores (A) | 4,952 | 216 | ||||||
Central European Distribution* | 1,200 | 8 | ||||||
Central Garden and Pet* | 11,883 | 82 | ||||||
Central Garden and Pet, Cl A* (A) | 19,092 | 135 | ||||||
Chefs’ Warehouse Holdings* | 16,300 | 192 | ||||||
Chiquita Brands International* (A) | 5,191 | 43 | ||||||
Church & Dwight | 3,200 | 142 | ||||||
Constellation Brands, Cl A* | 19,091 | 344 | ||||||
Corn Products International | 10,574 | 415 | ||||||
Darling International* (A) | 2,400 | 30 | ||||||
Dean Foods* | 5,300 | 47 | ||||||
Diamond Foods (A) | 10,111 | 807 | ||||||
Dole Food* (A) | 15,966 | 160 | ||||||
Energizer Holdings* | 1,900 | 126 | ||||||
Flowers Foods | 3,000 | 58 | ||||||
Fresh Del Monte Produce (A) | 10,000 | 232 | ||||||
Fresh Market* | 6,870 | 262 | ||||||
Green Mountain Coffee Roasters* (A) | 14,070 | 1,308 | ||||||
Hain Celestial Group* | 1,700 | 52 | ||||||
Hansen Natural* | 1,663 | 145 | ||||||
Herbalife | 15,197 | 815 | ||||||
Imperial Sugar | 8,306 | 53 | ||||||
J&J Snack Foods | 7,280 | 350 | ||||||
Kroger | 16,108 | 354 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Lancaster Colony (A) | 1,200 | $ | 73 | |||||
Molson Coors Brewing, Cl B | 9,920 | 393 | ||||||
Nash Finch | 1,000 | 27 | ||||||
Nu Skin Enterprises, Cl A | 900 | 36 | ||||||
Omega Protein* | 23,400 | 212 | ||||||
Pantry* | 16,126 | 196 | ||||||
Prestige Brands Holdings* | 19,011 | 172 | ||||||
Ralcorp Holdings* | 1,000 | 77 | ||||||
Safeway | 24,500 | 407 | ||||||
Sanderson Farms (A) | 5,036 | 239 | ||||||
Schiff Nutrition International* (A) | 2,200 | 24 | ||||||
Seneca Foods, Cl A* (A) | 449 | 9 | ||||||
Snyders-Lance (A) | 800 | 17 | ||||||
Spartan Stores | 28,075 | 434 | ||||||
Spectrum Brands Holdings* | 1,100 | 26 | ||||||
SUPERVALU | 17,700 | 118 | ||||||
SYSCO | 11,158 | 289 | ||||||
TreeHouse Foods* (A) | 1,800 | 111 | ||||||
United Natural Foods* (A) | 15,547 | 576 | ||||||
Universal | 5,400 | 194 | ||||||
USANA Health Sciences* (A) | 400 | 11 | ||||||
Vector Group | 3,197 | 55 | ||||||
WD-40 | 400 | 16 | ||||||
Weis Markets (A) | 5,100 | 189 | ||||||
|
| |||||||
10,448 | ||||||||
|
| |||||||
Energy — 5.5% | ||||||||
Arch Coal | 2,167 | 32 | ||||||
Atlas Energy* | 2,541 | — | ||||||
ATP Oil & Gas* (A) | 1,700 | 13 | ||||||
Atwood Oceanics* | 13,590 | 467 | ||||||
Berry Petroleum, Cl A | 16,545 | 585 | ||||||
Bill Barrett* (A) | 7,570 | 274 | ||||||
Brigham Exploration* | 2,900 | 73 | ||||||
Bristow Group | 3,700 | 157 | ||||||
Cabot Oil & Gas | 5,864 | 363 | ||||||
CARBO Ceramics | 4,130 | 423 | ||||||
Carrizo Oil & Gas* (A) | 13,020 | 281 | ||||||
Clayton Williams Energy* | 2,200 | 94 | ||||||
Clean Energy Fuels* | 2,390 | 27 | ||||||
Cobalt International Energy* | 851 | 7 | ||||||
Complete Production Services* | 36,070 | 680 | ||||||
Contango Oil & Gas* (A) | 500 | 27 | ||||||
Core Laboratories | 981 | 88 | ||||||
Crosstex Energy | 1,274 | 17 | ||||||
CVR Energy* (A) | 2,700 | 57 | ||||||
Dresser-Rand Group* | 1,300 | 53 | ||||||
Dril-Quip* (A) | 15,693 | 846 | ||||||
Energen | 2,800 | 114 | ||||||
Energy XXI Bermuda* | 640 | 14 | ||||||
EQT | 5,289 | 282 | ||||||
EXCO Resources | 3,300 | 35 | ||||||
Exterran Holdings* | 1,510 | 15 | ||||||
Global Industries* | 7,700 | 61 | ||||||
Golar LNG (A) | 3,200 | 102 | ||||||
Goodrich Petroleum* (A) | 20,248 | 239 | ||||||
Gulf Island Fabrication | 1,700 | 35 | ||||||
Gulfmark Offshore, Cl A* | 15,451 | 562 | ||||||
Helix Energy Solutions Group* | 1,800 | 24 | ||||||
Helmerich & Payne | 2,821 | 115 | ||||||
Hercules Offshore* | 9,373 | 27 | ||||||
HollyFrontier | 14,298 | 375 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hornbeck Offshore Services* (A) | 13,250 | $ | 330 | |||||
ION Geophysical* | 50,010 | 237 | ||||||
Key Energy Services* (A) | 48,773 | 463 | ||||||
Kodiak Oil & Gas* | 7,600 | 40 | ||||||
Magnum Hunter Resources* (A) | 72,515 | 240 | ||||||
McMoRan Exploration* | 5,900 | 59 | ||||||
Murphy Oil | 5,830 | 257 | ||||||
Nabors Industries* | 14,880 | 182 | ||||||
Newfield Exploration* | 6,177 | 245 | ||||||
Newpark Resources* | 9,960 | 61 | ||||||
Northern Oil And Gas* | 9,385 | 182 | ||||||
Oasis Petroleum* | 12,600 | 281 | ||||||
Oceaneering International | 11,800 | 417 | ||||||
Oil States International* | 6,100 | 311 | ||||||
Overseas Shipholding Group | 1,426 | 20 | ||||||
Panhandle Oil and Gas, Cl A | 600 | 17 | ||||||
Parker Drilling* | 7,556 | 33 | ||||||
Patterson-UTI Energy | 4,000 | 69 | ||||||
Penn Virginia | 1,300 | 7 | ||||||
Petroquest Energy* | 2,715 | 15 | ||||||
Pioneer Drilling* | 1,400 | 10 | ||||||
Pioneer Natural Resources | 4,364 | 287 | ||||||
Plains Exploration & Production* | 3,200 | 73 | ||||||
Quicksilver Resources* | 2,900 | 22 | ||||||
Range Resources | 4,726 | 276 | ||||||
Resolute Energy* | 25,300 | 287 | ||||||
RigNet* | 519 | 8 | ||||||
Rosetta Resources* (A) | 13,210 | 452 | ||||||
Rowan* | 2,496 | 75 | ||||||
SandRidge Energy* (A) | 10,700 | 60 | ||||||
SEACOR Holdings | 500 | 40 | ||||||
SM Energy | 6,290 | 382 | ||||||
Stone Energy* (A) | 16,100 | 261 | ||||||
Superior Energy Services* | 1,300 | 34 | ||||||
Swift Energy* | 14,139 | 344 | ||||||
Tesoro* | 23,300 | 454 | ||||||
Tidewater | 9,070 | 381 | ||||||
USEC* (A) | 51,000 | 82 | ||||||
Vaalco Energy* | 9,250 | 45 | ||||||
W&T Offshore | 13,700 | 189 | ||||||
Western Refining* (A) | 21,700 | 270 | ||||||
Willbros Group* (A) | 1,500 | 6 | ||||||
World Fuel Services | 1,200 | 39 | ||||||
|
| |||||||
14,107 | ||||||||
|
| |||||||
Financials — 17.6% | ||||||||
1st Source | 2,900 | 60 | ||||||
Acadia Realty Trust † | 1,500 | 28 | ||||||
Advance America Cash Advance Centers (A) | 32,400 | 238 | ||||||
Affiliated Managers Group* | 4,400 | 343 | ||||||
Alexander’s † | 100 | 36 | ||||||
Alexandria Real Estate Equities † | 1,100 | 68 | ||||||
Allied World Assurance Holdings | 4,300 | 231 | ||||||
Alterra Capital Holdings | 2,300 | 44 | ||||||
American Assets Trust † | 2,500 | 45 | ||||||
American Campus Communities † | 1,000 | 37 | ||||||
American Capital* | 8,900 | 61 | ||||||
American Capital Agency † | 1,900 | 51 | ||||||
American Equity Investment Life Holding | 4,000 | 35 | ||||||
American Financial Group | 13,800 | 429 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
American National Insurance | 700 | $ | 48 | |||||
Ameriprise Financial | 6,693 | 263 | ||||||
Amerisafe* | 1,639 | 30 | ||||||
Anworth Mortgage Asset † | 31,500 | 214 | ||||||
Apartment Investment & Management, Cl A † | 1,800 | 40 | ||||||
Apollo Commercial Real Estate Finance † | 2,950 | 39 | ||||||
Arch Capital Group* | 900 | 29 | ||||||
Ares Capital | 13,829 | 190 | ||||||
Argo Group International Holdings | 8,007 | 227 | ||||||
Arthur J. Gallagher | 1,800 | 47 | ||||||
Ashford Hospitality Trust † | 4,800 | 34 | ||||||
Aspen Insurance Holdings | 8,500 | 196 | ||||||
Associated Banc-Corp | 3,600 | 33 | ||||||
Associated Estates Realty † | 3,300 | 51 | ||||||
Assured Guaranty | 6,000 | 66 | ||||||
Axis Capital Holdings | 900 | 23 | ||||||
Banco Latinoamericano de Exportaciones, | 20,200 | 308 | ||||||
Bancorpsouth | 9,351 | 82 | ||||||
Bank of Hawaii | 900 | 33 | ||||||
Bank of the Ozarks | 16,975 | 355 | ||||||
Berkshire Hills Bancorp | 14,825 | 274 | ||||||
BioMed Realty Trust † | 27,815 | 461 | ||||||
BlackRock Kelso Capital (A) | 2,400 | 18 | ||||||
Boston Private Financial Holdings | 23,259 | 137 | ||||||
Brandywine Realty Trust † | 63,835 | 511 | ||||||
BRE Properties, Cl A † | 1,000 | 42 | ||||||
Brookline Bancorp | 1,200 | 9 | ||||||
Brown & Brown | 1,000 | 18 | ||||||
Camden Property Trust † | 600 | 33 | ||||||
Capstead Mortgage † (A) | 1,900 | 22 | ||||||
Cardinal Financial (A) | 15,212 | 131 | ||||||
Cardtronics* | 25,636 | 588 | ||||||
Cathay General Bancorp | 2,100 | 24 | ||||||
CBL & Associates Properties † (A) | 41,801 | 475 | ||||||
Central Pacific Financial* | 665 | 7 | ||||||
Chemical Financial | 10,100 | 155 | ||||||
Chesapeake Lodging Trust † | 3,000 | 36 | ||||||
Chimera Investment † | 70,826 | 196 | ||||||
City National | 500 | 19 | ||||||
CNA Financial | 12,400 | 279 | ||||||
CNO Financial Group* (A) | 55,868 | 302 | ||||||
CoBiz Financial | 64,525 | 288 | ||||||
Colonial Properties Trust † | 4,500 | 82 | ||||||
Comerica | 16,021 | 368 | ||||||
Commerce Bancshares | 1,527 | 53 | ||||||
CommonWealth † | 13,100 | 248 | ||||||
Community Bank System (A) | 11,300 | 256 | ||||||
Community Trust Bancorp | 10,100 | 235 | ||||||
Cousins Properties † (A) | 14,402 | 84 | ||||||
CubeSmart † | 3,500 | 30 | ||||||
CVB Financial | 38,403 | 295 | ||||||
CYS Investments † | 4,400 | 53 | ||||||
DCT Industrial Trust † | 9,100 | 40 | ||||||
DDR † | 2,300 | 25 | ||||||
Delphi Financial Group, Cl A | 1,100 | 24 | ||||||
DFC Global* (A) | 2,400 | 52 | ||||||
Digital Realty Trust † | 7,199 | 397 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dime Community Bancshares (A) | 12,200 | $ | 124 | |||||
Douglas Emmett † | 1,400 | 24 | ||||||
Duke Realty † | 6,624 | 70 | ||||||
DuPont Fabros Technology (A) † | 15,030 | 296 | ||||||
E*Trade Financial* | 2,100 | 19 | ||||||
Eagle Bancorp* | 31,819 | 375 | ||||||
East West Bancorp | 150 | 2 | ||||||
EastGroup Properties † | 2,100 | 80 | ||||||
Eaton Vance (A) | 3,729 | 83 | ||||||
Education Realty Trust † | 70,188 | 603 | ||||||
Employers Holdings | 23,504 | 300 | ||||||
Endurance Specialty Holdings | 15,590 | 532 | ||||||
Enstar Group* | 400 | 38 | ||||||
Entertainment Properties Trust † (A) | 1,000 | 39 | ||||||
Equity Lifestyle Properties † | 900 | 56 | ||||||
Equity One † (A) | 15,951 | 253 | ||||||
Erie Indemnity, Cl A | 2,000 | 142 | ||||||
Essex Property Trust † | 4,344 | 521 | ||||||
Evercore Partners, Cl A | 700 | 16 | ||||||
Everest Re Group | 4,400 | 349 | ||||||
Excel Trust † | 38,747 | 373 | ||||||
Extra Space Storage † | 2,600 | 48 | ||||||
FBL Financial Group, Cl A (A) | 2,500 | 67 | ||||||
Federal Realty Investment Trust † | 500 | 41 | ||||||
Federated Investors, Cl B | 29,476 | 517 | ||||||
FelCor Lodging Trust* † (A) | 6,100 | 14 | ||||||
Fidelity National Financial, Cl A | 3,700 | 56 | ||||||
Fifth Street Finance (A) | 11,008 | 103 | ||||||
Fifth Third Bancorp | 48,019 | 485 | ||||||
First American Financial | 3,200 | 41 | ||||||
First BanCorp* | 1,660 | 5 | ||||||
First Cash Financial Services* | 1,400 | 59 | ||||||
First Financial Bancorp (A) | 10,290 | 142 | ||||||
First Financial Bankshares | 900 | 24 | ||||||
First Horizon National | 61,673 | 368 | ||||||
First Industrial Realty Trust* † | 4,500 | 36 | ||||||
First Midwest Bancorp | 31,055 | 227 | ||||||
First Niagara Financial Group | 8,420 | 77 | ||||||
First Potomac Realty Trust † | 34,625 | 432 | ||||||
FirstMerit (A) | 54,738 | 622 | ||||||
Flagstone Reinsurance Holdings | 6,300 | 49 | ||||||
Flushing Financial | 1,600 | 17 | ||||||
FNB (Pennsylvania) (A) | 11,200 | 96 | ||||||
Forest City Enterprises, Cl A* | 3,300 | 35 | ||||||
Franklin Street Properties † (A) | 5,100 | 58 | ||||||
Fulton Financial | 4,400 | 34 | ||||||
GAMCO Investors, Cl A | 400 | 16 | ||||||
Getty Realty † (A) | 3,100 | 45 | ||||||
GFI Group | 37,700 | 152 | ||||||
Glimcher Realty Trust † | 5,600 | 40 | ||||||
Government Properties Income Trust † | 2,000 | 43 | ||||||
Green Dot, Cl A* | 1,108 | 35 | ||||||
Greenhill | 4,700 | 134 | ||||||
Greenlight Capital Re* | 1,000 | 21 | ||||||
Hampton Roads Bankshares* | 1,561 | 7 | ||||||
Hancock Holding (A) | 27,756 | 743 | ||||||
Hanover Insurance Group | 16,350 | 580 | ||||||
Harleysville Group (A) | 5,446 | 321 | ||||||
Hatteras Financial † | 1,900 | 48 | ||||||
HCC Insurance Holdings | 1,700 | 46 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Healthcare Realty Trust † | 3,400 | $ | 57 | |||||
Hercules Technology Growth Capital | 7,354 | 63 | ||||||
Hersha Hospitality Trust, Cl A † (A) | 4,600 | 16 | ||||||
Highwoods Properties † (A) | 13,220 | 374 | ||||||
Home Properties † (A) | 400 | 23 | ||||||
Horace Mann Educators (A) | 20,593 | 235 | ||||||
Hospitality Properties Trust † | 21,600 | 459 | ||||||
Host Hotels & Resorts † | 24,374 | 267 | ||||||
Huntington Bancshares | 102,300 | 491 | ||||||
IBERIABANK (A) | 12,616 | 594 | ||||||
Independent Bank (A) | 800 | 17 | ||||||
Infinity Property & Casualty (A) | 5,937 | 312 | ||||||
Inland Real Estate † | 8,500 | 62 | ||||||
Invesco Mortgage Capital † | 2,400 | 34 | ||||||
Investors Real Estate Trust † | 1,800 | 13 | ||||||
Janus Capital Group | 1,700 | 10 | ||||||
Jefferies Group | 900 | 11 | ||||||
Jones Lang LaSalle | 470 | 25 | ||||||
Justice Holdings* | 22,019 | 323 | ||||||
KBW (A) | 700 | 10 | ||||||
Kemper | 13,200 | 316 | ||||||
Kilroy Realty † | 1,275 | 40 | ||||||
Knight Capital Group, Cl A* (A) | 35,263 | 429 | ||||||
LaSalle Hotel Properties † (A) | 19,425 | 373 | ||||||
Lexington Realty Trust † | 38,167 | 250 | ||||||
Liberty Property Trust † | 14,285 | 416 | ||||||
LTC Properties † | 2,500 | 63 | ||||||
Macerich † | 3,201 | 136 | ||||||
Mack-Cali Realty † | 1,500 | 40 | ||||||
Markel* | 100 | 36 | ||||||
MarketAxess Holdings (A) | 4,077 | 106 | ||||||
MB Financial | 2,400 | 35 | ||||||
MBIA* (A) | 5,600 | 41 | ||||||
MCG Capital | 7,700 | 30 | ||||||
Meadowbrook Insurance Group (A) | 65,822 | 586 | ||||||
Medical Properties Trust † (A) | 5,500 | 49 | ||||||
Mercury General | 500 | 19 | ||||||
MF Global Holdings* | 5,200 | 21 | ||||||
MFA Financial † | 95,106 | 668 | ||||||
Mid-America Apartment Communities † | 10,383 | 625 | ||||||
Montpelier Re Holdings | 18,100 | 320 | ||||||
Moody’s (A) | 17,519 | 533 | ||||||
MSCI, Cl A* | 2,800 | 85 | ||||||
National Financial Partners* | 27,380 | 299 | ||||||
National Health Investors † (A) | 800 | 34 | ||||||
National Penn Bancshares | 32,651 | 229 | ||||||
National Retail Properties † (A) | 16,600 | 446 | ||||||
National Western Life Insurance, Cl A | 200 | 27 | ||||||
Navigators Group* | 800 | 35 | ||||||
NBT Bancorp (A) | 800 | 15 | ||||||
Nelnet, Cl A | 932 | 17 | ||||||
Netspend Holdings* | 15,000 | 77 | ||||||
Northfield Bancorp (A) | 800 | 11 | ||||||
Northwest Bancshares | 4,100 | 49 | ||||||
Ocwen Financial* (A) | 4,200 | 55 | ||||||
Old National Bancorp (A) | 46,891 | 437 | ||||||
Old Republic International | 4,000 | 36 |
Description | Shares | Market Value ($ Thousands) | ||||||
Omega Healthcare Investors † | 5,100 | $ | 81 | |||||
One Liberty Properties † | 140 | 2 | ||||||
Oriental Financial Group | 13,000 | 126 | ||||||
Oritani Financial | 4,100 | 53 | ||||||
Pacific Capital Bancorp* | 7,106 | 181 | ||||||
PacWest Bancorp (A) | 16,092 | 224 | ||||||
Park National (A) | 300 | 16 | ||||||
Parkway Properties † | 16,600 | 183 | ||||||
PartnerRe | 7,619 | 398 | ||||||
Pebblebrook Hotel Trust † | 2,300 | 36 | ||||||
PennantPark Investment | 4,200 | 37 | ||||||
Pennsylvania † (A) | 27,100 | 209 | ||||||
PHH* Platinum Underwriters | 1,000 | 16 | ||||||
Holdings (A) | 18,719 | 576 | ||||||
Popular* | 46,600 | 70 | ||||||
Portfolio Recovery Associates* (A) | 400 | 25 | ||||||
Post Properties † | 1,200 | 42 | ||||||
PrivateBancorp, Cl A | 8,400 | 63 | ||||||
ProAssurance (A) | 15,772 | 1,136 | ||||||
Prospect Capital | 5,940 | 50 | ||||||
Prosperity Bancshares | 12,955 | 423 | ||||||
Protective Life | 1,100 | 17 | ||||||
Provident Financial Services | 13,609 | 146 | ||||||
PS Business Parks † | 800 | 40 | ||||||
RAIT Financial Trust † (A) | 13,999 | 47 | ||||||
Ramco-Gershenson Properties † | 2,300 | 19 | ||||||
Raymond James Financial | 1,500 | 39 | ||||||
Rayonier † | 1,200 | 44 | ||||||
Realty Income † | 1,400 | 45 | ||||||
Redwood Trust † (A) | 1,200 | 13 | ||||||
Regency Centers † | 700 | 25 | ||||||
Regions Financial | 49,700 | 166 | ||||||
Reinsurance Group of America, Cl A | 12,333 | 567 | ||||||
RenaissanceRe Holdings | 700 | 45 | ||||||
Resource Capital † (A) | 2,600 | 13 | ||||||
RLI | 800 | 51 | ||||||
S&T Bancorp (A) | 5,000 | 81 | ||||||
Sabra Health Care REIT † | 2,365 | 23 | ||||||
Safeguard Scientifics* | 30,602 | 459 | ||||||
Sandy Spring Bancorp | 16,073 | 235 | ||||||
Senior Housing Properties Trust † | 5,420 | 117 | ||||||
Signature Bank NY* (A) | 18,612 | 888 | ||||||
Solar Capital | 9,642 | 194 | ||||||
Sovran Self Storage † | 1,800 | 67 | ||||||
StanCorp Financial Group | 11,800 | 325 | ||||||
Starwood Property Trust † | 2,300 | 39 | ||||||
Sterling Financial* | 9,178 | 114 | ||||||
Stifel Financial* | 11,600 | 308 | ||||||
Strategic Hotels & Resorts* † | 8,200 | 35 | ||||||
Sun Communities † (A) | 1,400 | 49 | ||||||
Sunstone Hotel Investors* † | 5,100 | 29 | ||||||
SVB Financial Group* (A) | 11,882 | 440 | ||||||
SWS Group | 39,800 | 187 | ||||||
Synovus Financial (A) | 145,973 | 156 | ||||||
Tanger Factory Outlet Centers † (A) | 2,000 | 52 | ||||||
Taubman Centers † | 1,400 | 70 | ||||||
TCF Financial (A) | 57,711 | 529 | ||||||
Texas Capital Bancshares* | 2,000 | 46 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Tower Bancorp | 900 | $ | 19 | |||||
Tower Group | 2,965 | 68 | ||||||
Transatlantic Holdings | 1,300 | 63 | ||||||
Trustmark (A) | 900 | 16 | ||||||
Two Harbors Investment † | 4,900 | 43 | ||||||
UDR † | 1,400 | 31 | ||||||
Umpqua Holdings | 1,200 | 11 | ||||||
United Bankshares (A) | 4,300 | 86 | ||||||
United Fire & Casualty (A) | 4,000 | 71 | ||||||
Unum Group | 36,883 | 773 | ||||||
Validus Holdings | 10,400 | 259 | ||||||
Valley National Bancorp (A) | 6,410 | 68 | ||||||
ViewPoint Financial Group | 3,900 | 45 | ||||||
Waddell & Reed Financial, Cl A | 900 | 23 | ||||||
Walter Investment Management | 1,157 | 27 | ||||||
Washington Federal | 1,500 | 19 | ||||||
Washington Real Estate Investment Trust † (A) | 2,400 | 68 | ||||||
Webster Financial | 28,880 | 442 | ||||||
Weingarten Realty Investors † | 1,600 | 34 | ||||||
WesBanco (A) | 12,800 | 222 | ||||||
Westamerica Bancorporation | 900 | 34 | ||||||
Western Alliance Bancorp* | 54,635 | 299 | ||||||
White Mountains Insurance Group | 100 | 41 | ||||||
Willis Group Holdings | 10,038 | 345 | ||||||
Wintrust Financial (A) | 600 | 15 | ||||||
World Acceptance* (A) | 800 | 45 | ||||||
WR Berkley | 5,400 | 160 | ||||||
WSFS Financial | 6,168 | 195 | ||||||
Zions Bancorporation | 56,804 | 799 | ||||||
|
| |||||||
44,828 | ||||||||
|
| |||||||
Health Care — 12.8% | ||||||||
Abaxis* | 1,600 | 37 | ||||||
Accuray* (A) | 4,734 | 19 | ||||||
Affymax* (A) | 2,452 | 11 | ||||||
Affymetrix* (A) | 4,300 | 21 | ||||||
Air Methods* | 600 | 38 | ||||||
Alere* | 1,800 | 35 | ||||||
Alexion Pharmaceuticals* | 8,391 | 538 | ||||||
Align Technology* | 3,800 | 58 | ||||||
Alkermes* | 4,000 | 61 | ||||||
Allscripts Healthcare Solutions* | 39,870 | 719 | ||||||
Amarin ADR* | 26,600 | 245 | ||||||
Amedisys* | 4,911 | 73 | ||||||
AMERIGROUP* | 800 | 31 | ||||||
AmerisourceBergen | 6,974 | 260 | ||||||
Amsurg* (A) | 11,000 | 247 | ||||||
Amylin Pharmaceuticals* | 3,200 | 30 | ||||||
Ardea Biosciences* | 14,619 | 228 | ||||||
Ariad Pharmaceuticals* | 26,400 | 232 | ||||||
Arqule* | 28,600 | 144 | ||||||
Arthrocare* | 2,478 | 71 | ||||||
athenahealth* (A) | 1,600 | 95 | ||||||
AVEO Pharmaceuticals* | 10,300 | 159 | ||||||
BioMarin Pharmaceuticals* | 2,100 | 67 | ||||||
Bio-Reference Labs* | 1,000 | 18 | ||||||
Brookdale Senior Living, Cl A* | 1,700 | 21 | ||||||
Caliper Life Sciences* | 7,700 | 80 | ||||||
Capital Senior Living* | 200 | 1 | ||||||
CareFusion* | 21,325 | 511 |
Description | Shares | Market Value ($ Thousands) | ||||||
Catalyst Health Solutions* | 28,804 | $ | 1,662 | |||||
Centene* | 14,800 | 424 | ||||||
Cepheid* | 10,800 | 419 | ||||||
Charles River Laboratories International* | 700 | 20 | ||||||
Chemed | 800 | 44 | ||||||
Computer Programs & Systems | 800 | 53 | ||||||
Conmed* | 15,680 | 361 | ||||||
Cooper | 9,910 | 784 | ||||||
Covance* | 12,553 | 570 | ||||||
Coventry Health Care* | 37,538 | 1,081 | ||||||
Cubist Pharmaceuticals* (A) | 2,000 | 71 | ||||||
Cyberonics* (A) | 21,967 | 622 | ||||||
DexCom* | 3,400 | 41 | ||||||
Emdeon, Cl A* | 4,400 | 83 | ||||||
Emergent Biosolutions* | 1,200 | 19 | ||||||
Emeritus* (A) | 1,400 | 20 | ||||||
Endo Pharmaceuticals Holdings* | 11,265 | 315 | ||||||
Enzon Pharmaceuticals* (A) | 2,600 | 18 | ||||||
Exelixis* (A) | 27,980 | 153 | ||||||
Forest Laboratories* | 6,700 | 206 | ||||||
Gen-Probe* | 13,750 | 787 | ||||||
Gentiva Health Services* (A) | 700 | 4 | ||||||
Geron* (A) | 8,900 | 19 | ||||||
Greatbatch* | 16,155 | 323 | ||||||
Haemonetics* | 800 | 47 | ||||||
Halozyme Therapeutics* (A) | 2,500 | 15 | ||||||
HCA Holdings* | 11,855 | 239 | ||||||
Health Management Associates, Cl A* | 27,684 | 192 | ||||||
Health Net* | 1,800 | 43 | ||||||
Healthsouth* (A) | 36,263 | 541 | ||||||
Healthspring* (A) | 11,500 | 419 | ||||||
Healthways* | 3,400 | 33 | ||||||
HeartWare International* | 4,360 | 281 | ||||||
Hill-Rom Holdings | 1,400 | 42 | ||||||
HMS Holdings* | 22,600 | 551 | ||||||
Hologic* | 26,751 | 407 | ||||||
Human Genome Sciences* | 4,900 | 62 | ||||||
Humana | 5,500 | 400 | ||||||
Idexx Laboratories* (A) | 1,000 | 69 | ||||||
Immunogen* | 19,100 | 209 | ||||||
Impax Laboratories* | 13,700 | 245 | ||||||
Incyte* (A) | 29,520 | 412 | ||||||
Insulet* | 15,310 | 234 | ||||||
InterMune* | 6,100 | 123 | ||||||
Invacare | 13,822 | 318 | ||||||
IPC The Hospitalist* | 9,600 | 343 | ||||||
Ironwood Pharmaceuticals, Cl A* | 30,360 | 328 | ||||||
Isis Pharmaceuticals* (A) | 3,300 | 22 | ||||||
Kindred Healthcare* | 3,321 | 29 | ||||||
Kinetic Concepts* | 1,802 | 119 | ||||||
LHC Group* | 500 | 9 | ||||||
LifePoint Hospitals* | 11,632 | 426 | ||||||
Lincare Holdings | 1,800 | 40 | ||||||
Magellan Health Services* | 12,250 | 592 | ||||||
MAKO Surgical* | 6,900 | 236 | ||||||
MannKind* (A) | 9,300 | 35 | ||||||
MAP Pharmaceuticals* | 10,800 | 158 | ||||||
Masimo | 1,600 | 35 | ||||||
Maxygen | 2,900 | 16 | ||||||
MedAssets* | 6,270 | 60 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Medcath* | 6,300 | $ | 87 | |||||
Medicis Pharmaceutical, Cl A | 900 | 33 | ||||||
Mednax* | 10,800 | 676 | ||||||
Meridian Bioscience | 2,500 | 39 | ||||||
Merit Medical Systems* | 3,125 | 41 | ||||||
Metropolitan Health Networks* (A) | 46,200 | 210 | ||||||
Mettler Toledo International* | 500 | 70 | ||||||
Micromet* | 9,600 | 46 | ||||||
Momenta Pharmaceuticals* | 5,105 | 59 | ||||||
MWI Veterinary Supply* | 4,082 | 281 | ||||||
Myriad Genetics* | 2,200 | 41 | ||||||
Nektar Therapeutics* (A) | 9,000 | 44 | ||||||
Neogen* (A) | 900 | 31 | ||||||
NPS Pharmaceuticals* | 23,800 | 155 | ||||||
NuVasive* | 13,830 | 236 | ||||||
NxStage Medical* | 19,000 | 396 | ||||||
Obagi Medical Products* (A) | 1,600 | 15 | ||||||
Omnicare (A) | 3,200 | 81 | ||||||
Omnicell* (A) | 1,300 | 18 | ||||||
Onyx Pharmaceuticals* (A) | 10,170 | 305 | ||||||
Optimer Pharmaceuticals* | 13,100 | 181 | ||||||
Orthofix International* | 8,310 | 287 | ||||||
Owens & Minor (A) | 950 | 27 | ||||||
Par Pharmaceutical* | 7,200 | 192 | ||||||
Parexel International* (A) | 22,710 | 430 | ||||||
Patterson | 12,186 | 349 | ||||||
PDL BioPharma (A) | 45,115 | 250 | ||||||
PerkinElmer | 2,800 | 54 | ||||||
Pharmaceutical Product Development | 24,820 | 637 | ||||||
Pharmacyclics* | 11,400 | 135 | ||||||
Pharmasset* | 3,660 | 302 | ||||||
PharMerica* (A) | 10,000 | 143 | ||||||
PSS World Medical* (A) | 1,400 | 28 | ||||||
QIAGEN* | 4,760 | 66 | ||||||
Quest Diagnostics | 6,723 | 332 | ||||||
Regeneron Pharmaceuticals* | 2,328 | 136 | ||||||
ResMed* | 3,577 | 103 | ||||||
Salix Pharmaceuticals* (A) | 30,704 | 909 | ||||||
Sciclone Pharmaceuticals* (A) | 41,200 | 157 | ||||||
Seattle Genetics* (A) | 20,800 | 397 | ||||||
Select Medical Holdings* (A) | 6,100 | 41 | ||||||
Sirona Dental Systems* | 19,386 | 822 | ||||||
SonoSite* | 1,500 | 46 | ||||||
STERIS | 20,169 | 590 | ||||||
SXC Health Solutions* | 20,340 | 1,133 | ||||||
Symmetry Medical* | 1,500 | 12 | ||||||
Techne | 900 | 61 | ||||||
Tenet Healthcare* | 14,100 | 58 | ||||||
Theravance* (A) | 1,400 | 28 | ||||||
Thoratec* | 1,500 | 49 | ||||||
Tornier BV* | 16,361 | 335 | ||||||
United Therapeutics* | 459 | 17 | ||||||
Universal Health Services, Cl B | 1,700 | 58 | ||||||
US Physical Therapy | 900 | 17 | ||||||
Vertex Pharmaceuticals* | 2,500 | 111 | ||||||
Viropharma* | 2,500 | 45 | ||||||
Volcano* (A) | 24,720 | 732 | ||||||
WellCare Health Plans* (A) | 11,100 | 422 | ||||||
West Pharmaceutical Services | 1,100 | 41 |
Description | Shares | Market Value ($ Thousands) | ||||||
WuXi PharmaTech Cayman ADR* | 16,400 | $ | 191 | |||||
Zoll Medical* | 13,680 | 516 | ||||||
|
| |||||||
32,783 | ||||||||
|
| |||||||
Industrials — 15.6% | ||||||||
AAON | 2,250 | 35 | ||||||
AAR (A) | 1,100 | 18 | ||||||
ABM Industries | 2,100 | 40 | ||||||
Acacia Research - Acacia Technologies* | 1,500 | 54 | ||||||
ACCO Brands* (A) | 18,200 | 87 | ||||||
Actuant, Cl A | 21,545 | 426 | ||||||
Acuity Brands (A) | 500 | 18 | ||||||
Advisory Board* (A) | 15,030 | 970 | ||||||
Aecom Technology* | 12,380 | 219 | ||||||
Aerovironment* | 1,600 | 45 | ||||||
AGCO* | 27,962 | 967 | ||||||
Aircastle | 31,832 | 303 | ||||||
Alaska Air Group* | 800 | 45 | ||||||
Albany International, Cl A (A) | 11,100 | 203 | ||||||
Alliant Techsystems | 715 | 39 | ||||||
American Superconductor* | 5,422 | 21 | ||||||
Ametek | 12,906 | 426 | ||||||
Ampco-Pittsburgh (A) | 8,000 | 164 | ||||||
AMR* | 4,000 | 12 | ||||||
AO Smith | 1,100 | 35 | ||||||
Arkansas Best (A) | 900 | 14 | ||||||
Atlas Air Worldwide Holdings* | 7,300 | 243 | ||||||
Avery Dennison | 11,860 | 297 | ||||||
Barnes Group (A) | 1,100 | 21 | ||||||
BE Aerospace* | 23,260 | 770 | ||||||
Beacon Roofing Supply* | 20,988 | 336 | ||||||
Belden (A) | 19,720 | 509 | ||||||
Blount International* | 5,419 | 72 | ||||||
Brady, Cl A (A) | 18,946 | 501 | ||||||
Briggs & Stratton (A) | 13,290 | 180 | ||||||
Brink’s | 3,100 | 72 | ||||||
Calgon Carbon* | 5,791 | 84 | ||||||
Carlisle | 1,800 | 57 | ||||||
Chart Industries* | 11,511 | 485 | ||||||
Chicago Bridge & Iron | 80 | 2 | ||||||
Cintas | 11,431 | 322 | ||||||
Clarcor | 1,200 | 50 | ||||||
Clean Harbors* (A) | 5,043 | 259 | ||||||
Colfax* (A) | 7,500 | 152 | ||||||
Con-way | 600 | 13 | ||||||
Copa Holdings, Cl A | 9,350 | 573 | ||||||
Copart* | 1,200 | 47 | ||||||
Corporate Executive Board | 1,100 | 33 | ||||||
Corrections Corp of America* | 33,910 | 769 | ||||||
CoStar Group* | 10,500 | 546 | ||||||
Courier (A) | 5,144 | 34 | ||||||
Covanta Holding | 3,100 | 47 | ||||||
Crane | 600 | 21 | ||||||
Cubic | 7,699 | 301 | ||||||
Curtiss-Wright | 900 | 26 | ||||||
Deluxe (A) | 11,400 | 212 | ||||||
DigitalGlobe* (A) | 29,290 | 569 | ||||||
Dollar Thrifty Automotive Group* | 2,333 | 131 | ||||||
Donaldson | 900 | 49 | ||||||
Dover | 6,999 | 326 |
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
EMCOR Group (A) | 33,032 | $ | 672 | |||||
EnergySolutions* | 3,600 | 13 | ||||||
EnerNOC* (A) | 1,300 | 12 | ||||||
EnPro Industries* (A) | 5,991 | 178 | ||||||
ESCO Technologies | 19,513 | 498 | ||||||
Esterline Technologies* | 800 | 42 | ||||||
Flowserve | 3,748 | 277 | ||||||
Fluor | 6,146 | 286 | ||||||
Forward Air (A) | 4,163 | 106 | ||||||
Franklin Electric (A) | 5,485 | 199 | ||||||
FTI Consulting* | 1,400 | 51 | ||||||
G&K Services | 23,863 | 609 | ||||||
Gardner Denver | 600 | 38 | ||||||
GATX | 700 | 22 | ||||||
Generac Holdings* | 4,034 | 76 | ||||||
General Cable* | 6,306 | 147 | ||||||
Genesee & Wyoming, Cl A* | 8,100 | 377 | ||||||
Geo Group* (A) | 28,280 | 525 | ||||||
GeoEye* (A) | 700 | 20 | ||||||
Gorman-Rupp (A) | 1,562 | 39 | ||||||
Graco | 600 | 21 | ||||||
GrafTech International* | 2,200 | 28 | ||||||
Granite Construction (A) | 5,570 | 105 | ||||||
Great Lakes Dredge & Dock | 3,253 | 13 | ||||||
Harsco | 3,200 | 62 | ||||||
Hawaiian Holdings* | 38,385 | 161 | ||||||
Heartland Express | 2,631 | 36 | ||||||
HEICO | 1,409 | 69 | ||||||
Heidrick & Struggles International (A) | 411 | 7 | ||||||
Herman Miller | 1,500 | 27 | ||||||
Hertz Global Holdings* | 4,900 | 44 | ||||||
Hexcel* (A) | 26,190 | 580 | ||||||
Higher One Holdings* | 3,956 | 64 | ||||||
HNI (A) | 3,926 | 75 | ||||||
HUB Group, Cl A* | 1,400 | 39 | ||||||
IDEX | 17,840 | 556 | ||||||
IHS, Cl A* | 800 | 60 | ||||||
II-VI* | 2,000 | 35 | ||||||
Interface, Cl A (A) | 82,070 | 973 | ||||||
Interline Brands* | 1,300 | 17 | ||||||
International Shipholding (A) | 5,600 | 104 | ||||||
JB Hunt Transport Services | 15,070 | 544 | ||||||
John Bean Technologies | 12,327 | 176 | ||||||
Kadant* (A) | 20,228 | 359 | ||||||
Kaman | 2,096 | 58 | ||||||
Kansas City Southern* | 13,786 | 689 | ||||||
Kaydon (A) | 25,653 | 736 | ||||||
KBR | 4,000 | 94 | ||||||
Kelly Services, Cl A | 1,200 | 14 | ||||||
Kennametal | 16,922 | 554 | ||||||
Keyw Holding* | 27,400 | 195 | ||||||
Kirby* | 10,200 | 537 | ||||||
Knight Transportation | 11,400 | 152 | ||||||
Knoll | 1,200 | 16 | ||||||
Landstar System | 1,100 | 43 | ||||||
Layne Christensen* | 1,000 | 23 | ||||||
LB Foster, Cl A | 47 | 1 | ||||||
Lennox International (A) | 2,400 | 62 | ||||||
Lincoln Electric Holdings | 14,346 | 416 | ||||||
Localiza Rent a Car | 15,410 | 206 | ||||||
Manitowoc | 1,690 | 11 |
Description | Shares | Market Value ($ Thousands) | ||||||
Marten Transport | 15,090 | $ | 260 | |||||
MasTec* | 5,300 | 93 | ||||||
Mcgrath Rentcorp | 1,900 | 45 | ||||||
Meritor* (A) | 31,430 | 222 | ||||||
Middleby* (A) | 5,000 | 352 | ||||||
Miller Industries | 8,900 | 154 | ||||||
Moog, Cl A* | 22,795 | 744 | ||||||
MSC Industrial Direct, Cl A | 700 | 39 | ||||||
Mueller Industries | 500 | 19 | ||||||
Mueller Water Products, Cl A | 6,176 | 15 | ||||||
NACCO Industries, Cl A (A) | 400 | 25 | ||||||
Navistar International* | 1,800 | 58 | ||||||
Nordson | 1,300 | 52 | ||||||
Northwest Pipe* | 7,640 | 155 | ||||||
Old Dominion Freight Line* (A) | 14,740 | 427 | ||||||
Orbital Sciences* (A) | 9,117 | 117 | ||||||
Orion Marine Group* (A) | 19,282 | 111 | ||||||
Oshkosh Truck* | 8,700 | 137 | ||||||
Owens Corning* | 2,900 | 63 | ||||||
Pall | 4,405 | 187 | ||||||
Pentair | 500 | 16 | ||||||
Quanex Building Products | 19,910 | 218 | ||||||
Quanta Services* | 3,656 | 69 | ||||||
RBC Bearings* | 11,200 | 381 | ||||||
Regal-Beloit | 600 | 27 | ||||||
Republic Services | 16,601 | 466 | ||||||
Resources Connection | 2,600 | 25 | ||||||
Robbins & Myers | 12,710 | 441 | ||||||
Robert Half International | 1,400 | 30 | ||||||
Roper Industries | 7,842 | 540 | ||||||
RPX* | 16,400 | 340 | ||||||
RR Donnelley & Sons | 15,000 | 212 | ||||||
RSC Holdings* | 1,700 | 12 | ||||||
Ryder System | 8,900 | 334 | ||||||
School Specialty* (A) | 14,116 | 101 | ||||||
Sensata Technologies Holding* | 15,868 | 420 | ||||||
Shaw Group* | 630 | 14 | ||||||
Simpson Manufacturing | 14,300 | 357 | ||||||
Skywest (A) | 11,800 | 136 | ||||||
Spirit Aerosystems Holdings, Cl A* | 13,584 | 217 | ||||||
SPX | 600 | 27 | ||||||
Standex International (A) | 6,700 | 209 | ||||||
Steelcase, Cl A | 4,600 | 29 | ||||||
Swisher Hygiene* | 7,621 | 31 | ||||||
SYKES Enterprises* | 26,768 | 400 | ||||||
TAL International Group (A) | 18,395 | 459 | ||||||
Teledyne Technologies* | 14,148 | 691 | ||||||
Teleflex (A) | 12,292 | 661 | ||||||
Terex* | 1,108 | 11 | ||||||
Tetra Tech* | 30,095 | 564 | ||||||
Thermon Group Holdings* | 18,200 | 252 | ||||||
Thomas & Betts* | 1,000 | 40 | ||||||
Timken | 1,200 | 39 | ||||||
Toro | 700 | 35 | ||||||
Towers Watson, Cl A | 13,688 | 818 | ||||||
TransDigm Group* | 500 | 41 | ||||||
Trex* (A) | 12,451 | 200 | ||||||
Triumph Group (A) | 4,215 | 205 | ||||||
TrueBlue* | 32,900 | 373 | ||||||
Tutor Perini | 3,700 | 42 |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Unifirst | 644 | $ | 29 | |||||
United Rentals* | 45,520 | 766 | ||||||
United Stationers (A) | 10,000 | 272 | ||||||
Universal Forest Products | 1,908 | 46 | ||||||
URS* | 8,200 | 243 | ||||||
USG* | 1,100 | 7 | ||||||
UTI Worldwide | 2,500 | 33 | ||||||
Valmont Industries | 4,300 | 335 | ||||||
Vicor | 2,300 | 20 | ||||||
Wabtec | 1,800 | 95 | ||||||
Waste Connections | 1,800 | 61 | ||||||
Watsco (A) | 600 | 31 | ||||||
Watts Water Technologies, Cl A (A) | 6,337 | 169 | ||||||
Werner Enterprises | 1,900 | 40 | ||||||
WESCO International* | 10,331 | 347 | ||||||
Woodward | 1,580 | 43 | ||||||
Zipcar* (A) | 4,449 | 80 | ||||||
|
| |||||||
39,774 | ||||||||
|
| |||||||
Information Technology — 16.4% | ||||||||
ACI Worldwide* | 2,927 | 81 | ||||||
Acme Packet* | 16,139 | 687 | ||||||
Active Network* | 5,384 | 79 | ||||||
Adobe Systems* | 14,432 | 349 | ||||||
Adtran (A) | 30,505 | 807 | ||||||
Advanced Energy Industries* | 1,400 | 12 | ||||||
Advent Software* (A) | 1,000 | 21 | ||||||
Alliance Data Systems* (A) | 1,000 | 93 | ||||||
Analog Devices | 9,903 | 309 | ||||||
Ancestry.com* | 2,670 | 63 | ||||||
Anixter International (A) | 500 | 24 | ||||||
Ansys* | 14,386 | 705 | ||||||
AOL* | 2,700 | 32 | ||||||
Applied Micro Circuits* (A) | 42,890 | 230 | ||||||
Ariba* | 17,570 | 487 | ||||||
Arris Group* | 7,200 | 74 | ||||||
Arrow Electronics* | 1,900 | 53 | ||||||
Aruba Networks* (A) | 28,060 | 587 | ||||||
Aspen Technology* | 30,780 | 470 | ||||||
Atmel* | 12,100 | 98 | ||||||
ATMI* | 800 | 13 | ||||||
Avid Technology* | 27,862 | 216 | ||||||
Avnet* | 8,300 | 216 | ||||||
AVX | 1,535 | 18 | ||||||
Benchmark Electronics* | 26,482 | 345 | ||||||
Black Box | 5,800 | 124 | ||||||
Blackbaud | 1,000 | 22 | ||||||
Blackboard* | 1,300 | 58 | ||||||
Blue Coat Systems* | 4,810 | 67 | ||||||
Booz Allen Hamilton Holding, Cl A* | 7,542 | 112 | ||||||
Bottomline Technologies* | 2,964 | 60 | ||||||
Broadridge Financial Solutions | 1,700 | 34 | ||||||
BroadSoft* (A) | 13,140 | 399 | ||||||
Brocade Communications Systems* | 153,664 | 664 | ||||||
CACI International, Cl A* (A) | 4,024 | 201 | ||||||
Cadence Design Systems* (A) | 86,320 | 798 | ||||||
Cavium* (A) | 8,520 | 230 | ||||||
Checkpoint Systems* | 1,100 | 15 | ||||||
Ciena* (A) | 1,200 | 13 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cognex | 1,400 | $ | 38 | |||||
Coherent* | 8,586 | 369 | ||||||
CommVault Systems* | 1,400 | 52 | ||||||
Computer Sciences | 5,000 | 134 | ||||||
Comtech Telecommunications | 11,363 | 319 | ||||||
Concur Technologies* (A) | 9,160 | 341 | ||||||
Constant Contact* | 800 | 14 | ||||||
Convergys* (A) | 16,700 | 157 | ||||||
CoreLogic* | 1,800 | 19 | ||||||
Cornerstone OnDemand* | 2,249 | 28 | ||||||
Cree* | 1,902 | 49 | ||||||
CSG Systems International* | 16,700 | 211 | ||||||
CTS | 17,700 | 144 | ||||||
Cymer* | 600 | 22 | ||||||
Cypress Semiconductor | 19,445 | 291 | ||||||
DealerTrack Holdings* | 26,937 | 422 | ||||||
Deltek* (A) | 4,647 | 28 | ||||||
DG FastChannel* (A) | 800 | 14 | ||||||
Dice Holdings* | 30,800 | 241 | ||||||
Diebold | 8,643 | 238 | ||||||
Digital River* (A) | 29,682 | 615 | ||||||
Diodes* | 1,800 | 32 | ||||||
DST Systems | 600 | 26 | ||||||
Earthlink | 65,265 | 426 | ||||||
Echo Global Logistics* | 1,761 | 24 | ||||||
EchoStar, Cl A* | 2,900 | 66 | ||||||
Electronics for Imaging* | 1,300 | 17 | ||||||
Emulex* (A) | 37,444 | 240 | ||||||
Entegris* | 40,900 | 261 | ||||||
Equinix* | 800 | 71 | ||||||
Euronet Worldwide* | 1,400 | 22 | ||||||
F5 Networks* | 7,246 | 515 | ||||||
Factset Research Systems | 800 | 71 | ||||||
Fair Isaac (A) | 800 | 17 | ||||||
Fairchild Semiconductor International* | 56,200 | 607 | ||||||
FARO Technologies* | 1,300 | 41 | ||||||
FEI* | 1,500 | 45 | ||||||
Finisar* | 11,890 | 208 | ||||||
Flir Systems | 2,400 | 60 | ||||||
Formfactor* (A) | 1,169 | 7 | ||||||
Forrester Research (A) | 15,500 | 504 | ||||||
Fortinet* | 10,700 | 180 | ||||||
Gartner* | 2,600 | 91 | ||||||
Genpact* | 1,200 | 17 | ||||||
Global Payments | 1,700 | 69 | ||||||
Harris | 11,700 | 400 | ||||||
Heartland Payment Systems | 3,000 | 59 | ||||||
Hittite Microwave* (A) | 5,400 | 263 | ||||||
IAC* | 17,100 | 676 | ||||||
Informatica* | 7,000 | 287 | ||||||
Inphi* | 21,340 | 187 | ||||||
Integrated Device Technology* | 51,330 | 264 | ||||||
InterDigital | 1,000 | 47 | ||||||
Intermec* (A) | 27,699 | 180 | ||||||
International Rectifier* | 14,100 | 263 | ||||||
Intersil, Cl A | 4,300 | 44 | ||||||
IntraLinks Holdings* | 1,130 | 9 | ||||||
IPG Photonics* | 900 | 39 | ||||||
Ixia* (A) | 25,300 | 194 | ||||||
j2 Global Communications | 15,830 | 426 | ||||||
Jabil Circuit | 41,010 | 730 |
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
JDA Software Group* | 1,800 | $ | 42 | |||||
JDS Uniphase* | 2,700 | 27 | ||||||
Kla-Tencor | 6,600 | 253 | ||||||
Lattice Semiconductor* | 23,100 | 121 | ||||||
Lexmark International, Cl A* | 6,100 | 165 | ||||||
Limelight Networks* (A) | 1,566 | 4 | ||||||
Liquidity Services* | 6,900 | 221 | ||||||
Littelfuse (A) | 4,325 | 174 | ||||||
LivePerson* | 27,618 | 275 | ||||||
LogMein* | 8,083 | 268 | ||||||
LoopNet* (A) | 1,700 | 29 | ||||||
Loral Space & Communications* | 800 | 40 | ||||||
LSI Logic* | 13,100 | 68 | ||||||
Magnachip Semiconductor* | 16,200 | 109 | ||||||
Manhattan Associates* | 4,119 | 136 | ||||||
Mantech International, Cl A | 900 | 28 | ||||||
MAXIMUS | 1,200 | 42 | ||||||
Measurement Specialties* (A) | 2,900 | 75 | ||||||
Mellanox Technologies* | 10,600 | 331 | ||||||
Mentor Graphics* | 2,400 | 23 | ||||||
Methode Electronics (A) | 2,700 | 20 | ||||||
Micrel | 7,000 | 66 | ||||||
Micros Systems* | 8,100 | 356 | ||||||
Microsemi* | 2,832 | 45 | ||||||
MicroStrategy, Cl A* | 3,350 | 382 | ||||||
Mindspeed Technologies* | 24,090 | 125 | ||||||
Molex (A) | 18,406 | 375 | ||||||
Monolithic Power Systems* | 23,481 | 239 | ||||||
Monster Worldwide* | 1,600 | 12 | ||||||
MTS Systems | 1,000 | 31 | ||||||
NCR* | 2,700 | 46 | ||||||
Netgear (A)* | 18,380 | 476 | ||||||
Netlogic Microsystems* | 7,900 | 380 | ||||||
Netscout Systems* | 4,329 | 49 | ||||||
NetSuite* (A) | 1,400 | 38 | ||||||
NeuStar, Cl A* | 1,000 | 25 | ||||||
NIC | 4,100 | 47 | ||||||
Novellus Systems* | 1,600 | 44 | ||||||
Nuance Communications* | 5,900 | 120 | ||||||
Omnivision Technologies* (A) | 1,400 | 20 | ||||||
ON Semiconductor* | 11,300 | 81 | ||||||
OpenTable (A)* | 9,850 | 453 | ||||||
OSI Systems* | 1,300 | 44 | ||||||
Parametric Technology* (A) | 32,959 | 507 | ||||||
Pegasystems (A) | 14,446 | 442 | ||||||
Photronics* | 29,800 | 148 | ||||||
Plantronics (A) | 1,100 | 31 | ||||||
Plexus* | 1,500 | 34 | ||||||
PMC - Sierra* | 8,500 | 51 | ||||||
Polycom* (A) | 26,630 | 489 | ||||||
Power Integrations (A) | 22,619 | 692 | ||||||
Pulse Electronics | 19,700 | 56 | ||||||
QLIK Technologies* | 36,088 | 782 | ||||||
QLogic* | 150 | 2 | ||||||
Quality Systems | 500 | 48 | ||||||
Rackspace Hosting* | 2,100 | 72 | ||||||
Rambus* | 1,900 | 27 | ||||||
RealNetworks (A) | 2,800 | 24 | ||||||
RealPage* | 6,300 | 129 | ||||||
RF Micro Devices* | 7,340 | 47 | ||||||
Richardson Electronics | 500 | 7 | ||||||
RightNow Technologies* | 12,800 | 423 |
Description | Shares | Market Value ($ Thousands) | ||||||
Riverbed Technology* (A) | 17,961 | $ | 358 | |||||
Rofin-Sinar Technologies* (A) | 1,100 | 21 | ||||||
Rovi* (A) | 2,724 | 117 | ||||||
Rubicon Technology* | 404 | 4 | ||||||
S1* | 3,900 | 36 | ||||||
SAIC* | 27,800 | 328 | ||||||
Sapient | 55,810 | 566 | ||||||
Scansource* | 4,632 | 137 | ||||||
Seagate Technology | 29,200 | 300 | ||||||
Semtech* (A) | 3,100 | 65 | ||||||
Silicon Graphics International* (A) | 2,400 | 29 | ||||||
Silicon Laboratories* | 11,220 | 376 | ||||||
Skyworks Solutions* (A) | 33,550 | 602 | ||||||
SolarWinds* (A) | 52,259 | 1,151 | ||||||
Solera Holdings | 900 | 45 | ||||||
Sonus Networks* | 21,550 | 47 | ||||||
Standard Microsystems* | 2,100 | 41 | ||||||
STEC* | 3,349 | 34 | ||||||
SunPower, Cl A* | 329 | 3 | ||||||
Symantec* | 19,494 | 318 | ||||||
Synaptics* (A) | 3,844 | 92 | ||||||
Synopsys* | 30,164 | 735 | ||||||
Syntel (A) | 16,435 | 710 | ||||||
Take-Two Interactive Software* (A) | 2,400 | 31 | ||||||
Taleo, Cl A* | 13,600 | 350 | ||||||
Tech Data* | 8,900 | 385 | ||||||
Tekelec* | 3,400 | 20 | ||||||
TeleTech Holdings* | 5,391 | 82 | ||||||
Tellabs | 22,081 | 95 | ||||||
Teradyne* | 27,400 | 302 | ||||||
Tessera Technologies* | 7,747 | 93 | ||||||
TIBCO Software* | 24,000 | 537 | ||||||
TiVo* | 2,000 | 19 | ||||||
TNS* (A) | 13,401 | 252 | ||||||
Total System Services | 2,800 | 47 | ||||||
Trimble Navigation* | 1,830 | 61 | ||||||
TriQuint Semiconductor* | 4,100 | 21 | ||||||
Tyler Technologies* | 1,277 | 32 | ||||||
Ultimate Software Group* (A) | 800 | 37 | ||||||
Ultra Clean Holdings* | 34,755 | 149 | ||||||
Ultratech* | 1,800 | 31 | ||||||
Unisys* | 670 | 11 | ||||||
United Online (A) | 29,700 | 155 | ||||||
Universal Display* | 4,200 | 201 | ||||||
Valueclick* (A) | 9,527 | 148 | ||||||
Varian Semiconductor Equipment Associates* | 2,075 | 127 | ||||||
Vasco Data Security International (A)* | 295 | 1 | ||||||
Veeco Instruments* (A) | 3,965 | 97 | ||||||
Velti* (A) | 10,863 | 72 | ||||||
VeriFone Holdings* | 22,093 | 774 | ||||||
Viasat* (A) | 1,100 | 37 | ||||||
Virtusa* (A) | 1,600 | 21 | ||||||
Vishay Intertechnology* (A) | 29,200 | 244 | ||||||
Vishay Precision Group* | 192 | 2 | ||||||
VistaPrint* | 900 | 24 | ||||||
Volterra Semiconductor* | 2,100 | 40 | ||||||
WebMD Health, Cl A* | 1,121 | 34 | ||||||
Websense* | 2,994 | 52 |
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Westell Technologies, Cl A* | 12,500 | $ | 27 | |||||
Western Digital* | 13,200 | 339 | ||||||
Wright Express* (A) | 1,100 | 42 | ||||||
Xyratex (A) | 23,178 | 215 | ||||||
Zebra Technologies, Cl A* | 8,517 | 263 | ||||||
|
| |||||||
41,798 | ||||||||
|
| |||||||
Materials — 5.1% | ||||||||
Airgas | 1,600 | 102 | ||||||
AK Steel Holding | 5,745 | 38 | ||||||
Albemarle | 4,500 | 182 | ||||||
Alcoa | 17,069 | 163 | ||||||
Allegheny Technologies | 10,910 | 404 | ||||||
Allied Nevada Gold* | 543 | 19 | ||||||
AMCOL International (A) | 1,500 | 36 | ||||||
Aptargroup | 4,666 | 208 | ||||||
Ashland | 2,600 | 115 | ||||||
Balchem | 1,400 | 52 | ||||||
Ball | 7,100 | 220 | ||||||
Bemis | 11,768 | 345 | ||||||
Boise (A) | 36,400 | 188 | ||||||
Buckeye Technologies | 1,900 | 46 | ||||||
Cabot | 2,980 | 74 | ||||||
Carpenter Technology | 1,300 | 58 | ||||||
Century Aluminum* | 5,100 | 46 | ||||||
Clearwater Paper* | 800 | 27 | ||||||
Coeur d’Alene Mines* | 3,300 | 71 | ||||||
Compass Minerals International | 1,100 | 73 | ||||||
Crown Holdings* | 4,800 | 147 | ||||||
Cytec Industries | 5,285 | 186 | ||||||
Detour Gold* | 11,600 | 304 | ||||||
Domtar | 4,200 | 286 | ||||||
Eagle Materials | 700 | 12 | ||||||
Eastman Chemical | 6,400 | 439 | ||||||
Ferro* | 24,227 | 149 | ||||||
Georgia Gulf* | 3,300 | 46 | ||||||
Glatfelter (A) | 1,700 | 23 | ||||||
Globe Specialty Metals | 5,200 | 76 | ||||||
Greif, Cl A | 4,143 | 178 | ||||||
H.B. Fuller | 6,825 | 124 | ||||||
Hecla Mining* | 8,100 | 43 | ||||||
Horsehead Holding* (A) | 2,100 | 16 | ||||||
Huntsman | 40,050 | 387 | ||||||
Innophos Holdings | 14,754 | 588 | ||||||
International Flavors & Fragrances | 900 | 51 | ||||||
Intrepid Potash* | 21,358 | 531 | ||||||
Jaguar Mining* | 6,405 | 30 | ||||||
James River Coal* (A) | 26,220 | 167 | ||||||
Kaiser Aluminum (A) | 2,571 | 114 | ||||||
Koppers Holdings | 480 | 12 | ||||||
Martin Marietta Materials | 700 | 44 | ||||||
Methanex | 14,250 | 297 | ||||||
Minerals Technologies | 6,944 | 342 | ||||||
Molycorp* | 829 | 27 | ||||||
Nalco Holding | 2,100 | 73 | ||||||
Noranda Aluminum Holding* | 6,400 | 53 | ||||||
Nucor | 9,743 | 308 | ||||||
Olin | 2,200 | 40 | ||||||
OM Group* (A) | 8,168 | 212 | ||||||
Owens-Illinois* | 30,241 | 457 | ||||||
Packaging Corp of America | 22,819 | 532 |
Description | Shares | Market Value ($ Thousands) | ||||||
PolyOne (A) | 73,490 | $ | 787 | |||||
Reliance Steel & Aluminum | 1,200 | 41 | ||||||
Rock-Tenn, Cl A | 1,000 | 49 | ||||||
Rockwood Holdings* | 1,000 | 34 | ||||||
Royal Gold | 1,700 | 109 | ||||||
RPM International | 3,100 | 58 | ||||||
RTI International Metals* (A) | 21,518 | 502 | ||||||
Schnitzer Steel Industries, Cl A | 400 | 15 | ||||||
Schulman A (A) | 11,275 | 192 | ||||||
Schweitzer-Mauduit International (A) | 7,185 | 401 | ||||||
Scotts Miracle-Gro, Cl A | 1,500 | 67 | ||||||
Sensient Technologies (A) | 14,515 | 472 | ||||||
Silgan Holdings | 12,675 | 466 | ||||||
Solutia* | 29,800 | 383 | ||||||
Sonoco Products | 1,400 | 39 | ||||||
Steel Dynamics | 29,600 | 294 | ||||||
Stillwater Mining* (A) | 2,600 | 22 | ||||||
STR Holdings* | 1,765 | 14 | ||||||
Temple-Inland | 2,300 | 72 | ||||||
Texas Industries (A) | 600 | 19 | ||||||
Thompson Creek Metals* | 4,000 | 24 | ||||||
Titanium Metals | 1,100 | 16 | ||||||
UFP Technologies* | 13,800 | 199 | ||||||
US Gold* | 4,734 | 19 | ||||||
Valspar | 1,200 | 37 | ||||||
WR Grace* | 1,400 | 47 | ||||||
|
| |||||||
13,139 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
AboveNet | 10,556 | 566 | ||||||
Cincinnati Bell* | 4,400 | 14 | ||||||
Clearwire, Cl A* | 4,808 | 11 | ||||||
Consolidated Communications Holdings (A) | 1,600 | 29 | ||||||
Global Crossing* (A) | 1,400 | 33 | ||||||
Leap Wireless International* | 3,400 | 23 | ||||||
Level 3 Communications* | 37,700 | 56 | ||||||
MetroPCS Communications* | 3,100 | 27 | ||||||
Neutral Tandem* | 2,400 | 23 | ||||||
NII Holdings* | 15,547 | 419 | ||||||
NTELOS Holdings | 2,800 | 50 | ||||||
PAETEC Holding* (A) | 6,400 | 34 | ||||||
Price Communication* | 3,800 | — | ||||||
SBA Communications, Cl A* | 3,100 | 107 | ||||||
tw telecom, Cl A* | 5,300 | 87 | ||||||
USA Mobility (A) | 15,500 | 205 | ||||||
|
| |||||||
1,684 | ||||||||
|
| |||||||
Utilities — 4.3% | ||||||||
AGL Resources | 25,042 | 1,020 | ||||||
Allete | 1,300 | 48 | ||||||
Alliant Energy | 1,300 | 50 | ||||||
American States Water (A) | 1,700 | 58 | ||||||
American Water Works | 2,200 | 66 | ||||||
Aqua America | 269 | 6 | ||||||
Atmos Energy | 2,500 | 81 | ||||||
Avista (A) | 15,500 | 370 | ||||||
Black Hills | 700 | 21 | ||||||
California Water Service Group | 2,800 | 50 | ||||||
CH Energy Group (A) | 1,000 | 52 | ||||||
Chesapeake Utilities | 7,396 | 297 | ||||||
Cleco (A) | 1,600 | 55 |
11 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
CMS Energy (A) | 18,100 | $ | 358 | |||||
Constellation Energy Group | 11,000 | 419 | ||||||
DPL | 2,000 | 60 | ||||||
Dynegy, Cl A* (A) | 12,014 | 49 | ||||||
Edison International | 7,838 | 300 | ||||||
El Paso Electric | 4,700 | 151 | ||||||
Empire District Electric (A) | 4,400 | 85 | ||||||
GenOn Energy* | 31,600 | 88 | ||||||
Great Plains Energy (A) | 58,008 | 1,120 | ||||||
Hawaiian Electric Industries | 4,800 | 116 | ||||||
Idacorp (A) | 5,128 | 194 | ||||||
Integrys Energy Group | 1,000 | 49 | ||||||
ITC Holdings | 1,000 | 77 | ||||||
Laclede Group (A) | 2,600 | 101 | ||||||
MDU Resources Group | 5,300 | 102 | ||||||
MGE Energy (A) | 1,600 | 65 | ||||||
New Jersey Resources | 750 | 32 | ||||||
Nicor | 900 | 50 | ||||||
Northeast Utilities | 4,000 | 135 | ||||||
Northwest Natural Gas (A) | 8,825 | 389 | ||||||
NorthWestern | 2,600 | 83 | ||||||
NSTAR | 1,100 | 49 | ||||||
NV Energy | 3,400 | 50 | ||||||
OGE Energy | 900 | 43 | ||||||
Otter Tail | 1,800 | 33 | ||||||
Pepco Holdings | 2,200 | 42 | ||||||
Piedmont Natural Gas | 1,800 | 52 | ||||||
Pinnacle West Capital | 4,800 | 206 | ||||||
PNM Resources | 1,700 | 28 | ||||||
Portland General Electric (A) | 58,302 | 1,381 | ||||||
SCANA | 11,566 | 468 | ||||||
South Jersey Industries | 88 | 5 | ||||||
Southern Union | 2,400 | 97 | ||||||
Southwest Gas | 10,045 | 363 | ||||||
TECO Energy | 21,207 | 363 | ||||||
UGI | 4,300 | 113 | ||||||
UIL Holdings (A) | 13,375 | 440 | ||||||
Unisource Energy | 1,300 | 47 | ||||||
Vectren | 2,100 | 57 | ||||||
Westar Energy | 6,710 | 177 | ||||||
WGL Holdings | 10,580 | 413 | ||||||
Xcel Energy | 14,988 | 370 | ||||||
|
| |||||||
10,994 | ||||||||
|
| |||||||
Total Common Stock | 247,582 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.0% | ||||||||
iShares Russell 2000 Index Fund | 1,036 | 66 | ||||||
Total Exchange Traded Fund | 66 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Endo Pharmaceuticals | 1,900 | $ | — | |||||
First Bancorp Expires 11/01/11 | 1,660 | — | ||||||
Ligand Pharma Expires 01/05/12 | 29,750 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANT — 0.0% | ||||||||
Magnum Hunter Resources Expires 08/29/14* | 6,042 | — | ||||||
|
| |||||||
Total Warrant | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 15.5% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**†† (B) | 39,860,685 | 39,567 | ||||||
|
| |||||||
Total Affiliated Partnership | 39,567 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 8,452,373 | 8,452 | ||||||
|
| |||||||
Total Cash Equivalent | 8,452 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (C)(D) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.058%, 12/15/11 | $ | 1,000 | 1,000 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 1,000 | |||||||
|
| |||||||
Total Investments — 116.2% | $ | 296,667 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized ($ Thousands) | |||||||||
Russell 2000 Index | 49 | Dec-2011 | $ | (148 | ) | |||||||
S&P Mid 400 Index | 43 | Dec-2011 | (147 | ) | ||||||||
|
| |||||||||||
$ | (295 | ) | ||||||||||
|
|
For the year ended September 30, 2011, 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.
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Small / Mid Cap Fund
September 30, 2011
Percentages are based on Net Assets of $255,297 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
‡ | Formerly Tax-Managed Small Cap Fund. |
(A) | This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $37,783 ($ 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, 2011 was $39,567 ($Thousands). |
(C) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
NY — New York
PIPE — Private Investment in Public Entity
S&P — Standard and Poor’s
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carriedat value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 247,582 | $ | — | $ | — | $ | 247,582 | ||||||||
Exchange Traded Fund | 66 | — | — | 66 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 39,567 | — | 39,567 | ||||||||||||
Cash Equivalent | 8,452 | — | — | 8,452 | ||||||||||||
U.S. Treasury Obligation | — | 1,000 | — | 1,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 256,100 | $ | 40,567 | $ | — | $ | 296,667 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (295 | ) | $ | — | $ | — | $ | (295 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (295 | ) | $ | — | $ | — | $ | (295 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
13 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.9% | ||||||||
Consumer Discretionary — 14.8% | ||||||||
Abercrombie & Fitch, Cl A | 5,400 | $ | 332 | |||||
American Eagle Outfitters | 34,815 | 408 | ||||||
BorgWarner* (A) | 7,800 | 472 | ||||||
Coach | 9,200 | 477 | ||||||
Deckers Outdoor* | 3,500 | 327 | ||||||
Dick’s Sporting Goods* | 7,800 | 261 | ||||||
DISH Network, Cl A* | 1,100 | 28 | ||||||
Dollar Tree* | 1,080 | 81 | ||||||
Federal Mogul, Cl A* | 2,400 | 36 | ||||||
Fossil* | 3,900 | 316 | ||||||
Gap | 24,254 | 394 | ||||||
Genuine Parts | 2,400 | 122 | ||||||
Global Sources* | 2,300 | 16 | ||||||
Harley-Davidson | 26,905 | 923 | ||||||
Harman International Industries | 1,900 | 54 | ||||||
Hasbro | 1,900 | 62 | ||||||
International Game Technology | 41,863 | 608 | ||||||
Interpublic Group | 48,752 | 351 | ||||||
Kohl’s | 800 | 39 | ||||||
Liberty Media - Capital, Cl A | 1,000 | 66 | ||||||
Liberty Media - Starz, Cl A* | 700 | 44 | ||||||
Limited Brands | 2,300 | 89 | ||||||
LKQ* | 800 | 19 | ||||||
Lululemon Athletica* (A) | 5,100 | 248 | ||||||
Macy’s | 4,900 | 129 | ||||||
Marriott International, Cl A (A) | 16,900 | 461 | ||||||
McGraw-Hill | 3,400 | 139 | ||||||
NetFlix* (A) | 2,000 | 226 | ||||||
Newell Rubbermaid | 45,486 | 540 | ||||||
Panera Bread, Cl A* | 1,000 | 104 | ||||||
PetSmart | 1,100 | 47 | ||||||
Polaris Industries | 2,000 | 100 | ||||||
Ross Stores | 1,760 | 139 | ||||||
Royal Caribbean Cruises (A) | 28,366 | 614 | ||||||
Scripps Networks Interactive, Cl A | 11,000 | 409 | ||||||
Signet Jewelers | 300 | 10 | ||||||
Sirius XM Radio* (A) | 202,700 | 306 | ||||||
Sotheby’s (A) | 6,000 | 165 | ||||||
Tempur-Pedic International* | 4,300 | 226 | ||||||
Tesla Motors* (A) | 7,900 | 193 | ||||||
Toll Brothers* | 16,200 | 234 | ||||||
TRW Automotive Holdings* | 700 | 23 | ||||||
Urban Outfitters* (A) | 11,750 | 262 | ||||||
Whirlpool | 1,100 | 55 | ||||||
Williams-Sonoma | 3,500 | 108 | ||||||
WMS Industries* | 24,943 | 439 | ||||||
Wyndham Worldwide | 3,200 | 91 | ||||||
Wynn Resorts | 2,600 | 299 | ||||||
|
| |||||||
11,092 | ||||||||
|
| |||||||
Consumer Staples — 3.5% | ||||||||
Avon Products | 6,100 | 119 | ||||||
Bunge | 2,100 | 122 | ||||||
Coca-Cola Enterprises | 3,500 | 87 | ||||||
Constellation Brands, Cl A* | 23,218 | 418 | ||||||
Corn Products International | 2,000 | 79 | ||||||
Herbalife | 1,600 | 86 | ||||||
Hormel Foods | 1,500 | 41 | ||||||
Kroger | 21,702 | 477 |
Description | Shares | Market Value ($ Thousands) | ||||||
Lorillard | 1,430 | $ | 158 | |||||
Molson Coors Brewing, Cl B | 13,366 | 530 | ||||||
SYSCO | 15,033 | 389 | ||||||
Tyson Foods, Cl A | 6,300 | 109 | ||||||
|
| |||||||
2,615 | ||||||||
|
| |||||||
Energy — 7.3% | ||||||||
Cabot Oil & Gas | 360 | 22 | ||||||
Cameron International* | 14,600 | 607 | ||||||
CARBO Ceramics | 1,900 | 195 | ||||||
Cimarex Energy | 200 | 11 | ||||||
Concho Resources* | 8,300 | 590 | ||||||
Consol Energy | 3,100 | 105 | ||||||
Core Laboratories | 3,800 | 341 | ||||||
Energen | 2,200 | 90 | ||||||
EQT | 7,126 | 380 | ||||||
EXCO Resources | 1,900 | 20 | ||||||
HollyFrontier | 3,400 | 89 | ||||||
Marathon Oil | 1,400 | 30 | ||||||
Marathon Petroleum | 1,250 | 34 | ||||||
McDermott International* | 7,200 | 77 | ||||||
Murphy Oil | 10,454 | 462 | ||||||
Nabors Industries* | 22,498 | 276 | ||||||
Newfield Exploration* | 17,322 | 688 | ||||||
Noble Energy | 400 | 28 | ||||||
Peabody Energy | 2,500 | 85 | ||||||
Pioneer Natural Resources | 5,880 | 387 | ||||||
QEP Resources | 200 | 5 | ||||||
Range Resources (A) | 13,268 | 776 | ||||||
RPC (A) | 1,500 | 25 | ||||||
SEACOR Holdings | 1,190 | 95 | ||||||
SM Energy | 510 | 31 | ||||||
Valero Energy | 3,700 | 66 | ||||||
|
| |||||||
5,515 | ||||||||
|
| |||||||
Financials — 14.8% | ||||||||
Aflac | 1,200 | 42 | ||||||
American Capital Agency † | 500 | 14 | ||||||
American Financial Group | 1,200 | 37 | ||||||
Ameriprise Financial | 10,517 | 414 | ||||||
Annaly Capital Management † | 8,800 | 146 | ||||||
Ashford Hospitality Trust † | 400 | 3 | ||||||
Assurant | 2,500 | 90 | ||||||
BOK Financial (A) | 6,800 | 319 | ||||||
Brandywine Realty Trust † | 2,500 | 20 | ||||||
Camden Property Trust † | 5,400 | 298 | ||||||
Chatham Lodging Trust † | 2,400 | 24 | ||||||
Chimera Investment † (A) | 15,000 | 41 | ||||||
Comerica | 21,585 | 496 | ||||||
CommonWealth † | 3,650 | 69 | ||||||
Digital Realty Trust † (A) | 8,082 | 446 | ||||||
Discover Financial Services | 5,100 | 117 | ||||||
Duke Realty † | 3,800 | 40 | ||||||
East West Bancorp | 900 | 13 | ||||||
Endurance Specialty Holdings | 11,808 | 403 | ||||||
Erie Indemnity, Cl A | 400 | 29 | ||||||
Federated Investors, Cl B (A) | 22,499 | 395 | ||||||
Fifth Third Bancorp | 76,295 | 771 | ||||||
Genworth Financial, Cl A* | 16,600 | 95 | ||||||
Hospitality Properties Trust † | 3,300 | 70 | ||||||
Host Hotels & Resorts † | 32,839 | 359 | ||||||
Huntington Bancshares | 21,800 | 105 | ||||||
Inland Real Estate † | 4,200 | 31 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Jones Lang LaSalle | 1,200 | $ | 62 | |||||
Keycorp | 18,200 | 108 | ||||||
Lazard, Cl A | 11,600 | 245 | ||||||
Liberty Property Trust † (A) | 20,356 | 593 | ||||||
Moody’s (A) | 14,900 | 453 | ||||||
NASDAQ OMX Group* | 3,100 | 72 | ||||||
Nelnet, Cl A | 1,400 | 26 | ||||||
PartnerRe | 6,896 | 360 | ||||||
PNC Financial Services Group | 300 | 14 | ||||||
ProAssurance | 5,659 | 408 | ||||||
ProLogis † | 10,377 | 252 | ||||||
Raymond James Financial | 4,000 | 104 | ||||||
Regions Financial | 3,900 | 13 | ||||||
Reinsurance Group of America, Cl A | 9,384 | 431 | ||||||
Resource Capital † (A) | 4,900 | 24 | ||||||
SLM | 9,100 | 114 | ||||||
Sunstone Hotel Investors* † | 4,900 | 28 | ||||||
SunTrust Banks | 7,000 | 126 | ||||||
Synovus Financial (A) | 103,691 | 111 | ||||||
T. Rowe Price Group | 8,900 | 425 | ||||||
TCF Financial (A) | 42,387 | 388 | ||||||
TD Ameritrade Holding | 17,300 | 254 | ||||||
Torchmark | 700 | 24 | ||||||
Unum Group | 27,950 | 586 | ||||||
Vornado Realty Trust † | 735 | 55 | ||||||
Willis Group Holdings | 13,524 | 465 | ||||||
Winthrop Realty Trust † | 3,500 | 30 | ||||||
Zions Bancorporation (A) | 32,728 | 460 | ||||||
|
| |||||||
11,118 | ||||||||
|
| |||||||
Health Care — 11.8% | ||||||||
Aetna | 2,500 | 91 | ||||||
Agilent Technologies* | 11,600 | 363 | ||||||
Alexion Pharmaceuticals* | 7,200 | 461 | ||||||
AmerisourceBergen | 9,397 | 350 | ||||||
Brookdale Senior Living, Cl A* | 18,100 | 227 | ||||||
Bruker BioSciences* | 13,300 | 180 | ||||||
C.R. Bard | 500 | 44 | ||||||
CareFusion* | 4,700 | 113 | ||||||
Cerner* (A) | 6,000 | 411 | ||||||
Cigna | 1,300 | 54 | ||||||
Coventry Health Care* | 13,200 | 380 | ||||||
Covidien | 700 | 31 | ||||||
HCA Holdings* | 15,972 | 322 | ||||||
Health Net* | 3,300 | 78 | ||||||
Healthsouth* | 23,415 | 350 | ||||||
Hill-Rom Holdings | 2,300 | 69 | ||||||
Hologic* | 31,745 | 483 | ||||||
Humana | 8,620 | 627 | ||||||
IDEXX Laboratories* | 80 | 5 | ||||||
Illumina* | 4,500 | 184 | ||||||
Intuitive Surgical* | 200 | 73 | ||||||
Life Technologies* | 3,000 | 115 | ||||||
Lincare Holdings | 14,700 | 331 | ||||||
Myriad Genetics* | 400 | 8 | ||||||
Patterson | 14,937 | 428 | ||||||
PerkinElmer | 4,800 | 92 | ||||||
Perrigo | 3,720 | 361 | ||||||
Quest Diagnostics | 9,058 | 447 | ||||||
Sirona Dental Systems* | 10,500 | 445 | ||||||
STERIS | 15,360 | 450 |
Description | Shares | Market Value ($ Thousands) | ||||||
SXC Health Solutions* | 2,100 | $ | 117 | |||||
Thoratec* | 9,300 | 303 | ||||||
United Therapeutics* | 300 | 11 | ||||||
Universal Health Services, Cl B | 900 | 31 | ||||||
Valeant Pharmaceuticals International | 16,300 | 605 | ||||||
Warner Chilcott, Cl A* | 4,900 | 70 | ||||||
Zimmer Holdings* | 2,500 | 134 | ||||||
|
| |||||||
8,844 | ||||||||
|
| |||||||
Industrials — 15.7% | ||||||||
AGCO* | 6,600 | 228 | ||||||
Air Lease, Cl A* (A) | 15,000 | 288 | ||||||
Alliant Techsystems (A) | 800 | 44 | ||||||
Armstrong World Industries (A) | 11,800 | 406 | ||||||
Avery Dennison | 15,979 | 401 | ||||||
Avis Budget Group* (A) | 21,800 | 211 | ||||||
Carlisle | 10,400 | 331 | ||||||
Cintas | 15,400 | 433 | ||||||
Cooper Industries, Cl A | 8,500 | 392 | ||||||
CSX | 200 | 4 | ||||||
Cummins | 5,500 | 449 | ||||||
Dover | 11,830 | 551 | ||||||
DXP Enterprises* | 600 | 11 | ||||||
Eaton | 800 | 28 | ||||||
Emerson Electric | 600 | 25 | ||||||
Equifax | 2,700 | 83 | ||||||
Flowserve | 5,049 | 374 | ||||||
Fluor | 8,280 | 386 | ||||||
Gardner Denver | 1,480 | 94 | ||||||
General Dynamics | 200 | 11 | ||||||
Goodrich | 5,100 | 615 | ||||||
Hubbell, Cl B | 300 | 15 | ||||||
Huntington Ingalls Industries* | 1,400 | 34 | ||||||
IHS, Cl A* | 6,100 | 456 | ||||||
Ingersoll-Rand | 1,900 | 53 | ||||||
ITT | 2,800 | 118 | ||||||
JB Hunt Transport Services | 9,200 | 332 | ||||||
KBR | 2,700 | 64 | ||||||
L-3 Communications Holdings | 1,400 | 87 | ||||||
Manpower | 100 | 3 | ||||||
Norfolk Southern | 400 | 24 | ||||||
Owens Corning* | 1,100 | 24 | ||||||
Pall | 9,900 | 420 | ||||||
Parker Hannifin | 6,910 | 436 | ||||||
Republic Services | 22,366 | 628 | ||||||
Rockwell Automation | 1,700 | 95 | ||||||
Roper Industries | 4,670 | 322 | ||||||
Spirit Aerosystems Holdings, Cl A* | 17,662 | 282 | ||||||
Stericycle* | 5,600 | 452 | ||||||
Teleflex (A) | 7,774 | 418 | ||||||
Thomas & Betts* | 900 | 36 | ||||||
Timken | 3,000 | 99 | ||||||
Towers Watson, Cl A | 8,659 | 518 | ||||||
TransDigm Group* | 3,500 | 286 | ||||||
URS* | 1,700 | 50 | ||||||
Wabtec | 7,900 | 418 | ||||||
WW Grainger (A) | 5,050 | 755 | ||||||
|
| |||||||
11,790 | ||||||||
|
| |||||||
Information Technology — 17.1% | ||||||||
Activision Blizzard | 5,500 | 65 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Adobe Systems* | 19,445 | $ | 470 | |||||
Akamai Technologies* | 3,900 | 78 | ||||||
Alliance Data Systems* (A) | 5,900 | 547 | ||||||
Amphenol, Cl A | 7,500 | 306 | ||||||
Analog Devices | 13,942 | 436 | ||||||
Aruba Networks* (A) | 9,700 | 203 | ||||||
Autodesk* | 4,300 | 120 | ||||||
Avago Technologies | 13,400 | 439 | ||||||
Avnet* | 4,200 | 110 | ||||||
BMC Software* | 1,400 | 54 | ||||||
Brocade Communications Systems* | 108,050 | 467 | ||||||
CA | 6,300 | 122 | ||||||
CGI Group, Cl A* | 13,600 | 256 | ||||||
Citrix Systems* | 5,200 | 284 | ||||||
Concur Technologies* (A) | 5,200 | 194 | ||||||
Dell* | 700 | 10 | ||||||
Dolby Laboratories, Cl A* | 2,100 | 58 | ||||||
Equinix* | 4,100 | 364 | ||||||
F5 Networks* | 4,700 | 334 | ||||||
Factset Research Systems (A) | 3,910 | 348 | ||||||
Fairchild Semiconductor International* | 5,200 | 56 | ||||||
Fidelity National Information Services | 1,800 | 44 | ||||||
Fiserv* | 800 | 41 | ||||||
FleetCor Technologies* | 7,300 | 192 | ||||||
Fortinet* | 9,500 | 160 | ||||||
Freescale Semiconductor Holdings I* | 19,700 | 217 | ||||||
Intuit | 2,600 | 123 | ||||||
Jabil Circuit | 3,000 | 53 | ||||||
Marvell Technology Group* | 2,400 | 35 | ||||||
Mastercard, Cl A | 260 | 82 | ||||||
Maxim Integrated Products | 4,700 | 109 | ||||||
Microchip Technology (A) | 11,600 | 361 | ||||||
Micros Systems* | 8,700 | 382 | ||||||
Molex (A) | 22,103 | 450 | ||||||
Motorola Solutions | 200 | 8 | ||||||
NetApp* | 8,000 | 271 | ||||||
Nuance Communications* (A) | 22,800 | 464 | ||||||
Nvidia* | 4,900 | 61 | ||||||
OpenTable* (A) | 4,300 | 198 | ||||||
PMC - Sierra* | 1,300 | 8 | ||||||
Polycom* | 19,600 | 360 | ||||||
Rackspace Hosting* | 6,800 | 232 | ||||||
Red Hat* | 9,900 | 418 | ||||||
Rovi* | 7,700 | 331 | ||||||
SAIC* | 700 | 8 | ||||||
Salesforce.com* | 2,800 | 320 | ||||||
SanDisk* | 3,100 | 125 | ||||||
Symantec* | 26,264 | 428 | ||||||
Synopsys* | 23,485 | 572 | ||||||
TE Connectivity | 11,600 | 326 | ||||||
VeriFone Holdings* | 10,600 | 371 | ||||||
Visa, Cl A | 200 | 17 | ||||||
Western Digital* | 4,200 | 108 | ||||||
Xerox | 17,100 | 119 | ||||||
Xilinx (A) | 11,800 | 324 | ||||||
Zebra Technologies, Cl A* | 6,100 | 189 | ||||||
|
| |||||||
12,828 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 5.9% | ||||||||
Albemarle | 200 | $ | 8 | |||||
Alcoa | 22,996 | 220 | ||||||
Allegheny Technologies | 14,699 | 544 | ||||||
Bemis (A) | 13,564 | 398 | ||||||
Cabot | 2,100 | 52 | ||||||
CF Industries Holdings | 600 | 74 | ||||||
Cliffs Natural Resources | 200 | 10 | ||||||
Commercial Metals | 1,300 | 13 | ||||||
Eastman Chemical | 1,440 | 99 | ||||||
FMC | 7,000 | 484 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 200 | 6 | ||||||
Greif, Cl A | 6,500 | 279 | ||||||
Huntsman | 28,439 | 275 | ||||||
Kronos Worldwide | 400 | 6 | ||||||
Mosaic | 300 | 15 | ||||||
Nucor (A) | 13,127 | 415 | ||||||
Owens-Illinois* | 26,260 | 397 | ||||||
Packaging Corp of America | 16,696 | 389 | ||||||
Reliance Steel & Aluminum | 2,700 | 92 | ||||||
Rock-Tenn, Cl A | 1,100 | 53 | ||||||
Sealed Air | 2,100 | 35 | ||||||
Sherwin-Williams (A) | 6,100 | 453 | ||||||
Solutia* | 1,600 | 21 | ||||||
Steel Dynamics | 8,600 | 85 | ||||||
Walter Energy | 230 | 14 | ||||||
Westlake Chemical | 300 | 10 | ||||||
|
| |||||||
4,447 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% | ||||||||
MetroPCS Communications* | 7,400 | 65 | ||||||
NII Holdings* | 2,500 | 67 | ||||||
Telephone & Data Systems | 500 | 11 | ||||||
Windstream (A) | 7,900 | 92 | ||||||
|
| |||||||
235 | ||||||||
|
| |||||||
Utilities — 5.7% | ||||||||
AES* | 11,500 | 112 | ||||||
AGL Resources (A) | 16,263 | 662 | ||||||
Ameren | 1,600 | 48 | ||||||
American Water Works | 3,800 | 114 | ||||||
Edison International | 10,560 | 404 | ||||||
Entergy | 2,200 | 146 | ||||||
Great Plains Energy (A) | 34,204 | 660 | ||||||
MDU Resources Group | 1,800 | 34 | ||||||
NRG Energy* | 400 | 9 | ||||||
Oneok | 40 | 3 | ||||||
PG&E | 300 | 13 | ||||||
Portland General Electric | 13,982 | 331 | ||||||
SCANA (A) | 14,866 | 601 | ||||||
Sempra Energy | 2,800 | 144 | ||||||
TECO Energy | 26,146 | 448 | ||||||
UGI | 3,000 | 79 | ||||||
Xcel Energy | 20,193 | 499 | ||||||
|
| |||||||
4,307 | ||||||||
|
| |||||||
Total Common Stock | 72,791 | |||||||
|
|
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2011
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 17.6% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.130%**†† (B) | 13,558,149 | $ | 13,234 | |||||
|
| |||||||
Total Affiliated Partnership | 13,234 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 1,573,526 | 1,574 | ||||||
|
| |||||||
Total Cash Equivalent | 1,574 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C)(D) — 0.6% |
| |||||||
U.S. Treasury Bills | ||||||||
0.032%, 12/15/11 | $ | 412 | 413 | |||||
0.024%, 12/08/11 | 45 | 45 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 458 | |||||||
|
| |||||||
Total Investments — 117.2% | $ | 88,057 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E- MINI | 29 | Dec-2011 | $ | (33 | ) | |||||||
|
|
For the year ended September 30, 2011, 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 $75,140 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $12,771 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total value of such securities as of September 30, 2011 was $13,234 $ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
Ser — Series
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 72,791 | $ | — | $ | — | $ | 72,791 | ||||||||
Affiliated Partnership | — | 13,234 | — | 13,234 | ||||||||||||
Cash Equivalent | 1,574 | — | — | 1,574 | ||||||||||||
U.S. Treasury Obligations | — | 458 | — | 458 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 74,365 | $ | 13,692 | $ | — | $ | 88,057 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (33 | ) | $ | — | $ | — | $ | (33 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (33 | ) | $ | — | $ | — | $ | (33 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.1% | ||||||||
Consumer Discretionary — 7.0% | ||||||||
Aaron’s | 34,000 | $ | 858 | |||||
Advance Auto Parts | 31,860 | 1,851 | ||||||
Amazon.com* | 2,757 | 596 | ||||||
Apollo Group, Cl A* | 11,400 | 451 | ||||||
Autoliv | 6,600 | 320 | ||||||
Best Buy | 34,200 | 797 | ||||||
Big Lots* | 28,000 | 975 | ||||||
Choice Hotels International | 22,000 | 654 | ||||||
Cinemark Holdings | 28,800 | 544 | ||||||
DeVry | 17,100 | 632 | ||||||
DIRECTV, Cl A* | 48,100 | 2,032 | ||||||
Discovery Communications, Cl A* | 23,900 | 899 | ||||||
DreamWorks Animation SKG, Cl A* | 27,700 | 503 | ||||||
Family Dollar Stores | 23,100 | 1,175 | ||||||
GameStop, Cl A* | 42,500 | 982 | ||||||
Gap | 63,600 | 1,033 | ||||||
Gildan Activewear | 20,600 | 532 | ||||||
H&R Block | 161,800 | 2,154 | ||||||
Hillenbrand | 44,800 | 824 | ||||||
Hyatt Hotels, Cl A* | 30,400 | 953 | ||||||
ITT Educational Services* | 10,500 | 605 | ||||||
Kohl’s | 33,900 | 1,665 | ||||||
Liberty Media - Starz, Cl A* | 3,558 | 226 | ||||||
Madison Square Garden, Cl A* | 5,336 | 122 | ||||||
NetFlix* | 202 | 23 | ||||||
Panera Bread, Cl A* | 8,800 | 915 | ||||||
priceline.com* | 7,423 | 3,337 | ||||||
Shaw Communications, Cl B | 43,900 | 887 | ||||||
Target | 53,650 | 2,631 | ||||||
TJX | 28,900 | 1,603 | ||||||
Washington Post, Cl B | 2,400 | 785 | ||||||
|
| |||||||
31,564 | ||||||||
|
| |||||||
Consumer Staples — 20.9% | ||||||||
Altria Group | 137,322 | 3,682 | ||||||
Archer-Daniels-Midland | 31,500 | 782 | ||||||
BJ’s Wholesale Club* | 96,730 | 4,956 | ||||||
Brown-Forman, Cl B | 53,351 | 3,742 | ||||||
Bunge | 5,517 | 322 | ||||||
Church & Dwight | 21,500 | 950 | ||||||
Clorox | 13,550 | 899 | ||||||
Coca-Cola Enterprises | 197,603 | 4,916 | ||||||
ConAgra Foods | 54,700 | 1,325 | ||||||
Costco Wholesale | 5,741 | 471 | ||||||
CVS Caremark | 82,600 | 2,774 | ||||||
Dean Foods* | 27,200 | 241 | ||||||
Flowers Foods | 121,501 | 2,364 | ||||||
Fresh Del Monte Produce | 31,800 | 738 | ||||||
General Mills | 18,600 | 716 | ||||||
Hansen Natural* | 51,423 | 4,489 | ||||||
Hershey | 83,440 | 4,943 | ||||||
Hormel Foods | 227,871 | 6,157 | ||||||
Kellogg | 16,600 | 883 | ||||||
Kimberly-Clark | 62,100 | 4,410 | ||||||
Kroger | 223,541 | 4,909 | ||||||
Lorillard | 62,441 | 6,912 |
Description | Shares | Market Value ($ Thousands) | ||||||
McCormick | 83,800 | $ | 3,868 | |||||
Metro, Cl A | 43,500 | 1,913 | ||||||
Nash Finch | 13,900 | 374 | ||||||
Philip Morris International | 57,047 | 3,558 | ||||||
Ralcorp Holdings* | 17,318 | 1,328 | ||||||
Reynolds American | 175,746 | 6,587 | ||||||
Ruddick | 21,700 | 846 | ||||||
Safeway | 114,000 | 1,896 | ||||||
SYSCO | 122,927 | 3,184 | ||||||
TreeHouse Foods* | 15,400 | 952 | ||||||
Tyson Foods, Cl A | 56,100 | 974 | ||||||
Walgreen | 97,900 | 3,220 | ||||||
Wal-Mart Stores | 84,700 | 4,396 | ||||||
|
| |||||||
94,677 | ||||||||
|
| |||||||
Energy — 4.0% | ||||||||
Berry Petroleum, Cl A | 16,400 | 580 | ||||||
Chevron | 48,900 | 4,524 | ||||||
Cobalt International Energy* | 31,900 | 246 | ||||||
ConocoPhillips | 32,000 | 2,026 | ||||||
Dresser-Rand Group* | 22,200 | 900 | ||||||
Exxon Mobil | 75,300 | 5,469 | ||||||
HollyFrontier | 31,400 | 824 | ||||||
Lufkin Industries | 11,600 | 617 | ||||||
Marathon Petroleum | 44,383 | 1,201 | ||||||
Murphy Oil | 17,000 | 751 | ||||||
Range Resources | 17,700 | 1,035 | ||||||
|
| |||||||
18,173 | ||||||||
|
| |||||||
Financials — 10.7% | ||||||||
Alleghany* | 1,100 | 317 | ||||||
Allied World Assurance Holdings | 14,300 | 768 | ||||||
American Campus Communities † | 25,800 | 960 | ||||||
Arch Capital Group* | 64,202 | 2,098 | ||||||
Associated Banc-Corp | 62,200 | 579 | ||||||
Bank of Hawaii | 40,066 | 1,459 | ||||||
BankUnited | 8,283 | 172 | ||||||
Brown & Brown | 43,900 | 781 | ||||||
Capitol Federal Financial | 58,177 | 615 | ||||||
Chubb | 52,400 | 3,143 | ||||||
Commerce Bancshares | 79,838 | 2,774 | ||||||
Corporate Office Properties Trust † | 24,100 | 525 | ||||||
Cullen/Frost Bankers | 27,366 | 1,255 | ||||||
Endurance Specialty Holdings | 44,616 | 1,524 | ||||||
Equity Lifestyle Properties † | 14,300 | 897 | ||||||
Erie Indemnity, Cl A | 14,200 | 1,011 | ||||||
Everest Re Group | 22,435 | 1,781 | ||||||
Federated Investors, Cl B | 35,400 | 620 | ||||||
First Citizens BancShares, Cl A | 6,291 | 903 | ||||||
First Niagara Financial Group | 104,996 | 961 | ||||||
Fulton Financial | 67,100 | 513 | ||||||
Genworth MI Canada | 40,500 | 786 | ||||||
HCC Insurance Holdings | 15,200 | 411 | ||||||
Health Care † | 20,200 | 945 | ||||||
Home Properties † | 15,200 | 863 | ||||||
Hudson City Bancorp | 158,700 | 898 | ||||||
MFA Financial † | 112,500 | 790 | ||||||
National Bank of Canada | 22,100 | 1,482 | ||||||
New York Community Bancorp | 98,344 | 1,170 | ||||||
PartnerRe | 9,900 | 517 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Piedmont Office Realty Trust,Cl A † | 46,900 | $ | 758 | |||||
Prosperity Bancshares | 24,500 | 801 | ||||||
Public Storage † | 7,100 | 791 | ||||||
Realty Income † | 26,100 | 841 | ||||||
RenaissanceRe Holdings | 14,400 | 919 | ||||||
Signature Bank NY* | 16,300 | 778 | ||||||
Tanger Factory Outlet Centers † | 34,400 | 895 | ||||||
TFS Financial* | 104,300 | 848 | ||||||
Tower Group | 47,500 | 1,086 | ||||||
Transatlantic Holdings | 17,300 | 839 | ||||||
Travelers | 55,300 | 2,695 | ||||||
Validus Holdings | 70,700 | 1,762 | ||||||
Valley National Bancorp | 44,205 | 468 | ||||||
Ventas † | 9,753 | 482 | ||||||
Washington Real Estate Investment Trust † | 12,400 | 349 | ||||||
White Mountains Insuranc Group | 900 | 365 | ||||||
WR Berkley | 78,400 | 2,328 | ||||||
|
| |||||||
48,523 | ||||||||
|
| |||||||
Health Care — 21.4% | ||||||||
Abbott Laboratories | 171,052 | 8,748 | ||||||
Aetna | 57,900 | 2,105 | ||||||
Alexion Pharmaceuticals* | 63,215 | 4,050 | ||||||
AmerisourceBergen | 133,111 | 4,961 | ||||||
Amgen | 120,605 | 6,627 | ||||||
Baxter International | 27,800 | 1,561 | ||||||
Becton Dickinson | 53,064 | 3,891 | ||||||
Biogen Idec* | 31,923 | 2,974 | ||||||
C.R. Bard | 35,110 | 3,073 | ||||||
Cardinal Health | 142,717 | 5,977 | ||||||
Cephalon* | 48,952 | 3,950 | ||||||
Coventry Health Care* | 21,700 | 625 | ||||||
Edwards Lifesciences* | 3,290 | 234 | ||||||
Eli Lilly | 165,393 | 6,114 | ||||||
Endo Pharmaceuticals Holdings* | 46,300 | 1,296 | ||||||
Gilead Sciences* | 57,000 | 2,212 | ||||||
Health Net* | 29,900 | 709 | ||||||
Henry Schein* | 21,308 | 1,321 | ||||||
Humana | 18,500 | 1,345 | ||||||
Johnson & Johnson | 34,200 | 2,179 | ||||||
LifePoint Hospitals* | 32,800 | 1,202 | ||||||
Magellan Health Services* | 19,300 | 932 | ||||||
McKesson | 65,786 | 4,783 | ||||||
Medtronic | 52,100 | 1,732 | ||||||
Merck | 140,200 | 4,586 | ||||||
Myriad Genetics* | 38,700 | 725 | ||||||
Owens & Minor | 28,400 | 809 | ||||||
Par Pharmaceutical* | 24,300 | 647 | ||||||
Patterson | 30,300 | 867 | ||||||
Pfizer | 125,200 | 2,213 | ||||||
SXC Health Solutions* | 56,265 | 3,134 | ||||||
Techne | 60,866 | 4,140 | ||||||
United Therapeutics* | 22,200 | 832 | ||||||
UnitedHealth Group | 58,500 | 2,698 | ||||||
Varian Medical Systems* | 4,527 | 236 | ||||||
Warner Chilcott, Cl A* | 31,390 | 449 | ||||||
WellPoint | 29,100 | 1,900 |
Description | Shares | Market Value ($ Thousands) | ||||||
Zimmer Holdings* | 20,200 | $ | 1,081 | |||||
|
| |||||||
96,918 | ||||||||
|
| |||||||
Industrials — 5.1% | ||||||||
Alliant Techsystems | 11,500 | 627 | ||||||
C.H. Robinson Worldwide | 13,400 | 918 | ||||||
Clarcor | 14,400 | 596 | ||||||
Huntington Ingalls Industries* | 6,933 | 168 | ||||||
KAR Auction Services* | 52,100 | 631 | ||||||
KBR | 33,400 | 789 | ||||||
L-3 Communications Holdings | 44,100 | 2,733 | ||||||
Landstar System | 21,700 | 858 | ||||||
Lennox International | 19,600 | 505 | ||||||
Lincoln Electric Holdings | 27,600 | 801 | ||||||
Lockheed Martin | 37,600 | 2,731 | ||||||
Northrop Grumman | 41,600 | 2,170 | ||||||
Raytheon | 80,200 | 3,278 | ||||||
Rollins | 47,850 | 895 | ||||||
Stericycle* | 22,093 | 1,783 | ||||||
Unifirst | 13,700 | 621 | ||||||
Verisk Analytics, Cl A* | 36,503 | 1,269 | ||||||
Waste Connections | 36,474 | 1,234 | ||||||
Woodward | 17,300 | 474 | ||||||
|
| |||||||
23,081 | ||||||||
|
| |||||||
Information Technology — 7.3% | ||||||||
Activision Blizzard | 84,200 | 1,002 | ||||||
Adtran | 28,100 | 744 | ||||||
Amdocs* | 85,041 | 2,306 | ||||||
Avago Technologies | 28,200 | 924 | ||||||
CGI Group, Cl A* | 36,400 | 685 | ||||||
Cisco Systems | 84,600 | 1,310 | ||||||
Computer Sciences | 29,400 | 789 | ||||||
Dell* | 72,600 | 1,028 | ||||||
DST Systems | 14,300 | 627 | ||||||
EchoStar, Cl A* | 25,500 | 577 | ||||||
Flir Systems | 31,400 | 787 | ||||||
Harris | 32,700 | 1,117 | ||||||
Hewlett-Packard | 60,900 | 1,367 | ||||||
IAC* | 8,739 | 346 | ||||||
Ingram Micro, Cl A* | 47,700 | 769 | ||||||
Intel | 69,000 | 1,472 | ||||||
International Business Machines | 36,900 | 6,459 | ||||||
Jack Henry & Associates | 12,300 | 356 | ||||||
Microsoft | 130,000 | 3,236 | ||||||
SAIC* | 208,600 | 2,463 | ||||||
TE Connectivity | 28,000 | 788 | ||||||
Tech Data* | 21,553 | 932 | ||||||
Texas Instruments | 61,100 | 1,628 | ||||||
Total System Services | 43,200 | 731 | ||||||
Zebra Technologies, Cl A* | 22,400 | 693 | ||||||
|
| |||||||
33,136 | ||||||||
|
| |||||||
Materials — 2.4% | ||||||||
Aptargroup | 18,800 | 840 | ||||||
Ball | 38,700 | 1,200 | ||||||
Compass Minerals International | 10,300 | 688 | ||||||
Greif, Cl A | 16,800 | 721 | ||||||
Intrepid Potash* | 12,600 | 313 | ||||||
Newmont Mining | 62,054 | 3,903 | ||||||
Royal Gold | 4,464 | 286 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Sealed Air | 58,800 | $ | 982 | |||||
Silgan Holdings | 24,800 | 911 | ||||||
Sonoco Products | 26,000 | 734 | ||||||
Steel Dynamics | 29,200 | 290 | ||||||
|
| |||||||
10,868 | ||||||||
|
| |||||||
Telecommunication Services — 3.3% | ||||||||
AT&T | 182,100 | 5,193 | ||||||
BCE | 66,300 | 2,495 | ||||||
MetroPCS Communications* | 96,200 | 838 | ||||||
NTT DoCoMo ADR | 73,700 | 1,346 | ||||||
Rogers Communications, Cl B | 61,000 | 2,100 | ||||||
SK Telecom ADR | 64,700 | 910 | ||||||
Telephone & Data Systems | 27,800 | 591 | ||||||
Verizon Communications | 35,000 | 1,288 | ||||||
|
| |||||||
14,761 | ||||||||
|
| |||||||
Utilities — 15.0% | ||||||||
AGL Resources | 22,900 | 933 | ||||||
Alliant Energy | 53,200 | 2,058 | ||||||
Ameren | 71,700 | 2,135 | ||||||
American Electric Power | 51,300 | 1,950 | ||||||
American Water Works | 92,332 | 2,787 | ||||||
Atmos Energy | 96,100 | 3,118 | ||||||
Avista | 49,700 | 1,185 | ||||||
Cia de Saneamento Basico do | 23,300 | 1,080 | ||||||
Consolidated Edison | 70,158 | 4,000 | ||||||
DPL | 56,453 | 1,702 | ||||||
DTE Energy | 75,069 | 3,680 | ||||||
Edison International | 25,900 | 991 | ||||||
El Paso Electric | 49,800 | 1,598 | ||||||
Entergy | 58,368 | 3,869 | ||||||
Great Plains Energy | 98,600 | 1,903 | ||||||
Hawaiian Electric Industries | 37,000 | 898 | ||||||
Idacorp | 22,500 | 850 | ||||||
Integrys Energy Group | 43,858 | 2,132 | ||||||
ITC Holdings | 3,991 | 309 | ||||||
Nicor | 29,385 | 1,616 | ||||||
NSTAR | 100,557 | 4,506 | ||||||
OGE Energy | 19,900 | 951 | ||||||
Pepco Holdings | 48,000 | 908 | ||||||
PG&E | 44,600 | 1,887 | ||||||
Piedmont Natural Gas | 28,200 | 815 | ||||||
Pinnacle West Capital | 31,054 | 1,333 | ||||||
Portland General Electric | 70,400 | 1,668 | ||||||
Public Service Enterprise Group | 45,400 | 1,515 | ||||||
SCANA | 66,240 | 2,679 | ||||||
Sempra Energy | 20,600 | 1,061 | ||||||
Southern | 26,285 | 1,114 | ||||||
TECO Energy | 25,900 | 444 | ||||||
UGI | 142,437 | 3,742 | ||||||
Vectren | 31,200 | 845 | ||||||
WGL Holdings | 21,800 | 852 | ||||||
Wisconsin Energy | 142,032 | 4,444 | ||||||
|
| |||||||
67,558 | ||||||||
|
| |||||||
Total Common Stock | 439,259 | |||||||
|
|
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 2.5% | ||||||||
SEI Daily Income Trust, | ||||||||
0.010%**†† | 11,391,407 | $ | 11,391 | |||||
|
| |||||||
Total Cash Equivalent | 11,391 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (A)(B) — 0.2% |
| |||||||
U.S. Treasury Bill | ||||||||
0.063%, 12/15/11 | $ | 925 | 925 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 925 | |||||||
|
| |||||||
Total Investments — 99.8% | $ | 451,575 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 94 | Dec-2011 | $ | (197 | ) | |||||||
|
|
For the year ended September 30, 2011, 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 $452,541 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(B) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard and Poor’s
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 439,259 | $ | — | $ | — | $ | 439,259 | ||||||||
Cash Equivalent | 11,391 | — | — | 11,391 | ||||||||||||
U.S. Treasury Obligation | — | 925 | — | 925 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 450,650 | $ | 925 | $ | — | $ | 451,575 | ||||||||
|
|
|
|
|
|
|
|
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2011
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (197 | ) | $ | — | $ | — | $ | (197 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (197 | ) | $ | — | $ | — | $ | (197 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 85.9% | ||||||||
Australia — 6.7% | ||||||||
Acrux | 26,200 | $ | 82 | |||||
AGL Energy (A) | 249,840 | 3,441 | ||||||
Amcor (A) | 153,258 | 1,019 | ||||||
Ansell (A) | 51,104 | 642 | ||||||
ARB (A) | 99,744 | 782 | ||||||
ASX (A) | 29,424 | 859 | ||||||
Caltex Australia (A) | 8,347 | 86 | ||||||
CFS Retail Property Trust † (A) | 1,250,915 | 2,108 | ||||||
Coca-Cola Amatil (A) | 185,472 | 2,134 | ||||||
Cochlear (A) | 14,588 | 649 | ||||||
CSL (A) | 145,057 | 4,136 | ||||||
Echo Entertainment Group* | 388,055 | 1,377 | ||||||
Goodman Fielder (A) | 183,195 | 84 | ||||||
Hansen Technologies (A) | 41,039 | 33 | ||||||
Iluka Resources (A) | 30,914 | 364 | ||||||
McPherson’s (A) | 16,139 | 37 | ||||||
Metcash (A) | 1,208,210 | 4,783 | ||||||
MSF Sugar (A) | 38,132 | 113 | ||||||
QR National (A) | 888,470 | 2,698 | ||||||
SP AusNet (A) | 881,828 | 795 | ||||||
Stockland † (A) | 562,520 | 1,573 | ||||||
TABCORP Holdings (A) | 388,181 | 961 | ||||||
Tatts Group (A) | 1,135,131 | 2,439 | ||||||
Thorn Group (A) | 39,896 | 64 | ||||||
Transurban Group (A) | 62,699 | 327 | ||||||
Washington H Soul Pattinson (A) | 7,318 | 90 | ||||||
Westfield Retail Trust † | 249,542 | 583 | ||||||
Woolworths (A) | 111,353 | 2,673 | ||||||
|
| |||||||
34,932 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
Oesterreichische Post (A) | 13,522 | 385 | ||||||
|
| |||||||
385 | ||||||||
|
| |||||||
Belgium — 1.8% | ||||||||
Belgacom (A) | 68,192 | 2,055 | ||||||
Colruyt (A) | 71,095 | 2,958 | ||||||
Delhaize Group (A) | 20,883 | 1,223 | ||||||
Intervest Offices † (A) | 868 | 23 | ||||||
Mobistar (A) | 57,098 | 3,264 | ||||||
|
| |||||||
9,523 | ||||||||
|
| |||||||
Bermuda — 0.0% | ||||||||
Transport International Holdings (A) | 14,000 | 29 | ||||||
|
| |||||||
29 | ||||||||
|
| |||||||
Canada — 11.3% | ||||||||
Alimentation Couche Tard, Cl B | 100,100 | 2,824 | ||||||
Barrick Gold | 51,200 | 2,413 | ||||||
BCE | 108,080 | 4,057 | ||||||
Bell Aliant | 96,931 | 2,572 | ||||||
Brookfield Office Properties | 3,100 | 43 | ||||||
Canadian National Railway | 15,507 | 1,042 | ||||||
Canadian Tire, Cl A | 13,378 | 732 | ||||||
Canadian Utilities, Cl A | 18,321 | 1,092 | ||||||
Cash Store Financial Services | 5,200 | 44 | ||||||
Centerra Gold | 27,800 | 520 | ||||||
CGI Group, Cl A* | 115,100 | 2,177 | ||||||
Cogeco Cable | 1,900 | 87 | ||||||
Constellation Software | 1,900 | 130 | ||||||
Empire, Cl A | 57,130 | 3,152 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fortis | 27,254 | $ | 861 | |||||
Genworth MI Canada | 22,491 | 437 | ||||||
George Weston | 52,240 | 3,471 | ||||||
Goldcorp | 10,500 | 484 | ||||||
IGM Financial | 1,900 | 81 | ||||||
Intact Financial | 5,500 | 304 | ||||||
Jean Coutu Group PJC, Cl A | 23,600 | 275 | ||||||
K-Bro Linen | 4,265 | 76 | ||||||
Loblaw | 17,215 | 652 | ||||||
Manitoba Telecom Services | 52,934 | 1,647 | ||||||
Maple Leaf Foods | 9,500 | 104 | ||||||
Metro, Cl A | 117,668 | 5,174 | ||||||
National Bank of Canada | 20,113 | 1,349 | ||||||
North West | 2,717 | 49 | ||||||
Open Text* | 4,700 | 247 | ||||||
Paladin Labs* | 1,100 | 39 | ||||||
Pan American Silver | 2,900 | 79 | ||||||
Premium Brands Holdings | 14,400 | 212 | ||||||
RioCan Real Estate Investment | 29,600 | 739 | ||||||
Rogers Communications, Cl B | 86,052 | 2,962 | ||||||
Rogers Sugar | 9,663 | 47 | ||||||
Saputo | 121,087 | 4,797 | ||||||
Sears Canada* | 4,500 | 61 | ||||||
Shaw Communications, Cl B | 11,300 | 231 | ||||||
Shoppers Drug Mart | 31,500 | 1,235 | ||||||
TELUS, Cl A | 45,200 | 2,119 | ||||||
Tim Hortons | 31,300 | 1,463 | ||||||
Timmins Gold* | 28,500 | 79 | ||||||
TMX Group | 76,910 | 3,022 | ||||||
TransAlta | 45,100 | 987 | ||||||
TransCanada | 43,100 | 1,759 | ||||||
Valener | 26,491 | 367 | ||||||
Yamana Gold | 214,400 | 2,959 | ||||||
|
| |||||||
59,253 | ||||||||
|
| |||||||
Cayman Islands — 0.1% | ||||||||
Fresh Del Monte Produce | 13,711 | 318 | ||||||
|
| |||||||
318 | ||||||||
|
| |||||||
Denmark — 2.3% | ||||||||
Coloplast, Cl B (A) | 34,116 | 4,923 | ||||||
H Lundbeck (A) | 34,972 | 666 | ||||||
Novo Nordisk, Cl B (A) | 40,943 | 4,090 | ||||||
TDC (A) | 305,418 | 2,499 | ||||||
|
| |||||||
12,178 | ||||||||
|
| |||||||
Finland — 1.1% | ||||||||
Elisa (A) | 94,818 | 1,941 | ||||||
Kesko, Cl B (A) | 2,741 | 84 | ||||||
Olvi, Cl A (A) | 1,700 | 35 | ||||||
Orion, Cl B (A) | 192,640 | 3,885 | ||||||
|
| |||||||
5,945 | ||||||||
|
| |||||||
France — 1.2% | ||||||||
BioMerieux (A) | 6,504 | 567 | ||||||
Boiron (A) | 6,078 | 167 | ||||||
Bonduelle S.C.A. (A) | 533 | 46 | ||||||
Canal + (A) | 13,049 | 77 | ||||||
Esso Francaise (A) | 512 | 47 | ||||||
PagesJaunes Groupe (A) | 35,148 | 139 | ||||||
Sanofi (A) | 3,481 | 229 | ||||||
Sartorius Stedim Biotech (A) | 1,980 | 120 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Societe BIC (A) | 51,656 | $ | 4,404 | |||||
Tessi (A) | 1,012 | 79 | ||||||
Vilmorin & Cie (A) | 4,395 | 430 | ||||||
|
| |||||||
6,305 | ||||||||
|
| |||||||
Germany — 1.7% | ||||||||
Beiersdorf (A) | 3,965 | 212 | ||||||
Carl Zeiss Meditec (A) | 45,263 | 802 | ||||||
Constantin Medien* (A) | 14,561 | 29 | ||||||
Deutsche Telekom (A) | 131,877 | 1,550 | ||||||
Fresenius (A) | 23,290 | 2,073 | ||||||
Fresenius Medical Care (A) | 34,424 | 2,339 | ||||||
Hornbach Holding (A) | 434 | 29 | ||||||
KWS Saat (A) | 235 | 44 | ||||||
Sto (A) | 367 | 54 | ||||||
Suedzucker (A) | 58,707 | 1,671 | ||||||
|
| |||||||
8,803 | ||||||||
|
| |||||||
Hong Kong — 3.1% | ||||||||
CLP Holdings (A) | 536,500 | 4,835 | ||||||
Link † (A) | 1,337,500 | 4,227 | ||||||
PCCW (A) | 1,239,000 | 461 | ||||||
Power Assets Holdings (A) | 807,000 | 6,177 | ||||||
Skyfame Realty Holdings* (A) | 1,312,000 | 136 | ||||||
Yue Yuen Industrial Holdings (A) | 104,000 | 269 | ||||||
|
| |||||||
16,105 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
Kerry Group, Cl A (A) | 8,802 | 308 | ||||||
|
| |||||||
308 | ||||||||
|
| |||||||
Israel — 1.0% | ||||||||
Bezeq The Israeli | 469,326 | 876 | ||||||
Check Point Software | 53,807 | 2,839 | ||||||
El Al Israel Airlines* (A) | 65,866 | 12 | ||||||
Formula Systems 1985 (A) | 3,851 | 46 | ||||||
Frutarom Industries (A) | 9,172 | 79 | ||||||
Fundtech | 2,266 | 52 | ||||||
Hot Telecommunication System* (A) | 3,602 | 44 | ||||||
NICE Systems* (A) | 1,373 | 41 | ||||||
Orbotech* | 7,977 | 77 | ||||||
Rami Levi Chain Stores Hashikma | 3,700 | 104 | ||||||
Silicom* | 10,545 | 146 | ||||||
Teva Pharmaceutical | 18,991 | 702 | ||||||
|
| |||||||
5,018 | ||||||||
|
| |||||||
Italy — 1.2% | ||||||||
CSP International Fashion Group (A) | 6,238 | 8 | ||||||
DiaSorin (A) | 5,332 | 197 | ||||||
Enel Green Power (A) | 555,826 | 1,268 | ||||||
Recordati (A) | 81,516 | 711 | ||||||
Reply (A) | 1,356 | 31 | ||||||
Snam Rete Gas (A) | 785,167 | 3,630 | ||||||
Terna Rete Elettrica Nazionale (A) | 99,688 | 370 | ||||||
|
| |||||||
6,215 | ||||||||
|
| |||||||
Japan — 15.8% | ||||||||
Ajis (A) | 1,300 | 20 | ||||||
Alpen (A) | 7,500 | 139 | ||||||
Amiyaki Tei (A) | 13 | 32 | ||||||
Aozora Bank (A) | 78,000 | 180 |
Description | Shares | Market Value ($ Thousands) | ||||||
Artnature (A) | 3,900 | $ | 41 | |||||
Asahi Net (A) | 9,000 | 42 | ||||||
Autobacs Seven (A) | 1,300 | 58 | ||||||
Benefit One (A) | 79 | 55 | ||||||
Benesse (A) | 7,100 | 315 | ||||||
Bic Camera (A) | 268 | 146 | ||||||
BML (A) | 2,800 | 72 | ||||||
Central Japan Railway (A) | 331 | 2,891 | ||||||
Circle K Sunkus (A) | 5,700 | 96 | ||||||
Coca-Cola Central Japan (A) | 35,300 | 499 | ||||||
Daito Trust Construction (A) | 14,900 | 1,367 | ||||||
Dena (A) | 36,100 | 1,513 | ||||||
Duskin (A) | 26,900 | 550 | ||||||
Dydo Drinco (A) | 10,500 | 406 | ||||||
Eisai (A) | 40,100 | 1,619 | ||||||
Electric Power Development (A) | 32,200 | 952 | ||||||
FamilyMart (A) | 74,800 | 2,859 | ||||||
Fuji Oil (A) | 95,400 | 1,579 | ||||||
Gree (A) | 3,700 | 113 | ||||||
Hachijuni Bank (A) | 39,000 | 239 | ||||||
Haruyama Trading (A) | 2,000 | 10 | ||||||
Hiday Hidaka (A) | 3,100 | 50 | ||||||
House Foods (A) | 18,900 | 364 | ||||||
Idemitsu Kosan (A) | 28,300 | 2,537 | ||||||
Infocom (A) | 195 | 180 | ||||||
Ito En (A) | 48,600 | 891 | ||||||
Itochu-Shokuhin (A) | 3,900 | 147 | ||||||
Japan Retail Fund Investment, | 392 | 631 | ||||||
Jupiter Telecommunications (A) | 304 | 329 | ||||||
JX Holdings (A) | 11,700 | 66 | ||||||
Kaken Pharmaceutical (A) | 22,000 | 308 | ||||||
Kamigumi (A) | 139,000 | 1,242 | ||||||
Kao (A) | 51,900 | 1,446 | ||||||
Kasumi (A) | 16,300 | 110 | ||||||
Kato Sangyo (A) | 4,100 | 98 | ||||||
KDDI (A) | 137 | 944 | ||||||
Kewpie (A) | 120,900 | 1,756 | ||||||
Kobayashi Pharmaceutical (A) | 53,300 | 2,865 | ||||||
Kokuyo (A) | 17,300 | 139 | ||||||
Komatsu Seiren (A) | 5,000 | 24 | ||||||
Kose (A) | 14,800 | 377 | ||||||
KYORIN Holdings (A) | 9,000 | 188 | ||||||
Lawson (A) | 111,800 | 6,332 | ||||||
Lion (A) | 399,000 | 2,406 | ||||||
Mandom (A) | 5,700 | 170 | ||||||
Marudai Food (A) | 82,000 | 302 | ||||||
Maruzen Showa Unyu (A) | 7,000 | 26 | ||||||
Matsuya Foods (A) | 10,900 | 210 | ||||||
Maxvalu Tokai (A) | 3,300 | 44 | ||||||
McDonald’s Holdings Japan (A) | 139,000 | 3,710 | ||||||
Mikuni Coca-Cola Bottling (A) | 19,700 | 179 | ||||||
Ministop (A) | 10,400 | 195 | ||||||
Miraca Holdings (A) | 65,100 | 2,863 | ||||||
Mitsubishi Shokuhin (A) | 3,000 | 87 | ||||||
Mizuno (A) | 8,000 | 41 | ||||||
Morinaga Milk Industry (A) | 83,025 | 368 | ||||||
Namco Bandai Holdings (A) | 23,600 | 320 | ||||||
NEC Mobiling (A) | 1,700 | 61 | ||||||
Nichii Gakkan (A) | 5,100 | 58 | ||||||
Nichireki (A) | 5,000 | 26 | ||||||
Nihon Shokuhin Kako (A) | 2,000 | 11 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Nippon Building Fund † (A) | 10 | $ | 104 | |||||
Nippon Telegraph & Telephone (A) | 55,800 | 2,675 | ||||||
Nissin Food Products (A) | 29,200 | 1,176 | ||||||
Nitori Holdings (A) | 10,150 | 1,022 | ||||||
Noevir Holdings (A) | 4,800 | 55 | ||||||
Nomura Real Estate Office Fund, Cl A † (A) | 5 | 30 | ||||||
NTT DoCoMo (A) | 3,208 | 5,849 | ||||||
Ohsho Food Service (A) | 3,400 | 83 | ||||||
Okumura (A) | 56,000 | 218 | ||||||
Ono Pharmaceutical (A) | 33,600 | 2,006 | ||||||
Oracle Japan (A) | 29,000 | 1,022 | ||||||
Osaka Gas (A) | 200,000 | 831 | ||||||
Plenus (A) | 5,400 | 88 | ||||||
Pola Orbis Holdings (A) | 10,600 | 312 | ||||||
Prima Meat Packers (A) | 75,000 | 94 | ||||||
Rinnai (A) | 4,400 | 367 | ||||||
Rock Field (A) | 3,300 | 56 | ||||||
Saizeriya (A) | 35,300 | �� | 641 | |||||
Santen Pharmaceutical (A) | 37,900 | 1,594 | ||||||
Sega Sammy Holdings (A) | 114,700 | 2,678 | ||||||
Sekisui Chemical (A) | 19,000 | 160 | ||||||
Seven Bank (A) | 172 | 336 | ||||||
Shikoku Electric Power (A) | 13,000 | 358 | ||||||
Shinsei Bank (A) | 794,000 | 893 | ||||||
Shizuoka Gas (A) | 46,500 | 314 | ||||||
Sugi Holdings (A) | 34,500 | 970 | ||||||
Suzuken (A) | 12,900 | 347 | ||||||
Taisho Pharmaceutical | 9,000 | 221 | ||||||
Takeda Pharmaceutical (A) | 51,100 | 2,425 | ||||||
Teikoku Sen-I, Cl I (A) | 6,000 | 39 | ||||||
Toho Gas (A) | 345,000 | 2,266 | ||||||
Tokyo Gas (A) | 205,000 | 953 | ||||||
TonenGeneral Sekiyu (A) | 163,000 | 1,874 | ||||||
Torii Pharmaceutical (A) | 3,200 | 66 | ||||||
Toyo Suisan Kaisha (A) | 8,000 | 220 | ||||||
Trancom (A) | 1,300 | 26 | ||||||
Tsuruha Holdings (A) | 1,800 | 100 | ||||||
USS (A) | 3,990 | 340 | ||||||
Valor (A) | 3,800 | 65 | ||||||
Yamada Denki (A) | 1,790 | 125 | ||||||
Yamazaki Baking (A) | 100,000 | 1,517 | ||||||
|
| |||||||
82,410 | ||||||||
|
| |||||||
Jersey — 0.5% | ||||||||
Shire (A) | 91,127 | 2,839 | ||||||
|
| |||||||
2,839 | ||||||||
|
| |||||||
Luxembourg — 0.1% | ||||||||
Altisource Portfolio Solutions* | 2,344 | 83 | ||||||
Millicom International Cellular (A) | 5,983 | 596 | ||||||
|
| |||||||
679 | ||||||||
|
| |||||||
Netherlands — 0.9% | ||||||||
Koninklijke Ahold (A) | 198,832 | 2,342 | ||||||
Royal Dutch Shell, Cl A (A) | 56,710 | 1,751 | ||||||
Royal KPN (A) | 46,766 | 617 | ||||||
|
| |||||||
4,710 | ||||||||
|
| |||||||
New Zealand — 0.6% | ||||||||
Auckland International Airport (A) | 97,029 | 169 | ||||||
Mainfreight (A) | 6,450 | 48 | ||||||
Port of Tauranga (A) | 37,108 | 278 |
Description | Shares | Market Value ($ Thousands) | ||||||
Restaurant Brands New Zealand (A) | 21,157 | $ | 34 | |||||
Sky City Entertainment Group (A) | 36,716 | 93 | ||||||
Sky Network Television (A) | 12,841 | 53 | ||||||
Telecom Corp of New Zealand (A) | 1,128,134 | 2,248 | ||||||
|
| |||||||
2,923 | ||||||||
|
| |||||||
Portugal — 0.3% | ||||||||
EDP - Energias de Portugal (A) | 309,080 | 953 | ||||||
Portucel Empresa Produtora de Pasta e Papel (A) | 122,445 | 286 | ||||||
Semapa-Sociedade de Investimento e Gestao (A) | 25,343 | 177 | ||||||
|
| |||||||
1,416 | ||||||||
|
| |||||||
Singapore — 0.4% | ||||||||
Ascendas Real Estate Investment Trust † (A) | 111,000 | 172 | ||||||
Broadway Industrial Group (A) | 203,000 | 50 | ||||||
ComfortDelGro (A) | 81,000 | 81 | ||||||
DBS Group Holdings (A) | 55,000 | 495 | ||||||
InnoTek (A) | 95,000 | 24 | ||||||
Singapore Telecommunications (A) | 275,000 | 665 | ||||||
StarHub (A) | 176,000 | 384 | ||||||
UOL Group (A) | 65,000 | 206 | ||||||
|
| |||||||
2,077 | ||||||||
|
| |||||||
Spain — 1.2% | ||||||||
Amadeus IT Holding, Cl A (A) | 33,047 | 529 | ||||||
Ebro Foods (A) | 140,369 | 2,401 | ||||||
Enagas (A) | 37,451 | 689 | ||||||
Endesa (A) | 6,904 | 160 | ||||||
Viscofan (A) | 74,238 | 2,676 | ||||||
|
| |||||||
6,455 | ||||||||
|
| |||||||
Sweden — 1.1% | ||||||||
Acando (A) | 48,859 | 98 | ||||||
Axfood (A) | 81,934 | 2,790 | ||||||
Betsson (A) | 21,858 | 408 | ||||||
Industrial & Financial Systems, Cl B (A) | 2,550 | 33 | ||||||
Loomis, Cl B (A) | 5,690 | 67 | ||||||
Swedish Match (A) | 68,496 | 2,258 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B (A) | 4,986 | 48 | ||||||
|
| |||||||
5,702 | ||||||||
|
| |||||||
Switzerland — 2.1% | ||||||||
Allreal Holding (A) | 6,731 | 1,039 | ||||||
Bell | 46 | 93 | ||||||
BKW FMB Energie (A) | 7,267 | 341 | ||||||
Emmi (A) | 1,224 | 261 | ||||||
Intershop Holdings | 169 | 60 | ||||||
Lindt & Spruengli (A) | 2 | 69 | ||||||
Mobilezone Holding (A) | 28,743 | 291 | ||||||
Myriad Group* (A) | 18,931 | 74 | ||||||
Nestle (A) | 46,143 | 2,535 | ||||||
Orior (A) | 660 | 35 | ||||||
Schindler Holding (A) | 491 | 53 | ||||||
Swiss Prime Site (A) | 18,248 | 1,467 | ||||||
Swisscom (A) | 11,105 | 4,509 | ||||||
Vetropack Holding (A) | 17 | 28 | ||||||
|
| |||||||
10,855 | ||||||||
|
|
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
United Kingdom — 6.1% | ||||||||
Associated British Foods (A) | 6,055 | $ | 104 | |||||
AstraZeneca (A) | 122,467 | 5,429 | ||||||
British American Tobacco (A) | 27,298 | 1,151 | ||||||
Centrica (A) | 1,225,575 | 5,644 | ||||||
Cranswick (A) | 39,843 | 391 | ||||||
Devro (A) | 70,129 | 256 | ||||||
Greggs (A) | 128,200 | 916 | ||||||
Imperial Tobacco Group (A) | 12,919 | 436 | ||||||
JD Sports Fashion | 2,922 | 38 | ||||||
LSL Property Services (A) | 9,779 | 34 | ||||||
Reckitt Benckiser Group (A) | 32,929 | 1,667 | ||||||
Robert Wiseman Dairies (A) | 13,878 | 65 | ||||||
Royal Dutch Shell, Cl A (A) | 23,825 | 735 | ||||||
Scottish & Southern Energy (A) | 165,453 | 3,317 | ||||||
Smith & Nephew (A) | 28,987 | 260 | ||||||
Synergy Health (A) | 9,400 | 125 | ||||||
Tesco (A) | 438,473 | 2,566 | ||||||
Unilever (A) | 47,695 | 1,492 | ||||||
Vodafone Group (A) | 1,851,096 | 4,766 | ||||||
WM Morrison Supermarkets (A) | 601,639 | 2,710 | ||||||
|
| |||||||
32,102 | ||||||||
|
| |||||||
United States — 25.1% | ||||||||
Abbott Laboratories | 26,416 | 1,351 | ||||||
Advance Auto Parts | 26,400 | 1,534 | ||||||
American Dental Partners* | 8,733 | 84 | ||||||
AmerisourceBergen | 77,773 | 2,899 | ||||||
Amgen | 44,342 | 2,436 | ||||||
Annaly Capital Management † | 335,613 | 5,581 | ||||||
AT&T | 70,185 | 2,002 | ||||||
Autozone* | 18,904 | 6,034 | ||||||
Avista | 6,897 | 164 | ||||||
Booz Allen Hamilton Holding, Cl A* | 16,052 | 239 | ||||||
Bristol-Myers Squibb | 77,038 | 2,417 | ||||||
Brown-Forman, Cl B | 4,576 | 321 | ||||||
C.R. Bard | 28,933 | 2,533 | ||||||
CACI International, Cl A* | 19,181 | 958 | ||||||
Campbell Soup | 133,426 | 4,319 | ||||||
Cephalon* | 8,274 | 668 | ||||||
Chesapeake Utilities | 4,667 | 187 | ||||||
Church & Dwight | 70,919 | 3,135 | ||||||
Clorox | 13,493 | 895 | ||||||
Colgate-Palmolive | 31,699 | 2,811 | ||||||
Commerce Bancshares | 18,686 | 649 | ||||||
ConAgra Foods | 106,347 | 2,576 | ||||||
Dollar Tree* | 43,063 | 3,235 | ||||||
DPL | 57,219 | 1,725 | ||||||
Dr Pepper Snapple Group | 73,930 | 2,867 | ||||||
Duke Energy | 151,980 | 3,038 | ||||||
Dynamics Research* | 3,975 | 35 | ||||||
Eli Lilly | 79,593 | 2,943 | ||||||
ePlus* | 1,500 | 37 | ||||||
Family Dollar Stores | 34,194 | 1,739 | ||||||
First Republic Bank* | 35,535 | 823 | ||||||
Flowers Foods | 130,064 | 2,531 | ||||||
Forest Laboratories* | 79,248 | 2,440 | ||||||
General Mills | 71,059 | 2,734 | ||||||
Greatbatch* | 22,640 | 453 | ||||||
Hershey | 74,043 | 4,386 | ||||||
Hormel Foods | 184,526 | 4,986 |
Description | Shares | Market Value ($ Thousands) | ||||||
ICF International* | 3,473 | $ | 65 | |||||
Intel | 8,800 | 188 | ||||||
Interactive Brokers Group, Cl A | 29,214 | 407 | ||||||
J&J Snack Foods | 2,568 | 123 | ||||||
JM Smucker | 3,068 | 223 | ||||||
John B Sanfilippo & Son* | 7,000 | 56 | ||||||
Johnson & Johnson | 37,334 | 2,379 | ||||||
Kellogg | 12,202 | 649 | ||||||
Kensey Nash* | 5,596 | 137 | ||||||
Kimberly-Clark | 98,224 | 6,975 | ||||||
Kroger | 180,647 | 3,967 | ||||||
Laclede Group | 38,426 | 1,489 | ||||||
Lockheed Martin | 29,400 | 2,136 | ||||||
Lorillard | 24,517 | 2,714 | ||||||
Magellan Health Services* | 49,770 | 2,404 | ||||||
McDonald’s | 15,843 | 1,391 | ||||||
Mercury General | 7,094 | 272 | ||||||
MGE Energy | 2,536 | 103 | ||||||
National Beverage | 14,128 | 214 | ||||||
Newmont Mining | 42,054 | 2,645 | ||||||
Oil-Dri Corp of America | 3,429 | 64 | ||||||
O’Reilly Automotive* | 22,264 | 1,483 | ||||||
Papa John’s International* | 23,811 | 724 | ||||||
Par Pharmaceutical* | 43,241 | 1,151 | ||||||
Philip Morris International | 40,281 | 2,513 | ||||||
Portland General Electric | 92,698 | 2,196 | ||||||
Procter & Gamble | 36,569 | 2,310 | ||||||
Providence Service* | 1,194 | 13 | ||||||
Schiff Nutrition International* | 15,935 | 177 | ||||||
Seneca Foods, Cl A* | 22,029 | 436 | ||||||
Southern | 66,762 | 2,829 | ||||||
Telephone & Data Systems | 7,505 | 159 | ||||||
Territorial Bancorp | 7,233 | 138 | ||||||
TJX | 1,010 | 56 | ||||||
Tyson Foods, Cl A | 143,932 | 2,499 | ||||||
Verizon Communications | 79,248 | 2,916 | ||||||
Virginia Commerce Bancorp* | 11,557 | 68 | ||||||
Wal-Mart Stores | 86,409 | 4,485 | ||||||
Weis Markets | 11,582 | 429 | ||||||
WGL Holdings | 10,423 | 407 | ||||||
|
| |||||||
131,355 | ||||||||
|
| |||||||
Total Common Stock | 448,840 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Germany — 0.0% | ||||||||
Henkel & KGaA (A) | 2,256 | 120 | ||||||
Total Preferred Stock | 120 | |||||||
|
|
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2011
Description | Number of Rights/Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RIGHTS — 0.0% | ||||||||
Goodman Fielder Expires 10/25/11 | 76,331 | $ | 4 | |||||
Total Rights | 4 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 28,800,069 | 28,800 | ||||||
|
| |||||||
Total Cash Equivalent | 28,800 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (B)(C) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.062%, 12/15/11 | $ | 1,923 | 1,923 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 1,923 | |||||||
|
| |||||||
Total Investments — 91.8% | $ | 479,687 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 137 | Dec-2011 | $ | 139 | ||||||||
FTSE Index | 62 | Dec-2011 | (1 | ) | ||||||||
Hang Seng Index | 27 | Nov-2011 | (45 | ) | ||||||||
S&P 500 Index E-MINI | 309 | Dec-2011 | (387 | ) | ||||||||
SPI 200 Index | 26 | Dec-2011 | (22 | ) | ||||||||
|
| |||||||||||
$ | (316 | ) | ||||||||||
|
|
For the year ended September 30, 2011, 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 year.
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2011
Maturity Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/28/11 | AUD | 51,015 | USD | 50,640 | $ | 1,232 | ||||||||||||||
10/28/11 | CAD | 66,852 | USD | 65,661 | 1,533 | |||||||||||||||
10/28/11 | EUR | 73,609 | USD | 100,283 | 1,554 | |||||||||||||||
10/28/11 | GBP | 24,806 | USD | 38,922 | 293 | |||||||||||||||
10/28/11 | JPY | 6,502,326 | USD | 84,864 | 458 | |||||||||||||||
10/28/11 | USD | 598 | AUD | 605 | (13 | ) | ||||||||||||||
10/28/11 | USD | 292 | CAD | 299 | (6 | ) | ||||||||||||||
10/28/11 | USD | 995 | EUR | 729 | (17 | ) | ||||||||||||||
10/28/11 | USD | 388 | GBP | 247 | (2 | ) | ||||||||||||||
10/28/11 | USD | 242 | JPY | 18,581 | (1 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 5,031 | |||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | ||||||||||||
Brown Brothers Harriman | 10/28/11 | (337,815 | ) | 342,846 | $ | 5,031 | ||||||||||
|
|
Percentages are based on Net Assets of $522,667 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | 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, 2011 was $252,967 ($ Thousands) and represented 48.4% of net Assets. |
(B) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(C) | The rate reported is the effective yield at the time of purchase. |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2011
AUD — Australia Dollar
CAD — Canadian Dollar
Cl — Class
DJ — Dow Jones
EUR — Euro
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound
JPY — Japanese Yen
S&P — Standard and Poor’s
SPI — Swiss Performance Index
USD — United States Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 195,993 | $ | 252,847 | $ | — | $ | 448,840 | ||||||||
Preferred Stock | — | 120 | — | 120 | ||||||||||||
Right | 4 | — | — | 4 | ||||||||||||
Cash Equivalent | 28,800 | — | — | 28,800 | ||||||||||||
U.S. Treasury Obligation | — | 1,923 | — | 1,923 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 224,797 | $ | 254,890 | $ | — | $ | 479,687 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (316 | ) | $ | — | $ | — | $ | (316 | ) | ||||||
Forwards* | — | 5,031 | — | 5,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (316 | ) | $ | 5,031 | $ | — | $ | 4,715 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2011, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Level 1 and Level 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.3% | ||||||||
Consumer Discretionary — 7.8% | ||||||||
Aaron’s | 20,500 | $ | 518 | |||||
Advance Auto Parts | 7,700 | 447 | ||||||
Amazon.com* | 1,490 | 322 | ||||||
Apollo Group, Cl A* | 5,500 | 218 | ||||||
Autoliv | 8,100 | 393 | ||||||
Best Buy | 20,300 | 473 | ||||||
Big Lots* | 16,600 | 578 | ||||||
Choice Hotels International | 12,300 | 366 | ||||||
Cinemark Holdings | 10,600 | 200 | ||||||
DeVry | 6,400 | 237 | ||||||
DIRECTV, Cl A* | 25,800 | 1,090 | ||||||
Discovery Communications, Cl A* | 13,400 | 504 | ||||||
DISH Network, Cl A* | 19,100 | 479 | ||||||
DreamWorks Animation SKG, Cl A* | 17,900 | 325 | ||||||
Family Dollar Stores | 12,100 | 616 | ||||||
GameStop, Cl A* | 47,000 | 1,086 | ||||||
Gap | 35,400 | 575 | ||||||
Genuine Parts | 3,800 | 193 | ||||||
Gildan Activewear | 9,600 | 248 | ||||||
H&R Block | 70,700 | 941 | ||||||
Hillenbrand | 37,800 | 695 | ||||||
Hyatt Hotels, Cl A* | 18,400 | 577 | ||||||
ITT Educational Services* | 5,800 | 334 | ||||||
Kohl’s | 27,600 | 1,355 | ||||||
McDonald’s | 29,013 | 2,548 | ||||||
Panera Bread, Cl A* | 4,900 | 509 | ||||||
priceline.com* | 4,353 | 1,957 | ||||||
Scripps Networks Interactive, Cl A | 10,500 | 390 | ||||||
Shaw Communications, Cl B | 23,700 | 479 | ||||||
Target | 28,200 | 1,383 | ||||||
TJX | 22,400 | 1,242 | ||||||
Washington Post, Cl B | 1,600 | 523 | ||||||
|
| |||||||
21,801 | ||||||||
|
| |||||||
Consumer Staples — 23.5% | ||||||||
Altria Group | 88,748 | 2,379 | ||||||
Archer-Daniels-Midland | 38,400 | 953 | ||||||
BJ’s Wholesale Club* | 10,600 | 543 | ||||||
Brown-Forman, Cl B | 28,552 | 2,003 | ||||||
Campbell Soup | 9,108 | 295 | ||||||
Casey’s General Stores | 17,900 | 781 | ||||||
Church & Dwight | 67,116 | 2,967 | ||||||
Clorox | 14,432 | 957 | ||||||
Coca-Cola | 27,334 | 1,847 | ||||||
Coca-Cola Enterprises | 49,400 | 1,229 | ||||||
Colgate-Palmolive | 26,855 | 2,382 | ||||||
ConAgra Foods | 36,600 | 886 | ||||||
CVS Caremark | 46,000 | 1,545 | ||||||
Dean Foods* | 15,400 | 137 | ||||||
Flowers Foods | 27,000 | 525 | ||||||
Fresh Del Monte Produce | 27,300 | 633 | ||||||
General Mills | 64,531 | 2,483 | ||||||
Hansen Natural* | 3,700 | 323 | ||||||
Hershey | 19,454 | 1,152 | ||||||
HJ Heinz | 19,711 | 995 | ||||||
Hormel Foods | 142,462 | 3,849 | ||||||
JM Smucker | 21,006 | 1,531 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kellogg | 40,491 | $ | 2,154 | |||||
Kimberly-Clark | 68,020 | 4,830 | ||||||
Kroger | 83,964 | 1,844 | ||||||
Lorillard | 38,659 | 4,280 | ||||||
McCormick | 37,915 | 1,750 | ||||||
Metro, Cl A | 21,100 | 928 | ||||||
Nash Finch | 11,300 | 304 | ||||||
PepsiCo | 13,701 | 848 | ||||||
Philip Morris International | 34,312 | 2,140 | ||||||
Procter & Gamble | 27,548 | 1,740 | ||||||
Ralcorp Holdings* | 7,700 | 591 | ||||||
Reynolds American | 105,415 | 3,951 | ||||||
Ruddick | 12,100 | 472 | ||||||
Safeway | 72,200 | 1,201 | ||||||
TreeHouse Foods* | 9,300 | 575 | ||||||
Tyson Foods, Cl A | 52,000 | 903 | ||||||
Walgreen | 54,500 | 1,792 | ||||||
Wal-Mart Stores | 93,499 | 4,853 | ||||||
|
| |||||||
65,551 | ||||||||
|
| |||||||
Energy — 3.7% | ||||||||
Berry Petroleum, Cl A | 10,100 | 357 | ||||||
Chevron | 29,600 | 2,739 | ||||||
Cobalt International Energy* | 25,000 | 193 | ||||||
ConocoPhillips | 21,900 | 1,387 | ||||||
Dresser-Rand Group* | 13,300 | 539 | ||||||
Exxon Mobil | 43,900 | 3,188 | ||||||
HollyFrontier | 17,600 | 461 | ||||||
Lufkin Industries | 6,500 | 346 | ||||||
Murphy Oil | 12,200 | 539 | ||||||
Range Resources | 9,100 | 532 | ||||||
|
| |||||||
10,281 | ||||||||
|
| |||||||
Financials — 10.1% | ||||||||
Alexander’s † | 700 | 253 | ||||||
Alleghany* | 1,400 | 404 | ||||||
Allied World Assurance Holdings | 8,000 | 430 | ||||||
American Campus Communities † | 14,400 | 536 | ||||||
Arch Capital Group* | 38,032 | 1,243 | ||||||
Associated Banc-Corp | 37,800 | 352 | ||||||
Brown & Brown | 29,300 | 521 | ||||||
Capitol Federal Financial | 112,183 | 1,185 | ||||||
Chubb | 29,100 | 1,746 | ||||||
Commerce Bancshares | 50,647 | 1,760 | ||||||
Corporate Office Properties Trust † | 13,500 | 294 | ||||||
Cullen/Frost Bankers | 32,348 | 1,483 | ||||||
Endurance Specialty Holdings | 11,000 | 375 | ||||||
Equity Lifestyle Properties † | 8,000 | 502 | ||||||
Erie Indemnity, Cl A | 7,900 | 562 | ||||||
Everest Re Group | 8,600 | 683 | ||||||
Federated Investors, Cl B | 27,800 | 487 | ||||||
First Citizens BancShares, Cl A | 2,500 | 359 | ||||||
First Niagara Financial Group | 55,100 | 504 | ||||||
Fulton Financial | 33,900 | 259 | ||||||
Genworth MI Canada | 23,900 | 464 | ||||||
HCC Insurance Holdings | 7,500 | 203 | ||||||
Health Care † | 9,100 | 426 | ||||||
Home Properties † | 8,400 | 477 | ||||||
Hudson City Bancorp | 80,600 | 456 | ||||||
MFA Financial † | 47,800 | 335 | ||||||
National Bank of Canada | 9,300 | 624 | ||||||
PartnerRe | 5,500 | 287 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
People’s United Financial | 154,577 | $ | 1,762 | |||||
Piedmont Office Realty Trust, Cl A † | 26,200 | 424 | ||||||
Prosperity Bancshares | 13,700 | 448 | ||||||
Public Storage † | 4,700 | 523 | ||||||
Realty Income † | 14,600 | 471 | ||||||
RenaissanceRe Holdings | 8,000 | 510 | ||||||
Signature Bank NY* | 9,500 | 453 | ||||||
Tanger Factory Outlet Centers † | 19,200 | 499 | ||||||
TFS Financial* | 126,330 | 1,027 | ||||||
Tower Group | 16,700 | 382 | ||||||
Transatlantic Holdings | 9,600 | 466 | ||||||
Travelers | 30,800 | 1,501 | ||||||
Validus Holdings | 37,000 | 922 | ||||||
Valley National Bancorp | 23,000 | 244 | ||||||
Ventas † | 8,180 | 404 | ||||||
WR Berkley | 35,600 | 1,057 | ||||||
|
| |||||||
28,303 | ||||||||
|
| |||||||
Health Care — 16.7% | ||||||||
Abbott Laboratories | 68,983 | 3,528 | ||||||
Aetna | 36,100 | 1,312 | ||||||
Alexion Pharmaceuticals* | 43,122 | 2,762 | ||||||
AmerisourceBergen | 64,037 | 2,387 | ||||||
Amgen | 27,900 | 1,533 | ||||||
Baxter International | 28,000 | 1,572 | ||||||
Becton Dickinson | 25,037 | 1,836 | ||||||
C.R. Bard | 10,031 | 878 | ||||||
Cardinal Health | 30,400 | 1,273 | ||||||
Coventry Health Care* | 16,700 | 481 | ||||||
Edwards Lifesciences* | 9,552 | 681 | ||||||
Eli Lilly | 57,069 | 2,110 | ||||||
Endo Pharmaceuticals Holdings* | 31,500 | 882 | ||||||
Gilead Sciences* | 31,900 | 1,238 | ||||||
Health Net* | 23,200 | 550 | ||||||
Henry Schein* | 29,829 | 1,850 | ||||||
Humana | 11,900 | 866 | ||||||
Johnson & Johnson | 53,183 | 3,388 | ||||||
Laboratory Corp of America Holdings* | 12,299 | 972 | ||||||
LifePoint Hospitals* | 21,500 | 788 | ||||||
Lincare Holdings | 26,900 | 605 | ||||||
Magellan Health Services* | 13,600 | 657 | ||||||
McKesson | 16,100 | 1,170 | ||||||
Medtronic | 29,000 | 964 | ||||||
Merck | 88,300 | 2,888 | ||||||
Myriad Genetics* | 21,600 | 405 | ||||||
Owens & Minor | 15,800 | 450 | ||||||
Par Pharmaceutical* | 17,700 | 471 | ||||||
Patterson | 16,900 | 484 | ||||||
PDL BioPharma | 96,900 | 538 | ||||||
Pfizer | 93,500 | 1,653 | ||||||
Techne | 27,621 | 1,878 | ||||||
United Therapeutics* | 11,100 | 416 | ||||||
UnitedHealth Group | 32,600 | 1,504 | ||||||
WellPoint | 19,200 | 1,253 | ||||||
Zimmer Holdings* | 9,800 | 524 | ||||||
|
| |||||||
46,747 | ||||||||
|
| |||||||
Industrials — 5.4% | ||||||||
Alliant Techsystems | 8,700 | 474 | ||||||
C.H. Robinson Worldwide | 7,500 | 514 | ||||||
Clarcor | 9,900 | 409 |
Description | Shares | Market Value ($ Thousands) | ||||||
Clean Harbors* | 5,500 | $ | 282 | |||||
CSX | 28,600 | 534 | ||||||
General Dynamics | 9,600 | 546 | ||||||
Huntington Ingalls Industries* | 3,866 | 94 | ||||||
KAR Auction Services* | 29,100 | 353 | ||||||
KBR | 17,900 | 423 | ||||||
L-3 Communications Holdings | 25,800 | 1,599 | ||||||
Landstar System | 12,100 | 479 | ||||||
Lennox International | 11,000 | 284 | ||||||
Lincoln Electric Holdings | 15,400 | 447 | ||||||
Lockheed Martin | 20,900 | 1,518 | ||||||
Northrop Grumman | 23,200 | 1,210 | ||||||
Raytheon | 44,700 | 1,827 | ||||||
Rollins | 26,700 | 500 | ||||||
Stericycle* | 28,597 | 2,308 | ||||||
Unifirst | 7,600 | 344 | ||||||
Verisk Analytics, Cl A* | 17,300 | 601 | ||||||
Woodward | 9,800 | 268 | ||||||
|
| |||||||
15,014 | ||||||||
|
| |||||||
Information Technology — 10.7% | ||||||||
Activision Blizzard | 47,000 | 559 | ||||||
Adtran | 16,900 | 447 | ||||||
Amdocs* | 23,600 | 640 | ||||||
Automatic Data Processing | 34,714 | 1,637 | ||||||
Avago Technologies | 15,200 | 498 | ||||||
CGI Group, Cl A* | 12,200 | 230 | ||||||
Cisco Systems | 32,200 | 499 | ||||||
Computer Sciences | 16,400 | 440 | ||||||
Dell* | 45,100 | 638 | ||||||
DST Systems | 18,000 | 789 | ||||||
EchoStar, Cl A* | 14,300 | 323 | ||||||
Flir Systems | 15,700 | 393 | ||||||
Global Payments | 10,000 | 404 | ||||||
Google, Cl A* | 3,383 | 1,740 | ||||||
Harris | 21,500 | 735 | ||||||
Hewlett-Packard | 38,100 | 855 | ||||||
IAC* | 74,514 | 2,947 | ||||||
Ingram Micro, Cl A* | 26,600 | 429 | ||||||
Intel | 83,400 | 1,779 | ||||||
International Business Machines | 24,418 | 4,274 | ||||||
Jack Henry & Associates | 17,200 | 499 | ||||||
Microchip Technology | 20,833 | 648 | ||||||
Microsoft | 82,700 | 2,058 | ||||||
SAIC* | 124,000 | 1,464 | ||||||
TE Connectivity | 19,200 | 541 | ||||||
Tech Data* | 16,700 | 722 | ||||||
Texas Instruments | 38,600 | 1,029 | ||||||
Total System Services | 11,100 | 188 | ||||||
VeriSign | 69,121 | 1,978 | ||||||
WebMD Health, Cl A* | 1,829 | 55 | ||||||
Zebra Technologies, Cl A* | 12,500 | 387 | ||||||
|
| |||||||
29,825 | ||||||||
|
| |||||||
Materials — 2.1% | ||||||||
Aptargroup | 10,500 | 469 | ||||||
Ball | 26,000 | 807 | ||||||
Compass Minerals International | 5,800 | 387 | ||||||
Greif, Cl A | 9,400 | 403 | ||||||
Intrepid Potash* | 8,500 | 211 | ||||||
Newmont Mining | 17,628 | 1,109 | ||||||
Royal Gold | 11,907 | 763 | ||||||
Sealed Air | 32,800 | 548 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Silgan Holdings | 13,800 | $ | 507 | |||||
Sonoco Products | 14,500 | 409 | ||||||
Steel Dynamics | 24,600 | 244 | ||||||
|
| |||||||
5,857 | ||||||||
|
| |||||||
Telecommunication Services — 3.1% | ||||||||
AT&T | 87,700 | 2,501 | ||||||
BCE | 38,500 | 1,448 | ||||||
CenturyTel | 16,087 | 533 | ||||||
MetroPCS Communications* | 53,700 | 468 | ||||||
NTT DoCoMo ADR | 41,000 | 749 | ||||||
Rogers Communications, Cl B | 37,500 | 1,291 | ||||||
SK Telecom ADR | 36,000 | 506 | ||||||
Telephone & Data Systems | 22,800 | 484 | ||||||
Verizon Communications | 19,500 | 718 | ||||||
|
| |||||||
8,698 | ||||||||
|
| |||||||
Utilities — 13.2% | ||||||||
AGL Resources | 12,800 | 521 | ||||||
Alliant Energy | 26,800 | 1,037 | ||||||
Ameren | 31,000 | 923 | ||||||
American Electric Power | 30,900 | 1,175 | ||||||
American Water Works | 20,600 | 622 | ||||||
Atmos Energy | 53,600 | 1,739 | ||||||
Avista | 22,800 | 544 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 12,900 | 598 | ||||||
Consolidated Edison | 25,745 | 1,468 | ||||||
DPL | 28,900 | 871 | ||||||
DTE Energy | 26,100 | 1,279 | ||||||
Duke Energy | 27,800 | 556 | ||||||
Edison International | 14,500 | 554 | ||||||
El Paso Electric | 27,700 | 889 | ||||||
Entergy | 21,000 | 1,392 | ||||||
Great Plains Energy | 51,400 | 992 | ||||||
Hawaiian Electric Industries | 35,911 | 872 | ||||||
Idacorp | 12,600 | 476 | ||||||
Nicor | 32,810 | 1,805 | ||||||
NSTAR | 63,534 | 2,847 | ||||||
OGE Energy | 38,501 | 1,840 | ||||||
Pepco Holdings | 27,100 | 513 | ||||||
PG&E | 33,100 | 1,400 | ||||||
Piedmont Natural Gas | 15,700 | 453 | ||||||
Portland General Electric | 34,400 | 815 | ||||||
Public Service Enterprise Group | 25,300 | 844 | ||||||
SCANA | 33,879 | 1,370 | ||||||
Sempra Energy | 11,500 | 592 | ||||||
Southern | 54,515 | 2,310 | ||||||
TECO Energy | 27,000 | 463 | ||||||
UGI | 32,000 | 840 | ||||||
Vectren | 48,093 | 1,302 | ||||||
WGL Holdings | 12,200 | 477 | ||||||
Wisconsin Energy | 82,950 | 2,596 | ||||||
|
| |||||||
36,975 | ||||||||
|
| |||||||
Total Common Stock | 269,052 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 5.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.010%**†† | 15,465,311 | $ | 15,465 | |||||
|
| |||||||
Total Cash Equivalent | 15,465 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A)(B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.064%, 07/26/12 | $ | 17 | 17 | |||||
0.056%, 12/15/11 | 577 | 577 | ||||||
0.051%, 06/28/12 | 21 | 21 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 615 | |||||||
|
| |||||||
Total Investments — 102.0% | $ | 285,132 | ||||||
|
|
A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 74 | Dec-2011 | $ | (160 | ) | |||||||
|
|
For the year ended September 30, 2011, 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 $279,408 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2011. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(B) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard and Poor’s
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2011
The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 269,052 | $ | — | $ | — | $ | 269,052 | ||||||||
Cash Equivalent | 15,465 | — | — | 15,465 | ||||||||||||
U.S. Treasury Obligations | — | 615 | — | 615 | ||||||||||||
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Total Investments in Securities | $ | 284,517 | $ | 615 | $ | — | $ | 285,132 | ||||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (160 | ) | $ | — | $ | — | $ | (160 | ) | ||||||
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Total Other Financial Instruments | $ | (160 | ) | $ | — | $ | — | $ | (160 | ) | ||||||
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* | Futures contracts are valued at unrealized depreciation on the instrument. |
During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2011 |
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 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/Mid 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 ended September 30, 2011, and have issued our report thereon dated November 29, 2011 (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 Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid 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, 2011 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.
/s/ KPMG LLP |
Philadelphia, Pennsylvania |
November 29, 2011 |
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: December 5, 2011
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: December 5, 2011
By | /S/ PETER A. RODRIGUEZ | |
Peter A. Rodriguez Controller & CFO |
Date: December 5, 2011