Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
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, 2012
Date of reporting period: March 31, 2012
Table of Contents
Item 1. Reports to Stockholders.
Table of Contents
SEI Institutional Managed Trust
Semi-Annual Report as of March 31, 2012
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
Multi-Strategy Alternative Fund
Table of Contents
1 | ||||
126 | ||||
130 | ||||
134 | ||||
140 | ||||
145 | ||||
163 | ||||
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements | 165 |
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.
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 84.4% |
| |||||||||||
Consumer Discretionary — 12.2% |
| |||||||||||
CBS, Cl B | 0.8 | % | 459,010 | $ | 15,565 | |||||||
Coach | 0.9 | 244,311 | 18,880 | |||||||||
Harley-Davidson | 0.4 | 181,094 | 8,888 | |||||||||
Lowe’s | 0.5 | 335,744 | 10,536 | |||||||||
Macy’s | 0.5 | 261,240 | 10,379 | |||||||||
Nike, Cl B | 0.8 | 144,113 | 15,628 | |||||||||
priceline.com* (A) | 0.6 | 16,125 | 11,570 | |||||||||
Target | 0.7 | 228,093 | 13,291 | |||||||||
Time Warner Cable, Cl A | 0.5 | 125,460 | 10,225 | |||||||||
Other Securities | 6.5 | 131,873 | ||||||||||
|
| |||||||||||
246,835 | ||||||||||||
|
| |||||||||||
Consumer Staples — 7.7% |
| |||||||||||
Costco Wholesale | 1.0 | 217,791 | 19,775 | |||||||||
Estee Lauder, Cl A | 0.6 | 186,335 | 11,541 | |||||||||
Mead Johnson Nutrition, Cl A | 0.7 | 160,336 | 13,224 | |||||||||
Philip Morris International | 0.8 | 174,680 | 15,478 | |||||||||
Procter & Gamble | 0.5 | 165,000 | 11,090 | |||||||||
Whole Foods Market | 0.6 | 145,291 | 12,088 | |||||||||
Other Securities | 3.5 | 71,819 | ||||||||||
|
| |||||||||||
155,015 | ||||||||||||
|
| |||||||||||
Energy — 8.3% |
| |||||||||||
Chevron | 1.3 | 242,800 | 26,038 | |||||||||
ConocoPhillips | 1.1 | 296,680 | 22,551 | |||||||||
EOG Resources | 0.6 | 112,250 | 12,471 | |||||||||
Exxon Mobil | 0.9 | 213,400 | 18,508 | |||||||||
Schlumberger | 0.5 | 138,079 | 9,656 | |||||||||
Other Securities | 3.9 | 78,581 | ||||||||||
|
| |||||||||||
167,805 | ||||||||||||
|
| |||||||||||
Financials — 12.5% |
| |||||||||||
Capital One Financial | 0.6 | 238,800 | 13,311 | |||||||||
Citigroup | 0.8 | 427,100 | 15,610 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
IntercontinentalExchange* (A) | 0.4 | % | 64,850 | $ | 8,912 | |||||||
JPMorgan Chase | 1.4 | 639,030 | 29,383 | |||||||||
Wells Fargo | 1.0 | 581,200 | 19,842 | |||||||||
Other Securities | 8.3 | 166,452 | ||||||||||
|
| |||||||||||
253,510 | ||||||||||||
|
| |||||||||||
Health Care — 10.5% |
| |||||||||||
Allergan | 0.8 | 177,340 | 16,924 | |||||||||
Amgen | 0.8 | 231,769 | 15,758 | |||||||||
Express Scripts* (A) | 0.5 | 168,680 | 9,139 | |||||||||
Johnson & Johnson | 0.7 | 205,490 | 13,554 | |||||||||
Merck | 0.7 | 360,200 | 13,832 | |||||||||
Pfizer | 1.4 | 1,228,420 | 27,836 | |||||||||
Other Securities | 5.6 | 115,784 | ||||||||||
|
| |||||||||||
212,827 | ||||||||||||
|
| |||||||||||
Industrials — 7.4% |
| |||||||||||
General Electric | 1.2 | 1,177,460 | 23,632 | |||||||||
Precision Castparts | 0.5 | 63,083 | 10,907 | |||||||||
Other Securities | 5.7 | 114,085 | ||||||||||
|
| |||||||||||
148,624 | ||||||||||||
|
| |||||||||||
Information Technology — 19.6% |
| |||||||||||
Accenture, Cl A (A) | 0.5 | 144,512 | 9,321 | |||||||||
Adobe Systems* | 0.8 | 489,555 | 16,797 | |||||||||
Apple* | 2.8 | 95,369 | 57,171 | |||||||||
Cisco Systems | 0.7 | 674,000 | 14,255 | |||||||||
Google, Cl A* | 1.4 | 44,312 | 28,415 | |||||||||
Intel | 1.3 | 949,958 | 26,703 | |||||||||
International Business Machines | 0.6 | 55,903 | 11,664 | |||||||||
Intuit | 0.7 | 215,760 | 12,974 | |||||||||
Mastercard, Cl A | 1.2 | 58,032 | 24,405 | |||||||||
NetApp* | 0.5 | 205,856 | 9,216 | |||||||||
Oracle | 0.5 | 353,759 | 10,316 | |||||||||
Qualcomm | 1.5 | 451,231 | 30,693 | |||||||||
Visa, Cl A | 0.9 | 147,900 | 17,452 | |||||||||
Other Securities | 6.2 | 127,985 | ||||||||||
|
| |||||||||||
397,367 | ||||||||||||
|
| |||||||||||
Materials — 2.1% |
| |||||||||||
Other Securities | 2.1 | 41,801 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.3% |
| |||||||||||
AT&T | 0.8 | 542,000 | 16,927 | |||||||||
Crown Castle International* | 0.6 | 217,100 | 11,580 | |||||||||
Verizon Communications | 0.9 | 450,645 | 17,228 | |||||||||
Other Securities | 0.0 | 755 | ||||||||||
|
| |||||||||||
46,490 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 1 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Utilities — 1.8% |
| |||||||||||
Other Securities | 1.8 | % | $ | 36,064 | ||||||||
|
| |||||||||||
Total Common Stock |
| 1,706,338 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 5.2% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%**† (B) | 5.2 | 104,783,100 | 104,783 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 104,783 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 14.7% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**† | 14.6 | 296,094,489 | 296,095 | |||||||||
Other Securities | 0.1 | 1,614 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 297,709 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.9% |
| |||||||||||
U.S. Treasury Bills 0.112%, 09/20/12 | 0.8 | $ | 16,823 | 16,812 | ||||||||
Other Securities | 0.1 | 2,129 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 18,941 | ||||||||||
|
| |||||||||||
Total Investments — 105.2% |
| $ | 2,127,771 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 3,816 | Jun-2012 | $ | 987 | ||||||||
S&P Mid 400 Index E-MINI | 352 | Jun-2012 | (42 | ) | ||||||||
|
| |||||||||||
$ | 945 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $2,022,833 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $102,357 ($ 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 March 31, 2012 was $104,783 ($ 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
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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,706,338 | $ | — | $ | — | $ | 1,706,338 | ||||||||
U.S. Treasury Obligations | — | 18,941 | — | 18,941 | ||||||||||||
Cash Equivalents | 296,095 | 1,614 | — | 297,709 | ||||||||||||
Affiliated Partnership | — | 104,783 | — | 104,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,002,433 | $ | 125,338 | $ | — | $ | 2,127,771 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 945 | $ | — | $ | — | $ | 945 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 945 | $ | — | $ | — | $ | 945 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.3% |
| |||||||||||
Consumer Discretionary — 8.5% |
| |||||||||||
CBS, Cl B | 0.6 | % | 256,800 | $ | 8,708 | |||||||
Gap (A) | 0.4 | 243,800 | 6,373 | |||||||||
Other Securities | 7.5 | 107,084 | ||||||||||
|
| |||||||||||
122,165 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.1% |
| |||||||||||
CVS Caremark | 1.0 | 320,100 | 14,341 | |||||||||
Kroger | 0.5 | 271,400 | 6,576 | |||||||||
Procter & Gamble | 1.3 | 273,900 | 18,409 | |||||||||
Wal-Mart Stores | 0.9 | 213,910 | 13,091 | |||||||||
Other Securities | 4.4 | 64,977 | ||||||||||
|
| |||||||||||
117,394 | ||||||||||||
|
| |||||||||||
Energy — 12.1% |
| |||||||||||
Apache | 0.5 | 79,475 | 7,982 | |||||||||
Chevron | 2.7 | 360,900 | 38,703 | |||||||||
ConocoPhillips | 1.5 | 292,900 | 22,263 | |||||||||
Exxon Mobil | 1.7 | 282,525 | 24,503 | |||||||||
Hess | 0.5 | 116,300 | 6,856 | |||||||||
Marathon Oil | 0.5 | 215,800 | 6,841 | |||||||||
Murphy Oil | 0.8 | 200,450 | 11,279 | |||||||||
Occidental Petroleum | 0.5 | 71,100 | 6,771 | |||||||||
Valero Energy | 0.6 | 316,000 | 8,143 | |||||||||
Other Securities | 2.8 | 41,136 | ||||||||||
|
| |||||||||||
174,477 | ||||||||||||
|
| |||||||||||
Financials — 21.9% |
| |||||||||||
Aflac | 0.8 | 245,725 | 11,301 | |||||||||
American Express | 0.7 | 180,750 | 10,458 | |||||||||
Ameriprise Financial | 0.6 | 145,700 | 8,324 | |||||||||
Assurant | 0.4 | 162,000 | 6,561 | |||||||||
Bank of America | 0.8 | 1,212,000 | 11,599 | |||||||||
Citigroup | 1.4 | 560,640 | 20,491 | |||||||||
Discover Financial Services | 0.6 | 244,800 | 8,162 | |||||||||
Fifth Third Bancorp | 0.7 | 727,600 | 10,223 |
Description | Percentage of Net Assets (%) | Shares | �� | Market Value ($ Thousands) | ||||||||
JPMorgan Chase | 3.0 | % | 926,600 | $ | 42,605 | |||||||
PNC Financial Services Group | 1.1 | 246,300 | 15,884 | |||||||||
Prudential Financial | 0.8 | 177,500 | 11,252 | |||||||||
US Bancorp | 0.5 | 247,700 | 7,847 | |||||||||
Wells Fargo | 2.5 | 1,056,400 | 36,065 | |||||||||
Other Securities | 8.0 | 115,683 | ||||||||||
|
| |||||||||||
316,455 | ||||||||||||
|
| |||||||||||
Health Care — 13.5% |
| |||||||||||
Aetna | 0.9 | 260,000 | 13,042 | |||||||||
Amgen | 0.8 | 161,400 | 10,974 | |||||||||
Johnson & Johnson | 1.2 | 264,225 | 17,428 | |||||||||
Merck | 1.6 | 602,800 | 23,148 | |||||||||
Pfizer | 3.1 | 1,977,750 | 44,816 | |||||||||
UnitedHealth Group | 0.5 | 125,100 | 7,373 | |||||||||
WellPoint | 1.1 | 209,000 | 15,424 | |||||||||
Other Securities | 4.3 | 62,222 | ||||||||||
|
| |||||||||||
194,427 | ||||||||||||
|
| |||||||||||
Industrials — 9.3% |
| |||||||||||
General Dynamics | 0.5 | 99,600 | 7,309 | |||||||||
General Electric | 2.5 | 1,793,025 | 35,986 | |||||||||
Northrop Grumman (A) | 0.8 | 198,600 | 12,130 | |||||||||
Other Securities | 5.5 | 78,316 | ||||||||||
|
| |||||||||||
133,741 | ||||||||||||
|
| |||||||||||
Information Technology — 12.1% |
| |||||||||||
Cisco Systems | 2.0 | 1,387,650 | 29,349 | |||||||||
Intel | 2.6 | 1,350,575 | 37,965 | |||||||||
Microsoft | 1.1 | 505,950 | 16,317 | |||||||||
Other Securities | 6.4 | 90,463 | ||||||||||
|
| |||||||||||
174,094 | ||||||||||||
|
| |||||||||||
Materials — 5.3% |
| |||||||||||
Dow Chemical | 0.6 | 240,900 | 8,345 | |||||||||
E.I. Du Pont de Nemours | 0.5 | 132,850 | 7,028 | |||||||||
Newmont Mining | 0.6 | 172,750 | 8,857 | |||||||||
Owens-Illinois * | 0.6 | 361,000 | 8,426 | |||||||||
Other Securities | 3.0 | 43,623 | ||||||||||
|
| |||||||||||
76,279 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 2.7% |
| |||||||||||
AT&T (A) | 1.9 | 870,200 | 27,176 | |||||||||
Verizon Communications | 0.8 | 311,400 | 11,905 | |||||||||
|
| |||||||||||
39,081 | ||||||||||||
|
| |||||||||||
Utilities — 3.8% |
| |||||||||||
American Electric Power | 0.6 | 205,100 | 7,913 | |||||||||
Entergy | 0.5 | 114,900 | 7,721 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 3 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 2.7 | % | $ | 38,740 | ||||||||
|
| |||||||||||
54,374 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,402,487 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||||||
SPDR Gold Shares | 0.5 | 47,650 | 7,726 | |||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 7,726 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 5.8% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%**† (B) | 5.8 | 88,616,750 | 83,627 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 83,627 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**† | 1.5 | 22,094,770 | 22,095 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 22,095 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 2,612 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,612 | ||||||||||
|
| |||||||||||
Total Investments — 105.3% |
| $ | 1,518,547 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 25 | June-2012 | $ | 50 | ||||||||
S&P 500 Index E-MINI | 365 | June-2012 | 579 | |||||||||
|
| |||||||||||
$ | 629 | |||||||||||
|
|
For the period ended March 31, 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 $1,442,034 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $86,587 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 9). The total value of such securities as of March 31, 2012 was $83,627 ($ 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 Depository 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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,402,487 | $ | — | $ | — | $ | 1,402,487 | ||||||||
Exchange Traded Fund | 7,726 | — | — | 7,726 | ||||||||||||
U.S. Treasury Obligations | — | 2,612 | — | 2,612 | ||||||||||||
Affiliated Partnership | — | 83,627 | — | 83,627 | ||||||||||||
Cash Equivalent | 22,095 | — | — | 22,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,432,308 | $ | 86,239 | $ | — | $ | 1,518,547 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 629 | $ | — | $ | — | $ | 629 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 629 | $ | — | $ | — | $ | 629 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.6%‡ |
| |||||||||||
Consumer Discretionary — 15.2% |
| |||||||||||
Apollo Group, Cl A* (A) | 0.8 | % | 317,900 | $ | 12,284 | |||||||
Coach | 1.0 | 200,591 | 15,502 | |||||||||
Fossil* | 0.9 | 104,786 | 13,830 | |||||||||
McDonald’s | 1.0 | 149,500 | 14,666 | |||||||||
Nike, Cl B | 1.1 | 151,950 | 16,477 | |||||||||
priceline.com* (A) | 1.5 | 32,625 | 23,408 | |||||||||
Other Securities | 8.9 | 138,081 | ||||||||||
|
| |||||||||||
234,248 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.6% |
| |||||||||||
Altria Group | 1.0 | 504,197 | 15,565 | |||||||||
Costco Wholesale | 1.5 | 254,107 | 23,073 | |||||||||
Estee Lauder, Cl A | 1.1 | 269,158 | 16,672 | |||||||||
Mead Johnson Nutrition, Cl A | 1.2 | 222,355 | 18,340 | |||||||||
Philip Morris International | 1.1 | 192,797 | 17,084 | |||||||||
Other Securities | 2.7 | 41,924 | ||||||||||
|
| |||||||||||
132,658 | ||||||||||||
|
| |||||||||||
Energy — 10.3% |
| |||||||||||
Canadian Natural Resources | 0.8 | 371,681 | 12,332 | |||||||||
Core Laboratories (A) | 1.0 | 122,781 | 16,154 | |||||||||
El Paso | 0.9 | 497,600 | 14,704 | |||||||||
EOG Resources | 1.6 | 220,500 | 24,498 | |||||||||
Exxon Mobil | 1.1 | 193,300 | 16,765 | |||||||||
FMC Technologies* (A) | 1.3 | 386,381 | 19,481 | |||||||||
Schlumberger | 1.0 | 222,953 | 15,591 | |||||||||
Other Securities | 2.6 | 39,042 | ||||||||||
|
| |||||||||||
158,567 | ||||||||||||
|
| |||||||||||
Financials — 5.6% |
| |||||||||||
CME Group | 1.0 | 50,950 | 14,741 | |||||||||
IntercontinentalExchange* | 1.1 | 126,650 | 17,404 | |||||||||
Progressive | 1.1 | 743,686 | 17,239 | |||||||||
Other Securities | 2.4 | 36,508 | ||||||||||
|
| |||||||||||
85,892 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 12.1% |
| |||||||||||
Alexion Pharmaceuticals* (A) | 0.8 | % | 140,300 | $ | 13,028 | |||||||
Allergan | 1.7 | 270,700 | 25,833 | |||||||||
DaVita* | 1.1 | 181,510 | 16,367 | |||||||||
Express Scripts* (A) | 1.4 | 378,689 | 20,517 | |||||||||
Idexx Laboratories* (A) | 0.8 | 144,760 | 12,659 | |||||||||
Intuitive Surgical* (A) | 1.2 | 35,508 | 19,237 | |||||||||
Novo Nordisk ADR (A) | 1.0 | 110,532 | 15,332 | |||||||||
Perrigo (A) | 0.9 | 143,650 | 14,840 | |||||||||
Other Securities | 3.2 | 48,905 | ||||||||||
|
| |||||||||||
186,718 | ||||||||||||
|
| |||||||||||
Industrials — 8.1% |
| |||||||||||
Danaher | 1.2 | 314,206 | 17,596 | |||||||||
Fluor | 1.2 | 293,051 | 17,595 | |||||||||
Roper Industries | 0.9 | 139,873 | 13,870 | |||||||||
Stericycle* | 1.2 | 214,031 | 17,902 | |||||||||
Other Securities | 3.6 | 58,453 | ||||||||||
|
| |||||||||||
125,416 | ||||||||||||
|
| |||||||||||
Information Technology — 33.9% |
| |||||||||||
Accenture, Cl A (A) | 1.4 | 335,459 | 21,637 | |||||||||
Adobe Systems* | 1.1 | 499,800 | 17,148 | |||||||||
Amphenol, Cl A | 1.1 | 287,284 | 17,171 | |||||||||
Apple* | 5.9 | 151,731 | 90,958 | |||||||||
Cognizant Technology | 0.9 | 174,289 | 13,411 | |||||||||
Google, Cl A* | 3.1 | 72,761 | 46,657 | |||||||||
International Business Machines | 1.0 | 72,574 | 15,142 | |||||||||
Intuit | 1.2 | 314,400 | 18,905 | |||||||||
Mastercard, Cl A | 2.9 | 105,511 | 44,372 | |||||||||
NetApp* | 1.0 | 327,418 | 14,658 | |||||||||
Qualcomm | 3.0 | 685,966 | 46,659 | |||||||||
Salesforce.com* (A) | 1.0 | 96,985 | 14,985 | |||||||||
Teradata* | 1.3 | 294,600 | 20,077 | |||||||||
VeriSign | 1.1 | 447,200 | 17,146 | |||||||||
Visa, Cl A | 1.8 | 243,650 | 28,751 | |||||||||
Other Securities | 6.1 | 94,020 | ||||||||||
|
| |||||||||||
521,697 | ||||||||||||
|
| |||||||||||
Materials — 2.1% |
| |||||||||||
Syngenta ADR (A) | 0.9 | 192,696 | 13,263 | |||||||||
Other Securities | 1.2 | 19,462 | ||||||||||
|
| |||||||||||
32,725 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.5% |
| |||||||||||
Crown Castle International* | 1.5 | 425,900 | 22,717 | |||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 5 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 0.2% |
| |||||||||||
Other Securities | 0.2 | % | $ | 2,481 | ||||||||
|
| |||||||||||
Total Common Stock |
| 1,503,119 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 13.2% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%**† (B) | 13.2 | 207,165,977 | 202,956 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 202,956 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 2.8% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**† | 2.6 | 40,012,205 | 40,012 | |||||||||
Other Securities | 0.2 | 2,829 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 42,841 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 2,745 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,745 | ||||||||||
|
| |||||||||||
Total Investments — 113.8% |
| $ | 1,751,661 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 29 | Jun-2012 | $ | 106 | ||||||||
S&P 500 Index E-MINI | 440 | Jun-2012 | 1,167 | |||||||||
|
| |||||||||||
$ | 1,273 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $1,539,846 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012 |
† | 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 March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $202,863 ($ 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 March 31, 2012 was $202,956 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depository Receipt
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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,503,119 | $ | — | $ | — | $ | 1,503,119 | ||||||||
U.S. Treasury Obligations | — | 2,745 | — | 2,745 | ||||||||||||
Affiliated Partnership | — | 202,956 | — | 202,956 | ||||||||||||
Cash Equivalents | 40,012 | 2,829 | — | 42,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,543,131 | $ | 208,530 | $ | — | $ | 1,751,661 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,273 | $ | — | $ | — | $ | 1,273 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,273 | $ | — | $ | — | $ | 1,273 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.8% |
| |||||||||||
Consumer Discretionary — 14.0% |
| |||||||||||
Bed Bath & Beyond* | 0.6 | % | 161,314 | $ | 10,610 | |||||||
CBS, Cl B | 0.8 | 438,672 | 14,875 | |||||||||
Coach | 1.1 | 267,190 | 20,648 | |||||||||
Lowe’s | 0.7 | 408,903 | 12,831 | |||||||||
Macy’s | 0.5 | 266,109 | 10,572 | |||||||||
Nike, Cl B | 0.9 | 151,534 | 16,432 | |||||||||
priceline.com* (A) | 0.7 | 17,269 | 12,391 | |||||||||
Target | 0.7 | 246,633 | 14,371 | |||||||||
Time Warner Cable, Cl A (A) | 0.6 | 139,620 | 11,379 | |||||||||
Other Securities | 7.4 | 140,314 | ||||||||||
|
| |||||||||||
264,423 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.8% |
| |||||||||||
Costco Wholesale | 1.1 | 224,489 | 20,384 | |||||||||
Estee Lauder, Cl A | 0.6 | 186,759 | 11,568 | |||||||||
Mead Johnson Nutrition, Cl A | 0.7 | 164,728 | 13,587 | |||||||||
Philip Morris International | 0.9 | 191,743 | 16,990 | |||||||||
Procter & Gamble | 0.8 | 224,889 | 15,115 | |||||||||
Whole Foods Market | 0.7 | 157,273 | 13,085 | |||||||||
Other Securities | 4.0 | 75,106 | ||||||||||
|
| |||||||||||
165,835 | ||||||||||||
|
| |||||||||||
Energy — 9.6% |
| |||||||||||
Chevron | 1.5 | 256,399 | 27,496 | |||||||||
ConocoPhillips | 1.2 | 301,131 | 22,889 | |||||||||
EOG Resources | 0.7 | 114,060 | 12,672 | |||||||||
Exxon Mobil | 1.2 | 251,996 | 21,856 | |||||||||
Schlumberger | 0.6 | 153,284 | 10,719 | |||||||||
Other Securities | 4.4 | 86,676 | ||||||||||
|
| |||||||||||
182,308 | ||||||||||||
|
| |||||||||||
Financials — 14.1% |
| |||||||||||
Capital One Financial | 0.7 | 246,210 | 13,724 | |||||||||
Citigroup | 0.9 | 446,733 | 16,328 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 1.5 | % | 636,691 | $ | 29,275 | |||||||
Wells Fargo | 1.1 | 594,072 | 20,282 | |||||||||
Other Securities | 9.9 | 186,578 | ||||||||||
|
| |||||||||||
266,187 | ||||||||||||
|
| |||||||||||
Health Care — 12.3% |
| |||||||||||
Allergan | 0.9 | 185,375 | 17,690 | |||||||||
Amgen | 0.8 | 226,382 | 15,392 | |||||||||
Express Scripts* (A) | 0.5 | 180,763 | 9,794 | |||||||||
Johnson & Johnson | 0.8 | 226,669 | 14,951 | |||||||||
Merck | 0.8 | 368,556 | 14,153 | |||||||||
Pfizer | 1.5 | 1,209,742 | 27,413 | |||||||||
Other Securities | 7.0 | 133,385 | ||||||||||
|
| |||||||||||
232,778 | ||||||||||||
|
| |||||||||||
Industrials — 8.5% |
| |||||||||||
General Electric | 1.3 | 1,231,676 | 24,720 | |||||||||
Precision Castparts | 0.6 | 62,089 | 10,735 | |||||||||
Other Securities | 6.6 | 124,443 | ||||||||||
|
| |||||||||||
159,898 | ||||||||||||
|
| |||||||||||
Information Technology — 23.1% |
| |||||||||||
Adobe Systems* | 0.9 | 477,323 | 16,377 | |||||||||
Apple* | 3.5 | 108,901 | 65,283 | |||||||||
Autodesk* | 0.6 | 245,015 | 10,369 | |||||||||
Cisco Systems | 0.7 | 657,955 | 13,916 | |||||||||
EMC* | 0.5 | 349,920 | 10,456 | |||||||||
Google, Cl A* | 1.6 | 46,833 | 30,031 | |||||||||
Intel | 1.5 | 1,009,876 | 28,388 | |||||||||
International Business Machines | 0.7 | 63,960 | 13,345 | |||||||||
Intuit | 0.7 | 224,464 | 13,497 | |||||||||
Mastercard, Cl A | 1.4 | 62,152 | 26,137 | |||||||||
Microsoft | 0.5 | 311,812 | 10,056 | |||||||||
NetApp* | 0.5 | 219,027 | 9,806 | |||||||||
Qualcomm | 1.8 | 494,683 | 33,648 | |||||||||
VeriSign (A) | 0.6 | 288,622 | 11,066 | |||||||||
Visa, Cl A | 1.0 | 153,968 | 18,168 | |||||||||
Other Securities | 6.6 | 126,400 | ||||||||||
|
| |||||||||||
436,943 | ||||||||||||
|
| |||||||||||
Materials — 2.6% |
| |||||||||||
Other Securities | 2.6 | 49,888 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.7% |
| |||||||||||
AT&T (A) | 1.0 | 595,385 | 18,594 | |||||||||
Crown Castle International* | 0.7 | 227,999 | 12,162 | |||||||||
Verizon Communications | 1.0 | 475,775 | 18,189 | |||||||||
Other Securities | 0.0 | 1,585 | ||||||||||
|
| |||||||||||
50,530 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 7 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 2.1% |
| |||||||||||
Other Securities | 2.1 | % | $ | 38,995 | ||||||||
|
| |||||||||||
Total Common Stock |
| 1,847,785 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 9.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%**† (B) | 9.3 | 181,082,184 | 176,509 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 176,509 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**† | 2.3 | 42,751,844 | 42,752 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 42,752 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,581 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,581 | ||||||||||
|
| |||||||||||
Total Investments — 109.6% |
| $ | 2,070,627 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 548 | Jun-2012 | $ | 1,487 | ||||||||
S&P 400 Index E-MINI | 51 | Jun-2012 | 153 | |||||||||
|
| |||||||||||
$ | 1,640 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $1,889,381 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $177,182 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 9). The total value of such securities as of March 31, 2012 was $176,509 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & 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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,847,785 | $ | — | $ | — | $ | 1,847,785 | ||||||||
U.S. Treasury Obligations | — | 3,581 | — | 3,581 | ||||||||||||
Affiliated Partnership | — | 176,509 | — | 176,509 | ||||||||||||
Cash Equivalent | 42,752 | — | — | 42,752 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,890,537 | $ | 180,090 | $ | — | $ | 2,070,627 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,640 | $ | — | $ | — | $ | 1,640 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,640 | $ | — | $ | — | $ | 1,640 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.7% |
| |||||||||||
Consumer Discretionary — 10.8% |
| |||||||||||
Amazon.com* (A) | 0.6 | % | 60,500 | $ | 12,252 | |||||||
Comcast, Cl A (A) | 0.6 | 448,322 | 13,454 | |||||||||
Home Depot | 0.6 | 256,296 | 12,894 | |||||||||
McDonald’s | 0.8 | 169,370 | 16,615 | |||||||||
Walt Disney (A) | 0.6 | 298,027 | 13,047 | |||||||||
Other Securities | 7.6 | 163,888 | ||||||||||
|
| |||||||||||
232,150 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.6% |
| |||||||||||
Altria Group | 0.5 | 340,156 | 10,501 | |||||||||
Coca-Cola | 1.3 | 376,253 | 27,846 | |||||||||
CVS Caremark | 0.5 | 216,535 | 9,701 | |||||||||
Kraft Foods, Cl A | 0.5 | 293,998 | 11,175 | |||||||||
PepsiCo | 0.8 | 261,185 | 17,330 | |||||||||
Philip Morris International | 1.2 | 286,265 | 25,366 | |||||||||
Procter & Gamble | 1.4 | 458,001 | 30,782 | |||||||||
Wal-Mart Stores | 0.8 | 290,444 | 17,775 | |||||||||
Other Securities | 3.6 | 77,310 | ||||||||||
|
| |||||||||||
227,786 | ||||||||||||
|
| |||||||||||
Energy — 11.1% |
| |||||||||||
Chevron | 1.6 | 328,678 | 35,247 | |||||||||
ConocoPhillips | 0.8 | 212,743 | 16,171 | |||||||||
Exxon Mobil | 3.2 | 783,698 | 67,970 | |||||||||
Occidental Petroleum | 0.6 | 134,859 | 12,843 | |||||||||
Schlumberger | 0.7 | 221,743 | 15,506 | |||||||||
Other Securities | 4.2 | 89,671 | ||||||||||
|
| |||||||||||
237,408 | ||||||||||||
|
| |||||||||||
Financials — 14.8% |
| |||||||||||
American Express | 0.5 | 168,715 | 9,762 | |||||||||
Bank of America | 0.8 | 1,784,428 | 17,077 | |||||||||
Berkshire Hathaway, Cl B* | 1.1 | 292,347 | 23,724 | |||||||||
Citigroup | 0.8 | 486,908 | 17,796 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Goldman Sachs Group | 0.5 | % | 82,256 | $ | 10,230 | |||||||
JPMorgan Chase | 1.4 | 634,657 | 29,181 | |||||||||
US Bancorp | 0.5 | 317,706 | 10,065 | |||||||||
Wells Fargo | 1.4 | 876,763 | 29,933 | |||||||||
Other Securities | 7.8 | 168,420 | ||||||||||
|
| |||||||||||
316,188 | ||||||||||||
|
| |||||||||||
Health Care — 11.3% |
| |||||||||||
Abbott Laboratories (A) | 0.7 | 261,446 | 16,024 | |||||||||
Bristol-Myers Squibb | 0.4 | 280,675 | 9,473 | |||||||||
Johnson & Johnson | 1.4 | 456,382 | 30,103 | |||||||||
Merck | 0.9 | 506,144 | 19,436 | |||||||||
Pfizer | 1.3 | 1,253,376 | 28,401 | |||||||||
UnitedHealth Group | 0.5 | 173,747 | 10,241 | |||||||||
Other Securities | 6.1 | 128,283 | ||||||||||
|
| |||||||||||
241,961 | ||||||||||||
|
| |||||||||||
Industrials — 10.4% |
| |||||||||||
3M | 0.5 | 115,482 | 10,302 | |||||||||
Boeing | 0.4 | 124,032 | 9,224 | |||||||||
Caterpillar | 0.5 | 107,697 | 11,472 | |||||||||
General Electric | 1.6 | 1,759,274 | 35,309 | |||||||||
United Parcel Service, Cl B | 0.6 | 159,411 | 12,868 | |||||||||
United Technologies | 0.6 | 151,332 | 12,552 | |||||||||
Other Securities | 6.2 | 130,203 | ||||||||||
|
| |||||||||||
221,930 | ||||||||||||
|
| |||||||||||
Information Technology — 20.3% |
| |||||||||||
Apple* | 4.3 | 155,031 | 92,936 | |||||||||
Cisco Systems | 0.9 | 895,504 | 18,940 | |||||||||
EMC* | 0.5 | 341,340 | 10,199 | |||||||||
Google, Cl A* | 1.3 | 42,191 | 27,055 | |||||||||
Intel | 1.1 | 830,715 | 23,351 | |||||||||
International Business Machines | 1.9 | 192,637 | 40,194 | |||||||||
Microsoft | 1.9 | 1,241,693 | 40,045 | |||||||||
Oracle | 0.9 | 651,788 | 19,006 | |||||||||
Qualcomm | 0.9 | 281,232 | 19,130 | |||||||||
Visa, Cl A | 0.5 | 82,672 | 9,755 | |||||||||
Other Securities | 6.1 | 134,790 | ||||||||||
|
| |||||||||||
435,401 | ||||||||||||
|
| |||||||||||
Materials — 3.4% |
| |||||||||||
Other Securities | 3.4 | 73,763 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.7% |
| |||||||||||
AT&T (A) | 1.4 | 985,740 | 30,785 | |||||||||
Verizon Communications | 0.8 | 471,498 | 18,025 | |||||||||
Other Securities | 0.5 | 9,895 | ||||||||||
|
| |||||||||||
58,705 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 9 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.3% |
| |||||||||||
Other Securities | 3.3 | % | $ | 71,323 | ||||||||
|
| |||||||||||
Total Common Stock |
| 2,116,615 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 8.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%**† (B) | 8.3 | 180,255,400 | 176,909 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 176,909 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.1% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**† | 1.1 | 24,616,792 | 24,617 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| |||||||||||
(Cost $24,617) ($ Thousands) |
| 24,617 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 2,149 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,149 | ||||||||||
|
| |||||||||||
Total Investments — 108.2% |
| $ | 2,320,290 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 500 Index E-MINI | 462 | Jun-2012 | $ | 840 | ||||||||
|
|
For the period ended March 31, 2012, 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 $2,143,815 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at March 31, 2011 (see Note 9). The total market value of securities on loan at March 31, 2012 was $176,600 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 9). The total value of such securities as of March 31, 2012 was $176,909 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & 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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,116,615 | $ | — | $ | — | $ | 2,116,615 | ||||||||
U.S. Treasury Obligations | — | 2,149 | — | 2,149 | ||||||||||||
Affiliated Partnership | — | 176,909 | — | 176,909 | ||||||||||||
Cash Equivalent | 24,617 | — | — | 24,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,141,232 | $ | 179,058 | $ | — | $ | 2,320,290 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 840 | $ | — | $ | — | $ | 840 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 840 | $ | — | $ | — | $ | 840 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
10 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 83.8% |
| |||||||||||
Consumer Discretionary — 11.5% |
| |||||||||||
BJ’s Restaurants* (A) | 0.3 | % | 17,661 | $ | 889 | |||||||
Childrens Place Retail Stores* (A) | 0.3 | 16,363 | 845 | |||||||||
Francesca’s Holdings* (A) | 0.3 | 24,932 | 788 | |||||||||
Life Time Fitness* (A) | 0.3 | 19,607 | 991 | |||||||||
National CineMedia | 0.3 | 50,940 | 779 | |||||||||
Pier 1 Imports | 0.3 | 55,529 | 1,010 | |||||||||
Pinnacle Entertainment* | 0.3 | 80,515 | 927 | |||||||||
Other Securities | 9.4 | 27,770 | ||||||||||
|
| |||||||||||
33,999 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.0% |
| |||||||||||
Casey’s General Stores (A) | 0.3 | 13,695 | 760 | |||||||||
Other Securities | 1.7 | 5,163 | ||||||||||
|
| |||||||||||
5,923 | ||||||||||||
|
| |||||||||||
Energy — 6.4% |
| |||||||||||
Berry Petroleum, Cl A | 0.3 | 18,934 | 892 | |||||||||
Goodrich Petroleum* (A) | 0.3 | 41,757 | 794 | |||||||||
Key Energy Services* | 0.3 | 48,697 | 752 | |||||||||
Oasis Petroleum* (A) | 0.3 | 30,337 | 935 | |||||||||
Scorpio Tankers* | 0.3 | 106,562 | 752 | |||||||||
Other Securities | 4.9 | 14,678 | ||||||||||
|
| |||||||||||
18,803 | ||||||||||||
|
| |||||||||||
Financials — 16.1% |
| |||||||||||
Coresite Realty† (A) | 0.1 | 7,255 | 171 | |||||||||
Education Realty Trust† | 0.3 | 79,385 | 860 | |||||||||
Hanmi Financial* | 0.0 | 800 | 8 | |||||||||
Hanover Insurance Group | 0.3 | 19,956 | 821 | |||||||||
Highwoods Properties† (A) | 0.4 | 31,862 | 1,062 | |||||||||
Mid-America Apartment Communities† | 0.3 | 11,562 | 775 | |||||||||
National Retail Properties† (A) | 0.3 | 29,445 | 801 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
ProAssurance | 0.3 | % | 10,448 | $ | 920 | |||||||
Susquehanna Bancshares | 0.3 | 92,182 | 911 | |||||||||
Western Alliance Bancorp* (A) | 0.4 | 139,402 | 1,181 | |||||||||
Other Securities | 13.4 | 39,885 | ||||||||||
|
| |||||||||||
47,395 | ||||||||||||
|
| |||||||||||
Health Care — 11.4% |
| |||||||||||
Ariad Pharmaceuticals* (A) | 0.4 | 75,962 | 1,212 | |||||||||
Cubist Pharmaceuticals* (A) | 0.3 | 18,237 | 789 | |||||||||
Magellan Health Services* | 0.3 | 16,121 | 787 | |||||||||
Mednax* (A) | 0.4 | 13,871 | 1,032 | |||||||||
WellCare Health Plans* | 0.4 | 17,237 | 1,239 | |||||||||
Other Securities | 9.6 | 28,712 | ||||||||||
|
| |||||||||||
33,771 | ||||||||||||
|
| |||||||||||
Industrials — 15.1% |
| |||||||||||
Acacia Research – Acacia Technologies* | 0.3 | 21,464 | 896 | |||||||||
Actuant, Cl A | 0.5 | 49,323 | 1,430 | |||||||||
Dycom Industries* | 0.3 | 35,695 | 834 | |||||||||
EMCOR Group | 0.3 | 32,704 | 906 | |||||||||
Genesee & Wyoming, Cl A* (A) | 0.3 | 15,269 | 833 | |||||||||
Hexcel* | 0.3 | 34,894 | 838 | |||||||||
Middleby* | 0.3 | 7,875 | 797 | |||||||||
Old Dominion Freight Line* | 0.4 | 25,911 | 1,235 | |||||||||
Robbins & Myers | 0.5 | 27,988 | 1,457 | |||||||||
Wabash National* (A) | 0.4 | 127,111 | 1,316 | |||||||||
Other Securities | 11.5 | 33,882 | ||||||||||
|
| |||||||||||
44,424 | ||||||||||||
|
| |||||||||||
Information Technology — 15.4% |
| |||||||||||
Aruba Networks* (A) | 0.4 | 46,350 | 1,033 | |||||||||
BroadSoft* (A) | 0.3 | 24,082 | 921 | |||||||||
Cavium* (A) | 0.3 | 29,655 | 918 | |||||||||
DealerTrack Holdings* | 0.3 | 28,470 | 862 | |||||||||
Fairchild Semiconductor International* | 0.3 | 54,234 | 797 | |||||||||
Integrated Device Technology* (A) | 0.3 | 106,527 | 762 | |||||||||
Mellanox Technologies* (A) | 0.3 | 22,220 | 930 | |||||||||
Parametric Technology* | 0.5 | 58,006 | 1,621 | |||||||||
ServiceSource International* (A) | 0.3 | 59,111 | 915 | |||||||||
Other Securities | 12.4 | 36,805 | ||||||||||
|
| |||||||||||
45,564 | ||||||||||||
|
| |||||||||||
Materials — 3.6% |
| |||||||||||
Innophos Holdings | 0.3 | 16,704 | 837 | |||||||||
PolyOne | 0.3 | 65,631 | 945 | |||||||||
Other Securities | 3.0 | 8,822 | ||||||||||
|
| |||||||||||
10,604 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 11 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Telecommunication Services — 0.4% |
| |||||||||||
Other Securities | 0.4 | % | $ | 1,230 | ||||||||
|
| |||||||||||
Utilities — 1.9% |
| |||||||||||
Other Securities | 1.9 | 5,644 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 247,357 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS — 1.0% |
| |||||||||||
iShares Russell 2000 Growth Index Fund (A) | 0.5 | 15,465 | 1,475 | |||||||||
Other Securities | 0.5 | 1,641 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 3,116 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.1% |
| |||||||||||
Consumer Discretionary — 0.1% |
| |||||||||||
Other Securities | 0.1 | 123 | ||||||||||
|
| |||||||||||
Energy — 0.0% |
| |||||||||||
Other Securities | 0.0 | 50 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 173 | ||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.0% |
| |||||||||||
Energy — 0.0% |
| |||||||||||
Other Securities | 0.0 | 84 | ||||||||||
|
| |||||||||||
Financials — 0.0% |
| |||||||||||
Other Securities | 0.0 | 3 | ||||||||||
|
| |||||||||||
Total Convertible Bonds |
| 87 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 15 | ||||||||||
|
| |||||||||||
Total Warrants |
| 15 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 24.9% |
| |||||||||||
SEI Liquidity Fund, L.P. | 24.9 | 73,545,276 | 73,545 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 73,545 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 6.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 6.3 | 18,510,672 | 18,511 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 18,511 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 1.0% |
| |||||||||||
U.S. Treasury Bills, | 0.8 | % | $ | 2,453 | $ | 2,452 | ||||||
Other Securities | 0.2 | 379 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,831 | ||||||||||
|
| |||||||||||
Total Investments — 117.1% |
| $ | 345,635 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 474 | Jun-2012 | $ | 648 | ||||||||
|
|
For the period ended March 31, 2012, 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 $295,251 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | 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 March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $71,272 ($ 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 March 31, 2012 was $73,545 ($ Thousands). |
(C) | Security, or a 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
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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 247,354 | $ | 1 | $ | 2 | $ | 247,357 | ||||||||
Exchange Traded Funds | 3,116 | — | — | 3,116 | ||||||||||||
Preferred Stock | — | 173 | — | 173 | ||||||||||||
Convertible Bonds | — | 87 | — | 87 | ||||||||||||
Warrants | — | 15 | — | 15 | ||||||||||||
U.S. Treasury Obligations | — | 2,831 | — | 2,831 | ||||||||||||
Affiliated Partnership | — | 73,545 | — | 73,545 | ||||||||||||
Cash Equivalent | 18,511 | — | — | 18,511 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 268,981 | $ | 76,652 | $ | 2 | $ | 345,635 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 648 | $ | — | $ | — | $ | 648 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 648 | $ | — | $ | — | $ | 648 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
12 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2011 | $ | 2 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 2 | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | — | ||
|
|
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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 / Semi-Annual Report / March 31, 2012 | 13 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.8%‡ |
| |||||||||||
Consumer Discretionary — 9.8% |
| |||||||||||
Matthews International, Cl A (A) | 0.6 | % | 84,235 | $ | 2,665 | |||||||
Men’s Wearhouse | 0.4 | 49,041 | 1,901 | |||||||||
Meredith (A) | 0.4 | 56,425 | 1,832 | |||||||||
Regis (A) | 0.6 | 135,749 | 2,502 | |||||||||
Rent-A-Center | 0.4 | 51,400 | 1,940 | |||||||||
WMS Industries* | 0.4 | 84,272 | 2,000 | |||||||||
Other Securities | 7.0 | 31,536 | ||||||||||
|
| |||||||||||
44,376 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.9% |
| |||||||||||
Other Securities | 2.9 | 12,988 | ||||||||||
|
| |||||||||||
Energy — 4.9% |
| |||||||||||
Berry Petroleum, Cl A | 0.4 | 35,308 | 1,664 | |||||||||
Key Energy Services* | 0.4 | 119,520 | 1,846 | |||||||||
Other Securities | 4.1 | 18,392 | ||||||||||
|
| |||||||||||
21,902 | ||||||||||||
|
| |||||||||||
Financials — 33.6% |
| |||||||||||
Alterra Capital Holdings (A) | 0.5 | 94,250 | 2,166 | |||||||||
Boston Private Financial Holdings (A) | 0.5 | 214,728 | 2,128 | |||||||||
CNO Financial Group* (A) | 0.5 | 315,000 | 2,451 | |||||||||
Endurance Specialty Holdings | 0.4 | 45,294 | 1,842 | |||||||||
Equity Residential† | 0.5 | 35,600 | 2,229 | |||||||||
First Midwest Bancorp | 0.4 | 165,363 | 1,981 | |||||||||
Hancock Holding (A) | 0.6 | 69,133 | 2,455 | |||||||||
Mack-Cali Realty† | 0.4 | 59,761 | 1,722 | |||||||||
Mid-America Apartment Communities† | 0.5 | 30,431 | 2,040 | |||||||||
Nelnet, Cl A | 0.4 | 64,700 | 1,676 | |||||||||
Ocwen Financial* | 0.4 | 111,700 | 1,746 | |||||||||
Old National Bancorp | 0.5 | 166,614 | 2,189 | |||||||||
PacWest Bancorp (A) | 0.4 | 75,983 | 1,846 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Platinum Underwriters Holdings | 0.5 | % | 61,514 | $ | 2,245 | |||||||
ProAssurance | 0.5 | 24,613 | 2,168 | |||||||||
ProLogis† | 0.4 | 51,644 | 1,860 | |||||||||
Simon Property Group† | 0.6 | 18,744 | 2,731 | |||||||||
Western Alliance Bancorp* | 0.5 | 259,175 | 2,195 | |||||||||
Other Securities | 25.1 | 114,035 | ||||||||||
|
| |||||||||||
151,705 | ||||||||||||
|
| |||||||||||
Health Care — 4.5% |
| |||||||||||
Other Securities | 4.5 | 20,196 | ||||||||||
|
| |||||||||||
Industrials — 16.9% |
| |||||||||||
Belden | 0.4 | 46,178 | 1,751 | |||||||||
EMCOR Group | 0.6 | 100,103 | 2,775 | |||||||||
FTI Consulting* (A) | 0.5 | 61,900 | 2,323 | |||||||||
G&K Services | 0.5 | 61,134 | 2,091 | |||||||||
Geo Group* | 0.5 | 118,500 | 2,253 | |||||||||
Teledyne Technologies* | 0.4 | 29,454 | 1,857 | |||||||||
Tetra Tech* (A) | 0.8 | 130,965 | 3,452 | |||||||||
Towers Watson, Cl A | 0.4 | 27,333 | 1,806 | |||||||||
Tutor Perini* | 0.5 | 132,600 | 2,066 | |||||||||
Other Securities | 12.3 | 55,841 | ||||||||||
|
| |||||||||||
76,215 | ||||||||||||
|
| |||||||||||
Information Technology — 12.2% |
| |||||||||||
CACI International, Cl A* (A) | 0.7 | 47,392 | 2,952 | |||||||||
Diebold | 0.6 | 71,937 | 2,771 | |||||||||
Earthlink | 0.5 | 258,980 | 2,069 | |||||||||
Parametric Technology* (A) | 0.4 | 69,405 | 1,939 | |||||||||
Progress Software* | 0.4 | 71,580 | 1,691 | |||||||||
Tech Data* | 0.4 | 34,300 | 1,861 | |||||||||
Other Securities | 9.2 | 41,807 | ||||||||||
|
| |||||||||||
55,090 | ||||||||||||
|
| |||||||||||
Materials — 5.8% |
| |||||||||||
H.B. Fuller | 0.4 | 62,700 | 2,058 | |||||||||
Minerals Technologies | 0.4 | 25,910 | 1,695 | |||||||||
RTI International Metals* (A) | 0.5 | 96,898 | 2,235 | |||||||||
Sensient Technologies | 0.4 | 51,920 | 1,973 | |||||||||
Other Securities | 4.1 | 18,329 | ||||||||||
|
| |||||||||||
26,290 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.8% |
| |||||||||||
Neutral Tandem* | 0.4 | 142,331 | 1,735 | |||||||||
Other Securities | 0.4 | 1,686 | ||||||||||
|
| |||||||||||
3,421 | ||||||||||||
|
| |||||||||||
Utilities — 3.4% | ||||||||||||
Cleco | 0.6 | 66,430 | 2,634 | |||||||||
Great Plains Energy | 0.4 | 100,092 | 2,029 | |||||||||
Portland General Electric | 0.7 | 128,795 | 3,217 |
14 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 1.7 | % | $ | 7,398 | ||||||||
|
| |||||||||||
15,278 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 427,461 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS — 1.0% |
| |||||||||||
iShares Russell 2000 Value Index Fund (A) | 0.7 | 40,600 | 2,962 | |||||||||
Other Securities | 0.3 | 1,571 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 4,533 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Energy — 0.0% |
| |||||||||||
Other Securities | 0.0 | 141 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 141 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 19.5% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%**†† (B) | 19.5 | 91,720,571 | 87,754 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 87,754 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.1% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 5.1 | 23,078,947 | 23,079 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 23,079 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,270 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,270 | ||||||||||
|
| |||||||||||
Total Investments — 120.7% |
| $ | 544,238 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 161 | Jun-2012 | $ | 445 | ||||||||
|
|
For the period ended March 31, 2012, 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 $450,797 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
‡ | 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 March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $88,870 ($ 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 March 31, 2012 was $87,754 ($ 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 $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 427,125 | $ | — | $ | 336 | $ | 427,461 | ||||||||
Exchange Traded Funds | 4,533 | — | — | 4,533 | ||||||||||||
Preferred Stock | — | 141 | — | 141 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
U.S. Treasury Obligations | — | 1,270 | — | 1,270 | ||||||||||||
Affiliated Partnership | — | 87,754 | — | 87,754 | ||||||||||||
Cash Equivalent | 23,079 | — | — | 23,079 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 454,737 | $ | 89,165 | $ | 336 | $ | 544,238 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 445 | $ | — | $ | — | $ | 445 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 445 | $ | — | $ | — | $ | 445 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 15 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2012
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, 2011 | $ | 356 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (20 | ) | ||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 336 | ||
|
| |||
Changes in unrealized gains (losses included in earnings to securities still held at reporting date | $ | (20 | ) | |
|
|
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
16 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.1% |
| |||||||||||
Consumer Discretionary — 16.7% |
| |||||||||||
American Public Education* (A) | 0.5 | % | 45,214 | $ | 1,718 | |||||||
Francesca’s Holdings* (A) | 0.5 | 53,558 | 1,693 | |||||||||
Life Time Fitness* (A) | 0.6 | 44,543 | 2,253 | |||||||||
Liz Claiborne* | 0.4 | 110,000 | 1,470 | |||||||||
National CineMedia | 0.8 | 176,116 | 2,694 | |||||||||
Saks* (A) | 0.6 | 166,895 | 1,938 | |||||||||
Select Comfort* (A) | 0.5 | 48,810 | 1,581 | |||||||||
Skullcandy* (A) | 0.5 | 95,403 | 1,510 | |||||||||
Sturm Ruger (A) | 0.5 | 34,920 | 1,715 | |||||||||
True Religion Apparel* | 0.5 | 60,328 | 1,653 | |||||||||
Ulta Salon Cosmetics & Fragrance | 0.5 | 18,755 | 1,742 | |||||||||
Zumiez* (A) | 0.9 | 88,249 | 3,187 | |||||||||
Other Securities | 9.9 | 34,549 | ||||||||||
|
| |||||||||||
57,703 | ||||||||||||
|
| |||||||||||
Consumer Staples — 1.7% |
| |||||||||||
Lancaster Colony (A) | 0.4 | 21,727 | 1,444 | |||||||||
Other Securities | 1.3 | 4,691 | ||||||||||
|
| |||||||||||
6,135 | ||||||||||||
|
| |||||||||||
Energy — 8.3% | ||||||||||||
Comstock Resources* (A) | 0.5 | 117,047 | 1,853 | |||||||||
Dril-Quip* | 0.4 | 24,040 | 1,563 | |||||||||
Goodrich Petroleum* (A) | 0.6 | 104,317 | 1,984 | |||||||||
Oasis Petroleum* (A) | 0.5 | 56,910 | 1,755 | |||||||||
World Fuel Services (A) | 0.5 | 39,597 | 1,624 | |||||||||
Other Securities | 5.8 | 20,561 | ||||||||||
|
| |||||||||||
29,340 | ||||||||||||
|
| |||||||||||
Financials — 7.1% |
| |||||||||||
Affiliated Managers Group* | 0.4 | 13,030 | 1,457 | |||||||||
Financial Engines* (A) | 0.5 | 81,148 | 1,814 | |||||||||
Other Securities | 6.2 | 21,717 | ||||||||||
|
| |||||||||||
24,988 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 18.4% |
| |||||||||||
ABIOMED* (A) | 0.5 | % | 74,650 | $ | 1,656 | |||||||
Ariad Pharmaceuticals* (A) | 0.9 | 200,908 | 3,205 | |||||||||
athenahealth* (A) | 0.5 | 23,992 | 1,778 | |||||||||
Cubist Pharmaceuticals* (A) | 0.6 | 44,143 | 1,909 | |||||||||
Myriad Genetics* | 0.4 | 61,249 | 1,449 | |||||||||
Questcor Pharmaceuticals* (A) | 0.6 | 58,400 | 2,197 | |||||||||
Other Securities | 14.9 | 52,148 | ||||||||||
|
| |||||||||||
64,342 | ||||||||||||
|
| |||||||||||
Industrials — 17.7% |
| |||||||||||
Acacia Research — Acacia Technologies* | 0.5 | 38,456 | 1,605 | |||||||||
Acuity Brands | 0.5 | 27,800 | 1,747 | |||||||||
CoStar Group* (A) | 0.8 | 41,796 | 2,886 | |||||||||
Landstar System | 0.5 | 28,549 | 1,648 | |||||||||
Middleby* | 0.5 | 16,470 | 1,666 | |||||||||
Polypore International* (A) | 0.6 | 58,645 | 2,062 | |||||||||
United Rentals* (A) | 0.5 | 38,067 | 1,633 | |||||||||
Wabtec | 0.6 | 27,714 | 2,089 | |||||||||
Other Securities | 13.2 | 46,555 | ||||||||||
|
| |||||||||||
61,891 | ||||||||||||
|
| |||||||||||
Information Technology — 23.9% |
| |||||||||||
Aruba Networks* (A) | 0.7 | 108,970 | 2,428 | |||||||||
BroadSoft* (A) | 0.6 | 52,011 | 1,989 | |||||||||
Cavium* (A) | 0.4 | 49,655 | 1,536 | |||||||||
Cornerstone OnDemand* | 0.4 | 66,742 | 1,458 | |||||||||
DealerTrack Holdings* | 0.5 | 60,250 | 1,823 | |||||||||
Entegris* | 0.4 | 152,990 | 1,429 | |||||||||
Gartner* | 0.5 | 38,503 | 1,642 | |||||||||
Inphi* (A) | 0.5 | 118,135 | 1,675 | |||||||||
Jack Henry & Associates | 0.4 | 43,360 | 1,479 | |||||||||
Measurement Specialties* | 0.4 | 43,584 | 1,469 | |||||||||
Mellanox Technologies* (A) | 0.6 | 50,494 | 2,112 | |||||||||
QLIK Technologies* (A) | 0.6 | 60,843 | 1,947 | |||||||||
RealPage* (A) | 0.4 | 75,536 | 1,448 | |||||||||
ServiceSource International* (A) | 0.6 | 132,728 | 2,055 | |||||||||
SolarWinds* (A) | 0.4 | 37,406 | 1,446 | |||||||||
VistaPrint* (A) | 0.7 | 63,345 | 2,448 | |||||||||
Other Securities | 15.8 | 55,188 | ||||||||||
|
| |||||||||||
83,572 | ||||||||||||
|
| |||||||||||
Materials — 3.0% |
| |||||||||||
Other Securities | 3.0 | 10,825 | ||||||||||
|
| |||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,148 | ||||||||||
|
| |||||||||||
Utilities — 0.0% |
| |||||||||||
Other Securities | 0.0 | 124 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 17 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Total Common Stock |
| $ | 340,068 | |||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | 439 | |||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 439 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 35.9% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%,**† (B) | 35.9 | 128,952,947 | 125,598 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 125,598 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**† | 3.6 | 12,516,326 | 12,516 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 12,516 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,224 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,224 | ||||||||||
|
| |||||||||||
Total Investments — 137.0% |
| $ | 479,845 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 96 | Jun-2012 | $ | 336 | ||||||||
|
|
For the period ended March 31, 2012, 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 $350,193 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012 |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $125,215 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see note 9). The total value of such securities as of March 31, 2012 was $125,598 ($ 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 $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 339,843 | $ | — | $ | 225 | $ | 340,068 | ||||||||
Exchange Traded Fund | 439 | — | — | 439 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
U.S. Treasury Obligations | — | 1,224 | — | 1,224 | ||||||||||||
Affiliated Partnership | — | 125,598 | — | 125,598 | ||||||||||||
Cash Equivalent | 12,516 | — | — | 12,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 352,798 | $ | 126,822 | $ | 225 | $ | 479,845 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 336 | $ | — | $ | — | $ | 336 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 336 | $ | — | $ | — | $ | 336 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts 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):
Common Stock | ||||
Beginning balance as of October 1, 2011 | $ | 252 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (27 | ) | ||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 225 | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (27 | ) | |
|
|
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
18 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.9% |
| |||||||||||
Consumer Discretionary — 15.6% |
| |||||||||||
Buffalo Wild Wings* | 0.3 | % | 11,401 | $ | 1,034 | |||||||
Dick’s Sporting Goods | 0.4 | 28,300 | 1,361 | |||||||||
DSW, Cl A | 0.4 | 24,269 | 1,329 | |||||||||
Hibbett Sports* (A) | 0.3 | 17,570 | 958 | |||||||||
Pier 1 Imports | 0.4 | 70,390 | 1,280 | |||||||||
Regis | 0.3 | 47,983 | 884 | |||||||||
Tempur-Pedic International* (A) | 0.7 | 25,819 | 2,180 | |||||||||
WMS Industries* (A) | 0.3 | 44,704 | 1,061 | |||||||||
Other Securities | 12.5 | 42,152 | ||||||||||
|
| |||||||||||
52,239 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.2% |
| |||||||||||
Herbalife | 0.3 | 15,197 | 1,046 | |||||||||
Other Securities | 2.9 | 9,663 | ||||||||||
|
| |||||||||||
10,709 | ||||||||||||
|
| |||||||||||
Energy — 5.6% |
| |||||||||||
Berry Petroleum, Cl A | 0.3 | 21,649 | 1,020 | |||||||||
Other Securities | 5.3 | 17,634 | ||||||||||
|
| |||||||||||
18,654 | ||||||||||||
|
| |||||||||||
Financials — 17.2% |
| |||||||||||
Hancock Holding | 0.3 | 26,671 | 947 | |||||||||
ProAssurance | 0.3 | 11,889 | 1,047 | |||||||||
Unum Group | 0.3 | 39,045 | 956 | |||||||||
Zions Bancorporation (A) | 0.4 | 56,329 | 1,209 | |||||||||
Other Securities | 15.9 | 53,620 | ||||||||||
|
| |||||||||||
57,779 | ||||||||||||
|
| |||||||||||
Health Care — 10.4% |
| |||||||||||
Catalyst Health Solutions* | 0.3 | 15,100 | 962 | |||||||||
Cooper | 0.3 | 10,510 | 859 | |||||||||
HealthSouth* | 0.3 | 46,560 | 954 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Mednax* | 0.4 | % | 16,200 | $ | 1,205 | |||||||
Salix Pharmaceuticals* | 0.4 | 23,654 | 1,242 | |||||||||
SXC Health Solutions* | 0.4 | 18,820 | 1,411 | |||||||||
WellCare Health Plans* | 0.4 | 16,640 | 1,196 | |||||||||
Other Securities | 7.9 | 27,229 | ||||||||||
|
| |||||||||||
35,058 | ||||||||||||
|
| |||||||||||
Industrials — 15.6% |
| |||||||||||
Advisory Board* | 0.3 | 10,900 | 966 | |||||||||
AGCO* | 0.4 | 26,043 | 1,229 | |||||||||
BE Aerospace* | 0.3 | 21,737 | 1,010 | |||||||||
G&K Services | 0.3 | 24,895 | 851 | |||||||||
Interface, Cl A | 0.3 | 70,940 | 990 | |||||||||
Kansas City Southern | 0.3 | 12,436 | 891 | |||||||||
Moog, Cl A* | 0.3 | 21,715 | 931 | |||||||||
Robbins & Myers | 0.3 | 19,034 | 991 | |||||||||
Teledyne Technologies* | 0.3 | 14,735 | 929 | |||||||||
Tetra Tech* | 0.3 | 38,203 | 1,007 | |||||||||
United Rentals* (A) | 0.4 | 28,530 | 1,224 | |||||||||
Other Securities | 12.1 | 41,296 | ||||||||||
|
| |||||||||||
52,315 | ||||||||||||
|
| |||||||||||
Information Technology — 17.8% |
| |||||||||||
Ansys* | 0.3 | 13,686 | 890 | |||||||||
Aruba Networks* | 0.3 | 39,282 | 875 | |||||||||
BroadSoft* (A) | 0.3 | 27,750 | 1,061 | |||||||||
Cadence Design Systems* | 0.5 | 142,690 | 1,689 | |||||||||
Coherent* | 0.3 | 15,842 | 924 | |||||||||
DealerTrack Holdings* | 0.4 | 38,877 | 1,176 | |||||||||
Parametric Technology* | 0.4 | 46,620 | 1,303 | |||||||||
Power Integrations | 0.3 | 22,619 | 840 | |||||||||
QLIK Technologies* | 0.3 | 30,588 | 979 | |||||||||
Riverbed Technology* | 0.4 | 41,804 | 1,174 | |||||||||
SolarWinds* | 0.4 | 31,503 | 1,218 | |||||||||
Synopsys* (A) | 0.3 | 30,462 | 934 | |||||||||
VeriFone Holdings* | 0.5 | 34,248 | 1,776 | |||||||||
Other Securities | 13.1 | 44,834 | ||||||||||
|
| |||||||||||
59,673 | ||||||||||||
|
| |||||||||||
Materials — 5.4% |
| |||||||||||
PolyOne | 0.4 | 84,620 | 1,219 | |||||||||
Other Securities | 5.0 | 16,930 | ||||||||||
|
| |||||||||||
18,149 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.6% |
| |||||||||||
Other Securities | 0.6 | 2,099 | ||||||||||
|
| |||||||||||
Utilities — 3.5% |
| |||||||||||
Cleco | 0.3 | 22,405 | 888 | |||||||||
Great Plains Energy (A) | 0.4 | 58,008 | 1,176 | |||||||||
Portland General Electric | 0.4 | 47,706 | 1,192 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 19 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares/Face Amounts ($ Thousands) | Market Value ($ Thousands) | |||||||||
Other Securities | 2.4 | % | $ | 8,454 | ||||||||
|
| |||||||||||
11,710 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| $ | 318,385 | |||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,138 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 1,138 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 5.5% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%** † (B) | 5.5 | 18,550,462 | 18,283 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 18,283 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.6% |
| |||||||||||
SEI Daily Income Trust, | 4.6 | 15,433,089 | 15,433 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 15,433 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.3% |
| |||||||||||
U.S. Treasury Bills, | 0.3 | $ | 925 | 925 | ||||||||
Other Securities | 0.0 | 43 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 968 | ||||||||||
|
| |||||||||||
Total Investments — 105.6% |
| $ | 354,207 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 77 | June-2012 | $ | 257 | ||||||||
S&P Mid 400 Index E-MINI | 71 | June-2012 | 198 | |||||||||
|
| |||||||||||
$ | 455 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $335,496 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $18,139 ($ 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 March 31, 2012 was $18,283 ($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
S&P — Standard & Poor’s
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 318,385 | $ | — | $ | — | $ | 318,385 | ||||||||
Exchange Traded Funds | 1,138 | — | — | 1,138 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
U.S. Treasury Obligations | — | 968 | — | 968 | ||||||||||||
Affiliated Partnership | — | 18,283 | — | 18,283 | ||||||||||||
Cash Equivalent | 15,433 | — | — | 15,433 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 334,956 | $ | 19,251 | $ | — | $ | 354,207 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 455 | $ | — | $ | — | $ | 455 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 455 | $ | — | $ | — | $ | 455 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
20 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 92.5% |
| |||||||||||
Consumer Discretionary — 14.3% |
| |||||||||||
BorgWarner* (A) | 0.7 | % | 7,500 | $ | 632 | |||||||
Harley-Davidson | 1.2 | 22,956 | 1,126 | |||||||||
Hasbro | 0.7 | 16,801 | 617 | |||||||||
International Game Technology | 0.8 | 39,958 | 671 | |||||||||
Marriott International, Cl A | 0.7 | 17,600 | 666 | |||||||||
Newell Rubbermaid | 0.7 | 37,026 | 660 | |||||||||
Sirius XM Radio* (A) | 0.6 | 228,500 | 528 | |||||||||
Other Securities | 8.9 | 7,967 | ||||||||||
|
| |||||||||||
12,867 | ||||||||||||
|
| |||||||||||
Consumer Staples — 4.3% |
| |||||||||||
Molson Coors Brewing, Cl B | 0.7 | 13,148 | 595 | |||||||||
Other Securities | 3.6 | 3,283 | ||||||||||
|
| |||||||||||
3,878 | ||||||||||||
|
| |||||||||||
Energy — 6.6% |
| |||||||||||
Cameron International* | 0.8 | 13,600 | 719 | |||||||||
Concho Resources* | 0.9 | 7,700 | 786 | |||||||||
Pioneer Natural Resources | 1.0 | 7,799 | 870 | |||||||||
Range Resources | 0.8 | 11,539 | 671 | |||||||||
Other Securities | 3.1 | 2,883 | ||||||||||
|
| |||||||||||
5,929 | ||||||||||||
|
| |||||||||||
Financials — 13.9% |
| |||||||||||
Allstate | 0.7 | 19,270 | 634 | |||||||||
Ameriprise Financial | 0.6 | 9,219 | 527 | |||||||||
Digital Realty Trust† (A) | 0.6 | 7,420 | 549 | |||||||||
Fifth Third Bancorp | 0.9 | 58,856 | 827 | |||||||||
Liberty Property Trust† (A) | 0.6 | 15,968 | 570 | |||||||||
Moody’s (A) | 0.7 | 14,200 | 598 | |||||||||
Reinsurance Group of America, Cl A | 0.6 | 9,143 | 544 | |||||||||
T. Rowe Price Group | 0.7 | 10,300 | 673 | |||||||||
Unum Group | 0.8 | 29,135 | 713 | |||||||||
Zions Bancorporation (A) | 0.6 | 27,197 | 584 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 7.1 | % | $ | 6,345 | ||||||||
|
| |||||||||||
12,564 | ||||||||||||
|
| |||||||||||
Health Care — 10.6% |
| |||||||||||
Alexion Pharmaceuticals* | 0.7 | 6,400 | 594 | |||||||||
CareFusion* | 0.7 | 26,398 | 685 | |||||||||
Humana | 0.8 | 7,950 | 735 | |||||||||
Valeant Pharmaceuticals International* | 0.7 | 11,000 | 590 | |||||||||
Other Securities | 7.7 | 6,965 | ||||||||||
|
| |||||||||||
9,569 | ||||||||||||
|
| |||||||||||
Industrials — 15.3% |
| |||||||||||
Cintas (A) | 0.6 | 14,139 | 553 | |||||||||
Cummins (A) | 0.6 | 4,490 | 539 | |||||||||
Dover | 0.6 | 8,395 | 528 | |||||||||
Pall | 0.9 | 13,300 | 793 | |||||||||
Republic Services | 0.9 | 27,531 | 841 | |||||||||
Rockwell Automation | 0.7 | 7,550 | 602 | |||||||||
TransDigm Group* | 0.6 | 4,820 | 558 | |||||||||
WW Grainger | 1.1 | 4,560 | 980 | |||||||||
Other Securities | 9.3 | 8,421 | ||||||||||
|
| |||||||||||
13,815 | ||||||||||||
|
| |||||||||||
Information Technology — 16.6% |
| |||||||||||
Adobe Systems* | 0.6 | 15,556 | 534 | |||||||||
Alliance Data Systems* (A) | 0.8 | 6,070 | 764 | |||||||||
Avago Technologies | 0.8 | 19,600 | 764 | |||||||||
Citrix Systems* | 0.8 | 8,750 | 691 | |||||||||
F5 Networks* | 0.7 | 4,740 | 640 | |||||||||
Fidelity National Information Services | 0.7 | 18,587 | 616 | |||||||||
Kla-Tencor | 0.7 | 11,000 | 599 | |||||||||
Symantec* | 0.6 | 30,863 | 577 | |||||||||
Synopsys* | 0.8 | 23,980 | 735 | |||||||||
Other Securities | 10.1 | 9,009 | ||||||||||
|
| |||||||||||
14,929 | ||||||||||||
|
| |||||||||||
Materials — 6.3% |
| |||||||||||
Allegheny Technologies | 0.7 | 14,145 | 582 | |||||||||
FMC | 0.8 | 6,600 | 699 | |||||||||
Owens-Illinois* | 0.6 | 22,789 | 532 | |||||||||
Sherwin-Williams | 0.6 | 5,090 | 553 | |||||||||
Other Securities | 3.6 | 3,294 | ||||||||||
|
| |||||||||||
5,660 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.1% |
| |||||||||||
Other Securities | 0.1 | 93 | ||||||||||
|
| |||||||||||
Utilities — 4.5% |
| |||||||||||
AGL Resources | 0.6 | 13,791 | 541 | |||||||||
Great Plains Energy (A) | 0.7 | 31,402 | 636 | |||||||||
SCANA (A) | 0.6 | 11,564 | 527 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 21 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 2.6 | % | $ | 2,372 | ||||||||
|
| |||||||||||
4,076 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 83,380 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 14.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%**†† (B) | 14.3 | 13,262,555 | 12,911 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 12,911 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 7.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 7.3 | 6,607,524 | 6,608 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 6,608 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 300 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 300 | ||||||||||
|
| |||||||||||
Total Investments — 114.5% |
| $ | 103,199 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 54 | Jun-2012 | $ | 60 | ||||||||
|
|
For the period ended March 31, 2012, 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 $90,124 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | 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 March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $12,925 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of March 31, 2012 was $12,911 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & 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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 83,380 | $ | — | $ | — | $ | 83,380 | ||||||||
U.S. Treasury Obligations | — | 300 | — | 300 | ||||||||||||
Affiliated Partnership | — | 12,911 | — | 12,911 | ||||||||||||
Cash Equivalent | 6,608 | — | — | 6,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 89,988 | $ | 13,211 | $ | — | $ | 103,199 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
22 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.1% |
| |||||||||||
Consumer Discretionary — 7.8% |
| |||||||||||
DIRECTV, Cl A* | 0.8 | % | 103,000 | $ | 5,082 | |||||||
priceline.com* | 0.8 | 7,157 | 5,135 | |||||||||
Target | 0.7 | 74,100 | 4,318 | |||||||||
Other Securities | 5.5 | 35,740 | ||||||||||
|
| |||||||||||
50,275 | ||||||||||||
|
| |||||||||||
Consumer Staples — 19.2% |
| |||||||||||
Altria Group | 0.6 | 138,916 | 4,288 | |||||||||
Clorox | 0.7 | 62,207 | 4,277 | |||||||||
Coca-Cola Enterprises | 0.9 | 200,547 | 5,736 | |||||||||
ConAgra Foods | 0.6 | 146,961 | 3,859 | |||||||||
Hershey | 0.9 | 100,033 | 6,135 | |||||||||
Hormel Foods | 1.3 | 285,870 | 8,439 | |||||||||
Kimberly-Clark | 1.0 | 92,563 | 6,839 | |||||||||
Lorillard | 1.3 | 65,868 | 8,529 | |||||||||
McCormick | 0.7 | 80,686 | 4,392 | |||||||||
Monster Beverage* | 1.1 | 112,131 | 6,962 | |||||||||
Philip Morris International | 0.8 | 57,892 | 5,130 | |||||||||
Reynolds American | 1.3 | 198,751 | 8,236 | |||||||||
Wal-Mart Stores | 0.8 | 84,700 | 5,184 | |||||||||
Other Securities | 7.2 | 46,574 | ||||||||||
|
| |||||||||||
124,580 | ||||||||||||
|
| |||||||||||
Energy — 3.1% |
| |||||||||||
Chevron | 0.9 | 54,800 | 5,877 | |||||||||
Exxon Mobil | 1.1 | 83,600 | 7,250 | |||||||||
Other Securities | 0.9 | 7,144 | ||||||||||
|
| |||||||||||
20,271 | ||||||||||||
|
| |||||||||||
Financials — 10.5% |
| |||||||||||
American Capital Agency‡ | 0.7 | 153,746 | 4,542 | |||||||||
PartnerRe | 0.6 | 57,900 | 3,931 | |||||||||
Other Securities | 9.2 | 59,635 | ||||||||||
|
| |||||||||||
68,108 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 20.4% |
| |||||||||||
Abbott Laboratories | 1.7 | % | 184,044 | $ | 11,280 | |||||||
Alexion Pharmaceuticals* | 0.9 | 62,398 | 5,794 | |||||||||
AmerisourceBergen | 1.0 | 169,582 | 6,729 | |||||||||
Amgen | 1.6 | 148,542 | 10,100 | |||||||||
Becton Dickinson | 0.6 | 53,064 | 4,120 | |||||||||
Biogen Idec* | 0.6 | 31,923 | 4,021 | |||||||||
Cardinal Health | 1.1 | 171,658 | 7,400 | |||||||||
Eli Lilly | 1.0 | 165,393 | 6,660 | |||||||||
Johnson & Johnson | 0.7 | 64,700 | 4,268 | |||||||||
McKesson | 1.4 | 101,354 | 8,896 | |||||||||
Merck | 1.0 | 166,700 | 6,401 | |||||||||
Pfizer | 0.8 | 240,100 | 5,441 | |||||||||
SXC Health Solutions* | 0.6 | 56,265 | 4,218 | |||||||||
Techne | 0.8 | 70,266 | 4,926 | |||||||||
United Therapeutics* | 0.6 | 87,700 | 4,133 | |||||||||
Other Securities | 6.0 | 37,880 | ||||||||||
|
| |||||||||||
132,267 | ||||||||||||
|
| |||||||||||
Industrials — 5.1% |
| |||||||||||
L-3 Communications Holdings | 0.6 | 57,900 | 4,098 | |||||||||
Lockheed Martin | 0.9 | 66,718 | 5,995 | |||||||||
Raytheon | 0.8 | 90,000 | 4,750 | |||||||||
Other Securities | 2.8 | 18,328 | ||||||||||
|
| |||||||||||
33,171 | ||||||||||||
|
| |||||||||||
Information Technology — 8.1% |
| |||||||||||
Amdocs* | 0.6 | 132,541 | 4,186 | |||||||||
IAC | 0.7 | 101,455 | 4,980 | |||||||||
International Business Machines | 1.2 | 36,487 | 7,613 | |||||||||
Microsoft | 0.7 | 130,000 | 4,193 | |||||||||
Other Securities | 4.9 | 31,648 | ||||||||||
|
| |||||||||||
52,620 | ||||||||||||
|
| |||||||||||
Materials — 2.5% |
| |||||||||||
Other Securities | 2.5 | 16,139 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.3% |
| |||||||||||
AT&T | 1.1 | 221,100 | 6,905 | |||||||||
Other Securities | 2.2 | 14,175 | ||||||||||
|
| |||||||||||
21,080 | ||||||||||||
|
| |||||||||||
Utilities — 14.1% |
| |||||||||||
Consolidated Edison | 0.7 | 73,929 | 4,319 | |||||||||
DTE Energy | 1.1 | 130,825 | 7,199 | |||||||||
Entergy | 0.6 | 58,368 | 3,922 | |||||||||
NSTAR | 0.7 | 100,557 | 4,890 | |||||||||
PG&E | 0.9 | 135,100 | 5,865 | |||||||||
Southern | 0.7 | 99,318 | �� | 4,463 | ||||||||
Wisconsin Energy | 0.7 | 126,568 | 4,453 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 23 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 8.7 | % | $ | 55,893 | ||||||||
|
| |||||||||||
91,004 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 609,515 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**† | 5.6 | 36,496,222 | 36,496 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 36,496 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,896 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,896 | ||||||||||
|
| |||||||||||
Total Investments — 100.0% |
| $ | 647,907 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 333 | Jun-2012 | $ | 759 | ||||||||
|
|
For the period ended March 31, 2012, 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 $647,896 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 609,515 | $ | — | $ | — | $ | 609,515 | ||||||||
U.S. Treasury Obligations | — | 1,896 | — | 1,896 | ||||||||||||
Cash Equivalent | 36,496 | — | — | 36,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 646,011 | $ | 1,896 | $ | — | $ | 647,907 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 759 | $ | — | $ | — | $ | 759 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 759 | $ | — | $ | — | $ | 759 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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.
24 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 89.7% |
| |||||||||||
Australia — 6.7% |
| |||||||||||
AGL Energy | 0.6 | % | 290,450 | $ | 4,438 | |||||||
CSL | 1.0 | 195,858 | 7,282 | |||||||||
Metcash | 1.0 | 1,646,628 | 7,335 | |||||||||
Other Securities | 4.1 | 29,172 | ||||||||||
|
| |||||||||||
48,227 | ||||||||||||
|
| |||||||||||
Austria — 0.1% |
| |||||||||||
Other Securities | 0.1 | 943 | ||||||||||
|
| |||||||||||
Belgium — 1.4% |
| |||||||||||
Other Securities | 1.4 | 9,951 | ||||||||||
|
| |||||||||||
Bermuda — 0.0% |
| |||||||||||
Other Securities | 0.0 | 30 | ||||||||||
|
| |||||||||||
Canada — 11.8% |
| |||||||||||
Alimentation Couche Tard, Cl B | 0.6 | 134,316 | 4,401 | |||||||||
Empire, Cl A | 0.6 | 75,950 | 4,377 | |||||||||
Metro, Cl A | 0.9 | 119,632 | 6,367 | |||||||||
Rogers Communications, Cl B | 1.0 | 185,582 | 7,353 | |||||||||
Saputo | 0.8 | 126,739 | 5,479 | |||||||||
Yamana Gold | 0.7 | 319,076 | 4,968 | |||||||||
Other Securities | 7.2 | 52,335 | ||||||||||
|
| |||||||||||
85,280 | ||||||||||||
|
| |||||||||||
Cayman Islands — 0.1% |
| |||||||||||
Other Securities | 0.1 | 433 | ||||||||||
|
| |||||||||||
Denmark — 2.4% |
| |||||||||||
Coloplast, Cl B | 0.9 | 38,045 | 6,579 | |||||||||
Novo Nordisk, Cl B | 1.0 | 53,950 | 7,460 | |||||||||
Other Securities | 0.5 | 3,282 | ||||||||||
|
| |||||||||||
17,321 | ||||||||||||
|
| |||||||||||
Finland — 1.1% |
| |||||||||||
Elisa | 0.6 | 172,493 | 4,128 | |||||||||
Orion, Cl B | 0.5 | 201,364 | 3,974 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 0.0 | % | $ | 39 | ||||||||
|
| |||||||||||
8,141 | ||||||||||||
|
| |||||||||||
France — 0.9% |
| |||||||||||
Societe BIC | 0.7 | 48,610 | 4,871 | |||||||||
Other Securities | 0.2 | 1,668 | ||||||||||
|
| |||||||||||
6,539 | ||||||||||||
|
| |||||||||||
Germany — 0.5% |
| |||||||||||
Other Securities | 0.5 | 3,429 | ||||||||||
|
| |||||||||||
Hong Kong — 2.5% |
| |||||||||||
CLP Holdings | 0.9 | 775,500 | 6,692 | |||||||||
Link† | 0.9 | 1,724,000 | 6,417 | |||||||||
Power Assets Holdings | 0.7 | 698,500 | 5,128 | |||||||||
Other Securities | 0.0 | 150 | ||||||||||
|
| |||||||||||
18,387 | ||||||||||||
|
| |||||||||||
Ireland — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,147 | ||||||||||
|
| |||||||||||
Israel — 0.7% |
| |||||||||||
Other Securities | 0.7 | 5,145 | ||||||||||
|
| |||||||||||
Italy — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,764 | ||||||||||
|
| |||||||||||
Japan — 16.7% |
| |||||||||||
Daito Trust Construction | 0.7 | 53,800 | 4,857 | |||||||||
Kao | 1.0 | 286,600 | 7,564 | |||||||||
McDonald’s Holdings Japan | 0.6 | 160,300 | 4,277 | |||||||||
Nippon Telegraph & Telephone | 0.4 | 65,600 | 2,993 | |||||||||
NTT DoCoMo | 0.9 | 3,884 | 6,485 | |||||||||
Otsuka Holdings | 0.7 | 165,900 | 4,939 | |||||||||
Yamazaki Baking | 0.6 | 316,000 | 4,554 | |||||||||
Other Securities | 11.8 | 85,064 | ||||||||||
|
| |||||||||||
120,733 | ||||||||||||
|
| |||||||||||
Jersey — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,394 | ||||||||||
|
| |||||||||||
Luxembourg — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,379 | ||||||||||
|
| |||||||||||
Netherlands — 0.9% |
| |||||||||||
Other Securities | 0.9 | 6,447 | ||||||||||
|
| |||||||||||
New Zealand — 0.6% |
| |||||||||||
Other Securities | 0.6 | 4,664 | ||||||||||
|
| |||||||||||
Portugal — 0.3% |
| |||||||||||
Other Securities | 0.3 | 2,196 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 25 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Concluded)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Singapore — 0.6% |
| |||||||||||
Other Securities | 0.6 | % | $ | 4,420 | ||||||||
|
| |||||||||||
Spain — 1.2% |
| |||||||||||
Viscofan | 0.6 | 95,084 | 4,248 | |||||||||
Other Securities | 0.6 | 4,276 | ||||||||||
|
| |||||||||||
8,524 | ||||||||||||
|
| |||||||||||
Sweden — 1.0% |
| |||||||||||
Swedish Match | 0.6 | 99,905 | 3,966 | |||||||||
Other Securities | 0.4 | 3,172 | ||||||||||
|
| |||||||||||
7,138 | ||||||||||||
|
| |||||||||||
Switzerland — 1.8% |
| |||||||||||
Nestle | 0.6 | 64,796 | 4,072 | |||||||||
Swisscom | 0.8 | 14,206 | 5,735 | |||||||||
Other Securities | 0.4 | 2,824 | ||||||||||
|
| |||||||||||
12,631 | ||||||||||||
|
| |||||||||||
United Kingdom — 8.8% |
| |||||||||||
AstraZeneca | 1.1 | 183,805 | 8,161 | |||||||||
Centrica | 1.1 | 1,600,366 | 8,090 | |||||||||
Reckitt Benckiser Group | 0.7 | 83,879 | 4,735 | |||||||||
Scottish & Southern Energy | 0.6 | 217,133 | 4,611 | |||||||||
Unilever | 0.7 | 146,354 | 4,826 | |||||||||
Vodafone Group | 0.9 | 2,215,488 | 6,096 | |||||||||
Other Securities | 3.7 | 26,921 | ||||||||||
|
| |||||||||||
63,440 | ||||||||||||
|
| |||||||||||
United States — 28.8% |
| |||||||||||
Abbott Laboratories | 0.7 | 81,527 | 4,997 | |||||||||
Advance Auto Parts | 0.6 | 46,493 | 4,118 | |||||||||
Amgen | 0.7 | 74,867 | 5,091 | |||||||||
Autozone* | 1.4 | 26,505 | 9,855 | |||||||||
Clorox | 0.7 | 70,697 | 4,860 | |||||||||
Costco Wholesale | 0.6 | 43,432 | 3,944 | |||||||||
Dollar Tree* | 0.8 | 55,963 | 5,288 | |||||||||
Dr Pepper Snapple Group | 0.7 | 128,413 | 5,163 | |||||||||
Eli Lilly | 0.6 | 103,607 | 4,172 | |||||||||
Hershey | 0.6 | 72,707 | 4,459 | |||||||||
Hormel Foods | 0.9 | 220,001 | 6,495 | |||||||||
Kimberly-Clark | 1.3 | 125,380 | 9,264 | |||||||||
Kroger | 0.8 | 229,882 | 5,570 | |||||||||
Lorillard | 1.3 | 72,967 | 9,448 | |||||||||
McDonald’s | 0.5 | 36,793 | 3,609 | |||||||||
O’Reilly Automotive* | 0.6 | 45,778 | 4,182 | |||||||||
Philip Morris International | 0.6 | 49,000 | 4,342 | |||||||||
Procter & Gamble | 0.6 | 59,182 | 3,978 | |||||||||
Other Securities | 14.8 | 109,147 | ||||||||||
|
| |||||||||||
207,982 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 647,685 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Germany — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 165 | ||||||||
|
| |||||||||||
Total Preferred Stock |
| 165 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 6.8% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 6.8 | 49,300,506 | 49,301 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 49,301 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (B) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 2,530 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,530 | ||||||||||
|
| |||||||||||
Total Investments — 96.9% |
| $ | 699,681 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 169 | Jun-2012 | $ | (93 | ) | |||||||
FTSE 100 Index | 85 | Jun-2012 | (134 | ) | ||||||||
Hang Seng Index | 18 | May-2012 | (43 | ) | ||||||||
S&P 500 Index E-MINI | 380 | Jun-2012 | 698 | |||||||||
SPI 200 Index | 23 | Jun-2012 | 18 | |||||||||
|
| |||||||||||
$ | 446 | |||||||||||
|
|
For the period ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/26/12 | AUD | 54,935 | USD | 57,385 | $ | 633 | ||||||||||||||
4/26/12 | CAD | 92,267 | USD | 92,907 | 613 | |||||||||||||||
4/26/12 | CHF | 12,420 | USD | 13,722 | (27 | ) | ||||||||||||||
4/26/12 | DKK | 106,089 | USD | 19,006 | 10 | |||||||||||||||
4/26/12 | EUR | 43,595 | USD | 58,078 | 23 | |||||||||||||||
4/26/12 | GBP | 46,798 | USD | 74,719 | (34 | ) | ||||||||||||||
4/26/12 | HKD | 148,260 | USD | 19,093 | (5 | ) | ||||||||||||||
4/26/12 | JPY | 10,813,859 | USD | 130,061 | (1,392 | ) | ||||||||||||||
4/26/12 | NZD | 5,858 | USD | 4,799 | 8 | |||||||||||||||
4/26/12 | SEK | 57,444 | USD | 8,584 | (67 | ) | ||||||||||||||
4/26/12 | SGD | 5,988 | USD | 4,768 | 4 | |||||||||||||||
4/26/12 | USD | 893 | GBP | 560 | 1 | |||||||||||||||
4/26/12 | USD | 1,786 | JPY | 146,851 | (1 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (234 | ) | ||||||||||||||||||
|
|
26 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Counterparty | Settlement Date | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | ||||||||||||
Brown Brothers Harriman | 4/26/12 | 11,390,192 | 630,533 | $ | (234 | ) | ||||||||||
|
| |||||||||||||||
$ | (234 | ) | ||||||||||||||
|
|
Percentages are based on Net Assets of $722,327 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 5). |
(A) | Certain securities 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 March 31, 2012 was $2,366 ($ Thousands) and represented 0.33% of Net Assets. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
AUD — Australia Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Denmark Krone
EUR — Euro
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Sweden Krona
SGD — Singapore Dollar
SPI — Swiss Performance Index
USD — U.S. Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all 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 March 31, 2012 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 647,685 | $ | — | $ | — | $ | 647,685 | ||||||||
Preferred Stock | 165 | — | — | 165 | ||||||||||||
U.S. Treasury Obligations | — | 2,530 | — | 2,530 | ||||||||||||
Cash Equivalent | 49,301 | — | — | 49,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 697,151 | $ | 2,530 | $ | — | $ | 699,681 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 446 | $ | — | $ | — | $ | 446 | ||||||||
Forwards | — | (234 | ) | — | (234 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 446 | $ | (234 | ) | $ | — | $ | 212 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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 / Semi-Annual Report / March 31, 2012 | 27 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.6% |
| |||||||||||
Consumer Discretionary — 7.6% |
| |||||||||||
DIRECTV, Cl A* | 0.8 | % | 62,400 | $ | 3,079 | |||||||
McDonald’s | 0.7 | 29,013 | 2,846 | |||||||||
priceline.com* | 0.8 | 4,353 | 3,123 | |||||||||
Target | 0.6 | 41,000 | 2,389 | |||||||||
Other Securities | 4.7 | 17,277 | ||||||||||
|
| |||||||||||
28,714 | ||||||||||||
|
| |||||||||||
Consumer Staples — 23.7% |
| |||||||||||
Altria Group | 0.8 | 99,455 | 3,070 | |||||||||
Brown-Forman, Cl B | 0.6 | 28,552 | 2,381 | |||||||||
Church & Dwight | 1.1 | 79,799 | 3,925 | |||||||||
Coca-Cola | 0.6 | 31,250 | 2,313 | |||||||||
Colgate-Palmolive | 0.8 | 32,072 | 3,136 | |||||||||
Costco Wholesale | 0.8 | 33,020 | 2,998 | |||||||||
General Mills | 0.7 | 64,338 | 2,538 | |||||||||
Hormel Foods | 1.2 | 149,062 | 4,400 | |||||||||
Kellogg | 0.7 | 51,374 | 2,755 | |||||||||
Kimberly-Clark | 1.5 | 76,439 | 5,648 | |||||||||
Lorillard | 1.5 | 43,693 | 5,657 | |||||||||
McCormick | 0.6 | 43,605 | 2,374 | |||||||||
Philip Morris International | 0.9 | 38,511 | 3,413 | |||||||||
Procter & Gamble | 0.8 | 44,711 | 3,005 | |||||||||
Reynolds American | 1.3 | 121,526 | 5,036 | |||||||||
Wal-Mart Stores | 1.6 | 101,484 | 6,211 | |||||||||
Other Securities | 8.2 | 30,296 | ||||||||||
|
| |||||||||||
89,156 | ||||||||||||
|
| |||||||||||
Energy — 3.0% |
| |||||||||||
Chevron | 0.9 | 30,500 | 3,271 | |||||||||
Exxon Mobil | 1.0 | 45,300 | 3,929 | |||||||||
Imperial Oil | 0.2 | 16,900 | 767 | |||||||||
Other Securities | 0.9 | 3,337 | ||||||||||
|
| |||||||||||
11,304 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Financials — 10.6% |
| |||||||||||
Capitol Federal Financial | 0.9 | % | 268,352 | $ | 3,183 | |||||||
Commerce Bancshares | 0.6 | 54,693 | 2,216 | |||||||||
PartnerRe | 0.6 | 32,800 | 2,227 | |||||||||
Other Securities | 8.5 | 32,347 | ||||||||||
|
| |||||||||||
39,973 | ||||||||||||
|
| |||||||||||
Health Care — 16.4% |
| |||||||||||
Abbott Laboratories | 1.3 | 79,406 | 4,867 | |||||||||
Alexion Pharmaceuticals* | 1.1 | 44,614 | 4,143 | |||||||||
AmerisourceBergen | 0.8 | 71,037 | 2,819 | |||||||||
Amgen | 0.8 | 41,100 | 2,794 | |||||||||
Eli Lilly | 0.7 | 65,563 | 2,640 | |||||||||
Johnson & Johnson | 1.2 | 67,636 | 4,462 | |||||||||
Merck | 1.0 | 99,900 | 3,836 | |||||||||
Pfizer | 0.7 | 116,600 | 2,642 | |||||||||
Techne | 0.6 | 34,211 | 2,398 | |||||||||
United Therapeutics* | 0.6 | 50,200 | 2,366 | |||||||||
Other Securities | 7.6 | 28,983 | ||||||||||
|
| |||||||||||
61,950 | ||||||||||||
|
| |||||||||||
Industrials — 5.7% |
| |||||||||||
L-3 Communications Holdings | 0.6 | 31,400 | 2,222 | |||||||||
Lockheed Martin | 0.6 | 25,000 | 2,247 | |||||||||
Raytheon | 0.7 | 47,100 | 2,486 | |||||||||
Stericycle* | 0.6 | 28,724 | 2,402 | |||||||||
Other Securities | 3.2 | 12,231 | ||||||||||
|
| |||||||||||
21,588 | ||||||||||||
|
| |||||||||||
Information Technology — 9.9% |
| |||||||||||
Google, Cl A* | 0.7 | 4,243 | 2,721 | |||||||||
IAC | 1.0 | 74,110 | 3,638 | |||||||||
Intel | 0.8 | 100,500 | 2,825 | |||||||||
International Business Machines | 1.3 | 23,118 | 4,823 | |||||||||
Microsoft | 0.7 | 82,700 | 2,667 | |||||||||
Other Securities | 5.4 | 20,630 | ||||||||||
|
| |||||||||||
37,304 | ||||||||||||
|
| |||||||||||
Materials — 2.3% |
| |||||||||||
Other Securities | 2.3 | 8,471 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.9% |
| |||||||||||
AT&T | 0.9 | 108,100 | 3,376 | |||||||||
Other Securities | 2.0 | 7,557 | ||||||||||
|
| |||||||||||
10,933 | ||||||||||||
|
| |||||||||||
Utilities — 12.5% |
| |||||||||||
Consolidated Edison | 0.7 | 44,385 | 2,593 | |||||||||
NSTAR | 0.9 | 68,976 | 3,354 |
28 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
PG&E | 0.8 | % | 66,600 | $ | 2,891 | |||||||
Southern | 0.8 | 62,851 | 2,824 | |||||||||
Wisconsin Energy | 1.0 | 104,699 | 3,683 | |||||||||
Other Securities | 8.3 | 31,738 | ||||||||||
|
| |||||||||||
47,083 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 356,476 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**† | 5.0 | 18,760,739 | 18,761 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 18,761 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 710 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 710 | ||||||||||
|
| |||||||||||
Total Investments — 99.8% |
| $ | 375,947 | |||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 156 | Jun-2012 | $ | 286 | ||||||||
|
|
For the period ended March 31, 2012, 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 $376,656 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or a 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 March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 356,476 | $ | — | $ | — | $ | 356,476 | ||||||||
U.S. Treasury Obligations | — | 710 | — | 710 | ||||||||||||
Cash Equivalent | 18,761 | — | — | 18,761 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 375,237 | $ | 710 | $ | — | $ | 375,947 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 286 | $ | — | $ | — | $ | 286 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 286 | $ | — | $ | — | $ | 286 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no 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 / Semi-Annual Report / March 31, 2012 | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.8%‡ |
| |||||||
Consumer Discretionary — 1.0% |
| |||||||
Starwood Hotels & Resorts Worldwide | 33,150 | $ | 1,870 | |||||
|
| |||||||
Financials — 94.8% | ||||||||
Acadia Realty Trust† | 14,240 | 321 | ||||||
Alexandria Real Estate Equities† (A) | 23,500 | 1,719 | ||||||
American Campus Communities† (A) | 16,260 | 727 | ||||||
Apartment Investment & Management, Cl A† | 140,534 | 3,712 | ||||||
AvalonBay Communities† (A) | 52,581 | 7,432 | ||||||
Boston Properties† (A) | 66,660 | 6,999 | ||||||
Brandywine Realty Trust† | 88,360 | 1,014 | ||||||
BRE Properties, Cl A† | 38,600 | 1,951 | ||||||
Camden Property Trust† (A) | 23,020 | 1,514 | ||||||
Colonial Properties Trust† (A) | 185,320 | 4,027 | ||||||
CommonWealth† | 119,622 | 2,227 | ||||||
Corporate Office Properties Trust† (A) | 88,800 | 2,061 | ||||||
DDR† (A) | 120,900 | 1,765 | ||||||
DiamondRock Hospitality† | 31,000 | 319 | ||||||
Digital Realty Trust† (A) | 35,220 | 2,605 | ||||||
Duke Realty† (A) | 85,660 | 1,228 | ||||||
Equity One† | 14,210 | 287 | ||||||
Equity Residential† | 204,260 | 12,791 | ||||||
Essex Property Trust† (A) | 14,660 | 2,221 | ||||||
Extra Space Storage† | 96,700 | 2,784 | ||||||
Federal Realty Investment Trust† | 13,377 | 1,295 | ||||||
General Growth Properties† | 317,379 | 5,392 | ||||||
HCP† | 211,270 | 8,337 | ||||||
Health Care† (A) | 141,060 | 7,753 | ||||||
Home Properties† (A) | 18,280 | 1,115 | ||||||
Host Hotels & Resorts† (A) | 366,224 | 6,013 | ||||||
Hudson Pacific Properties† | 19,350 | 293 | ||||||
Kimco Realty† | 104,280 | 2,009 | ||||||
LaSalle Hotel Properties† | 19,320 | 544 | ||||||
Liberty Property Trust† (A) | 41,160 | 1,470 | ||||||
Macerich† | 103,209 | 5,960 | ||||||
Mack-Cali Realty† | 148,730 | 4,286 | ||||||
National Retail Properties† (A) | 34,880 | 948 | ||||||
Pebblebrook Hotel Trust† | 11,250 | 254 | ||||||
Piedmont Office Realty Trust, Cl A† | 29,200 | 518 | ||||||
ProLogis† (A) | 300,876 | 10,838 | ||||||
Public Storage† | 68,491 | 9,464 | ||||||
Regency Centers† (A) | 95,380 | 4,243 | ||||||
RLJ Lodging Trust† | 54,550 | 1,016 | ||||||
Simon Property Group† | 108,178 | 15,759 |
Description | Shares | Market Value ($ Thousands) | ||||||
SL Green Realty† (A) | 91,890 | $ | 7,126 | |||||
Sunstone Hotel Investors*† | 72,840 | 710 | ||||||
Tanger Factory Outlet Centers† (A) | 44,430 | 1,321 | ||||||
Taubman Centers† (A) | 7,530 | 549 | ||||||
UDR† | 180,370 | 4,818 | ||||||
Ventas† | 159,340 | 9,098 | ||||||
Verde Realty PIPE* (C) (D) | 21,400 | 341 | ||||||
Vornado Realty Trust† (A) | 72,370 | 6,094 | ||||||
|
| |||||||
175,268 | ||||||||
|
| |||||||
Total Common Stock | 177,138 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 23.1% |
| |||||||
SEI Liquidity Fund, L.P. | 44,087,118 | 42,586 | ||||||
|
| |||||||
Total Affiliated Partnership | 42,586 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 9,631,389 | 9,631 | ||||||
|
| |||||||
Total Cash Equivalent | 9,631 | |||||||
|
| |||||||
Total Investments — 124.1% | $ | 229,355 | ||||||
|
|
Percentages are based on Net Assets of $184,825 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | 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 March 31, 2012 (see Note 9). The total market value of securities on loan at March 31, 2012 was $43,623 ($ 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 March 31, 2012 was $42,586 ($ Thousands). |
(C) | Security considered illiquid and restricted. The total market value of such securities as of March 31, 2012 was $341 ($ Thousands) and represented 0.18% 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 March 31, 2012 was $341 ($ Thousands) and represented 0.18% of Net Assets. |
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
30 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 176,797 | $ | — | $ | 341 | $ | 177,138 | ||||||||
Affiliated Partnership | — | 42,586 | — | 42,586 | ||||||||||||
Cash Equivalent | 9,631 | — | — | 9,631 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 186,428 | $ | 42,586 | $ | 341 | $ | 229,355 | ||||||||
|
|
|
|
|
|
|
|
Common | ||||
Beginning balance as of October 1, 2011 | $361 | |||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (20 | ) | ||
Purchases | — | |||
Sales | — | |||
Transfer into Level 3 | — | |||
Transfer out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $341 | |||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $(20) | |||
|
|
During the period ended March 31, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 27.5% | ||||||||
Advantage Sales and Marketing, | ||||||||
9.250%, 06/18/18 | $ | 450 | $ | 448 | ||||
Affinion Group Holdings | ||||||||
5.000%, 10/08/16 | 491 | 465 | ||||||
Allison Transmission | ||||||||
2.750%, 08/07/14 | 830 | 823 | ||||||
American Rock Salt, Term Loan B | ||||||||
0.000%, 04/19/17 (A) | 330 | 313 | ||||||
Aramark | ||||||||
2.454%, 01/26/14 | 400 | 396 | ||||||
Aramark LOC | ||||||||
2.454%, 01/26/14 | 32 | 32 | ||||||
Asurion, 1st Lien Term Loan | ||||||||
5.500%, 06/10/18 | 613 | 606 | ||||||
Asurion, 2nd Lien Term Loan | ||||||||
9.000%, 05/20/19 | 600 | 607 | ||||||
Atlantic Boradband Finance, Term B Loan | ||||||||
4.000%, 02/24/16 | 12 | 12 | ||||||
Atlantic Broadband Finance, Tranch B-2 | ||||||||
4.000%, 02/24/16 | 426 | 424 | ||||||
Avaya, Term Loan B-1 | ||||||||
3.241%, 10/26/14 | 164 | 159 | ||||||
Avaya, Term Loan B-3 | ||||||||
4.991%, 10/26/17 | 330 | 319 | ||||||
Biomet | ||||||||
3.574%, 03/25/15 | 349 | 345 | ||||||
3.244%, 03/25/15 | 196 | 194 | ||||||
Calpine | ||||||||
4.500%, 04/01/18 | 199 | 198 | ||||||
Cannery Casino | ||||||||
4.494%, 05/17/13 | 237 | 230 | ||||||
CDW | ||||||||
3.742%, 10/12/14 | 196 | 195 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cedar Fair | ||||||||
4.000%, 12/15/16 | $ | 425 | $ | 425 | ||||
Cengage Learning Holding | ||||||||
2.490%, 06/28/14 | 629 | 579 | ||||||
Ceridian | ||||||||
3.244%, 11/08/14 | 494 | 462 | ||||||
Charter Communications, Term B Loan | ||||||||
2.250%, 03/15/14 | 2 | 2 | ||||||
Charter Communications, Term C Loan | ||||||||
3.830%, 09/06/16 | 606 | 603 | ||||||
CITCO Group Limited, 1st Lien | ||||||||
5.500%, 05/24/18 | 647 | 630 | ||||||
Claire’s Stores | ||||||||
3.301%, 05/27/14 | 69 | 66 | ||||||
2.994%, 05/27/14 | 161 | 153 | ||||||
CommScope | ||||||||
5.000%, 01/14/18 | 298 | 297 | ||||||
Community Health Systems | ||||||||
5.750%, 01/25/17 | 17 | 17 | ||||||
3.989%, 01/25/17 | 653 | 643 | ||||||
ConvaTec | ||||||||
5.750%, 12/30/16 | 694 | 692 | ||||||
Cristal Inorganic Chemicals | ||||||||
6.329%, 11/15/14 | 500 | 498 | ||||||
Crown Castle International, Term Loan B | ||||||||
4.000%, 01/25/19 | 344 | 342 | ||||||
Cumulus Media Holdings, Term Loan | ||||||||
5.750%, 09/16/18 | 330 | 332 | ||||||
DAE Aviation, Tranche B-1 | ||||||||
5.560%, 07/31/14 | 292 | 288 | ||||||
DAE Aviation, Tranche B-2 | ||||||||
5.560%, 09/27/14 | 280 | 276 | ||||||
Davita | ||||||||
4.500%, 10/20/16 | 545 | 546 | ||||||
Del Monte Foods | ||||||||
4.500%, 03/08/18 | 398 | 392 | ||||||
Dex Media West | ||||||||
7.250%, 10/24/14 | 399 | 254 | ||||||
7.000%, 10/24/14 | 282 | 179 | ||||||
Dunkin’ Brands | ||||||||
4.000%, 11/23/17 | 490 | 489 | ||||||
Eagle Parent, Term Loan B | ||||||||
0.000%, 05/16/18 (A) | 400 | 396 | ||||||
Emergency Medical Services, | ||||||||
5.250%, 04/27/18 | 430 | 429 | ||||||
EMI Music Publishing | ||||||||
0.000%, 03/05/18 (A) | 500 | 502 | ||||||
Energy Transfer Partners, L.P. | ||||||||
0.000%, 03/23/17 (A) | 250 | 245 | ||||||
EquiPower Resource Holdings | ||||||||
5.750%, 01/26/18 | 332 | 310 | ||||||
Federal Mogul | ||||||||
2.177%, 12/29/14 | 253 | 243 |
32 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Federal Mogul, Term C Loan | ||||||||
2.177%, 12/28/15 | $ | 129 | $ | 124 | ||||
First Data | ||||||||
4.242%, 03/24/18 | 424 | 386 | ||||||
First Data, Initial Tranche B-1 | ||||||||
2.995%, 09/24/14 | 469 | 452 | ||||||
First Data, Term Loan B-3 | ||||||||
2.995%, 09/24/14 | 45 | 43 | ||||||
Firth Rixson, Facility B | ||||||||
5.079%, 12/18/15 | 250 | 237 | ||||||
Firth Rixson, Facility C | ||||||||
5.579%, 12/20/16 | 250 | 238 | ||||||
Freescale Semiconductor | ||||||||
4.494%, 12/01/16 | 691 | 671 | ||||||
Generac Power Systems, Term Loan B | ||||||||
3.750%, 02/06/19 | 500 | 499 | ||||||
Gibson Energy | ||||||||
5.750%, 06/14/18 | 498 | 498 | ||||||
Global Cash Access | ||||||||
7.000%, 02/01/16 | 286 | 285 | ||||||
Harron Communications, L.P., Term B Loan | ||||||||
5.250%, 10/05/17 | 464 | 463 | ||||||
Health Management Associates, Term B Loan | ||||||||
4.500%, 11/18/18 | 500 | 496 | ||||||
Hub International Ltd., Delayed Draw | ||||||||
3.079%, 06/13/14 | 129 | 127 | ||||||
Hub International Ltd., Initial Term Loan | ||||||||
3.079%, 06/13/14 | 575 | 565 | ||||||
IASIS Healthcare | ||||||||
5.000%, 05/03/18 | 323 | 323 | ||||||
IMS Health | ||||||||
4.500%, 08/31/17 | 593 | 595 | ||||||
Infor Enterprise Solutions | ||||||||
6.000%, 07/28/12 | 319 | 317 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.491%, 03/02/14 | 202 | 201 | ||||||
Infor Global Solutions | ||||||||
6.000%, 07/28/15 | 166 | 165 | ||||||
Infor Global Solutions, 2nd Lien | ||||||||
6.494%, 03/02/14 | 329 | 327 | ||||||
Infor Global Solutions, Term Loan B-2 | ||||||||
7.250%, 07/28/15 | 497 | 495 | ||||||
Integra Telecom, Term B Loan | ||||||||
9.250%, 04/07/15 | 670 | 629 | ||||||
Intelsat | ||||||||
5.250%, 04/03/18 | 302 | 304 | ||||||
Intelsat Bermuda | ||||||||
3.242%, 02/01/14 | 500 | 491 | ||||||
Inventiv Health, Term B Loan | ||||||||
6.500%, 08/04/16 | 632 | 598 | ||||||
J. Crew Group | ||||||||
4.750%, 01/26/18 | 596 | 584 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JHT Holding, 2nd Lien | ||||||||
12.500%, 12/21/12 (B) (C) | $ | 46 | $ | 15 | ||||
Knology, Term Loan B-1 | ||||||||
4.000%, 08/08/17 | 490 | 486 | ||||||
Lamar Media | ||||||||
4.000%, 10/01/16 | 249 | 249 | ||||||
Language Line, Term B Loan | ||||||||
6.250%, 06/20/16 | 477 | 473 | ||||||
Lawson Software, Term Loan B | ||||||||
0.000%, 03/30/18 (A) | 650 | 640 | ||||||
Live Nation, Term B Loan | ||||||||
4.500%, 10/20/16 | 246 | 245 | ||||||
LPL Holdings, Term Loan B | ||||||||
0.000%, 03/22/19 (A) | 750 | 749 | ||||||
Medimedia USA, Term Loan B | ||||||||
6.250%, 08/15/14 | 144 | 136 | ||||||
Meg Energy, Initial Term Loan | ||||||||
4.000%, 03/18/18 | 648 | 647 | ||||||
Neiman Marcus Group | ||||||||
4.750%, 05/10/18 | 327 | 327 | ||||||
Nelson Education, Term Loan B-1L | ||||||||
2.970%, 07/05/14 | 489 | 433 | ||||||
Nexstar Broadcasting, Term B Loan | ||||||||
5.000%, 09/30/16 | 298 | 296 | ||||||
NRG Energy, Term Loan B | ||||||||
4.000%, 07/01/18 | 500 | 499 | ||||||
NXP BV/Commitment | ||||||||
4.500%, 03/07/17 | 397 | 389 | ||||||
Penn National Gaming, Term Loan B | ||||||||
3.750%, 06/14/18 | 223 | 223 | ||||||
Quintiles Transnational, Term Loan B | ||||||||
5.000%, 05/26/18 | 215 | 215 | ||||||
Quintiles Transnational, Term Loan B 1st Lien | ||||||||
0.000%, 05/26/18 (A) | 225 | 225 | ||||||
Raycom TV Broadcasting, Term Loan B | ||||||||
4.500%, 05/31/17 | 400 | 392 | ||||||
Reable Therapeutics, Term B Loan | ||||||||
3.244%, 05/20/14 | 224 | 222 | ||||||
Realogy, Extended Synthetic Commitment | ||||||||
4.770%, 10/10/16 | 734 | 684 | ||||||
0.389%, 10/10/16 | 87 | 81 | ||||||
Regal Cinemas | ||||||||
3.579%, 08/23/17 | 545 | 542 | ||||||
Remax International, Term B Loan | ||||||||
5.500%, 03/11/16 | 458 | 454 | ||||||
Roundy’s Supermarkets, Term Loan B | ||||||||
5.750%, 02/10/19 | 500 | 503 | ||||||
Rovi Guides, Term B Loan | ||||||||
4.000%, 02/07/18 | 74 | 74 | ||||||
Sealed Air | ||||||||
4.750%, 10/03/18 | 230 | 232 | ||||||
Sealed Air, Term B Loan | ||||||||
4.750%, 10/03/18 | 263 | 265 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sedgwick Claims Management | ||||||||
5.000%, 12/31/16 | $ | 119 | $ | 119 | ||||
Seminole Tribe | ||||||||
2.125%, 03/05/14 | 451 | 447 | ||||||
Sensata Technologies | ||||||||
4.000%, 05/10/18 | 498 | 497 | ||||||
Star West Generation LLC, Term B Loan | ||||||||
6.000%, 05/17/18 | 445 | 439 | ||||||
Sungard Data Systems | ||||||||
4.148%, 02/28/16 | 108 | 108 | ||||||
4.001%, 02/28/16 | 54 | 54 | ||||||
Sunguard | ||||||||
5.875%, 02/28/16 | 187 | 187 | ||||||
3.985%, 02/28/16 | 23 | 23 | ||||||
Syniverse Holdings | ||||||||
5.250%, 12/21/17 | 494 | 495 | ||||||
0.000%, 12/21/17 (A) | 1 | 1 | ||||||
Telesat Canada | ||||||||
0.000%, 03/26/19 (A) | 400 | 399 | ||||||
Terex, Term Loan | ||||||||
5.500%, 07/28/17 | 249 | 251 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.743%, 10/10/17 | 647 | 359 | ||||||
Texas Competitive Electric Holdings, Term Loan | ||||||||
3.743%, 10/10/14 | 341 | 208 | ||||||
The Yankee Candle, Term Loan B | ||||||||
0.000%, 03/14/19 (A) | 500 | 501 | ||||||
Trans Union | ||||||||
4.750%, 02/26/18 | 397 | 400 | ||||||
Transdigm | ||||||||
4.000%, 02/14/17 | 495 | 495 | ||||||
Tronox, Delayed Draw | ||||||||
0.000%, 02/08/18 (A) | 107 | — | ||||||
Tronox, Term Loan B | ||||||||
4.250%, 02/03/18 | 393 | 393 | ||||||
TWCC Holding, Term Loan | ||||||||
4.250%, 02/11/17 | 488 | 488 | ||||||
U.S. Telepacific | ||||||||
5.750%, 02/23/17 | 497 | 474 | ||||||
United Surgical Partners | ||||||||
2.250%, 04/21/14 | 74 | 73 | ||||||
2.250%, 04/19/14 | 322 | 319 | ||||||
Universal Healthcare | ||||||||
3.750%, 05/16/16 | 315 | 315 | ||||||
Universal Health Services, Term B Loan | ||||||||
5.500%, 11/15/16 | 1 | 1 | ||||||
Univision Communications, Term B Loan | ||||||||
4.491%, 03/31/17 | 693 | 642 | ||||||
UPC Broadband Holding | ||||||||
3.744%, 12/31/17 | 250 | 247 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vanguard Health | ||||||||
5.000%, 01/15/16 | $ | 691 | $ | 691 | ||||
Verint Systems, Term B Loan | ||||||||
4.500%, 10/06/17 | 403 | 402 | ||||||
Waiccs Las Vegas 3 LLC, 2nd Lien | ||||||||
13.250%, 07/30/10 (F) | 2,000 | — | ||||||
Walter Energy, Term B Loan | ||||||||
4.000%, 04/02/18 | 476 | 475 | ||||||
Warner Chilcott | ||||||||
4.250%, 03/15/18 | 89 | 89 | ||||||
4.250%, 03/14/18 | 195 | 195 | ||||||
Waste Industries | ||||||||
4.750%, 03/16/17 | 496 | 495 | ||||||
WCA Waste Systems, Term Loan B | ||||||||
0.000%, 03/09/18 (A) | 250 | 250 | ||||||
Weight Watchers International, Term Loan F | ||||||||
0.000%, 03/13/19 (A) | 500 | 497 | ||||||
WideOpenWest Finance | ||||||||
8.750%, 06/30/14 | 1 | 1 | ||||||
6.743%, 06/30/14 | 299 | 298 | ||||||
WideOpenWest Finance, 1st Lien | ||||||||
2.746%, 06/30/14 | 432 | 421 | ||||||
|
| |||||||
Total Loan Participations (Cost $49,875) ($ Thousands) | 47,614 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 26.3% |
| |||||||
Consumer Discretionary — 2.7% | ||||||||
Ameristar Casinos | ||||||||
7.500%, 04/15/21 | 500 | 525 | ||||||
Daimler Finance North America | ||||||||
2.300%, 01/09/15 (D) | 500 | 513 | ||||||
Nissan Motor Acceptance | ||||||||
3.250%, 01/30/13 (D) | 500 | 507 | ||||||
President and Fellows of Harvard College | ||||||||
3.700%, 04/01/13 | 1,060 | 1,092 | ||||||
Rent-A-Center | ||||||||
6.625%, 11/15/20 | 616 | 639 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/21 (D) | 185 | 191 | ||||||
Sally Holdings | ||||||||
6.875%, 11/15/19 (D) | 467 | 497 | ||||||
Target | ||||||||
0.499%, 01/11/13 (E) | 250 | 250 | ||||||
UR Financing Escrow | ||||||||
5.750%, 07/15/18 (D) | 50 | 51 | ||||||
Volkswagen International Finance | ||||||||
1.078%, 04/01/14 (D) (E) | 475 | 474 | ||||||
|
| |||||||
4,739 | ||||||||
|
|
34 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consumer Staples — 2.0% | ||||||||
Anheuser-Busch InBev Worldwide | ||||||||
1.107%, 01/27/14 (E) | $ | 500 | $ | 502 | ||||
0.927%, 07/14/14 (E) | 600 | 601 | ||||||
Archer-Daniels-Midland | ||||||||
0.670%, 08/13/12 (E) | 500 | 501 | ||||||
Coca-Cola Enterprises | ||||||||
0.793%, 02/18/14 (E) | 600 | 601 | ||||||
PepsiCo | ||||||||
0.800%, 08/25/14 | 385 | 387 | ||||||
0.593%, 05/10/13 (E) | 325 | 326 | ||||||
SABMiller Holdings | ||||||||
1.850%, 01/15/15 (D) | 500 | 507 | ||||||
|
| |||||||
3,425 | ||||||||
|
| |||||||
Energy — 0.3% | ||||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 500 | 555 | ||||||
|
| |||||||
Financials — 17.1% | ||||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/13 | 500 | 525 | ||||||
Ally Financial | ||||||||
0.474%, 12/19/12 (E) | 1,250 | 1,252 | ||||||
American Express Credit | ||||||||
1.324%, 06/24/14 (E) | 750 | 748 | ||||||
American Honda Finance | ||||||||
1.850%, 09/19/14 (D) | 500 | 508 | ||||||
Bank of America MTN | ||||||||
1.973%, 01/30/14 (E) | 300 | 295 | ||||||
Bank of Montreal MTN | ||||||||
1.023%, 04/29/14 (E) | 650 | 651 | ||||||
Bank of Nova Scotia | ||||||||
1.850%, 01/12/15 | 375 | 383 | ||||||
BB&T | ||||||||
1.253%, 04/28/14 (E) | 600 | 603 | ||||||
Caterpillar Financial Services | ||||||||
1.375%, 05/20/14 | 140 | 142 | ||||||
0.871%, 04/01/14 (E) | 500 | 502 | ||||||
Citigroup | ||||||||
1.041%, 08/25/36 (E) | 1,500 | 991 | ||||||
Citigroup Funding | ||||||||
1.875%, 11/15/12 | 2,500 | 2,525 | ||||||
Danske Bank MTN | ||||||||
1.617%, 04/14/14 (D) (E) | 650 | 639 | ||||||
General Electric Capital MTN | ||||||||
1.390%, 05/09/16 (E) | 600 | 591 | ||||||
0.474%, 12/21/12 (E) | 5,150 | 5,158 | ||||||
Goldman Sachs Group | ||||||||
1.527%, 02/07/14 (E) | 850 | 835 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/15 | 295 | 297 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/18 (D) | $ | 500 | $ | 520 | ||||
ILFC E-Capital Trust I | ||||||||
5.030%, 12/21/65 (D) (E) | 1,000 | 665 | ||||||
ING Bank | ||||||||
1.875%, 06/09/14 (D) (E) | 400 | 396 | ||||||
John Deere Capital MTN | ||||||||
0.717%, 07/15/13 (E) | 315 | 315 | ||||||
JPMorgan Chase Capital XXI, Ser U | ||||||||
1.492%, 02/02/37 (E) | 1,300 | 943 | ||||||
MassMutual Global Funding II | ||||||||
0.947%, 01/14/14 (D) (E) | 526 | 526 | ||||||
Mellon Funding | ||||||||
0.653%, 05/15/14 (E) | 900 | 899 | ||||||
Merrill Lynch | ||||||||
1.234%, 09/15/36 (E) | 700 | 501 | ||||||
Metropolitan Life Global Funding I | ||||||||
2.000%, 01/09/15 (D) | 275 | 278 | ||||||
1.331%, 01/10/14 (D) (E) | 500 | 501 | ||||||
Monumental Global Funding III | ||||||||
0.767%, 01/15/14 (D) (E) | 900 | 875 | ||||||
Morgan Stanley | ||||||||
2.161%, 01/24/14 (E) | 500 | 486 | ||||||
1.533%, 04/29/13 (E) | 400 | 397 | ||||||
NCUA Guaranteed Notes | ||||||||
0.262%, 06/12/13 (E) | 295 | 295 | ||||||
New York Life Global Funding | ||||||||
1.300%, 01/12/15 (D) | 500 | 503 | ||||||
Royal Bank of Canada MTN | ||||||||
0.867%, 04/17/14 (E) | 600 | 602 | ||||||
Societe Generale MTN | ||||||||
1.519%, 04/11/14 (D) (E) | 600 | 572 | ||||||
Standard Chartered | ||||||||
1.460%, 05/12/14 (D) (E) | 600 | 595 | ||||||
State Street | ||||||||
0.825%, 03/07/14 (E) | 421 | 422 | ||||||
0.653%, 04/30/12 (E) | 615 | 615 | ||||||
State Street Capital Trust IV | ||||||||
1.474%, 06/15/37 (E) | 375 | 276 | ||||||
Toronto-Dominion Bank | ||||||||
0.867%, 07/14/14 (E) | 310 | 311 | ||||||
Unitrin | ||||||||
6.000%, 05/15/17 | 670 | 715 | ||||||
Wells Fargo MTN | ||||||||
1.250%, 02/13/15 | 750 | 747 | ||||||
|
| |||||||
29,600 | ||||||||
|
| |||||||
Health Care — 1.0% | ||||||||
Alere | ||||||||
9.000%, 05/15/16 | 200 | 208 | ||||||
American Renal Holdings | ||||||||
8.375%, 05/15/18 | 250 | 266 | ||||||
Express Scripts | ||||||||
5.250%, 06/15/12 | 450 | 454 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sanofi | ||||||||
0.783%, 03/28/14 (E) | $ | 750 | $ | 754 | ||||
|
| |||||||
1,682 | ||||||||
|
| |||||||
Industrials — 0.6% | ||||||||
Continental Airlines, Ser 061G | ||||||||
0.834%, 06/02/13 (E) | 569 | 547 | ||||||
Danaher | ||||||||
1.300%, 06/23/14 | 400 | 406 | ||||||
|
| |||||||
953 | ||||||||
|
| |||||||
Information Technology — 1.3% | ||||||||
Hewlett-Packard | ||||||||
0.891%, 05/30/14 (E) | 600 | 593 | ||||||
Texas Instruments | ||||||||
0.683%, 05/15/13 (E) | 600 | 602 | ||||||
Western Union | ||||||||
1.055%, 03/07/13 (E) | 485 | 488 | ||||||
Xerox | ||||||||
1.318%, 05/16/14 (E) | 595 | 590 | ||||||
|
| |||||||
2,273 | ||||||||
|
| |||||||
Materials — 0.9% | ||||||||
E.I. Du Pont de Nemours | ||||||||
0.994%, 03/25/14 (E) | 705 | 710 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/16 (D) | 500 | 525 | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/15 (D) | 500 | 380 | ||||||
|
| |||||||
1,615 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% | ||||||||
Verizon Communications | ||||||||
1.250%, 11/03/14 | 550 | 556 | ||||||
|
| |||||||
Utilities — 0.1% | ||||||||
DTE Energy | ||||||||
1.180%, 06/03/13 (E) | 255 | 256 | ||||||
|
| |||||||
Total Corporate Obligations (Cost $47,015) ($ Thousands) | 45,654 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 24.4% |
| |||||||
Automotive — 13.5% | ||||||||
Ally Auto Receivables Trust, | ||||||||
2.330%, 06/17/13 (D) | 200 | 201 | ||||||
Ally Auto Receivables Trust, | ||||||||
3.000%, 10/15/15 (D) | 495 | 503 | ||||||
Ally Auto Receivables Trust, | ||||||||
3.050%, 12/15/14 (D) | 625 | 642 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, | ||||||||
0.810%, 10/15/13 | $ | 142 | $ | 142 | ||||
Ally Auto Receivables Trust, | ||||||||
0.800%, 06/16/14 | 460 | 461 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/14 | 430 | 431 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2007-DF, Cl A4A | ||||||||
5.560%, 06/06/14 | 212 | 213 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B | ||||||||
1.990%, 10/08/15 | 576 | 581 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-B, Cl A2 | ||||||||
1.180%, 02/06/14 | 81 | 81 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2 | ||||||||
0.900%, 09/08/14 | 135 | 135 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3 | ||||||||
1.170%, 01/08/16 | 275 | 277 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/15 | 240 | 240 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.910%, 10/08/15 | 91 | 91 | ||||||
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A3 | ||||||||
2.210%, 01/15/14 | 80 | 80 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2009-1A, Cl A | ||||||||
9.310%, 10/20/13 (D) | 600 | 615 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2009-2A, Cl A | ||||||||
5.680%, 02/20/14 (D) | 415 | 428 | ||||||
Bank of America Auto Trust, | ||||||||
3.520%, 06/15/16 (D) | 568 | 576 | ||||||
Bank of America Auto Trust, | ||||||||
3.030%, 10/15/16 (D) | 345 | 349 | ||||||
Bank of America Auto Trust, | ||||||||
1.390%, 03/15/14 (D) | 208 | 208 | ||||||
BMW Vehicle Lease Trust, | ||||||||
0.820%, 04/15/13 | 410 | 410 | ||||||
BMW Vehicle Lease Trust, | ||||||||
1.060%, 02/20/14 | 276 | 277 |
36 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.760%, 08/25/15 | $ | 415 | $ | 416 | ||||
CarMax Auto Owner Trust, | ||||||||
5.810%, 12/16/13 | 661 | 675 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.400%, 04/15/15 | 395 | 404 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.990%, 02/17/15 | 315 | 316 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.700%, 11/17/14 | 400 | 400 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/16 | 210 | 210 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A2 | ||||||||
0.690%, 01/08/13 | 18 | 18 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
1.040%, 12/15/13 (D) | 510 | 511 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.740%, 09/15/13 | 280 | 280 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.820%, 01/15/14 | 600 | 601 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2.790%, 08/15/13 | 57 | 57 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.620%, 07/15/13 | 77 | 77 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.840%, 06/15/15 | 250 | 251 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.620%, 09/15/14 | 220 | 220 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A3 | ||||||||
2.620%, 03/15/14 | 45 | 45 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4 | ||||||||
2.400%, 07/15/14 | 275 | 277 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A2 | ||||||||
0.830%, 11/15/13 | 81 | 81 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3 | ||||||||
0.960%, 05/16/16 | 661 | 663 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A2 | ||||||||
0.710%, 05/15/15 | $ | 216 | $ | 216 | ||||
Hertz Vehicle Financing, | ||||||||
4.260%, 03/25/14 (D) | 485 | 497 | ||||||
Hertz Vehicle Financing, | ||||||||
2.200%, 03/25/16 (D) | 445 | 449 | ||||||
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2 | ||||||||
0.650%, 06/17/13 | 145 | 145 | ||||||
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3 | ||||||||
0.940%, 03/18/15 | 270 | 271 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.770%, 01/15/16 | 145 | 145 | ||||||
Huntington Auto Trust, | ||||||||
5.730%, 01/15/14 (D) | 295 | 298 | ||||||
Huntington Auto Trust, | ||||||||
1.010%, 01/15/16 (D) | 250 | 251 | ||||||
Hyundai Auto Lease Securitization Trust 2011-A, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/13 (D) | 280 | 280 | ||||||
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3 | ||||||||
2.030%, 08/15/13 | 191 | 192 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/13 | 156 | 156 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2 | ||||||||
0.590%, 03/15/14 | 284 | 284 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A3 | ||||||||
0.830%, 12/15/15 | 415 | 416 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2011-B, Cl A2 | ||||||||
0.900%, 01/15/14 (D) | 425 | 426 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/15 | 195 | 195 | ||||||
MMCA Automobile Trust, | ||||||||
0.810%, 08/15/14 (D) | 550 | 550 | ||||||
Navistar Financial Owner Trust, | ||||||||
1.990%, 01/21/14 (D) | 496 | 497 | ||||||
Navistar Financial Owner Trust, | ||||||||
4.170%, 10/20/14 (D) | 565 | 565 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nissan Auto Lease Trust, | ||||||||
0.900%, 05/15/13 | $ | 127 | $ | 127 | ||||
Nissan Auto Lease Trust, | ||||||||
1.040%, 08/15/14 | 550 | 553 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2 | ||||||||
0.650%, 12/16/13 | 446 | 447 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2011-B, Cl A2 | ||||||||
0.750%, 09/15/14 | 600 | 601 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-A, Cl A3 | ||||||||
0.730%, 05/16/16 | 181 | 181 | ||||||
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A2 | ||||||||
0.910%, 11/15/13 (D) | 45 | 45 | ||||||
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A3 | ||||||||
1.400%, 10/15/14 (D) | 515 | 516 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-3, Cl A2 | ||||||||
0.930%, 06/17/13 | 55 | 55 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.940%, 02/18/14 | 339 | 339 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/15 | 385 | 386 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
1.000%, 02/20/14 | 451 | 452 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A4 | ||||||||
2.140%, 08/22/16 | 435 | 442 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2 | ||||||||
0.610%, 10/20/14 | 135 | 135 | ||||||
Wachovia Auto Owner Trust, | ||||||||
1.392%, 03/20/14 (E) | 288 | 289 | ||||||
World Omni Auto Receivables Trust, Ser 2011-A, Cl A2 | ||||||||
0.640%, 11/15/13 | 224 | 224 | ||||||
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.810%, 10/15/13 | 385 | 386 | ||||||
|
| |||||||
23,454 | ||||||||
|
| |||||||
Credit Cards — 3.7% |
| |||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7 | ||||||||
4.700%, 06/15/15 | 466 | 473 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 | ||||||||
0.863%, 11/07/14 (E) | $ | 1,100 | $ | 1,101 | ||||
Citibank Omni Master Trust, | ||||||||
2.342%, 05/16/16 (D) (E) | 650 | 652 | ||||||
Citibank Omni Master Trust, | ||||||||
3.350%, 08/15/16 (D) | 680 | 687 | ||||||
Discover Card Master Trust, | ||||||||
1.542%, 12/15/14 (E) | 515 | 516 | ||||||
Discover Card Master Trust, | ||||||||
1.542%, 02/17/15 (E) | 650 | 653 | ||||||
Discover Card Master Trust, | ||||||||
0.452%, 11/16/15 (E) | 300 | 301 | ||||||
Discover Card Master Trust, | ||||||||
0.810%, 08/15/17 | 220 | 219 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B | ||||||||
0.442%, 06/15/15 (E) | 1,150 | 1,148 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-1, Cl A | ||||||||
2.342%, 04/15/15 (E) | 550 | 550 | ||||||
|
| |||||||
6,300 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.1% |
| |||||||
New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ | ||||||||
0.534%, 03/25/35 (E) | 35 | 32 | ||||||
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 | ||||||||
5.611%, 01/25/37 (E) | 285 | 136 | ||||||
|
| |||||||
168 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 7.1% |
| |||||||
Ally Master Owner Trust, | ||||||||
1.992%, 01/15/15 (D) (E) | 650 | 658 | ||||||
Ally Master Owner Trust, Ser 2010-3, Cl A | ||||||||
2.880%, 04/15/15 (D) | 750 | 764 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/16 | 540 | 543 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/17 | 600 | 602 | ||||||
Babson CLO, Ser 2007-1A, Cl A1 | ||||||||
0.790%, 01/18/21 (D) (E) | 1,060 | 989 | ||||||
CNH Equipment Trust, Ser 2009-B, Cl A4 | ||||||||
5.170%, 10/15/14 | 212 | 216 |
38 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CNH Equipment Trust, | ||||||||
0.620%, 06/16/14 | $ | 68 | $ | 68 | ||||
CNH Equipment Trust, | ||||||||
0.900%, 04/15/15 | 500 | 501 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A | ||||||||
1.792%, 09/15/14 (E) | 600 | 604 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl A | ||||||||
1.892%, 12/15/14 (D) (E) | 550 | 556 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B | ||||||||
2.492%, 12/15/14 (D) (E) | 485 | 491 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-2, Cl A1 | ||||||||
1.320%, 09/15/15 | 240 | 242 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.712%, 01/15/16 (E) | 720 | 722 | ||||||
GE Business Loan Trust, | ||||||||
1.242%, 11/15/31 (D) (E) | 61 | 50 | ||||||
GE Business Loan Trust, | ||||||||
0.488%, 12/15/32 (D) (E) | 90 | 81 | ||||||
GE Business Loan Trust, | ||||||||
0.722%, 12/15/32 (D) (E) | 67 | 49 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A | ||||||||
1.798%, 10/20/14 (D) (E) | 700 | 706 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A | ||||||||
0.812%, 02/20/17 (E) | 640 | 643 | ||||||
GE Equipment Midticket, | ||||||||
0.940%, 07/14/14 (D) | 348 | 348 | ||||||
GE Equipment Transportation, | ||||||||
1.330%, 05/20/19 | 250 | 251 | ||||||
John Deere Owner Trust, | ||||||||
0.640%, 06/16/14 | 227 | 227 | ||||||
Katonah, Ser 2005-7A, Cl B | ||||||||
0.923%, 11/15/17 (D) (E) | 700 | 549 | ||||||
Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A | ||||||||
5.362%, 10/20/28 (D) | 42 | 42 | ||||||
Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D | ||||||||
6.135%, 05/20/29 (D) | 317 | 312 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A | ||||||||
1.692%, 10/26/15 (D) (E) | $ | 600 | $ | 604 | ||||
SLM Student Loan Trust, | ||||||||
1.660%, 10/25/16 (E) | 306 | 309 | ||||||
SLM Student Loan Trust, | ||||||||
0.764%, 03/25/26 (E) | 537 | 534 | ||||||
SLM Student Loan Trust, | ||||||||
1.092%, 12/16/24 (D) (E) | 312 | 312 | ||||||
Triton Container Finance, | ||||||||
0.410%, 11/26/21 (D) (E) | 350 | 330 | ||||||
|
| |||||||
12,303 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 42,225 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 14.1% |
| |||||||
Agency Mortgage-Backed Obligations — 9.4% |
| |||||||
FHLMC | ||||||||
6.000%, 09/01/26 | 320 | 354 | ||||||
2.500%, 01/07/14 | 1,500 | 1,557 | ||||||
1.375%, 01/09/13 | 750 | 757 | ||||||
FHLMC TBA | ||||||||
4.000%, 04/15/41 | 2,500 | 2,614 | ||||||
FNMA | ||||||||
6.500%, 09/01/26 | 197 | 220 | ||||||
6.000%, 11/01/26 to 04/01/40 | 1,877 | 2,071 | ||||||
5.000%, 02/01/23 to 03/01/25 | 544 | 591 | ||||||
FNMA TBA | ||||||||
4.500%, 04/30/20 | 1,300 | 1,391 | ||||||
4.000%, 04/30/20 to 04/01/39 | 1,550 | 1,628 | ||||||
3.000%, 04/25/26 | 3,100 | 3,209 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A | ||||||||
0.693%, 10/07/20 (E) | 595 | 596 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A | ||||||||
0.693%, 01/08/20 (E) | 274 | 274 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R3 | ||||||||
0.642%, 03/11/20 (E) | 264 | 265 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A | ||||||||
0.623%, 03/06/20 (E) | 314 | 314 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R6 | ||||||||
0.621%, 05/07/20 (E) | 400 | 401 | ||||||
|
| |||||||
16,242 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Concluded)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Non-Agency Mortgage-Backed Obligations — 4.7% |
| |||||||
American Tower Trust, Ser 1A, Cl D | ||||||||
5.957%, 04/15/37 (D) | $ | 625 | $ | 656 | ||||
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 | ||||||||
2.802%, 11/25/34 (E) | 179 | 165 | ||||||
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 | ||||||||
2.843%, 04/25/35 (E) | 572 | 470 | ||||||
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 | ||||||||
2.714%, 10/25/35 (E) | 380 | 295 | ||||||
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2 | ||||||||
0.514%, 12/25/36 (D) (E) | 381 | 169 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.800%, 09/25/34 (E) | 125 | 122 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 | ||||||||
0.342%, 12/15/20 (D) (E) | 363 | 355 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2011-STRT, Cl A | ||||||||
2.555%, 12/10/24 (D) | 275 | 276 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C | ||||||||
0.473%, 11/15/21 (D) (E) | 810 | 731 | ||||||
Impac CMB Trust, Ser 2005-1, Cl 1A1 | ||||||||
0.764%, 04/25/35 (E) | 280 | 220 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1 | ||||||||
1.525%, 07/15/46 (D) | 279 | 281 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2 | ||||||||
4.903%, 10/15/42 | 550 | 552 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.667%, 10/25/36 (E) | 688 | 543 | ||||||
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A | ||||||||
2.820%, 12/25/34 (E) | 261 | 241 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.502%, 12/25/35 (E) | 894 | 610 | ||||||
Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1 | ||||||||
3.669%, 02/11/36 | 285 | 288 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.562%, 11/20/34 (E) | 215 | 191 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.542%, 12/20/34 (E) | 170 | 149 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Sequoia Mortgage Trust, | ||||||||
0.462%, 03/20/35 (E) | $ | 95 | $ | 82 | ||||
Washington Mutual Mortgage | ||||||||
2.495%, 03/25/36 (E) | 383 | 276 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.618%, 01/25/35 (E) | 392 | 345 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.616%, 02/25/35 (E) | 468 | 413 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.617%, 03/25/35 (E) | 403 | 380 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/44 (D) | 311 | 315 | ||||||
|
| |||||||
8,125 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $25,388) ($ Thousands) |
| 24,367 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.2% |
| |||||||
FHLB | ||||||||
0.350%, 07/25/12 | 1,350 | 1,350 | ||||||
FNMA | ||||||||
1.000%, 12/27/12 | 2,000 | 2,012 | ||||||
0.500%, 10/30/12 | 500 | 501 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost $3,860) ($ Thousands) |
| 3,863 | ||||||
|
| |||||||
MUNICIPAL BOND — 0.3% |
| |||||||
New Jersey State Turnpike Authority, Ser B, RB, AMBAC | ||||||||
4.252%, 01/01/16 | 490 | 516 | ||||||
|
| |||||||
Total Municipal Bonds |
| 516 | ||||||
|
| |||||||
CERTIFICATE OF DEPOSIT — 0.4% |
| |||||||
Bank of Nova Scotia | 651 | 651 | ||||||
|
| |||||||
Total Certificate of Deposit | 651 | |||||||
|
| |||||||
COMMON STOCK — 0.0% |
| |||||||
JHT Holding* | 4,002 | — | ||||||
|
| |||||||
Total Common Stock |
| — | ||||||
|
|
40 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT (G) — 8.5% |
| |||||||
Bank of America 0.150%, dated 03/30/12, to be repurchased on 04/02/12, repurchase price $14,800,185 (Collateralized by a FNMA obligation, par value $18,176,575, 4.000%, 11/01/2040; total market value $15,096,000) | $ | 14,800 | $ | 14,800 | ||||
|
| |||||||
Total Repurchase Agreement (Cost $14,800) ($ Thousands) |
| 14,800 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.4% |
| |||||||
SEI Daily Income Trust, | ||||||||
0.080%**† | 5,935,153 | 5,935 | ||||||
|
| |||||||
Total Cash Equivalent |
| 5,935 | ||||||
|
| |||||||
Total Investments — 107.1% |
| $ | 185,625 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (18 | ) | Jun-2012 | $ | 33 | |||||||
U.S. 2-Year Treasury Note | (17 | ) | Jun-2012 | 1 | ||||||||
U.S. 5-Year Treasury Note | 13 | Jun-2012 | (10 | ) | ||||||||
|
| |||||||||||
$ | 24 | |||||||||||
|
|
For the year ended March 31, 2012, 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 $173,330 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (See Note 5). |
(A) | Unsettled bank loan. Interest rate not available. |
(B) | Securities considered illiquid and restricted. The total value of such securities as of March 31, 2012 was $15 ($ Thousands) and represented 0.01% 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 March 31, 2012 was $15 and represented 0.01% of Net Assets. |
(D) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(E) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. The date reported on the Schedule of Investments is the next reset date. |
(F) | Security in default on interest payments. |
(G) | Tri-Party Repurchase Agreement |
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
L.P. — Limited Partnership
Ltd — Limited
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 $O or have been rounded to $O
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 45,654 | $ | — | $ | 45,654 | ||||||||
Asset-Backed Securities | — | 41,676 | 549 | 42,225 | ||||||||||||
Mortgage-Backed Securities | — | 24,367 | — | 24,367 | ||||||||||||
U.S. Government Agency Obligations | — | 3,863 | — | 3,863 | ||||||||||||
Certificate of Deposit | — | 651 | — | 651 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Loan Participations | — | 47,599 | 15 | 47,614 | ||||||||||||
Municipal Bond | — | 516 | — | 516 | ||||||||||||
Cash Equivalent | 5,935 | — | — | 5,935 | ||||||||||||
Repurchase Agreement | — | 14,800 | — | 14,800 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,935 | $ | 179,126 | $ | 564 | $ | 185,625 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 24 | $ | — | $ | — | $ | 24 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 24 | $ | — | $ | — | $ | 24 | ||||||||
|
|
|
|
|
|
|
|
* | Futures are valued at the unrealized appreciation on the instrument. |
Asset Backed Securities | ||||
Beginning balance as of October 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3 | 549 | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 549 | ||
|
| |||
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | — | ||
|
|
Loan | ||||
Beginning balance as of October 1, 2011 | $ | 14 | ||
Accrued discounts/premiums | (4 | ) | ||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | 2 | |||
Purchases | 3 | |||
Sales | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | ||||
|
| |||
Ending balance as of March 31, 2012 | $ | 15 | ||
|
| |||
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 2 | ||
|
|
During the period ended March 31, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2012, there have been no 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 / Semi-Annual Report / March 31, 2012 | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 44.9% |
| |||||||
Agency Mortgage-Backed Obligations — 34.9% |
| |||||||
FHLMC | ||||||||
7.500%, 11/01/29 to 09/01/32 | $ | 959 | $ | 1,146 | ||||
7.000%, 06/01/15 to 12/01/31 | 177 | 204 | ||||||
6.500%, 06/01/17 to 09/01/39 | 2,261 | 2,500 | ||||||
6.000%, 03/01/20 to 10/01/38 | 11,370 | 12,532 | ||||||
5.500%, 03/01/14 to 10/01/39 | 12,292 | 13,419 | ||||||
5.000%, 10/01/18 to 08/01/41 | 46,956 | 51,072 | ||||||
4.500%, 04/01/35 to 10/01/41 | 32,353 | 35,031 | ||||||
4.000%, 04/01/19 to 06/15/42 | 35,373 | 37,287 | ||||||
3.500%, 12/01/25 to 12/01/41 | 15,603 | 16,328 | ||||||
1.350%, 04/29/14 | 560 | 570 | ||||||
FHLMC ARM (A) | ||||||||
6.138%, 06/01/37 | 92 | 100 | ||||||
5.996%, 10/01/37 | 737 | 798 | ||||||
5.985%, 06/01/38 | 622 | 673 | ||||||
5.968%, 01/01/37 | 699 | 756 | ||||||
5.941%, 03/01/37 | 54 | 58 | ||||||
5.928%, 06/01/36 | 371 | 402 | ||||||
5.831%, 11/01/37 | 3 | 3 | ||||||
5.776%, 07/01/38 | 1,199 | 1,299 | ||||||
5.690%, 03/01/36 | 158 | 171 | ||||||
5.681%, 03/01/36 | 204 | 220 | ||||||
5.594%, 08/01/39 | 773 | 835 | ||||||
5.590%, 10/01/38 | 181 | 196 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/19 | 65 | 72 | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/23 | 1,333 | 1,510 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/28 | 763 | 872 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/31 | 282 | 336 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/32 | $ | 2,012 | $ | 2,315 | ||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.289%, 07/25/33 (A) | 19 | 21 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A2 | ||||||||
7.000%, 07/25/43 | 253 | 289 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/43 | 211 | 243 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/43 | 286 | 327 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/44 | 295 | 338 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.859%, 03/15/20 (A) | 1,629 | 1,842 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/35 | 1,039 | 1,160 | ||||||
FHLMC CMO, Ser 2007-3294, Cl CB | ||||||||
5.500%, 03/15/37 | 4,178 | 4,612 | ||||||
FHLMC CMO, Ser 2008-3407, Cl B | ||||||||
5.500%, 01/15/38 | 617 | 681 | ||||||
FHLMC CMO, Ser 2009-3508, Cl PK | ||||||||
4.000%, 02/15/39 | 272 | 282 | ||||||
FHLMC CMO, Ser 2009-3529, Cl AG | ||||||||
6.500%, 04/15/39 | 2,290 | 2,564 | ||||||
FHLMC CMO, Ser 2009-3598, Cl MA | ||||||||
4.500%, 11/15/38 | 573 | 597 | ||||||
FHLMC CMO, Ser 2009-3613, Cl HJ | ||||||||
5.500%, 12/15/39 | 4,107 | 4,487 | ||||||
FHLMC CMO, Ser 2010-3622, Cl WA | ||||||||
5.500%, 09/15/39 | 1,308 | 1,427 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CA | ||||||||
4.000%, 12/15/36 | 368 | 384 | ||||||
FHLMC CMO, Ser 3631, Cl PA | ||||||||
4.000%, 02/15/40 | 1,360 | 1,413 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2010-K005, Cl A2 | ||||||||
4.317%, 11/25/19 | 792 | 880 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K006, IO | ||||||||
1.056%, 01/25/20 (A) | 2,720 | 172 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO | ||||||||
1.237%, 04/25/20 (A) | 8,786 | 633 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO | ||||||||
1.681%, 06/25/20 (A) | 9,135 | 911 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K009, Cl X1, IO | ||||||||
1.514%, 08/25/20 (A) | 3,127 | 275 |
42 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K015, IO | ||||||||
1.680%, 07/25/21 (A) | $ | 3,192 | $ | 374 | ||||
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K016, IO | ||||||||
1.586%, 10/25/21 (A) | 1,283 | 145 | ||||||
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K017, IO | ||||||||
1.609%, 12/25/21 (A) | 1,650 | 169 | ||||||
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K702, IO | ||||||||
1.564%, 02/25/18 (A) | 10,276 | 778 | ||||||
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K703, IO | ||||||||
2.093%, 05/25/18 (A) | 5,783 | 605 | ||||||
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K704, IO | ||||||||
2.011%, 08/25/18 (A) | 1,509 | 160 | ||||||
FHLMC Multifamily Structured | ||||||||
4.768%, 05/25/18 | 857 | 961 | ||||||
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/36 | 2,836 | 3,304 | ||||||
FHLMC TBA | ||||||||
4.000%, 05/15/41 | 4,000 | 4,174 | ||||||
3.500%, 05/01/41 to 04/15/42 | 9,740 | 9,969 | ||||||
3.000%, 05/01/27 | 4,300 | 4,434 | ||||||
2.500%, 04/15/27 | 3,400 | 3,445 | ||||||
FNMA | ||||||||
9.750%, 05/01/42 | 1,900 | 2,181 | ||||||
7.000%, 09/01/26 to 02/01/39 | 4,538 | 5,218 | ||||||
6.500%, 05/01/17 to 06/01/40 | 4,385 | 4,886 | ||||||
6.000%, 10/01/19 to 10/01/38 | 45,237 | 50,330 | ||||||
5.500%, 06/01/14 to 08/01/40 | 14,489 | 15,874 | ||||||
5.000%, 01/01/20 to 09/01/41 | 55,654 | 60,846 | ||||||
4.500%, 05/01/24 to 12/01/41 | 32,696 | 35,032 | ||||||
4.338%, 11/01/21 | 3,031 | 3,370 | ||||||
4.303%, 07/01/21 | 3,121 | 3,464 | ||||||
4.000%, 08/01/20 to 12/01/41 | 38,359 | 40,523 | ||||||
3.632%, 12/01/20 | 2,168 | 2,320 | ||||||
3.500%, 01/01/32 to 12/01/41 | 14,504 | 15,012 | ||||||
FNMA ARM (A) | ||||||||
6.313%, 10/01/36 | 116 | 126 | ||||||
6.277%, 09/01/37 | 189 | 207 | ||||||
6.124%, 12/01/36 | 159 | 172 | ||||||
6.112%, 09/01/37 | 81 | 88 | ||||||
6.097%, 11/01/37 | 150 | 163 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.057%, 07/01/37 | $ | 142 | $ | 154 | ||||
6.028%, 01/01/37 | 188 | 204 | ||||||
6.026%, 10/01/37 | 357 | 388 | ||||||
5.977%, 04/01/37 | 268 | 289 | ||||||
5.957%, 01/01/37 | 351 | 380 | ||||||
5.934%, 03/01/37 | 200 | 216 | ||||||
5.881%, 07/01/37 | 257 | 278 | ||||||
5.879%, 09/01/37 | 119 | 131 | ||||||
5.878%, 02/01/37 | 208 | 225 | ||||||
5.852%, 09/01/37 | 361 | 391 | ||||||
5.729%, 10/01/37 | 143 | 155 | ||||||
5.482%, 02/01/39 | 373 | 404 | ||||||
2.152%, 11/01/35 | 496 | 517 | ||||||
2.147%, 10/01/35 | 4,031 | 4,190 | ||||||
2.132%, 11/01/35 | 665 | 693 | ||||||
2.129%, 11/01/35 | 596 | 621 | ||||||
2.126%, 11/01/35 | 528 | 549 | ||||||
2.120%, 11/01/35 | 673 | 702 | ||||||
2.114%, 11/01/35 | 2,180 | 2,257 | ||||||
2.081%, 10/01/35 | 361 | 376 | ||||||
2.078%, 10/01/35 | 3,022 | 3,127 | ||||||
FNMA CMO STRIPS, | ||||||||
5.000%, 08/01/35 | 9,423 | 1,501 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/29 | 1,286 | 1,414 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/32 | 217 | 250 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/33 | 896 | 1,022 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/35 | 3,904 | 4,268 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/35 | 404 | 445 | ||||||
FNMA CMO, Ser 2006-112, Cl ST, IO | ||||||||
6.456%, 11/25/36 (A) | 8,414 | 1,480 | ||||||
FNMA CMO, Ser 2006-56, Cl CA | ||||||||
6.000%, 07/25/36 | 207 | 233 | ||||||
FNMA CMO, Ser 2008-22, Cl SI, IO | ||||||||
6.188%, 03/25/37 (A) | 10,898 | 1,480 | ||||||
FNMA CMO, Ser 2009-105, Cl CB | ||||||||
6.000%, 12/25/39 | 1,670 | 1,859 | ||||||
FNMA CMO, Ser 2009-11, Cl LC | ||||||||
4.500%, 03/25/49 | 1,024 | 1,088 | ||||||
FNMA CMO, Ser 2009-30, Cl AD | ||||||||
6.500%, 04/25/39 | 1,473 | 1,611 | ||||||
FNMA CMO, Ser 2009-30, Cl AG | ||||||||
6.500%, 05/25/39 | 2,730 | 3,049 | ||||||
FNMA CMO, Ser 2009-31, Cl A2 | ||||||||
4.287%, 07/25/19 | 1,359 | 1,494 | ||||||
FNMA CMO, Ser 2009-66, Cl KE | ||||||||
4.000%, 09/25/39 | 1,684 | 1,752 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/37 | 6,542 | 6,228 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/39 | $ | 714 | $ | 758 | ||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/19 | 1,459 | 1,593 | ||||||
FNMA CMO, Ser 2010-118, Cl YB, IO | ||||||||
6.258%, 10/25/40 (A) | 1,539 | 212 | ||||||
FNMA CMO, Ser 2010-142, Cl SM, IO | ||||||||
6.288%, 12/25/40 (A) | 755 | 109 | ||||||
FNMA CMO, Ser 2010-54, Cl EA | ||||||||
4.500%, 06/25/40 | 1,772 | 1,894 | ||||||
FNMA CMO, Ser 2010-M3, Cl A2 | ||||||||
4.450%, 09/25/19 | 467 | 512 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/20 (A) | 3,196 | 3,485 | ||||||
FNMA CMO, Ser 2011-53, Cl DT | ||||||||
4.500%, 06/25/41 | 1,354 | 1,430 | ||||||
FNMA CMO, Ser 2011-53, Cl TN | ||||||||
4.000%, 06/25/41 | 6,513 | 6,786 | ||||||
FNMA CMO, Ser 2011-59, Cl NZ | ||||||||
5.500%, 07/25/41 | 1,763 | 2,072 | ||||||
FNMA CMO, Ser 2011-63, Cl SW, IO | ||||||||
6.438%, 07/25/41 (A) | 1,887 | 283 | ||||||
FNMA CMO, Ser 2011-78, Cl D | ||||||||
4.000%, 08/25/41 | 321 | 334 | ||||||
FNMA CMO, Ser 2011-87, IO | ||||||||
5.708%, 09/25/41 (A) | 2,895 | 528 | ||||||
FNMA CMO, Ser 2011-96, Cl SA, IO | ||||||||
6.308%, 10/25/41 (A) | 5,103 | 849 | ||||||
FNMA CMO, Ser 2012-25, Cl B | ||||||||
6.500%, 03/25/42 | 2,300 | 2,702 | ||||||
FNMA CMO, Ser 2012-28, Cl B | ||||||||
6.500%, 06/25/39 | 400 | 454 | ||||||
FNMA CMO, Ser 2012-3, Cl CD | ||||||||
7.000%, 02/25/42 | 1,414 | 1,604 | ||||||
FNMA CMO, Ser 2012-35, Cl MB | ||||||||
5.500%, 04/25/42 | 12,000 | 13,598 | ||||||
FNMA TBA | ||||||||
6.000%, 06/01/37 | 1,700 | 1,868 | ||||||
5.000%, 04/30/37 | 1,000 | 1,080 | ||||||
4.500%, 04/14/33 to 05/01/38 | 22,900 | 24,327 | ||||||
4.000%, 05/01/39 | 20,800 | 21,762 | ||||||
3.500%, 04/01/41 to 05/01/41 | 20,300 | 21,071 | ||||||
3.000%, 04/25/26 to 06/25/27 | 12,000 | 12,394 | ||||||
2.500%, 05/01/17 to 04/25/27 | 10,100 | 10,219 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/33 | 248 | 284 | ||||||
GNMA | ||||||||
8.000%, 11/15/29 to 09/15/30 | 92 | 106 | ||||||
7.500%, 03/15/29 to 10/15/31 | 216 | 244 | ||||||
7.000%, 08/15/13 | 14 | 14 | ||||||
6.500%, 04/15/26 to 09/15/35 | 5,921 | 6,872 | ||||||
6.000%, 03/15/14 to 10/20/40 | 15,214 | 17,230 | ||||||
5.000%, 10/20/39 to 11/20/40 | 7,843 | 8,646 | ||||||
3.500%, 12/20/40 to 03/20/41 | 1,132 | 1,165 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA ARM (A) | ||||||||
3.500%, 05/20/41 to 10/20/41 | $ | 2,677 | $ | 2,829 | ||||
3.000%, 08/20/41 to 01/20/42 | 2,060 | 2,157 | ||||||
GNMA CMO, Ser 2001-56, Cl PT | ||||||||
6.000%, 11/20/31 | 3,525 | 4,030 | ||||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/23 | 377 | 418 | ||||||
GNMA CMO, Ser 2008-60, Cl SH, IO | ||||||||
5.908%, 07/16/38 (A) | 420 | 67 | ||||||
GNMA CMO, Ser 2009-106, IO | ||||||||
5.958%, 05/20/37 (A) | 1,489 | 232 | ||||||
GNMA CMO, Ser 2009-87, Cl SI, IO | ||||||||
6.508%, 02/20/35 (A) | 535 | 99 | ||||||
GNMA CMO, Ser 2009-87, Cl TS, IO | ||||||||
5.858%, 07/20/35 (A) | 967 | 154 | ||||||
GNMA CMO, Ser 2010-107, Cl GX | ||||||||
4.500%, 04/20/39 | 515 | 570 | ||||||
GNMA CMO, Ser 2010-113, IO | ||||||||
5.758%, 09/20/40 (A) | 1,324 | 211 | ||||||
GNMA CMO, Ser 2010-121, IO | ||||||||
5.758%, 09/20/40 (A) | 1,162 | 186 | ||||||
GNMA CMO, Ser 2010-14, Cl SA, IO | ||||||||
7.758%, 12/20/32 (A) | 512 | 87 | ||||||
GNMA CMO, Ser 2010-14, Cl SH, IO | ||||||||
5.758%, 02/16/40 (A) | 605 | 118 | ||||||
GNMA CMO, Ser 2010-167, IO | ||||||||
6.388%, 11/20/38 (A) | 458 | 63 | ||||||
GNMA CMO, Ser 2010-3, IO | ||||||||
6.308%, 11/20/38 (A) | 635 | 100 | ||||||
GNMA CMO, Ser 2010-31, IO | ||||||||
6.258%, 03/20/39 (A) | 552 | 87 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.148%, 01/16/40 (A) | 18,675 | 2,972 | ||||||
GNMA CMO, Ser 2010-47, Cl XN, IO | ||||||||
6.308%, 04/16/34 (A) | 676 | 62 | ||||||
GNMA CMO, Ser 2010-85, IO | ||||||||
6.408%, 01/20/40 (A) | 432 | 74 | ||||||
GNMA CMO, Ser 2010-H27, Cl FA | ||||||||
0.622%, 12/20/60 (A) | 2,021 | 1,997 | ||||||
GNMA CMO, Ser 2010-H28, Cl FE | ||||||||
0.642%, 12/20/60 (A) | 1,278 | 1,263 | ||||||
GNMA CMO, Ser 2011-11, IO | ||||||||
5.758%, 01/20/41 (A) | 818 | 129 | ||||||
GNMA CMO, Ser 2011-32, IO | ||||||||
5.758%, 03/16/41 to 03/20/41 (A) | 667 | 99 | ||||||
GNMA CMO, Ser 2011-40, IO | ||||||||
5.888%, 02/16/36 (A) | 2,068 | 308 | ||||||
GNMA CMO, Ser 2011-70, IO | ||||||||
6.458%, 12/16/36 (A) | 880 | 167 | ||||||
GNMA CMO, Ser 2011-H08, Cl FG | ||||||||
0.722%, 03/20/61 (A) | 1,268 | 1,251 | ||||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||
0.742%, 03/20/61 (A) | 872 | 865 |
44 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA TBA | ||||||||
5.500%, 04/22/34 | $ | 800 | $ | 889 | ||||
4.500%, 04/01/38 | 16,500 | 17,951 | ||||||
4.000%, 04/01/40 | 2,500 | 2,683 | ||||||
3.500%, 04/01/41 to 06/15/41 | 7,100 | 7,368 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT | ||||||||
2.650%, 10/29/20 | 940 | 975 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A | ||||||||
0.613%, 11/06/17 (A) | 2,796 | 2,796 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A | ||||||||
0.713%, 11/05/20 (A) | 1,798 | 1,798 | ||||||
|
| |||||||
739,534 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 10.0% |
| |||||||
American Home Mortgage Assets, Ser 2007-2, Cl A1 | ||||||||
0.367%, 03/25/47 (A) | 7,573 | 4,224 | ||||||
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A | ||||||||
2.753%, 06/25/45 (A) | 3,526 | 2,879 | ||||||
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | ||||||||
2.503%, 11/25/45 (A) | 3,290 | 2,321 | ||||||
Americold Trust, | ||||||||
3.847%, 01/14/29 (B) | 1,101 | 1,164 | ||||||
Banc of America Funding, | ||||||||
6.000%, 05/20/33 | 18 | 19 | ||||||
Banc of America Funding, | ||||||||
0.412%, 07/20/36 (A) | 2,624 | 2,556 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.271%, 07/11/43 | 225 | 226 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
6.309%, 06/11/35 | 414 | 416 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.512%, 12/10/42 | 130 | 132 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.857%, 07/10/43 (A) | 3,280 | 3,582 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.668%, 07/10/43 | $ | 180 | $ | 196 | ||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.727%, 07/10/43 | 123 | 128 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.421%, 09/10/45 (A) | 253 | 269 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.889%, 07/10/44 (A) | 2,935 | 3,294 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.414%, 09/10/47 | 578 | 641 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.356%, 10/10/45 | 558 | 616 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.381%, 01/15/49 | 92 | 92 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.567%, 06/10/49 (A) | 1,360 | 1,421 | ||||||
Bank of America Commercial Mortgage, Cl A4 | ||||||||
5.732%, 05/10/45 (A) | 1,002 | 1,139 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A | ||||||||
5.322%, 05/25/34 (A) | 1,130 | 1,081 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | 90 | 91 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||||
4.240%, 08/13/39 (A) | 38 | 38 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/41 | 174 | 174 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.145%, 10/12/42 (A) | 3,875 | 4,312 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A4 | ||||||||
5.694%, 06/11/50 (A) | 50 | 57 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A2 | ||||||||
3.061%, 12/15/47 | $ | 702 | $ | 729 | ||||
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A4 | ||||||||
3.834%, 12/15/47 | 540 | 560 | ||||||
Chase Mortgage Finance, | ||||||||
2.804%, 12/25/35 (A) | 12,400 | 10,013 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.696%, 12/10/49 (A) | 1,285 | 1,465 | ||||||
Citigroup, Ser 2005-CD1, Cl AM | ||||||||
5.226%, 07/15/44 (A) | 512 | 550 | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/32 (A) | 211 | 219 | ||||||
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) | 826 | 829 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-LC4, Cl A4 | ||||||||
3.288%, 12/10/44 | 986 | 996 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 | ||||||||
5.500%, 10/25/33 | 997 | 1,048 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/34 | 213 | 217 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.282%, 08/25/35 (A) | 383 | 198 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 | ||||||||
0.575%, 11/20/35 (A) | 4,072 | 2,330 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
0.642%, 09/25/35 (A) (B) | 3,080 | 2,553 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||||
5.183%, 11/15/36 | 168 | 170 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3 | ||||||||
5.603%, 07/15/35 | 48 | 48 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
2.676%, 10/25/33 (A) | 2,609 | 2,401 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B | ||||||||
5.253%, 08/15/36 (A) | 461 | 477 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/38 | $ | 317 | $ | 327 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/37 | 939 | 1,000 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM | ||||||||
4.730%, 07/15/37 | 450 | 477 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3 | ||||||||
5.467%, 09/15/39 | 571 | 630 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 4,342 | 4,785 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/44 (A) (B) | 1,320 | 1,458 | ||||||
DBUBS Mortgage Trust, | ||||||||
1.504%, 08/10/44 (A) (B) | 2,972 | 165 | ||||||
Deutsche Mortgage Securities, Ser 2004-4, Cl 7AR2 | ||||||||
0.694%, 06/20/34 (A) | 674 | 590 | ||||||
Developers Diversified Realty, Ser 2009-DDR1, Cl A | ||||||||
3.807%, 10/14/22 (B) | 1,760 | 1,854 | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, | ||||||||
0.642%, 11/19/44 (A) | 2,015 | 806 | ||||||
Extended Stay America Trust, Ser 2010-ESHA, Cl A | ||||||||
2.951%, 11/05/27 (B) | 1,415 | 1,428 | ||||||
Fund America Investors II, | ||||||||
4.326%, 06/25/23 (A) | 116 | 114 | ||||||
GE Capital Assurance, | ||||||||
5.254%, 05/12/35 (A) (B) | 3,086 | 3,305 | ||||||
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 | ||||||||
4.996%, 12/10/37 | 4,374 | 4,437 | ||||||
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 | ||||||||
5.543%, 12/10/49 | 470 | 511 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2 | ||||||||
6.700%, 04/15/34 | 2 | 2 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/34 | 136 | 136 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/40 | 352 | 369 |
46 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/45 (A) | $ | 523 | $ | 534 | ||||
Greenwich Capital Commercial Funding, Ser 2002-C1, Cl A4 | ||||||||
4.948%, 01/11/35 | 720 | 729 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/36 (A) | 91 | 92 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/36 (A) (C) | 3,225 | 3,438 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||||
4.619%, 08/10/42 | 3,059 | 3,144 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/37 (A) | 1,584 | 1,726 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
5.881%, 07/10/38 (A) | 7,600 | 8,609 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 6,718 | 7,393 | ||||||
GS Mortgage Securities II, | ||||||||
4.761%, 07/10/39 | 227 | 242 | ||||||
GS Mortgage Securities II, | ||||||||
1.777%, 08/10/44 (A) (B) | 1,233 | 115 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/44 | 4,535 | 4,752 | ||||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||||
8.000%, 09/19/27 (A) (B) | 53 | 55 | ||||||
GSR Mortgage Loan Trust, | ||||||||
4.442%, 10/25/33 (A) | 1,383 | 1,394 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.757%, 07/25/35 (A) | 7,000 | 5,235 | ||||||
Impac Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/51 (B) | 1,496 | 1,596 | ||||||
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.592%, 08/25/36 (A) | 559 | 499 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2007-AR15, Cl 2A1 | ||||||||
4.914%, 08/25/37 (A) | 53 | 36 | ||||||
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6 | ||||||||
5.750%, 12/25/36 (A) | 12,253 | 4,430 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D | ||||||||
6.847%, 04/15/35 (A) | $ | 306 | $ | 313 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl A2 | ||||||||
5.050%, 12/12/34 | 386 | 392 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/34 (A) | 144 | 146 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1 | ||||||||
4.275%, 01/12/37 | 35 | 35 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1 | ||||||||
4.393%, 07/12/37 | 71 | 71 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2 | ||||||||
5.115%, 07/15/41 | 1,191 | 1,269 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/42 | 151 | 153 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl AM | ||||||||
5.440%, 05/15/45 | 220 | 236 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/47 | 233 | 243 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | 324 | 355 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl A4 | ||||||||
5.816%, 06/15/49 (A) | 1,194 | 1,309 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||||
5.882%, 02/15/51 (A) | 494 | 554 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2 | ||||||||
5.633%, 12/05/27 (B) | 265 | 303 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/43 (B) | 2,036 | 2,148 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/32 (B) | 350 | 355 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2 | ||||||||
4.311%, 08/05/32 (B) | 1,250 | 1,312 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A3 | ||||||||
4.171%, 08/15/46 | 395 | 425 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
5.936%, 07/15/44 (A) | 303 | 325 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||||
5.594%, 06/15/31 | $ | 28 | $ | 28 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/29 | 283 | 291 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 | ||||||||
4.998%, 04/15/30 | 814 | 838 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/40 | 80 | 83 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A3 | ||||||||
5.866%, 09/15/45 (A) | 1,693 | 1,918 | ||||||
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4 | ||||||||
5.424%, 02/15/40 | 51 | 57 | ||||||
LB-UBS Commercial Mortgage Trust, Ser C6, Cl A4 | ||||||||
5.858%, 07/15/40 (A) | 50 | 57 | ||||||
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/34 (B) | 2,870 | 2,793 | ||||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||||
6.500%, 08/25/32 | 1,046 | 1,100 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.214%, 02/25/34 (A) | 1,628 | 1,631 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/38 (A) | 371 | 391 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.747%, 06/12/43 (A) | 1,270 | 1,384 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/49 (A) | 7,000 | 7,719 | ||||||
MLCC Mortgage Investors, | ||||||||
2.043%, 05/25/29 (A) | 692 | 691 | ||||||
Morgan Stanley Capital I, | ||||||||
4.900%, 06/15/40 | 9 | 9 | ||||||
Morgan Stanley Capital I, | ||||||||
4.390%, 09/13/45 | 154 | 157 | ||||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/42 | 117 | 120 | ||||||
Morgan Stanley Capital I, | ||||||||
4.989%, 08/13/42 | 132 | 145 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
5.178%, 11/14/42 (A) | $ | 85 | $ | 86 | ||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/47 | 3,230 | 3,547 | ||||||
Morgan Stanley Capital I, | ||||||||
5.731%, 07/12/44 (A) | 2,280 | 2,584 | ||||||
Morgan Stanley Capital I, | ||||||||
5.162%, 10/12/52 (A) | 2,500 | 2,766 | ||||||
Morgan Stanley Capital I, | ||||||||
5.357%, 12/15/44 | 59 | 59 | ||||||
Morgan Stanley Capital I, | ||||||||
5.692%, 04/15/49 (A) | 2,320 | 2,534 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/49 | 1,360 | 1,437 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/49 | 748 | 801 | ||||||
Morgan Stanley Capital I, | ||||||||
3.244%, 03/15/45 | 1,362 | 1,373 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 | ||||||||
6.390%, 07/15/33 | 33 | 33 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/35 | 208 | 213 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/35 | 248 | 253 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.352%, 02/25/47 (A) | 97 | 80 | ||||||
Nomura Asset Securities, | ||||||||
7.312%, 03/15/30 (A) | 921 | 958 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/31 | 355 | 358 | ||||||
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 | ||||||||
5.000%, 08/25/19 | 394 | 398 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.587%, 12/25/34 (A) | 827 | 784 | ||||||
Sequoia Mortgage Trust, | ||||||||
3.750%, 02/25/40 (A) | 125 | 128 |
48 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/41 (A) | $ | 206 | $ | 211 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1 | ||||||||
0.562%, 10/25/35 (A) | 1,257 | 774 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2 | ||||||||
4.723%, 08/25/15 (A) | 7,335 | 4,421 | ||||||
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A | ||||||||
0.442%, 10/25/36 (A) | 3,788 | 2,207 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/35 | 2,358 | 1,989 | ||||||
US Bank, Ser 2007-1, Cl A | ||||||||
5.920%, 05/25/12 | 1,188 | 1,197 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||||
4.241%, 10/15/35 (B) | 62 | 62 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||||
4.445%, 11/15/35 | 479 | 484 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C29, Cl A4 | ||||||||
5.308%, 11/15/48 | 234 | 261 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
5.000%, 02/25/18 | 403 | 406 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
2.566%, 05/25/35 (A) | 9,220 | 7,478 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
0.532%, 10/25/47 (A) | 3,307 | 2,642 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
2.460%, 12/25/35 (A) | 12,955 | 9,682 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
1.062%, 10/25/46 (A) | 3,228 | 2,045 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
0.992%, 07/25/47 (A) | 7,399 | 4,707 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||||
2.738%, 06/25/34 (A) | 1,993 | 1,975 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, IO | ||||||||
1.172%, 02/15/44 (A) (B) | $ | 3,591 | $ | 195 | ||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/44 | 2,025 | 2,110 | ||||||
|
| |||||||
212,879 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 952,413 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 28.4% |
| |||||||
Consumer Discretionary — 1.7% | ||||||||
Boyd Gaming | ||||||||
7.125%, 02/01/16 (C) | 350 | 338 | ||||||
CCO Holdings | ||||||||
7.000%, 01/15/19 | 290 | 307 | ||||||
CityCenter Holdings | ||||||||
7.625%, 01/15/16 | 330 | 348 | ||||||
Comcast | ||||||||
6.500%, 01/15/15 | 985 | 1,124 | ||||||
6.500%, 01/15/17 | 2,385 | 2,853 | ||||||
5.650%, 06/15/35 | 120 | 131 | ||||||
5.300%, 01/15/14 | 2,340 | 2,517 | ||||||
Comcast Cable Communications | ||||||||
8.375%, 03/15/13 | 1,019 | 1,093 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/22 | 1,220 | 1,769 | ||||||
Daimler Finance LLC | ||||||||
6.500%, 11/15/13 | 1,320 | 1,437 | ||||||
Daimler Finance North America | ||||||||
3.875%, 09/15/21 (B) | 215 | 220 | ||||||
1.875%, 09/15/14 (B) | 1,575 | 1,598 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/40 | 950 | 1,014 | ||||||
5.150%, 03/15/42 (B) | 545 | 531 | ||||||
2.400%, 03/15/17 (B) | 1,090 | 1,080 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/19 | 690 | 794 | ||||||
6.750%, 06/01/21 | 320 | 345 | ||||||
Echostar DBS | ||||||||
7.750%, 05/31/15 | 30 | 34 | ||||||
Gap | ||||||||
5.950%, 04/12/21 | 580 | 585 | ||||||
Inn of the Mountain Gods Resort & Casino | ||||||||
8.750%, 11/30/20 (B) | 214 | 209 | ||||||
NBCUniversal Media | ||||||||
4.375%, 04/01/21 | 315 | 337 | ||||||
2.875%, 04/01/16 | 199 | 207 | ||||||
News America | ||||||||
6.650%, 11/15/37 | 180 | 210 | ||||||
6.200%, 12/15/34 | 65 | 72 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.150%, 03/01/37 | $ | 1,551 | $ | 1,734 | ||||
6.150%, 02/15/41 | 258 | 296 | ||||||
Reynolds Group Issuer | ||||||||
8.750%, 10/15/16 (B) | 110 | 116 | ||||||
7.125%, 04/15/19 (B) | 1,290 | 1,345 | ||||||
6.875%, 02/15/21 (B) | 180 | 186 | ||||||
Thomson Reuters | ||||||||
5.950%, 07/15/13 | 482 | 511 | ||||||
Time Warner | ||||||||
6.250%, 03/29/41 | 80 | 91 | ||||||
5.375%, 10/15/41 | 470 | 494 | ||||||
4.750%, 03/29/21 | 730 | 802 | ||||||
3.150%, 07/15/15 | 1,100 | 1,165 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/19 | 2,445 | 3,127 | ||||||
6.550%, 05/01/37 | 1,645 | 1,905 | ||||||
5.875%, 11/15/40 | 950 | 1,024 | ||||||
5.500%, 09/01/41 | 970 | 1,016 | ||||||
4.000%, 09/01/21 (C) | 80 | 82 | ||||||
United Business Media | ||||||||
5.750%, 11/03/20 (B) | 550 | 544 | ||||||
WPP Finance UK | ||||||||
8.000%, 09/15/14 | 240 | 275 | ||||||
Wyndham Worldwide | ||||||||
4.250%, 03/01/22 | 735 | 720 | ||||||
2.950%, 03/01/17 | 330 | 327 | ||||||
|
| |||||||
34,913 | ||||||||
|
| |||||||
Consumer Staples — 1.6% | ||||||||
Altria Group | ||||||||
9.250%, 08/06/19 | 1,250 | 1,681 | ||||||
4.750%, 05/05/21 | 720 | 774 | ||||||
Anheuser-Busch | ||||||||
5.050%, 10/15/16 | 940 | 1,069 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/19 | 2,570 | 3,353 | ||||||
5.375%, 11/15/14 | 95 | 106 | ||||||
5.375%, 01/15/20 | 1,360 | 1,598 | ||||||
5.000%, 04/15/20 | 560 | 646 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/16 | 1,005 | 1,026 | ||||||
CVS Caremark | ||||||||
9.350%, 01/10/23 (B) | 3,330 | 3,500 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/20 | 1,580 | 1,803 | ||||||
HJ Heinz | ||||||||
5.350%, 07/15/13 | 510 | 541 | ||||||
Kraft Foods | ||||||||
6.500%, 02/09/40 | 1,080 | 1,329 | ||||||
5.375%, 02/10/20 | 1,860 | 2,150 | ||||||
PepsiCo | ||||||||
2.750%, 03/05/22 | 1,390 | 1,353 | ||||||
2.500%, 05/10/16 | 620 | 648 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pernod-Ricard | ||||||||
5.750%, 04/07/21 (B) | $ | 1,119 | $ | 1,239 | ||||
5.500%, 01/15/42 (B) | 456 | 458 | ||||||
4.450%, 01/15/22 (B) | 2,429 | 2,464 | ||||||
2.950%, 01/15/17 (B) | 360 | 364 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/42 | 530 | 523 | ||||||
2.900%, 11/15/21 | 1,030 | 1,016 | ||||||
1.625%, 03/20/17 | 1,685 | 1,677 | ||||||
Reynolds American | ||||||||
6.750%, 06/15/17 | 1,260 | 1,501 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/22 (B) | 1,220 | 1,241 | ||||||
Safeway | ||||||||
4.750%, 12/01/21 | 730 | 755 | ||||||
3.950%, 08/15/20 | 310 | 307 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/41 | 775 | 938 | ||||||
|
| |||||||
34,060 | ||||||||
|
| |||||||
Energy — 3.4% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/31 | 910 | 1,124 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/17 | 850 | 1,010 | ||||||
Apache | ||||||||
6.000%, 09/15/13 | 1,670 | 1,799 | ||||||
Arch Coal | ||||||||
7.000%, 06/15/19 (B) (C) | 920 | 849 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/18 | 1,230 | 1,623 | ||||||
BG Energy Capital | ||||||||
4.000%, 10/15/21 (B) | 1,205 | 1,257 | ||||||
BP Capital Markets | ||||||||
5.250%, 11/07/13 | 1,790 | 1,913 | ||||||
3.875%, 03/10/15 | 210 | 225 | ||||||
3.561%, 11/01/21 | 100 | 103 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/42 (B) | 720 | 721 | ||||||
Chesapeake Energy | ||||||||
6.875%, 11/15/20 | 450 | 465 | ||||||
6.625%, 08/15/20 | 30 | 30 | ||||||
6.500%, 08/15/17 (C) | 275 | 293 | ||||||
Chesapeake Midstream Partners | ||||||||
6.125%, 07/15/22 (B) | 680 | 685 | ||||||
Cie Generale de Geophysique-Veritas | ||||||||
7.750%, 05/15/17 | 110 | 114 | ||||||
Concho Resources | ||||||||
5.500%, 10/01/22 | 560 | 552 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/31 | 50 | 69 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/32 | 10 | 12 | ||||||
5.900%, 05/15/38 | 1,130 | 1,403 |
50 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consol Energy | ||||||||
8.250%, 04/01/20 | $ | 660 | $ | 690 | ||||
DCP Midstream Operating | ||||||||
4.950%, 04/01/22 | 655 | 657 | ||||||
Devon Energy | ||||||||
5.600%, 07/15/41 | 1,635 | �� | 1,840 | |||||
El Paso | ||||||||
6.950%, 06/01/28 | 6,750 | 6,819 | ||||||
El Paso Pipeline Partners Operating | ||||||||
7.500%, 11/15/40 | 425 | 502 | ||||||
4.100%, 11/15/15 | 475 | 492 | ||||||
Encana | ||||||||
6.500%, 02/01/38 | 1,130 | 1,208 | ||||||
Energen | ||||||||
4.625%, 09/01/21 | 655 | 653 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/19 | 99 | 123 | ||||||
6.500%, 02/01/42 | 290 | 305 | ||||||
5.200%, 02/01/22 | 290 | 303 | ||||||
Enterprise Products Operating | ||||||||
9.750%, 01/31/14 | 1,910 | 2,192 | ||||||
6.125%, 10/15/39 | 50 | 56 | ||||||
5.700%, 02/15/42 | 840 | 908 | ||||||
Hess | ||||||||
7.875%, 10/01/29 | 1,070 | 1,424 | ||||||
7.300%, 08/15/31 | 540 | 687 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/19 | 209 | 258 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/31 | 670 | 864 | ||||||
6.950%, 07/01/24 | 1,850 | 2,234 | ||||||
Key Energy Services | ||||||||
6.750%, 03/01/21 | 1,290 | 1,325 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.000%, 02/01/17 | 505 | 582 | ||||||
5.850%, 09/15/12 | 130 | 133 | ||||||
5.000%, 12/15/13 | 720 | 765 | ||||||
3.950%, 09/01/22 | 885 | 876 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/41 | 693 | 749 | ||||||
MarkWest Energy Partners | ||||||||
6.250%, 06/15/22 | 200 | 210 | ||||||
Nexen | ||||||||
6.400%, 05/15/37 | 125 | 137 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/21 | 1,370 | 1,400 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/22 | 780 | 787 | ||||||
Peabody Energy | ||||||||
6.500%, 09/15/20 | 630 | 630 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/35 | 1,667 | 1,900 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Petrobras International Finance | ||||||||
6.125%, 10/06/16 | $ | 655 | $ | 741 | ||||
5.750%, 01/20/20 | 574 | 636 | ||||||
Petrobras International Finance - Pifco | ||||||||
5.375%, 01/27/21 | 2,080 | 2,240 | ||||||
3.875%, 01/27/16 | 600 | 631 | ||||||
3.500%, 02/06/17 | 1,510 | 1,548 | ||||||
2.875%, 02/06/15 | 550 | 564 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | 1,665 | 2,124 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 06/02/41 (B) | 115 | 129 | ||||||
4.875%, 01/24/22 (B) | 549 | 577 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/42 (B) | 885 | 907 | ||||||
4.300%, 04/01/22 (B) | 180 | 183 | ||||||
2.950%, 05/01/17 (B) | 1,145 | 1,164 | ||||||
1.950%, 03/05/15 (B) | 545 | 549 | ||||||
QEP Resources | ||||||||
6.875%, 03/01/21 | 700 | 773 | ||||||
Reliance Holdings USA | ||||||||
5.400%, 02/14/22 (B) | 700 | 696 | ||||||
Schlumberger Investment | ||||||||
1.950%, 09/14/16 (B) | 810 | 820 | ||||||
SESI | ||||||||
7.125%, 12/15/21 (B) | 180 | 194 | ||||||
Shell International Finance BV | ||||||||
4.375%, 03/25/20 | 1,700 | 1,945 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/32 | 170 | 211 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 1,315 | 1,571 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/19 | 425 | 520 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/32 | 1,638 | 2,003 | ||||||
7.625%, 04/01/37 | 430 | 514 | ||||||
Transocean | ||||||||
7.350%, 12/15/41 | 395 | 467 | ||||||
5.050%, 12/15/16 | 1,110 | 1,189 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/21 | 605 | 648 | ||||||
Williams | ||||||||
7.875%, 09/01/21 | 1,268 | 1,580 | ||||||
7.750%, 06/15/31 | 861 | 1,049 | ||||||
Williams, Ser A | ||||||||
7.500%, 01/15/31 | 274 | 329 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/22 (B) | 350 | 350 | ||||||
|
| |||||||
72,808 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Financials — 15.2% | ||||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/16 (B) | $ | 1,955 | $ | 1,993 | ||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/14 (B) | 1,367 | 1,429 | ||||||
Allstate | ||||||||
7.450%, 05/16/19 | 1,085 | 1,361 | ||||||
Ally Financial | ||||||||
2.688%, 12/01/14 (A) | 2,234 | 2,119 | ||||||
American Express | ||||||||
6.800%, 09/01/66 (A) | 2,150 | 2,193 | ||||||
American Express Credit MTN | ||||||||
2.375%, 03/24/17 | 2,170 | 2,173 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/20 (B) | 1,065 | 1,104 | ||||||
American International Group | ||||||||
6.400%, 12/15/20 | 565 | 639 | ||||||
6.250%, 03/15/37 | 2,560 | 2,304 | ||||||
5.850%, 01/16/18 | 980 | 1,066 | ||||||
3.750%, 11/30/13 (B) | 500 | 506 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/20 (C) | 244 | 252 | ||||||
4.500%, 01/15/18 | 830 | 872 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/13 (B) | 390 | 396 | ||||||
Bank of America | ||||||||
6.500%, 08/01/16 | 1,125 | 1,237 | ||||||
6.000%, 09/01/17 | 730 | 795 | ||||||
5.875%, 02/07/42 | 280 | 279 | ||||||
5.750%, 12/01/17 | 1,470 | 1,577 | ||||||
5.700%, 01/24/22 | 950 | 1,006 | ||||||
5.650%, 05/01/18 | 270 | 288 | ||||||
5.625%, 10/14/16 | 4,135 | 4,396 | ||||||
5.420%, 03/15/17 | 4,400 | 4,499 | ||||||
5.000%, 05/13/21 | 840 | 841 | ||||||
4.500%, 04/01/15 | 180 | 187 | ||||||
3.875%, 03/22/17 | 689 | 693 | ||||||
3.625%, 03/17/16 | 2,275 | 2,271 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/15 (B) | 450 | 477 | ||||||
Barclays Bank | ||||||||
6.050%, 12/04/17 (B) (C) | 540 | 555 | ||||||
5.125%, 01/08/20 | 1,310 | 1,370 | ||||||
5.000%, 09/22/16 | 170 | 183 | ||||||
BBVA US Senior SAU | ||||||||
3.250%, 05/16/14 | 1,220 | 1,216 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/17 | 70 | 82 | ||||||
4.650%, 07/02/18 | 995 | 1,063 | ||||||
Berkshire Hathaway | ||||||||
3.400%, 01/31/22 | 1,409 | 1,422 | ||||||
3.200%, 02/11/15 | 950 | 1,012 | ||||||
1.900%, 01/31/17 | 280 | 283 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/18 | $ | 615 | $ | 727 | ||||
Boeing Capital | ||||||||
4.700%, 10/27/19 | 490 | 566 | ||||||
2.900%, 08/15/18 | 425 | 445 | ||||||
Boston Properties‡ | ||||||||
3.700%, 11/15/18 | 470 | 486 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (B) | 2,450 | 2,565 | ||||||
Chase Capital VI | ||||||||
1.172%, 08/01/28 (A) | 2,500 | 1,895 | ||||||
Citigroup | ||||||||
6.875%, 03/05/38 | 2,775 | 3,204 | ||||||
6.125%, 05/15/18 | 3,970 | 4,450 | ||||||
6.000%, 12/13/13 | 1,320 | 1,399 | ||||||
5.375%, 08/09/20 | 30 | 32 | ||||||
5.000%, 09/15/14 | 3,245 | 3,361 | ||||||
4.450%, 01/10/17 | 1,060 | 1,110 | ||||||
2.650%, 03/02/15 | 1,375 | 1,375 | ||||||
0.745%, 06/09/16 (A) | 3,650 | 3,203 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/36 | 1,500 | 1,484 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/12 | 1,855 | 1,872 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
5.000%, 10/15/19 (B) | 10 | 11 | ||||||
3.750%, 10/15/14 (B) | 1,060 | 1,111 | ||||||
Commonwealth Bank of Australia NY | ||||||||
1.950%, 03/16/15 | 1,330 | 1,339 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
11.000%, 12/31/49 (A) (B) | 1,810 | 2,299 | ||||||
5.250%, 05/24/41 | 287 | 293 | ||||||
3.875%, 02/08/22 | 420 | 406 | ||||||
3.375%, 01/19/17 (C) | 1,255 | 1,283 | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/16 | 1,080 | 1,125 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/49 (A) (B) (C) | 2,460 | 2,288 | ||||||
2.625%, 01/21/14 (B) | 730 | 715 | ||||||
Credit Suisse | ||||||||
1.625%, 03/06/15 (B) | 2,920 | 2,930 | ||||||
Credit Suisse NY | ||||||||
6.000%, 02/15/18 | 2,418 | 2,618 | ||||||
Deutsche Bank MTN | ||||||||
4.875%, 05/20/13 | 1,830 | 1,898 | ||||||
Deutsche Bank Capital Funding Trust VII | ||||||||
5.628%, 01/19/49 (A) (B) | 2,760 | 2,363 | ||||||
Dexia Credit Local | ||||||||
2.750%, 04/29/14 (B) | 4,090 | 3,991 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/15 (B) | 2,820 | 2,855 |
52 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
European Investment Bank | ||||||||
1.125%, 04/15/15 | $ | 1,785 | $ | 1,797 | ||||
Farmer Mac Guaranteed Notes Trust 2007-1 | ||||||||
5.125%, 04/19/17 (B) | 3,540 | 4,159 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/28 (B) | 1,434 | 1,567 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/24 (B) | 3,017 | 3,804 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser A-3 | ||||||||
1.450%, 10/25/13 (B) (D) | 470 | 465 | ||||||
First Industrial L.P. MTN | ||||||||
7.500%, 12/01/17 | 970 | 980 | ||||||
Ford Motor Credit | ||||||||
8.125%, 01/15/20 | 1,440 | 1,741 | ||||||
5.875%, 08/02/21 | 655 | 707 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/39 | 1,840 | 2,272 | ||||||
6.375%, 11/15/19 (A) | 5,870 | 5,987 | ||||||
6.150%, 08/07/37 | 600 | 680 | ||||||
5.875%, 01/14/38 (C) | 1,390 | 1,528 | ||||||
5.625%, 05/01/18 | 4,535 | 5,263 | ||||||
5.450%, 01/15/13 | 20 | 21 | ||||||
4.375%, 09/16/20 | 2,460 | 2,591 | ||||||
0.911%, 05/05/26 (A) | 4,700 | 3,831 | ||||||
0.623%, 03/20/14 (A) | 1,900 | 1,857 | ||||||
Glitnir Banki HF | ||||||||
7.451%, 09/14/16 (B) (E) | 400 | — | ||||||
6.693%, 06/15/16 (B) (E) | 3,960 | — | ||||||
Goldman Sachs Capital II | ||||||||
5.793%, 06/01/43 (A) | 200 | 137 | ||||||
Goldman Sachs Group | ||||||||
6.250%, 02/01/41 | 1,910 | 1,886 | ||||||
6.150%, 04/01/18 | 3,780 | 4,077 | ||||||
6.000%, 06/15/20 | 675 | 710 | ||||||
5.950%, 01/18/18 | 3,310 | 3,566 | ||||||
5.750%, 01/24/22 | 920 | 946 | ||||||
5.450%, 11/01/12 | 2,540 | 2,598 | ||||||
5.375%, 03/15/20 | 1,790 | 1,820 | ||||||
5.350%, 01/15/16 | 660 | 700 | ||||||
5.250%, 10/15/13 | 390 | 408 | ||||||
5.250%, 07/27/21 | 240 | 238 | ||||||
4.750%, 07/15/13 | 40 | 41 | ||||||
3.625%, 08/01/12 (C) | 270 | 272 | ||||||
3.625%, 02/07/16 | 1,700 | 1,700 | ||||||
Goodman Funding Pty | ||||||||
6.000%, 03/22/22 ‡(B) | 250 | 250 | ||||||
Hartford Financial Services Group | ||||||||
6.100%, 10/01/41 | 375 | 363 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (A) (B) | 1,330 | 941 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/18 (B) | 2,100 | 1,971 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HCP MTN‡ | ||||||||
6.300%, 09/15/16 | $ | 1,075 | $ | 1,206 | ||||
6.000%, 01/30/17 | 4,000 | 4,445 | ||||||
5.650%, 12/15/13 | 894 | 949 | ||||||
3.750%, 02/01/19 | 990 | 984 | ||||||
Health Care REIT‡ | ||||||||
6.500%, 03/15/41 | 1,210 | 1,260 | ||||||
5.250%, 01/15/22 | 900 | 941 | ||||||
4.950%, 01/15/21 | 2,500 | 2,559 | ||||||
Highwoods Properties‡ | ||||||||
7.500%, 04/15/18 | 1,142 | 1,310 | ||||||
HSBC Bank | ||||||||
4.750%, 01/19/21 (B) | 1,760 | 1,861 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/21 (B) (C) | 60 | 64 | ||||||
HSBC Holdings | ||||||||
4.000%, 03/30/22 | 925 | 917 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/38 | 635 | 727 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/15 | 1,990 | 2,004 | ||||||
ICICI Bank | ||||||||
6.375%, 04/30/22 (A) (B) | 1,260 | 1,185 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (A) (B) | 400 | 293 | ||||||
ING Capital Funding Trust III | ||||||||
4.070%, 12/29/49 (A) | 40 | 35 | ||||||
Inter-American Development Bank MTN | ||||||||
3.875%, 10/28/41 | 820 | 817 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/18��(B) | 1,080 | 1,177 | ||||||
6.500%, 09/01/14 (B) | 2,530 | 2,672 | ||||||
Intesa Sanpaolo SPA | ||||||||
3.625%, 08/12/15 (B) | 500 | 478 | ||||||
IPIC GMTN MTN | ||||||||
5.500%, 03/01/22 (B) | 355 | 365 | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/18 | 135 | 156 | ||||||
5.750%, 01/02/13 | 1,710 | 1,771 | ||||||
5.600%, 07/15/41 | 395 | 432 | ||||||
5.400%, 01/06/42 | 420 | 446 | ||||||
4.750%, 05/01/13 | 510 | 531 | ||||||
4.650%, 06/01/14 | 2,055 | 2,191 | ||||||
4.500%, 01/24/22 | 180 | 187 | ||||||
4.400%, 07/22/20 | 210 | 218 | ||||||
4.350%, 08/15/21 | 215 | 220 | ||||||
4.250%, 10/15/20 | 1,260 | 1,290 | ||||||
3.450%, 03/01/16 | 2,785 | 2,904 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/17 | 2,250 | 2,550 | ||||||
6.000%, 10/01/17 | 250 | 286 | ||||||
0.804%, 06/13/16 (A) | 1,300 | 1,208 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.420%, 09/30/34 (A) | 1,750 | 1,325 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 53 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.503%, 05/15/47 (A) | $ | 1,900 | $ | 1,409 | ||||
Kaupthing Bank MTN (B) (E) | ||||||||
7.625%, 02/28/15 | 8,810 | 2,335 | ||||||
7.125%, 05/19/16 | 1,350 | — | ||||||
5.750%, 10/04/11 | 960 | 254 | ||||||
Kilroy Realty‡ | ||||||||
6.625%, 06/01/20 | 175 | 197 | ||||||
5.000%, 11/03/15 | 265 | 282 | ||||||
4.800%, 07/15/18 | 665 | 691 | ||||||
Korea Development Bank | ||||||||
3.875%, 05/04/17 | 615 | 637 | ||||||
3.250%, 03/09/16 | 347 | 351 | ||||||
Landsbanki Islands | ||||||||
6.100%, 08/25/11 (B) (E) | 5,570 | 237 | ||||||
Lazard Group | ||||||||
7.125%, 05/15/15 | 912 | 989 | ||||||
6.850%, 06/15/17 | 1,267 | 1,393 | ||||||
Lehman Brothers Holdings MTN | ||||||||
6.750%, 12/28/17 (E) | 4,320 | — | ||||||
Lehman Brothers Holdings Capital Trust VII MTN | ||||||||
5.857%, 11/29/49 (E) | 4,280 | — | ||||||
Lincoln National | ||||||||
7.000%, 06/15/40 | 80 | 94 | ||||||
Lloyds TSB Bank | ||||||||
6.375%, 01/21/21 | 425 | 456 | ||||||
4.200%, 03/28/17 | 465 | 469 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (B) | 1,125 | 1,596 | ||||||
MBNA Capital A | ||||||||
8.278%, 12/01/26 | 1,450 | 1,465 | ||||||
Merrill Lynch MTN | ||||||||
8.950%, 05/18/17 (A) | 1,790 | 1,817 | ||||||
8.680%, 05/02/17 (A) | 3,160 | 3,187 | ||||||
7.430%, 09/01/22 | 3 | 3 | ||||||
6.050%, 05/16/16 | 350 | 369 | ||||||
5.700%, 05/02/17 | 1,300 | 1,333 | ||||||
5.450%, 02/05/13 | 2,080 | 2,139 | ||||||
MetLife | ||||||||
6.750%, 06/01/16 | 1,060 | 1,259 | ||||||
6.400%, 12/15/36 | 450 | 441 | ||||||
5.700%, 06/15/35 | 280 | 326 | ||||||
4.750%, 02/08/21 (C) | 540 | 592 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/37 (B) | 800 | 876 | ||||||
MetLife Capital Trust X | ||||||||
9.250%, 04/08/38 (B) | 1,800 | 2,169 | ||||||
Metropolitan Life Global Funding I (B) | ||||||||
5.125%, 04/10/13 | 1,260 | 1,317 | ||||||
5.125%, 06/10/14 | 1,600 | 1,738 | ||||||
2.500%, 09/29/15 | 1,090 | 1,123 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/19 | 1,860 | 2,002 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.625%, 04/01/18 | $ | 1,640 | $ | 1,727 | ||||
6.000%, 05/13/14 | 5,710 | 5,976 | ||||||
6.000%, 04/28/15 | 630 | 659 | ||||||
5.950%, 12/28/17 | 100 | 103 | ||||||
5.625%, 09/23/19 | 160 | 158 | ||||||
5.500%, 07/28/21 (C) | 905 | 885 | ||||||
4.750%, 03/22/17 | 415 | 415 | ||||||
3.800%, 04/29/16 | 260 | 253 | ||||||
1.015%, 10/18/16 (A) | 5,815 | 4,993 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/17 (F) | 2,270 | 2,266 | ||||||
National Australia Bank | ||||||||
5.350%, 06/12/13 (B) | 2,500 | 2,629 | ||||||
Nationwide Mutual Insurance | ||||||||
5.810%, 12/15/24 (A) (B) | 2,975 | 2,714 | ||||||
New York Life Global Funding | ||||||||
3.000%, 05/04/15 (B) | 1,840 | 1,937 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/39 (B) | 415 | 520 | ||||||
NIBC Bank MTN | ||||||||
2.800%, 12/02/14 (B) | 740 | 768 | ||||||
Nordea Bank (B) | ||||||||
4.875%, 05/13/21 | 1,965 | 1,912 | ||||||
3.700%, 11/13/14 | 440 | 459 | ||||||
3.125%, 03/20/17 | 255 | 255 | ||||||
2.250%, 03/20/15 | 1,180 | 1,180 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (B) | 755 | 889 | ||||||
PNC Funding | ||||||||
3.300%, 03/08/22 | 550 | 544 | ||||||
2.700%, 09/19/16 | 885 | 912 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/14 (B) | 3,400 | 3,670 | ||||||
Prime Property Fund | ||||||||
5.500%, 01/15/14 ‡(B) | 1,850 | 1,889 | ||||||
Protective Life | ||||||||
8.450%, 10/15/39 | 131 | 152 | ||||||
Prudential Covered Trust 2012-1 | ||||||||
2.997%, 09/30/15 (B) | 1,140 | 1,153 | ||||||
Prudential Financial MTN | ||||||||
5.800%, 11/16/41 | 140 | 152 | ||||||
5.625%, 05/12/41 | 301 | 313 | ||||||
4.750%, 09/17/15 | 548 | 595 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/23 (B) | 1,300 | 1,616 | ||||||
Royal Bank of Scotland Group | ||||||||
7.648%, 08/31/49 (A) | 160 | 136 | ||||||
7.640%, 09/29/17 | 900 | 616 | ||||||
6.400%, 10/21/19 | 580 | 608 | ||||||
5.000%, 10/01/14 | 1,240 | 1,225 | ||||||
Santander US Debt Unipersonal | ||||||||
3.781%, 10/07/15 (B) | 100 | 97 | ||||||
3.724%, 01/20/15 (B) | 1,200 | 1,172 |
54 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Schahin II Finance SPV | ||||||||
5.875%, 09/25/22 (B) | $ | 305 | $ | 306 | ||||
Simon Property Group L.P.‡ | ||||||||
5.750%, 12/01/15 | 910 | 1,026 | ||||||
SL Green Realty‡ | ||||||||
5.000%, 08/15/18 | 180 | 183 | ||||||
SLM MTN | ||||||||
5.625%, 08/01/33 | 595 | 508 | ||||||
5.050%, 11/14/14 | 690 | 707 | ||||||
5.000%, 04/15/15 | 120 | 122 | ||||||
Sparebank 1 Boligkreditt | ||||||||
2.300%, 06/30/17 (B) | 2,720 | 2,711 | ||||||
Stadshypotek | ||||||||
1.450%, 09/30/13 (B) | 1,245 | 1,256 | ||||||
Standard Chartered | ||||||||
3.200%, 05/12/16 (B) | 1,245 | 1,269 | ||||||
State Street | ||||||||
4.956%, 03/15/18 | 1,260 | 1,316 | ||||||
Sumitomo Mitsui Banking (B) | ||||||||
3.150%, 07/22/15 | 1,360 | 1,416 | ||||||
3.100%, 01/14/16 | 200 | 207 | ||||||
SunTrust Preferred Capital I | ||||||||
4.000%, 02/13/12 (A) | 259 | 184 | ||||||
Svensk Exportkredit | ||||||||
3.250%, 09/16/14 | 1,374 | 1,443 | ||||||
1.750%, 10/20/15 | 1,820 | 1,838 | ||||||
Svenska Handelsbanken | ||||||||
2.875%, 04/04/17 | 1,370 | 1,369 | ||||||
Swedbank Hypotek | ||||||||
2.375%, 04/05/17 (B) | 1,395 | 1,400 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/39 (B) | 1,300 | 1,610 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/21 | 810 | 832 | ||||||
UBS MTN | ||||||||
2.250%, 01/28/14 | 1,050 | 1,054 | ||||||
2.250%, 03/30/17 (B) | 795 | 793 | ||||||
1.875%, 01/23/15 (B) | 810 | 816 | ||||||
Ventas Realty‡ | ||||||||
4.250%, 03/01/22 | 880 | 855 | ||||||
Wachovia | ||||||||
5.250%, 08/01/14 | 2,570 | 2,766 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 05/31/16 (A) | 2,850 | 2,693 | ||||||
WEA Finance (B) | ||||||||
7.125%, 04/15/18 | 3,000 | 3,534 | ||||||
6.750%, 09/02/19 | 1,230 | 1,422 | ||||||
4.625%, 05/10/21 | 330 | 334 | ||||||
Wells Fargo | ||||||||
4.600%, 04/01/21 | 160 | 172 | ||||||
3.676%, 06/15/16 (F) | 680 | 726 | ||||||
Wells Fargo Bank | ||||||||
4.750%, 02/09/15 | 2,095 | 2,247 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/36 | $ | 760 | $ | 767 | ||||
Westpac Banking | ||||||||
4.875%, 11/19/19 | 105 | 113 | ||||||
Woodbourne Capital Trust III | ||||||||
1.360%, 04/08/49 (A) (B) | 500 | 200 | ||||||
Woodbourne Capital Trust IV | ||||||||
1.360%, 04/08/49 (A) (B) | 275 | 110 | ||||||
WR Berkley | ||||||||
5.375%, 09/15/20 | 80 | 84 | ||||||
4.625%, 03/15/22 | 590 | 588 | ||||||
|
| |||||||
321,747 | ||||||||
|
| |||||||
Health Care — 1.3% | ||||||||
Amgen | ||||||||
5.650%, 06/15/42 | 1,060 | 1,133 | ||||||
5.150%, 11/15/41 | 1,145 | 1,150 | ||||||
3.875%, 11/15/21 | 140 | 143 | ||||||
Aristotle Holding (B) | ||||||||
3.500%, 11/15/16 | 2,270 | 2,371 | ||||||
2.650%, 02/15/17 | 1,310 | 1,325 | ||||||
2.100%, 02/12/15 | 1,160 | 1,174 | ||||||
Becton Dickinson | ||||||||
3.125%, 11/08/21 | 185 | 188 | ||||||
Boston Scientific | ||||||||
6.400%, 06/15/16 | 805 | 927 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/17 | 1,042 | 1,179 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/41 | 275 | 294 | ||||||
4.500%, 04/01/21 | 605 | 641 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/18 | 810 | 978 | ||||||
HCA | ||||||||
7.500%, 11/15/95 | 3,800 | 3,021 | ||||||
Humana | ||||||||
7.200%, 06/15/18 | 1,150 | 1,378 | ||||||
Life Technologies | ||||||||
5.000%, 01/15/21 | 565 | 612 | ||||||
Medtronic | ||||||||
4.450%, 03/15/20 | 730 | 822 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/19 (B) | 1,410 | 1,720 | ||||||
Tenet Healthcare | ||||||||
8.875%, 07/01/19 | 900 | 1,008 | ||||||
Thermo Fisher Scientific | ||||||||
3.600%, 08/15/21 | 350 | 369 | ||||||
3.200%, 03/01/16 | 435 | 464 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/38 | 100 | 131 | ||||||
6.000%, 06/15/17 | 51 | 61 | ||||||
5.800%, 03/15/36 | 280 | 322 | ||||||
5.700%, 10/15/40 | 510 | 592 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.375%, 03/15/42 | $ | 300 | $ | 290 | ||||
3.875%, 10/15/20 | 530 | 560 | ||||||
WellPoint | ||||||||
6.800%, 08/01/12 | 1,000 | 1,020 | ||||||
5.875%, 06/15/17 | 2,190 | 2,557 | ||||||
Wyeth | ||||||||
5.950%, 04/01/37 | 1,100 | 1,393 | ||||||
|
| |||||||
27,823 | ||||||||
|
| |||||||
Industrials — 1.0% | ||||||||
Allied Waste North America | ||||||||
6.875%, 06/01/17 | 260 | 271 | ||||||
BAE Systems | ||||||||
4.750%, 10/11/21 (B) | 1,785 | 1,873 | ||||||
Boeing | ||||||||
4.875%, 02/15/20 | 1,380 | 1,629 | ||||||
Cedar Brakes I LLC | ||||||||
8.500%, 02/15/14 (B) | 475 | 487 | ||||||
Continental Airlines Pass-Through | ||||||||
7.256%, 03/15/20 | 2,661 | 2,887 | ||||||
Continental Airlines Pass-Through | ||||||||
5.983%, 04/19/22 (C) | 1,580 | 1,713 | ||||||
Continental Airlines, Ser 2009-1 | ||||||||
9.000%, 07/08/16 | 2,654 | 3,026 | ||||||
Delta Air Lines 2007-1 Cl A Pass-Through Trust, Ser 2007-1 | ||||||||
6.821%, 08/10/22 | 1,393 | 1,525 | ||||||
Hutchison Whampoa International 11 | ||||||||
4.625%, 01/13/22 (B) | 640 | 643 | ||||||
3.500%, 01/13/17 (B) | 235 | 238 | ||||||
JetBlue Airways, Ser 2004-2 | ||||||||
0.878%, 08/15/16 (A) | 2,528 | 2,275 | ||||||
Kansas City Southern de Mexico | ||||||||
12.500%, 04/01/16 | 522 | 602 | ||||||
Koninklijke Philips Electronics | ||||||||
3.750%, 03/15/22 | 280 | 282 | ||||||
Lockheed Martin | ||||||||
3.350%, 09/15/21 | 1,035 | 1,037 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/15 | 1,140 | 1,154 | ||||||
Raytheon | ||||||||
3.125%, 10/15/20 | 430 | 437 | ||||||
United Air Lines | ||||||||
9.750%, 01/15/17 | 200 | 229 | ||||||
United Parcel Service | ||||||||
4.500%, 01/15/13 | 980 | 1,011 | ||||||
Waste Management | ||||||||
7.375%, 05/15/29 | 330 | 427 | ||||||
2.600%, 09/01/16 | 290 | 297 | ||||||
|
| |||||||
22,043 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Information Technology — 0.1% | ||||||||
Fiserv | ||||||||
3.125%, 06/15/16 | $ | 505 | $ | 516 | ||||
Freescale Semiconductor | ||||||||
10.125%, 12/15/16 | 21 | 22 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/41 | 400 | 438 | ||||||
4.050%, 09/15/22 | 275 | 274 | ||||||
2.600%, 09/15/17 | 890 | 889 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/17 | 170 | 210 | ||||||
|
| |||||||
2,349 | ||||||||
|
| |||||||
Materials — 0.9% | ||||||||
ArcelorMittal | ||||||||
6.250%, 02/25/22 | 140 | 141 | ||||||
Barrick | ||||||||
3.850%, 04/01/22 (B) | 965 | 959 | ||||||
Barrick North America Finance | ||||||||
4.400%, 05/30/21 | 1,350 | 1,423 | ||||||
BHP Billiton Finance USA | ||||||||
3.250%, 11/21/21 | 2,110 | 2,129 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/22 (B) | 400 | 409 | ||||||
CF Industries | ||||||||
7.125%, 05/01/20 | 70 | 83 | ||||||
CodelCo | ||||||||
4.750%, 10/15/14 (B) | 470 | 505 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/19 | 178 | 233 | ||||||
5.250%, 11/15/41 | 415 | 429 | ||||||
Ecolab | ||||||||
4.350%, 12/08/21 | 290 | 308 | ||||||
FMG Resources August 2006 Pty | ||||||||
6.375%, 02/01/16 (B) | 120 | 120 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/22 | 990 | 951 | ||||||
LyondellBasell Industries (B) | ||||||||
6.000%, 11/15/21 | 200 | 210 | ||||||
5.750%, 04/15/24 | 200 | 199 | ||||||
5.000%, 04/15/19 | 200 | 200 | ||||||
Nacional del Cobre de Chile | ||||||||
3.875%, 11/03/21 (B) | 645 | 659 | ||||||
Novelis | ||||||||
8.750%, 12/15/20 | 460 | 504 | ||||||
Potash Corp of Saskatchewan | ||||||||
4.875%, 03/30/20 | 280 | 317 | ||||||
PPG Industries | ||||||||
5.750%, 03/15/13 | 435 | 453 | ||||||
Rio Tinto Finance USA | ||||||||
6.500%, 07/15/18 | 2,190 | 2,699 | ||||||
3.750%, 09/20/21 | 490 | 506 |
56 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Steel Dynamics | ||||||||
6.750%, 04/01/15 | $ | 810 | $ | 824 | ||||
Teck Resources | ||||||||
10.250%, 05/15/16 | 52 | 60 | ||||||
6.250%, 07/15/41 | 321 | 348 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/36 | 1,510 | 1,751 | ||||||
4.375%, 01/11/22 | 2,749 | 2,761 | ||||||
|
| |||||||
19,181 | ||||||||
|
| |||||||
Telecommunication Services — 1.3% | ||||||||
America Movil | ||||||||
5.625%, 11/15/17 | 440 | 512 | ||||||
5.000%, 03/30/20 | 750 | 834 | ||||||
2.375%, 09/08/16 | 415 | 420 | ||||||
AT&T | ||||||||
6.500%, 09/01/37 | 1,380 | 1,657 | ||||||
6.450%, 06/15/34 | 625 | 737 | ||||||
6.400%, 05/15/38 | 280 | 333 | ||||||
5.500%, 02/01/18 | 1,460 | 1,720 | ||||||
5.350%, 09/01/40 | 380 | 404 | ||||||
5.100%, 09/15/14 | 1,530 | 1,684 | ||||||
1.600%, 02/15/17 | 1,100 | 1,094 | ||||||
0.875%, 02/13/15 | 1,235 | 1,228 | ||||||
BellSouth | ||||||||
4.750%, 11/15/12 | 170 | 174 | ||||||
British Telecommunications PLC | ||||||||
9.625%, 12/15/30 | 50 | 74 | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/18 | 480 | 659 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/42 | 580 | 545 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/16 | 1,380 | 1,558 | ||||||
Deutsche Telekom International | ||||||||
4.875%, 03/06/42 | 435 | 411 | ||||||
2.250%, 03/06/17 | 2,170 | 2,148 | ||||||
France Telecom | ||||||||
2.750%, 09/14/16 | 1,005 | 1,034 | ||||||
Intelsat Jackson Holdings | ||||||||
9.500%, 06/15/16 | 180 | 188 | ||||||
8.500%, 11/01/19 | 250 | 274 | ||||||
Rogers Communications | ||||||||
6.750%, 03/15/15 | 1,015 | 1,158 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 910 | 780 | ||||||
6.875%, 11/15/28 | 100 | 77 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/17 | 110 | 116 | ||||||
5.877%, 07/15/19 | 90 | 92 | ||||||
5.134%, 04/27/20 | 290 | 277 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/15 (B) | $ | 505 | $ | 505 | ||||
Telemar Norte Leste SA | ||||||||
5.500%, 10/23/20 (B) | 635 | 653 | ||||||
Verizon Communications | ||||||||
6.100%, 04/15/18 | 465 | 560 | ||||||
6.000%, 04/01/41 | 570 | 675 | ||||||
5.850%, 09/15/35 | 115 | 132 | ||||||
5.500%, 02/15/18 | 1,920 | 2,250 | ||||||
3.500%, 11/01/21 | 225 | 230 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/30 | 1,060 | 1,436 | ||||||
|
| |||||||
26,629 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
Ameren | ||||||||
8.875%, 05/15/14 | 640 | 726 | ||||||
Aquila | ||||||||
11.875%, 07/01/12 | 2,535 | 2,601 | ||||||
Arizona Public Service | ||||||||
4.500%, 04/01/42 | 725 | 710 | ||||||
Calpine | ||||||||
7.500%, 02/15/21 (B) | 860 | 918 | ||||||
Cedar Brakes II LLC | ||||||||
9.875%, 09/01/13 (B) | 654 | 674 | ||||||
Cleveland Electric Illuminating | ||||||||
8.875%, 11/15/18 | 680 | 898 | ||||||
CMS Energy | ||||||||
5.050%, 03/15/22 | 400 | 402 | ||||||
2.750%, 05/15/14 | 385 | 385 | ||||||
Comision Federal de Electricidad | ||||||||
5.750%, 02/14/42 (B) | 380 | 380 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/19 (C) | 1,220 | 1,637 | ||||||
1.950%, 08/15/16 | 265 | 269 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 140 | 153 | ||||||
Duke Energy Carolinas | ||||||||
5.625%, 11/30/12 | 1,470 | 1,519 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/42 | 545 | 537 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (B) | 895 | 812 | ||||||
Energy Future Holdings | ||||||||
10.000%, 12/01/20 | 686 | 748 | ||||||
Exelon | ||||||||
5.625%, 06/15/35 | 1,060 | 1,144 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/39 | 45 | 53 | ||||||
5.200%, 10/01/19 | 40 | 44 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/31 | 1,735 | 2,136 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Great Plains Energy | ||||||||
5.292%, 06/15/22 (F) | $ | 55 | $ | 59 | ||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/21 | 2,700 | 3,260 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 1,210 | 1,512 | ||||||
6.125%, 04/01/36 | 125 | 149 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/19 | 2,261 | 2,677 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/18 | 1,075 | 1,300 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/18 | 210 | 278 | ||||||
5.800%, 03/01/37 | 800 | 956 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/19 | 2,500 | 3,046 | ||||||
PPL WEM Holdings | ||||||||
3.900%, 05/01/16 (B) | 715 | 744 | ||||||
Progress Energy | ||||||||
6.850%, 04/15/12 | 526 | 527 | ||||||
3.150%, 04/01/22 | 630 | 616 | ||||||
PSEG Power | ||||||||
2.750%, 09/15/16 | 320 | 323 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 1,805 | 2,191 | ||||||
Puget Sound Energy | ||||||||
4.434%, 11/15/41 | 190 | 190 | ||||||
PVNGS II Funding | ||||||||
8.000%, 12/30/15 | 1,479 | 1,579 | ||||||
San Diego Gas & Electric | ||||||||
4.300%, 04/01/42 | 490 | 499 | ||||||
Sempra Energy | ||||||||
2.300%, 04/01/17 | 1,030 | 1,042 | ||||||
Southern California Edison | ||||||||
4.050%, 03/15/42 | 275 | 265 | ||||||
Southwestern Electric Power | ||||||||
3.550%, 02/15/22 | 870 | 854 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (B) | 1,380 | 1,817 | ||||||
|
| |||||||
40,630 | ||||||||
|
| |||||||
Total Corporate Obligations | 602,183 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 8.6% |
| |||||||
Automotive — 0.4% | ||||||||
Ally Auto Receivables Trust, | ||||||||
0.650%, 03/17/14 | 577 | 577 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2010-3A, Cl A | ||||||||
4.640%, 05/20/16 (B) | 600 | 646 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2010-5A, Cl A | ||||||||
3.150%, 03/20/17 (B) | $ | 140 | $ | 144 | ||||
Avis Budget Rental Car Funding AESOP, Ser 2012-2A, Cl A | ||||||||
2.802%, 05/20/18 (B) | 475 | 477 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.630%, 02/25/14 | 1,652 | 1,653 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2.170%, 10/15/13 | 329 | 331 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4 | ||||||||
3.320%, 02/15/17 | 102 | 103 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A4 | ||||||||
1.470%, 08/15/17 | 823 | 828 | ||||||
Hertz Vehicle Financing, | ||||||||
5.290%, 03/25/16 (B) | 1,100 | 1,205 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/16 (B) | 721 | 731 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A3 | ||||||||
1.220%, 12/15/15 | 443 | 443 | ||||||
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4 | ||||||||
4.740%, 10/15/13 | 411 | 414 | ||||||
|
| |||||||
7,552 | ||||||||
|
| |||||||
Credit Cards — 0.7% | ||||||||
American Express Credit Account Master Trust, Ser 2007-8, Cl A | ||||||||
0.542%, 05/15/15 (A) | 846 | 847 | ||||||
Bank of America Credit Card Trust, Ser 2008-A7, Cl A7 | ||||||||
0.942%, 12/15/14 (A) | 407 | 408 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2004-A4, Cl A4 | ||||||||
0.462%, 03/15/17 (A) | 1,144 | 1,147 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A6, Cl A6 | ||||||||
0.617%, 07/15/15 (A) | 2,108 | 2,108 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.322%, 09/15/15 (A) | 602 | 602 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 | ||||||||
0.302%, 01/15/16 (A) | 127 | 127 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8 | ||||||||
0.774%, 10/15/15 (A) | 1,919 | 1,923 |
58 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Issuance Trust, Ser 2007-A10 | ||||||||
0.282%, 06/16/14 (A) | $ | 1,098 | $ | 1,098 | ||||
Chase Issuance Trust, | ||||||||
1.974%, 09/15/15 (A) | 817 | 835 | ||||||
Citibank Omni Master Trust, | ||||||||
2.992%, 08/15/18 (A) (B) | 1,376 | 1,449 | ||||||
Discover Card Master Trust I, Ser 2007-3, Cl A2 | ||||||||
0.292%, 10/16/14 (A) | 1,675 | 1,675 | ||||||
Discover Card Master Trust, Ser 2009-A1, Cl A1 | ||||||||
1.542%, 12/15/14 (A) | 583 | 585 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A | ||||||||
3.690%, 07/15/15 | 2,198 | 2,219 | ||||||
World Financial Network Credit Card Master Trust, Ser 2011-A, Cl A | ||||||||
1.680%, 08/15/18 | 763 | 763 | ||||||
|
| |||||||
15,786 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.4% | ||||||||
ABS Home Equity Loan Trust, | ||||||||
0.782%, 11/25/31 (A) | 331 | 265 | ||||||
AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 | ||||||||
0.517%, 04/25/28 (A) | 40 | 34 | ||||||
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A | ||||||||
0.482%, 03/25/30 (A) | 2,916 | 967 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2000-2, Cl M2 | ||||||||
8.280%, 08/25/30 | 2,070 | 2,018 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||||
0.342%, 03/25/37 (A) | 710 | 692 | ||||||
Centex Home Equity, Ser 2006-A, Cl AV4 | ||||||||
0.494%, 06/25/36 (A) | 4,917 | 2,825 | ||||||
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A | ||||||||
0.282%, 12/25/36 (A) | 58 | 56 | ||||||
Conseco Finance, Ser 2001-D, Cl A5 | ||||||||
6.690%, 11/15/32 (A) | 639 | 644 | ||||||
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9 | ||||||||
7.050%, 03/15/28 | — | — | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/28 | 3 | 3 | ||||||
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 | ||||||||
0.712%, 05/25/39 (A) (B) | 1,167 | 964 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Home Equity Loan Trust, Ser 2005-3, Cl A1 | ||||||||
0.502%, 01/20/35 (A) | $ | 3,498 | $ | 3,247 | ||||
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1 | ||||||||
0.402%, 01/20/36 (A) | 3,148 | 2,888 | ||||||
HSBC Home Equity Loan Trust, Ser 2006-4, Cl A4 | ||||||||
0.472%, 03/20/36 (A) | 4,182 | 3,584 | ||||||
Master Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D | ||||||||
0.612%, 06/25/35 (A) | 3,376 | 3,182 | ||||||
Morgan Stanley Capital I, | ||||||||
0.282%, 01/25/37 (A) | 14 | 14 | ||||||
Option One Mortgage Loan Trust, Ser 2001-4, Cl A | ||||||||
0.842%, 01/25/32 (A) | 216 | 190 | ||||||
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3 | ||||||||
0.382%, 01/25/37 (A) | 9,500 | 3,332 | ||||||
Option One Mortgage Loan Trust, Ser 2007-6, Cl 2A4 | ||||||||
0.494%, 07/25/37 (A) | 4,574 | 1,724 | ||||||
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 | ||||||||
8.290%, 02/25/25 | 700 | 690 | ||||||
Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3 | ||||||||
0.404%, 01/25/37 (A) | 6,450 | 2,360 | ||||||
Terwin Mortgage Trust, | ||||||||
4.000%, 08/25/35 (A) (B) | 83 | 82 | ||||||
|
| |||||||
29,761 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.1% |
| |||||||
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1 | ||||||||
0.503%, 06/14/37 (A) (B) | 2,388 | 2,070 | ||||||
Ally Master Owner Trust, Ser 2011-1, Cl A2 | ||||||||
2.150%, 01/15/16 | 1,330 | 1,358 | ||||||
Ally Master Owner Trust, Ser 2011-3, Cl A2 | ||||||||
1.810%, 05/15/16 | 515 | 522 | ||||||
Ally Master Owner Trust, Ser 2012-1, Cl A1 | ||||||||
1.042%, 02/15/17 (A) | 2,770 | 2,770 | ||||||
Ally Master Owner Trust, Ser 2012-1, Cl A2 | ||||||||
1.440%, 02/15/17 | 800 | 802 | ||||||
Avalon IV Capital, Ser 2012-1A, Cl C | ||||||||
4.387%, 04/17/23 (A) (B) | 675 | 647 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1 | ||||||||
0.542%, 11/14/33 (A) (B) | $ | 2,959 | $ | 2,486 | ||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 | ||||||||
0.642%, 08/25/43 (A) | 2,802 | 2,663 | ||||||
Brazos Higher Education Authority, Ser 2006-2, Cl A9 | ||||||||
0.484%, 12/26/24 (A) | 1,411 | 1,281 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
1.457%, 02/25/35 (A) | 2,200 | 2,056 | ||||||
Brazos Higher Education Authority, Ser 2011-2, Cl A3 | ||||||||
1.418%, 10/27/36 (A) | 1,000 | 897 | ||||||
Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A3 | ||||||||
0.642%, 09/25/35 (A) | 2,836 | 2,720 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
0.564%, 03/25/42 (A) (B) | 2,159 | 1,946 | ||||||
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5 | ||||||||
6.046%, 03/25/37 | 1,970 | 1,340 | ||||||
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 | ||||||||
8.130%, 08/15/31 (A) | 531 | 516 | ||||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||||
0.842%, 06/25/33 (A) | 38 | 33 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.702%, 10/25/35 (A) | 2,708 | 2,627 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-5, Cl 2A1 | ||||||||
0.342%, 09/25/47 (A) | 336 | 333 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
1.044%, 10/25/47 (A) | 4,588 | 3,091 | ||||||
Countrywide Home Equity Loan Trust, Ser 2002-E, Cl A | ||||||||
0.502%, 10/15/28 (A) | 43 | 41 | ||||||
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 | ||||||||
0.542%, 02/15/34 (A) | 793 | 506 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B | ||||||||
0.392%, 11/15/36 (A) | 193 | 142 | ||||||
Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A | ||||||||
0.792%, 11/15/28 (A) | 147 | 126 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||||
5.600%, 09/25/31 | 362 | 368 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
1.210%, 04/25/35 (A) | $ | 2,100 | $ | 1,965 | ||||
Ford Credit Floorplan Master Owner Trust, Ser 2009-2 | ||||||||
1.792%, 09/15/14 (A) | 1,710 | 1,722 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/16 | 765 | 783 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.712%, 01/15/16 (A) | 2,047 | 2,053 | ||||||
GE Seaco Finance Srl, | ||||||||
0.492%, 11/17/20 (A) (B) | 2,888 | 2,758 | ||||||
Genesis Funding, Ser 2006-1A, Cl G1 | ||||||||
0.482%, 12/19/32 (A) (B) | 2,797 | 2,454 | ||||||
Green Tree Financial, Ser 1993-4, Cl A5 | ||||||||
7.050%, 01/15/19 | 1,014 | 1,024 | ||||||
Green Tree Financial, Ser 1996-5, Cl A6 | ||||||||
7.750%, 07/15/27 | 350 | 357 | ||||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/38 (A) (B) | �� | 2,500 | 2,756 | |||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||
8.970%, 04/25/38 (A) (B) | 2,180 | 2,421 | ||||||
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2 | ||||||||
3.027%, 03/18/29 (A) | 675 | 526 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7 | ||||||||
7.270%, 06/15/29 | 1,300 | 1,221 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2 | ||||||||
3.743%, 06/19/29 (A) | 325 | 235 | ||||||
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2 | ||||||||
3.779%, 02/20/30 (A) | 375 | 272 | ||||||
Greenpoint Manufactured Housing, Ser 2000-6, Cl A3 | ||||||||
2.277%, 11/22/31 | 450 | 374 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 | ||||||||
3.755%, 02/20/32 (A) | 575 | 436 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 | ||||||||
3.751%, 03/13/32 (A) | 650 | 490 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
0.644%, 02/25/33 (A) | 2,303 | 1,629 | ||||||
GSAMP Trust, Ser 2006-SEA1, Cl A | ||||||||
0.542%, 05/25/36 (A) (B) | 427 | 351 | ||||||
HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 | ||||||||
0.824%, 11/25/35 (A) | 3,351 | 2,610 | ||||||
Keycorp Student Loan Trust, Ser 2002-A, Cl 1A2 | ||||||||
0.681%, 08/27/31 (A) | 997 | 891 |
60 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 09/15/18 | $ | 1,674 | $ | 1,746 | ||||
Lehman XS Trust, Ser 2005-5N, Cl 1A1 | ||||||||
0.544%, 11/25/35 (A) | 1,370 | 947 | ||||||
Lehman XS Trust, Ser 2006-GP1, Cl A4A | ||||||||
0.604%, 05/25/46 (A) | 5,058 | 891 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/38 | 3,035 | 3,055 | ||||||
Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A | ||||||||
0.432%, 07/25/17 (A) | 355 | 293 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.480%, 09/25/24 (A) | 529 | 521 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.574%, 03/23/37 (A) | 535 | 482 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.583%, 11/23/22 (A) | 3,000 | 2,963 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.640%, 10/26/26 (A) | 3,996 | 3,955 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.561%, 05/27/25 (A) | 1,066 | 987 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.824%, 03/25/26 (A) (B) | 786 | 739 | ||||||
Origen Manufactured Housing, Ser 2006-A, Cl A2 | ||||||||
3.785%, 10/15/37 (A) | 3,050 | 1,803 | ||||||
Origen Manufactured Housing, Ser 2007-A, Cl A2 | ||||||||
3.785%, 04/15/37 (A) | 5,601 | 3,275 | ||||||
Park Place Securities, | ||||||||
0.922%, 09/25/34 (A) | 3,747 | 3,393 | ||||||
PG&E Energy Recovery Funding, Ser 2005-1, Cl A4 | ||||||||
4.370%, 06/25/14 | 39 | 39 | ||||||
Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII | ||||||||
0.924%, 03/25/33 (A) | 43 | 29 | ||||||
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 | ||||||||
1.339%, 12/25/33 (A) | 188 | 130 | ||||||
RSB Bondco, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/19 | 775 | 923 | ||||||
SLC Student Loan Trust, Ser 2010-1, Cl A | ||||||||
1.349%, 11/25/42 (A) | 681 | 668 | ||||||
SLM Student Loan Trust, | ||||||||
0.764%, 12/15/25 (A) (B) | 850 | 805 | ||||||
SLM Student Loan Trust, | ||||||||
0.790%, 01/25/23 (A) | 2,128 | 2,104 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.770%, 04/25/23 (A) | $ | 829 | $ | 818 | ||||
SLM Student Loan Trust, | ||||||||
0.730%, 07/25/23 (A) | 594 | 581 | ||||||
SLM Student Loan Trust, | ||||||||
0.710%, 01/25/21 (A) | 840 | 839 | ||||||
SLM Student Loan Trust, | ||||||||
0.650%, 10/25/24 (A) | 3,372 | 3,192 | ||||||
SLM Student Loan Trust, | ||||||||
0.670%, 07/27/26 (A) | 1,625 | 1,595 | ||||||
SLM Student Loan Trust, | ||||||||
1.760%, 07/27/26 (A) | 483 | 486 | ||||||
SLM Student Loan Trust, | ||||||||
0.670%, 01/25/27 (A) | 1,540 | 1,451 | ||||||
SLM Student Loan Trust, | ||||||||
0.690%, 07/26/21 (A) | 986 | 942 | ||||||
SLM Student Loan Trust, | ||||||||
0.680%, 10/25/40 (A) | 1,980 | 1,679 | ||||||
SLM Student Loan Trust, Ser 2007-2 | ||||||||
0.560%, 07/25/17 (A) | 549 | 545 | ||||||
SLM Student Loan Trust, | ||||||||
1.310%, 04/25/23 (A) | 656 | 645 | ||||||
SLM Student Loan Trust, | ||||||||
1.610%, 07/25/16 (A) | 701 | 707 | ||||||
SLM Student Loan Trust, | ||||||||
1.110%, 10/25/17 (A) | 309 | 310 | ||||||
SLM Student Loan Trust, | ||||||||
2.060%, 04/25/23 (A) | 1,055 | 1,083 | ||||||
SLM Student Loan Trust, | ||||||||
1.642%, 12/15/23 (A) (B) | 2,195 | 2,184 | ||||||
SLM Student Loan Trust, Ser 2012-2, Cl A | ||||||||
0.942%, 01/25/29 (A) | 2,779 | 2,786 | ||||||
SLM Student Loan Trust, Ser 2012-A | ||||||||
1.642%, 08/15/25 (A) (B) | 1,955 | 1,959 | ||||||
Small Business Administration, | ||||||||
4.524%, 02/10/13 | 392 | 402 | ||||||
SMS Student Loan Trust, | ||||||||
0.743%, 10/28/28 (A) | 747 | 745 | ||||||
SMS Student Loan Trust, | ||||||||
0.753%, 04/28/29 (A) | 612 | 606 | ||||||
South Carolina Student Loan, | ||||||||
0.608%, 12/01/20 (A) | 1,850 | 1,784 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, | ||||||||
0.332%, 03/25/37 (A) | $ | 1,187 | $ | 1,159 | ||||
Structured Asset Securities, | ||||||||
0.494%, 11/25/37 (A) | 2,285 | 2,106 | ||||||
TAL Advantage, Ser 2006-1A | ||||||||
0.432%, 04/20/21 (A) (B) | 1,184 | 1,123 | ||||||
TAL Advantage, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/25 (B) | 1,352 | 1,373 | ||||||
TAL Advantage, Ser 2011-1A, Cl A | ||||||||
4.600%, 01/20/26 (B) | 221 | 223 | ||||||
Textainer Marine Containers, Ser 2005-1A, Cl A | ||||||||
0.490%, 05/15/20 (A) (B) | 1,433 | 1,379 | ||||||
Textainer Marine Containers, | ||||||||
4.700%, 06/15/26 (B) | 1,573 | 1,604 | ||||||
Trinity Rail Leasing, Ser 2006-1A, Cl A1 | ||||||||
5.900%, 05/14/36 (B) | 1,199 | 1,298 | ||||||
Trip Rail Master Funding | ||||||||
4.370%, 07/15/41 (B) | 2,026 | 2,040 | ||||||
Triton Container Finance, | ||||||||
0.410%, 11/26/21 (A) (B) | 2,053 | 1,935 | ||||||
Triton Container Finance, | ||||||||
0.380%, 02/26/19 (A) (B) | 1,130 | 1,088 | ||||||
|
| |||||||
129,084 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $191,872) ($ Thousands) | 182,183 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.8% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/36 | 1,580 | 1,982 | ||||||
FHLMC | ||||||||
6.750%, 03/15/31 | 1,170 | 1,684 | ||||||
0.110%, 06/05/12 (D) | 3,180 | 3,180 | ||||||
FICO STRIPS | ||||||||
9.800%, 04/06/18 | 850 | 1,232 | ||||||
9.700%, 04/05/19 | 1,050 | 1,556 | ||||||
8.600%, 09/26/19 | 2,490 | 3,581 | ||||||
3.448%, 02/08/18 to 09/26/19 (D) | 11,780 | 10,351 | ||||||
2.598%, 12/27/15 (D) (G) | 1,745 | 1,672 | ||||||
1.847%, 02/08/13 (D) (G) | 2,225 | 2,212 | ||||||
FNMA | ||||||||
6.250%, 05/15/29 | 2,110 | 2,864 | ||||||
5.250%, 08/01/12 | 1,860 | 1,890 | ||||||
4.557%, 10/09/19 (D) | 3,580 | 2,769 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/39 | $ | 880 | $ | 1,055 | ||||
4.625%, 09/15/60 | 1,370 | 1,495 | ||||||
3.875%, 02/15/21 | 1,510 | 1,686 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost $35,476) ($ Thousands) | 39,209 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.3% |
| |||||||
American Municipal Power, | ||||||||
6.270%, 02/15/50 | 100 | 110 | ||||||
Brazos Higher Education Authority, Ser 2006-2, RB | ||||||||
1.746%, 06/25/42 (A) | 1,250 | 1,049 | ||||||
County of Clark Nevada, Ser C, RB | ||||||||
6.820%, 07/01/45 | 570 | 752 | ||||||
Florida Educational Loan Marketing, Sub-Ser B, AMT, RB | ||||||||
0.555%, 12/01/36 (A) | 2,350 | 1,763 | ||||||
Los Angeles, Community College | ||||||||
6.750%, 08/01/49 | 545 | 708 | ||||||
Los Angeles, Department of | ||||||||
6.574%, 07/01/45 | 840 | 1,125 | ||||||
Municipal Electric | ||||||||
6.655%, 04/01/57 | 320 | 354 | ||||||
6.637%, 04/01/57 | 560 | 623 | ||||||
New Jersey, State Turnpike Authority, RB | ||||||||
7.102%, 01/01/41 | 685 | 937 | ||||||
North Texas, Tollway Authority, RB | ||||||||
6.718%, 01/01/49 | 613 | 788 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/11 | 215 | 221 | ||||||
Pennsylvania, Higher Education Assistance Agency, Sub-Ser, RB | ||||||||
13.272%, 05/01/46 (A) | 4,700 | 4,348 | ||||||
Santa Clara, Valley Transportation Authority, RB | ||||||||
5.876%, 04/01/32 | 690 | 834 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/40 | 610 | 799 | ||||||
7.550%, 04/01/39 | 1,110 | 1,440 | ||||||
7.300%, 10/01/39 | 2,735 | 3,424 | ||||||
6.650%, 03/01/22 | 265 | 318 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/19 | 1,005 | 1,105 | ||||||
5.665%, 03/01/18 | 2,980 | 3,250 | ||||||
5.365%, 03/01/17 | 350 | 381 | ||||||
5.100%, 06/01/33 | 2,725 | 2,569 |
62 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) (1) | Market Value ($ Thousands) | ||||||
University of California, Ser AD, RB | ||||||||
4.858%, 05/15/12 | $ | 630 | $ | 617 | ||||
|
| |||||||
Total Municipal Bonds |
| 27,515 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.8% |
| |||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/21 | 1,800 | 1,996 | ||||||
Malaysia Government Bond | ||||||||
4.262%, 09/15/16 | MYR | 9,750 | 3,302 | |||||
Mexican Bonos | ||||||||
8.000%, 06/11/20 | MXP | 71,870 | 6,327 | |||||
Mexico Government International | ||||||||
5.750%, 10/12/10 | 544 | 559 | ||||||
4.750%, 03/08/44 | 682 | 668 | ||||||
Poland Government International Bond | ||||||||
5.000%, 03/23/22 | 378 | 399 | ||||||
Province of Quebec Canada | ||||||||
2.750%, 08/25/21 | 550 | 552 | ||||||
Qatar Government International Bond (B) | ||||||||
5.750%, 01/20/42 | 270 | 292 | ||||||
3.125%, 01/20/17 | 565 | 576 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
4.500%, 04/04/22 (B) | 800 | 798 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/40 (C) | 248 | 299 | ||||||
United Mexican States, Ser A MTN | ||||||||
7.500%, 04/08/33 | 176 | 245 | ||||||
6.750%, 09/27/34 | 748 | 961 | ||||||
|
| |||||||
Total Sovereign Debt |
| 16,974 | ||||||
|
| |||||||
LOAN PARTICIPATIONS — 0.6% |
| |||||||
Allison Transmission | ||||||||
2.750%, 08/07/14 | 890 | 883 | ||||||
Aramark | ||||||||
2.454%, 01/26/14 | 121 | 120 | ||||||
0.145%, 01/26/14 | 18 | 17 | ||||||
Aramark LOC | ||||||||
2.454%, 01/26/14 | 12 | 12 | ||||||
Aramark, Term Loan B | ||||||||
3.829%, 07/26/16 | 267 | 266 | ||||||
Charter Communications, Term C Loan | ||||||||
3.830%, 09/06/16 | 1,283 | 1,275 | ||||||
DAE Aviation, Tranche B-1 | ||||||||
5.560%, 07/31/14 | 287 | 283 | ||||||
DAE Aviation, Tranche B-2 | ||||||||
5.560%, 09/27/14 | 275 | 271 | ||||||
First Data | ||||||||
4.242%, 03/24/18 | 1,515 | 1,379 | ||||||
First Data, Term Loan B-2 | ||||||||
2.995%, 09/24/14 | 1,837 | 1,768 |
Description | Face Amount ($ Thousands)/Shares/Contracts | Market Value ($ Thousands) | ||||||
Harrah’s Operating, Term Loan B-2 | ||||||||
3.244%, 01/28/15 | $ | 363 | $ | 345 | ||||
Las Vegas Sands, Delayed Draw | ||||||||
2.750%, 05/17/14 | 233 | 229 | ||||||
Las Vegas Sands, Term B Loan | ||||||||
2.750%, 05/17/14 | 1,027 | 1,010 | ||||||
Sungard Data Systems | ||||||||
4.148%, 02/28/16 | 238 | 238 | ||||||
4.001%, 02/28/16 | 119 | 119 | ||||||
Sunguard | ||||||||
5.875%, 02/28/16 | 410 | 410 | ||||||
3.985%, 02/28/16 | 51 | 51 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.743%, 10/10/17 | 1,860 | 1,032 | ||||||
Univision Communications | ||||||||
4.494%, 09/29/14 | 2,185 | 2,150 | ||||||
UPC Financing Partnership | ||||||||
3.795%, 12/30/16 | 85 | 85 | ||||||
|
| |||||||
Total Loan Participations |
| 11,943 | ||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Citigroup Capital XII, | 22 | 562 | ||||||
Citigroup Capital XIII, | 22 | 602 | ||||||
|
| |||||||
Total Preferred Stock |
| 1,164 | ||||||
|
| |||||||
PURCHASED OPTIONS — 0.0% |
| |||||||
CDX.NA.HY.17 Future Put, | ||||||||
Strike Price $94* | 11,181,800 | 242 | ||||||
December 2012 2 Year | ||||||||
Strike Price $99* | 260 | 203 | ||||||
December 2012 IMM | ||||||||
Strike Price $99* | 100 | 8 | ||||||
|
| |||||||
Total Purchased Options | 453 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
SemGroup Warrants, | 1,362 | 10 | ||||||
|
| |||||||
Total Warrants |
| 10 | ||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 14.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.054%, 04/26/12 (D) (H) | $ | 505 | $ | 505 | ||||
U.S. Treasury Bonds | ||||||||
7.625%, 02/15/25 | 2,950 | 4,589 | ||||||
4.500%, 02/15/36 | 3,918 | 4,782 | ||||||
4.375%, 05/15/40 | 1,280 | 1,538 | ||||||
4.375%, 05/15/41 (C) | 18,705 | 22,487 | ||||||
4.250%, 11/15/40 | 1,638 | 1,929 | ||||||
3.750%, 08/15/41 | 22,510 | 24,336 | ||||||
3.153%, 02/15/27 (D) | 5,365 | 3,395 | ||||||
3.125%, 11/15/41 (C) | 45,136 | 43,295 | ||||||
3.125%, 02/15/42 | 11,514 | 11,037 | ||||||
2.625%, 12/31/14 | 694 | 734 | ||||||
U.S. Treasury Inflation | ||||||||
3.875%, 04/15/29 | 593 | 913 | ||||||
2.375%, 01/15/25 | 938 | 1,193 | ||||||
2.125%, 02/15/41 (C) | 2,691 | 3,549 | ||||||
2.000%, 04/15/12 | 4,345 | 4,355 | ||||||
1.750%, 01/15/28 | 292 | 348 | ||||||
U.S. Treasury Notes | ||||||||
5.125%, 05/15/16 | 4,106 | 4,822 | ||||||
4.500%, 02/15/16 | 2,903 | 3,318 | ||||||
3.500%, 05/15/20 | 1,504 | 1,692 | ||||||
3.375%, 11/15/19 | 2,722 | 3,039 | ||||||
3.250%, 03/31/17 | 32,660 | 32,864 | ||||||
2.375%, 02/28/15 | 5,418 | 5,706 | ||||||
2.125%, 08/15/21 | 1,271 | 1,270 | ||||||
2.000%, 11/15/21 (C) | 35,520 | 34,973 | ||||||
2.000%, 02/15/22 (C) | 17,897 | 17,553 | ||||||
1.875%, 02/28/14 | 2,100 | 2,161 | ||||||
1.500%, 07/15/12 | 9,975 | 10,014 | ||||||
1.500%, 03/31/19 | 9,265 | 9,195 | ||||||
1.375%, 09/15/12 | 1,750 | 1,760 | ||||||
1.375%, 02/28/19 (C) | 8,771 | 8,646 | ||||||
1.000%, 08/31/16 | 5,482 | 5,506 | ||||||
1.000%, 09/30/16 | 1,040 | 1,044 | ||||||
1.000%, 10/31/16 | 3,102 | 3,110 | ||||||
0.875%, 12/31/16 | 402 | 400 | ||||||
0.875%, 01/31/17 (C) | 9,685 | 9,625 | ||||||
0.875%, 02/28/17 (C) | 9,563 | 9,496 | ||||||
0.375%, 03/15/15 | 6,908 | 6,882 | ||||||
0.250%, 03/31/14 | 921 | 919 | ||||||
0.250%, 02/15/15 | 171 | 170 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $300,587) ($ Thousands) |
| 303,150 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 3.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.180%**† (I) | 68,291,339 | 64,714 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 64,714 | ||||||
|
|
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 6.9% |
| |||||||
SEI Daily Income Trust, | ||||||||
0.080%**† | 146,169,075 | $ | 146,169 | |||||
|
| |||||||
Total Cash Equivalent | 146,169 | |||||||
|
| |||||||
Total Investments — 110.7% |
| |||||||
(Cost $2,316,308) ($ Thousands) |
| $ | 2,348,080 | |||||
|
| |||||||
WRITTEN OPTIONS — 0.0% |
| |||||||
CDX.NA.HY.17 Future Put, Expires 06/16/12, | (22,363,600 | ) | $ | (161 | ) | |||
December 2012 2 Year | (260 | ) | (101 | ) | ||||
September 2012 IMM | (100 | ) | (3 | ) | ||||
June 2012 10 Year U.S. Treasury Note, | (76 | ) | (46 | ) | ||||
November 2020 U.S. CPI Consumers NSA Call, Expires: 11/21/20 | (3,990,000 | ) | (10 | ) | ||||
|
| |||||||
Total Written Options (Premiums Received $(657) ($ Thousands) |
| $ | (321 | ) | ||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Euro-Bond Index | 48 | Jun-2012 | $ | (3 | ) | |||||||
U.S. 10-Year Treasury Note | (212 | ) | Jun-2012 | (48 | ) | |||||||
U.S. 2-Year Treasury Note | (276 | ) | Jun-2012 | 41 | ||||||||
U.S. 5-Year Treasury Note | (221 | ) | Jun-2012 | 132 | ||||||||
U.S. Long Treasury Bond | (296 | ) | Jun-2012 | 1,105 | ||||||||
U.S. Ultra Long Treasury Bond | 146 | Jun-2012 | (851 | ) | ||||||||
|
| |||||||||||
$ | 376 | |||||||||||
|
|
For the period ended March 31, 2012, 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 March 31, 2012, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||||||||||
5/16/12 | EUR | 16,061 | USD | 20,972 | $ | (417 | ) | |||||||||||||
5/16/12 | USD | 6,877 | CAD | 6,866 | (12 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (429 | ) | ||||||||||||||||||
|
|
64 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
A summary of the counterparties for the outstanding forward foreign currency contracts held by the fund at March 31, 2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
Citigroup | (22,255 | ) | 21,948 | $ | (308 | ) | ||||||
JPMorgan Chase Bank | (6,011 | ) | 5,890 | (121 | ) | |||||||
|
| |||||||||||
$ | (429 | ) | ||||||||||
|
|
A summary of outstanding swap agreements held by the Fund at March 31, 2012, 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 | CMBX.NA.AJ.1 Index | BUY | (0.84 | ) | 10/12/52 | 2,590 | $ | (1,136 | ) | |||||||||||
Barclays Bank PLC | France Government Bond | SELL | 0.25 | 09/20/16 | (6,125 | ) | (25 | ) | ||||||||||||
Credit Suisse | CMBX.NA.AJ.1 Index | BUY | (0.84 | ) | 10/12/49 | 3,055 | (1,301 | ) | ||||||||||||
Deutsche Bank | Metlife, Inc. | SELL | 1.00 | 06/20/18 | (1,590 | ) | (48 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (2,510 | ) | ||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Citigroup | 2.92% | 3MLIBOR (PAYMENT AT MATURITY) | 02/16/27 | 3 ,260 | $ | (39 | ) | |||||||
Deutsche Bank | IOS.FN30.450.10 INDEX | PAY: 1 Month USD LIBOR | 01/12/41 | 3,256 | 64 | |||||||||
Morgan Stanley | 2.83% | 3-Month LIBOR | 02/18/42 | 3 ,670 | 156 | |||||||||
Morgan Stanley | IOS.FN30.500.10 INDEX | PAY: 1 Month USD LIBOR | 01/12/41 | 2,418 | 41 | |||||||||
Morgan Stanley | 2.06% | 3-Month LIBOR | 01/30/22 | 22,270 | 352 | |||||||||
|
| |||||||||||||
$ | 574 | |||||||||||||
|
|
Percentages are based on a Net Assets of $2,121,131 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. The date reported on the Schedule of Investments is the next reset date. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | This security or a partial position of this security is on loan at March 31, 2012 (see Note 9). The total value of securities on loan at March 31, 2012 was $66,329 ($ Thousands). |
(D) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(E) | Security in default on interest payments. |
(F) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2012. The coupon on a step bond changes on a specified date. |
(G) | The rate reported is the effective yield at time of purchase. |
(H) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(I) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of March 31, 2012 was $64,714 ($ Thousands) |
ABS — Asset-Backed Security
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
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
USD — United States Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
March 31, 2012
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 952,413 | $ | — | $ | 952,413 | ||||||||
Corporate Obligations | — | 602,180 | 3 | 602,183 | ||||||||||||
Asset-Backed Securities | — | 182,183 | — | 182,183 | ||||||||||||
U.S. Government Agency Obligations | — | 39,209 | — | 39,209 | ||||||||||||
Municipal Bonds | — | 27,515 | — | 27,515 | ||||||||||||
Sovereign Debt | — | 16,974 | — | 16,974 | ||||||||||||
Loan Participations | — | 11,943 | — | 11,943 | ||||||||||||
Preferred Stock | 1,164 | — | — | 1,164 | ||||||||||||
Purchased Options | 211 | 242 | — | 453 | ||||||||||||
Warrant | — | 10 | — | 10 | ||||||||||||
U.S. Treasury Obligations | — | 303,150 | — | 303,150 | ||||||||||||
Cash Equivalent | 146,169 | — | — | 146,169 | ||||||||||||
Affiliated Partnership | — | 64,714 | — | 64,714 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 147,544 | $ | 2,200,533 | $ | 3 | $ | 2,348,080 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 376 | $ | — | $ | — | $ | 376 | ||||||||
Written Options | (150 | ) | (171 | ) | — | (321 | ) | |||||||||
Forwards* | — | (429 | ) | — | (429 | ) | ||||||||||
Credit Default Swaps* | — | (2,510 | ) | — | (2,510 | ) | ||||||||||
Interest Rate Swaps* | — | 574 | — | 574 | ||||||||||||
|
|
|
|
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|
|
| |||||||||
Total Other Financial Instruments | $ | 226 | $ | (2,536 | ) | $ | — | $ | (2,310 | ) | ||||||
|
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|
|
* | Futures contracts, forward contracts and swaps are valued at the unrealized appreciation/depreciation on the instrument. |
Investments in Obligations | ||||
Beginning balance as of October 1, 2011 | $ | 3 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 3 | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | — | ||
|
|
During the period ended March 31, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2012, there have been no 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.
66 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 38.6% |
| |||||||
Agency Mortgage-Backed Obligations — 30.9% |
| |||||||
FHLB CMO, Ser 2007-1067, Cl 1 | ||||||||
5.300%, 06/15/12 | $ | 199 | $ | 200 | ||||
FHLMC | ||||||||
11.000%, 02/17/21 | 333 | 370 | ||||||
10.000%, 03/17/26 to 10/01/30 | 1,163 | 1,376 | ||||||
7.500%, 01/01/32 to 09/01/38 | 1,341 | 1,598 | ||||||
6.500%, 10/01/31 to 09/01/38 | 2,244 | 2,532 | ||||||
6.000%, 08/01/15 to 10/01/38 | 5,770 | 6,372 | ||||||
5.500%, 08/23/17 to 10/01/39 | 9,453 | 10,359 | ||||||
5.000%, 09/01/33 to 08/01/41 | 11,206 | 12,287 | ||||||
4.500%, 04/01/35 to 10/01/41 | 7,443 | 8,014 | ||||||
4.000%, 11/01/31 to 10/01/41 | 9,188 | 9,714 | ||||||
3.500%, 01/01/32 to 04/01/32 | 1,016 | 1,061 | ||||||
FHLMC ARM (A) | ||||||||
6.479%, 10/01/37 | 217 | 240 | ||||||
6.385%, 02/01/37 | 254 | 275 | ||||||
6.138%, 06/01/37 | 45 | 49 | ||||||
6.012%, 04/01/37 | 94 | 103 | ||||||
6.006%, 11/01/36 | 169 | 179 | ||||||
6.002%, 10/01/37 | 103 | 110 | ||||||
5.996%, 10/01/37 | 140 | 151 | ||||||
5.992%, 04/01/37 | 173 | 183 | ||||||
5.985%, 06/01/38 | 446 | 482 | ||||||
5.968%, 01/01/37 | 734 | 794 | ||||||
5.963%, 07/01/37 | 325 | 352 | ||||||
5.941%, 03/01/37 | 16 | 18 | ||||||
5.928%, 06/01/36 | 156 | 169 | ||||||
5.831%, 11/01/37 | — | — | ||||||
5.776%, 07/01/38 | 217 | 235 | ||||||
5.717%, 05/01/37 | 607 | 637 | ||||||
5.707%, 05/01/37 | 350 | 369 | ||||||
5.690%, 03/01/36 | 96 | 104 | ||||||
5.681%, 03/01/36 | 100 | 109 | ||||||
5.621%, 04/01/37 | 68 | 73 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.610%, 06/01/37 | $ | 282 | $ | 305 | ||||
5.594%, 08/01/39 | 329 | 356 | ||||||
5.590%, 10/01/38 | 87 | 94 | ||||||
5.135%, 03/01/37 | 359 | 381 | ||||||
5.055%, 07/01/36 | 283 | 303 | ||||||
4.989%, 01/01/35 | 232 | 247 | ||||||
4.916%, 02/01/36 | 635 | 680 | ||||||
4.617%, 05/01/38 | 242 | 258 | ||||||
4.456%, 05/01/37 | 424 | 451 | ||||||
3.295%, 03/01/36 | 924 | 992 | ||||||
2.885%, 11/01/36 | 50 | 54 | ||||||
2.499%, 11/01/36 | 536 | 573 | ||||||
2.470%, 12/01/36 | 536 | 574 | ||||||
2.415%, 12/01/36 | 365 | 391 | ||||||
2.328%, 10/01/36 | 7 | 8 | ||||||
2.117%, 10/01/36 | 317 | 335 | ||||||
FHLMC CMO, Ser 1591, Cl PV | ||||||||
6.250%, 10/15/23 | 1,149 | 1,204 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/28 | 509 | 581 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/32 | 504 | 579 | ||||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.289%, 07/25/33 (A) | 8 | 9 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/43 | 89 | 102 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/43 | 120 | 137 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/44 | 124 | 142 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.859%, 03/15/20 (A) | 86 | 98 | ||||||
FHLMC CMO, Ser 2005-2967, PO | ||||||||
3.417%, 04/15/20 | 212 | 207 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/35 | 206 | 230 | ||||||
FHLMC CMO, Ser 2005-3077, Cl TO, PO | ||||||||
1.427%, 04/15/35 | 244 | 229 | ||||||
FHLMC CMO, Ser 2006-3117, PO | ||||||||
2.760%, 02/15/36 | 238 | 217 | ||||||
FHLMC CMO, Ser 2006-3153, Cl EO, PO | ||||||||
2.902%, 05/15/36 | 187 | 167 | ||||||
FHLMC CMO, Ser 2006-3200, PO | ||||||||
4.280%, 08/15/36 | 265 | 250 | ||||||
FHLMC CMO, Ser 2007-3316, PO | ||||||||
3.160%, 05/15/37 | 72 | 65 | ||||||
FHLMC CMO, Ser 2007-3316, Cl GD | ||||||||
5.500%, 06/15/35 | 750 | 803 | ||||||
FHLMC CMO, Ser 2007-3318, Cl DB | ||||||||
6.000%, 05/15/27 | 400 | 458 | ||||||
FHLMC CMO, Ser 2007-3385, Cl SN, IO | ||||||||
5.758%, 11/15/37 (A) | 307 | 38 | ||||||
FHLMC CMO, Ser 2008-3407, Cl B | ||||||||
5.500%, 01/15/38 | 341 | 376 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2008-3451, Cl SA, IO | ||||||||
5.808%, 05/15/38 (A) | $ | 373 | $ | 46 | ||||
FHLMC CMO, Ser 2008-3455, Cl AC | ||||||||
5.000%, 06/15/38 | 390 | 420 | ||||||
FHLMC CMO, Ser 2008-3461, Cl LZ | ||||||||
6.000%, 06/15/38 | 250 | 283 | ||||||
FHLMC CMO, Ser 2009-3508, Cl PK | ||||||||
4.000%, 02/15/39 | 116 | 120 | ||||||
FHLMC CMO, Ser 2009-3510, Cl OD, PO | ||||||||
1.486%, 02/15/37 | 219 | 203 | ||||||
FHLMC CMO, Ser 2009-3529, Cl AG | ||||||||
6.500%, 04/15/39 | 1,192 | 1,335 | ||||||
FHLMC CMO, Ser 2009-3598, Cl MA | ||||||||
4.500%, 11/15/38 | 257 | 268 | ||||||
FHLMC CMO, Ser 2009-3604, Cl PO, PO | ||||||||
2.838%, 05/15/36 | 407 | 363 | ||||||
FHLMC CMO, Ser 2009-3607, Cl TO, PO | ||||||||
2.671%, 10/15/39 | 218 | 194 | ||||||
FHLMC CMO, Ser 2009-3613, Cl HJ | ||||||||
5.500%, 12/15/39 | 1,894 | 2,069 | ||||||
FHLMC CMO, Ser 2010-3621, PO | ||||||||
1.170%, 01/15/40 | 145 | 137 | ||||||
FHLMC CMO, Ser 2010-3622, Cl WA | ||||||||
5.500%, 09/15/39 | 693 | 756 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CA | ||||||||
4.000%, 12/15/36 | 1,924 | 2,007 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CT | ||||||||
7.000%, 12/15/36 | 798 | 945 | ||||||
FHLMC CMO, Ser 2010-3714, Cl IP, IO | ||||||||
5.000%, 08/15/40 | 394 | 72 | ||||||
FHLMC CMO, Ser 2010-3739, Cl LI, IO | ||||||||
4.000%, 03/15/34 | 528 | 39 | ||||||
FHLMC CMO, Ser 2010-3747, Cl HI, IO | ||||||||
4.500%, 07/15/37 | 752 | 93 | ||||||
FHLMC CMO, Ser 2010-3756, Cl IP, IO | ||||||||
4.000%, 08/15/35 | 893 | 75 | ||||||
FHLMC CMO, Ser 2010-3759, Cl HI, IO | ||||||||
4.000%, 08/15/37 | 731 | 98 | ||||||
FHLMC CMO, Ser 2010-3760, Cl GI, IO | ||||||||
4.000%, 10/15/37 | 455 | 56 | ||||||
FHLMC CMO, Ser 2011-3800, Cl AI, IO | ||||||||
4.000%, 11/15/29 | 662 | 76 | ||||||
FHLMC CMO, Ser 2011-3804, Cl FN | ||||||||
0.692%, 03/15/39 (A) | 1,228 | 1,228 | ||||||
FHLMC CMO, Ser 2011-3819, Cl ZQ | ||||||||
6.000%, 04/15/36 | 1,062 | 1,236 | ||||||
FHLMC CMO, Ser 2011-3852, Cl QN | ||||||||
5.500%, 05/15/41 (A) | 194 | 203 | ||||||
FHLMC CMO, Ser 2011-3925, Cl FL | ||||||||
0.692%, 01/15/41 (A) | 976 | 974 | ||||||
FHLMC CMO, Ser 2011-3957, Cl B | ||||||||
4.000%, 11/15/41 | 979 | 1,035 | ||||||
FHLMC CMO, Ser 2033, Cl HC | ||||||||
6.500%, 02/15/28 | 192 | 219 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2075, Cl D | ||||||||
6.500%, 08/15/28 | $ | 370 | $ | 383 | ||||
FHLMC CMO, Ser 239, Cl S30, IO | ||||||||
7.458%, 08/15/36 (A) | 716 | 109 | ||||||
FHLMC CMO, Ser 2434, Cl ZA | ||||||||
6.500%, 04/15/32 | 441 | 505 | ||||||
FHLMC CMO, Ser 2458, Cl ZM | ||||||||
6.500%, 06/15/32 | 322 | 360 | ||||||
FHLMC CMO, Ser 2587, Cl CO, PO | ||||||||
1.223%, 03/15/32 | 89 | 88 | ||||||
FHLMC CMO, Ser 2591, Cl QO | ||||||||
4.500%, 03/15/18 | 269 | 286 | ||||||
FHLMC CMO, Ser 2631, Cl SA | ||||||||
14.407%, 06/15/33 (A) | 179 | 213 | ||||||
FHLMC CMO, Ser 2695, Cl OB, PO | ||||||||
43.643%, 10/15/33 | 36 | 31 | ||||||
FHLMC CMO, Ser 2695, Cl SX | ||||||||
15.967%, 10/15/33 (A) | 36 | 40 | ||||||
FHLMC CMO, Ser 2698, Cl SV | ||||||||
8.637%, 11/15/33 (A) | 10 | 10 | ||||||
FHLMC CMO, Ser 2725, Cl SC | ||||||||
8.709%, 11/15/33 (A) | 55 | 59 | ||||||
FHLMC CMO, Ser 2812, Cl NO, PO | ||||||||
19.087%, 10/15/33 | 42 | 39 | ||||||
FHLMC CMO, Ser 2864, Cl NB | ||||||||
5.500%, 07/15/33 | 1,007 | 1,126 | ||||||
FHLMC CMO, Ser 2903, Cl UZ | ||||||||
5.500%, 07/15/31 | 4 | 4 | ||||||
FHLMC CMO, Ser 2950, Cl JO, PO | ||||||||
0.803%, 03/15/20 | 125 | 122 | ||||||
FHLMC CMO, Ser 2990, Cl LK | ||||||||
0.612%, 10/15/34 (A) | 405 | 404 | ||||||
FHLMC CMO, Ser 3001, Cl HP | ||||||||
21.033%, 05/15/35 (A) | 116 | 175 | ||||||
FHLMC CMO, Ser 3006, Cl QS | ||||||||
19.495%, 07/15/35 (A) | 282 | 403 | ||||||
FHLMC CMO, Ser 3012, Cl GK | ||||||||
23.662%, 06/15/35 (A) | 133 | 214 | ||||||
FHLMC CMO, Ser 3137, Cl XP | ||||||||
6.000%, 04/15/36 | 213 | 241 | ||||||
FHLMC CMO, Ser 3217, Cl CX, IO | ||||||||
6.348%, 09/15/36 (A) | 707 | 111 | ||||||
FHLMC CMO, Ser 3225, Cl EO, PO | ||||||||
1.894%, 10/15/36 | 338 | 307 | ||||||
FHLMC CMO, Ser 3262, Cl SG, IO | ||||||||
6.158%, 01/15/37 (A) | 692 | 93 | ||||||
FHLMC CMO, Ser 3342, Cl VG | ||||||||
6.000%, 11/15/23 | 300 | 331 | ||||||
FHLMC CMO, Ser 3373, Cl TO, PO | ||||||||
1.473%, 04/15/37 | 98 | 92 | ||||||
FHLMC CMO, Ser 3383, Cl SA, IO | ||||||||
6.208%, 11/15/37 (A) | 772 | 112 | ||||||
FHLMC CMO, Ser 3422, Cl SE | ||||||||
16.846%, 02/15/38 (A) | 69 | 94 |
68 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 3515, Cl PI, IO | ||||||||
5.500%, 07/15/37 | $ | 324 | $ | 37 | ||||
FHLMC CMO, Ser 3607, Cl BO, PO | ||||||||
2.038%, 04/15/36 | 100 | 90 | ||||||
FHLMC CMO, Ser 3611, Cl PO, PO | ||||||||
1.642%, 07/15/34 | 149 | 138 | ||||||
FHLMC CMO, Ser 3626, Cl MA | ||||||||
5.000%, 02/15/30 | 2,357 | 2,460 | ||||||
FHLMC CMO, Ser 3631, Cl PA | ||||||||
4.000%, 02/15/40 | 578 | 601 | ||||||
FHLMC CMO, Ser 3632, Cl BS | ||||||||
16.694%, 02/15/40 (A) | 100 | 154 | ||||||
FHLMC CMO, Ser 3688, Cl NI, IO | ||||||||
5.000%, 04/15/32 | 746 | 92 | ||||||
FHLMC CMO, Ser 6960, Cl SJ | ||||||||
8.787%, 10/15/33 (A) | 156 | 152 | ||||||
FHLMC CMO, Ser T-42, Cl A5 | ||||||||
7.500%, 02/25/42 | 828 | 990 | ||||||
FHLMC CMO, Ser T-51, Cl 1A | ||||||||
6.500%, 09/25/43 (A) | 204 | 231 | ||||||
FHLMC CMO, Ser T-54, Cl 2A | ||||||||
6.500%, 02/25/43 | 137 | 154 | ||||||
FHLMC CMO, Ser T-54, Cl 3A | ||||||||
7.000%, 02/25/43 | 444 | 517 | ||||||
FHLMC CMO, Ser T-57, Cl 1A2 | ||||||||
7.000%, 07/25/43 | 575 | 657 | ||||||
FHLMC CMO, Ser T-58, Cl 4A | ||||||||
7.500%, 09/25/43 | 648 | 762 | ||||||
FHLMC CMO, Ser T-60, Cl 1A2 | ||||||||
7.000%, 03/25/44 | 216 | 255 | ||||||
FHLMC CMO, Ser T-76, Cl 2A | ||||||||
4.746%, 10/25/37 (A) | 320 | 327 | ||||||
FHLMC Multifamily Structured | ||||||||
4.317%, 11/25/19 | 371 | 412 | ||||||
FHLMC Multifamily Structured | ||||||||
3.871%, 04/25/21 | 484 | 523 | ||||||
FHLMC Multifamily Structured | ||||||||
4.768%, 05/25/18 | 342 | 383 | ||||||
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/36 | 354 | 413 | ||||||
FHLMC TBA | ||||||||
4.000%, 05/15/41 | 1,500 | 1,565 | ||||||
3.500%, 04/15/42 | 4,280 | 4,385 | ||||||
3.000%, 06/15/27 | 2,100 | 2,159 | ||||||
FHLMC-GNMA CMO, | ||||||||
6.250%, 10/25/23 | 388 | 412 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA | ||||||||
7.500%, 10/01/37 to 04/01/39 | $ | 1,035 | $ | 1,241 | ||||
7.000%, 04/01/32 to 01/01/39 | 600 | 690 | ||||||
6.500%, 05/01/27 to 10/01/38 | 2,266 | 2,576 | ||||||
6.000%, 10/01/19 to 10/01/38 | 17,068 | 18,966 | ||||||
5.500%, 02/01/21 to 08/01/40 | 6,133 | 6,721 | ||||||
5.000%, 01/01/20 to 09/01/41 | 31,062 | 33,898 | ||||||
4.640%, 01/01/21 | 494 | 553 | ||||||
4.540%, 01/01/20 | 487 | 543 | ||||||
4.530%, 12/01/19 | 490 | 547 | ||||||
4.500%, 08/01/21 to 12/01/41 | 9,422 | 10,162 | ||||||
4.390%, 05/01/21 | 250 | 277 | ||||||
4.380%, 01/01/21 to 04/01/21 | 1,486 | 1,647 | ||||||
4.369%, 02/01/20 | 490 | 544 | ||||||
4.360%, 05/01/21 | 1,000 | 1,140 | ||||||
4.303%, 07/01/21 | 1,186 | 1,316 | ||||||
4.301%, 01/01/21 | 296 | 329 | ||||||
4.300%, 04/01/21 | 250 | 276 | ||||||
4.291%, 06/01/21 | 497 | 552 | ||||||
4.250%, 04/01/21 | 750 | 825 | ||||||
4.240%, 06/01/21 | 1,000 | 1,101 | ||||||
4.130%, 08/01/21 | 993 | 1,086 | ||||||
4.066%, 07/01/20 | 400 | 432 | ||||||
4.060%, 07/01/21 | 1,000 | 1,089 | ||||||
4.000%, 01/01/32 to 04/01/32 | 979 | 1,040 | ||||||
3.738%, 06/01/18 | 895 | 972 | ||||||
3.632%, 12/01/20 | 1,251 | 1,339 | ||||||
3.590%, 12/01/20 | 490 | 522 | ||||||
3.505%, 09/01/20 | 977 | 1,037 | ||||||
3.500%, 01/01/26 to 11/01/41 | 6,549 | 6,887 | ||||||
3.430%, 10/01/20 | 982 | 1,037 | ||||||
3.290%, 10/01/20 | 350 | 369 | ||||||
3.230%, 11/01/20 | 350 | 366 | ||||||
2.970%, 11/01/18 | 489 | 511 | ||||||
2.690%, 10/01/17 | 350 | 365 | ||||||
FNMA ARM (A) | ||||||||
6.320%, 10/01/36 | 46 | 50 | ||||||
6.277%, 09/01/37 | 92 | 101 | ||||||
6.200%, 08/01/36 | 108 | 118 | ||||||
6.124%, 12/01/36 | 49 | 53 | ||||||
6.112%, 09/01/37 | 39 | 43 | ||||||
6.097%, 11/01/37 | 73 | 80 | ||||||
6.057%, 07/01/37 | 69 | 75 | ||||||
6.055%, 07/01/37 | 364 | 392 | ||||||
6.028%, 01/01/37 | 58 | 63 | ||||||
6.026%, 10/01/37 | 104 | 113 | ||||||
5.986%, 09/01/37 | 22 | 23 | ||||||
5.977%, 04/01/37 | 82 | 89 | ||||||
5.957%, 01/01/37 | 107 | 116 | ||||||
5.934%, 03/01/37 | 63 | 68 | ||||||
5.922%, 04/01/37 | 113 | 120 | ||||||
5.881%, 07/01/37 | 126 | 136 | ||||||
5.880%, 04/01/36 | 274 | 295 | ||||||
5.879%, 09/01/37 | 58 | 64 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.878%, 02/01/37 | $ | 64 | $ | 69 | ||||
5.864%, 09/01/37 | 248 | 269 | ||||||
5.858%, 10/01/37 | 38 | 42 | ||||||
5.852%, 09/01/37 | 164 | 178 | ||||||
5.729%, 10/01/37 | 70 | 76 | ||||||
5.611%, 01/01/23 | 193 | 210 | ||||||
5.500%, 07/01/37 | 323 | 345 | ||||||
5.482%, 02/01/39 | 183 | 198 | ||||||
5.226%, 11/01/37 | 398 | 424 | ||||||
4.337%, 07/01/37 | 193 | 204 | ||||||
3.926%, 11/01/36 | 166 | 178 | ||||||
3.873%, 11/01/37 | 241 | 259 | ||||||
3.220%, 03/01/36 | 307 | 326 | ||||||
2.921%, 11/01/36 | 273 | 291 | ||||||
2.798%, 12/01/36 | 496 | 532 | ||||||
2.651%, 12/01/36 | 233 | 249 | ||||||
2.601%, 05/01/36 | 380 | 404 | ||||||
2.572%, 06/01/36 | 512 | 548 | ||||||
2.570%, 09/01/36 | 96 | 103 | ||||||
2.373%, 09/01/36 | 348 | 372 | ||||||
2.192%, 02/01/37 | 506 | 534 | ||||||
1.912%, 09/01/36 | 253 | 267 | ||||||
1.006%, 01/01/19 | 200 | 201 | ||||||
FNMA CMO STRIPS, | ||||||||
5.000%, 08/01/35 | 1,047 | 167 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/29 | 322 | 354 | ||||||
FNMA CMO, Ser 2000-18, Cl EC, PO | ||||||||
2.233%, 10/25/23 | 115 | 105 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/45 | 202 | 229 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/32 | 91 | 105 | ||||||
FNMA CMO, Ser 2002-81, Cl JO, PO | ||||||||
1.611%, 04/25/32 | 72 | 71 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/33 | 380 | 434 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.716%, 01/25/34 (A) | 187 | 230 | ||||||
FNMA CMO, Ser 2003-23, Cl EQ | ||||||||
5.500%, 04/25/23 | 1,000 | 1,143 | ||||||
FNMA CMO, Ser 2003-23, Cl PG | ||||||||
5.500%, 01/25/32 | 217 | 222 | ||||||
FNMA CMO, Ser 2003-35, Cl EA, PO | ||||||||
4.619%, 05/25/33 | 119 | 98 | ||||||
FNMA CMO, Ser 2003-56, Cl AZ | ||||||||
5.500%, 08/25/31 | 338 | 347 | ||||||
FNMA CMO, Ser 2004-46, Cl EP, PO | ||||||||
1.433%, 03/25/34 | 181 | 171 | ||||||
FNMA CMO, Ser 2004-52, Cl PX, PO | ||||||||
2.608%, 09/25/32 | 103 | 99 | ||||||
FNMA CMO, Ser 2004-61, Cl BO, PO | ||||||||
2.090%, 10/25/32 | 105 | 100 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2004-61, Cl CO, PO | ||||||||
1.322%, 10/25/31 | $ | 29 | $ | 29 | ||||
FNMA CMO, Ser 2004-89, Cl SM | ||||||||
17.210%, 09/25/24 (A) | 568 | 773 | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.680%, 11/25/35 (A) | 762 | 1,227 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/35 | 1,518 | 1,659 | ||||||
FNMA CMO, Ser 2005-118, Cl PN | ||||||||
6.000%, 01/25/32 | 473 | 494 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/35 | 166 | 183 | ||||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.271%, 08/25/35 (A) | 231 | 305 | ||||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.271%, 10/25/35 (A) | 180 | 252 | ||||||
FNMA CMO, Ser 2006-117, Cl GS, IO | ||||||||
6.408%, 12/25/36 (A) | 233 | 35 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.348%, 12/25/36 (A) | 217 | 206 | ||||||
FNMA CMO, Ser 2006-15, Cl OP, PO | ||||||||
2.496%, 03/25/36 | 132 | 117 | ||||||
FNMA CMO, Ser 2006-27, Cl OH, PO | ||||||||
2.452%, 04/25/36 | 144 | 132 | ||||||
FNMA CMO, Ser 2006-43, Cl VB | ||||||||
6.500%, 10/25/17 | 272 | 278 | ||||||
FNMA CMO, Ser 2006-56, Cl FC | ||||||||
0.532%, 07/25/36 (A) | 298 | 297 | ||||||
FNMA CMO, Ser 2006-59, Cl CO, PO | ||||||||
2.482%, 08/25/35 | 1 | 1 | ||||||
FNMA CMO, Ser 2006-59, Cl QO, PO | ||||||||
1.764%, 01/25/33 | 108 | 99 | ||||||
FNMA CMO, Ser 2006-60, Cl DO, PO | ||||||||
3.834%, 04/25/35 | 137 | 125 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/36 | 581 | 683 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/36 | 144 | 168 | ||||||
FNMA CMO, Ser 2007-100, Cl SM, IO | ||||||||
6.208%, 10/25/37 (A) | 570 | 83 | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.492%, 06/27/36 (A) | 202 | 200 | ||||||
FNMA CMO, Ser 2007-112, Cl SA, IO | ||||||||
6.208%, 12/25/37 (A) | 484 | 75 | ||||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.442%, 10/27/37 (A) | 200 | 199 | ||||||
FNMA CMO, Ser 2007-116, Cl HI, IO | ||||||||
6.174%, 01/25/38 (A) | 307 | 19 | ||||||
FNMA CMO, Ser 2007-116, Cl PB | ||||||||
5.500%, 08/25/35 | 1,000 | 1,139 | ||||||
FNMA CMO, Ser 2007-27, Cl MA | ||||||||
5.500%, 11/25/29 | 12 | 12 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
21.861%, 04/25/37 (A) | 75 | 118 |
70 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2007-54, Cl FA | ||||||||
0.642%, 06/25/37 (A) | $ | 317 | $ | 316 | ||||
FNMA CMO, Ser 2007-65, Cl KI, IO | ||||||||
6.378%, 07/25/37 (A) | 488 | 72 | ||||||
FNMA CMO, Ser 2007-72, Cl EK, IO | ||||||||
6.158%, 07/25/37 (A) | 523 | 78 | ||||||
FNMA CMO, Ser 2007-75, Cl EO, PO | ||||||||
4.169%, 01/25/36 | 200 | 187 | ||||||
FNMA CMO, Ser 2007-77, Cl PD | ||||||||
6.000%, 10/25/36 | 1,000 | 1,143 | ||||||
FNMA CMO, Ser 2007-83, Cl PC | ||||||||
6.000%, 10/25/33 | 973 | 992 | ||||||
FNMA CMO, Ser 2007-85, Cl SG | ||||||||
15.646%, 09/25/37 (A) | 133 | 182 | ||||||
FNMA CMO, Ser 2008-35, Cl IM, IO | ||||||||
0.642%, 10/25/16 (A) | 748 | 6 | ||||||
FNMA CMO, Ser 2008-4, Cl SD, IO | ||||||||
5.758%, 02/25/38 (A) | 936 | 135 | ||||||
FNMA CMO, Ser 2008-95, Cl BA | ||||||||
5.000%, 01/25/24 | 250 | 286 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
4.000%, 12/25/39 (A) | 321 | 343 | ||||||
FNMA CMO, Ser 2009-105, Cl CB | ||||||||
6.000%, 12/25/39 | 645 | 718 | ||||||
FNMA CMO, Ser 2009-11, Cl LC | ||||||||
4.500%, 03/25/49 | 383 | 406 | ||||||
FNMA CMO, Ser 2009-30, Cl AD | ||||||||
6.500%, 04/25/39 | 1,934 | 2,115 | ||||||
FNMA CMO, Ser 2009-30, Cl AG | ||||||||
6.500%, 05/25/39 | 2,052 | 2,292 | ||||||
FNMA CMO, Ser 2009-31, Cl A2 | ||||||||
4.287%, 07/25/19 | 661 | 727 | ||||||
FNMA CMO, Ser 2009-52, Cl PI, IO | ||||||||
5.000%, 07/25/39 | 467 | 70 | ||||||
FNMA CMO, Ser 2009-66, Cl KE | ||||||||
4.000%, 09/25/39 | 719 | 748 | ||||||
FNMA CMO, Ser 2009-70, Cl CO, PO | ||||||||
3.340%, 01/25/37 | 345 | 305 | ||||||
FNMA CMO, Ser 2009-84, Cl WS, IO | ||||||||
5.658%, 10/25/39 (A) | 379 | 47 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
4.056%, 03/25/37 | 2,328 | 2,216 | ||||||
FNMA CMO, Ser 2009-86, Cl IP, IO | ||||||||
5.500%, 10/25/39 | 247 | 36 | ||||||
FNMA CMO, Ser 2009-86, Cl OT, PO | ||||||||
2.469%, 10/25/37 | 286 | 259 | ||||||
FNMA CMO, Ser 2009-86, Cl UI, IO | ||||||||
4.000%, 10/25/14 | 1,072 | 55 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/39 | 232 | 246 | ||||||
FNMA CMO, Ser 2009-99, Cl SC, IO | ||||||||
5.938%, 12/25/39 (A) | 399 | 52 | ||||||
FNMA CMO, Ser 2009-99, Cl WA | ||||||||
6.286%, 12/25/39 (A) | 376 | 420 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/19 | $ | 691 | $ | 754 | ||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.149%, 02/25/40 (A) | 165 | 189 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/40 (A) | 180 | 207 | ||||||
FNMA CMO, Ser 2010-23, Cl KS, IO | ||||||||
6.858%, 02/25/40 (A) | 638 | 94 | ||||||
FNMA CMO, Ser 2010-35, Cl SB, IO | ||||||||
6.178%, 04/25/40 (A) | 475 | 59 | ||||||
FNMA CMO, Ser 2010-39, Cl OT, PO | ||||||||
2.954%, 10/25/35 | 146 | 130 | ||||||
FNMA CMO, Ser 2010-45, Cl BD | ||||||||
4.500%, 11/25/38 | 500 | 544 | ||||||
FNMA CMO, Ser 2010-64, Cl DM | ||||||||
5.000%, 06/25/40 | 365 | 398 | ||||||
FNMA CMO, Ser 2010-68, Cl SA, IO | ||||||||
4.758%, 07/25/40 (A) | 1,316 | 162 | ||||||
FNMA CMO, Ser 2010-M1, Cl A2 | ||||||||
4.450%, 09/25/19 | 228 | 250 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/20 (A) | 1,049 | 1,144 | ||||||
FNMA CMO, Ser 2011-118, Cl MT | ||||||||
7.000%, 11/25/41 | 919 | 1,126 | ||||||
FNMA CMO, Ser 2011-39, Cl ZA | ||||||||
6.000%, 11/25/32 | 1,351 | 1,524 | ||||||
FNMA CMO, Ser 2011-53, Cl DT | ||||||||
4.500%, 06/25/41 | 542 | 572 | ||||||
FNMA CMO, Ser 2011-53, Cl TN | ||||||||
4.000%, 06/25/41 | 3,612 | 3,763 | ||||||
FNMA CMO, Ser 2011-78, Cl D | ||||||||
4.000%, 08/25/41 | 168 | 175 | ||||||
FNMA CMO, Ser 2012-14, Cl FG | ||||||||
0.642%, 07/25/40 (A) | 994 | 992 | ||||||
FNMA CMO, Ser 2012-3, Cl CD | ||||||||
7.000%, 02/25/42 | 762 | 864 | ||||||
FNMA CMO, Ser 2012-30, Cl NB | ||||||||
6.500%, 04/25/42 | 809 | 903 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 12/25/41 | 611 | 704 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 12/25/41 | 376 | 435 | ||||||
FNMA Grantor Trust CMO, | ||||||||
6.500%, 11/25/31 | 393 | 455 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 07/25/42 | 432 | 486 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 02/25/44 | 407 | 469 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Interest CMO, Ser 1998-300, PO | ||||||||
2.209%, 09/01/24 | $ | 177 | $ | 163 | ||||
FNMA TBA | ||||||||
6.000%, 06/01/37 | 6,300 | 6,922 | ||||||
5.000%, 04/30/37 | 2,200 | 2,376 | ||||||
4.500%, 04/14/33 to 05/01/38 | 1,800 | 1,914 | ||||||
3.500%, 04/01/41 to 04/25/42 | 16,805 | 17,226 | ||||||
3.000%, 05/25/26 to 06/25/27 | 13,590 | 14,030 | ||||||
2.500%, 05/01/17 to 04/25/27 | 1,800 | 1,823 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.858%, 06/25/42 (A) | 519 | 72 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.084%, 12/25/42 (A) | 284 | 330 | ||||||
FNMA Whole Loan CMO, | ||||||||
4.550%, 06/25/43 | 252 | 273 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/33 | 81 | 93 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 10/25/42 | 272 | 313 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 12/25/33 | 509 | 591 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 02/25/44 | 666 | 761 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.462%, 03/25/45 (A) | 684 | 679 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.500%, 12/25/45 | 339 | 397 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.462%, 02/25/36 (A) | 297 | 295 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.502%, 11/25/46 (A) | 426 | 423 | ||||||
GNMA | ||||||||
7.500%, 10/15/37 | 247 | 290 | ||||||
7.000%, 09/15/31 | 102 | 120 | ||||||
6.500%, 12/15/35 | 1,060 | 1,215 | ||||||
6.000%, 09/20/38 to 01/15/40 | 1,956 | 2,206 | ||||||
3.500%, 02/20/41 to 03/20/41 | 466 | 479 | ||||||
GNMA ARM (A) | ||||||||
3.500%, 05/20/41 to 10/20/41 | 1,223 | 1,293 | ||||||
3.000%, 08/20/41 to 01/20/42 | 1,794 | 1,880 | ||||||
2.500%, 02/20/34 (B) | 582 | 607 | ||||||
GNMA CMO, Ser 1999-47, Cl Z | ||||||||
7.500%, 12/20/29 | 514 | 594 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/31 | $ | 851 | $ | 993 | ||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/23 | 159 | 176 | ||||||
GNMA CMO, Ser 2003-97, Cl SA, IO | ||||||||
6.308%, 11/16/33 (A) | 560 | 105 | ||||||
GNMA CMO, Ser 2004-11, Cl SX | ||||||||
16.799%, 02/20/34 (A) | 37 | 58 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.758%, 04/20/34 (A) | 380 | 433 | ||||||
GNMA CMO, Ser 2004-34, Cl JO, PO | ||||||||
1.312%, 02/20/34 | 121 | 119 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/34 (A) | 166 | 178 | ||||||
GNMA CMO, Ser 2004-85, Cl PO, PO | ||||||||
1.298%, 01/17/33 | 46 | 45 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.394%, 03/17/33 (A) | 258 | 274 | ||||||
GNMA CMO, Ser 2005-28, PO | ||||||||
3.288%, 02/17/33 | 400 | 341 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/35 | 400 | 479 | ||||||
GNMA CMO, Ser 2006-34, Cl PO, PO | ||||||||
2.026%, 07/20/36 | 85 | 77 | ||||||
GNMA CMO, Ser 2006-38, Cl SG, IO | ||||||||
6.408%, 09/20/33 (A) | 499 | 46 | ||||||
GNMA CMO, Ser 2007-17, Cl AF | ||||||||
0.442%, 04/16/37 (A) | 487 | 485 | ||||||
GNMA CMO, Ser 2007-26, Cl SW, IO | ||||||||
5.958%, 05/20/37 (A) | 763 | 122 | ||||||
GNMA CMO, Ser 2007-27, Cl SD, IO | ||||||||
5.958%, 05/20/37 (A) | 452 | 72 | ||||||
GNMA CMO, Ser 2007-72, Cl US, IO | ||||||||
6.308%, 11/20/37 (A) | 285 | 44 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.288%, 12/16/37 (A) | 2,732 | 508 | ||||||
GNMA CMO, Ser 2007-82, Cl SA, IO | ||||||||
6.288%, 12/20/37 (A) | 385 | 59 | ||||||
GNMA CMO, Ser 2007-9, Cl CI, IO | ||||||||
5.958%, 03/20/37 (A) | 604 | 82 | ||||||
GNMA CMO, Ser 2008-1, PO | ||||||||
0.000%, 01/20/38 | 165 | 147 | ||||||
GNMA CMO, Ser 2008-10, Cl S, IO | ||||||||
5.588%, 02/20/38 (A) | 601 | 90 | ||||||
GNMA CMO, Ser 2008-29, Cl PO, PO | ||||||||
2.886%, 02/17/33 | 125 | 111 | ||||||
GNMA CMO, Ser 2008-33, Cl XS, IO | ||||||||
7.458%, 04/16/38 (A) | 291 | 48 | ||||||
GNMA CMO, Ser 2008-55, Cl SA, IO | ||||||||
5.958%, 06/20/38 (A) | 684 | 108 | ||||||
GNMA CMO, Ser 2009-106, Cl AS, IO | ||||||||
6.158%, 11/16/39 (A) | 640 | 97 | ||||||
GNMA CMO, Ser 2009-14, Cl KI, IO | ||||||||
6.500%, 03/20/39 | 372 | 77 |
72 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2009-24, Cl DS, IO | ||||||||
6.058%, 03/20/39 (A) | $ | 985 | $ | 139 | ||||
GNMA CMO, Ser 2009-25, Cl SE, IO | ||||||||
7.358%, 09/20/38 (A) | 480 | 72 | ||||||
GNMA CMO, Ser 2009-43, Cl SA, IO | ||||||||
5.708%, 06/20/39 (A) | 557 | 78 | ||||||
GNMA CMO, Ser 2009-44, Cl MV | ||||||||
6.000%, 04/20/20 | 1,606 | 1,784 | ||||||
GNMA CMO, Ser 2009-6, Cl SH, IO | ||||||||
5.798%, 02/20/39 (A) | 465 | 73 | ||||||
GNMA CMO, Ser 2009-65, Cl IQ, IO | ||||||||
6.000%, 12/20/38 | 226 | 39 | ||||||
GNMA CMO, Ser 2009-65, Cl TS, IO | ||||||||
6.158%, 12/20/38 (A) | 903 | 124 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
6.558%, 07/16/39 (A) | 5,277 | 764 | ||||||
GNMA CMO, Ser 2009-67, Cl SA, IO | ||||||||
5.808%, 08/16/39 (A) | 382 | 53 | ||||||
GNMA CMO, Ser 2009-75, Cl MN | ||||||||
5.500%, 09/20/39 | 500 | 580 | ||||||
GNMA CMO, Ser 2009-79, Cl OK, PO | ||||||||
2.991%, 11/16/37 | 490 | 422 | ||||||
GNMA CMO, Ser 2009-83, Cl TS, IO | ||||||||
5.858%, 08/20/39 (A) | 680 | 105 | ||||||
GNMA CMO, Ser 2010-107, Cl GX | ||||||||
4.500%, 04/20/39 | 293 | 324 | ||||||
GNMA CMO, Ser 2010-14, Cl CO, PO | ||||||||
2.909%, 08/20/35 | 125 | 98 | ||||||
GNMA CMO, Ser 2010-157, Cl OP, PO | ||||||||
2.766%, 12/20/40 | 469 | 393 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.148%, 01/16/40 (A) | 6,069 | 966 | ||||||
GNMA CMO, Ser 2010-47, Cl PX, IO | ||||||||
6.458%, 06/20/37 (A) | 964 | 153 | ||||||
GNMA CMO, Ser 2011-137, Cl WA | ||||||||
5.543%, 07/20/40 (A) | 949 | 1,047 | ||||||
GNMA TBA | ||||||||
3.500%, 06/15/41 | 200 | 207 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT | ||||||||
2.650%, 10/29/20 | 443 | 459 | ||||||
|
| |||||||
332,267 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 7.7% |
| |||||||
AAM ACE Resecuritization Trust, Ser 2011-1, Cl A20 | ||||||||
0.531%, 02/02/37 (A) (C) | 236 | 228 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A4 | ||||||||
5.750%, 09/25/48 (A) (C) | 325 | 329 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A5 | ||||||||
5.750%, 09/25/48 (A) (C) | 200 | 204 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/48 (A) (C) | $ | 300 | $ | 308 | ||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.150%, 03/25/58 (A) (C) | 162 | 167 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3 | ||||||||
5.650%, 03/25/58 (A) (C) | 190 | 199 | ||||||
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A | ||||||||
2.240%, 02/25/45 (A) | 1,139 | 925 | ||||||
Americold Trust, | ||||||||
3.847%, 01/14/29 (C) | 463 | 489 | ||||||
ASG Resecuritization Trust, | ||||||||
5.196%, 05/24/36 (A) (C) | 196 | 194 | ||||||
ASG Resecuritization Trust, | ||||||||
5.196%, 05/24/36 (A) (C) | 100 | 97 | ||||||
ASG Resecuritization Trust, | ||||||||
4.839%, 03/26/37 (A) (C) | 783 | 771 | ||||||
ASG Resecuritization Trust, | ||||||||
0.519%, 10/28/36 (A) (C) | 101 | 100 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/34 | 165 | 171 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/34 | 378 | 393 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/18 | 149 | 152 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/33 | 174 | 178 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/19 | 85 | 87 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/19 | 126 | 126 | ||||||
Banc of America Commercial Mortgage | ||||||||
5.732%, 05/10/45 (A) | 542 | 616 | ||||||
Banc of America Funding, | ||||||||
5.500%, 10/25/34 | 12 | 12 | ||||||
Banc of America Funding, | ||||||||
5.040%, 12/20/34 (A) | 75 | 74 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Funding, | ||||||||
0.412%, 07/20/36 (A) | $ | 1,050 | $ | 1,022 | ||||
Banc of America Funding, | ||||||||
5.500%, 10/26/37 (C) | 303 | 315 | ||||||
Banc of America Funding, | ||||||||
5.538%, 08/26/35 (A) (C) | 201 | 211 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.271%, 07/11/43 | 111 | 112 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
6.186%, 06/11/35 | 18 | 18 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
6.309%, 06/11/35 | 145 | 146 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.512%, 12/10/42 | 61 | 63 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.857%, 07/10/43 (A) | 365 | 399 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.668%, 07/10/43 | 100 | 109 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.727%, 07/10/43 | 300 | 312 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.115%, 10/10/45 (A) | 100 | 111 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.889%, 07/10/44 (A) | 215 | 241 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.634%, 07/10/46 | 225 | 254 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.414%, 09/10/47 | 303 | 336 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.356%, 10/10/45 | $ | 318 | $ | 351 | ||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.381%, 01/15/49 | 41 | 41 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 | ||||||||
0.792%, 05/25/18 (A) | 107 | 102 | ||||||
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 | ||||||||
0.692%, 08/25/18 (A) | 46 | 44 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26 | ||||||||
5.500%, 04/25/34 | 200 | 204 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/19 | 79 | 81 | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/19 | 112 | 115 | ||||||
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1 | ||||||||
5.500%, 11/26/34 (C) | 531 | 559 | ||||||
BCAP LLC Trust, | ||||||||
5.750%, 06/26/37 (C) | 189 | 190 | ||||||
BCAP LLC Trust, | ||||||||
5.250%, 05/26/37 (A) (C) | 35 | 35 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 04/26/37 (A) (C) | 145 | 151 | ||||||
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5 | ||||||||
5.215%, 04/26/37 (A) (C) | 329 | 327 | ||||||
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1 | ||||||||
5.500%, 11/26/37 (A) (C) | 77 | 76 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5 | ||||||||
5.010%, 04/26/35 (A) (C) | 100 | 98 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1 | ||||||||
4.624%, 07/26/45 (A) (C) | 270 | 256 | ||||||
BCAP LLC Trust, | ||||||||
1.044%, 01/26/36 (A) (C) | 147 | 139 | ||||||
BCAP LLC Trust, | ||||||||
0.882%, 02/26/47 (A) (C) | 64 | 60 | ||||||
BCAP LLC Trust, | ||||||||
4.500%, 01/26/36 (A) (C) | 204 | 209 | ||||||
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3 | ||||||||
5.000%, 08/26/37 (A) (C) | 195 | 190 | ||||||
BCAP LLC Trust, Ser 2011-RR5 | ||||||||
0.394%, 05/28/36 (A) (C) | 250 | 221 |
74 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BCAP LLC Trust, | ||||||||
2.829%, 07/26/36 (A) (C) | $ | 205 | $ | 194 | ||||
BCAP Trust, Ser 2011-RR10, Cl 2A1 | ||||||||
0.189%, 09/26/37 (A) (C) | 475 | 416 | ||||||
BCAP Trust, Ser 2012-RR2, Cl 1A1 | ||||||||
0.412%, 08/26/36 (A) (C) | 489 | 453 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
5.037%, 05/25/34 (A) | 108 | 109 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
2.220%, 08/25/35 (A) | 185 | 178 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | 46 | 46 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||||
4.240%, 08/13/39 (A) | 14 | 14 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/41 | 74 | 74 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, IO | ||||||||
0.239%, 06/11/41 (A) (C) | 2,580 | 34 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.145%, 10/12/42 (A) | 795 | 885 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A | ||||||||
5.459%, 03/11/39 (A) | 100 | 112 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A2 | ||||||||
3.061%, 12/15/47 | 336 | 349 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A4 | ||||||||
3.834%, 12/15/47 | 290 | 301 | ||||||
Chase Mortgage Finance, | ||||||||
5.155%, 10/25/18 | 69 | 62 | ||||||
Chase Mortgage Finance, | ||||||||
0.692%, 01/25/34 (A) | 41 | 41 | ||||||
Chase Mortgage Finance, | ||||||||
2.757%, 02/25/37 (A) | 139 | 138 | ||||||
Chase Mortgage Finance, | ||||||||
2.770%, 02/25/37 (A) | 63 | 61 | ||||||
Chase Mortgage Finance, | ||||||||
2.783%, 07/25/37 (A) | 165 | 148 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Mortgage Finance, | ||||||||
2.769%, 07/25/37 (A) | $ | 171 | $ | 174 | ||||
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.830%, 05/15/43 (A) | 120 | 125 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.698%, 12/10/49 (A) | 485 | 553 | ||||||
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11 | ||||||||
5.500%, 05/25/35 | 122 | 121 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
3.075%, 11/25/38 (A) (C) | 244 | 243 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1 | ||||||||
2.616%, 02/25/35 (A) (C) | 107 | 107 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 5A6 | ||||||||
4.000%, 11/25/36 (C) | 1,306 | 1,341 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 6A6 | ||||||||
4.500%, 12/25/36 (C) | 636 | 657 | ||||||
Citigroup Mortgage Loan Trust, Ser 2011-3, Cl 1A1 | ||||||||
0.321%, 02/25/47 (A) (C) | 147 | 145 | ||||||
Citigroup Mortgage Loan Trust, Ser 2011-5, Cl 1A1 | ||||||||
0.440%, 02/25/46 (A) (C) | 160 | 147 | ||||||
Citigroup, Ser 2005-CD1, Cl AM | ||||||||
5.226%, 07/15/44 (A) | 287 | 308 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
0.080%, 01/15/46 (A) (C) | 15,929 | 38 | ||||||
Citigroup/Deutsch Bank Commercial Mortgage Trust, Ser 2007-CD4, IO | ||||||||
0.188%, 12/11/49 (A) (C) | 13,264 | 129 | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/32 (A) | 167 | 174 | ||||||
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) | 393 | 394 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-LC4, Cl A4 | ||||||||
3.288%, 12/10/44 | 560 | 565 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-34, Cl A6 | ||||||||
5.250%, 09/25/33 | 61 | 61 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6 | ||||||||
5.000%, 10/25/33 | $ | 306 | $ | 302 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7 | ||||||||
5.250%, 01/25/34 | 539 | 551 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J7, Cl 4A3 | ||||||||
9.461%, 08/25/18 (A) | 44 | 45 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1 | ||||||||
4.500%, 06/25/19 | 144 | 147 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||||
5.183%, 11/15/36 | 85 | 86 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3 | ||||||||
5.603%, 07/15/35 | 21 | 21 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/33 | 385 | 397 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/33 | 130 | 139 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1 | ||||||||
6.000%, 11/25/18 | 160 | 164 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
2.676%, 10/25/33 (A) | 1,118 | 1,029 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B | ||||||||
5.253%, 08/15/36 (A) | 221 | 229 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/38 | 345 | 356 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/37 | 378 | 403 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM | ||||||||
4.730%, 07/15/37 | 188 | 199 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.663%, 03/15/39 (A) | 215 | 236 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C3, Cl A3 | ||||||||
5.815%, 06/15/38 (A) | 575 | 649 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 985 | 1,085 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1 | ||||||||
5.500%, 10/27/35 (C) | 28 | 28 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1 | ||||||||
4.750%, 05/27/37 (C) | $ | 130 | $ | 130 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1 | ||||||||
1.241%, 06/28/47 (A) (C) | 100 | 99 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1 | ||||||||
2.689%, 09/26/46 (A) (C) | 161 | 160 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1 | ||||||||
5.340%, 10/26/37 (A) (C) | 52 | 51 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3 | ||||||||
4.250%, 06/25/50 (A) (C) | 100 | 92 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1 | ||||||||
2.852%, 07/28/36 (A) (C) | 163 | 153 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1 | ||||||||
1.494%, 08/28/47 (A) (C) | 451 | 443 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1 | ||||||||
2.244%, 03/27/46 (A) (C) | 508 | 505 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3 | ||||||||
3.500%, 12/27/36 (A) (C) | 356 | 350 | ||||||
CW Capital Cobalt, Ser 2006-C1, Cl A4 | ||||||||
5.223%, 08/15/48 | 215 | 236 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/44 (A) (C) | 500 | 552 | ||||||
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.591%, 02/25/20 (A) | 101 | 104 | ||||||
Deutsche Mortgage Securities, | ||||||||
0.406%, 04/26/37 (A) (C) | 75 | 73 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/22 (C) | 790 | 832 | ||||||
Extended Stay America Trust, | ||||||||
2.951%, 11/05/27 (C) | 578 | 584 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A | ||||||||
2.980%, 12/06/20 (C) | 319 | 332 | ||||||
First Horizon Asset Securities, | ||||||||
4.500%, 09/25/18 | 142 | 144 | ||||||
GE Capital Assurance, Ser 2003-1, Cl A4 | ||||||||
5.254%, 05/12/35 (A) (C) | 632 | 677 | ||||||
GE Capital Commercial Mortgage, Ser 2002-2A, Cl A3 | ||||||||
5.349%, 08/11/36 | 753 | 758 |
76 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2 | ||||||||
6.700%, 04/15/34 | $ | 1 | $ | 1 | ||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/34 | 53 | 53 | ||||||
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) | 291 | 297 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.030%, 10/19/33 (A) | 231 | 231 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 10/25/33 | 182 | 180 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 11/25/33 | 316 | 327 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
6.500%, 01/25/35 | 227 | 237 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 01/25/20 | 113 | 116 | ||||||
Greenwich Capital Commercial Funding, Ser 2002-C1, Cl A4 | ||||||||
4.948%, 01/11/35 | 409 | 414 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/36 (A) | 52 | 52 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/36 (A) (D) | 870 | 927 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||||
4.619%, 08/10/42 | 448 | 460 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/37 (A) | 673 | 733 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
5.881%, 07/10/38 (A) | 660 | 748 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 1,385 | 1,524 | ||||||
GS Mortgage Securities II, | ||||||||
4.761%, 07/10/39 | 114 | 122 | ||||||
GS Mortgage Securities II, | ||||||||
0.619%, 11/10/39 (A) (C) | 3,233 | 69 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/44 | $ | 1,725 | $ | 1,808 | ||||
GSMPS Mortgage Loan Trust, | ||||||||
0.592%, 09/25/35 (A) (C) | 196 | 154 | ||||||
GSR Mortgage Loan Trust, | ||||||||
4.442%, 10/25/33 (A) | 461 | 465 | ||||||
GSR Mortgage Loan Trust, | ||||||||
6.000%, 09/25/34 | 226 | 237 | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 06/25/35 | — | — | ||||||
GSR Mortgage Loan Trust, | ||||||||
0.742%, 06/25/35 (A) | 92 | 81 | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 01/25/37 | 50 | 48 | ||||||
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1 | ||||||||
0.688%, 10/25/34 (A) | 1,530 | 1,462 | ||||||
Impac Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/51 (C) | 719 | 767 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/33 | 139 | 147 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1 | ||||||||
0.592%, 05/25/36 (A) | 128 | 118 | ||||||
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.592%, 08/25/36 (A) | 168 | 150 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D | ||||||||
6.847%, 04/15/35 (A) | 134 | 137 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl A2 | ||||||||
5.050%, 12/12/34 | 158 | 160 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/34 (A) | 46 | 47 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1 | ||||||||
4.275%, 01/12/37 | 15 | 15 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1 | ||||||||
4.393%, 07/12/37 | 38 | 38 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2 | ||||||||
5.115%, 07/15/41 | 512 | 546 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP1 | ||||||||
5.038%, 03/15/46 (A) | $ | 1,005 | $ | 1,094 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/42 | 131 | 134 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO | ||||||||
0.076%, 06/12/43 (A) | 13,756 | 93 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/47 | 99 | 103 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | 599 | 656 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3SF | ||||||||
0.397%, 05/15/47 (A) | 150 | 138 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 | ||||||||
5.440%, 06/12/47 | 825 | 917 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl A4 | ||||||||
5.816%, 06/15/49 (A) | 672 | 737 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||||
5.882%, 02/15/51 (A) | 272 | 305 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2 | ||||||||
5.633%, 12/05/27 (C) | 139 | 159 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/43 (C) | 982 | 1,036 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/32 (C) | 133 | 135 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2 | ||||||||
4.311%, 08/05/32 (C) | 672 | 705 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A3 | ||||||||
4.171%, 08/15/46 | 192 | 206 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.749%, 07/25/34 (A) | 58 | 57 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.761%, 09/25/34 (A) | 73 | 73 | ||||||
JPMorgan Mortgage Trust, | ||||||||
4.485%, 02/25/35 (A) | 15 | 15 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.747%, 08/25/34 (A) | 520 | 508 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.649%, 11/25/33 (A) | $ | 263 | $ | 260 | ||||
JPMorgan Mortgage Trust, | ||||||||
2.762%, 08/25/34 (A) | 275 | 257 | ||||||
JPMorgan Reremic, Ser 2010-4, Cl 7A1 | ||||||||
4.271%, 08/26/35 (A) (C) | 128 | 126 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
5.936%, 07/15/44 (A) | 129 | 138 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||||
5.594%, 06/15/31 | 12 | 12 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/29 | 97 | 100 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 | ||||||||
4.998%, 04/15/30 | 344 | 355 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.156%, 02/15/31 | 200 | 223 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO | ||||||||
0.154%, 02/15/41 (A) (C) | 8,179 | 94 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4 | ||||||||
5.874%, 06/15/38 (A) | 125 | 142 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/40 | 40 | 42 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A3 | ||||||||
5.866%, 09/15/45 (A) | 599 | 679 | ||||||
LVII Resecuritization Trust, | ||||||||
3.000%, 09/27/37 (A) (C) | 43 | 42 | ||||||
LVII Resecuritization Trust, | ||||||||
3.000%, 09/27/37 (A) (C) | 300 | 299 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6 | ||||||||
2.718%, 11/21/34 (A) | 182 | 183 | ||||||
Master Alternative Loans Trust, Ser 2003-9, Cl 2A1 | ||||||||
6.000%, 12/25/33 | 167 | 168 | ||||||
Master Resecuritization Trust, | ||||||||
6.357%, 05/28/35 (C) | 98 | 77 | ||||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||||
6.500%, 08/25/32 | 563 | 592 |
78 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1 | ||||||||
5.000%, 03/25/18 | $ | 47 | $ | 48 | ||||
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18 | ||||||||
5.500%, 04/25/33 | 102 | 105 | ||||||
MASTR Asset Securitization Trust, Ser 2003-11, Cl 9A6 | ||||||||
5.250%, 12/25/33 | 307 | 323 | ||||||
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A | ||||||||
2.730%, 07/25/33 (A) | 58 | 58 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.214%, 02/25/34 (A) | 542 | 543 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/38 (A) | 127 | 134 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.327%, 01/12/44 (A) | 120 | 118 | ||||||
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.661%, 05/12/39 (A) | 150 | 170 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, IO | ||||||||
0.211%, 12/12/49 (A) (C) | 3,098 | 39 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/49 (A) | 810 | 893 | ||||||
MLCC Mortgage Investors, | ||||||||
0.990%, 04/25/29 (A) | 99 | 91 | ||||||
Morgan Stanley Capital I, | ||||||||
4.900%, 06/15/40 | 8 | 8 | ||||||
Morgan Stanley Capital I, | ||||||||
4.390%, 09/13/45 | 65 | 67 | ||||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/42 | 71 | 73 | ||||||
Morgan Stanley Capital I, | ||||||||
5.178%, 11/14/42 (A) | 43 | 44 | ||||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/47 | 840 | 922 | ||||||
Morgan Stanley Capital I, | ||||||||
5.162%, 10/12/52 (A) | 300 | 332 | ||||||
Morgan Stanley Capital I, | ||||||||
0.230%, 02/12/44 (A) (C) | 8,837 | 65 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
5.357%, 12/15/44 | $ | 27 | $ | 27 | ||||
Morgan Stanley Capital I, | ||||||||
5.809%, 12/12/49 | 846 | 968 | ||||||
Morgan Stanley Capital I, | ||||||||
5.640%, 06/11/42 (A) | 100 | 115 | ||||||
Morgan Stanley Capital I, | ||||||||
3.000%, 07/17/56 (C) | 62 | 62 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/49 | 578 | 611 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/49 | 314 | 336 | ||||||
Morgan Stanley Capital I, | ||||||||
3.244%, 03/15/45 | 780 | 786 | ||||||
Morgan Stanley Capital I, | ||||||||
2.000%, 07/27/49 | 800 | 802 | ||||||
0.250%, 07/27/49 | 130 | 86 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
6.390%, 07/15/33 | 14 | 14 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
4.920%, 03/12/35 | 306 | 314 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
5.040%, 03/12/35 | 111 | 113 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
0.000%, 07/17/56 (C) | 150 | 132 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
5.000%, 07/17/56 (C) | 250 | 256 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
3.250%, 12/17/43 (C) | 122 | 122 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
4.970%, 04/16/40 (C) | 250 | 265 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
2.500%, 03/23/51 (C) | 637 | 640 | ||||||
Nomura Asset Securities, | ||||||||
7.312%, 03/15/30 (A) | 406 | 422 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prime Mortgage Trust, | ||||||||
6.000%, 02/25/34 | $ | 107 | $ | 114 | ||||
Prime Mortgage Trust, | ||||||||
10.840%, 02/25/34 | 44 | 34 | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 05/26/37 (A) (C) | 235 | 233 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 08/25/33 | 228 | 235 | ||||||
Residential Accredit Loans, | ||||||||
5.000%, 09/25/18 | 163 | 168 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 05/25/34 | 306 | 275 | ||||||
Residential Asset Mortgage Products, | ||||||||
6.500%, 11/25/31 | 658 | 665 | ||||||
Residential Asset Securitization Trust, | ||||||||
5.250%, 12/25/17 | 84 | 86 | ||||||
Residential Asset Securitization Trust, | ||||||||
5.500%, 06/25/33 | 124 | 127 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.587%, 12/25/34 (A) | 827 | 784 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
2.736%, 09/25/33 (A) | 173 | 168 | ||||||
Sequoia Mortgage Trust, | ||||||||
3.750%, 02/25/40 (A) | 50 | 51 | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/41 (A) | 86 | 88 | ||||||
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1 | ||||||||
4.050%, 01/25/58 (A) (C) | 210 | 213 | ||||||
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A2 | ||||||||
5.450%, 01/25/58 (A) (C) | 300 | 300 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4 | ||||||||
4.916%, 06/25/34 (A) | 104 | 103 | ||||||
Structured Asset Securities, | ||||||||
0.742%, 06/25/33 (A) | 117 | 112 | ||||||
Structured Asset Securities, | ||||||||
2.617%, 07/25/33 (A) | 343 | 327 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, | ||||||||
5.268%, 11/25/33 (A) | $ | 102 | $ | 107 | ||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/33 | 219 | 221 | ||||||
Structured Asset Securities, | ||||||||
5.032%, 12/25/33 (A) | 103 | 104 | ||||||
Structured Asset Securities, | ||||||||
5.540%, 12/25/33 | 359 | 350 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3 | ||||||||
5.707%, 08/15/39 (A) | 1,000 | 1,079 | ||||||
US Bank, Ser 2007-1, Cl A | ||||||||
5.920%, 05/25/12 | 337 | 339 | ||||||
Vendee Mortgage Trust CMO, | ||||||||
7.250%, 02/15/23 | 839 | 965 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL1A, Cl A1 | ||||||||
5.926%, 12/26/50 (A) (C) | 92 | 93 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL3A, Cl A1 | ||||||||
5.194%, 09/25/51 (A) (C) | 129 | 129 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL3A, Cl A2 | ||||||||
9.318%, 09/25/51 (A) (C) | 112 | 112 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||||
4.241%, 10/15/35 (C) | 15 | 15 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||||
4.445%, 11/15/35 | 117 | 119 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.441%, 08/25/33 (A) | 142 | 139 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.486%, 08/25/33 (A) | 66 | 65 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.461%, 09/25/33 (A) | 232 | 233 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
2.449%, 10/25/33 (A) | 260 | 262 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.798%, 06/25/33 (A) | 45 | 50 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/33 | 774 | 796 |
80 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1 | ||||||||
4.500%, 12/25/18 | $ | 96 | $ | 99 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.549%, 06/25/34 (A) | 102 | 102 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.549%, 06/25/34 (A) | 153 | 151 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/19 | 213 | 222 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/34 | 494 | 519 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/34 | 245 | 251 | ||||||
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1 | ||||||||
2.847%, 08/27/37 (A) (C) | 173 | 172 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-15, Cl 1A1 | ||||||||
4.750%, 12/25/18 | 219 | 226 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-C, Cl A6 | ||||||||
2.762%, 02/25/33 (A) | 165 | 167 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5 | ||||||||
4.420%, 10/25/33 (A) | 60 | 60 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1 | ||||||||
4.429%, 11/25/33 (A) | 144 | 147 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
4.500%, 05/25/34 (A) | 53 | 54 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1 | ||||||||
2.707%, 12/25/34 (A) | 244 | 243 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2 | ||||||||
2.707%, 12/25/34 (A) | 244 | 243 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1 | ||||||||
2.749%, 12/25/34 (A) | 119 | 120 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||||
2.738%, 06/25/34 (A) | 438 | 434 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
2.694%, 07/25/34 (A) | 232 | 229 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1 | ||||||||
2.677%, 09/25/34 (A) | 423 | 423 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1 | ||||||||
2.707%, 10/25/34 (A) | $ | 129 | $ | 128 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2 | ||||||||
2.707%, 10/25/34 (A) | 259 | 257 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.000%, 01/25/20 | 76 | 78 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1 | ||||||||
2.686%, 06/25/35 (A) | 230 | 221 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/44 | 790 | 823 | ||||||
WF-RBS Commercial Mortgage Trust, Ser C3, Cl A4 | ||||||||
4.375%, 03/15/44 (C) | 125 | 134 | ||||||
|
| |||||||
82,944 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $397,776) ($ Thousands) |
| 415,211 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 20.3% |
| |||||||
Consumer Discretionary — 1.2% |
| |||||||
CBS | ||||||||
7.875%, 07/30/30 | 90 | 116 | ||||||
5.750%, 04/15/20 | 25 | 29 | ||||||
Comcast | ||||||||
7.050%, 03/15/33 | 90 | 110 | ||||||
6.500%, 01/15/17 | 1,275 | 1,526 | ||||||
Comcast Cable Communications | ||||||||
8.375%, 03/15/13 | 587 | 629 | ||||||
Comcast Cable Holdings | ||||||||
10.125%, 04/15/22 | 45 | 65 | ||||||
COX Communications | ||||||||
5.450%, 12/15/14 | 70 | 78 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/27 (C) | 50 | 59 | ||||||
Daimler Finance LLC | ||||||||
6.500%, 11/15/13 | 80 | 87 | ||||||
Daimler Finance North America (C) | ||||||||
3.875%, 09/15/21 | 270 | 276 | ||||||
2.625%, 09/15/16 | 150 | 155 | ||||||
1.875%, 09/15/14 (D) | 765 | 776 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/40 | 515 | 550 | ||||||
5.150%, 03/15/42 (C) | 235 | 229 | ||||||
4.600%, 02/15/21 | 100 | 105 | ||||||
3.800%, 03/15/22 (C) | 100 | 99 | ||||||
2.400%, 03/15/17 (C) | 440 | 436 | ||||||
Discovery Communications | ||||||||
4.375%, 06/15/21 | 53 | 57 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ERAC USA Finance | ||||||||
5.625%, 03/15/42 (C) | $ | 97 | $ | 93 | ||||
2.750%, 03/15/17 (C) | 16 | 16 | ||||||
Gap | ||||||||
5.950%, 04/12/21 | 369 | 372 | ||||||
Historic TW | ||||||||
9.150%, 02/01/23 | 200 | 272 | ||||||
Johnson Controls | ||||||||
5.250%, 12/01/41 | 120 | 126 | ||||||
4.250%, 03/01/21 | 65 | 69 | ||||||
3.750%, 12/01/21 | 69 | 70 | ||||||
Kohl’s | ||||||||
4.000%, 11/01/21 | 30 | 31 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/37 | 110 | 142 | ||||||
5.125%, 11/15/41 | 11 | 12 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/17 | 35 | 42 | ||||||
5.125%, 01/15/42 | 14 | 14 | ||||||
3.875%, 01/15/22 | 26 | 26 | ||||||
NBCUniversal Media | ||||||||
5.950%, 04/01/41 | 50 | 58 | ||||||
4.375%, 04/01/21 | 180 | 193 | ||||||
2.875%, 04/01/16 | 112 | 116 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/20 | 47 | 50 | ||||||
News America | ||||||||
7.300%, 04/30/28 | 150 | 168 | ||||||
7.250%, 05/18/18 | 50 | 60 | ||||||
6.650%, 11/15/37 | 25 | 29 | ||||||
6.150%, 03/01/37 | 632 | 706 | ||||||
6.150%, 02/15/41 | 143 | 164 | ||||||
Staples | ||||||||
9.750%, 01/15/14 | 80 | 91 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/15 | 210 | 259 | ||||||
7.125%, 02/15/28 | 200 | 247 | ||||||
Thomson Reuters | ||||||||
5.950%, 07/15/13 | 213 | 226 | ||||||
4.700%, 10/15/19 | 75 | 82 | ||||||
3.950%, 09/30/21 | 109 | 114 | ||||||
Time Warner | ||||||||
7.625%, 04/15/31 | 620 | 794 | ||||||
5.375%, 10/15/41 | 272 | 286 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/19 | 200 | 256 | ||||||
7.300%, 07/01/38 | 110 | 139 | ||||||
6.750%, 07/01/18 | 800 | 976 | ||||||
5.875%, 11/15/40 | 250 | 269 | ||||||
5.500%, 09/01/41 (D) | 519 | 544 | ||||||
University of Pennsylvania | ||||||||
4.674%, 09/01/12 | 165 | 162 | ||||||
Viacom | ||||||||
3.875%, 12/15/21 | 75 | 77 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Walt Disney | ||||||||
4.125%, 12/01/41 | $ | 130 | $ | 127 | ||||
Wyndham Worldwide | ||||||||
4.250%, 03/01/22 | 420 | 412 | ||||||
2.950%, 03/01/17 | 185 | 183 | ||||||
|
| |||||||
13,455 | ||||||||
|
| |||||||
Consumer Staples — 0.9% |
| |||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/19 (D) | 1,095 | 1,429 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/19 | 120 | 147 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/16 (D) | 571 | 583 | ||||||
CVS Caremark | ||||||||
6.125%, 09/15/39 | 40 | 47 | ||||||
5.750%, 05/15/41 | 220 | 248 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/34 (C) | 97 | 103 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/20 | 90 | 103 | ||||||
Diageo Finance BV | ||||||||
5.500%, 04/01/13 | 90 | 94 | ||||||
Kimberly-Clark | ||||||||
2.400%, 03/01/22 | 12 | 12 | ||||||
Kraft Foods | ||||||||
6.500%, 02/09/40 | 665 | 818 | ||||||
6.125%, 08/23/18 | 225 | 271 | ||||||
5.375%, 02/10/20 | 211 | 244 | ||||||
Kroger | ||||||||
7.500%, 04/01/31 | 30 | 38 | ||||||
5.400%, 07/15/40 | 14 | 15 | ||||||
2.200%, 01/15/17 | 40 | 41 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/18 | 11 | 15 | ||||||
3.000%, 08/25/21 | 31 | 31 | ||||||
2.750%, 03/05/22 | 950 | 924 | ||||||
2.500%, 05/10/16 | 355 | 371 | ||||||
Pernod-Ricard (C) | ||||||||
5.750%, 04/07/21 | 660 | 731 | ||||||
5.500%, 01/15/42 | 255 | 256 | ||||||
4.450%, 01/15/22 | 550 | 558 | ||||||
Philip Morris International | ||||||||
1.625%, 03/20/17 | 1,165 | 1,160 | ||||||
SABMiller | ||||||||
5.500%, 08/15/13 (C) | 90 | 95 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/22 (C) (D) | 735 | 748 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/41 | 461 | 558 | ||||||
|
| |||||||
9,640 | ||||||||
|
|
82 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Energy — 1.5% |
| |||||||
Anadarko Petroleum (D) | ||||||||
7.625%, 03/15/14 | $ | 180 | $ | 201 | ||||
6.375%, 09/15/17 | 70 | 83 | ||||||
BG Energy Capital | ||||||||
4.000%, 10/15/21 (C) | 870 | 907 | ||||||
BP Capital Markets | ||||||||
3.875%, 03/10/15 | 185 | 198 | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/32 | 50 | 65 | ||||||
6.450%, 06/30/33 | 50 | 60 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/42 (C) | 295 | 295 | ||||||
CenterPoint Energy Resources | ||||||||
5.950%, 01/15/14 | 70 | 75 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/20 | 100 | 124 | ||||||
DCP Midstream Operating | ||||||||
4.950%, 04/01/22 | 345 | 346 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/19 | 80 | 98 | ||||||
5.600%, 07/15/41 | 190 | 214 | ||||||
Encana | ||||||||
6.500%, 05/15/19 | 100 | 118 | ||||||
6.500%, 02/01/38 | 675 | 721 | ||||||
Energen | ||||||||
4.625%, 09/01/21 | 265 | 264 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/19 | 57 | 71 | ||||||
6.500%, 02/01/42 | 165 | 174 | ||||||
5.200%, 02/01/22 | 165 | 173 | ||||||
ENI | ||||||||
5.700%, 10/01/40 (C) | 300 | 313 | ||||||
Halliburton | ||||||||
6.150%, 09/15/19 | 80 | 98 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/19 (D) | 83 | 102 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/24 (D) | 630 | 761 | ||||||
Kinder Morgan Energy Partners | ||||||||
3.950%, 09/01/22 | 505 | 500 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/41 (D) | 230 | 248 | ||||||
Noble Holding International | ||||||||
5.250%, 03/15/42 | 40 | 40 | ||||||
3.950%, 03/15/22 | 12 | 12 | ||||||
Occidental Petroleum | ||||||||
1.750%, 02/15/17 | 35 | 35 | ||||||
Petrobras International Finance - Pifco | ||||||||
5.375%, 01/27/21 | 60 | 65 | ||||||
3.500%, 02/06/17 | 790 | 810 | ||||||
2.875%, 02/06/15 | 310 | 318 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | $ | 475 | $ | 606 | ||||
6.050%, 05/15/18 | 115 | 137 | ||||||
Petroleos Mexicanos (C) | ||||||||
6.500%, 06/02/41 | 60 | 68 | ||||||
4.875%, 01/24/22 | 301 | 316 | ||||||
Phillips 66 (C) | ||||||||
5.875%, 05/01/42 | 430 | 441 | ||||||
4.300%, 04/01/22 | 26 | 26 | ||||||
2.950%, 05/01/17 | 453 | 460 | ||||||
1.950%, 03/05/15 | 115 | 116 | ||||||
Reliance Holdings USA | ||||||||
5.400%, 02/14/22 (C) | 285 | 284 | ||||||
Schlumberger Investment (C) | ||||||||
3.300%, 09/14/21 | 47 | 48 | ||||||
1.950%, 09/14/16 | 505 | 511 | ||||||
Shell International Finance BV | ||||||||
4.300%, 09/22/19 | 300 | 340 | ||||||
3.100%, 06/28/15 | 60 | 64 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 675 | 806 | ||||||
Spectra Energy Capital | ||||||||
8.000%, 10/01/19 | 200 | 253 | ||||||
Statoil | ||||||||
5.250%, 04/15/19 | 140 | 164 | ||||||
4.250%, 11/23/41 | 27 | 27 | ||||||
3.150%, 01/23/22 | 33 | 33 | ||||||
3.125%, 08/17/17 | 50 | 54 | ||||||
Suncor Energy | ||||||||
6.500%, 06/15/38 | 100 | 124 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/19 | 275 | 337 | ||||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/16 | 1,000 | 1,161 | ||||||
Tosco | ||||||||
7.800%, 01/01/27 | 65 | 90 | ||||||
Total Capital International | ||||||||
2.875%, 02/17/22 | 37 | 35 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/19 | 50 | 63 | ||||||
6.500%, 08/15/18 | 175 | 216 | ||||||
Transocean | ||||||||
7.350%, 12/15/41 | 234 | 277 | ||||||
6.500%, 11/15/20 (D) | 120 | 134 | ||||||
6.375%, 12/15/21 | 11 | 12 | ||||||
5.050%, 12/15/16 | 630 | 675 | ||||||
Union Pacific Resources Group | ||||||||
7.150%, 05/15/28 | 52 | 59 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/42 | 22 | 22 | ||||||
4.500%, 04/15/22 | 20 | 20 | ||||||
Williams | ||||||||
7.875%, 09/01/21 | 416 | 518 | ||||||
|
| |||||||
15,986 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Financials — 12.1% |
| |||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/16 (C) | $ | 1,055 | $ | 1,076 | ||||
ACE INA Holdings | ||||||||
5.600%, 05/15/15 | 100 | 113 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/14 (C) | 717 | 749 | ||||||
Aflac | ||||||||
8.500%, 05/15/19 | 25 | 33 | ||||||
6.450%, 08/15/40 | 25 | 28 | ||||||
4.000%, 02/15/22 | 52 | 52 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/32 (C) | 30 | 34 | ||||||
Allstate | ||||||||
5.000%, 08/15/14 | 70 | 76 | ||||||
American Express | ||||||||
7.000%, 03/19/18 (D) | 170 | 209 | ||||||
American Express Credit MTN | ||||||||
7.300%, 08/20/13 | 430 | 465 | ||||||
2.800%, 09/19/16 | 44 | 45 | ||||||
2.375%, 03/24/17 | 1,640 | 1,643 | ||||||
American Honda Finance MTN (C) | ||||||||
3.875%, 09/21/20 | 495 | 513 | ||||||
2.600%, 09/20/16 | 200 | 206 | ||||||
American International Group | ||||||||
6.400%, 12/15/20 | 170 | 192 | ||||||
5.850%, 01/16/18 | 50 | 54 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/20 | 99 | 102 | ||||||
4.500%, 01/15/18 (D) | 475 | 499 | ||||||
Andina de Fomento | ||||||||
3.750%, 01/15/16 | 90 | 93 | ||||||
ANZ National Int’l | ||||||||
2.375%, 12/21/12 (C) | 100 | 101 | ||||||
AON | ||||||||
6.250%, 09/30/40 | 19 | 23 | ||||||
3.500%, 09/30/15 | 11 | 12 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/13 (C) | 336 | 342 | ||||||
Associates Corp of North America | ||||||||
6.950%, 11/01/18 | 200 | 226 | ||||||
Australia & New Zealand Banking Group | ||||||||
2.400%, 11/23/16 (C) (D) | 272 | 274 | ||||||
Bank of America | ||||||||
7.375%, 05/15/14 (D) | 715 | 776 | ||||||
6.500%, 08/01/16 | 1,325 | 1,457 | ||||||
6.100%, 06/15/17 | 2,600 | 2,778 | ||||||
6.000%, 09/01/17 | 420 | 457 | ||||||
5.875%, 02/07/42 | 155 | 154 | ||||||
5.750%, 12/01/17 | 110 | 118 | ||||||
5.700%, 01/24/22 | 990 | 1,048 | ||||||
5.650%, 05/01/18 (D) | 1,540 | 1,644 | ||||||
5.625%, 07/01/20 | 75 | 78 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.420%, 03/15/17 | $ | 100 | $ | 102 | ||||
4.500%, 04/01/15 | 150 | 155 | ||||||
3.875%, 03/22/17 | 166 | 167 | ||||||
3.625%, 03/17/16 | 155 | 155 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/20 | 40 | 44 | ||||||
3.550%, 09/23/21 | 34 | 35 | ||||||
2.950%, 06/18/15 (D) | 125 | 132 | ||||||
2.400%, 01/17/17 | 129 | 132 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/15 | 194 | 205 | ||||||
Bank of Tokyo-Mitsubishi UFJ (C) | ||||||||
3.850%, 01/22/15 | 100 | 106 | ||||||
2.350%, 02/23/17 | 200 | 200 | ||||||
Barclays Bank | ||||||||
5.200%, 07/10/14 | 150 | 159 | ||||||
5.125%, 01/08/20 | 760 | 795 | ||||||
5.000%, 09/22/16 | 250 | 269 | ||||||
2.750%, 02/23/15 | 110 | 111 | ||||||
2.500%, 01/23/13 (D) | 150 | 151 | ||||||
BB&T | ||||||||
5.700%, 04/30/14 (D) | 195 | 214 | ||||||
4.900%, 06/30/17 | 200 | 219 | ||||||
3.950%, 04/29/16 (D) | 160 | 173 | ||||||
3.850%, 07/27/12 | 80 | 81 | ||||||
3.375%, 09/25/13 | 70 | 72 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/18 | 1,500 | 1,809 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/21 (D) | 500 | 516 | ||||||
3.400%, 01/31/22 | 791 | 798 | ||||||
1.900%, 01/31/17 | 60 | 61 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/18 (D) | 540 | 638 | ||||||
BlackRock | ||||||||
6.250%, 09/15/17 | 145 | 175 | ||||||
Blackstone Holdings Finance | ||||||||
5.875%, 03/15/21 (C) | 295 | 301 | ||||||
Boeing Capital | ||||||||
2.900%, 08/15/18 | 265 | 278 | ||||||
Boston Properties‡ | ||||||||
3.700%, 11/15/18 | 270 | 279 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.600%, 07/02/15 (C) | 250 | 261 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/14 | 225 | 249 | ||||||
6.750%, 09/15/17 | 145 | 171 | ||||||
4.750%, 07/15/21 | 50 | 53 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/19 | 110 | 142 | ||||||
5.850%, 09/01/17 | 140 | 168 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (C) | 900 | 942 |
84 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Charles Schwab | ||||||||
4.950%, 06/01/14 | $ | 20 | $ | 22 | ||||
Chase Capital II | ||||||||
1.047%, 02/01/27 (A) | 560 | 428 | ||||||
Citigroup | ||||||||
8.125%, 07/15/39 | 940 | 1,218 | ||||||
6.875%, 03/05/38 | 515 | 595 | ||||||
6.500%, 08/19/13 | 250 | 265 | ||||||
6.375%, 08/12/14 | 300 | 326 | ||||||
6.125%, 05/15/18 | 115 | 129 | ||||||
6.010%, 01/15/15 | 325 | 353 | ||||||
6.000%, 08/15/17 (D) | 620 | 689 | ||||||
5.300%, 01/07/16 | 220 | 236 | ||||||
4.500%, 01/14/22 | 355 | 356 | ||||||
4.450%, 01/10/17 | 530 | 555 | ||||||
2.650%, 03/02/15 | 972 | 972 | ||||||
1.041%, 08/25/36 (A) | 1,500 | 991 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/12 | 680 | 686 | ||||||
CME Group | ||||||||
5.750%, 02/15/14 | 46 | 50 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/20 | 72 | 77 | ||||||
Comerica | ||||||||
3.000%, 09/16/15 | 35 | 36 | ||||||
CommonWealth‡ | ||||||||
6.650%, 01/15/18 | 60 | 65 | ||||||
6.250%, 08/15/16 | 100 | 106 | ||||||
Commonwealth Bank of Australia (C) | ||||||||
2.250%, 03/16/17 | 250 | 250 | ||||||
2.125%, 03/17/14 | 1,250 | 1,264 | ||||||
Commonwealth Bank of Australia NY | ||||||||
1.950%, 03/16/15 | 950 | 956 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
5.800%, 09/30/10 (C) (D) | 100 | 96 | ||||||
5.250%, 05/24/41 | 164 | 168 | ||||||
3.875%, 02/08/22 | 235 | 227 | ||||||
3.375%, 01/19/17 (D) | 515 | 527 | ||||||
Credit Suisse | ||||||||
1.625%, 03/06/15 (C) | 1,775 | 1,781 | ||||||
Credit Suisse NY MTN | ||||||||
5.300%, 08/13/19 | 250 | 276 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/15 | 170 | 186 | ||||||
Deutsche Bank MTN | ||||||||
4.875%, 05/20/13 | 750 | 778 | ||||||
3.875%, 08/18/14 (D) | 100 | 105 | ||||||
2.375%, 01/11/13 | 100 | 101 | ||||||
Dexia Credit Local | ||||||||
2.750%, 04/29/14 (C) | 1,795 | 1,752 | ||||||
Discover Financial Services | ||||||||
6.450%, 06/12/17 | 250 | 279 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/15 (C) | $ | 1,890 | $ | 1,914 | ||||
ERAC USA Finance | ||||||||
2.250%, 01/10/14 (C) | 58 | 58 | ||||||
ERP Operating‡ | ||||||||
5.750%, 06/15/17 | 125 | 143 | ||||||
4.625%, 12/15/21 | 64 | 67 | ||||||
European Investment Bank | ||||||||
1.125%, 04/15/15 | 1,020 | 1,027 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/48 (C) | 1,321 | 1,341 | ||||||
7.050%, 07/15/28 (C) | 480 | 524 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
1.450%, 10/25/13 (C) (E) | 250 | 247 | ||||||
FUEL Trust | ||||||||
3.984%, 06/15/16 (C) | 200 | 203 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/39 (D) | 495 | 611 | ||||||
6.750%, 03/15/32 (D) | 965 | 1,153 | ||||||
6.150%, 08/07/37 (D) | 885 | 1,002 | ||||||
6.000%, 08/07/19 | 645 | 753 | ||||||
5.875%, 01/14/38 | 775 | 852 | ||||||
5.625%, 09/15/17 (D) | 700 | 816 | ||||||
5.500%, 01/08/20 | 180 | 204 | ||||||
5.400%, 02/15/17 (D) | 200 | 229 | ||||||
5.300%, 02/11/21 | 300 | 325 | ||||||
4.625%, 01/07/21 | 70 | 75 | ||||||
0.911%, 05/05/26 (A) | 600 | 489 | ||||||
0.797%, 08/07/18 (A) | 850 | 783 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/19 | 710 | 811 | ||||||
6.250%, 09/01/17 | 650 | 713 | ||||||
6.150%, 04/01/18 | 780 | 841 | ||||||
6.000%, 06/15/20 (D) | 1,020 | 1,073 | ||||||
5.750%, 01/24/22 | 659 | 678 | ||||||
5.375%, 03/15/20 (D) | 950 | 966 | ||||||
5.250%, 10/15/13 | 140 | 147 | ||||||
5.250%, 07/27/21 | 575 | 569 | ||||||
Goodman Funding Pty‡ | ||||||||
6.000%, 03/22/22 (C) | 260 | 260 | ||||||
GTP Acquisition Partners I | ||||||||
4.347%, 06/15/16 (C) | 144 | 148 | ||||||
Hartford Financial Services Group | ||||||||
6.100%, 10/01/41 | 155 | 150 | ||||||
HCP MTN‡ | ||||||||
6.700%, 01/30/18 (D) | 975 | 1,126 | ||||||
6.300%, 09/15/16 | 375 | 421 | ||||||
6.000%, 06/15/14 | 500 | 534 | ||||||
5.650%, 12/15/13 | 386 | 410 | ||||||
3.750%, 02/01/19 | 428 | 425 | ||||||
Health Care REIT‡ | ||||||||
6.500%, 03/15/41 | 116 | 121 | ||||||
6.125%, 04/15/20 | 1,775 | 1,959 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Healthcare Realty Trust‡ | ||||||||
6.500%, 01/17/17 | $ | 1,400 | $ | 1,535 | ||||
HSBC Bank (C) | ||||||||
4.125%, 08/12/20 | 100 | 102 | ||||||
1.625%, 07/07/14 D) | 200 | 201 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/14 (D) | 175 | 184 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/21 (C) | 1,000 | 1,067 | ||||||
5.500%, 01/19/16 | 140 | 152 | ||||||
4.750%, 07/15/13 (D) | 160 | 166 | ||||||
HSBC Holdings | ||||||||
4.875%, 01/14/22 | 100 | 106 | ||||||
4.000%, 03/30/22 | 411 | 407 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/38 (D) | 235 | 269 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/15 | 1,105 | 1,113 | ||||||
ING Bank | ||||||||
3.750%, 03/07/17 (C) | 200 | 198 | ||||||
Inter-American Development Bank MTN | ||||||||
3.875%, 10/28/41 | 333 | 332 | ||||||
International Lease Finance (C) | ||||||||
7.125%, 09/01/18 | 500 | 545 | ||||||
6.750%, 09/01/16 | 500 | 536 | ||||||
IPIC GMTN MTN | ||||||||
5.500%, 03/01/22 (C) | 365 | 376 | ||||||
Jackson National Life Global | ||||||||
5.375%, 05/08/13 | 200 | 209 | ||||||
4.700%, 06/01/18 | 100 | 106 | ||||||
Jefferies Group | ||||||||
6.450%, 06/08/27 | 160 | 158 | ||||||
6.250%, 01/15/36 | 120 | 108 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/18 (D) | 100 | 122 | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/18 | 115 | 133 | ||||||
5.600%, 07/15/41 | 223 | 244 | ||||||
5.400%, 01/06/42 | 240 | 255 | ||||||
4.650%, 06/01/14 | 1,170 | 1,247 | ||||||
4.350%, 08/15/21 | 50 | 51 | ||||||
3.450%, 03/01/16 | 385 | 401 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/17 | 2,927 | 3,349 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.420%, 09/30/34 (A) | 500 | 379 | ||||||
KeyBank | ||||||||
5.800%, 07/01/14 | 250 | 271 | ||||||
Kilroy Realty‡ | ||||||||
6.625%, 06/01/20 | 95 | 107 | ||||||
5.000%, 11/03/15 | 130 | 139 | ||||||
4.800%, 07/15/18 | 265 | 275 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Korea Development Bank | ||||||||
3.875%, 05/04/17 | $ | 455 | $ | 471 | ||||
3.250%, 03/09/16 | 194 | 196 | ||||||
Lazard Group | ||||||||
7.125%, 05/15/15 | 368 | 399 | ||||||
6.850%, 06/15/17 | 714 | 785 | ||||||
Lincoln National | ||||||||
7.000%, 06/15/40 | 45 | 53 | ||||||
4.850%, 06/24/21 | 10 | 11 | ||||||
Lloyds TSB Bank | ||||||||
6.375%, 01/21/21 (D) | 1,005 | 1,079 | ||||||
5.800%, 01/13/20 (C) | 310 | 318 | ||||||
4.200%, 03/28/17 | 790 | 796 | ||||||
M&T Bank | ||||||||
5.375%, 05/24/12 | 80 | 81 | ||||||
Macquarie Bank | ||||||||
5.000%, 02/22/17 (C) | 170 | 171 | ||||||
Macquarie Group | ||||||||
7.625%, 08/13/19 (C) | 70 | 75 | ||||||
7.300%, 08/01/14 (C) | 120 | 129 | ||||||
7.300%, 08/01/14 | 1,475 | 1,581 | ||||||
6.250%, 01/14/21 (C) (D) | 96 | 97 | ||||||
6.000%, 01/14/20 (C) | 50 | 50 | ||||||
Massachusetts Mutual Life Insurance (C) | ||||||||
8.875%, 06/01/39 | 640 | 908 | ||||||
5.375%, 12/01/41 | 49 | 51 | ||||||
MassMutual Global Funding II | ||||||||
2.875%, 04/21/14 (C) | 100 | 103 | ||||||
Merrill Lynch MTN | ||||||||
6.875%, 04/25/18 (D) | 100 | 111 | ||||||
6.400%, 08/28/17 | 150 | 164 | ||||||
6.150%, 04/25/13 (D) | 140 | 146 | ||||||
MetLife | ||||||||
6.750%, 06/01/16 | 390 | 463 | ||||||
6.400%, 12/15/36 (D) | 695 | 681 | ||||||
5.700%, 06/15/35 | 115 | 134 | ||||||
Metropolitan Life Global Funding I (C) | ||||||||
5.125%, 06/10/14(D) | 100 | 109 | ||||||
2.500%, 01/11/13 | 310 | 313 | ||||||
2.500%, 09/29/15 | 520 | 536 | ||||||
2.000%, 01/09/15 | 500 | 505 | ||||||
Monumental Global Funding | ||||||||
5.500%, 04/22/13 (C) | 65 | 68 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/19 | 920 | 990 | ||||||
6.625%, 04/01/18 | 1,770 | 1,864 | ||||||
6.250%, 08/28/17 (D) | 200 | 211 | ||||||
5.950%, 12/28/17 | 100 | 103 | ||||||
5.750%, 08/31/12 (D) | 180 | 184 | ||||||
5.750%, 01/25/21 | 100 | 98 | ||||||
5.625%, 09/23/19 | 285 | 282 | ||||||
5.550%, 04/27/17 | 100 | 102 | ||||||
5.500%, 01/26/20 | 700 | 683 | ||||||
5.500%, 07/28/21 (D) | 370 | 362 |
86 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.450%, 01/09/17 (D) | $ | 470 | $ | 480 | ||||
4.750%, 04/01/14 | 620 | 630 | ||||||
4.750%, 03/22/17 | 110 | 110 | ||||||
4.200%, 11/20/14 | 156 | 157 | ||||||
3.800%, 04/29/16 (D) | 150 | 146 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/17 (F) | 925 | 923 | ||||||
National Australia Bank (C) | ||||||||
3.750%, 03/02/15 | 120 | 126 | ||||||
3.000%, 07/27/16(D) | 180 | 183 | ||||||
2.500%, 01/08/13 | 150 | 152 | ||||||
National City | ||||||||
6.875%, 05/15/19 | 50 | 58 | ||||||
4.900%, 01/15/15 | 200 | 219 | ||||||
National City Bank | ||||||||
0.845%, 06/07/17 (A) | 1,300 | 1,185 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/18 | 60 | 87 | ||||||
2.625%, 09/16/12 | 25 | 25 | ||||||
Nationwide Mutual Insurance (C) | ||||||||
9.375%, 08/15/39 | 165 | 209 | ||||||
6.600%, 04/15/34 | 35 | 34 | ||||||
5.810%, 12/15/24 (A) | 760 | 693 | ||||||
New York Life Global Funding (C) | ||||||||
4.650%, 05/09/13 | 150 | 156 | ||||||
3.000%, 05/04/15 | 720 | 758 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/39 (C) | 255 | 319 | ||||||
NIBC Bank MTN | ||||||||
2.800%, 12/02/14 (C) | 415 | 431 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/20 (D) | 115 | 124 | ||||||
5.000%, 03/04/15 | 40 | 42 | ||||||
4.125%, 01/19/16 | 60 | 60 | ||||||
Nordea Bank | ||||||||
4.875%, 05/13/21 (C) (D) | 230 | 224 | ||||||
2.250%, 03/20/15 (C) | 475 | 475 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (C) | 470 | 553 | ||||||
Oversea-Chinese Banking | ||||||||
1.625%, 03/13/15 (C) | 200 | 201 | ||||||
PACCAR Financial MTN | ||||||||
1.600%, 03/15/17 | 53 | 53 | ||||||
1.550%, 09/29/14 | 35 | 36 | ||||||
Pacific Life Global Funding (C) | ||||||||
5.150%, 04/15/13 | 100 | 104 | ||||||
5.000%, 05/15/17 | 50 | 52 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/39 (C) | 80 | 104 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/30 (C) | 1,500 | 1,587 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PNC Funding | ||||||||
5.125%, 02/08/20 (D) | $ | 90 | $ | 102 | ||||
3.300%, 03/08/22 | 386 | 382 | ||||||
2.700%, 09/19/16 | 570 | 587 | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/17 | 700 | 745 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.300%, 12/14/12 | 125 | 129 | ||||||
5.300%, 04/24/13 | 125 | 131 | ||||||
5.100%, 04/15/14 | 225 | 240 | ||||||
Protective Life | ||||||||
8.450%, 10/15/39 | 72 | 83 | ||||||
Prudential Covered Trust 2012-1 | ||||||||
2.997%, 09/30/15 (C) | 470 | 475 | ||||||
Prudential Financial MTN | ||||||||
5.800%, 11/16/41 | 55 | 60 | ||||||
5.625%, 05/12/41 | 169 | 176 | ||||||
4.750%, 09/17/15 | 224 | 243 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/23 (C) | 1,200 | 1,492 | ||||||
1.349%, 12/18/17 (A) (C) | 750 | 703 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/25 (C) | 150 | 199 | ||||||
Rabobank Nederland MTN | ||||||||
3.200%, 03/11/15 (C) | 200 | 206 | ||||||
Royal Bank of Canada MTN | ||||||||
2.300%, 07/20/16 (D) | 120 | 123 | ||||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/19 | 130 | 179 | ||||||
6.750%, 05/15/14 | 50 | 55 | ||||||
5.650%, 02/01/20 | 38 | 44 | ||||||
4.125%, 12/01/21 | 27 | 28 | ||||||
2.150%, 09/15/17 | 125 | 123 | ||||||
Sparebank 1 Boligkreditt | ||||||||
2.300%, 06/30/17 (C) | 1,905 | 1,899 | ||||||
Stadshypotek | ||||||||
1.450%, 09/30/13 (C) | 1,049 | 1,058 | ||||||
Standard Chartered | ||||||||
3.200%, 05/12/16 (C) (D) | 625 | 637 | ||||||
Svensk Exportkredit | ||||||||
3.250%, 09/16/14 | 782 | 821 | ||||||
Svenska Handelsbanken | ||||||||
2.875%, 04/04/17 | 800 | 800 | ||||||
Swedbank Hypotek | ||||||||
2.375%, 04/05/17 (C) | 1,170 | 1,174 | ||||||
Toronto-Dominion Bank | ||||||||
2.500%, 07/14/16 | 72 | 74 | ||||||
2.200%, 07/29/15 (C) (D) | 100 | 103 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/21 | 510 | 524 | ||||||
3.200%, 06/17/15 | 87 | 92 | ||||||
2.000%, 09/15/16 | 200 | 204 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/26 | $ | 100 | $ | 132 | ||||
UBS | ||||||||
5.875%, 12/20/17 | 120 | 133 | ||||||
5.750%, 04/25/18 | 100 | 110 | ||||||
2.250%, 03/30/17 (C) | 325 | 324 | ||||||
1.875%, 01/23/15 (C) | 595 | 599 | ||||||
US Bancorp MTN | ||||||||
3.000%, 03/15/22 | 33 | 33 | ||||||
2.875%, 11/20/14 (D) | 138 | 144 | ||||||
2.450%, 07/27/15 | 75 | 77 | ||||||
Ventas Realty | ||||||||
4.250%, 03/01/22‡ | 495 | 481 | ||||||
Wachovia | ||||||||
5.750%, 06/15/17 | 485 | 559 | ||||||
Wachovia Bank MTN | ||||||||
6.000%, 11/15/17 | 875 | 1,005 | ||||||
4.875%, 02/01/15 | 600 | 647 | ||||||
0.804%, 03/15/16 (A) | 400 | 378 | ||||||
WEA Finance (C) | ||||||||
7.500%, 06/02/14 | 1,140 | 1,259 | ||||||
7.125%, 04/15/18 | 60 | 71 | ||||||
6.750%, 09/02/19 | 70 | 81 | ||||||
4.625%, 05/10/21 | 185 | 187 | ||||||
Wells Fargo | ||||||||
5.625%, 12/11/17 | 180 | 209 | ||||||
3.676%, 06/15/16 (D) (F) | 390 | 416 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/19 | 260 | 281 | ||||||
2.450%, 11/28/16 (C) (D) | 200 | 202 | ||||||
WR Berkley | ||||||||
5.375%, 09/15/20 | 35 | 37 | ||||||
4.625%, 03/15/22 | 340 | 339 | ||||||
|
| |||||||
129,854 | ||||||||
|
| |||||||
Health Care — 0.6% | ||||||||
Amgen | ||||||||
5.750%, 03/15/40 | 62 | 67 | ||||||
5.650%, 06/15/42 | 657 | 702 | ||||||
5.150%, 11/15/41 (D) | 895 | 899 | ||||||
4.500%, 03/15/20 | 22 | 24 | ||||||
3.875%, 11/15/21 (D) | 160 | 164 | ||||||
3.450%, 10/01/20 | 50 | 50 | ||||||
Aristotle Holding (C) | ||||||||
2.650%, 02/15/17 | 750 | 758 | ||||||
2.100%, 02/12/15 | 665 | 673 | ||||||
Becton Dickinson | ||||||||
3.125%, 11/08/21 | 120 | 122 | ||||||
Boston Scientific | ||||||||
6.400%, 06/15/16 | 395 | 455 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/17 | 423 | 478 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/41 | $ | 155 | $ | 166 | ||||
4.500%, 04/01/21 (D) | 345 | 365 | ||||||
Life Technologies | ||||||||
5.000%, 01/15/21 | 320 | 347 | ||||||
Medco Health Solutions | ||||||||
2.750%, 09/15/15 | 35 | 36 | ||||||
Pharmacia | ||||||||
6.500%, 12/01/18 | 120 | 150 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
3.650%, 11/10/21 | 190 | 192 | ||||||
Thermo Fisher Scientific | ||||||||
3.200%, 03/01/16 | 225 | 240 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/38 | 90 | 118 | ||||||
4.375%, 03/15/42 | 170 | 164 | ||||||
3.375%, 11/15/21 | 75 | 77 | ||||||
|
| |||||||
6,247 | ||||||||
|
| |||||||
Industrials — 0.9% | ||||||||
American Airlines 2011-1 Cl A Pass-Through Trust | ||||||||
5.250%, 01/31/21 | 18 | 19 | ||||||
American Airlines 2011-2 Cl A Pass-Through Trust | ||||||||
8.625%, 10/15/21 | 80 | 84 | ||||||
BAE Systems (C) | ||||||||
5.800%, 10/11/41 | 20 | 21 | ||||||
4.750%, 10/11/21 | 1,105 | 1,160 | ||||||
BAE Systems Holdings (C) | ||||||||
6.375%, 06/01/19 | 100 | 114 | ||||||
5.200%, 08/15/15 | 90 | 96 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/36 | 90 | 114 | ||||||
5.750%, 03/15/18 | 950 | 1,128 | ||||||
5.400%, 06/01/41 | 50 | 54 | ||||||
4.700%, 10/01/19 | 75 | 84 | ||||||
3.450%, 09/15/21 | 16 | 16 | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/17 | 50 | 60 | ||||||
Cargill | ||||||||
7.350%, 03/06/19 (C) | 250 | 310 | ||||||
Caterpillar | ||||||||
5.200%, 05/27/41 | 285 | 329 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2 | ||||||||
7.256%, 03/15/20 | 262 | 285 | ||||||
Continental Airlines Pass-Through Trust, Ser 2000-1 | ||||||||
8.048%, 11/01/20 | 369 | 412 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-2 | ||||||||
7.250%, 11/10/19 | 185 | 208 |
88 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Continental Airlines Pass-Through Trust, Ser A | ||||||||
5.983%, 04/19/22 (D) | $ | 530 | $ | 574 | ||||
CSX | ||||||||
6.250%, 03/15/18 | 155 | 186 | ||||||
Danaher | ||||||||
3.900%, 06/23/21 | 22 | 24 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-1 | ||||||||
6.200%, 07/02/18 (D) | 540 | 584 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-2 | ||||||||
4.950%, 05/23/19 | 48 | 50 | ||||||
Eaton | ||||||||
7.625%, 04/01/24 | 75 | 101 | ||||||
Fluor | ||||||||
3.375%, 09/15/21 | 68 | 68 | ||||||
Hutchison Whampoa International 11 | ||||||||
4.625%, 01/13/22 (C) | 355 | 357 | ||||||
JetBlue Airways 2004-1 G-1 | ||||||||
0.849%, 12/15/13 (A) | 361 | 349 | ||||||
Koninklijke Philips Electronics | ||||||||
5.750%, 03/11/18 | 24 | 28 | ||||||
3.750%, 03/15/22 | 287 | 289 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/40 | 82 | 95 | ||||||
3.350%, 09/15/21 | 650 | 651 | ||||||
2.125%, 09/15/16 | 37 | 38 | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/11 | 158 | 177 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/15 | 540 | 547 | ||||||
Pitney Bowes | ||||||||
5.600%, 03/15/18 | 25 | 26 | ||||||
5.000%, 03/15/15 | 50 | 53 | ||||||
4.875%, 08/15/14 | 50 | 53 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/16 | 35 | 36 | ||||||
2.500%, 03/01/17 | 47 | 47 | ||||||
Tyco International | ||||||||
7.000%, 12/15/19 | 30 | 37 | ||||||
Tyco International Finance | ||||||||
8.500%, 01/15/19 | 50 | 65 | ||||||
Union Pacific | ||||||||
4.163%, 07/15/22 (D) | 131 | 142 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/20 | 50 | 70 | ||||||
United Technologies | ||||||||
8.875%, 11/15/19 | 110 | 150 | ||||||
Waste Management | ||||||||
4.750%, 06/30/20 | 93 | 103 | ||||||
2.600%, 09/01/16 | 180 | 184 | ||||||
|
| |||||||
9,578 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Information Technology — 0.3% | ||||||||
Arrow Electronics | ||||||||
6.875%, 07/01/13 | $ | 20 | $ | 21 | ||||
6.875%, 06/01/18 | 95 | 110 | ||||||
6.000%, 04/01/20 | 45 | 49 | ||||||
3.375%, 11/01/15 | 5 | 5 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/39 | 150 | 182 | ||||||
5.500%, 01/15/40 | 100 | 117 | ||||||
Dell | ||||||||
5.650%, 04/15/18 | 90 | 105 | ||||||
Fiserv | ||||||||
3.125%, 06/15/16 | 295 | 301 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/41 | 350 | 383 | ||||||
4.375%, 09/15/21 | 39 | 40 | ||||||
4.050%, 09/15/22 (D) | 194 | 193 | ||||||
2.600%, 09/15/17 | 593 | 593 | ||||||
HP Enterprise Services | ||||||||
7.450%, 10/15/29 | 125 | 149 | ||||||
Intel | ||||||||
4.800%, 10/01/41 | 65 | 69 | ||||||
3.300%, 10/01/21 | 70 | 72 | ||||||
International Business Machines | ||||||||
8.000%, 10/15/38 | 100 | 155 | ||||||
1.250%, 02/06/17 (D) | 100 | 99 | ||||||
Intuit | ||||||||
5.750%, 03/15/17 | 75 | 86 | ||||||
Microsoft | ||||||||
4.500%, 10/01/40 | 14 | 15 | ||||||
1.625%, 09/25/15 | 90 | 93 | ||||||
National Semiconductor | ||||||||
3.950%, 04/15/15 | 100 | 109 | ||||||
Oracle | ||||||||
6.125%, 07/08/39 | 27 | 34 | ||||||
5.375%, 07/15/40 | 17 | 20 | ||||||
5.000%, 07/08/19 | 200 | 233 | ||||||
Xerox | ||||||||
8.250%, 05/15/14 | 90 | 102 | ||||||
4.500%, 05/15/21 | 13 | 13 | ||||||
2.950%, 03/15/17 | 27 | 27 | ||||||
|
| |||||||
3,375 | ||||||||
|
| |||||||
Materials — 0.3% | ||||||||
ArcelorMittal | ||||||||
6.250%, 02/25/22 | 55 | 56 | ||||||
Barrick | ||||||||
3.850%, 04/01/22 (C) | 285 | 283 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/19 | 125 | 155 | ||||||
4.125%, 02/24/42 | 40 | 38 | ||||||
1.625%, 02/24/17 | 42 | 42 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CRH America | ||||||||
6.000%, 09/30/16 | $ | 31 | $ | 34 | ||||
Dow Chemical | ||||||||
8.550%, 05/15/19 | 118 | 155 | ||||||
7.600%, 05/15/14 | 190 | 215 | ||||||
5.250%, 11/15/41 (D) | 275 | 284 | ||||||
4.125%, 11/15/21 | 61 | 63 | ||||||
E.I. du Pont de Nemours | ||||||||
5.600%, 12/15/36 | 80 | 94 | ||||||
4.900%, 01/15/41 | 25 | 27 | ||||||
1.950%, 01/15/16 | 40 | 41 | ||||||
Mosaic | ||||||||
4.875%, 11/15/41 | 30 | 30 | ||||||
3.750%, 11/15/21 | 25 | 25 | ||||||
Nacional del Cobre de Chile | ||||||||
3.875%, 11/03/21 (C) | 340 | 347 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/19 | 50 | 62 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/21 (D) | 145 | 192 | ||||||
Praxair | ||||||||
5.200%, 03/15/17 | 70 | 81 | ||||||
4.375%, 03/31/14 | 75 | 80 | ||||||
Rio Tinto Finance USA | ||||||||
3.750%, 09/20/21 | 90 | 93 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
8.950%, 05/01/14 | 80 | 93 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/41 | 132 | 143 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/96 | 50 | 52 | ||||||
Vale Overseas | ||||||||
4.375%, 01/11/22 (D) | 390 | 392 | ||||||
|
| |||||||
3,077 | ||||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
America Movil | ||||||||
2.375%, 09/08/16 | 350 | 354 | ||||||
AT&T | ||||||||
8.000%, 11/15/31 | 13 | 18 | ||||||
6.400%, 05/15/38 | 155 | 184 | ||||||
6.300%, 01/15/38 | 435 | 511 | ||||||
5.550%, 08/15/41 | 780 | 865 | ||||||
5.500%, 02/01/18 | 100 | 118 | ||||||
5.350%, 09/01/40 | 423 | 450 | ||||||
4.850%, 02/15/14 (D) | 200 | 215 | ||||||
1.600%, 02/15/17 | 630 | 626 | ||||||
0.875%, 02/13/15 | 705 | 701 | ||||||
Bellsouth Capital Funding | ||||||||
7.120%, 07/15/97 | 110 | 130 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/15 | 124 | 131 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/18 (D) | 200 | 232 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
British Telecommunications PLC | ||||||||
9.625%, 12/15/30 | $ | 45 | $ | 66 | ||||
Cellco Partnership | ||||||||
8.500%, 11/15/18 | 195 | 268 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/19 | 65 | 76 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/42 | 335 | 315 | ||||||
7.600%, 09/15/39 | 80 | 76 | ||||||
6.450%, 06/15/21 (D) | 120 | 123 | ||||||
Deutsche Telekom International | ||||||||
6.000%, 07/08/19 (D) | 175 | 204 | ||||||
4.875%, 03/06/42 (C) | 245 | 232 | ||||||
2.250%, 03/06/17 (C) | 1,490 | 1,475 | ||||||
France Telecom | ||||||||
8.500%, 03/01/31 | 50 | 71 | ||||||
2.750%, 09/14/16 | 665 | 684 | ||||||
GTE | ||||||||
8.750%, 11/01/21 | 300 | 413 | ||||||
6.840%, 04/15/18 | 150 | 183 | ||||||
Qwest | ||||||||
6.750%, 12/01/21 | 156 | 174 | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/18 (D) | 150 | 160 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/17 (D) | 205 | 217 | ||||||
5.462%, 02/16/21 | 23 | 22 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/15 (C) | 210 | 210 | ||||||
Telemar Norte Leste SA | ||||||||
5.500%, 10/23/20 (C) | 345 | 355 | ||||||
Verizon Communications | ||||||||
5.850%, 09/15/35 | 160 | 184 | ||||||
3.500%, 11/01/21 | 90 | 92 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/30 (D) | 610 | 826 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/19 | 75 | 88 | ||||||
1.625%, 03/20/17 | 80 | 79 | ||||||
|
| |||||||
11,128 | ||||||||
|
| |||||||
Utilities — 1.5% | ||||||||
AEP Texas Central Transition Funding | ||||||||
5.170%, 01/01/18 | 575 | 667 | ||||||
5.090%, 07/01/15 | 1,300 | 1,419 | ||||||
AGL Capital | ||||||||
6.375%, 07/15/16 | 50 | 58 | ||||||
5.250%, 08/15/19 | 50 | 57 | ||||||
4.450%, 04/15/13 | 120 | 124 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/38 | 18 | 23 | ||||||
5.875%, 12/01/22 | 95 | 113 |
90 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ameren | ||||||||
8.875%, 05/15/14 | $ | 260 | $ | 295 | ||||
American Water Capital | ||||||||
6.085%, 10/15/17 | 100 | 116 | ||||||
Appalachian Power | ||||||||
5.950%, 05/15/33 | 100 | 107 | ||||||
Arizona Public Service | ||||||||
5.050%, 09/01/41 | 47 | 50 | ||||||
4.500%, 04/01/42 | 308 | 302 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/14 | 75 | 82 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/42 (C) | 35 | 35 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/19 (D) | 175 | 206 | ||||||
3.000%, 09/15/21 | 194 | 195 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/18 | 50 | 59 | ||||||
CenterPoint Energy Resources | ||||||||
4.500%, 01/15/21 | 81 | 86 | ||||||
Cleveland Electric Illuminating | ||||||||
8.875%, 11/15/18 | 363 | 479 | ||||||
7.880%, 11/01/17 | 170 | 212 | ||||||
Comision Federal de Electricidad | ||||||||
5.750%, 02/14/42 (C) | 215 | 215 | ||||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/40 | 38 | 46 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/19 | 100 | 126 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/19 | 700 | 939 | ||||||
6.400%, 06/15/18 | 180 | 220 | ||||||
5.250%, 08/01/33 | 90 | 100 | ||||||
1.950%, 08/15/16 | 165 | 167 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 120 | 132 | ||||||
3.550%, 09/15/21 | 76 | 78 | ||||||
Duke Energy Carolinas | ||||||||
4.300%, 06/15/20 | 39 | 43 | ||||||
4.250%, 12/15/41 | 28 | 28 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/42 | 220 | 217 | ||||||
3.750%, 07/15/20 | 52 | 55 | ||||||
Enel Finance International (C) | ||||||||
6.000%, 10/07/39 | 375 | 340 | ||||||
5.125%, 10/07/19 | 100 | 98 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/39 | 40 | 47 | ||||||
6.200%, 10/01/17 | 100 | 117 | ||||||
5.200%, 10/01/19 | 35 | 39 | ||||||
4.000%, 10/01/20 | 120 | 123 | ||||||
Florida Power & Light | ||||||||
5.950%, 10/01/33 | 35 | 43 | ||||||
5.125%, 06/01/41 | 28 | 32 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Great Plains Energy | ||||||||
5.292%, 06/15/22 (F) | $ | 20 | $ | 21 | ||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/19 (D) | 100 | 125 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/42 | 59 | 61 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/41 | 100 | 106 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/39 (C) | 55 | 66 | ||||||
MidAmerican Energy | ||||||||
5.300%, 03/15/18 | 200 | 234 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 110 | 137 | ||||||
Nevada Power | ||||||||
7.125%, 03/15/19 (D) | 110 | 138 | ||||||
6.500%, 08/01/18 | 40 | 49 | ||||||
5.450%, 05/15/41 | 50 | 57 | ||||||
5.375%, 09/15/40 | 12 | 14 | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/19 (C) | 80 | 88 | ||||||
Nisource Finance | ||||||||
6.125%, 03/01/22 | 1,000 | 1,162 | ||||||
5.800%, 02/01/42 | 149 | 159 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/36 (D) | 100 | 131 | ||||||
5.350%, 11/01/39 | 19 | 23 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/18 (D) | 460 | 556 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/18 | 60 | 79 | ||||||
5.625%, 11/30/17 | 525 | 624 | ||||||
5.400%, 01/15/40 | 42 | 48 | ||||||
4.500%, 12/15/41 | 48 | 48 | ||||||
3.250%, 09/15/21 | 12 | 12 | ||||||
Pacificorp | ||||||||
6.250%, 10/15/37 | 90 | 115 | ||||||
5.650%, 07/15/18 | 175 | 209 | ||||||
Panhandle Eastern Pipeline | ||||||||
6.200%, 11/01/17 (D) | 625 | 712 | ||||||
PPL Energy Supply | ||||||||
4.600%, 12/15/21 | 55 | 56 | ||||||
PPL WEM Holdings | ||||||||
3.900%, 05/01/16 (C) | 385 | 401 | ||||||
Progress Energy | ||||||||
6.850%, 04/15/12 | 229 | 229 | ||||||
3.150%, 04/01/22 | 360 | 352 | ||||||
PSEG Power | ||||||||
5.500%, 12/01/15 | 100 | 112 | ||||||
5.320%, 09/15/16 | 40 | 45 | ||||||
5.125%, 04/15/20 | 45 | 49 | ||||||
4.150%, 09/15/21 | 33 | 34 | ||||||
2.750%, 09/15/16 | 200 | 202 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Public Service Electric & Gas | ||||||||
5.375%, 11/01/39 | $ | 28 | $ | 33 | ||||
2.700%, 05/01/15 | 45 | 47 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/19 | 83 | 93 | ||||||
Puget Sound Energy | ||||||||
4.434%, 11/15/41 | 105 | 105 | ||||||
San Diego Gas & Electric | ||||||||
4.300%, 04/01/42 | 200 | 204 | ||||||
3.950%, 11/15/41 | 14 | 14 | ||||||
Sempra Energy | ||||||||
8.900%, 11/15/13 | 180 | 201 | ||||||
6.000%, 10/15/39 | 50 | 60 | ||||||
2.300%, 04/01/17 | 420 | 425 | ||||||
Southern | ||||||||
1.950%, 09/01/16 | 26 | 26 | ||||||
Southern California Edison | ||||||||
5.500%, 03/15/40 | 50 | 60 | ||||||
4.050%, 03/15/42 | 110 | 106 | ||||||
3.900%, 12/01/41 | 60 | 57 | ||||||
3.875%, 06/01/21 | 22 | 24 | ||||||
Southern Power | ||||||||
5.150%, 09/15/41 | 11 | 12 | ||||||
Southwestern Electric Power | ||||||||
3.550%, 02/15/22 | 355 | 349 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/18 | 90 | 121 | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/21 | 3 | 3 | ||||||
|
| |||||||
16,284 | ||||||||
|
| |||||||
Total Corporate Obligations | 218,624 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 7.8% |
| |||||||
Automotive — 1.0% | ||||||||
Ally Auto Receivables Trust, | ||||||||
2.330%, 06/17/13 (C) | 27 | 27 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.450%, 05/15/14 | 48 | 48 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.110%, 10/15/14 | 225 | 226 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.550%, 08/17/15 | 89 | 90 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.810%, 10/15/13 | 64 | 64 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.380%, 01/15/15 | 85 | 86 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, | ||||||||
0.650%, 03/17/14 | $ | 328 | $ | 328 | ||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/14 | 595 | 596 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.930%, 02/16/16 | 106 | 106 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.740%, 04/15/16 | 226 | 226 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-1, Cl A1 | ||||||||
1.960%, 01/15/14 (C) | 73 | 73 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
3.040%, 10/15/15 (C) | 96 | 96 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A3 | ||||||||
1.770%, 03/17/14 | 12 | 12 | ||||||
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 | 67 | 68 | ||||||
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 | 159 | 159 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/15 | 100 | 100 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A3 | ||||||||
1.170%, 05/09/16 | 259 | 259 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-5, Cl A3 | ||||||||
1.550%, 07/08/16 | 239 | 242 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.910%, 10/08/15 | 99 | 99 | ||||||
Bank of America Auto Trust, | ||||||||
2.130%, 09/15/13 (C) | 6 | 6 | ||||||
Bank of America Auto Trust, | ||||||||
1.670%, 12/15/13 (C) | 17 | 17 | ||||||
Bank of America Auto Trust, | ||||||||
1.390%, 03/15/14 (C) | 39 | 39 |
92 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of America Auto Trust, | ||||||||
2.180%, 02/15/17 (C) | $ | 100 | $ | 102 | ||||
Bank of America Auto Trust, | ||||||||
1.310%, 07/15/14 | 14 | 14 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.630%, 02/25/14 | 936 | 937 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.560%, 07/15/14 | 44 | 45 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.070%, 06/15/16 | 169 | 170 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A3 | ||||||||
0.910%, 08/08/13 | 250 | 250 | ||||||
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3 | ||||||||
2.590%, 10/15/13 (C) | 114 | 115 | ||||||
CPS Auto Trust, Ser 2011-C, Cl A | ||||||||
4.210%, 03/15/19 (C) | 147 | 147 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2.170%, 10/15/13 | 174 | 175 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.840%, 08/15/16 | 228 | 229 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4 | ||||||||
3.320%, 02/15/17 | 100 | 101 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3 | ||||||||
1.160%, 02/15/15 | 72 | 72 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A4 | ||||||||
1.470%, 08/15/17 | 431 | 434 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.770%, 01/15/16 | 81 | 81 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A4 | ||||||||
0.970%, 04/16/18 | 56 | 56 | ||||||
Huntington Auto Trust, | ||||||||
0.760%, 04/15/14 (C) | 240 | 240 | ||||||
Huntington Auto Trust, | �� | |||||||
1.010%, 01/15/16 (C) | 200 | 201 | ||||||
Huntington Auto Trust, | ||||||||
1.310%, 11/15/16 (C) | 200 | 202 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Huntington Auto Trust, | ||||||||
0.810%, 09/15/16 | $ | 116 | $ | 116 | ||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3 | ||||||||
0.970%, 04/15/15 | 76 | 77 | ||||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4 | ||||||||
1.630%, 03/15/17 | 90 | 92 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A3 | ||||||||
1.040%, 09/15/15 | 64 | 64 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A4 | ||||||||
1.650%, 02/15/17 | 71 | 72 | ||||||
Hyundai Auto Receivables Trust, Ser 2012-A, Cl A3 | ||||||||
0.720%, 03/15/16 | 138 | 138 | ||||||
LAI Vehicle Lease Securitization Trust, Ser 2010-A, Cl A | ||||||||
2.550%, 09/15/16 (C) | 108 | 108 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2010-1A, Cl A3 | ||||||||
1.420%, 08/15/14 | 112 | 112 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/16 (C) | 388 | 394 | ||||||
MMCA Automobile Trust, | ||||||||
1.570%, 08/15/17 (C) | 200 | 202 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3 | ||||||||
0.870%, 07/15/14 | 95 | 95 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4 | ||||||||
1.310%, 09/15/16 | 75 | 76 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.390%, 06/15/17 (C) | 100 | 102 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl B | ||||||||
2.060%, 06/15/17 (C) | 33 | 33 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl D | ||||||||
3.350%, 06/15/17 (C) | 63 | 63 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/15 | 135 | 135 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A3 | ||||||||
1.220%, 12/15/15 | 178 | 178 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3 | ||||||||
0.770%, 04/15/14 | 183 | 184 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A3 | ||||||||
0.980%, 10/15/14 | $ | 250 | $ | 251 | ||||
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4 | ||||||||
1.560%, 05/15/15 | 125 | 127 | ||||||
USAA Auto Owner Trust, | ||||||||
1.540%, 02/18/14 | 23 | 23 | ||||||
USAA Auto Owner Trust, | ||||||||
2.530%, 07/15/15 | 145 | 148 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A3 | ||||||||
0.850%, 08/22/16 | 277 | 277 | ||||||
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A2 | ||||||||
1.080%, 07/15/13 (C) | 26 | 26 | ||||||
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3 | ||||||||
1.490%, 06/16/14 (C) | 70 | 70 | ||||||
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4 | ||||||||
4.740%, 10/15/13 | 200 | 202 | ||||||
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.210%, 05/15/15 | 135 | 137 | ||||||
|
| |||||||
10,225 | ||||||||
|
| |||||||
Credit Cards — 0.8% | ||||||||
American Express Credit Account Master Trust, Ser 2007-8, Cl A | ||||||||
0.542%, 05/15/15 (A) | 466 | 467 | ||||||
Bank of America Credit Card Trust, Ser 2008-A7, Cl A7 | ||||||||
0.942%, 12/15/14 (A) | 228 | 228 | ||||||
Cabela’s Master Credit Card Trust, Ser 2012-1A, Cl A1 | ||||||||
1.630%, 02/18/20 (C) | 200 | 199 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2004-A4, Cl A4 | ||||||||
0.462%, 03/15/17 (A) | 626 | 628 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A6, Cl A6 | ||||||||
0.617%, 07/15/15 (A) | 1,200 | 1,200 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.322%, 09/15/15 (A) | 293 | 293 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8 | ||||||||
0.774%, 10/15/15 (A) | 1,090 | 1,092 | ||||||
Chase Issuance Trust, | ||||||||
0.282%, 06/16/14 (A) | 626 | 626 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Issuance Trust, | ||||||||
1.974%, 09/15/15 (A) | $ | 465 | $ | 475 | ||||
Citibank Omni Master Trust, | ||||||||
2.992%, 08/15/18 (A) (C) | 788 | 830 | ||||||
Discover Card Master Trust I, | ||||||||
0.292%, 10/16/14 (A) | 935 | 935 | ||||||
Discover Card Master Trust, | ||||||||
1.542%, 12/15/14 (A) | 231 | 232 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A | ||||||||
3.690%, 07/15/15 | 1,304 | 1,316 | ||||||
World Financial Network Credit Card Master Trust, Ser 2011-A, Cl A | ||||||||
1.680%, 08/15/18 | 399 | 399 | ||||||
|
| |||||||
8,920 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.7% |
| |||||||
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 | ||||||||
1.292%, 01/25/34 (A) | 505 | 426 | ||||||
Aegis Asset-Backed Securities Trust, Ser 2004-5, Cl M1 | ||||||||
0.892%, 12/25/34 (A) | 989 | 863 | ||||||
Aegis Asset-Backed Securities Trust, Ser 2004-6, Cl M1 | ||||||||
0.782%, 03/25/35 (A) | 839 | 790 | ||||||
Arch Bay Asset-Backed Securities, Ser 2010-2, Cl A | ||||||||
4.125%, 04/25/57 (A) (C) | 35 | 34 | ||||||
Argent Securities, Ser 2003-W5, Cl M1 | ||||||||
0.942%, 10/25/33 (A) | 387 | 296 | ||||||
Asset-Backed Funding Certificates, Ser 2005-WMC1, Cl M1 | ||||||||
0.682%, 06/25/35 (A) | 1,329 | 1,264 | ||||||
Asset-Backed Securities Home Equity, Ser 2005-HE6, Cl M1 | ||||||||
0.732%, 07/25/35 (A) | 688 | 676 | ||||||
Bear Stearns Alt-A Trust, | ||||||||
0.982%, 11/25/34 (A) | 1,440 | 1,359 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3 | ||||||||
0.612%, 08/25/35 (A) | 1,525 | 1,399 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2006-1, Cl A | ||||||||
0.522%, 02/25/36 (A) | 931 | 869 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||||
0.342%, 03/25/37 (A) | 251 | 245 |
94 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BNC Mortgage Loan Trust, | ||||||||
0.492%, 11/25/37 (A) | $ | 709 | $ | 692 | ||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/28 | 1 | 1 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.512%, 01/20/35 (A) | 81 | 76 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.732%, 01/20/35 (A) | 102 | 91 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.402%, 01/20/36 (A) | 1,439 | 1,320 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.392%, 03/20/36 (A) | 90 | 83 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
5.600%, 03/20/36 | 128 | 130 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.422%, 03/20/36 (A) | 962 | 942 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.442%, 03/20/36 (A) | 101 | 86 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.722%, 03/20/36 (A) | 2,000 | 1,314 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
1.442%, 11/20/36 (A) | 822 | 740 | ||||||
IXIS Real Estate Capital Trust, | ||||||||
0.977%, 06/25/35 (A) | 315 | 312 | ||||||
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3 | ||||||||
0.592%, 07/25/34 (A) (C) | 162 | 155 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.992%, 01/25/35 (A) | 29 | 29 | ||||||
Morgan Stanley Capital I, | ||||||||
0.280%, 01/25/37 (A) | 4 | 4 | ||||||
Morgan Stanley Capital I, | ||||||||
4.054%, 07/15/49 | 100 | 107 | ||||||
New Century Home Equity Loan Trust, Ser 2005-4, Cl A2C | ||||||||
0.612%, 09/25/35 (A) | 1,450 | 1,379 | ||||||
Residential Asset Securities, | ||||||||
0.612%, 10/25/35 (A) | 100 | 96 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.950%, 04/25/32 (C) | $ | 113 | $ | 96 | ||||
Saxon Asset Securities Trust, | ||||||||
4.795%, 06/25/33 | 76 | 76 | ||||||
Structured Asset Securities, | ||||||||
3.450%, 02/25/32 | 84 | 77 | ||||||
Structured Asset Securities, | ||||||||
4.690%, 02/25/35 | 187 | 185 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A1 | ||||||||
5.682%, 06/25/51 (A) (C) | 70 | 70 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A2 | ||||||||
9.317%, 06/25/51 (A) (C) | 150 | 151 | ||||||
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6 | ||||||||
5.000%, 05/25/34 (A) | 1,400 | 1,418 | ||||||
|
| |||||||
17,851 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.3% |
| |||||||
AH Mortgage Advance Trust, | ||||||||
3.370%, 05/10/43 | 667 | 668 | ||||||
2.630%, 05/10/42 | 139 | 139 | ||||||
AH Mortgage Advance Trust, | ||||||||
3.270%, 09/15/43 (C) | 373 | 373 | ||||||
AH Mortgage Advance Trust, | ||||||||
6.900%, 09/15/43 (C) | 120 | 119 | ||||||
Ally Master Owner Trust, | ||||||||
2.150%, 01/15/16 | 765 | 781 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/16 | 395 | 401 | ||||||
Ally Master Owner Trust, | ||||||||
1.042%, 02/15/17 (A) | 1,557 | 1,557 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/17 | 625 | 627 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 | ||||||||
0.642%, 08/25/43 (A) | 1,128 | 1,072 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
1.706%, 02/25/35 (A) | 850 | 794 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Brazos Higher Education Authority, Ser 2011-2, Cl A3 | ||||||||
1.418%, 10/27/36 (A) | $ | 400 | $ | 359 | ||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.499%, 11/25/34 | 101 | 103 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
5.350%, 11/25/34 | 125 | 110 | ||||||
CIT Education Loan Trust, | ||||||||
0.564%, 03/25/42 (A) (C) | 870 | 784 | ||||||
CNH Equipment Trust, | ||||||||
3.000%, 08/17/15 | 490 | 498 | ||||||
CNH Equipment Trust, | ||||||||
1.540%, 07/15/14 | 50 | 50 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.702%, 10/25/35 (A) | 579 | 561 | ||||||
EFS Volunteer, | ||||||||
1.410%, 10/25/35 (A) (C) | 800 | 758 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
1.242%, 08/25/34 (A) | 1,160 | 990 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2009-2 | ||||||||
1.792%, 09/15/14 (A) | 901 | 907 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/16 | 480 | 491 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.712%, 01/15/16 (A) | 1,164 | 1,168 | ||||||
GE Seaco Finance, | ||||||||
0.492%, 11/17/20 (A) (C) | 1,027 | 980 | ||||||
Lehman ABS Manufactured Housing Contract Trust, | ||||||||
5.270%, 04/15/40 | 610 | 636 | ||||||
Madison Avenue Manufactured Housing Contract, Ser 2002-A, Cl M2 | ||||||||
2.492%, 03/25/32 (A) | 250 | 229 | ||||||
Mid-State Trust, | ||||||||
4.864%, 07/15/38 | 989 | 996 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, | ||||||||
0.480%, 09/25/24 (A) | $ | 301 | $ | 296 | ||||
Nelnet Student Loan Trust, | ||||||||
0.574%, 03/23/37 (A) | 249 | 224 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.583%, 11/23/22 (A) | 1,655 | 1,634 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.640%, 10/26/26 (A) | 2,209 | 2,186 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.561%, 05/27/25 (A) | 433 | 401 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.824%, 03/25/26 (A) (C) | 432 | 406 | ||||||
Newcastle Investment Trust, | ||||||||
2.450%, 12/10/33 (C) | 40 | 40 | ||||||
Northstar Education Finance, | ||||||||
0.611%, 01/29/46 (A) | 750 | 668 | ||||||
Park Place Securities, | ||||||||
0.867%, 10/25/34 (A) | 233 | 221 | ||||||
Park Place Securities, | ||||||||
0.862%, 10/25/34 (A) | 1,065 | 1,062 | ||||||
PennyMac Loan Trust, | ||||||||
5.000%, 05/25/50 (A) (C) | 66 | 65 | ||||||
PennyMac Loan Trust, | ||||||||
5.250%, 09/25/51 (A) (C) | 202 | 203 | ||||||
PG&E Energy Recovery Funding, Ser 2005-1, Cl A4 | ||||||||
4.370%, 06/25/14 | 26 | 26 | ||||||
Residential Asset Mortgage Products, Ser 2004-RZ1, Cl AI7 | ||||||||
4.030%, 01/25/33 (A) | 746 | 754 | ||||||
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3 | ||||||||
0.582%, 10/25/35 (A) | 150 | 129 | ||||||
Residential Asset Mortgage Products, Ser 2005-RS5, Cl AI3 | ||||||||
0.582%, 05/25/35 (A) | 1,102 | 1,081 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.542%, 03/25/36 (A) | 350 | 299 | ||||||
Residential Credit Solutions Trust, | ||||||||
6.000%, 03/25/41 (C) | 161 | 161 |
96 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RSB Bondco, | ||||||||
5.470%, 10/01/14 | $ | 54 | $ | 54 | ||||
RSB Bondco, | ||||||||
5.820%, 06/28/19 | 405 | 482 | ||||||
SLC Student Loan Trust, | ||||||||
1.349%, 11/25/42 (A) | 387 | 379 | ||||||
SLM Student Loan Trust, | ||||||||
0.790%, 01/25/23 (A) | 980 | 969 | ||||||
SLM Student Loan Trust, | ||||||||
0.770%, 04/25/23 (A) | 472 | 466 | ||||||
SLM Student Loan Trust, | ||||||||
0.730%, 07/25/23 (A) | 288 | 282 | ||||||
SLM Student Loan Trust, | ||||||||
0.710%, 01/25/21 (A) | 471 | 470 | ||||||
SLM Student Loan Trust, | ||||||||
0.650%, 10/25/24 (A) | 1,931 | 1,828 | ||||||
SLM Student Loan Trust, | ||||||||
1.760%, 07/27/26 (A) | 289 | 291 | ||||||
SLM Student Loan Trust, | ||||||||
0.690%, 07/26/21 (A) | 764 | 730 | ||||||
SLM Student Loan Trust, | ||||||||
0.680%, 10/25/40 (A) | 875 | 742 | ||||||
SLM Student Loan Trust, | ||||||||
0.560%, 07/25/17 (A) | 308 | 306 | ||||||
SLM Student Loan Trust, | ||||||||
1.310%, 04/25/23 (A) | 267 | 263 | ||||||
SLM Student Loan Trust, | ||||||||
1.610%, 07/25/16 (A) | 242 | 245 | ||||||
SLM Student Loan Trust, | ||||||||
1.110%, 10/25/17 (A) | 204 | 205 | ||||||
SLM Student Loan Trust, | ||||||||
2.060%, 04/25/23 (A) | 463 | 475 | ||||||
SLM Student Loan Trust, | ||||||||
1.642%, 12/15/23 (A) (C) | 1,162 | 1,156 | ||||||
SLM Student Loan Trust, | ||||||||
0.942%, 01/25/29 (A) | 1,583 | 1,587 | ||||||
SLM Student Loan Trust, | ||||||||
1.642%, 08/15/25 (A) (C) | 1,077 | 1,079 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SMS Student Loan Trust, | ||||||||
0.743%, 10/28/28 (A) | $ | 326 | $ | 325 | ||||
SMS Student Loan Trust, | ||||||||
0.753%, 04/28/29 (A) | 444 | 440 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
0.512%, 06/25/35 (A) | 100 | 95 | ||||||
Structured Asset Securities, | ||||||||
0.472%, 07/25/35 (A) | 1,250 | 1,231 | ||||||
Structured Asset Securities, | ||||||||
0.292%, 12/25/36 (A) | 290 | 286 | ||||||
Structured Asset Securities, | ||||||||
0.322%, 01/25/37 (A) | 536 | 529 | ||||||
Structured Asset Securities, | ||||||||
0.392%, 07/25/36 (A) | 1,435 | 1,394 | ||||||
Structured Asset Securities, | ||||||||
0.332%, 03/25/37 (A) | 391 | 382 | ||||||
TAL Advantage, | ||||||||
0.435%, 04/20/21 (A) (C) | 429 | 407 | ||||||
TAL Advantage, | ||||||||
4.300%, 10/20/25 (C) | 476 | 484 | ||||||
TAL Advantage, | ||||||||
4.600%, 01/20/26 (C) | 221 | 223 | ||||||
Textainer Marine Containers, | ||||||||
0.490%, 05/15/20 (A) (C) | 317 | 305 | ||||||
Textainer Marine Containers, | ||||||||
4.700%, 06/15/26 (C) | 624 | 637 | ||||||
Trinity Rail Leasing, | ||||||||
5.270%, 08/14/27 (C) | 316 | 334 | ||||||
Trip Rail Master Funding, | ||||||||
4.370%, 07/15/41 (C) | 797 | 802 | ||||||
Triton Container Finance, | ||||||||
0.410%, 11/26/21 (A) (C) | 700 | 660 | ||||||
|
| |||||||
46,550 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 83,546 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.2% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/36 | $ | 300 | $ | 376 | ||||
0.500%, 03/27/14 | 2,775 | 2,776 | ||||||
FICO STRIPS, PO | ||||||||
9.800%, 11/30/17 | 875 | 1,256 | ||||||
9.700%, 04/05/19 | 320 | 474 | ||||||
8.600%, 09/26/19 | 845 | 1,215 | ||||||
3.715%, 12/06/18 (E) | 1,565 | 1,331 | ||||||
3.208%, 12/06/17 (E) (G) | 660 | 592 | ||||||
2.863%, 05/02/16 (E) (G) | 515 | 488 | ||||||
2.173%, 09/26/19 (E) | 100 | 84 | ||||||
2.000%, 10/06/17 (E) | 470 | 426 | ||||||
1.847%, 02/08/13 (E) (G) | 815 | 810 | ||||||
FNMA | ||||||||
5.375%, 06/12/17 | 50 | 60 | ||||||
3.511%, 10/09/19 (D) (E) | 840 | 650 | ||||||
3.460%, 06/01/17 (E) | 600 | 552 | ||||||
Resolution Funding STRIPS | ||||||||
3.310%, 07/15/20 (E) | 500 | 410 | ||||||
3.235%, 01/15/16 (E) (G) | 1,000 | 960 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/39 | 40 | 48 | ||||||
4.625%, 09/15/60 | 60 | 66 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 12,574 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.8% | ||||||||
American Municipal Power, RB | ||||||||
7.499%, 02/15/50 | 80 | 103 | ||||||
Bay Area Toll Authority, RB | ||||||||
6.263%, 04/01/49 | 1,330 | 1,740 | ||||||
County of Clark Nevada, Ser C, RB | ||||||||
6.820%, 07/01/45 | 260 | 343 | ||||||
Los Angeles Community College District, GO | ||||||||
6.750%, 08/01/49 | 240 | 312 | ||||||
Los Angeles, Department of Water & Power, RB | ||||||||
6.574%, 07/01/45 | 190 | 254 | ||||||
New Jersey, State Turnpike Authority, RB | ||||||||
7.102%, 01/01/41 | 280 | 383 | ||||||
North Texas, Tollway Authority, RB | ||||||||
6.718%, 01/01/49 | 248 | 319 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/11 | 273 | 280 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
5.647%, 11/01/40 | 105 | 124 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/40 | 250 | 328 | ||||||
7.550%, 04/01/39 | 300 | 389 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.300%, 10/01/39 | $ | 820 | $ | 1,027 | ||||
6.650%, 03/01/22 | 175 | 210 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/19 | 150 | 165 | ||||||
5.665%, 03/01/18 | 1,255 | 1,369 | ||||||
5.365%, 03/01/17 | 170 | 185 | ||||||
5.100%, 06/01/33 | 810 | 763 | ||||||
|
| |||||||
Total Municipal Bonds | 8,294 | |||||||
|
| |||||||
SOVEREIGN DEBT — 0.5% | ||||||||
Israel Government AID Bond (E) | ||||||||
2.400%, 11/15/19 | 500 | 419 | ||||||
2.311%, 03/15/19 | 1,000 | 862 | ||||||
2.110%, 08/15/17 | 1,000 | 916 | ||||||
2.010%, 08/15/18 | 1,000 | 884 | ||||||
Mexico Government International Bond MTN | ||||||||
6.375%, 01/16/13 | 200 | 208 | ||||||
5.750%, 10/12/10 | 310 | 319 | ||||||
4.750%, 03/08/44 | 336 | 329 | ||||||
Poland Government International Bond | ||||||||
5.000%, 03/23/22 | 212 | 224 | ||||||
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 | 315 | 316 | ||||||
Qatar Government International Bond | ||||||||
5.750%, 01/20/42 (C) (D) | 260 | 281 | ||||||
3.125%, 01/20/17 (C) | 320 | 326 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
4.500%, 04/04/22 (C) | 200 | 199 | ||||||
|
| |||||||
Total Sovereign Debt (Cost $5,558) ($ Thousands) | 5,676 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 28.4% |
| |||||||
U.S. Treasury Bills (E) | ||||||||
0.086%, 04/19/12 (D) | 14,000 | 14,000 | ||||||
0.068%, 04/12/12 (D) (H) | 18,080 | 18,080 | ||||||
0.057%, 04/26/12 (H) | 80 | 80 | ||||||
0.052%, 04/05/12 (D) | 10,900 | 10,900 | ||||||
U.S. Treasury Bonds | ||||||||
11.250%, 02/15/15 | 1,000 | 1,305 | ||||||
8.875%, 08/15/17 | 1,690 | 2,373 | ||||||
8.750%, 05/15/20 to 08/15/20 | 775 | 1,186 | ||||||
8.500%, 02/15/20 | 425 | 637 | ||||||
7.625%, 02/15/25 | 985 | 1,532 | ||||||
7.500%, 11/15/16 | 1,200 | 1,554 | ||||||
6.750%, 08/15/26 (E) | 350 | 433 | ||||||
6.500%, 11/15/26 | 200 | 290 | ||||||
6.375%, 08/15/27 | 50 | 72 |
98 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.250%, 05/15/30 | $ | 200 | $ | 293 | ||||
6.125%, 11/15/27 to 08/15/29 | 550 | 779 | ||||||
5.500%, 08/15/28 | 1,100 | 1,472 | ||||||
5.375%, 02/15/31 | 200 | 269 | ||||||
4.750%, 02/15/37 | 100 | 127 | ||||||
4.500%, 02/15/36 | 1,038 | 1,267 | ||||||
4.375%, 05/15/41 (D) | 7,914 | 9,514 | ||||||
4.250%, 11/15/40 | 928 | 1,093 | ||||||
3.750%, 08/15/41 | 18,243 | 19,722 | ||||||
3.375%, 11/15/19 | 1,559 | 1,741 | ||||||
3.250%, 12/31/16 | 2,100 | 2,319 | ||||||
3.160%, 02/15/27 (E) | 1,550 | 981 | ||||||
3.125%, 11/15/41 to 02/15/42 | 17,981 | 17,246 | ||||||
2.625%, 12/31/14 to 02/29/16 | 2,295 | 2,435 | ||||||
2.375%, 10/31/14 | 500 | 524 | ||||||
U.S. Treasury Inflation Protected Security | ||||||||
2.500%, 01/15/29 | 106 | 139 | ||||||
2.125%, 02/15/41 | 1,030 | 1,358 | ||||||
2.000%, 04/15/12 | 1,564 | 1,567 | ||||||
0.500%, 04/15/15 | 314 | 333 | ||||||
U.S. Treasury Notes | ||||||||
5.125%, 05/15/16 | 2,335 | 2,742 | ||||||
4.750%, 08/15/17 | 2,720 | 3,230 | ||||||
4.500%, 02/15/16 | 1,650 | 1,886 | ||||||
3.500%, 02/15/18 to 05/15/20 (D) | 2,809 | 3,158 | ||||||
3.250%, 03/31/17 | 10,663 | 10,841 | ||||||
3.125%, 10/31/16 to 05/15/19 | 14,969 | 16,297 | ||||||
3.000%, 09/30/16 | 3,823 | 4,170 | ||||||
2.750%, 05/31/17 to 12/31/17 | 5,435 | 5,884 | ||||||
2.625%, 08/15/20 | 200 | 211 | ||||||
2.375%, 02/28/15 | 2,192 | 2,308 | ||||||
2.250%, 07/31/18 | 500 | 525 | ||||||
2.125%, 08/15/21 | 9,404 | 9,397 | ||||||
2.000%, 11/15/21 to 02/15/22 (D) | 42,812 | 42,104 | ||||||
1.750%, 10/31/18 | 800 | 813 | ||||||
1.500%, 07/15/12 to 03/31/19 | 31,110 | 31,228 | ||||||
1.375%, 09/15/12 to 02/28/19 (D) | 6,928 | 6,893 | ||||||
1.000%, 08/31/16 | 2,869 | 2,881 | ||||||
0.875%, 12/31/16 to 02/28/17 (D) | 7,549 | 7,500 | ||||||
0.375%, 03/15/15 | 7,594 | 7,565 | ||||||
0.250%, 10/31/13 to 02/15/15 | 3,743 | 3,738 | ||||||
U.S. Treasury STRIPS (E) | ||||||||
6.292%, 05/15/24 (G) | 200 | 142 | ||||||
4.978%, 11/15/27 (G) | 200 | 121 | ||||||
4.917%, 05/15/26 (G) | 100 | 65 | ||||||
4.863%, 11/15/31 (G) | 50 | 26 | ||||||
4.789%, 08/15/27 (G) | 700 | 427 | ||||||
4.750%, 05/15/27 | 515 | 318 | ||||||
4.741%, 05/15/28 (G) | 600 | 355 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
4.676%, 02/15/28 | $ | 600 | $ | 359 | ||||
4.591%, 05/15/36 (G) | 100 | 43 | ||||||
4.589%, 08/15/30 | 325 | 176 | ||||||
4.587%, 02/15/24 (G) | 75 | 54 | ||||||
4.576%, 05/15/34 | 175 | 81 | ||||||
4.555%, 05/15/29 (G) | 100 | 57 | ||||||
4.536%, 02/15/34 | 250 | 117 | ||||||
4.514%, 11/15/33 | 350 | 166 | ||||||
4.453%, 08/15/33 | 300 | 143 | ||||||
4.446%, 08/15/24 (G) | 500 | 351 | ||||||
4.422%, 11/15/30 | 950 | 510 | ||||||
4.390%, 05/15/33 | 425 | 205 | ||||||
4.371%, 02/15/30 | 1,000 | 552 | ||||||
4.287%, 02/15/17 (G) | 3,660 | 3,468 | ||||||
4.269%, 11/15/24 (G) | 150 | 104 | ||||||
4.264%, 11/15/26 | 1,100 | 694 | ||||||
4.231%, 11/15/29 | 400 | 223 | ||||||
4.221%, 05/15/30 | 200 | 109 | ||||||
4.176%, 02/15/32 (G) | 150 | 76 | ||||||
4.138%, 11/15/20 (D) (G) | 1,250 | 1,041 | ||||||
4.050%, 05/15/19 (G) | 875 | 773 | ||||||
4.029%, 08/15/19 (G) | 1,350 | 1,182 | ||||||
3.964%, 11/15/32 | 250 | 123 | ||||||
3.888%, 02/15/27 (G) | 1,350 | 842 | ||||||
3.823%, 02/15/22 (G) | 600 | 474 | ||||||
3.720%, 05/15/31 | 185 | 97 | ||||||
3.704%, 08/15/18 (G) | 400 | 363 | ||||||
3.675%, 11/15/17 (G) | 1,550 | 1,440 | ||||||
3.560%, 08/15/20 (G) | 3,550 | 2,987 | ||||||
3.301%, 11/15/16 (G) | 200 | 191 | ||||||
3.155%, 11/15/21 | 200 | 160 | ||||||
3.135%, 05/15/18 | 250 | 229 | ||||||
3.087%, 02/15/18 (G) | 925 | 853 | ||||||
3.069%, 05/15/20 (G) | 4,274 | 3,628 | ||||||
2.971%, 02/15/16 (G) | 100 | 97 | ||||||
2.740%, 02/15/20 | 200 | 172 | ||||||
2.721%, 02/15/15 (G) | 100 | 98 | ||||||
2.704%, 08/15/21 | 250 | 202 | ||||||
2.600%, 02/15/14 (G) | 1,200 | 1,192 | ||||||
2.453%, 05/15/23 | 200 | 149 | ||||||
2.087%, 05/15/21 | 850 | 693 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 304,920 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 7.2% |
| |||||||
SEI Liquidity Fund, L.P. | 77,452,016 | 77,452 | ||||||
|
| |||||||
Total Affiliated Partnership | 77,452 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Concluded)
March 31, 2012
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 7.4% |
| |||||||
SEI Daily Income Trust, Prime | 79,688,280 | $ | 79,688 | |||||
|
| |||||||
Total Cash Equivalent |
| 79,688 | ||||||
|
| |||||||
Total Investments — 112.2% |
| $ | 1,205,985 | |||||
|
| |||||||
WRITTEN OPTION — 0.0% |
| |||||||
November 2020 U.S. CPI Urban Consumers NSA Call, | (1,490,000 | ) | (4 | ) | ||||
|
| |||||||
Total Written Option |
| $ | (4 | ) | ||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (32 | ) | Jun-2012 | $ | 38 | |||||||
U.S. 10-Year Treasury Note | 22 | Jun-2012 | (33 | ) | ||||||||
U.S. 2-Year Treasury Note | (14 | ) | Jun-2012 | 1 | ||||||||
U.S. 5-Year Treasury Note4 | (108 | ) | Jun-2012 | 59 | ||||||||
U.S. Long Treasury Bond | (67 | ) | Jun-2012 | 205 | ||||||||
U.S. Long Treasury Bond | 17 | Jun-2012 | (19 | ) | ||||||||
U.S. Ultra Long Treasury Bond | (35 | ) | Jun-2012 | 208 | ||||||||
|
| |||||||||||
$ | 459 | |||||||||||
|
|
For the period ended March 31, 2012, 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 March 31, 2012, is as follows
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||||||
Bank of America | CMBX.NA.AJ.1 Index | BUY | (0.84 | )% | 10/12/52 | $ | 100 | $ | (26 | ) | ||||||||||
Bank of America | CMBX.NA.AJ.1 Index | BUY | (0.84 | ) | 10/12/52 | 1,050 | (131 | ) | ||||||||||||
Bank of America | CMBX.NA.AJ.1 Index | BUY | (0.84 | ) | 10/12/52 | 1,050 | (104 | ) | ||||||||||||
Barclays Bank PLC | France Government Bond | SELL | 0.25 | 09/20/16 | (2,300 | ) | (9 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (270 | ) | ||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||
Barclays Capital | 2.91% | 3MLIBOR (PAYMENT AT MATURITY) | 02/16/27 | 940 | $ | (10 | ) | |||||||
Morgan Stanley | 2.83% | 3-Month LIBOR | 02/18/42 | 1,435 | 61 | |||||||||
|
| |||||||||||||
$ | 51 | |||||||||||||
|
|
Percentages are based on a Net Assets of $1,075,020 ($ Thousands)
* | Non-Income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2012. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. The date reported on the Schedule of Investments is the next reset date. |
(B) | Security, or portion thereof, has been pledged as collateral on open swaps contracts. |
(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 March 31, 2012 (see Note 9). The total value of securities on loan at March 31, 2012 was $74,833 ($ Thousands). |
(E) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(F) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2012. The coupon on a step bond changes on a specified date. |
(G) | The rate reported is the effective yield at time of purchase. |
(H) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(I) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of March 31, 2012 was $77,452 ($ Thousands). |
ABS | — Asset-Based Security |
ARM — Adjustable Rate Mortgage
Cl — Class
CMO — Collateralized Mortgage Obligation
FDIC — Federal Deposit Insurance Corporation
FHLB — Federal Home Loan Bank
FHLMC | — Federal Home Loan Mortgage Corporation |
FICO | — Financing Corporation |
FNMA | — Federal National Mortgage Association |
100 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
GNMA | — Government National Mortgage Association |
GO | — General Obligation |
IO | — Interest Only — face amount represents notional amount |
LIBOR | — London Inter Bank Offered Rate |
Ltd | — Limited |
LLC | — Limited Liability Company |
L.P. | — Limited Partnership |
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 |
REREMIC | — Resecuritization of 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 $O |
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 415,211 | $ | — | $ | 415,211 | ||||||||
Corporate Obligations | — | 218,624 | — | 218,624 | ||||||||||||
Asset-Backed Securities | — | 83,546 | — | 83,546 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 12,574 | — | 12,574 | ||||||||||||
Municipal Bonds | — | 8,294 | — | 8,294 | ||||||||||||
Sovereign Debt | — | 5,676 | — | 5,676 | ||||||||||||
U.S. Treasury Obligations | — | 304,920 | — | 304,920 | ||||||||||||
Affiliated Partnership | — | 77,452 | — | 77,452 | ||||||||||||
Cash Equivalent | 79,688 | — | — | 79,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 79,688 | $ | 1,126,297 | $ | — | $ | 1,205,985 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 459 | $ | — | $ | — | $ | 459 | ||||||||
Written Options | — | (4 | ) | — | (4 | ) | ||||||||||
Credit Default Swaps* | — | (270 | ) | — | (270 | ) | ||||||||||
Interest Rate Swaps* | — | 51 | — | 51 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 459 | $ | (223 | ) | $ | — | $ | 236 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and swaps are valued at the unrealized appreciation (depreciation) on the instruments. |
During the period ended March 31, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2012, there have been no 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 / Semi-Annual Report / March 31, 2012 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 78.2% |
| |||||||
Consumer Discretionary — 20.9% |
| |||||||
Academy | ||||||||
9.250%, 08/01/19 (A) | $ | 3,005 | $ | 3,084 | ||||
Adelphia Communications (Escrow Security) | ||||||||
10.250%, 06/15/11 (B) | 150 | 1 | ||||||
0.000%, 01/15/09 (B) | 225 | 1 | ||||||
Adelphia Communications (Escrow Security), Ser B | ||||||||
0.000%, 02/15/04 (B) | 25 | — | ||||||
Affinion Group | ||||||||
11.500%, 10/15/15 | 1,750 | 1,649 | ||||||
7.875%, 12/15/18 | 1,455 | 1,324 | ||||||
Allison Transmission | ||||||||
7.125%, 05/15/19 (A) | 2,806 | 2,904 | ||||||
AMC Entertainment | ||||||||
9.750%, 12/01/20 | 1,215 | 1,145 | ||||||
8.750%, 06/01/19 | 520 | 545 | ||||||
AMC Networks | ||||||||
7.750%, 07/15/21 (A) | 3,090 | 3,445 | ||||||
American Achievement | ||||||||
10.875%, 04/15/16 (A) | 3,180 | 2,305 | ||||||
American Axle & Manufacturing | ||||||||
9.250%, 01/15/17 (A) | 90 | 101 | ||||||
7.750%, 11/15/19 | 390 | 416 | ||||||
American Standard Americas | ||||||||
10.750%, 01/15/16 (A) | 1,850 | 1,332 | ||||||
AmeriGas Finance | ||||||||
7.000%, 05/20/22 | 4,317 | 4,403 | ||||||
6.750%, 05/20/20 | 490 | 497 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriGas Partners | ||||||||
6.500%, 05/20/21 | $ | 477 | $ | 484 | ||||
Ameristar Casinos | ||||||||
7.500%, 04/15/21 | 2,725 | 2,858 | ||||||
Armored Autogroup | ||||||||
9.250%, 11/01/18 (A) | 2,935 | 2,451 | ||||||
Ashtead Capital | ||||||||
9.000%, 08/15/16 (A) | 250 | 261 | ||||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/49 (B) (G) (J) (K) | 2,750 | 21 | ||||||
Avis Budget Car Rental | ||||||||
9.625%, 03/15/18 | 505 | 548 | ||||||
8.250%, 01/15/19 | 1,650 | 1,720 | ||||||
Beazer Homes USA | ||||||||
9.125%, 06/15/18 | 1,895 | 1,656 | ||||||
9.125%, 05/15/19 | 1,250 | 1,075 | ||||||
Belo | ||||||||
8.000%, 11/15/16 | 2,080 | 2,288 | ||||||
7.750%, 06/01/27 | 1,675 | 1,612 | ||||||
Block Communications | ||||||||
7.250%, 02/01/20 (A) | 595 | 606 | ||||||
Bon-Ton Department Stores | ||||||||
10.250%, 03/15/14 | 560 | 489 | ||||||
Brands | ||||||||
6.625%, 04/01/21 | 320 | 347 | ||||||
5.625%, 02/15/22 | 1,275 | 1,286 | ||||||
Brown Shoe | ||||||||
7.125%, 05/15/19 | 975 | 955 | ||||||
Buffalo Thunder Development | ||||||||
9.375%, 12/15/14 (A) (B) | 2,175 | 761 | ||||||
Burlington Coat Factory | ||||||||
10.000%, 02/15/19 | 11,374 | 11,829 | ||||||
Cablevision Systems | ||||||||
8.625%, 09/15/17 | 1,130 | 1,230 | ||||||
8.000%, 04/15/20 | 500 | 529 | ||||||
7.750%, 04/15/18 | 1,192 | 1,246 | ||||||
Caesars Operating Escrow | ||||||||
8.500%, 02/15/20 (A) | 3,105 | 3,159 | ||||||
CCO Holdings | ||||||||
8.125%, 04/30/20 | 2,008 | 2,229 | ||||||
7.875%, 04/30/18 | 1,900 | 2,052 | ||||||
7.250%, 10/30/17 | 555 | 595 | ||||||
7.000%, 01/15/19 | 4,475 | 4,743 | ||||||
Cedar Fair | ||||||||
9.125%, 08/01/18 | 1,135 | 1,274 | ||||||
Cengage Learning Holdco PIK | ||||||||
13.750%, 07/15/15 (A) | 3,527 | 2,822 | ||||||
Cequel Communications | ||||||||
8.625%, 11/15/17 (A) | 550 | 591 | ||||||
Chester Downs & Marina | ||||||||
9.250%, 02/01/20 (A) | 2,625 | 2,773 |
102 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Choctaw Resort Development | ||||||||
7.250%, 11/15/19 (A) | $ | 963 | $ | 811 | ||||
Chrysler Group | ||||||||
8.250%, 06/15/21 | 5,525 | 5,580 | ||||||
8.000%, 06/15/19 | 1,070 | 1,075 | ||||||
Chukchansi Economic | ||||||||
4.159%, 11/15/12 (A) (C) | 1,945 | 1,391 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/21 | 390 | 418 | ||||||
CityCenter Holdings | ||||||||
7.625%, 01/15/16 | 1,381 | 1,457 | ||||||
CKE Holdings | ||||||||
10.500%, 03/14/16 (A) | 2,667 | 2,747 | ||||||
CKE Restaurants | ||||||||
11.375%, 07/15/18 | 1,383 | 1,580 | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/19 (A) | 815 | 843 | ||||||
8.875%, 03/15/19 | 710 | 625 | ||||||
Clear Channel Communications | ||||||||
9.000%, 03/01/21 | 3,635 | 3,271 | ||||||
Clear Channel Worldwide Holdings | ||||||||
9.250%, 12/15/17 | 2,965 | 3,250 | ||||||
7.625%, 03/15/20 (A) | 1,575 | 1,543 | ||||||
7.625%, 03/15/20 (A) | 225 | 217 | ||||||
Columbus International | ||||||||
11.500%, 11/20/14 (A) | 1,295 | 1,437 | ||||||
Community Health Systems | ||||||||
8.875%, 07/15/15 | 1,311 | 1,359 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/19 | 2,200 | 2,530 | ||||||
6.750%, 11/15/21 (A) | 3,970 | 4,134 | ||||||
Dana Holding | ||||||||
6.750%, 02/15/21 | 1,108 | 1,180 | ||||||
6.500%, 02/15/19 | 1,718 | 1,821 | ||||||
Dave & Buster’s | ||||||||
11.000%, 06/01/18 | 1,820 | 1,947 | ||||||
Dave & Buster’s Parent | ||||||||
12.250%, 02/15/16 (A) (D) | 6,445 | 4,286 | ||||||
DCP | ||||||||
10.750%, 08/15/15 (A) | 2,220 | 1,682 | ||||||
Delphi (A) | ||||||||
6.125%, 05/15/21 | 775 | 825 | ||||||
5.875%, 05/15/19 | 1,759 | 1,855 | ||||||
Dex One PIK | ||||||||
12.000%, 01/29/17 | 997 | 292 | ||||||
Diamond Resorts | ||||||||
12.000%, 08/15/18 | 3,000 | 3,210 | ||||||
DineEquity | ||||||||
9.500%, 10/30/18 | 5,360 | 5,869 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/19 | 3,340 | 3,841 | ||||||
6.750%, 06/01/21 | 2,455 | 2,645 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Dollar General PIK | ||||||||
11.875%, 07/15/17 (C) | $ | 1,505 | $ | 1,633 | ||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/16 | 1,535 | 1,698 | ||||||
Echostar DBS | ||||||||
7.125%, 02/01/16 | 1,555 | 1,720 | ||||||
Eldorado Resorts | ||||||||
8.625%, 06/15/19 (A) | 4,615 | 4,384 | ||||||
Empire Today | ||||||||
11.375%, 02/01/17 (A) | 2,250 | 2,222 | ||||||
Entravision Communications | ||||||||
8.750%, 08/01/17 | 1,795 | 1,900 | ||||||
Equinox Holdings | ||||||||
9.500%, 02/01/16 (A) | 940 | 1,005 | ||||||
Exide Technologies | ||||||||
8.625%, 02/01/18 | 40 | 34 | ||||||
Ferrellgas | ||||||||
9.125%, 10/01/17 | 2,100 | 2,195 | ||||||
6.500%, 05/01/21 | 2,100 | 1,895 | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
11.000%, 06/15/15 (A) (B) | 3,125 | 2 | ||||||
Goodyear Tire & Rubber | ||||||||
8.750%, 08/15/20 | 380 | 412 | ||||||
8.250%, 08/15/20 | 880 | 935 | ||||||
7.000%, 05/15/22 | 3,605 | 3,506 | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/15 | 4,580 | 5,026 | ||||||
GWR Operating Partnership LLP | ||||||||
10.875%, 04/01/17 | 760 | 831 | ||||||
Gymboree | ||||||||
9.125%, 12/01/18 | 1,100 | 1,015 | ||||||
Hanesbrands | ||||||||
8.000%, 12/15/16 | 980 | 1,078 | ||||||
6.375%, 12/15/20 | 1,130 | 1,161 | ||||||
Harrah’s Operating | ||||||||
11.250%, 06/01/17 | 6,105 | 6,654 | ||||||
10.000%, 12/15/18 | 2,348 | 1,814 | ||||||
Hertz | ||||||||
7.500%, 10/15/18 | 1,470 | 1,560 | ||||||
6.750%, 04/15/19 | 160 | 166 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/18 | 850 | 890 | ||||||
Houghton Mifflin Harcourt Publishers | ||||||||
10.500%, 06/01/19 (A) | 1,500 | 795 | ||||||
Inergy | ||||||||
7.000%, 10/01/18 | 1,115 | 1,087 | ||||||
6.875%, 08/01/21 | 114 | 110 | ||||||
International Automotive Components Group SL | ||||||||
9.125%, 06/01/18 (A) | 1,330 | 1,157 | ||||||
inVentiv Health (A) | ||||||||
10.000%, 08/15/18 | 925 | 835 | ||||||
J. Crew Group | ||||||||
8.125%, 03/01/19 | 1,215 | 1,236 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Jaguar Land Rover | ||||||||
8.125%, 05/15/21 (A) | $ | 1,305 | $ | 1,338 | ||||
Jarden | ||||||||
7.500%, 05/01/17 | 1,550 | 1,705 | ||||||
JC Penney | ||||||||
7.950%, 04/01/17 | 380 | 424 | ||||||
5.750%, 02/15/18 | 795 | 814 | ||||||
Kabel BW Erste Beteiligungs GmbH | ||||||||
7.500%, 03/15/19 (A) | 1,500 | 1,620 | ||||||
Knowledge Learning | ||||||||
7.750%, 02/01/15 (A) | 1,000 | 830 | ||||||
Lamar Media | ||||||||
7.875%, 04/15/18 | 542 | 593 | ||||||
5.875%, 02/01/22 (A) | 525 | 534 | ||||||
Laureate Education (A) | ||||||||
12.750%, 08/15/17 | 1,100 | 1,174 | ||||||
11.000%, 08/15/15 | 525 | 538 | ||||||
Lear | ||||||||
7.875%, 03/15/18 | 370 | 403 | ||||||
Levi Strauss | ||||||||
7.625%, 05/15/20 | 1,845 | 1,951 | ||||||
Libbey Glass | ||||||||
10.000%, 02/15/15 | 523 | 559 | ||||||
Liberty Media LLC | ||||||||
8.250%, 02/01/30 | 1,970 | 1,990 | ||||||
Lions Gate Entertainment | ||||||||
10.250%, 11/01/16 (A) | 3,565 | 3,926 | ||||||
Liz Claiborne | ||||||||
10.500%, 04/15/19 (A) | 2,420 | 2,686 | ||||||
M/I Homes | ||||||||
8.625%, 11/15/18 | 1,820 | 1,820 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/18 | 1,950 | 1,750 | ||||||
9.500%, 10/15/15 | 375 | 342 | ||||||
McClatchy | ||||||||
11.500%, 02/15/17 | 3,750 | 3,984 | ||||||
MDC Partners (A) | ||||||||
11.000%, 11/01/16 | 1,540 | 1,663 | ||||||
11.000%, 11/01/16 | 3,280 | 3,575 | ||||||
MediMedia USA | ||||||||
11.375%, 11/15/14 (A) | 2,100 | 1,974 | ||||||
Meritage Homes | ||||||||
7.000%, 04/01/22 (A) | 290 | 291 | ||||||
MGM Mirage | ||||||||
7.625%, 01/15/17 | 2,290 | 2,364 | ||||||
7.500%, 06/01/16 | 775 | 798 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/18 | 4,065 | 4,832 | ||||||
11.125%, 11/15/17 | 185 | 209 | ||||||
9.000%, 03/15/20 | 5,545 | 6,169 | ||||||
8.625%, 02/01/19 (A) | 870 | 933 | ||||||
7.750%, 03/15/22 | 1,000 | 1,018 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Michaels Stores | ||||||||
13.000%, 11/01/16 (E) | $ | 1,325 | $ | 1,398 | ||||
11.375%, 11/01/16 | 430 | 457 | ||||||
7.750%, 11/01/18 | 1,540 | 1,640 | ||||||
Midwest Gaming Borrower | ||||||||
11.625%, 04/15/16 (A) | 2,100 | 2,349 | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/26 (B) | 175 | — | ||||||
MTR Gaming Group | ||||||||
11.500%, 08/01/19 | 5,261 | 5,209 | ||||||
Nara Cable Funding | ||||||||
8.875%, 12/01/18 (A) | 1,130 | 1,073 | ||||||
NCL | ||||||||
9.500%, 11/15/18 (A) | 265 | 286 | ||||||
Nexstar Broadcasting | ||||||||
8.875%, 04/15/17 | 1,875 | 2,011 | ||||||
Nielsen Finance | ||||||||
7.750%, 10/15/18 | 3,510 | 3,870 | ||||||
Norcraft | ||||||||
10.500%, 12/15/15 | 865 | 759 | ||||||
Ono Finance II | ||||||||
10.875%, 07/15/19 (A) | 3,357 | 3,055 | ||||||
OSI Restaurant Partners | ||||||||
10.000%, 06/15/15 | 1,165 | 1,206 | ||||||
Peninsula Gaming | ||||||||
10.750%, 08/15/17 | 2,925 | 3,232 | ||||||
8.375%, 08/15/15 | 2,100 | 2,215 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/18 (A) | 950 | 1,043 | ||||||
Phillips-Van Heusen | ||||||||
7.375%, 05/15/20 | 2,890 | 3,186 | ||||||
Pinnacle Entertainment | ||||||||
8.750%, 05/15/20 | 785 | 858 | ||||||
7.750%, 04/01/22 | 1,275 | 1,336 | ||||||
Quebecor Media | ||||||||
7.750%, 03/15/16 | 1,210 | 1,242 | ||||||
7.750%, 03/15/16 | 210 | 216 | ||||||
Quebecor Media (Escrow Security) | ||||||||
0.000%, 11/15/13 (B) (F) | 1,725 | 17 | ||||||
0.000%, 03/15/16 (B) | 1,915 | 19 | ||||||
Quiksilver | ||||||||
6.875%, 04/15/15 | 1,500 | 1,508 | ||||||
QVC (A) | ||||||||
7.500%, 10/01/19 | 2,755 | 3,024 | ||||||
7.375%, 10/15/20 | 415 | 457 | ||||||
Reynolds Group Issuer (A) | ||||||||
9.875%, 08/15/19 | 8,370 | 8,559 | ||||||
9.000%, 04/15/19 | 4,680 | 4,610 | ||||||
8.750%, 10/15/16 | 2,100 | 2,221 | ||||||
8.500%, 05/15/18 | 550 | 549 | ||||||
8.500%, 02/15/21 | 1,778 | 1,671 | ||||||
7.875%, 08/15/19 | 140 | 151 | ||||||
6.875%, 02/15/21 | 2,250 | 2,329 |
104 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RJ Tower | ||||||||
12.000%, 06/01/13 (B) | $ | 172 | $ | 1 | ||||
Roadhouse Financing | ||||||||
10.750%, 10/15/17 | 2,185 | 2,130 | ||||||
RSC Equipment Rental | ||||||||
10.250%, 11/15/19 | 100 | 112 | ||||||
10.000%, 07/15/17 (A) | 1,750 | 2,030 | ||||||
8.250%, 02/01/21 | 4,544 | 4,839 | ||||||
Salem Communications | ||||||||
9.625%, 12/15/16 | 843 | 929 | ||||||
Sally Holdings | ||||||||
6.875%, 11/15/19 (A) | 4,476 | 4,767 | ||||||
Sealy Mattress | ||||||||
8.250%, 06/15/14 | 2,351 | 2,304 | ||||||
Seneca Gaming | ||||||||
8.250%, 12/01/18 (A) | 3,905 | 3,993 | ||||||
Service International | ||||||||
7.625%, 10/01/18 | 375 | 431 | ||||||
7.500%, 04/01/27 | 550 | 557 | ||||||
7.000%, 06/15/17 | 310 | 346 | ||||||
7.000%, 05/15/19 | 550 | 595 | ||||||
ServiceMaster | ||||||||
8.000%, 02/15/20 (A) | 2,365 | 2,519 | ||||||
Seven Seas Cruises S de RL | ||||||||
9.125%, 05/15/19 (A) | 1,450 | 1,472 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.375%, 06/15/15 (A) | 300 | 217 | ||||||
Simmons Bedding | ||||||||
11.250%, 07/15/15 (A) | 2,075 | 2,145 | ||||||
Sinclair Television Group | ||||||||
9.250%, 11/01/17 (A) | 725 | 807 | ||||||
8.375%, 10/15/18 | 2,425 | 2,619 | ||||||
Sirius XM Radio (A) | ||||||||
9.750%, 09/01/15 | 1,425 | 1,539 | ||||||
8.750%, 04/01/15 | 1,300 | 1,476 | ||||||
Spectrum Brands | ||||||||
6.750%, 03/15/20 (A) | 770 | 778 | ||||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/15 (E) | 1,575 | 1,402 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/14 | 1,750 | 1,601 | ||||||
Standard Pacific | ||||||||
10.750%, 09/15/16 | 445 | 512 | ||||||
Stewart Enterprises | ||||||||
6.500%, 04/15/19 | 500 | 521 | ||||||
Stoneridge | ||||||||
9.500%, 10/15/17 (A) | 930 | 987 | ||||||
Sugarhouse HSP Gaming | ||||||||
8.625%, 04/15/16 (A) | 795 | 843 | ||||||
Taylor Morrison Communities | ||||||||
7.750%, 04/15/20 (A) | 1,315 | 1,341 | ||||||
Tenneco | ||||||||
6.875%, 12/15/20 | 480 | 516 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Tomkins | ||||||||
9.000%, 10/01/18 | $ | 832 | $ | 921 | ||||
Travelport LLC | ||||||||
11.875%, 09/01/16 | 495 | 158 | ||||||
UCI International | ||||||||
8.625%, 02/15/19 | 1,025 | 1,053 | ||||||
United Rentals North America | ||||||||
10.875%, 06/15/16 | 2,600 | 2,944 | ||||||
9.250%, 12/15/19 | 770 | 849 | ||||||
8.375%, 09/15/20 | 1,737 | 1,798 | ||||||
Univision Communications (A) | ||||||||
8.500%, 05/15/21 | 5,065 | 5,014 | ||||||
7.875%, 11/01/20 | 2,350 | 2,468 | ||||||
6.875%, 05/15/19 | 1,750 | 1,774 | ||||||
UPC Holding | ||||||||
9.875%, 04/15/18 (A) | 4,060 | 4,486 | ||||||
UR Financing Escrow (A) | ||||||||
7.625%, 04/15/22 | 720 | 740 | ||||||
7.375%, 05/15/20 | 150 | 153 | ||||||
5.750%, 07/15/18 | 740 | 758 | ||||||
Vail Resorts | ||||||||
6.500%, 05/01/19 | 1,790 | 1,880 | ||||||
Videotron | ||||||||
9.125%, 04/15/18 | 800 | 884 | ||||||
5.000%, 07/15/22 (A) | 1,975 | 1,955 | ||||||
Visant | ||||||||
10.000%, 10/01/17 | 1,235 | 1,153 | ||||||
Visteon | ||||||||
6.750%, 04/15/19 | 980 | 995 | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/18 (A) | 2,165 | 2,317 | ||||||
9.500%, 06/15/16 | 850 | 927 | ||||||
Wynn Las Vegas | ||||||||
7.750%, 08/15/20 | 1,100 | 1,209 | ||||||
5.375%, 03/15/22 (A) | 400 | 390 | ||||||
XM Satellite Radio (A) | ||||||||
13.000%, 08/01/13 | 3,680 | 4,163 | ||||||
7.625%, 11/01/18 | 3,325 | 3,591 | ||||||
YCC Holdings PIK | ||||||||
10.250%, 02/15/16 | 1,950 | 1,987 | ||||||
|
| |||||||
393,778 | ||||||||
|
| |||||||
Consumer Staples — 3.1% | ||||||||
American Rock Salt | ||||||||
8.250%, 05/01/18 (A) | 1,290 | 1,119 | ||||||
Beverages & More | ||||||||
9.625%, 10/01/14 (A) | 3,650 | 3,805 | ||||||
BI-LO | ||||||||
9.250%, 02/15/19 (A) | 3,100 | 3,286 | ||||||
Bumble Bee Acquisition | ||||||||
9.000%, 12/15/17 (A) | 2,559 | 2,610 | ||||||
Bumble Bee Holdco SCA PIK | ||||||||
9.625%, 03/15/18 (A) | 2,250 | 2,042 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/18 | $ | 2,005 | $ | 2,068 | ||||
8.250%, 03/01/18 (A) | 3,000 | 3,094 | ||||||
Constellation Brands | ||||||||
7.250%, 05/15/17 | 1,000 | 1,133 | ||||||
Cott Beverages | ||||||||
8.375%, 11/15/17 | 1,700 | 1,838 | ||||||
8.125%, 09/01/18 | 950 | 1,028 | ||||||
Dean Foods | ||||||||
7.000%, 06/01/16 | 820 | 843 | ||||||
Del Monte | ||||||||
7.625%, 02/15/19 | 5,495 | 5,468 | ||||||
Dole Food | ||||||||
8.000%, 10/01/16 (A) | 205 | 215 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/21 | 200 | 217 | ||||||
Fleming | ||||||||
10.125%, 04/01/08 (B) | 1,043 | — | ||||||
JBS USA | ||||||||
8.250%, 02/01/20 (A) | 1,315 | 1,351 | ||||||
Michael Foods | ||||||||
9.750%, 07/15/18 | 1,010 | 1,110 | ||||||
NBTY | ||||||||
9.000%, 10/01/18 | 1,980 | 2,180 | ||||||
Post Holdings | ||||||||
7.375%, 02/15/22 (A) | 915 | 958 | ||||||
Rite Aid | ||||||||
9.750%, 06/12/16 | 580 | 642 | ||||||
9.500%, 06/15/17 | 490 | 491 | ||||||
9.250%, 03/15/20 (A) | 3,700 | 3,737 | ||||||
8.000%, 08/15/20 | 10,615 | 12,221 | ||||||
7.500%, 03/01/17 | 585 | 597 | ||||||
Spectrum Brands Holdings | ||||||||
9.500%, 06/15/18 (A) | 1,840 | 2,075 | ||||||
9.500%, 06/15/18 | 520 | 586 | ||||||
SuperValu | ||||||||
8.000%, 05/01/16 | 1,095 | 1,147 | ||||||
US Foodservice | ||||||||
8.500%, 06/30/19 (A) | 2,000 | 2,025 | ||||||
|
| |||||||
57,886 | ||||||||
|
| |||||||
Energy — 7.7% | ||||||||
Afren | ||||||||
10.250%, 04/08/19 (A) | 290 | 304 | ||||||
American Petroleum Tankers Parent | ||||||||
10.250%, 05/01/15 | 878 | 919 | ||||||
Antero Resources Finance | ||||||||
9.375%, 12/01/17 | 1,115 | 1,207 | ||||||
Arch Coal | ||||||||
8.750%, 08/01/16 | 975 | 1,024 | ||||||
7.250%, 06/15/21 (A) | 765 | 706 | ||||||
7.000%, 06/15/19 (A) | 450 | 415 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/20 | $ | 475 | $ | 499 | ||||
Berry Petroleum | ||||||||
6.375%, 09/15/22 | 520 | 534 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/19 | 1,500 | 1,523 | ||||||
7.000%, 10/15/22 | 1,500 | 1,447 | ||||||
Bluewater Holding BV | ||||||||
3.572%, 07/17/14 (A) (C) | 1,200 | 1,026 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/20 | 1,020 | 1,084 | ||||||
7.875%, 04/15/22 (A) | 3,090 | 3,152 | ||||||
Bristow Group | ||||||||
7.500%, 09/15/17 | 1,680 | 1,756 | ||||||
Calumet Specialty Products Partners | ||||||||
9.375%, 05/01/19 | 2,055 | 2,137 | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/21 | 1,880 | 2,002 | ||||||
Chesapeake Energy | ||||||||
6.875%, 08/15/18 | 2,400 | 2,472 | ||||||
6.875%, 11/15/20 | 44 | 45 | ||||||
6.625%, 08/15/20 | 1,414 | 1,439 | ||||||
6.125%, 02/15/21 | 1,000 | 990 | ||||||
Chesapeake Midstream Partners | ||||||||
6.125%, 07/15/22 (A) | 475 | 479 | ||||||
Chesapeake Oilfield Operating | ||||||||
6.625%, 11/15/19 (A) | 1,620 | 1,608 | ||||||
Cimarex Energy | ||||||||
5.875%, 05/01/22 | �� | 130 | 133 | |||||
Cloud Peak Energy Resources | ||||||||
8.250%, 12/15/17 | 675 | 688 | ||||||
Comstock Resources | ||||||||
7.750%, 04/01/19 | 3,795 | 3,529 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/20 | 1,450 | 1,515 | ||||||
8.000%, 04/01/17 | 1,550 | 1,616 | ||||||
Continental Resources | ||||||||
7.375%, 10/01/20 | 1,000 | 1,110 | ||||||
Copano Energy | ||||||||
7.750%, 06/01/18 | 3,560 | 3,729 | ||||||
7.125%, 04/01/21 | 580 | 610 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/19 (A) | 3,750 | 3,839 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/18 | 1,915 | 2,035 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/19 | 2,520 | 2,596 | ||||||
El Paso | ||||||||
7.750%, 01/15/32 | 295 | 336 | ||||||
7.250%, 06/01/18 | 560 | 627 | ||||||
Encore Acquisition | ||||||||
9.500%, 05/01/16 | 425 | 467 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 1,218 | 1,352 |
106 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/19 | $ | 1,310 | $ | 1,343 | ||||
Exterran Holdings | ||||||||
7.250%, 12/01/18 | 3,500 | 3,360 | ||||||
Forest Oil | ||||||||
8.500%, 02/15/14 | 75 | 80 | ||||||
7.250%, 06/15/19 | 4,580 | 4,477 | ||||||
Frontier Oil | ||||||||
6.875%, 11/15/18 | 1,075 | 1,118 | ||||||
GMX Resources | ||||||||
11.000%, 12/01/17 (A) | 884 | 738 | ||||||
Gulfmark Offshore | ||||||||
6.375%, 03/15/22 (A) | 265 | 266 | ||||||
Hercules Offshore (A) | ||||||||
10.500%, 10/15/17 | 1,560 | 1,634 | ||||||
7.125%, 04/01/17 | 535 | 536 | ||||||
Hilcorp Energy I (A) | ||||||||
8.000%, 02/15/20 | 765 | 826 | ||||||
7.625%, 04/15/21 | 505 | 545 | ||||||
Holly Energy Partners | ||||||||
6.500%, 03/01/20 (A) | 400 | 406 | ||||||
James River Coal | ||||||||
7.875%, 04/01/19 | 880 | 598 | ||||||
Kinder Morgan Finance | ||||||||
6.000%, 01/15/18 (A) | 3,535 | 3,752 | ||||||
Kodiak Oil & Gas | ||||||||
8.125%, 12/01/19 (A) | 2,270 | 2,401 | ||||||
Laredo Petroleum | ||||||||
9.500%, 02/15/19 | 4,601 | 5,119 | ||||||
Linn Energy | ||||||||
8.625%, 04/15/20 | 1,520 | �� | 1,638 | |||||
7.750%, 02/01/21 | 385 | 399 | ||||||
6.500%, 05/15/19 (A) | 390 | 382 | ||||||
6.250%, 11/01/19 (A) | 4,180 | 4,055 | ||||||
MEG Energy | ||||||||
6.500%, 03/15/21 (A) | 616 | 645 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/16 | 1,700 | 1,326 | ||||||
Murray Energy | ||||||||
10.250%, 10/15/15 (A) | 1,020 | 992 | ||||||
Newfield Exploration | ||||||||
7.125%, 05/15/18 | 3,040 | 3,200 | ||||||
6.875%, 02/01/20 | 850 | 890 | ||||||
NFR Energy (A) | ||||||||
9.750%, 02/15/17 | 1,070 | 915 | ||||||
9.750%, 02/15/17 | 505 | 432 | ||||||
Oasis Petroleum | ||||||||
7.250%, 02/01/19 | 1,060 | 1,116 | ||||||
Ocean Rig | ||||||||
9.500%, 04/27/16 | 5,500 | 5,486 | ||||||
Parker Drilling | ||||||||
9.125%, 04/01/18 | 1,390 | 1,473 | ||||||
Peabody Energy (A) | ||||||||
6.250%, 11/15/21 | 3,270 | 3,205 | ||||||
6.000%, 11/15/18 | 840 | 823 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Penn Virginia | ||||||||
10.375%, 06/15/16 | $ | 400 | $ | 392 | ||||
7.250%, 04/15/19 | 2,175 | 1,870 | ||||||
Petroleum Development | ||||||||
12.000%, 02/15/18 | 2,380 | 2,582 | ||||||
Pioneer Drilling | ||||||||
9.875%, 03/15/18 | 1,080 | 1,145 | ||||||
9.875%, 03/15/18 (A) | 540 | 572 | ||||||
Plains Exploration & Production | ||||||||
10.000%, 03/01/16 | 85 | 94 | ||||||
7.625%, 06/01/18 | 1,635 | 1,737 | ||||||
7.625%, 04/01/20 | 1,710 | 1,864 | ||||||
QEP Resources | ||||||||
5.375%, 10/01/22 | 1,080 | 1,071 | ||||||
Quicksilver Resources | ||||||||
11.750%, 01/01/16 | 1,000 | 1,057 | ||||||
9.125%, 08/15/19 | 1,215 | 1,185 | ||||||
7.125%, 04/01/16 | 450 | 414 | ||||||
Range Resources | ||||||||
8.000%, 05/15/19 | 3,500 | 3,841 | ||||||
5.000%, 08/15/22 | 1,590 | 1,570 | ||||||
Regency Energy Partners | ||||||||
6.875%, 12/01/18 | 2,460 | 2,601 | ||||||
Samson Investment | ||||||||
9.750%, 02/15/20 (A) | 1,335 | 1,352 | ||||||
SandRidge Energy | ||||||||
8.000%, 06/01/18 (A) | 290 | 296 | ||||||
7.500%, 03/15/21 | 3,165 | 3,118 | ||||||
SESI | ||||||||
7.125%, 12/15/21 (A) | 3,000 | 3,240 | ||||||
Targa Resources Partners | ||||||||
7.875%, 10/15/18 | 1,845 | 1,974 | ||||||
6.375%, 08/01/22 (A) | 3,800 | 3,857 | ||||||
Tesoro | ||||||||
9.750%, 06/01/19 | 950 | 1,083 | ||||||
Thermon Industries | ||||||||
9.500%, 05/01/17 | 1,056 | 1,162 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/19 (A) | 820 | 872 | ||||||
Vanguard Natural Resources | ||||||||
7.875%, 04/01/20 | 515 | 511 | ||||||
Venoco | ||||||||
8.875%, 02/15/19 | 530 | 485 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/22 (A) | 605 | 605 | ||||||
|
| |||||||
145,676 | ||||||||
|
| |||||||
Financials — 9.6% | ||||||||
Alliant Holdings I | ||||||||
11.000%, 05/01/15 (A) | 3,375 | 3,540 | ||||||
Ally Financial | ||||||||
8.000%, 11/01/31 | 5,555 | 6,124 | ||||||
6.250%, 12/01/17 | 4,935 | 5,082 | ||||||
5.500%, 02/15/17 | 190 | 190 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Capital | ||||||||
7.960%, 12/31/13 | $ | 77 | $ | 78 | ||||
American International Group | ||||||||
8.175%, 05/15/58 (C) | 2,180 | 2,308 | ||||||
6.250%, 03/15/37 | 2,405 | 2,165 | ||||||
BAC Capital Trust VI | ||||||||
5.625%, 03/08/35 | 2,075 | 1,920 | ||||||
Bank of America | ||||||||
8.000%, 12/29/49 (C) | 1,675 | 1,718 | ||||||
Bankrate | ||||||||
11.750%, 07/15/15 | 1,107 | 1,270 | ||||||
Cardtronics | ||||||||
8.250%, 09/01/18 | 470 | 518 | ||||||
Cemex Finance | ||||||||
9.500%, 12/14/16 (A) | 250 | 249 | ||||||
CEVA Group (A) | ||||||||
11.625%, 10/01/16 | 2,925 | 3,100 | ||||||
11.500%, 04/01/18 | 2,500 | 2,475 | ||||||
8.375%, 12/01/17 (A) | 1,210 | 1,198 | ||||||
CIT Group (A) | ||||||||
7.000%, 05/04/15 | 270 | 270 | ||||||
7.000%, 05/02/16 | 2,026 | 2,031 | ||||||
7.000%, 05/02/17 | 11,317 | 11,345 | ||||||
6.625%, 04/01/18 | 250 | 271 | ||||||
5.500%, 02/15/19 | 1,760 | 1,795 | ||||||
5.250%, 03/15/18 | 1,360 | 1,387 | ||||||
Citigroup Capital XXI | ||||||||
8.300%, 12/21/57 (C) | 870 | 878 | ||||||
City National Bank | ||||||||
9.000%, 08/12/19 | 3,384 | 3,995 | ||||||
CNH Capital | ||||||||
6.250%, 11/01/16 (A) | 1,780 | 1,909 | ||||||
CNO Financial Group | ||||||||
9.000%, 01/15/18 (A) | 1,450 | 1,566 | ||||||
Credit Acceptance | ||||||||
9.125%, 02/01/17 | 4,700 | 5,076 | ||||||
E*Trade Financial | ||||||||
7.875%, 12/01/15 | 3,150 | 3,201 | ||||||
E*Trade Financial PIK | ||||||||
12.500%, 11/30/17 | 1,036 | 1,206 | ||||||
Fifth Third Capital Trust IV | ||||||||
6.500%, 04/15/37 (C) | 1,440 | 1,433 | ||||||
FireKeepers Development Authority | ||||||||
13.875%, 05/01/15 (A) | 3,450 | 3,838 | ||||||
Ford Motor Credit | ||||||||
6.625%, 08/15/17 | 1,145 | 1,269 | ||||||
5.875%, 08/02/21 | 240 | 259 | ||||||
5.000%, 05/15/18 | 3,845 | 3,983 | ||||||
Ford Motor Credit LLC | ||||||||
12.000%, 05/15/15 | 380 | 469 | ||||||
8.000%, 12/15/16 | 800 | 928 | ||||||
Fresenius US Finance II | ||||||||
9.000%, 07/15/15 (A) | 300 | 346 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (A) (C) | 3,420 | 2,420 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Host Hotels & Resorts‡ | ||||||||
9.000%, 05/15/17 | $ | 1,000 | $ | 1,106 | ||||
6.000%, 10/01/21 (A) | 200 | 214 | ||||||
HUB International Holdings | ||||||||
10.250%, 06/15/15 (A) | 510 | 526 | ||||||
9.000%, 12/15/14 (A) | 1,381 | 1,416 | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/18 | 2,000 | 2,080 | ||||||
8.000%, 01/15/18 (A) | 1,500 | 1,560 | ||||||
7.750%, 01/15/16 | 2,940 | 3,043 | ||||||
ILFC E-Capital Trust I | ||||||||
5.030%, 12/21/65 (A) (C) | 830 | 552 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (A) (C) | 2,315 | 1,696 | ||||||
ING Groep | ||||||||
5.775%, 12/29/49 (C) | 3,565 | 3,066 | ||||||
Interactive Data | ||||||||
10.250%, 08/01/18 | 1,035 | 1,177 | ||||||
International Lease Finance | ||||||||
8.250%, 12/15/20 | 990 | 1,089 | ||||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/20 (A) | 4,600 | 5,005 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/19 | 680 | 755 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/19 | 2,250 | 2,346 | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/37 (A) (C) | 2,070 | 1,863 | ||||||
Lloyds Banking Group (A) (C) | ||||||||
6.267%, 11/14/16 | 1,265 | 848 | ||||||
5.920%, 09/29/49 | 845 | 566 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/03 (A) (B) | 4,200 | — | ||||||
MPT Operating Partnership‡ | ||||||||
6.875%, 05/01/21 | 4,005 | 4,185 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/39 (A) | 990 | 1,244 | ||||||
NCO Group | ||||||||
11.875%, 11/15/14 | 2,450 | 2,523 | ||||||
Neuberger Berman Group (A) | ||||||||
5.875%, 03/15/22 | 880 | 889 | ||||||
5.625%, 03/15/20 | 270 | 272 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/25 (A) | 3,000 | 3,015 | ||||||
Nuveen Investments | ||||||||
10.500%, 11/15/15 | 9,735 | 10,088 | ||||||
Offshore Group Investments | ||||||||
11.500%, 08/01/15 | 1,025 | 1,128 | ||||||
Ohio Casualty | ||||||||
7.300%, 06/15/14 | 905 | 974 | ||||||
Omega Healthcare Investors‡ | ||||||||
7.500%, 02/15/20 | 3,495 | 3,757 | ||||||
6.750%, 10/15/22 | 840 | 890 | ||||||
PHH | ||||||||
9.250%, 03/01/16 | 1,625 | 1,651 |
108 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pinnacle Foods Finance | ||||||||
10.625%, 04/01/17 | $ | 1,335 | $ | 1,408 | ||||
8.250%, 09/01/17 | 600 | 651 | ||||||
PNC Preferred Funding Trust II | ||||||||
6.113%, 03/29/49 (A) (C) | 4,970 | 3,818 | ||||||
RBS Capital Trust I | ||||||||
4.709%, 12/29/49 | 1,615 | 1,001 | ||||||
Realogy (A) | ||||||||
7.875%, 02/15/19 | 600 | 600 | ||||||
7.625%, 01/15/20 | 475 | 496 | ||||||
Regions Bank | ||||||||
7.500%, 05/15/18 | 1,000 | 1,132 | ||||||
Regions Financial | ||||||||
5.750%, 06/15/15 | 230 | 241 | ||||||
Regions Financing Trust II | ||||||||
6.625%, 05/15/47 (C) | 3,290 | 3,125 | ||||||
RESPARCS Funding L.P. | ||||||||
8.000%, 12/29/49 | 740 | 244 | ||||||
Sabra Health Care‡ | ||||||||
8.125%, 11/01/18 | 4,300 | 4,558 | ||||||
Snoqualmie Entertainment | ||||||||
9.125%, 02/01/15 (A) | 2,500 | 2,509 | ||||||
4.532%, 02/01/14 (A) (C) | 500 | 470 | ||||||
Spencer Spirit Holdings | ||||||||
11.000%, 05/01/17 (A) | 1,940 | 1,979 | ||||||
Susquehanna Capital II | ||||||||
11.000%, 03/23/40 | 1,300 | 1,401 | ||||||
Synovus Financial | ||||||||
7.875%, 02/15/19 | 970 | 999 | ||||||
TransUnion Holding | ||||||||
9.625%, 06/15/18 (A) | 1,725 | 1,816 | ||||||
UPCB Finance III | ||||||||
6.625%, 07/01/20 (A) | 650 | 663 | ||||||
USB Realty | ||||||||
1.719%, 12/29/49 (A) (C) | 5,000 | 3,793 | ||||||
USI Holdings | ||||||||
9.750%, 05/15/15 (A) | 4,619 | 4,642 | ||||||
XL Capital | ||||||||
6.500%, 12/31/49 (C) | 2,275 | 1,917 | ||||||
Yankee Acquisition, Ser B | ||||||||
9.750%, 02/15/17 | 1,735 | 1,800 | ||||||
8.500%, 02/15/15 | 627 | 643 | ||||||
|
| |||||||
181,240 | ||||||||
|
| |||||||
Health Care — 9.3% | ||||||||
Acadia Healthcare | ||||||||
12.875%, 11/01/18 | 1,925 | 2,050 | ||||||
Accellent | ||||||||
10.000%, 11/01/17 | 1,350 | 1,102 | ||||||
8.375%, 02/01/17 | 830 | 834 | ||||||
Alere | ||||||||
9.000%, 05/15/16 | 5,365 | 5,593 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Renal Associates Holdings | ||||||||
9.750%, 03/01/16 | $ | 2,609 | $ | 2,752 | ||||
American Renal Holdings | ||||||||
8.375%, 05/15/18 | 1,620 | 1,723 | ||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/14 | 1,250 | 1,247 | ||||||
11.250%, 11/01/14 | 300 | 314 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/18 | 5,185 | 5,133 | ||||||
Biomet | ||||||||
11.625%, 10/15/17 | 4,755 | 5,141 | ||||||
10.000%, 10/15/17 | 6,335 | 6,818 | ||||||
Biomet PIK | ||||||||
10.375%, 10/15/17 | 5,105 | 5,501 | ||||||
BioScrip | ||||||||
10.250%, 10/01/15 | 4,420 | 4,785 | ||||||
Catalent Pharma Solutions PIK | ||||||||
9.500%, 04/15/15 | 4,960 | 5,096 | ||||||
CHS (A) | ||||||||
8.000%, 11/15/19 | 5,420 | 5,608 | ||||||
ConvaTec Healthcare | ||||||||
10.500%, 12/15/18 (A) | 1,220 | 1,254 | ||||||
DaVita | ||||||||
6.625%, 11/01/20 | 1,756 | 1,835 | ||||||
6.375%, 11/01/18 | 715 | 749 | ||||||
DJO Finance | ||||||||
9.750%, 10/15/17 | 4,846 | 3,610 | ||||||
8.750%, 03/15/18 (A) | 855 | 864 | ||||||
7.750%, 04/15/18 | 4,080 | 3,346 | ||||||
Endo Pharmaceuticals Holdings | ||||||||
7.250%, 01/15/22 | 1,910 | 2,044 | ||||||
7.000%, 07/15/19 | 3,790 | 4,046 | ||||||
Fresenius Medical Care US | ||||||||
5.875%, 01/31/22 | 160 | 164 | ||||||
5.625%, 07/31/19 | 3,445 | 3,548 | ||||||
GCB Oncology (Escrow Security) | ||||||||
0.000%, 08/15/17 | 1,525 | 31 | ||||||
Grifols | ||||||||
8.250%, 02/01/18 | 1,200 | 1,299 | ||||||
HCA | ||||||||
9.875%, 02/15/17 | 105 | 114 | ||||||
8.000%, 10/01/18 | 650 | 709 | ||||||
7.500%, 02/15/22 | 4,980 | 5,304 | ||||||
6.500%, 02/15/20 | 455 | 478 | ||||||
5.875%, 03/15/22 | 2,200 | 2,203 | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/21 | 3,835 | 3,964 | ||||||
Health Management Associates | ||||||||
7.375%, 01/15/20 (A) | 4,565 | 4,656 | ||||||
6.125%, 04/15/16 | 1,040 | 1,088 | ||||||
Healthsouth | ||||||||
8.125%, 02/15/20 | 2,000 | 2,190 | ||||||
7.750%, 09/15/22 | 825 | 891 | ||||||
7.250%, 10/01/18 | 670 | 715 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Immucor | ||||||||
11.125%, 08/15/19 | $ | 5,465 | $ | 6,073 | ||||
INC Research | ||||||||
11.500%, 07/15/19 (A) | 3,215 | 3,135 | ||||||
Jaguar Holding II | ||||||||
9.500%, 12/01/19 (A) | 2,500 | 2,713 | ||||||
Kindred Healthcare | ||||||||
8.250%, 06/01/19 | 4,905 | 4,273 | ||||||
Kinetic Concepts (A) | ||||||||
12.500%, 11/01/19 | 1,020 | 959 | ||||||
10.500%, 11/01/18 | 2,180 | 2,264 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/17 | 895 | 803 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/20 (A) | 2,155 | 2,182 | ||||||
Multiplan | ||||||||
9.875%, 09/01/18 (A) | 1,230 | 1,328 | ||||||
Mylan (A) | ||||||||
7.875%, 07/15/20 | 1,630 | 1,817 | ||||||
7.625%, 07/15/17 | 3,770 | 4,147 | ||||||
6.000%, 11/15/18 | 1,215 | 1,270 | ||||||
OnCure Holdings | ||||||||
11.750%, 05/15/17 | 600 | 393 | ||||||
Physio-Control International | ||||||||
9.875%, 01/15/19 (A) | 350 | 367 | ||||||
PSS World Medical | ||||||||
6.375%, 03/01/22 (A) | 1,640 | 1,685 | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/17 | 985 | 790 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/18 | 975 | 970 | ||||||
Rural | ||||||||
10.125%, 07/15/19 (A) | 2,500 | 2,306 | ||||||
STHI Holding | ||||||||
8.000%, 03/15/18 (A) | 1,680 | 1,781 | ||||||
Surgical Care Affiliates PIK | ||||||||
8.875%, 07/15/15 (A) | 1,254 | 1,261 | ||||||
Symbion PIK | ||||||||
11.000%, 08/23/15 | 1,366 | 1,291 | ||||||
Tenet Healthcare | ||||||||
9.250%, 02/01/15 | 515 | 572 | ||||||
8.875%, 07/01/19 | 215 | 241 | ||||||
8.000%, 08/01/20 | 1,895 | 1,952 | ||||||
6.250%, 11/01/18 (A) | 1,870 | 1,931 | ||||||
United Surgical Partners International | ||||||||
8.875%, 05/01/17 | 325 | 340 | ||||||
United Surgical Partners International PIK | ||||||||
9.250%, 05/01/17 | 1,300 | 1,365 | ||||||
Universal Health Services | ||||||||
7.000%, 10/01/18 | 1,850 | 1,980 | ||||||
USPI Finance | ||||||||
9.000%, 04/01/20 (A) | 2,430 | 2,503 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Valeant Pharmaceuticals | ||||||||
7.250%, 07/15/22 | $ | 1,320 | $ | 1,307 | ||||
7.000%, 10/01/20 | 8,012 | 7,972 | ||||||
6.875%, 12/01/18 | 1,630 | 1,642 | ||||||
6.750%, 10/01/17 | 787 | 797 | ||||||
Vanguard Health Holding II | ||||||||
8.000%, 02/01/18 | 2,800 | 2,856 | ||||||
7.750%, 02/01/19 (A) | 4,000 | 3,980 | ||||||
VWR Funding PIK | ||||||||
10.250%, 07/15/15 | 4,686 | 4,850 | ||||||
|
| |||||||
174,895 | ||||||||
|
| |||||||
Industrials — 9.4% | ||||||||
ACCO Brands | ||||||||
7.625%, 08/15/15 | 185 | 190 | ||||||
Accuride | ||||||||
9.500%, 08/01/18 | 2,300 | 2,415 | ||||||
ACL I | ||||||||
10.625%, 02/15/16 (A) | 2,792 | 2,799 | ||||||
Actuant | ||||||||
6.875%, 06/15/17 | 2,000 | 2,075 | ||||||
Aircastle | ||||||||
9.750%, 08/01/18 | 710 | 792 | ||||||
9.750%, 08/01/18 (A) | 230 | 255 | ||||||
7.625%, 04/15/20 (A) | 130 | 130 | ||||||
6.750%, 04/15/17 (A) | 395 | 395 | ||||||
Aleris International | ||||||||
10.000%, 12/15/16 (B) | 1,800 | — | ||||||
Aleris International PIK | ||||||||
9.000%, 12/15/14 (B) | 725 | — | ||||||
Alion Science & Technology | ||||||||
10.250%, 02/01/15 | 1,000 | 560 | ||||||
Alion Science & Technology PIK | ||||||||
12.000%, 11/01/14 | 2,101 | 1,975 | ||||||
Alliant Techsystems | ||||||||
6.875%, 09/15/20 | 2,000 | 2,135 | ||||||
6.750%, 04/01/16 | 1,010 | 1,033 | ||||||
American Airlines 2011-2 Cl A | ||||||||
8.625%, 10/15/21 | 4,310 | 4,547 | ||||||
American Axle & Manufacturing | ||||||||
7.875%, 03/01/17 | 2,156 | 2,226 | ||||||
American Tire Distributors | ||||||||
9.750%, 06/01/17 | 485 | 523 | ||||||
AMGH Merger Sub | ||||||||
9.250%, 11/01/18 (A) | 3,387 | 3,522 | ||||||
Amsted Industries | ||||||||
8.125%, 03/15/18 (A) | 775 | 829 | ||||||
ArvinMeritor | ||||||||
10.625%, 03/15/18 | 970 | 1,043 | ||||||
Associated Materials | ||||||||
9.125%, 11/01/17 | 1,135 | 1,104 |
110 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Atkore International | ||||||||
9.875%, 01/01/18 | $ | 2,680 | $ | 2,807 | ||||
AWAS Aviation Capital | ||||||||
7.000%, 10/17/16 (A) | 854 | 891 | ||||||
Baker & Taylor | ||||||||
11.500%, 07/01/13 (A) | 1,150 | 650 | ||||||
BE Aerospace | ||||||||
6.875%, 10/01/20 | 840 | 920 | ||||||
Belden | ||||||||
9.250%, 06/15/19 | 680 | 748 | ||||||
7.000%, 03/15/17 | 300 | 309 | ||||||
Bombardier | ||||||||
5.750%, 03/15/22 (A) | 1,335 | 1,298 | ||||||
Building Materials Corp of | ||||||||
6.875%, 08/15/18 | 1,585 | 1,666 | ||||||
6.750%, 05/01/21 | 620 | 658 | ||||||
Case New Holland | ||||||||
7.875%, 12/01/17 | 735 | 854 | ||||||
Casella Waste Systems | ||||||||
11.000%, 07/15/14 | 170 | 182 | ||||||
7.750%, 02/15/19 | 900 | 891 | ||||||
CDW | ||||||||
12.535%, 10/12/17 | 1,915 | 2,080 | ||||||
8.500%, 04/01/19 | 530 | 563 | ||||||
8.500%, 04/01/19 (A) | 635 | 675 | ||||||
8.000%, 12/15/18 | 1,700 | 1,840 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/20 (A) | 1,570 | 1,440 | ||||||
Clean Harbors | ||||||||
7.625%, 08/15/16 | 405 | 426 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/18 | 2,465 | 2,594 | ||||||
Columbus McKinnon | ||||||||
7.875%, 02/01/19 | 400 | 416 | ||||||
Commercial Barge Line | ||||||||
12.500%, 07/15/17 | 1,000 | 1,124 | ||||||
Continental Airlines | ||||||||
7.339%, 04/19/14 (G) (K) | 547 | 555 | ||||||
Continental Airlines 2009-2 Cl B | ||||||||
9.250%, 05/10/17 | 210 | 225 | ||||||
CPM Holdings | ||||||||
10.625%, 09/01/14 | 2,105 | 2,242 | ||||||
DAE Aviation Holdings | ||||||||
11.250%, 08/01/15 (A) | 1,065 | 1,110 | ||||||
Delta Air Lines | ||||||||
12.250%, 03/15/15 (A) | 1,950 | 2,101 | ||||||
Delta Air Lines 2011-1 Cl B | ||||||||
7.125%, 10/15/14 (A) | 1,800 | 1,760 | ||||||
DynCorp International | ||||||||
10.375%, 07/01/17 | 4,510 | 3,918 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Emergency Medical Services | ||||||||
8.125%, 06/01/19 | $ | 6,614 | $ | 6,796 | ||||
Esterline Technologies | ||||||||
7.000%, 08/01/20 | 300 | 332 | ||||||
Express | ||||||||
8.750%, 03/01/18 | 700 | 775 | ||||||
General Cable | ||||||||
7.125%, 04/01/17 | 980 | 1,009 | ||||||
Geo Group | ||||||||
7.750%, 10/15/17 | 665 | 719 | ||||||
6.625%, 02/15/21 | 500 | 523 | ||||||
Global Aviation Holdings | ||||||||
14.000%, 08/15/13 (B) | 2,507 | 780 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/19 | 1,160 | 1,186 | ||||||
Griffon | ||||||||
7.125%, 04/01/18 | 1,110 | 1,147 | ||||||
Huntington Ingalls Industries | ||||||||
7.125%, 03/15/21 | 500 | 536 | ||||||
Intcomex | ||||||||
13.250%, 12/15/14 | 4,780 | 4,792 | ||||||
Interface | ||||||||
7.625%, 12/01/18 | 810 | 877 | ||||||
Interline Brands | ||||||||
7.000%, 11/15/18 | 1,335 | 1,408 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/17 | 2,735 | 3,043 | ||||||
8.625%, 09/15/15 | 1,160 | 1,276 | ||||||
6.250%, 05/15/19 | 150 | 148 | ||||||
5.875%, 04/01/19 | 1,820 | 1,759 | ||||||
5.750%, 05/15/16 | 270 | 270 | ||||||
4.875%, 04/01/15 | 265 | 262 | ||||||
International Wire Group Holdings | ||||||||
9.750%, 04/15/15 (A) | 975 | 1,024 | ||||||
Iron Mountain | ||||||||
8.375%, 08/15/21 | 2,170 | 2,360 | ||||||
7.750%, 10/01/19 | 1,250 | 1,366 | ||||||
Kansas City Southern de Mexico | ||||||||
8.000%, 02/01/18 | 750 | 833 | ||||||
6.125%, 06/15/21 | 500 | 538 | ||||||
Kratos Defense & Security Solutions | ||||||||
10.000%, 06/01/17 | 2,695 | 2,917 | ||||||
Liberty Tire Recycling | ||||||||
11.000%, 10/01/16 (A) | 3,725 | 3,502 | ||||||
Manitowoc | ||||||||
9.500%, 02/15/18 | 1,785 | 1,972 | ||||||
8.500%, 11/01/20 | 720 | 792 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/17 | 850 | 896 | ||||||
Masonite International | ||||||||
8.250%, 04/15/21 (A) | 1,820 | 1,893 | ||||||
Meritor | ||||||||
8.125%, 09/15/15 | 675 | 712 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/20 | $ | 585 | $ | 655 | ||||
7.375%, 06/01/17 | 1,180 | 1,162 | ||||||
Neehah Foundry PIK | ||||||||
15.000%, 07/29/15 | 103 | 101 | ||||||
Niska Gas Storage US | ||||||||
8.875%, 03/15/18 | 2,040 | 1,918 | ||||||
Nortek | ||||||||
8.500%, 04/15/21 | 1,240 | 1,228 | ||||||
Oshkosh | ||||||||
8.500%, 03/01/20 | 1,268 | 1,381 | ||||||
8.250%, 03/01/17 | 1,600 | 1,736 | ||||||
Ply Gem Industries | ||||||||
13.125%, 07/15/14 | 730 | 737 | ||||||
8.250%, 02/15/18 | 810 | 815 | ||||||
Polymer Group | ||||||||
7.750%, 02/01/19 | 1,360 | 1,431 | ||||||
Polypore International | ||||||||
7.500%, 11/15/17 | 960 | 1,013 | ||||||
Quality Distribution | ||||||||
9.875%, 11/01/18 | 4,000 | 4,390 | ||||||
RBS Global | ||||||||
8.500%, 05/01/18 | 1,310 | 1,405 | ||||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/16 (A) | 1,540 | 1,590 | ||||||
7.500%, 11/30/16 | 7,275 | 7,802 | ||||||
Seminole Indian Tribe of Florida (A) | ||||||||
7.750%, 10/01/17 | 930 | 1,008 | ||||||
6.535%, 10/01/20 | 500 | 503 | ||||||
Sequa | ||||||||
11.750%, 12/01/15 (A) | 3,185 | 3,384 | ||||||
Sequa PIK | ||||||||
13.500%, 12/01/15 (A) | 500 | 531 | ||||||
ServiceMaster | ||||||||
7.450%, 08/15/27 | 740 | 631 | ||||||
7.250%, 03/01/38 | 1,515 | 1,091 | ||||||
7.100%, 03/01/18 | 1,000 | 942 | ||||||
ServiceMaster PIK | ||||||||
10.750%, 07/15/15 (A) | 1,390 | 1,461 | ||||||
Spirit Aerosystems | ||||||||
7.500%, 10/01/17 | 935 | 1,007 | ||||||
Swift Services Holdings | ||||||||
10.000%, 11/15/18 | 550 | 599 | ||||||
Swift Transportation | ||||||||
12.500%, 05/15/17 (A) | 515 | 546 | ||||||
syncreon Global Ireland | ||||||||
9.500%, 05/01/18 (A) | 3,112 | 3,050 | ||||||
Tempel Steel | ||||||||
12.000%, 08/15/16 (A) | 860 | 843 | ||||||
Terex | ||||||||
10.875%, 06/01/16 | 950 | 1,081 | ||||||
8.000%, 11/15/17 | 1,215 | 1,258 | ||||||
6.500%, 04/01/20 | 310 | 312 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/17 | $ | 1,500 | $ | 1,538 | ||||
9.000%, 12/15/17 (A) | 100 | 103 | ||||||
Ticketmaster Entertainment | ||||||||
10.750%, 08/01/16 | 4,890 | 5,263 | ||||||
Titan International | ||||||||
7.875%, 10/01/17 | 3,420 | 3,642 | ||||||
Tops Holding | ||||||||
10.125%, 10/15/15 | 1,250 | 1,334 | ||||||
Trimas | ||||||||
9.750%, 12/15/17 | 780 | 862 | ||||||
United Air Lines | ||||||||
12.000%, 11/01/13 (A) | 1,155 | 1,224 | ||||||
United Air Lines, Ser 95A1 | ||||||||
9.020%, 04/19/12 (B) | 292 | 77 | ||||||
9.560%, 10/19/18 | 458 | 124 | ||||||
United Maritime Group | ||||||||
11.750%, 06/15/15 | 3,200 | 3,324 | ||||||
USG | ||||||||
9.750%, 08/01/14 (A) | 1,765 | 1,942 | ||||||
8.375%, 10/15/18 (A) | 1,255 | 1,286 | ||||||
6.300%, 11/15/16 | 1,485 | 1,388 | ||||||
|
| |||||||
177,652 | ||||||||
|
| |||||||
Information Technology — 5.8% | ||||||||
Advanced Micro Devices | ||||||||
7.750%, 08/01/20 | 1,875 | 2,063 | ||||||
Alcatel-Lucent USA | ||||||||
6.500%, 01/15/28 | 1,170 | 916 | ||||||
Amkor Technology | ||||||||
7.375%, 05/01/18 | 975 | 1,044 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/17 | 3,700 | 3,950 | ||||||
Audatex North America | ||||||||
6.750%, 06/15/18 (A) | 1,132 | 1,189 | ||||||
Avaya | ||||||||
9.750%, 11/01/15 | 1,265 | 1,246 | ||||||
7.000%, 04/01/19 (A) | 1,930 | 1,935 | ||||||
Avaya PIK | ||||||||
10.125%, 11/01/15 | 4,408 | 4,363 | ||||||
CommScope | ||||||||
8.250%, 01/15/19 (A) | 2,055 | 2,189 | ||||||
Compucom Systems | ||||||||
12.500%, 10/01/15 (A) | 4,605 | 4,835 | ||||||
Emdeon | ||||||||
11.000%, 12/31/19 (A) | 1,090 | 1,232 | ||||||
Epicor Software | ||||||||
8.625%, 05/01/19 | 2,715 | 2,776 | ||||||
Fidelity National Information Services | ||||||||
7.875%, 07/15/20 | 600 | 666 | ||||||
7.625%, 07/15/17 | 1,230 | 1,347 | ||||||
7.625%, 07/15/17 (A) | 240 | 262 | ||||||
5.000%, 03/15/22 (A) | 1,585 | 1,561 |
112 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
First Data | ||||||||
12.625%, 01/15/21 | $ | 2,334 | $ | 2,340 | ||||
11.250%, 03/31/16 | 4,655 | 4,213 | ||||||
8.875%, 08/15/20 (A) | 830 | 900 | ||||||
8.250%, 01/15/21 (A) | 1,052 | 1,028 | ||||||
7.375%, 06/15/19 (A) | 1,160 | 1,182 | ||||||
First Data PIK | ||||||||
10.550%, 09/24/15 | 484 | 491 | ||||||
8.750%, 01/15/22 (A) | 4,735 | 4,569 | ||||||
Freescale Semiconductor | ||||||||
10.125%, 03/15/18 (A) | 212 | 236 | ||||||
9.250%, 04/15/18 (A) | 3,688 | 4,038 | ||||||
8.050%, 02/01/20 | 560 | 563 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/15 | 6,365 | 6,190 | ||||||
iGate | ||||||||
9.000%, 05/01/16 | 6,269 | 6,810 | ||||||
Kemet | ||||||||
10.500%, 05/01/18 (A) | 1,710 | 1,838 | ||||||
Lawson Software | ||||||||
9.375%, 04/01/19 (A) | 7,755 | 8,026 | ||||||
MagnaChip Semiconductor | ||||||||
10.500%, 04/15/18 | 2,540 | 2,832 | ||||||
Mantech International | ||||||||
7.250%, 04/15/18 | 510 | 543 | ||||||
MEMC Electronic Materials | ||||||||
7.750%, 04/01/19 | 790 | 628 | ||||||
NXP BV/NXP Funding LLC | ||||||||
9.750%, 08/01/18 (A) | 3,315 | 3,746 | ||||||
NXP Funding LLC | ||||||||
10.000%, 07/15/13 (A) | 364 | 395 | ||||||
Open Solutions | ||||||||
9.750%, 02/01/15 (A) | 4,200 | 3,444 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/16 | 1,380 | 1,252 | ||||||
Sensata Technologies BV | ||||||||
6.500%, 05/15/19 (A) | 5,448 | 5,699 | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/18 | 1,055 | 1,171 | ||||||
STATS ChipPAC | ||||||||
7.500%, 08/12/15 (A) | 2,375 | 2,547 | ||||||
Stratus Technologies Bermuda | ||||||||
12.000%, 03/29/15 | 2,243 | 1,979 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/14 | 1,350 | 1,404 | ||||||
Sungard Data Systems | ||||||||
10.250%, 08/15/15 | 2,985 | 3,101 | ||||||
7.375%, 11/15/18 | 810 | 861 | ||||||
Taminco Global Chemical | ||||||||
9.750%, 03/31/20 (A) | 1,950 | 2,028 | ||||||
Travelport | ||||||||
9.875%, 09/01/14 | 805 | 509 | ||||||
Unisys | ||||||||
12.750%, 10/15/14 (A) | 898 | 1,001 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Zayo Group | ||||||||
10.250%, 03/15/17 | $ | 1,375 | $ | 1,537 | ||||
|
| |||||||
108,675 | ||||||||
|
| |||||||
Materials — 5.8% | ||||||||
AK Steel | ||||||||
7.625%, 05/15/20 | 1,425 | 1,375 | ||||||
Aleris International | ||||||||
7.625%, 02/15/18 | 1,340 | 1,402 | ||||||
Algoma Acquisition | ||||||||
9.875%, 06/15/15 (A) | 1,415 | 1,288 | ||||||
AM Castle | ||||||||
12.750%, 12/15/16 (A) | 580 | 628 | ||||||
APERAM | ||||||||
7.750%, 04/01/18 (A) | 990 | 955 | ||||||
ARD Finance PIK | ||||||||
11.125%, 06/01/18 (A) | 2,417 | 2,380 | ||||||
Ardagh Packaging Finance (A) | ||||||||
9.125%, 10/15/20 | 1,660 | 1,780 | ||||||
7.375%, 10/15/17 | 500 | 536 | ||||||
Ashland | ||||||||
9.125%, 06/01/17 | 1,620 | 1,796 | ||||||
Ball | ||||||||
5.000%, 03/15/22 | 1,400 | 1,404 | ||||||
Berry Plastics | ||||||||
10.250%, 03/01/16 | 710 | 735 | ||||||
9.750%, 01/15/21 | 3,225 | 3,523 | ||||||
Boise Paper Holdings | ||||||||
9.000%, 11/01/17 | 1,270 | 1,400 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/18 | 1,130 | 1,240 | ||||||
Cascades | ||||||||
7.750%, 12/15/17 | 700 | 700 | ||||||
Celanese US Holdings | ||||||||
6.625%, 10/15/18 | 550 | 586 | ||||||
Cemex | ||||||||
9.000%, 01/11/18 (A) | 420 | 396 | ||||||
CF Industries | ||||||||
6.875%, 05/01/18 | 3,625 | 4,182 | ||||||
Chemtura | ||||||||
7.875%, 09/01/18 | 1,085 | 1,166 | ||||||
Clearwater Paper | ||||||||
7.125%, 11/01/18 | 865 | 917 | ||||||
Domtar | ||||||||
9.500%, 08/01/16 | 275 | 334 | ||||||
FMG Resources August 2006 | ||||||||
8.250%, 11/01/19 | 685 | 719 | ||||||
7.000%, 11/01/15 | 635 | 648 | ||||||
6.875%, 02/01/18 | 2,140 | 2,140 | ||||||
6.875%, 04/01/22 | 1,345 | 1,311 | ||||||
6.375%, 02/01/16 | 670 | 668 | ||||||
6.000%, 04/01/17 | 170 | 168 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Georgia-Pacific LLC | ||||||||
8.000%, 01/15/24 | $ | 1,690 | $ | 2,151 | ||||
Graphic Packaging International | ||||||||
7.875%, 10/01/18 | 1,170 | 1,296 | ||||||
Headwaters | ||||||||
7.625%, 04/01/19 | 1,215 | 1,182 | ||||||
Hexion US Finance | ||||||||
9.000%, 11/15/20 | 1,390 | 1,293 | ||||||
8.875%, 02/01/18 | 1,665 | 1,723 | ||||||
Huntsman International | ||||||||
8.625%, 03/15/20 | 435 | 486 | ||||||
8.625%, 03/15/21 | 1,385 | 1,555 | ||||||
5.500%, 06/30/16 | 170 | 170 | ||||||
Ineos Finance | ||||||||
8.375%, 02/15/19 (A) | 2,140 | 2,263 | ||||||
Ineos Group Holdings PLC | ||||||||
8.500%, 02/15/16 (A) | 5,500 | 5,198 | ||||||
JMC Steel Group | ||||||||
8.250%, 03/15/18 (A) | 1,215 | 1,264 | ||||||
Kinove German Bondco GmbH | ||||||||
9.625%, 06/15/18 (A) | 1,825 | 1,898 | ||||||
Longview Fibre Paper & | ||||||||
8.000%, 06/01/16 (A) | 1,505 | 1,533 | ||||||
Lyondell Chemical | ||||||||
11.000%, 05/01/18 | 2,785 | 3,077 | ||||||
8.000%, 11/01/17 | 326 | 366 | ||||||
LyondellBasell Industries (A) | ||||||||
6.000%, 11/15/21 | 705 | 740 | ||||||
5.750%, 04/15/24 | 1,390 | 1,387 | ||||||
MacDermid | ||||||||
9.500%, 04/15/17 (A) | 1,300 | 1,349 | ||||||
Midwest Vanadium Pty | ||||||||
11.500%, 02/15/18 (A) | 1,100 | 759 | ||||||
Millar Western Forest Products | ||||||||
8.500%, 04/01/21 (A) | 1,000 | 793 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/18 (A) | 2,125 | 1,827 | ||||||
Momentive Performance Materials | ||||||||
11.500%, 12/01/16 | 1,010 | 838 | ||||||
9.000%, 01/15/21 | 1,960 | 1,715 | ||||||
Momentive Performance | ||||||||
1.996%, 06/04/17 2 (G) (J) (K) | 1,794 | 1,517 | ||||||
NewPage | ||||||||
11.375%, 12/31/14 (B) | 380 | 255 | ||||||
Nexeo Solutions | ||||||||
8.375%, 03/01/18 (A) | 1,665 | 1,648 | ||||||
Noranda Aluminium Acquisition | ||||||||
4.659%, 05/15/15 (C) | 1,182 | 1,141 | ||||||
Novelis | ||||||||
8.750%, 12/15/20 | 490 | 537 | ||||||
8.375%, 12/15/17 | 1,865 | 2,024 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/16 (A) | $ | 3,339 | $ | 3,506 | ||||
PolyOne | ||||||||
7.375%, 09/15/20 | 690 | 731 | ||||||
Pregis | ||||||||
12.375%, 10/15/13 | 3,856 | 3,878 | ||||||
Rain CII Carbon | ||||||||
8.000%, 12/01/18 (A) | 310 | 325 | ||||||
Reichhold Industries | ||||||||
9.000%, 08/15/14 (A) | 1,969 | 1,024 | ||||||
Rhodia | ||||||||
6.875%, 09/15/20 (A) | 1,970 | 2,167 | ||||||
Ryerson | ||||||||
12.000%, 11/01/15 | 1,215 | 1,245 | ||||||
Ryerson Holding | ||||||||
32.380%, 02/01/15 (D) | 1,710 | 778 | ||||||
Scotts Miracle-Gro | ||||||||
7.250%, 01/15/18 | 655 | 706 | ||||||
Sealed Air (A) | ||||||||
8.375%, 09/15/21 | 1,830 | 2,056 | ||||||
8.125%, 09/15/19 | 865 | 955 | ||||||
Solutia | ||||||||
8.750%, 11/01/17 | 1,150 | 1,304 | ||||||
7.875%, 03/15/20 | 865 | �� | 1,014 | |||||
Standard Steel | ||||||||
12.000%, 05/01/15 (A) | 2,850 | 3,249 | ||||||
SunCoke Energy | ||||||||
7.625%, 08/01/19 | 2,435 | 2,502 | ||||||
Verso Paper Holdings | ||||||||
11.750%, 01/15/19 (A) | 665 | 685 | ||||||
8.750%, 02/01/19 | 3,025 | 1,664 | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/15 (A) | 5,180 | 3,937 | ||||||
Vulcan Materials | ||||||||
7.500%, 06/15/21 | 280 | 310 | ||||||
6.500%, 12/01/16 | 280 | 300 | ||||||
|
| |||||||
108,698 | ||||||||
|
| |||||||
Telecommunication Services — 4.8% |
| |||||||
CenturyLink | ||||||||
5.800%, 03/15/22 | 1,020 | 996 | ||||||
Cincinnati Bell | ||||||||
8.375%, 10/15/20 | 1,415 | 1,422 | ||||||
Clearwire Communications (A) | ||||||||
14.750%, 12/01/16 | 125 | 137 | ||||||
12.000%, 12/01/15 | 775 | 763 | ||||||
12.000%, 12/01/15 | 2,960 | 2,916 | ||||||
Cogent Communications Group | ||||||||
8.375%, 02/15/18 (A) | 590 | 628 | ||||||
Cricket Communications | ||||||||
7.750%, 10/15/20 | 1,935 | 1,901 | ||||||
Crown Castle International | ||||||||
9.000%, 01/15/15 | 1,365 | 1,501 |
114 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Digicel Group (A) | ||||||||
10.500%, 04/15/18 | $ | 2,160 | $ | 2,387 | ||||
8.875%, 01/15/15 | 385 | 392 | ||||||
8.250%, 09/01/17 | 3,244 | 3,430 | ||||||
Eileme 2 | ||||||||
11.625%, 01/31/20 (A) | 595 | 620 | ||||||
Frontier Communications | ||||||||
8.500%, 04/15/20 | 670 | 705 | ||||||
GCI | ||||||||
8.625%, 11/15/19 | 875 | 953 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/21 | 2,340 | 2,510 | ||||||
6.500%, 06/15/19 | 590 | 617 | ||||||
Inmarsat Finance | ||||||||
7.375%, 12/01/17 (A) | 2,125 | 2,268 | ||||||
Integra Telecom Holdings | ||||||||
10.750%, 04/15/16 (A) | 1,435 | 1,320 | ||||||
Intelsat Jackson Holdings | ||||||||
11.250%, 06/15/16 | 2,000 | 2,105 | ||||||
7.250%, 04/01/19 | 1,865 | 1,961 | ||||||
7.250%, 10/15/20 | 1,305 | 1,372 | ||||||
Intelsat Luxembourg | ||||||||
11.250%, 02/04/17 | 2,230 | 2,319 | ||||||
Intelsat Luxembourg PIK | ||||||||
11.500%, 02/04/17 (A) | 4,160 | 4,285 | ||||||
11.500%, 02/04/17 | 3,512 | 3,652 | ||||||
ITC Deltacom | ||||||||
10.500%, 04/01/16 | 730 | 766 | ||||||
Level 3 Communications | ||||||||
11.875%, 02/01/19 | 1,860 | 2,120 | ||||||
Level 3 Escrow | ||||||||
8.125%, 07/01/19 (A) | 755 | 780 | ||||||
Level 3 Financing | ||||||||
10.000%, 02/01/18 | 1,820 | 1,993 | ||||||
9.375%, 04/01/19 | 1,165 | 1,273 | ||||||
8.625%, 07/15/20 (A) | 485 | 509 | ||||||
4.506%, 02/15/15 (C) | 2,850 | 2,757 | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/29 | 2,140 | 1,691 | ||||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/18 | 1,350 | 1,421 | ||||||
6.625%, 11/15/20 | 675 | 671 | ||||||
Nextel Communications | ||||||||
6.875%, 10/31/13 | 150 | 150 | ||||||
NII Capital | ||||||||
7.625%, 04/01/21 | 590 | 577 | ||||||
PAETEC Holding | ||||||||
9.875%, 12/01/18 | 1,960 | 2,215 | ||||||
8.875%, 06/30/17 | 700 | 759 | ||||||
Sable International Finance MTN (A) | ||||||||
8.750%, 02/01/20 | 68 | 72 | ||||||
7.750%, 02/15/17 | 2,360 | 2,466 | ||||||
Satmex Escrow | ||||||||
9.500%, 05/15/17 | 640 | 659 | ||||||
9.500%, 05/15/17 (A) | 65 | 66 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SBA Telecommunications | ||||||||
8.250%, 08/15/19 | $ | 175 | $ | 193 | ||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 7,680 | 6,586 | ||||||
Sprint Nextel | ||||||||
9.125%, 03/01/17 (A) | 1,670 | 1,662 | ||||||
9.000%, 11/15/18 (A) | 1,700 | 1,866 | ||||||
8.375%, 08/15/17 | 1,155 | 1,115 | ||||||
7.000%, 03/01/20 (A) | 2,335 | 2,370 | ||||||
Telesat Canada | ||||||||
12.500%, 11/01/17 | 760 | 849 | ||||||
UPCB Finance V | ||||||||
7.250%, 11/15/21 (A) | 3,105 | 3,284 | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/22 (A) | 1,098 | 1,134 | ||||||
Virgin Media Finance | ||||||||
5.250%, 02/15/22 | 1,000 | 991 | ||||||
Virgin Media Finance PLC | ||||||||
8.375%, 10/15/19 | 670 | 750 | ||||||
West | ||||||||
7.875%, 01/15/19 | 1,205 | 1,283 | ||||||
Wind Acquisition Finance (A) | ||||||||
11.750%, 07/15/17 | 3,140 | 3,093 | ||||||
7.250%, 02/15/18 | 1,065 | 1,004 | ||||||
Windstream | ||||||||
8.125%, 09/01/18 | 510 | 546 | ||||||
7.750%, 10/01/21 | 600 | 642 | ||||||
7.500%, 04/01/23 | 2,020 | 2,081 | ||||||
|
| |||||||
91,554 | ||||||||
|
| |||||||
Utilities — 1.8% | ||||||||
AES | ||||||||
9.750%, 04/15/16 | 870 | 1,018 | ||||||
8.000%, 10/15/17 | 370 | 417 | ||||||
7.375%, 07/01/21 (A) | 1,100 | 1,215 | ||||||
Calpine (A) | ||||||||
7.875%, 07/31/20 | 3,237 | 3,520 | ||||||
7.875%, 01/15/23 | 485 | 524 | ||||||
7.500%, 02/15/21 | 3,217 | 3,434 | ||||||
7.250%, 10/15/17 | 300 | 318 | ||||||
Elwood Energy | ||||||||
8.159%, 07/05/26 | 654 | 665 | ||||||
Energy Future Holdings | ||||||||
10.000%, 01/15/20 | 245 | 266 | ||||||
10.000%, 12/01/20 | 10,889 | 11,869 | ||||||
GenOn Energy | ||||||||
9.875%, 10/15/20 | 575 | 523 | ||||||
Mirant (Escrow Security) | ||||||||
0.000%, 07/15/04 (B) | 450 | 5 | ||||||
Mirant Americas Generation LLC | ||||||||
8.500%, 10/01/21 | 1,010 | 889 | ||||||
North American Energy Alliance | ||||||||
10.875%, 06/01/16 | 1,100 | 1,213 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 115 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NRG Energy | ||||||||
8.250%, 09/01/20 | $ | 395 | $ | 389 | ||||
7.875%, 05/15/21 | 2,170 | 2,083 | ||||||
7.625%, 01/15/18 | 1,120 | 1,123 | ||||||
7.625%, 05/15/19 | 2,000 | 1,930 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 2,600 | 3,156 | ||||||
|
| |||||||
34,557 | ||||||||
|
| |||||||
Total Corporate Obligations | 1,474,611 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 8.2% |
| |||||||
Financials — 2.0% |
| |||||||
CIFC Funding, Ser 2007-3A, Cl B | ||||||||
1.809%, 07/26/21 (A) (C) | 2,500 | 1,931 | ||||||
CIT CLO, Ser 2007-1A, Cl D | ||||||||
2.474%, 06/20/21 (A) (C) | 2,800 | 1,988 | ||||||
Commercial Industrial Finance, | ||||||||
4.474%, 12/22/20 (C) | 2,386 | 1,670 | ||||||
Commercial Industrial Finance, | ||||||||
4.488%, 03/01/21 (A) (C) | 3,138 | 2,228 | ||||||
Commercial Industrial Finance, | ||||||||
4.413%, 05/10/21 (C) | 2,009 | 1,386 | ||||||
Rockwall CDO, Ser 2006-1A, | ||||||||
0.847%, 08/01/21 (A) (C) | 12,509 | 10,852 | ||||||
Rockwall CDO, Ser 2006-1A, | ||||||||
1.047%, 08/01/21 (A) (C) | 20,459 | 14,730 | ||||||
Rockwall CDO, Ser 2006-1A, | ||||||||
1.197%, 08/01/21 (A) (C) | 3,247 | 2,305 | ||||||
|
| |||||||
37,090 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.2% |
| |||||||
AMMC CDO, Ser 2011-9A | ||||||||
0.000%, 01/15/22 (A) (C) | 2,419 | 2,117 | ||||||
AMMC CDO, Ser 2012-10A | ||||||||
0.000%, 04/11/22 (A) (C) | 2,934 | 2,641 | ||||||
Claris III | ||||||||
0.847%, 08/04/21 | 3,875 | 2,984 | ||||||
FM Leveraged Capital Fund, | ||||||||
2.103%, 11/15/20 (A) (C) | 694 | 493 | ||||||
Friedbergmilstein Private Capital | ||||||||
5.000%, 01/15/19 (A) (C) | 2,816 | 2,366 | ||||||
Grayson CLO, Ser 2006-1A, Cl B | ||||||||
1.247%, 11/01/21 (A) (C) | 4,945 | 3,165 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GSC Partners CDO Fund, | ||||||||
1.317%, 04/17/21 (A) (C) | $ | 2,386 | $ | 1,670 | ||||
ICE EM CLO, Ser 2007-1A, Cl A2 | ||||||||
1.356%, 08/15/22 (A) (C) | 6,490 | 5,078 | ||||||
ICE EM CLO, Ser 2007-1A, Cl A3 | ||||||||
1.606%, 08/15/22 (A) (C) | 3,872 | 2,846 | ||||||
Jasper CLO, Ser 2005-1A, Cl B | ||||||||
1.127%, 08/01/17 (A) (C) | 1,826 | 1,506 | ||||||
Lightpoint CLO, Ser 2007-7A, Cl D | ||||||||
4.503%, 05/15/21 (A) (C) | 2,956 | 2,008 | ||||||
Newstar Trust, Ser 2007-1A, Cl A1 | ||||||||
0.729%, 09/30/22 (A) (C) | 7,400 | 6,808 | ||||||
Red River CLO, Ser 2006-1A, Cl C | ||||||||
1.267%, 07/27/18 (C) | 5,456 | 3,655 | ||||||
Red River CLO, Ser 2006-1A, Cl D | ||||||||
2.197%, 07/27/18 (C) | 6,177 | 3,706 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.797%, 08/01/24 (A) (C) | 68,184 | 57,275 | ||||||
Stone Tower CDO, Ser 2004-1A, Cl A2L | ||||||||
1.803%, 01/29/40 (A) (C) | 4,215 | 3,435 | ||||||
Stone Tower CDO, Ser 2005-2A, Cl A1LB | ||||||||
1.005%, 11/17/40 (A) (C) | 8,509 | 7,020 | ||||||
Tricadia CDO, Ser 2007-1AR, Cl A2L | ||||||||
0.989%, 02/28/16 (A) (C) | 6,772 | 6,044 | ||||||
Westwood CDO, Ser 2007-2A, Cl D | ||||||||
2.360%, 04/25/22 (A) (C) | 3,367 | 2,222 | ||||||
|
| |||||||
117,039 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations | 154,129 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 6.2% | ||||||||
Affinion Group Holdings | ||||||||
5.000%, 10/08/16 | 997 | 944 | ||||||
Alliance Laundry Systems | ||||||||
6.750%, 09/23/16 | 71 | 71 | ||||||
6.250%, 09/23/16 | 1,259 | 1,257 | ||||||
Alliant Holdings I | ||||||||
6.750%, 08/21/14 | 477 | 478 | ||||||
API Technologies, Term Loan B | ||||||||
7.750%, 06/27/16 | 748 | 741 | ||||||
Asurion, 1st Lien Term Loan | ||||||||
6.250%, 06/10/18 | 920 | 890 | ||||||
Asurion, 2nd Lien Term Loan | ||||||||
9.000%, 05/20/19 | 3,300 | 3,337 | ||||||
Asurion, Term Loan | ||||||||
11.000%, 09/02/19 | 1,600 | 1,618 | ||||||
Attachmate, 1st Lien Term Loan | ||||||||
6.500%, 02/25/17 | 1,706 | 1,692 | ||||||
Brock Holdings | ||||||||
10.000%, 03/16/18 | 390 | 380 | ||||||
Caribbean Restaurants, Term Loan B | ||||||||
9.000%, 02/15/17 | 100 | 100 |
116 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Central Parking | ||||||||
2.400%, 05/22/14 | $ | 608 | $ | 600 | ||||
Central Parking, 1st Lien | ||||||||
2.750%, 05/22/14 | 1,396 | 1,377 | ||||||
Cequel Communications | ||||||||
4.000%, 02/10/19 | 1,050 | 1,041 | ||||||
CKX, Term Loan B | ||||||||
9.000%, 06/21/17 | 669 | 562 | ||||||
Claire’s Stores | ||||||||
3.301%, 05/27/14 | 150 | 143 | ||||||
3.301%, 05/29/14 | 132 | 125 | ||||||
2.994%, 05/27/14 | 381 | 362 | ||||||
2.994%, 05/29/14 | 274 | 260 | ||||||
Clear Channel | ||||||||
3.894%, 01/29/16 | 887 | 717 | ||||||
Crestwood Holdings, Term Loan | ||||||||
9.750%, 03/20/18 | 1,750 | 1,777 | ||||||
Cumulus Media Holdings, Term Loan | ||||||||
5.750%, 09/16/18 | 1,321 | 1,327 | ||||||
DAE Aviation Holdings, Tranche B-1 | ||||||||
5.560%, 07/31/14 | 1,532 | 1,511 | ||||||
DAE Aviation Holdings, Tranche B-2 | ||||||||
5.560%, 09/27/14 | 1,460 | 1,440 | ||||||
5.410%, 09/27/14 | 4 | 4 | ||||||
Dex Media West | ||||||||
7.250%, 10/24/14 | 1,577 | 1,003 | ||||||
0.000%, 10/24/14 (H) | 850 | 541 | ||||||
Dynegy Midwest Generation | ||||||||
9.250%, 08/05/16 | 3,794 | 3,871 | ||||||
0.000%, 08/05/16 (H) | 930 | 949 | ||||||
Dynegy Power, 1st Lien Term Loan | ||||||||
9.250%, 08/05/16 | 1,637 | 1,708 | ||||||
Eastman Kodak | ||||||||
8.500%, 07/26/13 | 460 | 467 | ||||||
El Paso, Bridge Loan | ||||||||
0.000%, 10/31/12 (H)(L) | 1,575 | — | ||||||
EP Energy LLC | ||||||||
0.000%, 03/29/13 | 1,350 | 1,350 | ||||||
First Data | ||||||||
4.242%, 03/24/18 | 1,072 | 976 | ||||||
First Data, Initial Tranche B-1 | ||||||||
2.995%, 09/24/14 | 1,314 | 1,265 | ||||||
First Data, Term Loan B-3 | ||||||||
2.995%, 09/24/14 | 248 | 239 | ||||||
Firth Rixson, Facility B | ||||||||
5.079%, 12/18/15 | 500 | 473 | ||||||
Firth Rixson, Facility C | ||||||||
5.579%, 12/20/16 | 500 | 476 | ||||||
Global Aviation Holdings | ||||||||
12.500%, 09/27/12 | 425 | 425 | ||||||
0.500%, 09/27/12 (L) | 850 | — | ||||||
Guitar Center, Extended Term Loan | ||||||||
5.730%, 04/09/17 | 1,833 | 1,736 | ||||||
Harrah’s Entertainment B6 | ||||||||
5.492%, 01/28/18 | 2,441 | 2,205 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Harrah’s Operating | ||||||||
9.500%, 01/28/15 | $ | 2,940 | $ | 3,018 | ||||
Inc Research | ||||||||
7.000%, 07/12/18 | 896 | 896 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.491%, 03/02/14 | 1,283 | 1,277 | ||||||
Infor Global Solutions | ||||||||
8.250%, 08/29/14 | 3,880 | 3,877 | ||||||
Infor Global Solutions, 2nd Lien | ||||||||
6.491%, 03/02/14 | 2,217 | 2,205 | ||||||
Infor Global Solutions, Term Loan B-2 | ||||||||
7.250%, 07/28/15 | 3,000 | 2,985 | ||||||
Intelsat Jackson Holdings | ||||||||
2.742%, 02/01/14 | 2,100 | 2,046 | ||||||
Kalispel Tribal Economic Authority | ||||||||
7.500%, 01/31/17 | 2,690 | 2,582 | ||||||
Lawson Software | ||||||||
6.750%, 07/05/17 | 3,731 | 3,734 | ||||||
Medical Card | ||||||||
12.000%, 09/15/15 | 1,420 | 1,136 | ||||||
Merrill Communications | ||||||||
7.500%, 12/24/12 | 1,100 | 1,027 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/09 (B) | 300 | — | ||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B | ||||||||
0.000%, 02/28/16 (H) | 2,110 | 2,140 | ||||||
Mohegan Tribal Gaming Authority, Term Loan B | ||||||||
9.000%, 02/28/16 | 210 | 213 | ||||||
NCO Group | ||||||||
8.000%, 05/15/13 | 887 | 882 | ||||||
Nelson Edu, Term Loan B-1L | ||||||||
2.970%, 07/05/14 | 978 | 865 | ||||||
Nuveen Investments | ||||||||
0.000%, 05/13/17 (H) | 330 | 329 | ||||||
Nuveen Investments, 2nd Lien | ||||||||
8.250%, 02/23/19 | 1,850 | 1,870 | ||||||
Nuveen Investments, Term Loan | ||||||||
0.000%, 02/23/19 (H) | 935 | 945 | ||||||
Nuveen Investments, Term Loan B | ||||||||
7.250%, 05/13/17 | 1,950 | 1,957 | ||||||
Obsidian Natural Gas Trust | ||||||||
7.000%, 11/02/15 | 1,967 | 1,977 | ||||||
Ocwen Financial, Term Loan B | ||||||||
7.000%, 09/01/16 | 905 | 906 | ||||||
Open Link Financial, Term Loan | ||||||||
7.750%, 10/26/17 | 998 | 999 | ||||||
PQ | ||||||||
6.750%, 06/14/14 | 1,297 | 1,243 | ||||||
Realogy, Extended Synthetic Commitment | ||||||||
4.770%, 10/10/16 | 709 | 660 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 117 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rite Aid | ||||||||
4.500%, 02/17/18 | $ | 2,138 | $ | 2,107 | ||||
Sabre Holdings | ||||||||
6.301%, 09/29/17 | 111 | 106 | ||||||
5.994%, 09/29/17 | 288 | 274 | ||||||
Sabre, Initial Term Loan | ||||||||
2.551%, 09/30/14 | 362 | 337 | ||||||
2.244%, 09/30/14 | 934 | 870 | ||||||
0.000%, 09/30/14 (H) | 250 | 233 | ||||||
Sandridge Energy, Bridge Loan (H) | ||||||||
0.000%, 06/04/12 (L) | 2,025 | — | ||||||
0.000%, 02/02/17 | 920 | 920 | ||||||
Shield Finance | ||||||||
7.750%, 06/15/16 | 1,421 | 1,428 | ||||||
SpringLeaf Financial | ||||||||
5.500%, 05/06/17 | 2,950 | 2,709 | ||||||
Summit Materials, Term | ||||||||
6.000%, 01/24/19 | 1,400 | 1,406 | ||||||
Sun Healthcare | ||||||||
8.750%, 09/23/16 | 1,914 | 1,816 | ||||||
Syniverse Holdings | ||||||||
9.125%, 01/15/19 | 1,440 | 1,588 | ||||||
Targa Resources | ||||||||
3.241%, 02/09/15 | 1,716 | 1,716 | ||||||
Targus Group International, Term | ||||||||
0.000%, 05/24/16 (H) | 399 | 396 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.743%, 10/10/17 | 5,118 | 2,839 | ||||||
3.743%, 10/10/14 | 7,057 | 4,294 | ||||||
The Telex Group, 1st Lien Term Loan B | ||||||||
7.750%, 09/22/17 | 100 | 101 | ||||||
United Rentals, Bridge Loan | ||||||||
0.000%, 09/15/12 (H)(L) | 2,550 | — | ||||||
Univision Communications, 1st Lien Term Loan B | ||||||||
0.000%, 03/31/17 (H)(I) | 2,100 | 1,947 | ||||||
Univision Communications, Term B Loan | ||||||||
4.491%, 03/31/17 | 1,000 | 927 | ||||||
Vertafore | ||||||||
9.750%, 10/27/17 | 560 | 561 | ||||||
Walter Investment Management | ||||||||
7.750%, 06/16/17 | 3,660 | 3,668 | ||||||
Web.com Group | ||||||||
7.000%, 10/27/17 | 2,479 | 2,451 | ||||||
Wide Open West Finance | ||||||||
6.492%, 06/27/15 | 3,075 | 2,967 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Zuffa | ||||||||
7.500%, 06/18/15 | $ | 1,706 | $ | 1,702 | ||||
|
| |||||||
Total Loan Participations | 117,570 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.6% | ||||||||
Buckeye Tobacco Settlement | ||||||||
5.375%, 06/01/24 | 210 | 171 | ||||||
5.125%, 06/01/24 | 610 | 485 | ||||||
Golden State Tobacco | ||||||||
5.750%, 06/01/47 | 2,000 | 1,527 | ||||||
5.125%, 06/01/47 | 1,850 | 1,273 | ||||||
New Jersey Tobacco Settlement | ||||||||
5.000%, 06/01/41 | 7,050 | 5,320 | ||||||
4.750%, 06/01/34 | 3,290 | 2,477 | ||||||
|
| |||||||
Total Municipal Bonds | 11,253 | |||||||
|
| |||||||
PREFERRED STOCK — 0.4% | ||||||||
Ally Financial, (A) | 27 | 6,678 | ||||||
Dana Holding, (A) | 5 | 721 | ||||||
General Motors, | 5 | 201 | ||||||
|
| |||||||
Total Preferred Stock | 7,600 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.3% | ||||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/30 | 3,200 | 1,736 | ||||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/29 | 1,715 | 977 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/21 (B) | 2,200 | 4 | ||||||
Nortel Networks CV to 31.25 | ||||||||
2.125%, 04/15/14 (B) | 1,660 | 1,623 | ||||||
Vector Group CV to 48.8281 | ||||||||
12.921%, 06/15/26 (C) | 373 | 418 | ||||||
|
| |||||||
Total Convertible Bonds | 4,758 | |||||||
|
| |||||||
AUCTION RATE PREFERRED SECURITIES — 0.2% |
| |||||||
Invesco Insured Municipal Trust (C) | 15,500 | 1,472 | ||||||
Invesco Van Kampen Senior Income Trust (C) | 18,250 | 1,716 | ||||||
|
| |||||||
Total Auction Rate Preferred Securities | 3,188 | |||||||
|
|
118 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 0.1% |
| |||||||
Other Asset-Backed Securities — 0.1% |
| |||||||
Airplanes Pass-Through Trust, Ser 2001-1A | ||||||||
0.792%, 03/15/19 (C) (G) (K) | $ | 1,415 | $ | 860 | ||||
Cajun Global LLC, Ser 2011-1A | ||||||||
5.955%, 02/20/41 (A) | 1,239 | 1,298 | ||||||
Dominos Pizza Master Issuer, Ser 2012-1A, Cl A2 | ||||||||
5.216%, 01/25/42 (A) | 500 | 512 | ||||||
|
| |||||||
Total Asset-Backed Securities | 2,670 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.1% | ||||||||
Alion Science & Technology, | 1,790 | — | ||||||
CUI Acquisition (G) (J) (K) | 47,444 | 2,159 | ||||||
|
| |||||||
Total Warrants | 2,159 | |||||||
|
| |||||||
COMMON STOCK — 0.1% |
| |||||||
Aventine Renewable Energy | 70,573 | 237 |
Description | Shares | Market Value ($ Thousands) | ||||||
Core-Mark Holding | 740 | $ | 30 | |||||
Dana Holding | 67,046 | 1,039 | ||||||
Delta Air Lines* | 2,568 | 26 | ||||||
GMX Resources* | 19,990 | 26 | ||||||
Neenah Enterprises* (G) (K) | 17,244 | 78 | ||||||
Quad | 311 | 4 | ||||||
United Continental Holdings* | 35 | 1 | ||||||
VSS AHC, Cl A* (G) (J) (K) | 27,106 | 323 | ||||||
|
| |||||||
Total Common Stock | 1,764 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.180%**† (I) | 6,083 | 6 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 6 | ||||||
|
| |||||||
CASH EQUIVALENT — 5.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.080%**† | 96,424,100 | 96,424 | ||||||
|
| |||||||
Total Cash Equivalent |
| 96,424 | ||||||
|
| |||||||
Total Investments — 99.5% |
| $ | 1,876,132 | |||||
|
|
A summary of outstanding swap agreements held by the Fund at March 31, 2012, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Depreciation ($ Thousands) | ||||||||||||||
Barclays Bank PLC | CDX.NA.HY.17-V1 Index | BUY | 5.00 | % | 12/20/16 | $ | 17,460 | $ | (978 | ) | ||||||||||
|
|
Percentages are based on a Net Assets of $1,884,719 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2012. |
† | 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 effect as of March 31, 2012. The date reported on the Schedule of Investments is the next reset 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 March 31, 2012. 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 March 31, 2012 (see Note 9). The total value of securities on loan at March 31, 2012 was $608 ($ Thousands). |
(G) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2012 was $5,513 ($ Thousands) and represented 0.29% of Net Assets. |
(H) | Unsettled bank loan. Interest rate not available. |
(I) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of March 31, 2012 was $6 ($ Thousands). |
(J) | Securities considered restricted. The total value of such securities as of March 31, 2012 was $4,020 ($ Thousands) and represented 0.21% of Net Assets. |
(K) | Securities considered illiquid. The total value of such securities as of March 31, 2012 was $5,513 ($ Thousands) and represented 0.29% 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 $O
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 119 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
March 31, 2012
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,461,110 | $ | 13,501 | $ | 1,474,611 | ||||||||
Collateralized Debt Obligations | — | — | 154,129 | 154,129 | ||||||||||||
Loan Participations | — | 112,932 | 4,638 | 117,570 | ||||||||||||
Municipal Bonds | — | 11,253 | — | 11,253 | ||||||||||||
Preferred Stock | 922 | 6,678 | — | 7,600 | ||||||||||||
Convertible Bonds | — | 4,754 | 4 | 4,758 | ||||||||||||
Auction Rate Preferred Securities | — | — | 3,188 | 3,188 | ||||||||||||
Asset-Backed Securities | — | 1,372 | 1,298 | 2,670 | ||||||||||||
Warrants | — | — | 2,159 | 2,159 | ||||||||||||
Common Stock | 1,126 | 237 | 401 | 1,764 | ||||||||||||
Affiliated Partnership | — | 6 | — | 6 | ||||||||||||
Cash Equivalent | 96,424 | — | — | 96,424 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 98,472 | $ | 1,598,342 | $ | 179,318 | $ | 1,876,132 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps* | $ | — | $ | (978 | ) | $ | — | $ | (978 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | (978 | ) | $ | — | $ | (978 | ) | ||||||
|
|
|
|
|
|
|
|
* | Swaps 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):
Corporate Obligations | Collateralized Debt Obligations | Loan Participations | Convertible Bonds | Auction Rate preferred Securities | Asset-Backed Securities | Warrants | Common Stock | |||||||||||||||||||||||||
Beginning balance as of October 1, 2011 | $ | 6,515 | $ | 108,629 | $ | 12,005 | $ | 982 | $ | 9,620 | $ | 1,310 | $ | 2,948 | $ | 401 | ||||||||||||||||
Accrued discounts/premiums | 57 | 618 | 15 | — | — | — | — | — | ||||||||||||||||||||||||
Realized gain/(loss) | (2,219 | ) | 2,684 | 13 | — | 1,127 | — | — | (84 | ) | ||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 2,197 | 7,058 | (88 | ) | — | (409 | ) | 9 | (789 | ) | 89 | |||||||||||||||||||||
Purchases | 544 | 67,641 | 5,235 | — | — | — | — | — | ||||||||||||||||||||||||
Sales | (35 | ) | (32,501 | ) | (10,234 | ) | — | (7,150 | ) | (21 | ) | — | (5 | ) | ||||||||||||||||||
Transfer into Level 3 | 6,577 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Transfer out of Level 3 | (135 | ) | — | (2,308 | ) | (978 | ) | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ending balance as of March 31, 2012 | $ | 13,501 | $ | 154,129 | $ | 4,638 | $ | 4 | $ | 3,188 | $ | 1,298 | $ | 2,159 | $ | 401 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Changes in unrealized gains (losses) included in earnings related to securities held at reporting date | $ | (117 | ) | $ | 8,673 | $ | (135 | ) | $ | — | $ | 201 | $ | — | $ | (789 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the period ended March 31, 2012, there have been no transfers between
Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2012, there have been no 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.
120 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Fund
March 31, 2012
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 98.5% |
| |||||||
U.S. Treasury Inflation Protected Security |
| |||||||
2.625%, 07/15/17 | $ | 14,026 | $ | 16,863 | ||||
2.375%, 01/15/17 | 24,952 | 29,227 | ||||||
2.000%, 01/15/14 | 37,292 | 39,856 | ||||||
2.000%, 07/15/14 (A) | 32,918 | 35,858 | ||||||
2.000%, 01/15/16 (A) | 25,724 | 29,052 | ||||||
1.875%, 07/15/13 | 33,686 | 35,454 | ||||||
1.875%, 07/15/15 (A) | 28,667 | 31,972 | ||||||
1.625%, 01/15/15 | 34,781 | 37,898 | ||||||
1.250%, 04/15/14 | 36,736 | 38,964 | ||||||
0.500%, 04/15/15 | 46,570 | 49,372 | ||||||
0.125%, 04/15/16 | 72,909 | 77,009 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 421,525 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 9.6% |
| |||||||
SEI Liquidity Fund, L.P. | 41,213,289 | 41,213 | ||||||
|
| |||||||
Total Affiliated Partnership | 41,213 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 5,202,055 | 5,202 | ||||||
|
| |||||||
Total Cash Equivalent | 5,202 | |||||||
|
| |||||||
Total Investments — 109.3% | $ | 467,940 | ||||||
|
|
Percentages are based on a Net Assets of $428,046 ($ Thousands)
* | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (see Note 5) |
(A) | This security or a partial position of this security is on loan at March 31, 2012 (see Note 9). The total value of securities on loan at March 31, 2012 was $40,218 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total value of such securities as of March 31, 2012 was $ 41,213 ($ Thousands). |
Cl — Class
L.P. — Limited Partnership
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 421,525 | $ | — | $ | 421,525 | ||||||||
Affiliated Partnership | — | 41,213 | — | 41,213 | ||||||||||||
Cash Equivalent | 5,202 | — | — | 5,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,202 | $ | 462,738 | $ | — | $ | 467,940 | ||||||||
|
|
|
|
|
|
|
|
During the period ended March 31, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2012, there have been no 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 / Semi-Annual Report / March 31, 2012 | 121 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
REGISTERED INVESTMENT COMPANIES — 82.1% |
| |||||||
AQR Diversified Arbitrage Fund, Class I | 3,653,993 | $ | 40,523 | |||||
Altegris Macro Strategy Fund, Class I | 869,895 | 8,333 | ||||||
Altegris Managed Futures Strategy Fund, Class I | 3,225,807 | 30,581 | ||||||
Driehaus Active Income Fund | 3,804,825 | 40,293 | ||||||
DWS Disciplined Market Neutral Fund, Institutional Class | 1,193,954 | 11,462 | ||||||
Eaton Vance Global Macro Absolute Return Fund, Class I | 3,128,860 | 31,163 | ||||||
Merger Fund | 2,955,781 | 46,584 | ||||||
MutualHedge Frontier Legends Fund, Class I | 2,144,527 | 20,995 | ||||||
TFS Market Neutral Fund | 1,310,516 | 19,658 | ||||||
The Arbitrage Fund, Class I, Cl I | 1,638,602 | 21,629 | ||||||
|
| |||||||
Total Registered Investment Companies |
| 271,221 | ||||||
|
| |||||||
COMMON STOCK — 7.1% |
| |||||||
Consumer Discretionary — 0.5% |
| |||||||
Abercrombie & Fitch, Cl A | 2,960 | 147 | ||||||
CBS, Cl B | 3,970 | 135 | ||||||
Coach | 1,100 | 85 | ||||||
Family Dollar Stores | 1,710 | 108 | ||||||
Ford Motor | 6,520 | 81 | ||||||
Guess? | 4,600 | 144 | ||||||
Las Vegas Sands | 1,430 | 82 | ||||||
Ralph Lauren, Cl A | 580 | 101 | ||||||
Shutterfly* | 2,480 | 78 | ||||||
Starwood Hotels & Resorts Worldwide | 9,260 | 522 | ||||||
Titan International | 6,260 | 148 | ||||||
Wynn Resorts | 800 | 100 | ||||||
Yum! Brands | 970 | 69 | ||||||
|
| |||||||
1,800 | ||||||||
|
| |||||||
Consumer Staples — 0.2% | ||||||||
Brown-Forman, Cl B | 1,900 | 159 | ||||||
Coca-Cola | 1,450 | 107 | ||||||
Colgate-Palmolive | 1,290 | 126 | ||||||
Kellogg | 2,910 | 156 | ||||||
Sara Lee | 4,760 | 103 | ||||||
|
| |||||||
651 | ||||||||
|
| |||||||
Energy — 0.4% | ||||||||
Anadarko Petroleum | 1,540 | 121 | ||||||
Cabot Oil & Gas | 2,820 | 88 |
Description | Shares | Market Value ($ Thousands) | ||||||
Concho Resources* | 970 | $ | 99 | |||||
Devon Energy | 3,610 | 257 | ||||||
Exxon Mobil | 1,430 | 124 | ||||||
HollyFrontier | 1,810 | 58 | ||||||
National Oilwell Varco | 1,220 | 97 | ||||||
Noble Energy | 1,570 | 153 | ||||||
Schlumberger | 1,330 | 93 | ||||||
Transocean | 2,730 | 149 | ||||||
Weatherford International* | 9,130 | 138 | ||||||
|
| |||||||
1,377 | ||||||||
|
| |||||||
Financials — 2.1% | ||||||||
Affiliated Managers Group* | 1,430 | 160 | ||||||
AIA Group | 52,831 | 194 | ||||||
American Express | 7,060 | 408 | ||||||
American Safety Insurance Holdings* | 520 | 10 | ||||||
American Tower, Cl A† | 2,470 | 156 | ||||||
AON | 5,650 | 277 | ||||||
Camden Property Trust† | 1,330 | 87 | ||||||
Cardinal Financial | 1,200 | 14 | ||||||
Cardtronics* | 5,810 | 153 | ||||||
CBRE Group, Cl A* | 5,330 | 106 | ||||||
China Construction Bank, Cl H | 180,200 | 139 | ||||||
Chubb | 4,820 | 333 | ||||||
CME Group | 550 | 159 | ||||||
CNO Financial Group* | 16,590 | 129 | ||||||
Comerica | 9,530 | 308 | ||||||
Compartamos | 289,490 | 328 | ||||||
Discover Financial Services | 3,240 | 108 | ||||||
DNB | 9,364 | 120 | ||||||
Education Realty Trust† | 10,040 | 109 | ||||||
First Connecticut Bancorp | 4,320 | 57 | ||||||
First Republic Bank* | 8,270 | 272 | ||||||
Fortegra Financial* | 14,340 | 120 | ||||||
Franklin Resources | 1,240 | 154 | ||||||
Invesco | 13,890 | 370 | ||||||
JPMorgan Chase | 4,030 | 185 | ||||||
Keycorp | 18,080 | 154 | ||||||
Kilroy Realty† | 2,330 | 109 | ||||||
Manning & Napier, Cl A | 5,450 | 80 | ||||||
MarketAxess Holdings | 3,680 | 137 | ||||||
Metropolitan Bank & Trust | 67,010 | 136 | ||||||
Ocwen Financial* | 4,850 | 76 | ||||||
OmniAmerican Bancorp* | 3,850 | 75 | ||||||
ProAssurance | 1,830 | 161 | ||||||
RenaissanceRe Holdings | 2,390 | 181 | ||||||
Signature Bank NY* | 1,900 | 120 | ||||||
Simon Property Group† | 1,050 | 153 | ||||||
Standard Chartered | 5,252 | 131 | ||||||
State Street | 5,790 | 263 | ||||||
Tanger Factory Outlet Centers† | 3,360 | 100 | ||||||
TD Ameritrade Holding | 8,920 | 176 | ||||||
Tompkins Financial, Cl US | 4,890 | 196 |
122 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Wells Fargo | 3,620 | $ | 124 | |||||
West Coast Bancorp* | 4,180 | 79 | ||||||
|
| |||||||
6,907 | ||||||||
|
| |||||||
Health Care — 1.9% | ||||||||
Abbott Laboratories | 1,890 | 116 | ||||||
Acadia Healthcare* | 5,200 | 85 | ||||||
Akorn* | 6,400 | 75 | ||||||
Alere* | 2,210 | 57 | ||||||
Alexion Pharmaceuticals* | 850 | 79 | ||||||
Allergan | 1,920 | 183 | ||||||
AmerisourceBergen | 5,980 | 237 | ||||||
Amicus Therapeutics* | 8,580 | 45 | ||||||
Ariad Pharmaceuticals* | 5,930 | 95 | ||||||
Arqule* | 2,220 | 16 | ||||||
Arthrocare* | 2,140 | 57 | ||||||
Astellas Pharma | 3,710 | 153 | ||||||
AVI BioPharma* | 13,690 | 21 | ||||||
BioMarin Pharmaceuticals* | 2,790 | 96 | ||||||
Bristol-Myers Squibb | 3,100 | 105 | ||||||
Cardinal Health | 1,840 | 79 | ||||||
Catalyst Health Solutions* | 4,250 | 271 | ||||||
Cerner* | 4,680 | 356 | ||||||
Covidien | 7,250 | 396 | ||||||
Cubist Pharmaceuticals* | 1,070 | 46 | ||||||
Cyberonics* | 1,000 | 38 | ||||||
Dynavax Technologies* | 3,120 | 16 | ||||||
Express Scripts* | 1,620 | 88 | ||||||
Idexx Laboratories* | 540 | 47 | ||||||
Illumina* | 760 | 40 | ||||||
Intuitive Surgical* | 410 | 222 | ||||||
Jazz Pharmaceuticals* | 2,930 | 142 | ||||||
Luminex* | 4,410 | 103 | ||||||
Masimo* | 4,350 | 102 | ||||||
McKesson | 920 | 81 | ||||||
Medivation* | 2,130 | 159 | ||||||
Merck | 5,900 | 227 | ||||||
Nordion | 810 | 8 | ||||||
OncoGenex Pharmaceutical* | 2,250 | 30 | ||||||
Onyx Pharmaceuticals* | 2,230 | 84 | ||||||
Pfizer | 10,370 | 235 | ||||||
QLT* | 4,330 | 30 | ||||||
Quest Diagnostics | 6,700 | 410 | ||||||
Questcor Pharmaceuticals* | 1,560 | 59 | ||||||
Sirona Dental Systems* | 2,060 | 106 | ||||||
St. Jude Medical | 4,060 | 180 | ||||||
Stryker | 1,940 | 108 | ||||||
Thermo Fisher Scientific | 1,330 | 75 | ||||||
United Therapeutics* | 1,180 | 56 | ||||||
UnitedHealth Group | 1,340 | 79 | ||||||
Universal Health Services, Cl B | 2,010 | 84 | ||||||
Vanguard Health Systems* | 2,691 | 27 | ||||||
Waters* | 1,350 | 125 | ||||||
WellCare Health Plans* | 1,100 | 79 |
Description | Shares | Market Value ($ Thousands) | ||||||
WellPoint | 5,180 | $ | 382 | |||||
Zimmer Holdings | 5,810 | 373 | ||||||
|
| |||||||
6,363 | ||||||||
|
| |||||||
Industrials — 0.7% | ||||||||
Ametek | 2,000 | 97 | ||||||
BE Aerospace* | 2,200 | 102 | ||||||
Bombardier, Cl B | 38,130 | 158 | ||||||
Caterpillar | 3,190 | 340 | ||||||
Cummins | 530 | 64 | ||||||
Delta Air Lines* | 16,320 | 162 | ||||||
Eaton | 1,620 | 81 | ||||||
Equifax | 2,480 | 110 | ||||||
Esterline Technologies* | 2,120 | 151 | ||||||
Honeywell International | 2,360 | 144 | ||||||
Huron Consulting Group* | 3,290 | 123 | ||||||
Manpower | 1,860 | 88 | ||||||
MSC Industrial Direct, Cl A | 1,920 | 160 | ||||||
SeaCube Container Leasing | 3,180 | 55 | ||||||
SPX | 1,360 | 105 | ||||||
Stanley Black & Decker | 780 | 60 | ||||||
Towers Watson, Cl A | 1,920 | 127 | ||||||
WESCO International* | 1,230 | 80 | ||||||
|
| |||||||
2,207 | ||||||||
|
| |||||||
Information Technology — 1.1% | ||||||||
Adtran | 4,970 | 155 | ||||||
Avago Technologies | 1,660 | 65 | ||||||
Broadcom, Cl A | 5,840 | 230 | ||||||
Cisco Systems | 12,640 | 267 | ||||||
Citrix Systems* | 1,560 | 123 | ||||||
Cognizant Technology Solutions, Cl A* | 1,070 | 82 | ||||||
eBay* | 2,750 | 101 | ||||||
Electronic Arts* | 8,820 | 145 | ||||||
EMC* | 2,100 | 63 | ||||||
F5 Networks* | 520 | 70 | ||||||
Fortinet* | 3,480 | 96 | ||||||
Google, Cl A* | 160 | 103 | ||||||
Heartland Payment Systems | 4,440 | 128 | ||||||
JDS Uniphase* | 4,020 | 58 | ||||||
LinkedIn, Cl A* | 420 | 43 | ||||||
Microsoft | 3,540 | 114 | ||||||
NetApp* | 2,020 | 90 | ||||||
ON Semiconductor* | 16,380 | 148 | ||||||
Salesforce.com* | 530 | 82 | ||||||
SanDisk* | 2,960 | 147 | ||||||
Texas Instruments | 5,180 | 174 | ||||||
TIBCO Software* | 13,890 | 424 | ||||||
Vantiv, Cl A* | 4,270 | 84 | ||||||
Western Union | 26,510 | 467 | ||||||
|
| |||||||
3,459 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund (Continued)
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 0.2% | ||||||||
ArcelorMittal | 7,560 | $ | 145 | |||||
Monsanto | 6,220 | 496 | ||||||
Silver Wheaton | 4,640 | 154 | ||||||
|
| |||||||
795 | ||||||||
|
| |||||||
Total Common Stock | 23,559 | |||||||
|
| |||||||
CASH EQUIVALENT — 8.7% | ||||||||
SEI Daily Income Trust, | 28,537,642 | 28,538 | ||||||
|
| |||||||
Total Cash Equivalent | 28,538 | |||||||
|
| |||||||
Total Investments — 97.9% | $ | 323,318 | ||||||
|
| |||||||
COMMON STOCK SOLD SHORT — (4.8)% |
| |||||||
Consumer Discretionary — (0.6)% | ||||||||
Blue Nile* | (1,830 | ) | (60 | ) | ||||
Buckle | (2,970 | ) | (142 | ) | ||||
Cheesecake Factory* | (2,500 | ) | (73 | ) | ||||
Choice Hotels International | (1,660 | ) | (62 | ) | ||||
Darden Restaurants | (1,370 | ) | (70 | ) | ||||
DeVry | (2,390 | ) | (81 | ) | ||||
Expedia | (1,830 | ) | (61 | ) | ||||
Hasbro | (4,080 | ) | (150 | ) | ||||
Limited Brands | (3,240 | ) | (156 | ) | ||||
Macy’s | (3,890 | ) | (155 | ) | ||||
Magna International, Cl A | (1,370 | ) | (65 | ) | ||||
Marriott International, Cl A | (9,000 | ) | (341 | ) | ||||
Melco Crown Entertainment ADR* | (4,430 | ) | (60 | ) | ||||
NetFlix* | (710 | ) | (82 | ) | ||||
O’Reilly Automotive* | (900 | ) | (82 | ) | ||||
Time Warner | (1,660 | ) | (63 | ) | ||||
Under Armour, Cl A* | (640 | ) | (60 | ) | ||||
Viacom, Cl B | (3,350 | ) | (159 | ) | ||||
|
| |||||||
(1,922 | ) | |||||||
|
| |||||||
Consumer Staples — (0.2)% | ||||||||
Bunge | (910 | ) | (63 | ) | ||||
CVS Caremark | (6,970 | ) | (312 | ) | ||||
Kimberly-Clark | (2,030 | ) | (150 | ) | ||||
Reynolds American | (1,960 | ) | (81 | ) | ||||
|
| |||||||
(606 | ) | |||||||
|
| |||||||
Energy — (0.3)% | ||||||||
Apache | (4,490 | ) | (451 | ) | ||||
Cimarex Energy | (780 | ) | (59 | ) | ||||
Continental Resources* | (700 | ) | (60 | ) | ||||
Diamond Offshore Drilling | (3,240 | ) | (216 | ) | ||||
Helmerich & Payne | (2,610 | ) | (141 | ) | ||||
|
| |||||||
(927 | ) | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Financials — (1.2)% | ||||||||
Ameriprise Financial | (1,560 | ) | $ | (89 | ) | |||
Associated Banc-Corp | (8,850 | ) | (124 | ) | ||||
Assurant | (3,420 | ) | (138 | ) | ||||
Cincinnati Financial | (8,360 | ) | (288 | ) | ||||
Credicorp | (2,090 | ) | (275 | ) | ||||
Cullen/Frost Bankers | (2,250 | ) | (131 | ) | ||||
General Growth Properties† | (9,140 | ) | (155 | ) | ||||
Green Dot, Cl A* | (3,810 | ) | (101 | ) | ||||
Janus Capital Group | (49,220 | ) | (439 | ) | ||||
MSCI, Cl A* | (3,180 | ) | (117 | ) | ||||
Muenchener Rueckversicherungs | (540 | ) | (81 | ) | ||||
Nordea Bank | (12,470 | ) | (113 | ) | ||||
Northern Trust | (6,200 | ) | (294 | ) | ||||
NYSE Euronext | (4,450 | ) | (134 | ) | ||||
Pebblebrook Hotel Trust† | (6,140 | ) | (139 | ) | ||||
People’s United Financial | (9,120 | ) | (121 | ) | ||||
Progressive | (13,490 | ) | (313 | ) | ||||
ProLogis† | (4,440 | ) | (160 | ) | ||||
RLI | (1,480 | ) | (106 | ) | ||||
Royal Bank of Canada | (2,340 | ) | (136 | ) | ||||
Senior Housing Properties Trust† | (4,700 | ) | (104 | ) | ||||
Societe Generale | (2,521 | ) | (74 | ) | ||||
Sun Hung Kai Properties | (4,040 | ) | (50 | ) | ||||
SunTrust Banks | (2,600 | ) | (63 | ) | ||||
Trustmark | (6,000 | ) | (150 | ) | ||||
Waddell & Reed Financial, Cl A | (3,780 | ) | (122 | ) | ||||
|
| |||||||
(4,017 | ) | |||||||
|
| |||||||
Health Care — (1.0)% | ||||||||
Aetna | (1,531 | ) | (77 | ) | ||||
Alkermes* | (3,137 | ) | (58 | ) | ||||
Alnylam Pharmaceuticals* | (1,260 | ) | (14 | ) | ||||
Amgen | (7,170 | ) | (487 | ) | ||||
athenahealth* | (420 | ) | (31 | ) | ||||
Becton Dickinson | (2,760 | ) | (214 | ) | ||||
C.R. Bard | (850 | ) | (84 | ) | ||||
Celgene* | (500 | ) | (39 | ) | ||||
Community Health Systems* | (1,400 | ) | (31 | ) | ||||
Covance* | (1,230 | ) | (59 | ) | ||||
Dentsply International | (1,490 | ) | (60 | ) | ||||
Eisai | (1,930 | ) | (77 | ) | ||||
HCA Holdings | (2,220 | ) | (55 | ) | ||||
Henry Schein* | (3,780 | ) | (286 | ) | ||||
Hologic* | (3,620 | ) | (78 | ) | ||||
Human Genome Sciences* | (940 | ) | (8 | ) | ||||
Ironwood Pharmaceuticals, Cl A* | (1,680 | ) | (22 | ) | ||||
Isis Pharmaceuticals* | (3,230 | ) | (28 | ) | ||||
Johnson & Johnson | (6,200 | ) | (409 | ) | ||||
Laboratory Corp of America Holdings* | (6,720 | ) | (615 | ) | ||||
Lexicon Pharmaceuticals* | (6,280 | ) | (12 | ) | ||||
Life Technologies* | (630 | ) | (31 | ) | ||||
LifePoint Hospitals* | (980 | ) | (39 | ) | ||||
Mettler Toledo International* | (290 | ) | (53 | ) |
124 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Natus Medical* | (1,270 | ) | $ | (15 | ) | |||
Nektar Therapeutics* | (1,980 | ) | (16 | ) | ||||
Patterson | (2,880 | ) | (96 | ) | ||||
ResMed* | (1,260 | ) | (39 | ) | ||||
Seattle Genetics* | (370 | ) | (7 | ) | ||||
Sequenom* | (4,480 | ) | (18 | ) | ||||
Theravance* | (810 | ) | (16 | ) | ||||
Varian Medical Systems* | (850 | ) | (59 | ) | ||||
Vertex Pharmaceuticals* | (760 | ) | (31 | ) | ||||
Wright Medical Group* | (2,010 | ) | (39 | ) | ||||
|
| |||||||
(3,203 | ) | |||||||
|
| |||||||
Industrials — (0.5)% | ||||||||
3M | (1,200 | ) | (107 | ) | ||||
Actuant, Cl A | (5,240 | ) | (152 | ) | ||||
Dover | (2,410 | ) | (152 | ) | ||||
Dun & Bradstreet | (930 | ) | (79 | ) | ||||
Fastenal | (2,930 | ) | (158 | ) | ||||
Navistar International* | (1,210 | ) | (49 | ) | ||||
Northrop Grumman | (2,470 | ) | (151 | ) | ||||
PACCAR | (1,310 | ) | (61 | ) | ||||
Parker Hannifin | (3,190 | ) | (270 | ) | ||||
Rockwell Automation | (910 | ) | (72 | ) | ||||
Southwest Airlines | (18,010 | ) | (148 | ) | ||||
Stericycle* | (1,158 | ) | (97 | ) | ||||
Watsco | (3,250 | ) | (241 | ) | ||||
|
| |||||||
(1,737 | ) | |||||||
|
| |||||||
Information Technology — (0.8)% | ||||||||
Atmel* | (14,940 | ) | (147 | ) | ||||
Baidu ADR* | (430 | ) | (63 | ) | ||||
Corning | (4,290 | ) | (60 | ) | ||||
Dell* | (3,900 | ) | (65 | ) | ||||
Factset Research Systems | (2,320 | ) | (230 | ) | ||||
FleetCor Technologies* | (3,550 | ) | (138 | ) | ||||
Global Payments | (4,490 | ) | (123 | ) | ||||
Infosys ADR | (1,090 | ) | (62 | ) | ||||
Jack Henry & Associates | (13,790 | ) | (470 | ) | ||||
Kla-Tencor | (2,860 | ) | (156 | ) | ||||
Lexmark International, Cl A | (1,430 | ) | (48 | ) | ||||
Linear Technology | (7,120 | ) | (240 | ) | ||||
LogMein* | (1,200 | ) | (42 | ) | ||||
NetSuite* | (1,240 | ) | (62 | ) | ||||
Polycom* | (3,230 | ) | (62 | ) | ||||
Red Hat* | (2,110 | ) | (126 | ) | ||||
Research In Motion* | (27,500 | ) | (405 | ) | ||||
Tech Data* | (1,120 | ) | (61 | ) | ||||
Visa, Cl A | (660 | ) | (78 | ) | ||||
Xilinx | (2,260 | ) | (82 | ) | ||||
|
| |||||||
(2,720 | ) | |||||||
|
| |||||||
Materials — (0.3)% | ||||||||
Agrium | (700 | ) | (60 | ) | ||||
Dow Chemical | (2,330 | ) | (81 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
Freeport-McMoRan Copper & Gold, Cl B | (2,010 | ) | $ | (76 | ) | |||
Kinross Gold | (14,970 | ) | (147 | ) | ||||
Praxair | (1,380 | ) | (158 | ) | ||||
Scotts Miracle-Gro, Cl A | (2,600 | ) | (141 | ) | ||||
United States Steel | (5,060 | ) | (149 | ) | ||||
|
| |||||||
(812 | ) | |||||||
|
| |||||||
Total Common Stock Sold Short | (15,944 | ) | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS SOLD SHORT — (0.3)% |
| |||||||
CurrencyShares Japanese Yen Trust | (650 | ) | (77 | ) | ||||
iShares Barclays 20+ Year Treasury Bond Fund | (1,400 | ) | (157 | ) | ||||
SPDR Energy Select Sector ETF | (1,140 | ) | (82 | ) | ||||
SPDR Health Care Select ETF | (6,260 | ) | (235 | ) | ||||
SPDR S&P 500 ETF Trust | (2,890 | ) | (407 | ) | ||||
|
| |||||||
Total Exchange Traded Funds Sold Short |
| (958 | ) | |||||
|
| |||||||
Total Securities Sold Short | $ | (16,902 | ) | |||||
|
|
Percentages are based on Net Assets of $330,319 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. (See Note 5) |
ADR | — American Depositary Receipt |
Cl | — Class |
ETF | — Exchange Traded Fund |
NY | — New York |
S&P | — Standard & Poor’s |
SPDR | — Standard & Poor’s Depository Receipt |
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Assets — Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Registered Investment Companies | $ | 271,221 | $ | — | $ | — | $ | 271,221 | ||||||||
Common Stock | 23,559 | — | — | 23,559 | ||||||||||||
Cash Equivalent | 28,538 | — | — | 28,538 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 323,318 | $ | — | $ | — | $ | 323,318 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities — Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | (15,944 | ) | $ | — | $ | — | $ | (15,944 | ) | ||||||
Exchange Traded Funds | (958 | ) | — | — | (958 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | (16,902 | ) | $ | — | $ | — | $ | (16,902 | ) | ||||||
|
|
|
|
|
|
|
|
During the period ended March 31, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2012, there have been no 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 / Semi-Annual Report / March 31, 2012 | 125 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
March 31, 2012 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 1,726,893 | * | $ | 1,412,825 | * | $ | 1,508,693 | * | |||
Affiliated investment, at value†† | 400,878 | 105,722 | 242,968 | |||||||||
Cash | 91 | 85 | 1 | |||||||||
Receivable for investment securities sold | 1,596 | 11,928 | — | |||||||||
Receivable for fund shares sold | 2,450 | 346 | 4,314 | |||||||||
Dividends and interest receivable | 2,085 | 2,097 | 1,333 | |||||||||
Receivable for variation margin | 950 | 93 | 112 | |||||||||
Prepaid Expenses | 40 | — | — | |||||||||
Total Assets | 2,134,983 | 1,533,096 | 1,757,421 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 104,783 | 88,617 | 207,166 | |||||||||
Payable for investment securities purchased | 4,067 | — | 7,304 | |||||||||
Payable for fund shares redeemed | 1,644 | 1,278 | 1,860 | |||||||||
Payable for variation margin | 39 | 8 | 9 | |||||||||
Administration fees payable | 587 | 424 | 452 | |||||||||
Investment advisory fees payable | 588 | 382 | 463 | |||||||||
Shareholder servicing fees payable Class A | 278 | 207 | 164 | |||||||||
Shareholder servicing fees payable Class I | — | 2 | 2 | |||||||||
Chief Compliance Officer fees payable | 4 | 4 | 4 | |||||||||
Administration servicing fees payable Class I | — | 1 | 1 | |||||||||
Accrued expense payable | 160 | 139 | 150 | |||||||||
Total Liabilities | 112,150 | 91,062 | 217,575 | |||||||||
Net Assets | $ | 2,022,833 | $ | 1,442,034 | $ | 1,539,846 | ||||||
† Cost of investments | 1,427,612 | 1,258,475 | 1,239,588 | |||||||||
†† Cost of affiliated investments | 400,878 | 110,712 | 247,178 | |||||||||
* Includes market value of securities on loan | 102,357 | 86,587 | 202,863 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,719,482 | $ | 1,601,544 | $ | 1,507,014 | ||||||
Undistributed (distributions in excess of) net investment income/(Accumulated net investment loss) | 40 | 273 | (131 | ) | ||||||||
Accumulated net realized gain (loss) on investments, option contracts, futures, swap contracts, swaptions and foreign currency | 3,085 | (309,772 | ) | (233,205 | ) | |||||||
Net unrealized appreciation on investments, affiliated investments and option contracts | 299,281 | 149,360 | 264,895 | |||||||||
Net unrealized appreciation on futures contracts | 945 | 629 | 1,273 | |||||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||
Net Assets | $ | 2,022,833 | $ | 1,442,034 | $ | 1,539,846 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $12.03 | $17.76 | $25.35 | |||||||||
| ($2,022,833,270 ÷ 168,106,982 shares | ) | | ($1,433,517,272 ÷ 80,735,213 shares | ) | | ($1,530,785,496 ÷ 60,396,597 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 | $17.77 | $25.08 | |||||||||
| ($8,516,870 ÷ 479,369 shares | ) | | ($9,060,988 ÷ 361,280 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | N/A | N/A | N/A | |||||||||
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
126 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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 | ||||||||||||||||||||
$1,851,366 | * | $2,118,764 | * | $253,579 | * | $433,405 | * | $341,731 | * | $320,491 | * | $83,680 | * | |||||||||||||
219,261 | 201,526 | 92,056 | 110,833 | 138,114 | 33,716 | 19,519 | ||||||||||||||||||||
82 | 34 | 3 | 37 | 3 | 17 | 5 | ||||||||||||||||||||
138 | — | 27,826 | — | 1,266 | 2,468 | 530 | ||||||||||||||||||||
971 | 236,481 | 320 | 404 | 66 | 138 | 31 | ||||||||||||||||||||
2,082 | 2,407 | 297 | 2,258 | 312 | 285 | 163 | ||||||||||||||||||||
— | 115 | — | — | — | — | — | ||||||||||||||||||||
40 | 103 | 6 | 10 | 8 | 7 | 2 | ||||||||||||||||||||
2,073,940 | 2,559,430 | 374,087 | 546,947 | 481,500 | 357,122 | 103,930 | ||||||||||||||||||||
181,082 | 180,255 | 73,545 | 91,721 | 128,953 | 18,550 | 13,263 | ||||||||||||||||||||
— | 218,594 | 4,690 | 3,416 | 1,748 | 2,445 | 428 | ||||||||||||||||||||
1,937 | 16,233 | 190 | 496 | 219 | 259 | 24 | ||||||||||||||||||||
6 | — | 108 | 46 | 28 | 30 | 6 | ||||||||||||||||||||
551 | 307 | 86 | 132 | 103 | 98 | 26 | ||||||||||||||||||||
552 | 95 | 147 | 235 | 180 | 148 | 38 | ||||||||||||||||||||
260 | 19 | 43 | 55 | 38 | 61 | 8 | ||||||||||||||||||||
— | 1 | — | 1 | 1 | — | — | ||||||||||||||||||||
4 | 4 | 1 | 1 | 1 | 1 | — | ||||||||||||||||||||
— | 2 | — | 1 | 1 | — | — | ||||||||||||||||||||
167 | 105 | 26 | 46 | 35 | 34 | 13 | ||||||||||||||||||||
184,559 | 415,615 | 78,836 | 96,150 | 131,307 | 21,626 | 13,806 | ||||||||||||||||||||
$1,889,381 | $2,143,815 | $295,251 | $450,797 | $350,193 | $335,496 | $90,124 | ||||||||||||||||||||
1,364,929 | 1,219,495 | 220,521 | 401,967 | 310,896 | 270,610 | 77,569 | ||||||||||||||||||||
223,834 | 204,872 | 92,056 | 114,800 | 141,469 | 33,983 | 19,871 | ||||||||||||||||||||
177,182 | 176,600 | 71,272 | 88,870 | 125,215 | 18,139 | 12,925 | ||||||||||||||||||||
$1,827,876 | $1,271,336 | $259,424 | $491,977 | $507,452 | $305,280 | $103,837 | ||||||||||||||||||||
| 184 | | 406 | 75 | 79 | (79 | ) | 49 | 95 | |||||||||||||||||
| (422,183 | ) | (24,690 | ) | 2,046 | (69,175 | ) | (184,996 | ) | (19,901 | ) | (19,627 | ) | |||||||||||||
| 481,864 | | 895,923 | 33,058 | 27,471 | 27,480 | 49,614 | 5,759 | ||||||||||||||||||
1,640 | 840 | 648 | 445 | 336 | 455 | 60 | ||||||||||||||||||||
| — | | — | — | — | — | (1 | ) | — | |||||||||||||||||
$1,889,381 | $2,143,815 | $295,251 | $450,797 | $350,193 | $335,496 | $90,124 | ||||||||||||||||||||
$13.72 | $38.53 | $10.74 | $18.44 | $18.84 | $13.34 | $19.41 | ||||||||||||||||||||
| ($1,888,260,552 ÷ 137,646,400 shares | ) | | ($308,955,988 ÷ 8,017,757 shares | ) | | ($295,251,233 ÷ 27,491,702 shares | ) | | ($446,263,781 ÷ 24,201,928 shares | ) | | ($347,071,453 ÷ 18,424,443 shares | ) | | ($335,495,780 ÷ 25,144,495 shares | ) | | ($89,027,459 ÷ 4,586,964 shares | ) | ||||||
N/A | $38.70 | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($1,825,478,994 ÷ 47,166,172 shares | ) | ||||||||||||||||||||||||
N/A | $38.68 | N/A | $18.32 | $18.32 | N/A | $19.42 | ||||||||||||||||||||
| ($9,380,291 ÷ 242,540 shares | ) | | ($4,532,776 ÷ 247,434 shares | ) | | ($3,121,131 ÷ 170,355 shares | ) | | ($1,096,944 ÷ 56,491 shares | ) | |||||||||||||||
$14.07 | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($1,120,609 ÷ 79,642 shares | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 127 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
March 31, 2012 (Unaudited)
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 611,411 | $ | 650,380 | $ | 357,186 | ||||||
Affiliated investment, at value†† | 36,496 | 49,301 | 18,761 | |||||||||
Repurchase Agreement† | — | — | — | |||||||||
Cash | 74 | 3,358 | 37 | |||||||||
Foreign currency, at value††† | 33 | 4,507 | — | |||||||||
Cash collateral on futures | — | — | — | |||||||||
Cash collateral on swaps | — | — | — | |||||||||
Receivable for investment securities sold | — | — | 431 | |||||||||
Receivable for fund shares sold | 1,248 | 13,622 | 559 | |||||||||
Dividends and interest receivable | 1,351 | 3,588 | 697 | |||||||||
Receivable for variation margin | 80 | 167 | 39 | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Unrealized gain on forward foreign currency contracts | — | 1,292 | — | |||||||||
Prepaid Expenses | 2 | 13 | 7 | |||||||||
Total Assets | 650,695 | 726,228 | 377,717 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | — | — | — | |||||||||
Payable for securities sold short‡ | — | — | — | |||||||||
Payable for investment securities purchased | 797 | — | 444 | |||||||||
Payable for fund shares redeemed | 1,439 | 1,678 | 286 | |||||||||
Dividend payable for securities sold short | — | — | — | |||||||||
Payable for variation margin | — | 4 | — | |||||||||
Administration fees payable | 188 | 207 | 109 | |||||||||
Investment advisory fees payable | 202 | 279 | 116 | |||||||||
Shareholder servicing fees payable Class A | 134 | 148 | 78 | |||||||||
Shareholder servicing fees payable Class I | — | — | — | |||||||||
Chief Compliance Officer fees payable | 1 | 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 | — | 1,526 | — | |||||||||
Accrued expense payable | 38 | 58 | 27 | |||||||||
Total Liabilities | 2,799 | 3,901 | 1,061 | |||||||||
Net Assets | $ | 647,896 | $ | 722,327 | $ | 376,656 | ||||||
† Cost of investments and repurchase agreements | 519,258 | 590,859 | 296,903 | |||||||||
†† Cost of affiliated investments | 36,496 | 49,301 | 18,761 | |||||||||
††† Cost of foreign currency | 34 | 4,490 | — | |||||||||
†††† Premiums received/(paid) | — | — | — | |||||||||
# Premiums received | — | — | — | |||||||||
‡ Proceeds | — | — | — | |||||||||
* Includes market value of securities on loan | — | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 588,709 | $ | 692,247 | $ | 310,729 | ||||||
Undistributed (distributions in excess of) net investment income/(Accumulated net investment loss) | 78 | (220 | ) | 29 | ||||||||
Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and foreign currency | (33,801 | ) | (29,436 | ) | 5,329 | |||||||
Net unrealized appreciation (depreciation) on investments, securities sold short, affiliated investments and option contracts | 92,153 | 59,521 | 60,283 | |||||||||
Net unrealized appreciation on futures contracts | 759 | 446 | 286 | |||||||||
Net unrealized depreciation on swap contracts | — | — | — | |||||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | (2 | ) | (231 | ) | — | |||||||
Net Assets | $ | 647,896 | $ | 722,327 | $ | 376,656 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $13.27 | $9.32 | $10.83 | |||||||||
| ($647,526,264 ÷ 48,798,170 shares | ) | | ($722,179,693 ÷ 77,483,387 shares | ) | | ($376,656,401 ÷ 34,779,190 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $13.26 | $9.20 | N/A | |||||||||
| ($369,950 ÷ 27,908 shares | ) | | ($147,251 ÷ 16,004 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
128 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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 | ||||||||||||||||||||
$177,138 | * | $164,890 | $2,137,197 | * | $1,048,845 | * | $1,779,702 | * | $421,525 | * | $294,780 | |||||||||||||||
52,217 | 5,935 | 210,883 | 157,140 | 96,430 | 46,415 | 28,538 | ||||||||||||||||||||
— | 14,800 | — | — | — | — | — | ||||||||||||||||||||
— | 197 | 141 | 47 | 814 | — | 23,346 | ||||||||||||||||||||
— | — | 682 | — | — | — | — | ||||||||||||||||||||
— | 100 | — | — | — | — | — | ||||||||||||||||||||
— | — | 100 | — | — | — | — | ||||||||||||||||||||
45,659 | 870 | 244,188 | 106,326 | 11,739 | — | 4,769 | ||||||||||||||||||||
49 | 220 | 930 | 1,766 | 2,311 | 458 | 639 | ||||||||||||||||||||
457 | 469 | 13,827 | 5,563 | 35,659 | 1,338 | 126 | ||||||||||||||||||||
— | 8 | 460 | 163 | — | — | — | ||||||||||||||||||||
— | — | 1,358 | 359 | 251 | — | — | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
4 | 4 | 52 | 24 | 37 | 10 | 19 | ||||||||||||||||||||
275,524 | 187,493 | 2,609,818 | 1,320,233 | 1,926,943 | 469,746 | 352,217 | ||||||||||||||||||||
44,087 | — | 68,291 | 77,452 | 6 | 41,213 | — | ||||||||||||||||||||
— | — | — | — | — | — | 16,902 | ||||||||||||||||||||
4,655 | 13,802 | 414,021 | 165,641 | 37,430 | — | 4,383 | ||||||||||||||||||||
41,731 | 257 | 2,840 | 971 | 1,363 | 299 | 415 | ||||||||||||||||||||
— | — | — | — | — | — | 1 | ||||||||||||||||||||
— | 2 | 322 | 28 | — | — | — | ||||||||||||||||||||
65 | 27 | 505 | 252 | 554 | 66 | 28 | ||||||||||||||||||||
109 | 55 | 463 | 237 | 686 | 79 | 139 | ||||||||||||||||||||
29 | — | 161 | 57 | 118 | 7 | — | ||||||||||||||||||||
— | — | 3 | — | 2 | — | — | ||||||||||||||||||||
— | — | 6 | 3 | 4 | 1 | 1 | ||||||||||||||||||||
— | — | 3 | — | 2 | — | — | ||||||||||||||||||||
— | — | 547 | 273 | 1,892 | — | — | ||||||||||||||||||||
— | — | 478 | 134 | — | — | — | ||||||||||||||||||||
— | — | 321 | 4 | — | — | — | ||||||||||||||||||||
— | — | 429 | — | — | — | 1 | ||||||||||||||||||||
23 | 20 | 297 | 161 | 167 | 35 | 28 | ||||||||||||||||||||
90,699 | 14,163 | 488,687 | 245,213 | 42,224 | 41,700 | 21,898 | ||||||||||||||||||||
$184,825 | $173,330 | $2,121,131 | $1,075,020 | $1,884,719 | $428,046 | $330,319 | ||||||||||||||||||||
120,424 | 184,847 | 2,101,848 | 1,011,983 | 1,740,050 | 410,568 | 298,926 | ||||||||||||||||||||
53,718 | 5,935 | 214,460 | 157,140 | 96,430 | 46,415 | 28,538 | ||||||||||||||||||||
— | — | 666 | — | — | — | — | ||||||||||||||||||||
— | — | 2,816 | 444 | 1,229 | — | — | ||||||||||||||||||||
— | — | (657 | ) | (17 | ) | — | — | — | ||||||||||||||||||
— | — | — | — | — | — | (16,886 | ) | |||||||||||||||||||
43,623 | — | 66,329 | 74,833 | | 608 | | 40,218 | — | ||||||||||||||||||
$183,006 | $302,449 | $2,151,492 | $1,038,368 | $2,006,990 | $416,904 | $342,182 | ||||||||||||||||||||
| 210 | | 100 | (7,042 | ) | (1,013 | ) | 8,732 | (825 | ) | 39 | |||||||||||||||
| (53,604 | ) | (124,086 | ) | (53,462 | ) | 550 | (169,677 | ) | 1,010 | (7,739 | ) | ||||||||||||||
| 55,213 | | (5,157 | ) | 32,108 | 36,875 | 39,652 | 10,957 | (4,162 | ) | ||||||||||||||||
— | 24 | 376 | 459 | — | — | — | ||||||||||||||||||||
— | — | (1,936 | ) | (219 | ) | (978 | ) | — | — | |||||||||||||||||
| — | | — | (405 | ) | — | — | — | (1 | ) | ||||||||||||||||
$184,825 | $173,330 | $2,121,131 | $1,075,020 | $1,884,719 | $428,046 | $330,319 | ||||||||||||||||||||
$14.64 | $7.45 | $11.21 | $10.51 | $7.40 | $10.69 | $9.58 | ||||||||||||||||||||
| ($184,274,618 ÷ 12,588,553 shares | ) | | ($173,263,908 ÷ 23,269,594 shares | ) | | ($2,105,977,896 ÷ 187,898,192 shares | ) | | ($1,075,019,730 ÷ 102,299,291 shares | ) | | ($1,872,592,242 ÷ 253,039,729 shares | ) | | ($428,045,784 ÷ 40,045,670 shares | ) | | ($330,319,148 ÷ 34,493,263 shares | ) | ||||||
$14.59 | $7.44 | $11.20 | N/A | $7.25 | N/A | N/A | ||||||||||||||||||||
| ($550,419 ÷ 37,717 shares | ) | | ($66,578 ÷ 8,948 shares | ) | | ($15,152,783 ÷ 1,352,706 shares | ) | | ($12,127,080 ÷ 1,673,234 shares | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 129 |
Table of Contents
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2012 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 15,356 | $ | 16,409 | $ | 7,162 | ||||||
Dividends from Affiliated Investments† | 15 | 7 | 8 | |||||||||
Interest Income | 1 | 1 | 1 | |||||||||
Securities Lending Income — Net | 236 | 73 | 126 | |||||||||
Less: Foreign Taxes Witheld | (109 | ) | (17 | ) | (218 | ) | ||||||
Total Investment Income | 15,499 | 16,473 | 7,079 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 3,467 | 2,391 | 2,845 | |||||||||
Administration Fees | 3,111 | 2,391 | 2,490 | |||||||||
Shareholder Servicing Fees Class (A) | 2,222 | 1,698 | 1,768 | |||||||||
Shareholder Servicing Fees Class (I) | — | 10 | 10 | |||||||||
Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Administration Servicing Fees Class (I) | — | 10 | 10 | |||||||||
Printing Fees | 80 | 63 | 66 | |||||||||
Professional Fees | 52 | 42 | 44 | |||||||||
Custodian/Wire Agent Fees | 69 | 57 | 60 | |||||||||
Trustee Fees | 16 | 13 | 14 | |||||||||
Registration Fees | 24 | 25 | 23 | |||||||||
Chief Compliance Officer Fees | 4 | 3 | 3 | |||||||||
Licensing Fees | — | — | — | |||||||||
Other Expenses | 30 | 27 | 28 | |||||||||
Total Expenses | 9,075 | 6,730 | 7,361 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (392 | ) | (304 | ) | (301 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (744 | ) | (305 | ) | (649 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (I) | — | (3 | ) | (5 | ) | |||||||
Waiver of Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly* | (12 | ) | (16 | ) | (52 | ) | ||||||
Net Expenses | 7,927 | 6,102 | 6,354 | |||||||||
Net Investment Income | 7,572 | 10,371 | 725 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 37,722 | 22,799 | 91,004 | |||||||||
Futures Contracts | 7,134 | 4,460 | 9,449 | |||||||||
Foreign Currency Transactions | (4 | ) | — | — | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 371,443 | 281,287 | 247,729 | |||||||||
Affiliated Investments | — | (224 | ) | (521 | ) | |||||||
Futures Contracts | 2,067 | 1,245 | 2,293 | |||||||||
Net Increase in Net Assets from Operations | $ | 425,934 | $ | 319,938 | $ | 350,679 |
† | 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.
130 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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 | ||||||||||||||||||||
$ | 15,288 | $ | 17,489 | $ | 1,500 | $ | 3,671 | $ | 1,215 | $ | 1,969 | $ | 642 | |||||||||||||
8 | 11 | 3 | 4 | 3 | 3 | 1 | ||||||||||||||||||||
1 | — | 9 | — | — | — | — | ||||||||||||||||||||
178 | 144 | 294 | 275 | 636 | 86 | 26 | ||||||||||||||||||||
(97 | ) | (1 | ) | (4 | ) | (20 | ) | (1 | ) | (2 | ) | (1 | ) | |||||||||||||
15,378 | 17,643 | 1,802 | 3,930 | 1,853 | 2,056 | 668 | ||||||||||||||||||||
3,421 | 242 | 817 | 1,379 | 1,056 | 983 | 169 | ||||||||||||||||||||
2,992 | 1,776 | 440 | 742 | 568 | 529 | 148 | ||||||||||||||||||||
2,137 | 362 | 314 | 525 | 402 | 378 | 104 | ||||||||||||||||||||
— | 11 | — | 6 | 4 | — | 1 | ||||||||||||||||||||
1 | — | — | — | — | — | — | ||||||||||||||||||||
— | 11 | — | 6 | 4 | — | 1 | ||||||||||||||||||||
78 | 74 | 11 | 20 | 15 | 14 | 4 | ||||||||||||||||||||
51 | 48 | 7 | 13 | 10 | 9 | 3 | ||||||||||||||||||||
69 | 64 | 10 | 18 | 14 | 12 | 5 | ||||||||||||||||||||
16 | 15 | 2 | 4 | 3 | 3 | 1 | ||||||||||||||||||||
25 | 24 | 4 | 7 | 6 | 5 | 1 | ||||||||||||||||||||
4 | 4 | 1 | 1 | 1 | 1 | — | ||||||||||||||||||||
— | 88 | — | — | — | — | — | ||||||||||||||||||||
34 | 29 | 9 | 12 | 9 | 13 | 5 | ||||||||||||||||||||
8,828 | 2,748 | 1,615 | 2,733 | 2,092 | 1,947 | 442 | ||||||||||||||||||||
(413 | ) | — | (55 | ) | (53 | ) | (59 | ) | (184 | ) | — | |||||||||||||||
(785 | ) | (101 | ) | (117 | ) | (235 | ) | (214 | ) | (68 | ) | (6 | ) | |||||||||||||
— | (4 | ) | — | (3 | ) | — | — | — | ||||||||||||||||||
(1 | ) | — | — | — | — | — | — | |||||||||||||||||||
— | (319 | ) | — | — | — | — | — | |||||||||||||||||||
(3 | ) | (12 | ) | (7 | ) | (15 | ) | (9 | ) | (13 | ) | (3 | ) | |||||||||||||
7,626 | 2,312 | 1,436 | 2,427 | 1,810 | 1,682 | 433 | ||||||||||||||||||||
7,752 | 15,331 | 366 | 1,503 | 43 | 374 | 235 | ||||||||||||||||||||
(59,699 | ) | 12,269 | 3,974 | 17,969 | 10,271 | 4,358 | (1,450 | ) | ||||||||||||||||||
1,919 | 7,250 | 1,031 | 1,148 | 1,038 | 1,283 | 729 | ||||||||||||||||||||
(25 | ) | — | (1 | ) | — | — | — | — | ||||||||||||||||||
460,731 | 325,228 | 59,136 | 88,719 | 76,954 | 66,976 | 21,333 | ||||||||||||||||||||
(582 | ) | (509 | ) | — | (161 | ) | (404 | ) | 27 | (28 | ) | |||||||||||||||
2,467 | 3,667 | 861 | 968 | 583 | 750 | 93 | ||||||||||||||||||||
$ | 412,563 | $ | 363,236 | $ | 65,367 | $ | 110,146 | $ | 88,485 | $ | 73,768 | $ | 20,912 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 131 |
Table of Contents
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2012 (Unaudited)
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 7,293 | $ | 9,691 | $ | 4,337 | ||||||
Dividends from Affiliated Investments† | 6 | 8 | 3 | |||||||||
Interest Income | — | 1 | — | |||||||||
Securities Lending Income — Net | — | — | — | |||||||||
Less: Foreign Taxes Witheld | (43 | ) | (558 | ) | (22 | ) | ||||||
Total Investment Income | 7,256 | 9,142 | 4,318 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 1,798 | 2,017 | 1,070 | |||||||||
Administration Fees | 968 | 1,086 | 576 | |||||||||
Shareholder Servicing Fees Class (A) | 691 | 776 | 411 | |||||||||
Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Administration Servicing Fees Class (I) | — | — | — | |||||||||
Printing Fees | 24 | 26 | 14 | |||||||||
Professional Fees | 16 | 17 | 9 | |||||||||
Custodian/Wire Agent Fees | 20 | 38 | 12 | |||||||||
Trustee Fees | 5 | 5 | 3 | |||||||||
Registration Fees | 7 | 7 | 5 | |||||||||
Chief Compliance Officer Fees | 1 | 1 | 1 | |||||||||
Overdraft Fees | — | 2 | — | |||||||||
Other Expenses | 11 | 23 | 6 | |||||||||
Total Expenses | 3,541 | 3,998 | 2,107 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (769 | ) | (546 | ) | (458 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Net Expenses | 2,772 | 3,452 | 1,649 | |||||||||
Net Investment Income | 4,484 | 5,690 | 2,669 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 13,100 | 5,454 | 5,392 | |||||||||
Secuitires Sold Short | — | — | — | |||||||||
Futures Contracts | 1,532 | 5,397 | 1,018 | |||||||||
Written Options | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | (30 | ) | 4,457 | (3 | ) | |||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 63,687 | 39,201 | 39,271 | |||||||||
Secuitires Sold Short | — | — | — | |||||||||
Affiliated Investments | — | — | — | |||||||||
Futures Contracts | 956 | 762 | 446 | |||||||||
Written Options | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 35 | (5,158 | ) | 18 | ||||||||
Net Increase in Net Assets from Operations | $ | 83,764 | $ | 55,803 | $ | 48,811 |
† | 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.
132 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||
$ | 1,188 | $ | — | $ | 33 | $ | — | $ | 356 | $ | — | $ | 5,657 | |||||||||||||
2 | 1 | 30 | 14 | 25 | 2 | 6 | ||||||||||||||||||||
— | 2,466 | 40,383 | 15,449 | 68,589 | 1,004 | — | ||||||||||||||||||||
31 | — | 65 | 56 | — | 19 | — | ||||||||||||||||||||
— | — | (5 | ) | (2 | ) | — | — | (1 | ) | |||||||||||||||||
1,221 | 2,467 | 40,506 | 15,517 | 68,970 | 1,025 | 5,662 | ||||||||||||||||||||
581 | 326 | 2,928 | 1,406 | 4,101 | 440 | 2,296 | ||||||||||||||||||||
313 | 285 | 2,981 | 1,431 | 2,944 | 699 | 536 | ||||||||||||||||||||
223 | 204 | 2,643 | 1,278 | 2,092 | 500 | 383 | ||||||||||||||||||||
1 | — | 19 | — | 11 | — | — | ||||||||||||||||||||
1 | — | 19 | — | 11 | — | — | ||||||||||||||||||||
7 | 8 | 103 | 47 | 71 | 18 | 14 | ||||||||||||||||||||
5 | 5 | 65 | 30 | 46 | 11 | 9 | ||||||||||||||||||||
6 | 7 | 88 | 40 | 61 | 15 | 12 | ||||||||||||||||||||
2 | 2 | 21 | 10 | 14 | 4 | 3 | ||||||||||||||||||||
2 | 2 | 32 | 13 | 22 | 5 | 4 | ||||||||||||||||||||
— | — | 5 | 2 | 4 | 1 | 1 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
3 | 15 | 213 | 164 | 83 | 7 | 4 | ||||||||||||||||||||
1,144 | 854 | 9,117 | 4,421 | 9,460 | 1,700 | 3,262 | ||||||||||||||||||||
(53 | ) | (14 | ) | (196 | ) | (60 | ) | (453 | ) | — | (1,929 | ) | ||||||||||||||
(70 | ) | (204 | ) | (1,734 | ) | (978 | ) | (1,488 | ) | (473 | ) | (308 | ) | |||||||||||||
— | — | (15 | ) | — | (8 | ) | — | — | ||||||||||||||||||
— | (146 | ) | — | — | — | (323 | ) | (68 | ) | |||||||||||||||||
1,021 | 490 | 7,172 | 3,383 | 7,511 | 904 | 957 | ||||||||||||||||||||
200 | 1,977 | 33,334 | 12,134 | 61,459 | 121 | 4,705 | ||||||||||||||||||||
4,018 | 171 | 23,732 | 15,636 | 2,808 | 2,734 | (882 | ) | |||||||||||||||||||
— | — | — | — | — | — | (2,121 | ) | |||||||||||||||||||
— | (67 | ) | 1,896 | (141 | ) | — | 27 | — | ||||||||||||||||||
— | — | 811 | — | — | — | — | ||||||||||||||||||||
— | — | (1,038 | ) | (321 | ) | (178 | ) | — | — | |||||||||||||||||
— | — | 1,719 | — | — | — | 1 | ||||||||||||||||||||
33,771 | 2,533 | 6,093 | (6,439 | ) | 113,513 | 4,798 | 4,384 | |||||||||||||||||||
— | — | — | — | — | — | (16 | ) | |||||||||||||||||||
1,367 | — | (58 | ) | — | — | — | — | |||||||||||||||||||
— | 51 | (1,851 | ) | 709 | — | — | — | |||||||||||||||||||
— | — | 453 | 6 | — | — | — | ||||||||||||||||||||
— | — | 1,240 | 175 | (1,699 | ) | — | — | |||||||||||||||||||
| — | | — | (1,268 | ) | — | — | — | (1 | ) | ||||||||||||||||
$ | 39,356 | $ | 4,665 | $ | 65,063 | $ | 21,759 | $ | 175,903 | $ | 7,680 | $ | 6,070 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 133 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2012 (Unaudited) and the year ended September 30, 2011
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||||||||||||||
10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 7,572 | $ | 11,329 | $ | 10,371 | $ | 20,951 | 725 | $ | 4,382 | |||||||||||||
Net Realized Gain (Loss) from Investments and Futures Contracts | 44,856 | 96,325 | 27,259 | 194,386 | 100,453 | 321,970 | ||||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (4 | ) | (46 | ) | — | — | — | — | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts | 373,510 | (156,199 | ) | 282,308 | (223,367 | ) | 249,501 | (276,763 | ) | |||||||||||||||
Net Change in Unrealized Depreciation on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | — | — | — | — | ||||||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 425,934 | (48,591 | ) | 319,938 | (8,030 | ) | 350,679 | 49,589 | ||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (10,632 | ) | (11,257 | ) | (14,832 | ) | (21,590 | ) | (1,171 | ) | (6,569 | ) | ||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (74 | ) | (124 | ) | — | (18 | ) | |||||||||||||||
Class Y | — | — | — | — | — | — | ||||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (111,905 | ) | (51,267 | ) | — | — | — | — | ||||||||||||||||
Total Dividends and Distributions | (122,537 | ) | (62,524 | ) | (14,906 | ) | (21,714 | ) | (1,171 | ) | (6,587 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 409,921 | 882,457 | 122,265 | 245,648 | 109,688 | 247,545 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 111,641 | 59,713 | 14,012 | 20,560 | 1,104 | 6,245 | ||||||||||||||||||
Cost of Shares Redeemed | (324,068 | ) | (705,012 | ) | (203,231 | ) | (543,203 | ) | (206,101 | ) | (620,143 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 197,494 | 237,158 | (66,954 | ) | (276,995 | ) | (95,309 | ) | (366,353 | ) | ||||||||||||||
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 | — | — | 829 | 2,046 | 1,290 | 3,100 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 62 | 107 | — | 15 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (1,280 | ) | (5,509 | ) | (876 | ) | (4,614 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | — | (389 | ) | (3,356 | ) | 414 | (1,499 | ) | |||||||||||||||
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 | 197,494 | 237,158 | (67,343 | ) | (280,351 | ) | (94,895 | ) | (367,852 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | 500,891 | 126,043 | 237,689 | (310,095 | ) | 254,613 | (324,850 | ) | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 1,521,942 | 1,395,899 | 1,204,345 | 1,514,440 | 1,285,233 | 1,610,083 | ||||||||||||||||||
End of Period | $ | 2,022,833 | $ | 1,521,942 | $ | 1,442,034 | $ | 1,204,345 | $ | 1,539,846 | $ | 1,285,233 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | 40 | $ | 3,100 | $ | 273 | $ | 4,808 | $ | (131 | ) | $ | 315 |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Includes realized gain of $40,461 ($ Thousands) due to an affiliated transaction (see Note 5). |
(3) | 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.
134 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | ||||||||||||||||||||||||||||||||||
10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | |||||||||||||||||||||||||||||
$ | 7,752 | $ | 13,458 | $ | 15,331 | $ | 29,883 | $ | 366 | $ | (235 | ) | $ | 1,503 | $ | 2,179 | $ | 43 | $ | (1,737 | ) | |||||||||||||||||
| (57,780 | ) | | 187,580 | | 19,519 | 52,406 | (2) | 5,005 | 34,915 | 19,117 | 103,156 | 11,309 | 120,603 | ||||||||||||||||||||||||
| (25 | ) | (18 | ) | — | — | (1 | ) | (4 | ) | — | 1 | — | — | ||||||||||||||||||||||||
| 462,616 |
| (216,095 | ) | 328,386 | (7,046 | ) | 59,997 | (48,588 | ) | 89,526 | (120,364 | ) | 77,133 | (111,218 | ) | ||||||||||||||||||||||
| — |
| — | — | — | — | (1 | ) | — | (2 | ) | — | — | |||||||||||||||||||||||||
412,563 | (15,075 | ) | 363,236 | 75,243 | 65,367 | (13,913 | ) | 110,146 | (15,030 | ) | 88,485 | 7,648 | ||||||||||||||||||||||||||
(10,929 | ) | (13,808 | ) | (3,406 | ) | (10,156 | ) | (243 | ) | (298 | ) | (2,679 | ) | (3,293 | ) | — | — | |||||||||||||||||||||
— | — | (17,943 | ) | (19,947 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (85 | ) | (122 | ) | — | — | (20 | ) | (30 | ) | — | — | |||||||||||||||||||||||||
(7 | ) | (17 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | — | — | (33,642 | ) | (20,459 | ) | — | — | — | — | |||||||||||||||||||||||||||
(10,936 | ) | (13,825 | ) | (21,434 | ) | (30,225 | ) | (33,885 | ) | (20,757 | ) | (2,699 | ) | (3,323 | ) | — | — | |||||||||||||||||||||
178,029 | 401,064 | 87,210 | 966,434 | 85,921 | 180,209 | 35,258 | 95,848 | 31,637 | 79,496 | |||||||||||||||||||||||||||||
9,914 | 12,604 | 3,190 | 9,817 | 30,054 | 19,893 | 2,488 | 3,104 | — | — | |||||||||||||||||||||||||||||
(196,848 | ) | (423,565 | ) | (95,452 | ) | (1,120,943 | )(3) | (56,115 | ) | (185,501 | ) | (75,006 | ) | (239,326 | ) | (44,450 | ) | (195,805 | ) | |||||||||||||||||||
| (8,905 | ) | (9,897 | ) | (5,052 | ) | (144,692 | ) | 59,860 | 14,601 | (37,260 | ) | (140,374 | ) | (12,813 | ) | (116,309 | ) | ||||||||||||||||||||
— | — | 715,926 | 442,098 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | 17,396 | 19,086 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | (384,928 | ) | (282,508 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
| — |
| — | 348,394 | 178,676 | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | 1,212 | 1,842 | — | — | 706 | 1,818 | 605 | 1,913 | |||||||||||||||||||||||||||||
— | — | 58 | 81 | — | — | 18 | 28 | — | — | |||||||||||||||||||||||||||||
— | — | (871 | ) | (3,200 | ) | — | — | (1,244 | ) | (4,860 | ) | (1,185 | ) | (2,764 | ) | |||||||||||||||||||||||
| — |
| — | 399 | (1,277 | ) | — | — | (520 | ) | (3,014 | ) | (580 | ) | (851 | ) | ||||||||||||||||||||||
1 | 218 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
7 | 16 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
(45 | ) | (2,518 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| (37 | ) | (2,284 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
| (8,942 | ) | (12,181 | ) | 343,741 | 32,707 | 59,860 | 14,601 | (37,780 | ) | (143,388 | ) | (13,393 | ) | (117,160 | ) | ||||||||||||||||||||||
392,685 | (41,081 | ) | 685,543 | 77,725 | 91,342 | (20,069 | ) | 69,667 | (161,741 | ) | 75,092 | (109,512 | ) | |||||||||||||||||||||||||
1,496,696 | 1,537,777 | 1,458,272 | 1,380,547 | 203,909 | 223,978 | 381,130 | 542,871 | 275,101 | 384,613 | |||||||||||||||||||||||||||||
$ | 1,889,381 | $ | 1,496,696 | $ | 2,143,815 | $ | 1,458,272 | $ | 295,251 | $ | 203,909 | $ | 450,797 | $ | 381,130 | $ | 350,193 | $ | 275,101 | |||||||||||||||||||
$ | 184 |
| $ | 3,368 | $ | 406 | $ | 6,509 | $ | 75 | $ | (48 | ) | $ | 79 | $ | 1,275 | $ | (79 | ) | $ | (122 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 135 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2012 (Unaudited) and for the year ended September 30, 2011
Tax-Managed Small/Mid Cap Fund | ||||||||
10/01/11 | 10/01/10 to 09/30/11 | |||||||
Operations: | ||||||||
Net Investment Income | $ | 374 | $ | 557 | ||||
Net Realized Gain (Loss) from Investments and Futures Contracts | 5,641 | 56,211 | ||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | — | (80 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts | 67,753 | (65,146 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | 36 | ||||||
Net Increase (Decrease) in Net Assets from Operations | 73,768 | (8,422 | ) | |||||
Dividends and Distributions From: | ||||||||
Net Investment Income: | ||||||||
Class A | (712 | ) | (741 | ) | ||||
Class I | — | — | ||||||
Total Dividends and Distributions | (712 | ) | (741 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 44,875 | 92,360 | ||||||
Reinvestment of Dividends and Distributions | 636 | 663 | ||||||
Cost of Shares Redeemed | (38,368 | ) | (128,906 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 7,143 | (35,883 | ) | |||||
Class I: | ||||||||
Proceeds from Shares Issued | — | — | ||||||
Reinvestment of Dividends and Distributions | — | — | ||||||
Cost of Shares Redeemed | — | — | ||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | — | ||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 7,143 | (35,883 | ) | |||||
Net Increase (Decrease) in Net Assets | 80,199 | (45,046 | ) | |||||
Net Assets: | ||||||||
Beginning of Period | 255,297 | 300,343 | ||||||
End of Period | $ | 335,496 | $ | 255,297 | ||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 49 | $ | 387 |
(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.
136 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||||||||
10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | |||||||||||
$ | 235 | $ | 480 | $ | 4,484 | $ | 6,278 | |||||||
(721 | ) | 20,416 | 14,632 | 53,151 | ||||||||||
— | — | (30 | ) | 11 | ||||||||||
21,398 | (22,003 | ) | 64,643 | (28,123 | ) | |||||||||
— | | — | | 35 | (37 | ) | ||||||||
20,912 | (1,107 | ) | 83,764 | 31,280 | ||||||||||
(248 | ) | (669 | ) | (6,087 | ) | (5,925 | ) | |||||||
(2 | ) | (2 | ) | (2 | ) | (1 | ) | |||||||
(250 | ) | (671 | ) | (6,089 | ) | (5,926 | ) | |||||||
21,476 | 84,175 | 204,052 | 307,919 | |||||||||||
166 | 542 | 5,382 | 5,322 | |||||||||||
(27,187 | ) | (133,397 | ) | (92,046 | ) | (301,778 | ) | |||||||
(5,545 | ) | (48,680 | ) | 117,388 | 11,463 | |||||||||
279 | 593 | 297 | 99 | |||||||||||
2 | 2 | 2 | 1 | |||||||||||
(414 | ) | (189 | ) | (7 | ) | (82 | ) | |||||||
(133 | ) | 406 | 292 | 18 | ||||||||||
(5,678 | ) | (48,274 | ) | 117,680 | 11,481 | |||||||||
14,984 | (50,052 | ) | 195,355 | 36,835 | ||||||||||
75,140 | 125,192 | 452,541 | 415,706 | |||||||||||
$ | 90,124 | $ | 75,140 | $ | 647,896 | $ | 452,541 | |||||||
$ | 95 | $ | 110 | $ | 78 | $ | 1,683 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 137 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the Six month period ended March 31, 2012 (Unaudited) and for the year ended September 30, 2011
Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Real Estate Fund | ||||||||||||||||||||||
10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income | $ | 5,690 | $ | 9,235 | $ | 2,669 | $ | 3,791 | $ | 200 | $ | 570 | ||||||||||||
Net Realized Gain (Loss) from Investments, Securities Sold Short Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 10,851 | 16,413 | 6,410 | 25,194 | 4,018 | 51,224 | ||||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 4,457 | (10,369 | ) | (3 | ) | 6 | — | 2 | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Securities Sold Short, Affiliated Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts | 39,963 | (10,165 | ) | 39,717 | (13,156 | ) | 35,138 |
| (42,990 | ) | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | (5,158 | ) | 6,375 | 18 | (18 | ) | — |
| (3 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 55,803 | 11,489 | 48,811 | 15,817 | 39,356 | 8,803 | ||||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | — | — | (3,686 | ) | (3,483 | ) | (1,121 | ) | (2,950 | ) | ||||||||||||||
Class I | — | — | — | — | (2 | ) | (8 | ) | ||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | — | — | (11,699 | ) | — | — | — | |||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Total Dividends and Distributions | — | — | (15,385 | ) | (3,483 | ) | (1,123 | ) | (2,958 | ) | ||||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 227,323 | 383,451 | 87,030 | 123,851 | 65,423 | 62,150 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 12,944 | 2,931 | 1,067 | 2,812 | ||||||||||||||||||
Cost of Shares Redeemed | (83,586 | ) | (202,820 | ) | (36,152 | ) | (96,110 | ) | (62,894 | ) | (149,135 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 143,737 | 180,631 | 63,822 | 30,672 | 3,596 | (84,173 | ) | |||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 122 | 108 | — | — | 160 | 482 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | 2 | 8 | ||||||||||||||||||
Cost of Shares Redeemed | (2 | ) | (151 | ) | — | — | (149 | ) | (351 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | 120 | (43 | ) | — | — | 13 | 139 | |||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 143,857 | 180,588 | 63,822 | 30,672 | 3,609 | (84,034 | ) | |||||||||||||||||
Net Increase (Decrease) in Net Assets | 199,660 | 192,077 | 97,248 | 43,006 | 41,842 | (78,189 | ) | |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 522,667 | 330,590 | 279,408 | 236,402 | 142,983 | 221,172 | ||||||||||||||||||
End of Period | $ | 722,327 | $ | 522,667 | $ | 376,656 | $ | 279,408 | $ | 184,825 | $ | 142,983 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | (220 | ) | $ | (5,910 | ) | $ | 29 | $ | 1,046 | $ | 210 | $ | 1,133 |
(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.
138 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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 | |||||||||||||||||||||||||||||||||||||||||
10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | 10/01/11 | 10/01/10 to 09/30/11 | |||||||||||||||||||||||||||||||||||
$ | 1,977 | $ | 4,105 | $ | 33,334 | $ | 71,239 | $ | 12,134 | $ | 25,165 | $ | 61,459 | $ | 116,041 | $ | 121 | $ | 9,690 | $ | 4,705 | $ | 4,464 | |||||||||||||||||||||||
104 | | 412 | | 25,401 | (4,659 | ) | 15,174 | 18,547 | 2,630 | 55,966 | 2,761 | 1,460 | (3,003 | ) | (2,697 | ) | ||||||||||||||||||||||||||||||
— | — | 1,719 | (2,243 | ) | — | (587 | ) | — | 1,668 | — | — | 1 | — | |||||||||||||||||||||||||||||||||
2,584 |
| (3,658 | ) | 5,877 | 48,409 | (5,549 | ) | 5,353 | 111,814 | (122,201 | ) | 4,798 | 1,771 | 4,368 | (10,037 | ) | ||||||||||||||||||||||||||||||
— | | — | | (1,268 | ) | 1,685 | — | — | — | — | — | — | (1 | ) | — | |||||||||||||||||||||||||||||||
4,665 | 859 | 65,063 | 114,431 | 21,759 | 48,478 | 175,903 | 51,474 | 7,680 | 12,921 | 6,070 | (8,270 | ) | ||||||||||||||||||||||||||||||||||
(2,860 | ) | (3,390 | ) | (35,350 | ) | (73,839 | ) | (13,254 | ) | (26,670 | ) | (59,422 | ) | (113,644 | ) | (1,862 | ) | (8,787 | ) | (5,784 | ) | (3,346 | ) | |||||||||||||||||||||||
(1 | ) | — | (235 | ) | (501 | ) | — | — | (308 | ) | (273 | ) | — | — | — | — | ||||||||||||||||||||||||||||||
— | — | (16,527 | ) | — | (26,190 | ) | (27,315 | ) | (7,404 | ) | (8,342 | ) | (2,417 | ) | (2,621 | ) | — | — | ||||||||||||||||||||||||||||
— | — | (114 | ) | — | — | — | (5 | ) | (4 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||
(2,861 | ) | (3,390 | ) | (52,226 | ) | (74,340 | ) | (39,444 | ) | (53,985 | ) | (67,139 | ) | (122,263 | ) | (4,279 | ) | (11,408 | ) | (5,784 | ) | (3,346 | ) | |||||||||||||||||||||||
40,227 | 135,626 | 274,301 | 572,326 | 330,345 | 554,048 | 723,658 | 955,560 | 101,202 | 249,201 | 86,335 | 184,224 | |||||||||||||||||||||||||||||||||||
2,583 | 3,119 | 47,488 | 68,024 | 34,901 | 50,869 | 55,602 | 102,267 | 3,872 | 10,424 | 5,319 | 3,086 | |||||||||||||||||||||||||||||||||||
(30,287 | ) | (114,501 | ) | (413,685 | ) | (830,368 | ) | (244,990 | ) | (504,670 | ) | (331,226 | ) | (1,174,249 | ) | (53,989 | ) | (128,503 | ) | (53,627 | ) | (74,743 | ) | |||||||||||||||||||||||
12,523 | | 24,244 | | (91,896 | ) | (190,018 | ) | 120,256 | 100,247 | 448,034 | (116,422 | ) | 51,085 | 131,122 | 38,027 | 112,567 | ||||||||||||||||||||||||||||||
47 | 3 | 2,095 | 5,333 | — | — | 21,555 | 16,503 | — | — | — | — | |||||||||||||||||||||||||||||||||||
1 | — | 258 | 363 | — | — | 261 | 225 | — | — | — | — | |||||||||||||||||||||||||||||||||||
— | — | (2,999 | ) | (7,692 | ) | — | — | (10,968 | ) | (17,360 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
48 | | 3 | | (646 | ) | (1,996 | ) | — | — | 10,848 | (632 | ) | — | — | — | — | ||||||||||||||||||||||||||||||
12,571 | | 24,247 | | (92,542 | ) | (192,014 | ) | 120,256 | 100,247 | 458,882 | (117,054 | ) | 51,085 | 131,122 | 38,027 | 112,567 | ||||||||||||||||||||||||||||||
14,375 | 21,716 | (79,705 | ) | (151,923 | ) | 102,571 | 94,740 | 567,646 | (187,843 | ) | 54,486 | 132,635 | 38,313 | 100,951 | ||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
$ | 173,330 | $ | 158,955 | $ | 2,121,131 | $ | 2,200,836 | $ | 1,075,020 | $ | 972,449 | $ | 1,884,719 | $ | 1,317,073 | $ | 428,046 | $ | 373,560 | $ | 330,319 | $ | 292,006 | |||||||||||||||||||||||
$ | 100 | $ | 984 |
| $ | (7,042 | ) | $ | (4,791 | ) | $ | (1,013 | ) | $ | 107 | $ | 8,732 | $ | 7,003 | $ | (825 | ) | $ | 916 | $ | 39 | $ | 1,118 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 139 |
Table of Contents
For the period ended March 31, 2012 (Unaudited) and 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 10.15 | $ | 0.05 | $ | 2.63 | $ | 2.68 | $ | (0.07 | ) | $ | (0.73 | ) | $ | (0.80 | ) | $ | 12.03 | 27.47 | % | $ | 2,002,833 | 0.89 | % | 0.89 | % | 1.02 | % | 0.85 | % | 28 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 14.13 | $ | 0.12 | $ | 3.69 | $ | 3.81 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 17.76 | 27.12 | % | $ | 1,433,517 | 0.89 | % | 0.90 | % | 0.99 | % | 1.52 | % | 15 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 14.13 | $ | 0.11 | $ | 3.68 | $ | 3.79 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 17.77 | 26.95 | % | $ | 8,517 | 1.11 | % | 1.12 | % | 1.24 | % | 1.30 | % | 15 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 19.77 | $ | 0.01 | $ | 5.59 | $ | 5.60 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | 25.35 | 28.33 | % | $ | 1,530,785 | 0.89 | % | 0.90 | % | 1.04 | % | 0.10 | % | 53 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 19.57 | $ | (0.01 | ) | $ | 5.52 | $ | 5.51 | $ | — | $ | — | $ | — | $ | 25.08 | 28.16 | % | $ | 9,061 | 1.11 | % | 1.12 | % | 1.29 | % | (0.12 | )% | 53 | % | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 10.80 | $ | 0.06 | $ | 2.94 | $ | 3.00 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 13.72 | 27.87 | % | $ | 1,888,260 | 0.89 | % | 0.89 | % | 1.03 | % | 0.91 | % | 29 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 11.07 | $ | 0.08 | $ | 3.00 | $ | 3.08 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 14.07 | 27.96 | % | $ | 1,121 | 0.56 | % | 0.56 | % | 0.73 | % | 1.24 | % | 29 | % | ||||||||||||||||||||||||||||
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 |
140 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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 |
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Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 31.03 | $ | 0.31 | $ | 7.61 | $ | 7.92 | $ | (0.42 | ) | $ | — | $ | (0.42 | ) | $ | 38.53 | 25.71 | % | $ | 308,956 | 0.43 | % | 0.43 | % | 0.54 | % | 1.78 | % | 16 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 31.17 | $ | 0.34 | $ | 7.65 | $ | 7.99 | $ | (0.46 | ) | $ | — | $ | (0.46 | ) | $ | 38.70 | 25.84 | % | $ | 1,825,479 | 0.25 | % | 0.25 | % | 0.29 | % | 1.93 | % | 16 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 31.12 | $ | 0.27 | $ | 7.65 | $ | 7.92 | $ | (0.36 | ) | $ | — | $ | (0.36 | ) | $ | 38.68 | 25.61 | % | $ | 9,380 | 0.65 | % | 0.65 | % | 0.79 | % | 1.53 | % | 16 | % | ||||||||||||||||||||||||||||
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 |
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Class A |
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2012** | $ | 9.51 | $ | 0.01 | $ | 2.79 | $ | 2.80 | $ | (0.01 | ) | $ | (1.56 | ) | $ | (1.57 | ) | $ | 10.74 | 31.38 | % | $ | 295,251 | 1.14 | % | 1.14 | % | 1.28 | % | 0.29 | % | 53 | % | |||||||||||||||||||||||||||
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 |
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Class A |
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2012** | $ | 14.26 | $ | 0.06 | $ | 4.23 | $ | 4.29 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 18.44 | 30.17 | % | $ | 446,264 | 1.14 | % | 1.14 | % | 1.29 | % | 0.71 | % | 25 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 14.15 | $ | 0.04 | $ | 4.21 | $ | 4.25 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 18.32 | 30.08 | % | $ | 4,533 | 1.36 | % | 1.36 | % | 1.54 | % | 0.49 | % | 25 | % | ||||||||||||||||||||||||||||
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 |
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Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 14.20 | $ | — | $ | 4.64 | $ | 4.64 | $ | — | $ | — | $ | — | $ | 18.84 | 32.68 | % | $ | 347,072 | 1.11 | % | 1.12 | % | 1.29 | % | 0.03 | % | 41 | % | ||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 13.82 | $ | (0.02 | ) | $ | 4.52 | $ | 4.50 | $ | — | $ | — | $ | — | $ | 18.32 | 32.56 | % | $ | 3,121 | 1.36 | % | 1.37 | % | 1.54 | % | (0.24 | )% | 41 | % | |||||||||||||||||||||||||||||
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 / Semi-Annual Report / March 31, 2012 | 141 |
Table of Contents
Financial Highlights
For the period ended March 31, 2012 (Unaudited) and 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 10.39 | $ | 0.02 | $ | 2.96 | $ | 2.98 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 13.34 | 28.72 | % | $ | 335,496 | 1.11 | % | 1.12 | % | 1.29 | % | 0.18 | % | 34 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 14.99 | $ | 0.05 | $ | 4.42 | $ | 4.47 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 19.41 | 29.90 | % | $ | 89,027 | 1.02 | % | 1.03 | % | 1.05 | % | 0.56 | % | 35 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 14.99 | $ | 0.03 | $ | 4.43 | $ | 4.46 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 19.42 | 29.76 | % | $ | 1,097 | 1.26 | % | 1.27 | % | 1.30 | % | 0.31 | % | 35 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 11.49 | $ | 0.10 | $ | 1.82 | $ | 1.92 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 13.27 | 16.80 | % | $ | 647,526 | 1.00 | % | 1.00 | % | 1.28 | % | 1.62 | % | 22 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 11.47 | $ | 0.09 | $ | 1.82 | $ | 1.91 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 13.26 | 16.92 | % | $ | 370 | 1.25 | % | 1.25 | % | 1.53 | % | 1.50 | % | 22 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 8.53 | $ | 0.08 | $ | 0.71 | $ | 0.79 | $ | — | $ | — | $ | — | $ | 9.32 | 9.26 | % | $ | 722,180 | 1.11 | % | 1.11 | % | 1.29 | % | 1.84 | % | 27 | % | ||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 8.44 | $ | 0.10 | $ | 0.66 | $ | 0.76 | $ | — | $ | — | $ | — | $ | 9.20 | 9.00 | % | $ | 147 | 1.36 | % | 1.36 | % | 1.54 | % | 2.20 | % | 27 | % | ||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 9.77 | $ | 0.08 | $ | 1.48 | $ | 1.56 | $ | (0.12 | ) | $ | (0.38 | ) | $ | (0.50 | ) | $ | 10.83 | 16.37 | % | $ | 376,656 | 1.00 | % | 1.00 | % | 1.28 | % | 1.62 | % | 20 | % | |||||||||||||||||||||||||||
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 |
142 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 11.67 | $ | 0.02 | $ | 3.04 | $ | 3.06 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 14.64 | 26.32 | % | $ | 184,275 | 1.14 | % | 1.14 | % | 1.28 | % | 0.23 | % | 51 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 11.64 | $ | (0.01 | ) | $ | 3.04 | $ | 3.03 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 14.59 | 26.14 | % | $ | 550 | 1.36 | % | 1.36 | % | 1.53 | % | (0.10 | )% | 51 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012** | $ | 7.36 | $ | 0.09 | $ | 0.13 | $ | 0.22 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 7.45 | 3.03 | % | $ | 173,264 | 0.60 | % | 0.60 | % | 1.05 | % | 2.43 | % | 97 | % | ||||||||||||||||||||||||||||
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 |
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2012** | $ | 7.36 | $ | 0.08 | $ | 0.12 | $ | 0.20 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 7.44 | 2.72 | % | $ | 66 | 0.85 | % | 0.85 | % | 1.30 | % | 2.14 | % | 97 | % | ||||||||||||||||||||||||||||
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 |
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Class A |
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2012** | $ | 11.14 | $ | 0.17 | $ | 0.18 | $ | 0.35 | $ | (0.19 | ) | $ | (0.09 | ) | $ | (0.28 | ) | $ | 11.21 | 3.13 | % | $ | 2,105,978 | 0.67 | % | 0.67 | % | 0.86 | % | 3.14 | % | 195 | % | |||||||||||||||||||||||||||
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 |
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2012** | $ | 11.13 | $ | 0.16 | $ | 0.17 | $ | 0.33 | $ | (0.17 | ) | $ | (0.09 | ) | $ | (0.26 | ) | $ | 11.20 | 3.02 | % | $ | 15,153 | 0.89 | % | 0.89 | % | 1.11 | % | 2.92 | % | 195 | % | |||||||||||||||||||||||||||
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 |
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Class A |
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2012** | $ | 10.70 | $ | 0.13 | $ | 0.10 | $ | 0.23 | $ | (0.14 | ) | $ | (0.28 | ) | $ | (0.42 | ) | $ | 10.51 | 2.14 | % | $ | 1,075,020 | 0.66 | % | 0.66 | % | 0.87 | % | 2.38 | % | 165 | % | |||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 143 |
Table of Contents
Financial Highlights
For the period ended March 31, 2012 (Unaudited) and 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† | ||||||||||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund |
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Class A |
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2012** | $ | 6.92 | $ | 0.26 | $ | 0.51 | $ | 0.77 | $ | (0.26 | ) | $ | (0.03 | ) | $ | (0.29 | ) | $ | 7.40 | 11.28 | % | $ | 1,872,592 | 0.89 | % | 0.89 | % | 1.12 | % | 7.08 | % | 21 | % | |||||||||||||||||||||||||||
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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2012** | $ | 6.82 | $ | 0.25 | $ | 0.45 | $ | 0.70 | $ | (0.24 | ) | $ | (0.03 | ) | $ | (0.27 | ) | $ | 7.25 | 10.53 | % | $ | 12,127 | 1.11 | % | 1.11 | % | 1.37 | % | 6.80 | % | 21 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Real Return Fund |
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Class A |
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2012** | $ | 10.60 | $ | — | $ | 0.21 | $ | 0.21 | $ | (0.05 | ) | $ | (0.07 | ) | $ | (0.12 | ) | $ | 10.69 | 1.97 | % | $ | 428,046 | 0.45 | % | 0.45 | % | 0.85 | % | 0.06 | % | 41 | % | |||||||||||||||||||||||||||
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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2012** | $ | 9.57 | $ | 0.15 | $ | 0.05 | $ | 0.20 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 9.58 | 2.07 | % | $ | 330,319 | 0.63 | % | 0.63 | % | 2.13 | % | 3.08 | % | 53 | % | ||||||||||||||||||||||||||||
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 |
† | Returns and turnover rates are for the period indicated and have not been annualized. |
* | Amount represents less than $0.01. |
** | For the six month period ended March 31, 2012. All ratios for the period have been annualized. |
(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 fluctuating 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.
144 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Notes to Financial Statements (Unaudited)
March 31, 2012
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 25 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, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed and Multi-Asset Capital Stability 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.
As of March 31, 2012, the Prime Obligation, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed, Multi-Asset Capital Stability Funds and the Class G shares had not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Funds.
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last
quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.
Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 145 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2012
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 determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The 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.
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The valuation techniques used by the Funds to measure fair value during the six month period ended March 31, 2012, maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six month period ended March 31, 2012, 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. None of the Funds held reverse repurchase agreements as of March 31, 2012.
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 March 31, 2012, 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
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Notes to Financial Statements (Unaudited) (Continued)
March 31, 2012
unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open futures contracts as of March 31, 2012, 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 March 31, 2012, 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. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding securities sold short as of March 31, 2012, if applicable.
Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to 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
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contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of 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 March 31, 2012, if applicable.
Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a
predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the 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.
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Notes to Financial Statements (Unaudited) (Continued)
March 31, 2012
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund.
Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Restricted Securities — At March 31, 2012, 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 March 31, 2012, 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 | $ | 336 | 0.07 | % | |||||||||||||||
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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 | 116 | 0.03 | ||||||||||||||||||
Value Creation | 145,600 | 08/10/06 | 08/10/06 | 1,491 | 109 | 0.03 | ||||||||||||||||||
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$ | 2,336 | $ | 225 | 0.06 | % | |||||||||||||||||||
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Real Estate Fund | ||||||||||||||||||||||||
Verde Realty PIPE | 21,400 | 02/16/07 | 02/16/07 | $ | 706 | $ | 341 | 0.18 | % | |||||||||||||||
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Enhanced Income Fund | ||||||||||||||||||||||||
JHT Holding, 2nd Lien | $ | 46 | 12/16/08 | 12/16/08 | $ | 51 | $ | 15 | 0.01 | % | ||||||||||||||
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High Yield Bond Fund | ||||||||||||||||||||||||
Aventine (Escrow Security) | $ | 2,750 | 04/21/10 | 04/21/10 | $ | — | $ | 21 | 0.00 | % | ||||||||||||||
CUI Acquisition Warrants | 47,444 | 09/06/11 | 09/06/11 | 4,033 | 2,159 | 0.11 | ||||||||||||||||||
Momentive Performance Materials PIK | 1,794 | 12/07/10 | 12/07/10 | 1,621 | 1,517 | 0.08 | ||||||||||||||||||
VSS AHC, Cl A | 27,106 | 10/08/09 | 10/08/09 | 485 | 323 | 0.02 | ||||||||||||||||||
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$ | 6,139 | $ | 4,020 | 0.21 | % | |||||||||||||||||||
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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 |
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Dollar Threshold ($Thousands) | Redemption Fee | |||||||
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 six month period ended March 31, 2012, the Funds did not retain any redemption fees. Such fees, if any, are retained by the Funds for the benefit of the remaining shareholders.
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 March 31, 2012, the Core Fixed Income Fund and U.S. Fixed Income Fund are the buyers (“receiving protection”) on a total notional amount of $5.6 million and $2.2 million, respectively, and are the sellers (“providing protection”) on a total notional amount of $7.7 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 | $ | (108,191 | ) | $ | (332,522 | ) | — | — | $ | (440,713 | ) | |||||||||
Maximum potential amount of future payments | $ | 1,590,000 | $ | 6,125,000 | — | — | $ | 7,715,000 | ||||||||||||
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 | — | $ | (124,685 | ) | — | — | $ | (124,685 | ) | |||||||||||
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. |
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Notes to Financial Statements (Unaudited) (Continued)
March 31, 2012
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 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 6,125,000 | $ | 1,590,000 | — | $ | 7,715,000 |
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 March 31, 2012 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
For the six month period ended March 31, 2012 ($ Thousands) | For the six month period ended March 31, 2012 ($ 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 | $ | 1,292 | Unrealized loss on forward foreign currency contracts | $ | 1,526 | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 716 | * | Net Assets — Unrealized depreciation on futures contracts | 270 | * | ||||||
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|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 2,008 | $ | 1,796 | ||||||||
|
|
|
| |||||||||
Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 1,278 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 902 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 613 | † | Net Assets — Unrealized depreciation on swap contracts | 39 | † | |||||||
Investments, at value | 453 | Options written, at value | 321 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 429 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 2,510 | † | |||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 2,344 | $ | 4,201 | ||||||||
|
|
|
| |||||||||
U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 511 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 52 | * | ||||
Investments, at value | — | Options written, at value | 4 | |||||||||
Net Assets — Unrealized appreciation on swap contracts | 61 | † | Net Assets — Unrealized depreciation on swap contracts | 10 | † | |||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 270 | † | |||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 572 | $ | 336 | ||||||||
|
|
|
|
* | 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. |
152 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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The effect of derivative instruments on the Statement of Operations for the six month period ended March 31, 2012.
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 | |||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||
Equity contracts | $ | — | $ | 5,397 | $ | — | $ | — | $ | 5,397 | ||||||||||
Foreign exchange contracts | — | — | 4,457 | — | 4,457 | |||||||||||||||
Total | $ | — | $ | 5,397 | $ | 4,457 | $ | — | $ | 9,854 | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 568 | $ | 1,896 | $ | — | $ | (1,128 | ) | $ | 1,336 | |||||||||
Credit contracts | 243 | — | — | 26 | 269 | |||||||||||||||
Equity Contracts | — | — | — | 64 | 64 | |||||||||||||||
Foreign exchange contracts | — | — | 1,756 | — | 1,756 | |||||||||||||||
Total | $ | 811 | $ | 1,896 | $ | 1,756 | $ | (1,038 | ) | $ | 3,425 | |||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (141 | ) | $ | — | $ | (321 | ) | $ | (462 | ) | |||||||
Credit contracts | — | — | — | — | — | |||||||||||||||
Total | $ | — | $ | (141 | ) | $ | — | $ | (321 | ) | $ | (462 | ) |
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 | |||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||
Equity contracts | $ | — | $ | 762 | $ | — | $ | — | $ | 762 | ||||||||||
Foreign exchange contracts | — | — | (5,158 | ) | — | (5,158 | ) | |||||||||||||
Total | $ | — | $ | 762 | $ | (5,158 | ) | $ | — | $ | (4,396 | ) | ||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 288 | $ | (1,851 | ) | $ | — | $ | (536 | ) | $ | (2,099 | ) | |||||||
Credit contracts | — | — | — | 1,765 | 1,765 | |||||||||||||||
Equity contracts | — | — | — | 11 | 11 | |||||||||||||||
Foreign exchange contacts | — | — | (1,348 | ) | — | (1,348 | ) | |||||||||||||
Total | $ | 288 | $ | (1,851 | ) | $ | (1,348 | ) | $ | 1,240 | $ | (1,671 | ) | |||||||
U.S. Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 6 | $ | 709 | $ | — | $ | 382 | $ | 1,097 | ||||||||||
Credit contracts | — | — | — | (207 | ) | (207 | ) | |||||||||||||
Total | $ | 6 | $ | 709 | $ | — | $ | 175 | $ | 890 |
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 six month period ended March 31, 2012 are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of year | 10,890,242 | $ | 789 | |||||
Written | 22,364,530 | 852 | ||||||
Expired | (398 | ) | (485 | ) | ||||
Closing buys | (6,900,338 | ) | (499 | ) | ||||
Balance at the end of year | 26,354,036 | $ | 657 |
U.S. Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of year | 1,490,000 | $ | 17 | |||||
Written | — | — | ||||||
Expired | — | — | ||||||
Closing buys | — | — | ||||||
Balance at the end of year | 1,490,000 | $ | 17 |
At March 31, 2012 the Funds had cash and/or securities at least equal to the value of written options.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 153 |
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Notes to Financial Statements (Unaudited) (Continued)
March 31, 2012
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 | ||||||
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 |
Advisory Fees | Voluntary Expense Limitations | |||||||
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 | 0.6300 | * |
* | Prior to October 11, 2011, the voluntary expense limitation was 0.5000. |
As of March 31, 2012, 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 |
Lazard Asset Management LLC |
LSV Asset Management |
Tocqueville Asset Management LP |
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. |
154 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Investment Sub-Adviser |
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 |
William Blair + Company, LLC |
Small Cap Growth Fund |
Allianz Global Investors Capital LLC |
AQR Capital Management, LLC |
Janus Capital Management, LLC |
J.P. Morgan Investment Management Inc. |
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 |
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. |
Investment Sub-Adviser |
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. |
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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 155 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2012
Such commissions for the six month period ended March 31, 2012 were as follows ($ Thousands):
Large Cap Fund | $ | 63 | ||
Large Cap Value Fund | 13 | |||
Large Cap Growth Fund | 112 | |||
Tax-Managed Large Cap Fund | 5 | |||
S&P 500 Index Fund | 27 | |||
Small Cap Fund | 14 | |||
Small Cap Value Fund | 18 | |||
Small Cap Growth Fund | 20 | |||
Tax-Managed Small/Mid Cap Fund | 24 | |||
Mid-Cap Fund | 2 | |||
|
| |||
$ | 298 | |||
|
|
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. During the six month period ended March 31, 2012, the Distributor voluntarily waived a portion of its fee for all of the Funds except the U.S. Managed Volatility, Global Managed Volatility and Tax-Managed Managed Volatility Funds.
For the six month period ended March 31, 2012, 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 six month period ended March 31, 2012 were as follows ($ Thousands):
Large Cap Fund | $ | 191 | ||
Large Cap Value Fund | 269 | |||
Tax-Managed Large Cap Fund | 172 | |||
Small Cap Value Fund | 173 | |||
Tax-Managed Small/Mid Cap Fund | 71 | |||
U.S. Managed Volatility Fund | 280 | |||
Tax-Managed Managed Volatility Fund | 163 | |||
|
| |||
$ | 1,319 | |||
|
|
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 six month period ended March 31, 2012, 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 six month period ended March 31, 2012, the Trust did not participate in the Program.
156 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
6. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2012 (Unaudited) and the years or period ended September 30, 2011
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||
10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 36,876 | 76,628 | 7,693 | 15,386 | 4,887 | 11,453 | 14,386 | 33,056 | 2,523 | 29,348 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 10,476 | 5,309 | 891 | 1,248 | 47 | 288 | 820 | 1,037 | 94 | 284 | ||||||||||||||||||||||||||||||
Shares Redeemed | (29,255 | ) | (61,580 | ) | (12,592 | ) | (33,831 | ) | (9,213 | ) | (28,552 | ) | (16,001 | ) | (34,953 | ) | (2,828 | ) | (31,813 | )(1) | ||||||||||||||||||||
Total Class A Transactions | 18,097 | 20,357 | (4,008 | ) | (17,197 | ) | (4,279 | ) | (16,811 | ) | (795 | ) | (860 | ) | (211 | ) | (2,181 | ) | ||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | 19,294 | 12,648 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | — | 506 | 553 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | — | (10,992 | ) | (8,142 | ) | ||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | — | — | — | 8,808 | 5,059 | ||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 52 | 125 | 57 | 142 | — | — | 34 | 54 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 4 | 7 | — | 1 | 1 | — | 2 | 2 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (77 | ) | (333 | ) | (37 | ) | (210 | ) | (4 | ) | — | (25 | ) | (91 | ) | |||||||||||||||||||||||
Total Class I Transactions | — | — | (21 | ) | (201 | ) | 20 | (67 | ) | (3 | ) | — | 11 | (35 | ) | |||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | 18 | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | 1 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | (201 | ) | — | — | |||||||||||||||||||||||||||||
Total Class Y Transactions | — | — | — | — | — | — | — | (182 | ) | — | — | |||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 18,097 | 20,357 | (4,029 | ) | (17,398 | ) | (4,259 | ) | (16,878 | ) | (798 | ) | (1,042 | ) | 8,608 | 2,843 |
Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund | ||||||||||||||||||||||||||||||||||||
10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 8,365 | 15,415 | 2,088 | 5,548 | 1,871 | 4,689 | 3,703 | 7,540 | 1,210 | 4,700 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 3,125 | 1,753 | 154 | 179 | 4 | — | 57 | 56 | 10 | 31 | ||||||||||||||||||||||||||||||
Shares Redeemed | (5,448 | ) | (15,817 | ) | (4,500 | ) | (13,960 | ) | (2,630 | ) | (11,437 | ) | (3,190 | ) | (10,796 | ) | (1,582 | ) | (7,665 | ) | ||||||||||||||||||||
Total Class A Transactions | 6,042 | 1,351 | (2,258 | ) | (8,233 | ) | (755 | ) | (6,748 | ) | 570 | (3,200 | ) | (362 | ) | (2,934 | ) | |||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 44 | 106 | 39 | 113 | — | — | 16 | 35 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 1 | 2 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (74 | ) | (284 | ) | (73 | ) | (166 | ) | — | — | (23 | ) | (11 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (29 | ) | (176 | ) | (34 | ) | (53 | ) | — | — | (7 | ) | 24 | |||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 6,042 | 1,351 | (2,287 | ) | (8,409 | ) | (789 | ) | (6,801 | ) | 570 | (3,200 | ) | (369 | ) | (2,910 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 157 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2012
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 16,331 | 25,913 | 25,635 | 44,541 | 8,380 | 12,304 | 4,749 | 4,879 | 5,438 | 18,045 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 435 | 450 | — | — | 1,273 | 292 | 81 | 227 | 351 | 416 | ||||||||||||||||||||||||||||||
Shares Redeemed | (7,359 | ) | (25,421 | ) | (9,417 | ) | (23,526 | ) | (3,483 | ) | (9,577 | ) | (4,456 | ) | (11,962 | ) | (4,101 | ) | (15,277 | ) | ||||||||||||||||||||
Total Class A Transactions | 9,407 | 942 | 16,218 | 21,015 | 6,170 | 3,019 | 374 | (6,856 | ) | 1,688 | 3,184 | |||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 24 | 8 | 14 | 12 | — | — | 11 | 39 | 6 | 1 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | 1 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (1 | ) | (6 | ) | — | (18 | ) | — | — | (12 | ) | (27 | ) | — | — | |||||||||||||||||||||||||
Total Class I Transactions | 23 | 2 | 14 | (6 | ) | — | — | (1 | ) | 13 | 6 | 1 | ||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 9,430 | 944 | 16,232 | 21,009 | 6,170 | 3,019 | 373 | (6,843 | ) | 1,694 | 3,185 |
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||||||||||||||||||
10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | 10/01/11 | 10/01/10 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 24,641 | 52,351 | 31,203 | 52,968 | 101,349 | 128,071 | 9,499 | 23,421 | 9,019 | 18,501 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 4,271 | 6,214 | 3,335 | 4,890 | 7,694 | 13,788 | 365 | 985 | 565 | 312 | ||||||||||||||||||||||||||||||
Shares Redeemed | (37,211 | ) | (76,072 | ) | (23,135 | ) | (48,184 | ) | (46,323 | ) | (158,177 | ) | (5,067 | ) | (12,072 | ) | (5,597 | ) | (7,546 | ) | ||||||||||||||||||||
Total Class A Transactions | (8,299 | ) | (17,507 | ) | 11,403 | 9,674 | 62,720 | (16,318 | ) | 4,797 | 12,334 | 3,987 | 11,267 | |||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 188 | 487 | — | — | 3,087 | 2,215 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 23 | 33 | — | — | 36 | 30 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (269 | ) | (706 | ) | — | — | (1,584 | ) | (2,364 | ) | — | — | — | — | ||||||||||||||||||||||||||
Total Class I Transactions | (58 | ) | (186 | ) | — | — | 1,539 | (119 | ) | — | — | — | — | |||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | (8,357 | ) | (17,693 | ) | 11,403 | 9,674 | 64,259 | (16,437 | ) | 4,797 | 12,334 | 3,987 | 11,267 |
(1) | 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 six month period ended March 31, 2012, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 475,075 | $ | 475,075 | ||||||
Sales | — | 651,392 | 651,392 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 191,503 | 191,503 | |||||||||
Sales | — | 268,484 | 268,484 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 731,571 | 731,571 | |||||||||
Sales | — | 824,457 | 824,457 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 480,578 | 480,578 | |||||||||
Sales | — | 515,262 | 515,262 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 634,135 | 634,135 | |||||||||
Sales | — | 255,661 | 255,661 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 123,147 | 123,147 | |||||||||
Sales | — | 132,564 | 132,564 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Small Cap Value Fund | ||||||||||||
Purchases | $ | — | $ | 99,277 | $ | 99,277 | ||||||
Sales | — | 145,873 | 145,873 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 128,110 | 128,110 | |||||||||
Sales | — | 143,484 | 143,484 | |||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||
Purchases | — | 97,709 | 97,709 | |||||||||
Sales | — | 97,088 | 97,088 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 27,714 | 27,714 | |||||||||
Sales | — | 36,907 | 36,907 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 212,228 | 212,228 | |||||||||
Sales | — | 118,656 | 118,656 | |||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 305,604 | 305,604 | |||||||||
Sales | — | 151,309 | 151,309 | |||||||||
Tax-Managed Managed Volatility | ||||||||||||
Purchases | — | 103,966 | 103,966 | |||||||||
Sales | — | 61,193 | 61,193 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 88,945 | 88,945 | |||||||||
Sales | — | 83,468 | 83,468 |
158 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Enhanced Income Fund | ||||||||||||
Purchases | $ | 61,496 | $ | 21,979 | $ | 83,475 | ||||||
Sales | 62,019 | 14,101 | 76,120 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 3,608,549 | 320,689 | 3,929,238 | |||||||||
Sales | 3,734,504 | 379,958 | 4,114,462 | |||||||||
U.S Fixed Income Fund | ||||||||||||
Purchases | 1,413,025 | 183,614 | 1,596,639 | |||||||||
Sales | 1,392,713 | 191,932 | 1,584,645 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 625,227 | 625,227 | |||||||||
Sales | — | 286,788 | 286,788 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 202,240 | 120 | 202,360 | |||||||||
Sales | 157,529 | 120 | 157,649 | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | — | 196,532 | 196,532 | |||||||||
Sales | — | 151,042 | 151,042 |
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.
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 | ||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 159 |
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Notes to Financial Statements (Unaudited) (Continued)
March 31, 2012
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
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 | ) |
160 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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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 March 31, 2012, 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 March 31, 2012, were as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Large Cap Fund | $ | 1,828,490 | $ | 331,183 | $ | (31,902 | ) | $ | 299,281 | |||||||
Large Cap Value Fund | 1,369,187 | 261,448 | (112,088 | ) | 149,360 | |||||||||||
Large Cap Growth Fund | 1,486,766 | 297,651 | (32,756 | ) | 264,895 | |||||||||||
Tax-Managed Large Cap Fund | 1,588,763 | 508,032 | (26,168 | ) | 481,864 | |||||||||||
S&P 500 Index Fund | 1,426,655 | 916,710 | (23,075 | ) | 893,635 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 161 |
Table of Contents
Notes to Financial Statements (Unaudited) (Concluded)
March 31, 2012
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Small Cap Fund | $ | 312,577 | $ | 43,645 | $ | (10,587 | ) | $ | 33,058 | |||||||
Small Cap Value Fund | 516,767 | 67,794 | (40,323 | ) | 27,471 | |||||||||||
Small Cap Growth Fund | 452,365 | 54,784 | (27,304 | ) | 27,480 | |||||||||||
Tax-Managed Small/Mid Cap Fund | 304,593 | 65,721 | (16,107 | ) | 49,614 | |||||||||||
Mid-Cap Fund | 97,440 | 9,218 | (3,459 | ) | 5,759 | |||||||||||
U.S. Managed Volatility Fund | 555,754 | 102,202 | (10,049 | ) | 92,153 | |||||||||||
Global Managed Volatility Fund | 640,160 | 68,766 | (9,245 | ) | 59,521 | |||||||||||
Tax-Managed Managed Volatility Fund | 315,664 | 64,662 | (4,379 | ) | 60,283 | |||||||||||
Real Estate Fund | 174,142 | 57,890 | (2,677 | ) | 55,213 | |||||||||||
Enhanced Income Fund | 190,792 | 1,312 | (6,479 | ) | (5,167 | ) | ||||||||||
Core Fixed Income Fund | 2,316,308 | 113,566 | (81,794 | ) | 31,772 | |||||||||||
U.S. Fixed Income Fund | 1,169,123 | 42,688 | (5,826 | ) | 36,862 | |||||||||||
High Yield Bond Fund | 1,836,480 | 85,111 | (45,459 | ) | 39,652 | |||||||||||
Real Return Fund | 456,983 | 11,507 | (550 | ) | 10,957 | |||||||||||
Multi-Strategy Alternative Fund | 327,464 | 4,043 | (8,189 | ) | (4,146 | ) |
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 December 2011, the FASB issued a further update to the guidance “Balance Sheet – Disclosures about Offsetting Assets and Liabilities”. The amendments to this standard require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The amended guidance is effective for interim and annual reporting periods beginning after January 1, 2013. At this time, management is evaluating the implications of this update and its impact on the financial statements has not been determined.
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.
162 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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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 10/01/11 | Ending Account Value 03/31/12 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,274.70 | 0.89 | % | $ | 5.07 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.54 | 0.89 | % | $ | 4.51 | ||||||||
Large Cap Value Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,271.20 | 0.89 | % | $ | 5.06 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,269.50 | 1.11 | % | $ | 6.31 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.54 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.44 | 1.11 | % | $ | 5.61 | ||||||||
Large Cap Growth Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,283.30 | 0.89 | % | $ | 5.09 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,281.60 | 1.11 | % | $ | 6.34 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.54 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.44 | 1.11 | % | $ | 5.61 |
Beginning Account Value 10/01/11 | Ending Account Value 03/31/12 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,278.70 | 0.89 | % | $ | 5.08 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,279.60 | 0.56 | % | $ | 3.21 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.54 | 0.89 | % | $ | 4.51 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.19 | 0.56 | % | $ | 2.84 | ||||||||
S&P 500 Index Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,257.10 | 0.43 | % | $ | 2.44 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 1,258.40 | 0.25 | % | $ | 1.42 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,256.10 | 0.65 | % | $ | 3.68 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.84 | 0.43 | % | $ | 2.18 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 1,023.74 | 0.25 | % | $ | 1.28 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,021.74 | 0.65 | % | $ | 3.29 | ||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,313.80 | 1.14 | % | $ | 6.61 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.29 | 1.14 | % | $ | 5.77 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 163 |
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Disclosure of Fund Expenses (Unaudited) (Concluded)
Beginning Account Value 10/01/11 | Ending Account Value 03/31/12 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Value Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,301.70 | 1.14 | % | $ | 6.57 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,300.80 | 1.36 | % | $ | 7.83 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.29 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.19 | 1.36 | % | $ | 6.87 | ||||||||
Small Cap Growth Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,326.80 | 1.11 | % | $ | 6.47 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,325.60 | 1.36 | % | $ | 7.92 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.44 | 1.11 | % | $ | 5.61 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.19 | 1.36 | % | $ | 6.87 | ||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,287.20 | 1.11 | % | $ | 6.36 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.44 | 1.11 | % | $ | 5.61 | ||||||||
Mid-Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,299.00 | 1.02 | % | $ | 5.88 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,297.60 | 1.26 | % | $ | 7.27 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.89 | 1.02 | % | $ | 5.16 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.68 | 1.26 | % | $ | 6.38 | ||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,168.00 | 1.00 | % | $ | 5.43 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,166.90 | 1.25 | % | $ | 6.77 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.99 | 1.00 | % | $ | 5.06 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.75 | 1.25 | % | $ | 6.31 | ||||||||
Global Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,092.60 | 1.11 | % | $ | 5.82 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,090.00 | 1.36 | % | $ | 7.10 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.44 | 1.11 | % | $ | 5.61 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.20 | 1.36 | % | $ | 6.86 | ||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,163.70 | 1.00 | % | $ | 5.42 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.99 | 1.00 | % | $ | 5.06 |
Beginning Account Value 10/01/11 | Ending Account Value 03/31/12 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Real Estate Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,263.20 | 1.14 | % | $ | 6.46 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,261.40 | 1.36 | % | $ | 7.70 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.29 | 1.14 | % | $ | 5.76 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.19 | 1.36 | % | $ | 6.87 | ||||||||
Enhanced Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,030.30 | 0.60 | % | $ | 3.06 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,027.20 | 0.85 | % | $ | 4.31 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.99 | 0.60 | % | $ | 3.04 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,020.75 | 0.85 | % | $ | 4.29 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,031.30 | 0.67 | % | $ | 3.41 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,030.20 | 0.89 | % | $ | 4.53 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.64 | 0.67 | % | $ | 3.40 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,020.54 | 0.89 | % | $ | 4.51 | ||||||||
U.S. Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.40 | 0.66 | % | $ | 3.34 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.69 | 0.66 | % | $ | 3.34 | ||||||||
High Yield Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,112.80 | 0.89 | % | $ | 4.71 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,105.30 | 1.11 | % | $ | 5.84 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.54 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.45 | 1.11 | % | $ | 5.60 | ||||||||
Real Return Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.70 | 0.45 | % | $ | 2.28 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.74 | 0.45 | % | $ | 2.28 | ||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.70 | 0.63 | % | $ | 3.18 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.85 | 0.63 | % | $ | 3.18 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period shown). |
164 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) 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 sessions 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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 165 |
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Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
At the December 6-7, 2011 and March 27-28, 2012 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. 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 Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; |
• | the Funds’ investment performance and how it compared to that of other comparable mutual funds; |
• | the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; |
• | the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and |
• | the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. |
Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.
Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and, where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.
Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and concluded that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.
Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services
166 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
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rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 167 |
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SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2012
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
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)
Table of Contents
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-092 (3/12)
Table of Contents
Item 2. Code of Ethics.
Not applicable for semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the 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 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.
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 84.4% | ||||||||
Consumer Discretionary — 12.2% |
| |||||||
Advance Auto Parts | 14,700 | $ | 1,302 | |||||
American Axle & Manufacturing Holdings * | 52,600 | 616 | ||||||
Apollo Group, Cl A * | 228,200 | 8,818 | ||||||
Autoliv (A) | 16,000 | 1,073 | ||||||
Autozone * | 3,600 | 1,338 | ||||||
Bed Bath & Beyond * (A) | 127,063 | 8,357 | ||||||
Best Buy (A) | 169,500 | 4,014 | ||||||
Big Lots * | 27,800 | 1,196 | ||||||
Career Education * | 92,229 | 743 | ||||||
CBS, Cl B | 459,010 | 15,565 | ||||||
Coach | 244,311 | 18,880 | ||||||
Comcast, Cl A | 64,800 | 1,945 | ||||||
Ctrip.com International ADR * (A) | 123,100 | 2,664 | ||||||
Dillard’s, Cl A (A) | 11,000 | 694 | ||||||
DIRECTV, Cl A * | 80,800 | 3,987 | ||||||
Discovery Communications, Cl A * (A) | 64,930 | 3,285 | ||||||
DISH Network, Cl A | 96,900 | 3,191 | ||||||
Foot Locker (A) | 33,600 | 1,043 | ||||||
Ford Motor | 134,700 | 1,683 | ||||||
Fossil * | 46,080 | 6,082 | ||||||
GameStop, Cl A (A) | 86,500 | 1,889 | ||||||
Gannett (A) | 73,200 | 1,122 | ||||||
Gap | 176,800 | 4,622 | ||||||
General Motors * (A) | 63,600 | 1,631 | ||||||
Groupon, Cl A * (A) | 59,630 | 1,096 | ||||||
Guess? | 14,900 | 466 | ||||||
H&R Block (A) | 55,400 | 912 | ||||||
Harley-Davidson | 181,094 | 8,888 | ||||||
Harman International Industries | 17,600 | 824 | ||||||
Hasbro | 23,000 | 845 | ||||||
Home Depot | 111,810 | 5,625 | ||||||
Interpublic Group | 23,600 | 269 | ||||||
ITT Educational Services * (A) | 17,700 | 1,171 | ||||||
Johnson Controls (A) | 259,364 | 8,424 | ||||||
Kohl’s | 39,300 | 1,966 | ||||||
Lear | 20,900 | 971 | ||||||
Limited Brands | 11,800 | 566 | ||||||
Lowe’s | 335,744 | 10,536 | ||||||
Macy’s | 261,240 | 10,379 | ||||||
McDonald’s | 86,910 | 8,526 | ||||||
MGM Mirage * | 3,100 | 42 | ||||||
News, Cl A | 159,900 | 3,148 | ||||||
Nike, Cl B | 144,113 | 15,628 | ||||||
Nordstrom | 153,070 | 8,529 | ||||||
priceline.com * (A) | 16,125 | 11,570 | ||||||
RadioShack (A) | 83,100 | 517 | ||||||
Ralph Lauren, Cl A | 18,170 | 3,167 | ||||||
Service International | 6,857 | 77 | ||||||
Staples | 374,800 | 6,064 | ||||||
Starbucks | 45,900 | 2,565 | ||||||
Target | 228,093 | 13,291 | ||||||
Time Warner (A) | 42,000 | 1,586 | ||||||
Time Warner Cable, Cl A | 125,460 | 10,225 | ||||||
TRW Automotive Holdings * | 15,300 | 711 | ||||||
Tupperware Brands | 4,200 | 267 |
Description | Shares | Market Value ($ Thousands) | ||||||
Under Armour, Cl A * (A) | 39,160 | $ | 3,681 | |||||
Walt Disney | 35,800 | 1,567 | ||||||
Washington Post, Cl B (A) | 1,100 | 411 | ||||||
Whirlpool | 34,300 | 2,636 | ||||||
Wyndham Worldwide | 84,900 | 3,949 | ||||||
|
| |||||||
246,835 | ||||||||
|
| |||||||
Consumer Staples — 7.7% |
| |||||||
Altria Group | 78,900 | 2,436 | ||||||
Anheuser-Busch InBev ADR | 77,762 | 5,655 | ||||||
Archer-Daniels-Midland | 61,900 | 1,960 | ||||||
Beam | 47,940 | 2,808 | ||||||
Bunge (A) | 42,300 | 2,895 | ||||||
Clorox | 25,100 | 1,725 | ||||||
Coca-Cola | 29,900 | 2,213 | ||||||
Coca-Cola Enterprises | 39,000 | 1,115 | ||||||
ConAgra Foods | 83,200 | 2,185 | ||||||
Constellation Brands, Cl A * | 9,200 | 217 | ||||||
Corn Products International | 15,600 | 899 | ||||||
Costco Wholesale | 217,791 | 19,775 | ||||||
CVS Caremark | 172,300 | 7,719 | ||||||
Dr Pepper Snapple Group | 26,900 | 1,082 | ||||||
Estee Lauder, Cl A | 186,335 | 11,541 | ||||||
Herbalife | 16,400 | 1,129 | ||||||
Kimberly-Clark | 49,100 | 3,628 | ||||||
Kraft Foods, Cl A | 45,900 | 1,745 | ||||||
Kroger | 232,100 | 5,624 | ||||||
Lorillard | 31,000 | 4,014 | ||||||
Mead Johnson Nutrition, Cl A | 160,336 | 13,224 | ||||||
Nu Skin Enterprises, Cl A | 23,000 | 1,332 | ||||||
PepsiCo | 23,800 | 1,579 | ||||||
Philip Morris International | 174,680 | 15,478 | ||||||
Procter & Gamble | 165,000 | 11,090 | ||||||
Reynolds American | 25,500 | 1,057 | ||||||
Safeway (A) | 122,400 | 2,474 | ||||||
Smithfield Foods * | 46,800 | 1,031 | ||||||
SYSCO (A) | 10,700 | 319 | ||||||
Tyson Foods, Cl A | 95,500 | 1,829 | ||||||
Walgreen | 181,000 | 6,062 | ||||||
Wal-Mart Stores | 115,800 | 7,087 | ||||||
Whole Foods Market | 145,291 | 12,088 | ||||||
|
| |||||||
155,015 | ||||||||
|
| |||||||
Energy — 8.3% | ||||||||
Apache | 22,400 | 2,250 | ||||||
Canadian Natural Resources | 171,959 | 5,706 | ||||||
Chevron | 242,800 | 26,038 | ||||||
ConocoPhillips | 296,680 | 22,551 | ||||||
Core Laboratories (A) | 45,975 | 6,049 | ||||||
Devon Energy | 76,240 | 5,422 | ||||||
El Paso | 191,400 | 5,656 | ||||||
EOG Resources | 112,250 | 12,471 | ||||||
Exxon Mobil | 213,400 | 18,508 | ||||||
FMC Technologies * (A) | 131,294 | 6,620 | ||||||
Forest Oil * | 55,900 | 677 | ||||||
Halliburton | 234,850 | 7,795 | ||||||
Hess | 57,900 | 3,413 | ||||||
Kinder Morgan (A) | 83,300 | 3,219 | ||||||
Marathon Oil | 163,900 | 5,196 | ||||||
Marathon Petroleum | 62,350 | 2,703 | ||||||
Murphy Oil | 81,500 | 4,586 | ||||||
National Oilwell Varco | 33,900 | 2,694 | ||||||
Noble Energy | 42,310 | 4,137 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Occidental Petroleum | 24,200 | $ | 2,305 | |||||
Quicksilver Resources * (A) | 66,500 | 335 | ||||||
Schlumberger | 138,079 | 9,656 | ||||||
Tesoro * | 100,700 | 2,703 | ||||||
Valero Energy (A) | 276,100 | 7,115 | ||||||
|
| |||||||
167,805 | ||||||||
|
| |||||||
Financials — 12.5% | ||||||||
ACE | 81,600 | 5,973 | ||||||
Aflac | 39,800 | 1,830 | ||||||
Allstate | 64,900 | 2,136 | ||||||
American Capital * | 54,400 | 472 | ||||||
American Express | 57,300 | 3,315 | ||||||
American Financial Group | 62,047 | 2,394 | ||||||
American Tower, Cl A † | 136,819 | 8,622 | ||||||
Ameriprise Financial | 65,800 | 3,759 | ||||||
Annaly Capital Management † (A) | 58,200 | 921 | ||||||
Associated Banc-Corp | 28,100 | 392 | ||||||
Assurant | 153,500 | 6,217 | ||||||
AvalonBay Communities † | 2,100 | 297 | ||||||
Bank of America | 757,000 | 7,244 | ||||||
Bank of New York Mellon | 66,700 | 1,609 | ||||||
Berkshire Hathaway, Cl B * | 85,100 | 6,906 | ||||||
BlackRock | 1,600 | 328 | ||||||
Boston Properties † | 2,400 | 252 | ||||||
Brandywine Realty Trust † | 67,500 | 775 | ||||||
Capital One Financial | 238,800 | 13,311 | ||||||
CBL & Associates Properties † (A) | 45,200 | 855 | ||||||
Charles Schwab (A) | 379,497 | 5,453 | ||||||
Chubb | 56,400 | 3,898 | ||||||
Citigroup | 427,100 | 15,610 | ||||||
CME Group | 25,900 | 7,494 | ||||||
CNA Financial | 25,700 | 754 | ||||||
CommonWealth † | 17,600 | 328 | ||||||
Discover Financial Services | 237,200 | 7,908 | ||||||
E*Trade Financial * | 22,900 | 251 | ||||||
Endurance Specialty Holdings | 14,700 | 598 | ||||||
Equity Residential † | 6,500 | 407 | ||||||
Everest Re Group | 12,400 | 1,147 | ||||||
Fifth Third Bancorp | 418,000 | 5,873 | ||||||
Fulton Financial | 8,800 | 92 | ||||||
Genworth Financial, Cl A * | 27,400 | 228 | ||||||
Goldman Sachs Group | 20,600 | 2,562 | ||||||
Hartford Financial Services Group | 57,300 | 1,208 | ||||||
HCC Insurance Holdings | 3,200 | 100 | ||||||
HCP † | 8,700 | 343 | ||||||
Health Care † | 2,900 | 159 | ||||||
Hospitality Properties Trust † | 89,900 | 2,380 | ||||||
Host Hotels & Resorts † (A) | 11,300 | 185 | ||||||
Huntington Bancshares | 750,100 | 4,838 | ||||||
IntercontinentalExchange * (A) | 64,850 | 8,912 | ||||||
JPMorgan Chase | 639,030 | 29,383 | ||||||
Keycorp | 947,000 | 8,050 | ||||||
Kimco Realty † | 6,400 | 123 | ||||||
Legg Mason | 11,900 | 332 | ||||||
Lincoln National | 78,700 | 2,074 | ||||||
Loews | 32,500 | 1,296 | ||||||
Macerich † | 2,200 | 127 | ||||||
MetLife | 37,500 | 1,401 |
Description | Shares | Market Value ($ Thousands) | ||||||
MFA Financial † | 94,700 | $ | 707 | |||||
Morgan Stanley | 38,900 | 764 | ||||||
PNC Financial Services Group | 118,100 | 7,616 | ||||||
Popular * | 196,700 | 403 | ||||||
Progressive | 379,400 | 8,794 | ||||||
ProLogis † (A) | 9,600 | 346 | ||||||
Protective Life (A) | 38,700 | 1,146 | ||||||
Prudential Financial | 81,500 | 5,166 | ||||||
Public Storage † | 2,400 | 332 | ||||||
Regions Financial | 545,000 | 3,592 | ||||||
Reinsurance Group of America, Cl A | 34,800 | 2,070 | ||||||
Senior Housing Properties Trust † | 28,600 | 631 | ||||||
Simon Property Group † | 6,100 | 889 | ||||||
SLM | 46,600 | 735 | ||||||
State Street | 37,800 | 1,720 | ||||||
Torchmark (A) | 35,650 | 1,777 | ||||||
Travelers | 102,500 | 6,068 | ||||||
Unum Group | 120,100 | 2,940 | ||||||
US Bancorp | 170,800 | 5,411 | ||||||
Validus Holdings | 23,900 | 740 | ||||||
Ventas † | 4,251 | 243 | ||||||
Vornado Realty Trust † | 3,100 | 261 | ||||||
Wells Fargo | 581,200 | 19,842 | ||||||
Weyerhaeuser † | 8,900 | 195 | ||||||
|
| |||||||
253,510 | ||||||||
|
| |||||||
Health Care — 10.5% | ||||||||
Abbott Laboratories | 77,900 | 4,775 | ||||||
Aetna | 162,200 | 8,136 | ||||||
Alexion Pharmaceuticals * | 29,360 | 2,726 | ||||||
Allergan | 177,340 | 16,924 | ||||||
AmerisourceBergen | 76,100 | 3,020 | ||||||
Amgen | 231,769 | 15,758 | ||||||
Bristol-Myers Squibb | 9,900 | 334 | ||||||
Cardinal Health | 49,200 | 2,121 | ||||||
Celgene * | 108,326 | 8,398 | ||||||
Cigna | 8,500 | 419 | ||||||
Community Health Systems * (A) | 30,800 | 685 | ||||||
Covance * (A) | 95,685 | 4,557 | ||||||
Covidien | 60,580 | 3,313 | ||||||
DaVita * | 89,576 | 8,077 | ||||||
Eli Lilly | 86,300 | 3,475 | ||||||
Endo Pharmaceuticals Holdings * | 18,600 | 720 | ||||||
Express Scripts * (A) | 168,680 | 9,139 | ||||||
Gilead Sciences * | 92,200 | 4,504 | ||||||
Health Net * | 111,200 | 4,417 | ||||||
Hill-Rom Holdings | 8,600 | 287 | ||||||
Humana | 57,500 | 5,318 | ||||||
Idexx Laboratories * (A) | 64,691 | 5,657 | ||||||
Intuitive Surgical * (A) | 12,412 | 6,724 | ||||||
Johnson & Johnson | 205,490 | 13,554 | ||||||
LifePoint Hospitals * | 8,800 | 347 | ||||||
McKesson | 43,400 | 3,809 | ||||||
Medco Health Solutions * | 10,600 | 745 | ||||||
Medtronic | 41,200 | 1,615 | ||||||
Merck | 360,200 | 13,832 | ||||||
Novo Nordisk ADR (A) | 56,650 | 7,858 | ||||||
Omnicare (A) | 69,900 | 2,486 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
PDL BioPharma (A) | 66,000 | $ | 419 | |||||
Perrigo (A) | 45,000 | 4,649 | ||||||
Pfizer | 1,228,420 | 27,836 | ||||||
Quest Diagnostics | 1,100 | 67 | ||||||
UnitedHealth Group | 94,300 | 5,558 | ||||||
Warner Chilcott, Cl A * | 46,300 | 778 | ||||||
WellPoint | 104,000 | 7,675 | ||||||
Zimmer Holdings | 32,900 | 2,115 | ||||||
|
| |||||||
212,827 | ||||||||
|
| |||||||
Industrials — 7.4% | ||||||||
3M | 3,300 | 294 | ||||||
AGCO * | 25,500 | 1,204 | ||||||
Alaska Air Group * | 20,300 | 727 | ||||||
Alliant Techsystems (A) | 8,049 | 403 | ||||||
Avery Dennison | 36,100 | 1,088 | ||||||
Caterpillar | 41,200 | 4,389 | ||||||
CSX | 39,100 | 841 | ||||||
Cummins | 7,000 | 840 | ||||||
Danaher | 145,368 | 8,141 | ||||||
Delta Air Lines * | 246,900 | 2,447 | ||||||
Eaton | 14,300 | 712 | ||||||
EMCOR Group | 23,800 | 660 | ||||||
Exelis | 23,300 | 292 | ||||||
Expeditors International of Washington (A) | 116,600 | 5,423 | ||||||
FedEx | 13,300 | 1,223 | ||||||
Fluor | 130,995 | 7,865 | ||||||
Foster Wheeler * | 47,300 | 1,077 | ||||||
General Cable * | 19,800 | 576 | ||||||
General Dynamics | 31,600 | 2,319 | ||||||
General Electric | 1,177,460 | 23,632 | ||||||
Honeywell International | 76,000 | 4,640 | ||||||
Ingersoll-Rand | 5,900 | 244 | ||||||
ITT | 40,700 | 934 | ||||||
Kansas City Southern | 36,710 | 2,632 | ||||||
KBR | 131,200 | 4,664 | ||||||
L-3 Communications Holdings (A) | 52,200 | 3,694 | ||||||
Lockheed Martin (A) | 60,800 | 5,463 | ||||||
Navistar International * | 37,300 | 1,509 | ||||||
Norfolk Southern | 31,300 | 2,060 | ||||||
Northrop Grumman (A) | 123,000 | 7,513 | ||||||
Pall (A) | 57,560 | 3,432 | ||||||
Parker Hannifin (A) | 10,300 | 871 | ||||||
Precision Castparts | 63,083 | 10,907 | ||||||
Raytheon | 71,600 | 3,779 | ||||||
Roper Industries | 63,602 | 6,307 | ||||||
RR Donnelley & Sons (A) | 57,000 | 706 | ||||||
Ryder System | 25,600 | 1,352 | ||||||
Stericycle * | 94,295 | 7,887 | ||||||
Timken | 50,600 | 2,567 | ||||||
Tyco International | 13,300 | 747 | ||||||
Union Pacific | 67,070 | 7,209 | ||||||
United Continental Holdings * (A) | 63,400 | 1,363 | ||||||
United Technologies | 18,000 | 1,493 | ||||||
URS | 29,690 | 1,262 | ||||||
US Airways Group * (A) | 63,900 | 485 | ||||||
Waste Management (A) | 21,500 | 751 | ||||||
|
| |||||||
148,624 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Information Technology — 19.6% |
| |||||||
Accenture, Cl A (A) | 144,512 | $ | 9,321 | |||||
Activision Blizzard | 130,400 | 1,672 | ||||||
Adobe Systems * | 489,555 | 16,797 | ||||||
Altera | 122,350 | 4,872 | ||||||
Amdocs | 23,500 | 742 | ||||||
Amphenol, Cl A | 130,024 | 7,771 | ||||||
Ansys * | 80,210 | 5,215 | ||||||
Apple * | 95,369 | 57,171 | ||||||
Autodesk * | 201,751 | 8,538 | ||||||
Brocade Communications Systems * | 78,000 | 449 | ||||||
CA | 49,700 | 1,370 | ||||||
Cisco Systems | 674,000 | 14,255 | ||||||
Citrix Systems * | 66,095 | 5,215 | ||||||
Cognizant Technology Solutions, Cl A * | 79,418 | 6,111 | ||||||
Computer Sciences | 13,500 | 404 | ||||||
Corning | 101,200 | 1,425 | ||||||
Dell * | 170,600 | 2,832 | ||||||
DST Systems | 15,817 | 858 | ||||||
EMC * | 286,965 | 8,574 | ||||||
Fidelity National Information Services | 23,200 | 768 | ||||||
Fiserv * (A) | 7,200 | 500 | ||||||
Genpact * | 232,938 | 3,797 | ||||||
Google, Cl A * | 44,312 | 28,415 | ||||||
Harris (A) | 26,600 | 1,199 | ||||||
Hewlett-Packard | 153,800 | 3,665 | ||||||
Ingram Micro, Cl A * | 37,800 | 702 | ||||||
Intel | 949,958 | 26,703 | ||||||
International Business Machines | 55,903 | 11,664 | ||||||
Intuit | 215,760 | 12,974 | ||||||
Kla-Tencor | 17,500 | 953 | ||||||
Lender Processing Services | 55,400 | 1,440 | ||||||
Lexmark International, Cl A | 30,800 | 1,024 | ||||||
Mastercard, Cl A | 58,032 | 24,405 | ||||||
Microchip Technology (A) | 123,040 | 4,577 | ||||||
Microsoft | 250,600 | 8,082 | ||||||
Molex (A) | 5,000 | 141 | ||||||
National Instruments | 185,215 | 5,282 | ||||||
NetApp * | 205,856 | 9,216 | ||||||
Oracle | 353,759 | 10,316 | ||||||
Polycom * | 199,500 | 3,804 | ||||||
Qualcomm | 451,231 | 30,693 | ||||||
SAIC | 117,000 | 1,544 | ||||||
Salesforce.com * | 44,123 | 6,817 | ||||||
SanDisk * | 14,300 | 709 | ||||||
Seagate Technology | 40,700 | 1,097 | ||||||
Symantec * | 139,400 | 2,607 | ||||||
TE Connectivity | 33,800 | 1,242 | ||||||
Tech Data * | 23,400 | 1,270 | ||||||
Teradata * | 96,500 | 6,577 | ||||||
Total System Services | 8,400 | 194 | ||||||
VeriSign (A) | 228,200 | 8,749 | ||||||
Visa, Cl A | 147,900 | 17,452 | ||||||
Vishay Intertechnology * | 25,700 | 312 | ||||||
Western Digital * | 90,600 | 3,750 | ||||||
Xerox | 140,500 | 1,135 | ||||||
|
| |||||||
397,367 | ||||||||
|
|
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 2.1% | ||||||||
Agrium | 36,800 | $ | 3,179 | |||||
Air Products & Chemicals | 26,100 | 2,396 | ||||||
AK Steel Holding (A) | 101,700 | 769 | ||||||
Alcoa (A) | 22,900 | 229 | ||||||
Ashland | 11,100 | 678 | ||||||
Cabot | 17,300 | 738 | ||||||
CF Industries Holdings | 17,800 | 3,251 | ||||||
Cliffs Natural Resources | 12,000 | 831 | ||||||
Commercial Metals | 28,200 | 418 | ||||||
Domtar | 18,600 | 1,774 | ||||||
Dow Chemical | 24,200 | 838 | ||||||
Eastman Chemical | 40,300 | 2,083 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 66,600 | 2,534 | ||||||
Huntsman | 117,500 | 1,646 | ||||||
International Paper | 36,300 | 1,274 | ||||||
LyondellBasell Industries, Cl A | 81,500 | 3,558 | ||||||
Monsanto | 71,000 | 5,663 | ||||||
Newmont Mining | 6,900 | 354 | ||||||
PPG Industries | 6,000 | 575 | ||||||
Rock-Tenn, Cl A | 10,500 | 709 | ||||||
Steel Dynamics | 102,000 | 1,483 | ||||||
Syngenta ADR | 99,100 | 6,821 | ||||||
|
| |||||||
41,801 | ||||||||
|
| |||||||
Telecommunication Services — 2.3% |
| |||||||
AT&T | 542,000 | 16,927 | ||||||
Crown Castle International * | 217,100 | 11,580 | ||||||
Telephone & Data Systems | 32,609 | 755 | ||||||
Verizon Communications | 450,645 | 17,228 | ||||||
|
| |||||||
46,490 | ||||||||
|
| |||||||
Utilities — 1.8% | ||||||||
AES * | 54,500 | 712 | ||||||
Alliant Energy | 27,500 | 1,191 | ||||||
Ameren | 82,100 | 2,675 | ||||||
American Electric Power | 155,300 | 5,992 | ||||||
Atmos Energy | 21,600 | 679 | ||||||
Consolidated Edison (A) | 14,900 | 870 | ||||||
DTE Energy | 26,000 | 1,431 | ||||||
Edison International | 62,500 | 2,657 | ||||||
Entergy | 89,600 | 6,021 | ||||||
Exelon | 21,800 | 855 | ||||||
NV Energy | 68,200 | 1,099 | ||||||
Portland General Electric | 35,400 | 884 | ||||||
Public Service Enterprise Group | 165,400 | 5,063 | ||||||
Sempra Energy | 87,200 | 5,229 | ||||||
UGI | 25,900 | 706 | ||||||
|
| |||||||
36,064 | ||||||||
|
| |||||||
Total Common Stock |
| 1,706,338 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 5.2% |
| |||||||
SEI Liquidity Fund, L.P. | 104,783,100 | 104,783 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 104,783 | ||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENTS — 14.7% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 296,094,489 | $ | 296,095 | |||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010%** | 1,614,431 | 1,614 | ||||||
|
| |||||||
Total Cash Equivalents |
| 297,709 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.9% |
| |||||||
U.S. Treasury Bills | ||||||||
0.112%, 09/20/12 | $ | 16,823 | 16,812 | |||||
0.053%, 06/28/12 | 2,129 | 2,129 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 18,941 | ||||||
|
| |||||||
Total Investments — 105.2% |
| $ | 2,127,771 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 3,816 | Jun-2012 | $ | 987 | ||||||||
S&P Mid 400 Index | 352 | Jun-2012 | (42 | ) | ||||||||
|
| |||||||||||
$ | 945 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $2,022,833 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $102,357 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan . The total market value of such securities as of March 31, 2012 was $104,783 ($ 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 & Poor’s
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2012
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,706,338 | $ | — | $ | — | $ | 1,706,338 | ||||||||
U.S. Treasury Obligations | — | 18,941 | — | 18,941 | ||||||||||||
Cash Equivalents | 296,095 | 1,614 | — | 297,709 | ||||||||||||
Affiliated Partnership | — | 104,783 | �� | — | 104,783 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,002,433 | $ | 125,338 | $ | — | $ | 2,127,771 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 945 | $ | — | $ | — | $ | 945 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 945 | $ | — | $ | — | $ | 945 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.3% | ||||||||
Consumer Discretionary — 8.5% |
| |||||||
Advance Auto Parts | 18,900 | $ | 1,674 | |||||
American Eagle Outfitters | 74,200 | 1,276 | ||||||
Apollo Group, Cl A * | 74,800 | 2,890 | ||||||
Ascena Retail Group * | 38,500 | 1,706 | ||||||
Autoliv (A) | 23,600 | 1,582 | ||||||
Autozone * | 5,200 | 1,933 | ||||||
Best Buy (A) | 29,200 | 692 | ||||||
CBS, Cl B | 256,800 | 8,708 | ||||||
Coach | 64,500 | 4,985 | ||||||
Comcast, Cl A | 227,000 | 6,760 | ||||||
Darden Restaurants (A) | 31,100 | 1,591 | ||||||
Delphi Automotive * | 47,430 | 1,499 | ||||||
Dillard’s, Cl A (A) | 24,100 | 1,519 | ||||||
DIRECTV, Cl A * (A) | 106,900 | 5,275 | ||||||
Ford Motor (A) | 484,950 | 6,057 | ||||||
GameStop, Cl A (A) | 51,200 | 1,118 | ||||||
Gannett | 108,900 | 1,669 | ||||||
Gap (A) | 243,800 | 6,373 | ||||||
General Motors * | 79,500 | 2,039 | ||||||
H&R Block | 64,100 | 1,056 | ||||||
Hasbro | 42,200 | 1,550 | ||||||
Home Depot | 90,150 | 4,535 | ||||||
International Game Technology | 88,500 | 1,486 | ||||||
Interpublic Group | 142,500 | 1,626 | ||||||
Kohl’s | 34,100 | 1,706 | ||||||
Lear | 64,700 | 3,008 | ||||||
Lowe’s | 92,600 | 2,906 | ||||||
Macy’s | 137,200 | 5,451 | ||||||
McGraw-Hill | 79,805 | 3,868 | ||||||
Newell Rubbermaid | 242,185 | 4,313 | ||||||
RadioShack (A) | 71,700 | 446 | ||||||
Staples (A) | 235,275 | 3,807 | ||||||
Target | 72,400 | 4,218 | ||||||
Time Warner | 137,400 | 5,187 | ||||||
Time Warner Cable, Cl A | 21,300 | 1,736 | ||||||
Viacom, Cl B | 80,500 | 3,821 | ||||||
Walt Disney | 112,500 | 4,925 | ||||||
Whirlpool | 43,900 | 3,374 | ||||||
Wyndham Worldwide | 81,700 | 3,800 | ||||||
|
| |||||||
122,165 | ||||||||
|
| |||||||
Consumer Staples — 8.1% | ||||||||
Altria Group | 62,300 | 1,923 | ||||||
Archer-Daniels-Midland | 98,000 | 3,103 | ||||||
Bunge | 26,100 | 1,786 | ||||||
Campbell Soup (A) | 152,450 | 5,161 | ||||||
Coca-Cola | 83,350 | 6,169 | ||||||
Coca-Cola Enterprises | 57,700 | 1,650 | ||||||
Colgate-Palmolive | 53,750 | 5,255 | ||||||
Corn Products International | 32,200 | 1,856 | ||||||
CVS Caremark | 320,100 | 14,341 | ||||||
Energizer Holdings * | 27,500 | 2,040 | ||||||
General Mills | 34,800 | 1,373 | ||||||
Herbalife (A) | 27,700 | 1,906 | ||||||
Kraft Foods, Cl A | 50,800 | 1,931 | ||||||
Kroger | 271,400 | 6,576 | ||||||
Lorillard | 47,400 | 6,138 | ||||||
Molson Coors Brewing, Cl B | 68,900 | 3,118 | ||||||
PepsiCo | 39,910 | 2,648 | ||||||
Philip Morris International | 71,000 | 6,291 |
Description | Shares | Market Value ($ Thousands) | ||||||
Procter & Gamble | 273,900 | $ | 18,409 | |||||
Ralcorp Holdings * | 26,500 | 1,963 | ||||||
Safeway (A) | 209,400 | 4,232 | ||||||
Smithfield Foods * | 80,300 | 1,769 | ||||||
SUPERVALU (A) | 111,437 | 636 | ||||||
Unilever (A) | 77,450 | 2,636 | ||||||
Walgreen | 41,600 | 1,393 | ||||||
Wal-Mart Stores | 213,910 | 13,091 | ||||||
|
| |||||||
117,394 | ||||||||
|
| |||||||
Energy — 12.1% | ||||||||
Anadarko Petroleum | 34,500 | 2,703 | ||||||
Apache | 79,475 | 7,982 | ||||||
Baker Hughes (A) | 75,815 | 3,180 | ||||||
Chevron | 360,900 | 38,703 | ||||||
ConocoPhillips | 292,900 | 22,263 | ||||||
Devon Energy | 73,200 | 5,206 | ||||||
EQT | 30,800 | 1,485 | ||||||
Exxon Mobil | 282,525 | 24,503 | ||||||
Forest Oil * | 197,400 | 2,393 | ||||||
Halliburton | 86,500 | 2,871 | ||||||
Hess | 116,300 | 6,856 | ||||||
Marathon Oil | 215,800 | 6,841 | ||||||
Marathon Petroleum | 107,900 | 4,679 | ||||||
Murphy Oil | 200,450 | 11,279 | ||||||
National Oilwell Varco | 31,300 | 2,488 | ||||||
Occidental Petroleum | 71,100 | 6,771 | ||||||
QEP Resources | 62,500 | 1,906 | ||||||
Schlumberger | 69,675 | 4,872 | ||||||
Tesoro * | 211,500 | 5,677 | ||||||
Valero Energy | 316,000 | 8,143 | ||||||
Weatherford International * | 243,625 | 3,676 | ||||||
|
| |||||||
174,477 | ||||||||
|
| |||||||
Financials — 21.9% | ||||||||
ACE | 73,700 | 5,395 | ||||||
Aflac | 245,725 | 11,301 | ||||||
Allstate | 118,500 | 3,901 | ||||||
American Express | 180,750 | 10,458 | ||||||
American Financial Group | 85,400 | 3,295 | ||||||
Ameriprise Financial | 145,700 | 8,324 | ||||||
Annaly Capital Management † | 70,600 | 1,117 | ||||||
Assurant | 162,000 | 6,561 | ||||||
Bank of America | 1,212,000 | 11,599 | ||||||
Bank of New York Mellon | 80,300 | 1,938 | ||||||
Berkshire Hathaway, Cl B * | 75,200 | 6,102 | ||||||
BlackRock (A) | 8,000 | 1,639 | ||||||
Capital One Financial | 80,900 | 4,509 | ||||||
CBL & Associates Properties † (A) | 103,900 | 1,966 | ||||||
CBRE Group, Cl A * | 244,075 | 4,872 | ||||||
Chubb | 56,700 | 3,918 | ||||||
Citigroup | 560,640 | 20,491 | ||||||
Discover Financial Services | 244,800 | 8,162 | ||||||
Endurance Specialty Holdings | 39,000 | 1,586 | ||||||
Everest Re Group | 58,635 | 5,425 | ||||||
Fidelity National Financial, Cl A | 293,181 | 5,286 | ||||||
Fifth Third Bancorp | 727,600 | 10,223 | ||||||
Goldman Sachs Group | 45,095 | 5,608 | ||||||
Hartford Financial Services Group | 73,700 | 1,554 | ||||||
Hospitality Properties Trust † | 128,100 | 3,391 | ||||||
Huntington Bancshares | 945,200 | 6,096 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Invesco | 144,900 | $ | 3,864 | |||||
JPMorgan Chase | 926,600 | 42,605 | ||||||
Keycorp | 646,200 | 5,493 | ||||||
Lazard, Cl A (B) | 160,419 | 4,582 | ||||||
Lincoln National | 141,800 | 3,738 | ||||||
MetLife | 111,600 | 4,168 | ||||||
Morgan Stanley | 136,300 | 2,677 | ||||||
PNC Financial Services Group | 246,300 | 15,884 | ||||||
Prudential Financial | 177,500 | 11,252 | ||||||
Regions Financial | 801,300 | 5,281 | ||||||
Reinsurance Group of America, Cl A | 31,300 | 1,861 | ||||||
Senior Housing Properties Trust † | 58,200 | 1,283 | ||||||
State Street | 32,500 | 1,479 | ||||||
Travelers | 83,900 | 4,967 | ||||||
Unum Group | 111,400 | 2,727 | ||||||
US Bancorp | 247,700 | 7,847 | ||||||
Wells Fargo | 1,056,400 | 36,065 | ||||||
Weyerhaeuser † | 272,150 | 5,965 | ||||||
|
| |||||||
316,455 | ||||||||
|
| |||||||
Health Care — 13.5% | ||||||||
Abbott Laboratories | 28,700 | 1,759 | ||||||
Aetna | 260,000 | 13,042 | ||||||
AmerisourceBergen | 84,100 | 3,337 | ||||||
Amgen | 161,400 | 10,974 | ||||||
Baxter International | 61,500 | 3,677 | ||||||
Cardinal Health | 55,100 | 2,375 | ||||||
CareFusion * | 71,200 | 1,846 | ||||||
Cigna | 32,800 | 1,615 | ||||||
Coventry Health Care | 52,600 | 1,871 | ||||||
Covidien | 54,200 | 2,964 | ||||||
Eli Lilly | 89,600 | 3,608 | ||||||
Endo Pharmaceuticals Holdings * | 33,500 | 1,297 | ||||||
Forest Laboratories * (A) | 158,850 | 5,511 | ||||||
Gilead Sciences * | 89,300 | 4,362 | ||||||
Health Net * | 97,200 | 3,861 | ||||||
Humana | 55,600 | 5,142 | ||||||
Johnson & Johnson | 264,225 | 17,428 | ||||||
McKesson | 43,200 | 3,792 | ||||||
Medtronic | 35,500 | 1,391 | ||||||
Merck | 602,800 | 23,148 | ||||||
Myriad Genetics * | 118,475 | 2,803 | ||||||
Pfizer | 1,977,750 | 44,816 | ||||||
St. Jude Medical (A) | 98,825 | 4,379 | ||||||
United Therapeutics * | 28,200 | 1,329 | ||||||
UnitedHealth Group | 125,100 | 7,373 | ||||||
Warner Chilcott, Cl A * | 137,300 | 2,308 | ||||||
WellPoint | 209,000 | 15,424 | ||||||
Zimmer Holdings | 46,600 | 2,995 | ||||||
|
| |||||||
194,427 | ||||||||
|
| |||||||
Industrials — 9.3% | ||||||||
AGCO * | 37,400 | 1,766 | ||||||
Boeing | 35,775 | 2,661 | ||||||
Caterpillar | 16,700 | 1,779 | ||||||
Delta Air Lines * | 298,100 | 2,954 | ||||||
Dover | 44,100 | 2,776 | ||||||
EMCOR Group | 57,300 | 1,588 | ||||||
Emerson Electric | 77,250 | 4,031 | ||||||
General Dynamics | 99,600 | 7,309 |
Description | Shares | Market Value ($ Thousands) | ||||||
General Electric | 1,793,025 | $ | 35,986 | |||||
GrafTech International * (A) | 207,000 | 2,471 | ||||||
Honeywell International | 29,500 | 1,801 | ||||||
Illinois Tool Works | 70,800 | 4,044 | ||||||
Ingersoll-Rand | 127,270 | 5,262 | ||||||
ITT | 114,965 | 2,637 | ||||||
KBR | 160,800 | 5,717 | ||||||
L-3 Communications Holdings | 32,400 | 2,293 | ||||||
Lockheed Martin (A) | 65,900 | 5,922 | ||||||
Navistar International * | 31,800 | 1,286 | ||||||
Norfolk Southern | 42,700 | 2,811 | ||||||
Northrop Grumman (A) | 198,600 | 12,130 | ||||||
Parker Hannifin (A) | 17,500 | 1,480 | ||||||
Raytheon | 102,600 | 5,415 | ||||||
RR Donnelley & Sons (A) | 107,300 | 1,329 | ||||||
Ryder System | 35,800 | 1,890 | ||||||
Teleflex | 62,700 | 3,834 | ||||||
Textron | 63,500 | 1,767 | ||||||
Timken | 60,500 | 3,070 | ||||||
Union Pacific | 40,700 | 4,375 | ||||||
Xylem | 120,975 | 3,357 | ||||||
|
| |||||||
133,741 | ||||||||
|
| |||||||
Information Technology — 12.1% |
| |||||||
Activision Blizzard | 391,300 | 5,016 | ||||||
Adobe Systems * | 154,250 | 5,292 | ||||||
Amdocs | 57,500 | 1,816 | ||||||
Apple * | 7,714 | 4,625 | ||||||
Automatic Data Processing | 85,600 | 4,724 | ||||||
BMC Software * | 41,200 | 1,655 | ||||||
CA | 151,700 | 4,181 | ||||||
Cisco Systems | 1,387,650 | 29,349 | ||||||
Computer Sciences | 48,900 | 1,464 | ||||||
Corning | 271,300 | 3,820 | ||||||
Dell * | 149,100 | 2,475 | ||||||
Google, Cl A * | 7,325 | 4,697 | ||||||
Harris (A) | 42,100 | 1,898 | ||||||
Hewlett-Packard | 261,700 | 6,236 | ||||||
Hitachi ADR (A) | 81,306 | 5,260 | ||||||
Ingram Micro, Cl A * | 105,100 | 1,951 | ||||||
Intel | 1,350,575 | 37,965 | ||||||
LSI Logic * | 295,160 | 2,562 | ||||||
Mastercard, Cl A | 5,195 | 2,185 | ||||||
Microsoft | 505,950 | 16,317 | ||||||
Oracle | 83,400 | 2,432 | ||||||
Seagate Technology | 62,600 | 1,687 | ||||||
Symantec * | 204,900 | 3,832 | ||||||
TE Connectivity | 86,300 | 3,171 | ||||||
Tech Data * | 59,900 | 3,250 | ||||||
Texas Instruments | 42,200 | 1,418 | ||||||
Total System Services | 236,800 | 5,463 | ||||||
Visa, Cl A | 33,000 | 3,894 | ||||||
Vishay Intertechnology * | 103,400 | 1,257 | ||||||
Western Digital * | 41,200 | 1,705 | ||||||
Xerox | 309,100 | 2,497 | ||||||
|
| |||||||
174,094 | ||||||||
|
| |||||||
Materials — 5.3% | ||||||||
Agrium | 46,100 | 3,982 | ||||||
BHP Billiton ADR | 34,323 | 2,485 | ||||||
CF Industries Holdings | 14,600 | 2,667 | ||||||
CRH ADR | 181,100 | 3,714 | ||||||
Domtar | 36,100 | 3,443 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Dow Chemical | 240,900 | $ | 8,345 | |||||
E.I. Du Pont de Nemours | 132,850 | 7,028 | ||||||
Eastman Chemical | 90,100 | 4,657 | ||||||
Ferro * | 311,650 | 1,851 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 92,700 | 3,526 | ||||||
Huntsman | 121,500 | 1,702 | ||||||
International Paper | 90,500 | 3,177 | ||||||
Newmont Mining | 172,750 | 8,857 | ||||||
Owens-Illinois * | 361,000 | 8,426 | ||||||
Potash Corp of Saskatchewan | 32,700 | 1,494 | ||||||
Rock-Tenn, Cl A | 17,600 | 1,189 | ||||||
Sealed Air (A) | 190,912 | 3,686 | ||||||
Vulcan Materials | 45,950 | 1,964 | ||||||
WR Grace * | 70,690 | 4,086 | ||||||
|
| |||||||
76,279 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% |
| |||||||
AT&T (A) | 870,200 | 27,176 | ||||||
Verizon Communications | 311,400 | 11,905 | ||||||
|
| |||||||
39,081 | ||||||||
|
| |||||||
Utilities — 3.8% | ||||||||
AES * | 129,900 | 1,698 | ||||||
Ameren | 124,600 | 4,059 | ||||||
American Electric Power | 205,100 | 7,913 | ||||||
CMS Energy (A) | 65,500 | 1,441 | ||||||
DTE Energy | 54,600 | 3,005 | ||||||
Edison International | 99,600 | 4,234 | ||||||
Entergy | 114,900 | 7,721 | ||||||
Exelon | 95,500 | 3,745 | ||||||
NextEra Energy | 68,400 | 4,178 | ||||||
PG&E (A) | 62,100 | 2,696 | ||||||
Pinnacle West Capital | 42,300 | 2,026 | ||||||
PPL | 62,400 | 1,763 | ||||||
Public Service Enterprise Group | 146,200 | 4,475 | ||||||
Sempra Energy | 90,400 | 5,420 | ||||||
|
| |||||||
54,374 | ||||||||
|
| |||||||
Total Common Stock |
| 1,402,487 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||
SPDR Gold Shares | 47,650 | 7,726 | ||||||
|
| |||||||
Total Exchange Traded Fund |
| 7,726 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 5.8% |
| |||||||
SEI Liquidity Fund, L.P. 0.180%**†† (B) | 88,616,750 | 83,627 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 83,627 | ||||||
|
| |||||||
CASH EQUIVALENT — 1.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 22,094,770 | 22,095 | ||||||
|
| |||||||
Total Cash Equivalent |
| 22,095 | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.050%, 09/20/12 | $ | 1,645 | $ | 1,644 | ||||
0.031%, 06/28/12 | 968 | 968 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 2,612 | |||||||
|
| |||||||
Total Investments — 105.3% |
| $ | 1,518,547 | |||||
|
|
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Value Fund
March 31, 2012
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 25 | Jun-2012 | $ | 50 | ||||||||
S&P 500 Index E-MINI | 365 | Jun-2012 | 579 | |||||||||
|
| |||||||||||
$ | 629 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $1,442,034 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $86,587 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total market value of such securities as of March 31, 2012 was $83,627 ($ 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 & Poor’s
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,402,487 | $ | — | $ | — | $ | 1,402,487 | ||||||||
Exchange Traded Fund | 7,726 | — | — | 7,726 | ||||||||||||
U.S. Treasury Obligations | — | 2,612 | — | 2,612 | ||||||||||||
Affiliated Partnership | — | 83,627 | — | 83,627 | ||||||||||||
Cash Equivalent | 22,095 | — | — | 22,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,432,308 | $ | 86,239 | $ | — | $ | 1,518,547 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 629 | $ | — | $ | — | $ | 629 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 629 | $ | — | $ | — | $ | 629 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Growth Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.6%‡ |
| |||||||
Consumer Discretionary — 15.2% |
| |||||||
Abercrombie & Fitch, Cl A | 25,900 | $ | 1,285 | |||||
Advance Auto Parts | 13,300 | 1,178 | ||||||
Amazon.com * | 37,500 | 7,594 | ||||||
Apollo Group, Cl A * (A) | 317,900 | 12,284 | ||||||
Autonation * (A) | 13,800 | 473 | ||||||
Autozone * | 14,669 | 5,454 | ||||||
Bed Bath & Beyond * | 57,300 | 3,769 | ||||||
Big Lots * | 4,900 | 211 | ||||||
Chipotle Mexican Grill, Cl A * (A) | 20,400 | 8,527 | ||||||
Coach | 200,591 | 15,502 | ||||||
Comcast, Cl A | 3,600 | 108 | ||||||
Ctrip.com International ADR * (A) | 242,700 | 5,252 | ||||||
Deckers Outdoor * (A) | 14,700 | 927 | ||||||
DIRECTV, Cl A * | 138,000 | 6,809 | ||||||
DISH Network, Cl A | 400 | 13 | ||||||
Dollar General * | 83,000 | 3,834 | ||||||
Dollar Tree * | 81,900 | 7,739 | ||||||
Expedia (A) | 29,100 | 973 | ||||||
Fossil * | 104,786 | 13,830 | ||||||
Garmin (A) | 2,300 | 108 | ||||||
Genuine Parts | 31,700 | 1,989 | ||||||
H&R Block | 14,800 | 244 | ||||||
Harley-Davidson | 9,900 | 486 | ||||||
Home Depot | 13,100 | 659 | ||||||
John Wiley & Sons, Cl A | 7,100 | 338 | ||||||
Las Vegas Sands | 38,500 | 2,217 | ||||||
Limited Brands (A) | 153,700 | 7,378 | ||||||
LKQ * | 48,400 | 1,509 | ||||||
Macy’s | 34,100 | 1,355 | ||||||
Mattel (A) | 110,900 | 3,733 | ||||||
McDonald’s | 149,500 | 14,666 | ||||||
McGraw-Hill | 31,400 | 1,522 | ||||||
Nike, Cl B | 151,950 | 16,477 | ||||||
Nordstrom | 39,800 | 2,218 | ||||||
O’Reilly Automotive * | 67,600 | 6,175 | ||||||
PetSmart | 25,600 | 1,465 | ||||||
Polaris Industries (A) | 45,600 | 3,290 | ||||||
priceline.com * (A) | 32,625 | 23,408 | ||||||
PVH | 1,300 | 116 | ||||||
Ralph Lauren, Cl A | 8,400 | 1,464 | ||||||
Ross Stores | 131,800 | 7,658 | ||||||
Sally Beauty Holdings * | 63,600 | 1,577 | ||||||
Staples (A) | 699,100 | 11,311 | ||||||
Starbucks | 78,100 | 4,365 | ||||||
Target | 11,200 | 652 | ||||||
Tempur-Pedic International * | 14,900 | 1,258 | ||||||
Tesla Motors * (A) | 11,200 | 417 | ||||||
Tiffany | 26,800 | 1,853 | ||||||
Time Warner Cable, Cl A | 1,700 | 138 | ||||||
TJX | 130,100 | 5,166 | ||||||
Tractor Supply (A) | 47,900 | 4,338 | ||||||
TripAdvisor * (A) | 28,700 | 1,024 | ||||||
Tupperware Brands | 14,400 | 914 | ||||||
Ulta Salon Cosmetics & Fragrance | 8,300 | 771 | ||||||
Under Armour, Cl A * (A) | 10,400 | 978 | ||||||
Viacom, Cl B | 66,600 | 3,161 |
Description | Shares | Market Value ($ Thousands) | ||||||
Weight Watchers International (A) | 600 | $ | 46 | |||||
Wynn Resorts (A) | 13,500 | 1,686 | ||||||
Yum! Brands | 5,000 | 356 | ||||||
|
| |||||||
234,248 | ||||||||
|
| |||||||
Consumer Staples — 8.6% | ||||||||
Altria Group | 504,197 | 15,565 | ||||||
Brown-Forman, Cl B | 4,300 | 359 | ||||||
Church & Dwight | 65,900 | 3,242 | ||||||
Coca-Cola | 28,262 | 2,092 | ||||||
Coca-Cola Enterprises | 39,100 | 1,118 | ||||||
Colgate-Palmolive | 29,200 | 2,855 | ||||||
ConAgra Foods | 18,100 | 475 | ||||||
Corn Products International | 3,800 | 219 | ||||||
Costco Wholesale | 254,107 | 23,073 | ||||||
Estee Lauder, Cl A | 269,158 | 16,672 | ||||||
Flowers Foods (A) | 57,200 | 1,165 | ||||||
Green Mountain Coffee Roasters * (A) | 32,700 | 1,532 | ||||||
Herbalife | 54,400 | 3,744 | ||||||
Hershey | 7,400 | 454 | ||||||
HJ Heinz (A) | 30,000 | 1,606 | ||||||
Hormel Foods | 56,700 | 1,674 | ||||||
Kimberly-Clark | 1,400 | 103 | ||||||
Mead Johnson Nutrition, Cl A | 222,355 | 18,340 | ||||||
Monster Beverage * | 103,000 | 6,395 | ||||||
Philip Morris International | 192,797 | 17,084 | ||||||
Reynolds American | 60,500 | 2,507 | ||||||
Sara Lee | 109,300 | 2,353 | ||||||
Walgreen | 249,600 | 8,359 | ||||||
Whole Foods Market | 20,100 | 1,672 | ||||||
|
| |||||||
132,658 | ||||||||
|
| |||||||
Energy — 10.3% | ||||||||
Atwood Oceanics * | 6,100 | 274 | ||||||
Baker Hughes | 2,000 | 84 | ||||||
Cabot Oil & Gas | 184,100 | 5,738 | ||||||
Cameron International * | 24,200 | 1,279 | ||||||
Canadian Natural Resources | 371,681 | 12,332 | ||||||
CARBO Ceramics (A) | 900 | 95 | ||||||
Chevron | 47,100 | 5,051 | ||||||
Concho Resources * | 11,600 | 1,184 | ||||||
Continental Resources * | 10,400 | 893 | ||||||
Core Laboratories (A) | 122,781 | 16,154 | ||||||
Dresser-Rand Group * | 3,200 | 148 | ||||||
El Paso | 497,600 | 14,704 | ||||||
EOG Resources | 220,500 | 24,498 | ||||||
EQT | 37,900 | 1,827 | ||||||
Exxon Mobil | 193,300 | 16,765 | ||||||
FMC Technologies * (A) | 386,381 | 19,481 | ||||||
Halliburton | 9,700 | 322 | ||||||
HollyFrontier | 94,460 | 3,037 | ||||||
Kinder Morgan (A) | 185,200 | 7,158 | ||||||
Noble Energy | 8,800 | 860 | ||||||
Oceaneering International | 17,000 | 916 | ||||||
Oil States International * | 14,700 | 1,148 | ||||||
Range Resources | 127,100 | 7,390 | ||||||
Schlumberger | 222,953 | 15,591 | ||||||
SM Energy | 21,500 | 1,522 | ||||||
Southwestern Energy * | 3,800 | 116 | ||||||
|
| |||||||
158,567 | ||||||||
|
|
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Growth Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Financials — 5.6% | ||||||||
American Express | 43,600 | $ | 2,522 | |||||
American Tower, Cl A † | 3,900 | 246 | ||||||
Boston Properties † | 26,600 | 2,793 | ||||||
Camden Property Trust † (A) | 17,700 | 1,164 | ||||||
Charles Schwab (A) | 849,306 | 12,205 | ||||||
CME Group | 50,950 | 14,741 | ||||||
Digital Realty Trust † (A) | 63,000 | 4,660 | ||||||
Discover Financial Services | 13,400 | 447 | ||||||
Equity Residential † | 4,400 | 276 | ||||||
Erie Indemnity, Cl A | 800 | 62 | ||||||
Essex Property Trust † (A) | 12,100 | 1,833 | ||||||
Federal Realty Investment Trust † | 500 | 48 | ||||||
IntercontinentalExchange * | 126,650 | 17,404 | ||||||
Moody’s (A) | 9,300 | 392 | ||||||
Progressive | 743,686 | 17,239 | ||||||
Public Storage † | 32,800 | 4,532 | ||||||
Rayonier † | 17,450 | 769 | ||||||
Simon Property Group † | 29,300 | 4,268 | ||||||
UDR † | 5,900 | 158 | ||||||
Wells Fargo | 3,900 | 133 | ||||||
|
| |||||||
85,892 | ||||||||
|
| |||||||
Health Care — 12.1% | ||||||||
Abbott Laboratories | 81,000 | 4,965 | ||||||
Alexion Pharmaceuticals * (A) | 140,300 | 13,028 | ||||||
Allergan | 270,700 | 25,833 | ||||||
AMERIGROUP * | 1,600 | 108 | ||||||
AmerisourceBergen | 87,300 | 3,464 | ||||||
Baxter International | 14,700 | 879 | ||||||
Becton Dickinson | 1,000 | 78 | ||||||
Biogen Idec * | 77,300 | 9,737 | ||||||
BioMarin Pharmaceuticals * (A) | 73,300 | 2,510 | ||||||
C.R. Bard | 13,200 | 1,303 | ||||||
Cardinal Health | 44,500 | 1,918 | ||||||
Celgene * | 55,400 | 4,295 | ||||||
Cerner * (A) | 45,000 | 3,427 | ||||||
Covance * (A) | 216,429 | 10,309 | ||||||
DaVita * | 181,510 | 16,367 | ||||||
Eli Lilly | 25,600 | 1,031 | ||||||
Express Scripts * (A) | 378,689 | 20,517 | ||||||
HCA Holdings | 5,200 | 129 | ||||||
Idexx Laboratories * (A) | 144,760 | 12,659 | ||||||
Intuitive Surgical * (A) | 35,508 | 19,237 | ||||||
Johnson & Johnson | 3,100 | 204 | ||||||
McKesson | 2,700 | 237 | ||||||
Novo Nordisk ADR (A) | 110,532 | 15,332 | ||||||
Perrigo (A) | 143,650 | 14,840 | ||||||
Thoratec * | 24,900 | 839 | ||||||
Vertex Pharmaceuticals * | 600 | 25 | ||||||
Watson Pharmaceuticals * | 51,400 | 3,447 | ||||||
|
| |||||||
186,718 | ||||||||
|
| |||||||
Industrials — 8.1% | ||||||||
BE Aerospace * | 7,400 | 344 | ||||||
C.H. Robinson Worldwide | 7,200 | 471 | ||||||
Caterpillar | 95,400 | 10,162 | ||||||
Chicago Bridge & Iron | 2,800 | 121 | ||||||
Copa Holdings, Cl A | 16,600 | 1,315 | ||||||
Copart * | 29,800 | 777 |
Description | Shares | Market Value ($ Thousands) | ||||||
CSX | 4,200 | $ | 90 | |||||
Danaher | 314,206 | 17,596 | ||||||
Donaldson | 59,400 | 2,122 | ||||||
Expeditors International of Washington | 230,100 | 10,702 | ||||||
Fastenal (A) | 153,200 | 8,288 | ||||||
Fluor | 293,051 | 17,595 | ||||||
Gardner Denver | 8,800 | 555 | ||||||
Joy Global | 2,900 | 213 | ||||||
Kansas City Southern | 55,500 | 3,979 | ||||||
Kirby * | 5,200 | 342 | ||||||
Landstar System | 3,100 | 179 | ||||||
Lincoln Electric Holdings | 2,700 | 122 | ||||||
Lockheed Martin (A) | 900 | 81 | ||||||
MSC Industrial Direct, Cl A | 3,500 | 291 | ||||||
Nielsen Holdings * | 4,800 | 145 | ||||||
Pall | 7,000 | 417 | ||||||
Precision Castparts | 35,700 | 6,173 | ||||||
Roper Industries | 139,873 | 13,870 | ||||||
Stericycle * | 214,031 | 17,902 | ||||||
TransDigm Group * | 27,500 | 3,183 | ||||||
Union Pacific | 3,000 | 322 | ||||||
Waste Connections | 72,100 | 2,345 | ||||||
WW Grainger (A) | 26,600 | 5,714 | ||||||
|
| |||||||
125,416 | ||||||||
|
| |||||||
Information Technology — 33.9% | ||||||||
Accenture, Cl A (A) | 335,459 | 21,637 | ||||||
Adobe Systems * | 499,800 | 17,148 | ||||||
Alliance Data Systems * (A) | 37,700 | 4,749 | ||||||
Amphenol, Cl A | 287,284 | 17,171 | ||||||
Ansys * | 179,747 | 11,687 | ||||||
Apple * | 151,731 | 90,957 | ||||||
Ariba * | 2,900 | 95 | ||||||
Automatic Data Processing | 69,400 | 3,830 | ||||||
Cadence Design Systems * | 75,100 | 889 | ||||||
Citrix Systems * | 146,009 | 11,522 | ||||||
Cognizant Technology Solutions, Cl A * | 174,289 | 13,411 | ||||||
Dell * | 7,200 | 120 | ||||||
Electronic Arts * | 159,100 | 2,622 | ||||||
F5 Networks * | 4,100 | 553 | ||||||
Genpact * | 544,823 | 8,881 | ||||||
Google, Cl A * | 72,761 | 46,657 | ||||||
International Business Machines | 72,574 | 15,142 | ||||||
Intuit | 314,400 | 18,905 | ||||||
Iron Mountain (A) | 95,100 | 2,739 | ||||||
Kla-Tencor | 54,200 | 2,950 | ||||||
Mastercard, Cl A | 105,511 | 44,372 | ||||||
Maxim Integrated Products | �� | 9,400 | 269 | |||||
Microchip Technology (A) | 47,400 | 1,763 | ||||||
Microsoft | 277,458 | 8,948 | ||||||
National Instruments | 414,783 | 11,830 | ||||||
NetApp * | 327,418 | 14,658 | ||||||
NeuStar, Cl A * | 47,600 | 1,773 | ||||||
Nuance Communications * (A) | 151,200 | 3,868 | ||||||
Polycom * | 391,800 | 7,472 | ||||||
Qualcomm | 685,966 | 46,659 | ||||||
Rackspace Hosting * | 3,100 | 179 | ||||||
Red Hat * | 37,100 | 2,222 | ||||||
Salesforce.com * (A) | 96,985 | 14,985 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Growth Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Silicon Laboratories * | 7,100 | $ | 305 | |||||
Teradata * | 294,600 | 20,077 | ||||||
TIBCO Software * | 55,700 | 1,699 | ||||||
VeriSign | 447,200 | 17,146 | ||||||
Visa, Cl A | 243,650 | 28,751 | ||||||
VMware, Cl A * | 27,200 | 3,056 | ||||||
|
| |||||||
521,697 | ||||||||
|
| |||||||
Materials — 2.1% | ||||||||
Airgas | 33,100 | 2,945 | ||||||
Allied Nevada Gold * (A) | 4,200 | 136 | ||||||
Carpenter Technology | 2,200 | 115 | ||||||
Celanese, Ser A | 17,300 | 799 | ||||||
CF Industries Holdings | 33,100 | 6,046 | ||||||
Ecolab (A) | 26,300 | 1,623 | ||||||
Monsanto | 46,800 | 3,733 | ||||||
Praxair | 11,700 | 1,341 | ||||||
Royal Gold | 39,400 | 2,570 | ||||||
Sigma-Aldrich | 2,100 | 154 | ||||||
Syngenta ADR (A) | 192,696 | 13,263 | ||||||
|
| |||||||
32,725 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
Crown Castle International * | 425,900 | 22,717 | ||||||
Utilities — 0.2% | ||||||||
ITC Holdings (A) | 26,300 | 2,024 | ||||||
Oneok | 5,600 | 457 | ||||||
|
| |||||||
2,481 | ||||||||
|
| |||||||
Total Common Stock |
| 1,503,119 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 13.2% |
| |||||||
SEI Liquidity Fund, L.P. 0.180%**†† (B) | 207,165,977 | 202,956 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 202,956 | ||||||
|
| |||||||
CASH EQUIVALENTS — 2.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 40,012,205 | 40,012 | ||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010% | 2,829,259 | 2,829 | ||||||
|
| |||||||
Total Cash Equivalents |
| 42,841 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills |
| |||||||
0.051%, 09/20/12 | $ | 1,586 | 1,585 | |||||
0.040%, 06/28/12 | 45 | 45 | ||||||
0.030%, 06/21/12 | 312 | 312 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.003%, 07/26/12 | $ | 803 | $ | 803 | ||||
|
| |||||||
Total U.S. Treasury Obligations |
| 2,745 | ||||||
|
| |||||||
Total Investments — 113.8% |
| $ | 1,751,661 | |||||
|
|
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Growth Fund
March 31, 2012
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 29 | Jun-2012 | $ | 106 | ||||||||
S&P 500 Index E-MINI | 440 | Jun-2012 | 1,167 | |||||||||
|
| |||||||||||
$ | 1,273 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $1,539,846 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | 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 March 31, 2012. The total market value of securities on loan at March 31, 2012 was $202,863 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2012 was $202,956 ($ 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 & Poor’s
Ser — Series
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,503,119 | $ | — | $ | — | $ | 1,503,119 | ||||||||
U.S. Treasury Obligations | — | 2,745 | — | 2,745 | ||||||||||||
Affiliated Partnership | — | 202,956 | — | 202,956 | ||||||||||||
Cash Equivalents | 40,012 | 2,829 | — | 42,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,543,131 | $ | 208,530 | $ | — | $ | 1,751,661 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 1,273 | $ | — | $ | — | $ | 1,273 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,273 | $ | — | $ | — | $ | 1,273 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
4 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.8% | ||||||||
Consumer Discretionary — 14.0% |
| |||||||
Amazon.com * | 5,145 | $ | 1,042 | |||||
AMC Networks, Cl A * | 1,675 | 75 | ||||||
American Eagle Outfitters | 1,215 | 21 | ||||||
Apollo Group, Cl A * | 209,236 | 8,085 | ||||||
Autoliv (A) | 22,650 | 1,519 | ||||||
Bed Bath & Beyond * | 161,314 | 10,610 | ||||||
Best Buy (A) | 132,389 | 3,135 | ||||||
Big Lots * | 33,557 | 1,444 | ||||||
BorgWarner * (A) | 7,072 | 596 | ||||||
Brinker International | 3,400 | 94 | ||||||
Cablevision Systems, Cl A | 6,700 | 98 | ||||||
Career Education * | 150,984 | 1,217 | ||||||
Carmax * (A) | 1,883 | 65 | ||||||
Carnival | 9,000 | 289 | ||||||
CBS, Cl B | 438,672 | 14,875 | ||||||
Chico’s FAS | 4,700 | 71 | ||||||
Coach | 267,190 | 20,648 | ||||||
Comcast, Cl A | 79,363 | 2,382 | ||||||
Ctrip.com International ADR * (A) | 82,944 | 1,795 | ||||||
Darden Restaurants | 3,127 | 160 | ||||||
DeVry | 1,021 | 35 | ||||||
Dick’s Sporting Goods | 3,700 | 178 | ||||||
Dillard’s, Cl A (A) | 19,500 | 1,229 | ||||||
DIRECTV, Cl A * | 81,376 | 4,015 | ||||||
Discovery Communications, Cl A * (A) | 51,104 | 2,586 | ||||||
DISH Network, Cl A | 64,063 | 2,110 | ||||||
DR Horton (A) | 6,500 | 99 | ||||||
Family Dollar Stores | 701 | 44 | ||||||
Foot Locker (A) | 30,000 | 931 | ||||||
Ford Motor | 214,847 | 2,683 | ||||||
Fossil * | 52,500 | 6,929 | ||||||
GameStop, Cl A (A) | 69,722 | 1,523 | ||||||
Gannett (A) | 33,906 | 520 | ||||||
Gap | 213,719 | 5,587 | ||||||
Garmin (A) | 2,100 | 99 | ||||||
General Motors * | 63,000 | 1,616 | ||||||
Gentex (A) | 5,500 | 135 | ||||||
Genuine Parts | 2,400 | 151 | ||||||
Goodyear Tire & Rubber * | 71,172 | 798 | ||||||
Guess? | 10,866 | 340 | ||||||
H&R Block | 50,000 | 823 | ||||||
Harley-Davidson | 184,226 | 9,042 | ||||||
Harman International Industries | 20,969 | 981 | ||||||
Hasbro | 23,208 | 852 | ||||||
Home Depot | 119,110 | 5,992 | ||||||
Interpublic Group | 43,000 | 491 | ||||||
ITT Educational Services * (A) | 16,649 | 1,101 | ||||||
J.C. Penney (A) | 4,030 | 143 | ||||||
Jarden (A) | 4,100 | 165 | ||||||
Johnson Controls | 245,802 | 7,984 | ||||||
Kohl’s | 37,768 | 1,890 | ||||||
Lamar Advertising, Cl A * | 7,300 | 237 | ||||||
Las Vegas Sands | 13,594 | 782 | ||||||
Leggett & Platt (A) | 9,000 | 207 | ||||||
Lennar, Cl A (A) | 5,100 | 139 | ||||||
Liberty Global, Cl A * | 14,200 | 711 |
Description | Shares | Market Value ($ Thousands) | ||||||
Liberty Media - Capital, Cl A | 2,934 | $ | 259 | |||||
Liberty Media - Interactive, Cl A * | 6,450 | 123 | ||||||
Limited Brands | 11,490 | 551 | ||||||
Lowe’s | 408,903 | 12,831 | ||||||
Macy’s | 266,109 | 10,572 | ||||||
Marriott International, Cl A | 7,099 | 269 | ||||||
Marriott Vacations Worldwide * | 709 | 20 | ||||||
McDonald’s | 86,771 | 8,512 | ||||||
McGraw-Hill | 5,300 | 257 | ||||||
Mohawk Industries * | 2,829 | 188 | ||||||
News, Cl A | 256,336 | 5,047 | ||||||
Nike, Cl B | 151,534 | 16,432 | ||||||
Nordstrom | 157,815 | 8,793 | ||||||
NVR * | 100 | 73 | ||||||
Omnicom Group | 15,735 | 797 | ||||||
Orchard Supply Hardware Stores * (A) | 40 | — | ||||||
O’Reilly Automotive * (A) | 3,509 | 321 | ||||||
PetSmart | 1,608 | 92 | ||||||
Polaris Industries | 600 | 43 | ||||||
priceline.com * (A) | 17,269 | 12,391 | ||||||
Pulte Homes * (A) | 62,370 | 552 | ||||||
Ralph Lauren, Cl A | 18,063 | 3,149 | ||||||
Ross Stores | 3,142 | 183 | ||||||
Royal Caribbean Cruises | 3,900 | 115 | ||||||
Sears Holdings * | 900 | 60 | ||||||
Service International | 31,000 | 349 | ||||||
Sirius XM Radio * (A) | 19,560 | 45 | ||||||
Staples (A) | 397,863 | 6,437 | ||||||
Starbucks | 48,814 | 2,728 | ||||||
Starwood Hotels & Resorts Worldwide | 11,155 | 629 | ||||||
Target | 246,633 | 14,371 | ||||||
Tempur-Pedic International * | 6,400 | 540 | ||||||
Thomson Reuters (A) | 15,000 | 433 | ||||||
Tiffany | 1,800 | 124 | ||||||
Time Warner (A) | 48,991 | 1,849 | ||||||
Time Warner Cable, Cl A (A) | 139,620 | 11,379 | ||||||
TJX | 4,954 | 197 | ||||||
Under Armour, Cl A * (A) | 32,000 | 3,008 | ||||||
Urban Outfitters * | 763 | 22 | ||||||
VF | 4,711 | 688 | ||||||
Viacom, Cl B | 10,400 | 494 | ||||||
Virgin Media (A) | 12,500 | 312 | ||||||
Walt Disney | 54,907 | 2,404 | ||||||
Washington Post, Cl B (A) | 1,797 | 671 | ||||||
Whirlpool | 20,571 | 1,581 | ||||||
Wyndham Worldwide | 68,000 | 3,163 | ||||||
|
| |||||||
264,423 | ||||||||
|
| |||||||
Consumer Staples — 8.8% |
| |||||||
Altria Group | 93,890 | 2,898 | ||||||
Anheuser-Busch InBev ADR (A) | 74,744 | 5,435 | ||||||
Archer-Daniels-Midland | 86,058 | 2,725 | ||||||
Beam | 40,646 | 2,381 | ||||||
Bunge (A) | 18,000 | 1,232 | ||||||
Campbell Soup (A) | 11,043 | 374 | ||||||
Clorox | 31,046 | 2,134 | ||||||
Coca-Cola | 41,544 | 3,075 | ||||||
Coca-Cola Enterprises | 26,000 | 743 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Colgate-Palmolive (A) | 5,620 | $ | 549 | |||||
ConAgra Foods | 95,828 | 2,516 | ||||||
Constellation Brands, Cl A * | 10,975 | 259 | ||||||
Corn Products International | 30,800 | 1,776 | ||||||
Costco Wholesale | 224,489 | 20,384 | ||||||
CVS Caremark | 171,204 | 7,670 | ||||||
Dr Pepper Snapple Group (A) | 25,908 | 1,042 | ||||||
Energizer Holdings * | 1,628 | 121 | ||||||
Estee Lauder, Cl A | 186,759 | 11,568 | ||||||
General Mills | 5,168 | 204 | ||||||
Herbalife | 19,200 | 1,321 | ||||||
Hershey | 1,160 | 71 | ||||||
Kellogg | 3,608 | 193 | ||||||
Kimberly-Clark | 41,873 | 3,094 | ||||||
Kraft Foods, Cl A | 55,929 | 2,126 | ||||||
Kroger | 205,356 | 4,976 | ||||||
Lorillard | 37,895 | 4,907 | ||||||
Mead Johnson Nutrition, Cl A | 164,728 | 13,587 | ||||||
PepsiCo | 34,011 | 2,257 | ||||||
Philip Morris International | 191,743 | 16,990 | ||||||
Procter & Gamble | 224,889 | 15,115 | ||||||
Reynolds American | 11,800 | 489 | ||||||
Safeway (A) | 130,402 | 2,635 | ||||||
Sara Lee | 12,100 | 261 | ||||||
Smithfield Foods * | 43,000 | 947 | ||||||
SYSCO (A) | 16,919 | 505 | ||||||
Tyson Foods, Cl A | 104,200 | 1,995 | ||||||
Walgreen | 173,115 | 5,798 | ||||||
Wal-Mart Stores | 137,207 | 8,397 | ||||||
Whole Foods Market | 157,273 | 13,085 | ||||||
|
| |||||||
165,835 | ||||||||
|
| |||||||
Energy — 9.6% |
| |||||||
Apache | 25,708 | 2,582 | ||||||
Baker Hughes | 2,758 | 116 | ||||||
Cameron International * | 613 | 32 | ||||||
Canadian Natural Resources | 130,610 | 4,334 | ||||||
Chesapeake Energy | 4,174 | 97 | ||||||
Chevron | 256,399 | 27,496 | ||||||
Cimarex Energy (A) | 5,845 | 441 | ||||||
Concho Resources * | 900 | 92 | ||||||
ConocoPhillips | 301,131 | 22,889 | ||||||
Core Laboratories (A) | 49,982 | 6,576 | ||||||
Devon Energy | 75,736 | 5,386 | ||||||
El Paso | 208,109 | 6,150 | ||||||
Energen | 750 | 37 | ||||||
EOG Resources | 114,060 | 12,672 | ||||||
EQT | 2,100 | 101 | ||||||
Exxon Mobil | 251,996 | 21,856 | ||||||
FMC Technologies * (A) | 139,460 | 7,032 | ||||||
Halliburton | 201,940 | 6,702 | ||||||
Helmerich & Payne (A) | 5,457 | 295 | ||||||
Hess | 61,389 | 3,619 | ||||||
HollyFrontier | 3,400 | 109 | ||||||
Kinder Morgan (A) | 79,000 | 3,053 | ||||||
Marathon Oil | 199,120 | 6,312 | ||||||
Marathon Petroleum | 66,967 | 2,904 | ||||||
Murphy Oil | 89,894 | 5,058 | ||||||
National Oilwell Varco | 33,732 | 2,681 | ||||||
Newfield Exploration * | 2,500 | 87 | ||||||
Noble Energy | 41,443 | 4,052 | ||||||
Occidental Petroleum | 31,980 | 3,045 |
Description | Shares | Market Value ($ Thousands) | ||||||
Oceaneering International | 7,800 | $ | 420 | |||||
Oil States International * | 3,100 | 242 | ||||||
Patterson-UTI Energy | 20,184 | 349 | ||||||
Peabody Energy | 5,300 | 153 | ||||||
Pioneer Natural Resources | 4,944 | 552 | ||||||
Plains Exploration & Production * | 2,500 | 107 | ||||||
QEP Resources | 3,500 | 107 | ||||||
Quicksilver Resources * (A) | 166,107 | 837 | ||||||
Range Resources | 11,082 | 644 | ||||||
Schlumberger | 153,284 | 10,719 | ||||||
SM Energy | 1,000 | 71 | ||||||
Spectra Energy | 20,995 | 662 | ||||||
Sunoco | 1,900 | 72 | ||||||
Teekay Shipping | 3,100 | 108 | ||||||
Tesoro * | 97,403 | 2,614 | ||||||
Tidewater | 1,850 | 100 | ||||||
Unit * | 9,200 | 393 | ||||||
Valero Energy (A) | 286,524 | 7,384 | ||||||
Whiting Petroleum * | 3,400 | 185 | ||||||
Williams | 19,629 | 605 | ||||||
WPX Energy * | 9,876 | 178 | ||||||
|
| |||||||
182,308 | ||||||||
|
| |||||||
Financials — 14.1% |
| |||||||
ACE | 70,425 | 5,155 | ||||||
Affiliated Managers Group * | 1,000 | 112 | ||||||
Aflac | 20,890 | 961 | ||||||
Alleghany * | 260 | 85 | ||||||
Allied World Assurance Holdings | 8,859 | 608 | ||||||
Allstate | 84,190 | 2,772 | ||||||
American Express | 50,011 | 2,894 | ||||||
American Financial Group | 70,055 | 2,703 | ||||||
American Tower, Cl A † | 129,948 | 8,189 | ||||||
Ameriprise Financial | 66,993 | 3,827 | ||||||
Annaly Capital Management † | 50,840 | 804 | ||||||
AON | 4,050 | 199 | ||||||
Apartment Investment & Management, Cl A † | 8,615 | 228 | ||||||
Arthur J. Gallagher (A) | 12,424 | 444 | ||||||
Assurant | 141,261 | 5,721 | ||||||
AvalonBay Communities † | 1,900 | 269 | ||||||
Axis Capital Holdings | 15,688 | 520 | ||||||
Bank of America | 929,629 | 8,897 | ||||||
Bank of New York Mellon | 78,638 | 1,897 | ||||||
BB&T (A) | 11,249 | 353 | ||||||
Berkshire Hathaway, Cl B * | 91,540 | 7,428 | ||||||
BlackRock (A) | 4,902 | 1,004 | ||||||
Boston Properties † | 4,827 | 507 | ||||||
Brandywine Realty Trust † | 101,137 | 1,161 | ||||||
Camden Property Trust † | 2,200 | 145 | ||||||
Capital One Financial | 246,210 | 13,724 | ||||||
CBL & Associates Properties † | 28,663 | 542 | ||||||
CBRE Group, Cl A * | 2,800 | 56 | ||||||
Charles Schwab (A) | 367,228 | 5,277 | ||||||
Chimera Investment † | 142,496 | 403 | ||||||
Chubb | 90,164 | 6,231 | ||||||
Citigroup | 446,733 | 16,328 | ||||||
City National (A) | 6,962 | 365 | ||||||
CME Group | 27,066 | 7,831 | ||||||
Comerica | 4,600 | 149 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Commerce Bancshares | 7,568 | $ | 307 | |||||
Cullen/Frost Bankers | 6,247 | 364 | ||||||
Digital Realty Trust † (A) | 1,300 | 96 | ||||||
Discover Financial Services | 238,155 | 7,940 | ||||||
Duke Realty † (A) | 21,100 | 303 | ||||||
E*Trade Financial * | 7,000 | 77 | ||||||
Equity Residential † | 4,687 | 293 | ||||||
Everest Re Group | 17,723 | 1,640 | ||||||
Federal Realty Investment Trust † | 800 | 77 | ||||||
Fidelity National Financial, Cl A | 5,399 | 97 | ||||||
Fifth Third Bancorp | 357,498 | 5,023 | ||||||
First Citizens BancShares, Cl A | 600 | 110 | ||||||
First Horizon National (A) | 60,538 | 628 | ||||||
First Republic Bank * | 16,377 | 540 | ||||||
Forest City Enterprises, Cl A * (A) | 9,800 | 154 | ||||||
Franklin Resources | 3,796 | 471 | ||||||
Genworth Financial, Cl A * | 3,086 | 26 | ||||||
Goldman Sachs Group | 20,792 | 2,586 | ||||||
Hartford Financial Services Group | 92,435 | 1,949 | ||||||
HCC Insurance Holdings | 24,132 | 752 | ||||||
HCP † | 11,000 | 434 | ||||||
Hospitality Properties Trust † | 59,114 | 1,565 | ||||||
Howard Hughes * | 295 | 19 | ||||||
Huntington Bancshares | 673,219 | 4,342 | ||||||
IntercontinentalExchange * (A) | 68,122 | 9,361 | ||||||
Invesco | 6,000 | 160 | ||||||
Jefferies Group (A) | 7,900 | 149 | ||||||
Jones Lang LaSalle | 5,191 | 432 | ||||||
JPMorgan Chase | 636,691 | 29,275 | ||||||
Kemper | 4,900 | 148 | ||||||
Keycorp | 865,557 | 7,357 | ||||||
Kimco Realty † (A) | 3,600 | 69 | ||||||
Legg Mason | 2,100 | 59 | ||||||
Liberty Property Trust † | 1,900 | 68 | ||||||
Lincoln National (A) | 118,461 | 3,123 | ||||||
Loews | 31,932 | 1,273 | ||||||
M&T Bank | 5,466 | 475 | ||||||
Macerich † | 5,647 | 326 | ||||||
Mack-Cali Realty † | 2,700 | 78 | ||||||
Marsh & McLennan | 9,266 | 304 | ||||||
Mercury General | 1,700 | 74 | ||||||
MetLife (A) | 32,989 | 1,232 | ||||||
Moody’s | 3,838 | 162 | ||||||
Morgan Stanley | 57,938 | 1,138 | ||||||
New York Community Bancorp (A) | 44,629 | 621 | ||||||
Northern Trust | 1,366 | 65 | ||||||
NYSE Euronext | 4,300 | 129 | ||||||
Old Republic International | 5,100 | 54 | ||||||
PartnerRe (A) | 8,687 | 590 | ||||||
People’s United Financial | 23,725 | 314 | ||||||
Plum Creek Timber † | 10,213 | 424 | ||||||
PNC Financial Services Group | 130,485 | 8,415 | ||||||
Popular * | 157,217 | 322 | ||||||
Principal Financial Group | 8,000 | 236 | ||||||
Progressive (A) | 320,745 | 7,435 | ||||||
ProLogis † | 5,906 | 213 |
Description | Shares | Market Value ($ Thousands) | ||||||
Protective Life (A) | 26,984 | $ | 799 | |||||
Prudential Financial | 87,100 | 5,521 | ||||||
Public Storage † | 4,106 | 567 | ||||||
Raymond James Financial (A) | 12,428 | 454 | ||||||
Rayonier † | 6,900 | 304 | ||||||
Regions Financial | 476,088 | 3,137 | ||||||
Reinsurance Group of America, Cl A | 38,700 | 2,301 | ||||||
Simon Property Group † | 7,748 | 1,129 | ||||||
SLM | 7,400 | 116 | ||||||
StanCorp Financial Group (A) | 1,500 | 61 | ||||||
State Street | 40,538 | 1,844 | ||||||
SunTrust Banks | 26,282 | 635 | ||||||
T. Rowe Price Group | 5,500 | 359 | ||||||
TD Ameritrade Holding | 4,350 | 86 | ||||||
TFS Financial * (A) | 6,058 | 57 | ||||||
Torchmark (A) | 16,500 | 823 | ||||||
Travelers | 118,288 | 7,003 | ||||||
Unum Group | 119,968 | 2,937 | ||||||
US Bancorp | 133,779 | 4,238 | ||||||
Validus Holdings | 28,272 | 875 | ||||||
Ventas † | 3,400 | 194 | ||||||
Waddell & Reed Financial, Cl A | 2,800 | 91 | ||||||
Weingarten Realty Investors † (A) | 4,600 | 122 | ||||||
Wells Fargo | 594,072 | 20,282 | ||||||
Weyerhaeuser † | 26,849 | 589 | ||||||
|
| |||||||
266,187 | ||||||||
|
| |||||||
Health Care — 12.3% |
| |||||||
Abbott Laboratories | 95,843 | 5,874 | ||||||
Aetna | 141,247 | 7,085 | ||||||
Agilent Technologies | 5,250 | 234 | ||||||
Alere * | 1,700 | 44 | ||||||
Alexion Pharmaceuticals * | 22,000 | 2,043 | ||||||
Allergan | 185,375 | 17,690 | ||||||
AmerisourceBergen | 78,228 | 3,104 | ||||||
Amgen | 226,382 | 15,392 | ||||||
Amylin Pharmaceuticals * (A) | 6,365 | 159 | ||||||
Baxter International | 13,350 | 798 | ||||||
Becton Dickinson (A) | 7,100 | 551 | ||||||
Biogen Idec * | 1,522 | 192 | ||||||
Boston Scientific * | 36,600 | 219 | ||||||
Bristol-Myers Squibb | 18,440 | 622 | ||||||
Bruker BioSciences * | 8,200 | 126 | ||||||
C.R. Bard | 3,700 | 365 | ||||||
Cardinal Health | 49,000 | 2,112 | ||||||
Celgene * | 120,440 | 9,336 | ||||||
Cerner * (A) | 2,200 | 167 | ||||||
Charles River Laboratories International * | 1,600 | 58 | ||||||
Cigna | 14,340 | 706 | ||||||
Community Health Systems * | 70,949 | 1,578 | ||||||
Cooper (A) | 2,100 | 172 | ||||||
Covance * | 108,745 | 5,179 | ||||||
Coventry Health Care | 48,185 | 1,714 | ||||||
Covidien | 59,180 | 3,236 | ||||||
DaVita * | 90,444 | 8,155 | ||||||
Dentsply International (A) | 9,649 | 387 | ||||||
Edwards Lifesciences * | 1,400 | 102 | ||||||
Eli Lilly | 86,200 | 3,471 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Endo Pharmaceuticals Holdings * | 43,600 | $ | 1,689 | |||||
Express Scripts * (A) | 180,763 | 9,794 | ||||||
Forest Laboratories * | 14,194 | 492 | ||||||
Gilead Sciences * | 92,497 | 4,518 | ||||||
Health Net * | 101,243 | 4,021 | ||||||
Henry Schein * | 1,000 | 76 | ||||||
Hologic * | 10,100 | 218 | ||||||
Hospira * | 12,995 | 486 | ||||||
Humana | 64,840 | 5,997 | ||||||
Idexx Laboratories * (A) | 61,178 | 5,350 | ||||||
Intuitive Surgical * | 13,589 | 7,362 | ||||||
Johnson & Johnson | 226,669 | 14,951 | ||||||
Laboratory Corp of America Holdings * | 1,250 | 115 | ||||||
Life Technologies * | 3,691 | 180 | ||||||
McKesson | 35,630 | 3,127 | ||||||
Medco Health Solutions * | 13,673 | 961 | ||||||
Mednax * | 1,500 | 112 | ||||||
Medtronic | 58,427 | 2,290 | ||||||
Merck | 368,556 | 14,153 | ||||||
Mettler Toledo International * | 2,150 | 397 | ||||||
Mylan Laboratories * | 7,475 | 175 | ||||||
Novo Nordisk ADR (A) | 53,951 | 7,484 | ||||||
Omnicare (A) | 82,971 | 2,951 | ||||||
Patterson | 2,100 | 70 | ||||||
PDL BioPharma (A) | 93,974 | 597 | ||||||
PerkinElmer | 5,950 | 165 | ||||||
Perrigo (A) | 48,146 | 4,974 | ||||||
Pfizer | 1,209,742 | 27,413 | ||||||
Quest Diagnostics | 7,672 | 469 | ||||||
St. Jude Medical | 2,921 | 130 | ||||||
SXC Health Solutions * | 5,000 | 375 | ||||||
Techne | 817 | 57 | ||||||
Tenet Healthcare * | 9,200 | 49 | ||||||
Thermo Fisher Scientific | 7,191 | 405 | ||||||
UnitedHealth Group | 139,873 | 8,244 | ||||||
Varian Medical Systems * | 6,849 | 472 | ||||||
Warner Chilcott, Cl A * | 23,517 | 395 | ||||||
Waters * | 1,600 | 148 | ||||||
Watson Pharmaceuticals * | 2,900 | 195 | ||||||
WellPoint | 122,922 | 9,072 | ||||||
Zimmer Holdings | 27,664 | 1,778 | ||||||
|
| |||||||
232,778 | ||||||||
|
| |||||||
Industrials — 8.5% | ||||||||
3M | 12,348 | 1,101 | ||||||
AGCO * | 24,100 | 1,138 | ||||||
Alaska Air Group * | 28,800 | 1,032 | ||||||
Alliant Techsystems | 8,000 | 401 | ||||||
Ametek | 8,400 | 408 | ||||||
Armstrong World Industries | 4,700 | 229 | ||||||
Babcock & Wilcox * | 1,536 | 40 | ||||||
Boeing | 7,170 | 533 | ||||||
C.H. Robinson Worldwide | 2,502 | 164 | ||||||
Carlisle | 1,500 | 75 | ||||||
Caterpillar | 46,700 | 4,975 | ||||||
Chicago Bridge & Iron | 4,600 | 199 | ||||||
CNH Global * | 1,600 | 64 | ||||||
Cooper Industries, Cl A | 5,300 | 339 | ||||||
Crane | 850 | 41 | ||||||
CSX | 35,438 | 763 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cummins | 7,292 | $ | 875 | |||||
Danaher | 150,536 | 8,430 | ||||||
Deere | 7,864 | 636 | ||||||
Delta Air Lines * | 128,100 | 1,269 | ||||||
Donaldson | 3,800 | 136 | ||||||
Dover | 8,100 | 510 | ||||||
Eaton | 12,358 | 616 | ||||||
Emerson Electric | 10,000 | 522 | ||||||
Equifax | 2,500 | 111 | ||||||
Expeditors International of Washington | 114,481 | 5,324 | ||||||
FedEx | 17,933 | 1,649 | ||||||
Flowserve | 2,004 | 232 | ||||||
Fluor | 143,632 | 8,624 | ||||||
Fortune Brands Home & Security * | 1,837 | 40 | ||||||
GATX (A) | 1,600 | 64 | ||||||
General Dynamics | 21,312 | 1,564 | ||||||
General Electric | 1,231,676 | 24,720 | ||||||
Goodrich | 4,976 | 624 | ||||||
Graco | 1,400 | 74 | ||||||
Hertz Global Holdings * | 4,200 | 63 | ||||||
Honeywell International | 80,653 | 4,924 | ||||||
Hubbell, Cl B | 500 | 39 | ||||||
Huntington Ingalls Industries * | 6,935 | 279 | ||||||
Illinois Tool Works | 3,529 | 202 | ||||||
Ingersoll-Rand | 3,300 | 136 | ||||||
Iron Mountain | 3,625 | 104 | ||||||
ITT | 36,000 | 826 | ||||||
Joy Global | 2,600 | 191 | ||||||
Kansas City Southern | 33,374 | 2,392 | ||||||
KBR | 112,724 | 4,007 | ||||||
Kennametal (A) | 15,000 | 668 | ||||||
L-3 Communications Holdings | 54,600 | 3,864 | ||||||
Lockheed Martin (A) | 63,789 | 5,732 | ||||||
Manitowoc | 4,100 | 57 | ||||||
Manpower | 1,700 | 80 | ||||||
Masco | 7,600 | 102 | ||||||
MSC Industrial Direct, Cl A | 2,000 | 167 | ||||||
Navistar International * | 33,350 | 1,349 | ||||||
Norfolk Southern | 58,425 | 3,846 | ||||||
Northrop Grumman (A) | 111,410 | 6,805 | ||||||
Oshkosh Truck * | 16,805 | 389 | ||||||
Owens Corning * | 12,067 | 435 | ||||||
PACCAR | 4,705 | 220 | ||||||
Pall | 56,322 | 3,358 | ||||||
Parker Hannifin | 6,236 | 527 | ||||||
Pentair | 2,400 | 114 | ||||||
Precision Castparts | 62,089 | 10,735 | ||||||
Quanta Services * | 1,386 | 29 | ||||||
Raytheon | 96,869 | 5,113 | ||||||
Republic Services | 2,031 | 62 | ||||||
Robert Half International (A) | 2,900 | 88 | ||||||
Rockwell Automation | 3,000 | 239 | ||||||
Rockwell Collins (A) | 3,450 | 198 | ||||||
Roper Industries | 79,452 | 7,878 | ||||||
Ryder System | 18,990 | 1,003 | ||||||
Shaw Group * | 1,550 | 49 | ||||||
Spirit Aerosystems Holdings, Cl A * | 2,400 | 59 | ||||||
Stanley Black & Decker | 4,250 | 327 | ||||||
Stericycle * (A) | 99,615 | 8,332 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Textron | 5,200 | $ | 145 | |||||
Timken | 57,553 | 2,920 | ||||||
Trinity Industries | 5,700 | 188 | ||||||
Tyco International | 10,911 | 613 | ||||||
Union Pacific | 78,681 | 8,457 | ||||||
United Continental Holdings * (A) | 8,969 | 193 | ||||||
United Parcel Service, Cl B | 8,211 | 663 | ||||||
United Technologies | 23,304 | 1,933 | ||||||
URS | 26,372 | 1,121 | ||||||
Waste Management (A) | 28,334 | 991 | ||||||
WW Grainger | 762 | 164 | ||||||
|
| |||||||
159,898 | ||||||||
|
| |||||||
Information Technology — 23.1% |
| |||||||
Accenture, Cl A (A) | 147,117 | 9,489 | ||||||
Activision Blizzard | 230,241 | 2,951 | ||||||
Adobe Systems * | 477,323 | 16,377 | ||||||
Advanced Micro Devices * | 7,200 | 58 | ||||||
Alliance Data Systems * (A) | 1,100 | 139 | ||||||
Altera | 102,499 | 4,081 | ||||||
Amdocs | 4,458 | 141 | ||||||
Amphenol, Cl A | 141,525 | 8,459 | ||||||
Analog Devices (A) | 10,448 | 422 | ||||||
Ansys * | 88,516 | 5,755 | ||||||
Apple * | 108,901 | 65,283 | ||||||
Applied Materials | 104,000 | 1,294 | ||||||
Arrow Electronics * | 5,000 | 210 | ||||||
Autodesk * | 245,015 | 10,369 | ||||||
Automatic Data Processing | 6,862 | 379 | ||||||
BMC Software * | 6,848 | 275 | ||||||
Broadcom, Cl A | 3,340 | 131 | ||||||
Broadridge Financial Solutions | 7,069 | 169 | ||||||
CA | 95,697 | 2,637 | ||||||
Cadence Design Systems * | 11,100 | 131 | ||||||
Cisco Systems | 657,955 | 13,916 | ||||||
Citrix Systems * | 72,677 | 5,735 | ||||||
Cognizant Technology Solutions, Cl A * | 85,418 | 6,573 | ||||||
Computer Sciences | 20,402 | 611 | ||||||
Convergys * | 742 | 10 | ||||||
Corning | 101,691 | 1,432 | ||||||
Dell * | 183,609 | 3,048 | ||||||
Dolby Laboratories, Cl A * | 1,235 | 47 | ||||||
DST Systems | 18,000 | 976 | ||||||
EchoStar, Cl A * | 3,100 | 87 | ||||||
EMC * | 349,920 | 10,456 | ||||||
Equinix * (A) | 800 | 126 | ||||||
Factset Research Systems | 900 | 89 | ||||||
Fidelity National Information Services | 1,651 | 55 | ||||||
Fiserv * (A) | 6,500 | 451 | ||||||
Flir Systems | 1,900 | 48 | ||||||
Genpact * | 209,660 | 3,417 | ||||||
Global Payments | 8,847 | 420 | ||||||
Google, Cl A * | 46,833 | 30,031 | ||||||
Harris (A) | 30,100 | 1,357 | ||||||
Hewlett-Packard | 122,046 | 2,908 | ||||||
IAC | 1,076 | 53 | ||||||
Ingram Micro, Cl A * | 39,100 | 726 | ||||||
Intel | 1,009,876 | 28,388 |
Description | Shares | Market Value ($ Thousands) | ||||||
International Business Machines | 63,960 | $ | 13,345 | |||||
International Rectifier * | 3,500 | 81 | ||||||
Intuit | 224,464 | 13,497 | ||||||
IPG Photonics * | 1,600 | 83 | ||||||
JDS Uniphase * | 3,700 | 54 | ||||||
Juniper Networks * | 23,000 | 526 | ||||||
Kla-Tencor | 1,400 | 76 | ||||||
Lam Research * (A) | 5,300 | 236 | ||||||
Lender Processing Services | 92,511 | 2,405 | ||||||
Lexmark International, Cl A | 45,340 | 1,507 | ||||||
LSI Logic * | 32,781 | 285 | ||||||
Marvell Technology Group * | 80,863 | 1,272 | ||||||
Mastercard, Cl A | 62,152 | 26,137 | ||||||
Maxim Integrated Products | 4,600 | 131 | ||||||
Microchip Technology (A) | 124,608 | 4,635 | ||||||
Micron Technology * | 5,459 | 44 | ||||||
Microsoft | 311,812 | 10,056 | ||||||
Monster Worldwide * | 3,200 | 31 | ||||||
Motorola Solutions | 15,759 | 801 | ||||||
National Instruments | 189,291 | 5,398 | ||||||
NetApp * | 219,027 | 9,806 | ||||||
Nuance Communications * (A) | 15,000 | 384 | ||||||
Nvidia * | 12,250 | 189 | ||||||
Oracle | 334,634 | 9,758 | ||||||
Polycom * | 193,840 | 3,697 | ||||||
QLogic * | 4,200 | 74 | ||||||
Qualcomm | 494,683 | 33,648 | ||||||
Rackspace Hosting * (A) | 1,378 | 80 | ||||||
Red Hat * | 1,214 | 73 | ||||||
Rovi * | 3,923 | 128 | ||||||
SAIC (A) | 44,279 | 585 | ||||||
Salesforce.com * (A) | 50,501 | 7,803 | ||||||
SanDisk * | 1,495 | 74 | ||||||
Seagate Technology | 85,407 | 2,302 | ||||||
Symantec * | 88,766 | 1,660 | ||||||
Tech Data * | 22,300 | 1,210 | ||||||
Teradata * | 110,097 | 7,503 | ||||||
Teradyne * (A) | 9,800 | 166 | ||||||
Texas Instruments | 22,193 | 746 | ||||||
Total System Services | 3,100 | 72 | ||||||
VeriSign (A) | 288,622 | 11,066 | ||||||
Visa, Cl A | 153,968 | 18,168 | ||||||
Vishay Intertechnology * | 112,081 | 1,363 | ||||||
VistaPrint * (A) | 1,200 | 46 | ||||||
VMware, Cl A * | 2,000 | 225 | ||||||
WebMD Health, Cl A * | 1,796 | 46 | ||||||
Western Digital * | 99,685 | 4,126 | ||||||
Xerox | 151,716 | 1,226 | ||||||
Xilinx | 2,300 | 84 | ||||||
Yahoo! * | 14,850 | 226 | ||||||
Zebra Technologies, Cl A * | 2,400 | 99 | ||||||
|
| |||||||
436,943 | ||||||||
|
| |||||||
Materials — 2.6% | ||||||||
Agrium | 25,000 | 2,159 | ||||||
Air Products & Chemicals | 24,350 | 2,235 | ||||||
AK Steel Holding (A) | 2,313 | 18 | ||||||
Alcoa (A) | 73,406 | 736 | ||||||
Allegheny Technologies | 1,800 | 74 | ||||||
Ashland | 6,724 | 411 | ||||||
Ball | 1,057 | 45 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Bemis (A) | 2,400 | $ | 78 | |||||
Cabot | 18,468 | 788 | ||||||
Celanese, Ser A | 11,100 | 513 | ||||||
CF Industries Holdings | 13,431 | 2,453 | ||||||
Cliffs Natural Resources | 1,800 | 125 | ||||||
Cytec Industries | 307 | 19 | ||||||
Domtar | 30,000 | 2,861 | ||||||
Dow Chemical | 74,564 | 2,583 | ||||||
E.I. Du Pont de Nemours | 15,316 | 810 | ||||||
Eastman Chemical | 64,684 | 3,344 | ||||||
Ecolab (A) | 3,621 | 223 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 94,378 | 3,590 | ||||||
Greif, Cl A | 1,500 | 84 | ||||||
Huntsman | 115,008 | 1,611 | ||||||
International Flavors & Fragrances | 1,400 | 82 | ||||||
International Paper | 74,784 | 2,625 | ||||||
LyondellBasell Industries, Cl A | 81,500 | 3,557 | ||||||
Martin Marietta Materials | 550 | 47 | ||||||
MeadWestvaco | 7,400 | 234 | ||||||
Monsanto | 70,459 | 5,620 | ||||||
Newmont Mining | 4,000 | 205 | ||||||
Nucor | 18,800 | 807 | ||||||
Owens-Illinois * | 20,881 | 487 | ||||||
PPG Industries | 3,000 | 287 | ||||||
Praxair | 6,948 | 797 | ||||||
Rock-Tenn, Cl A | 13,000 | 878 | ||||||
RPM International | 1,500 | 39 | ||||||
Sealed Air | 6,700 | 129 | ||||||
Sherwin-Williams | 1,700 | 185 | ||||||
Sigma-Aldrich | 2,200 | 161 | ||||||
Sonoco Products | 1,500 | 50 | ||||||
Steel Dynamics | 93,388 | 1,358 | ||||||
Syngenta ADR (A) | 106,632 | 7,339 | ||||||
United States Steel (A) | 1,568 | 46 | ||||||
Vulcan Materials | 1,097 | 47 | ||||||
Walter Energy | 526 | 31 | ||||||
Westlake Chemical (A) | 1,800 | 117 | ||||||
|
| |||||||
49,888 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% |
| |||||||
AT&T (A) | 595,385 | 18,594 | ||||||
CenturyTel (A) | 15,608 | 603 | ||||||
Crown Castle International * | 227,999 | 12,162 | ||||||
MetroPCS Communications * | 3,342 | 30 | ||||||
NII Holdings * | 2,900 | 53 | ||||||
SBA Communications, Cl A * | 2,100 | 107 | ||||||
Telephone & Data Systems | 30,730 | 711 | ||||||
US Cellular * | 1,976 | 81 | ||||||
Verizon Communications | 475,775 | 18,189 | ||||||
|
| |||||||
50,530 | ||||||||
|
| |||||||
Utilities — 2.1% | ||||||||
Alliant Energy | 27,100 | 1,174 | ||||||
Ameren | 107,300 | 3,496 | ||||||
American Electric Power | 179,636 | 6,930 | ||||||
American Water Works | 12,600 | 429 | ||||||
Centerpoint Energy | 4,900 | 97 | ||||||
CMS Energy | 63,700 | 1,401 | ||||||
Consolidated Edison (A) | 8,348 | 488 | ||||||
Dominion Resources | 5,292 | 271 | ||||||
DTE Energy | 32,800 | 1,805 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Duke Energy (A) | 7,759 | $ | 163 | |||||
Edison International | 72,857 | 3,097 | ||||||
Entergy | 77,408 | 5,202 | ||||||
Exelon | 46,649 | 1,829 | ||||||
FirstEnergy | 3,953 | 180 | ||||||
Great Plains Energy | 3,500 | 71 | ||||||
Hawaiian Electric Industries (A) | 3,200 | 81 | ||||||
MDU Resources Group | 2,200 | 49 | ||||||
National Fuel Gas | 1,300 | 62 | ||||||
NextEra Energy | 4,538 | 277 | ||||||
NiSource (A) | 12,500 | 304 | ||||||
NSTAR | 7,000 | 340 | ||||||
OGE Energy | 2,612 | 140 | ||||||
Oneok | 4,000 | 327 | ||||||
PG&E | 8,566 | 372 | ||||||
PPL | 4,200 | 119 | ||||||
Progress Energy | 5,500 | 292 | ||||||
Public Service Enterprise Group | 150,100 | 4,595 | ||||||
Questar | 27,200 | 524 | ||||||
Sempra Energy | 61,747 | 3,702 | ||||||
UGI | 35,000 | 954 | ||||||
Xcel Energy | 8,453 | 224 | ||||||
|
| |||||||
38,995 | ||||||||
|
| |||||||
Total Common Stock |
| 1,847,785 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 9.3% |
| |||||||
SEI Liquidity Fund, L.P. 0.180%**†† (B) | 181,082,184 | 176,509 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 176,509 | ||||||
|
| |||||||
CASH EQUIVALENT — 2.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† |
| 42,751,844 |
|
| 42,752 |
| ||
|
| |||||||
Total Cash Equivalent |
| 42,752 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.103%, 08/23/12 | $ | 21 | 21 | |||||
0.095%, 08/16/12 | 1,043 | 1,043 | ||||||
0.051%, 09/20/12 | 2,519 | 2,517 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 3,581 | ||||||
|
| |||||||
Total Investments — 109.6% |
| $ | 2,070,627 | |||||
|
|
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2012
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 548 | Jun-2012 | 1,487 | |||||||||
S&P Mid 400 Index E-MINI | 51 | Jun-2012 | 153 | |||||||||
|
| |||||||||||
$ | 1,640 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $1,889,381 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $177,182 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total market value of such securities as of March 31, 2012 was $176,509 ($ 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
Ser — Series
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,847,785 | $ | — | $ | — | $ | 1,847,785 | ||||||||
U.S. Treasury Obligations | — | 3,581 | — | 3,581 | ||||||||||||
Affiliated Partnership | — | 176,509 | — | 176,509 | ||||||||||||
Cash Equivalent | 42,752 | — | — | 42,752 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,890,537 | $ | 180,090 | $ | — | $ | 2,070,627 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 1,640 | $ | — | $ | — | $ | 1,640 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,640 | $ | — | $ | — | $ | 1,640 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
7 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
S & P 500 Index Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.7% |
| |||||||
Consumer Discretionary — 10.8% |
| |||||||
Abercrombie & Fitch, Cl A (A) | 14,200 | $ | 704 | |||||
Amazon.com * (A) | 60,500 | 12,252 | ||||||
Apollo Group, Cl A * | 18,703 | 723 | ||||||
Autonation * (A) | 7,426 | 255 | ||||||
Autozone * | 4,494 | 1,671 | ||||||
Bed Bath & Beyond * | 39,333 | 2,587 | ||||||
Best Buy (A) | 47,141 | 1,116 | ||||||
Big Lots * | 10,913 | 469 | ||||||
BorgWarner * (A) | 18,100 | 1,526 | ||||||
Cablevision Systems, Cl A | 36,000 | 528 | ||||||
Carmax * | 37,700 | 1,306 | ||||||
Carnival | 75,284 | 2,415 | ||||||
CBS, Cl B | 107,901 | 3,659 | ||||||
Chipotle Mexican Grill, Cl A * (A) | 5,200 | 2,174 | ||||||
Coach | 47,810 | 3,695 | ||||||
Comcast, Cl A (A) | 448,322 | 13,454 | ||||||
Darden Restaurants | 21,313 | 1,090 | ||||||
DeVry | 9,900 | 335 | ||||||
DIRECTV, Cl A * | 112,400 | 5,546 | ||||||
Discovery Communications, Cl A * (A) | 43,000 | 2,176 | ||||||
Dollar Tree * | 19,800 | 1,871 | ||||||
DR Horton (A) | 46,349 | 703 | ||||||
Expedia (A) | 15,750 | 527 | ||||||
Family Dollar Stores | 19,622 | 1,242 | ||||||
Ford Motor (A) | 631,980 | 7,893 | ||||||
GameStop, Cl A (A) | 22,700 | 496 | ||||||
Gannett (A) | 39,347 | 603 | ||||||
Gap | 55,231 | 1,444 | ||||||
Genuine Parts (A) | 25,936 | 1,628 | ||||||
Goodyear Tire & Rubber * | 40,693 | 457 | ||||||
H&R Block | 48,704 | 802 | ||||||
Harley-Davidson | 38,008 | 1,866 | ||||||
Harman International Industries | 11,700 | 548 | ||||||
Hasbro | 19,291 | 708 | ||||||
Home Depot | 256,296 | 12,894 | ||||||
International Game Technology | 49,456 | 830 | ||||||
Interpublic Group | 74,201 | 847 | ||||||
J.C. Penney (A) | 24,080 | 853 | ||||||
Johnson Controls | 113,157 | 3,675 | ||||||
Kohl’s | 42,147 | 2,109 | ||||||
Leggett & Platt (A) | 23,254 | 535 | ||||||
Lennar, Cl A (A) | 27,007 | 734 | ||||||
Limited Brands (A) | 40,927 | 1,964 | ||||||
Lowe’s | 206,336 | 6,475 | ||||||
Macy’s | 68,864 | 2,736 | ||||||
Marriott International, Cl A (A) | 44,452 | 1,683 | ||||||
Mattel (A) | 56,318 | 1,896 | ||||||
McDonald’s | 169,370 | 16,615 | ||||||
McGraw-Hill | 46,221 | 2,240 | ||||||
NetFlix * (A) | 9,200 | 1,058 | ||||||
Newell Rubbermaid | 47,947 | 854 | ||||||
News, Cl A | 357,833 | 7,046 | ||||||
Nike, Cl B | 60,994 | 6,614 | ||||||
Nordstrom | 26,602 | 1,482 | ||||||
Omnicom Group (A) | 45,404 | 2,300 |
Description | Shares | Market Value ($ Thousands) | ||||||
O’Reilly Automotive * | 21,200 | $ | 1,937 | |||||
priceline.com * (A) | 8,280 | 5,941 | ||||||
Pulte Homes * (A) | 55,982 | 495 | ||||||
Ralph Lauren, Cl A | 10,700 | 1,865 | ||||||
Ross Stores | 37,968 | 2,206 | ||||||
Scripps Networks Interactive, Cl A | 15,900 | 774 | ||||||
Sears Holdings * (A) | 6,365 | 422 | ||||||
Snap-on | 9,753 | 595 | ||||||
Staples | 115,414 | 1,867 | ||||||
Starbucks | 125,258 | 7,001 | ||||||
Starwood Hotels & Resorts Worldwide | 32,635 | 1,841 | ||||||
Target | 111,619 | 6,504 | ||||||
Tiffany | 21,073 | 1,457 | ||||||
Time Warner | 161,212 | 6,086 | ||||||
Time Warner Cable, Cl A (A) | 52,183 | 4,253 | ||||||
TJX | 125,434 | 4,981 | ||||||
TripAdvisor * (A) | 15,750 | 562 | ||||||
Urban Outfitters * (A) | 18,500 | 539 | ||||||
VF | 14,514 | 2,119 | ||||||
Viacom, Cl B | 89,801 | 4,262 | ||||||
Walt Disney (A) | 298,027 | 13,047 | ||||||
Washington Post, Cl B (A) | 755 | 282 | ||||||
Whirlpool | 12,705 | 976 | ||||||
Wyndham Worldwide | 24,302 | 1,130 | ||||||
Wynn Resorts | 13,200 | 1,649 | ||||||
Yum! Brands | 76,570 | 5,450 | ||||||
|
| |||||||
232,150 | ||||||||
|
| |||||||
Consumer Staples — 10.6% |
| |||||||
Altria Group | 340,156 | 10,501 | ||||||
Archer-Daniels-Midland | 109,966 | 3,482 | ||||||
Avon Products | 71,651 | 1,387 | ||||||
Beam | 26,019 | 1,524 | ||||||
Brown-Forman, Cl B | 16,495 | 1,376 | ||||||
Campbell Soup (A) | 29,675 | 1,004 | ||||||
Clorox (A) | 21,542 | 1,481 | ||||||
Coca-Cola | 376,253 | 27,846 | ||||||
Coca-Cola Enterprises | 49,917 | 1,428 | ||||||
Colgate-Palmolive (A) | 79,693 | 7,792 | ||||||
ConAgra Foods | 68,552 | 1,800 | ||||||
Constellation Brands, Cl A * | 28,600 | 675 | ||||||
Costco Wholesale | 72,318 | 6,567 | ||||||
CVS Caremark | 216,535 | 9,701 | ||||||
Dean Foods * | 30,600 | 371 | ||||||
Dr Pepper Snapple Group | 35,300 | 1,419 | ||||||
Estee Lauder, Cl A | 37,400 | 2,317 | ||||||
General Mills | 107,182 | 4,228 | ||||||
Hershey | 25,512 | 1,565 | ||||||
HJ Heinz (A) | 53,149 | 2,846 | ||||||
Hormel Foods | 22,800 | 673 | ||||||
JM Smucker | 18,848 | 1,533 | ||||||
Kellogg | 40,967 | 2,197 | ||||||
Kimberly-Clark (A) | 65,499 | 4,840 | ||||||
Kraft Foods, Cl A | 293,998 | 11,175 | ||||||
Kroger | 95,559 | 2,315 | ||||||
Lorillard | 21,976 | 2,845 | ||||||
McCormick (A) | 22,161 | 1,206 | ||||||
Mead Johnson Nutrition, Cl A | 33,834 | 2,791 | ||||||
Molson Coors Brewing, Cl B | 26,146 | 1,183 | ||||||
PepsiCo | 261,185 | 17,330 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
S & P 500 Index Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Philip Morris International | 286,265 | $ | 25,366 | |||||
Procter & Gamble | 458,001 | 30,782 | ||||||
Reynolds American | 55,580 | 2,303 | ||||||
Safeway (A) | 44,546 | 900 | ||||||
Sara Lee | 98,387 | 2,118 | ||||||
SUPERVALU (A) | 35,297 | 202 | ||||||
SYSCO (A) | 97,220 | 2,903 | ||||||
Tyson Foods, Cl A | 48,490 | 929 | ||||||
Walgreen | 145,244 | 4,864 | ||||||
Wal-Mart Stores | 290,444 | 17,775 | ||||||
Whole Foods Market | 27,000 | 2,246 | ||||||
|
| |||||||
227,786 | ||||||||
|
| |||||||
Energy — 11.1% | ||||||||
Anadarko Petroleum | 82,880 | 6,493 | ||||||
Apache | 63,900 | 6,418 | ||||||
Baker Hughes (A) | 72,749 | 3,051 | ||||||
Cabot Oil & Gas | 34,900 | 1,088 | ||||||
Cameron International * | 40,900 | 2,161 | ||||||
Chesapeake Energy (A) | 110,200 | 2,553 | ||||||
Chevron | 328,678 | 35,247 | ||||||
ConocoPhillips | 212,743 | 16,171 | ||||||
Consol Energy | 37,800 | 1,289 | ||||||
Denbury Resources * | 64,900 | 1,183 | ||||||
Devon Energy | 67,213 | 4,780 | ||||||
Diamond Offshore Drilling (A) | 11,600 | 774 | ||||||
El Paso | 128,494 | 3,797 | ||||||
EOG Resources | 44,744 | 4,971 | ||||||
EQT | 24,900 | 1,200 | ||||||
Exxon Mobil | 783,698 | 67,970 | ||||||
FMC Technologies * (A) | 39,800 | 2,007 | ||||||
Halliburton | 153,479 | 5,094 | ||||||
Helmerich & Payne (A) | 17,900 | 966 | ||||||
Hess | 50,275 | 2,964 | ||||||
Marathon Oil | 117,056 | 3,711 | ||||||
Marathon Petroleum | 57,778 | 2,505 | ||||||
Murphy Oil | 32,263 | 1,815 | ||||||
Nabors Industries * | 47,978 | 839 | ||||||
National Oilwell Varco (A) | 70,568 | 5,608 | ||||||
Newfield Exploration * | 22,000 | 763 | ||||||
Noble | 41,900 | 1,570 | ||||||
Noble Energy | 29,400 | 2,875 | ||||||
Occidental Petroleum | 134,859 | 12,843 | ||||||
Peabody Energy | 45,300 | 1,312 | ||||||
Pioneer Natural Resources (A) | 20,500 | 2,287 | ||||||
QEP Resources | 29,500 | 900 | ||||||
Range Resources | 26,200 | 1,523 | ||||||
Rowan * (A) | 20,597 | 678 | ||||||
Schlumberger | 221,743 | 15,506 | ||||||
Southwestern Energy * | 58,000 | 1,775 | ||||||
Spectra Energy | 108,261 | 3,416 | ||||||
Sunoco (A) | 17,757 | 677 | ||||||
Tesoro * | 23,100 | 620 | ||||||
Valero Energy | 92,308 | 2,379 | ||||||
Williams | 98,465 | 3,034 | ||||||
WPX Energy * | 33,021 | 595 | ||||||
|
| |||||||
237,408 | ||||||||
|
| |||||||
Financials — 14.8% |
| |||||||
ACE | 56,100 | 4,106 | ||||||
Aflac | 77,708 | 3,574 | ||||||
Allstate | 82,859 | 2,728 | ||||||
American Express | 168,715 | 9,762 |
Description | Shares | Market Value ($ Thousands) | ||||||
American International Group * | 89,408 | $ | 2,756 | |||||
American Tower, Cl A † | 65,500 | 4,128 | ||||||
Ameriprise Financial | 36,884 | 2,107 | ||||||
AON | 54,029 | 2,651 | ||||||
Apartment Investment & Management, Cl A † | 20,139 | 532 | ||||||
Assurant | 14,500 | 587 | ||||||
AvalonBay Communities † (A) | 15,808 | 2,235 | ||||||
Bank of America | 1,784,428 | 17,077 | ||||||
Bank of New York Mellon | 200,286 | 4,833 | ||||||
BB&T (A) | 115,897 | 3,638 | ||||||
Berkshire Hathaway, Cl B * | 292,347 | 23,724 | ||||||
BlackRock (A) | 16,700 | 3,422 | ||||||
Boston Properties † | 24,700 | 2,593 | ||||||
Capital One Financial | 92,062 | 5,132 | ||||||
CBRE Group, Cl A * | 54,500 | 1,088 | ||||||
Charles Schwab (A) | 179,627 | 2,581 | ||||||
Chubb | 45,056 | 3,114 | ||||||
Cincinnati Financial (A) | 26,979 | 931 | ||||||
Citigroup | 486,908 | 17,796 | ||||||
CME Group | 11,007 | 3,185 | ||||||
Comerica | 32,883 | 1,064 | ||||||
Discover Financial Services | 88,130 | 2,938 | ||||||
E*Trade Financial * | 42,243 | 462 | ||||||
Equity Residential † | 49,940 | 3,127 | ||||||
Federated Investors, Cl B (A) | 15,345 | 344 | ||||||
Fifth Third Bancorp | 152,911 | 2,148 | ||||||
First Horizon National (A) | 42,636 | 443 | ||||||
Franklin Resources | 23,715 | 2,941 | ||||||
Genworth Financial, Cl A * | 81,700 | 680 | ||||||
Goldman Sachs Group | 82,256 | 10,230 | ||||||
Hartford Financial Services Group | 73,186 | 1,543 | ||||||
HCP † | 68,100 | 2,687 | ||||||
Health Care † | 35,000 | 1,924 | ||||||
Host Hotels & Resorts † (A) | 117,648 | 1,932 | ||||||
Hudson City Bancorp | 87,700 | 641 | ||||||
Huntington Bancshares | 143,675 | 927 | ||||||
IntercontinentalExchange * | 12,100 | 1,663 | ||||||
Invesco | 74,200 | 1,979 | ||||||
JPMorgan Chase | 634,657 | 29,181 | ||||||
Keycorp | 158,483 | 1,347 | ||||||
Kimco Realty † (A) | 67,700 | 1,304 | ||||||
Legg Mason | 20,700 | 578 | ||||||
Leucadia National | 32,900 | 859 | ||||||
Lincoln National (A) | 48,398 | 1,276 | ||||||
Loews | 50,849 | 2,027 | ||||||
M&T Bank (A) | 21,061 | 1,830 | ||||||
Marsh & McLennan | 90,350 | 2,962 | ||||||
MetLife (A) | 176,326 | 6,586 | ||||||
Moody’s (A) | 32,608 | 1,373 | ||||||
Morgan Stanley | 253,361 | 4,976 | ||||||
NASDAQ OMX Group (A) | 20,800 | 539 | ||||||
Northern Trust | 40,105 | 1,903 | ||||||
NYSE Euronext | 42,900 | 1,287 | ||||||
People’s United Financial (A) | 59,700 | 790 | ||||||
Plum Creek Timber † | 26,835 | 1,115 | ||||||
PNC Financial Services Group | 87,675 | 5,654 | ||||||
Principal Financial Group | 50,148 | 1,480 | ||||||
Progressive | 101,668 | 2,357 | ||||||
ProLogis † | 76,300 | 2,748 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
S & P 500 Index Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Prudential Financial | 78,166 | $ | 4,955 | |||||
Public Storage † | 23,628 | 3,265 | ||||||
Regions Financial | 234,963 | 1,548 | ||||||
Simon Property Group † | 50,902 | 7,415 | ||||||
SLM | 84,643 | 1,334 | ||||||
State Street | 81,091 | 3,690 | ||||||
SunTrust Banks | 88,496 | 2,139 | ||||||
T. Rowe Price Group (A) | 42,108 | 2,750 | ||||||
Torchmark | 16,657 | 830 | ||||||
Travelers | 65,352 | 3,869 | ||||||
Unum Group | 48,352 | 1,183 | ||||||
US Bancorp | 317,706 | 10,065 | ||||||
Ventas † | 48,032 | 2,743 | ||||||
Vornado Realty Trust † | 30,773 | 2,591 | ||||||
Wells Fargo | 876,763 | 29,933 | ||||||
Weyerhaeuser † (A) | 89,240 | 1,956 | ||||||
XL Group, Cl A | 52,505 | 1,139 | ||||||
Zions Bancorporation (A) | 30,660 | 658 | ||||||
|
| |||||||
316,188 | ||||||||
|
| |||||||
Health Care — 11.3% |
| |||||||
Abbott Laboratories (A) | 261,446 | 16,024 | ||||||
Aetna | 58,302 | 2,924 | ||||||
Agilent Technologies | 57,806 | 2,573 | ||||||
Allergan | 50,666 | 4,835 | ||||||
AmerisourceBergen | 42,892 | 1,702 | ||||||
Amgen (A) | 131,555 | 8,944 | ||||||
Baxter International | 93,138 | 5,568 | ||||||
Becton Dickinson (A) | 34,962 | 2,715 | ||||||
Biogen Idec * | 39,700 | 5,001 | ||||||
Boston Scientific * | 241,312 | 1,443 | ||||||
Bristol-Myers Squibb | 280,675 | 9,473 | ||||||
C.R. Bard | 13,988 | 1,381 | ||||||
Cardinal Health | 57,455 | 2,477 | ||||||
CareFusion * | 37,377 | 969 | ||||||
Celgene * | 73,000 | 5,659 | ||||||
Cerner * (A) | 24,300 | 1,851 | ||||||
Cigna | 47,671 | 2,348 | ||||||
Coventry Health Care | 23,513 | 836 | ||||||
Covidien | 80,400 | 4,396 | ||||||
DaVita * | 15,600 | 1,407 | ||||||
Dentsply International (A) | 23,600 | 947 | ||||||
Edwards Lifesciences * | 19,100 | 1,389 | ||||||
Eli Lilly | 169,830 | 6,839 | ||||||
Express Scripts * (A) | 80,604 | 4,367 | ||||||
Forest Laboratories * | 44,163 | 1,532 | ||||||
Gilead Sciences * | 125,872 | 6,149 | ||||||
Hospira * | 27,404 | 1,025 | ||||||
Humana | 27,297 | 2,524 | ||||||
Intuitive Surgical * | 6,520 | 3,532 | ||||||
Johnson & Johnson | 456,382 | 30,103 | ||||||
Laboratory Corp of America Holdings * (A) | 16,163 | 1,480 | ||||||
Life Technologies * | 29,643 | 1,447 | ||||||
McKesson | 40,969 | 3,596 | ||||||
Medco Health Solutions * | 64,516 | 4,535 | ||||||
Medtronic | 173,017 | 6,781 | ||||||
Merck | 506,144 | 19,436 | ||||||
Mylan Laboratories * | 71,011 | 1,665 | ||||||
Patterson | 14,600 | 488 | ||||||
PerkinElmer | 18,840 | 521 | ||||||
Perrigo (A) | 15,500 | 1,601 |
Description | Shares | Market Value ($ Thousands) | ||||||
Pfizer | 1,253,376 | $ | 28,401 | |||||
Quest Diagnostics | 26,324 | 1,610 | ||||||
St. Jude Medical | 53,256 | 2,360 | ||||||
Stryker | 53,842 | 2,987 | ||||||
Tenet Healthcare * | 64,976 | 345 | ||||||
Thermo Fisher Scientific | 60,843 | 3,431 | ||||||
UnitedHealth Group | 173,747 | 10,241 | ||||||
Varian Medical Systems * (A) | 18,800 | 1,296 | ||||||
Waters * | 14,797 | 1,371 | ||||||
Watson Pharmaceuticals * | 21,171 | 1,420 | ||||||
WellPoint | 55,698 | 4,110 | ||||||
Zimmer Holdings | 29,655 | 1,906 | ||||||
|
| |||||||
241,961 | ||||||||
|
| |||||||
Industrials — 10.4% |
| |||||||
3M | 115,482 | 10,302 | ||||||
Avery Dennison | 17,715 | 534 | ||||||
Boeing | 124,032 | 9,224 | ||||||
C.H. Robinson Worldwide (A) | 27,200 | 1,781 | ||||||
Caterpillar | 107,697 | 11,472 | ||||||
Cintas (A) | 18,307 | 716 | ||||||
Cooper Industries, Cl A | 26,400 | 1,688 | ||||||
CSX | 174,950 | 3,765 | ||||||
Cummins | 31,940 | 3,834 | ||||||
Danaher | 95,096 | 5,325 | ||||||
Deere | 66,802 | 5,404 | ||||||
Dover | 30,537 | 1,922 | ||||||
Dun & Bradstreet (A) | 7,900 | 669 | ||||||
Eaton | 55,638 | 2,772 | ||||||
Emerson Electric | 122,106 | 6,372 | ||||||
Equifax | 19,925 | 882 | ||||||
Expeditors International of Washington | 35,300 | 1,642 | ||||||
Fastenal (A) | 49,100 | 2,656 | ||||||
FedEx | 52,305 | 4,810 | ||||||
Flowserve | 9,100 | 1,051 | ||||||
Fluor | 28,144 | 1,690 | ||||||
General Dynamics | 59,326 | 4,353 | ||||||
General Electric | 1,759,274 | 35,309 | ||||||
Goodrich | 20,920 | 2,624 | ||||||
Honeywell International | 128,955 | 7,873 | ||||||
Illinois Tool Works (A) | 80,424 | 4,594 | ||||||
Ingersoll-Rand | 49,400 | 2,043 | ||||||
Jacobs Engineering Group * | 21,400 | 949 | ||||||
Joy Global | 17,600 | 1,294 | ||||||
L-3 Communications Holdings | 16,423 | 1,162 | ||||||
Lockheed Martin (A) | 44,294 | 3,980 | ||||||
Masco (A) | 59,368 | 794 | ||||||
Norfolk Southern | 54,926 | 3,616 | ||||||
Northrop Grumman (A) | 42,019 | 2,567 | ||||||
PACCAR | 59,291 | 2,776 | ||||||
Pall | 19,195 | 1,145 | ||||||
Parker Hannifin (A) | 25,071 | 2,120 | ||||||
Pitney Bowes (A) | 33,175 | 583 | ||||||
Precision Castparts | 24,100 | 4,167 | ||||||
Quanta Services * | 35,100 | 734 | ||||||
Raytheon | 56,468 | 2,980 | ||||||
Republic Services | �� | 52,283 | 1,598 | |||||
Robert Half International (A) | 23,627 | 716 | ||||||
Rockwell Automation | 23,626 | 1,883 | ||||||
Rockwell Collins (A) | 24,678 | 1,421 | ||||||
Roper Industries | 16,100 | 1,596 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
S & P 500 Index Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
RR Donnelley & Sons (A) | 29,711 | $ | 368 | |||||
Ryder System | 8,554 | 451 | ||||||
Southwest Airlines | 128,549 | 1,059 | ||||||
Stanley Black & Decker | 28,235 | 2,173 | ||||||
Stericycle * (A) | 14,100 | 1,179 | ||||||
Textron | 46,498 | 1,294 | ||||||
Tyco International | 76,600 | 4,303 | ||||||
Union Pacific | 79,794 | 8,576 | ||||||
United Parcel Service, Cl B | 159,411 | 12,868 | ||||||
United Technologies | 151,332 | 12,552 | ||||||
Waste Management (A) | 76,728 | 2,683 | ||||||
WW Grainger (A) | 10,165 | 2,184 | ||||||
Xylem | 30,700 | 852 | ||||||
|
| |||||||
221,930 | ||||||||
|
| |||||||
Information Technology — 20.3% |
| |||||||
Accenture, Cl A | 107,600 | 6,940 | ||||||
Adobe Systems * | 82,136 | 2,818 | ||||||
Advanced Micro Devices * (A) | 97,563 | 782 | ||||||
Akamai Technologies * | 29,600 | 1,086 | ||||||
Altera | 53,551 | 2,132 | ||||||
Amphenol, Cl A | 27,200 | 1,626 | ||||||
Analog Devices (A) | 49,499 | 2,000 | ||||||
Apple * | 155,031 | 92,936 | ||||||
Applied Materials | 214,650 | 2,670 | ||||||
Autodesk * | 37,517 | 1,588 | ||||||
Automatic Data Processing | 81,550 | 4,501 | ||||||
BMC Software * | 27,349 | 1,098 | ||||||
Broadcom, Cl A | 81,536 | 3,204 | ||||||
CA | 60,527 | 1,668 | ||||||
Cisco Systems | 895,504 | 18,940 | ||||||
Citrix Systems * | 30,842 | 2,434 | ||||||
Cognizant Technology Solutions, Cl A * | 50,400 | 3,878 | ||||||
Computer Sciences | 25,833 | 773 | ||||||
Corning | 253,078 | 3,563 | ||||||
Dell * | 253,874 | 4,214 | ||||||
eBay * | 190,432 | 7,025 | ||||||
Electronic Arts * | 55,078 | 908 | ||||||
EMC * | 341,340 | 10,199 | ||||||
F5 Networks * | 13,200 | 1,782 | ||||||
Fidelity National Information Services | 38,965 | 1,291 | ||||||
First Solar * (A) | 9,740 | 244 | ||||||
Fiserv * (A) | 23,080 | 1,602 | ||||||
Flir Systems | 25,600 | 648 | ||||||
Google, Cl A * | 42,191 | 27,055 | ||||||
Harris (A) | 18,900 | 852 | ||||||
Hewlett-Packard | 328,565 | 7,831 | ||||||
Intel | 830,715 | 23,351 | ||||||
International Business Machines | 192,637 | 40,194 | ||||||
Intuit | 48,986 | 2,946 | ||||||
Iron Mountain (A) | 28,400 | 818 | ||||||
Jabil Circuit | 30,679 | 771 | ||||||
JDS Uniphase * | 38,256 | 554 | ||||||
Juniper Networks * | 87,500 | 2,002 | ||||||
Kla-Tencor | 27,771 | 1,511 | ||||||
Lexmark International, Cl A (A) | 11,739 | 390 | ||||||
Linear Technology | 38,094 | 1,284 | ||||||
LSI Logic * | 94,246 | 818 | ||||||
Mastercard, Cl A | 17,700 | 7,444 |
Description | Shares | Market Value ($ Thousands) | ||||||
Microchip Technology (A) | 31,900 | $ | 1,187 | |||||
Micron Technology * | 164,269 | 1,331 | ||||||
Microsoft | 1,241,693 | 40,045 | ||||||
Molex (A) | 22,860 | 643 | ||||||
Motorola Mobility Holdings * | 43,788 | 1,718 | ||||||
Motorola Solutions | 48,929 | 2,487 | ||||||
NetApp * | 60,376 | 2,703 | ||||||
Novellus Systems * (A) | 11,727 | 585 | ||||||
Nvidia * | 101,548 | 1,563 | ||||||
Oracle | 651,788 | 19,006 | ||||||
Paychex (A) | 53,656 | 1,663 | ||||||
Qualcomm | 281,232 | 19,130 | ||||||
Red Hat * | 32,100 | 1,922 | ||||||
SAIC (A) | 45,944 | 606 | ||||||
Salesforce.com * | 22,600 | 3,492 | ||||||
SanDisk * (A) | 40,300 | 1,999 | ||||||
Symantec * | 121,247 | 2,267 | ||||||
TE Connectivity | 70,900 | 2,605 | ||||||
Teradata * | 27,868 | 1,899 | ||||||
Teradyne * (A) | 31,007 | 524 | ||||||
Texas Instruments (A) | 190,349 | 6,398 | ||||||
Total System Services | 26,680 | 615 | ||||||
VeriSign | 26,500 | 1,016 | ||||||
Visa, Cl A | 82,672 | 9,755 | ||||||
Western Digital * | 38,900 | 1,610 | ||||||
Western Union | 103,112 | 1,815 | ||||||
Xerox | 221,406 | 1,789 | ||||||
Xilinx (A) | 43,509 | 1,585 | ||||||
Yahoo! * | 201,838 | 3,072 | ||||||
|
| |||||||
435,401 | ||||||||
|
| |||||||
Materials — 3.4% |
| |||||||
Air Products & Chemicals | 35,026 | 3,215 | ||||||
Airgas | 11,400 | 1,014 | ||||||
Alcoa (A) | 177,235 | 1,776 | ||||||
Allegheny Technologies | 17,759 | 731 | ||||||
Alpha Natural Resources * | 36,600 | 557 | ||||||
Ball | 25,982 | 1,114 | ||||||
Bemis (A) | 17,190 | 555 | ||||||
CF Industries Holdings | 10,890 | 1,989 | ||||||
Cliffs Natural Resources (A) | 23,611 | 1,635 | ||||||
Dow Chemical | 197,075 | 6,827 | ||||||
E.I. Du Pont de Nemours (A) | 155,035 | 8,201 | ||||||
Eastman Chemical | 22,816 | 1,179 | ||||||
Ecolab (A) | 48,430 | 2,989 | ||||||
FMC | 11,600 | 1,228 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 157,636 | 5,996 | ||||||
International Flavors & Fragrances | 13,494 | 791 | ||||||
International Paper | 72,670 | 2,551 | ||||||
MeadWestvaco | 28,415 | 897 | ||||||
Monsanto | 89,048 | 7,102 | ||||||
Mosaic | 49,500 | 2,737 | ||||||
Newmont Mining | 82,308 | 4,220 | ||||||
Nucor (A) | 52,682 | 2,263 | ||||||
Owens-Illinois * | 27,300 | 637 | ||||||
PPG Industries | 25,245 | 2,419 | ||||||
Praxair | 49,599 | 5,686 | ||||||
Sealed Air | 31,928 | 617 | ||||||
Sherwin-Williams | 14,416 | 1,567 | ||||||
Sigma-Aldrich | 20,036 | 1,464 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
S & P 500 Index Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Titanium Metals (A) | 13,700 | $ | 186 | |||||
United States Steel (A) | 23,926 | 703 | ||||||
Vulcan Materials | 21,449 | 917 | ||||||
|
| |||||||
73,763 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% |
| |||||||
AT&T (A) | 985,740 | 30,785 | ||||||
CenturyTel (A) | 103,057 | 3,983 | ||||||
Crown Castle International * | 41,600 | 2,219 | ||||||
Frontier Communications (A) | 165,425 | 690 | ||||||
MetroPCS Communications * | 48,800 | 440 | ||||||
Sprint Nextel * | 498,322 | 1,421 | ||||||
Verizon Communications | 471,498 | 18,025 | ||||||
Windstream (A) | 97,546 | 1,142 | ||||||
|
| |||||||
58,705 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
AES * | 106,990 | 1,398 | ||||||
AGL Resources | 19,500 | 765 | ||||||
Ameren | 40,344 | 1,314 | ||||||
American Electric Power | 80,415 | 3,102 | ||||||
Centerpoint Energy | 70,868 | 1,398 | ||||||
CMS Energy (A) | 42,792 | 941 | ||||||
Consolidated Edison (A) | 48,733 | 2,847 | ||||||
Dominion Resources | 94,840 | 4,857 | ||||||
DTE Energy | 28,145 | 1,549 | ||||||
Duke Energy (A) | 222,122 | 4,667 | ||||||
Edison International | 54,153 | 2,302 | ||||||
Entergy (A) | 29,364 | 1,973 | ||||||
Exelon | 141,546 | 5,550 | ||||||
FirstEnergy | 69,510 | 3,169 | ||||||
Integrys Energy Group | 13,034 | 691 | ||||||
NextEra Energy | 69,220 | 4,228 | ||||||
NiSource (A) | 46,879 | 1,142 | ||||||
Northeast Utilities (A) | 29,500 | 1,095 | ||||||
NRG Energy * (A) | 37,900 | 594 | ||||||
Oneok | 17,300 | 1,413 | ||||||
Pepco Holdings (A) | 37,800 | 714 | ||||||
PG&E | 68,529 | 2,975 | ||||||
Pinnacle West Capital | 18,149 | 869 | ||||||
PPL (A) | 96,271 | 2,721 | ||||||
Progress Energy | 49,083 | 2,607 | ||||||
Public Service Enterprise Group | 84,130 | 2,575 | ||||||
SCANA (A) | 19,300 | 880 | ||||||
Sempra Energy | 39,965 | 2,396 | ||||||
Southern (A) | 144,035 | 6,472 | ||||||
TECO Energy | 35,912 | 630 | ||||||
Wisconsin Energy (A) | 38,300 | 1,347 | ||||||
Xcel Energy | 80,919 | 2,142 | ||||||
|
| |||||||
71,323 | ||||||||
|
| |||||||
Total Common Stock |
| 2,116,615 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 8.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.180%**†† (B) | 180,255,400 | 176,909 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 176,909 | ||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 1.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 24,616,792 | $ | 24,617 | |||||
|
| |||||||
Total Cash Equivalent |
| 24,617 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.050%, 05/17/12 | $ | 600 | 600 | |||||
0.017%, 06/14/12 | 1,550 | 1,549 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 2,149 | ||||||
|
| |||||||
Total Investments — 108.2% |
| $ | 2,320,290 | |||||
|
|
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
S & P 500 Index Fund
March 31, 2012
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 462 | Jun-2012 | $ | 840 | ||||||||
|
| |||||||||||
$ | 840 | |||||||||||
|
|
For the period ended March 31, 2012, 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 $2,143,815 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $176,600 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2012 was $176,909 ($ 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 & Poor’s
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,116,615 | $ | — | $ | — | $ | 2,116,615 | ||||||||
U.S. Treasury Obligations | — | 2,149 | — | 2,149 | ||||||||||||
Affiliated Partnership | — | 176,909 | — | 176,909 | ||||||||||||
Cash Equivalent | 24,617 | — | — | 24,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,141,232 | $ | 179,058 | $ | — | $ | 2,320,290 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 840 | $ | — | $ | — | $ | 840 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 840 | $ | — | $ | — | $ | 840 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 83.8% |
| |||||||
Consumer Discretionary — 11.5% |
| |||||||
Aeropostale * | 7,700 | $ | 166 | |||||
AFC Enterprises * | 17,566 | 298 | ||||||
American Public Education * (A) | 16,848 | 640 | ||||||
Ameristar Casinos | 1,000 | 19 | ||||||
ANN * | 9,900 | 284 | ||||||
Arctic Cat * | 2,300 | 99 | ||||||
Asbury Automotive Group * | 8,624 | 233 | ||||||
Bally Technologies * | 10,800 | 505 | ||||||
Belo, Cl A | 42,117 | 302 | ||||||
Big Lots * | 3,100 | 133 | ||||||
BJ’s Restaurants * (A) | 17,661 | 889 | ||||||
Bravo Brio Restaurant Group * | 13,070 | 261 | ||||||
Bridgepoint Education * (A) | 5,400 | 134 | ||||||
Brinker International (A) | 7,563 | 208 | ||||||
Capella Education * | 3,771 | 136 | ||||||
Casual Male Retail Group * | 62,000 | 208 | ||||||
Cato, Cl A | 8,494 | 235 | ||||||
CEC Entertainment | 14,055 | 533 | ||||||
Chico’s FAS | 20,860 | 315 | ||||||
Childrens Place Retail Stores * (A) | 16,363 | 845 | ||||||
Collective Brands * (A) | 15,783 | 310 | ||||||
Core-Mark Holding | 6,219 | 255 | ||||||
CROCS * | 17,625 | 369 | ||||||
Dana Holding (A) | 33,517 | 520 | ||||||
Denny’s * | 17,700 | 71 | ||||||
Destination Maternity | 7,000 | 130 | ||||||
Dick’s Sporting Goods | 7,525 | 362 | ||||||
Domino’s Pizza | 5,400 | 196 | ||||||
Dorman Products * | 600 | 30 | ||||||
Ethan Allen Interiors (A) | 6,900 | 175 | ||||||
Express * | 11,300 | 282 | ||||||
Finish Line, Cl A | 4,400 | 93 | ||||||
Francesca’s Holdings * (A) | 24,932 | 788 | ||||||
Gaylord Entertainment * (A) | 11,096 | 342 | ||||||
Genesco * | 5,185 | 371 | ||||||
Gentex (A) | 7,640 | 187 | ||||||
Grand Canyon Education * | 4,620 | 82 | ||||||
Hibbett Sports * (A) | 9,455 | 516 | ||||||
HomeAway * (A) | 10,940 | 278 | ||||||
HOT Topic | 10,600 | 108 | ||||||
HSN | 955 | 36 | ||||||
Isle of Capri Casinos * (A) | 24,547 | 173 | ||||||
ITT Educational Services * (A) | 2,000 | 132 | ||||||
Jones Group | 15,700 | 197 | ||||||
Kirkland’s * | 1,400 | 23 | ||||||
Krispy Kreme Doughnuts * | 1,400 | 10 | ||||||
Libbey * | 41,300 | 534 | ||||||
Life Time Fitness * (A) | 19,607 | 991 | ||||||
Liz Claiborne * | 48,100 | 643 | ||||||
LKQ * | 7,795 | 243 | ||||||
Lumber Liquidators Holdings * (A) | 18,300 | 460 | ||||||
Matthews International, Cl A (A) | 15,045 | 476 | ||||||
MDC Partners, Cl A | 43,600 | 485 | ||||||
Men’s Wearhouse | 11,084 | 430 | ||||||
Meredith (A) | 11,700 | 380 | ||||||
Meritage Homes * (A) | 16,383 | 443 | ||||||
Morgans Hotel Group * | 60,819 | 301 | ||||||
National CineMedia | 50,940 | 779 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nutrisystem (A) | 5,800 | $ | 65 | |||||
Orient-Express Hotels, Cl A * | 38,642 | 394 | ||||||
Oxford Industries (A) | 10,140 | 515 | ||||||
Pandora Media * (A) | 12,550 | 128 | ||||||
Panera Bread, Cl A * | 1,690 | 272 | ||||||
Papa John’s International * | 4,800 | 181 | ||||||
Peet’s Coffee & Tea * (A) | 1,400 | 103 | ||||||
Penske Auto Group (A) | 4,300 | 106 | ||||||
PetMed Express (A) | 13,800 | 171 | ||||||
Pier 1 Imports | 55,529 | 1,010 | ||||||
Pinnacle Entertainment * | 80,515 | 927 | ||||||
ReachLocal * | 24,270 | 173 | ||||||
Red Robin Gourmet Burgers * | 8,543 | 318 | ||||||
Regis (A) | 22,390 | 413 | ||||||
Ruby Tuesday * | 31,972 | 292 | ||||||
Ryland Group (A) | 31,335 | 604 | ||||||
Sauer-Danfoss | 7,500 | 352 | ||||||
Scientific Games, Cl A * | 38,063 | 444 | ||||||
Select Comfort * (A) | 18,708 | 606 | ||||||
Shoe Carnival * | 4,700 | 151 | ||||||
Shuffle Master * | 10,975 | 193 | ||||||
Shutterfly * (A) | 11,922 | 373 | ||||||
Sinclair Broadcast Group, Cl A | 10,900 | 121 | ||||||
Six Flags Entertainment | 7,600 | 355 | ||||||
Skechers U.S.A., Cl A * (A) | 11,400 | 145 | ||||||
Skullcandy * (A) | 19,125 | 303 | ||||||
SodaStream International * (A) | 3,825 | 129 | ||||||
Sotheby’s | 4,550 | 179 | ||||||
Stage Stores | 27,023 | 439 | ||||||
Steiner Leisure * | 2,600 | 127 | ||||||
Strayer Education (A) | 800 | 75 | ||||||
Sturm Ruger | 13,080 | 642 | ||||||
Tempur-Pedic International * | 3,745 | 316 | ||||||
Tenneco * | 16,008 | 595 | ||||||
Tesla Motors * (A) | 14,455 | 538 | ||||||
Titan International (A) | 12,410 | 294 | ||||||
Tractor Supply | 2,715 | 246 | ||||||
True Religion Apparel | 12,200 | 334 | ||||||
Ulta Salon Cosmetics & Fragrance | 6,195 | 575 | ||||||
Universal Technical Institute | 2,300 | 30 | ||||||
Vail Resorts (A) | 4,270 | 185 | ||||||
Valassis Communications * | 600 | 14 | ||||||
Vera Bradley * (A) | 16,265 | 491 | ||||||
Warnaco Group * (A) | 10,883 | 636 | ||||||
Whistler Blackcomb Holdings * | 8,200 | 88 | ||||||
WMS Industries * | 9,550 | 227 | ||||||
Zumiez * (A) | 13,297 | 480 | ||||||
|
| |||||||
33,999 | ||||||||
|
| |||||||
Consumer Staples — 2.0% |
| |||||||
B&G Foods, Cl A (A) | 10,900 | 245 | ||||||
Casey’s General Stores (A) | 13,695 | 760 | ||||||
Chefs’ Warehouse Holdings * (A) | 10,210 | 236 | ||||||
Chiquita Brands International * | 42,700 | 375 | ||||||
Coca-Cola Bottling Consolidated | 1,300 | 82 | ||||||
Cosan SA Industria e Comercio (Brazil) | 6,400 | 119 | ||||||
Darling International * | 6,900 | 120 | ||||||
Diamond Foods (A) | 3,078 | 70 | ||||||
Dole Food * (A) | 18,500 | 185 | ||||||
Fresh Market * (A) | 8,400 | 403 | ||||||
Hain Celestial Group * (A) | 10,942 | 480 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
J&J Snack Foods | 6,900 | $ | 362 | |||||
Lancaster Colony (A) | 4,200 | 279 | ||||||
Medifast * (A) | 2,933 | 51 | ||||||
Nu Skin Enterprises, Cl A (A) | 7,700 | 446 | ||||||
Omega Protein * | 13,900 | 106 | ||||||
Rite Aid * | 150,300 | 262 | ||||||
Ruddick (A) | 9,428 | 378 | ||||||
Spartan Stores | 24,680 | 447 | ||||||
Spectrum Brands Holdings * | 2,000 | 70 | ||||||
TreeHouse Foods * | 5,619 | 334 | ||||||
United Natural Foods * | 2,429 | 113 | ||||||
|
| |||||||
5,923 | ||||||||
|
| |||||||
Energy — 6.4% | ||||||||
Alberta Oilsands * | 184,500 | 27 | ||||||
ATP Oil & Gas * (A) | 16,900 | 124 | ||||||
Berry Petroleum, Cl A | 18,934 | 892 | ||||||
Bill Barrett * | 6,545 | 170 | ||||||
Bonanza Creek Energy * | 6,000 | 131 | ||||||
BPZ Resources * (A) | 34,900 | 141 | ||||||
C&J Energy Services * (A) | 7,300 | 130 | ||||||
Callon Petroleum * | 21,400 | 135 | ||||||
CARBO Ceramics (A) | 5,307 | 560 | ||||||
Carrizo Oil & Gas * (A) | 17,791 | 503 | ||||||
Clayton Williams Energy * (A) | 300 | 24 | ||||||
Comstock Resources * (A) | 40,458 | 640 | ||||||
Contango Oil & Gas * | 1,500 | 88 | ||||||
Crosstex Energy | 8,400 | 119 | ||||||
CVR Energy * | 13,800 | 369 | ||||||
Dawson Geophysical * | 3,500 | 120 | ||||||
Dril-Quip * | 11,480 | 746 | ||||||
Energy Partners * | 16,000 | 266 | ||||||
Energy XXI Bermuda | 11,224 | 405 | ||||||
GeoMet * | 36,400 | 24 | ||||||
Global Geophysical Services * | 18,600 | 197 | ||||||
Golar LNG | 2,800 | 107 | ||||||
Goodrich Petroleum * (A) | 41,757 | 794 | ||||||
Gulfmark Offshore, Cl A * | 5,200 | 239 | ||||||
Gulfport Energy * | 14,828 | 432 | ||||||
Karoon Gas Australia * | 17,764 | 120 | ||||||
Key Energy Services * | 48,697 | 752 | ||||||
KiOR, Cl A * (A) | 11,403 | 152 | ||||||
Kodiak Oil & Gas, Cl Lithuanian * (A) | 35,308 | 352 | ||||||
Laredo Petroleum Holdings * | 8,600 | 202 | ||||||
Lone Pine Resources * | 29,500 | 192 | ||||||
Lufkin Industries | 2,847 | 230 | ||||||
Magnum Hunter Resources * (A) | 97,860 | 627 | ||||||
Matador Resources * | 16,420 | 180 | ||||||
Matrix Service * | 22,400 | 314 | ||||||
McMoRan Exploration * (A) | 2,900 | 31 | ||||||
Newpark Resources * (A) | 34,130 | 280 | ||||||
Northern Oil And Gas * (A) | 8,390 | 174 | ||||||
Oasis Petroleum * (A) | 30,337 | 935 | ||||||
Oceaneering International | 5,360 | 289 | ||||||
Oil States International * | 3,120 | 244 | ||||||
Oilsands Quest * (A) (C) (E) | 258,000 | 46 | ||||||
Patriot Coal * (A) | 26,700 | 167 | ||||||
Petroleum Development * | 18,795 | 697 | ||||||
Petroquest Energy * (A) | 15,100 | 93 | ||||||
Pioneer Drilling * | 53,113 | 467 | ||||||
Porto Energy * | 189,900 | 26 | ||||||
Quicksilver Resources * (A) | 71,904 | 362 |
Description | Shares | Market Value ($ Thousands) | ||||||
Resolute Energy * (A) | 9,300 | $ | 106 | |||||
Rex Energy * | 400 | 4 | ||||||
Rosetta Resources * (A) | 14,625 | 713 | ||||||
Scorpio Tankers * | 106,562 | 752 | ||||||
SM Energy | 3,280 | 232 | ||||||
StealthGas * | 19,900 | 117 | ||||||
Stone Energy * | 19,822 | 567 | ||||||
Superior Energy Services * | 23,907 | 630 | ||||||
Swift Energy * | 4,100 | 119 | ||||||
Synergy Resources * | 34,000 | 114 | ||||||
Tesco (A) | 24,817 | 352 | ||||||
Triangle Petroleum * (A) | 12,600 | 87 | ||||||
Vaalco Energy * | 32,340 | 306 | ||||||
W&T Offshore (A) | 10,500 | 221 | ||||||
Warren Resources * | 33,700 | 110 | ||||||
Willbros Group * | 17,900 | 58 | ||||||
|
| |||||||
18,803 | ||||||||
|
| |||||||
Financials — 16.1% | ||||||||
Advance America Cash Advance Centers | 300 | 3 | ||||||
Affiliated Managers Group * | 6,140 | 687 | ||||||
Alexander’s † | 200 | 79 | ||||||
Alterra Capital Holdings (A) | 30,720 | 706 | ||||||
American Assets Trust † | 3,500 | 80 | ||||||
American Campus Communities † (A) | 4,700 | 210 | ||||||
American Equity Investment Life Holding (A) | 20,200 | 258 | ||||||
Amtrust Financial Services (A) | 26,240 | 705 | ||||||
Anworth Mortgage Asset † | 15,900 | 105 | ||||||
Associated Estates Realty † | 17,358 | 284 | ||||||
Bancorpsouth | 50,943 | 686 | ||||||
Bank of the Ozarks (A) | 9,695 | 303 | ||||||
Berkshire Hills Bancorp | 13,385 | 307 | ||||||
BGC Partners, Cl A (A) | 17,300 | 128 | ||||||
BioMed Realty Trust † | 38,838 | 737 | ||||||
Boston Private Financial Holdings (A) | 47,000 | 466 | ||||||
Brandywine Realty Trust † | 28,945 | 332 | ||||||
Brasil Brokers Participacoes | 28,100 | 122 | ||||||
BRE Properties, Cl A † | 3,830 | 194 | ||||||
Campus Crest Communities † (A) | 38,400 | 448 | ||||||
Capstead Mortgage † | 6,500 | 85 | ||||||
Cardinal Financial | 18,475 | 209 | ||||||
Cash America International | 3,463 | 166 | ||||||
Central Pacific Financial * (A) | 47,585 | 616 | ||||||
Chatham Lodging Trust † | 6,100 | 77 | ||||||
Chesapeake Lodging Trust † | 13,340 | 240 | ||||||
CNO Financial Group * (A) | 69,000 | 537 | ||||||
CoBiz Financial | 36,095 | 255 | ||||||
Cohen & Steers (A) | 8,600 | 274 | ||||||
Colonial Properties Trust † | 13,306 | 289 | ||||||
Coresite Realty † (A) | 7,255 | 171 | ||||||
CreXus Investment † | 30,200 | 312 | ||||||
CubeSmart † | 43,674 | 520 | ||||||
CVB Financial (A) | 13,795 | 162 | ||||||
CYS Investments † (A) | 11,300 | 148 | ||||||
DFC Global * (A) | 26,115 | 493 | ||||||
DiamondRock Hospitality † | 58,467 | 602 | ||||||
Douglas Emmett † | 12,220 | 279 | ||||||
Eagle Bancorp * | 19,888 | 333 | ||||||
East West Bancorp | 16,840 | 389 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Education Realty Trust † | 79,385 | $ | 860 | |||||
Encore Capital Group * | 12,125 | 273 | ||||||
Equity Lifestyle Properties † | 1,462 | 102 | ||||||
Excel Trust † | 26,610 | 321 | ||||||
Extra Space Storage † | 2,700 | 78 | ||||||
Ezcorp, Cl A * | 3,800 | 123 | ||||||
FBR * | 83,700 | 215 | ||||||
Fifth Street Finance (A) | 12,000 | 117 | ||||||
Financial Engines * (A) | 26,130 | 584 | ||||||
First Cash Financial Services * | 672 | 29 | ||||||
First Financial Bancorp | 30,416 | 526 | ||||||
First Horizon National (A) | 45,646 | 474 | ||||||
First Midwest Bancorp | 20,246 | 243 | ||||||
FirstMerit (A) | 15,383 | 259 | ||||||
Flushing Financial | 9,900 | 133 | ||||||
Forest City Enterprises, Cl A * | 22,885 | 358 | ||||||
Fulton Financial | 36,107 | 379 | ||||||
FXCM, Cl A | 6,725 | 87 | ||||||
Gain Capital Holdings | 19,700 | 99 | ||||||
Glacier Bancorp (A) | 12,417 | 185 | ||||||
Gladstone Commercial † | 6,500 | 112 | ||||||
Glimcher Realty Trust † | 11,100 | 113 | ||||||
Global Indemnity, Cl A * | 13,900 | 271 | ||||||
Government Properties Income Trust † | 8,000 | 193 | ||||||
Great American Group * | 52,600 | 3 | ||||||
Greenhill (A) | 4,170 | 182 | ||||||
Hancock Holding | 17,916 | 636 | ||||||
Hanmi Financial * | 800 | 8 | ||||||
Hanover Insurance Group | 19,956 | 821 | ||||||
Highwoods Properties † (A) | 31,862 | 1,062 | ||||||
Home Bancshares | 11,800 | 314 | ||||||
Home Loan Servicing Solutions | 9,900 | 138 | ||||||
Home Properties † | 6,300 | 384 | ||||||
HomeStreet * | 7,600 | 211 | ||||||
Hudson Valley Holding | 6,296 | 102 | ||||||
IBERIABANK | 4,530 | 242 | ||||||
Inland Real Estate † (A) | 43,153 | 383 | ||||||
Investment Technology Group * | 23,990 | 287 | ||||||
Investors Real Estate Trust † | 4,500 | 35 | ||||||
Jones Lang LaSalle (A) | 5,687 | 474 | ||||||
KBW (A) | 15,290 | 283 | ||||||
Kennedy-Wilson Holdings (A) | 34,100 | 460 | ||||||
Kilroy Realty † (A) | 2,000 | 93 | ||||||
Knight Capital Group, Cl A * | 8,900 | 115 | ||||||
LaSalle Hotel Properties † | 11,475 | 323 | ||||||
Lexington Realty Trust † (A) | 70,503 | 634 | ||||||
LTC Properties † | 10,427 | 334 | ||||||
Mack-Cali Realty † | 9,100 | 262 | ||||||
Maiden Holdings | 50,000 | 450 | ||||||
MB Financial | 20,602 | 432 | ||||||
Meadowbrook Insurance Group | 47,800 | 446 | ||||||
Medical Properties Trust † | 47,795 | 443 | ||||||
MFA Financial † | 14,000 | 104 | ||||||
MGIC Investment * (A) | 82,100 | 407 | ||||||
Mid-America Apartment Communities † | 11,562 | 775 | ||||||
National Financial Partners * (A) | 19,220 | 291 | ||||||
National Penn Bancshares (A) | 64,827 | 574 | ||||||
National Retail Properties † (A) | 29,445 | 801 | ||||||
Nelnet, Cl A | 10,000 | 259 | ||||||
Netspend Holdings * | 24,346 | 189 | ||||||
NorthStar Realty Finance † (A) | 64,730 | 350 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ocwen Financial * | 28,300 | $ | 442 | |||||
Old National Bancorp | 35,544 | 467 | ||||||
Omega Healthcare Investors † | 4,800 | 102 | ||||||
OmniAmerican Bancorp * | 7,500 | 145 | ||||||
PacWest Bancorp (A) | 25,742 | 625 | ||||||
PennantPark Investment (A) | 37,133 | 386 | ||||||
Platinum Underwriters Holdings | 3,400 | 124 | ||||||
Potlatch † | 1,477 | 46 | ||||||
PrivateBancorp, Cl A | 9,400 | 143 | ||||||
ProAssurance | 10,448 | 920 | ||||||
Prosperity Bancshares | 8,795 | 403 | ||||||
Radian Group (A) | 46,750 | 203 | ||||||
RAIT Financial Trust † (A) | 25,545 | 127 | ||||||
RLI (A) | 7,486 | 536 | ||||||
Safeguard Scientifics * | 25,506 | 439 | ||||||
Sandy Spring Bancorp | 17,254 | 313 | ||||||
SCBT Financial | 3,800 | 124 | ||||||
Signature Bank NY * | 11,374 | 717 | ||||||
Simmons First National, Cl A (A) | 8,100 | 209 | ||||||
Starwood Property Trust † | 7,600 | 160 | ||||||
Sterling Financial * | 6,162 | 129 | ||||||
Stifel Financial * | 14,030 | 531 | ||||||
Summit Hotel Properties † (A) | 15,900 | 121 | ||||||
Sunstone Hotel Investors * † | 43,824 | 427 | ||||||
Susquehanna Bancshares | 92,182 | 911 | ||||||
Synovus Financial (A) | 190,036 | 390 | ||||||
Tanger Factory Outlet Centers † | 5,900 | 175 | ||||||
THL Credit | 13,000 | 167 | ||||||
Titanium Asset Management * | 4,111 | 1 | ||||||
Titanium Asset Management PIPE * (C) (D) (E) | 2,000 | 2 | ||||||
Trustmark (A) | 18,487 | 462 | ||||||
Two Harbors Investment † | 17,000 | 172 | ||||||
United Financial Bancorp | 6,800 | 108 | ||||||
Uranium Participation * | 17,300 | 99 | ||||||
Validus Holdings | 8,000 | 248 | ||||||
ViewPoint Financial Group | 19,660 | 303 | ||||||
Waddell & Reed Financial, Cl A (A) | 13,811 | 448 | ||||||
Washington Real Estate Investment Trust † (A) | 10,606 | 315 | ||||||
Webster Financial (A) | 18,485 | 419 | ||||||
Western Alliance Bancorp * (A) | 139,402 | 1,181 | ||||||
Wintrust Financial (A) | 19,325 | 692 | ||||||
WisdomTree Investments * | 51,525 | 431 | ||||||
World Acceptance * (A) | 5,011 | 307 | ||||||
WSFS Financial | 7,000 | 287 | ||||||
|
| |||||||
47,395 | ||||||||
|
| |||||||
Health Care — 11.4% | ||||||||
ABIOMED * (A) | 28,550 | 633 | ||||||
Acadia Healthcare * (A) | 30,568 | 498 | ||||||
Accuray * (A) | 14,700 | 104 | ||||||
Achillion Pharmaceuticals * (A) | 14,870 | 142 | ||||||
Acorda Therapeutics * | 6,700 | 178 | ||||||
Aegerion Pharmaceuticals * | 13,930 | 193 | ||||||
Akorn * (A) | 22,609 | 264 | ||||||
Alere * (A) | 15,300 | 398 | ||||||
Align Technology * (A) | 10,250 | 282 | ||||||
Allos Therapeutics * | 45,500 | �� | 67 | |||||
Amarin ADR * (A) | 26,395 | 299 | ||||||
AMERIGROUP * | 5,520 | 371 | ||||||
AMN Healthcare Services * | 1,600 | 10 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Amsurg * | 3,700 | $ | 104 | |||||
Amylin Pharmaceuticals * (A) | 10,281 | 257 | ||||||
Arena Pharmaceuticals * (A) | 48,079 | 148 | ||||||
Ariad Pharmaceuticals * (A) | 75,962 | 1,212 | ||||||
Arqule * | 12,055 | 85 | ||||||
Arthrocare * | 3,300 | 89 | ||||||
athenahealth * (A) | 5,198 | 385 | ||||||
AVEO Pharmaceuticals * (A) | 17,625 | 219 | ||||||
Bruker BioSciences * | 22,360 | 342 | ||||||
Catalyst Health Solutions * | 5,430 | 346 | ||||||
Centene * | 10,270 | 503 | ||||||
Cepheid * (A) | 7,580 | 317 | ||||||
Chemed (A) | 2,308 | 145 | ||||||
Computer Programs & Systems | 3,300 | 187 | ||||||
Conmed | 11,080 | 331 | ||||||
Cross Country Healthcare * | 7,100 | 36 | ||||||
Cubist Pharmaceuticals * (A) | 18,237 | 789 | ||||||
Cyberonics * | 6,157 | 235 | ||||||
DexCom * | 13,947 | 145 | ||||||
DynaVox, Cl A * | 34,614 | 107 | ||||||
Emergent Biosolutions * | 18,205 | 291 | ||||||
Emeritus * | 22,480 | 397 | ||||||
Endologix * | 10,307 | 151 | ||||||
Ensign Group | 3,600 | 98 | ||||||
eResearchTechnology * | 27,500 | 215 | ||||||
Exact Sciences * | 5,100 | 57 | ||||||
Fluidigm * (A) | 16,317 | 257 | ||||||
Greatbatch * | 17,675 | 433 | ||||||
Halozyme Therapeutics * | 26,520 | 338 | ||||||
Hansen Medical * (A) | 33,000 | 99 | ||||||
Health Management Associates, Cl A * | 51,075 | 343 | ||||||
Health Net * | 10,870 | 432 | ||||||
HealthSouth * | 25,728 | 527 | ||||||
Hill-Rom Holdings | 1,600 | 53 | ||||||
Hi-Tech Pharmacal * (A) | 9,863 | 354 | ||||||
HMS Holdings * | 21,706 | 677 | ||||||
ICU Medical * | 14,497 | 713 | ||||||
Idenix Pharmaceuticals * (A) | 6,810 | 67 | ||||||
Immunogen * (A) | 5,000 | 72 | ||||||
Impax Laboratories * | 24,826 | 610 | ||||||
Imris * | 57,617 | 189 | ||||||
Incyte * (A) | 12,700 | 245 | ||||||
Insulet * (A) | 28,715 | 550 | ||||||
Invacare (A) | 7,824 | 130 | ||||||
IPC The Hospitalist * | 6,725 | 248 | ||||||
Ironwood Pharmaceuticals, Cl A * (A) | 10,050 | 134 | ||||||
ISTA Pharmaceuticals * (A) | 30,600 | 276 | ||||||
Jazz Pharmaceuticals * (A) | 6,700 | 325 | ||||||
Keryx Biopharmaceuticals * (A) | 31,109 | 155 | ||||||
Kindred Healthcare * (A) | 17,024 | 147 | ||||||
LHC Group * | 6,500 | 120 | ||||||
LifePoint Hospitals * | 7,535 | 297 | ||||||
Magellan Health Services * | 16,121 | 787 | ||||||
MAKO Surgical * (A) | 4,200 | 177 | ||||||
MAP Pharmaceuticals * | 19,006 | 273 | ||||||
Masimo * | 16,680 | 390 | ||||||
Medical Action Industries * | 38,900 | 222 | ||||||
Medicines * | 15,400 | 309 | ||||||
Medicis Pharmaceutical, Cl A | 17,942 | 674 | ||||||
Medivation * | 1,826 | 136 | ||||||
Mednax * (A) | 13,871 | 1,032 |
Description | Shares | Market Value ($ Thousands) | ||||||
MELA Sciences * (A) | 20,700 | $ | 92 | |||||
Merit Medical Systems * | 8,800 | 109 | ||||||
Momenta Pharmaceuticals * (A) | 17,100 | 262 | ||||||
Myriad Genetics * | 10,600 | 251 | ||||||
Natus Medical * | 6,100 | 73 | ||||||
Navidea Biopharmaceuticals * (A) | 26,400 | 87 | ||||||
Nektar Therapeutics * (A) | 26,330 | 209 | ||||||
Neurocrine Biosciences * | 16,900 | 135 | ||||||
NxStage Medical * (A) | 12,550 | 242 | ||||||
Omnicell * | 44,904 | 683 | ||||||
Onyx Pharmaceuticals * | 11,530 | 434 | ||||||
Optimer Pharmaceuticals * (A) | 7,370 | 102 | ||||||
OraSure Technologies * | 31,523 | 362 | ||||||
Parexel International * | 5,725 | 154 | ||||||
PDL BioPharma (A) | 30,083 | 191 | ||||||
Pharmacyclics * (A) | 18,460 | 512 | ||||||
Providence Service * | 14,000 | 217 | ||||||
PSS World Medical * | 8,069 | 204 | ||||||
Questcor Pharmaceuticals * (A) | 18,225 | 686 | ||||||
Rigel Pharmaceuticals * | 12,600 | 101 | ||||||
Sagent Pharmaceuticals * (A) | 13,870 | 248 | ||||||
Salix Pharmaceuticals * | 6,003 | 315 | ||||||
Sangamo Biosciences * | 26,194 | 128 | ||||||
Seattle Genetics * (A) | 5,700 | 116 | ||||||
Sirona Dental Systems * | 5,285 | 272 | ||||||
Skilled Healthcare Group, Cl A * | 4,300 | 33 | ||||||
Spectranetics * | 14,864 | 155 | ||||||
Spectrum Pharmaceuticals * (A) | 29,615 | 374 | ||||||
Sunrise Senior Living * (A) | 600 | 4 | ||||||
SXC Health Solutions * | 4,660 | 349 | ||||||
Symmetry Medical * | 22,800 | 161 | ||||||
Syneron Medical * | 35,630 | 382 | ||||||
Theravance * (A) | 2,800 | 55 | ||||||
Thoratec * | 6,250 | 211 | ||||||
Threshold Pharmaceuticals * | 40,187 | 354 | ||||||
Tornier BV * (A) | 16,329 | 420 | ||||||
Trinity Biotech ADR | 1,200 | 13 | ||||||
Trius Therapeutics * | 19,193 | 103 | ||||||
Unilife * (A) | 79,916 | 324 | ||||||
Vical * | 42,200 | 143 | ||||||
Viropharma * (A) | 5,900 | 177 | ||||||
Volcano * | 12,829 | 364 | ||||||
WellCare Health Plans * | 17,237 | 1,239 | ||||||
XenoPort * | 11,900 | 54 | ||||||
Zoll Medical * | 2,700 | 250 | ||||||
|
| |||||||
33,771 | ||||||||
|
| |||||||
Industrials — 15.1% | ||||||||
AAR (A) | 27,704 | 506 | ||||||
ABM Industries | 8,100 | 197 | ||||||
Acacia Research - Acacia Technologies * | 21,464 | 896 | ||||||
ACCO Brands * | 2,200 | 27 | ||||||
Actuant, Cl A | 49,323 | 1,430 | ||||||
Acuity Brands (A) | 11,770 | 739 | ||||||
Advisory Board * | 4,255 | 377 | ||||||
Aegean Marine Petroleum Network | 34,800 | 240 | ||||||
Air Transport Services Group * | 38,000 | 220 | ||||||
Alaska Air Group * | 4,000 | 143 | ||||||
Albany International, Cl A | 6,100 | 140 | ||||||
Allegiant Travel, Cl A * (A) | 3,275 | 179 | ||||||
Altra Holdings * | 10,305 | 198 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
American Science & Engineering | 300 | $ | 20 | |||||
Ametek | 5,310 | 258 | ||||||
Applied Industrial Technologies | 7,100 | 292 | ||||||
Armstrong World Industries | 7,800 | 380 | ||||||
Avis Budget Group * (A) | 35,580 | 504 | ||||||
AZZ | 600 | 31 | ||||||
BE Aerospace * | 8,096 | 376 | ||||||
Belden | 9,790 | 371 | ||||||
Brady, Cl A | 9,020 | 292 | ||||||
Brink’s | 15,700 | 375 | ||||||
CAI International * | 6,200 | 113 | ||||||
Carlisle | 10,520 | 525 | ||||||
Cascade | 400 | 20 | ||||||
Celadon Group | 15,969 | 248 | ||||||
Ceradyne | 3,300 | 108 | ||||||
Chart Industries * | 3,237 | 237 | ||||||
Clean Harbors * | 5,600 | 377 | ||||||
Colfax * | 3,100 | 109 | ||||||
Columbus McKinnon * | 13,400 | 218 | ||||||
Consolidated Graphics * | 8,022 | 363 | ||||||
Copa Holdings, Cl A | 4,185 | 331 | ||||||
Corporate Executive Board | 1,100 | 47 | ||||||
Corrections Corp of America * | 6,400 | 175 | ||||||
CoStar Group * | 6,215 | 429 | ||||||
Crane | 14,085 | 683 | ||||||
Cubic | 10,308 | 487 | ||||||
Curtiss-Wright | 10,965 | 406 | ||||||
Deluxe | 12,458 | 292 | ||||||
Dollar Thrifty Automotive Group * | 1,800 | 146 | ||||||
Dycom Industries * | 35,695 | 834 | ||||||
Dynamic Materials | 11,622 | 245 | ||||||
EMCOR Group | 32,704 | 906 | ||||||
EnerSys * | 6,629 | 230 | ||||||
ESCO Technologies | 9,964 | 366 | ||||||
Esterline Technologies * | 4,015 | 287 | ||||||
Exponent * | 4,200 | 204 | ||||||
Flow International * | 26,300 | 106 | ||||||
Forward Air | 1,800 | 66 | ||||||
FTI Consulting * (A) | 5,300 | 199 | ||||||
G&K Services | 11,910 | 407 | ||||||
Gardner Denver | 3,150 | 198 | ||||||
GenCorp * | 8,300 | 59 | ||||||
Genesee & Wyoming, Cl A * (A) | 15,269 | 833 | ||||||
Geo Group * | 39,000 | 741 | ||||||
Global Power Equipment Group * (A) | 5,000 | 138 | ||||||
Graco | 5,140 | 273 | ||||||
GrafTech International * | 8,200 | 98 | ||||||
Great Lakes Dredge & Dock (A) | 7,900 | 57 | ||||||
Greenbrier * | 32,104 | 635 | ||||||
H&E Equipment Services * | 5,400 | 102 | ||||||
Hawaiian Holdings * (A) | 36,251 | 190 | ||||||
HEICO (A) | 7,411 | 382 | ||||||
Heidrick & Struggles International | 4,300 | 95 | ||||||
Hexcel * | 34,894 | 838 | ||||||
HNI | 1,500 | 42 | ||||||
ICF International * | 8,400 | 213 | ||||||
IDEX | 7,360 | 310 | ||||||
InnerWorkings * (A) | 16,306 | 190 | ||||||
Insperity | 5,400 | 165 | ||||||
Interface, Cl A | 39,830 | 556 | ||||||
John Bean Technologies | 21,580 | 350 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kadant * | 13,502 | $ | 322 | |||||
Kaydon | 8,276 | 211 | ||||||
Keyw Holding * (A) | 16,500 | 128 | ||||||
Kirby * | 5,450 | 358 | ||||||
Kratos Defense & Security Solutions * | 17,300 | 92 | ||||||
Lincoln Electric Holdings | 5,360 | 243 | ||||||
Lindsay | 400 | 26 | ||||||
Marten Transport | 16,580 | 366 | ||||||
Michael Baker * | 5,400 | 129 | ||||||
Middleby * | 7,875 | 797 | ||||||
Mistras Group * | 13,920 | 332 | ||||||
Mobile Mini * | 14,400 | 304 | ||||||
Moog, Cl A * | 9,045 | 388 | ||||||
Navigant Consulting * | 45,701 | 636 | ||||||
Navistar International * | 6,254 | 253 | ||||||
Northwest Pipe * | 9,365 | 199 | ||||||
Old Dominion Freight Line * | 25,911 | 1,235 | ||||||
Orion Marine Group * | 31,800 | 230 | ||||||
Pacer International * | 24,800 | 157 | ||||||
Polypore International * (A) | 10,549 | 371 | ||||||
Proto Labs * | 2,900 | 99 | ||||||
Quality Distribution * | 8,300 | 114 | ||||||
Quanex Building Products | 18,115 | 319 | ||||||
RailAmerica * | 7,170 | 154 | ||||||
Rand Logistics * | 9,700 | 82 | ||||||
Raven Industries | 2,628 | 160 | ||||||
RBC Bearings * | 6,050 | 279 | ||||||
Rexnord * | 9,600 | 203 | ||||||
Robbins & Myers | 27,988 | 1,457 | ||||||
Rollins | 5,450 | 116 | ||||||
RPX * | 14,665 | 249 | ||||||
Rush Enterprises, Cl A * | 31,776 | 674 | ||||||
SeaCube Container Leasing | 9,000 | 155 | ||||||
Simpson Manufacturing | 17,630 | 569 | ||||||
Spirit Airlines * | 20,500 | 411 | ||||||
Standex International (A) | 5,717 | 235 | ||||||
Steelcase, Cl A | 6,100 | 59 | ||||||
Sun Hydraulics | 9,200 | 241 | ||||||
Swift Transportation, Cl A * | 18,800 | 217 | ||||||
TAL International Group (A) | 11,735 | 431 | ||||||
Teleflex | 3,200 | 196 | ||||||
Tetra Tech * | 15,760 | 415 | ||||||
Textainer Group Holdings (A) | 3,600 | 122 | ||||||
Thermon Group Holdings * | 8,250 | 169 | ||||||
Titan Machinery * (A) | 9,175 | 259 | ||||||
TMS International, Cl A * | 28,900 | 350 | ||||||
Tredegar | 3,400 | 67 | ||||||
Trex * (A) | 15,100 | 485 | ||||||
Trinity Industries | 3,200 | 105 | ||||||
TrueBlue * | 22,310 | 399 | ||||||
Tutor Perini * | 27,200 | 424 | ||||||
United Rentals * (A) | 14,838 | 636 | ||||||
United Stationers (A) | 4,200 | 130 | ||||||
US Airways Group * (A) | 22,400 | 170 | ||||||
US Ecology | 19,284 | 419 | ||||||
USA Truck * | 8,100 | 63 | ||||||
UTI Worldwide | 10,873 | 187 | ||||||
Valmont Industries | 2,540 | 298 | ||||||
Vitran * | 17,960 | 143 | ||||||
Wabash National * (A) | 127,111 | 1,316 | ||||||
Wabtec | 5,930 | 447 | ||||||
Watsco | 5,010 | 371 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Werner Enterprises (A) | 17,381 | $ | 432 | |||||
|
| |||||||
44,424 | ||||||||
|
| |||||||
Information Technology — 15.4% |
| |||||||
ACI Worldwide * | 400 | 16 | ||||||
Acme Packet * (A) | 15,825 | 435 | ||||||
Adtran | 8,926 | 278 | ||||||
Aeroflex Holding * (A) | 13,900 | 155 | ||||||
Amtech Systems * | 5,200 | 43 | ||||||
Ancestry.com * (A) | 15,495 | 352 | ||||||
Arris Group * (A) | 43,098 | 487 | ||||||
Aruba Networks * (A) | 46,350 | 1,033 | ||||||
Aspen Technology * | 28,565 | 586 | ||||||
Bazaarvoice * (A) | 19,139 | 380 | ||||||
Benchmark Electronics * | 27,900 | 460 | ||||||
Booz Allen Hamilton Holding, Cl A (A) | 13,930 | 237 | ||||||
Brightpoint * | 2,700 | 22 | ||||||
BroadSoft * (A) | 24,082 | 921 | ||||||
Cadence Design Systems * | 30,930 | 366 | ||||||
Cavium * (A) | 29,655 | 918 | ||||||
CDC Software ADR * | 23,400 | 238 | ||||||
Ceva * (A) | 1,400 | 32 | ||||||
CIBER * | 103,300 | 438 | ||||||
Ciena * | 9,120 | 148 | ||||||
CommVault Systems * | 8,044 | 399 | ||||||
Computer Task Group * | 14,600 | 224 | ||||||
Comverse Technology * | 15,700 | 108 | ||||||
Concur Technologies * (A) | 6,500 | 373 | ||||||
Constant Contact * (A) | 11,455 | 341 | ||||||
Cornerstone OnDemand * | 17,600 | 384 | ||||||
Cree * (A) | 8,111 | 257 | ||||||
Cymer * (A) | 6,510 | 326 | ||||||
DealerTrack Holdings * | 28,470 | 862 | ||||||
Demandware * | 2,900 | 86 | ||||||
Dice Holdings * (A) | 23,994 | 224 | ||||||
Digi International * | 26,600 | 292 | ||||||
Digital River * | 20,020 | 375 | ||||||
Diodes * (A) | 21,601 | 501 | ||||||
DTS * | 265 | 8 | ||||||
Earthlink | 72,140 | 576 | ||||||
Emulex * | 10,700 | 111 | ||||||
Entegris * | 56,740 | 530 | ||||||
Envestnet * | 27,257 | 341 | ||||||
ExactTarget * | 9,170 | 238 | ||||||
Exar * | 800 | 7 | ||||||
ExlService Holdings * | 15,168 | 416 | ||||||
Extreme Networks * | 30,800 | 118 | ||||||
Fabrinet * | 6,500 | 115 | ||||||
Fairchild Semiconductor International * | 54,234 | 797 | ||||||
FARO Technologies * | 2,675 | 156 | ||||||
FEI * | 8,621 | 423 | ||||||
Finisar * (A) | 8,062 | 162 | ||||||
Forrester Research | 2,596 | 84 | ||||||
Fortinet * | 19,780 | 547 | ||||||
Fusion-io * (A) | 7,740 | 220 | ||||||
Glu Mobile * (A) | 45,500 | 221 | ||||||
GT Advanced Technologies * (A) | 21,900 | 181 | ||||||
Hackett Group * | 1,908 | 11 | ||||||
Heartland Payment Systems | 6,300 | 182 | ||||||
Hittite Microwave * (A) | 9,335 | 507 | ||||||
Immersion * | 20,310 | 111 |
Description | Shares | Market Value ($ Thousands) | ||||||
Informatica * | 720 | $ | 38 | |||||
Inphi * (A) | 50,710 | 719 | ||||||
Integrated Device Technology * (A) | 106,527 | 762 | ||||||
Interactive Intelligence Group * (A) | 7,573 | 231 | ||||||
Internap Network Services * | 28,444 | 209 | ||||||
International Rectifier * | 28,004 | 646 | ||||||
Intersil, Cl A | 35,423 | 397 | ||||||
IPG Photonics * | 7,050 | 367 | ||||||
j2 Global (A) | 9,725 | 279 | ||||||
Jack Henry & Associates | 4,864 | 166 | ||||||
JDA Software Group * | 4,600 | 126 | ||||||
Kemet * | 13,200 | 123 | ||||||
Kenexa * (A) | 9,558 | 299 | ||||||
KIT Digital * (A) | 14,297 | 103 | ||||||
Lattice Semiconductor * | 17,800 | 114 | ||||||
Lender Processing Services | 17,425 | 453 | ||||||
Liquidity Services * | 5,000 | 224 | ||||||
LivePerson * | 7,200 | 121 | ||||||
LTX-Credence * | 22,033 | 158 | ||||||
Manhattan Associates * | 7,500 | 356 | ||||||
MAXIMUS | 9,200 | 374 | ||||||
Maxwell Technologies * (A) | 8,573 | 157 | ||||||
Mellanox Technologies * (A) | 22,220 | 930 | ||||||
Mentor Graphics * | 36,603 | 544 | ||||||
Micrel (A) | 4,400 | 45 | ||||||
Micros Systems * | 5,865 | 324 | ||||||
Microsemi * | 6,400 | 137 | ||||||
MicroStrategy, Cl A * | 1,929 | 270 | ||||||
Mindspeed Technologies * | 43,399 | 276 | ||||||
Mitek Systems * (A) | 15,954 | 185 | ||||||
Mitel Networks * | 31,400 | 135 | ||||||
Monolithic Power Systems * | 18,926 | 372 | ||||||
Monotype Imaging Holdings * | 5,100 | 76 | ||||||
MTS Systems | 1,300 | 69 | ||||||
Netgear * (A) | 11,930 | 456 | ||||||
Netscout Systems * | 900 | 18 | ||||||
NetSuite * (A) | 6,300 | 317 | ||||||
NIC (A) | 26,900 | 326 | ||||||
Nuance Communications * (A) | 10,170 | 260 | ||||||
OCZ Technology Group * (A) | 19,360 | 135 | ||||||
OpenTable * (A) | 4,300 | 174 | ||||||
Oplink Communications * | 5,600 | 96 | ||||||
Opnet Technologies (A) | 12,029 | 349 | ||||||
Parametric Technology * | 58,006 | 1,621 | ||||||
Park Electrochemical | 4,400 | 133 | ||||||
Parkervision * (A) | 78,100 | 84 | ||||||
Photronics * (A) | 53,579 | 356 | ||||||
Plantronics | 6,600 | 266 | ||||||
Plexus * | 17,294 | 605 | ||||||
PMC - Sierra * | 16,600 | 120 | ||||||
Progress Software * | 7,065 | 167 | ||||||
QLIK Technologies * | 17,405 | 557 | ||||||
Quantum * | 171,151 | 448 | ||||||
Rackspace Hosting * (A) | 6,270 | 362 | ||||||
RealPage * (A) | 13,490 | 259 | ||||||
Riverbed Technology * | 10,300 | 289 | ||||||
Rogers * | 4,182 | 162 | ||||||
Rosetta Stone * | 19,756 | 204 | ||||||
Saba Software * | 32,900 | 323 | ||||||
Sapient | 20,399 | 254 |
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Seachange International * | 15,800 | $ | 123 | |||||
Semtech * | 11,580 | 330 | ||||||
ServiceSource International * (A) | 59,111 | 915 | ||||||
Silicon Graphics International * (A) | 7,500 | 73 | ||||||
Silicon Laboratories * | 6,960 | 299 | ||||||
SolarWinds * (A) | 18,394 | 711 | ||||||
Sonus Networks * | 130,649 | 379 | ||||||
Sourcefire * (A) | 12,738 | 613 | ||||||
STEC * (A) | 3,600 | 34 | ||||||
Sycamore Networks * | 26,901 | 477 | ||||||
Synaptics * (A) | 5,300 | 194 | ||||||
Synchronoss Technologies * | 7,580 | 242 | ||||||
SYNNEX * (A) | 12,691 | 484 | ||||||
Take-Two Interactive Software * (A) | 15,200 | 234 | ||||||
Taleo, Cl A * | 2,000 | 92 | ||||||
TeleNav * | 13,300 | 93 | ||||||
Teradyne * | 32,520 | 549 | ||||||
TIBCO Software * | 19,220 | 586 | ||||||
Tivo * | 13,721 | 165 | ||||||
Travelzoo * (A) | 5,200 | 120 | ||||||
TTM Technologies * | 37,148 | 427 | ||||||
Tyler Technologies * | 6,300 | 242 | ||||||
Ultra Clean Holdings * | 30,646 | 231 | ||||||
Unisys * | 2,500 | 49 | ||||||
Veeco Instruments * (A) | 2,000 | 57 | ||||||
VeriFone Holdings * (A) | 3,445 | 179 | ||||||
VirnetX Holding * (A) | 6,500 | 156 | ||||||
Vishay Intertechnology * (A) | 40,015 | 487 | ||||||
VistaPrint * (A) | 8,064 | 312 | ||||||
Wright Express * | 1,451 | 94 | ||||||
XO Group * (A) | 14,000 | 132 | ||||||
|
| |||||||
45,564 | ||||||||
|
| |||||||
Materials — 3.6% |
| |||||||
AK Steel Holding (A) | 6,800 | 51 | ||||||
Allied Nevada Gold * | 3,300 | 107 | ||||||
Aptargroup | 1,700 | 93 | ||||||
Balchem | 1,000 | 30 | ||||||
Buckeye Technologies | 3,900 | 132 | ||||||
Carpenter Technology | 6,755 | 353 | ||||||
EcoSynthetix * | 20,200 | 112 | ||||||
Globe Specialty Metals | 37,431 | 557 | ||||||
GSE Holding * | 18,600 | 244 | ||||||
Haynes International | 7,900 | 500 | ||||||
Hecla Mining (A) | 20,100 | 93 | ||||||
Horsehead Holding * | 63,538 | 724 | ||||||
Innophos Holdings | 16,704 | 837 | ||||||
Innospec * | 18,940 | 576 | ||||||
Kaiser Aluminum | 4,279 | 202 | ||||||
Kraton Performance Polymers * | 8,096 | 215 | ||||||
LSB Industries * | 11,338 | 441 | ||||||
Minerals Technologies | 6,016 | 394 | ||||||
New Gold * | 10,000 | 99 | ||||||
NewMarket | 1,272 | 238 | ||||||
Noranda Aluminum Holding | 36,787 | 367 | ||||||
PolyOne | 65,631 | 945 | ||||||
Quaker Chemical | 7,711 | 304 | ||||||
Romarco Minerals * | 75,600 | 75 | ||||||
RTI International Metals * (A) | 31,978 | 737 | ||||||
Sandstorm Gold * | 45,600 | 86 | ||||||
Schulman A | 2,200 | 60 |
Description | Shares | Market Value ($ Thousands) | ||||||
Schweitzer-Mauduit International | 5,800 | $ | 401 | |||||
Sensient Technologies | 11,195 | 426 | ||||||
Silgan Holdings | 9,595 | 424 | ||||||
Solutia | 8,960 | 250 | ||||||
TPC Group * | 3,572 | 158 | ||||||
Universal Stainless & Alloy * | 2,900 | 124 | ||||||
Worthington Industries (A) | 12,981 | 249 | ||||||
|
| |||||||
10,604 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% |
| |||||||
Boingo Wireless * | 39,550 | 478 | ||||||
Fairpoint Communications * (A) | 16,000 | 60 | ||||||
IDT, Cl B | 7,800 | 73 | ||||||
Leap Wireless International * (A) | 9,900 | 87 | ||||||
Neutral Tandem * | 25,100 | 306 | ||||||
tw telecom, Cl A * | 10,185 | 226 | ||||||
|
| |||||||
1,230 | ||||||||
|
| |||||||
Utilities — 1.9% |
| |||||||
Allete | 7,245 | 301 | ||||||
Cadiz * (A) | 18,100 | 166 | ||||||
Chesapeake Utilities | 5,576 | 229 | ||||||
Cia de Saneamento de Minas Gerais-COPASA (Brazil) | 4,400 | 104 | ||||||
Cleco | 8,855 | 351 | ||||||
El Paso Electric | 10,670 | 347 | ||||||
Empire District Electric (A) | 11,000 | 224 | ||||||
Idacorp | 12,583 | 517 | ||||||
New Jersey Resources (A) | 9,743 | 434 | ||||||
Northwest Natural Gas (A) | 6,252 | 284 | ||||||
PNM Resources | 33,309 | 610 | ||||||
Portland General Electric | 12,000 | 300 | ||||||
Southwest Gas | 7,569 | 323 | ||||||
UIL Holdings (A) | 16,377 | 569 | ||||||
Unisource Energy | 2,500 | 91 | ||||||
Vectren | 13,296 | 386 | ||||||
Westar Energy | 3,600 | 101 | ||||||
WGL Holdings | 7,536 | 307 | ||||||
|
| |||||||
5,644 | ||||||||
|
| |||||||
Total Common Stock |
| 247,357 | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 1.0% |
| |||||||
iShares Russell 2000 Growth Index Fund (A) | 15,465 | 1,475 | ||||||
iShares Russell 2000 Index Fund | 2,100 | 174 | ||||||
|
| |||||||
1,649 | ||||||||
|
| |||||||
iShares Russell 2000 Value Index Fund (A) | 20,100 | 1,467 | ||||||
Total Exchange Traded Funds | 3,116 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Consumer Discretionary — 0.1% |
| |||||||
Callaway Golf | 1,200 | 123 | ||||||
|
| |||||||
Energy — 0.0% | ||||||||
GeoMet (D) | 6,113 | 50 | ||||||
|
| |||||||
Financials — 0.0% | ||||||||
Grubb & Ellis * (B) | 800 | — |
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Grubb & Ellis Cumulative * | 900 | $ | — | |||||
|
| |||||||
— | ||||||||
|
| |||||||
Total Preferred Stock |
| 173 | ||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
Kulim Malaysia | 10,100 | — | ||||||
Magnum Hunter Resources Expires 08/29/14 * | 12,911 | — | ||||||
Sandstorm Gold Expires 04/23/14 * | 12,375 | 15 | ||||||
|
| |||||||
Total Warrants |
| 15 | ||||||
|
| |||||||
CONVERTIBLE BONDS — 0.0% |
| |||||||
Energy — 0.0% | ||||||||
Rentech CV to 249.2522 | ||||||||
4.000%, 04/15/13 | 86 | 84 | ||||||
|
| |||||||
Financials — 0.0% | ||||||||
Grubb & Ellis CV to 445.583 | ||||||||
7.950%, 05/01/15 (B) | 36 | 3 | ||||||
|
| |||||||
Total Convertible Bonds |
| 87 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 24.9% |
| |||||||
SEI Liquidity Fund, L.P. | 73,545,276 | 73,545 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 73,545 | ||||||
|
| |||||||
CASH EQUIVALENT — 6.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 18,510,672 | 18,511 | ||||||
|
| |||||||
Total Cash Equivalent |
| 18,511 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (G) (H) — 1.0% |
| |||||||
U.S. Treasury Bills | ||||||||
0.057%, 06/28/12 | $ | 2,453 | 2,452 | |||||
0.048%, 09/20/12 | 261 | 261 | ||||||
0.040%, 08/23/12 | 118 | 118 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 2,831 | ||||||
|
| |||||||
Total Investments — 117.1% |
| $ | 345,635 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index | 474 | Jun-2012 | $ | 648 | ||||||||
|
|
For the period ended March 31, 2012, 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 $295,251 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $71,272 ($ 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. The total market value of such securities as of March 31, 2012 was $48 ($ Thousands) and represented 0.02% of Net Assets. |
(D) | Securities considered restricted. The total market value of such securities as of March 31, 2012 was $2 ($ Thousands) and represented 0.0% of Net Assets. |
(E) | 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 March 31, 2012 was $48 ($ Thousands) and represented 0.02% of Net Assets. |
(F) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2012 was $73,545 ($ Thousands). |
(G) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(H) | 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 $0.
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2012
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
��
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 247,354 | $ | 1 | $ | 2 | $ | 247,357 | ||||||||
Exchange Traded Funds | 3,116 | — | — | 3,116 | ||||||||||||
Preferred Stock | — | 173 | — | 173 | ||||||||||||
Convertible Bonds | — | 87 | — | 87 | ||||||||||||
Warrants | — | 15 | — | 15 | ||||||||||||
U.S. Treasury Obligations | — | 2,831 | — | 2,831 | ||||||||||||
Affiliated Partnership | — | 73,545 | — | 73,545 | ||||||||||||
Cash Equivalent | 18,511 | — | — | 18,511 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 268,981 | $ | 76,652 | $ | 2 | $ | 345,635 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 648 | $ | — | $ | — | $ | 648 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 648 | $ | — | $ | — | $ | 648 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2011 | $ | 2 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 2 | ||
|
| |||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | — | ||
|
|
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
9 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.8%‡ |
| |||||||
Consumer Discretionary — 9.8% |
| |||||||
AFC Enterprises * | 42,080 | $ | 714 | |||||
American Eagle Outfitters | 50,964 | 876 | ||||||
American Greetings, Cl A (A) | 21,400 | 328 | ||||||
ANN * (A) | 39,203 | 1,123 | ||||||
Arbitron | 13,800 | 510 | ||||||
Belo, Cl A | 107,220 | 769 | ||||||
Big Lots * | 16,200 | 697 | ||||||
Bob Evans Farms (A) | 14,000 | 528 | ||||||
Callaway Golf (A) | 94,881 | 642 | ||||||
Casual Male Retail Group * | 188,300 | 633 | ||||||
Cato, Cl A | 15,700 | 434 | ||||||
CEC Entertainment | 9,400 | 356 | ||||||
Chico’s FAS | 49,970 | 755 | ||||||
Childrens Place Retail Stores * (A) | 21,015 | 1,086 | ||||||
Coinstar * | 16,300 | 1,036 | ||||||
Cooper Tire & Rubber | 101,787 | 1,549 | ||||||
Core-Mark Holding | 14,898 | 610 | ||||||
Cracker Barrel Old Country Store (A) | 3,200 | 178 | ||||||
CSS Industries | 24,100 | 469 | ||||||
DreamWorks Animation SKG, Cl A * (A) | 59,000 | 1,089 | ||||||
Ethan Allen Interiors (A) | 28,060 | 710 | ||||||
Federal Mogul, Cl A * | 28,800 | 496 | ||||||
Foot Locker (A) | 17,900 | 556 | ||||||
hhgregg * (A) | 38,116 | 434 | ||||||
Insight Enterprises * | 27,600 | 605 | ||||||
International Speedway, Cl A | 16,411 | 455 | ||||||
Jack in the Box * | 34,600 | 829 | ||||||
Jakks Pacific (A) | 33,200 | 579 | ||||||
Jones Group | 49,400 | 620 | ||||||
Journal Communications, Cl A * | 107,100 | 603 | ||||||
Libbey * | 125,500 | 1,624 | ||||||
Matthews International, Cl A (A) | 84,235 | 2,665 | ||||||
MDC Partners, Cl A | 132,500 | 1,473 | ||||||
Men’s Wearhouse | 49,041 | 1,901 | ||||||
Meredith (A) | 56,425 | 1,832 | ||||||
Nutrisystem (A) | 18,300 | 205 | ||||||
Penske Auto Group (A) | 13,000 | 320 | ||||||
Pier 1 Imports | 53,465 | 972 | ||||||
Pinnacle Entertainment * (A) | 79,215 | 912 | ||||||
RadioShack (A) | 43,800 | 272 | ||||||
Regis (A) | 135,749 | 2,502 | ||||||
Rent-A-Center | 51,400 | 1,940 | ||||||
Ruby Tuesday * (A) | 29,900 | 273 | ||||||
Scholastic | 22,200 | 783 | ||||||
School Specialty * (A) | 65,141 | 231 | ||||||
Scientific Games, Cl A * | 63,204 | 737 | ||||||
Sinclair Broadcast Group, Cl A | 27,300 | 302 | ||||||
Skechers U.S.A., Cl A * (A) | 55,700 | 709 | ||||||
Stage Stores | 40,100 | 651 | ||||||
Standard Motor Products | 17,300 | 307 | ||||||
Starwood Hotels & Resorts Worldwide | 8,750 | 494 | ||||||
Universal Electronics * | 16,800 | 336 | ||||||
Warnaco Group * (A) | 11,400 | 666 | ||||||
WMS Industries * | 84,272 | 2,000 | ||||||
|
| |||||||
44,376 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Consumer Staples — 2.9% |
| |||||||
Cal-Maine Foods | 11,100 | $ | 425 | |||||
Casey’s General Stores (A) | 17,382 | 964 | ||||||
Central Garden and Pet, Cl A * | 33,837 | 326 | ||||||
Central Garden and Pet * | 37,725 | 355 | ||||||
Chiquita Brands International * | 158,100 | 1,390 | ||||||
Corn Products International | 26,764 | 1,543 | ||||||
Darling International * | 27,300 | 476 | ||||||
Dole Food * (A) | 122,482 | 1,222 | ||||||
Fresh Del Monte Produce | 19,500 | 445 | ||||||
Ingles Markets, Cl A | 31,975 | 564 | ||||||
J&J Snack Foods | 12,930 | 678 | ||||||
Nash Finch | 10,700 | 304 | ||||||
Pantry * | 51,030 | 664 | ||||||
Prestige Brands Holdings * (A) | 17,428 | 305 | ||||||
Sanderson Farms | 11,808 | 626 | ||||||
Spartan Stores | 79,528 | 1,441 | ||||||
Spectrum Brands Holdings * (A) | 6,200 | 217 | ||||||
Universal | 12,200 | 568 | ||||||
Weis Markets | 10,900 | 475 | ||||||
|
| |||||||
12,988 | ||||||||
|
| |||||||
Energy — 4.9% |
| |||||||
Berry Petroleum, Cl A | 35,308 | 1,664 | ||||||
Bill Barrett * | 15,675 | 408 | ||||||
Cloud Peak Energy * (A) | 74,300 | 1,184 | ||||||
Comstock Resources * (A) | 60,600 | 959 | ||||||
Energy Partners * (A) | 48,600 | 807 | ||||||
Forest Oil * | 73,200 | 887 | ||||||
GeoMet * | 111,450 | 75 | ||||||
Goodrich Petroleum * (A) | 65,871 | 1,253 | ||||||
Gulfmark Offshore, Cl A * | 15,200 | 699 | ||||||
Key Energy Services * | 119,520 | 1,846 | ||||||
Lone Pine Resources * | 73,945 | 481 | ||||||
Magnum Hunter Resources * (A) | 88,855 | 570 | ||||||
Matrix Service * | 40,500 | 567 | ||||||
Newpark Resources * (A) | 108,510 | 889 | ||||||
Northern Oil And Gas * (A) | 20,110 | 417 | ||||||
Parker Drilling * | 172,700 | 1,031 | ||||||
REX American Resources * | 2,641 | 81 | ||||||
Scorpio Tankers * (A) | 216,200 | 1,526 | ||||||
SEACOR Holdings * | 5,400 | 517 | ||||||
StealthGas * | 60,600 | 357 | ||||||
Superior Energy Services * | 19,600 | 517 | ||||||
Swift Energy * | 41,923 | 1,217 | ||||||
Tesoro * (A) | 28,700 | 770 | ||||||
Tidewater (A) | 21,200 | 1,145 | ||||||
USEC * (A) | 134,800 | 143 | ||||||
W&T Offshore (A) | 15,400 | 325 | ||||||
Western Refining (A) | 33,800 | 636 | ||||||
World Fuel Services (A) | 22,700 | 931 | ||||||
|
| |||||||
21,902 | ||||||||
|
| |||||||
Financials — 33.6% |
| |||||||
1st Source | 30,000 | 734 | ||||||
Advance America Cash Advance Centers | 9,600 | 101 | ||||||
Agree Realty † (A) | 4,800 | 108 | ||||||
Allied World Assurance Holdings | 7,500 | 515 | ||||||
Alterra Capital Holdings (A) | 94,250 | 2,166 | ||||||
American Campus Communities † (A) | 7,100 | 318 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
American Equity Investment Life Holding (A) | 107,100 | $ | 1,368 | |||||
Ameris Bancorp * | 5,094 | 67 | ||||||
Anworth Mortgage Asset † | 102,700 | 676 | ||||||
Apartment Investment & Management, Cl A † | 37,215 | 983 | ||||||
Ashford Hospitality Trust † (A) | 31,900 | 287 | ||||||
Aspen Insurance Holdings | 13,200 | 369 | ||||||
Astoria Financial (A) | 5,250 | 52 | ||||||
AvalonBay Communities † (A) | 9,869 | 1,395 | ||||||
Bancfirst (A) | 2,750 | 120 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 50,350 | 1,063 | ||||||
Bancorp * | 2,450 | 25 | ||||||
Bancorpsouth (A) | 49,544 | 667 | ||||||
Bank Mutual | 8,450 | 34 | ||||||
Bank of Kentucky Financial | 1,350 | 35 | ||||||
Bank of Marin Bancorp (A) | 1,900 | 72 | ||||||
Bank of the Ozarks (A) | 23,830 | 745 | ||||||
BankFinancial | 6,350 | 42 | ||||||
Banner | 8,700 | 192 | ||||||
BBCN Bancorp * | 15,050 | 167 | ||||||
Beneficial Mutual Bancorp * | 10,000 | 87 | ||||||
Berkshire Hills Bancorp | 32,070 | 735 | ||||||
BioMed Realty Trust † (A) | 57,135 | 1,084 | ||||||
BofI Holding * | 3,000 | 51 | ||||||
Boston Private Financial Holdings (A) | 214,728 | 2,128 | ||||||
Boston Properties † (A) | 9,935 | 1,043 | ||||||
Brandywine Realty Trust † (A) | 121,835 | 1,399 | ||||||
BRE Properties, Cl A † | 10,250 | 518 | ||||||
Bridge Bancorp | 1,200 | 25 | ||||||
Brookline Bancorp | 2,522 | 24 | ||||||
Bryn Mawr Bank (A) | 1,050 | 24 | ||||||
Camden National | 14,000 | 492 | ||||||
Campus Crest Communities † (A) | 120,900 | 1,410 | ||||||
Capital City Bank Group (A) | 3,950 | 29 | ||||||
CapLease † | 102,100 | 412 | ||||||
Capstead Mortgage † (A) | 32,600 | 427 | ||||||
Cardinal Financial | 42,134 | 476 | ||||||
Cathay General Bancorp | 51,400 | 910 | ||||||
CBL & Associates Properties † (A) | 83,774 | 1,585 | ||||||
Center Bancorp | 2,100 | 21 | ||||||
Central Pacific Financial * (A) | 33,200 | 430 | ||||||
Chatham Lodging Trust † | 18,400 | 234 | ||||||
Chemical Financial | 9,500 | 223 | ||||||
Chesapeake Lodging Trust † | 31,955 | 574 | ||||||
Citizens & Northern | 3,700 | 74 | ||||||
Citizens Republic Bancorp * | 6,123 | 96 | ||||||
City Holding (A) | 4,600 | 160 | ||||||
CNB Financial | 1,850 | 31 | ||||||
CNO Financial Group * (A) | 315,000 | 2,451 | ||||||
CoBiz Financial | 101,425 | 717 | ||||||
Colonial Properties Trust † | 31,808 | 691 | ||||||
Columbia Banking System | 6,150 | 140 | ||||||
CommonWealth † | 39,229 | 731 | ||||||
Community Bank System (A) | 2,950 | 85 | ||||||
Community Trust Bancorp | 19,100 | 613 | ||||||
Coresite Realty † | 17,385 | 410 | ||||||
Corporate Office Properties Trust † (A) | 22,950 | 533 | ||||||
CreXus Investment † | 109,900 | �� | 1,136 |
Description | Shares | Market Value ($ Thousands) | ||||||
CVB Financial (A) | 82,703 | $ | 971 | |||||
CYS Investments † (A) | 65,500 | 857 | ||||||
Dime Community Bancshares | 14,850 | 217 | ||||||
Dynex Capital † | 43,600 | 416 | ||||||
Eagle Bancorp * (A) | 47,644 | 798 | ||||||
East West Bancorp | 40,335 | 931 | ||||||
Education Realty Trust † | 142,307 | 1,543 | ||||||
Employers Holdings | 74,394 | 1,317 | ||||||
Encore Bancshares * (A) | 800 | 16 | ||||||
Encore Capital Group * | 9,400 | 212 | ||||||
Endurance Specialty Holdings | 45,294 | 1,842 | ||||||
Enterprise Bancorp | 1,100 | 18 | ||||||
Enterprise Financial Services | 6,700 | 79 | ||||||
Equity One † | 47,003 | 950 | ||||||
Equity Residential † | 35,600 | 2,229 | ||||||
Excel Trust † | 63,747 | 770 | ||||||
Extra Space Storage † | 25,536 | 735 | ||||||
FBL Financial Group, Cl A (A) | 21,700 | 731 | ||||||
FBR * | 269,100 | 691 | ||||||
Federal Realty Investment Trust † | 3,554 | 344 | ||||||
Financial Institutions | 4,300 | 70 | ||||||
First Bancorp (A) | 4,900 | 54 | ||||||
First BanCorp * | 1,880 | 8 | ||||||
First Busey | 25,200 | 124 | ||||||
First Commonwealth Financial | 6,750 | 41 | ||||||
First Community Bancshares (A) | 27,345 | 365 | ||||||
First Defiance Financial | 3,000 | 51 | ||||||
First Financial (A) | 4,300 | 137 | ||||||
First Financial Bancorp | 40,904 | 708 | ||||||
First Financial Holdings | 21,506 | 237 | ||||||
First Horizon National (A) | 99,509 | 1,033 | ||||||
First Interstate Bancsystem, Cl A | 8,150 | 119 | ||||||
First Merchants | 23,300 | 288 | ||||||
First Midwest Bancorp | 165,363 | 1,981 | ||||||
FirstMerit | 61,926 | 1,044 | ||||||
Flagstar Bancorp * | 5,240 | 5 | ||||||
Flushing Financial | 60,300 | 812 | ||||||
FNB (Pennsylvania) (A) | 43,250 | 522 | ||||||
Forest City Enterprises, Cl A * (A) | 54,830 | 858 | ||||||
Fulton Financial | 42,700 | 448 | ||||||
General Growth Properties † | 65,882 | 1,119 | ||||||
German American Bancorp (A) | 2,250 | 44 | ||||||
GFI Group | 88,900 | 334 | ||||||
Glacier Bancorp | 5,100 | 76 | ||||||
Global Indemnity, Cl A * | 43,700 | 852 | ||||||
Government Properties Income Trust † | 25,200 | 608 | ||||||
Great American Group * | 172,900 | 10 | ||||||
Great Southern Bancorp | 2,500 | 60 | ||||||
Hancock Holding (A) | 69,133 | 2,455 | ||||||
Hanmi Financial * | 21,300 | 216 | ||||||
Hanover Insurance Group | 20,160 | 829 | ||||||
Hatteras Financial † (A) | 43,500 | 1,214 | ||||||
HCP † | 38,912 | 1,536 | ||||||
Health Care † (A) | 20,250 | 1,113 | ||||||
Heartland Financial USA | 2,650 | 46 | ||||||
Heritage Commerce * | 6,000 | 39 | ||||||
Heritage Financial | 2,800 | 38 | ||||||
Highwoods Properties † (A) | 49,680 | 1,655 | ||||||
Home Bancshares | 45,400 | 1,208 | ||||||
Home Federal Bancorp | 2,700 | 27 | ||||||
Home Loan Servicing Solutions | 31,100 | 434 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
HomeStreet * | 23,800 | $ | 662 | |||||
Horace Mann Educators | 72,970 | 1,286 | ||||||
Hospitality Properties Trust † | 18,600 | 492 | ||||||
Host Hotels & Resorts † (A) | 74,156 | 1,218 | ||||||
Hudson Valley Holding | 2,666 | 43 | ||||||
IBERIABANK | 18,176 | 972 | ||||||
Infinity Property & Casualty | 18,817 | 985 | ||||||
International Bancshares (A) | 53,200 | 1,125 | ||||||
Investors Bancorp * | 16,950 | 255 | ||||||
Kearny Financial | 100 | 1 | ||||||
Kennedy-Wilson Holdings (A) | 107,400 | 1,450 | ||||||
Kite Realty Group Trust † | 90,000 | 474 | ||||||
Knight Capital Group, Cl A * | 54,300 | 699 | ||||||
Lakeland Bancorp | 7,072 | 70 | ||||||
Lakeland Financial | 6,500 | 169 | ||||||
LaSalle Hotel Properties † | 27,485 | 773 | ||||||
Lexington Realty Trust † (A) | 173,826 | 1,563 | ||||||
Macerich † | 13,911 | 803 | ||||||
Mack-Cali Realty † | 59,761 | 1,722 | ||||||
Maiden Holdings | 157,600 | 1,418 | ||||||
MainSource Financial Group (A) | 63,407 | 764 | ||||||
MB Financial | 16,400 | 344 | ||||||
Meadowbrook Insurance Group | 150,700 | 1,406 | ||||||
Meridian Interstate Bancorp * | 900 | 12 | ||||||
Metro Bancorp * | 650 | 8 | ||||||
MFA Financial † | 184,421 | 1,378 | ||||||
MGIC Investment * (A) | 11,250 | 56 | ||||||
Mid-America Apartment Communities † | 30,431 | 2,040 | ||||||
MidSouth Bancorp | 700 | 10 | ||||||
Montpelier Re Holdings | 23,800 | 460 | ||||||
National Bankshares | 1,400 | 42 | ||||||
National Financial Partners * (A) | 46,040 | 697 | ||||||
National Penn Bancshares (A) | 72,701 | 643 | ||||||
National Retail Properties † (A) | 32,440 | 882 | ||||||
NBT Bancorp | 850 | 19 | ||||||
Nelnet, Cl A | 64,700 | 1,676 | ||||||
Northwest Bancshares | 24,475 | 311 | ||||||
OceanFirst Financial | 33,650 | 479 | ||||||
Ocwen Financial * | 111,700 | 1,746 | ||||||
Old National Bancorp | 166,614 | 2,189 | ||||||
OmniAmerican Bancorp * | 24,000 | 465 | ||||||
Oriental Financial Group | 33,900 | 410 | ||||||
Oritani Financial | 1,300 | 19 | ||||||
Pacific Continental | 900 | 8 | ||||||
PacWest Bancorp (A) | 75,983 | 1,846 | ||||||
Park National (A) | 3,650 | 252 | ||||||
Pennsylvania † | 28,000 | 428 | ||||||
PennyMac Mortgage Investment Trust † | 23,500 | 439 | ||||||
Peoples Bancorp (A) | 3,650 | 64 | ||||||
PHH * | 21,700 | 336 | ||||||
PICO Holdings * | 30,000 | 703 | ||||||
Piedmont Office Realty Trust, Cl A † | 7,650 | 136 | ||||||
Pinnacle Financial Partners * (A) | 3,750 | 69 | ||||||
Platinum Underwriters Holdings | 61,514 | 2,245 | ||||||
Potlatch † (A) | 11,300 | 354 | ||||||
Presidential Life | 13,900 | 159 | ||||||
PrivateBancorp, Cl A | 47,400 | 719 | ||||||
ProAssurance | 24,613 | 2,168 | ||||||
ProLogis † | 51,644 | 1,860 |
Description | Shares | Market Value ($ Thousands) | ||||||
Prosperity Bancshares (A) | 27,120 | $ | 1,242 | |||||
Provident Financial Services | 16,500 | 240 | ||||||
Public Storage † | 10,707 | 1,479 | ||||||
Radian Group (A) | 9,950 | 43 | ||||||
RAIT Financial Trust † (A) | 9,799 | 49 | ||||||
Regency Centers † (A) | 20,581 | 915 | ||||||
Reinsurance Group of America, Cl A | 14,778 | 879 | ||||||
Renasant (A) | 8,250 | 134 | ||||||
Republic Bancorp, Cl A | 35,500 | 849 | ||||||
Rockville Financial | 5,901 | 69 | ||||||
Roma Financial | 350 | 3 | ||||||
S&T Bancorp (A) | 8,950 | 194 | ||||||
Safeguard Scientifics * | 61,100 | 1,051 | ||||||
Sandy Spring Bancorp | 45,130 | 820 | ||||||
SCBT Financial | 14,150 | 463 | ||||||
Sierra Bancorp | 21,153 | 208 | ||||||
Signature Bank NY * (A) | 7,064 | 445 | ||||||
Simmons First National, Cl A (A) | 25,600 | 661 | ||||||
Simon Property Group † | 18,744 | 2,731 | ||||||
SL Green Realty † (A) | 16,442 | 1,275 | ||||||
Southside Bancshares (A) | 25,831 | 571 | ||||||
Southwest Bancorp * | 4,550 | 42 | ||||||
StanCorp Financial Group (A) | 7,800 | 319 | ||||||
Starwood Property Trust † (A) | 23,900 | 502 | ||||||
State Bank Financial * | 13,500 | 236 | ||||||
StellarOne | 7,150 | 85 | ||||||
Sterling Financial * | 6,600 | 138 | ||||||
Suffolk Bancorp * | 5,050 | 66 | ||||||
Susquehanna Bancshares | 123,197 | 1,217 | ||||||
SVB Financial Group * (A) | 4,250 | 273 | ||||||
SWS Group | 55,900 | 320 | ||||||
SY Bancorp | 950 | 22 | ||||||
Synovus Financial (A) | 149,740 | 307 | ||||||
TCF Financial (A) | 39,763 | 473 | ||||||
Territorial Bancorp | 1,800 | 37 | ||||||
Texas Capital Bancshares * (A) | 3,200 | 111 | ||||||
THL Credit | 38,700 | 498 | ||||||
Tompkins Financial, Cl US | 670 | 27 | ||||||
TowneBank (A) | 4,750 | 64 | ||||||
Trico Bancshares | 4,700 | 82 | ||||||
Trustco Bank NY (A) | 30,350 | 173 | ||||||
Trustmark (A) | 6,900 | 172 | ||||||
Two Harbors Investment † | 53,400 | 542 | ||||||
UDR † | 26,500 | 708 | ||||||
UMB Financial (A) | 3,200 | 143 | ||||||
Umpqua Holdings (A) | 18,300 | 248 | ||||||
Union First Market Bankshares | 6,850 | 96 | ||||||
United Bankshares (A) | 5,250 | 152 | ||||||
United Community Banks * | 10,500 | 102 | ||||||
United Financial Bancorp | 25,400 | 402 | ||||||
Univest Corp of Pennsylvania | 4,350 | 73 | ||||||
Validus Holdings | 49,900 | 1,544 | ||||||
Ventas † | 26,269 | 1,500 | ||||||
Verde Realty PIPE * (B) (C) | 21,100 | 336 | ||||||
ViewPoint Financial Group | 61,900 | 952 | ||||||
Virginia Commerce Bancorp * | 12,650 | 111 | ||||||
Vornado Realty Trust † | 11,700 | 985 | ||||||
Washington Banking | 4,700 | 65 | ||||||
Webster Financial | 57,490 | 1,303 | ||||||
WesBanco | 9,700 | 195 | ||||||
West Bancorporation | 3,750 | 37 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Westamerica Bancorporation (A) | 400 | $ | 19 | |||||
Western Alliance Bancorp * | 259,175 | 2,195 | ||||||
Wilshire Bancorp * (A) | 66,250 | 320 | ||||||
Winthrop Realty Trust † | 41,497 | 481 | ||||||
Wintrust Financial (A) | 3,050 | 109 | ||||||
WSFS Financial | 24,850 | 1,019 | ||||||
Zions Bancorporation (A) | 72,969 | 1,566 | ||||||
|
| |||||||
151,705 | ||||||||
|
| |||||||
Health Care — 4.5% | ||||||||
Accuray * (A) | 46,200 | 326 | ||||||
Alere * (A) | 46,800 | 1,217 | ||||||
AMN Healthcare Services * | 4,900 | 30 | ||||||
Amsurg * | 33,028 | 924 | ||||||
Cambrex * | 86,300 | 603 | ||||||
Conmed | 54,045 | 1,614 | ||||||
Cross Country Healthcare * | 21,700 | 109 | ||||||
Enzon Pharmaceuticals * | 35,700 | 244 | ||||||
eResearchTechnology * | 83,600 | 654 | ||||||
Five Star Quality Care * | 56,519 | 193 | ||||||
Greatbatch * | 56,305 | 1,381 | ||||||
HealthSouth * | 72,950 | 1,494 | ||||||
Hi-Tech Pharmacal * | 7,400 | 266 | ||||||
ICON ADR * | 33,476 | 710 | ||||||
Invacare | 4,800 | 80 | ||||||
Kensey Nash | 7,800 | 228 | ||||||
Kindred Healthcare * (A) | 25,100 | 217 | ||||||
Magellan Health Services * | 29,255 | 1,428 | ||||||
Medical Action Industries * | 122,500 | 701 | ||||||
Mednax * | 11,780 | 876 | ||||||
Metropolitan Health Networks * (A) | 79,600 | 746 | ||||||
Natus Medical * | 19,100 | 228 | ||||||
Orthofix International * | 11,400 | 428 | ||||||
Par Pharmaceutical * | 23,600 | 914 | ||||||
PDL BioPharma (A) | 64,700 | 411 | ||||||
PerkinElmer | 29,597 | 819 | ||||||
PharMerica * (A) | 20,700 | 257 | ||||||
Providence Service * | 42,400 | 657 | ||||||
Skilled Healthcare Group, Cl A * | 64,200 | 492 | ||||||
STERIS | 33,681 | 1,065 | ||||||
Sun Healthcare Group * | 51,300 | 351 | ||||||
Symmetry Medical * | 70,000 | 495 | ||||||
Trinity Biotech ADR | 3,600 | 38 | ||||||
|
| |||||||
20,196 | ||||||||
|
| |||||||
Industrials — 16.9% |
| |||||||
AAR (A) | 14,000 | 256 | ||||||
ABM Industries | 25,500 | 620 | ||||||
ACCO Brands * | 6,600 | 82 | ||||||
Aegean Marine Petroleum Network (A) | 110,000 | 760 | ||||||
Air Transport Services Group * | 115,400 | 668 | ||||||
Aircastle | 60,900 | 746 | ||||||
Alamo Group | 17,000 | 511 | ||||||
Alaska Air Group * | 33,600 | 1,204 | ||||||
Alliant Techsystems | 7,000 | 351 | ||||||
Ampco-Pittsburgh | 23,400 | 471 | ||||||
Astec Industries * | 19,600 | 715 | ||||||
Atlas Air Worldwide Holdings * | 19,700 | 970 | ||||||
BE Aerospace * | 9,646 | 448 | ||||||
Belden | 46,178 | 1,751 | ||||||
Brady, Cl A | 46,000 | 1,488 |
Description | Shares | Market Value ($ Thousands) | ||||||
Brink’s | 49,400 | $ | 1,179 | |||||
Cascade | 11,400 | 571 | ||||||
Clean Harbors * | 9,058 | 610 | ||||||
Columbus McKinnon * | 41,900 | 682 | ||||||
Comfort Systems USA | 61,600 | 672 | ||||||
Consolidated Graphics * | 11,500 | 520 | ||||||
Corrections Corp of America * | 20,300 | 554 | ||||||
Courier | 16,336 | 190 | ||||||
CRA International * | 15,400 | 388 | ||||||
Cubic | 16,166 | 764 | ||||||
Curtiss-Wright | 21,100 | 781 | ||||||
Deluxe | 25,800 | 604 | ||||||
EMCOR Group | 100,103 | 2,775 | ||||||
Encore Wire | 5,600 | 166 | ||||||
EnPro Industries * | 12,480 | 513 | ||||||
ESCO Technologies | 23,872 | 878 | ||||||
Flow International * | 84,600 | 340 | ||||||
FTI Consulting * (A) | 61,900 | 2,323 | ||||||
G&K Services | 61,134 | 2,091 | ||||||
Genco Shipping & Trading * (A) | 21,500 | 137 | ||||||
General Cable * | 23,853 | 694 | ||||||
Geo Group * | 118,500 | 2,253 | ||||||
Global Power Equipment Group * (A) | 15,100 | 418 | ||||||
GrafTech International * | 25,800 | 308 | ||||||
Granite Construction | 33,200 | 954 | ||||||
Harsco | 13,300 | 312 | ||||||
Hawaiian Holdings * (A) | 144,658 | 757 | ||||||
ICF International * | 24,200 | 614 | ||||||
IDEX | 19,028 | 802 | ||||||
Interface, Cl A | 90,629 | 1,264 | ||||||
John Bean Technologies | 33,975 | 550 | ||||||
Kadant * | 49,199 | 1,172 | ||||||
Kaydon | 61,476 | 1,568 | ||||||
Kforce * | 27,200 | 405 | ||||||
Miller Industries | 22,200 | 376 | ||||||
Moog, Cl A * | 21,670 | 929 | ||||||
Mueller Industries | 19,300 | 877 | ||||||
NACCO Industries, Cl A | 6,900 | 803 | ||||||
Navigant Consulting * | 68,900 | 958 | ||||||
NN * | 26,300 | 215 | ||||||
Northwest Pipe * | 22,435 | 476 | ||||||
Orbital Sciences * | 24,300 | 320 | ||||||
Orion Marine Group * (A) | 201,264 | 1,455 | ||||||
Quad (A) | 20,800 | 289 | ||||||
Quanex Building Products (A) | 86,865 | 1,531 | ||||||
Rand Logistics * | 31,100 | 262 | ||||||
Republic Airways Holdings * (A) | 21,500 | 106 | ||||||
Robbins & Myers | 19,135 | 996 | ||||||
Ryder System | 26,710 | 1,410 | ||||||
Skywest | 40,400 | 446 | ||||||
Spirit Aerosystems Holdings, Cl A * | 42,600 | 1,042 | ||||||
Spirit Airlines * | 62,200 | 1,248 | ||||||
Standex International | 4,500 | 185 | ||||||
Swift Transportation, Cl A * | 59,300 | 684 | ||||||
SYKES Enterprises * | 71,800 | 1,134 | ||||||
TAL International Group (A) | 36,180 | 1,328 | ||||||
Teledyne Technologies * | 29,454 | 1,857 | ||||||
Teleflex | 26,352 | 1,612 | ||||||
Terex * (A) | 25,204 | 567 | ||||||
Tetra Tech * (A) | 130,965 | 3,452 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
TMS International, Cl A * | 87,900 | $ | 1,064 | |||||
Towers Watson, Cl A | 27,333 | 1,806 | ||||||
Trinity Industries | 9,700 | 320 | ||||||
Triumph Group (A) | 11,977 | 751 | ||||||
TrueBlue * | 29,500 | 528 | ||||||
Tutor Perini * | 132,600 | 2,066 | ||||||
US Airways Group * (A) | 68,200 | 518 | ||||||
USA Truck * | 25,400 | 197 | ||||||
VSE | 13,900 | 345 | ||||||
Wabash National * (A) | 130,200 | 1,347 | ||||||
Watts Water Technologies, Cl A (A) | 25,612 | 1,044 | ||||||
WESCO International * (A) | 13,847 | 904 | ||||||
Woodward | 21,400 | 917 | ||||||
|
| |||||||
76,215 | ||||||||
|
| |||||||
Information Technology — 12.2% |
| |||||||
Adtran | 35,383 | 1,103 | ||||||
Aeroflex Holding * (A) | 43,870 | 489 | ||||||
Amkor Technology * (A) | 57,800 | 355 | ||||||
Arris Group * (A) | 33,800 | 382 | ||||||
Arrow Electronics * | 29,800 | 1,251 | ||||||
Benchmark Electronics * | 58,600 | 966 | ||||||
Black Box | 12,300 | 314 | ||||||
Booz Allen Hamilton Holding, Cl A (A) | 33,370 | 568 | ||||||
Brightpoint * | 55,900 | 450 | ||||||
Brocade Communications Systems * | 99,810 | 574 | ||||||
CACI International, Cl A * (A) | 47,392 | 2,952 | ||||||
CDC Software ADR * | 70,900 | 720 | ||||||
CIBER * | 320,700 | 1,360 | ||||||
Coherent * | 22,735 | 1,326 | ||||||
Computer Task Group * | 44,400 | 680 | ||||||
Comtech Telecommunications (A) | 22,308 | 727 | ||||||
CoreLogic * | 26,000 | 425 | ||||||
CSG Systems International * | 34,100 | 516 | ||||||
CTS | 41,000 | 431 | ||||||
Diebold | 71,937 | 2,771 | ||||||
Digi International * | 80,800 | 888 | ||||||
Digital River * | 88,182 | 1,650 | ||||||
Diodes * (A) | 18,500 | 429 | ||||||
Earthlink | 258,980 | 2,069 | ||||||
Emulex * | 104,872 | 1,088 | ||||||
Entegris * | 39,600 | 370 | ||||||
Exar * | 2,500 | 21 | ||||||
Fairchild Semiconductor International * | 26,900 | 395 | ||||||
GT Advanced Technologies * (A) | 61,400 | 508 | ||||||
Hackett Group * | 5,972 | 36 | ||||||
Imation * | 30,500 | 189 | ||||||
Integrated Device Technology * (A) | 109,876 | 785 | ||||||
Intermec * | 127,645 | 987 | ||||||
Intersil, Cl A | 111,700 | 1,251 | ||||||
Ixia * | 36,800 | 460 | ||||||
j2 Global (A) | 23,295 | 668 | ||||||
Lender Processing Services | 13,300 | 346 | ||||||
Lexmark International, Cl A | 33,300 | 1,107 | ||||||
Logitech International * (A) | 26,700 | 208 | ||||||
Manhattan Associates * | 14,000 | 665 | ||||||
Mantech International, Cl A (A) | 22,000 | 758 |
Description | Shares | Market Value ($ Thousands) | ||||||
MicroStrategy, Cl A * | 8,300 | $ | 1,162 | |||||
Monolithic Power Systems * | 45,340 | 892 | ||||||
Multi-Fineline Electronix * | 16,100 | 442 | ||||||
Orbotech * | 1,500 | 18 | ||||||
Parametric Technology * (A) | 69,405 | 1,939 | ||||||
Photronics * (A) | 86,000 | 572 | ||||||
Plantronics | 15,200 | 612 | ||||||
Power-One * (A) | 81,100 | 369 | ||||||
Progress Software * | 71,580 | 1,691 | ||||||
Pulse Electronics (A) | 36,300 | 91 | ||||||
QLogic * | 43,900 | 780 | ||||||
RF Micro Devices * | 118,823 | 592 | ||||||
Rosetta Stone * (A) | 26,800 | 277 | ||||||
Rudolph Technologies * | 13,100 | 145 | ||||||
Saba Software * | 99,800 | 979 | ||||||
Silicon Laboratories * (A) | 16,670 | 717 | ||||||
SYNNEX * (A) | 10,600 | 404 | ||||||
Synopsys * | 29,070 | 891 | ||||||
Tech Data * | 34,300 | 1,861 | ||||||
TeleCommunication Systems, Cl A * | 73,598 | 205 | ||||||
Tessco Technologies | 12,000 | 306 | ||||||
TNS * | 38,701 | 841 | ||||||
Ultra Clean Holdings * | 73,411 | 553 | ||||||
Ultratech * | 46,400 | 1,345 | ||||||
United Online (A) | 88,200 | 432 | ||||||
Vishay Intertechnology * | 66,724 | 811 | ||||||
Websense * (A) | 48,200 | 1,016 | ||||||
Xyratex | 65,329 | 1,039 | ||||||
Zebra Technologies, Cl A * | 21,128 | 870 | ||||||
|
| |||||||
55,090 | ||||||||
|
| |||||||
Materials — 5.8% | ||||||||
Boise (A) | 58,800 | 483 | ||||||
Buckeye Technologies (A) | 19,400 | 659 | ||||||
Compass Minerals International | 7,100 | 509 | ||||||
Cytec Industries | 13,564 | 825 | ||||||
Eagle Materials | 7,500 | 261 | ||||||
Ferro * | 60,555 | 360 | ||||||
Glatfelter | 31,100 | 491 | ||||||
Globe Specialty Metals | 29,000 | 431 | ||||||
Greif, Cl A | 18,539 | 1,037 | ||||||
GSE Holding * | 56,400 | 741 | ||||||
H.B. Fuller | 62,700 | 2,058 | ||||||
Horsehead Holding * | 42,700 | 486 | ||||||
Huntsman | 50,780 | 711 | ||||||
Innophos Holdings | 22,315 | 1,118 | ||||||
Innospec * | 9,000 | 273 | ||||||
Minerals Technologies | 25,910 | 1,695 | ||||||
Neenah Paper | 33,700 | 1,002 | ||||||
NewMarket | 2,500 | 468 | ||||||
OM Group * | 36,535 | 1,005 | ||||||
Owens-Illinois * | 30,089 | 702 | ||||||
Packaging Corp of America | 29,507 | 873 | ||||||
PolyOne | 108,095 | 1,557 | ||||||
RTI International Metals * (A) | 96,898 | 2,235 | ||||||
Schnitzer Steel Industries, Cl A (A) | 25,800 | 1,029 | ||||||
Schweitzer-Mauduit International | 18,400 | 1,271 | ||||||
Sensient Technologies | 51,920 | 1,973 | ||||||
Silgan Holdings | 22,985 | 1,016 | ||||||
Stepan | 5,200 | 457 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Worthington Industries (A) | 29,400 | $ | 564 | |||||
|
| |||||||
26,290 | ||||||||
|
| |||||||
Telecommunication Services — 0.8% |
| |||||||
Atlantic Telegraph-Network | 15,200 | 553 | ||||||
Fairpoint Communications * (A) | 51,225 | 192 | ||||||
Neutral Tandem * | 142,331 | 1,735 | ||||||
tw telecom, Cl A * | 24,410 | 541 | ||||||
USA Mobility | 28,700 | 400 | ||||||
|
| |||||||
3,421 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
Allete | 17,350 | 720 | ||||||
Avista | 18,100 | 463 | ||||||
Cadiz * | 55,480 | 510 | ||||||
Chesapeake Utilities | 16,256 | 668 | ||||||
Cleco | 66,430 | 2,634 | ||||||
Empire District Electric | 33,500 | 682 | ||||||
Great Plains Energy | 100,092 | 2,029 | ||||||
Idacorp | 14,407 | 592 | ||||||
Northwest Natural Gas (A) | 14,980 | 680 | ||||||
NorthWestern | 8,600 | 305 | ||||||
Portland General Electric | 128,795 | 3,217 | ||||||
Southwest Gas | 18,130 | 775 | ||||||
UIL Holdings (A) | 21,700 | 754 | ||||||
Westar Energy | 18,384 | 514 | ||||||
WGL Holdings | 18,050 | 735 | ||||||
|
| |||||||
15,278 | ||||||||
|
| |||||||
Total Common Stock |
| 427,461 | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 1.0% |
| |||||||
iShares Russell 2000 Index Fund (A) | 18,960 | 1,571 | ||||||
iShares Russell 2000 Value Index Fund (A) | 40,600 | 2,962 | ||||||
|
| |||||||
Total Exchange Traded Funds |
| 4,533 | ||||||
|
| |||||||
PREFERRED STOCK — 0.0% |
| |||||||
Energy — 0.0% | ||||||||
GeoMet (C) | 17,451 | 141 | ||||||
|
| |||||||
Total Preferred Stock | 141 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
Magnum Hunter Resources Expires 08/29/14 * | 12,327 | — | ||||||
|
| |||||||
Total Warrants |
| — | ||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 19.5% |
| |||||||
SEI Liquidity Fund, L.P. 0.180%**†† (D) | 91,720,571 | $ | 87,754 | |||||
|
| |||||||
Total Affiliated Partnership |
| 87,754 | ||||||
|
| |||||||
CASH EQUIVALENT — 5.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 23,078,947 | 23,079 | ||||||
|
| |||||||
Total Cash Equivalent |
| 23,079 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (E) (F) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.050%, 06/28/12 | $ | 791 | 791 | |||||
0.050%, 09/20/12 | 479 | 479 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 1,270 | ||||||
|
| |||||||
Total Investments — 120.7% |
| $ | 544,238 | |||||
|
|
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2012
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 161 | Jun-2012 | $ | 445 | ||||||||
|
|
For the period ended March 31, 2012, 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 $450,797 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | 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 March 31, 2012. The total market value of securities on loan at March 31, 2012 was $88,870 ($ Thousands). |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of March 31, 2012 was $336 ($ Thousands) and represented 0.07% of Net Assets. |
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2012 was $336 ($ Thousands) and represented 0.07% 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 March 31, 2012 was $87,754 ($ 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 $0
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 427,125 | $ | — | $ | 336 | $ | 427,461 | ||||||||
Exchange Traded Funds | 4,533 | — | — | 4,533 | ||||||||||||
Preferred Stock | — | 141 | — | 141 | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
U.S. Treasury Obligations | — | 1,270 | — | 1,270 | ||||||||||||
Affiliated Partnership | — | 87,754 | — | 87,754 | ||||||||||||
Cash Equivalent | 23,079 | — | — | 23,079 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 454,737 | $ | 89,165 | $ | 336 | $ | 544,238 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 445 | $ | — | $ | — | $ | 445 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 445 | $ | — | $ | — | $ | 445 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are value at the unrealized appreciation on the instrument. |
The following is reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2011 | $ | 356 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (20 | ) | ||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 336 | ||
|
| |||
Changes in unrealized gains (losses included in earnings to securities still held at reporting date | $ | (20 | ) | |
|
|
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.1% |
| |||||||
Consumer Discretionary — 16.7% |
| |||||||
Aaron’s | 1,400 | $ | 36 | |||||
Aeropostale * | 26,200 | 566 | ||||||
American Public Education * (A) | 45,214 | 1,718 | ||||||
Ameristar Casinos | 1,600 | 30 | ||||||
ANN * | 28,500 | 816 | ||||||
Arctic Cat * | 4,300 | 184 | ||||||
Bally Technologies * | 21,400 | 1,000 | ||||||
Big Lots * | 1,300 | 56 | ||||||
BJ’s Restaurants * (A) | 26,686 | 1,344 | ||||||
Bravo Brio Restaurant Group * | 26,075 | 520 | ||||||
Bridgepoint Education * (A) | 13,200 | 327 | ||||||
Brinker International (A) | 22,637 | 624 | ||||||
Capella Education * | 1,063 | 38 | ||||||
Cato, Cl A | 6,406 | 177 | ||||||
CROCS * | 52,125 | 1,090 | ||||||
Dana Holding | 30,600 | 474 | ||||||
Denny’s * | 46,800 | 189 | ||||||
Dick’s Sporting Goods | 29,698 | 1,428 | ||||||
Domino’s Pizza | 18,700 | 679 | ||||||
DSW, Cl A | 2,400 | 131 | ||||||
Ethan Allen Interiors (A) | 15,400 | 390 | ||||||
Express * | 25,200 | 630 | ||||||
Finish Line, Cl A | 21,500 | 456 | ||||||
Francesca’s Holdings * (A) | 53,558 | 1,693 | ||||||
Gentex (A) | 15,200 | 373 | ||||||
Grand Canyon Education * | 9,985 | 177 | ||||||
Hibbett Sports * (A) | 23,190 | 1,265 | ||||||
HomeAway * (A) | 21,700 | 550 | ||||||
HSN | 6,645 | 253 | ||||||
ITT Educational Services * (A) | 4,500 | 298 | ||||||
Krispy Kreme Doughnuts * | 21,400 | 156 | ||||||
Life Time Fitness * (A) | 44,543 | 2,253 | ||||||
Live Nation * | 83,186 | 782 | ||||||
Liz Claiborne * | 110,000 | 1,470 | ||||||
LKQ * | 17,789 | 554 | ||||||
Lumber Liquidators Holdings * (A) | 36,100 | 906 | ||||||
Modine Manufacturing * | 6,100 | 54 | ||||||
Monro Muffler (A) | 2,150 | 89 | ||||||
Morgans Hotel Group * | 90,908 | 450 | ||||||
National CineMedia | 176,116 | 2,694 | ||||||
Orient-Express Hotels, Cl A * | 59,965 | 611 | ||||||
Oxford Industries (A) | 23,700 | 1,204 | ||||||
Pandora Media * (A) | 36,350 | 371 | ||||||
Panera Bread, Cl A * | 3,853 | 620 | ||||||
Papa John’s International * | 6,300 | 237 | ||||||
Peet’s Coffee & Tea * (A) | 2,500 | 184 | ||||||
PetMed Express (A) | 15,700 | 194 | ||||||
Pier 1 Imports | 27,939 | 508 | ||||||
Pinnacle Entertainment * | 106,475 | 1,225 | ||||||
Pool (A) | 3,500 | 131 | ||||||
Quiksilver * | 301,212 | 1,217 | ||||||
ReachLocal * | 48,500 | 346 | ||||||
Red Robin Gourmet Burgers * | 6,126 | 228 | ||||||
Saks * (A) | 166,895 | 1,938 | ||||||
Scientific Games, Cl A * | 22,866 | 267 | ||||||
Select Comfort * (A) | 48,810 | 1,581 | ||||||
Shuffle Master * | 31,775 | 559 | ||||||
Shutterfly * (A) | 19,436 | 609 |
Description | Shares | Market Value ($ Thousands) | ||||||
Sinclair Broadcast Group, Cl A | 8,600 | $ | 95 | |||||
Six Flags Entertainment | 9,200 | 430 | ||||||
Skullcandy * (A) | 95,403 | 1,510 | ||||||
SodaStream International * (A) | 20,461 | 689 | ||||||
Sotheby’s | 18,700 | 736 | ||||||
Strayer Education (A) | 2,500 | 236 | ||||||
Sturm Ruger (A) | 34,920 | 1,715 | ||||||
Teavana Holdings * (A) | 31,465 | 621 | ||||||
Tempur-Pedic International * | 8,545 | 722 | ||||||
Tenneco * | 18,223 | 677 | ||||||
Tesla Motors * (A) | 24,571 | 915 | ||||||
Titan International (A) | 24,500 | 579 | ||||||
Tractor Supply | 6,200 | 562 | ||||||
True Religion Apparel | 60,328 | 1,653 | ||||||
Ulta Salon Cosmetics & Fragrance | 18,755 | 1,742 | ||||||
Universal Technical Institute | 3,300 | 43 | ||||||
Vail Resorts (A) | 8,500 | 368 | ||||||
Valassis Communications * (A) | 6,600 | 152 | ||||||
Vera Bradley * (A) | 37,475 | 1,131 | ||||||
WABCO Holdings * | 11,730 | 709 | ||||||
Warnaco Group * (A) | 4,806 | 281 | ||||||
Zumiez * (A) | 88,249 | 3,187 | ||||||
|
| |||||||
57,703 | ||||||||
|
| |||||||
Consumer Staples — 1.7% |
| |||||||
B&G Foods, Cl A (A) | 23,300 | 524 | ||||||
Casey’s General Stores (A) | 7,371 | 409 | ||||||
Chefs’ Warehouse Holdings * (A) | 23,290 | 539 | ||||||
Coca-Cola Bottling Consolidated | 2,500 | 157 | ||||||
Darling International * | 3,700 | 64 | ||||||
Diamond Foods (A) | 865 | 20 | ||||||
Fresh Market * (A) | 16,600 | 796 | ||||||
J&J Snack Foods | 7,600 | 399 | ||||||
Lancaster Colony (A) | 21,727 | 1,444 | ||||||
Medifast * (A) | 14,267 | 249 | ||||||
Nu Skin Enterprises, Cl A (A) | 19,000 | 1,100 | ||||||
Rite Aid * | 230,900 | 402 | ||||||
United Natural Foods * | 690 | 32 | ||||||
|
| |||||||
6,135 | ||||||||
|
| |||||||
Energy — 8.3% |
| |||||||
ATP Oil & Gas * (A) | 36,000 | 265 | ||||||
Berry Petroleum, Cl A | 1,646 | 78 | ||||||
Callon Petroleum * | 18,300 | 115 | ||||||
CARBO Ceramics (A) | 3,800 | 401 | ||||||
Carrizo Oil & Gas * (A) | 41,061 | 1,160 | ||||||
Cheniere Energy * (A) | 2,400 | 36 | ||||||
Clayton Williams Energy * (A) | 2,000 | 159 | ||||||
Comstock Resources * (A) | 117,047 | 1,853 | ||||||
Contango Oil & Gas * | 4,300 | 253 | ||||||
Crosstex Energy | 9,300 | 132 | ||||||
CVR Energy * | 11,100 | 297 | ||||||
Dawson Geophysical * | 4,000 | 137 | ||||||
Dresser-Rand Group * | 27,533 | 1,277 | ||||||
Dril-Quip * | 24,040 | 1,563 | ||||||
Energy XXI Bermuda (A) | 13,452 | 486 | ||||||
Global Geophysical Services * | 35,827 | 380 | ||||||
Golar LNG | 7,900 | 301 | ||||||
Goodrich Petroleum * (A) | 104,317 | 1,984 | ||||||
Gulfmark Offshore, Cl A * | 8,900 | 409 | ||||||
Key Energy Services * | 4,395 | 68 | ||||||
KiOR, Cl A * | 3,239 | 43 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Laredo Petroleum Holdings * | 17,200 | $ | 403 | |||||
Lone Pine Resources * | 57,800 | 376 | ||||||
Lufkin Industries | 799 | 64 | ||||||
Magnum Hunter Resources * (A) | 115,400 | 740 | ||||||
Matador Resources * | 37,450 | 410 | ||||||
Matrix Service * | 13,900 | 195 | ||||||
Newpark Resources * | 33,200 | 272 | ||||||
Oasis Petroleum * (A) | 56,910 | 1,755 | ||||||
Oceaneering International | 12,220 | 658 | ||||||
Oil States International * | 7,120 | 556 | ||||||
Patriot Coal * (A) | 69,900 | 436 | ||||||
Petroleum Development * | 20,900 | 775 | ||||||
Petroquest Energy * (A) | 22,700 | 139 | ||||||
Pioneer Drilling * | 22,691 | 200 | ||||||
Quicksilver Resources * (A) | 208,086 | 1,049 | ||||||
Resolute Energy * (A) | 21,210 | 241 | ||||||
Rosetta Resources * (A) | 24,870 | 1,213 | ||||||
Scorpio Tankers * | 102,293 | 722 | ||||||
SM Energy | 7,480 | 529 | ||||||
Stone Energy * | 24,500 | 700 | ||||||
Superior Energy Services * | 47,019 | 1,239 | ||||||
Targa Resources | 29,310 | 1,332 | ||||||
Tesco (A) | 70,344 | 998 | ||||||
Tetra Technologies * | 5,400 | 51 | ||||||
Triangle Petroleum * (A) | 6,900 | 48 | ||||||
Vaalco Energy * (A) | 70,260 | 664 | ||||||
W&T Offshore (A) | 21,700 | 457 | ||||||
Western Refining | 2,600 | 49 | ||||||
Willbros Group * | 14,700 | 48 | ||||||
World Fuel Services (A) | 39,597 | 1,624 | ||||||
|
| |||||||
29,340 | ||||||||
|
| |||||||
Financials — 7.1% |
| |||||||
Advance America Cash Advance Centers | 900 | 10 | ||||||
Affiliated Managers Group * | 13,030 | 1,457 | ||||||
Alexander’s † (A) | 600 | 236 | ||||||
American Assets Trust † | 3,000 | 68 | ||||||
American Campus Communities † (A) | 5,600 | 250 | ||||||
Amtrust Financial Services (A) | 13,900 | 374 | ||||||
BRE Properties, Cl A † | 7,800 | 394 | ||||||
CapitalSource | 100,111 | 661 | ||||||
Cardtronics * | 25,785 | 677 | ||||||
Cash America International | 985 | 47 | ||||||
Cohen & Steers (A) | 18,000 | 574 | ||||||
DFC Global * (A) | 5,374 | 101 | ||||||
Douglas Emmett † | 24,400 | 557 | ||||||
Eaton Vance (A) | 26,346 | 753 | ||||||
Encore Capital Group * | 35,075 | 791 | ||||||
Equity Lifestyle Properties † | 3,838 | 268 | ||||||
Extra Space Storage † | 8,700 | 250 | ||||||
Ezcorp, Cl A * | 4,800 | 156 | ||||||
Financial Engines * (A) | 81,148 | 1,814 | ||||||
First Cash Financial Services * | 1,028 | 44 | ||||||
First Financial Bankshares (A) | 1,300 | 46 | ||||||
FXCM, Cl A | 19,400 | 252 | ||||||
Greenhill (A) | 8,100 | 354 | ||||||
Home Properties † (A) | 13,500 | 824 | ||||||
IBERIABANK | 10,330 | 552 | ||||||
Investors Real Estate Trust † (A) | 14,800 | 114 |
Description | Shares | Market Value ($ Thousands) | ||||||
Jones Lang LaSalle (A) | 14,373 | $ | 1,197 | |||||
Kilroy Realty † (A) | 9,100 | 424 | ||||||
LPL Investment Holdings (A) | 31,398 | 1,191 | ||||||
MarketAxess Holdings | 29,447 | 1,098 | ||||||
MGIC Investment * (A) | 237,475 | 1,178 | ||||||
Mid-America Apartment Communities † | 7,901 | 530 | ||||||
MSCI, Cl A * | 30,505 | 1,123 | ||||||
Netspend Holdings * | 6,913 | 54 | ||||||
Omega Healthcare Investors † (A) | 15,300 | 325 | ||||||
PennantPark Investment | 73,644 | 766 | ||||||
Potlatch † | 6,523 | 204 | ||||||
Signature Bank NY * | 21,823 | 1,376 | ||||||
Stifel Financial * | 29,670 | 1,123 | ||||||
SVB Financial Group * (A) | 8,059 | 518 | ||||||
Tanger Factory Outlet Centers † | 15,900 | 473 | ||||||
Titanium Asset Management PIPE * (B) (C) | 140,900 | 116 | ||||||
Value Creation * (B) (C) | 145,600 | 109 | ||||||
WisdomTree Investments * | 148,975 | 1,247 | ||||||
World Acceptance * (A) | 5,100 | 312 | ||||||
|
| |||||||
24,988 | ||||||||
|
| |||||||
Health Care — 18.4% | ||||||||
ABIOMED * (A) | 74,650 | 1,656 | ||||||
Acadia Healthcare * (A) | 51,941 | 847 | ||||||
Achillion Pharmaceuticals * (A) | 88,534 | 848 | ||||||
Acorda Therapeutics * | 13,000 | 345 | ||||||
Aegerion Pharmaceuticals * | 27,100 | 375 | ||||||
Akorn * (A) | 51,573 | 603 | ||||||
Align Technology * | 29,657 | 817 | ||||||
Alkermes * (A) | 6,000 | 111 | ||||||
Amarin ADR * (A) | 70,960 | 803 | ||||||
AMERIGROUP * | 12,600 | 848 | ||||||
Amylin Pharmaceuticals * | 2,920 | 73 | ||||||
Ariad Pharmaceuticals * (A) | 200,908 | 3,205 | ||||||
Arqule * | 27,490 | 193 | ||||||
Arthrocare * | 8,800 | 236 | ||||||
athenahealth * (A) | 23,992 | 1,778 | ||||||
AVEO Pharmaceuticals * | 37,480 | 465 | ||||||
BioMarin Pharmaceuticals * (A) | 16,874 | 578 | ||||||
Bruker BioSciences * | 44,100 | 675 | ||||||
Catalyst Health Solutions * (A) | 12,390 | 789 | ||||||
Centene * | 23,785 | 1,165 | ||||||
Cepheid * (A) | 19,165 | 802 | ||||||
Chemed (A) | 6,092 | 382 | ||||||
Computer Programs & Systems | 7,800 | 441 | ||||||
Cubist Pharmaceuticals * (A) | 44,143 | 1,909 | ||||||
Cyberonics * | 1,724 | 66 | ||||||
DexCom * | 3,927 | 41 | ||||||
DynaVox, Cl A * | 65,247 | 201 | ||||||
Emergent Biosolutions * | 52,636 | 842 | ||||||
Emeritus * (A) | 44,100 | 779 | ||||||
Endologix * | 29,785 | 436 | ||||||
Ensign Group | 6,800 | 185 | ||||||
Fluidigm * (A) | 32,904 | 517 | ||||||
Gen-Probe * | 12,718 | 845 | ||||||
Haemonetics * | 12,358 | 861 | ||||||
Halozyme Therapeutics * | 60,600 | 773 | ||||||
Hansen Medical * (A) | 68,100 | 204 | ||||||
Health Net * | 22,500 | 894 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
HeartWare International * (A) | 9,074 | $ | 596 | |||||
Hill-Rom Holdings | 9,100 | 304 | ||||||
Hi-Tech Pharmacal * | 11,774 | 423 | ||||||
HMS Holdings * | 30,102 | 939 | ||||||
ICU Medical * | 1,195 | 59 | ||||||
Idenix Pharmaceuticals * (A) | 14,100 | 138 | ||||||
Immunogen * (A) | 18,000 | 259 | ||||||
Impax Laboratories * | 23,500 | 577 | ||||||
Imris * | 108,557 | 356 | ||||||
Incyte * (A) | 39,978 | 772 | ||||||
Insulet * (A) | 63,225 | 1,210 | ||||||
IPC The Hospitalist * | 19,475 | 719 | ||||||
Ironwood Pharmaceuticals, Cl A * (A) | 22,930 | 305 | ||||||
ISTA Pharmaceuticals * (A) | 67,300 | 606 | ||||||
Jazz Pharmaceuticals * (A) | 18,000 | 873 | ||||||
Keryx Biopharmaceuticals * (A) | 8,835 | 44 | ||||||
MAKO Surgical * (A) | 12,200 | 514 | ||||||
MAP Pharmaceuticals * | 21,157 | 304 | ||||||
Masimo * | 58,638 | 1,371 | ||||||
Medicines * | 21,700 | 436 | ||||||
Medivation * | 6,374 | 476 | ||||||
Mednax * | 12,984 | 966 | ||||||
MELA Sciences * (A) | 42,600 | 190 | ||||||
Momenta Pharmaceuticals * (A) | 22,400 | 343 | ||||||
MWI Veterinary Supply * | 9,241 | 813 | ||||||
Myriad Genetics * | 61,249 | 1,449 | ||||||
Navidea Biopharmaceuticals * (A) | 64,500 | 212 | ||||||
Nektar Therapeutics * (A) | 53,000 | 420 | ||||||
Neurocrine Biosciences * | 38,700 | 308 | ||||||
NPS Pharmaceuticals * | 7,527 | 52 | ||||||
NxStage Medical * (A) | 28,620 | 552 | ||||||
Omnicare (A) | 25,685 | 913 | ||||||
Omnicell * | 60,877 | 926 | ||||||
Onyx Pharmaceuticals * | 15,800 | 595 | ||||||
Optimer Pharmaceuticals * (A) | 16,810 | 234 | ||||||
OraSure Technologies * | 55,951 | 643 | ||||||
Pain Therapeutics * (A) | 8,400 | 30 | ||||||
Parexel International * | 16,600 | 448 | ||||||
PDL BioPharma (A) | 45,400 | 288 | ||||||
Pharmacyclics * (A) | 20,830 | 578 | ||||||
PSS World Medical * (A) | 53,194 | 1,348 | ||||||
Questcor Pharmaceuticals * (A) | 58,400 | 2,197 | ||||||
Quidel * (A) | 52,943 | 973 | ||||||
Sagent Pharmaceuticals * (A) | 26,900 | 481 | ||||||
Salix Pharmaceuticals * | 13,329 | 700 | ||||||
Sangamo Biosciences * | 7,439 | 36 | ||||||
Seattle Genetics * (A) | 34,524 | 704 | ||||||
Sirona Dental Systems * | 15,367 | 792 | ||||||
Spectranetics * | 4,222 | 44 | ||||||
Spectrum Pharmaceuticals * (A) | 40,178 | 507 | ||||||
Sunrise Senior Living * (A) | 60,400 | 382 | ||||||
SXC Health Solutions * | 10,630 | 797 | ||||||
Syneron Medical * | 70,109 | 752 | ||||||
Targacept * | 6,800 | 35 | ||||||
Techne | 13,100 | 918 | ||||||
Theravance * (A) | 10,300 | 201 | ||||||
Thoratec * | 13,850 | 467 | ||||||
Threshold Pharmaceuticals * | 45,188 | 398 | ||||||
Tornier BV * (A) | 32,363 | 832 | ||||||
Trius Therapeutics * | 5,387 | 29 |
Description | Shares | Market Value ($ Thousands) | ||||||
Unilife * (A) | 150,100 | $ | 609 | |||||
Vical * | 20,200 | 69 | ||||||
Viropharma * (A) | 11,700 | 352 | ||||||
Vivus * | 11,600 | 259 | ||||||
Volcano * | 21,095 | 598 | ||||||
WellCare Health Plans * | 17,717 | 1,273 | ||||||
Zoll Medical * | 8,200 | 760 | ||||||
|
| |||||||
64,342 | ||||||||
|
| |||||||
Industrials — 17.7% |
| |||||||
Acacia Research - Acacia Technologies * | 38,456 | 1,605 | ||||||
Actuant, Cl A | 25,774 | 747 | ||||||
Acuity Brands | 27,800 | 1,747 | ||||||
Advisory Board * | 2,598 | 230 | ||||||
Alaska Air Group * | 600 | 22 | ||||||
Albany International, Cl A | 2,900 | 67 | ||||||
Allegiant Travel, Cl A * (A) | 10,500 | 572 | ||||||
Ametek | 11,950 | 580 | ||||||
Applied Industrial Technologies | 18,300 | 753 | ||||||
Armstrong World Industries (A) | 18,765 | 915 | ||||||
Avis Budget Group * (A) | 79,800 | 1,129 | ||||||
AZZ | 900 | 46 | ||||||
BE Aerospace * | 2,272 | 106 | ||||||
Beacon Roofing Supply * (A) | 5,300 | 136 | ||||||
Belden | 10,300 | 390 | ||||||
Brink’s | 1,400 | 33 | ||||||
Carlisle | 15,500 | 774 | ||||||
Cascade | 900 | 45 | ||||||
Celadon Group | 56,063 | 872 | ||||||
Ceradyne | 10,700 | 348 | ||||||
Chart Industries * | 3,001 | 220 | ||||||
Clarcor | 3,600 | 177 | ||||||
Clean Harbors * | 11,000 | 741 | ||||||
Colfax * | 15,700 | 553 | ||||||
Consolidated Graphics * | 4,400 | 199 | ||||||
Copa Holdings, Cl A | 12,249 | 970 | ||||||
Corporate Executive Board | 2,400 | 103 | ||||||
CoStar Group * (A) | 41,796 | 2,886 | ||||||
Cubic | 11,840 | 560 | ||||||
Dollar Thrifty Automotive Group * | 5,300 | 429 | ||||||
Dycom Industries * | 31,608 | 738 | ||||||
Dynamic Materials | 33,655 | 710 | ||||||
EnerSys * | 1,883 | 65 | ||||||
Exponent * | 6,600 | 320 | ||||||
Forward Air | 4,100 | 150 | ||||||
Gardner Denver | 21,441 | 1,351 | ||||||
General Cable * | 4,500 | 131 | ||||||
Genesee & Wyoming, Cl A * | 15,394 | 840 | ||||||
Graco | 10,300 | 547 | ||||||
GrafTech International * | 60,010 | 717 | ||||||
Greenbrier * | 30,150 | 597 | ||||||
Heico, Cl A | 33,326 | 1,338 | ||||||
HEICO (A) | 14,675 | 757 | ||||||
Heidrick & Struggles International | 1,800 | 40 | ||||||
Hexcel * | 30,731 | 738 | ||||||
Huron Consulting Group * | 2,700 | 101 | ||||||
IDEX | 16,610 | 700 | ||||||
IHS, Cl A * | 7,165 | 671 | ||||||
InnerWorkings * (A) | 47,175 | 549 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Insperity | 5,400 | $ | 165 | |||||
Interface, Cl A | 39,060 | 545 | ||||||
Kaman (A) | 1,800 | 61 | ||||||
Kelly Services, Cl A | 600 | 10 | ||||||
Keyw Holding * (A) | 37,030 | 287 | ||||||
Kirby * | 12,280 | 808 | ||||||
Knoll | 2,500 | 42 | ||||||
Landstar System | 28,549 | 1,648 | ||||||
Lincoln Electric Holdings | 13,340 | 605 | ||||||
Lindsay | 1,000 | 66 | ||||||
Marten Transport | 32,900 | 726 | ||||||
Middleby * | 16,470 | 1,666 | ||||||
Mistras Group * | 26,900 | 641 | ||||||
Mobile Mini * (A) | 41,649 | 880 | ||||||
Mueller Industries | 3,500 | 159 | ||||||
MYR Group * (A) | 2,400 | 43 | ||||||
Navigant Consulting * | 6,532 | 91 | ||||||
Navistar International * | 1,771 | 72 | ||||||
Old Dominion Freight Line * | 22,393 | 1,067 | ||||||
Pacer International * | 9,100 | 58 | ||||||
Polypore International * (A) | 58,645 | 2,062 | ||||||
Proto Labs * | 6,100 | 208 | ||||||
Raven Industries | 7,572 | 462 | ||||||
RBC Bearings * | 17,134 | 790 | ||||||
Resources Connection | 55,676 | 782 | ||||||
Rexnord * | 18,000 | 380 | ||||||
Robbins & Myers | 12,563 | 654 | ||||||
Rollins | 22,600 | 481 | ||||||
RPX * | 33,460 | 567 | ||||||
Rush Enterprises, Cl A * | 49,509 | 1,051 | ||||||
Sauer-Danfoss | 20,900 | 982 | ||||||
Simpson Manufacturing | 36,730 | 1,185 | ||||||
Standard Parking * | 53,453 | 1,096 | ||||||
Steelcase, Cl A (A) | 14,200 | 136 | ||||||
Sun Hydraulics | 20,700 | 541 | ||||||
SYKES Enterprises * | 2,400 | 38 | ||||||
Tennant (A) | 753 | 33 | ||||||
Thermon Group Holdings * | 18,830 | 385 | ||||||
Titan Machinery * (A) | 26,600 | 750 | ||||||
TransDigm Group * | 6,170 | 714 | ||||||
Trex * (A) | 25,200 | 808 | ||||||
Trimas * | 4,000 | 90 | ||||||
TrueBlue * | 55,195 | 987 | ||||||
United Rentals * (A) | 38,067 | 1,633 | ||||||
US Ecology | 5,457 | 119 | ||||||
UTI Worldwide | 3,088 | 53 | ||||||
Valmont Industries | 5,745 | 675 | ||||||
Vitran * | 51,941 | 415 | ||||||
Wabash National * (A) | 104,888 | 1,086 | ||||||
Wabtec | 27,714 | 2,089 | ||||||
Watsco | 9,900 | 733 | ||||||
Werner Enterprises (A) | 5,500 | 137 | ||||||
WESCO International * (A) | 17,058 | 1,114 | ||||||
|
| |||||||
61,891 | ||||||||
|
| |||||||
Information Technology — 23.9% |
| |||||||
ACI Worldwide * | 4,300 | 173 | ||||||
Acme Packet * (A) | 45,750 | 1,259 | ||||||
Advent Software * (A) | 29,957 | 767 | ||||||
Amtech Systems * (A) | 19,300 | 161 | ||||||
Ancestry.com * (A) | 45,467 | 1,034 | ||||||
Aruba Networks * (A) | 108,970 | 2,428 |
Description | Shares | Market Value ($ Thousands) | ||||||
Aspen Technology * | 67,720 | $ | 1,390 | |||||
Atmel * (A) | 86,139 | 849 | ||||||
Bazaarvoice * | 39,952 | 794 | ||||||
Brightpoint * | 4,900 | 39 | ||||||
BroadSoft * (A) | 52,011 | 1,989 | ||||||
Cadence Design Systems * (A) | 70,560 | 835 | ||||||
Cavium * (A) | 49,655 | 1,536 | ||||||
Ceva * (A) | 32,556 | 739 | ||||||
Ciena * | 20,810 | 337 | ||||||
Cognex (A) | 1,200 | 51 | ||||||
CommVault Systems * | 17,957 | 891 | ||||||
Concur Technologies * (A) | 12,900 | 740 | ||||||
Constant Contact * (A) | 33,105 | 986 | ||||||
Cornerstone OnDemand * | 66,742 | 1,458 | ||||||
Cree * (A) | 2,289 | 73 | ||||||
Cymer * | 13,000 | 650 | ||||||
DealerTrack Holdings * | 60,250 | 1,823 | ||||||
Demandware * | 5,900 | 176 | ||||||
Dice Holdings * (A) | 27,614 | 258 | ||||||
Diodes * | 4,403 | 102 | ||||||
DTS * (A) | 35,925 | 1,086 | ||||||
Entegris * | 152,990 | 1,429 | ||||||
Envestnet * | 83,480 | 1,045 | ||||||
Euronet Worldwide * | 64,655 | 1,351 | ||||||
ExactTarget * | 23,962 | 623 | ||||||
ExlService Holdings * | 4,308 | 118 | ||||||
Fairchild Semiconductor International * | 39,813 | 585 | ||||||
FARO Technologies * | 8,125 | 474 | ||||||
FEI * | 14,028 | 689 | ||||||
Finisar * (A) | 2,290 | 46 | ||||||
Forrester Research | 5,404 | 175 | ||||||
Fortinet * | 41,960 | 1,160 | ||||||
Fusion-io * (A) | 15,460 | 439 | ||||||
Gartner * | 38,503 | 1,642 | ||||||
Glu Mobile * (A) | 130,000 | 631 | ||||||
GT Advanced Technologies * (A) | 58,400 | 483 | ||||||
Heartland Payment Systems | 13,400 | 386 | ||||||
Hittite Microwave * | 22,455 | 1,220 | ||||||
Immersion * | 6,289 | 34 | ||||||
Informatica * | 1,640 | 87 | ||||||
Inphi * (A) | 118,135 | 1,675 | ||||||
Interactive Intelligence Group * (A) | 4,349 | 133 | ||||||
Internap Network Services * | 8,079 | 59 | ||||||
International Rectifier * | 58,658 | 1,353 | ||||||
IPG Photonics * | 20,400 | 1,062 | ||||||
Jack Henry & Associates | 43,360 | 1,479 | ||||||
Kemet * | 33,900 | 317 | ||||||
Kenexa * | 6,592 | 206 | ||||||
Lattice Semiconductor * | 64,800 | 417 | ||||||
Lender Processing Services | 50,450 | 1,312 | ||||||
Limelight Networks * (A) | 16,900 | 56 | ||||||
Liquidity Services * | 13,700 | 614 | ||||||
Littelfuse | 1,100 | 69 | ||||||
LivePerson * | 8,900 | 149 | ||||||
LogMein * (A) | — | — | ||||||
LTX-Credence * | 39,366 | 283 | ||||||
Manhattan Associates * | 19,900 | 946 | ||||||
MAXIMUS | 23,600 | 960 | ||||||
Maxwell Technologies * (A) | 2,423 | 44 | ||||||
Measurement Specialties * | 43,584 | 1,469 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Mellanox Technologies * (A) | 50,494 | $ | 2,111 | |||||
Micrel (A) | 20,600 | 211 | ||||||
Micros Systems * | 13,385 | 740 | ||||||
MicroStrategy, Cl A * | 1,139 | 160 | ||||||
Mindspeed Technologies * (A) | 12,326 | 79 | ||||||
Mitek Systems * (A) | 46,041 | 534 | ||||||
Monolithic Power Systems * | 5,900 | 116 | ||||||
Monotype Imaging Holdings * | 7,000 | 104 | ||||||
MTS Systems | 4,800 | 255 | ||||||
Netgear * (A) | 18,490 | 706 | ||||||
Netscout Systems * | 10,800 | 220 | ||||||
NetSuite * (A) | 12,800 | 644 | ||||||
NIC (A) | 58,000 | 703 | ||||||
Nuance Communications * (A) | 20,400 | 522 | ||||||
ON Semiconductor * | 78,385 | 706 | ||||||
OpenTable * (A) | 8,300 | 336 | ||||||
Oplink Communications * | 2,800 | 48 | ||||||
Opnet Technologies (A) | 8,482 | 246 | ||||||
Parametric Technology * | 29,265 | 818 | ||||||
Plantronics | 8,500 | 342 | ||||||
Plexus * | 4,000 | 140 | ||||||
PROS Holdings * | 45,364 | 848 | ||||||
QLIK Technologies * (A) | 60,843 | 1,947 | ||||||
Quantum * | 48,221 | 127 | ||||||
Rackspace Hosting * (A) | 12,300 | 711 | ||||||
RealPage * (A) | 75,536 | 1,448 | ||||||
Riverbed Technology * | 21,100 | 593 | ||||||
Rogers * | 1,202 | 46 | ||||||
Rosetta Stone * | 57,184 | 590 | ||||||
Sapient | 13,400 | 167 | ||||||
Semtech * | 26,420 | 752 | ||||||
ServiceSource International * (A) | 132,728 | 2,055 | ||||||
ShoreTel * | 32,000 | 182 | ||||||
Silicon Graphics International * (A) | 3,000 | 29 | ||||||
SolarWinds * (A) | 37,406 | 1,446 | ||||||
Solera Holdings | 22,910 | 1,051 | ||||||
Sonus Networks * | 61,474 | 178 | ||||||
Sourcefire * (A) | 17,475 | 841 | ||||||
SS&C Technologies Holdings * | 59,189 | 1,381 | ||||||
Sycamore Networks * (A) | 77,878 | 1,382 | ||||||
Synaptics * (A) | 17,700 | 646 | ||||||
Synchronoss Technologies * | 17,300 | 552 | ||||||
Take-Two Interactive Software * (A) | 26,300 | 405 | ||||||
Taleo, Cl A * | 5,200 | 239 | ||||||
TeleNav * | 24,300 | 171 | ||||||
TeleTech Holdings * | 10,247 | 165 | ||||||
Teradyne * (A) | 84,135 | 1,421 | ||||||
TIBCO Software * | 41,260 | 1,258 | ||||||
Tivo * | 3,897 | 47 | ||||||
Travelzoo * (A) | 14,000 | 322 | ||||||
Tyler Technologies * | 36,583 | 1,405 | ||||||
Ultratech * | 5,700 | 165 | ||||||
Unisys * | 4,200 | 83 | ||||||
Veeco Instruments * (A) | 1,300 | 37 | ||||||
VeriFone Holdings * (A) | 7,870 | 408 | ||||||
VirnetX Holding * (A) | 15,700 | 376 | ||||||
VistaPrint * (A) | 63,345 | 2,448 | ||||||
Wright Express * | 1,012 | 65 | ||||||
|
| |||||||
83,572 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 3.0% |
| |||||||
AK Steel Holding (A) | 13,700 | $ | 104 | |||||
Balchem | 300 | 9 | ||||||
Buckeye Technologies | 9,600 | 326 | ||||||
Globe Specialty Metals | 81,703 | 1,215 | ||||||
Golden Star Resources * | 58,500 | 109 | ||||||
Haynes International | 22,275 | 1,411 | ||||||
Hecla Mining (A) | 37,700 | 174 | ||||||
Horsehead Holding * | 123,705 | 1,409 | ||||||
Innophos Holdings | 19,100 | 957 | ||||||
Innospec * | 40,100 | 1,218 | ||||||
Kaiser Aluminum | 1,201 | 57 | ||||||
Kraton Performance Polymers * | 2,281 | 61 | ||||||
LSB Industries * | 34,241 | 1,333 | ||||||
NewMarket | 3,928 | 736 | ||||||
Noranda Aluminum Holding | 33,000 | 329 | ||||||
PolyOne | 37,020 | 533 | ||||||
Schulman A | 3,200 | 87 | ||||||
Solutia | 20,450 | 571 | ||||||
TPC Group * | 4,200 | 186 | ||||||
|
| |||||||
10,825 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% |
| |||||||
Boingo Wireless * | 79,300 | 959 | ||||||
IDT, Cl B | 20,200 | 189 | ||||||
|
| |||||||
1,148 | ||||||||
|
| |||||||
Utilities — 0.0% |
| |||||||
Genie Energy, Cl B | 12,800 | 124 | ||||||
|
| |||||||
Total Common Stock |
| 340,068 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||
iShares Russell 2000 Growth Index Fund | 4,605 | 439 | ||||||
|
| |||||||
Total Exchange Traded Fund | 439 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
Magnum Hunter Resources | 11,920 | — | ||||||
Rentech | 19,400 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 35.9% |
| |||||||
SEI Liquidity Fund, L.P. | 128,952,947 | 125,598 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 125,598 | ||||||
|
|
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 3.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 12,516,326 | $ | 12,516 | |||||
|
| |||||||
Total Cash Equivalent | 12,516 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (E) (F) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.050%, 09/20/12 | $ | 831 | 831 | |||||
0.024%, 06/28/12 | 393 | 393 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,224 | |||||||
|
| |||||||
Total Investments — 137.0% | $ | 479,845 | ||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||
Russell 2000 Index | 96 | Jun-2012 | $ | 336 | ||||||
|
|
For the period ended March 31, 2012, 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 $350,193 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $125,215 ($ Thousands). |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of March 31, 2012 was $225 ($ Thousands) and represented 0.06% 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 March 31, 2012 was $225 ($ Thousands) and represented 0.06% of Net Assets. |
(D) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of March 31, 2012 was $125,598 ($ 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 $0.
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 339,843 | $ | — | $ | 225 | $ | 340,068 | ||||||||
Exchange Traded Fund | 439 | — | — | 439 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
U.S. Treasury Obligations | — | 1,224 | — | 1,224 | ||||||||||||
Affiliated Partnership | — | 125,598 | — | 125,598 | ||||||||||||
Cash Equivalent | 12,516 | — | — | 12,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 352,798 | $ | 126,822 | $ | 225 | $ | 479,845 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 336 | $ | — | $ | — | $ | 336 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 336 | $ | — | $ | — | $ | 336 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2011 | $ | 252 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (27 | ) | ||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 225 | ||
|
| |||
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date | $ | (27 | ) | |
|
|
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.9% | ||||||||
Consumer Discretionary — 15.6% |
| |||||||
Aaron’s | 2,100 | $ | 54 | |||||
Abercrombie & Fitch, Cl A | 2,943 | 146 | ||||||
Aeropostale * | 2,250 | 49 | ||||||
AFC Enterprises * | 41,528 | 704 | ||||||
American Axle & Manufacturing Holdings * | 3,600 | 42 | ||||||
American Eagle Outfitters | 38,613 | 664 | ||||||
American Greetings, Cl A | 18,000 | 276 | ||||||
American Public Education * | 8,436 | 321 | ||||||
America’s Car-Mart * | 1,300 | 57 | ||||||
Amerigon * | 3,300 | 53 | ||||||
Ameristar Casinos | 1,300 | 24 | ||||||
ANN * | 18,483 | 529 | ||||||
Arbitron | 800 | 30 | ||||||
Asbury Automotive Group * | 2,900 | 78 | ||||||
Ascena Retail Group * | 16,350 | 725 | ||||||
Ascent Media, Cl A * | 1,500 | 71 | ||||||
Autoliv | 9,302 | 624 | ||||||
Autonation * (A) | 1,905 | 65 | ||||||
Bally Technologies * | 3,100 | 145 | ||||||
Barnes & Noble * | 2,584 | 34 | ||||||
Belo, Cl A | 33,867 | 243 | ||||||
Big Lots * | 14,500 | 624 | ||||||
Biglari Holdings * | 90 | 36 | ||||||
BJ’s Restaurants * | 10,130 | 510 | ||||||
Bob Evans Farms | 1,700 | 64 | ||||||
Boyd Gaming * | 3,600 | 28 | ||||||
Brinker International | 15,400 | 424 | ||||||
Brown Shoe | 2,700 | 25 | ||||||
Brunswick | 13,150 | 339 | ||||||
Buffalo Wild Wings * | 11,401 | 1,034 | ||||||
Cabela’s * | 1,900 | 73 | ||||||
Callaway Golf | 29,978 | 203 | ||||||
Capella Education * | 700 | 25 | ||||||
Carmax * | 7,506 | 260 | ||||||
Carter’s * | 2,200 | 110 | ||||||
Cato, Cl A | 9,700 | 268 | ||||||
Central European Media Enterprises, Cl A * | 700 | 5 | ||||||
Cheesecake Factory * (A) | 15,310 | 450 | ||||||
Chico’s FAS | 31,055 | 469 | ||||||
Childrens Place Retail Stores * | 7,220 | 373 | ||||||
Coinstar * | 1,200 | 76 | ||||||
Columbia Sportswear | 500 | 24 | ||||||
Cooper Tire & Rubber | 42,456 | 646 | ||||||
Core-Mark Holding | 7,616 | 312 | ||||||
Cracker Barrel Old Country Store | 600 | 34 | ||||||
CROCS * | 900 | 19 | ||||||
Dana Holding | 35,510 | 550 | ||||||
Deckers Outdoor * | 4,500 | 284 | ||||||
DeVry | 1,000 | 34 | ||||||
Dick’s Sporting Goods | 28,300 | 1,361 | ||||||
Digital Generation * | 800 | 8 | ||||||
Dillard’s, Cl A | 3,400 | 214 | ||||||
DineEquity * | 800 | 40 | ||||||
Domino’s Pizza | 1,600 | 58 | ||||||
DR Horton | 46,850 | 711 | ||||||
DreamWorks Animation SKG, Cl A * | 600 | 11 |
Description | Shares | Market Value ($ Thousands) | ||||||
DSW, Cl A | 24,269 | $ | 1,329 | |||||
Dunkin’ Brands Group | 1,393 | 42 | ||||||
Ethan Allen Interiors | 9,964 | 252 | ||||||
Exide Technologies * | 2,925 | 9 | ||||||
Express * | 24,130 | 603 | ||||||
Foot Locker | 2,900 | 90 | ||||||
Fossil * | 1,503 | 198 | ||||||
Francesca’s Holdings * | 17,354 | 549 | ||||||
GameStop, Cl A (A) | 12,600 | 275 | ||||||
Gannett | 18,400 | 282 | ||||||
Gentex | 2,600 | 64 | ||||||
GNC Holdings, Cl A | 20,120 | 702 | ||||||
Goodyear Tire & Rubber * | 6,100 | 68 | ||||||
Grand Canyon Education * | 7,170 | 127 | ||||||
Group 1 Automotive | 1,724 | 97 | ||||||
Guess? | 1,400 | 44 | ||||||
H&R Block | 14,400 | 237 | ||||||
Hanesbrands * | 20,860 | 616 | ||||||
Harley-Davidson | 6,915 | 340 | ||||||
Harman International Industries | 1,600 | 75 | ||||||
Harte-Hanks | 1,800 | 16 | ||||||
Hasbro | 11,397 | 418 | ||||||
Helen of Troy * | 2,400 | 82 | ||||||
hhgregg * (A) | 12,039 | 137 | ||||||
Hibbett Sports * (A) | 17,570 | 958 | ||||||
Hillenbrand | 2,500 | 57 | ||||||
HOT Topic | 4,814 | 49 | ||||||
Iconix Brand Group * | 1,300 | 23 | ||||||
Insight Enterprises * | 9,500 | 208 | ||||||
International Game Technology | 10,228 | 172 | ||||||
International Speedway, Cl A | 6,065 | 168 | ||||||
Interpublic Group | 41,142 | 469 | ||||||
iRobot * | 1,700 | 46 | ||||||
Isle of Capri Casinos * | 3,300 | 23 | ||||||
ITT Educational Services * (A) | 700 | 46 | ||||||
Jakks Pacific | 12,500 | 218 | ||||||
Jarden | 2,100 | 84 | ||||||
John Wiley & Sons, Cl A | 900 | 43 | ||||||
Jones Group | 21,722 | 273 | ||||||
JOS A Bank Clothiers * | 1,000 | 50 | ||||||
Journal Communications, Cl A * | 39,400 | 222 | ||||||
K12 * | 1,000 | 24 | ||||||
KB Home (A) | 9,261 | 82 | ||||||
Lamar Advertising, Cl A * | 20,900 | 677 | ||||||
Leapfrog Enterprises * | 16,400 | 137 | ||||||
Lear | 4,742 | 220 | ||||||
Leggett & Platt | 2,000 | 46 | ||||||
Lennar, Cl A (A) | 16,690 | 454 | ||||||
Liberty Media - Capital, Cl A | 528 | 46 | ||||||
Life Time Fitness * | 14,015 | 709 | ||||||
Lincoln Educational Services | 8,900 | 70 | ||||||
Lions Gate Entertainment * | 10,321 | 144 | ||||||
Live Nation * | 5,200 | 49 | ||||||
LKQ * | 16,205 | 505 | ||||||
Madison Square Garden, Cl A * | 1,900 | 65 | ||||||
Matthews International, Cl A | 21,656 | 685 | ||||||
MDC Holdings | 2,000 | 52 | ||||||
Men’s Wearhouse | 21,578 | 837 | ||||||
Meredith (A) | 16,230 | 527 | ||||||
Meritage Homes * | 10,820 | 293 | ||||||
Modine Manufacturing * | 2,100 | 19 | ||||||
Mohawk Industries * | 1,400 | 93 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Monro Muffler | 1,600 | $ | 66 | |||||
Morningstar | 300 | 19 | ||||||
National CineMedia | 31,723 | 485 | ||||||
National Presto Industries | 100 | 8 | ||||||
New York Times, Cl A * | 14,227 | 97 | ||||||
Newell Rubbermaid | 41,755 | 744 | ||||||
NVR * | 100 | 73 | ||||||
Office Depot * | 11,200 | 39 | ||||||
OfficeMax * | 6,223 | 36 | ||||||
O’Reilly Automotive * | 3,760 | 344 | ||||||
Orient-Express Hotels, Cl A * | 46,786 | 477 | ||||||
Oxford Industries | 1,400 | 71 | ||||||
Pandora Media * (A) | — | — | ||||||
Panera Bread, Cl A * | 3,535 | 569 | ||||||
Peet’s Coffee & Tea * | 1,000 | 74 | ||||||
Penn National Gaming * | 1,300 | 56 | ||||||
Penske Auto Group | 1,800 | 44 | ||||||
PEP Boys-Manny Moe & Jack | 3,200 | 48 | ||||||
PetSmart | 2,309 | 132 | ||||||
PF Chang’s China Bistro | 400 | 16 | ||||||
Pier 1 Imports | 70,390 | 1,280 | ||||||
Pinnacle Entertainment * | 40,505 | 466 | ||||||
Polaris Industries | 1,000 | 72 | ||||||
Pool | 2,100 | 79 | ||||||
Pulte Homes * | 78,358 | 693 | ||||||
PVH | 1,100 | 98 | ||||||
RadioShack (A) | 17,600 | 109 | ||||||
Red Robin Gourmet Burgers * | 6,030 | 224 | ||||||
Regal Entertainment Group, Cl A | 1,592 | 22 | ||||||
Regis | 47,983 | 884 | ||||||
Rent-A-Center | 15,050 | 568 | ||||||
Royal Caribbean Cruises | 10,797 | 318 | ||||||
Ruby Tuesday * | 24,600 | 225 | ||||||
Rue21 * | 16,090 | 472 | ||||||
Ryland Group | 2,100 | 40 | ||||||
Saks * | 3,587 | 42 | ||||||
Sally Beauty Holdings * | 28,250 | 701 | ||||||
Sauer-Danfoss | 6,140 | 289 | ||||||
Scholastic | 4,931 | 174 | ||||||
School Specialty * | 14,116 | 50 | ||||||
Scientific Games, Cl A * | 19,972 | 233 | ||||||
Scripps Networks Interactive, Cl A | 7,241 | 353 | ||||||
Select Comfort * | 23,130 | 749 | ||||||
Service International | 6,700 | 76 | ||||||
Shutterfly * (A) | 16,980 | 532 | ||||||
Signet Jewelers | 3,000 | 142 | ||||||
Sinclair Broadcast Group, Cl A | 18,100 | 200 | ||||||
Skechers U.S.A., Cl A * | 7,869 | 100 | ||||||
Skullcandy * (A) | 16,510 | 261 | ||||||
Snap-on | 800 | 49 | ||||||
Sotheby’s | 8,270 | 325 | ||||||
Stage Stores | 17,500 | 284 | ||||||
Standard-Pacific * | 4,600 | 21 | ||||||
Steven Madden * | 9,015 | 385 | ||||||
Stewart Enterprises, Cl A | 2,900 | 18 | ||||||
Strayer Education | 200 | 19 | ||||||
Tempur-Pedic International * (A) | 25,819 | 2,180 | ||||||
Tenneco * | 13,370 | 497 | ||||||
Thor Industries | 700 | 22 | ||||||
Toll Brothers * | 2,600 | 62 | ||||||
Tractor Supply | 5,765 | 522 |
Description | Shares | Market Value ($ Thousands) | ||||||
TripAdvisor * | 14,100 | $ | 503 | |||||
True Religion Apparel | 2,200 | 60 | ||||||
TRW Automotive Holdings * | 3,951 | 184 | ||||||
Tupperware Brands | 1,200 | 76 | ||||||
Ulta Salon Cosmetics & Fragrance | 6,335 | 588 | ||||||
Under Armour, Cl A * | 600 | 56 | ||||||
Universal Technical Institute | 492 | 7 | ||||||
Urban Outfitters * | 21,575 | 628 | ||||||
Vail Resorts | 1,000 | 43 | ||||||
Valassis Communications * | 1,800 | 41 | ||||||
Vera Bradley * (A) | 7,160 | 216 | ||||||
WABCO Holdings * | 1,500 | 91 | ||||||
Warnaco Group * | 700 | 41 | ||||||
Weight Watchers International (A) | 700 | 54 | ||||||
Whirlpool | 5,900 | 453 | ||||||
Williams-Sonoma | 1,200 | 45 | ||||||
WMS Industries * (A) | 44,704 | 1,061 | ||||||
Wolverine World Wide | 700 | 26 | ||||||
World Wrestling Entertainment, Cl A | 900 | 8 | ||||||
Wyndham Worldwide | 4,822 | 224 | ||||||
Zumiez * | 12,990 | 469 | ||||||
|
| |||||||
52,239 | ||||||||
|
| |||||||
Consumer Staples — 3.2% | ||||||||
B&G Foods, Cl A | 2,800 | 63 | ||||||
Boston Beer, Cl A * (A) | 800 | 86 | ||||||
Cal-Maine Foods | 1,100 | 42 | ||||||
Casey’s General Stores | 6,191 | 343 | ||||||
Central European Distribution * | 1,200 | 6 | ||||||
Central Garden and Pet, Cl A * | 19,092 | 184 | ||||||
Central Garden and Pet * | 11,883 | 112 | ||||||
Chefs’ Warehouse Holdings * | 17,155 | 397 | ||||||
Chiquita Brands International * | 5,191 | 46 | ||||||
Church & Dwight | 3,650 | 180 | ||||||
Constellation Brands, Cl A * | 19,760 | 466 | ||||||
Corn Products International | 9,454 | 545 | ||||||
Darling International * | 2,400 | 42 | ||||||
Dean Foods * | 5,300 | 64 | ||||||
Diamond Foods (A) | 1,500 | 34 | ||||||
Dole Food * (A) | 20,336 | 203 | ||||||
Elizabeth Arden * | 12,640 | 442 | ||||||
Energizer Holdings * | 1,900 | 141 | ||||||
Flowers Foods | 3,000 | 61 | ||||||
Fresh Del Monte Produce | 10,000 | 228 | ||||||
Green Mountain Coffee Roasters * | 12,200 | 571 | ||||||
Hain Celestial Group * | 1,700 | 75 | ||||||
Herbalife | 15,197 | 1,046 | ||||||
J&J Snack Foods | 7,915 | 415 | ||||||
JM Smucker | 3,812 | 310 | ||||||
Kroger | 16,272 | 394 | ||||||
Lancaster Colony | 1,200 | 80 | ||||||
Molson Coors Brewing, Cl B | 9,169 | 415 | ||||||
Monster Beverage * | 4,032 | 250 | ||||||
Nash Finch | 1,000 | 29 | ||||||
Nu Skin Enterprises, Cl A | 900 | 52 | ||||||
Omega Protein * | 23,400 | 178 | ||||||
Pantry * | 16,126 | 210 | ||||||
Post Holdings * | 500 | 17 | ||||||
Prestige Brands Holdings * | 5,505 | 96 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Ralcorp Holdings * | 1,000 | $ | 74 | |||||
Safeway | 24,500 | 495 | ||||||
Sanderson Farms | 4,730 | 251 | ||||||
Schiff Nutrition International * | 2,200 | 27 | ||||||
Smithfield Foods * | 14,758 | 325 | ||||||
Snyders-Lance | 800 | 21 | ||||||
Spartan Stores | 30,234 | 548 | ||||||
Spectrum Brands Holdings * | 1,100 | 38 | ||||||
SUPERVALU (A) | 17,700 | 101 | ||||||
SYSCO | 11,252 | 336 | ||||||
TreeHouse Foods * | 1,800 | 107 | ||||||
Universal | 5,400 | 251 | ||||||
USANA Health Sciences * | 400 | 15 | ||||||
Vector Group | 3,197 | 57 | ||||||
WD-40 | 400 | 18 | ||||||
Weis Markets | 5,100 | 222 | ||||||
|
| |||||||
10,709 | ||||||||
|
| |||||||
Energy — 5.6% | ||||||||
Amyris * | 6,628 | 34 | ||||||
Arch Coal | 2,167 | 23 | ||||||
ATP Oil & Gas * (A) | 1,700 | 13 | ||||||
Atwood Oceanics * | 13,200 | 593 | ||||||
Berry Petroleum, Cl A | 21,649 | 1,020 | ||||||
Bill Barrett * | 9,015 | 234 | ||||||
Bonanza Creek Energy * | 16,080 | 351 | ||||||
Bristow Group | 700 | 34 | ||||||
Cabot Oil & Gas | 6,528 | 203 | ||||||
CARBO Ceramics (A) | 400 | 42 | ||||||
Carrizo Oil & Gas * | 16,200 | 458 | ||||||
Clean Energy Fuels * (A) | 2,390 | 51 | ||||||
Cobalt International Energy * | 3,124 | 94 | ||||||
Contango Oil & Gas * | 500 | 29 | ||||||
Core Laboratories | 1,389 | 183 | ||||||
CVR Energy * | 2,700 | 72 | ||||||
Dresser-Rand Group * | 1,300 | 60 | ||||||
Dril-Quip * | 12,103 | 787 | ||||||
Energen | 2,800 | 138 | ||||||
Energy XXI Bermuda | 640 | 23 | ||||||
EQT | 4,532 | 219 | ||||||
EXCO Resources (A) | 3,300 | 22 | ||||||
Exterran Holdings * | 1,510 | 20 | ||||||
Golar LNG | 3,200 | 122 | ||||||
Goodrich Petroleum * (A) | 22,207 | 422 | ||||||
Gulf Island Fabrication | 1,700 | 50 | ||||||
Gulfmark Offshore, Cl A * | 13,030 | 599 | ||||||
Helix Energy Solutions Group * | 1,800 | 32 | ||||||
Helmerich & Payne | 2,821 | 152 | ||||||
Hercules Offshore * | 9,373 | 44 | ||||||
HollyFrontier | 6,972 | 224 | ||||||
Hyperdynamics * | 9,260 | 12 | ||||||
ION Geophysical * | 42,740 | 276 | ||||||
Key Energy Services * | 48,956 | 756 | ||||||
Kodiak Oil & Gas, Cl Lithuanian * | 7,600 | 76 | ||||||
Lufkin Industries | 4,050 | 327 | ||||||
Magnum Hunter Resources * (A) | 45,435 | 291 | ||||||
Matador Resources * | 27,590 | 302 | ||||||
McMoRan Exploration * (A) | 5,900 | 63 | ||||||
Murphy Oil | 4,595 | 259 | ||||||
Nabors Industries * | 12,988 | 227 | ||||||
Newfield Exploration * | 7,121 | 247 | ||||||
Newpark Resources * | 31,795 | 260 |
Description | Shares | Market Value ($ Thousands) | ||||||
Northern Oil And Gas * | 13,300 | $ | 276 | |||||
Oasis Petroleum * | 14,520 | 448 | ||||||
Oceaneering International | 11,010 | 593 | ||||||
Oil States International * | 6,140 | 479 | ||||||
Overseas Shipholding Group (A) | 1,426 | 18 | ||||||
Panhandle Oil and Gas, Cl A | 600 | 18 | ||||||
Parker Drilling * | 47,556 | 284 | ||||||
Patterson-UTI Energy | 4,000 | 69 | ||||||
Penn Virginia | 1,300 | 6 | ||||||
Pioneer Drilling * | 1,400 | 12 | ||||||
Pioneer Natural Resources | 4,364 | 487 | ||||||
Plains Exploration & Production * | 4,433 | 189 | ||||||
Quicksilver Resources * | 2,900 | 15 | ||||||
Range Resources | 4,962 | 289 | ||||||
Resolute Energy * | 15,630 | 178 | ||||||
Rex Energy * | 37,030 | 396 | ||||||
RigNet * | 519 | 9 | ||||||
Rosetta Resources * | 13,410 | 654 | ||||||
Rowan * | 3,071 | 101 | ||||||
SandRidge Energy * | 10,700 | 84 | ||||||
SEACOR Holdings * | 500 | 48 | ||||||
SM Energy | 7,000 | 495 | ||||||
Stone Energy * | 16,100 | 460 | ||||||
Superior Energy Services * | 28,216 | 744 | ||||||
Swift Energy * | 14,442 | 419 | ||||||
Tesoro * | 23,300 | 625 | ||||||
Tidewater | 6,960 | 376 | ||||||
USEC * | 51,000 | 54 | ||||||
W&T Offshore | 13,700 | 289 | ||||||
Western Refining | 21,700 | 408 | ||||||
Whiting Petroleum * | 11,650 | 633 | ||||||
Willbros Group * | 1,500 | 5 | ||||||
World Fuel Services | 1,200 | 49 | ||||||
|
| |||||||
18,654 | ||||||||
|
| |||||||
Financials — 17.2% | ||||||||
1st Source | 2,900 | 71 | ||||||
Acadia Realty Trust † | 1,500 | 34 | ||||||
Advance America Cash Advance Centers | 8,400 | 88 | ||||||
Affiliated Managers Group * | 5,581 | 624 | ||||||
Alexander’s † | 100 | 39 | ||||||
Alexandria Real Estate Equities † | 1,100 | 80 | ||||||
Alleghany * | 240 | 79 | ||||||
Allied World Assurance Holdings | 4,300 | 295 | ||||||
Allstate | 15,569 | 512 | ||||||
Alterra Capital Holdings | 24,010 | 552 | ||||||
American Assets Trust † | 2,500 | 57 | ||||||
American Campus Communities † | 1,000 | 45 | ||||||
American Capital * | 8,900 | 77 | ||||||
American Capital Agency † | 1,900 | 56 | ||||||
American Equity Investment Life Holding | 4,000 | 51 | ||||||
American Financial Group | 13,800 | 532 | ||||||
American National Insurance | 700 | 51 | ||||||
Ameriprise Financial | 7,451 | 426 | ||||||
Amerisafe * | 1,639 | 41 | ||||||
Anworth Mortgage Asset † | 31,500 | 207 | ||||||
Apartment Investment & Management, Cl A † | 1,800 | 48 | ||||||
Apollo Commercial Real Estate Finance † | 2,950 | 46 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Arch Capital Group * | 900 | $ | 33 | |||||
Ares Capital | 13,829 | 226 | ||||||
Argo Group International Holdings | 8,007 | 239 | ||||||
Arthur J. Gallagher | 1,800 | 64 | ||||||
Ashford Hospitality Trust † | 4,800 | 43 | ||||||
Aspen Insurance Holdings | 8,500 | 237 | ||||||
Associated Banc-Corp | 52,600 | 734 | ||||||
Associated Estates Realty † | 3,300 | 54 | ||||||
Assured Guaranty | 6,000 | 99 | ||||||
Axis Capital Holdings | 900 | 30 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 20,200 | 426 | ||||||
Bancorpsouth | 9,351 | 126 | ||||||
Bank of Hawaii | 900 | 44 | ||||||
Bank of the Ozarks | 14,285 | 447 | ||||||
Berkshire Hills Bancorp | 16,395 | 376 | ||||||
BioMed Realty Trust † | 30,610 | 581 | ||||||
BlackRock Kelso Capital | 2,400 | 24 | ||||||
Boston Private Financial Holdings | 19,215 | 190 | ||||||
Brandywine Realty Trust † | 61,355 | 704 | ||||||
BRE Properties, Cl A † | 1,000 | 51 | ||||||
Brookline Bancorp | 1,200 | 11 | ||||||
Brown & Brown | 1,000 | 24 | ||||||
Camden Property Trust † | 600 | 39 | ||||||
Capstead Mortgage † | 1,900 | 25 | ||||||
Cardinal Financial | 15,212 | 172 | ||||||
Cardtronics * | 25,636 | 673 | ||||||
Cathay General Bancorp | 2,100 | 37 | ||||||
CBL & Associates Properties † | 41,931 | 793 | ||||||
Chemical Financial | 10,100 | 237 | ||||||
Chesapeake Lodging Trust † | 19,345 | 348 | ||||||
Chimera Investment † | 70,826 | 200 | ||||||
City National | 500 | 26 | ||||||
CNA Financial | 12,400 | 364 | ||||||
CNO Financial Group * | 55,868 | 435 | ||||||
CoBiz Financial | 44,220 | 313 | ||||||
Colonial Properties Trust † | 4,500 | 98 | ||||||
Comerica | 13,010 | 421 | ||||||
Commerce Bancshares | 1,603 | 65 | ||||||
CommonWealth † | 13,100 | 244 | ||||||
Community Trust Bancorp | 10,100 | 324 | ||||||
Coresite Realty † | 31,075 | 733 | ||||||
Cousins Properties † | 14,402 | 109 | ||||||
CubeSmart † | 3,500 | 42 | ||||||
CVB Financial (A) | 43,960 | 516 | ||||||
CYS Investments † | 4,400 | 58 | ||||||
DCT Industrial Trust † | 9,100 | 54 | ||||||
DDR † | 2,300 | 34 | ||||||
Delphi Financial Group, Cl A | 1,100 | 49 | ||||||
DFC Global * | 2,400 | 45 | ||||||
Digital Realty Trust † (A) | 7,971 | 590 | ||||||
Dime Community Bancshares | 12,200 | 178 | ||||||
Douglas Emmett † | 1,400 | 32 | ||||||
Duke Realty † | 6,624 | 95 | ||||||
E*Trade Financial * | 19,401 | 212 | ||||||
Eagle Bancorp * | 24,365 | 408 | ||||||
East West Bancorp | 24,295 | 561 | ||||||
EastGroup Properties † | 2,100 | 106 | ||||||
Education Realty Trust † | 70,652 | 766 | ||||||
Employers Holdings | 23,504 | 416 |
Description | Shares | Market Value ($ Thousands) | ||||||
Endurance Specialty Holdings | 17,549 | $ | 713 | |||||
Enstar Group * | 400 | 40 | ||||||
Entertainment Properties Trust † | 1,000 | 46 | ||||||
Equity Lifestyle Properties † | 900 | 63 | ||||||
Equity One † | 15,951 | 323 | ||||||
Erie Indemnity, Cl A | 2,000 | 156 | ||||||
Essex Property Trust † | 400 | 61 | ||||||
Evercore Partners, Cl A | 700 | 20 | ||||||
Everest Re Group | 4,400 | 407 | ||||||
Excel Trust † | 34,991 | 423 | ||||||
Extra Space Storage † | 2,600 | 75 | ||||||
FBL Financial Group, Cl A | 2,500 | 84 | ||||||
Federal Realty Investment Trust † | 500 | 48 | ||||||
Federated Investors, Cl B (A) | 1,900 | 43 | ||||||
FelCor Lodging Trust * † | 6,100 | 22 | ||||||
Fidelity National Financial, Cl A | 3,700 | 67 | ||||||
Fifth Street Finance | 11,008 | 107 | ||||||
Fifth Third Bancorp | 39,081 | 549 | ||||||
First American Financial | 3,200 | 53 | ||||||
First BanCorp * | 1,660 | 7 | ||||||
First Cash Financial Services * | 1,400 | 60 | ||||||
First Financial Bancorp | 10,290 | 178 | ||||||
First Financial Bankshares | 900 | 32 | ||||||
First Horizon National | 41,873 | 435 | ||||||
First Industrial Realty Trust * † | 4,500 | 56 | ||||||
First Midwest Bancorp | 33,700 | 404 | ||||||
First Niagara Financial Group | 8,420 | 83 | ||||||
First Potomac Realty Trust † | 3,400 | 41 | ||||||
FirstMerit | 18,586 | 313 | ||||||
Flagstone Reinsurance Holdings | 6,300 | 50 | ||||||
Flushing Financial | 1,600 | 22 | ||||||
FNB (Pennsylvania) | 11,200 | 135 | ||||||
Forest City Enterprises, Cl A * | 31,335 | 491 | ||||||
Franklin Street Properties † | 5,100 | 54 | ||||||
Fulton Financial | 4,400 | 46 | ||||||
GAMCO Investors, Cl A | 400 | 20 | ||||||
Getty Realty † | 3,100 | 48 | ||||||
GFI Group | 37,700 | 142 | ||||||
Glimcher Realty Trust † | 5,600 | 57 | ||||||
Government Properties Income Trust † | 2,000 | 48 | ||||||
Green Dot, Cl A * | 1,108 | 30 | ||||||
Greenlight Capital Re * | 1,000 | 25 | ||||||
Hampton Roads Bankshares * | 1,561 | 5 | ||||||
Hancock Holding | 26,671 | 947 | ||||||
Hanover Insurance Group | 13,210 | 543 | ||||||
Harleysville Group | 5,446 | 314 | ||||||
Hatteras Financial † | 1,900 | 53 | ||||||
HCC Insurance Holdings | 1,700 | 53 | ||||||
Healthcare Realty Trust † | 3,400 | 75 | ||||||
Hercules Technology Growth Capital | 7,084 | 78 | ||||||
Hersha Hospitality Trust, Cl A † | 4,600 | 25 | ||||||
Highwoods Properties † | 14,545 | 485 | ||||||
Home Properties † | 400 | 24 | ||||||
Horace Mann Educators | 20,593 | 363 | ||||||
Hospitality Properties Trust † | 21,600 | 572 | ||||||
Host Hotels & Resorts † | 24,374 | 400 | ||||||
Huntington Bancshares | 102,300 | 660 | ||||||
IBERIABANK | 13,226 | 707 | ||||||
Independent Bank | 800 | 23 | ||||||
Infinity Property & Casualty | 5,937 | 311 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Inland Real Estate † | 8,500 | $ | 75 | |||||
Invesco Mortgage Capital † | 2,400 | 42 | ||||||
Investors Real Estate Trust † | 1,800 | 14 | ||||||
Janus Capital Group | 1,700 | 15 | ||||||
Jefferies Group | 2,676 | 50 | ||||||
Jones Lang LaSalle | 470 | 39 | ||||||
KBW | 700 | 13 | ||||||
Kemper | 13,200 | 400 | ||||||
Kilroy Realty † | 1,275 | 59 | ||||||
Knight Capital Group, Cl A * | 56,213 | 723 | ||||||
LaSalle Hotel Properties † | 15,460 | 435 | ||||||
Lexington Realty Trust † | 63,034 | 567 | ||||||
Liberty Property Trust † | 14,285 | 510 | ||||||
LTC Properties † | 2,500 | 80 | ||||||
Macerich † | 3,201 | 185 | ||||||
Mack-Cali Realty † | 1,500 | 43 | ||||||
Manning & Napier, Cl A | 8,500 | 125 | ||||||
Markel * | 100 | 45 | ||||||
MarketAxess Holdings | 4,077 | 152 | ||||||
MB Financial | 2,400 | 50 | ||||||
MBIA * | 5,600 | 55 | ||||||
MCG Capital | 7,700 | 33 | ||||||
Meadowbrook Insurance Group | 27,900 | 260 | ||||||
Medical Properties Trust † | 5,500 | 51 | ||||||
Mercury General | 500 | 22 | ||||||
MFA Financial † | 85,099 | 636 | ||||||
Mid-America Apartment Communities † | 12,290 | 824 | ||||||
Montpelier Re Holdings | 18,100 | 350 | ||||||
Moody’s | 17,519 | 738 | ||||||
MSCI, Cl A * | 2,800 | 103 | ||||||
NASDAQ OMX Group | 797 | 21 | ||||||
National Financial Partners * | 23,545 | 356 | ||||||
National Health Investors † | 800 | 39 | ||||||
National Penn Bancshares | 20,351 | 180 | ||||||
National Retail Properties † | 18,190 | 495 | ||||||
National Western Life Insurance, Cl A | 200 | 27 | ||||||
Navigators Group * | 800 | 38 | ||||||
NBT Bancorp | 800 | 18 | ||||||
Nelnet, Cl A | 932 | 24 | ||||||
Netspend Holdings * | 19,060 | 148 | ||||||
Northfield Bancorp | 800 | 11 | ||||||
Northwest Bancshares | 4,100 | 52 | ||||||
Ocwen Financial * | 4,200 | 66 | ||||||
Old National Bancorp | 48,336 | 635 | ||||||
Old Republic International | 4,000 | 42 | ||||||
Omega Healthcare Investors † | 5,100 | 108 | ||||||
One Liberty Properties † | 140 | 3 | ||||||
Oriental Financial Group | 13,000 | 157 | ||||||
Oritani Financial | 4,100 | 60 | ||||||
Pacific Capital Bancorp * | 7,106 | 324 | ||||||
PacWest Bancorp | 26,094 | 634 | ||||||
Park National | 300 | 21 | ||||||
Parkway Properties † | 16,600 | 174 | ||||||
PartnerRe | 8,239 | 559 | ||||||
Pebblebrook Hotel Trust † | 16,130 | 364 | ||||||
PennantPark Investment | 4,200 | 44 | ||||||
Pennsylvania † | 27,100 | 414 | ||||||
People’s United Financial | 9,000 | 119 | ||||||
PHH * | 1,000 | 15 | ||||||
Platinum Underwriters Holdings | 10,017 | 366 |
Description | Shares | Market Value ($ Thousands) | ||||||
Popular * | 46,600 | $ | 96 | |||||
Portfolio Recovery Associates * | 400 | 29 | ||||||
Post Properties † | 1,200 | 56 | ||||||
Principal Financial Group | 7,000 | 207 | ||||||
PrivateBancorp, Cl A | 8,400 | 127 | ||||||
ProAssurance | 11,889 | 1,047 | ||||||
Prospect Capital | 5,940 | 65 | ||||||
Prosperity Bancshares | 11,875 | 544 | ||||||
Protective Life | 1,100 | 33 | ||||||
Provident Financial Services | 13,609 | 198 | ||||||
PS Business Parks † | 800 | 52 | ||||||
RAIT Financial Trust † | 13,999 | 70 | ||||||
Ramco-Gershenson Properties † | 2,300 | 28 | ||||||
Raymond James Financial | 1,500 | 55 | ||||||
Rayonier † | 1,200 | 53 | ||||||
Realty Income † | 1,400 | 54 | ||||||
Redwood Trust † | 1,200 | 13 | ||||||
Regency Centers † | 700 | 31 | ||||||
Regions Financial | 49,700 | 328 | ||||||
Reinsurance Group of America, Cl A | 12,758 | 759 | ||||||
RenaissanceRe Holdings | 700 | 53 | ||||||
Resource Capital † | 2,600 | 14 | ||||||
RLI | 800 | 57 | ||||||
S&T Bancorp | 5,000 | 108 | ||||||
Sabra Health Care REIT † | 2,365 | 39 | ||||||
Safeguard Scientifics * | 31,239 | 537 | ||||||
Sandy Spring Bancorp | 21,132 | 384 | ||||||
Senior Housing Properties Trust † | 3,100 | 68 | ||||||
Signature Bank NY * | 10,312 | 650 | ||||||
Solar Capital | 9,642 | 213 | ||||||
Sovran Self Storage † | 1,800 | 90 | ||||||
StanCorp Financial Group | 11,800 | 483 | ||||||
Starwood Property Trust † | 2,300 | 48 | ||||||
Sterling Financial * | 9,178 | 192 | ||||||
Stifel Financial * | 11,990 | 454 | ||||||
Strategic Hotels & Resorts * † | 50,600 | 333 | ||||||
Sun Communities † | 1,400 | 61 | ||||||
Sunstone Hotel Investors * † | 5,100 | 50 | ||||||
SunTrust Banks | 11,718 | 283 | ||||||
Susquehanna Bancshares | 48,689 | 481 | ||||||
SVB Financial Group * | 600 | 39 | ||||||
SWS Group | 39,800 | 228 | ||||||
Synovus Financial | 69,010 | 141 | ||||||
Tanger Factory Outlet Centers † | 2,000 | 59 | ||||||
Taubman Centers † | 1,400 | 102 | ||||||
TCF Financial | 33,746 | 401 | ||||||
Texas Capital Bancshares * | 2,000 | 69 | ||||||
Tower Group | 2,965 | 66 | ||||||
Trustmark | 900 | 23 | ||||||
Two Harbors Investment † | 4,900 | 50 | ||||||
UDR † | 3,436 | 92 | ||||||
Umpqua Holdings | 1,200 | 16 | ||||||
United Bankshares | 4,300 | 124 | ||||||
United Fire Group | 4,000 | 72 | ||||||
Unum Group | 39,045 | 956 | ||||||
Validus Holdings | 20,900 | 647 | ||||||
Valley National Bancorp | 6,410 | 83 | ||||||
ViewPoint Financial Group | 3,900 | 60 | ||||||
Waddell & Reed Financial, Cl A | 900 | 29 | ||||||
Walter Investment Management | 1,164 | 26 | ||||||
Washington Federal | 1,500 | 25 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Washington Real Estate Investment Trust † | 2,400 | $ | 71 | |||||
Webster Financial | 30,340 | 688 | ||||||
Weingarten Realty Investors † | 1,600 | 42 | ||||||
WesBanco | 12,800 | 258 | ||||||
Westamerica Bancorporation | 900 | 43 | ||||||
Western Alliance Bancorp * | 80,040 | 678 | ||||||
White Mountains Insurance Group | 100 | 50 | ||||||
Willis Group Holdings | 11,058 | 387 | ||||||
Wintrust Financial | 600 | 22 | ||||||
World Acceptance * | 800 | 49 | ||||||
WSFS Financial | 400 | 16 | ||||||
Zions Bancorporation (A) | 56,329 | 1,209 | ||||||
|
| |||||||
57,779 | ||||||||
|
| |||||||
Health Care — 10.4% | ||||||||
Abaxis * | 1,600 | 47 | ||||||
Accuray * | 4,734 | 33 | ||||||
Achillion Pharmaceuticals * | 24,990 | 239 | ||||||
Affymax * | 2,452 | 29 | ||||||
Affymetrix * | 4,300 | 18 | ||||||
Air Methods * | 600 | 52 | ||||||
Akorn * | 37,991 | 445 | ||||||
Alere * | 2,690 | 70 | ||||||
Algeta * | 5,854 | 147 | ||||||
Align Technology * | 3,800 | 105 | ||||||
Alkermes * | 4,000 | 74 | ||||||
Allscripts Healthcare Solutions * | 2,740 | 45 | ||||||
Amarin ADR * | 14,745 | 167 | ||||||
Amedisys * | 4,911 | 71 | ||||||
AMERIGROUP * | 10,080 | 678 | ||||||
AmerisourceBergen | 6,388 | 253 | ||||||
Amsurg * | 11,659 | 326 | ||||||
Amylin Pharmaceuticals * | 12,110 | 302 | ||||||
Ardea Biosciences * | 10,439 | 227 | ||||||
Ariad Pharmaceuticals * | 28,202 | 450 | ||||||
Arqule * | 20,250 | 142 | ||||||
Arthrocare * | 2,478 | 66 | ||||||
athenahealth * | 1,600 | 119 | ||||||
AVEO Pharmaceuticals * | 17,778 | 221 | ||||||
BioMarin Pharmaceuticals * | 2,726 | 93 | ||||||
Bio-Reference Labs * | 1,000 | 24 | ||||||
Brookdale Senior Living, Cl A * | 1,700 | 32 | ||||||
Capital Senior Living * | 200 | 2 | ||||||
CareFusion * | 17,778 | 461 | ||||||
Catalyst Health Solutions * | 15,100 | 962 | ||||||
Centene * | 16,180 | 792 | ||||||
Cepheid * | 13,190 | 552 | ||||||
Charles River Laboratories International * | 700 | 25 | ||||||
Chemed | 800 | 50 | ||||||
Community Health Systems * | 2,037 | 45 | ||||||
Computer Programs & Systems | 800 | 45 | ||||||
Conmed | 15,670 | 468 | ||||||
Cooper | 10,510 | 859 | ||||||
Covance * | 1,500 | 72 | ||||||
Coventry Health Care | 15,800 | 562 | ||||||
Cubist Pharmaceuticals * | 2,000 | 87 | ||||||
Cyberonics * | 19,067 | 727 | ||||||
DexCom * | 3,400 | 35 | ||||||
Emergent Biosolutions * | 1,200 | 19 |
Description | Shares | Market Value ($ Thousands) | ||||||
Emeritus * | 1,400 | $ | 25 | |||||
Endo Pharmaceuticals Holdings * (A) | 11,842 | 459 | ||||||
Enzon Pharmaceuticals * | 2,600 | 18 | ||||||
Exelixis * | 39,590 | 205 | ||||||
Gen-Probe * | 10,460 | 695 | ||||||
Gentiva Health Services * | 700 | 6 | ||||||
Geron * | 8,900 | 15 | ||||||
Greatbatch * | 28,350 | 695 | ||||||
Haemonetics * | 800 | 56 | ||||||
Halozyme Therapeutics * | 2,500 | 32 | ||||||
Health Management Associates, Cl A * | 5,100 | 34 | ||||||
Health Net * | 9,240 | 367 | ||||||
HealthSouth * | 46,560 | 954 | ||||||
Healthways * | 3,400 | 25 | ||||||
HeartWare International * | 6,498 | 427 | ||||||
Hill-Rom Holdings | 1,400 | 47 | ||||||
HMS Holdings * | 22,240 | 694 | ||||||
Hologic * | 24,490 | 528 | ||||||
Human Genome Sciences * | 7,498 | 62 | ||||||
Humana | 5,500 | 509 | ||||||
Idexx Laboratories * | 1,000 | 87 | ||||||
Immunogen * (A) | 23,510 | 338 | ||||||
Impax Laboratories * | 2,000 | 49 | ||||||
Incyte * (A) | 19,750 | 381 | ||||||
Insulet * | 22,140 | 424 | ||||||
InterMune * | 1,670 | 24 | ||||||
IPC The Hospitalist * | 1,300 | 48 | ||||||
Ironwood Pharmaceuticals, Cl A * | 38,345 | 510 | ||||||
Isis Pharmaceuticals * | 3,300 | 29 | ||||||
Jazz Pharmaceuticals * | 14,191 | 688 | ||||||
Kindred Healthcare * | 3,321 | 29 | ||||||
LHC Group * | 500 | 9 | ||||||
LifePoint Hospitals * | 9,900 | 390 | ||||||
Lincare Holdings | 1,800 | 47 | ||||||
Magellan Health Services * | 9,870 | 482 | ||||||
MannKind * | 9,300 | 23 | ||||||
MAP Pharmaceuticals * | 13,260 | 190 | ||||||
Masimo * | 1,600 | 37 | ||||||
MedAssets * | 6,270 | 83 | ||||||
Medicis Pharmaceutical, Cl A | 1,434 | 54 | ||||||
Mednax * | 16,200 | 1,205 | ||||||
Meridian Bioscience | 2,500 | 48 | ||||||
Merit Medical Systems * | 3,125 | 39 | ||||||
Metropolitan Health Networks * | 46,200 | 433 | ||||||
Mettler Toledo International * | 500 | 93 | ||||||
MWI Veterinary Supply * | 4,082 | 359 | ||||||
Myriad Genetics * | 2,200 | 52 | ||||||
Nektar Therapeutics * | 9,000 | 71 | ||||||
Neogen * | 900 | 35 | ||||||
NPS Pharmaceuticals * | 27,560 | 189 | ||||||
NuVasive * | 1,300 | 22 | ||||||
NxStage Medical * | 21,080 | 406 | ||||||
Obagi Medical Products * | 1,600 | 21 | ||||||
Omnicare | 3,200 | 114 | ||||||
Omnicell * | 1,300 | 20 | ||||||
Onyx Pharmaceuticals * | 9,810 | 370 | ||||||
Optimer Pharmaceuticals * (A) | 12,390 | 172 | ||||||
Orthofix International * | 4,400 | 165 | ||||||
Owens & Minor | 950 | 29 | ||||||
Pacific Biosciences of California * | 13,970 | 48 |
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Par Pharmaceutical * | 13,000 | $ | 504 | |||||
Parexel International * | 19,140 | 516 | ||||||
Patterson | 10,047 | 336 | ||||||
PDL BioPharma | 31,100 | 198 | ||||||
PerkinElmer | 12,149 | 336 | ||||||
Pharmacyclics * | 6,660 | 185 | ||||||
PharMerica * | 19,200 | 239 | ||||||
PSS World Medical * | 1,400 | 35 | ||||||
QIAGEN * | 4,760 | 74 | ||||||
Quest Diagnostics | 6,140 | 375 | ||||||
Questcor Pharmaceuticals * (A) | 17,250 | 649 | ||||||
Regeneron Pharmaceuticals * | 2,328 | 272 | ||||||
ResMed * | 4,239 | 131 | ||||||
Salix Pharmaceuticals * | 23,654 | 1,242 | ||||||
Savient Pharmaceuticals * | 12,901 | 28 | ||||||
Sciclone Pharmaceuticals * | 41,200 | 260 | ||||||
Seattle Genetics * (A) | 19,798 | 403 | ||||||
Select Medical Holdings * | 6,100 | 47 | ||||||
Sirona Dental Systems * | 9,285 | 479 | ||||||
STERIS | 20,660 | 653 | ||||||
SXC Health Solutions * | 18,820 | 1,411 | ||||||
Symmetry Medical * | 1,500 | 11 | ||||||
Techne | 900 | 63 | ||||||
Tenet Healthcare * | 14,100 | 75 | ||||||
Theravance * | 1,400 | 27 | ||||||
Thoratec * | 1,500 | 51 | ||||||
Tornier BV * | 721 | 18 | ||||||
United Therapeutics * | 2,514 | 118 | ||||||
Universal Health Services, Cl B | 2,241 | 94 | ||||||
US Physical Therapy | 900 | 21 | ||||||
Viropharma * | 2,500 | 75 | ||||||
Vivus * | 1,163 | 26 | ||||||
Vocera Communications * | 700 | 16 | ||||||
Volcano * | 27,370 | 776 | ||||||
WellCare Health Plans * | 16,640 | 1,196 | ||||||
West Pharmaceutical Services | 1,100 | 47 | ||||||
Zoll Medical * | 1,800 | 167 | ||||||
|
| |||||||
35,058 | ||||||||
|
| |||||||
Industrials — 15.6% | ||||||||
AAON | 2,250 | 45 | ||||||
AAR | 1,100 | 20 | ||||||
ABM Industries | 2,100 | 51 | ||||||
Acacia Research - Acacia Technologies * | 1,500 | 63 | ||||||
Actuant, Cl A | 17,955 | 520 | ||||||
Acuity Brands | 500 | 31 | ||||||
Advisory Board * | 10,900 | 966 | ||||||
Aecom Technology * | 1,800 | 40 | ||||||
Aerovironment * | 1,600 | 43 | ||||||
AGCO * | 26,043 | 1,229 | ||||||
Aircastle | 31,832 | 390 | ||||||
Alaska Air Group * | 1,600 | 57 | ||||||
Albany International, Cl A | 11,100 | 255 | ||||||
Alliant Techsystems | 715 | 36 | ||||||
American Superconductor * | 5,422 | 22 | ||||||
Ametek | 12,206 | 592 | ||||||
Ampco-Pittsburgh | 8,000 | 161 | ||||||
AO Smith | 1,100 | 50 | ||||||
Arkansas Best | 900 | 17 | ||||||
Atlas Air Worldwide Holdings * | 800 | 39 | ||||||
Barnes Group | 1,100 | 29 |
Description | Shares | Market Value ($ Thousands) | ||||||
BE Aerospace * | 21,737 | $ | 1,010 | |||||
Beacon Roofing Supply * | 7,448 | 192 | ||||||
Belden | 19,700 | 747 | ||||||
Blount International * | 5,419 | 90 | ||||||
Brady, Cl A | 19,000 | 615 | ||||||
Brink’s | 3,100 | 74 | ||||||
Calgon Carbon * | 5,791 | 90 | ||||||
Carlisle | 1,800 | 90 | ||||||
Chart Industries * | 1,490 | 109 | ||||||
Chicago Bridge & Iron | 562 | 24 | ||||||
Cintas | 11,431 | 447 | ||||||
Clarcor | 1,200 | 59 | ||||||
Clean Harbors * | 4,061 | 273 | ||||||
Colfax * (A) | 20,910 | 737 | ||||||
Con-way | 600 | 20 | ||||||
Copa Holdings, Cl A | 900 | 71 | ||||||
Copart * | 2,400 | 63 | ||||||
Corporate Executive Board | 1,100 | 47 | ||||||
Corrections Corp of America * | 14,410 | 394 | ||||||
CoStar Group * | 11,550 | 798 | ||||||
Courier | 5,144 | 60 | ||||||
Covanta Holding | 3,100 | 50 | ||||||
Crane | 600 | 29 | ||||||
Cubic | 8,269 | 391 | ||||||
Curtiss-Wright | 10,300 | 381 | ||||||
Deluxe | 11,400 | 267 | ||||||
DigitalGlobe * | 29,290 | 391 | ||||||
Dollar Thrifty Automotive Group * | 2,333 | 189 | ||||||
Donaldson | 1,800 | 64 | ||||||
Dover | 6,217 | 391 | ||||||
Dycom Industries * | 23,285 | 544 | ||||||
EMCOR Group | 19,797 | 549 | ||||||
EnergySolutions * | 3,600 | 18 | ||||||
EnerNOC * | 1,300 | 9 | ||||||
EnPro Industries * | 5,633 | 231 | ||||||
Equifax | 2,000 | 88 | ||||||
ESCO Technologies | 16,781 | 617 | ||||||
Esterline Technologies * | 4,600 | 329 | ||||||
Flowserve | 3,456 | 399 | ||||||
Fluor | 7,034 | 422 | ||||||
Forward Air | 4,163 | 153 | ||||||
Franklin Electric | 5,485 | 269 | ||||||
FTI Consulting * | 1,400 | 53 | ||||||
G&K Services | 24,895 | 851 | ||||||
Gardner Denver | 6,226 | 392 | ||||||
GATX | 700 | 28 | ||||||
Generac Holdings * | 4,034 | 99 | ||||||
General Cable * | 8,312 | 242 | ||||||
Genesee & Wyoming, Cl A * | 8,550 | 467 | ||||||
Geo Group * | 2,100 | 40 | ||||||
GeoEye * | 700 | 17 | ||||||
Gorman-Rupp | 1,562 | 46 | ||||||
Graco | 600 | 32 | ||||||
GrafTech International * | 2,200 | 26 | ||||||
Granite Construction | 5,570 | 160 | ||||||
Great Lakes Dredge & Dock | 3,253 | 23 | ||||||
Harsco | 3,200 | 75 | ||||||
Hawaiian Holdings * | 44,406 | 232 | ||||||
Heartland Express | 2,631 | 38 | ||||||
HEICO | 1,409 | 73 | ||||||
Heidrick & Struggles International | 411 | 9 |
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Herman Miller | 1,500 | $ | 34 | |||||
Hertz Global Holdings * | 4,900 | 74 | ||||||
Hexcel * | 23,260 | 558 | ||||||
Higher One Holdings * (A) | 3,956 | 59 | ||||||
HNI | 3,926 | 109 | ||||||
HUB Group, Cl A * | 1,400 | 51 | ||||||
IDEX | 19,440 | 819 | ||||||
IHS, Cl A * | 800 | 75 | ||||||
II-VI * | 2,000 | 47 | ||||||
Interface, Cl A | 70,940 | 990 | ||||||
Interline Brands * | 1,300 | 28 | ||||||
JB Hunt Transport Services | 1,200 | 65 | ||||||
John Bean Technologies | 18,747 | 304 | ||||||
Kadant * | 21,253 | 506 | ||||||
Kaman | 2,096 | 71 | ||||||
Kansas City Southern | 12,436 | 891 | ||||||
Kaydon | 19,253 | 491 | ||||||
KBR | 22,300 | 793 | ||||||
Kelly Services, Cl A | 1,200 | 19 | ||||||
Kennametal | 16,922 | 753 | ||||||
Keyw Holding * | 27,290 | 212 | ||||||
Kirby * | 10,150 | 668 | ||||||
Knoll | 1,200 | 20 | ||||||
L-3 Communications Holdings | 7,300 | 517 | ||||||
Landstar System | 9,760 | 563 | ||||||
Layne Christensen * | 1,000 | 22 | ||||||
Lennox International | 2,400 | 97 | ||||||
Lincoln Electric Holdings | 11,676 | 529 | ||||||
Localiza Rent a Car | 18,370 | 338 | ||||||
Manitowoc | 1,690 | 23 | ||||||
Marten Transport | 1,400 | 31 | ||||||
MasTec * | 5,300 | 96 | ||||||
Mcgrath Rentcorp | 1,900 | 61 | ||||||
Meritor * | 45,210 | 365 | ||||||
Middleby * | 7,240 | 733 | ||||||
Miller Industries | 8,900 | 151 | ||||||
Moog, Cl A * | 21,715 | 931 | ||||||
MSC Industrial Direct, Cl A | 700 | 58 | ||||||
Mueller Industries | 500 | 23 | ||||||
Mueller Water Products, Cl A | 6,176 | 21 | ||||||
NACCO Industries, Cl A | 400 | 47 | ||||||
Navistar International * | 8,343 | 337 | ||||||
Nordson | 10,100 | 551 | ||||||
Northwest Pipe * | 11,470 | 244 | ||||||
Old Dominion Freight Line * | 13,470 | 642 | ||||||
Orbital Sciences * | 9,117 | 120 | ||||||
Orion Marine Group * | 19,166 | 139 | ||||||
Oshkosh Truck * | 8,700 | 202 | ||||||
Owens Corning * | 2,900 | 104 | ||||||
Pall | 4,405 | 263 | ||||||
Pentair | 500 | 24 | ||||||
Polypore International * (A) | 7,250 | 255 | ||||||
Quanex Building Products | 23,985 | 423 | ||||||
Quanta Services * | 3,656 | 76 | ||||||
RBC Bearings * | 10,461 | 483 | ||||||
Regal-Beloit | 600 | 39 | ||||||
Republic Services | 19,017 | 581 | ||||||
Resources Connection | 2,600 | 37 | ||||||
Rexnord * | 12,300 | 259 | ||||||
Robbins & Myers | 19,034 | 991 | ||||||
Robert Half International | 1,400 | 42 | ||||||
Roper Industries | 6,642 | 659 |
Description | Shares | Market Value ($ Thousands) | ||||||
RPX * | 24,655 | $ | 418 | |||||
RR Donnelley & Sons (A) | 15,000 | 186 | ||||||
RSC Holdings * | 1,700 | 38 | ||||||
Ryder System | 8,900 | 470 | ||||||
Shaw Group * | 630 | 20 | ||||||
Simpson Manufacturing | 12,310 | 397 | ||||||
Skywest | 11,800 | 131 | ||||||
Spirit Aerosystems Holdings, Cl A * | 13,584 | 332 | ||||||
Spirit Airlines * | 31,780 | 638 | ||||||
SPX | 600 | 46 | ||||||
Standex International | 2,300 | 95 | ||||||
Stanley Black & Decker | 5,136 | 395 | ||||||
Steelcase, Cl A | 4,600 | 44 | ||||||
Swisher Hygiene, Cl Common Subscription Recei * (B) | 7,621 | 19 | ||||||
SYKES Enterprises * | 23,748 | 375 | ||||||
TAL International Group | 16,770 | 616 | ||||||
Teledyne Technologies * | 14,735 | 929 | ||||||
Teleflex | 11,917 | 728 | ||||||
Terex * | 10,620 | 239 | ||||||
Tetra Tech * | 38,203 | 1,007 | ||||||
Thermon Group Holdings * | 13,870 | 284 | ||||||
Thomas & Betts * | 1,000 | 72 | ||||||
Timken | 6,100 | 309 | ||||||
Toro | 700 | 50 | ||||||
Towers Watson, Cl A | 10,658 | 704 | ||||||
TransDigm Group * | 799 | 92 | ||||||
Trex * | 12,771 | 410 | ||||||
Triumph Group | 3,783 | 237 | ||||||
TrueBlue * | 38,995 | 697 | ||||||
Tutor Perini * | 3,700 | 58 | ||||||
Unifirst | 644 | 40 | ||||||
United Rentals * (A) | 28,530 | 1,224 | ||||||
United Stationers | 1,000 | 31 | ||||||
Universal Forest Products | 1,908 | 66 | ||||||
URS | 8,200 | 349 | ||||||
US Airways Group * | 43,049 | 327 | ||||||
USG * | 1,100 | 19 | ||||||
UTI Worldwide | 2,500 | 43 | ||||||
Valmont Industries | 4,335 | 509 | ||||||
Vicor | 2,300 | 18 | ||||||
Wabtec | 1,800 | 136 | ||||||
Waste Connections | 1,800 | 59 | ||||||
Watsco | 600 | 44 | ||||||
Watts Water Technologies, Cl A | 8,091 | 330 | ||||||
Werner Enterprises | 1,900 | 47 | ||||||
WESCO International * | 5,074 | 331 | ||||||
Westport Innovations * (A) | 4,661 | 191 | ||||||
Woodward | 1,400 | 60 | ||||||
Xylem | 11,700 | 325 | ||||||
Zipcar * (A) | 4,449 | 66 | ||||||
|
| |||||||
52,315 | ||||||||
|
| |||||||
Information Technology — 17.8% | ||||||||
ACI Worldwide * | 3,453 | 139 | ||||||
Acme Packet * | 8,890 | 245 | ||||||
Active Network * | 5,384 | 91 | ||||||
Adobe Systems * | 12,573 | 431 | ||||||
Adtran | 15,185 | 474 | ||||||
Advanced Energy Industries * | 1,400 | 18 | ||||||
Advent Software * | 1,000 | 26 |
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Akamai Technologies * | 20,650 | $ | 758 | |||||
Alliance Data Systems * | 1,219 | 154 | ||||||
Analog Devices | 8,744 | 353 | ||||||
Anixter International * | 500 | 36 | ||||||
Ansys * | 13,686 | 890 | ||||||
AOL * | 2,700 | 51 | ||||||
Applied Micro Circuits * | 370 | 3 | ||||||
Ariba * | 2,700 | 88 | ||||||
Arris Group * | 7,200 | 81 | ||||||
Arrow Electronics * | 1,900 | 80 | ||||||
Aruba Networks * | 39,282 | 875 | ||||||
Aspen Technology * | 30,390 | 624 | ||||||
Atmel * | 12,100 | 119 | ||||||
ATMI * | 800 | 19 | ||||||
Avnet * | 8,300 | 302 | ||||||
Bazaarvoice * (A) | 13,363 | 266 | ||||||
Benchmark Electronics * | 26,482 | 437 | ||||||
Black Box | 5,800 | 148 | ||||||
Blackbaud | 1,000 | 33 | ||||||
Booz Allen Hamilton Holding, Cl A | 17,060 | 290 | ||||||
Bottomline Technologies * | 14,514 | 405 | ||||||
Broadridge Financial Solutions | 1,700 | 41 | ||||||
BroadSoft * (A) | 27,750 | 1,061 | ||||||
Brocade Communications Systems * | 44,128 | 254 | ||||||
CACI International, Cl A * | 6,520 | 406 | ||||||
Cadence Design Systems * | 142,690 | 1,689 | ||||||
Checkpoint Systems * | 1,100 | 12 | ||||||
Ciena * (A) | 32,020 | 518 | ||||||
Cognex | 1,400 | 59 | ||||||
Coherent * | 15,842 | 924 | ||||||
CommVault Systems * | 1,400 | 69 | ||||||
Computer Sciences | 5,000 | 150 | ||||||
Comtech Telecommunications | 9,788 | 319 | ||||||
Concur Technologies * (A) | 12,690 | 728 | ||||||
Constant Contact * | 800 | 24 | ||||||
Convergys * | 16,700 | 223 | ||||||
CoreLogic * | 1,800 | 29 | ||||||
Cornerstone OnDemand * | 2,249 | 49 | ||||||
Cree * (A) | 1,902 | 60 | ||||||
CSG Systems International * | 16,700 | 253 | ||||||
CTS | 17,700 | 186 | ||||||
Cymer * | 600 | 30 | ||||||
Cypress Semiconductor | 28,740 | 449 | ||||||
DealerTrack Holdings * | 38,877 | 1,176 | ||||||
Deltek * | 4,647 | 50 | ||||||
Demand Media * | 6,260 | 45 | ||||||
Diebold | 7,947 | 306 | ||||||
Digital River * | 27,961 | 523 | ||||||
Diodes * | 1,800 | 42 | ||||||
DST Systems | 600 | 33 | ||||||
Earthlink | 69,375 | 554 | ||||||
Echo Global Logistics * | 1,761 | 28 | ||||||
EchoStar, Cl A * | 2,900 | 82 | ||||||
Electronics for Imaging * | 1,300 | 21 | ||||||
Emulex * | 37,444 | 389 | ||||||
Entegris * | 50,560 | 472 | ||||||
Equinix * | 800 | 126 | ||||||
Euronet Worldwide * | 1,400 | 29 | ||||||
ExactTarget * | 3,857 | 100 | ||||||
F5 Networks * | 5,546 | 748 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fabrinet * | 19,730 | $ | 349 | |||||
Factset Research Systems | 800 | 79 | ||||||
Fair Isaac | 800 | 35 | ||||||
Fairchild Semiconductor International * | 45,121 | 663 | ||||||
FARO Technologies * | 1,300 | 76 | ||||||
FEI * | 1,500 | 74 | ||||||
Fidelity National Information Services | 15,022 | 497 | ||||||
Finisar * | 29,260 | 590 | ||||||
Flir Systems | 2,400 | 61 | ||||||
Formfactor * | 1,169 | 7 | ||||||
Forrester Research | 1,400 | 45 | ||||||
Fortinet * | 29,325 | 811 | ||||||
Gartner * | 2,600 | 111 | ||||||
Genpact * | 1,200 | 20 | ||||||
Global Payments | 2,534 | 120 | ||||||
Harris | 11,700 | 527 | ||||||
Heartland Payment Systems | 3,000 | 86 | ||||||
Hittite Microwave * | 6,430 | 349 | ||||||
IAC | 13,640 | 670 | ||||||
Imperva * | 5,800 | 227 | ||||||
Informatica * | 4,110 | 217 | ||||||
Integrated Device Technology * | 63,280 | 452 | ||||||
InterDigital | 1,000 | 35 | ||||||
Intermec * | 29,357 | 227 | ||||||
International Rectifier * | 13,690 | 316 | ||||||
Intersil, Cl A | 4,300 | 48 | ||||||
IntraLinks Holdings * | 1,130 | 6 | ||||||
IPG Photonics * | 13,300 | 692 | ||||||
Ixia * | 27,390 | 342 | ||||||
j2 Global | 13,610 | 390 | ||||||
Jabil Circuit | 26,380 | 663 | ||||||
JDA Software Group * | 1,800 | 49 | ||||||
JDS Uniphase * | 2,700 | 39 | ||||||
Jive Software * | 12,220 | 332 | ||||||
Juniper Networks * | 15,112 | 346 | ||||||
Kla-Tencor | 6,600 | 359 | ||||||
Lattice Semiconductor * | 61,170 | 393 | ||||||
Lexmark International, Cl A | 6,100 | 203 | ||||||
Limelight Networks * | 1,566 | 5 | ||||||
Liquidity Services * | 5,800 | 260 | ||||||
Littelfuse | 800 | 50 | ||||||
LivePerson * | 26,298 | 441 | ||||||
LoopNet * | 1,700 | 32 | ||||||
Loral Space & Communications * | 800 | 64 | ||||||
LSI Logic * | 13,100 | 114 | ||||||
Manhattan Associates * | 4,119 | 196 | ||||||
Mantech International, Cl A | 900 | 31 | ||||||
MAXIMUS | 1,200 | 49 | ||||||
Measurement Specialties * | 2,900 | 98 | ||||||
Mellanox Technologies * | 11,501 | 481 | ||||||
Mentor Graphics * | 2,400 | 36 | ||||||
Methode Electronics | 2,700 | 25 | ||||||
Micrel | 7,000 | 72 | ||||||
Micros Systems * | 10,755 | 595 | ||||||
Microsemi * | 1,300 | 28 | ||||||
MicroStrategy, Cl A * | 3,610 | 505 | ||||||
Molex (A) | 13,452 | 378 | ||||||
Monolithic Power Systems * | 25,396 | 500 | ||||||
Monster Worldwide * | 1,600 | 16 | ||||||
MTS Systems | 1,000 | 53 |
9 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
NCR * | 2,700 | $ | 59 | |||||
Netgear * | 13,080 | 500 | ||||||
Netscout Systems * | 19,979 | 406 | ||||||
NetSuite * | 1,400 | 70 | ||||||
NeuStar, Cl A * | 1,000 | 37 | ||||||
NIC | 4,100 | 50 | ||||||
Novellus Systems * | 1,600 | 80 | ||||||
Nuance Communications * | 5,900 | 151 | ||||||
NXP Semiconductor * (A) | 27,550 | 733 | ||||||
Omnivision Technologies * | 1,400 | 28 | ||||||
ON Semiconductor * | 11,300 | 102 | ||||||
OpenTable * (A) | 9,550 | 387 | ||||||
OSI Systems * | 1,300 | 80 | ||||||
Parametric Technology * | 46,620 | 1,303 | ||||||
Pegasystems | 6,556 | 250 | ||||||
Photronics * | 29,800 | 198 | ||||||
Plantronics | 1,100 | 44 | ||||||
Plexus * | 1,500 | 53 | ||||||
PMC - Sierra * | 8,500 | 61 | ||||||
Polycom * | 8,000 | 153 | ||||||
Power Integrations | 22,619 | 840 | ||||||
Progress Software * | 8,660 | 205 | ||||||
Pulse Electronics | 19,700 | 49 | ||||||
QLIK Technologies * | 30,588 | 979 | ||||||
QLogic * | 150 | 3 | ||||||
Quality Systems | 1,000 | 44 | ||||||
Rackspace Hosting * | 2,586 | 149 | ||||||
Rambus * | 1,900 | 12 | ||||||
RealD * | 2,286 | 31 | ||||||
RealNetworks | 2,800 | 28 | ||||||
RF Micro Devices * | 44,872 | 224 | ||||||
Riverbed Technology * | 41,804 | 1,174 | ||||||
Rofin-Sinar Technologies * | 1,100 | 29 | ||||||
Rovi * | 2,724 | 89 | ||||||
Rubicon Technology * | 404 | 4 | ||||||
SAIC | 27,800 | 367 | ||||||
Sapient | 53,170 | 662 | ||||||
Scansource * | 4,632 | 173 | ||||||
Seagate Technology | 29,200 | 787 | ||||||
Semtech * | 22,560 | 642 | ||||||
ServiceSource International * | 36,777 | 569 | ||||||
Silicon Graphics International * | 2,400 | 23 | ||||||
Silicon Laboratories * | 10,120 | 435 | ||||||
Skyworks Solutions * | 19,240 | 532 | ||||||
SolarWinds * | 31,503 | 1,218 | ||||||
Solera Holdings | 6,920 | 318 | ||||||
Sonus Networks * | 21,550 | 62 | ||||||
Standard Microsystems * | 2,100 | 54 | ||||||
STEC * | 3,349 | 31 | ||||||
SunPower, Cl A * | 329 | 2 | ||||||
Symantec * | 24,943 | 466 | ||||||
Synaptics * | 3,844 | 140 | ||||||
Synchronoss Technologies * | 12,740 | 407 | ||||||
Synopsys * (A) | 30,462 | 934 | ||||||
Syntel | 8,840 | 495 | ||||||
Take-Two Interactive Software * | 2,400 | 37 | ||||||
Taleo, Cl A * | 1,500 | 69 | ||||||
Tech Data * | 8,900 | 483 | ||||||
TeleTech Holdings * | 5,391 | 87 | ||||||
Tellabs | 22,081 | 89 | ||||||
Teradyne * | 27,870 | 471 | ||||||
Tessera Technologies | 7,747 | 134 |
Description | Shares | Market Value ($ Thousands) | ||||||
TIBCO Software * | 20,950 | $ | 639 | |||||
TiVo * | 2,000 | 24 | ||||||
TNS * | 12,226 | 266 | ||||||
Total System Services | 2,800 | 65 | ||||||
Trimble Navigation * | 1,830 | 100 | ||||||
TriQuint Semiconductor * | 4,100 | 28 | ||||||
Tyler Technologies * | 1,277 | 49 | ||||||
Ubiquiti Networks * (A) | 7,400 | 234 | ||||||
Ultimate Software Group * | 800 | 59 | ||||||
Ultra Clean Holdings * | 37,539 | 283 | ||||||
Ultratech * | 7,300 | 212 | ||||||
Unisys * | 670 | 13 | ||||||
United Online | 29,700 | 145 | ||||||
Universal Display * | 7,640 | 279 | ||||||
Valueclick * | 3,600 | 71 | ||||||
Veeco Instruments * (A) | 2,300 | 66 | ||||||
VeriFone Holdings * | 34,248 | 1,776 | ||||||
Viasat * | 1,100 | 53 | ||||||
Virtusa * | 1,600 | 28 | ||||||
Vishay Intertechnology * | 50,276 | 611 | ||||||
Vishay Precision Group * | 192 | 3 | ||||||
VistaPrint * | 900 | 35 | ||||||
Volterra Semiconductor * | 13,350 | 459 | ||||||
WebMD Health, Cl A * | 1,121 | 29 | ||||||
Websense * | 2,994 | 63 | ||||||
Western Digital * | 13,200 | 546 | ||||||
Wright Express * | 7,640 | 495 | ||||||
Xyratex | 13,181 | 210 | ||||||
Zebra Technologies, Cl A * | 7,574 | 312 | ||||||
|
| |||||||
59,673 | ||||||||
|
| |||||||
Materials — 5.4% | ||||||||
Airgas | 1,600 | 142 | ||||||
AK Steel Holding | 5,745 | 44 | ||||||
Albemarle | 4,500 | 288 | ||||||
Alcoa | 19,538 | 196 | ||||||
Allegheny Technologies | 11,432 | 471 | ||||||
Allied Nevada Gold * | 543 | 18 | ||||||
AMCOL International | 1,500 | 44 | ||||||
Aptargroup | 1,800 | 99 | ||||||
Ashland | 2,600 | 159 | ||||||
Balchem | 1,400 | 42 | ||||||
Ball | 7,703 | 330 | ||||||
Bemis | 1,700 | 55 | ||||||
Boise | 36,400 | 299 | ||||||
Buckeye Technologies | 1,900 | 64 | ||||||
Cabot | 900 | 38 | ||||||
Carpenter Technology | 1,300 | 68 | ||||||
Century Aluminum * | 5,100 | 45 | ||||||
Clearwater Paper * | 800 | 26 | ||||||
Coeur d’Alene Mines * | 3,300 | 78 | ||||||
Compass Minerals International | 7,170 | 514 | ||||||
Crown Holdings * | 4,800 | 177 | ||||||
Cytec Industries | 5,285 | 321 | ||||||
Domtar | 4,200 | 401 | ||||||
Eagle Materials | 700 | 24 | ||||||
Eastman Chemical | 12,800 | 662 | ||||||
Ecolab | 1,917 | 118 | ||||||
Ferro * | 21,429 | 127 | ||||||
Georgia Gulf * | 3,300 | 115 | ||||||
Glatfelter | 1,700 | 27 | ||||||
Globe Specialty Metals | 5,200 | 77 |
10 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Greif, Cl A | 13,390 | $ | 749 | |||||
H.B. Fuller | 6,825 | 224 | ||||||
Hecla Mining | 8,100 | 37 | ||||||
Horsehead Holding * | 2,100 | 24 | ||||||
Huntsman | 40,080 | 562 | ||||||
Innophos Holdings | 11,043 | 553 | ||||||
International Flavors & Fragrances | 900 | 53 | ||||||
Intrepid Potash * | 700 | 17 | ||||||
Jaguar Mining * | 6,405 | 30 | ||||||
James River Coal * | 1,000 | 5 | ||||||
Kaiser Aluminum | 2,571 | 122 | ||||||
Koppers Holdings | 480 | 18 | ||||||
Kraton Performance Polymers * | 25,400 | 675 | ||||||
Kronos Worldwide | 11,700 | �� | 292 | |||||
Martin Marietta Materials | 700 | 60 | ||||||
McEwen Mining * | 4,734 | 21 | ||||||
Methanex | 21,980 | 713 | ||||||
Minerals Technologies | 7,374 | 482 | ||||||
Molycorp * (A) | 829 | 28 | ||||||
Noranda Aluminum Holding | 6,400 | 64 | ||||||
Nucor | 8,681 | 373 | ||||||
Olin | 2,200 | 48 | ||||||
OM Group * | 8,168 | 225 | ||||||
Owens-Illinois * | 24,125 | 563 | ||||||
Packaging Corp of America | 25,094 | 743 | ||||||
PolyOne | 84,620 | 1,219 | ||||||
Reliance Steel & Aluminum | 1,200 | 68 | ||||||
Rock-Tenn, Cl A | 1,000 | 68 | ||||||
Rockwood Holdings * | 1,000 | 52 | ||||||
Royal Gold | 1,700 | 111 | ||||||
RPM International | 3,100 | 81 | ||||||
RTI International Metals * | 28,243 | 651 | ||||||
Schnitzer Steel Industries, Cl A | 400 | 16 | ||||||
Schulman A | 11,275 | 305 | ||||||
Schweitzer-Mauduit International | 3,920 | 271 | ||||||
Scotts Miracle-Gro, Cl A | 1,500 | 81 | ||||||
Sensient Technologies | 15,310 | 582 | ||||||
Silgan Holdings | 13,355 | 590 | ||||||
Solutia | 24,960 | 697 | ||||||
Sonoco Products | 1,400 | 46 | ||||||
Steel Dynamics | 29,600 | 430 | ||||||
Stillwater Mining * | 51,550 | 652 | ||||||
STR Holdings * | 1,765 | 9 | ||||||
Texas Industries | 600 | 21 | ||||||
Thompson Creek Metals * | 4,000 | 27 | ||||||
Titanium Metals | 1,100 | 15 | ||||||
UFP Technologies * | 13,800 | 268 | ||||||
Valspar | 1,200 | 58 | ||||||
WR Grace * | 1,400 | 81 | ||||||
|
| |||||||
18,149 | ||||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
AboveNet * | 7,156 | 593 | ||||||
Cincinnati Bell * | 4,400 | 18 | ||||||
Clearwire, Cl A * | 4,808 | 11 | ||||||
Cogent Communications Group * | 5,100 | 97 | ||||||
Consolidated Communications Holdings | 1,600 | 31 | ||||||
Leap Wireless International * | 3,400 | 30 | ||||||
Level 3 Communications * | 4,006 | 103 | ||||||
Lumos Networks | 1,400 | 15 |
Description | Shares | Market Value ($ Thousands) | ||||||
MetroPCS Communications * | 35,300 | $ | 318 | |||||
Neutral Tandem * | 2,400 | 29 | ||||||
NTELOS Holdings | 1,400 | 29 | ||||||
Price Communication * | 3,800 | — | ||||||
SBA Communications, Cl A * | 3,543 | 180 | ||||||
tw telecom, Cl A * | 17,780 | 394 | ||||||
USA Mobility | 15,500 | 216 | ||||||
Windstream | 2,944 | 35 | ||||||
|
| |||||||
2,099 | ||||||||
|
| |||||||
Utilities — 3.5% | ||||||||
AGL Resources | 15,000 | 588 | ||||||
Allete | 10,175 | 422 | ||||||
Alliant Energy | 1,300 | 56 | ||||||
American States Water | 1,700 | 61 | ||||||
American Water Works | 2,200 | 75 | ||||||
Aqua America | 269 | 6 | ||||||
Atmos Energy | 2,500 | 79 | ||||||
Avista | 15,500 | 396 | ||||||
Black Hills | 700 | 23 | ||||||
California Water Service Group | 2,800 | 51 | ||||||
CH Energy Group | 1,000 | 67 | ||||||
Chesapeake Utilities | 7,226 | 297 | ||||||
Cleco | 22,405 | 888 | ||||||
CMS Energy | 18,100 | 398 | ||||||
Dynegy, Cl A * | 12,014 | 7 | ||||||
Edison International | 6,525 | 277 | ||||||
El Paso Electric | 4,700 | 153 | ||||||
Empire District Electric | 4,400 | 89 | ||||||
GenOn Energy * | 16,400 | 34 | ||||||
Great Plains Energy (A) | 58,008 | 1,176 | ||||||
Hawaiian Electric Industries | 4,800 | 122 | ||||||
Idacorp | 5,951 | 245 | ||||||
Integrys Energy Group | 1,000 | 53 | ||||||
ITC Holdings | 1,000 | 77 | ||||||
Laclede Group | 2,600 | 102 | ||||||
MDU Resources Group | 5,300 | 119 | ||||||
MGE Energy | 1,600 | 71 | ||||||
National Fuel Gas | 372 | 18 | ||||||
New Jersey Resources | 750 | 34 | ||||||
Northeast Utilities | 4,606 | 171 | ||||||
Northwest Natural Gas | 9,060 | 411 | ||||||
NorthWestern | 2,600 | 92 | ||||||
NSTAR | 1,100 | 54 | ||||||
NV Energy | 3,400 | 55 | ||||||
OGE Energy | 900 | 48 | ||||||
Otter Tail | 1,800 | 39 | ||||||
Pepco Holdings | 2,200 | 42 | ||||||
Piedmont Natural Gas | 1,800 | 56 | ||||||
Pinnacle West Capital | 4,800 | 230 | ||||||
PNM Resources | 1,700 | 31 | ||||||
Portland General Electric | 47,706 | 1,192 | ||||||
SCANA | 10,546 | 481 | ||||||
South Jersey Industries | 88 | 4 | ||||||
Southwest Gas | 10,465 | 447 | ||||||
TECO Energy | 33,707 | 592 | ||||||
UGI | 20,300 | 553 | ||||||
UIL Holdings | 2,400 | 83 | ||||||
Unisource Energy | 1,300 | 47 | ||||||
Vectren | 2,100 | 61 | ||||||
Westar Energy | 7,707 | 215 | ||||||
WGL Holdings | 10,435 | 425 |
11 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Xcel Energy | 14,988 | $ | 397 | |||||
|
| |||||||
11,710 | ||||||||
|
| |||||||
Total Common Stock |
| 318,385 | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.3% |
| |||||||
iShares Russell 2000 Growth Index Fund | 6,630 | 632 | ||||||
iShares Russell 2000 Index Fund (A) | 6,104 | 506 | ||||||
|
| |||||||
Total Exchange Traded Funds |
| 1,138 | ||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
Magnum Hunter Resources Expires 08/29/14 * | 6,042 | — | ||||||
|
| |||||||
Total Warrants |
| — | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 5.5% |
| |||||||
SEI Liquidity Fund, L.P. 0.180%**†† (B) | 18,550,462 | 18,283 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 18,283 | ||||||
|
| |||||||
CASH EQUIVALENT — 4.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 15,433,089 | 15,433 | ||||||
|
| |||||||
Total Cash Equivalent |
| 15,433 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.055%, 09/20/12 | $ | 925 | 925 | |||||
0.042%, 06/28/12 | 43 | 43 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 968 | ||||||
|
| |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% |
| |||||||
Endo Pharmaceuticals | 1,900 | — | ||||||
|
| |||||||
Total Rights |
| — | ||||||
|
| |||||||
Total Investments — 105.6% |
| $ | 354,207 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||
Russell 2000 Index | 77 | Jun-2012 | $ | 257 | ||||||
S&P Mid 400 Index | 71 | Jun-2012 | 198 | |||||||
|
| |||||||||
$ | 455 | |||||||||
|
|
For the period ended March 31, 2012, 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 $335,496 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $18,139 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2012 was $18,283 ($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 & Poor’s
Amounts designated as “—” are $0 or have been rounded to $0.
12 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2012
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 318,385 | $ | — | $ | — | $ | 318,385 | ||||||||
Exchange Traded Funds | 1,138 | — | — | 1,138 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
U.S. Treasury Obligations | — | 968 | — | 968 | ||||||||||||
Affiliated Partnership | — | 18,283 | — | 18,283 | ||||||||||||
Cash Equivalent | 15,433 | — | — | 15,433 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 334,956 | $ | 19,251 | $ | — | $ | 354,207 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 455 | $ | — | $ | — | $ | 455 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 455 | $ | — | $ | — | $ | 455 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
13 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 92.5% |
| |||||||
Consumer Discretionary — 14.3% |
| |||||||
Allison Transmission Holdings * | 14,500 | $ | 346 | |||||
American Eagle Outfitters | 24,332 | 418 | ||||||
Ascena Retail Group * | 300 | 13 | ||||||
Bed Bath & Beyond * | 1,600 | 105 | ||||||
BorgWarner * (A) | 7,500 | 632 | ||||||
Chipotle Mexican Grill, Cl A * | 40 | 17 | ||||||
Coach | 6,410 | 495 | ||||||
Dick’s Sporting Goods | 10,800 | 519 | ||||||
Dollar Tree * | 1,580 | 149 | ||||||
Federal Mogul, Cl A * | 3,000 | 52 | ||||||
Genuine Parts | 2,100 | 132 | ||||||
Global Sources * | 2,100 | 13 | ||||||
Harley-Davidson | 22,956 | 1,126 | ||||||
Harman International Industries | 2,100 | 98 | ||||||
Hasbro | 16,801 | 617 | ||||||
International Game Technology | 39,958 | 671 | ||||||
Interpublic Group | 35,708 | 408 | ||||||
Jarden (A) | 1,400 | 56 | ||||||
Lear | 2,600 | 121 | ||||||
Liberty Media - Capital, Cl A | 633 | 56 | ||||||
Liberty Media - Interactive, Cl A * | 1,500 | 29 | ||||||
Lululemon Athletica * (A) | 4,700 | 351 | ||||||
Marriott International, Cl A | 17,600 | 666 | ||||||
Mattel | 1,500 | 50 | ||||||
McGraw-Hill | 3,000 | 145 | ||||||
Michael Kors Holdings * (A) | 7,200 | 335 | ||||||
Newell Rubbermaid | 37,026 | 660 | ||||||
Panera Bread, Cl A * | 780 | 126 | ||||||
PetSmart | 1,000 | 57 | ||||||
Polaris Industries | 1,800 | 130 | ||||||
Ross Stores | 2,100 | 122 | ||||||
Royal Caribbean Cruises | 13,364 | 393 | ||||||
Sally Beauty Holdings * | 18,700 | 464 | ||||||
Scripps Networks Interactive, Cl A | 8,963 | 436 | ||||||
Sirius XM Radio * (A) | 228,500 | 528 | ||||||
Sturm Ruger | 100 | 5 | ||||||
Tempur-Pedic International * | 3,100 | 262 | ||||||
Tesla Motors * (A) | 5,100 | 190 | ||||||
Thor Industries | 2,400 | 76 | ||||||
Toll Brothers * | 16,500 | 396 | ||||||
True Religion Apparel | 200 | 6 | ||||||
TRW Automotive Holdings * | 600 | 28 | ||||||
Tupperware Brands | 1,400 | 89 | ||||||
Ulta Salon Cosmetics & Fragrance | 980 | 91 | ||||||
Urban Outfitters * | 10,461 | 305 | ||||||
Whirlpool | 1,680 | 129 | ||||||
Williams-Sonoma | 2,900 | 109 | ||||||
WMS Industries * (A) | 21,487 | 510 | ||||||
Wyndham Worldwide | 2,900 | 135 | ||||||
|
| |||||||
12,867 | ||||||||
|
| |||||||
Consumer Staples — 4.3% |
| |||||||
Avon Products | 6,300 | 122 | ||||||
Bunge | 2,000 | 137 | ||||||
Coca-Cola Enterprises | 4,600 | 132 | ||||||
Constellation Brands, Cl A * | 21,232 | 501 | ||||||
Corn Products International | 700 | 40 |
Description | Shares | Market Value ($ Thousands) | ||||||
Green Mountain Coffee Roasters * (A) | 4,020 | $ | 188 | |||||
Herbalife | 4,500 | 310 | ||||||
Hormel Foods | 1,400 | 41 | ||||||
JM Smucker | 4,716 | 384 | ||||||
Kroger | 20,834 | 504 | ||||||
Lorillard | 1,320 | 171 | ||||||
Molson Coors Brewing, Cl B | 13,148 | 595 | ||||||
Monster Beverage * | 2,260 | 140 | ||||||
Smithfield Foods * | 3,800 | 84 | ||||||
SYSCO (A) | 13,926 | 416 | ||||||
Tyson Foods, Cl A | 5,900 | 113 | ||||||
|
| |||||||
3,878 | ||||||||
|
| |||||||
Energy — 6.6% |
| |||||||
Cameron International * | 13,600 | 719 | ||||||
CARBO Ceramics (A) | 1,700 | 179 | ||||||
Concho Resources * | 7,700 | 786 | ||||||
Core Laboratories | 2,900 | 382 | ||||||
EQT | 5,609 | 270 | ||||||
Forest Oil * | 4,400 | 53 | ||||||
Helmerich & Payne | 700 | 38 | ||||||
Hess | 600 | 35 | ||||||
HollyFrontier | 2,300 | 74 | ||||||
Laredo Petroleum Holdings * | 5,500 | 129 | ||||||
Marathon Oil | 3,100 | 98 | ||||||
Marathon Petroleum | 700 | 30 | ||||||
Murphy Oil | 8,087 | 455 | ||||||
Nabors Industries * | 16,076 | 281 | ||||||
Newfield Exploration * | 11,314 | 392 | ||||||
Oceaneering International | 1,400 | 75 | ||||||
Pioneer Natural Resources | 7,799 | 870 | ||||||
QEP Resources | 3,400 | 104 | ||||||
Range Resources | 11,539 | 671 | ||||||
SEACOR Holdings * | 230 | 22 | ||||||
Spectra Energy | 2,900 | 92 | ||||||
Superior Energy Services * | 2,500 | 66 | ||||||
Unit * | 800 | 34 | ||||||
Valero Energy | 2,000 | 52 | ||||||
Williams | 700 | 22 | ||||||
|
| |||||||
5,929 | ||||||||
|
| |||||||
Financials — 13.9% |
| |||||||
Allied World Assurance Holdings | 200 | 14 | ||||||
Allstate | 19,270 | 634 | ||||||
American Capital Agency † | 3,100 | 92 | ||||||
American Financial Group | 2,200 | 85 | ||||||
Ameriprise Financial | 9,219 | 527 | ||||||
Annaly Capital Management † | 6,500 | 103 | ||||||
Assurant | 1,300 | 53 | ||||||
Axis Capital Holdings | 9,200 | 305 | ||||||
BOK Financial (A) | 6,200 | 349 | ||||||
Camden Property Trust † | 100 | 7 | ||||||
Capitol Federal Financial | 1,300 | 15 | ||||||
Chatham Lodging Trust † | 1,900 | 24 | ||||||
Chimera Investment † | 14,200 | 40 | ||||||
CIT Group * | 300 | 12 | ||||||
Comerica | 16,097 | 521 | ||||||
CommonWealth † | 5,250 | 98 | ||||||
Corporate Office Properties Trust † | 3,300 | 77 | ||||||
Digital Realty Trust † (A) | 7,420 | 549 | ||||||
Discover Financial Services | 4,700 | 156 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Dynex Capital † | 1,700 | $ | 16 | |||||
E*Trade Financial * | 5,500 | 60 | ||||||
Endurance Specialty Holdings | 11,884 | 483 | ||||||
Everest Re Group | 40 | 4 | ||||||
Fifth Third Bancorp | 58,856 | 827 | ||||||
First Niagara Financial Group | 7,500 | 74 | ||||||
Forest City Enterprises, Cl A * | 400 | 6 | ||||||
Franklin Street Properties † | 2,300 | 24 | ||||||
HCC Insurance Holdings | 3,400 | 106 | ||||||
Hospitality Properties Trust † | 4,300 | 114 | ||||||
Host Hotels & Resorts † (A) | 30,149 | 495 | ||||||
Huntington Bancshares | 10,200 | 66 | ||||||
Inland Real Estate † (A) | 5,800 | 51 | ||||||
Interactive Brokers Group, Cl A | 1,200 | 20 | ||||||
Invesco | 400 | 11 | ||||||
Janus Capital Group | 700 | 6 | ||||||
Jones Lang LaSalle | 1,060 | 89 | ||||||
Keycorp | 15,700 | 133 | ||||||
Knight Capital Group, Cl A * | 900 | 11 | ||||||
Liberty Property Trust † (A) | 15,968 | 570 | ||||||
Loews | 1,300 | 52 | ||||||
Mack-Cali Realty † | 1,400 | 40 | ||||||
Moody’s (A) | 14,200 | 598 | ||||||
Nelnet, Cl A | 800 | 21 | ||||||
PartnerRe | 7,102 | 482 | ||||||
PennyMac Mortgage Investment Trust † | 700 | 13 | ||||||
ProLogis † | 9,977 | 359 | ||||||
Provident New York Bancorp | 300 | 3 | ||||||
Raymond James Financial | 300 | 11 | ||||||
Regions Financial | 6,300 | 42 | ||||||
Reinsurance Group of America, Cl A | 9,143 | 544 | ||||||
Resource Capital † (A) | 4,600 | 25 | ||||||
Sabra Health Care REIT † | 2,100 | 34 | ||||||
Senior Housing Properties Trust † | 1,300 | 29 | ||||||
SLM | 8,500 | 134 | ||||||
State Auto Financial | 200 | 3 | ||||||
SunTrust Banks | 14,499 | 350 | ||||||
T. Rowe Price Group | 10,300 | 673 | ||||||
TCF Financial (A) | 23,500 | 279 | ||||||
Unum Group | 29,135 | 713 | ||||||
Vornado Realty Trust † | 1,435 | 121 | ||||||
Willis Group Holdings | 13,681 | 478 | ||||||
Winthrop Realty Trust † | 2,900 | 34 | ||||||
XL Group, Cl A | 5,300 | 115 | ||||||
Zions Bancorporation (A) | 27,197 | 584 | ||||||
|
| |||||||
12,564 | ||||||||
|
| |||||||
Health Care — 10.6% |
| |||||||
Agilent Technologies | 11,000 | 490 | ||||||
Alexion Pharmaceuticals * | 6,400 | 594 | ||||||
Allscripts Healthcare Solutions * | 1,400 | 23 | ||||||
AmerisourceBergen | 7,904 | 314 | ||||||
Brookdale Senior Living, Cl A * | 23,800 | 445 | ||||||
Bruker BioSciences * | 13,500 | 207 | ||||||
C.R. Bard | 1,000 | 99 | ||||||
CareFusion * | 26,398 | 685 | ||||||
Charles River Laboratories International * | 700 | 25 | ||||||
Cigna | 3,100 | 153 | ||||||
Coventry Health Care | 2,300 | 82 |
Description | Shares | Market Value ($ Thousands) | ||||||
Covidien | 500 | $ | 27 | |||||
Health Net * | 10,900 | 433 | ||||||
HealthSouth * | 21,497 | 440 | ||||||
Hill-Rom Holdings | 2,100 | 70 | ||||||
Hologic * | 21,158 | 456 | ||||||
Humana | 7,950 | 735 | ||||||
Illumina * (A) | 3,200 | 168 | ||||||
Intuitive Surgical * | 290 | 157 | ||||||
Life Technologies * | 1,200 | 59 | ||||||
Mettler Toledo International * | 240 | 44 | ||||||
Myriad Genetics * | 500 | 12 | ||||||
Patterson | 11,074 | 370 | ||||||
PerkinElmer | 3,700 | 102 | ||||||
Perrigo (A) | 4,720 | 488 | ||||||
Quest Diagnostics | 7,600 | 465 | ||||||
Sirona Dental Systems * | 8,400 | 433 | ||||||
STERIS (A) | 14,102 | 446 | ||||||
SXC Health Solutions * | 1,700 | 128 | ||||||
Thoratec * | 10,100 | 340 | ||||||
United Therapeutics * | 1,200 | 57 | ||||||
Valeant Pharmaceuticals International * | 11,000 | 590 | ||||||
Vertex Pharmaceuticals * | 7,800 | 320 | ||||||
Warner Chilcott, Cl A * | 300 | 5 | ||||||
Watson Pharmaceuticals * | 1,600 | 107 | ||||||
|
| |||||||
9,569 | ||||||||
|
| |||||||
Industrials — 15.3% |
| |||||||
AGCO * | 8,000 | 378 | ||||||
Air Lease, Cl A * (A) | 15,600 | 376 | ||||||
Alliant Techsystems (A) | 700 | 35 | ||||||
Ametek | 2,600 | 126 | ||||||
Armstrong World Industries (A) | 7,100 | 346 | ||||||
Babcock & Wilcox * | 2,500 | 64 | ||||||
Carlisle | 10,000 | 499 | ||||||
Cintas (A) | 14,139 | 553 | ||||||
Cooper Industries, Cl A | 7,500 | 480 | ||||||
Copart * | 3,200 | 83 | ||||||
Crane | 500 | 24 | ||||||
Cummins (A) | 4,490 | 539 | ||||||
Dover | 8,395 | 528 | ||||||
DXP Enterprises * | 400 | 17 | ||||||
Emerson Electric | 600 | 31 | ||||||
Exelis | 2,600 | 32 | ||||||
Fastenal | 1,300 | 70 | ||||||
Flowserve | 4,277 | 494 | ||||||
Fluor | 8,706 | 523 | ||||||
Hubbell, Cl B | 250 | 20 | ||||||
IHS, Cl A * | 4,100 | 384 | ||||||
JB Hunt Transport Services (A) | 7,400 | 402 | ||||||
Kansas City Southern | 5,700 | 409 | ||||||
L-3 Communications Holdings | 1,380 | 98 | ||||||
Lincoln Electric Holdings | 700 | 32 | ||||||
MSC Industrial Direct, Cl A | 5,670 | 472 | ||||||
Norfolk Southern | 400 | 26 | ||||||
Oshkosh Truck * | 1,500 | 35 | ||||||
Pall | 13,300 | 793 | ||||||
Parker Hannifin | 1,740 | 147 | ||||||
Republic Services | 27,531 | 841 | ||||||
Rockwell Automation | 7,550 | 602 | ||||||
Roper Industries | 270 | 27 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Spirit Aerosystems Holdings, Cl A * | 16,216 | $ | 397 | |||||
Stanley Black & Decker | 6,355 | 489 | ||||||
Stericycle * (A) | 5,100 | 427 | ||||||
Teleflex | 7,364 | 451 | ||||||
Toro | 1,100 | 78 | ||||||
Towers Watson, Cl A | 6,563 | 434 | ||||||
TransDigm Group * | 4,820 | 558 | ||||||
Valmont Industries | 150 | 18 | ||||||
Wabtec | 6,600 | 497 | ||||||
WW Grainger | 4,560 | 980 | ||||||
|
| |||||||
13,815 | ||||||||
|
| |||||||
Information Technology — 16.6% |
| |||||||
Activision Blizzard | 7,900 | 101 | ||||||
Adobe Systems * | 15,556 | 534 | ||||||
Alliance Data Systems * (A) | 6,070 | 765 | ||||||
Analog Devices | 10,823 | 437 | ||||||
Aruba Networks * (A) | 13,200 | 294 | ||||||
Autodesk * | 3,500 | 148 | ||||||
Avago Technologies | 19,600 | 764 | ||||||
Avnet * | 3,500 | 127 | ||||||
BMC Software * | 1,300 | 52 | ||||||
Brocade Communications Systems * | 4,100 | 24 | ||||||
CA | 4,000 | 110 | ||||||
Cirrus Logic * (A) | 600 | 14 | ||||||
Citrix Systems * | 8,750 | 691 | ||||||
Concur Technologies * (A) | 300 | 17 | ||||||
Dolby Laboratories, Cl A * | 1,800 | 69 | ||||||
F5 Networks * | 4,740 | 640 | ||||||
Factset Research Systems (A) | 3,900 | 386 | ||||||
Fidelity National Information Services | 18,587 | 616 | ||||||
Fiserv * (A) | 2,000 | 139 | ||||||
FleetCor Technologies * (A) | 8,900 | 345 | ||||||
Fortinet * | 12,500 | 346 | ||||||
Freescale Semiconductor Holdings I * (A) | 10,700 | 165 | ||||||
IAC | 100 | 5 | ||||||
Intuit | 2,400 | 144 | ||||||
Jabil Circuit | 1,800 | 45 | ||||||
Juniper Networks * | 18,698 | 428 | ||||||
Kla-Tencor | 11,000 | 599 | ||||||
Lexmark International, Cl A | 500 | 17 | ||||||
LSI Logic * | 9,500 | 82 | ||||||
Marvell Technology Group * | 2,900 | 45 | ||||||
Microchip Technology (A) | 9,400 | 350 | ||||||
Micros Systems * | 7,100 | 393 | ||||||
Molex (A) | 14,169 | 398 | ||||||
Motorola Solutions | 1,800 | 91 | ||||||
NCR * | 1,600 | 35 | ||||||
NetApp * | 7,600 | 340 | ||||||
Nuance Communications * (A) | 17,400 | 445 | ||||||
OpenTable * (A) | 4,100 | 166 | ||||||
Polycom * | 20,468 | 390 | ||||||
Rackspace Hosting * (A) | 6,500 | 376 | ||||||
Red Hat * | 7,900 | 473 | ||||||
SAIC | 2,600 | 34 | ||||||
Salesforce.com * | 2,000 | 309 | ||||||
SanDisk * | 2,700 | 134 | ||||||
Symantec * | 30,863 | 577 |
Description | Shares | Market Value ($ Thousands) | ||||||
Synopsys * | 23,980 | $ | 735 | |||||
Tech Data * | 1,800 | 98 | ||||||
TIBCO Software * | 13,000 | 397 | ||||||
Total System Services | 2,000 | 46 | ||||||
VeriFone Holdings * (A) | 7,300 | 379 | ||||||
Western Digital * | 2,600 | 107 | ||||||
Xerox | 4,500 | 37 | ||||||
Xilinx | 12,900 | 470 | ||||||
|
| |||||||
14,929 | ||||||||
|
| |||||||
Materials — 6.3% |
| |||||||
Alcoa (A) | 24,175 | 242 | ||||||
Allegheny Technologies | 14,145 | 582 | ||||||
Ball | 600 | 26 | ||||||
Celanese, Ser A | 1,800 | 83 | ||||||
CF Industries Holdings | 790 | 144 | ||||||
Coeur d’Alene Mines * | 300 | 7 | ||||||
Commercial Metals | 2,100 | 31 | ||||||
Compass Minerals International | 4,735 | 340 | ||||||
Eastman Chemical | 2,480 | 128 | ||||||
FMC | 6,600 | 699 | ||||||
Greif, Cl A | 8,707 | 487 | ||||||
Huntsman | 26,154 | 367 | ||||||
Nucor | 10,744 | 462 | ||||||
Owens-Illinois * | 22,789 | 532 | ||||||
Packaging Corp of America | 16,305 | 482 | ||||||
PPG Industries | 1,330 | 127 | ||||||
Reliance Steel & Aluminum | 1,600 | 90 | ||||||
Sealed Air | 3,800 | 73 | ||||||
Sherwin-Williams | 5,090 | 553 | ||||||
Steel Dynamics | 7,200 | 105 | ||||||
Valspar | 1,800 | 87 | ||||||
Walter Energy | 220 | 13 | ||||||
|
| |||||||
5,660 | ||||||||
|
| |||||||
Telecommunication Services — 0.1% |
| |||||||
MetroPCS Communications * | 10,300 | 93 | ||||||
|
| |||||||
93 | ||||||||
|
| |||||||
Utilities — 4.5% |
| |||||||
AES * | 10,200 | 133 | ||||||
AGL Resources | 13,791 | 541 | ||||||
Ameren | 3,200 | 104 | ||||||
American Water Works | 1,000 | 34 | ||||||
Atmos Energy | 1,000 | 31 | ||||||
DTE Energy | 700 | 39 | ||||||
Edison International | 8,076 | 343 | ||||||
Entergy | 1,750 | 118 | ||||||
Great Plains Energy (A) | 31,402 | 636 | ||||||
NRG Energy * | 5,300 | 83 | ||||||
NV Energy | 2,100 | 34 | ||||||
Oneok | 940 | 77 | ||||||
Portland General Electric | 12,837 | 321 | ||||||
PPL | 1,000 | 28 | ||||||
Public Service Enterprise Group | 1,500 | 46 | ||||||
SCANA (A) | 11,564 | 527 | ||||||
Sempra Energy | 600 | 36 | ||||||
TECO Energy | 24,005 | 421 | ||||||
UGI | 1,200 | 33 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Xcel Energy | 18,539 | $ | 491 | |||||
|
| |||||||
4,076 | ||||||||
|
| |||||||
Total Common Stock |
| 83,380 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 14.3% |
| |||||||
SEI Liquidity Fund, L.P. 0.180%**†† (B) | 13,262,555 | 12,911 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 12,911 | ||||||
|
| |||||||
CASH EQUIVALENT — 7.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 6,607,524 | 6,608 | ||||||
|
| |||||||
Total Cash Equivalent |
| 6,608 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.075%, 11/15/12 | $ | 29 | 29 | |||||
0.072%, 09/20/12 | 155 | 155 | ||||||
0.034%, 06/28/12 | 116 | 116 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 300 | ||||||
|
| |||||||
Total Investments — 114.5% |
| $ | 103,199 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 54 | Jun-2012 | $ | 60 | ||||||||
|
|
For the year ended March 31, 2012, 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 $90,124 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $12,925 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total market value of such securities as of March 31, 2010 was $12,911 ($ 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 & Poor’s
Ser — Series
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 83,380 | $ | — | $ | — | $ | 83,380 | ||||||||
U.S. Treasury Obligations | — | 300 | — | 300 | ||||||||||||
Affiliated Partnership | — | 12,911 | — | 12,911 | ||||||||||||
Cash Equivalent | 6,608 | — | — | 6,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 89,988 | $ | 13,211 | $ | — | $ | 103,199 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.1% |
| |||||||
Consumer Discretionary — 7.8% |
| |||||||
Aaron’s | 46,761 | $ | 1,211 | |||||
Advance Auto Parts | 36,060 | 3,194 | ||||||
Autozone * | 10,147 | 3,773 | ||||||
Best Buy | 34,200 | 810 | ||||||
Big Lots * | 28,000 | 1,204 | ||||||
Choice Hotels International | 26,400 | 986 | ||||||
Cinemark Holdings | 36,700 | 806 | ||||||
DIRECTV, Cl A * | 103,000 | 5,082 | ||||||
Discovery Communications, Cl A * | 23,900 | 1,209 | ||||||
Dollar Tree * | 19,473 | 1,840 | ||||||
Expedia | 41,188 | 1,378 | ||||||
Family Dollar Stores | 2,481 | 157 | ||||||
GameStop, Cl A | 128,362 | 2,803 | ||||||
Gap | 63,600 | 1,663 | ||||||
H&R Block | 214,900 | 3,539 | ||||||
Hillenbrand | 16,494 | 379 | ||||||
Kohl’s | 39,400 | 1,971 | ||||||
O’Reilly Automotive * | 1,469 | 134 | ||||||
Panera Bread, Cl A * | 9,300 | 1,496 | ||||||
PetMed Express | 61,800 | 765 | ||||||
priceline.com * | 7,157 | 5,135 | ||||||
Regal Entertainment Group, Cl A | 47,100 | 641 | ||||||
Shaw Communications, Cl B | 79,300 | 1,677 | ||||||
Target | 74,100 | 4,318 | ||||||
Time Warner Cable, Cl A | 33,400 | 2,722 | ||||||
Washington Post, Cl B | 3,700 | 1,382 | ||||||
|
| |||||||
50,275 | ||||||||
|
| |||||||
Consumer Staples — 19.2% |
| |||||||
Altria Group | 138,916 | 4,288 | ||||||
Archer-Daniels-Midland | 54,500 | 1,725 | ||||||
Brown-Forman, Cl B | 40,951 | 3,415 | ||||||
Church & Dwight | 34,896 | 1,717 | ||||||
Clorox | 62,207 | 4,277 | ||||||
Coca-Cola Enterprises | 200,547 | 5,736 | ||||||
ConAgra Foods | 146,961 | 3,859 | ||||||
Corn Products International | 5,094 | 294 | ||||||
Costco Wholesale | 6,295 | 571 | ||||||
CVS Caremark | 82,600 | 3,700 | ||||||
Dr Pepper Snapple Group | 53,800 | 2,163 | ||||||
Flowers Foods | 137,451 | 2,800 | ||||||
Fresh Del Monte Produce | 43,800 | 1,000 | ||||||
General Mills | 17,300 | 682 | ||||||
Hershey | 100,033 | 6,135 | ||||||
Hormel Foods | 285,870 | 8,439 | ||||||
Kellogg | 21,400 | 1,148 | ||||||
Kimberly-Clark | 92,563 | 6,839 | ||||||
Kroger | 126,700 | 3,070 | ||||||
Lorillard | 65,868 | 8,529 | ||||||
McCormick | 80,686 | 4,392 | ||||||
Metro, Cl A | 51,900 | 2,762 | ||||||
Molson Coors Brewing, Cl B | 62,500 | 2,828 | ||||||
Monster Beverage * | 112,131 | 6,962 | ||||||
Nash Finch | 13,900 | 395 | ||||||
Philip Morris International | 57,892 | 5,130 | ||||||
Post Holdings * | 6,045 | 199 | ||||||
Ralcorp Holdings * | 28,791 | 2,133 |
Description | Shares | Market Value ($ Thousands) | ||||||
Reynolds American | 198,751 | $ | 8,236 | |||||
Ruddick | 21,700 | 870 | ||||||
Safeway | 126,700 | 2,561 | ||||||
SYSCO | 122,927 | 3,671 | ||||||
TreeHouse Foods * | 22,000 | 1,309 | ||||||
Tyson Foods, Cl A | 158,362 | 3,033 | ||||||
Universal | 26,800 | 1,249 | ||||||
Walgreen | 97,900 | 3,279 | ||||||
Wal-Mart Stores | 84,700 | 5,184 | ||||||
|
| |||||||
124,580 | ||||||||
|
| |||||||
Energy — 3.1% |
| |||||||
Chevron | 54,800 | 5,877 | ||||||
ConocoPhillips | 43,700 | 3,322 | ||||||
Diamond Offshore Drilling | 6,900 | 461 | ||||||
EQT | 8,200 | 395 | ||||||
Exxon Mobil | 83,600 | 7,250 | ||||||
FMC Technologies * | 17,000 | 857 | ||||||
Imperial Oil | 27,300 | 1,239 | ||||||
Sunoco | 22,800 | 870 | ||||||
|
| |||||||
20,271 | ||||||||
|
| |||||||
Financials — 10.5% |
| |||||||
Allied World Assurance Holdings | 45,823 | 3,147 | ||||||
American Campus Communities † | 35,100 | 1,570 | ||||||
American Capital Agency † | 153,746 | 4,542 | ||||||
Arch Capital Group * | 102,073 | 3,801 | ||||||
Associated Banc-Corp | 121,100 | 1,691 | ||||||
BOK Financial | 13,300 | 748 | ||||||
Brown & Brown | 43,900 | 1,044 | ||||||
Capitol Federal Financial | 58,177 | 690 | ||||||
CBOE Holdings | 6,137 | 174 | ||||||
Chubb | 52,400 | 3,621 | ||||||
Commerce Bancshares | 45,551 | 1,846 | ||||||
Endurance Specialty Holdings | 44,616 | 1,814 | ||||||
Equity Lifestyle Properties † | 23,600 | 1,646 | ||||||
Everest Re Group | 33,561 | 3,105 | ||||||
Federated Investors, Cl B | 69,600 | 1,560 | ||||||
First Citizens BancShares, Cl A | 7,472 | 1,365 | ||||||
First Niagara Financial Group | 55,100 | 542 | ||||||
Genworth MI Canada | 40,500 | 897 | ||||||
HCC Insurance Holdings | 15,200 | 474 | ||||||
Health Care † | 20,200 | 1,110 | ||||||
Hudson City Bancorp | 225,000 | 1,645 | ||||||
Main Street Capital | 28,500 | 702 | ||||||
MFA Financial † | 264,674 | 1,977 | ||||||
National Bank of Canada | 32,900 | 2,613 | ||||||
New York Community Bancorp | 42,376 | 589 | ||||||
PartnerRe | 57,900 | 3,931 | ||||||
PennyMac Mortgage Investment Trust † | 56,200 | 1,049 | ||||||
People’s United Financial | 80,306 | 1,063 | ||||||
Prosperity Bancshares | 24,500 | 1,122 | ||||||
Realty Income † | 44,000 | 1,704 | ||||||
RenaissanceRe Holdings | 21,800 | 1,651 | ||||||
Senior Housing Properties Trust † | 18,700 | 412 | ||||||
Signature Bank NY * | 27,100 | 1,708 | ||||||
Tanger Factory Outlet Centers † | 54,200 | 1,612 | ||||||
TFS Financial * | 164,700 | 1,565 | ||||||
Tower Group | 47,500 | 1,065 | ||||||
Travelers | 55,300 | 3,274 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Two Harbors Investment † | 127,100 | $ | 1,289 | |||||
Validus Holdings | 89,400 | 2,767 | ||||||
Washington Federal | 9,749 | 164 | ||||||
Washington Real Estate Investment Trust † | 12,400 | 368 | ||||||
White Mountains Insurance Group | 900 | 451 | ||||||
|
| |||||||
68,108 | ||||||||
|
| |||||||
Health Care — 20.4% |
| |||||||
Abbott Laboratories | 184,044 | 11,280 | ||||||
Aetna | 57,900 | 2,904 | ||||||
Alexion Pharmaceuticals * | 62,398 | 5,794 | ||||||
AmerisourceBergen | 169,582 | 6,729 | ||||||
Amgen | 148,542 | 10,100 | ||||||
AstraZeneca ADR | 50,300 | 2,238 | ||||||
Baxter International | 38,200 | 2,284 | ||||||
Becton Dickinson | 53,064 | 4,120 | ||||||
Biogen Idec * | 31,923 | 4,021 | ||||||
C.R. Bard | 6,572 | 649 | ||||||
Cardinal Health | 171,658 | 7,400 | ||||||
Cooper | 6,600 | 539 | ||||||
Coventry Health Care | 21,700 | 772 | ||||||
Eli Lilly | 165,393 | 6,660 | ||||||
Endo Pharmaceuticals Holdings * | 66,700 | 2,583 | ||||||
Gilead Sciences * | 43,600 | 2,130 | ||||||
Health Net * | 29,900 | 1,188 | ||||||
Henry Schein * | 21,308 | 1,612 | ||||||
Humana | 18,500 | 1,711 | ||||||
Johnson & Johnson | 64,700 | 4,268 | ||||||
LifePoint Hospitals * | 32,800 | 1,294 | ||||||
Lincare Holdings | 38,800 | 1,004 | ||||||
Magellan Health Services * | 27,800 | 1,357 | ||||||
McKesson | 101,354 | 8,896 | ||||||
Medtronic | 52,100 | 2,042 | ||||||
Merck | 166,700 | 6,401 | ||||||
Myriad Genetics * | 47,900 | 1,133 | ||||||
Owens & Minor | 23,200 | 705 | ||||||
Par Pharmaceutical * | 24,300 | 941 | ||||||
Patterson | 46,100 | 1,540 | ||||||
Pfizer | 240,100 | 5,441 | ||||||
SXC Health Solutions * | 56,265 | 4,218 | ||||||
Techne | 70,266 | 4,926 | ||||||
United Therapeutics * | 87,700 | 4,133 | ||||||
UnitedHealth Group | 58,500 | 3,448 | ||||||
Watson Pharmaceuticals * | 18,069 | 1,212 | ||||||
WellPoint | 34,900 | 2,576 | ||||||
Zimmer Holdings | 31,400 | 2,018 | ||||||
|
| |||||||
132,267 | ||||||||
|
| |||||||
Industrials — 5.1% |
| |||||||
Alliant Techsystems | 11,500 | 576 | ||||||
C.H. Robinson Worldwide | 22,800 | 1,493 | ||||||
Clarcor | 9,300 | 457 | ||||||
Clean Harbors * | 6,500 | 438 | ||||||
Copa Holdings, Cl A | 3,503 | 277 | ||||||
Exelis | 2,326 | 29 | ||||||
FTI Consulting * | 32,000 | 1,201 | ||||||
General Dynamics | 24,100 | 1,768 | ||||||
Huntington Ingalls Industries * | 733 | 30 | ||||||
L-3 Communications Holdings | 57,900 | 4,098 |
Description | Shares | Market Value ($ Thousands) | ||||||
Landstar System | 30,000 | $ | 1,731 | |||||
Lockheed Martin | 66,718 | 5,995 | ||||||
Northrop Grumman | 41,600 | 2,541 | ||||||
Progressive Waste Solutions | 73,400 | 1,591 | ||||||
Raytheon | 90,000 | 4,750 | ||||||
Rollins | 72,800 | 1,549 | ||||||
Stericycle * | 6,438 | 538 | ||||||
Unifirst | 13,700 | 843 | ||||||
Union Pacific | 3,700 | 398 | ||||||
Verisk Analytics, Cl A * | 5,503 | 259 | ||||||
Waste Connections | 36,474 | 1,187 | ||||||
Watsco | 19,200 | 1,422 | ||||||
|
| |||||||
33,171 | ||||||||
|
| |||||||
Information Technology — 8.1% |
| |||||||
Activision Blizzard | 262,200 | 3,361 | ||||||
Amdocs | 132,541 | 4,186 | ||||||
CACI International, Cl A * | 20,600 | 1,283 | ||||||
CGI Group, Cl A * | 47,400 | 1,057 | ||||||
Cisco Systems | 84,600 | 1,789 | ||||||
Computer Sciences | 29,400 | 880 | ||||||
Dell * | 72,600 | 1,205 | ||||||
Flir Systems | 43,800 | 1,109 | ||||||
Global Payments | 12,200 | 580 | ||||||
Harris | 44,800 | 2,020 | ||||||
Hewlett-Packard | 60,900 | 1,451 | ||||||
IAC | 101,455 | 4,980 | ||||||
Ingram Micro, Cl A * | 85,100 | 1,580 | ||||||
Intel | 131,300 | 3,691 | ||||||
International Business Machines | 36,487 | 7,613 | ||||||
Jack Henry & Associates | 11,900 | 406 | ||||||
Microsoft | 130,000 | 4,193 | ||||||
Motorola Mobility Holdings * | 57,715 | 2,265 | ||||||
Qualcomm | 6,800 | 462 | ||||||
SAIC | 272,900 | 3,602 | ||||||
Tech Data * | 46,820 | 2,540 | ||||||
Total System Services | 74,400 | 1,716 | ||||||
Zebra Technologies, Cl A * | 15,800 | 651 | ||||||
|
| |||||||
52,620 | ||||||||
|
| |||||||
Materials — 2.5% |
| |||||||
Aptargroup | 27,900 | 1,528 | ||||||
Ball | 38,700 | 1,660 | ||||||
Barrick Gold | 56,100 | 2,433 | ||||||
Compass Minerals International | 22,000 | 1,578 | ||||||
Greif, Cl A | 13,200 | 738 | ||||||
Newmont Mining | 60,119 | 3,083 | ||||||
Packaging Corp of America | 28,400 | 840 | ||||||
Royal Gold | 25,880 | 1,688 | ||||||
Silgan Holdings | 39,100 | 1,728 | ||||||
Sonoco Products | 26,000 | 863 | ||||||
|
| |||||||
16,139 | ||||||||
|
| |||||||
Telecommunication Services — 3.3% |
| |||||||
AT&T | 221,100 | 6,905 | ||||||
BCE | 61,900 | 2,474 | ||||||
NTT DoCoMo ADR | 89,100 | 1,485 | ||||||
Rogers Communications, Cl B | 61,000 | 2,417 | ||||||
SBA Communications, Cl A * | 16,000 | 813 | ||||||
SK Telecom ADR | 191,000 | 2,657 | ||||||
Telephone & Data Systems | 30,218 | 699 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Verizon Communications | 94,965 | $ | 3,630 | |||||
|
| |||||||
21,080 | ||||||||
|
| |||||||
Utilities — 14.1% | ||||||||
AGL Resources | 22,900 | 898 | ||||||
Alliant Energy | 65,500 | 2,837 | ||||||
Ameren | 71,700 | 2,336 | ||||||
American Electric Power | 72,500 | 2,797 | ||||||
American Water Works | 97,347 | 3,313 | ||||||
Atmos Energy | 115,600 | 3,637 | ||||||
Avista | 49,700 | 1,271 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 23,300 | 1,785 | ||||||
CMS Energy | 121,846 | 2,681 | ||||||
Consolidated Edison | 73,929 | 4,319 | ||||||
DTE Energy | 130,825 | 7,199 | ||||||
Duke Energy | 131,700 | 2,767 | ||||||
Edison International | 38,100 | 1,620 | ||||||
El Paso Electric | 67,600 | 2,196 | ||||||
Entergy | 58,368 | 3,922 | ||||||
Great Plains Energy | 94,600 | 1,918 | ||||||
Hawaiian Electric Industries | 81,586 | 2,068 | ||||||
Idacorp | 35,100 | 1,443 | ||||||
Integrys Energy Group | 43,858 | 2,324 | ||||||
ITC Holdings | 3,991 | 307 | ||||||
NSTAR | 100,557 | 4,890 | ||||||
NV Energy | 54,167 | 873 | ||||||
Pepco Holdings | 48,000 | 907 | ||||||
PG&E | 135,100 | 5,865 | ||||||
Pinnacle West Capital | 32,026 | 1,534 | ||||||
Portland General Electric | 91,800 | 2,293 | ||||||
Public Service Enterprise Group | 80,100 | 2,452 | ||||||
SCANA | 66,240 | 3,021 | ||||||
Sempra Energy | 27,900 | 1,673 | ||||||
Southern | 99,318 | 4,463 | ||||||
TECO Energy | 25,900 | 455 | ||||||
UGI | 106,728 | 2,908 | ||||||
Vectren | 52,200 | 1,517 | ||||||
Westar Energy | 21,667 | 605 | ||||||
WGL Holdings | 35,800 | 1,457 | ||||||
Wisconsin Energy | 126,568 | 4,453 | ||||||
|
| |||||||
91,004 | ||||||||
|
| |||||||
Total Common Stock |
| 609,515 | ||||||
|
| |||||||
CASH EQUIVALENT — 5.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 36,496,222 | 36,496 | ||||||
|
| |||||||
Total Cash Equivalent |
| 36,496 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.051%, 09/20/12 | $ | 705 | 705 | |||||
0.050%, 06/28/12 | 1,187 | 1,187 | ||||||
0.000%, 06/21/12 | 4 | 4 | ||||||
|
|
Description | Market Value ($ Thousands) | |||||
Total U.S. Treasury Obligations | $ | 1,896 | ||||
|
| |||||
Total Investments — 100.0% | $ | 647,907 | ||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 333 | Jun-2012 | $ | 759 | ||||||||
|
|
For the period ended March 31, 2012, 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 $647,896 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | 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 & Poor’s
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 609,515 | $ | — | $ | — | $ | 609,515 | ||||||||
U.S. Treasury Obligations | — | 1,896 | — | 1,896 | ||||||||||||
Cash Equivalent | 36,496 | — | — | 36,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 646,011 | $ | 1,896 | $ | — | $ | 647,907 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 759 | $ | — | $ | — | $ | 759 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 759 | $ | — | $ | — | $ | 759 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 89.7% | ||||||||
Australia — 6.7% | ||||||||
AGL Energy | 290,450 | $ | 4,438 | |||||
Amcor | 176,936 | 1,364 | ||||||
ARB | 99,744 | 951 | ||||||
CFS Retail Property Trust † | 1,249,278 | 2,317 | ||||||
Coca-Cola Amatil | 203,306 | 2,626 | ||||||
CSL | 195,858 | 7,282 | ||||||
Echo Entertainment Group | 299,912 | 1,364 | ||||||
Goodman Group † | 494,529 | 353 | ||||||
Hansen Technologies | 41,039 | 39 | ||||||
Iluka Resources | 53,720 | 990 | ||||||
McPherson’s | 16,139 | 35 | ||||||
Metcash | 1,646,628 | 7,335 | ||||||
MPG Printing * | 4,034 | — | ||||||
OneSteel | 154,571 | 199 | ||||||
QR National | 623,550 | 2,410 | ||||||
SP AusNet, Cl Miscellaneous | 1,371,560 | 1,527 | ||||||
Stockland † | 616,608 | 1,878 | ||||||
TABCORP Holdings | 526,813 | 1,484 | ||||||
Tatts Group | 1,241,457 | 3,190 | ||||||
Telstra | 1,046,325 | 3,566 | ||||||
Treasury Wine Estates | 26,032 | 111 | ||||||
Washington H Soul Pattinson | 7,318 | 104 | ||||||
Westfield Retail Trust † | 273,536 | 731 | ||||||
Woolworths | 146,134 | 3,933 | ||||||
|
| |||||||
48,227 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
Oesterreichische Post | 27,131 | 943 | ||||||
|
| |||||||
Belgium — 1.4% | ||||||||
Belgacom | 111,053 | 3,565 | ||||||
Colruyt | 48,722 | 1,955 | ||||||
Delhaize Group | 17,127 | 900 | ||||||
Intervest Offices † | 868 | 24 | ||||||
Mobistar | 70,514 | 3,507 | ||||||
|
| |||||||
9,951 | ||||||||
|
| |||||||
Bermuda — 0.0% | ||||||||
Transport International Holdings | 14,000 | 30 | ||||||
|
| |||||||
Canada — 11.8% | ||||||||
Alimentation Couche Tard, Cl B | 134,316 | 4,401 | ||||||
Barrick Gold | 49,483 | 2,146 | ||||||
BCE | 161,912 | 6,480 | ||||||
Bell Aliant | 141,931 | 3,877 | ||||||
Brookfield Office Properties | 3,420 | 59 | ||||||
Canadian National Railway | 16,999 | 1,348 | ||||||
Canadian Tire, Cl A | 38,880 | 2,507 | ||||||
Canadian Utilities, Cl A | 20,108 | 1,309 | ||||||
Cash Store Financial Services | 5,200 | 30 | ||||||
Centerra Gold | 28,150 | 437 | ||||||
CGI Group, Cl A * | 82,298 | 1,831 | ||||||
Cogeco Cable | 1,900 | 99 | ||||||
Constellation Software | 1,900 | 170 | ||||||
Empire, Cl A | 75,950 | 4,377 | ||||||
Fairfax Financial Holdings | 1,244 | 501 | ||||||
Franco-Nevada | 8,085 | 347 | ||||||
Genworth MI Canada | 7,774 | 172 | ||||||
George Weston | 49,118 | 3,112 |
Description | Shares | Market Value ($ Thousands) | ||||||
Goldcorp | 10,500 | $ | 472 | |||||
IGM Financial | 2,073 | 96 | ||||||
Intact Financial, Cl Common Subscription Recei | 6,012 | 361 | ||||||
Jean Coutu Group PJC, Cl A | 29,600 | 418 | ||||||
K-Bro Linen | 4,265 | 95 | ||||||
Loblaw | 16,700 | 568 | ||||||
Manitoba Telecom Services | 102,274 | 3,575 | ||||||
Maple Leaf Foods | 9,500 | 113 | ||||||
Metro, Cl A | 119,632 | 6,367 | ||||||
National Bank of Canada | 30,369 | 2,412 | ||||||
North West | 45,204 | 1,011 | ||||||
Open Text * | 5,182 | 316 | ||||||
Paladin Labs * | 1,100 | 44 | ||||||
Premium Brands Holdings | 7,600 | 133 | ||||||
RioCan Real Estate Investment Trust, Cl Trust Unit † | 40,734 | 1,102 | ||||||
Rogers Communications, Cl B | 185,582 | 7,353 | ||||||
Rogers Sugar | 27,052 | 154 | ||||||
Saputo | 126,739 | 5,479 | ||||||
Sears Canada * | 4,500 | 60 | ||||||
Shaw Communications, Cl B | 12,438 | 263 | ||||||
Shoppers Drug Mart | 3,900 | 171 | ||||||
TELUS, Cl A | 69,000 | 3,918 | ||||||
Tim Hortons | 59,247 | 3,163 | ||||||
TMX Group | 84,267 | 3,777 | ||||||
TransAlta | 103,339 | 1,934 | ||||||
TransCanada | 75,664 | 3,243 | ||||||
Valener | 33,226 | 511 | ||||||
Yamana Gold | 319,076 | 4,968 | ||||||
|
| |||||||
85,280 | ||||||||
|
| |||||||
Cayman Islands — 0.1% | ||||||||
Fresh Del Monte Produce | 18,975 | 433 | ||||||
|
| |||||||
Denmark — 2.4% | ||||||||
Coloplast, Cl B | 38,045 | 6,579 | ||||||
H Lundbeck | 34,972 | 700 | ||||||
Novo Nordisk, Cl B | 53,950 | 7,460 | ||||||
TDC | 355,489 | 2,582 | ||||||
|
| |||||||
17,321 | ||||||||
|
| |||||||
Finland — 1.1% | ||||||||
Elisa | 172,493 | 4,128 | ||||||
Olvi, Cl A | 1,700 | 39 | ||||||
Orion, Cl B | 201,364 | 3,974 | ||||||
|
| |||||||
8,141 | ||||||||
|
| |||||||
France — 0.9% | ||||||||
BioMerieux | 3,966 | 312 | ||||||
Boiron | 6,078 | 206 | ||||||
Bonduelle S.C.A. | 1,532 | 150 | ||||||
Canal + | 13,049 | 83 | ||||||
PagesJaunes Groupe | 38,528 | 125 | ||||||
Sartorius Stedim Biotech | 1,980 | 139 | ||||||
Societe BIC | 48,610 | 4,871 | ||||||
Tessi | 1,012 | 109 | ||||||
Vilmorin & Cie | 5,040 | 544 | ||||||
|
| |||||||
6,539 | ||||||||
|
| |||||||
Germany — 0.5% | ||||||||
Carl Zeiss Meditec | 45,263 | 1,097 | ||||||
Constantin Medien * | 14,561 | 34 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Hornbach Holding | 434 | $ | 33 | |||||
KWS Saat | 235 | 53 | ||||||
Rhoen Klinikum | 4,139 | 83 | ||||||
Sto | 367 | 56 | ||||||
Suedzucker | 65,219 | 2,073 | ||||||
|
| |||||||
3,429 | ||||||||
|
| |||||||
Hong Kong — 2.5% | ||||||||
CLP Holdings | 775,500 | 6,692 | ||||||
HKT Trust * | 29,478 | 23 | ||||||
Link † | 1,724,000 | 6,417 | ||||||
Power Assets Holdings | 698,500 | 5,128 | ||||||
Skyfame Realty Holdings * | 1,312,000 | 127 | ||||||
|
| |||||||
18,387 | ||||||||
|
| |||||||
Ireland — 0.2% | ||||||||
James Hardie Industries | 93,058 | 740 | ||||||
Kerry Group, Cl A | 8,802 | 407 | ||||||
|
| |||||||
1,147 | ||||||||
|
| |||||||
Israel — 0.7% | ||||||||
Check Point Software Technologies * | 39,133 | 2,498 | ||||||
El Al Israel Airlines * (A) | 65,866 | 9 | ||||||
Formula Systems 1985 (A) | 3,851 | 66 | ||||||
Hot Telecommunication System (A) | 3,602 | 40 | ||||||
Orbotech * | 7,977 | 92 | ||||||
Silicom * | 10,545 | 188 | ||||||
Teva Pharmaceutical Industries (A) | 49,902 | 2,252 | ||||||
|
| |||||||
5,145 | ||||||||
|
| |||||||
Italy — 0.2% | ||||||||
CSP International Fashion Group | 1,207 | 1 | ||||||
Recordati | 81,516 | 619 | ||||||
Reply | 1,356 | 32 | ||||||
Snam Rete Gas | 231,617 | 1,112 | ||||||
|
| |||||||
1,764 | ||||||||
|
| |||||||
Japan — 16.7% | ||||||||
Ajinomoto | 15,000 | 189 | ||||||
Ajis | 1,300 | 19 | ||||||
Alpen | 7,500 | 151 | ||||||
Aozora Bank | 85,000 | 247 | ||||||
Artnature | 3,900 | 46 | ||||||
Asahi Group Holdings | 26,500 | 590 | ||||||
Asahi Net | 9,000 | 40 | ||||||
Autobacs Seven | 14,700 | 713 | ||||||
Benefit One | 79 | 61 | ||||||
Benesse | 11,400 | 571 | ||||||
Bic Camera | 268 | 143 | ||||||
BML | 2,800 | 72 | ||||||
Can Do | 140 | 162 | ||||||
Central Japan Railway | 363 | 3,008 | ||||||
Chiyoda | 7,000 | 141 | ||||||
Coca-Cola Central Japan | 41,636 | 543 | ||||||
Dainichi | 5,100 | 48 | ||||||
Daito Trust Construction | 53,800 | 4,857 | ||||||
Doutor Nichires Holdings | 10,700 | 142 | ||||||
Duskin | 12,400 | 249 | ||||||
Dydo Drinco | 10,500 | 421 | ||||||
Electric Power Development | 49,000 | 1,336 | ||||||
FamilyMart | 64,300 | 2,735 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fancl * (B) | 54,200 | $ | 734 | |||||
Fuji Oil | 95,400 | 1,365 | ||||||
Geo | 81 | 96 | ||||||
Gree | 109,300 | 2,775 | ||||||
Hachijuni Bank | 77,000 | 457 | ||||||
Hakuhodo DY Holdings | 5,850 | 370 | ||||||
Haruyama Trading | 2,000 | 11 | ||||||
Hiday Hidaka | 3,720 | 58 | ||||||
House Foods | 18,900 | 325 | ||||||
Idemitsu Kosan | 32,600 | 3,268 | ||||||
Infocom | 195 | 235 | ||||||
Ito En | 38,700 | 699 | ||||||
Itochu-Shokuhin | 3,900 | 145 | ||||||
Japan Retail Fund Investment, Cl A † | 1,065 | 1,590 | ||||||
Jupiter Telecommunications | 197 | 198 | ||||||
Kaken Pharmaceutical | 22,000 | 279 | ||||||
Kamigumi | 178,000 | 1,482 | ||||||
Kao | 286,600 | 7,565 | ||||||
Kasumi | 16,300 | 110 | ||||||
Kato Sangyo | 4,100 | 81 | ||||||
KDDI | 222 | 1,446 | ||||||
Kewpie | 205,900 | 3,050 | ||||||
Kissei Pharmaceutical | 25,300 | 498 | ||||||
Kobayashi Pharmaceutical | 68,300 | 3,436 | ||||||
Kokuyo | 19,000 | 143 | ||||||
Komatsu Seiren | 5,000 | 26 | ||||||
Kose | 55,100 | 1,255 | ||||||
KYORIN Holdings | 31,000 | 590 | ||||||
Lawson | 61,500 | 3,894 | ||||||
Lion | 584,400 | 3,366 | ||||||
Mandom | 15,600 | 393 | ||||||
Marudai Food | 82,000 | 320 | ||||||
Maruichi Steel Tube | 10,200 | 239 | ||||||
Maruzen Showa Unyu | 7,000 | 23 | ||||||
Matsuya Foods | 10,900 | 217 | ||||||
Maxvalu Tokai | 3,300 | 44 | ||||||
McDonald’s Holdings Japan | 160,300 | 4,277 | ||||||
Medipal Holdings | 54,900 | 715 | ||||||
Mikuni Coca-Cola Bottling | 19,700 | 169 | ||||||
Ministop | 14,100 | 274 | ||||||
Miraca Holdings | 94,800 | 3,721 | ||||||
Mitsubishi Shokuhin | 3,000 | 77 | ||||||
Mizuno | 8,000 | 45 | ||||||
Mochida Pharmaceutical | 6,000 | 71 | ||||||
Morinaga Milk Industry | 83,025 | 328 | ||||||
MOS Food Services | 7,700 | 147 | ||||||
Namco Bandai Holdings | 234,200 | 3,398 | ||||||
NEC Mobiling | 1,700 | 59 | ||||||
Nichii Gakkan | 25,300 | 341 | ||||||
Nichireki | 5,000 | 27 | ||||||
Nihon Shokuhin Kako | 2,000 | 8 | ||||||
Nippon Telegraph & Telephone | 65,600 | 2,993 | ||||||
Nitori Holdings | 11,150 | 1,013 | ||||||
Noevir Holdings | 4,800 | 53 | ||||||
NTT DoCoMo | 3,884 | 6,485 | ||||||
Ohsho Food Service | 3,400 | 83 | ||||||
Okumura | 61,000 | 241 | ||||||
Ono Pharmaceutical | 30,900 | 1,731 | ||||||
Oracle Japan | 43,200 | 1,651 | ||||||
Osaka Gas | 668,000 | 2,695 | ||||||
Otsuka | 1,800 | 147 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Otsuka Holdings | 165,900 | $ | 4,939 | |||||
PanaHome | 9,000 | 62 | ||||||
Plenus | 5,400 | 98 | ||||||
Pola Orbis Holdings | 39,400 | 1,183 | ||||||
Prima Meat Packers | 75,000 | 140 | ||||||
Rinnai | 9,300 | 673 | ||||||
Rock Field | 3,300 | 64 | ||||||
Rohto Pharmaceutical | 6,000 | 75 | ||||||
Saizeriya | 35,300 | 571 | ||||||
San-A, Cl A | 1,400 | 53 | ||||||
Santen Pharmaceutical | 47,500 | 2,041 | ||||||
Secom | 500 | 25 | ||||||
Sekisui Chemical | 274,000 | 2,391 | ||||||
Seven Bank | 562,500 | 1,237 | ||||||
Shimachu | 34,100 | 808 | ||||||
Shinsei Bank | 356,000 | 467 | ||||||
Shizuoka Gas | 46,500 | 334 | ||||||
Sugi Holdings | 44,200 | 1,359 | ||||||
Suzuken | 34,800 | 1,079 | ||||||
Toho Gas | 355,000 | 2,105 | ||||||
Toho Holdings | 7,000 | 125 | ||||||
Tokai | 2,800 | 58 | ||||||
Tokyo Gas | 205,000 | 971 | ||||||
TonenGeneral Sekiyu | 285,000 | 2,639 | ||||||
Torii Pharmaceutical | 3,200 | 61 | ||||||
Toyo Suisan Kaisha | 32,000 | 836 | ||||||
Trancom | 1,300 | 26 | ||||||
Tsuruha Holdings | 22,800 | 1,351 | ||||||
USS | 4,370 | 446 | ||||||
Valor | 3,800 | 64 | ||||||
West Japan Railway | 2,800 | 113 | ||||||
Yamada Denki | 1,960 | 123 | ||||||
Yamato Holdings | 96,900 | 1,506 | ||||||
Yamazaki Baking | 316,000 | 4,554 | ||||||
Yellow Hat | 8,400 | 140 | ||||||
|
| |||||||
120,733 | ||||||||
|
| |||||||
Jersey — 0.2% |
| |||||||
Shire | 43,183 | 1,394 | ||||||
|
| |||||||
Luxembourg — 0.2% |
| |||||||
Altisource Portfolio Solutions * | 10,520 | 638 | ||||||
Millicom International Cellular | 6,558 | 741 | ||||||
|
| |||||||
1,379 | ||||||||
|
| |||||||
Netherlands — 0.9% | ||||||||
Koninklijke Ahold | 198,832 | 2,751 | ||||||
Royal Dutch Shell, Cl A | 105,722 | 3,696 | ||||||
|
| |||||||
6,447 | ||||||||
|
| |||||||
New Zealand — 0.6% |
| |||||||
Auckland International Airport | 178,124 | 359 | ||||||
Chorus * | 293,122 | 889 | ||||||
Port of Tauranga | 37,108 | 330 | ||||||
Restaurant Brands New Zealand | 21,157 | 32 | ||||||
Sky City Entertainment Group | 103,062 | 333 | ||||||
Sky Network Television | 12,841 | 54 | ||||||
Telecom Corp of New Zealand | 1,342,061 | 2,667 | ||||||
|
| |||||||
4,664 | ||||||||
|
| |||||||
Portugal — 0.3% |
| |||||||
EDP - Energias de Portugal | 578,597 | 1,680 |
Description | Shares | Market Value ($ Thousands) | ||||||
Portucel Empresa Produtora de Pasta e Papel * | 122,445 | $ | 329 | |||||
Semapa-Sociedade de Investimento e Gestao * | 25,343 | 187 | ||||||
|
| |||||||
2,196 | ||||||||
|
| |||||||
Singapore — 0.6% |
| |||||||
Ascendas Real Estate Investment Trust † | 468,000 | 752 | ||||||
ComfortDelGro | 249,000 | 309 | ||||||
DBS Group Holdings | 60,000 | 677 | ||||||
Singapore Telecommunications | 302,000 | 757 | ||||||
StarHub | 671,000 | 1,654 | ||||||
UOL Group | 72,000 | 271 | ||||||
|
| |||||||
4,420 | ||||||||
|
| |||||||
Spain — 1.2% |
| |||||||
Ebro Foods | 172,798 | 3,350 | ||||||
Enagas | 41,052 | 789 | ||||||
Endesa | 6,904 | 137 | ||||||
Viscofan | 95,084 | 4,248 | ||||||
|
| |||||||
8,524 | ||||||||
|
| |||||||
Sweden — 1.0% |
| |||||||
Acando | 48,859 | 115 | ||||||
Axfood | 81,934 | 2,936 | ||||||
Industrial & Financial Systems, Cl B | 2,550 | 40 | ||||||
Loomis, Cl B | 5,690 | 81 | ||||||
Swedish Match | 99,905 | 3,966 | ||||||
|
| |||||||
7,138 | ||||||||
|
| |||||||
Switzerland — 1.8% |
| |||||||
Allreal Holding | 8,197 | 1,338 | ||||||
Basler Kantonalbank | 949 | 119 | ||||||
Bell | 46 | 95 | ||||||
BKW FMB Energie | 1,769 | 61 | ||||||
Emmi | 1,224 | 267 | ||||||
Intershop Holdings | 392 | 143 | ||||||
Lindt & Spruengli | 8 | 297 | ||||||
Mobilezone Holding | 28,743 | 326 | ||||||
Nestle | 64,796 | 4,072 | ||||||
Orior | 660 | 36 | ||||||
Roche Holding | 261 | 45 | ||||||
Schindler Holding | 538 | 64 | ||||||
Swisscom | 14,206 | 5,735 | ||||||
Vetropack Holding | 17 | 33 | ||||||
|
| |||||||
12,631 | ||||||||
|
| |||||||
United Kingdom — 8.8% |
| |||||||
Associated British Foods | 196,469 | 3,830 | ||||||
AstraZeneca | 183,805 | 8,161 | ||||||
British American Tobacco | 27,298 | 1,374 | ||||||
Centrica | 1,600,366 | 8,090 | ||||||
Cranswick | 47,904 | 616 | ||||||
Devro | 143,658 | 702 | ||||||
GlaxoSmithKline | 33,924 | 757 | ||||||
Greggs | 209,498 | 1,742 | ||||||
Imperial Tobacco Group | 87,625 | 3,549 | ||||||
JD Sports Fashion | 2,922 | 37 | ||||||
LSL Property Services | 9,779 | 43 | ||||||
National Grid | 365,688 | 3,684 | ||||||
Reckitt Benckiser Group | 83,879 | 4,735 | ||||||
Royal Dutch Shell, Cl A | 94,318 | 3,290 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Scottish & Southern Energy | 217,133 | $ | 4,611 | |||||
Synergy Health | 46,324 | 628 | ||||||
Tate & Lyle | 58,253 | 656 | ||||||
Unilever | 146,354 | 4,826 | ||||||
United Utilities Group | 243,971 | 2,345 | ||||||
Vodafone Group | 2,215,488 | 6,096 | ||||||
WM Morrison Supermarkets | 770,273 | 3,668 | ||||||
|
| |||||||
63,440 | ||||||||
|
| |||||||
United States — 28.8% |
| |||||||
Abbott Laboratories | 81,527 | 4,997 | ||||||
Advance Auto Parts | 46,493 | 4,118 | ||||||
Altria Group | 14,191 | 438 | ||||||
Ameren | 33,236 | 1,083 | ||||||
American Capital Agency † | 34,551 | 1,021 | ||||||
American Capital Mortgage Investment † | 34,569 | 753 | ||||||
American Electric Power | 84,544 | 3,262 | ||||||
American States Water | 26,798 | 968 | ||||||
AmerisourceBergen | 94,942 | 3,767 | ||||||
Amgen | 74,867 | 5,091 | ||||||
Annaly Capital Management † | 223,421 | 3,534 | ||||||
AT&T | 123,542 | 3,858 | ||||||
Autozone * | 26,505 | 9,855 | ||||||
Becton Dickinson | 7,200 | 559 | ||||||
Booz Allen Hamilton Holding, Cl A | 16,052 | 274 | ||||||
Bristol-Myers Squibb | 104,827 | 3,538 | ||||||
C.R. Bard | 28,873 | 2,850 | ||||||
CACI International, Cl A * | 2,457 | 153 | ||||||
Cal-Maine Foods | 8,762 | 335 | ||||||
Campbell Soup | 109,951 | 3,722 | ||||||
CBOE Holdings | 65,273 | 1,855 | ||||||
CF Industries Holdings | 5,535 | 1,011 | ||||||
CH Energy Group | 11,319 | 755 | ||||||
Chesapeake Utilities | 19,654 | 808 | ||||||
Church & Dwight | 80,071 | 3,939 | ||||||
Clorox | 70,697 | 4,860 | ||||||
Colgate-Palmolive | 15,559 | 1,521 | ||||||
ConAgra Foods | 147,912 | 3,884 | ||||||
Consolidated Communications Holdings | 5,219 | 102 | ||||||
Consolidated Edison | 66,265 | 3,871 | ||||||
Costco Wholesale | 43,432 | 3,944 | ||||||
Dollar Tree * | 55,963 | 5,288 | ||||||
Dr Pepper Snapple Group | 128,413 | 5,163 | ||||||
DTE Energy | 27,831 | 1,532 | ||||||
Duke Energy | 44,778 | 941 | ||||||
Dynamics Research * | 3,975 | 38 | ||||||
El Paso Electric | 27,863 | 905 | ||||||
Eli Lilly | 103,607 | 4,172 | ||||||
Ellington Financial | 4,375 | 86 | ||||||
ePlus * | 1,500 | 48 | ||||||
Family Dollar Stores | 3,050 | 193 | ||||||
Forest Laboratories * | 79,248 | 2,749 | ||||||
GameStop, Cl A | 83,855 | 1,831 | ||||||
Hatteras Financial † | 98,119 | 2,737 | ||||||
Hershey | 72,707 | 4,459 | ||||||
HollyFrontier | 5,947 | 191 | ||||||
Hormel Foods | 220,001 | 6,495 | ||||||
Interactive Brokers Group, Cl A | 43,422 | 738 | ||||||
ITT | 9,432 | 216 |
Description | Shares | Market Value ($ Thousands) | ||||||
J&J Snack Foods | 2,568 | $ | 135 | |||||
John B Sanfilippo & Son * | 7,000 | 87 | ||||||
Kimberly-Clark | 125,380 | 9,264 | ||||||
Kinder Morgan Management * | 4,289 | 320 | ||||||
Kraft Foods, Cl A | 86,366 | 3,283 | ||||||
Kroger | 229,882 | 5,570 | ||||||
Laclede Group | 82,776 | 3,230 | ||||||
Lockheed Martin | 18,635 | 1,675 | ||||||
Lorillard | 72,967 | 9,448 | ||||||
Magellan Health Services * | 49,770 | 2,429 | ||||||
Maxygen * | 22,149 | 127 | ||||||
McDonald’s | 36,793 | 3,609 | ||||||
Medcath | 43,046 | 338 | ||||||
Merck | 79,699 | 3,060 | ||||||
MGE Energy | 2,536 | 113 | ||||||
National Beverage * | 14,128 | 227 | ||||||
New Mountain Finance * | 6,952 | 95 | ||||||
Northeast Utilities | 41,874 | 1,554 | ||||||
Obagi Medical Products * | 9,124 | 122 | ||||||
Oil-Dri Corp of America | 3,429 | 73 | ||||||
O’Reilly Automotive * | 45,778 | 4,182 | ||||||
Papa John’s International * | 37,969 | 1,430 | ||||||
PDL BioPharma | 101,440 | 644 | ||||||
PepsiCo | 16,777 | 1,113 | ||||||
Pfizer | 31,538 | 715 | ||||||
Philip Morris International | 49,000 | 4,342 | ||||||
Portland General Electric | 91,436 | 2,284 | ||||||
Procter & Gamble | 59,182 | 3,978 | ||||||
Providence Service * | 1,194 | 19 | ||||||
RTI Biologics * | 14,980 | 56 | ||||||
Safeway | 15,800 | 319 | ||||||
Schiff Nutrition International * | 15,935 | 196 | ||||||
Seneca Foods, Cl A * | 22,029 | 580 | ||||||
Southern | 76,050 | 3,417 | ||||||
Southside Bancshares | 5,518 | 122 | ||||||
Spectrum Brands Holdings * | 2,739 | 96 | ||||||
Susser Holdings * | 18,838 | 484 | ||||||
Synopsys * | 11,433 | 351 | ||||||
Territorial Bancorp | 7,233 | 151 | ||||||
Tyson Foods, Cl A | 191,532 | 3,668 | ||||||
Universal | 44,509 | 2,074 | ||||||
US Cellular * | 7,190 | 294 | ||||||
USANA Health Sciences * | 2,895 | 108 | ||||||
Vectren | 11,299 | 329 | ||||||
Verizon Communications | 100,983 | 3,861 | ||||||
Virginia Commerce Bancorp * | 11,557 | 101 | ||||||
Wal-Mart Stores | 64,011 | 3,917 | ||||||
Watson Pharmaceuticals * | 2,700 | 181 | ||||||
WD-40 | 1,897 | 86 | ||||||
Weis Markets | 31,898 | 1,391 | ||||||
WGL Holdings | 10,423 | 424 | ||||||
Xcel Energy | 143,646 | 3,802 | ||||||
|
| |||||||
207,982 | ||||||||
|
| |||||||
Total Common Stock |
| 647,685 | ||||||
|
|
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.0% |
| |||||||
Germany — 0.0% | ||||||||
Henkel & KGaA | 2,256 | $ | 165 | |||||
|
| |||||||
Total Preferred Stock |
| 165 | ||||||
|
| |||||||
CASH EQUIVALENT — 6.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 49,300,506 | 49,301 | ||||||
|
| |||||||
Total Cash Equivalent |
| 49,301 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (B) (C) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.071%, 09/20/12 | $ | 1,171 | 1,170 | |||||
0.058%, 06/28/12 | 1,027 | 1,027 | ||||||
0.039%, 08/23/12 | 204 | 204 | ||||||
0.028%, 06/21/12 | 76 | 76 | ||||||
0.020%, 05/03/12 | 53 | 53 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 2,530 | ||||||
|
| |||||||
Total Investments — 96.9% |
| $ | 699,681 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 169 | Jun-2012 | $ | (93 | ) | |||||||
FTSE 100 Index | 85 | Jun-2012 | (134 | ) | ||||||||
Hang Seng Index | 18 | May-2012 | (43 | ) | ||||||||
S&P 500 Index E-MINI | 380 | Jun-2012 | 698 | |||||||||
SPI 200 Index | 23 | Jun-2012 | 18 | |||||||||
|
| |||||||||||
$ | 446 | |||||||||||
|
|
For the period ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
4/26/12 | AUD | 54,935 | USD | 57,385 | $ | 633 | ||||||
4/26/12 | CAD | 92,267 | USD | 92,907 | 613 | |||||||
4/26/12 | CHF | 12,420 | USD | 13,722 | (27 | ) | ||||||
4/26/12 | DKK | 106,089 | USD | 19,006 | 10 | |||||||
4/26/12 | EUR | 43,595 | USD | 58,078 | 23 | |||||||
4/26/12 | GBP | 46,798 | USD | 74,719 | (34 | ) | ||||||
4/26/12 | HKD | 148,260 | USD | 19,093 | (5 | ) | ||||||
4/26/12 | JPY | 10,813,859 | USD | 130,061 | (1,392 | ) | ||||||
4/26/12 | NZD | 5,858 | USD | 4,799 | 8 | |||||||
4/26/12 | SEK | 57,444 | USD | 8,584 | (67 | ) | ||||||
4/26/12 | SGD | 5,988 | USD | 4,768 | 4 | |||||||
4/26/12 | USD | 893 | GBP | 560 | 1 | |||||||
4/26/12 | USD | 1,786 | JPY | 146,851 | (1 | ) | ||||||
|
| |||||||||||
$ | (234 | ) | ||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Counterparty | Settlement Date | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | ||||||||||
Brown Brothers Harriman | 4/26/12 | 11,390,192 | 630,533 | $ | (234 | ) | ||||||||
|
| |||||||||||||
$ | (234 | ) | ||||||||||||
|
|
Percentages are based on Net Assets of $722,327 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | 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 March 31, 2012 was $2,366 ($ Thousands) and represented 0.33% 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. |
AUD — Australia Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Denmark Krone
EUR — Euro
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Sweden Krona
SGD — Singapore Dollar
SPI — Swiss Performance Index
USD — United States Dollar
| ||
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2012
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 647,685 | — | — | 647,685 | ||||||||||||
Preferred Stock | 165 | — | — | 165 | ||||||||||||
U.S. Treasury Obligations | — | 2,530 | — | 2,530 | ||||||||||||
Cash Equivalent | 49,301 | — | — | 49,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 697,151 | $ | 2,530 | $ | — | $ | 699,681 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 446 | $ | — | $ | — | $ | 446 | ||||||||
Forwards | — | (234 | ) | — | (234 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 446 | $ | (234 | ) | $ | — | $ | 212 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.6% |
| |||||||
Consumer Discretionary — 7.6% |
| |||||||
Aaron’s | 20,500 | $ | 531 | |||||
Advance Auto Parts | 16,400 | 1,452 | ||||||
Amazon.com * | 1,490 | 302 | ||||||
Best Buy | 32,800 | 777 | ||||||
Big Lots * | 16,600 | 714 | ||||||
Choice Hotels International | 16,000 | 597 | ||||||
Cinemark Holdings | 22,200 | 487 | ||||||
Cogeco Cable | 10,500 | 550 | ||||||
DIRECTV, Cl A * | 62,400 | 3,079 | ||||||
Discovery Communications, Cl A * | 16,300 | 825 | ||||||
DISH Network, Cl A | 19,100 | 629 | ||||||
GameStop, Cl A | 68,800 | 1,503 | ||||||
Gap | 35,400 | 925 | ||||||
H&R Block | 99,300 | 1,635 | ||||||
Hillenbrand | 14,100 | 324 | ||||||
Kohl’s | 27,600 | 1,381 | ||||||
McDonald’s | 29,013 | 2,846 | ||||||
Panera Bread, Cl A * | 6,100 | 982 | ||||||
priceline.com * | 4,353 | 3,123 | ||||||
Regal Entertainment Group, Cl A | 24,600 | 334 | ||||||
Shaw Communications, Cl B | 47,600 | 1,007 | ||||||
Target | 41,000 | 2,389 | ||||||
Time Warner Cable, Cl A | 18,400 | 1,500 | ||||||
Washington Post, Cl B | 2,200 | 822 | ||||||
|
| |||||||
28,714 | ||||||||
|
| |||||||
Consumer Staples — 23.7% |
| |||||||
Altria Group | 99,455 | 3,070 | ||||||
Archer-Daniels-Midland | 38,400 | 1,216 | ||||||
Brown-Forman, Cl B | 28,552 | 2,381 | ||||||
Campbell Soup | 34,308 | 1,161 | ||||||
Church & Dwight | 79,799 | 3,925 | ||||||
Clorox | 11,389 | 783 | ||||||
Coca-Cola | 31,250 | 2,313 | ||||||
Coca-Cola Enterprises | 49,400 | 1,413 | ||||||
Colgate-Palmolive | 32,072 | 3,136 | ||||||
ConAgra Foods | 58,000 | 1,523 | ||||||
Costco Wholesale | 33,020 | 2,998 | ||||||
CVS Caremark | 46,000 | 2,061 | ||||||
Dr Pepper Snapple Group | 24,500 | 985 | ||||||
Flowers Foods | 37,700 | 768 | ||||||
Fresh Del Monte Produce | 27,300 | 624 | ||||||
General Mills | 64,338 | 2,538 | ||||||
Hershey | 35,535 | 2,179 | ||||||
HJ Heinz | 20,137 | 1,078 | ||||||
Hormel Foods | 149,062 | 4,400 | ||||||
JM Smucker | 21,006 | 1,709 | ||||||
Kellogg | 51,374 | 2,755 | ||||||
Kimberly-Clark | 76,439 | 5,648 | ||||||
Kroger | 83,964 | 2,034 | ||||||
Lorillard | 43,693 | 5,658 | ||||||
McCormick | 43,605 | 2,374 | ||||||
Metro, Cl A | 26,900 | 1,432 | ||||||
Molson Coors Brewing, Cl B | 35,200 | 1,593 | ||||||
Monster Beverage * | 18,000 | 1,118 | ||||||
Nash Finch | 11,300 | 321 | ||||||
PepsiCo | 19,087 | 1,266 | ||||||
Philip Morris International | 38,511 | 3,413 | ||||||
Procter & Gamble | 44,711 | 3,005 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ralcorp Holdings * | 10,200 | $ | 756 | |||||
Reynolds American | 121,526 | 5,036 | ||||||
Ruddick | 15,800 | 634 | ||||||
Safeway | 72,200 | 1,459 | ||||||
TreeHouse Foods * | 13,400 | 797 | ||||||
Tyson Foods, Cl A | 52,000 | 996 | ||||||
Universal | 12,100 | 564 | ||||||
Walgreen | 54,500 | 1,825 | ||||||
Wal-Mart Stores | 101,484 | 6,211 | ||||||
|
| |||||||
89,156 | ||||||||
|
| |||||||
Energy — 3.0% |
| |||||||
Chevron | 30,500 | 3,271 | ||||||
ConocoPhillips | 24,300 | 1,847 | ||||||
Diamond Offshore Drilling | 3,800 | 254 | ||||||
EQT | 4,900 | 236 | ||||||
Exxon Mobil | 45,300 | 3,929 | ||||||
FMC Technologies * | 9,700 | 489 | ||||||
Imperial Oil | 16,900 | 767 | ||||||
Sunoco | 13,400 | 511 | ||||||
|
| |||||||
11,304 | ||||||||
|
| |||||||
Financials — 10.6% |
| |||||||
Allied World Assurance Holdings | 15,000 | 1,030 | ||||||
American Campus Communities † | 21,300 | 953 | ||||||
Arch Capital Group * | 44,681 | 1,664 | ||||||
Associated Banc-Corp | 72,700 | 1,015 | ||||||
Brown & Brown | 29,300 | 697 | ||||||
Capitol Federal Financial | 268,352 | 3,183 | ||||||
Chubb | 29,100 | 2,011 | ||||||
Commerce Bancshares | 54,693 | 2,216 | ||||||
Cullen/Frost Bankers | 34,636 | 2,015 | ||||||
Endurance Specialty Holdings | 11,000 | 447 | ||||||
Equity Lifestyle Properties † | 14,200 | 990 | ||||||
Everest Re Group | 13,000 | 1,203 | ||||||
Federated Investors, Cl B | 41,700 | 934 | ||||||
First Citizens BancShares, Cl A | 2,500 | 457 | ||||||
Genworth MI Canada | 23,900 | 529 | ||||||
Hanover Insurance Group | 13,000 | 534 | ||||||
HCC Insurance Holdings | 7,500 | 234 | ||||||
Health Care † | 15,200 | 835 | ||||||
Hudson City Bancorp | 140,500 | 1,027 | ||||||
Maiden Holdings | 62,300 | 561 | ||||||
MFA Financial † | 47,800 | 357 | ||||||
National Bank of Canada | 14,300 | 1,136 | ||||||
PartnerRe | 32,800 | 2,227 | ||||||
People’s United Financial | 143,583 | 1,901 | ||||||
Prosperity Bancshares | 13,700 | 627 | ||||||
Realty Income † | 26,400 | 1,023 | ||||||
RenaissanceRe Holdings | 13,100 | 992 | ||||||
Signature Bank NY * | 16,300 | 1,028 | ||||||
Tanger Factory Outlet Centers † | 32,200 | 957 | ||||||
TFS Financial * | 167,030 | 1,587 | ||||||
Tower Group | 16,700 | 375 | ||||||
Travelers | 30,800 | 1,823 | ||||||
Two Harbors Investment † | 71,700 | 727 | ||||||
Validus Holdings | 48,500 | 1,501 | ||||||
Washington Real Estate Investment Trust † | 16,500 | 490 | ||||||
White Mountains Insurance Group | 1,370 | 687 | ||||||
|
| |||||||
39,973 | ||||||||
|
|
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Health Care — 16.4% |
| |||||||
Abbott Laboratories | 79,406 | $ | 4,867 | |||||
Aetna | 36,100 | 1,811 | ||||||
Alexion Pharmaceuticals * | 44,614 | 4,143 | ||||||
AmerisourceBergen | 71,037 | 2,819 | ||||||
Amgen | 41,100 | 2,794 | ||||||
AstraZeneca ADR | 39,700 | 1,766 | ||||||
Baxter International | 28,000 | 1,674 | ||||||
Becton Dickinson | 20,580 | 1,598 | ||||||
Cardinal Health | 30,400 | 1,311 | ||||||
Cooper | 4,000 | 327 | ||||||
Coventry Health Care | 16,700 | 594 | ||||||
Eli Lilly | 65,563 | 2,640 | ||||||
Endo Pharmaceuticals Holdings * | 39,200 | 1,518 | ||||||
Gilead Sciences * | 24,600 | 1,202 | ||||||
Greatbatch * | 21,800 | 535 | ||||||
Health Net * | 23,200 | 921 | ||||||
Henry Schein * | 12,060 | 913 | ||||||
Humana | 11,900 | 1,101 | ||||||
Johnson & Johnson | 67,636 | 4,462 | ||||||
LifePoint Hospitals * | 21,500 | 848 | ||||||
Lincare Holdings | 26,900 | 696 | ||||||
Magellan Health Services * | 13,600 | 664 | ||||||
McKesson | 24,900 | 2,185 | ||||||
Medtronic | 29,000 | 1,136 | ||||||
Merck | 99,900 | 3,836 | ||||||
Myriad Genetics * | 21,600 | 511 | ||||||
Owens & Minor | 12,500 | 380 | ||||||
Par Pharmaceutical * | 17,700 | 686 | ||||||
Patterson | 29,800 | 995 | ||||||
PDL BioPharma | 96,900 | 615 | ||||||
Pfizer | 116,600 | 2,642 | ||||||
Techne | 34,211 | 2,398 | ||||||
United Therapeutics * | 50,200 | 2,366 | ||||||
UnitedHealth Group | 32,600 | 1,921 | ||||||
WellPoint | 21,900 | 1,616 | ||||||
Zimmer Holdings | 22,700 | 1,459 | ||||||
|
| |||||||
61,950 | ||||||||
|
| |||||||
Industrials — 5.7% |
| |||||||
Alliant Techsystems | 8,700 | 436 | ||||||
C.H. Robinson Worldwide | 13,700 | 897 | ||||||
Clarcor | 4,700 | 231 | ||||||
Clean Harbors * | 3,700 | 249 | ||||||
Copa Holdings, Cl A | 21,016 | 1,664 | ||||||
CSX | 28,600 | 616 | ||||||
FTI Consulting * | 19,800 | 743 | ||||||
General Dynamics | 22,900 | 1,680 | ||||||
Huntington Ingalls Industries * | 366 | 15 | ||||||
L-3 Communications Holdings | 31,400 | 2,222 | ||||||
Landstar System | 18,000 | 1,039 | ||||||
Lockheed Martin | 25,000 | 2,247 | ||||||
Northrop Grumman | 23,200 | 1,417 | ||||||
Progressive Waste Solutions | 44,000 | 954 | ||||||
Raytheon | 47,100 | 2,486 | ||||||
Rollins | 42,000 | 894 | ||||||
Stericycle * | 28,724 | 2,402 | ||||||
Unifirst | 7,600 | 468 | ||||||
Union Pacific | 2,300 | 247 | ||||||
Watsco | 9,200 | 681 | ||||||
|
| |||||||
21,588 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Information Technology — 9.9% |
| |||||||
Activision Blizzard | 144,100 | $ | 1,847 | |||||
Amdocs | 49,200 | 1,554 | ||||||
Automatic Data Processing | 37,838 | 2,088 | ||||||
CACI International, Cl A * | 11,100 | 691 | ||||||
CGI Group, Cl A * | 27,800 | 620 | ||||||
Cisco Systems | 41,700 | 882 | ||||||
Computer Sciences | 16,400 | 491 | ||||||
Dell * | 94,500 | 1,569 | ||||||
Flir Systems | 24,900 | 630 | ||||||
Global Payments | 7,300 | 347 | ||||||
Google, Cl A * | 4,243 | 2,721 | ||||||
Harris | 28,400 | 1,280 | ||||||
Hewlett-Packard | 38,100 | 908 | ||||||
IAC | 74,110 | 3,638 | ||||||
Ingram Micro, Cl A * | 51,100 | 949 | ||||||
Intel | 100,500 | 2,825 | ||||||
International Business Machines | 23,118 | 4,823 | ||||||
Jack Henry & Associates | 7,100 | 242 | ||||||
Microchip Technology | 22,316 | 830 | ||||||
Microsoft | 82,700 | 2,667 | ||||||
Qualcomm | 4,100 | 279 | ||||||
SAIC | 157,400 | 2,078 | ||||||
Tech Data * | 16,700 | 906 | ||||||
Total System Services | 43,300 | 999 | ||||||
VeriSign | 24,122 | 925 | ||||||
Zebra Technologies, Cl A * | 12,500 | 515 | ||||||
|
| |||||||
37,304 | ||||||||
|
| |||||||
Materials — 2.3% |
| |||||||
Aptargroup | 18,100 | 991 | ||||||
Ball | 26,000 | 1,115 | ||||||
Barrick Gold | 18,600 | 807 | ||||||
Compass Minerals International | 13,200 | 947 | ||||||
Greif, Cl A | 10,500 | 587 | ||||||
Newmont Mining | 24,969 | 1,280 | ||||||
Packaging Corp of America | 13,000 | 385 | ||||||
Royal Gold | 12,863 | 839 | ||||||
Silgan Holdings | 23,500 | 1,039 | ||||||
Sonoco Products | 14,500 | 481 | ||||||
|
| |||||||
8,471 | ||||||||
|
| |||||||
Telecommunication Services — 2.9% |
| |||||||
AT&T | 108,100 | 3,376 | ||||||
BCE | 28,100 | 1,123 | ||||||
CenturyTel | 19,510 | 754 | ||||||
NTT DoCoMo ADR | 59,000 | 983 | ||||||
Rogers Communications, Cl B | 37,500 | 1,486 | ||||||
SBA Communications, Cl A * | 9,500 | 483 | ||||||
SK Telecom ADR | 88,600 | 1,232 | ||||||
Telephone & Data Systems | 24,783 | 574 | ||||||
Verizon Communications | 24,100 | 922 | ||||||
|
| |||||||
10,933 | ||||||||
|
| |||||||
Utilities — 12.5% | ||||||||
AGL Resources | 39,692 | 1,557 | ||||||
Alliant Energy | 39,900 | 1,729 | ||||||
Ameren | 31,000 | 1,010 | ||||||
American Electric Power | 40,000 | 1,543 | ||||||
American Water Works | 20,600 | 701 | ||||||
Atmos Energy | 66,400 | 2,089 | ||||||
Avista | 22,800 | 583 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 12,900 | $ | 988 | |||||
CMS Energy | 43,100 | 948 | ||||||
Consolidated Edison | 44,385 | 2,593 | ||||||
DTE Energy | 30,800 | 1,695 | ||||||
Duke Energy | 49,900 | 1,048 | ||||||
Edison International | 22,900 | 973 | ||||||
El Paso Electric | 27,700 | 900 | ||||||
Entergy | 21,000 | 1,411 | ||||||
Great Plains Energy | 61,300 | 1,243 | ||||||
Hawaiian Electric Industries | 50,912 | 1,291 | ||||||
Idacorp | 17,400 | 715 | ||||||
NSTAR | 68,976 | 3,354 | ||||||
OGE Energy | 29,159 | 1,560 | ||||||
Pepco Holdings | 27,100 | 512 | ||||||
PG&E | 66,600 | 2,891 | ||||||
Piedmont Natural Gas | 7,200 | 224 | ||||||
Portland General Electric | 41,700 | 1,042 | ||||||
Progress Energy | 9,151 | 486 | ||||||
Public Service Enterprise Group | 43,100 | 1,319 | ||||||
SCANA | 30,721 | 1,401 | ||||||
Sempra Energy | 16,200 | 972 | ||||||
Southern | 62,851 | 2,824 | ||||||
TECO Energy | 20,000 | 351 | ||||||
UGI | 32,000 | 872 | ||||||
Vectren | 58,480 | 1,700 | ||||||
WGL Holdings | 21,500 | 875 | ||||||
Wisconsin Energy | 104,699 | 3,683 | ||||||
|
| |||||||
47,083 | ||||||||
|
| |||||||
Total Common Stock | 356,476 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.0% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%**†† | 18,760,739 | 18,761 | ||||||
|
| |||||||
Total Cash Equivalent | 18,761 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.085%, 07/26/12 | $ | 17 | 17 | |||||
0.065%, 11/15/12 | 11 | 11 | ||||||
0.050%, 09/20/12 | 541 | 540 | ||||||
0.039%, 06/28/12 | 73 | 73 | ||||||
0.035%, 08/23/12 | 51 | 51 | ||||||
0.000%, 06/21/12 | 18 | 18 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 710 | |||||||
|
| |||||||
Total Investments — 99.8% | $ | 375,947 | ||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 156 | Jun-2012 | $ | 286 | ||||||||
|
|
For the period ended March 31, 2012, 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 $376,656 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | 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 & Poor’s
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 356,476 | $ | — | $ | — | $ | 356,476 | ||||||||
U.S. Treasury Obligations | — | 710 | — | 710 | ||||||||||||
Cash Equivalent | 18,761 | — | — | 18,761 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 375,237 | $ | 710 | $ | — | $ | 375,947 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 286 | $ | — | $ | — | $ | 286 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 286 | $ | — | $ | — | $ | 286 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
| ||
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases 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 Governance 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, 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.
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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 Registrant’s internal control over financial reporting.
Items 12. Exhibits.
(a)(1) Not applicable for semi-annual report.
(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.
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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: May 31, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By | /s/ Robert A. Nesher | |||
Robert A. Nesher, President & CEO | ||||
Date: May 31, 2012 | ||||
By | /s/ Peter A. Rodriguez | |||
Peter A. Rodriguez, Controller & CFO | ||||
Date: May 31, 2012 |